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: June 30, 2023
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 |
1 | |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
2 | |
5 | |
8 | |
11 | |
14 | |
18 | |
21 | |
24 | |
27 | |
30 | |
33 | |
36 | |
Schedules of Investments | |
40 | |
42 | |
44 | |
46 | |
53 | |
66 | |
71 | |
75 | |
77 | |
79 | |
84 | |
95 | |
138 | |
151 | |
163 | |
176 | |
178 |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | Bloomberg U.S. Government Inflation-Linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | Net Asset Value | Market Value | Bloomberg U.S. Government Inflation-Linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | ||||
ONE YEAR | 0.78% | 0.78% | (1.33)% | (16.63)% | 0.78% | 0.78% | (1.33)% | (16.63)% | |||
FIVE YEARS | 29.78% | 29.95% | 12.99% | 28.14% | 5.35% | 5.38% | 2.47% | 5.08% | |||
TEN YEARS | 37.25% | 37.26% | 23.59% | (6.06)% | 3.22% | 3.22% | 2.14% | (0.62)% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
SPDR S&P Global Natural Resources ETF | 27.7% | ||
SPDR S&P Global Infrastructure ETF | 25.0 | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 19.4 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 7.3 | ||
The Energy Select Sector SPDR Fund | 6.0 | ||
TOTAL | 85.4% |
% of Net Assets | |||
Natural Resources | 32.8% | ||
International Equity | 25.3 | ||
Commodities | 19.4 | ||
Inflation Linked | 7.3 | ||
Domestic Equity | 6.0 | ||
International Fixed Income | 2.6 | ||
Real Estate | 2.5 | ||
Short Term Investments | 10.2 | ||
Liabilities in Excess of Other Assets | (6.1) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | MSCI World Index | Bloomberg U.S. Long Government /Credit Bond Index | Net Asset Value | Market Value | MSCI World Index | Bloomberg U.S. Long Government /Credit Bond Index | ||||
ONE YEAR | 3.79% | 3.77% | 18.51% | (2.56)% | 3.79% | 3.77% | 18.51% | (2.56)% | |||
FIVE YEARS | 16.75% | 16.77% | 54.36% | 3.35% | 3.15% | 3.15% | 9.07% | 0.66% | |||
TEN YEARS | 49.43% | 49.41% | 147.92% | 32.56% | 4.10% | 4.10% | 9.50% | 2.86% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
SPDR Portfolio Long Term Treasury ETF | 12.9% | ||
SPDR Bloomberg High Yield Bond ETF | 12.1 | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 12.1 | ||
SPDR Blackstone Senior Loan ETF | 10.2 | ||
SPDR S&P Global Infrastructure ETF | 8.1 | ||
TOTAL | 55.4% |
% of Net Assets | |||
Domestic Fixed Income | 40.4% | ||
Domestic Equity | 26.3 | ||
International Equity | 16.0 | ||
International Fixed Income | 14.1 | ||
Real Estate | 2.0 | ||
Short Term Investments | 9.6 | ||
Liabilities in Excess of Other Assets | (8.4) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | MSCI ACWI IMI Index | Bloomberg U.S. Aggregate Bond Index | Net Asset Value | Market Value | MSCI ACWI IMI Index | Bloomberg U.S. Aggregate Bond Index | ||||
ONE YEAR | 9.15% | 9.10% | 16.14% | (0.94)% | 9.15% | 9.10% | 16.14% | (0.94)% | |||
FIVE YEARS | 27.14% | 26.99% | 44.55% | 3.89% | 4.92% | 4.90% | 7.65% | 0.77% | |||
TEN YEARS | 75.83% | 75.83% | 128.56% | 16.24% | 5.81% | 5.81% | 8.62% | 1.52% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
SPDR S&P 500 ETF Trust | 24.2% | ||
SPDR Portfolio Developed World ex-U.S. ETF | 15.8 | ||
SPDR Portfolio Emerging Markets ETF | 6.9 | ||
SPDR Portfolio Europe ETF | 6.5 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 5.9 | ||
TOTAL | 59.3% |
% of Net Assets | |||
Domestic Equity | 37.9% | ||
International Equity | 32.1 | ||
Domestic Fixed Income | 13.5 | ||
International Fixed Income | 6.0 | ||
Inflation Linked | 5.9 | ||
Short Term Investments | 22.5 | ||
Liabilities in Excess of Other Assets | (17.9) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg U.S. Treasury Bellwether 3 Month Index | Net Asset Value | Market Value | Bloomberg U.S. Treasury Bellwether 3 Month Index | ||
ONE YEAR | 4.24% | 4.27% | 3.74% | 4.24% | 4.27% | 3.74% | |
FIVE YEARS | 9.46% | 9.43% | 8.20% | 1.82% | 1.82% | 1.59% | |
SINCE INCEPTION(1) | 14.40% | 14.43% | 10.56% | 1.39% | 1.40% | 1.04% |
(1) | For the period October 9, 2013 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/9/13, 10/10/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
U.S. Treasury Bill 4.85% 7/25/2023 | 10.8% | ||
U.S. Treasury Notes 0.25% 9/30/2023 | 5.0 | ||
U.S. Treasury Bill 5.23% 7/13/2023 | 3.6 | ||
Parker-Hannifin Corp. 3.65% 6/15/2024 | 1.9 | ||
Take-Two Interactive Software, Inc. 3.30% 3/28/2024 | 1.8 | ||
TOTAL | 23.1% |
% of Net Assets | |||
Corporate Bonds & Notes | 61.2% | ||
U.S. Treasury Obligations | 19.4 | ||
Asset-Backed Securities | 5.6 | ||
Commercial Mortgage Backed Securities | 2.2 | ||
Mortgage-Backed Securities | 2.1 | ||
Short-Term Investment | 9.0 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | SPDR Loomis Sayles Opportunistic Bond Composite Index | Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | SPDR Loomis Sayles Opportunistic Bond Composite Index | ||||
ONE YEAR | 3.58% | 3.54% | (0.94)% | 5.68% | 3.58% | 3.54% | (0.94)% | 5.68% | |||
SINCE INCEPTION(1) | (8.08)% | (8.05)% | (11.42)% | (6.74)% | (4.68)% | (4.67)% | (6.67)% | (3.89)% |
(1) | For the period September 27, 2021 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (9/27/21, 9/28/21, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 3.3% | ||
OneMain Direct Auto Receivables Trust ABS 0.87% 7/14/2028 | 1.9 | ||
Credit Suisse AG 4.75% 8/9/2024 | 1.4 | ||
UniCredit SpA 7.30% 4/2/2034 | 1.3 | ||
Standard Chartered PLC 6.17% 1/9/2027 | 1.1 | ||
TOTAL | 9.0% |
% of Net Assets | |||
Banks | 16.9% | ||
Asset-Backed Securities | 11.3 | ||
Commercial Services | 3.9 | ||
Media | 3.5 | ||
Money Market Fund | 3.3 | ||
Telecommunications | 3.3 | ||
Internet | 3.1 | ||
Software | 2.7 | ||
Investment Company Security | 2.7 | ||
Semiconductors | 2.7 | ||
Auto Manufacturers | 2.6 | ||
Electric | 2.4 | ||
Retail | 2.3 | ||
Pipelines | 2.2 | ||
Pharmaceuticals | 2.1 | ||
Leisure Time | 2.1 | ||
Insurance | 2.1 | ||
Diversified Financial Services | 1.9 | ||
Home Builders | 1.8 | ||
Airlines | 1.8 | ||
Food | 1.7 | ||
Oil & Gas | 1.7 | ||
Chemicals | 1.5 | ||
Real Estate Investment Trusts | 1.3 | ||
Advertising | 1.1 | ||
Construction Materials | 1.0 | ||
Transportation | 0.9 | ||
Energy-Alternate Sources | 0.9 | ||
Mining | 0.8 | ||
Health Care Products | 0.8 | ||
Entertainment | 0.8 | ||
Auto Parts & Equipment | 0.7 | ||
IT Services | 0.6 | ||
Oil & Gas Services | 0.5 | ||
Health Care Services | 0.5 | ||
Iron/Steel | 0.5 | ||
Packaging & Containers | 0.4 | ||
Computers | 0.4 | ||
Aerospace & Defense | 0.4 | ||
Machinery, Construction & Mining | 0.4 | ||
Biotechnology | 0.4 | ||
Household Products | 0.4 | ||
Environmental Control | 0.3 | ||
Beverages | 0.3 | ||
Engineering & Construction | 0.3 | ||
Miscellaneous Manufacturer | 0.3 | ||
Electrical Components & Equipment | 0.3 | ||
Commercial Mortgage Backed Securities | 0.3 | ||
Electronics | 0.3 | ||
Office & Business Equipment | 0.2 |
% of Net Assets | |||
Home Furnishings | 0.2% | ||
Lodging | 0.2 | ||
Housewares | 0.1 | ||
Apparel | 0.1 | ||
Coal | 0.1 | ||
Forest Products & Paper | 0.1 | ||
Short-Term Investment | 2.0 | ||
Other Assets in Excess of Liabilities | 2.5 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index | Net Asset Value | Market Value | Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index | ||
ONE YEAR | 2.10% | 1.99% | 2.97% | 2.10% | 1.99% | 2.97% | |
SINCE INCEPTION(1) | (6.27)% | (6.32)% | (4.27)% | (2.66)% | (2.68)% | (1.80)% |
(1) | For the period February 3, 2021 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (02/03/21, 02/04/21, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
New Jersey Economic Development Authority Revenue, NJ | 2.6% | ||
Southfield Public Schools, General Obligation, MI | 2.5 | ||
State of Florida Department of Transportation Revenue, FL | 2.4 | ||
City of New York, General Obligation, NY | 2.4 | ||
Medford Hospital Facilities Authority Revenue, OR | 2.3 | ||
TOTAL | 12.2% |
% of Net Assets | |||
Municipal Bonds & Notes | 98.5% | ||
Short-Term Investment | 0.4 | ||
Other Assets in Excess of Liabilities | 1.1 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index | Net Asset Value | Market Value | Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index | ||
ONE YEAR | 2.53% | 2.36% | 2.97% | 2.53% | 2.36% | 2.97% | |
SINCE INCEPTION(1) | 1.18% | 1.26% | 1.11% | 0.96% | 1.02% | 0.90% |
(1) | For the period April 5, 2022 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (04/05/22, 04/06/22, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Idaho Housing & Finance Association Revenue, ID | 2.6% | ||
City of Dallas, General Obligation, TX AGM | 2.4 | ||
Medford Hospital Facilities Authority Revenue, OR | 2.2 | ||
Port of Seattle Revenue, WA AMT | 2.1 | ||
Michigan State Housing Development Authority Revenue, MI | 2.1 | ||
TOTAL | 11.4% |
% of Net Assets | |||
Municipal Bonds & Notes | 98.8% | ||
Short-Term Investment | 0.7 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | ||
ONE YEAR | (2.12)% | (2.20)% | (0.94)% | (2.12)% | (2.20)% | (0.94)% | |
SINCE INCEPTION(1) | (4.34)% | (4.38)% | (0.43)% | (1.04)% | (1.05)% | (0.10)% |
(1) | For the period April 2, 2019 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/2/19, 4/3/19, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
SPDR Portfolio Intermediate Term Treasury ETF | 30.8% | ||
SPDR Portfolio Mortgage-Backed Bond ETF | 28.9 | ||
SPDR Portfolio Long Term Treasury ETF | 10.4 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 7.8 | ||
SPDR Bloomberg International Treasury Bond ETF | 7.0 | ||
TOTAL | 84.9% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 27.1 | ||
Liabilities in Excess of Other Assets | (26.9) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | S&P 500 Index | Net Asset Value | Market Value | S&P 500 Index | ||
ONE YEAR | 15.91% | 15.80% | 19.59% | 15.91% | 15.80% | 19.59% | |
SINCE INCEPTION(1) | 56.57% | 56.56% | 66.83% | 11.14% | 11.14% | 12.82% |
(1) | For the period April 2, 2019 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/2/19, 4/3/19, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
The Industrial Select Sector SPDR Fund | 23.3% | ||
The Technology Select Sector SPDR Fund | 22.2 | ||
The Health Care Select Sector SPDR Fund | 20.5 | ||
The Consumer Discretionary Select Sector SPDR Fund | 16.8 | ||
The Consumer Staples Select Sector SPDR Fund | 10.5 | ||
TOTAL | 93.3% |
% of Net Assets | |||
Domestic Equity | 99.9% | ||
Short Term Investments | 30.7 | ||
Liabilities in Excess of Other Assets | (30.6) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | Net Asset Value | Market Value | JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | ||
ONE YEAR | 3.63% | 3.88% | 5.66% | 3.63% | 3.88% | 5.66% | |
FIVE YEARS | 4.23% | 4.31% | 12.57% | 0.83% | 0.85% | 2.40% | |
SINCE INCEPTION(1) | 15.45% | 15.87% | 23.66% | 2.01% | 2.06% | 2.99% |
(1) | For the period April 13, 2016 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/13/16, 4/14/16, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Description | % of Net Assets | ||
Chile Electricity PEC SpA 0.01% 1/25/2028 | 2.4% | ||
Minejesa Capital BV 5.63% 8/10/2037 | 2.3 | ||
Banco Internacional del Peru SAA Interbank VRN 4.00% 7/8/2030 | 2.2 | ||
Galaxy Pipeline Assets Bidco Ltd. 2.16% 3/31/2034 | 2.2 | ||
Hunt Oil Co. of Peru LLC Sucursal Del Peru 6.38% 6/1/2028 | 1.9 | ||
TOTAL | 11.0% |
% of Net Assets | |||
Corporate Bonds & Notes | 80.4% | ||
Foreign Government Obligations | 15.2 | ||
Short-Term Investment | 3.1 | ||
Other Assets in Excess of Liabilities | 1.3 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg U.S. Aggregate 1-3 Year Index | Net Asset Value | Market Value | Bloomberg U.S. Aggregate 1-3 Year Index | ||
ONE YEAR | 3.24% | 3.23% | 0.52% | 3.24% | 3.23% | 0.52% | |
FIVE YEARS | 6.98% | 6.93% | 5.50% | 1.36% | 1.35% | 1.08% | |
SINCE INCEPTION(1) | 9.80% | 9.88% | 6.80% | 1.30% | 1.31% | 0.92% |
(1) | For the period April 13, 2016 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (04/13/16, 04/14/16, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Description | % of Net Assets | ||
U.S. Treasury Bill 5.07% 8/10/2023 | 11.7% | ||
U.S. Treasury Notes 4.25% 10/15/2025 | 9.3 | ||
U.S. Treasury Notes 3.00% 7/15/2025 | 3.8 | ||
U.S. Treasury Bill 4.85% 7/25/2023 | 2.9 | ||
Citigroup Mortgage Loan Trust, Inc. CMO 4.29% 7/25/2037 | 1.9 | ||
TOTAL | 29.6% |
% of Net Assets | |||
U.S. Treasury Obligations | 27.7% | ||
Asset-Backed Securities | 25.4 | ||
Corporate Bonds & Notes | 15.2 | ||
Mortgage-Backed Securities | 9.5 | ||
U.S. Government Agency Obligations | 6.4 | ||
Commercial Mortgage Backed Securities | 6.1 | ||
Senior Floating Rate Loans | 5.6 | ||
Foreign Government Obligations | 0.6 | ||
Short-Term Investment | 3.0 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | ||
ONE YEAR | 0.49% | 0.88% | (0.94)% | 0.49% | 0.88% | (0.94)% | |
FIVE YEARS | 1.42% | 1.70% | 3.89% | 0.28% | 0.34% | 0.77% | |
SINCE INCEPTION(1) | 6.84% | 7.12% | 8.35% | 0.80% | 0.83% | 0.97% |
(1) | For the period February 23, 2015 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (02/23/15, 02/24/15, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
U.S. Treasury Bonds 3.63% 2/15/2053 | 11.2% | ||
U.S. Treasury Bonds 3.63% 5/15/2053 | 5.3 | ||
U.S. Treasury Notes 3.38% 5/15/2033 | 2.4 | ||
Federal National Mortgage Association REMICS 3.00% 1/25/2043 | 1.0 | ||
Federal Home Loan Mortgage Corp. REMICS CMO, REMIC 4.00% 7/15/2044 | 0.9 | ||
TOTAL | 20.8% |
% of Net Assets | |||
U.S. Government Agency Obligations | 31.7% | ||
U.S. Treasury Obligations | 23.6 | ||
Mortgage-Backed Securities | 13.7 | ||
Asset-Backed Securities | 11.7 | ||
Commercial Mortgage Backed Securities | 3.2 | ||
Banks | 2.2 | ||
Electric | 1.0 | ||
Pipelines | 0.7 | ||
Retail | 0.7 | ||
Oil & Gas | 0.7 | ||
Telecommunications | 0.6 | ||
Diversified Financial Services | 0.5 | ||
Commercial Services | 0.5 | ||
Insurance | 0.5 | ||
Health Care Services | 0.5 | ||
Real Estate Investment Trusts | 0.5 | ||
Media | 0.5 | ||
Pharmaceuticals | 0.5 | ||
Software | 0.4 | ||
Foreign Government Obligations | 0.4 | ||
Internet | 0.4 | ||
Entertainment | 0.3 | ||
Chemicals | 0.3 | ||
Food | 0.3 | ||
Semiconductors | 0.2 | ||
Beverages | 0.2 | ||
Auto Manufacturers | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Mining | 0.2 | ||
Transportation | 0.2 | ||
Packaging & Containers | 0.2 | ||
Leisure Time | 0.2 | ||
Biotechnology | 0.1 | ||
Agriculture | 0.1 | ||
Computers | 0.1 | ||
Construction Materials | 0.1 | ||
Lodging | 0.1 | ||
Airlines | 0.1 | ||
Engineering & Construction | 0.1 | ||
Advertising | 0.1 | ||
Water | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Electronics | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Forest Products & Paper | 0.1 | ||
Environmental Control | 0.1 | ||
Machinery-Diversified | 0.1 | ||
Home Builders | 0.1 | ||
Household Products | 0.1 |
% of Net Assets | |||
Trucking & Leasing | 0.1% | ||
Health Care Products | 0.0* | ||
Investment Company Security | 0.0* | ||
Household Products & Wares | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Iron/Steel | 0.0* | ||
Housewares | 0.0* | ||
Holding Companies-Diversified | 0.0* | ||
Miscellaneous Manufacturer | 0.0* | ||
Energy-Alternate Sources | 0.0* | ||
Coal | 0.0* | ||
Machinery, Construction & Mining | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
Home Furnishings | 0.0* | ||
Real Estate | 0.0* | ||
Short-Term Investment | 1.0 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 95.9% | ||||||
COMMODITIES — 19.4% | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 7,633,585 | $ 103,854,924 | ||||
DOMESTIC EQUITY — 6.0% | ||||||
The Energy Select Sector SPDR Fund (a)(b) | 395,864 | 32,132,281 | ||||
INFLATION LINKED — 7.3% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (a) | 2,108,232 | 38,917,963 | ||||
INTERNATIONAL EQUITY — 25.3% | ||||||
SPDR S&P Global Infrastructure ETF (a) | 2,501,429 | 133,501,265 | ||||
VanEck Agribusiness ETF (b) | 16,145 | 1,319,531 | ||||
134,820,796 | ||||||
INTERNATIONAL FIXED INCOME — 2.6% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (a) | 327,586 | 13,679,991 | ||||
NATURAL RESOURCES — 32.8% | ||||||
SPDR Gold MiniShares Trust (a) | 276,756 | 10,541,636 | ||||
SPDR S&P Global Natural Resources ETF (a)(b) | 2,741,886 | 147,815,074 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 332,119 | 16,878,288 | ||||
175,234,998 | ||||||
REAL ESTATE — 2.5% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 106,095 | 2,627,973 | ||||
SPDR Dow Jones REIT ETF REIT (a)(b) | 118,899 | 10,753,226 | ||||
13,381,199 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $551,256,420) | 512,022,152 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 10.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (c)(d) | 21,584,135 | $ 21,584,135 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 32,724,798 | 32,724,798 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $54,308,933) | $ 54,308,933 | |||||
TOTAL INVESTMENTS — 106.1% (Cost $605,565,353) | 566,331,085 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.1)% | (32,697,649) | |||||
NET ASSETS — 100.0% | $ 533,633,436 |
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 June 30, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2023. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2023 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 | $512,022,152 | $— | $— | $512,022,152 | ||||
Short-Term Investments | 54,308,933 | — | — | 54,308,933 | ||||
TOTAL INVESTMENTS | $566,331,085 | $— | $— | $566,331,085 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 2,036,829 | $ 39,636,692 | $ 49,527,671 | $ 47,868,832 | $(2,780,809) | $ 403,241 | 2,108,232 | $ 38,917,963 | $ 1,937,053 | ||||||||
SPDR Dow Jones International Real Estate ETF | 90,476 | 2,553,233 | 1,583,278 | 1,197,822 | (6,866) | (303,850) | 106,095 | 2,627,973 | 136,943 | ||||||||
SPDR Dow Jones REIT ETF | 369,583 | 35,139,952 | 10,137,022 | 33,367,130 | (4,715,237) | 3,558,619 | 118,899 | 10,753,226 | 541,244 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 55,737 | 2,521,542 | 22,815,619 | 10,964,547 | (623,060) | (69,563) | 327,586 | 13,679,991 | 672,703 | ||||||||
SPDR Gold MiniShares Trust | — | — | 12,139,296 | 1,583,434 | 85,700 | (99,926) | 276,756 | 10,541,636 | — | ||||||||
SPDR S&P Global Infrastructure ETF | 2,215,734 | 118,408,825 | 86,872,866 | 73,472,279 | 764,947 | 926,906 | 2,501,429 | 133,501,265 | 4,497,546 | ||||||||
SPDR S&P Global Natural Resources ETF | 2,278,511 | 118,687,638 | 93,577,929 | 68,137,211 | 1,679,122 | 2,007,596 | 2,741,886 | 147,815,074 | 6,205,094 | ||||||||
SPDR S&P Metals & Mining ETF | 293,310 | 12,729,654 | 11,979,503 | 10,492,617 | 992,882 | 1,668,866 | 332,119 | 16,878,288 | 299,223 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 8,773,651 | 8,773,651 | 75,446,529 | 62,636,045 | — | — | 21,584,135 | 21,584,135 | 933,845 | ||||||||
State Street Navigator Securities Lending Portfolio II | 48,571,637 | 48,571,637 | 1,020,126,667 | 1,035,973,506 | — | — | 32,724,798 | 32,724,798 | 199,469 | ||||||||
The Energy Select Sector SPDR Fund | 271,581 | 19,420,757 | 29,077,978 | 18,971,643 | 3,343,262 | (738,073) | 395,864 | 32,132,281 | 1,190,855 | ||||||||
Total | $406,443,581 | $1,413,284,358 | $1,364,665,066 | $(1,260,059) | $7,353,816 | $461,156,630 | $16,613,975 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.8% | ||||||
DOMESTIC EQUITY — 26.3% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 78,526 | $ 1,410,327 | ||||
iShares Mortgage Real Estate ETF (a) | 127,025 | 2,997,790 | ||||
Schwab U.S. Dividend Equity ETF (a) | 69,677 | 5,059,944 | ||||
SPDR ICE Preferred Securities ETF (b) | 127,166 | 4,256,246 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (a)(b) | 134,956 | 5,004,168 | ||||
18,728,475 | ||||||
DOMESTIC FIXED INCOME — 40.4% | ||||||
SPDR Blackstone Senior Loan ETF (a)(b) | 173,309 | 7,256,448 | ||||
SPDR Bloomberg Convertible Securities ETF (a)(b) | 52,305 | 3,658,735 | ||||
SPDR Bloomberg High Yield Bond ETF (a)(b) | 93,779 | 8,630,481 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 307,978 | 9,208,542 | ||||
28,754,206 | ||||||
INTERNATIONAL EQUITY — 16.0% | ||||||
SPDR S&P Global Infrastructure ETF (a)(b) | 107,500 | 5,737,275 | ||||
SPDR S&P International Dividend ETF (b) | 163,925 | 5,637,381 | ||||
11,374,656 | ||||||
INTERNATIONAL FIXED INCOME — 14.1% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(b) | 406,911 | 8,610,237 | ||||
SPDR Bloomberg International Corporate Bond ETF (b) | 50,932 | 1,445,450 | ||||
10,055,687 | ||||||
REAL ESTATE — 2.0% | ||||||
SPDR Dow Jones REIT ETF REIT (a)(b) | 15,848 | 1,433,293 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $76,093,340) | 70,346,317 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 9.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (c)(d) | 814,508 | $ 814,508 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 5,978,695 | 5,978,695 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,793,203) | $ 6,793,203 | |||||
TOTAL INVESTMENTS — 108.4% (Cost $82,886,543) | 77,139,520 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.4)% | (5,965,973) | |||||
NET ASSETS — 100.0% | $ 71,173,547 |
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 June 30, 2023. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 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 June 30, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2023 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 | $70,346,317 | $— | $— | $70,346,317 | ||||
Short-Term Investments | 6,793,203 | — | — | 6,793,203 | ||||
TOTAL INVESTMENTS | $77,139,520 | $— | $— | $77,139,520 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 478,391 | $ 19,920,201 | $ 5,923,945 | $ 18,433,189 | $(1,708,631) | $1,554,122 | 173,309 | $ 7,256,448 | $ 917,371 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | — | — | 2,813,734 | 2,856,252 | 42,518 | — | — | — | 11,361 | ||||||||
SPDR Bloomberg Convertible Securities ETF | 44,018 | 2,841,802 | 2,665,982 | 2,187,797 | 74,672 | 264,076 | 52,305 | 3,658,735 | 68,263 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 471,277 | 9,637,615 | 4,754,808 | 6,392,213 | (429,252) | 1,039,279 | 406,911 | 8,610,237 | 494,846 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 20,953 | 1,900,647 | 16,220,340 | 9,120,761 | (638,157) | 268,412 | 93,779 | 8,630,481 | 391,946 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 4,684,464 | 3,340,856 | 67,972 | 33,870 | 50,932 | 1,445,450 | 21,083 | ||||||||
SPDR Dow Jones REIT ETF | — | — | 2,023,971 | 672,712 | 29,807 | 52,227 | 15,848 | 1,433,293 | 24,355 | ||||||||
SPDR ICE Preferred Securities ETF | 135,451 | 4,855,918 | 2,973,534 | 3,372,545 | (176,705) | (23,956) | 127,166 | 4,256,246 | 281,416 | ||||||||
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 | 9,512,638 | 12,841,104 | (2,348,299) | 1,308,088 | 307,978 | 9,208,542 | 291,437 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 309,596 | 12,355,976 | 12,401,643 | 19,703,284 | (221,086) | 170,919 | 134,956 | 5,004,168 | 248,089 | ||||||||
SPDR S&P Global Infrastructure ETF | 144,598 | 7,727,317 | 2,613,570 | 4,627,753 | 35,961 | (11,820) | 107,500 | 5,737,275 | 194,983 | ||||||||
SPDR S&P International Dividend ETF | 250,835 | 8,606,149 | 13,337,225 | 16,354,433 | (653,518) | 701,958 | 163,925 | 5,637,381 | 449,382 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,843,857 | 3,843,857 | 17,748,752 | 20,778,101 | — | — | 814,508 | 814,508 | 99,549 | ||||||||
State Street Navigator Securities Lending Portfolio II | 30,179,720 | 30,179,720 | 202,088,941 | 226,289,966 | — | — | 5,978,695 | 5,978,695 | 241,690 | ||||||||
Total | $117,851,735 | $303,487,251 | $353,124,993 | $(6,428,085) | $5,885,551 | $67,671,459 | $3,776,351 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 95.4% | ||||||
DOMESTIC EQUITY — 37.9% | ||||||
SPDR Gold Shares (a)(b) | 37,649 | $ 6,711,687 | ||||
SPDR Portfolio S&P 600 Small Cap ETF (a)(c) | 148,000 | 5,748,320 | ||||
SPDR S&P 500 ETF Trust (a) | 125,343 | 55,562,045 | ||||
SPDR S&P MidCap 400 ETF Trust (a)(c) | 9,792 | 4,689,487 | ||||
The Consumer Discretionary Select Sector SPDR Fund (a)(c) | 28,532 | 4,845,019 | ||||
The Health Care Select Sector SPDR Fund (a)(c) | 35,191 | 4,670,901 | ||||
The Industrial Select Sector SPDR Fund (a)(c) | 44,587 | 4,785,077 | ||||
87,012,536 | ||||||
DOMESTIC FIXED INCOME — 13.5% | ||||||
SPDR Blackstone Senior Loan ETF (a)(c) | 83,240 | 3,485,259 | ||||
SPDR Bloomberg High Yield Bond ETF (a) | 50,020 | 4,603,341 | ||||
SPDR Bloomberg International Treasury Bond ETF (a) | 507,878 | 11,452,649 | ||||
SPDR Portfolio Aggregate Bond ETF (a)(c) | 270,297 | 6,857,435 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 154,046 | 4,605,975 | ||||
31,004,659 | ||||||
INFLATION LINKED — 5.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (a) | 740,764 | 13,674,503 | ||||
INTERNATIONAL EQUITY — 32.1% | ||||||
SPDR Portfolio Developed World ex-U.S. ETF (a)(c) | 1,116,902 | 36,343,991 | ||||
SPDR Portfolio Emerging Markets ETF (a)(c) | 462,602 | 15,904,257 | ||||
SPDR Portfolio Europe ETF (a)(c) | 384,632 | 14,812,178 | ||||
SPDR S&P International Small Cap ETF (a) | 220,444 | 6,725,747 | ||||
73,786,173 | ||||||
INTERNATIONAL FIXED INCOME — 6.0% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(c) | 325,324 | 6,883,856 |
Security Description | Shares | Value | ||||
SPDR Bloomberg International Corporate Bond ETF (a) | 244,384 | $ 6,935,618 | ||||
13,819,474 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $203,551,395) | 219,297,345 | |||||
SHORT-TERM INVESTMENTS — 22.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (d)(e) | 10,331,839 | $ 10,331,839 | ||||
State Street Navigator Securities Lending Portfolio II (f)(g) | 41,508,999 | 41,508,999 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,840,838) | $ 51,840,838 | |||||
TOTAL INVESTMENTS — 117.9% (Cost $255,392,233) | 271,138,183 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (17.9)% | (41,247,642) | |||||
NET ASSETS — 100.0% | $ 229,890,541 |
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 June 30, 2023 are shown in the Affiliate Table below. |
(b) | Non-income producing security. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2023. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2023. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(g) | 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 | $219,297,345 | $— | $— | $219,297,345 | ||||
Short-Term Investments | 51,840,838 | — | — | 51,840,838 | ||||
TOTAL INVESTMENTS | $271,138,183 | $— | $— | $271,138,183 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 202,281 | $ 8,422,981 | $ 1,866,239 | $ 6,735,689 | $ (651,785) | $ 583,513 | 83,240 | $ 3,485,259 | $ 407,262 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 867,998 | 16,891,241 | 5,031,078 | 7,353,195 | (543,094) | (351,527) | 740,764 | 13,674,503 | 692,589 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 296,971 | 6,073,057 | 2,230,347 | 1,852,153 | (62,408) | 495,013 | 325,324 | 6,883,856 | 342,022 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 13,178,881 | 8,307,844 | (230,235) | (37,461) | 50,020 | 4,603,341 | 100,739 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 7,756,659 | 992,310 | 18,721 | 152,548 | 244,384 | 6,935,618 | 53,974 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 418,602 | 9,694,823 | 16,277,607 | 14,226,354 | (1,353,525) | 1,060,098 | 507,878 | 11,452,649 | 220,190 | ||||||||
SPDR Dow Jones International Real Estate ETF | 43,111 | 1,216,593 | 1,195,409 | 2,435,381 | (191,018) | 214,397 | — | — | — | ||||||||
SPDR Dow Jones REIT ETF | 42 | 3,993 | 1,173,554 | 1,225,766 | 48,140 | 79 | — | — | — | ||||||||
SPDR Gold Shares | — | — | 7,151,272 | 435,905 | 35,771 | (39,451) | 37,649 | 6,711,687 | — | ||||||||
SPDR Portfolio Aggregate Bond ETF | 231,832 | 6,108,773 | 52,892,458 | 51,904,926 | (418,344) | 179,474 | 270,297 | 6,857,435 | 277,436 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,740,818 | 50,205,191 | 10,016,784 | 29,321,433 | 813,333 | 4,630,116 | 1,116,902 | 36,343,991 | 1,164,484 | ||||||||
SPDR Portfolio Emerging Markets ETF | 422,956 | 14,706,180 | 8,004,966 | 6,681,119 | (844,505) | 718,735 | 462,602 | 15,904,257 | 481,498 | ||||||||
SPDR Portfolio Europe ETF | — | — | 20,541,122 | 7,478,416 | 292,762 | 1,456,710 | 384,632 | 14,812,178 | 382,205 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 373,341 | 11,002,359 | 17,581,279 | 28,019,957 | (489,592) | (74,089) | — | — | 105,173 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 443,258 | 14,658,542 | 14,593,435 | 23,180,613 | (4,181,613) | 2,716,224 | 154,046 | 4,605,975 | 233,472 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 374,403 | 13,471,020 | 11,650,400 | 19,471,214 | (959,055) | 1,057,169 | 148,000 | 5,748,320 | 91,140 | ||||||||
SPDR S&P 500 ETF Trust | 80,272 | 30,282,612 | 50,892,765 | 33,186,252 | 1,900,304 | 5,672,616 | 125,343 | 55,562,045 | 550,886 | ||||||||
SPDR S&P International Small Cap ETF | 254,837 | 7,372,435 | 1,604,178 | 2,682,029 | (186,258) | 617,421 | 220,444 | 6,725,747 | 197,137 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 11,823 | 4,888,692 | 1,218,206 | 2,174,666 | 327,508 | 429,747 | 9,792 | 4,689,487 | 62,723 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,863,750 | 11,863,750 | 74,360,831 | 75,892,742 | — | — | 10,331,839 | 10,331,839 | 473,605 | ||||||||
State Street Navigator Securities Lending Portfolio II | 36,578,077 | 36,578,077 | 1,345,155,536 | 1,340,224,614 | — | ��� | 41,508,999 | 41,508,999 | 444,225 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 4,554,242 | 4,914,440 | 360,198 | — | — | — | — | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 9,308,866 | 4,676,631 | 23,818 | 188,966 | 28,532 | 4,845,019 | 9,491 | ||||||||
The Consumer Staples Select Sector SPDR Fund | — | — | 5,288,710 | 5,021,372 | (267,337) | — | — | — | 33,701 | ||||||||
The Energy Select Sector SPDR Fund | 68,732 | 4,915,025 | 10,099,416 | 16,101,068 | 970,086 | 116,541 | — | — | 116,196 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 10,520,289 | 10,687,099 | 166,810 | — | — | — | 72,696 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 11,798,164 | 6,924,848 | (282,011) | 79,596 | 35,191 | 4,670,901 | 18,992 | ||||||||
The Industrial Select Sector SPDR Fund | — | — | 4,943,447 | 419,722 | 3,855 | 257,497 | 44,587 | 4,785,077 | 35,946 | ||||||||
The Materials Select Sector SPDR Fund | 66,063 | 4,862,237 | 9,561,949 | 14,510,976 | (729,578) | 816,368 | — | — | 15,047 | ||||||||
The Utilities Select Sector SPDR Fund | 71,668 | 5,026,077 | 904,147 | 6,090,671 | 20,985 | 139,462 | — | — | 30,803 | ||||||||
Total | $258,243,658 | $1,731,352,236 | $1,733,129,405 | $(6,408,067) | $21,079,762 | $271,138,183 | $6,613,632 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 61.2% | ||||||
AEROSPACE & DEFENSE — 0.2% | ||||||
Boeing Co. 1.43%, 2/4/2024 | $ 1,000,000 | $ 973,460 | ||||
AGRICULTURE — 0.5% | ||||||
Imperial Brands Finance PLC 3.13%, 7/26/2024 (a) | 408,000 | 394,206 | ||||
Philip Morris International, Inc. 5.13%, 11/15/2024 | 2,500,000 | 2,489,425 | ||||
2,883,631 | ||||||
AUTO MANUFACTURERS — 5.6% | ||||||
American Honda Finance Corp. SOFR + 0.92%, 5.94%, 1/12/2026 (b) | 2,915,000 | 2,907,100 | ||||
Daimler Truck Finance North America LLC: | ||||||
5.20%, 1/17/2025 (a) | 1,500,000 | 1,487,160 | ||||
SOFR + 0.60%, 5.69%, 12/14/2023 (a) (b) | 1,000,000 | 998,740 | ||||
SOFR + 0.75%, 5.84%, 12/13/2024 (a) (b) | 1,000,000 | 997,030 | ||||
Ford Motor Credit Co. LLC: | ||||||
2.30%, 2/10/2025 | 1,680,000 | 1,569,087 | ||||
4.38%, 8/6/2023 | 1,500,000 | 1,497,315 | ||||
General Motors Financial Co., Inc.: | ||||||
3.80%, 4/7/2025 | 2,000,000 | 1,929,180 | ||||
5.40%, 4/6/2026 | 925,000 | 914,501 | ||||
Hyundai Capital America 0.80%, 1/8/2024 (a) | 1,000,000 | 973,400 | ||||
Mercedes-Benz Finance North America LLC: | ||||||
5.50%, 11/27/2024 (a) | 5,000,000 | 4,990,850 | ||||
SOFR + 0.93%, 6.02%, 3/30/2025 (a) | 4,000,000 | 4,000,160 | ||||
Nissan Motor Acceptance Co. LLC: | ||||||
COR, 3.88%, 9/21/2023 (a) | 2,326,000 | 2,311,044 | ||||
3 Month USD LIBOR + 0.64%, 6.15%, 3/8/2024 (a) (b) | 1,000,000 | 997,090 | ||||
Nissan Motor Co. Ltd. 3.04%, 9/15/2023 (a) | 2,000,000 | 1,986,080 | ||||
Toyota Motor Credit Corp. SOFR + 0.56%, 5.57%, 1/10/2025 (b) | 3,335,000 | 3,334,533 | ||||
30,893,270 | ||||||
BANKS — 13.9% | ||||||
Bank of America Corp.: | ||||||
Series MTN, 3 Month SOFR + 1.20%, 3.86%, 7/23/2024 (b) | 5,000,000 | 4,993,500 | ||||
Series MTN, SOFR + 0.73%, 5.79%, 10/24/2024 (b) | 1,000,000 | 999,790 |
Security Description | Principal Amount | Value | |||
Bank of Montreal SOFR + 0.35%, 5.44%, 12/8/2023 (b) | $ 1,755,000 | $ 1,752,122 | |||
Barclays Bank PLC Series BKNT, 3.75%, 5/15/2024 | 2,000,000 | 1,960,940 | |||
Citigroup, Inc.: | |||||
SOFR + 0.69%, 0.78%, 10/30/2024 (b) | 7,000,000 | 6,875,120 | |||
SOFR + 1.37%, 4.14%, 5/24/2025 (b) | 1,500,000 | 1,473,630 | |||
Goldman Sachs Group, Inc.: | |||||
SOFR + 0.51%, 0.66%, 9/10/2024 (b) | 5,000,000 | 4,942,500 | |||
SOFR + 0.49%, 5.54%, 10/21/2024 (b) | 1,500,000 | 1,492,440 | |||
5.70%, 11/1/2024 | 5,000,000 | 4,993,950 | |||
HSBC Holdings PLC: | |||||
4.25%, 3/14/2024 | 1,000,000 | 985,420 | |||
SOFR + 0.58%, 5.67%, 11/22/2024 (b) | 1,250,000 | 1,241,100 | |||
SOFR + 1.43%, 6.52%, 3/10/2026 (b) | 1,000,000 | 1,005,110 | |||
JPMorgan Chase & Co. 3 Month SOFR + 0.58%, 0.97%, 6/23/2025 (b) | 5,000,000 | 4,746,400 | |||
KeyBank NA: | |||||
4.15%, 8/8/2025 | 770,000 | 709,940 | |||
SOFR + 0.32%, 5.41%, 6/14/2024 (b) | 1,000,000 | 971,010 | |||
Macquarie Group Ltd. SOFR + 0.71%, 5.74%, 10/14/2025 (a) (b) | 1,000,000 | 990,990 | |||
Morgan Stanley: | |||||
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025 (b) | 1,500,000 | 1,453,665 | |||
SOFR + 1.16%, 3.62%, 4/17/2025 (b) | 6,500,000 | 6,370,390 | |||
National Australia Bank Ltd. 1.39%, 1/12/2025 (a) | 1,500,000 | 1,411,560 | |||
National Securities Clearing Corp. 5.15%, 5/30/2025 (a) | 2,500,000 | 2,488,150 | |||
NatWest Markets PLC SOFR + 0.53%, 5.62%, 8/12/2024 (a) (b) | 2,125,000 | 2,112,059 | |||
Royal Bank of Canada Series GMTN, SOFR + 0.53%, 5.57%, 1/20/2026 (b) | 500,000 | 494,885 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
3 Month USD LIBOR + 0.80%, 6.06%, 10/16/2023 (b) | 1,000,000 | 1,000,410 | |||
3 Month USD LIBOR + 0.86%, 6.13%, 7/19/2023 (b) | 2,000,000 | 2,000,120 |
Security Description | Principal Amount | Value | ||||
SOFR + 1.43%, 6.44%, 1/13/2026 (b) | $ 3,000,000 | $ 3,015,510 | ||||
Sumitomo Mitsui Trust Bank Ltd.: | ||||||
0.80%, 9/16/2024 (a) | 2,500,000 | 2,348,950 | ||||
SOFR + 0.44%, 5.53%, 9/16/2024 (a) (b) | 1,500,000 | 1,491,975 | ||||
Toronto-Dominion Bank: | ||||||
Series MTN, SOFR + 0.35%, 5.44%, 9/10/2024 (b) | 1,515,000 | 1,508,652 | ||||
SOFR + 0.91%, 6.00%, 3/8/2024 (b) | 2,000,000 | 2,003,480 | ||||
Truist Bank SOFR + 0.20%, 5.23%, 1/17/2024 (b) | 1,000,000 | 990,300 | ||||
UBS AG SOFR + 0.36%, 5.45%, 2/9/2024 (a) (b) | 3,930,000 | 3,919,114 | ||||
Wells Fargo & Co. Series MTN, 3 Month SOFR + 1.09%, 2.41%, 10/30/2025 (b) | 4,500,000 | 4,287,555 | ||||
77,030,737 | ||||||
BEVERAGES — 0.2% | ||||||
Constellation Brands, Inc. 5.00%, 2/2/2026 | 1,000,000 | 996,510 | ||||
BIOTECHNOLOGY — 0.6% | ||||||
Amgen, Inc. 5.51%, 3/2/2026 | 1,455,000 | 1,451,464 | ||||
Royalty Pharma PLC 0.75%, 9/2/2023 | 2,000,000 | 1,980,940 | ||||
3,432,404 | ||||||
CHEMICALS — 0.8% | ||||||
DuPont de Nemours, Inc. 3 Month USD LIBOR + 1.11%, 6.43%, 11/15/2023 (b) | 1,000,000 | 1,002,190 | ||||
LyondellBasell Industries NV 5.75%, 4/15/2024 | 2,000,000 | 1,995,760 | ||||
Nutrien Ltd. 5.90%, 11/7/2024 | 830,000 | 830,456 | ||||
Sherwin-Williams Co. 4.05%, 8/8/2024 | 875,000 | 860,869 | ||||
4,689,275 | ||||||
COMMERCIAL SERVICES — 0.1% | ||||||
Cintas Corp. No. 2 3.45%, 5/1/2025 | 585,000 | 566,584 | ||||
CONSTRUCTION MATERIALS — 0.6% | ||||||
Vulcan Materials Co. 5.80%, 3/1/2026 | 3,330,000 | 3,328,901 |
Security Description | Principal Amount | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 3.2% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
Series 3NC1, 1.75%, 10/29/2024 | $ 1,000,000 | $ 939,430 | ||||
SOFR + 0.68%, 5.77%, 9/29/2023 (b) | 1,000,000 | 997,990 | ||||
Air Lease Corp. 3.00%, 9/15/2023 | 1,500,000 | 1,489,110 | ||||
Aircastle Ltd. 4.40%, 9/25/2023 | 4,281,000 | 4,258,867 | ||||
Ally Financial, Inc. 1.45%, 10/2/2023 | 3,276,000 | 3,229,088 | ||||
Charles Schwab Corp. 0.75%, 3/18/2024 | 5,000,000 | 4,823,250 | ||||
Nasdaq, Inc. 5.65%, 6/28/2025 | 645,000 | 646,612 | ||||
Synchrony Financial 4.25%, 8/15/2024 | 1,452,000 | 1,398,247 | ||||
17,782,594 | ||||||
ELECTRIC — 6.5% | ||||||
CenterPoint Energy, Inc. SOFR + 0.65%, 5.74%, 5/13/2024 (b) | 1,500,000 | 1,498,215 | ||||
DTE Energy Co. 4.22%, 11/1/2024 (c) | 1,250,000 | 1,223,050 | ||||
Eversource Energy 4.20%, 6/27/2024 | 3,080,000 | 3,031,860 | ||||
Jersey Central Power & Light Co. 4.70%, 4/1/2024 (a) | 1,888,000 | 1,868,006 | ||||
National Rural Utilities Cooperative Finance Corp. Series D, SOFR + 0.33%, 5.36%, 10/18/2024 (b) | 2,500,000 | 2,495,675 | ||||
NextEra Energy Capital Holdings, Inc.: | ||||||
4.26%, 9/1/2024 | 1,250,000 | 1,229,162 | ||||
SOFR + 0.40%, 5.48%, 11/3/2023 (b) | 2,940,000 | 2,939,618 | ||||
6.05%, 3/1/2025 | 875,000 | 880,101 | ||||
SOFR + 1.02%, 6.11%, 3/21/2024 (b) | 1,500,000 | 1,500,105 | ||||
Pacific Gas & Electric Co. 3.85%, 11/15/2023 | 2,459,000 | 2,439,205 | ||||
Southern California Edison Co.: | ||||||
Series J, 0.70%, 8/1/2023 | 3,850,000 | 3,834,985 | ||||
SOFR + 0.83%, 5.92%, 4/1/2024 (b) | 640,000 | 639,194 | ||||
Southwestern Public Service Co. 3.30%, 6/15/2024 | 6,982,000 | 6,823,159 | ||||
Tampa Electric Co. 3.88%, 7/12/2024 | 1,670,000 | 1,640,725 |
Security Description | Principal Amount | Value | ||||
Virginia Electric & Power Co. 3.45%, 2/15/2024 | $ 4,015,000 | $ 3,952,125 | ||||
35,995,185 | ||||||
ELECTRONICS — 0.4% | ||||||
Arrow Electronics, Inc. 6.13%, 3/1/2026 | 2,500,000 | 2,493,775 | ||||
ENTERTAINMENT — 0.8% | ||||||
Warnermedia Holdings, Inc.: | ||||||
3.53%, 3/15/2024 | 2,000,000 | 1,961,620 | ||||
3.64%, 3/15/2025 | 1,000,000 | 964,720 | ||||
6.41%, 3/15/2026 | 1,630,000 | 1,631,190 | ||||
4,557,530 | ||||||
FOREST PRODUCTS & PAPER — 0.7% | ||||||
Georgia-Pacific LLC 0.63%, 5/15/2024 (a) | 4,000,000 | 3,836,880 | ||||
HAND & MACHINE TOOLS — 0.5% | ||||||
Stanley Black & Decker, Inc. 6.27%, 3/6/2026 | 2,500,000 | 2,522,200 | ||||
HEALTH CARE PRODUCTS — 0.6% | ||||||
GE HealthCare Technologies, Inc. 5.55%, 11/15/2024 | 1,000,000 | 995,210 | ||||
Revvity, Inc. 0.85%, 9/15/2024 | 1,000,000 | 941,040 | ||||
Thermo Fisher Scientific, Inc. SOFR + 0.53%, 5.56%, 10/18/2024 (b) | 1,135,000 | 1,134,013 | ||||
3,070,263 | ||||||
HEALTH CARE SERVICES — 0.4% | ||||||
Roche Holdings, Inc. SOFR + 0.33%, 5.42%, 9/11/2023 (a) (b) | 2,000,000 | 2,000,020 | ||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Kenvue, Inc. 5.50%, 3/22/2025 (a) | 1,040,000 | 1,042,725 | ||||
INSURANCE — 1.6% | ||||||
Athene Global Funding SOFR + 0.70%, 5.79%, 5/24/2024 (a) (b) | 1,000,000 | 989,970 | ||||
Corebridge Global Funding 5.75%, 7/2/2026 (a) | 2,500,000 | 2,492,025 | ||||
Pacific Life Global Funding II SOFR + 0.62%, 5.71%, 6/4/2026 (a) (b) | 4,168,000 | 4,044,127 | ||||
Pricoa Global Funding I 2.40%, 9/23/2024 (a) | 1,500,000 | 1,435,305 | ||||
8,961,427 | ||||||
INVESTMENT COMPANY SECURITY — 1.4% | ||||||
Blackstone Private Credit Fund 2.35%, 11/22/2024 | 1,000,000 | 935,070 |
Security Description | Principal Amount | Value | ||||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 | $ 7,088,000 | $ 7,071,343 | ||||
8,006,413 | ||||||
IT SERVICES — 0.3% | ||||||
Apple, Inc. 4.42%, 5/8/2026 | 1,785,000 | 1,776,914 | ||||
LODGING — 0.3% | ||||||
Hyatt Hotels Corp. 1.30%, 10/1/2023 | 1,530,000 | 1,512,482 | ||||
MACHINERY, CONSTRUCTION & MINING — 0.5% | ||||||
Caterpillar Financial Services Corp. 4.80%, 1/6/2026 | 2,500,000 | 2,494,250 | ||||
MACHINERY-DIVERSIFIED — 1.6% | ||||||
John Deere Capital Corp.: | ||||||
3.40%, 6/6/2025 | 1,390,000 | 1,346,284 | ||||
4.05%, 9/8/2025 | 2,000,000 | 1,957,020 | ||||
4.80%, 1/9/2026 | 3,335,000 | 3,323,928 | ||||
Series MTN, SOFR + 0.20%, 5.20%, 10/11/2024 (b) | 1,500,000 | 1,497,120 | ||||
Rockwell Automation, Inc. 0.35%, 8/15/2023 | 1,000,000 | 994,240 | ||||
9,118,592 | ||||||
MEDIA — 0.2% | ||||||
Discovery Communications LLC 3.80%, 3/13/2024 | 1,117,000 | 1,099,552 | ||||
MINING — 2.2% | ||||||
BHP Billiton Finance USA Ltd. 4.88%, 2/27/2026 | 2,500,000 | 2,487,100 | ||||
Glencore Funding LLC 4.13%, 3/12/2024 (a) | 5,000,000 | 4,937,900 | ||||
Kinross Gold Corp. 5.95%, 3/15/2024 | 4,938,000 | 4,924,667 | ||||
12,349,667 | ||||||
MISCELLANEOUS MANUFACTURER — 3.1% | ||||||
Carlisle Cos., Inc. 0.55%, 9/1/2023 | 575,000 | 570,297 | ||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 11,000,000 | 10,781,540 | ||||
Siemens Financieringsmaatschappij NV: | ||||||
0.65%, 3/11/2024 (a) | 5,000,000 | 4,830,400 | ||||
SOFR + 0.43%, 5.52%, 3/11/2024 (a) (b) | 1,000,000 | 1,000,420 | ||||
17,182,657 | ||||||
OIL & GAS — 1.1% | ||||||
Chevron USA, Inc. 3.90%, 11/15/2024 | 1,000,000 | 982,710 | ||||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 750,000 | 666,960 |
Security Description | Principal Amount | Value | ||||
Occidental Petroleum Corp. 6.95%, 7/1/2024 | $ 2,500,000 | $ 2,524,250 | ||||
Pioneer Natural Resources Co. 5.10%, 3/29/2026 | 795,000 | 790,771 | ||||
Shell International Finance BV 3 Month USD LIBOR + 0.40%, 5.72%, 11/13/2023 (b) | 1,000,000 | 1,001,020 | ||||
5,965,711 | ||||||
PACKAGING & CONTAINERS — 0.4% | ||||||
Graphic Packaging International LLC 0.82%, 4/15/2024 (a) | 1,000,000 | 960,600 | ||||
Sonoco Products Co. 1.80%, 2/1/2025 | 1,470,000 | 1,380,815 | ||||
2,341,415 | ||||||
PHARMACEUTICALS — 3.6% | ||||||
Astrazeneca Finance LLC 0.70%, 5/28/2024 | 2,000,000 | 1,915,420 | ||||
Bayer U.S. Finance II LLC 3 Month USD LIBOR + 1.01%, 6.56%, 12/15/2023 (a) (b) | 1,500,000 | 1,500,120 | ||||
Bristol-Myers Squibb Co. 0.54%, 11/13/2023 | 1,640,000 | 1,610,644 | ||||
Cigna Group: | ||||||
5.69%, 3/15/2026 | 5,000,000 | 5,006,050 | ||||
3 Month USD LIBOR + 0.89%, 6.15%, 7/15/2023 (b) | 1,000,000 | 999,840 | ||||
Eli Lilly & Co. 5.00%, 2/27/2026 | 1,555,000 | 1,557,083 | ||||
Mylan, Inc. 4.20%, 11/29/2023 | 2,000,000 | 1,985,980 | ||||
Pfizer Investment Enterprises Pte. Ltd. 4.65%, 5/19/2025 | 2,240,000 | 2,219,549 | ||||
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | 2,000,000 | 1,985,860 | ||||
Viatris, Inc. 1.65%, 6/22/2025 | 1,500,000 | 1,380,825 | ||||
20,161,371 | ||||||
PIPELINES — 1.5% | ||||||
Enbridge, Inc.: | ||||||
0.55%, 10/4/2023 | 1,000,000 | 986,690 | ||||
5.97%, 3/8/2026 | 1,820,000 | 1,822,748 | ||||
Plains All American Pipeline LP/PAA Finance Corp. 3.85%, 10/15/2023 | 2,395,000 | 2,379,720 | ||||
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 1,000,000 | 996,660 |
Security Description | Principal Amount | Value | ||||
Williams Cos., Inc. 4.55%, 6/24/2024 | $ 2,000,000 | $ 1,973,300 | ||||
8,159,118 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 1.1% | ||||||
Omega Healthcare Investors, Inc. 4.38%, 8/1/2023 | 5,000,000 | 4,978,350 | ||||
Realty Income Corp. 5.05%, 1/13/2026 | 1,115,000 | 1,106,671 | ||||
6,085,021 | ||||||
RETAIL — 0.7% | ||||||
7-Eleven, Inc. 0.80%, 2/10/2024 (a) | 2,000,000 | 1,937,780 | ||||
Dollar General Corp. 4.25%, 9/20/2024 | 1,090,000 | 1,069,552 | ||||
Genuine Parts Co. 1.75%, 2/1/2025 | 660,000 | 618,169 | ||||
3,625,501 | ||||||
SEMICONDUCTORS — 0.2% | ||||||
Intel Corp. 4.88%, 2/10/2026 | 565,000 | 563,508 | ||||
NXP BV/NXP Funding LLC 4.88%, 3/1/2024 | 750,000 | 743,910 | ||||
1,307,418 | ||||||
SOFTWARE — 2.2% | ||||||
Activision Blizzard, Inc. 3.40%, 9/15/2026 | 2,250,000 | 2,143,935 | ||||
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | 10,000,000 | 9,817,800 | ||||
11,961,735 | ||||||
TELECOMMUNICATIONS — 2.0% | ||||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 1,500,000 | 1,448,610 | ||||
5.54%, 2/20/2026 | 1,000,000 | 1,000,220 | ||||
NTT Finance Corp. 0.58%, 3/1/2024 (a) | 2,000,000 | 1,930,440 | ||||
Sprint LLC 7.88%, 9/15/2023 | 5,000,000 | 5,015,150 | ||||
Verizon Communications, Inc. SOFR + 0.50%, 5.59%, 3/22/2024 (b) | 1,500,000 | 1,496,640 | ||||
10,891,060 | ||||||
TRANSPORTATION — 0.4% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 1,000,000 | 940,090 | ||||
JB Hunt Transport Services, Inc. 3.85%, 3/15/2024 | 1,281,000 | 1,262,951 | ||||
2,203,041 |
Security Description | Principal Amount | Value | ||||
TRUCKING & LEASING — 1.0% | ||||||
GATX Corp. 4.35%, 2/15/2024 | $ 5,414,000 | $ 5,349,736 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $341,316,043) | 338,649,025 | |||||
ASSET-BACKED SECURITIES — 5.6% | ||||||
ASSET-BACKED - OTHER — 3.0% | ||||||
Ford Credit Floorplan Master Owner Trust A: | ||||||
Series 2019-4, Class A, 2.44%, 9/15/2026 | 8,000,000 | 7,677,432 | ||||
Series 2020-1, Class A2, 1 Month USD LIBOR + 0.50%, 5.69%, 9/15/2025 (b) | 8,780,000 | 8,780,820 | ||||
16,458,252 | ||||||
AUTOMOBILE — 0.9% | ||||||
Nissan Auto Lease Trust Series 2023-A, Class A3, 4.91%, 1/15/2026 | 5,000,000 | 4,944,223 | ||||
CREDIT CARD — 1.7% | ||||||
Master Credit Card Trust Series 2021-1A, Class A, 0.53%, 11/21/2025 (a) | 10,000,000 | 9,528,026 | ||||
TOTAL ASSET-BACKED SECURITIES (Cost $30,940,000) | 30,930,501 | |||||
U.S. TREASURY OBLIGATIONS — 19.4% | ||||||
U.S. Treasury Bill: | ||||||
4.85%, 7/25/2023 | 60,000,000 | 59,816,667 | ||||
5.23%, 7/13/2023 | 20,000,000 | 19,972,187 | ||||
U.S. Treasury Notes 0.25%, 9/30/2023 (Cost $27,978,956) | 27,995,200 | 27,657,289 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $107,748,093) | 107,446,143 | |||||
MORTGAGE-BACKED SECURITIES — 2.1% | ||||||
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 6.44%, 7/15/2035 (a) (b) | 2,870,000 | 2,810,150 | ||||
BX Commercial Mortgage Trust Series 2019-XL, Class A, 1 Month USD Term LIBOR + 1.03%, 6.18%, 10/15/2036 (a) (b) | 1,388,480 | 1,379,279 |
Security Description | Principal Amount | Value | |||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 6.17%, 5/15/2036 (a) (b) | $ 7,331,759 | $ 7,284,648 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $11,556,993) | 11,474,077 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.2% | |||||
BPR Trust Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 7.05%, 4/15/2037 (a) (b) | 1,800,000 | 1,752,475 | |||
BX Mortgage Trust Series 2021-PAC, Class B, 1 Month USD LIBOR + 0.90%, 6.09%, 10/15/2036 (a) (b) | 2,500,000 | 2,401,118 | |||
Cold Storage Trust: | |||||
Series 2020-ICE5, Class A, 1 Month USD LIBOR + 0.90%, 6.09%, 11/15/2037 (a) (b) | 3,178,991 | 3,122,643 | |||
Series 2020-ICE5, Class B, 1 Month USD LIBOR + 1.30%, 6.49%, 11/15/2037 (a) (b) | 4,914,953 | 4,826,119 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $12,335,087) | 12,102,355 |
Shares | |||
SHORT-TERM INVESTMENT — 9.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (d) (e) (Cost $49,808,408) | 49,808,408 | 49,808,408 | |
TOTAL INVESTMENTS — 99.5% (Cost $553,704,624) | 550,410,509 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 2,959,762 | ||
NET ASSETS — 100.0% | $ 553,370,271 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 18.5% of net assets as of June 30, 2023, 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 June 30, 2023. 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 June 30, 2023. Maturity date shown is the final maturity. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2023. |
BKNT | Bank Notes |
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 (long) | 82 | 09/29/2023 | $16,885,289 | $16,673,908 | $ (211,381) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 76 | 09/29/2023 | 8,223,138 | 8,139,125 | (84,013) | |||||
$(295,394) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $338,649,025 | $— | $338,649,025 | ||||
Asset-Backed Securities | — | 30,930,501 | — | 30,930,501 | ||||
U.S. Treasury Obligations | — | 107,446,143 | — | 107,446,143 | ||||
Mortgage-Backed Securities | — | 11,474,077 | — | 11,474,077 | ||||
Commercial Mortgage Backed Securities | — | 12,102,355 | — | 12,102,355 | ||||
Short-Term Investment | 49,808,408 | — | — | 49,808,408 | ||||
TOTAL INVESTMENTS | $49,808,408 | $500,602,101 | $— | $550,410,509 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $ (295,394) | $ — | $— | $ (295,394) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (295,394) | $ — | $— | $ (295,394) |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 29,493,611 | $29,493,611 | $575,672,381 | $555,357,584 | $— | $— | 49,808,408 | $49,808,408 | $1,091,063 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 62.9% | |||||
AUSTRALIA — 0.9% | |||||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.50%, 9/15/2027 (a) | $ 30,000 | $ 28,078 | |||
5.88%, 4/15/2030 (a) | 6,000 | 5,718 | |||
6.13%, 4/15/2032 (a) | 33,000 | 31,367 | |||
Infrabuild Australia Pty. Ltd. 12.00%, 10/1/2024 (a) | 12,000 | 11,702 | |||
Mineral Resources Ltd.: | |||||
8.13%, 5/1/2027 (a) | 29,000 | 29,050 | |||
8.50%, 5/1/2030 (a) | 26,000 | 26,263 | |||
Northern Star Resources Ltd. 6.13%, 4/11/2033 (a) | 126,000 | 122,195 | |||
254,373 | |||||
BRAZIL — 0.4% | |||||
MercadoLibre, Inc. 2.00%, 8/15/2028 | 3,000 | 8,209 | |||
Petrobras Global Finance BV 6.50%, 7/3/2033 | 105,000 | 102,747 | |||
110,956 | |||||
CANADA — 2.8% | |||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP 8.75%, 7/15/2026 (a) | 8,000 | 7,699 | |||
Bombardier, Inc.: | |||||
6.00%, 2/15/2028 (a) | 31,000 | 29,301 | |||
7.50%, 3/15/2025 (a) | 12,000 | 12,031 | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC: | |||||
4.88%, 2/15/2030 (a) | 17,000 | 13,468 | |||
6.25%, 9/15/2027 (a) | 15,000 | 13,853 | |||
Empire Communities Corp. 7.00%, 12/15/2025 (a) | 31,000 | 29,447 | |||
Enerflex Ltd. 9.00%, 10/15/2027 (a) | 37,000 | 36,055 | |||
Garda World Security Corp. 9.50%, 11/1/2027 (a) | 17,000 | 16,426 | |||
Magna International, Inc. 5.98%, 3/21/2026 | 183,000 | 183,069 | |||
Methanex Corp.: | |||||
5.25%, 12/15/2029 | 40,000 | 36,528 | |||
5.65%, 12/1/2044 | 12,000 | 9,865 | |||
New Gold, Inc. 7.50%, 7/15/2027 (a) | 31,000 | 28,996 | |||
Nutrien Ltd.: | |||||
4.90%, 3/27/2028 | 73,000 | 71,760 | |||
5.80%, 3/27/2053 | 16,000 | 16,059 | |||
Open Text Corp. 3.88%, 12/1/2029 (a) | 73,000 | 61,034 | |||
Strathcona Resources Ltd. 6.88%, 8/1/2026 (a) | 30,000 | 26,379 |
Security Description | Principal Amount | Value | |||
Taseko Mines Ltd. 7.00%, 2/15/2026 (a) | $ 29,000 | $ 26,471 | |||
TransCanada PipeLines Ltd. 6.20%, 3/9/2026 | 219,000 | 219,169 | |||
837,610 | |||||
CHINA — 0.9% | |||||
Alibaba Group Holding Ltd. 3.15%, 2/9/2051 | 129,000 | 83,453 | |||
Li Auto, Inc. 0.25%, 5/1/2028 | 10,000 | 13,809 | |||
NXP BV/NXP Funding LLC/NXP USA, Inc. 5.00%, 1/15/2033 | 44,000 | 42,297 | |||
Prosus NV 4.19%, 1/19/2032 (a) | 165,000 | 138,943 | |||
278,502 | |||||
FINLAND — 0.0% (b) | |||||
Nokia Oyj 6.63%, 5/15/2039 | 11,000 | 10,559 | |||
FRANCE — 1.0% | |||||
BNP Paribas SA 5 year CMT + 3.75%, 4.63%, 1/12/2027 (a) (c) | 165,000 | 130,558 | |||
Societe Generale SA 5 year USD Swap + 4.98%, 7.88%, 12/18/2023 (a) (c) | 172,000 | 168,262 | |||
298,820 | |||||
GERMANY — 0.6% | |||||
Deutsche Bank AG: | |||||
SOFR + 1.72%, 3.04%, 5/28/2032 (c) | 90,000 | 71,053 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (c) | 125,000 | 110,980 | |||
182,033 | |||||
HONG KONG — 0.1% | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 30,000 | 23,583 | |||
IRELAND — 0.8% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.30%, 1/30/2032 | 90,000 | 73,573 | |||
Bank of Ireland Group PLC 1 year CMT + 2.65%, 6.25%, 9/16/2026 (a) (c) | 165,000 | 163,919 | |||
237,492 | |||||
ITALY — 3.2% | |||||
Intesa Sanpaolo SpA: | |||||
5.02%, 6/26/2024 (a) | 165,000 | 159,774 | |||
7.78%, 6/20/2054 (a) (c) | 200,000 | 198,982 | |||
1 year CMT + 2.75%, 4.95%, 6/1/2042 (a) (c) | 241,000 | 158,672 |
Security Description | Principal Amount | Value | |||
Telecom Italia Capital SA: | |||||
6.00%, 9/30/2034 | $ 10,000 | $ 8,059 | |||
7.20%, 7/18/2036 | 24,000 | 20,668 | |||
7.72%, 6/4/2038 | 10,000 | 8,842 | |||
UniCredit SpA 5 Year US ISDA + 4.91%, 7.30%, 4/2/2034 (a) (c) | 406,000 | 383,414 | |||
938,411 | |||||
JAPAN — 0.6% | |||||
NTT Finance Corp. 4.14%, 7/26/2024 (a) | 165,000 | 162,390 | |||
NETHERLANDS — 0.5% | |||||
ING Groep NV 5 year USD Swap + 4.45%, 6.50%, 4/16/2025 (c) | 172,000 | 159,638 | |||
SINGAPORE — 0.0% (b) | |||||
Sea Ltd. 2.38%, 12/1/2025 | 11,000 | 11,202 | |||
SPAIN — 0.6% | |||||
Banco Santander SA VRN, 5 Year US ISDA + 4.99%, 7.50%, 2/8/2024 (c) | 172,000 | 163,830 | |||
SWITZERLAND — 2.1% | |||||
Credit Suisse AG 4.75%, 8/9/2024 | 410,000 | 400,914 | |||
UBS Group AG SOFR + 3.70%, 6.44%, 8/11/2028 (a) (c) | 214,000 | 214,788 | |||
615,702 | |||||
UNITED KINGDOM — 4.2% | |||||
Barclays PLC 5 Year CMT + 3.41%, 4.38%, 3/15/2028 (c) | 284,000 | 191,490 | |||
British Telecommunications PLC 9.63%, 12/15/2030 | 95,000 | 116,573 | |||
HSBC Holdings PLC SOFR + 2.98%, 6.55%, 6/20/2034 (c) | 200,000 | 199,196 | |||
NatWest Group PLC 1 year CMT + 1.95%, 5.81%, 9/13/2029 (c) | 200,000 | 197,198 | |||
Standard Chartered PLC: | |||||
1 year CMT + 0.95%, 1.82%, 11/23/2025 (a) (c) | 165,000 | 154,285 | |||
1 year CMT + 2.05%, 6.17%, 1/9/2027 (a) (c) | 330,000 | 329,578 | |||
TechnipFMC PLC 6.50%, 2/1/2026 (a) | 36,000 | 35,530 | |||
1,223,850 | |||||
UNITED STATES — 44.2% | |||||
Academy Ltd. 6.00%, 11/15/2027 (a) | 52,000 | 50,073 | |||
Advisor Group Holdings, Inc. 10.75%, 8/1/2027 (a) | 18,000 | 18,186 |
Security Description | Principal Amount | Value | |||
Affinity Interactive 6.88%, 12/15/2027 (a) | $ 30,000 | $ 26,569 | |||
Allegiant Travel Co. 7.25%, 8/15/2027 (a) | 55,000 | 54,803 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 9.75%, 7/15/2027 (a) | 24,000 | 21,137 | |||
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 18,000 | 17,566 | |||
Alta Equipment Group, Inc. 5.63%, 4/15/2026 (a) | 31,000 | 28,921 | |||
Amazon.com, Inc. 3.10%, 5/12/2051 | 85,000 | 63,340 | |||
American Express Co. 5.85%, 11/5/2027 | 35,000 | 35,857 | |||
American International Group, Inc. Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 17,000 | 16,472 | |||
American Tower Corp. 2.30%, 9/15/2031 | 145,000 | 115,411 | |||
Ameriprise Financial, Inc. 4.50%, 5/13/2032 | 44,000 | 42,140 | |||
Amgen, Inc. 4.20%, 3/1/2033 | 90,000 | 83,987 | |||
ANGI Group LLC 3.88%, 8/15/2028 (a) | 34,000 | 27,806 | |||
Apple, Inc. 4.00%, 5/10/2028 | 120,000 | 117,965 | |||
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 18,000 | 15,521 | |||
Arko Corp. 5.13%, 11/15/2029 (a) | 25,000 | 20,376 | |||
Armor Holdco, Inc. 8.50%, 11/15/2029 (a) | 10,000 | 8,441 | |||
Arrow Bidco LLC 9.50%, 3/15/2024 (a) | 10,000 | 10,036 | |||
Artera Services LLC 9.03%, 12/4/2025 (a) | 19,000 | 16,633 | |||
Ashland, Inc. 3.38%, 9/1/2031 (a) | 5,000 | 3,995 | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (a) | 34,000 | 29,049 | |||
AT&T, Inc.: | |||||
3.55%, 9/15/2055 | 44,000 | 30,804 | |||
3.65%, 9/15/2059 | 56,000 | 38,955 | |||
3.80%, 12/1/2057 | 7,000 | 5,063 | |||
5.40%, 2/15/2034 | 0 | — | |||
Atkore, Inc. 4.25%, 6/1/2031 (a) | 34,000 | 29,571 | |||
Avnet, Inc. 5.50%, 6/1/2032 | 42,000 | 40,000 | |||
B&G Foods, Inc. 5.25%, 4/1/2025 | 19,000 | 18,127 |
Security Description | Principal Amount | Value | |||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | $ 153,000 | $ 131,044 | |||
Bank of America Corp.: | |||||
SOFR + 1.33%, 6.42%, 4/2/2026 (c) | 295,000 | 297,009 | |||
SOFR + 1.99%, 6.20%, 11/10/2028 (c) | 130,000 | 133,728 | |||
Bath & Body Works, Inc.: | |||||
6.75%, 7/1/2036 | 12,000 | 10,814 | |||
6.88%, 11/1/2035 | 30,000 | 27,457 | |||
Beauty Health Co. 1.25%, 10/1/2026 (a) | 80,000 | 62,920 | |||
Beazer Homes USA, Inc. 7.25%, 10/15/2029 | 30,000 | 29,234 | |||
BGC Partners, Inc. 4.38%, 12/15/2025 | 127,000 | 117,620 | |||
BioMarin Pharmaceutical, Inc. 1.25%, 5/15/2027 | 11,000 | 11,122 | |||
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | 124,000 | 111,399 | |||
BlackRock, Inc. 2.10%, 2/25/2032 | 63,000 | 50,836 | |||
Blackstone Private Credit Fund: | |||||
2.35%, 11/22/2024 | 200,000 | 187,014 | |||
2.63%, 12/15/2026 | 131,000 | 111,922 | |||
Blackstone Secured Lending Fund: | |||||
2.75%, 9/16/2026 | 130,000 | 113,551 | |||
2.85%, 9/30/2028 | 46,000 | 37,725 | |||
Block, Inc. 0.13%, 3/1/2025 | 20,000 | 18,848 | |||
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (a) | 31,000 | 27,374 | |||
Booking Holdings, Inc. 0.75%, 5/1/2025 | 10,000 | 15,007 | |||
Broadcom, Inc.: | |||||
3.50%, 2/15/2041 (a) | 204,000 | 152,708 | |||
4.15%, 4/15/2032 (a) | 116,000 | 105,039 | |||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | 25,000 | 23,805 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (a) | 7,000 | 6,093 | |||
5.00%, 3/1/2030 (a) | 39,000 | 36,451 | |||
C&S Group Enterprises LLC 5.00%, 12/15/2028 (a) | 21,000 | 16,329 | |||
Calumet Specialty Products Partners LP/Calumet Finance Corp. 8.13%, 1/15/2027 (a) | 21,000 | 20,171 | |||
Carnival Corp. 7.63%, 3/1/2026 (a) | 88,000 | 86,175 | |||
Carpenter Technology Corp. 7.63%, 3/15/2030 | 31,000 | 31,546 | |||
Carriage Purchaser, Inc. 7.88%, 10/15/2029 (a) | 10,000 | 7,433 |
Security Description | Principal Amount | Value | |||
Cars.com, Inc. 6.38%, 11/1/2028 (a) | $ 25,000 | $ 23,227 | |||
Caterpillar Financial Services Corp. 3.65%, 8/12/2025 | 85,000 | 82,511 | |||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.50%, 8/15/2030 (a) | 85,000 | 70,806 | |||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 31,000 | 28,909 | |||
CenterPoint Energy Houston Electric LLC 5.30%, 4/1/2053 | 16,000 | 16,345 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (a) | 24,000 | 20,817 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 31,000 | 30,741 | |||
Citigroup, Inc. Series Z, 5 year CMT + 3.21%, 7.38%, 5/15/2028 (c) | 58,000 | 57,626 | |||
Civitas Resources, Inc. 5.00%, 10/15/2026 (a) | 53,000 | 50,293 | |||
Clarios Global LP/Clarios U.S. Finance Co. 8.50%, 5/15/2027 (a) | 30,000 | 30,079 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a) | 37,000 | 35,140 | |||
CMG Media Corp. 8.88%, 12/15/2027 (a) | 22,000 | 15,594 | |||
Coinbase Global, Inc. 3.38%, 10/1/2028 (a) | 41,000 | 27,497 | |||
Comcast Corp. 2.99%, 11/1/2063 | 80,000 | 50,687 | |||
Commercial Metals Co. 4.38%, 3/15/2032 | 29,000 | 25,170 | |||
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029 (a) | 21,000 | 17,272 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 58,000 | 51,578 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 16,000 | 12,712 | |||
Corporate Office Properties LP 2.75%, 4/15/2031 | 17,000 | 12,928 | |||
Coty, Inc. 5.00%, 4/15/2026 (a) | 22,000 | 21,198 | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 4.75%, 1/15/2029 (a) | 13,000 | 11,981 | |||
CPI CG, Inc. 8.63%, 3/15/2026 (a) | 15,000 | 14,489 | |||
Crescent Energy Finance LLC 7.25%, 5/1/2026 (a) | 16,000 | 15,013 | |||
CTR Partnership LP/CareTrust Capital Corp. 3.88%, 6/30/2028 (a) | 30,000 | 26,010 |
Security Description | Principal Amount | Value | |||
CVS Health Corp.: | |||||
5.25%, 2/21/2033 | $ 89,000 | $ 88,660 | |||
5.30%, 6/1/2033 | 80,000 | 79,861 | |||
CyberArk Software Ltd. Zero Coupon, 11/15/2024 | 11,000 | 12,493 | |||
Datadog, Inc. 0.13%, 6/15/2025 | 11,000 | 13,653 | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (a) | 10,000 | 8,019 | |||
4.63%, 6/1/2030 (a) | 38,000 | 32,630 | |||
Deluxe Corp. 8.00%, 6/1/2029 (a) | 13,000 | 10,184 | |||
Diamond BC BV 4.63%, 10/1/2029 (a) | 13,000 | 13,270 | |||
Diamondback Energy, Inc. 6.25%, 3/15/2033 | 85,000 | 88,029 | |||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc. 5.88%, 8/15/2027 (a) | 68,000 | 61,572 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 10,000 | 4,665 | |||
5.88%, 11/15/2024 | 180,000 | 158,279 | |||
7.38%, 7/1/2028 | 12,000 | 6,428 | |||
Domtar Corp. 6.75%, 10/1/2028 (a) | 29,000 | 24,752 | |||
DraftKings Holdings, Inc. Zero Coupon, 3/15/2028 | 21,000 | 15,716 | |||
Eco Material Technologies, Inc. 7.88%, 1/31/2027 (a) | 24,000 | 22,977 | |||
Edgewell Personal Care Co. 4.13%, 4/1/2029 (a) | 12,000 | 10,472 | |||
Eli Lilly & Co. 4.70%, 2/27/2033 | 73,000 | 73,903 | |||
Embecta Corp. 5.00%, 2/15/2030 (a) | 10,000 | 8,309 | |||
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 20,000 | 18,261 | |||
Energizer Holdings, Inc. 4.75%, 6/15/2028 (a) | 36,000 | 32,125 | |||
EnerSys 4.38%, 12/15/2027 (a) | 56,000 | 51,830 | |||
EnLink Midstream LLC 6.50%, 9/1/2030 (a) | 10,000 | 9,989 | |||
Enstar Group Ltd. 3.10%, 9/1/2031 | 22,000 | 17,264 | |||
Enterprise Products Operating LLC 5.05%, 1/10/2026 | 65,000 | 64,945 | |||
Enviri Corp. 5.75%, 7/31/2027 (a) | 36,000 | 31,279 | |||
Enviva Partners LP/Enviva Partners Finance Corp. 6.50%, 1/15/2026 (a) | 24,000 | 18,905 | |||
Eversource Energy 4.75%, 5/15/2026 | 219,000 | 214,854 |
Security Description | Principal Amount | Value | |||
Exact Sciences Corp. 0.38%, 3/1/2028 | $ 16,000 | $ 16,385 | |||
Fair Isaac Corp. 5.25%, 5/15/2026 (a) | 37,000 | 36,199 | |||
Fidelity National Financial, Inc. 2.45%, 3/15/2031 | 34,000 | 26,676 | |||
Foot Locker, Inc. 4.00%, 10/1/2029 (a) | 55,000 | 41,558 | |||
Ford Motor Credit Co. LLC 5.58%, 3/18/2024 | 225,000 | 223,321 | |||
Forestar Group, Inc.: | |||||
3.85%, 5/15/2026 (a) | 16,000 | 14,709 | |||
5.00%, 3/1/2028 (a) | 35,000 | 32,205 | |||
Freedom Mortgage Corp.: | |||||
7.63%, 5/1/2026 (a) | 13,000 | 11,840 | |||
8.25%, 4/15/2025 (a) | 23,000 | 22,449 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | 12,000 | 11,236 | |||
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 26,000 | 21,950 | |||
Gap, Inc. 3.63%, 10/1/2029 (a) | 40,000 | 28,314 | |||
Gartner, Inc.: | |||||
3.63%, 6/15/2029 (a) | 36,000 | 31,747 | |||
3.75%, 10/1/2030 (a) | 43,000 | 37,483 | |||
General Motors Financial Co., Inc.: | |||||
2.90%, 2/26/2025 | 57,000 | 54,151 | |||
3.80%, 4/7/2025 | 215,000 | 207,387 | |||
5.00%, 4/9/2027 | 68,000 | 66,212 | |||
5.40%, 4/6/2026 | 125,000 | 123,581 | |||
Genworth Holdings, Inc. 6.50%, 6/15/2034 | 35,000 | 30,723 | |||
Global Partners LP/GLP Finance Corp. 6.88%, 1/15/2029 | 25,000 | 23,250 | |||
Global Payments, Inc. 5.40%, 8/15/2032 | 35,000 | 34,107 | |||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc. 7.00%, 8/15/2028 (a) | 14,000 | 9,043 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 35,000 | 20,219 | |||
Guitar Center, Inc. 8.50%, 1/15/2026 (a) | 25,000 | 22,756 | |||
GYP Holdings III Corp. 4.63%, 5/1/2029 (a) | 32,000 | 28,325 | |||
Haemonetics Corp. Zero Coupon, 3/1/2026 | 15,000 | 12,805 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 13,000 | 10,739 | |||
Hexcel Corp. 4.95%, 8/15/2025 | 15,000 | 14,678 | |||
HLF Financing SARL LLC/Herbalife International, Inc. 4.88%, 6/1/2029 (a) | 9,000 | 6,412 |
Security Description | Principal Amount | Value | |||
Holly Energy Partners LP/Holly Energy Finance Corp. 5.00%, 2/1/2028 (a) | $ 41,000 | $ 38,239 | |||
Home Point Capital, Inc. 5.00%, 2/1/2026 (a) | 18,000 | 16,141 | |||
Howmet Aerospace, Inc.: | |||||
5.95%, 2/1/2037 | 19,000 | 19,357 | |||
6.75%, 1/15/2028 | 19,000 | 19,704 | |||
HSBC USA, Inc. 5.63%, 3/17/2025 | 178,000 | 177,484 | |||
HubSpot, Inc. 0.38%, 6/1/2025 | 10,000 | 19,116 | |||
Ingles Markets, Inc. 4.00%, 6/15/2031 (a) | 24,000 | 20,190 | |||
International Business Machines Corp. 4.40%, 7/27/2032 | 80,000 | 76,734 | |||
Iron Mountain, Inc. 5.63%, 7/15/2032 (a) | 23,000 | 20,612 | |||
ITT Holdings LLC 6.50%, 8/1/2029 (a) | 17,000 | 14,288 | |||
Jabil, Inc. 5.45%, 2/1/2029 | 11,000 | 10,927 | |||
Jackson Financial, Inc. 3.13%, 11/23/2031 | 56,000 | 43,139 | |||
Jacobs Entertainment, Inc. 6.75%, 2/15/2029 (a) | 33,000 | 29,394 | |||
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (a) | 30,000 | 29,333 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 36,000 | 31,883 | |||
JPMorgan Chase & Co.: | |||||
SOFR + 1.46%, 3.16%, 4/22/2042 (c) | 80,000 | 60,375 | |||
SOFR + 2.08%, 4.91%, 7/25/2033 (c) | 110,000 | 107,546 | |||
SOFR + 2.58%, 5.72%, 9/14/2033 (c) | 60,000 | 60,879 | |||
KB Home 6.88%, 6/15/2027 | 46,000 | 46,889 | |||
Kinder Morgan, Inc. 4.80%, 2/1/2033 | 85,000 | 80,412 | |||
Lamb Weston Holdings, Inc. 4.88%, 5/15/2028 (a) | 41,000 | 39,276 | |||
Las Vegas Sands Corp. 3.90%, 8/8/2029 | 49,000 | 43,768 | |||
LD Holdings Group LLC 6.50%, 11/1/2025 (a) | 16,000 | 12,622 | |||
LGI Homes, Inc. 4.00%, 7/15/2029 (a) | 41,000 | 34,268 | |||
Liberty Mutual Group, Inc.: | |||||
4.30%, 2/1/2061 (a) | 100,000 | 62,632 | |||
4.57%, 2/1/2029 (a) | 31,000 | 29,304 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 32,000 | 23,173 | |||
Lowe's Cos., Inc. 2.80%, 9/15/2041 | 95,000 | 67,190 |
Security Description | Principal Amount | Value | |||
LSF11 A5 HoldCo LLC 6.63%, 10/15/2029 (a) | $ 10,000 | $ 8,445 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 24,000 | 22,355 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 56,000 | 52,202 | |||
Manitowoc Co., Inc. 9.00%, 4/1/2026 (a) | 26,000 | 25,950 | |||
Mars, Inc. COR, 4.75%, 4/20/2033 (a) | 125,000 | 123,904 | |||
Matthews International Corp. 5.25%, 12/1/2025 (a) | 28,000 | 27,009 | |||
McCormick & Co., Inc. 4.95%, 4/15/2033 | 73,000 | 71,687 | |||
Medtronic Global Holdings SCA 4.25%, 3/30/2028 | 47,000 | 45,908 | |||
Merck & Co., Inc.: | |||||
2.90%, 12/10/2061 | 85,000 | 56,476 | |||
5.00%, 5/17/2053 | 120,000 | 121,501 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (a) | 61,000 | 54,222 | |||
Micron Technology, Inc.: | |||||
3.37%, 11/1/2041 | 58,000 | 40,457 | |||
6.75%, 11/1/2029 | 80,000 | 83,157 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (a) | 31,000 | 27,778 | |||
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 19,000 | 13,948 | |||
MIWD Holdco II LLC/MIWD Finance Corp. 5.50%, 2/1/2030 (a) | 34,000 | 28,204 | |||
MongoDB, Inc. 0.25%, 1/15/2026 | 11,000 | 21,892 | |||
Moody's Corp. 2.00%, 8/19/2031 | 56,000 | 45,096 | |||
Morgan Stanley: | |||||
SOFR + 1.36%, 2.48%, 9/16/2036 (c) | 95,000 | 71,905 | |||
SOFR + 1.59%, 5.16%, 4/20/2029 (c) | 68,000 | 67,251 | |||
SOFR + 2.08%, 4.89%, 7/20/2033 (c) | 90,000 | 86,567 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 30,000 | 27,619 | |||
MPLX LP 4.95%, 9/1/2032 | 60,000 | 57,306 | |||
NCL Corp. Ltd.: | |||||
3.63%, 12/15/2024 (a) | 17,000 | 16,339 | |||
7.75%, 2/15/2029 (a) | 5,000 | 4,763 | |||
NCL Finance Ltd. 6.13%, 3/15/2028 (a) | 10,000 | 9,018 | |||
Nestle Holdings, Inc.: | |||||
2.50%, 9/14/2041 (a) | 95,000 | 67,503 | |||
4.13%, 10/1/2027 (a) | 125,000 | 122,165 |
Security Description | Principal Amount | Value | |||
NextEra Energy Capital Holdings, Inc.: | |||||
4.26%, 9/1/2024 | $ 50,000 | $ 49,166 | |||
6.05%, 3/1/2025 | 31,000 | 31,181 | |||
NMI Holdings, Inc. 7.38%, 6/1/2025 (a) | 51,000 | 51,764 | |||
NRG Energy, Inc. 5.25%, 6/15/2029 (a) | 22,000 | 19,647 | |||
NuStar Logistics LP 5.63%, 4/28/2027 | 49,000 | 47,102 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 25,000 | 23,743 | |||
OI European Group BV 4.75%, 2/15/2030 (a) | 18,000 | 16,296 | |||
Oncor Electric Delivery Co. LLC 4.30%, 5/15/2028 (a) | 94,000 | 91,548 | |||
Oscar AcquisitionCo LLC/Oscar Finance, Inc. 9.50%, 4/15/2030 (a) | 17,000 | 15,612 | |||
OWL Rock Core Income Corp. 5.50%, 3/21/2025 | 100,000 | 96,376 | |||
PayPal Holdings, Inc. 5.05%, 6/1/2052 | 43,000 | 42,106 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 38,000 | 35,621 | |||
PennyMac Financial Services, Inc. 5.38%, 10/15/2025 (a) | 33,000 | 31,287 | |||
PepsiCo, Inc. 4.20%, 7/18/2052 | 60,000 | 56,207 | |||
PG&E Corp.: | |||||
5.00%, 7/1/2028 | 25,000 | 22,949 | |||
5.25%, 7/1/2030 | 29,000 | 26,005 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (a) | 26,000 | 23,232 | |||
Pike Corp. 5.50%, 9/1/2028 (a) | 15,000 | 13,493 | |||
Pitney Bowes, Inc.: | |||||
6.88%, 3/15/2027 (a) | 31,000 | 22,948 | |||
7.25%, 3/15/2029 (a) | 5,000 | 3,304 | |||
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 19,000 | 18,665 | |||
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (a) | 12,000 | 11,362 | |||
Public Storage 2.25%, 11/9/2031 | 44,000 | 36,080 | |||
QUALCOMM, Inc. 5.40%, 5/20/2033 | 130,000 | 136,830 | |||
Republic Services, Inc. 5.00%, 4/1/2034 | 21,000 | 20,933 | |||
Rockies Express Pipeline LLC: | |||||
4.95%, 7/15/2029 (a) | 30,000 | 27,568 | |||
6.88%, 4/15/2040 (a) | 13,000 | 11,744 | |||
Royal Caribbean Cruises Ltd.: | |||||
5.38%, 7/15/2027 (a) | 5,000 | 4,688 | |||
5.50%, 8/31/2026 (a) | 5,000 | 4,744 |
Security Description | Principal Amount | Value | |||
7.50%, 10/15/2027 | $ 13,000 | $ 13,056 | |||
11.63%, 8/15/2027 (a) | 103,000 | 112,060 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (c) | 110,000 | 95,127 | |||
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc. 6.63%, 3/1/2030 (a) | 31,000 | 27,284 | |||
Seagate HDD Cayman 8.50%, 7/15/2031 (a) | 67,000 | 70,309 | |||
Sempra Energy 3.70%, 4/1/2029 | 22,000 | 20,130 | |||
Service Properties Trust: | |||||
4.75%, 10/1/2026 | 26,000 | 22,570 | |||
5.25%, 2/15/2026 | 17,000 | 15,415 | |||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. 4.63%, 11/1/2026 (a) | 59,000 | 55,660 | |||
Shift4 Payments, Inc. Zero Coupon, 12/15/2025 | 11,000 | 11,958 | |||
Smyrna Ready Mix Concrete LLC 6.00%, 11/1/2028 (a) | 29,000 | 27,433 | |||
Southern Co. 5.15%, 10/6/2025 | 175,000 | 174,258 | |||
Specialty Building Products Holdings LLC/SBP Finance Corp. 6.38%, 9/30/2026 (a) | 31,000 | 29,328 | |||
Spirit AeroSystems, Inc. 4.60%, 6/15/2028 | 31,000 | 25,986 | |||
Splunk, Inc. 1.13%, 6/15/2027 | 10,000 | 8,659 | |||
Standard Industries, Inc. 4.38%, 7/15/2030 (a) | 45,000 | 38,997 | |||
Starwood Property Trust, Inc. 4.38%, 1/15/2027 (a) | 145,000 | 124,888 | |||
Stem, Inc. 0.50%, 12/1/2028 (a) | 201,000 | 116,972 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 30,000 | 25,309 | |||
Sunoco LP/Sunoco Finance Corp. 4.50%, 5/15/2029 | 38,000 | 33,729 | |||
Take-Two Interactive Software, Inc. 4.95%, 3/28/2028 | 151,000 | 149,315 | |||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 5.50%, 1/15/2028 (a) | 44,000 | 40,245 | |||
Taylor Morrison Communities, Inc. 5.75%, 1/15/2028 (a) | 60,000 | 58,359 | |||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (a) | 19,000 | 15,518 | |||
4.00%, 4/15/2029 (a) | 48,000 | 41,567 |
Security Description | Principal Amount | Value | |||
Texas Instruments, Inc. 4.90%, 3/14/2033 | $ 94,000 | $ 96,236 | |||
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | 10,000 | 8,491 | |||
T-Mobile USA, Inc. 4.80%, 7/15/2028 | 146,000 | 143,306 | |||
TMS International Corp. 6.25%, 4/15/2029 (a) | 12,000 | 10,080 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 31,000 | 29,746 | |||
TreeHouse Foods, Inc. 4.00%, 9/1/2028 | 12,000 | 10,338 | |||
Tri Pointe Homes, Inc. 5.25%, 6/1/2027 | 57,000 | 54,226 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (a) | 60,000 | 52,281 | |||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.38%, 9/1/2025 (a) | 13,000 | 10,797 | |||
Truist Financial Corp. SOFR + 2.05%, 6.05%, 6/8/2027 (c) | 110,000 | 110,058 | |||
U.S. Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | 13,000 | 11,130 | |||
Uber Technologies, Inc.: | |||||
Zero Coupon, 12/15/2025 | 7,000 | 6,417 | |||
7.50%, 5/15/2025 (a) | 49,000 | 49,642 | |||
Unisys Corp. 6.88%, 11/1/2027 (a) | 32,000 | 23,031 | |||
United Airlines Pass-Through Trust: | |||||
Series 20-1, Class A, 5.88%, 4/15/2029 | 28,341 | 28,136 | |||
Series 2020-1, Class B, 4.88%, 7/15/2027 | 99,067 | 95,005 | |||
United Parcel Service, Inc. 4.88%, 3/3/2033 | 104,000 | 105,187 | |||
United Rentals North America, Inc. 3.75%, 1/15/2032 | 57,000 | 48,332 | |||
United Wholesale Mortgage LLC 5.75%, 6/15/2027 (a) | 58,000 | 52,952 | |||
UnitedHealth Group, Inc. 5.88%, 2/15/2053 | 85,000 | 94,292 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | 36,000 | 32,072 | |||
Urban One, Inc. 7.38%, 2/1/2028 (a) | 31,000 | 27,137 | |||
USA Compression Partners LP/USA Compression Finance Corp. 6.88%, 4/1/2026 | 30,000 | 29,326 | |||
USI, Inc. 6.88%, 5/1/2025 (a) | 11,000 | 10,922 | |||
Verizon Communications, Inc.: | |||||
2.10%, 3/22/2028 | 136,000 | 119,491 |
Security Description | Principal Amount | Value | |||
2.85%, 9/3/2041 | $ 24,000 | $ 17,076 | |||
3.55%, 3/22/2051 | 61,000 | 45,554 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 17,000 | 17,020 | |||
Viasat, Inc. 6.50%, 7/15/2028 (a) | 35,000 | 29,619 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 21,000 | 17,229 | |||
Vistra Operations Co. LLC 4.38%, 5/1/2029 (a) | 26,000 | 22,758 | |||
Wabash National Corp. 4.50%, 10/15/2028 (a) | 33,000 | 28,620 | |||
Warnermedia Holdings, Inc. 6.41%, 3/15/2026 | 58,000 | 58,042 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 10,000 | 9,289 | |||
Watco Cos. LLC/Watco Finance Corp. 6.50%, 6/15/2027 (a) | 17,000 | 16,202 | |||
Weatherford International Ltd. 8.63%, 4/30/2030 (a) | 35,000 | 35,560 | |||
Weekley Homes LLC/Weekley Finance Corp. 4.88%, 9/15/2028 (a) | 57,000 | 51,549 | |||
Wells Fargo & Co. SOFR + 2.02%, 5.39%, 4/24/2034 (c) | 73,000 | 72,553 | |||
Western Midstream Operating LP 6.15%, 4/1/2033 | 11,000 | 11,074 | |||
Windstream Escrow LLC/Windstream Escrow Finance Corp. REGS, 7.75%, 8/15/2028 (a) | 33,000 | 27,341 | |||
Winnebago Industries, Inc. 6.25%, 7/15/2028 (a) | 45,000 | 44,113 | |||
Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) | 34,000 | 27,073 | |||
World Acceptance Corp. 7.00%, 11/1/2026 (a) | 16,000 | 13,966 | |||
WW International, Inc. 4.50%, 4/15/2029 (a) | 31,000 | 18,598 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (a) | 49,000 | 41,680 | |||
XPO CNW, Inc. 6.70%, 5/1/2034 | 33,000 | 32,937 | |||
Ziff Davis, Inc. 1.75%, 11/1/2026 (a) | 20,000 | 18,693 | |||
13,026,597 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $19,346,375) | 18,535,548 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 11.3% | |||||
AIG CLO LLC Series 2018-1A, Class BR, 3 Month USD LIBOR + 1.70%, 6.95%, 4/20/2032 (a) (c) | $ 320,000 | $ 314,016 | |||
AMMC CLO 15 Ltd. Series 2014-15A, Class BR3, 3 Month USD LIBOR + 1.65%, 6.91%, 1/15/2032 (a) (c) | 250,000 | 244,075 | |||
Ballyrock CLO Ltd. Series 2018-1A, Class A1, 3 Month USD LIBOR + 1.00%, 6.25%, 4/20/2031 (a) (c) | 250,000 | 247,725 | |||
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 Month SOFR + 2.36%, 7.35%, 1/15/2031 (a) (c) | 255,000 | 251,660 | |||
Elmwood CLO V Ltd. Series 2020-2A, Class AR, 3 Month USD LIBOR + 1.15%, 6.40%, 10/20/2034 (a) (c) | 250,000 | 245,925 | |||
Generate CLO 2 Ltd. Series 2A, Class BR, 3 Month USD LIBOR + 1.45%, 6.72%, 1/22/2031 (a) (c) | 250,000 | 243,650 | |||
GREYWOLF CLO VI Ltd. Series 2018-1A, Class A1, 3 Month SOFR + 1.29%, 6.36%, 4/26/2031 (a) (c) | 250,000 | 246,925 | |||
Hayfin U.S. XII Ltd. Series 2018-8A, Class B, ABS, 3 Month USD LIBOR + 1.48%, 6.73%, 4/20/2031 (a) (c) | 250,000 | 243,325 | |||
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS, 0.87%, 7/14/2028 (a) | 600,000 | 566,537 | |||
OZLM Funding IV Ltd. Series 2013-4A, Class A2R, 3 Month USD LIBOR + 1.70%, 6.97%, 10/22/2030 (a) (c) | 250,000 | 245,975 | |||
Post CLO Ltd. Series 2023-1A, Class B1, 3 Month SOFR + 2.50%, 7.38%, 4/20/2036 (a) (c) | 250,000 | 249,349 | |||
THL Credit Wind River CLO Ltd. Series 2017-4A, Class B, 3 Month USD LIBOR + 1.45%, 6.83%, 11/20/2030 (a) (c) | 250,000 | 245,550 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $3,367,784) | 3,344,712 |
Security Description | Shares | Value | |||
CONVERTIBLE BONDS — 0.5% | |||||
UNITED STATES — 0.5% | |||||
Array Technologies, Inc. 1.00%, 12/1/2028 | 13,000 | $ 14,933 | |||
Axon Enterprise, Inc. 0.50%, 12/15/2027 (a) | 11,000 | 11,745 | |||
Carnival Corp. 5.75%, 12/1/2027 (a) | 13,000 | 21,676 | |||
Cloudflare, Inc. 8/15/2026 | 36,000 | 30,542 | |||
Lantheus Holdings, Inc. 2.63%, 12/15/2027 (a) | 10,000 | 12,980 | |||
Liberty Media Corp.-Liberty Formula One 2.25%, 8/15/2027 (a) | 20,000 | 21,578 | |||
Liberty TripAdvisor Holdings, Inc. 0.50%, 6/30/2051 (a) | 5,000 | 3,913 | |||
Post Holdings, Inc. 2.50%, 8/15/2027 (a) | 12,000 | 12,144 | |||
Royal Caribbean Cruises Ltd. 6.00%, 8/15/2025 (a) | 10,000 | 22,025 | |||
Sarepta Therapeutics, Inc. 1.25%, 9/15/2027 (a) | 11,000 | 11,906 | |||
163,442 | |||||
TOTAL CONVERTIBLE BONDS (Cost $149,072) | 163,442 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 17.2% | |||
ADVERTISING SERVICES — 0.6% | |||
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 8.84%, 12/17/2026 (c) | $ 146,985 | 132,011 | |
Summer Holdco B SARL, Senior Secured 2021 USD Term Loan B2, 3 Month USD LIBOR + 4.50%, 10.00%, 12/4/2026 (c) | 34,884 | 32,878 | |
164,889 | |||
AIR FREIGHT & LOGISTICS — 0.3% | |||
Rand Parent LLC, Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 4.25%, 9.49%, 3/17/2030 (c) | 95,760 | 90,493 | |
AUTOMOBILE COMPONENTS — 0.3% | |||
USI, Inc., Senior Secured 2022 Incremental Term Loan, 3 Month USD SOFR + 3.75%, 8.99%, 11/22/2029 (c) | 99,250 | 99,241 |
Security Description | Principal Amount | Value | |||
BEVERAGES — 0.1% | |||||
City Brewing Co. LLC, Senior Secured Closing Date Term Loan, 3 Month USD LIBOR + 3.50%, 8.76%, 4/5/2028 (c) | $ 55,376 | $ 36,548 | |||
BROADCAST SERV/PROGRAM — 1.1% | |||||
EW Scripps Co., Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 2.56%, 7.78%, 5/1/2026 (c) | 323,883 | 318,620 | |||
BUILDING PRODUCTS — 0.3% | |||||
ACProducts, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.78%, 5/17/2028 (c) | 58 | 49 | |||
Emrld Borrower LP, Term Loan B, 3 Month USD SOFR + 3.00%, 8.26%, 5/31/2030 (c) | 45,917 | 45,975 | |||
Oscar AcquisitionCo LLC, Senior Secured Term Loan B, 3 Month USD SOFR + 4.50%, 9.84%, 4/29/2029 (c) | 30,768 | 30,113 | |||
76,137 | |||||
CHEMICALS — 1.0% | |||||
Aruba Investments, Inc., Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 4.00%, 9.19%, 11/24/2027 (c) | 129,342 | 125,354 | |||
LSF11 A5 Holdco LLC, Senior Secured Term Loan, 1 Month USD SOFR + 3.50%, 8.72%, 10/15/2028 (c) | 110,094 | 108,701 | |||
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 3.75%, 9.25%, 11/9/2028 (c) | 54,778 | 52,758 | |||
286,813 | |||||
COMMERCIAL SERVICES — 0.4% | |||||
Albion Financing 3 SARL, Senior Secured USD Term Loan, 3 Month USD LIBOR + 5.25%, 10.52%, 8/17/2026 (c) | 104,364 | 103,973 | |||
CoreLogic, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 8.75%, 6/2/2028 (c) | 23,551 | 21,319 | |||
125,292 |
Security Description | Principal Amount | Value | |||
COMMERCIAL SERVICES & SUPPLIES — 0.4% | |||||
McGraw-Hill Global Education Holdings LLC, Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 9.95%, 7/28/2028 (c) | $ 90,408 | $ 84,984 | |||
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 7.94%, 9/23/2026 (c) | 47,092 | 47,137 | |||
132,121 | |||||
COMMUNICATIONS EQUIPMENT — 0.6% | |||||
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 4/6/2026 (c) | 183,108 | 175,806 | |||
CONTAINERS & PACKAGING — 0.4% | |||||
Graham Packaging Co., Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.00%, 8.22%, 8/4/2027 (c) | 116,179 | 115,607 | |||
ELECTRICAL EQUIPMENT — 0.3% | |||||
Gates Global LLC, Senior Secured 2021 Term Loan B3, 1 Month USD SOFR + 2.50%, 7.70%, 3/31/2027 (c) | 76,337 | 76,051 | |||
ENERGY EQUIPMENT & SERVICES — 0.5% | |||||
Carnival Corp., Senior Secured USD Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 6/30/2025 (c) | 141,547 | 141,480 | |||
ENERGY-ALTERNATE SOURCES — 0.4% | |||||
Array Technologies, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 8.68%, 10/14/2027 (c) | 109,925 | 109,170 | |||
FINANCIAL SERVICES — 0.5% | |||||
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 10.22%, 8/2/2027 (c) | 119,078 | 116,680 | |||
Paysafe Holdings Corp., Senior Secured USD Term Loan B1, 1 Month USD SOFR + 2.75%, 7.97%, 6/28/2028 (c) | 43,345 | 42,243 | |||
158,923 |
Security Description | Principal Amount | Value | |||
HEALTH CARE PROVIDERS & SERVICES — 1.5% | |||||
Agiliti Health, Inc., 2023 Term Loan, 1 Month USD SOFR + 3.00%, 8.16%, 5/1/2030 (c) | $ 58,523 | $ 58,340 | |||
Avantor Funding, Inc., Senior Secured 2021 Term Loan B5, 1 Month USD SOFR + 2.25%, 7.45%, 11/8/2027 (c) | 24,712 | 24,733 | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 8.44%, 9/29/2028 (c) | 294,750 | 293,681 | |||
Medline Borrower LP, Senior Secured USD Term Loan B, 1 Month USD SOFR + 3.25%, 8.35%, 10/23/2028 (c) | 55,388 | 54,817 | |||
431,571 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.7% | |||||
19th Holdings Golf LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.35%, 8.52%, 2/7/2029 (c) | 155,216 | 151,627 | |||
Caesars Entertainment Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 2/6/2030 (c) | 44,888 | 44,946 | |||
196,573 | |||||
INSURANCE — 0.7% | |||||
Sedgwick Claims Management Services, Inc., Senior Secured 2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.85%, 2/17/2028 (c) | 219,490 | 218,514 | |||
INTERNET & TELECOM — 0.5% | |||||
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 12/6/2027 (c) | 102,889 | 99,481 | |||
Uber Technologies, Inc., Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 3/3/2030 (c) | 40,795 | 40,844 | |||
140,325 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.5% | |||||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 3.50%, 8.58%, 8/21/2026 (c) | 153,547 | 146,938 |
Security Description | Principal Amount | Value | |||
MEDIA — 0.3% | |||||
MH Sub I LLC, 2023 Term Loan, 1 Month USD SOFR + 4.25%, 9.35%, 5/3/2028 (c) | $ 109,000 | $ 104,722 | |||
PASSENGER AIRLINES — 1.2% | |||||
American Airlines, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 10.00%, 4/20/2028 (c) | 110,000 | 112,495 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 8.80%, 10/20/2027 (c) | 97,200 | 101,088 | |||
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 4/21/2028 (c) | 131,540 | 131,687 | |||
345,270 | |||||
PHARMACEUTICALS — 0.7% | |||||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 8.86%, 5/5/2028 (c) | 92,739 | 92,714 | |||
Organon & Co., Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 8.25%, 6/2/2028 (c) | 112,394 | 112,517 | |||
205,231 | |||||
PROFESSIONAL SERVICES — 0.7% | |||||
Dun & Bradstreet Corp., Senior Secured Term Loan, 1 Month USD SOFR + 3.25%, 8.43%, 2/6/2026 (c) | 125,679 | 125,946 | |||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 8.44%, 8/31/2028 (c) | 74,273 | 72,819 | |||
198,765 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4% | |||||
Altar Bidco, Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.10%, 8.26%, 2/1/2029 (c) | 131,337 | 129,614 | |||
SOFTWARE — 1.5% | |||||
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 10/30/2026 (c) | 119,430 | 119,399 | |||
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 9.88%, 7/14/2026 (c) | 60,845 | 59,754 |
Security Description | Principal Amount | Value | |||
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 8.19%, 4/24/2028 (c) | $ 58,703 | $ 57,507 | |||
Sabre Global, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD SOFR + 3.50%, 8.72%, 12/17/2027 (c) | 45,334 | 35,746 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 3.50%, 8.72%, 12/17/2027 (c) | 70,658 | 55,714 | |||
Ultimate Software Group, Inc., Senior Secured 2021 Term Loan, 3 Month USD SOFR + 3.25%, 8.27%, 5/4/2026 (c) | 130,338 | 128,111 | |||
456,231 | |||||
SPECIALTY RETAIL — 1.0% | |||||
Michaels Cos., Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.75%, 4/15/2028 (c) | 73,440 | 65,252 | |||
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.75%, 8.83%, 2/11/2028 (c) | 220,876 | 220,830 | |||
286,082 | |||||
TRANSPORT-SERVICES — 0.3% | |||||
Endure Digital, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.79%, 2/10/2028 (c) | 99,339 | 92,757 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $5,174,047) | 5,059,784 |
Shares | |||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 3.3% | |||
UNITED STATES — 3.3% | |||
SPDR Blackstone Senior Loan ETF (d) | 23,140 | 968,872 | |
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $960,771) | 968,872 |
Security Description | Principal Amount | Value | |||
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 | $ 81,992 |
Shares | |||
SHORT-TERM INVESTMENT — 2.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (e) (f) (Cost $585,448) | 585,448 | 585,448 | |
TOTAL INVESTMENTS — 97.5% (Cost $29,682,497) | 28,739,798 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.5% | 737,622 | ||
NET ASSETS — 100.0% | $ 29,477,420 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 39.2% of net assets as of June 30, 2023, 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 June 30, 2023. 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 June 30, 2023 are shown in the Affiliate Table below. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2023. |
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 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Note Futures (long) | 10 | 09/29/2023 | $2,056,835 | $2,033,437 | $(23,398) | |||||
Ultra U.S. Treasury Bond Futures (long) | 17 | 09/20/2023 | 2,277,226 | 2,315,655 | 38,429 | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 3 | 09/20/2023 | 358,874 | 355,313 | (3,561) | |||||
U.S. Treasury Bond Futures (long) | 2 | 09/20/2023 | 256,277 | 253,813 | (2,464) | |||||
$ 9,006 |
Counterparty | Notional Amount (000s omitted) | Fund Pays/ Receives Fixed Rate/ Payment Frequency | Floating Rate | Contract Annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | ||||||||
LCH Limited | $440 | Pays/Annually | 1 month SOFR | 2.94% | 01/18/53 | $ 21,097 | $— | $ 21,097 | ||||||||
LCH Limited | 1,870 | Receives/Annually | 1 month SOFR | 3.36% | 01/18/28 | (48,289) | — | (48,289) | ||||||||
$(27,192) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $18,535,548 | $— | $18,535,548 | ||||
Asset-Backed Securities | — | 3,344,712 | — | 3,344,712 | ||||
Commercial Mortgage Backed Securities | — | 81,992 | — | 81,992 | ||||
Convertible Bonds | — | 163,442 | — | 163,442 | ||||
Mutual Funds and Exchange Traded Products | 968,872 | — | — | 968,872 | ||||
Senior Floating Rate Loans | — | 5,059,784 | — | 5,059,784 | ||||
Short-Term Investment | 585,448 | — | — | 585,448 | ||||
TOTAL INVESTMENTS | $1,554,320 | $27,185,478 | $— | $28,739,798 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Centrally Cleared IRS Swap Agreements - Unrealized Appreciation | $ — | $ $21,097 | $— | $ 21,097 | ||||
Centrally Cleared IRS Swap Agreements - Unrealized Depreciation | — | (48,289) | — | (48,289) | ||||
Futures Contracts - Unrealized Depreciation | (29,423) | — | — | (29,423) | ||||
Futures Contracts - Unrealized Appreciation | 38,429 | — | — | 38,429 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 9,006 | $ (27,192) | $— | $ (18,186) |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $ — | $ 3,322,454 | $ 2,341,912 | $(19,771) | $8,101 | 23,140 | $ 968,872 | $ 23,302 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 2,020,486 | 2,021,237 | 751 | — | — | — | 17,062 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,958,487 | 1,958,487 | 37,243,622 | 38,616,661 | — | — | 585,448 | 585,448 | 63,691 | ||||||||
Total | $1,958,487 | $42,586,562 | $42,979,810 | $(19,020) | $8,101 | $1,554,320 | $104,055 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 98.5% | ||||||
ALABAMA — 2.3% | ||||||
Black Belt Energy Gas District Revenue, AL Series B, 4.00%, 10/1/2052 (a) | $ 500,000 | $ 495,494 | ||||
Southeast Energy Authority A Cooperative District Revenue, AL Series B, 4.00%, 12/1/2051 (a) | 500,000 | 486,018 | ||||
981,512 | ||||||
ARIZONA — 1.2% | ||||||
Maricopa County Industrial Development Authority Revenue, AZ AMT, 4.00%, 10/15/2047 (b) | 100,000 | 85,647 | ||||
Maricopa County Pollution Control Corp. Revenue, AZ Series B, 0.88%, 6/1/2043 (a) | 500,000 | 441,924 | ||||
527,571 | ||||||
ARKANSAS — 1.2% | ||||||
Arkansas Development Finance Authority Revenue, AR AMT, 5.45%, 9/1/2052 | 500,000 | 499,961 | ||||
CALIFORNIA — 7.4% | ||||||
Anaheim Public Financing Authority Revenue, CA Series C, AGM, Zero Coupon, 9/1/2036 (c) | 320,000 | 203,031 | ||||
California Housing Finance Agency Revenue, CA Series 2021-1, Class A, 3.50%, 11/20/2035 | 174,010 | 162,807 | ||||
Los Angeles Department of Water & Power Revenue, CA Series E, 5.00%, 7/1/2039 | 380,000 | 384,846 | ||||
Municipal Improvement Corp. of Los Angeles Revenue, CA Series A, 1.45%, 11/1/2027 | 540,000 | 466,152 | ||||
Norman Y Mineta San Jose International Airport SJC Revenue, CA Series A, AMT, 5.00%, 3/1/2037 | 210,000 | 217,340 | ||||
Orange County Community Facilities District, Special Tax Revenue, CA Series A, 5.00%, 8/15/2037 | 250,000 | 261,469 | ||||
Palomar Health, General Obligation, CA Series A, AGC, Zero Coupon, 8/1/2027 (c) | 100,000 | 87,035 | ||||
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, CA Series H, AMT, 5.00%, 5/1/2028 | 175,000 | 186,672 |
Security Description | Principal Amount | Value | |||
San Francisco City & County Public Utilities Commission Wastewater Revenue, CA Series A, 5.25%, 10/1/2042 | $ 375,000 | $ 435,809 | |||
State of California, General Obligation, CA 5.00%, 9/1/2031 | 245,000 | 260,819 | |||
University of California Revenue, CA Series BI, 1.37%, 5/15/2028 | 595,000 | 508,725 | |||
3,174,705 | |||||
COLORADO — 4.5% | |||||
City & County of Denver Airport System Revenue, CO Series B2, AMT, 5.00%, 11/15/2031 (a) | 400,000 | 410,556 | |||
Denver Convention Center Hotel Authority Revenue, CO 5.00%, 12/1/2030 | 400,000 | 412,030 | |||
Park Creek Metropolitan District Revenue, CO Series A, Class A, 5.00%, 12/1/2024 | 575,000 | 586,806 | |||
State of Colorado, Certificate Participation, CO Series A, Class A, 4.00%, 12/15/2036 | 500,000 | 515,022 | |||
1,924,414 | |||||
CONNECTICUT — 2.2% | |||||
Connecticut State Health & Educational Facilities Authority Revenue, CT Series A, 5.00%, 7/1/2027 | 120,000 | 121,626 | |||
South Central Connecticut Regional Water Authority Revenue, CT Series B, 5.00%, 8/1/2037 | 125,000 | 130,561 | |||
State of Connecticut, General Obligation, CT Series F, 5.00%, 11/15/2041 | 610,000 | 675,075 | |||
927,262 | |||||
FLORIDA — 6.9% | |||||
County of Miami-Dade Aviation Revenue, FL Series A, AMT, 5.00%, 10/1/2029 | 210,000 | 211,974 | |||
County of Miami-Dade Seaport Department Revenue, FL Series A, AMT, 5.00%, 10/1/2038 | 375,000 | 399,343 | |||
County of Miami-Dade Water & Sewer System Revenue, FL 3.00%, 10/1/2036 | 520,000 | 477,975 | |||
Florida Development Finance Corp. Revenue, FL: | |||||
AMT, 6.13%, 7/1/2032 (b) | 300,000 | 301,879 | |||
Series A, Class A, AMT, VRN, 7.25%, 7/1/2057 (a) (b) | 540,000 | 549,229 |
Security Description | Principal Amount | Value | |||
State of Florida Department of Transportation Revenue, FL Series A, 5.00%, 7/1/2025 | $ 1,000,000 | $ 1,037,332 | |||
2,977,732 | |||||
GUAM — 0.7% | |||||
Territory of Guam Revenue, GU Series A, 5.00%, 11/1/2035 | 300,000 | 312,551 | |||
HAWAII — 2.2% | |||||
State of Hawaii, General Obligation, HI Series EY, 5.00%, 10/1/2027 | 905,000 | 944,151 | |||
IDAHO — 2.2% | |||||
Idaho Housing & Finance Association Revenue, ID Series A, 4.00%, 8/15/2048 | 1,000,000 | 966,527 | |||
ILLINOIS — 9.1% | |||||
Chicago Board of Education, General Obligation, IL: | |||||
Series A, 5.00%, 12/1/2035 | 300,000 | 311,638 | |||
Series A, 5.00%, 12/1/2036 | 300,000 | 309,199 | |||
Chicago O'Hare International Airport Revenue, IL Series B, 5.00%, 1/1/2029 | 160,000 | 163,589 | |||
Chicago Transit Authority Capital Grant Receipts Revenue, IL 5.00%, 6/1/2024 | 150,000 | 151,733 | |||
Illinois Finance Authority Revenue, IL 5.00%, 7/1/2039 | 230,000 | 249,707 | |||
Illinois State Toll Highway Authority Revenue, IL Series B, 5.00%, 1/1/2036 | 900,000 | 906,422 | |||
Northern Illinois Municipal Power Agency Revenue, IL Series A, 5.00%, 12/1/2029 | 360,000 | 380,416 | |||
State of Illinois Sales Tax Revenue, IL Series C, 5.00%, 6/15/2026 | 565,000 | 588,080 | |||
State of Illinois, General Obligation, IL: | |||||
Series A, 4.00%, 3/1/2038 | 730,000 | 715,461 | |||
Series A, 5.00%, 12/1/2031 | 150,000 | 159,681 | |||
3,935,926 | |||||
IOWA — 0.5% | |||||
Iowa Finance Authority Revenue, IA 4.00%, 12/1/2050 (a) | 200,000 | 196,759 | |||
KENTUCKY — 0.2% | |||||
Kentucky Economic Development Finance Authority Revenue, KY Series A, 4.25%, 7/1/2035 | 100,000 | 97,607 |
Security Description | Principal Amount | Value | |||
LOUISIANA — 2.6% | |||||
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, LA Series B, 5.00%, 8/15/2025 | $ 250,000 | $ 258,571 | |||
Louisiana Stadium & Exposition District Revenue, LA Series A, 5.00%, 7/1/2039 | 800,000 | 883,638 | |||
1,142,209 | |||||
MARYLAND — 1.8% | |||||
State of Maryland Department of Transportation Revenue, MD: | |||||
Series B, Class B, AMT, 5.00%, 8/1/2027 | 250,000 | 263,476 | |||
Series B, Class B, AMT, 5.00%, 8/1/2030 | 200,000 | 218,828 | |||
Series B, Class B, AMT, 5.00%, 8/1/2031 | 250,000 | 276,474 | |||
758,778 | |||||
MASSACHUSETTS — 3.6% | |||||
Massachusetts Clean Water Trust Revenue, MA: | |||||
Series 18, 5.00%, 2/1/2029 | 690,000 | 698,006 | |||
Series 24B, 5.00%, 2/1/2037 | 750,000 | 864,374 | |||
1,562,380 | |||||
MICHIGAN — 6.2% | |||||
Michigan Finance Authority Revenue, MI: | |||||
5.00%, 11/1/2034 | 110,000 | 118,579 | |||
5.50%, 12/1/2026 | 700,000 | 725,210 | |||
Michigan State Housing Development Authority Revenue, MI Series A, 4.70%, 12/1/2043 | 750,000 | 757,023 | |||
Southfield Public Schools, General Obligation, MI 5.00%, 5/1/2046 | 1,000,000 | 1,084,824 | |||
2,685,636 | |||||
MINNESOTA — 0.3% | |||||
State of Minnesota, General Obligation, MN Series A, Class A, 5.00%, 8/1/2035 | 100,000 | 109,985 | |||
MISSOURI — 3.9% | |||||
City of Kansas City Sanitary Sewer System Revenue, MO Series A, Class A, 4.00%, 1/1/2036 | 600,000 | 604,804 | |||
City of St. Louis Airport Revenue, MO Series C, 5.00%, 7/1/2029 | 100,000 | 110,532 |
Security Description | Principal Amount | Value | |||
Park Hill School District of Platte County, General Obligation, MO 3.00%, 3/1/2032 | $ 1,000,000 | $ 950,740 | |||
1,666,076 | |||||
NEVADA — 1.2% | |||||
Las Vegas Valley Water District, General Obligation, NV 5.00%, 6/1/2039 | 500,000 | 508,957 | |||
NEW JERSEY — 3.1% | |||||
New Jersey Economic Development Authority Revenue, NJ 5.00%, 6/15/2031 | 1,000,000 | 1,099,647 | |||
New Jersey Transportation Trust Fund Authority Revenue, NJ Series A, Class A, 5.00%, 6/15/2025 | 245,000 | 252,200 | |||
1,351,847 | |||||
NEW MEXICO — 2.3% | |||||
New Mexico Hospital Equipment Loan Council Revenue, NM Series A, 4.00%, 8/1/2039 | 1,000,000 | 980,641 | |||
NEW YORK — 3.6% | |||||
City of New York, General Obligation, NY Series A-1, 4.00%, 8/1/2037 | 1,000,000 | 1,021,896 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue, NY: | |||||
Series A-1, 5.00%, 11/1/2023 | 10,000 | 10,057 | |||
Series B1, 5.00%, 8/1/2027 | 120,000 | 122,206 | |||
New York State Dormitory Authority Revenue, NY Series B, 5.00%, 2/15/2034 | 300,000 | 307,478 | |||
Triborough Bridge & Tunnel Authority Revenue, NY Series A, 5.00%, 11/1/2025 | 85,000 | 88,813 | |||
1,550,450 | |||||
OHIO — 1.1% | |||||
Indian Hill Exempted Village School District, General Obligation, OH 4.00%, 12/1/2024 | 480,000 | 486,097 | |||
OREGON — 4.1% | |||||
Medford Hospital Facilities Authority Revenue, OR Series A, 5.00%, 8/15/2032 | 900,000 | 993,163 | |||
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation, OR Series A, 5.00%, 6/15/2038 | 695,000 | 757,262 | |||
1,750,425 |
Security Description | Principal Amount | Value | |||
PENNSYLVANIA — 6.6% | |||||
City of Philadelphia Airport Revenue, PA Series B, Class B, AMT, 5.00%, 7/1/2032 | $ 750,000 | $ 789,848 | |||
Commonwealth Financing Authority Revenue, PA AGM, 4.00%, 6/1/2039 (c) | 500,000 | 491,531 | |||
Pennsylvania Economic Development Financing Authority Revenue, PA Series A, Class A, 5.00%, 2/1/2025 | 100,000 | 101,702 | |||
Pennsylvania State University Revenue, PA Series B, 5.00%, 9/1/2033 | 600,000 | 633,635 | |||
Pennsylvania Turnpike Commission Revenue, PA Series B, Class B, 5.00%, 12/1/2031 | 800,000 | 835,723 | |||
2,852,439 | |||||
TENNESSEE — 1.1% | |||||
New Memphis Arena Public Building Authority Revenue, TN Zero Coupon, 4/1/2030 | 530,000 | 472,499 | |||
TEXAS — 5.5% | |||||
Austin Independent School District, General Obligation, TX 5.00%, 8/1/2036 | 500,000 | 580,951 | |||
Central Texas Turnpike System Revenue, TX Series B, 5.00%, 8/15/2037 | 345,000 | 349,813 | |||
Forney Independent School District, General Obligation, TX Series B, 5.00%, 8/15/2039 (c) | 425,000 | 472,001 | |||
Harris County-Houston Sports Authority Revenue, TX Series A, 5.00%, 11/15/2029 | 505,000 | 514,583 | |||
New Hope Cultural Education Facilities Finance Corp. Revenue, TX Series A-1, 5.50%, 1/1/2057 | 320,000 | 229,190 | |||
Plano Independent School District, General Obligation, TX Series A, 5.00%, 2/15/2027 | 215,000 | 225,809 | |||
2,372,347 | |||||
UTAH — 3.5% | |||||
City of Salt Lake City Airport Revenue, UT Series A, AMT, 5.00%, 7/1/2024 | 815,000 | 823,891 | |||
Vineyard Redevelopment Agency, Special Obligation, UT: | |||||
AGM, 5.00%, 5/1/2024 (c) | 350,000 | 354,918 | |||
AGM, 5.00%, 5/1/2027 (c) | 325,000 | 347,645 | |||
1,526,454 |
Security Description | Principal Amount | Value | ||||
VIRGINIA — 1.2% | ||||||
Virginia Small Business Financing Authority Revenue, VA: | ||||||
AMT, 5.00%, 6/30/2039 | $ 125,000 | $ 131,497 | ||||
AMT, 5.00%, 12/31/2039 | 355,000 | 373,452 | ||||
504,949 | ||||||
WASHINGTON — 4.6% | ||||||
Energy Northwest Revenue, WA Series A, 5.00%, 7/1/2039 | 300,000 | 340,739 | ||||
Port of Seattle Revenue, WA Series C, AMT, 5.00%, 4/1/2035 | 750,000 | 757,406 | ||||
State of Washington, General Obligation, WA: | ||||||
Series D, Class D, 5.00%, 2/1/2036 | 700,000 | 706,026 | ||||
Series 2017-A, 5.00%, 8/1/2029 | 150,000 | 159,055 | ||||
1,963,226 | ||||||
WISCONSIN — 1.6% | ||||||
Public Finance Authority Revenue, WI Series A, 6.00%, 6/15/2052 | 250,000 | 231,942 | ||||
State of Wisconsin, General Obligation, WI Series 2, 5.00%, 11/1/2027 | 100,000 | 108,012 | ||||
Wisconsin Health & Educational Facilities Authority Revenue, WI Series A, 5.00%, 10/15/2027 | 350,000 | 369,837 | ||||
709,791 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $44,464,808) | 42,421,864 |
Shares | |||
SHORT-TERM INVESTMENT — 0.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (d) (e) (Cost $167,594) | 167,594 | 167,594 | |
TOTAL INVESTMENTS — 98.9% (Cost $44,632,402) | 42,589,458 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% | 481,930 | ||
NET ASSETS — 100.0% | $ 43,071,388 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. 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 2.2% of net assets as of June 30, 2023, 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. | 3.2% |
Permanent School Fund Guaranteed | 1.1% |
Assured Guaranty Corp. | 0.2% |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2023. |
AMT | Alternative Minimum Tax |
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 | $ — | $42,421,864 | $— | $42,421,864 | ||||
Short-Term Investment | 167,594 | — | — | 167,594 | ||||
TOTAL INVESTMENTS | $167,594 | $42,421,864 | $— | $42,589,458 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,595,897 | $1,595,897 | $20,961,484 | $22,389,787 | $— | $— | 167,594 | $167,594 | $72,627 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 98.8% | ||||||
ARIZONA — 0.6% | ||||||
City of Phoenix Civic Improvement Corp. Revenue, AZ Series D, Class D, 5.00%, 7/1/2030 | $ 215,000 | $ 231,752 | ||||
CALIFORNIA — 11.5% | ||||||
California Community Choice Financing Authority Revenue, CA Series D, 5.50%, 5/1/2054 (a) | 600,000 | 633,081 | ||||
California Municipal Finance Authority Revenue, CA Series A, Class A, 5.00%, 11/1/2023 | 600,000 | 601,449 | ||||
Compton Unified School District, General Obligation, CA Series B, Class B, BAM, 4.00%, 6/1/2032 (b) | 175,000 | 181,177 | ||||
Folsom Ranch Financing Authority, Special Tax Revenue, CA 5.00%, 9/1/2029 | 145,000 | 152,598 | ||||
Los Angeles Department of Water & Power Revenue, CA: | ||||||
Series A, 5.00%, 7/1/2028 | 250,000 | 275,368 | ||||
Series E, 5.00%, 7/1/2039 | 600,000 | 607,652 | ||||
Orange County Community Facilities District, Special Tax Revenue, CA Series A, Class A, 5.00%, 8/15/2052 | 200,000 | 201,940 | ||||
San Francisco City & County Public Utilities Commission Wastewater Revenue, CA Series A, 5.25%, 10/1/2042 | 375,000 | 435,809 | ||||
San Francisco Unified School District, General Obligation, CA 4.00%, 6/15/2026 | 185,000 | 190,667 | ||||
San Mateo Foster City Public Financing Authority Revenue, CA 4.00%, 8/1/2035 | 175,000 | 183,996 | ||||
State of California, General Obligation, CA: | ||||||
4.00%, 10/1/2050 | 650,000 | 653,005 | ||||
5.00%, 8/1/2024 | 100,000 | 102,211 | ||||
4,218,953 | ||||||
COLORADO — 3.2% | ||||||
Regional Transportation District Revenue, CO Series A, Class A, 5.00%, 7/15/2027 | 500,000 | 527,771 | ||||
State of Colorado, Certificate Participation, CO Series A, Class A, 4.00%, 12/15/2036 | 615,000 | 633,478 | ||||
1,161,249 |
Security Description | Principal Amount | Value | |||
CONNECTICUT — 2.9% | |||||
State of Connecticut, General Obligation, CT Series F, 5.00%, 11/15/2041 | $ 610,000 | $ 675,075 | |||
University of Connecticut Revenue, CT Series A, Class A, 5.00%, 4/15/2026 | 380,000 | 399,886 | |||
1,074,961 | |||||
DELAWARE — 1.4% | |||||
Delaware Municipal Electric Corp. Revenue, DE 5.00%, 7/1/2030 | 300,000 | 340,885 | |||
Delaware Transportation Authority Revenue, DE 3.25%, 7/1/2025 | 180,000 | 179,364 | |||
520,249 | |||||
DISTRICT OF COLUMBIA — 2.6% | |||||
District of Columbia Revenue, DC Series A, Class A, AMT, 5.00%, 8/31/2026 | 700,000 | 717,194 | |||
Washington Metropolitan Area Transit Authority Revenue, DC 5.00%, 7/1/2024 | 250,000 | 254,457 | |||
971,651 | |||||
FLORIDA — 9.1% | |||||
City of Gainesville Utilities System Revenue, FL Series A, 5.00%, 10/1/2025 | 290,000 | 301,778 | |||
City of Pompano Beach Revenue, FL 3.50%, 9/1/2030 | 250,000 | 225,558 | |||
City of Tallahassee Utility System Revenue, FL Series A, 5.00%, 10/1/2037 | 560,000 | 569,873 | |||
County of Miami-Dade Aviation Revenue, FL Series A, Class A, 5.00%, 10/1/2024 | 370,000 | 376,749 | |||
Florida Development Finance Corp. Revenue, FL: | |||||
4.00%, 11/15/2034 | 385,000 | 388,788 | |||
Series A, Class A, 4.00%, 6/15/2042 | 500,000 | 430,001 | |||
Series A, Class A, AMT, VRN, 7.25%, 7/1/2057 (a) (c) | 300,000 | 305,127 | |||
Miami-Dade County Expressway Authority Revenue, FL Series A, Class A, 5.00%, 7/1/2025 | 100,000 | 101,162 | |||
Orlando Utilities Commission Revenue, FL Series A, 5.00%, 10/1/2027 | 150,000 | 163,399 | |||
Palm Beach County Health Facilities Authority Revenue, FL 5.00%, 11/15/2032 | 100,000 | 101,258 |
Security Description | Principal Amount | Value | |||
Somerset Community Development District, Special Assessment, FL: | |||||
4.00%, 5/1/2032 | $ 200,000 | $ 189,357 | |||
4.20%, 5/1/2037 | 200,000 | 183,407 | |||
3,336,457 | |||||
IDAHO — 2.6% | |||||
Idaho Housing & Finance Association Revenue, ID Series A, 4.00%, 8/15/2048 | 1,000,000 | 966,527 | |||
ILLINOIS — 5.3% | |||||
Chicago O'Hare International Airport Revenue, IL AMT, 5.00%, 1/1/2034 | 400,000 | 442,207 | |||
Illinois Finance Authority Revenue, IL 5.00%, 7/1/2036 | 270,000 | 303,719 | |||
Illinois State Toll Highway Authority Revenue, IL: | |||||
Series B, 5.00%, 1/1/2036 | 600,000 | 604,281 | |||
Series B, 5.00%, 1/1/2027 | 140,000 | 149,369 | |||
Mount Prospect Park District, General Obligation, IL Series A, Class A, 5.00%, 11/1/2031 | 280,000 | 319,682 | |||
State of Illinois, General Obligation, IL 5.50%, 1/1/2028 | 130,000 | 141,698 | |||
1,960,956 | |||||
IOWA — 0.8% | |||||
Iowa Finance Authority Revenue, IA 4.00%, 12/1/2050 (a) | 300,000 | 295,139 | |||
MAINE — 0.3% | |||||
City of Auburn, General Obligation, ME 5.00%, 9/1/2024 | 100,000 | 102,166 | |||
MARYLAND — 2.9% | |||||
Maryland Economic Development Corp. Revenue, MD Series B, Class B, AMT, 5.00%, 12/31/2036 | 425,000 | 451,837 | |||
State of Maryland, General Obligation, MD Series B, Class B, 5.00%, 8/1/2027 | 400,000 | 434,354 | |||
Washington Suburban Sanitary Commission Revenue, MD 5.00%, 6/1/2027 | 150,000 | 162,282 | |||
1,048,473 | |||||
MASSACHUSETTS — 0.7% | |||||
Massachusetts Development Finance Agency Revenue, MA Series A-2, 5.00%, 7/1/2027 | 250,000 | 269,326 |
Security Description | Principal Amount | Value | |||
MICHIGAN — 2.1% | |||||
Michigan State Housing Development Authority Revenue, MI Series A, 4.70%, 12/1/2043 | $ 750,000 | $ 757,023 | |||
MINNESOTA — 2.2% | |||||
City of Minneapolis/St. Paul Housing & Redevelopment Authority Revenue, MN Series A, Class A, 5.00%, 11/15/2026 | 435,000 | 459,142 | |||
Minneapolis-St. Paul Metropolitan Airports Commission Revenue, MN Series B, Class B, AMT, 5.00%, 1/1/2034 | 300,000 | 331,655 | |||
790,797 | |||||
MISSOURI — 1.6% | |||||
City of Kansas City Sanitary Sewer System Revenue, MO Series A, Class A, 4.00%, 1/1/2036 | 600,000 | 604,804 | |||
NEVADA — 1.4% | |||||
Las Vegas Valley Water District, General Obligation, NV 5.00%, 6/1/2039 | 500,000 | 508,957 | |||
NEW JERSEY — 4.3% | |||||
Hudson County Improvement Authority Revenue, NJ 3.00%, 10/1/2034 | 160,000 | 152,456 | |||
New Jersey Economic Development Authority Revenue, NJ: | |||||
Series MMM, 5.00%, 6/15/2033 | 180,000 | 197,030 | |||
Series QQQ, 5.00%, 6/15/2033 | 275,000 | 305,920 | |||
New Jersey Transportation Trust Fund Authority Revenue, NJ: | |||||
Series AA, Ambac Financial Group, 5.00%, 6/15/2036 | 250,000 | 250,000 | |||
Series CC, 5.25%, 6/15/2036 | 300,000 | 338,256 | |||
State of New Jersey, General Obligation, NJ Series A, Class A, 5.00%, 6/1/2027 | 330,000 | 354,866 | |||
1,598,528 | |||||
NEW YORK — 9.5% | |||||
City of New York, General Obligation, NY: | |||||
Series E1, 5.00%, 4/1/2039 | 300,000 | 338,535 | |||
Series A, 5.00%, 8/1/2025 | 105,000 | 109,016 | |||
Series A-1, 5.00%, 9/1/2034 | 400,000 | 466,250 | |||
Hudson Yards Infrastructure Corp. Revenue, NY Series A, 5.00%, 2/15/2030 | 300,000 | 321,632 |
Security Description | Principal Amount | Value | |||
Metropolitan Transportation Authority Revenue, NY: | |||||
Series E, Class E, 3.50%, 11/15/2032 | $ 230,000 | $ 220,564 | |||
Series A, 5.00%, 11/15/2037 | 575,000 | 648,703 | |||
New York City Transitional Finance Authority Building Aid Revenue, NY Series S1A, Class A, 5.00%, 7/15/2038 | 475,000 | 517,285 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue, NY 5.00%, 11/1/2034 | 250,000 | 286,960 | |||
New York Transportation Development Corp. Revenue, NY: | |||||
AMT, 5.00%, 12/1/2036 | 250,000 | 264,996 | |||
AMT, 5.00%, 12/1/2037 | 300,000 | 315,516 | |||
3,489,457 | |||||
NORTH CAROLINA — 1.0% | |||||
County of Durham Revenue, NC Series A, 5.00%, 6/1/2042 | 320,000 | 359,953 | |||
OKLAHOMA — 3.3% | |||||
Carter County Public Facilities Authority Revenue, OK 5.00%, 9/1/2028 | 200,000 | 210,930 | |||
Grand River Dam Authority Revenue, OK Series A, Class A, 5.00%, 6/1/2039 | 700,000 | 708,273 | |||
Muskogee Industrial Trust Revenue, OK 4.00%, 9/1/2032 | 100,000 | 99,374 | |||
Norman Regional Hospital Authority Revenue, OK 4.00%, 9/1/2037 | 230,000 | 203,075 | |||
1,221,652 | |||||
OREGON — 4.1% | |||||
Medford Hospital Facilities Authority Revenue, OR Series A, 5.00%, 8/15/2037 | 745,000 | 797,671 | |||
Warm Springs Reservation Confederated Tribe Revenue, OR Series B, 5.00%, 11/1/2039 (c) | 650,000 | 696,810 | |||
1,494,481 | |||||
PENNSYLVANIA — 3.4% | |||||
Commonwealth of Pennsylvania, General Obligation, PA 2nd Series, 5.00%, 9/15/2023 | 500,000 | 501,711 | |||
Pennsylvania Economic Development Financing Authority Revenue, PA Series A-2, Class A, 4.00%, 5/15/2053 | 250,000 | 229,568 |
Security Description | Principal Amount | Value | |||
Pennsylvania Turnpike Commission Revenue, PA 5.00%, 6/1/2027 | $ 500,000 | $ 521,693 | |||
1,252,972 | |||||
TENNESSEE — 0.7% | |||||
Tennessee Housing Development Agency Revenue, TN Series 2A, 4.15%, 7/1/2038 (d) | 250,000 | 249,271 | |||
TEXAS — 8.7% | |||||
Board of Regents of the University of Texas System Revenue, TX Series B, 5.00%, 8/15/2029 | 425,000 | 480,228 | |||
City of Dallas, General Obligation, TX AGM, 3.13%, 2/15/2035 (b) | 900,000 | 869,733 | |||
City of Garland Electric Utility System Revenue, TX 5.00%, 3/1/2024 | 300,000 | 303,208 | |||
County of Williamson, General Obligation, TX 5.00%, 2/15/2028 | 155,000 | 169,642 | |||
Love Field Airport Modernization Corp. Revenue, TX AMT, 5.00%, 11/1/2034 | 105,000 | 108,841 | |||
Lower Colorado River Authority Revenue, TX Series B, 5.00%, 5/15/2039 (a) | 590,000 | 631,612 | |||
Texas Woman's University Revenue, TX Series A, Class A, 5.00%, 7/1/2037 | 585,000 | 655,321 | |||
3,218,585 | |||||
VIRGINIA — 2.0% | |||||
Chesapeake Bay Bridge & Tunnel District Revenue, VA 5.00%, 11/1/2023 | 610,000 | 612,318 | |||
Hampton Roads Transportation Accountability Commission Revenue, VA Series A, Class A, 5.00%, 7/1/2026 | 125,000 | 132,239 | |||
744,557 | |||||
WASHINGTON — 7.3% | |||||
Central Puget Sound Regional Transit Authority Revenue, WA Series S-1, Class S1, 5.00%, 11/1/2045 | 105,000 | 109,831 | |||
King County Public Hospital District No. 1, General Obligation, WA 5.00%, 12/1/2036 | 590,000 | 620,448 | |||
Port of Seattle Revenue, WA: | |||||
Series B, 5.00%, 6/1/2034 | 200,000 | 226,619 | |||
Series C, AMT, 5.00%, 4/1/2035 | 750,000 | 757,405 |
Security Description | Principal Amount | Value | ||||
State of Washington, General Obligation, WA: | ||||||
Series D, Class D, 5.00%, 2/1/2036 | $ 700,000 | $ 706,026 | ||||
Series A, 5.00%, 8/1/2033 | 250,000 | 268,675 | ||||
2,689,004 | ||||||
WISCONSIN — 3.3% | ||||||
Public Finance Authority Revenue, WI Series A, Class A, 4.00%, 11/15/2037 | 600,000 | 529,981 | ||||
Wisconsin Health & Educational Facilities Authority Revenue, WI 4.00%, 4/1/2039 | 700,000 | 686,630 | ||||
1,216,611 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $36,724,757) | 36,354,511 |
Shares | |||
SHORT-TERM INVESTMENT — 0.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (e) (f) (Cost $263,694) | 263,694 | 263,694 | |
TOTAL INVESTMENTS — 99.5% (Cost $36,988,451) | 36,618,205 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 172,045 | ||
NET ASSETS — 100.0% | $ 36,790,250 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Bond is insured by the following: |
% of Net Assets | |
Assured Guaranty Municipal Corp | 2.4% |
Build America Mutual Assurance Company | 0.5% |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.7% of net assets as of June 30, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | When-issued security. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2023. |
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 | $ — | $36,354,511 | $— | $ 36,354,511 | ||||
Short-Term Investment | 263,694 | — | — | 263,694 | ||||
TOTAL INVESTMENTS | $263,694 | $36,354,511 | $— | $36,618,205 |
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 6/30/23 | Value at 6/30/23 | 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 | — | — | 16,486,391 | 16,222,697 | — | — | 263,694 | 263,694 | 45,296 | ||||||||
Total | $1,543,320 | $19,062,755 | $20,342,835 | $485 | $(31) | $263,694 | $51,961 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC FIXED INCOME — 99.8% | ||||||
SPDR Bloomberg 1-3 Month T-Bills ETF (a) | 127,586 | $ 11,714,947 | ||||
SPDR Bloomberg High Yield Bond ETF (a)(b) | 98,180 | 9,035,505 | ||||
SPDR Bloomberg International Treasury Bond ETF (a)(b) | 558,817 | 12,601,323 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b) | 434,649 | 13,956,579 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a)(b) | 1,951,784 | 55,215,969 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a)(b) | 265,123 | 6,166,761 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 623,115 | 18,631,139 | ||||
SPDR Portfolio Mortgage-Backed Bond ETF (a)(b) | 2,371,611 | 51,961,997 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $183,269,098) | 179,284,220 | |||||
SHORT-TERM INVESTMENTS — 27.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (c)(d) | 300,805 | $ 300,805 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 48,283,244 | $ 48,283,244 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $48,584,049) | $ 48,584,049 | ||||
TOTAL INVESTMENTS — 126.9% (Cost $231,853,147) | 227,868,269 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (26.9)% | (48,296,405) | ||||
NET ASSETS — 100.0% | $ 179,571,864 |
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 June 30, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2023. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2023 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 | $179,284,220 | $— | $— | $179,284,220 | ||||
Short-Term Investments | 48,584,049 | — | — | 48,584,049 | ||||
TOTAL INVESTMENTS | $227,868,269 | $— | $— | $227,868,269 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 208,058 | $ 19,035,227 | $ 34,144,265 | $ 41,488,269 | $ 2,978 | $ 20,746 | 127,586 | $ 11,714,947 | $ 321,540 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 17,032,154 | 7,769,131 | (217,362) | (10,156) | 98,180 | 9,035,505 | 89,322 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 26,869 | 622,286 | 17,104,802 | 5,316,528 | 42,214 | 148,549 | 558,817 | 12,601,323 | 88,687 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 526,060 | 17,165,338 | 21,513,698 | 24,563,548 | (1,203,098) | 1,044,189 | 434,649 | 13,956,579 | 586,140 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 628,939 | 18,534,832 | 74,451,588 | 36,146,614 | (1,784,100) | 160,263 | 1,951,784 | 55,215,969 | 885,770 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 11,160 | 268,844 | 22,589,365 | 16,133,221 | (628,769) | 70,542 | 265,123 | 6,166,761 | 179,602 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 986,122 | 32,611,055 | 30,602,701 | 42,116,357 | (5,481,426) | 3,015,166 | 623,115 | 18,631,139 | 648,652 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 1,318,878 | 30,136,362 | 52,487,327 | 28,674,268 | (3,261,063) | 1,273,639 | 2,371,611 | 51,961,997 | 1,165,644 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 188,090 | 188,090 | 1,117,394 | 1,004,679 | — | — | 300,805 | 300,805 | 9,860 | ||||||||
State Street Navigator Securities Lending Portfolio II | 20,836,025 | 20,836,025 | 1,073,707,173 | 1,046,259,954 | — | — | 48,283,244 | 48,283,244 | 305,592 | ||||||||
Total | $139,398,059 | $1,344,750,467 | $1,249,472,569 | $(12,530,626) | $5,722,938 | $227,868,269 | $4,280,809 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9% | ||||||
DOMESTIC EQUITY — 99.9% | ||||||
The Communication Services Select Sector SPDR Fund (a)(b) | 96,107 | $ 6,254,643 | ||||
The Consumer Discretionary Select Sector SPDR Fund (a)(b) | 295,657 | 50,205,515 | ||||
The Consumer Staples Select Sector SPDR Fund (a)(b) | 421,950 | 31,296,031 | ||||
The Energy Select Sector SPDR Fund (a) | 167,682 | 13,610,748 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 462,115 | 61,336,524 | ||||
The Industrial Select Sector SPDR Fund (a)(b) | 649,374 | 69,690,818 | ||||
The Technology Select Sector SPDR Fund (a)(b) | 382,122 | 66,435,731 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $271,139,461) | 298,830,010 | |||||
SHORT-TERM INVESTMENTS — 30.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (c)(d) | 385,530 | $ 385,530 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 91,543,951 | 91,543,951 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $91,929,481) | $ 91,929,481 | |||||
TOTAL INVESTMENTS — 130.6% (Cost $363,068,942) | 390,759,491 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (30.6)% | (91,635,138) | |||||
NET ASSETS — 100.0% | $ 299,124,353 |
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 June 30, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2023. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2023 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 | $298,830,010 | $— | $— | $298,830,010 | ||||
Short-Term Investments | 91,929,481 | — | — | 91,929,481 | ||||
TOTAL INVESTMENTS | $390,759,491 | $— | $— | $390,759,491 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 747,558 | $ 747,558 | $ 5,253,998 | $ 5,616,026 | $ — | $ — | 385,530 | $ 385,530 | $ 15,519 | ||||||||
State Street Navigator Securities Lending Portfolio II | 34,939,526 | 34,939,526 | 1,277,258,310 | 1,220,653,885 | — | — | 91,543,951 | 91,543,951 | 229,631 | ||||||||
The Communication Services Select Sector SPDR Fund | 71,118 | 3,859,574 | 49,272,114 | 48,917,186 | 710,936 | 1,329,205 | 96,107 | 6,254,643 | 29,244 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 101,186 | 13,911,051 | 74,134,425 | 42,088,895 | (4,985,908) | 9,234,842 | 295,657 | 50,205,515 | 207,303 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 87,688 | 6,329,320 | 97,377,511 | 69,698,456 | (2,151,882) | (560,462) | 421,950 | 31,296,031 | 575,931 | ||||||||
The Energy Select Sector SPDR Fund | 177,229 | 12,673,646 | 10,324,739 | 11,862,832 | 1,179,683 | 1,295,512 | 167,682 | 13,610,748 | 581,807 | ||||||||
The Financial Select Sector SPDR Fund | 748,783 | 23,549,225 | 44,906,399 | 70,445,069 | (1,975,312) | 3,964,757 | — | — | 651,172 | ||||||||
The Health Care Select Sector SPDR Fund | 246,210 | 31,573,970 | 100,418,737 | 73,006,383 | 688,152 | 1,662,048 | 462,115 | 61,336,524 | 633,533 | ||||||||
The Industrial Select Sector SPDR Fund | 229,397 | 20,035,534 | 76,579,862 | 32,787,675 | (1,276,635) | 7,139,732 | 649,374 | 69,690,818 | 670,097 | ||||||||
The Materials Select Sector SPDR Fund | 278,774 | 20,517,766 | 52,984,159 | 72,584,059 | (4,568,052) | 3,650,186 | — | — | 219,516 | ||||||||
The Real Estate Sector SPDR Fund | 136,665 | 5,584,133 | 31,935 | 5,675,085 | (803,327) | 862,344 | — | — | — | ||||||||
The Technology Select Sector SPDR Fund | 394,971 | 50,208,714 | 64,599,451 | 67,663,381 | 1,519,335 | 17,771,612 | 382,122 | 66,435,731 | 534,311 | ||||||||
The Utilities Select Sector SPDR Fund | 204,622 | 14,350,141 | 15,248,647 | 28,651,761 | (1,622,533) | 675,506 | — | — | 155,207 | ||||||||
Total | $238,280,158 | $1,868,390,287 | $1,749,650,693 | $(13,285,543) | $47,025,282 | $390,759,491 | $4,503,271 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 80.4% | ||||||
BRAZIL — 6.5% | ||||||
Braskem Netherlands Finance BV 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (a) | $ 600,000 | $ 611,388 | ||||
BRF SA 4.88%, 1/24/2030 | 200,000 | 161,810 | ||||
Cosan Luxembourg SA: | ||||||
7.00%, 1/20/2027 | 200,000 | 200,078 | ||||
7.50%, 6/27/2030 (b) | 200,000 | 197,906 | ||||
Cosan Overseas Ltd. 8.25%, 8/5/2023 | 800,000 | 795,532 | ||||
Guara Norte SARL 5.20%, 6/15/2034 | 1,423,659 | 1,241,017 | ||||
MC Brazil Downstream Trading SARL 7.25%, 6/30/2031 | 869,626 | 587,711 | ||||
Movida Europe SA 5.25%, 2/8/2031 | 300,000 | 243,669 | ||||
MV24 Capital BV 6.75%, 6/1/2034 | 336,236 | 302,478 | ||||
NBM U.S. Holdings, Inc.: | ||||||
6.63%, 8/6/2029 | 200,000 | 182,942 | ||||
7.00%, 5/14/2026 | 200,000 | 194,274 | ||||
Nexa Resources SA Series REGS, 5.38%, 5/4/2027 | 277,000 | 257,715 | ||||
Simpar Europe SA 5.20%, 1/26/2031 | 200,000 | 158,712 | ||||
Unigel Luxembourg SA 8.75%, 10/1/2026 | 200,000 | 65,074 | ||||
5,200,306 | ||||||
CHILE — 7.9% | ||||||
Agrosuper SA 4.60%, 1/20/2032 | 350,000 | 295,949 | ||||
CAP SA 3.90%, 4/27/2031 (b) | 1,400,000 | 1,017,072 | ||||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (b) | 2,500,000 | 1,935,400 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 104,300 | 94,468 | ||||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 1,081,440 | 997,315 | ||||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 1,400,000 | 1,125,558 | ||||
Mercury Chile Holdco LLC 6.50%, 1/24/2027 (b) | 600,000 | 544,788 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 200,000 | 104,016 | ||||
VTR Finance NV Series REGS, 6.38%, 7/15/2028 | 500,000 | 188,340 | ||||
6,302,906 | ||||||
COLOMBIA — 7.1% | ||||||
AI Candelaria Spain SA 5.75%, 6/15/2033 (b) | 1,225,000 | 909,415 |
Security Description | Principal Amount | Value | ||||
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (a)(b) | $ 400,000 | $ 293,996 | ||||
Bancolombia SA 5 Year CMT + 2.94%, 4.63%, 12/18/2029 (a) | 400,000 | 340,692 | ||||
Ecopetrol SA: | ||||||
4.63%, 11/2/2031 | 1,500,000 | 1,151,250 | ||||
5.38%, 6/26/2026 | 300,000 | 286,605 | ||||
5.88%, 5/28/2045 | 100,000 | 68,213 | ||||
5.88%, 11/2/2051 | 250,000 | 165,143 | ||||
Empresas Publicas de Medellin ESP: | ||||||
Series REGS, 4.25%, 7/18/2029 | 1,500,000 | 1,185,075 | ||||
Series REGS, 4.38%, 2/15/2031 | 500,000 | 374,770 | ||||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | 950,000 | 836,085 | ||||
5,611,244 | ||||||
GUATEMALA — 1.7% | ||||||
Banco Industrial SA 5 Year CMT + 4.44%, 4.88%, 1/29/2031 | 300,000 | 279,573 | ||||
CT Trust 5.13%, 2/3/2032 | 600,000 | 483,054 | ||||
Millicom International Cellular SA 6.25%, 3/25/2029 | 630,000 | 564,587 | ||||
1,327,214 | ||||||
INDIA — 7.6% | ||||||
Adani Electricity Mumbai Ltd.: | ||||||
Series REGS, 3.87%, 7/22/2031 | 200,000 | 140,801 | ||||
Series REGS, 3.95%, 2/12/2030 | 700,000 | 520,037 | ||||
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 (b) | 1,281,000 | 1,003,479 | ||||
Adani Ports & Special Economic Zone Ltd.: | ||||||
3.10%, 2/2/2031 | 1,000,000 | 706,260 | ||||
Series REGS, 4.38%, 7/3/2029 | 700,000 | 564,368 | ||||
Adani Transmission Step-One Ltd. 4.00%, 8/3/2026 | 1,200,000 | 1,048,804 | ||||
Network i2i Ltd.: | ||||||
Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099 | 300,000 | 268,131 | ||||
5 Year CMT + 4.27%, 5.65%, 1/15/2025 (a) | 200,000 | 194,336 | ||||
Periama Holdings LLC 5.95%, 4/19/2026 | 200,000 | 192,262 | ||||
UPL Corp. Ltd.: | ||||||
4.50%, 3/8/2028 | 200,000 | 179,152 | ||||
4.63%, 6/16/2030 | 1,100,000 | 940,500 |
Security Description | Principal Amount | Value | ||||
Vedanta Resources Ltd. Series REGS, 6.13%, 8/9/2024 | $ 400,000 | $ 300,180 | ||||
6,058,310 | ||||||
INDONESIA — 4.8% | ||||||
Freeport Indonesia PT 5.32%, 4/14/2032 (b) | 400,000 | 378,976 | ||||
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 (b) | 1,736,910 | 1,565,008 | ||||
Minejesa Capital BV Series REGS, 5.63%, 8/10/2037 | 2,400,000 | 1,887,720 | ||||
3,831,704 | ||||||
ISRAEL — 3.5% | ||||||
Bank Hapoalim BM 5 Year CMT + 2.16%, 3.26%, 1/21/2032 (a)(b) | 1,600,000 | 1,370,422 | ||||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (a)(b) | 1,600,000 | 1,429,504 | ||||
2,799,926 | ||||||
JAMAICA — 0.0% (c) | ||||||
Digicel Group Holdings Ltd.: | ||||||
7.00%, 12/31/2099 (b) | 68,049 | 7,485 | ||||
8.00%, 4/1/2025 (b) | 45,531 | 20,021 | ||||
27,506 | ||||||
KUWAIT — 1.7% | ||||||
MEGlobal BV Series REGS, 2.63%, 4/28/2028 | 400,000 | 348,501 | ||||
MEGlobal Canada ULC 5.00%, 5/18/2025 | 1,000,000 | 979,310 | ||||
1,327,811 | ||||||
MALAYSIA — 0.2% | ||||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | 200,000 | 185,306 | ||||
MEXICO — 6.9% | ||||||
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029 (a) | 800,000 | 696,192 | ||||
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031 (a) | 700,000 | 587,062 | ||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand SOFR + 0.30%, 5.95%, 10/1/2028 | 1,000,000 | 993,730 | ||||
BBVA Bancomer SA: | ||||||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (a) | 476,000 | 458,555 | ||||
5 Year CMT + 4.31%, 5.88%, 9/13/2034 (a) | 700,000 | 626,192 |
Security Description | Principal Amount | Value | ||||
Braskem Idesa SAPI 6.99%, 2/20/2032 | $ 200,000 | $ 128,138 | ||||
Cemex SAB de CV: | ||||||
5 Year CMT + 4.53%, 5.13%, 6/8/2026 (a) | 800,000 | 712,768 | ||||
5 Year CMT + 4.91%, 9.13%, 3/14/2028 (a)(b) | 200,000 | 202,986 | ||||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b) | 300,000 | 66,072 | ||||
Mexico Generadora de Energia S de Real Series REGS, 5.50%, 12/6/2032 | 657,655 | 634,071 | ||||
Petroleos Mexicanos 6.75%, 9/21/2047 | 550,000 | 344,399 | ||||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (d) | 800,000 | 4,464 | ||||
5,454,629 | ||||||
PANAMA — 4.4% | ||||||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 200,000 | 188,122 | ||||
Banistmo SA 4.25%, 7/31/2027 | 1,200,000 | 1,111,032 | ||||
C&W Senior Financing DAC Series REGS, 6.88%, 9/15/2027 | 400,000 | 349,068 | ||||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 246,000 | 200,101 | ||||
Global Bank Corp. 3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a) | 1,000,000 | 910,740 | ||||
Multibank, Inc. 7.75%, 2/3/2028 (b) | 200,000 | 203,266 | ||||
UEP Penonome II SA 6.50%, 10/1/2038 (b) | 716,971 | 534,567 | ||||
3,496,896 | ||||||
PARAGUAY — 1.3% | ||||||
Banco Continental SAECA 2.75%, 12/10/2025 | 300,000 | 271,767 | ||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 445,288 | 311,715 | ||||
Frigorifico Concepcion SA 7.70%, 7/21/2028 | 200,000 | 156,598 | ||||
Rutas 2 & 7 Finance Ltd. 0.01%, 9/30/2036 | 450,000 | 293,202 | ||||
1,033,282 | ||||||
PERU — 10.4% | ||||||
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029 (a) | 200,000 | 194,774 | ||||
Banco de Credito del Peru S.A.: | ||||||
5 Year CMT + 2.45%, 3.25%, 9/30/2031 (a) | 650,000 | 572,585 | ||||
Series REGS, 5 Year CMT + 3.00%, 3.13%, 7/1/2030 (a) | 1,100,000 | 1,009,789 |
Security Description | Principal Amount | Value | ||||
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (a) | $ 1,900,000 | $ 1,744,504 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 776,471 | 726,971 | ||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | 1,622,400 | 1,559,905 | ||||
Inkia Energy Ltd. Series REGS, 5.88%, 11/9/2027 | 400,000 | 380,088 | ||||
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034 | 591,958 | 578,639 | ||||
Orazul Energy Peru SA 5.63%, 4/28/2027 | 252,000 | 226,987 | ||||
Petroleos del Peru SA: | ||||||
4.75%, 6/19/2032 | 500,000 | 375,225 | ||||
5.63%, 6/19/2047 | 200,000 | 129,190 | ||||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | 800,000 | 772,168 | ||||
8,270,825 | ||||||
SAUDI ARABIA — 1.7% | ||||||
EIG Pearl Holdings SARL: | ||||||
3.55%, 8/31/2036 | 900,000 | 769,005 | ||||
Series REGS, 4.39%, 11/30/2046 | 800,000 | 626,080 | ||||
1,395,085 | ||||||
SINGAPORE — 8.5% | ||||||
DBS Group Holdings Ltd. Series GMTN, 5 Year CMT + 1.10%, 1.82%, 3/10/2031 (a) | 1,550,000 | 1,385,436 | ||||
Oversea-Chinese Banking Corp. Ltd. 5 Year CMT + 1.58%, 1.83%, 9/10/2030 (a)(b) | 1,900,000 | 1,730,767 | ||||
SingTel Group Treasury Pte. Ltd. 1.88%, 6/10/2030 | 800,000 | 666,864 | ||||
Temasek Financial I Ltd. 1.00%, 10/6/2030 (b) | 1,500,000 | 1,189,725 | ||||
United Overseas Bank Ltd.: | ||||||
5 Year CMT + 1.23%, 2.00%, 10/14/2031 (a) | 900,000 | 789,858 | ||||
Series GMTN, 5 Year CMT + 1.52%, 1.75%, 3/16/2031 (a) | 1,100,000 | 977,972 | ||||
6,740,622 | ||||||
SOUTH AFRICA — 0.4% | ||||||
Sasol Financing USA LLC 5.50%, 3/18/2031 | 400,000 | 314,768 | ||||
SOUTH KOREA — 1.8% | ||||||
KT Corp.: | ||||||
1.00%, 9/1/2025 | 400,000 | 362,581 |
Security Description | Principal Amount | Value | ||||
Series REGS, 2.50%, 7/18/2026 | $ 400,000 | $ 365,844 | ||||
Shinhan Financial Group Co. Ltd. 5 Year CMT + 2.06%, 2.88%, 5/12/2026 (a)(b) | 550,000 | 484,225 | ||||
Woori Bank 4.75%, 4/30/2024 | 200,000 | 197,256 | ||||
1,409,906 | ||||||
UNITED ARAB EMIRATES — 2.2% | ||||||
Galaxy Pipeline Assets Bidco Ltd. 2.16%, 3/31/2034 (b) | 2,040,330 | 1,734,893 | ||||
UNITED STATES — 1.8% | ||||||
Freeport-McMoRan, Inc.: | ||||||
4.38%, 8/1/2028 | 200,000 | 188,726 | ||||
4.63%, 8/1/2030 | 1,300,000 | 1,227,824 | ||||
1,416,550 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $70,949,149) | 63,939,689 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 15.2% | ||||||
CHILE — 1.2% | ||||||
Chile Government International Bonds: | ||||||
3.10%, 5/7/2041 | 400,000 | 301,488 | ||||
3.10%, 1/22/2061 | 200,000 | 130,906 | ||||
3.50%, 1/25/2050 | 700,000 | 526,729 | ||||
959,123 | ||||||
COLOMBIA — 1.3% | ||||||
Colombia Government International Bonds: | ||||||
4.13%, 5/15/2051 | 950,000 | 569,620 | ||||
5.00%, 6/15/2045 | 700,000 | 485,723 | ||||
1,055,343 | ||||||
INDONESIA — 2.0% | ||||||
Indonesia Government International Bonds 3.70%, 10/30/2049 | 900,000 | 717,831 | ||||
Perusahaan Penerbit SBSN Indonesia III 2.55%, 6/9/2031 (b) | 1,000,000 | 856,550 | ||||
1,574,381 | ||||||
MEXICO — 4.5% | ||||||
Mexico Government International Bonds: | ||||||
2.66%, 5/24/2031 | 1,400,000 | 1,165,038 | ||||
4.40%, 2/12/2052 | 1,350,000 | 1,066,662 | ||||
6.34%, 5/4/2053 | 1,325,000 | 1,352,759 | ||||
3,584,459 | ||||||
PANAMA — 3.3% | ||||||
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025 | 600,000 | 558,936 |
Security Description | Principal Amount | Value | ||||
Panama Government International Bonds: | ||||||
2.25%, 9/29/2032 | $ 300,000 | $ 229,194 | ||||
3.87%, 7/23/2060 | 2,100,000 | 1,389,381 | ||||
4.30%, 4/29/2053 | 600,000 | 446,724 | ||||
2,624,235 | ||||||
PHILIPPINES — 0.4% | ||||||
Philippines Government International Bonds: | ||||||
2.65%, 12/10/2045 | 300,000 | 202,563 | ||||
3.70%, 3/1/2041 | 200,000 | 166,084 | ||||
368,647 | ||||||
SAUDI ARABIA — 0.5% | ||||||
Saudi Government International Bonds Series REGS, 2.25%, 2/2/2033 | 500,000 | 402,370 | ||||
SOUTH AFRICA — 0.7% | ||||||
Republic of South Africa Government International Bonds 4.30%, 10/12/2028 | 600,000 | 529,896 | ||||
SOUTH KOREA — 1.3% | ||||||
Korea East-West Power Co. Ltd. Series REGS, 1.75%, 5/6/2025 | 900,000 | 837,918 | ||||
Korea Electric Power Corp. Series REGS, 1.13%, 6/15/2025 | 200,000 | 183,868 | ||||
1,021,786 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $15,200,169) | 12,120,240 |
Shares | |||
SHORT-TERM INVESTMENT — 3.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (e)(f) (Cost $2,452,803) | 2,452,803 | 2,452,803 | |
TOTAL INVESTMENTS — 98.7% (Cost $88,602,121) | 78,512,732 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.3% | 1,018,835 | ||
NET ASSETS — 100.0% | $ 79,531,567 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. 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 16.7% of net assets as of June 30, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Amount shown represents 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 June 30, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2023. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $63,939,689 | $— | $63,939,689 | ||||
Foreign Government Obligations | — | 12,120,240 | — | 12,120,240 | ||||
Short-Term Investment | 2,452,803 | — | — | 2,452,803 | ||||
TOTAL INVESTMENTS | $2,452,803 | $76,059,929 | $— | $78,512,732 |
% of Net Assets | ||
Banks | 23.7% | |
Electric | 15.9 | |
Foreign Government Obligations | 15.2 | |
Oil & Gas | 7.4 | |
Pipelines | 7.1 | |
Chemicals | 4.5 | |
Telecommunications | 4.3 | |
Commercial Services | 3.5 | |
Mining | 3.0 | |
Oil & Gas Services | 1.6 | |
Iron/Steel | 1.5 | |
Investment Company Security | 1.5 | |
Holding Companies-Diversified | 1.4 | |
Transportation | 1.3 | |
Construction Materials | 1.1 | |
Food | 1.0 | |
Energy-Alternate Sources | 0.7 | |
Engineering & Construction | 0.4 | |
Media | 0.2 | |
Agriculture | 0.2 | |
Diversified Financial Services | 0.1 | |
Short-Term Investment | 3.1 | |
Other Assets in Excess of Liabilities | 1.3 | |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 681,102 | $681,102 | $35,856,265 | $34,084,564 | $— | $— | 2,452,803 | $2,452,803 | $100,724 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 15.2% | ||||||
AEROSPACE & DEFENSE — 0.2% | ||||||
Raytheon Technologies Corp. 5.00%, 2/27/2026 | $ 305,000 | $ 304,640 | ||||
AGRICULTURE — 0.2% | ||||||
Philip Morris International, Inc. 4.88%, 2/13/2026 | 305,000 | 302,816 | ||||
AUTO MANUFACTURERS — 0.5% | ||||||
General Motors Financial Co., Inc. 5.25%, 3/1/2026 | 305,000 | 300,254 | ||||
Hyundai Capital America 1.00%, 9/17/2024 (a) | 325,000 | 305,770 | ||||
606,024 | ||||||
BANKS — 3.8% | ||||||
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029 (b) | 100,000 | 97,387 | ||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 200,000 | 191,588 | ||||
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (b) | 150,000 | 137,724 | ||||
Bank Hapoalim BM 5 Year CMT + 2.16%, 3.26%, 1/21/2032 (a) (b) | 200,000 | 171,303 | ||||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (a) (b) | 200,000 | 178,688 | ||||
Bank of America Corp. Series MTN, 3 Month SOFR + 1.23%, 3.46%, 3/15/2025 (b) | 300,000 | 294,054 | ||||
Bank of Montreal SOFR + 0.71%, 5.80%, 3/8/2024 (b) | 300,000 | 299,847 | ||||
Bank of Nova Scotia 4.75%, 2/2/2026 | 305,000 | 300,340 | ||||
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (b) | 200,000 | 192,670 | ||||
Citigroup, Inc.: | ||||||
SOFR + 1.53%, 3.29%, 3/17/2026 (b) | 130,000 | 124,396 | ||||
3 Month SOFR + 1.16%, 3.35%, 4/24/2025 (b) | 335,000 | 327,489 | ||||
Goldman Sachs Group, Inc. 3.50%, 4/1/2025 | 310,000 | 297,575 | ||||
JPMorgan Chase & Co.: | ||||||
3 Month SOFR + 1.42%, 3.22%, 3/1/2025 (b) | 150,000 | 147,143 |
Security Description | Principal Amount | Value | ||||
3.90%, 7/15/2025 | $ 285,000 | $ 277,898 | ||||
Morgan Stanley Series MTN, SOFR + 0.46%, 5.52%, 1/25/2024 (b) | 275,000 | 274,741 | ||||
Multibank, Inc. 7.75%, 2/3/2028 (a) | 200,000 | 203,266 | ||||
PNC Financial Services Group, Inc. SOFR + 1.32%, 5.81%, 6/12/2026 (b) | 155,000 | 154,186 | ||||
Royal Bank of Canada 3.38%, 4/14/2025 | 310,000 | 298,617 | ||||
Toronto-Dominion Bank Series MTN, 0.70%, 9/10/2024 | 320,000 | 301,555 | ||||
Truist Financial Corp. SOFR + 1.46%, 4.26%, 7/28/2026 (b) | 310,000 | 297,823 | ||||
Wells Fargo & Co. Series MTN, 3 Month SOFR + 1.09%, 2.41%, 10/30/2025 (b) | 315,000 | 300,129 | ||||
4,868,419 | ||||||
BEVERAGES — 0.3% | ||||||
Constellation Brands, Inc. 5.00%, 2/2/2026 | 315,000 | 313,901 | ||||
BIOTECHNOLOGY — 0.5% | ||||||
Amgen, Inc. 5.51%, 3/2/2026 | 300,000 | 299,271 | ||||
Royalty Pharma PLC: | ||||||
0.75%, 9/2/2023 | 265,000 | 262,475 | ||||
1.75%, 9/2/2027 | 45,000 | 38,741 | ||||
600,487 | ||||||
CHEMICALS — 0.3% | ||||||
Braskem Netherlands Finance BV 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (b) | 200,000 | 203,796 | ||||
Sasol Financing USA LLC 4.38%, 9/18/2026 | 200,000 | 177,112 | ||||
380,908 | ||||||
COMMERCIAL SERVICES — 0.5% | ||||||
Adani International Container Terminal Pvt Ltd. Series REGS, 3.00%, 2/16/2031 | 183,000 | 143,327 | ||||
Adani Ports & Special Economic Zone Ltd. 4.00%, 7/30/2027 | 200,000 | 169,406 | ||||
Triton Container International Ltd. 0.80%, 8/1/2023 (a) | 305,000 | 303,643 | ||||
616,376 |
Security Description | Principal Amount | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.7% | ||||||
American Express Co. SOFR + 1.00%, 4.99%, 5/1/2026 (b) | $ 300,000 | $ 296,604 | ||||
Avolon Holdings Funding Ltd. 5.13%, 10/1/2023 (a) | 290,000 | 288,939 | ||||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (b) | 285,000 | 276,176 | ||||
861,719 | ||||||
ELECTRIC — 1.5% | ||||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 104,300 | 94,468 | ||||
Entergy Louisiana LLC 0.95%, 10/1/2024 | 310,000 | 292,426 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 282,353 | 264,353 | ||||
Minejesa Capital BV Series REGS, 4.63%, 8/10/2030 | 400,000 | 358,960 | ||||
Pacific Gas & Electric Co.: | ||||||
3.25%, 2/16/2024 | 175,000 | 171,727 | ||||
4.95%, 6/8/2025 | 115,000 | 111,605 | ||||
Southern California Edison Co. 4.90%, 6/1/2026 | 300,000 | 295,818 | ||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | 300,000 | 277,959 | ||||
1,867,316 | ||||||
ENGINEERING & CONSTRUCTION — 0.1% | ||||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 133,586 | 93,514 | ||||
ENTERTAINMENT — 0.3% | ||||||
WarnerMedia Holdings, Inc. 3.79%, 3/15/2025 | 325,000 | 314,054 | ||||
ENVIRONMENTAL CONTROL — 0.2% | ||||||
Republic Services, Inc. 2.50%, 8/15/2024 | 315,000 | 303,950 | ||||
HEALTH CARE PRODUCTS — 0.2% | ||||||
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | 320,000 | 301,590 | ||||
HEALTH CARE SERVICES — 0.5% | ||||||
Elevance Health, Inc. 3.50%, 8/15/2024 | 305,000 | 297,256 | ||||
HCA, Inc. 5.00%, 3/15/2024 | 315,000 | 312,842 | ||||
610,098 |
Security Description | Principal Amount | Value | ||||
INSURANCE — 0.2% | ||||||
Athene Global Funding SOFR + 0.70%, 5.79%, 5/24/2024 (a) (b) | $ 305,000 | $ 301,941 | ||||
INTERNET — 0.4% | ||||||
Expedia Group, Inc. 6.25%, 5/1/2025 (a) | 295,000 | 295,985 | ||||
Meta Platforms, Inc. 4.60%, 5/15/2028 | 180,000 | 178,114 | ||||
474,099 | ||||||
LODGING — 0.3% | ||||||
Marriott International, Inc. 3.60%, 4/15/2024 | 315,000 | 309,752 | ||||
MACHINERY, CONSTRUCTION & MINING — 0.2% | ||||||
Caterpillar Financial Services Corp. 4.35%, 5/15/2026 | 305,000 | 300,233 | ||||
MACHINERY-DIVERSIFIED — 0.2% | ||||||
John Deere Capital Corp. 4.75%, 1/20/2028 | 285,000 | 284,570 | ||||
MINING — 0.2% | ||||||
Freeport-McMoRan, Inc. 4.13%, 3/1/2028 | 50,000 | 46,949 | ||||
Glencore Funding LLC 1.63%, 9/1/2025 (a) | 245,000 | 224,971 | ||||
271,920 | ||||||
MISCELLANEOUS MANUFACTURER — 0.2% | ||||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 300,000 | 294,042 | ||||
OIL & GAS — 0.2% | ||||||
ONGC Videsh Ltd. 4.63%, 7/15/2024 | 200,000 | 197,180 | ||||
Petrobras Global Finance BV 7.38%, 1/17/2027 | 100,000 | 104,052 | ||||
301,232 | ||||||
PIPELINES — 0.8% | ||||||
AI Candelaria Spain SA Series REGS, 7.50%, 12/15/2028 | 220,833 | 206,965 | ||||
Energy Transfer LP 5.88%, 1/15/2024 | 305,000 | 304,784 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 305,920 | 297,666 | ||||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | 200,000 | 193,042 | ||||
1,002,457 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.3% | ||||||
Welltower OP LLC REIT, 3.63%, 3/15/2024 | 320,000 | 314,230 |
Security Description | Principal Amount | Value | ||||
RETAIL — 0.2% | ||||||
Dollar Tree, Inc. 4.00%, 5/15/2025 | $ 300,000 | $ 290,661 | ||||
SEMICONDUCTORS — 0.7% | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.88%, 1/15/2027 | 60,000 | 57,228 | ||||
Broadcom, Inc. 3.15%, 11/15/2025 | 255,000 | 242,327 | ||||
Microchip Technology, Inc. 0.97%, 2/15/2024 | 315,000 | 304,920 | ||||
NXP BV/NXP Funding LLC/NXP USA, Inc. 4.40%, 6/1/2027 | 310,000 | 299,584 | ||||
904,059 | ||||||
SOFTWARE — 0.2% | ||||||
Oracle Corp. 5.80%, 11/10/2025 | 305,000 | 308,425 | ||||
TELECOMMUNICATIONS — 0.7% | ||||||
KT Corp. Series REGS, 2.50%, 7/18/2026 | 200,000 | 182,922 | ||||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 180,000 | 158,031 | ||||
SingTel Group Treasury Pte. Ltd. Class EMTN, 3.25%, 6/30/2025 | 200,000 | 192,292 | ||||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 6.42%, 5/15/2025 (b) | 300,000 | 302,112 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 200,000 | 104,016 | ||||
939,373 | ||||||
TRANSPORTATION — 0.4% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 330,000 | 310,230 | ||||
MV24 Capital BV 6.75%, 6/1/2034 | 168,118 | 151,239 | ||||
461,469 | ||||||
TRUCKING & LEASING — 0.2% | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 4.40%, 7/1/2027 (a) | 315,000 | 297,385 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $20,152,113) | 19,401,660 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 25.4% | |||||
AUTOMOBILE — 1.8% | |||||
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026 (a) | $ 600,000 | $ 575,194 | |||
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%, 1/15/2026 | 183,460 | 181,164 | |||
GLS Auto Receivables Issuer Trust Series 2021-2A, Class C, 1.08%, 6/15/2026 (a) | 500,000 | 485,724 | |||
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025 (a) | 350,000 | 327,161 | |||
Santander Drive Auto Receivables Trust Series 2020-4, Class D, 1.48%, 1/15/2027 | 750,000 | 724,734 | |||
2,293,977 | |||||
OTHER ABS — 23.5% | |||||
ACREC Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 6.31%, 10/16/2036 (a) (b) | 176,173 | 173,622 | |||
Affirm Asset Securitization Trust Series 2022-A, Class A, 4.30%, 5/17/2027 (a) | 500,000 | 486,575 | |||
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR + 1.21%, 6.47%, 10/15/2034 (a) (b) | 1,500,000 | 1,460,850 | |||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1, Class A, SOFR30A + 1.45%, 6.52%, 1/15/2037 (a) (b) | 250,000 | 245,477 | |||
Bain Capital Credit CLO Ltd. Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 6.40%, 4/19/2034 (a) (b) | 500,000 | 490,457 | |||
BDS LLC Series 2022-FL11, Class ATS, 1 Month USD Term LIBOR + 1.80%, 6.88%, 3/19/2039 (a) (b) | 250,000 | 246,655 | |||
BDS Ltd. Series 2021-FL9, Class A, 1 Month USD LIBOR + 1.07%, 6.23%, 11/16/2038 (a) (b) | 150,000 | 145,242 | |||
BRSP Ltd. Series 2021-FL1, Class A, 1 Month USD Term LIBOR + 1.26%, 6.36%, 8/19/2038 (a) (b) | 151,000 | 146,817 |
Security Description | Principal Amount | Value | |||
BSPRT Issuer Ltd.: | |||||
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.32%, 6.51%, 12/15/2038 (a) (b) | $ 200,000 | $ 195,646 | |||
Series 2022-FL8, Class A, SOFR30A + 1.50%, 6.57%, 2/15/2037 (a) (b) | 200,000 | 195,640 | |||
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 6.29%, 3/15/2036 (a) (b) | 138,000 | 135,348 | |||
Carlyle U.S. CLO Ltd. Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.14%, 6.40%, 4/15/2034 (a) (b) | 1,000,000 | 982,692 | |||
CarVal CLO IV Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, 6.43%, 7/20/2034 (a) (b) | 500,000 | 491,600 | |||
CHCP Ltd. Series 2021-FL1, Class A, 1 Month USD Term LIBOR + 1.16%, 6.27%, 2/15/2038 (a) (b) | 202,476 | 198,365 | |||
CQS U.S. CLO Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.22%, 6.47%, 1/20/2035 (a) (b) | 1,000,000 | 973,200 | |||
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR + 1.01%, 3.31%, 10/25/2034 (b) | 533,262 | 480,287 | |||
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 420,185 | 385,152 | |||
FS Rialto Issuer LLC: | |||||
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 6.41%, 11/16/2036 (a) (b) | 181,000 | 175,150 | |||
Series 2022-FL5, Class A, 1 Month USD Term LIBOR + 2.30%, 7.39%, 6/19/2037 (a) (b) | 300,000 | 297,390 | |||
Series 2022-FL4, Class AS, SOFR30A + 2.40%, 7.47%, 1/19/2039 (a) (b) | 250,000 | 247,059 | |||
Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.33%, 6.44%, 5/16/2038 (a) (b) | 147,513 | 143,985 |
Security Description | Principal Amount | Value | |||
Greystone CRE Notes Ltd. Series 2021-FL3, Class A, 1 Month USD Term LIBOR + 1.13%, 6.28%, 7/15/2039 (a) (b) | $ 200,000 | $ 195,275 | |||
HalseyPoint CLO 3 Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 6.75%, 11/30/2032 (a) (b) | 1,150,000 | 1,138,040 | |||
Jamestown CLO XV Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.34%, 6.60%, 4/15/2033 (a) (b) | 500,000 | 495,350 | |||
KREF Ltd. Series 2021-FL2, Class AS, 1 Month USD LIBOR + 1.30%, 6.46%, 2/15/2039 (a) (b) | 250,000 | 235,816 | |||
LCCM Trust: | |||||
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.56%, 6.71%, 11/15/2038 (a) (b) | 181,000 | 177,726 | |||
Series 2021-FL2, Class A, 1 Month USD Term LIBOR + 1.31%, 6.46%, 12/13/2038 (a) (b) | 151,000 | 147,616 | |||
LoanCore Issuer Ltd. Series 2022-CRE7, Class A, SOFR30A + 1.55%, 6.62%, 1/17/2037 (a) (b) | 500,000 | 490,107 | |||
Loanpal Solar Loan Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048 (a) | 327,908 | 262,786 | |||
Marble Point CLO XXI Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR + 1.24%, 6.50%, 10/17/2034 (a) (b) | 2,000,000 | 1,948,238 | |||
Marlette Funding Trust Series 2021-1A, Class C, 1.41%, 6/16/2031 (a) | 650,000 | 638,011 | |||
MF1 Ltd.: | |||||
Series 2022-FL8, Class A, SOFR30A + 1.35%, 6.42%, 2/19/2037 (a) (b) | 347,000 | 338,359 | |||
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.08%, 6.24%, 10/16/2036 (a) (b) | 192,000 | 187,347 | |||
Series 2021-FL6, Class A, 1 Month USD Term LIBOR + 1.21%, 6.32%, 7/16/2036 (a) (b) | 250,000 | 245,245 | |||
MP CLO VIII Ltd. Series 2015-2A, Class ARR, 3 Month USD LIBOR + 1.20%, 6.47%, 4/28/2034 (a) (b) | 500,000 | 485,200 |
Security Description | Principal Amount | Value | |||
Northwoods Capital XVI Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 6.59%, 11/15/2030 (a) (b) | $ 979,684 | $ 971,160 | |||
Octagon Investment Partners 51 Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.15%, 6.40%, 7/20/2034 (a) (b) | 1,000,000 | 980,000 | |||
Pagaya AI Debt Selection Trust: | |||||
Series 2021-3, Class B, 1.74%, 5/15/2029 (a) | 999,946 | 961,091 | |||
Series 2021-5, Class B, 2.63%, 8/15/2029 (a) | 999,882 | 948,957 | |||
Pagaya AI Debt Trust Series 2023-1, Class A, 7.56%, 7/15/2030 (a) | 453,939 | 455,192 | |||
Peace Park CLO Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.13%, 6.38%, 10/20/2034 (a) (b) | 1,000,000 | 982,635 | |||
Regatta VI Funding Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 6.41%, 4/20/2034 (a) (b) | 1,000,000 | 980,800 | |||
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 6.40%, 1/20/2035 (a) (b) | 2,265,000 | 2,220,832 | |||
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | 352,943 | 296,712 | |||
Shackleton CLO Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.12%, 6.38%, 7/15/2030 (a) (b) | 411,907 | 408,200 | |||
Sound Point CLO XIV Ltd. Series 2016-3A, Class AR2, 3 Month USD LIBOR + 0.99%, 6.26%, 1/23/2029 (a) (b) | 617,872 | 615,710 | |||
Sound Point CLO XXVI Ltd. Series 2020-1A, Class AR, 3 Month USD LIBOR + 1.17%, 6.42%, 7/20/2034 (a) (b) | 1,000,000 | 976,679 | |||
TRTX Issuer Ltd. Series 2022-FL5, Class A, SOFR30A + 1.65%, 6.72%, 2/15/2039 (a) (b) | 200,000 | 194,055 | |||
Vibrant CLO VIII Ltd. Series 2018-8A, Class A1A, 3 Month SOFR + 1.4%, 6.45%, 1/20/2031 (a) (b) | 466,067 | 462,702 | |||
VMC Finance LLC Series 2022-FL5, Class A, SOFR30A + 1.90%, 6.97%, 2/18/2039 (a) (b) | 640,000 | 623,117 |
Security Description | Principal Amount | Value | |||
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c) | $ 378,216 | $ 344,327 | |||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (c) | 1,337,425 | 1,217,590 | |||
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 3.91%, 10/25/2036 (b) | 273,104 | 97,704 | |||
Wellfleet CLO Ltd. Series 2020-2A, Class AR, 3 Month USD LIBOR + 1.22%, 6.48%, 7/15/2034 (a) (b) | 1,000,000 | 975,400 | |||
29,995,188 | |||||
STUDENT LOAN ABS — 0.1% | |||||
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045 (a) | 116,238 | 107,426 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (a) | 23,349 | 22,690 | |||
130,116 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $33,211,314) | 32,419,281 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.6% | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bonds 4.50%, 1/28/2026 | 200,000 | 190,352 | |||
DOMINICAN REPUBLIC ��� 0.1% | |||||
Dominican Republic International Bonds 5.50%, 1/27/2025 | 100,000 | 98,485 | |||
PANAMA — 0.2% | |||||
Panama Government International Bonds 3.75%, 3/16/2025 | 250,000 | 241,975 | |||
SOUTH AFRICA — 0.2% | |||||
Republic of South Africa Government International Bonds 4.88%, 4/14/2026 | 200,000 | 191,506 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $771,931) | 722,318 |
Security Description | Principal Amount | Value | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.4% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.00%, 3/1/2036 | $ 1,253,554 | $ 1,111,333 | |||
2.00%, 11/1/2036 | 993,796 | 884,142 | |||
Federal Home Loan Mortgage Corp. REMICS: | |||||
Series 4211, Class AP, 1.60%, 3/15/2043 | 743,775 | 678,906 | |||
Series 4461, Class BA, CMO, 2.00%, 12/15/2043 | 479,635 | 437,473 | |||
Series 5179, Class GD, CMO, 2.00%, 12/25/2047 | 881,267 | 753,149 | |||
Series 4030, ClassAN, CMO, REMIC, 1.75%, 4/15/2027 | 247,275 | 237,633 | |||
Series 4484, ClassCD, CMO, REMIC, 1.75%, 7/15/2030 | 60,452 | 55,979 | |||
Federal National Mortgage Association: | |||||
1.50%, 5/1/2036 | 949,580 | 822,175 | |||
2.00%, 9/1/2036 | 801,938 | 710,942 | |||
3.00%, 11/1/2033 | 638,710 | 602,585 | |||
3.00%, 11/1/2036 | 153,464 | 142,183 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 5.62%, 12/25/2040 (b) | 131,392 | 129,825 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 148,527 | 146,160 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 5.60%, 3/25/2046 (b) | 217,833 | 211,881 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 5.45%, 12/25/2047 (b) | 153,567 | 147,813 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 5.45%, 6/25/2048 (b) | 170,663 | 164,288 | |||
Federal National Mortgage Association-Aces Series 2020-M49, Class 1A1, VRN, 1.30%, 11/25/2030 (b) | 1,051,225 | 912,331 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $9,215,716) | 8,148,798 | ||||
U.S. TREASURY OBLIGATIONS — 27.7% | |||||
U.S. Treasury Bill: | |||||
4.85%, 7/25/2023 | 3,750,000 | 3,738,542 |
Security Description | Principal Amount | Value | |||
5.07%, 8/10/2023 | $ 15,000,000 | $ 14,918,735 | |||
U.S. Treasury Notes: | |||||
3.00%, 7/15/2025 | 5,000,000 | 4,818,750 | |||
4.25%, 10/15/2025 | 12,000,000 | 11,865,938 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,490,116) | 35,341,965 | ||||
MORTGAGE-BACKED SECURITIES — 9.5% | |||||
Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8, Class 2A1A, CMO, 4.29%, 7/25/2037 (b) | 3,081,083 | 2,446,044 | |||
Countrywide Alternative Loan Trust: | |||||
Series 2006-J7, Class 1A3, 6.25%, 11/25/2036 | 414,884 | 212,447 | |||
Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | 239,537 | 135,183 | |||
CSMC Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060 (a) (b) | 808,234 | 783,652 | |||
Legacy Mortgage Asset Trust: | |||||
Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (a) (c) | 380,094 | 354,353 | |||
Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (a) (c) | 322,380 | 298,147 | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 5.47%, 11/25/2036 (b) | 2,524,421 | 2,338,863 | |||
Preston Ridge Partners Mortgage LLC Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (c) | 1,637,312 | 1,551,010 | |||
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036 | 2,597,779 | 642,833 | |||
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060 (a) (b) | 880,052 | 824,447 | |||
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (c) | 785,017 | 716,893 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 3.44%, 12/25/2036 (b) | 1,835,844 | 1,612,810 |
Security Description | Principal Amount | Value | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 5.50%, 10/25/2035 (b) | $ 283,499 | $ 262,684 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $13,736,016) | 12,179,366 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 6.1% | |||||
ACREC LLC Series 2023-FL2, Class A, 1 Month USD Term LIBOR + 2.23%, 7.32%, 2/19/2038 (a) (b) | 250,000 | 247,620 | |||
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (a) | 139,000 | 122,294 | |||
AREIT Trust Series 2022-CRE6, Class A, SOFR30A + 1.25%, 6.32%, 1/20/2037 (a) (b) | 93,404 | 91,027 | |||
Bank: | |||||
Series 2017-BNK6, Class XA, IO, 0.91%, 7/15/2060 (b) | 996,488 | 23,470 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.34%, 3/15/2063 (b) | 1,299,544 | 75,854 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B1, Class XA, IO, 0.68%, 1/15/2051 (b) | 1,618,810 | 30,970 | |||
Series 2019-B15, Class XA, IO, VRN, 0.93%, 12/15/2072 (b) | 4,046,926 | 149,200 | |||
BPR Trust: | |||||
Series 2021-TY, Class A, 1 Month USD LIBOR + 1.05%, 6.24%, 9/15/2038 (a) (b) | 192,000 | 182,379 | |||
Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 7.05%, 4/15/2037 (a) (b) | 250,000 | 243,399 | |||
BX Commercial Mortgage Trust Series 2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 5.92%, 10/15/2036 (a) (b) | 134,847 | 130,474 | |||
BX Trust: | |||||
Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 6.47%, 6/15/2036 (a) (b) | 299,000 | 275,160 |
Security Description | Principal Amount | Value | |||
Series 2022-PSB, Class A, 1 Month USD Term LIBOR + 2.45%, 7.60%, 8/15/2039 (a) (b) | $ 133,893 | $ 133,386 | |||
BXHPP Trust Series 2021-FILM, Class B, 1 Month USD LIBOR + 0.90%, 6.09%, 8/15/2036 (a) (b) | 224,000 | 207,527 | |||
BXMT Ltd. Series 2021-FL4, Class A, 1 Month USD Term LIBOR + 1.16%, 6.31%, 5/15/2038 (a) (b) | 138,000 | 133,487 | |||
Cantor Commercial Real Estate Lending Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) (b) | 163,000 | 144,937 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2019-PRM, Class D, 4.35%, 5/10/2036 (a) | 261,000 | 258,491 | |||
Series 2016-GC37, Class XA, IO, 1.82%, 4/10/2049 (b) | 377,555 | 12,761 | |||
CLNC Ltd. Series 2019-FL1, Class AS, ABS, 1 Month USD Term LIBOR + 1.66%, 6.76%, 8/20/2035 (a) (b) | 131,000 | 127,288 | |||
COMM Mortgage Trust: | |||||
Series 2014-UBS5, Class A3, 3.57%, 9/10/2047 | 200,000 | 194,805 | |||
Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | 200,000 | 190,465 | |||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.10%, 6.29%, 9/15/2033 (a) (b) | 70,000 | 64,054 | |||
Series 2015-CR25, Class XA, IO, 0.95%, 8/10/2048 (b) | 1,069,805 | 14,487 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.24%, 6/15/2050 (b) | 241,109 | 7,976 | |||
Series 2017-CX10, Class XA, IO, 0.89%, 11/15/2050 (b) | 842,097 | 19,921 | |||
Series 2017-CX9, Class XA, IO, 0.79%, 9/15/2050 (b) | 1,250,120 | 19,601 | |||
EQUS Mortgage Trust Series 2021-EQAZ, Class A, 1 Month USD LIBOR + 0.75%, 5.95%, 10/15/2038 (a) (b) | 180,996 | 175,803 | |||
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 6.27%, 7/15/2038 (a) (b) | 144,561 | 141,687 |
Security Description | Principal Amount | Value | |||
FS Rialto Issuer LLC Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 6.36%, 12/16/2036 (a) (b) | $ 67,021 | $ 66,774 | |||
GPMT Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 6.41%, 7/16/2035 (a) (b) | 56,623 | 55,845 | |||
GS Mortgage Securities Corportation Trust Series 2021-IP, Class A, 1 Month USD LIBOR + 0.95%, 6.14%, 10/15/2036 (a) (b) | 181,000 | 170,266 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-GS7, Class XA, IO, 1.23%, 8/10/2050 (b) | 371,572 | 12,129 | |||
Series 2020-GC47, Class XA, IO, VRN, 1.24%, 5/12/2053 (b) | 2,110,415 | 120,304 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 6.15%, 7/15/2036 (a) (b) | 32,968 | 32,747 | |||
Series 2022-NLP, Class A, 1 Month USD LIBOR + 0.60%, 5.74%, 4/15/2037 (a) (b) | 187,129 | 171,460 | |||
Series 2016-JP4, Class XA, IO, 0.71%, 12/15/2049 (b) | 1,346,583 | 19,731 | |||
JPMBB Commercial Mortgage Securities Trust Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (b) | 150,000 | 134,888 | |||
JPMCC Commercial Mortgage Securities Trust Series 2019-COR5, Class XA, IO, VRN, 1.63%, 6/13/2052 (b) | 1,082,408 | 64,065 | |||
LoanCore Issuer Ltd.: | |||||
Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 6.69%, 5/15/2036 (a) (b) | 57,252 | 56,148 | |||
Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 6.56%, 4/15/2034 (a) (b) | 29,180 | 29,131 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 Month USD Term LIBOR + 1.31%, 6.46%, 7/15/2036 (a) (b) | 138,000 | 133,911 | |||
MHP Trust Series 2022-MHIL, Class A, 1 Month USD Term LIBOR + 0.81%, 5.96%, 1/15/2027 (a) (b) | 152,550 | 147,878 |
Security Description | Principal Amount | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 0.95%, 4/15/2047 (b) | $ 480,196 | $ 481 | |||
Series 2014-C19, Class LNCX, IO, 0.76%, 12/15/2046 (a) (b) | 1,130,145 | 6,805 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 6.49%, 5/15/2036 (a) (b) | 163,000 | 151,775 | |||
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 6.94%, 5/15/2036 (a) (b) | 127,000 | 108,190 | |||
Series 2021-L6, Class A2, 2.13%, 6/15/2054 (b) | 151,000 | 133,276 | |||
Series 2016-UB12, Class XA, IO, 0.79%, 12/15/2049 (b) | 1,328,985 | 23,901 | |||
MSC Trust Series 2021-ILP, Class A, 1 Month USD LIBOR + 0.78%, 5.97%, 11/15/2023 (a) (b) | 180,403 | 175,401 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 6.09%, 10/15/2037 (a) (b) | 72,196 | 71,239 | |||
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 6.14%, 6/15/2035 (a) (b) | 32,473 | 30,649 | |||
Ready Capital Mortgage Financing LLC Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.20%, 6.35%, 11/25/2036 (a) (b) | 107,944 | 105,261 | |||
RIAL Issuer Ltd. Series 2022-FL8, Class A, 1 Month USD Term LIBOR + 2.25%, 7.34%, 1/19/2037 (a) (b) | 250,000 | 245,556 | |||
SMR Mortgage Trust Series 2022-IND, Class A, 1 Month USD Term LIBOR + 1.65%, 6.80%, 2/15/2039 (a) (b) | 149,364 | 142,282 | |||
SREIT Trust Series 2021-MFP, Class A, 1 Month USD LIBOR + 0.73%, 5.92%, 11/15/2038 (a) (b) | 181,000 | 175,686 | |||
Starwood Ltd. Series 2019-FL1, Class AS, 1 Month USD Term LIBOR + 1.51%, 6.62%, 7/15/2038 (a) (b) | 100,000 | 96,891 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.69%, 6/15/2050 (b) | 599,979 | 26,009 |
Security Description | Principal Amount | Value | ||||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b) | $ 249,645 | $ 236,317 | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2021-C60, Class A2, 2.04%, 8/15/2054 | 151,000 | 134,136 | ||||
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.15%, 6.34%, 2/15/2040 (a) (b) | 90,902 | 85,494 | ||||
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.45%, 6.64%, 2/15/2040 (a) (b) | 90,902 | 83,093 | ||||
Series 2022-ONL, Class A, 3.86%, 12/15/2039 (a) | 500,000 | 446,862 | ||||
Series 2019-C51, Class XA, IO, VRN, 1.48%, 6/15/2052 (b) | 977,033 | 53,655 | ||||
Series 2019-C52, Class XA, IO, VRN, 1.75%, 8/15/2052 (b) | 2,872,560 | 190,191 | ||||
WFRBS Commercial Mortgage Trust: | ||||||
Series 2014-C21, Class AS, 3.89%, 8/15/2047 | 250,000 | 237,852 | ||||
Series 2013-C18, Class XA, IO, 0.88%, 12/15/2046 (b) | 703,122 | 793 | ||||
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (b) | 235,000 | 225,269 | ||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $9,153,327) | 7,820,864 | |||||
SENIOR FLOATING RATE LOANS — 5.6% | ||||||
BROADLINE RETAIL — 0.2% | ||||||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.90%, 3/15/2028 (b) | 267,621 | 265,848 | ||||
BUILDING PRODUCTS — 0.4% | ||||||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.95%, 3/1/2027 (b) | 440,886 | 440,921 | ||||
CAPITAL MARKETS — 0.0% (d) | ||||||
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD SOFR + 2.50%, 7.60%, 6/30/2028 (b) | 34,472 | 34,123 |
Security Description | Principal Amount | Value | |||
CASINO SERVICES — 0.3% | |||||
Stars Group Holdings BV Senior Secured 2018 USD Incremental Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/21/2026 (b) | $ 358,465 | $ 358,870 | |||
CHEMICALS — 0.2% | |||||
Axalta Coating Systems U.S. Holdings, Inc. 2022 USD Term Loan B4, 3 Month USD SOFR + 3.00%, 8.22%, 12/20/2029 (b) | 106,087 | 106,444 | |||
Element Solutions, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD SOFR + 2.00%, 7.10%, 1/31/2026 (b) | 129,726 | 129,847 | |||
236,291 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.0% (d) | |||||
Aramark Services, Inc. Senior Secured 2023 Term Loan B6, 1 Week USD SOFR + 2.50%, 7.72%, 6/22/2030 | 10,000 | 10,013 | |||
DISTRIBUTION/WHOLESALE — 0.2% | |||||
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 7.60%, 2/11/2028 (b) | 293,985 | 293,434 | |||
ENTERTAINMENT — 0.2% | |||||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD SOFR + 2.13%, 7.33%, 1/20/2028 (b) | 277,767 | 277,358 | |||
FINANCIAL SERVICES — 0.7% | |||||
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD SOFR + 1.75%, 6.95%, 4/28/2028 (b) | 416,507 | 413,956 | |||
Setanta Aircraft Leasing Designated Activity Co. Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 7.54%, 11/5/2028 (b) | 185,000 | 185,248 | |||
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.95%, 11/16/2026 (b) | 185,468 | 185,223 | |||
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 7.45%, 12/16/2028 (b) | 39,400 | 39,105 | |||
823,532 |
Security Description | Principal Amount | Value | |||
FORESTRY — 0.3% | |||||
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.95%, 9/7/2027 (b) | $ 416,436 | $ 415,851 | |||
HEALTH CARE PROVIDERS & SERVICES — 0.5% | |||||
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 2/22/2028 (b) | 34,298 | 33,666 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.95%, 3/15/2028 (b) | 416,479 | 415,773 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (b) | 184,474 | 184,705 | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (b) | 45,962 | 46,019 | |||
680,163 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.0% (d) | |||||
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B, 1 Month USD SOFR + 2.25%, 7.45%, 5/24/2030 (b) | 35,000 | 35,059 | |||
HOUSEHOLD PRODUCTS — 0.3% | |||||
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD SOFR + 1.75%, 6.83%, 2/4/2027 (b) | 405,362 | 405,409 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.3% | |||||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.90%, 12/31/2025 (b) | 366,372 | 365,914 | |||
INTERNET & TELECOM — 0.3% | |||||
Go Daddy Operating Co. LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 8.08%, 11/9/2029 (b) | 306,199 | 307,142 | |||
MACHINERY — 0.1% | |||||
Ali Group North America Corp. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.08%, 7/30/2029 (b) | 71,589 | 71,669 |
Security Description | Principal Amount | Value | |||
MEDIA — 0.1% | |||||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD SOFR + 2.50%, 7.72%, 9/18/2026 (b) | $ 135,800 | $ 135,824 | |||
MRI/MEDICAL DIAG IMAGING — 0.2% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 7.29%, 6/11/2025 (b) | 271,862 | 272,117 | |||
PHARMACEUTICALS — 0.3% | |||||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 3 Month USD SOFR + 2.00%, 7.41%, 11/15/2027 (b) | 319,481 | 314,889 | |||
PROFESSIONAL SERVICES — 0.1% | |||||
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.47%, 12/1/2028 (b) | 89,250 | 89,143 | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.3% | |||||
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 6.94%, 1/2/2026(b) | 416,214 | 413,355 | |||
SOFTWARE — 0.4% | |||||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 9/12/2029 (b) | 246,026 | 245,104 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.97%, 4/16/2025 (b) | 310,801 | 310,853 | |||
555,957 | |||||
SPECIALTY RETAIL — 0.2% | |||||
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 8/4/2028 (b) | 273,601 | 273,551 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $7,066,022) | 7,076,433 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 3.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (e) (f) (Cost $3,869,754) | 3,869,754 | $ 3,869,754 | ||||
TOTAL INVESTMENTS — 99.5% (Cost $132,666,309) | 126,980,439 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 650,393 | |||||
NET ASSETS — 100.0% | $ 127,630,832 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 34.3% of net assets as of June 30, 2023, 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 June 30, 2023. 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 June 30, 2023. 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 June 30, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2023. |
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 | $ — | $ 19,401,660 | $— | $ 19,401,660 | ||||
Asset-Backed Securities | — | 32,419,281 | — | 32,419,281 | ||||
Foreign Government Obligations | — | 722,318 | — | 722,318 | ||||
U.S. Government Agency Obligations | — | 8,148,798 | — | 8,148,798 | ||||
U.S. Treasury Obligations | — | 35,341,965 | — | 35,341,965 | ||||
Mortgage-Backed Securities | — | 12,179,366 | — | 12,179,366 | ||||
Commercial Mortgage Backed Securities | — | 7,820,864 | — | 7,820,864 | ||||
Senior Floating Rate Loans | — | 7,076,433 | — | 7,076,433 | ||||
Short-Term Investment | 3,869,754 | — | — | 3,869,754 | ||||
TOTAL INVESTMENTS | $3,869,754 | $123,110,685 | $— | $126,980,439 |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,824,635 | $7,824,635 | $68,018,930 | $71,973,811 | $— | $— | 3,869,754 | $3,869,754 | $184,641 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 12.8% | |||||
AUSTRALIA — 0.2% | |||||
Glencore Funding LLC 1.63%, 4/27/2026 (a) | $ 1,555,000 | $ 1,401,988 | |||
Macquarie Group Ltd. SOFR + 1.53%, 2.87%, 1/14/2033 (a) (b) | 3,345,000 | 2,670,581 | |||
Westpac Banking Corp. 5 Year CMT + 1.53%, 3.02%, 11/18/2036 (b) | 2,920,000 | 2,234,764 | |||
6,307,333 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049 | 2,225,000 | 2,343,348 | |||
BERMUDA — 0.1% | |||||
Triton Container International Ltd./TAL International Container Corp. 3.25%, 3/15/2032 | 2,790,000 | 2,191,433 | |||
BRAZIL — 0.3% | |||||
Banco do Brasil SA Series REGS, 10 Year CMT + 6.36%, 9.00%, 6/18/2024 (b) | 1,100,000 | 1,104,400 | |||
Banco do Estado do Rio Grande do Sul SA Series REGS, VRN, 5 Year CMT + 4.93%, 5.38%, 1/28/2031 (b) | 500,000 | 450,565 | |||
Braskem Netherlands Finance BV 5 Year CMT + 8.22%, 8.50%, 1/23/2081 (b) | 1,100,000 | 1,120,878 | |||
BRF SA 4.88%, 1/24/2030 | 400,000 | 323,620 | |||
Cosan Luxembourg SA: | |||||
7.00%, 1/20/2027 | 200,000 | 200,078 | |||
7.50%, 6/27/2030 (a) | 600,000 | 593,718 | |||
Cosan Overseas Ltd. 8.25%, 8/5/2023 | 900,000 | 894,973 | |||
Guara Norte SARL 5.20%, 6/15/2034 | 795,834 | 693,737 | |||
MARB BondCo PLC 3.95%, 1/29/2031 | 500,000 | 357,555 | |||
MC Brazil Downstream Trading SARL 7.25%, 6/30/2031 | 579,751 | 391,807 | |||
Minerva Luxembourg SA 4.38%, 3/18/2031 | 700,000 | 547,890 | |||
Movida Europe SA 5.25%, 2/8/2031 | 400,000 | 324,892 | |||
MV24 Capital BV 6.75%, 6/1/2034 | 924,649 | 831,814 | |||
NBM U.S. Holdings, Inc.: | |||||
6.63%, 8/6/2029 | 200,000 | 182,942 |
Security Description | Principal Amount | Value | |||
7.00%, 5/14/2026 | $ 200,000 | $ 194,274 | |||
Nexa Resources SA Series REGS, 5.38%, 5/4/2027 | 300,000 | 279,114 | |||
Petrobras Global Finance BV 6.75%, 6/3/2050 | 1,000,000 | 902,120 | |||
Simpar Europe SA 5.20%, 1/26/2031 | 200,000 | 158,712 | |||
Unigel Luxembourg SA 8.75%, 10/1/2026 | 400,000 | 130,148 | |||
9,683,237 | |||||
CANADA — 0.5% | |||||
1375209 BC Ltd. 9.00%, 1/30/2028 (a) | 79,000 | 79,197 | |||
Air Canada 3.88%, 8/15/2026 (a) | 550,000 | 509,894 | |||
Bank of Montreal 5 Year CMT + 1.40%, 3.09%, 1/10/2037 (b) | 2,850,000 | 2,231,294 | |||
Bank of Nova Scotia 3.45%, 4/11/2025 | 4,515,000 | 4,350,609 | |||
Bombardier, Inc. 7.88%, 4/15/2027 (a) | 490,000 | 488,854 | |||
Garda World Security Corp.: | |||||
4.63%, 2/15/2027 (a) | 615,000 | 563,297 | |||
6.00%, 6/1/2029 (a) | 350,000 | 287,819 | |||
GFL Environmental, Inc. 4.00%, 8/1/2028 (a) | 550,000 | 493,136 | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. 5.00%, 12/31/2026 (a) | 380,000 | 351,340 | |||
Mattamy Group Corp. 4.63%, 3/1/2030 (a) | 570,000 | 493,580 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (a) | 435,000 | 377,932 | |||
4.63%, 5/1/2030 (a) | 300,000 | 260,241 | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (a) | 325,000 | 278,294 | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (a) | 395,000 | 346,759 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (a) | 175,000 | 105,005 | |||
6.50%, 10/15/2027 (a) | 170,000 | 71,619 | |||
Tervita Corp. 11.00%, 12/1/2025 (a) | 237,000 | 252,106 | |||
Titan Acquisition Ltd./Titan Co.-Borrower LLC 7.75%, 4/15/2026 (a) | 410,000 | 372,378 | |||
Toronto-Dominion Bank 4.69%, 9/15/2027 | 2,295,000 | 2,246,920 | |||
14,160,274 |
Security Description | Principal Amount | Value | |||
CAYMAN ISLANDS — 0.0% (c) | |||||
Global Aircraft Leasing Co. Ltd. PIK, 6.50%, 9/15/2024 (a) | $ 584,188 | $ 535,064 | |||
CHILE — 0.1% | |||||
Agrosuper SA 4.60%, 1/20/2032 | 300,000 | 253,671 | |||
CAP SA 3.90%, 4/27/2031 (a) | 1,050,000 | 762,804 | |||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (a) | 900,000 | 696,744 | |||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 480,640 | 443,251 | |||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 900,000 | 723,573 | |||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 600,000 | 312,048 | |||
3,192,091 | |||||
CHINA — 0.1% | |||||
NXP BV/NXP Funding LLC/NXP USA, Inc. 3.88%, 6/18/2026 | 1,815,000 | 1,744,578 | |||
COLOMBIA — 0.2% | |||||
AI Candelaria Spain SA 5.75%, 6/15/2033 (a) | 1,265,000 | 939,111 | |||
Banco Davivienda SA VRN, 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (a) (b) | 600,000 | 440,994 | |||
Banco GNB Sudameris SA: | |||||
7.05%, 4/3/2027 (b) | 100,000 | 91,000 | |||
5 Year CMT + 6.66%, 7.50%, 4/16/2031 (b) | 150,000 | 121,841 | |||
Bancolombia SA VRN, 5 Year CMT + 2.94%, 4.63%, 12/18/2029 (b) | 600,000 | 511,038 | |||
Ecopetrol SA: | |||||
5.88%, 5/28/2045 | 200,000 | 136,426 | |||
5.88%, 11/2/2051 | 2,050,000 | 1,354,168 | |||
Empresas Publicas de Medellin ESP Series REGS, 4.25%, 7/18/2029 | 1,400,000 | 1,106,070 | |||
Grupo Aval Ltd. 4.38%, 2/4/2030 (a) | 300,000 | 235,395 | |||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | 500,000 | 440,045 | |||
5,376,088 | |||||
FRANCE — 0.1% | |||||
Altice France SA 5.50%, 10/15/2029 (a) | 460,000 | 330,643 |
Security Description | Principal Amount | Value | |||
TotalEnergies Capital International SA 3.39%, 6/29/2060 | $ 1,600,000 | $ 1,173,904 | |||
1,504,547 | |||||
GERMANY — 0.0% (c) | |||||
TK Elevator U.S. Newco, Inc. 5.25%, 7/15/2027 (a) | 325,000 | 300,492 | |||
GUATEMALA — 0.1% | |||||
Banco Industrial SA 5 Year CMT + 4.44%, 4.88%, 1/29/2031 (b) | 600,000 | 559,146 | |||
CT Trust 5.13%, 2/3/2032 | 800,000 | 644,072 | |||
Millicom International Cellular SA: | |||||
6.25%, 3/25/2029 | 180,000 | 161,310 | |||
6.63%, 10/15/2026 | 540,000 | 519,815 | |||
Series REGS, 5.13%, 1/15/2028 | 360,000 | 316,062 | |||
2,200,405 | |||||
HONG KONG — 0.0% (c) | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 325,000 | 255,479 | |||
INDIA — 0.2% | |||||
Adani Electricity Mumbai Ltd.: | |||||
Series REGS, 3.87%, 7/22/2031 | 400,000 | 281,602 | |||
Series REGS, 3.95%, 2/12/2030 | 400,000 | 297,164 | |||
Adani International Container Terminal Pvt Ltd. Series REGS, 3.00%, 2/16/2031 | 732,000 | 573,309 | |||
Adani Ports & Special Economic Zone Ltd.: | |||||
3.83%, 2/2/2032 | 700,000 | 510,566 | |||
4.00%, 7/30/2027 | 200,000 | 169,406 | |||
Series REGS, 4.38%, 7/3/2029 | 400,000 | 322,496 | |||
Adani Transmission Step-One Ltd. 4.00%, 8/3/2026 | 600,000 | 524,402 | |||
JSW Hydro Energy Ltd. 4.13%, 5/18/2031 (a) | 588,000 | 497,172 | |||
Network i2i Ltd.: | |||||
5 Year CMT + 4.27%, 5.65%, 1/15/2025 (b) | 400,000 | 388,672 | |||
Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099 (b) | 200,000 | 178,754 | |||
UPL Corp. Ltd.: | |||||
4.50%, 3/8/2028 | 1,300,000 | 1,164,489 | |||
4.63%, 6/16/2030 | 200,000 | 171,000 |
Security Description | Principal Amount | Value | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a) | $ 1,400,000 | $ 1,046,668 | |||
6,125,700 | |||||
INDONESIA — 0.1% | |||||
Freeport Indonesia PT: | |||||
5.32%, 4/14/2032 (a) | 400,000 | 378,976 | |||
6.20%, 4/14/2052 | 200,000 | 182,106 | |||
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT 5.45%, 5/15/2030 | 400,000 | 389,852 | |||
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 | 1,075,230 | 968,814 | |||
Minejesa Capital BV Series REGS, 5.63%, 8/10/2037 | 2,200,000 | 1,730,410 | |||
3,650,158 | |||||
IRELAND — 0.1% | |||||
Avolon Holdings Funding Ltd.: | |||||
2.13%, 2/21/2026 (a) | 1,670,000 | 1,484,062 | |||
3.25%, 2/15/2027 (a) | 785,000 | 700,542 | |||
2,184,604 | |||||
ISRAEL — 0.1% | |||||
Bank Hapoalim BM 5 Year CMT + 2.16%, 3.26%, 1/21/2032 (a) (b) | 1,400,000 | 1,199,120 | |||
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031 (a) (b) | 1,200,000 | 1,072,128 | |||
2,271,248 | |||||
JAMAICA — 0.0% (c) | |||||
Digicel Group Holdings Ltd.: | |||||
PIK, 7.00%, 12/31/2099 (a) | 643,886 | 70,827 | |||
PIK, 8.00%, 4/1/2025 (a) | 873,471 | 384,074 | |||
454,901 | |||||
KUWAIT — 0.0% (c) | |||||
MEGlobal BV Series REGS, 2.63%, 4/28/2028 | 700,000 | 609,876 | |||
MEGlobal Canada ULC 5.00%, 5/18/2025 | 200,000 | 195,862 | |||
805,738 | |||||
LUXEMBOURG — 0.0% (c) | |||||
Altice Financing SA 5.00%, 1/15/2028 (a) | 240,000 | 191,971 | |||
Altice France Holding SA 6.00%, 2/15/2028 (a) | 430,000 | 209,518 | |||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | 240,000 | 218,054 | |||
619,543 |
Security Description | Principal Amount | Value | |||
MALAYSIA — 0.0% (c) | |||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | $ 200,000 | $ 185,306 | |||
MEXICO — 0.2% | |||||
Banco Mercantil del Norte SA: | |||||
10 year CMT + 5.03%, 6.63%, 12/31/2099 (b) | 200,000 | 154,536 | |||
10 year CMT + 5.47%, 7.50%, 6/27/2029 (a) (b) | 1,400,000 | 1,218,336 | |||
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031 (b) | 1,000,000 | 838,660 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand SOFR + 0.30%, 5.95%, 10/1/2028 (b) | 700,000 | 695,611 | |||
BBVA Bancomer SA: | |||||
VRN, 5 Year CMT + 4.31%, 5.88%, 9/13/2034 (b) | 400,000 | 357,824 | |||
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (b) | 550,000 | 479,765 | |||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (b) | 200,000 | 192,670 | |||
Braskem Idesa SAPI 6.99%, 2/20/2032 | 500,000 | 320,345 | |||
Cemex SAB de CV: | |||||
5 Year CMT + 4.53%, 5.13%, 6/8/2026 (b) | 1,000,000 | 890,960 | |||
5 Year CMT + 4.91%, 9.13%, 3/14/2028 (a) (b) | 200,000 | 202,986 | |||
Credito Real SAB de CV SOFOM ER Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2027 (b) (d) | 500,000 | 5,455 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (a) | 282,000 | 62,108 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (b) (d) | 1,800,000 | 10,044 | |||
5,429,300 | |||||
NETHERLANDS — 0.0% (c) | |||||
VZ Secured Financing BV 5.00%, 1/15/2032 (a) | 575,000 | 463,738 | |||
PANAMA — 0.1% | |||||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 200,000 | 188,122 | |||
Banistmo SA 4.25%, 7/31/2027 | 700,000 | 648,102 |
Security Description | Principal Amount | Value | |||
C&W Senior Financing DAC Series REGS, 6.88%, 9/15/2027 | $ 450,000 | $ 392,702 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 200,000 | 162,684 | |||
Global Bank Corp. 3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (b) | 700,000 | 637,518 | |||
Multibank, Inc. 7.75%, 2/3/2028 (a) | 300,000 | 304,899 | |||
UEP Penonome II SA: | |||||
6.50%, 10/1/2038 (a) | 317,646 | 236,833 | |||
Series REGS, 6.50%, 10/1/2038 | 363,023 | 270,667 | |||
2,841,527 | |||||
PARAGUAY — 0.1% | |||||
Banco Continental SAECA 2.75%, 12/10/2025 | 800,000 | 724,712 | |||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 534,345 | 374,057 | |||
Frigorifico Concepcion SA 7.70%, 7/21/2028 | 400,000 | 313,196 | |||
Rutas 2 & 7 Finance Ltd. 0.01%, 9/30/2036 | 675,000 | 439,803 | |||
1,851,768 | |||||
PERU — 0.2% | |||||
Banco de Credito del Peru S.A.: | |||||
VRN, 5 Year CMT + 3.00%, 3.13%, 7/1/2030 (a) (b) | 400,000 | 367,196 | |||
Series REGS, 5 Year CMT + 3.00%, 3.13%, 7/1/2030 (b) | 700,000 | 642,593 | |||
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (b) | 1,700,000 | 1,560,872 | |||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 282,353 | 264,353 | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | 1,319,552 | 1,268,723 | |||
Inkia Energy Ltd. Series REGS, 5.88%, 11/9/2027 | 531,000 | 504,567 | |||
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034 | 137,665 | 134,567 | |||
Petroleos del Peru SA: | |||||
4.75%, 6/19/2032 | 700,000 | 525,315 | |||
5.63%, 6/19/2047 | 400,000 | 258,380 |
Security Description | Principal Amount | Value | |||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | $ 400,000 | $ 386,084 | |||
5,912,650 | |||||
SAUDI ARABIA — 0.0% (c) | |||||
EIG Pearl Holdings SARL: | |||||
3.55%, 8/31/2036 | 700,000 | 598,115 | |||
Series REGS, 4.39%, 11/30/2046 | 900,000 | 704,340 | |||
1,302,455 | |||||
SINGAPORE — 0.2% | |||||
Avation Capital SA PIK, 8.25%, 10/31/2026 (a) | 270,808 | 236,015 | |||
DBS Group Holdings Ltd. Series GMTN, VRN, 5 Year CMT + 1.10%, 1.82%, 3/10/2031 (b) | 1,400,000 | 1,251,362 | |||
Oversea-Chinese Banking Corp. Ltd. Series REGS, VRN, 5 Year CMT + 1.58%, 1.83%, 9/10/2030 (b) | 1,500,000 | 1,366,395 | |||
Temasek Financial I Ltd. 1.00%, 10/6/2030 (a) | 1,150,000 | 912,122 | |||
United Overseas Bank Ltd.: | |||||
5 Year CMT + 1.23%, 2.00%, 10/14/2031 (b) | 400,000 | 351,048 | |||
Series GMTN, VRN, 5 Year CMT + 1.52%, 1.75%, 3/16/2031 (b) | 1,200,000 | 1,066,879 | |||
5,183,821 | |||||
SOUTH AFRICA — 0.0% (c) | |||||
Sasol Financing USA LLC: | |||||
4.38%, 9/18/2026 | 200,000 | 177,112 | |||
5.50%, 3/18/2031 | 800,000 | 629,536 | |||
806,648 | |||||
SOUTH KOREA — 0.0% (c) | |||||
Shinhan Financial Group Co. Ltd. VRN, 5 Year CMT + 2.06%, 2.88%, 5/12/2026 (a) (b) | 500,000 | 440,205 | |||
Woori Bank 4.75%, 4/30/2024 | 200,000 | 197,256 | |||
637,461 | |||||
SPAIN — 0.0% (c) | |||||
Grifols Escrow Issuer SA 4.75%, 10/15/2028 (a) | 640,000 | 555,488 | |||
THAILAND — 0.0% (c) | |||||
Bangkok Bank PCL VRN, 5 Year CMT + 4.73%, 5.00%, 9/23/2025 (b) | 200,000 | 189,750 |
Security Description | Principal Amount | Value | |||
UNITED ARAB EMIRATES — 0.0% (c) | |||||
Galaxy Pipeline Assets Bidco Ltd.: | |||||
1.75%, 9/30/2027 | $ 583,497 | $ 537,689 | |||
2.16%, 3/31/2034 (a) | 177,420 | 150,860 | |||
2.94%, 9/30/2040 | 189,970 | 152,261 | |||
840,810 | |||||
UNITED KINGDOM — 0.1% | |||||
BAT Capital Corp. 2.73%, 3/25/2031 | 2,845,000 | 2,265,388 | |||
eG Global Finance PLC 8.50%, 10/30/2025 (a) | 415,000 | 404,633 | |||
2,670,021 | |||||
UNITED STATES — 9.6% | |||||
AbbVie, Inc. 3.85%, 6/15/2024 | 2,360,000 | 2,321,272 | |||
Academy Ltd. 6.00%, 11/15/2027 (a) | 705,000 | 678,873 | |||
Acuris Finance U.S., Inc./Acuris Finance SARL 5.00%, 5/1/2028 (a) | 475,000 | 371,773 | |||
AdaptHealth LLC 5.13%, 3/1/2030 (a) | 900,000 | 731,646 | |||
Advanced Drainage Systems, Inc. 6.38%, 6/15/2030 (a) | 480,000 | 474,427 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050 | 2,330,000 | 1,679,231 | |||
Aethon United BR LP/Aethon United Finance Corp. 8.25%, 2/15/2026 (a) | 305,000 | 300,221 | |||
Air Lease Corp. 3.25%, 3/1/2025 | 1,905,000 | 1,818,284 | |||
Air Methods Corp. 8.00%, 5/15/2025 (a) | 78,000 | 587 | |||
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033 | 2,270,000 | 1,661,209 | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (a) | 420,000 | 394,829 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 (a) | 490,000 | 464,834 | |||
9.75%, 7/15/2027 (a) | 355,000 | 312,649 | |||
AMC Entertainment Holdings, Inc. 7.50%, 2/15/2029 (a) | 110,000 | 77,576 | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. 5.75%, 4/20/2029 (a) | 1,050,000 | 1,020,442 |
Security Description | Principal Amount | Value | |||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029 | $ 155,000 | $ 129,017 | |||
American Express Co. 3.95%, 8/1/2025 | 2,210,000 | 2,144,694 | |||
Amgen, Inc.: | |||||
5.25%, 3/2/2030 | 485,000 | 486,305 | |||
5.75%, 3/2/2063 | 870,000 | 884,259 | |||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | 440,000 | 397,707 | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 370,000 | 356,440 | |||
Antero Resources Corp. 5.38%, 3/1/2030 (a) | 330,000 | 305,676 | |||
APi Group DE, Inc. 4.75%, 10/15/2029 (a) | 475,000 | 427,557 | |||
Arconic Corp. 6.13%, 2/15/2028 (a) | 860,000 | 871,361 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 1,987,000 | 1,839,684 | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (a) | 225,000 | 192,233 | |||
ASP Unifrax Holdings, Inc. 5.25%, 9/30/2028 (a) | 295,000 | 212,978 | |||
AssuredPartners, Inc. 5.63%, 1/15/2029 (a) | 410,000 | 355,470 | |||
AT&T, Inc.: | |||||
2.25%, 2/1/2032 | 2,815,000 | 2,237,643 | |||
2.75%, 6/1/2031 | 585,000 | 493,711 | |||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 435,000 | 365,865 | |||
Athene Holding Ltd. 3.95%, 5/25/2051 | 3,720,000 | 2,511,595 | |||
Bank of America Corp.: | |||||
5 Year CMT + 1.20%, 2.48%, 9/21/2036 (b) | 4,530,000 | 3,459,470 | |||
SOFR + 1.11%, 3.84%, 4/25/2025 (b) | 555,000 | 544,488 | |||
SOFR + 1.75%, 4.83%, 7/22/2026 (b) | 615,000 | 604,194 | |||
Bausch Health Cos., Inc.: | |||||
4.88%, 6/1/2028 (a) | 420,000 | 250,068 | |||
6.13%, 2/1/2027 (a) | 185,000 | 118,441 | |||
11.00%, 9/30/2028 (a) | 141,000 | 100,303 | |||
14.00%, 10/15/2030 (a) | 28,000 | 16,765 | |||
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (a) | 545,000 | 507,700 | |||
Becton Dickinson & Co. 4.69%, 2/13/2028 | 2,115,000 | 2,086,024 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (a) | 3,910,000 | 2,913,263 |
Security Description | Principal Amount | Value | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025 (a) | $ 235,000 | $ 237,543 | |||
Boeing Co. 2.95%, 2/1/2030 | 2,795,000 | 2,431,818 | |||
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (a) | 35,000 | 34,974 | |||
Boyd Gaming Corp. 4.75%, 6/15/2031 (a) | 555,000 | 496,126 | |||
BP Capital Markets America, Inc. 4.89%, 9/11/2033 | 2,260,000 | 2,237,445 | |||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) | 750,000 | 718,762 | |||
Broadcom, Inc. 3.42%, 4/15/2033 (a) | 2,779,000 | 2,326,523 | |||
Brown & Brown, Inc. 2.38%, 3/15/2031 | 2,070,000 | 1,669,455 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (a) | 400,000 | 348,156 | |||
5.00%, 3/1/2030 (a) | 400,000 | 373,860 | |||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 1,550,000 | 1,301,550 | |||
Caesars Entertainment, Inc.: | |||||
4.63%, 10/15/2029 (a) | 465,000 | 405,950 | |||
7.00%, 2/15/2030 (a) | 25,000 | 25,122 | |||
Callon Petroleum Co. 7.50%, 6/15/2030 (a) | 430,000 | 405,937 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a) | 265,000 | 239,907 | |||
4.63%, 2/1/2029 (a) | 205,000 | 173,959 | |||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (b) | 2,305,000 | 2,233,637 | |||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (a) | 725,000 | 666,942 | |||
9.88%, 8/1/2027 (a) | 595,000 | 619,383 | |||
Castle U.S. Holding Corp. 9.50%, 2/15/2028 (a) | 140,000 | 79,171 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 1/15/2034 (a) | 380,000 | 287,299 | |||
4.50%, 8/15/2030 (a) | 370,000 | 308,214 | |||
4.75%, 3/1/2030 (a) | 755,000 | 646,023 | |||
4.75%, 2/1/2032 (a) | 375,000 | 305,190 | |||
Cedar Fair LP 5.25%, 7/15/2029 | 580,000 | 527,029 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%, 2/1/2032 | 3,975,000 | 3,007,366 | |||
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 2,625,000 | 2,455,057 |
Security Description | Principal Amount | Value | |||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a) | $ 515,000 | $ 489,023 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 520,000 | 515,648 | |||
CHS/Community Health Systems, Inc.: | |||||
4.75%, 2/15/2031 (a) | 310,000 | 234,245 | |||
6.00%, 1/15/2029 (a) | 220,000 | 187,084 | |||
Citigroup, Inc. 3 Month SOFR + 1.65%, 3.67%, 7/24/2028 (b) | 5,165,000 | 4,835,370 | |||
Civitas Resources, Inc. 8.38%, 7/1/2028 (a) | 700,000 | 708,134 | |||
Clarios Global LP/Clarios U.S. Finance Co. 6.75%, 5/15/2028 (a) | 340,000 | 339,385 | |||
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (a) | 205,000 | 181,866 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a) | 145,000 | 137,709 | |||
Clear Channel Outdoor Holdings, Inc. 7.50%, 6/1/2029 (a) | 180,000 | 133,364 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (a) | 375,000 | 345,836 | |||
Clydesdale Acquisition Holdings, Inc. 6.63%, 4/15/2029 (a) | 205,000 | 196,115 | |||
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | 550,000 | 465,267 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 375,000 | 348,139 | |||
Coherent Corp. 5.00%, 12/15/2029 (a) | 390,000 | 352,307 | |||
Comcast Corp. 2.94%, 11/1/2056 | 3,646,000 | 2,375,041 | |||
CommScope Technologies LLC 5.00%, 3/15/2027 (a) | 230,000 | 160,512 | |||
CommScope, Inc. 4.75%, 9/1/2029 (a) | 470,000 | 371,192 | |||
Consolidated Communications, Inc. 5.00%, 10/1/2028 (a) | 290,000 | 217,367 | |||
Constellation Brands, Inc.: | |||||
2.88%, 5/1/2030 | 2,625,000 | 2,278,894 | |||
3.15%, 8/1/2029 | 560,000 | 505,602 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 1,330,000 | 1,182,742 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 210,000 | 166,847 | |||
Coty, Inc.: | |||||
5.00%, 4/15/2026 (a) | 1,035,000 | 997,264 | |||
6.50%, 4/15/2026 (a) | 245,000 | 242,903 |
Security Description | Principal Amount | Value | |||
CQP Holdco LP/BIP-V Chinook Holdco LLC 5.50%, 6/15/2031 (a) | $ 1,015,000 | $ 912,556 | |||
Crown Castle, Inc. 4.30%, 2/15/2029 | 2,395,000 | 2,254,773 | |||
CSC Holdings LLC: | |||||
5.75%, 1/15/2030 (a) | 495,000 | 233,714 | |||
6.50%, 2/1/2029 (a) | 445,000 | 360,735 | |||
CSI Compressco LP/CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (a) | 285,000 | 273,059 | |||
CSX Corp. 3.35%, 9/15/2049 | 3,230,000 | 2,386,776 | |||
CVR Partners LP/CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (a) | 280,000 | 243,922 | |||
CVS Health Corp.: | |||||
5.13%, 2/21/2030 | 540,000 | 536,544 | |||
5.30%, 6/1/2033 | 1,135,000 | 1,133,025 | |||
5.88%, 6/1/2053 | 1,160,000 | 1,191,680 | |||
Dana, Inc.: | |||||
4.25%, 9/1/2030 | 95,000 | 79,730 | |||
5.38%, 11/15/2027 | 125,000 | 119,214 | |||
5.63%, 6/15/2028 | 300,000 | 283,794 | |||
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028 (a) | 270,000 | 247,150 | |||
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | 780,000 | 541,921 | |||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc. 5.88%, 8/15/2027 (a) | 320,000 | 289,750 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 195,000 | 90,975 | |||
5.75%, 12/1/2028 (a) | 405,000 | 303,066 | |||
5.88%, 11/15/2024 | 110,000 | 96,726 | |||
Dollar General Corp.: | |||||
3.50%, 4/3/2030 | 2,490,000 | 2,230,218 | |||
4.25%, 9/20/2024 | 1,190,000 | 1,167,676 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 2,113,000 | 2,047,222 | |||
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 270,000 | 219,891 | |||
DTE Energy Co.: | |||||
4.22%, 11/1/2024 (e) | 1,155,000 | 1,130,098 | |||
4.88%, 6/1/2028 | 2,310,000 | 2,260,474 | |||
Duke Energy Carolinas LLC 3.55%, 3/15/2052 | 950,000 | 724,565 | |||
Duke Energy Corp. 2.65%, 9/1/2026 | 3,870,000 | 3,579,286 | |||
Dun & Bradstreet Corp. 5.00%, 12/15/2029 (a) | 730,000 | 643,342 | |||
Elevance Health, Inc. 4.10%, 5/15/2032 | 2,460,000 | 2,294,073 | |||
Embarq Corp. 8.00%, 6/1/2036 | 225,000 | 137,570 |
Security Description | Principal Amount | Value | |||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | $ 100,000 | $ 57,673 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 185,000 | 172,476 | |||
4.63%, 4/1/2031 | 455,000 | 403,098 | |||
4.75%, 2/1/2030 | 60,000 | 54,633 | |||
Endo Luxembourg Finance Co. I SARL/Endo U.S., Inc. 6.13%, 4/1/2029 (a) (d) | 170,000 | 125,127 | |||
Energizer Holdings, Inc. 6.50%, 12/31/2027 (a) | 235,000 | 226,310 | |||
Energy Transfer LP: | |||||
4.75%, 1/15/2026 | 1,185,000 | 1,159,072 | |||
5.00%, 5/15/2044 | 1,200,000 | 1,010,112 | |||
Entergy Louisiana LLC 4.75%, 9/15/2052 | 830,000 | 760,529 | |||
EQM Midstream Partners LP 4.75%, 1/15/2031 (a) | 395,000 | 345,815 | |||
Essential Utilities, Inc. 3.35%, 4/15/2050 | 3,575,000 | 2,493,348 | |||
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | 580,000 | 509,594 | |||
Exelon Corp.: | |||||
4.10%, 3/15/2052 | 350,000 | 282,779 | |||
5.15%, 3/15/2028 | 1,450,000 | 1,445,026 | |||
Expedia Group, Inc.: | |||||
3.80%, 2/15/2028 | 3,225,000 | 3,019,309 | |||
5.00%, 2/15/2026 | 1,780,000 | 1,756,682 | |||
Exxon Mobil Corp. 2.99%, 3/19/2025 | 1,490,000 | 1,436,047 | |||
Ferrellgas LP/Ferrellgas Finance Corp. 5.38%, 4/1/2026 (a) | 430,000 | 399,483 | |||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. 6.75%, 1/15/2030 (a) | 445,000 | 377,876 | |||
Ford Motor Co. 3.25%, 2/12/2032 | 1,275,000 | 1,001,283 | |||
Ford Motor Credit Co. LLC: | |||||
3.63%, 6/17/2031 | 545,000 | 446,382 | |||
4.95%, 5/28/2027 | 400,000 | 377,424 | |||
6.95%, 3/6/2026 | 1,000,000 | 1,005,070 | |||
Fortrea Holdings, Inc. 7.50%, 7/1/2030 (a) | 520,000 | 532,272 | |||
Fortress Transportation & Infrastructure Investors LLC 5.50%, 5/1/2028 (a) | 310,000 | 284,372 | |||
Freeport-McMoRan, Inc.: | |||||
4.38%, 8/1/2028 | 100,000 | 94,363 | |||
4.63%, 8/1/2030 | 300,000 | 283,344 | |||
5.25%, 9/1/2029 | 700,000 | 687,659 | |||
Frontier Communications Holdings LLC: | |||||
5.00%, 5/1/2028 (a) | 250,000 | 215,690 | |||
5.88%, 10/15/2027 (a) | 125,000 | 114,239 |
Security Description | Principal Amount | Value | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | $ 185,000 | $ 173,227 | |||
Gap, Inc. 3.88%, 10/1/2031 (a) | 395,000 | 270,749 | |||
General Motors Financial Co., Inc.: | |||||
2.40%, 10/15/2028 | 1,385,000 | 1,174,882 | |||
3.10%, 1/12/2032 | 465,000 | 376,120 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a) | 2,318,000 | 2,237,403 | |||
Goldman Sachs Group, Inc. 3 Month USD LIBOR + 1.17%, 6.49%, 5/15/2026 (b) | 4,625,000 | 4,647,061 | |||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 | 470,000 | 408,294 | |||
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a) | 185,000 | 150,599 | |||
Griffon Corp. 5.75%, 3/1/2028 | 430,000 | 402,136 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 285,000 | 250,583 | |||
Guardian Life Global Funding 1.25%, 5/13/2026 (a) | 2,150,000 | 1,913,113 | |||
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 175,000 | 175,868 | |||
Halliburton Co. 2.92%, 3/1/2030 | 922,000 | 811,378 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 1,270,000 | 1,176,249 | |||
5.13%, 6/15/2039 | 1,290,000 | 1,196,965 | |||
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL 4.63%, 5/1/2028 (a) | 575,000 | 492,924 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 125,000 | 103,261 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (a) | 750,000 | 654,570 | |||
5.13%, 6/15/2028 (a) | 365,000 | 343,392 | |||
5.50%, 10/15/2030 (a) | 310,000 | 288,994 | |||
Hewlett Packard Enterprise Co. 5.90%, 10/1/2024 | 1,005,000 | 1,003,804 | |||
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026 (a) | 290,000 | 114,538 | |||
Hightower Holding LLC 6.75%, 4/15/2029 (a) | 315,000 | 272,670 | |||
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 540,000 | 509,074 | |||
Host Hotels & Resorts LP Series I, 3.50%, 9/15/2030 | 2,622,000 | 2,224,924 |
Security Description | Principal Amount | Value | |||
HUB International Ltd. 7.25%, 6/15/2030 (a) | $ 450,000 | $ 464,665 | |||
Hyundai Capital America 5.68%, 6/26/2028 (a) | 1,845,000 | 1,830,129 | |||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25%, 5/15/2027 | 385,000 | 331,970 | |||
iHeartCommunications, Inc. 8.38%, 5/1/2027 | 75,000 | 49,963 | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (a) | 320,000 | 279,619 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (a) | 435,000 | 410,483 | |||
Invitation Homes Operating Partnership LP 2.70%, 1/15/2034 | 2,975,000 | 2,258,858 | |||
Iron Mountain, Inc.: | |||||
7.00%, 2/15/2029 (a) | 470,000 | 470,973 | |||
REIT, 4.50%, 2/15/2031 (a) | 580,000 | 498,353 | |||
Jacobs Engineering Group, Inc. 5.90%, 3/1/2033 | 2,420,000 | 2,374,867 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 285,000 | 252,405 | |||
JPMorgan Chase & Co.: | |||||
3 Month SOFR + 1.25%, 2.58%, 4/22/2032 (b) | 2,965,000 | 2,461,928 | |||
SOFR + 1.26%, 2.96%, 1/25/2033 (b) | 2,845,000 | 2,398,193 | |||
SOFR + 1.99%, 4.85%, 7/25/2028 (b) | 1,275,000 | 1,257,762 | |||
Kinder Morgan, Inc. 5.20%, 6/1/2033 | 2,345,000 | 2,271,297 | |||
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (a) | 425,000 | 378,556 | |||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 310,000 | 242,296 | |||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc. 5.00%, 2/1/2026 (a) | 340,000 | 310,362 | |||
Level 3 Financing, Inc. 10.50%, 5/15/2030 (a) | 320,000 | 324,826 | |||
LFS Topco LLC 5.88%, 10/15/2026 (a) | 345,000 | 303,428 | |||
LifePoint Health, Inc. 5.38%, 1/15/2029 (a) | 145,000 | 85,689 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 140,000 | 101,384 | |||
Lowe's Cos., Inc. 4.40%, 9/8/2025 | 2,825,000 | 2,769,489 |
Security Description | Principal Amount | Value | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | $ 350,000 | $ 326,015 | |||
Lumen Technologies, Inc. 4.00%, 2/15/2027 (a) | 155,000 | 115,796 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 365,000 | 340,246 | |||
Madison IAQ LLC: | |||||
4.13%, 6/30/2028 (a) | 570,000 | 502,027 | |||
5.88%, 6/30/2029 (a) | 220,000 | 178,730 | |||
Marriott International, Inc. Series HH, 2.85%, 4/15/2031 | 2,705,000 | 2,274,607 | |||
Marvell Technology, Inc. 1.65%, 4/15/2026 | 2,000,000 | 1,801,960 | |||
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050 (a) | 2,780,000 | 1,992,760 | |||
Match Group Holdings II LLC 5.00%, 12/15/2027 (a) | 775,000 | 726,655 | |||
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | 250,000 | 218,298 | |||
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a) | 565,000 | 488,539 | |||
Medline Borrower LP 5.25%, 10/1/2029 (a) | 555,000 | 481,751 | |||
Merck & Co., Inc. 4.50%, 5/17/2033 | 805,000 | 798,930 | |||
Meta Platforms, Inc. 5.60%, 5/15/2053 | 2,315,000 | 2,377,158 | |||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | 410,000 | 353,395 | |||
MetLife, Inc. 5.25%, 1/15/2054 | 2,690,000 | 2,618,823 | |||
Michaels Cos., Inc.: | |||||
5.25%, 5/1/2028 (a) | 360,000 | 290,696 | |||
7.88%, 5/1/2029 (a) | 200,000 | 134,988 | |||
Microsoft Corp. 2.92%, 3/17/2052 | 1,590,000 | 1,181,656 | |||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029 (a) | 555,000 | 491,591 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a) | 565,000 | 418,286 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (a) | 1,230,000 | 1,191,858 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b) | 5,620,000 | 4,253,778 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 90,000 | 82,859 | |||
MPLX LP 1.75%, 3/1/2026 | 905,000 | 822,283 |
Security Description | Principal Amount | Value | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | $ 285,000 | $ 261,961 | |||
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 305,000 | 284,922 | |||
National Rural Utilities Cooperative Finance Corp. 4.80%, 3/15/2028 | 450,000 | 445,693 | |||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a) | 480,000 | 394,190 | |||
Navient Corp. 5.00%, 3/15/2027 | 285,000 | 255,725 | |||
NCL Corp. Ltd.: | |||||
5.88%, 3/15/2026 (a) | 395,000 | 370,771 | |||
8.38%, 2/1/2028 (a) | 275,000 | 288,844 | |||
NetApp, Inc. 1.88%, 6/22/2025 | 1,850,000 | 1,719,482 | |||
News Corp. 5.13%, 2/15/2032 (a) | 155,000 | 141,920 | |||
NextEra Energy Capital Holdings, Inc. 4.26%, 9/1/2024 | 950,000 | 934,163 | |||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (a) | 465,000 | 457,983 | |||
NGL Energy Partners LP/NGL Energy Finance Corp. 7.50%, 4/15/2026 | 110,000 | 103,547 | |||
NRG Energy, Inc. 3.63%, 2/15/2031 (a) | 545,000 | 426,354 | |||
NuStar Logistics LP 6.00%, 6/1/2026 | 510,000 | 497,485 | |||
Olympus Water U.S. Holding Corp.: | |||||
4.25%, 10/1/2028 (a) | 400,000 | 316,136 | |||
6.25%, 10/1/2029 (a) | 200,000 | 144,354 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 | 2,700,000 | 2,265,354 | |||
OneMain Finance Corp.: | |||||
5.38%, 11/15/2029 | 250,000 | 213,468 | |||
7.13%, 3/15/2026 | 324,000 | 318,942 | |||
Oracle Corp.: | |||||
3.60%, 4/1/2050 | 2,585,000 | 1,845,819 | |||
3.80%, 11/15/2037 | 155,000 | 126,744 | |||
6.25%, 11/9/2032 | 165,000 | 175,057 | |||
Organon & Co./Organon Foreign Debt Co.-Issuer BV 5.13%, 4/30/2031 (a) | 570,000 | 470,170 | |||
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | 530,000 | 480,906 | |||
Pacific Gas & Electric Co. 2.50%, 2/1/2031 | 1,395,000 | 1,094,336 |
Security Description | Principal Amount | Value | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC 4.00%, 10/15/2027 (a) | $ 550,000 | $ 490,556 | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029 (a) | 850,000 | 732,836 | |||
Parker-Hannifin Corp. 4.25%, 9/15/2027 | 655,000 | 635,396 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 100,000 | 93,740 | |||
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | 100,000 | 57,217 | |||
Penn Entertainment, Inc.: | |||||
4.13%, 7/1/2029 (a) | 310,000 | 254,126 | |||
5.63%, 1/15/2027 (a) | 620,000 | 582,651 | |||
PennyMac Financial Services, Inc. 4.25%, 2/15/2029 (a) | 635,000 | 510,838 | |||
Penske Truck Leasing Co. Lp/PTL Finance Corp. 4.20%, 4/1/2027 (a) | 1,220,000 | 1,144,275 | |||
Penske Truck Leasing Co. LP/PTL Finance Corp. 4.40%, 7/1/2027 (a) | 175,000 | 165,214 | |||
PepsiCo, Inc. 3.60%, 2/18/2028 | 750,000 | 722,857 | |||
Performance Food Group, Inc. 4.25%, 8/1/2029 (a) | 380,000 | 338,325 | |||
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029 (a) | 1,000,000 | 994,080 | |||
Phillips 66 Co. 4.95%, 12/1/2027 | 910,000 | 902,110 | |||
Pike Corp. 5.50%, 9/1/2028 (a) | 560,000 | 503,754 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (a) | 90,000 | 78,924 | |||
5.50%, 12/15/2029 (a) | 140,000 | 129,501 | |||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. 5.63%, 9/1/2029 (a) | 260,000 | 196,105 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (a) | 220,000 | 206,010 | |||
Qorvo, Inc. 1.75%, 12/15/2024 (a) | 950,000 | 883,728 | |||
Quanta Services, Inc. 2.35%, 1/15/2032 | 2,930,000 | 2,306,262 |
Security Description | Principal Amount | Value | |||
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 9/15/2026 (a) | $ 120,000 | $ 95,822 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | 230,000 | 85,707 | |||
Raytheon Technologies Corp. 3.03%, 3/15/2052 | 1,630,000 | 1,146,053 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25%, 4/15/2030 (a) | 290,000 | 206,625 | |||
Realty Income Corp. 5.05%, 1/13/2026 | 1,110,000 | 1,101,708 | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026 (a) | 195,000 | 163,591 | |||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | 555,000 | 497,080 | |||
Royal Caribbean Cruises Ltd.: | |||||
5.50%, 8/31/2026 (a) | 420,000 | 398,521 | |||
7.25%, 1/15/2030 (a) | 70,000 | 71,037 | |||
Royalty Pharma PLC 3.30%, 9/2/2040 | 3,275,000 | 2,331,603 | |||
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) | 190,000 | 140,220 | |||
Ryan Specialty LLC 4.38%, 2/1/2030 (a) | 575,000 | 508,748 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,530,000 | 1,506,423 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (b) | 2,825,000 | 2,443,032 | |||
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc. 6.63%, 3/1/2030 (a) | 555,000 | 488,472 | |||
Scientific Games International, Inc. 7.25%, 11/15/2029 (a) | 505,000 | 507,086 | |||
Scotts Miracle-Gro Co. 4.50%, 10/15/2029 | 440,000 | 381,735 | |||
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 170,000 | 137,352 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 105,000 | 85,670 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (a) | 605,000 | 576,039 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a) | 490,000 | 481,062 | |||
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | 1,025,000 | 934,872 | |||
SK Invictus Intermediate II SARL 5.00%, 10/30/2029 (a) | 195,000 | 155,201 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a) | 2,440,000 | 2,261,880 |
Security Description | Principal Amount | Value | |||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | $ 515,000 | $ 433,851 | |||
Southern Co.: | |||||
Series 21-A, VRN, 5 Year CMT + 2.92%, 3.75%, 9/15/2051 (b) | 200,000 | 170,348 | |||
Series A, 3.70%, 4/30/2030 | 2,510,000 | 2,305,134 | |||
Southwestern Energy Co.: | |||||
4.75%, 2/1/2032 | 430,000 | 379,888 | |||
5.38%, 2/1/2029 | 410,000 | 387,044 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 670,000 | 601,044 | |||
SRS Distribution, Inc.: | |||||
4.63%, 7/1/2028 (a) | 315,000 | 282,309 | |||
6.13%, 7/1/2029 (a) | 285,000 | 247,500 | |||
Standard Industries, Inc. 4.38%, 7/15/2030 (a) | 600,000 | 519,966 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a) | 340,000 | 280,174 | |||
10.75%, 4/15/2027 (a) | 150,000 | 87,191 | |||
Station Casinos LLC 4.63%, 12/1/2031 (a) | 295,000 | 248,605 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (a) | 520,000 | 437,538 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 510,000 | 430,246 | |||
Sunoco LP/Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 150,000 | 133,140 | |||
6.00%, 4/15/2027 | 170,000 | 167,848 | |||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 165,000 | 101,561 | |||
Sysco Corp. 3.25%, 7/15/2027 | 1,330,000 | 1,242,898 | |||
Tenet Healthcare Corp.: | |||||
6.13%, 10/1/2028 | 230,000 | 221,375 | |||
6.13%, 6/15/2030 | 450,000 | 443,452 | |||
6.25%, 2/1/2027 | 245,000 | 242,952 | |||
T-Mobile USA, Inc. 2.25%, 2/15/2026 | 3,945,000 | 3,633,818 | |||
TMS International Corp. 6.25%, 4/15/2029 (a) | 180,000 | 151,207 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 380,000 | 364,629 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 | 520,000 | 491,754 | |||
6.25%, 3/15/2026 (a) | 450,000 | 447,804 | |||
6.75%, 8/15/2028 (a) | 250,000 | 251,330 | |||
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a) | 511,875 | 508,404 | |||
Trident TPI Holdings, Inc. 12.75%, 12/31/2028 (a) | 265,000 | 274,853 | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 220,000 | 188,410 |
Security Description | Principal Amount | Value | |||
Truist Financial Corp. SOFR + 1.44%, 4.87%, 1/26/2029 (b) | $ 1,100,000 | $ 1,056,924 | |||
U.S. Foods, Inc. 4.75%, 2/15/2029 (a) | 515,000 | 472,693 | |||
United Airlines, Inc. 4.63%, 4/15/2029 (a) | 400,000 | 364,500 | |||
United Natural Foods, Inc. 6.75%, 10/15/2028 (a) | 325,000 | 269,318 | |||
UnitedHealth Group, Inc. 4.25%, 1/15/2029 | 4,875,000 | 4,736,599 | |||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 10.50%, 2/15/2028 (a) | 140,000 | 138,936 | |||
Univision Communications, Inc.: | |||||
4.50%, 5/1/2029 (a) | 325,000 | 279,367 | |||
7.38%, 6/30/2030 (a) | 305,000 | 290,723 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | 160,000 | 142,544 | |||
Venture Global LNG, Inc.: | |||||
8.13%, 6/1/2028 (a) | 375,000 | 381,398 | |||
8.38%, 6/1/2031 (a) | 245,000 | 247,379 | |||
Verizon Communications, Inc. 1.75%, 1/20/2031 | 4,819,000 | 3,799,492 | |||
Viatris, Inc. 1.65%, 6/22/2025 | 800,000 | 736,440 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 335,000 | 244,661 | |||
Viking Cruises Ltd.: | |||||
5.88%, 9/15/2027 (a) | 875,000 | 803,477 | |||
9.13%, 7/15/2031 (a) | 510,000 | 515,329 | |||
Virtusa Corp. 7.13%, 12/15/2028 (a) | 130,000 | 106,582 | |||
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 | 2,510,000 | 2,342,006 | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a) | 555,000 | 519,730 | |||
Weatherford International Ltd.: | |||||
6.50%, 9/15/2028 (a) | 240,000 | 241,008 | |||
8.63%, 4/30/2030 (a) | 440,000 | 447,040 | |||
Wells Fargo & Co.: | |||||
SOFR + 1.98%, 4.81%, 7/25/2028 (b) | 815,000 | 796,891 | |||
Series MTN, 3 Month SOFR + 1.57%, 3.58%, 5/22/2028 (b) | 2,435,000 | 2,268,957 | |||
Welltower OP LLC 2.05%, 1/15/2029 | 2,640,000 | 2,200,176 | |||
Western Midstream Operating LP 4.30%, 2/1/2030 | 395,000 | 355,543 | |||
Wheel Pros, Inc. 6.50%, 5/15/2029 (a) | 100,000 | 30,000 |
Security Description | Principal Amount | Value | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | $ 931,000 | $ 879,246 | |||
Workday, Inc. 3.70%, 4/1/2029 | 2,600,000 | 2,412,280 | |||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 600,000 | 490,332 | |||
WRKCo, Inc. 3.75%, 3/15/2025 | 2,310,000 | 2,225,015 | |||
XHR LP: | |||||
4.88%, 6/1/2029 (a) | 1,125,000 | 969,041 | |||
6.38%, 8/15/2025 (a) | 265,000 | 260,278 | |||
XPO, Inc. 7.13%, 6/1/2031 (a) | 520,000 | 524,280 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 375,000 | 352,050 | |||
286,950,466 | |||||
VIETNAM — 0.0% (c) | |||||
Mong Duong Finance Holdings BV Series REGS, 5.13%, 5/7/2029 | 250,000 | 219,490 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $420,583,213) | 381,946,960 | ||||
ASSET-BACKED SECURITIES — 11.7% | |||||
ACE Securities Corp. Home Equity Loan Trust: | |||||
Series 2006-FM1, Class A2C, ABS, 1 Month USD LIBOR + 0.30%, 5.45%, 7/25/2036 (b) | 8,472,846 | 2,273,039 | |||
Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 5.43%, 2/25/2037 (b) | 2,799,965 | 1,185,438 | |||
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.51%, 6.61%, 12/18/2037 (a) (b) | 3,000,000 | 2,810,208 | |||
Affirm Asset Securitization Trust: | |||||
Series 2022-A, Class A, 4.30%, 5/17/2027 (a) | 3,000,000 | 2,919,447 | |||
Series 2023-A, Class A, 6.61%, 1/18/2028 (a) | 1,750,000 | 1,749,636 | |||
AIMCO CLO 11 Ltd. Series 2020-11A, Class AR, 3 Month USD LIBOR + 1.13%, 6.39%, 10/17/2034 (a) (b) | 2,000,000 | 1,963,538 |
Security Description | Principal Amount | Value | |||
Allegro CLO II-S Ltd. Series 2014-1RA, Class A1, 3 Month USD LIBOR + 1.08%, 6.34%, 10/21/2028 (a) (b) | $ 304,514 | $ 302,595 | |||
Ameriquest Mortgage Securities Asset-Backed Pass-Through Certificates Series 2004-FR1, Class M5, 3.89%, 5/25/2034 (e) | 4,804,032 | 3,511,937 | |||
AMSR Trust: | |||||
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038 (a) | 3,000,000 | 2,569,687 | |||
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038 (a) | 3,000,000 | 2,552,809 | |||
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038 (a) | 2,000,000 | 1,695,812 | |||
Series 2023-SFR1, Class B, 4.00%, 4/17/2040 (a) | 12,000,000 | 10,973,293 | |||
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, ABS, 3 Month USD LIBOR + 1.21%, 6.47%, 10/15/2034 (a) (b) | 2,000,000 | 1,947,800 | |||
AREIT Trust Series 2021-CRE5, Class B, 1 Month USD LIBOR + 1.82%, 6.98%, 11/17/2038 (a) (b) | 300,000 | 286,339 | |||
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.18%, 5.33%, 7/25/2036 (b) | 17,696,941 | 4,714,241 | |||
Bain Capital Credit CLO Ltd.: | |||||
Series 2018-1A, Class A1, 3 Month USD LIBOR + 0.96%, 6.23%, 4/23/2031 (a) (b) | 500,000 | 495,250 | |||
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR + 3.10%, 8.36%, 10/21/2034 (a) (b) | 1,000,000 | 919,647 | |||
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 8.80%, 1/20/2032 (a) (b) | 2,500,000 | 2,366,180 | |||
Series 2021-6A, Class A1, 3 Month USD LIBOR + 1.15%, 6.41%, 10/21/2034 (a) (b) | 3,000,000 | 2,942,700 | |||
Series 2022-3A, Class D, 3 Month SOFR + 3.70%, 8.69%, 7/17/2035 (a) (b) | 1,000,000 | 923,789 |
Security Description | Principal Amount | Value | |||
Series 2023-3A, Class C, Zero Coupon%, 7/24/2036 (a) (b) | $ 2,000,000 | $ 2,000,000 | |||
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046 (a) | 4,475,959 | 3,692,666 | |||
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 3.82%, 10/25/2036 (b) | 16,664,647 | 11,262,302 | |||
Canyon Capital CLO Ltd.: | |||||
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 8.26%, 7/15/2030 (a) (b) | 1,000,000 | 925,492 | |||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 8.36%, 4/15/2034 (a) (b) | 2,000,000 | 1,867,334 | |||
Carlyle U.S. CLO Ltd.: | |||||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 6.00%, 11.26%, 4/15/2034 (a) (b) | 1,000,000 | 875,628 | |||
Series 2022-2A, Class A2, 3 Month SOFR + 2.00%, 7.05%, 4/20/2035 (a) (b) | 2,000,000 | 1,989,328 | |||
Catamaran CLO Ltd. Series 2018-1A, Class C, 3 Month USD LIBOR + 2.50%, 7.76%, 10/25/2031 (a) (b) | 1,000,000 | 966,565 | |||
Cathedral Lake VIII Ltd. Series 2021-8A, Class C, 3 Month USD LIBOR + 2.62%, 7.87%, 1/20/2035 (a) (b) | 2,550,000 | 2,460,750 | |||
CIFC Funding Ltd.: | |||||
Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 8.81%, 7/16/2030 (a) (b) | 1,000,000 | 956,500 | |||
Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 8.76%, 4/23/2029 (a) (b) | 1,000,000 | 981,200 | |||
Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 11.26%, 4/25/2033 (a) (b) | 500,000 | 449,525 | |||
Series 2021-6A, Class B, 3 Month USD LIBOR + 1.65%, 6.91%, 10/15/2034 (a) (b) | 1,000,000 | 970,200 | |||
Series 2022-3A, Class B, 3 Month SOFR + 2.00%, 7.06%, 4/21/2035 (a) (b) | 2,000,000 | 1,953,800 |
Security Description | Principal Amount | Value | |||
CyrusOne Data Centers Issuer I LLC Series 2023-1A, Class A2, 4.30%, 4/20/2048 (a) | $ 5,000,000 | $ 4,436,793 | |||
DataBank Issuer Series 2023-1A, Class A2, 5.12%, 2/25/2053 (a) | 4,000,000 | 3,686,775 | |||
Drive Auto Receivables Trust Series 2021-3, Class C, 1.47%, 1/15/2027 | 4,000,000 | 3,838,818 | |||
Dryden 37 Senior Loan Fund Series 2015-37A, Class BR, 6.97%, 1/15/2031 (a) (b) | 1,626,877 | 1,576,444 | |||
Dryden 68 CLO Ltd. Series 2019-68A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 8.61%, 7/15/2035 (a) (b) | 1,500,000 | 1,413,798 | |||
Elmwood CLO VIII Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 8.25%, 1/20/2034 (a) (b) | 1,500,000 | 1,440,615 | |||
Exeter Automobile Receivables Trust: | |||||
Series 2021-1A, Class D, ABS, 1.08%, 11/16/2026 | 1,000,000 | 938,975 | |||
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028 (a) | 1,500,000 | 1,374,758 | |||
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 5.29%, 3/25/2037 (b) | 8,971,280 | 4,710,833 | |||
FirstKey Homes Trust: | |||||
Series 2020-SFR2, Class DR, ABS, 1.97%, 10/19/2037 (a) | 2,000,000 | 1,789,918 | |||
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 2,000,000 | 1,811,448 | |||
FMC GMSR Issuer Trust: | |||||
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (a) (b) | 3,000,000 | 2,572,971 | |||
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b) | 2,650,000 | 2,160,548 | |||
FREED ABS Trust Series 2021-2, Class C, ABS, 1.94%, 6/19/2028 (a) | 3,105,123 | 3,071,155 | |||
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.33%, 6.44%, 5/16/2038 (a) (b) | 1,966,844 | 1,919,797 |
Security Description | Principal Amount | Value | |||
GAIA Aviation Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044 (a) (e) | $ 1,105,243 | $ 966,015 | |||
Galaxy XXII CLO Ltd. Series 2016-22A, Class CRR, 7.72%, 4/16/2034 (a) (b) | 500,000 | 481,300 | |||
Galaxy Xxviii CLO Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 8.26%, 7/15/2031 (a) (b) | 2,100,000 | 1,954,604 | |||
GLS Auto Receivables Issuer Trust Series 2021-2A, Class C, 1.08%, 6/15/2026 (a) | 4,000,000 | 3,885,789 | |||
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048 (a) | 3,166,985 | 2,329,847 | |||
Greystone CRE Notes Ltd. Series 2021-FL3, Class B, ABS, 1 Month USD LIBOR + 1.76%, 6.91%, 7/15/2039 (a) (b) | 2,925,000 | 2,786,884 | |||
GSAA Home Equity Trust: | |||||
Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,131,469 | 977,596 | |||
Series 2007-4, Class A3A, ABS, 1 Month USD LIBOR + 0.60%, 5.75%, 3/25/2037 (b) | 5,770,115 | 2,479,556 | |||
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048 (a) | 1,619,250 | 1,450,633 | |||
Hayfin Kingsland X Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.85%, 7.12%, 4/28/2031 (a) (b) | 2,000,000 | 1,977,574 | |||
Jamestown CLO XII Ltd. Series 2019-1A, Class A2, ABS, 3 Month USD LIBOR + 2.15%, 7.40%, 4/20/2032 (a) (b) | 1,000,000 | 995,600 | |||
JOL Air Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a) | 2,079,515 | 1,840,558 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.56%, 6.71%, 11/15/2038 (a) (b) | 2,864,000 | 2,812,202 | |||
LCM XVIII LP Series 18A, Class CR, 3 Month USD LIBOR + 1.85%, 7.10%, 4/20/2031 (a) (b) | 1,435,000 | 1,351,627 | |||
Lendbuzz Securitization Trust Series 2022-1A, Class A, 4.22%, 5/17/2027 (a) | 2,883,881 | 2,786,027 |
Security Description | Principal Amount | Value | |||
LendingPoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028 (a) | $ 3,723,318 | $ 3,637,186 | |||
Madison Park Funding XLVIII Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 8.27%, 4/19/2033 (a) (b) | 1,000,000 | 952,595 | |||
Madison Park Funding XVII Ltd. Series 2015-17A, Class DR, 3 Month USD LIBOR + 3.60%, 8.86%, 7/21/2030 (a) (b) | 1,000,000 | 977,300 | |||
Magnetite XXIX Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 11.01%, 1/15/2034 (a) (b) | 500,000 | 465,001 | |||
Magnetite XXXI Ltd. Series 2021-31A, Class E, 3 Month USD LIBOR + 6.00%, 11.26%, 7/15/2034 (a) (b) | 500,000 | 466,064 | |||
Marble Point CLO XI Ltd. Series 2017-2A, Class B, 3 Month USD LIBOR + 1.50%, 6.76%, 12/18/2030 (a) (b) | 3,500,000 | 3,381,000 | |||
Merrill Lynch Mortgage Investors Trust: | |||||
Series 2006-HE4, Class A2B, 1 Month USD LIBOR + 0.20%, 5.35%, 7/25/2037 (b) | 3,798,373 | 894,071 | |||
Series 2006-HE4, Class A2C, 1 Month USD LIBOR + 0.30%, 5.45%, 7/25/2037 (b) | 5,257,162 | 1,241,560 | |||
MetroNet Infrastructure Issuer LLC Series 2023-1A, Class A2, 6.56%, 4/20/2053 (a) | 4,000,000 | 3,914,976 | |||
MKS CLO Ltd. Series 2017-1A, Class AR, 3 Month USD LIBOR + 1.00%, 6.25%, 7/20/2030 (a) (b) | 442,800 | 436,866 | |||
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.00%, 6/22/2043 (a) | 206,215 | 190,336 | |||
MP CLO III Ltd. Series 2013-1A, Class CR, 3 Month USD LIBOR + 2.00%, 7.25%, 10/20/2030 (a) (b) | 1,000,000 | 949,600 |
Security Description | Principal Amount | Value | |||
MVW LLC: | |||||
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041 (a) | $ 682,835 | $ 590,785 | |||
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041 (a) | 1,138,059 | 990,631 | |||
Neuberger Berman Loan Advisers CLO 40 Ltd. Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 8.01%, 4/16/2033 (a) (b) | 1,500,000 | 1,419,311 | |||
Neuberger Berman Loan Advisers CLO 47 Ltd. Series 2022-47A, Class D, ABS, 3 Month SOFR + 3.10%, 8.09%, 4/14/2035 (a) (b) | 500,000 | 453,650 | |||
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 Month USD LIBOR + 3.45%, 8.69%, 10/13/2031 (a) (b) | 1,000,000 | 860,206 | |||
Octagon Investment Partners 27 Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 8.21%, 7/15/2030 (a) (b) | 500,000 | 447,200 | |||
Octagon Investment Partners 30 Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 8.55%, 3/17/2030 (a) (b) | 1,000,000 | 964,473 | |||
Octagon Investment Partners 31 Ltd. Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 8.65%, 7/20/2030 (a) (b) | 1,000,000 | 967,739 | |||
Octagon Investment Partners 40 Ltd. Series 2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 8.60%, 1/20/2035 (a) (b) | 500,000 | 441,900 | |||
Octagon Investment Partners 49 Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 8.66%, 1/15/2033 (a) (b) | 2,500,000 | 2,295,000 | |||
Octagon Investment Partners 51 Ltd.: | |||||
Series 2021-1A, Class A, ABS, 3 Month USD LIBOR + 1.15%, 6.40%, 7/20/2034 (a) (b) | 1,385,000 | 1,357,300 | |||
Series 2021-1A, Class C, 7.20%, 7/20/2034 (a) (b) | 500,000 | 476,450 |
Security Description | Principal Amount | Value | |||
Pagaya AI Debt Trust: | |||||
Series 2022-1, Class A, 2.03%, 10/15/2029 (a) | $ 5,410,920 | $ 5,262,690 | |||
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029 (a) | 4,499,405 | 4,161,202 | |||
Series 2022-2, Class A, 4.97%, 1/15/2030 (a) | 1,855,806 | 1,830,948 | |||
Series 2023-1, Class A, 7.56%, 7/15/2030 (a) | 1,815,755 | 1,820,768 | |||
Series 2023-3, Class A, 7.60%, 12/16/2030 (a) | 5,935,640 | 5,963,737 | |||
Park Avenue Institutional Advisers CLO Ltd. Series 2018-1A, Class BR, 3 Month USD LIBOR + 2.10%, 7.35%, 10/20/2031 (a) (b) | 4,000,000 | 3,798,000 | |||
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%, 8.15%, 3/25/2026 (a) (b) | 1,300,000 | 1,254,777 | |||
PPM CLO Ltd. Series 2018-1A, Class D, 3 Month USD LIBOR + 3.25%, 8.51%, 7/15/2031 (a) (b) | 500,000 | 417,077 | |||
PRET LLC: | |||||
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (e) | 4,038,979 | 3,757,927 | |||
Series 2022-RN1, Class A1, 3.72%, 7/25/2051 (a) (e) | 12,652,723 | 11,827,772 | |||
Race Point IX CLO Ltd. Series 2015-9A, Class BR, 3 Month USD LIBOR + 2.15%, 7.41%, 10/15/2030 (a) (b) | 2,250,000 | 2,160,225 | |||
Ready Capital Mortgage Financing LLC Series 2023-FL12, Class A, 7.34%, 5/25/2038 (a) (b) | 1,743,000 | 1,735,070 | |||
Regatta VI Funding Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 6.41%, 4/20/2034 (a) (b) | 850,000 | 833,680 | |||
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 6.40%, 1/20/2035 (a) (b) | 4,500,000 | 4,412,250 | |||
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036 (e) | 8,664,451 | 3,591,541 |
Security Description | Principal Amount | Value | |||
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | $ 1,058,830 | $ 890,137 | |||
Securitized Asset-Backed Receivables LLC Trust: | |||||
Series 2007-BR4, Class A2A, ABS, 1 Month USD LIBOR + 0.09%, 5.24%, 5/25/2037 (b) | 3,521,541 | 2,130,817 | |||
Series 2007-BR4, Class A2B, ABS, 1 Month USD LIBOR + 0.20%, 5.35%, 5/25/2037 (b) | 24,470,633 | 14,820,288 | |||
Series 2007-BR5, Class A2B, 1 Month USD LIBOR + 0.18%, 5.33%, 5/25/2037 (b) | 34,363,639 | 25,931,727 | |||
Shenton Aircraft Investment I Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042 (a) | 1,826,964 | 1,535,830 | |||
Sound Point CLO II Ltd. Series 2013-1A, Class A1R, 3 Month USD LIBOR + 1.07%, 6.34%, 1/26/2031 (a) (b) | 500,000 | 493,200 | |||
Sound Point CLO Ltd.: | |||||
Series 2023-36A, Class B, Zero Coupon%, 7/26/2036 (a) (b) | 1,000,000 | 1,000,000 | |||
Series 2023-36A, Class C, Zero Coupon%, 7/26/2036 (a) (b) | 500,000 | 500,000 | |||
Sound Point CLO XII Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 9.10%, 10/20/2028 (a) (b) | 1,000,000 | 994,949 | |||
Sound Point CLO XIV Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 8.92%, 1/23/2029 (a) (b) | 1,000,000 | 994,943 | |||
Sound Point CLO XXIII Ltd. Series 2019-2A, Class ER, 3 Month USD LIBOR + 6.47%, 11.73%, 7/15/2034 (a) (b) | 1,000,000 | 798,295 | |||
Sound Point CLO XXVI Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 3.35%, 8.60%, 7/20/2034 (a) (b) | 500,000 | 447,464 |
Security Description | Principal Amount | Value | |||
Sound Point CLO XXVIII Ltd. Series 2020-3A, Class D, ABS, 3 Month USD LIBOR + 3.65%, 8.91%, 1/25/2032 (a) (b) | $ 4,000,000 | $ 3,702,212 | |||
Sound Point CLO XXXIII Ltd. Series 2022-1A, Class D, ABS, 3 Month SOFR + 3.30%, 8.37%, 4/25/2035 (a) (b) | 700,000 | 606,340 | |||
Start II Ltd. Series 2019-1, Class A, 4.09%, 3/15/2044 (a) | 462,976 | 407,577 | |||
Steele Creek CLO Ltd. Series 2017-1A, Class A, 3 Month USD LIBOR + 1.25%, 6.51%, 10/15/2030 (a) (b) | 950,348 | 941,985 | |||
Stratus CLO Ltd. Series 2021-1A, Class C, 7.34%, 12/29/2029 (a) (b) | 1,000,000 | 960,500 | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 5.49%, 12/25/2036 (b) | 659,049 | 638,785 | |||
Sunnova Helios V Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048 (a) | 1,235,084 | 960,119 | |||
Sunrun Demeter Issuer LLC Series 2021-2A, Class A, 2.27%, 1/30/2057 (a) | 2,547,457 | 2,060,416 | |||
Tesla Auto Lease Trust Series 2021-B, Class B, 0.91%, 9/22/2025 (a) | 3,250,000 | 3,076,118 | |||
Theorem Funding Trust Series 2023-1A, Class A, 7.58%, 4/15/2029 (a) | 4,939,462 | 4,945,531 | |||
THL Credit Wind River CLO Ltd. Series 2017-3A, Class AR, ABS, 3 Month USD LIBOR + 1.15%, 6.41%, 4/15/2035 (a) (b) | 2,150,000 | 2,098,185 | |||
TIF Funding II LLC: | |||||
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046 (a) | 4,053,125 | 3,352,939 | |||
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046 (a) | 1,621,250 | 1,323,718 | |||
Tricon Residential Trust Series 2023-SFR1, Class A, 5.10%, 7/17/2040 (a) | 10,000,000 | 9,722,935 |
Security Description | Principal Amount | Value | |||
Trimaran Cavu Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.78%, 9.04%, 1/18/2035 (a) (b) | $ 1,500,000 | $ 1,423,585 | |||
TRTX Issuer Ltd.: | |||||
Series 2019-FL3, Class AS, 1 Month USD LIBOR + 1.56%, 6.67%, 10/15/2034 (a) (b) | 1,043,032 | 1,042,774 | |||
Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 6.36%, 3/15/2038 (a) (b) | 173,552 | 167,762 | |||
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027 (a) | 1,463,332 | 1,401,983 | |||
Upstart Securitization Trust: | |||||
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (a) | 1,136,340 | 1,116,126 | |||
Series 2022-1, Class B, 4.48%, 3/20/2032 (a) | 6,500,000 | 6,126,072 | |||
Series 2023-2, Class A, 6.77%, 6/20/2033 (a) | 3,500,000 | 3,494,704 | |||
Venture 39 CLO Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 9.51%, 4/15/2033 (a) (b) | 1,750,000 | 1,662,675 | |||
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051 (a) (e) | 1,328,246 | 1,243,307 | |||
Voya CLO Ltd.: | |||||
Series 2013-1A, Class BR, 3 Month SOFR + 2.16%, 7.15%, 10/15/2030 (a) (b) | 1,000,000 | 942,600 | |||
Series 2014-2A, Class BRR, 7.67%, 4/17/2030 (a) (b) | 1,000,000 | 957,200 | |||
Series 2017-3A, Class A2AR, 3 Month USD LIBOR + 1.55%, 6.80%, 4/20/2034 (a) (b) | 1,005,000 | 978,167 | |||
Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 8.40%, 4/20/2034 (a) (b) | 1,000,000 | 918,590 | |||
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2007-HE2, Class 2A2, 1 Month USD LIBOR + 0.22%, 5.37%, 2/25/2037 (b) | 13,068,808 | 3,998,930 |
Security Description | Principal Amount | Value | |||
Wellfleet CLO Ltd.: | |||||
Series 2017-3A, Class A2, 7.07%, 1/17/2031 (a) (b) | $ 1,700,000 | $ 1,642,686 | |||
Series 2020-2A, Class CR, 3 Month USD LIBOR + 2.30%, 7.56%, 7/15/2034 (a) (b) | 1,550,000 | 1,468,165 | |||
Wellfleet CLO X Ltd. Series 2019-XA, Class A2R, 3 Month USD LIBOR + 1.75%, 7.00%, 7/20/2032 (a) (b) | 3,500,000 | 3,381,602 | |||
Wind River CLO Ltd. Series 2016-2A, Class BR, 3 Month USD LIBOR + 1.80%, 7.10%, 11/1/2031 (a) (b) | 3,000,000 | 2,933,700 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $376,243,073) | 348,108,635 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.4% | |||||
CHILE — 0.1% | |||||
Chile Government International Bonds: | |||||
3.10%, 5/7/2041 | 200,000 | 150,744 | |||
3.10%, 1/22/2061 | 500,000 | 327,265 | |||
3.50%, 1/25/2050 | 1,300,000 | 978,211 | |||
1,456,220 | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bonds: | |||||
4.13%, 5/15/2051 | 1,700,000 | 1,019,320 | |||
5.00%, 6/15/2045 | 900,000 | 624,501 | |||
1,643,821 | |||||
DOMINICAN REPUBLIC — 0.0% (c) | |||||
Dominican Republic International Bonds 8.63%, 4/20/2027 | 350,000 | 364,658 | |||
INDONESIA — 0.0% (c) | |||||
Indonesia Government International Bonds 3.70%, 10/30/2049 | 1,100,000 | 877,349 | |||
MEXICO — 0.1% | |||||
Mexico Government International Bonds: | |||||
2.66%, 5/24/2031 | 1,200,000 | 998,604 | |||
6.34%, 5/4/2053 | 2,484,000 | 2,536,040 | |||
3,534,644 | |||||
PANAMA — 0.1% | |||||
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025 | 500,000 | 465,780 |
Security Description | Principal Amount | Value | |||
Panama Government International Bonds: | |||||
2.25%, 9/29/2032 | $ 200,000 | $ 152,796 | |||
3.87%, 7/23/2060 | 1,000,000 | 661,610 | |||
4.30%, 4/29/2053 | 400,000 | 297,816 | |||
4.50%, 4/1/2056 | 400,000 | 299,624 | |||
1,877,626 | |||||
PERU — 0.0% (c) | |||||
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.61%, 5.25%, 7/15/2029 (b) | 1,000,000 | 970,790 | |||
PHILIPPINES — 0.0% (c) | |||||
Philippines Government International Bonds: | |||||
1.65%, 6/10/2031 | 200,000 | 158,828 | |||
2.95%, 5/5/2045 | 600,000 | 431,154 | |||
589,982 | |||||
SAUDI ARABIA — 0.0% (c) | |||||
Saudi Government International Bonds Series REGS, 2.25%, 2/2/2033 | 1,000,000 | 804,740 | |||
SOUTH AFRICA — 0.0% (c) | |||||
Republic of South Africa Government International Bonds 4.30%, 10/12/2028 | 650,000 | 574,054 | |||
SOUTH KOREA — 0.0% (c) | |||||
Korea Development Bank 1.63%, 1/19/2031 | 200,000 | 161,292 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $15,872,727) | 12,855,176 |
Shares | |||
COMMON STOCKS — 0.0% (c) | |||
UNITED KINGDOM — 0.0% (c) | |||
Avation Capital SA (f) | 4,550 | 1,880 | |
UNITED STATES — 0.0% (c) | |||
Bright Bidco BV (f) (g) | 710 | 357 | |
Phoenix Services International (h) | 6,972 | — |
Security Description | Shares | Value | |||
Phoenix Services International (h) | 693 | $ 15,733 | |||
16,090 | |||||
TOTAL COMMON STOCKS (Cost $38,998) | 17,970 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 1.7% | |||
ADVERTISING SERVICES — 0.0% (c) | |||
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 8.84%, 12/17/2026 (b) | $ 150,758 | 135,400 | |
AEROSPACE & DEFENSE — 0.0% (c) | |||
Dynasty Acquisition Co., Inc.: | |||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (b) | 75,707 | 75,186 | |
Senior Secured 2020 Term Loan B1, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (b) | 140,815 | 139,847 | |
Spirit Aerosystems, Inc., Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.50%, 9.55%, 1/15/2027 (b) | 79,400 | 79,658 | |
TransDigm, Inc., Senior Secured 2023 Term Loan I, 3 Month USD SOFR + 3.25%, 8.49%, 8/24/2028 (b) | 394,012 | 394,241 | |
688,932 | |||
AIR FREIGHT & LOGISTICS — 0.0% (c) | |||
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD SOFR + 3.75%, 9.48%, 3/24/2026 (b) | 376,597 | 376,430 | |
Worldwide Express Operations LLC, Senior Secured 2021 1st Lien Term Loan, 3 Month USD SOFR + 4.00%, 9.50%, 7/26/2028 (b) | 62,618 | 59,630 | |
436,060 |
Security Description | Principal Amount | Value | |||
AUTOMOBILE COMPONENTS — 0.0% (c) | |||||
Clarios Global LP, 2023 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.85%, 5/6/2030 (b) | $ 280,000 | $ 279,693 | |||
DexKo Global, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 3.75%, 9.25%, 10/4/2028 (b) | 149,938 | 143,566 | |||
423,259 | |||||
BEVERAGES — 0.0% (c) | |||||
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 0.00%, 5.24%, 3/31/2028 (b) | 294,901 | 285,824 | |||
BROADCAST SERV/PROGRAM — 0.0% (c) | |||||
EW Scripps Co., Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 2.56%, 7.78%, 5/1/2026 (b) | 446,083 | 438,834 | |||
BUILDING PRODUCTS — 0.0% (c) | |||||
Cornerstone Building Brands, Inc., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.50%, 4/12/2028 (b) | 129,668 | 124,645 | |||
Ingersoll-Rand Services Co., Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.95%, 3/1/2027 (b) | 344,111 | 344,138 | |||
Quikrete Holdings, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.00%, 8.22%, 3/18/2029 (b) | 123,438 | 123,712 | |||
592,495 | |||||
CASINO SERVICES — 0.0% (c) | |||||
Stars Group Holdings BV, Senior Secured 2018 USD Incremental Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/21/2026 (b) | 312,291 | 312,643 |
Security Description | Principal Amount | Value | |||
CHEMICALS — 0.1% | |||||
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, 3 Month USD SOFR + 3.00%, 8.22%, 12/20/2029 (b) | $ 133,762 | $ 134,212 | |||
Diamond BV, Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.75%, 8.06%, 9/29/2028 (b) | 448,175 | 448,235 | |||
Hexion Holdings Corp., Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.50%, 3/15/2029 (b) | 64,836 | 61,361 | |||
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.50%, 8.72%, 6/30/2027 (b) | 369,895 | 367,254 | |||
Ineos U.S. Finance LLC, Senior Secured 2023 USD Term Loan B, 3 Month USD SOFR + 3.50%, 8.75%, 2/18/2030 (b) | 320,000 | 318,600 | |||
Messer Industries GmbH, Senior Secured 2018 USD Term Loan, 3 Month USD SOFR + 2.50%, 8.00%, 3/2/2026 (b) | 314,766 | 314,973 | |||
Nouryon Finance BV, 2023 USD Term Loan B, 3 Month USD SOFR + 4.00%, 9.32%, 4/3/2028 (b) | 135,000 | 133,988 | |||
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 3.75%, 9.25%, 11/9/2028 (b) | 197,000 | 189,736 | |||
PMHC II, Inc., Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 9.30%, 4/23/2029 (b) | 124,063 | 109,710 | |||
Polar U.S. Borrower LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD SOFR + 4.75%, 9.67%, 10/15/2025 (b) | 154,390 | 122,482 | |||
PQ Corp., Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.50%, 7.65%, 6/9/2028 (b) | 292,517 | 291,671 |
Security Description | Principal Amount | Value | |||
Vantage Specialty Chemicals, Inc., Senior Secured 2023 Term Loan B, 1 Month USD SOFR + 4.75%, 9.90%, 10/26/2026 (b) | $ 24,875 | $ 24,216 | |||
2,516,438 | |||||
COMMERCIAL SERVICES — 0.1% | |||||
AlixPartners LLP, Senior Secured 2021 USD Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 2/4/2028 (b) | 354,094 | 353,785 | |||
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 5/12/2028 (b) | 330,938 | 322,297 | |||
APX Group, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.76%, 7/10/2028 (b) | 277,195 | 277,346 | |||
CoreLogic, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 8.75%, 6/2/2028 (b) | 199,492 | 180,590 | |||
EAB Global, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 8.87%, 8/16/2028 (b) | 155,702 | 154,170 | |||
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 5/4/2028 (b) | 360,649 | 358,057 | |||
PECF USS Intermediate Holding III Corp., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25%, 9.52%, 12/15/2028 (b) | 149,939 | 123,568 | |||
Spin Holdco, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 9.23%, 3/4/2028 (b) | 245,954 | 212,311 | |||
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 9.22%, 8/27/2025 (b) | 413,394 | 413,781 |
Security Description | Principal Amount | Value | |||
Viad Corp., Senior Secured Initial Term Loan, 1 Month USD SOFR + 5.00%, 10.22%, 7/30/2028 (b) | $ 211,911 | $ 206,613 | |||
VT Topco, Inc.: | |||||
2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 3.75%, 8/1/2025 (b) | 30 | 30 | |||
Senior Secured 2021 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 8/1/2025 (b) | 68,687 | 67,906 | |||
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.75%, 7.94%, 2/5/2026 (b) | 170,376 | 169,228 | |||
2,839,682 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
Asurion LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 10.45%, 1/31/2028 (b) | 70,000 | 59,828 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD SOFR + 5.25%, 10.45%, 1/20/2029 (b) | 105,000 | 88,350 | |||
Garda World Security Corp.: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 6.25%, 9.43%, 10/30/2026 (b) | 214,126 | 213,323 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 9.33%, 2/1/2029 (b) | 153,838 | 152,491 | |||
National Intergovernmental Purchasing Alliance Co., Senior Secured 1st Lien Term Loan, 3 Month USD SOFR + 3.50%, 8.74%, 5/23/2025 (b) | 323,302 | 322,251 | |||
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 Month USD SOFR + 3.50%, 8.74%, 11/30/2027 (b) | 131,614 | 129,980 |
Security Description | Principal Amount | Value | |||
Packers Holdings LLC, Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.25%, 8.44%, 3/9/2028 (b) | $ 167,349 | $ 116,935 | |||
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 7.94%, 9/23/2026 (b) | 292,909 | 293,192 | |||
1,376,350 | |||||
COMPUTER SERVICES — 0.0% (c) | |||||
Tempo Acquisition LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 8.10%, 8/31/2028 (b) | 142,825 | 143,042 | |||
COMPUTERS & PERIPHERALS — 0.0% (c) | |||||
NCR Corp., Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 2.50%, 7.78%, 8/28/2026 (b) | 363,697 | 363,242 | |||
CONSTRUCTION & ENGINEERING — 0.0% (c) | |||||
Brown Group Holding LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.70%, 6/7/2028 (b) | 45,456 | 44,826 | |||
DG Investment Intermediate Holdings 2, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD SOFR + 6.75%, 11.97%, 3/30/2029 (b) | 60,000 | 53,438 | |||
Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 3/31/2028 (b) | 229,848 | 226,113 | |||
KKR Apple Bidco LLC, Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.75%, 7.97%, 9/23/2028 (b) | 187,150 | 185,847 | |||
Tecta America Corp., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 4.25%, 9.22%, 4/10/2028 (b) | 191,100 | 190,384 | |||
700,608 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION MATERIALS — 0.0% (c) | |||||
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 1 Month USD SOFR + 3.75%, 8.94%, 2/16/2028 (b) | $ 53,496 | $ 53,128 | |||
CONSUMER STAPLES DISTRIBUTION & RETAIL — 0.0% (c) | |||||
Monogram Food Solutions LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 9.19%, 8/28/2028 (b) | 256,100 | 250,018 | |||
CONTAINERS & PACKAGING — 0.1% | |||||
Charter NEX U.S., Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 12/1/2027 (b) | 297,375 | 295,424 | |||
Graham Packaging Co., Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.00%, 8.22%, 8/4/2027 (b) | 300,000 | 298,524 | |||
Pregis TopCo Corp., Senior Secured 1st Lien Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 7/31/2026 (b) | 296,345 | 295,124 | |||
Pretium PKG Holdings, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 9.22%, 10/2/2028 (b) | 216,700 | 163,363 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 12.26%, 10/1/2029 (b) | 45,000 | 24,357 | |||
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.25%, 8.47%, 3/3/2028 (b) | 193,227 | 188,517 | |||
Trident TPI Holdings, Inc., Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 9.54%, 9/15/2028 (b) | 243,378 | 240,075 | |||
1,505,384 |
Security Description | Principal Amount | Value | |||
COSMETICS & TOILETRIES — 0.0% (c) | |||||
Solis IV BV, Senior Secured USD Term Loan B1, 3 Month USD SOFR + 3.50%, 8.67%, 2/26/2029 (b) | $ 272,026 | $ 259,361 | |||
Sunshine Luxembourg VII SARL, Senior Secured 2021 Term Loan B3, 3 Month USD SOFR + 3.75%, 9.09%, 10/1/2026 (b) | 303,537 | 302,400 | |||
561,761 | |||||
DISTRIBUTION/WHOLESALE — 0.0% (c) | |||||
BCPE Empire Holdings, Inc., 2023 Extended Term Loan, 3 Month USD SOFR + 4.75%, 9.83%, 12/11/2028 (b) | 353,966 | 353,580 | |||
DISTRIBUTORS — 0.0% (c) | |||||
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 6.25%, 11.49%, 10/20/2028 (b) | 162,938 | 142,144 | |||
DIVERSIFIED CONSUMER SERVICES — 0.0% (c) | |||||
Ascend Learning LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD SOFR + 5.75%, 10.95%, 12/10/2029 (b) | 64,708 | 55,406 | |||
Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.50%, 8.58%, 12/11/2028 (b) | 267,459 | 252,081 | |||
307,487 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (c) | |||||
Intelsat Jackson Holdings SA, Senior Secured 2021 Exit Term Loan B, 3 Month USD SOFR + 4.25%, 9.44%, 2/1/2029 (b) | 283,725 | 282,939 | |||
Level 3 Financing, Inc., Senior Secured 2019 Term Loan B, 1 Month USD SOFR + 1.75%, 6.97%, 3/1/2027 (b) | 135,000 | 126,099 |
Security Description | Principal Amount | Value | |||
Telesat Canada, Senior Secured Term Loan B5, 3 Month USD LIBOR + 2.75%, 8.03%, 12/7/2026 (b) | $ 102,573 | $ 63,582 | |||
Zayo Group Holdings, Inc., 2022 USD Incremental Term Loan B, 1 Month USD SOFR + 4.25%, 9.35%, 3/9/2027 (b) | 179,545 | 143,075 | |||
615,695 | |||||
ELECTRICAL EQUIPMENT — 0.0% (c) | |||||
Energizer Holdings, Inc., Senior Secured 2020 Term Loan, 1 Month USD SOFR + 2.25%, 7.44%, 12/22/2027 (b) | 149,851 | 149,290 | |||
Gates Global LLC, Senior Secured 2022 Term Loan B4, 1 Month USD SOFR + 3.50%, 8.60%, 11/16/2029 (b) | 59,550 | 59,618 | |||
208,908 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) | |||||
Compass Power Generation LLC, Senior Secured 2022 Term Loan B2, 1 Month USD SOFR + 4.25%, 9.47%, 4/14/2029 (b) | 217,360 | 217,174 | |||
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 2.75%, 7.94%, 10/20/2028 (b) | 205,040 | 204,314 | |||
421,488 | |||||
ENTERTAINMENT — 0.1% | |||||
AMC Entertainment Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 8.22%, 4/22/2026 (b) | 48,931 | 38,350 | |||
Fertitta Entertainment LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 9.10%, 1/27/2029 (b) | 303,765 | 300,379 | |||
Formula One Holdings Ltd., Term Loan B, 1 Month USD SOFR + 3.00%, 8.10%, 1/15/2030 (b) | 260,000 | 260,357 |
Security Description | Principal Amount | Value | |||
NASCAR Holdings LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 10/19/2026 (b) | $ 158,215 | $ 158,623 | |||
SMG U.S. Midco 2, Inc., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 7.79%, 1/23/2025 (b) | 343,427 | 343,070 | |||
UFC Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 8.05%, 4/29/2026 (b) | 224,366 | 224,381 | |||
WMG Acquisition Corp., Senior Secured 2021 Term Loan G, 1 Month USD SOFR + 2.13%, 7.33%, 1/20/2028 (b) | 345,000 | 344,493 | |||
1,669,653 | |||||
FINANCIAL SERVICES — 0.1% | |||||
AllSpring Buyer LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 8.53%, 11/1/2028 (b) | 245,890 | 242,406 | |||
Astra Acquisition Corp.: | |||||
Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 5.25%, 10.44%, 10/25/2028 (b) | 139,181 | 98,080 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 8.88%, 14.09%, 10/25/2029 (b) | 159,961 | 89,179 | |||
Castlelake Aviation Ltd., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 8.30%, 10/22/2026 (b) | 340,666 | 339,639 | |||
Deerfield Dakota Holding LLC, Senior Secured 2020 USD Term Loan B, 3 Month USD SOFR + 3.75%, 8.99%, 4/9/2027 (b) | 253,679 | 246,839 | |||
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 10.22%, 8/2/2027 (b) | 297,389 | 291,400 |
Security Description | Principal Amount | Value | |||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.94%, 7/20/2026 (b) | $ 91,670 | $ 88,817 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.94%, 4/7/2028 (b) | 187,109 | 182,770 | |||
Eisner Advisory Group LLC, Senior Secured Term Loan, 1 Month USD SOFR + 4.48%, 10.47%, 7/28/2028 (b) | 157,201 | 157,201 | |||
Focus Financial Partners LLC, 2023 Term Loan B6, 6/30/2028 (b) | 50,000 | 49,794 | |||
Greystone Select Financial LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.00%, 10.27%, 6/16/2028 (b) | 87,508 | 83,132 | |||
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 9.15%, 4/21/2028 (b) | 247,654 | 241,772 | |||
Minotaur Acquisition, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 4.75%, 9.85%, 3/27/2026 (b) | 193,987 | 191,260 | |||
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 7.45%, 12/16/2028 (b) | 113,275 | 112,425 | |||
2,414,714 | |||||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.69%, 9.27%, 5/23/2025 (b) | 180,832 | 159,698 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
Bausch & Lomb, Inc., Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 8.59%, 5/10/2027 (b) | 346,773 | 337,237 |
Security Description | Principal Amount | Value | |||
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 10/1/2027 (b) | $ 313,539 | $ 309,228 | |||
646,465 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.1% | |||||
Air Methods Corp., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 9.04%, 4/22/2024 (b) | 71,286 | 26,732 | |||
Aveanna Healthcare LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 12.48%, 12/10/2029 (b) | 82,260 | 51,310 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 9.23%, 7/17/2028 (b) | 100,798 | 86,519 | |||
Catalent Pharma Solutions, Inc., Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 2/22/2028 (b) | 184,528 | 181,125 | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 8.44%, 9/29/2028 (b) | 351,536 | 350,261 | |||
Envision Healthcare Corp.: | |||||
2018 Third Out Term Loan, 3 Month USD SOFR + 3.75%, 8.99%, 3/31/2027 (b) (d) | 263,563 | 5,025 | |||
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 9.49%, 3/31/2027 (b) (d) | 107,841 | 24,366 | |||
Fortrea Holdings, Inc., Term Loan B, 7/1/2030 (b) | 45,000 | 45,067 | |||
Global Medical Response, Inc., Senior Secured 2017 Incremental Term Loan, 1 Month USD SOFR + 4.25%, 9.47%, 3/14/2025 (b) | 108,019 | 61,301 | |||
Heartland Dental LLC, Senior Secured 2021 Incremental Term Loan, 1 Month USD SOFR + 4.00%, 9.20%, 4/30/2025 (b) | 7,438 | 7,373 |
Security Description | Principal Amount | Value | |||
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.95%, 3/15/2028 (b) | $ 254,150 | $ 253,719 | |||
ICON Luxembourg SARL, Senior Secured LUX Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (b) | 135,185 | 135,354 | |||
Medline Borrower LP, Senior Secured USD Term Loan B, 1 Month USD SOFR + 3.25%, 8.35%, 10/23/2028 (b) | 593,498 | 587,375 | |||
Pediatric Associates Holding Co. LLC: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.47%, 12/29/2028 (b) | 106,213 | 104,169 | |||
Senior Secured 2022 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.25%, 3.25%, 12/29/2028 (b) | 11,331 | 11,113 | |||
PRA Health Sciences, Inc., Senior Secured US Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (b) | 33,681 | 33,723 | |||
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.02%, 11/16/2025 (b) | 292,714 | 271,819 | |||
2,236,351 | |||||
HOME FURNISHINGS — 0.0% (c) | |||||
AI Aqua Merger Sub, Inc., Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 8.80%, 7/31/2028 (b) | 298,197 | 293,128 | |||
HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
Alterra Mountain Co.: | |||||
2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 5/31/2030 (b) | 90,000 | 90,000 | |||
Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 8.69%, 8/17/2028 (b) | 267,675 | 267,592 |
Security Description | Principal Amount | Value | |||
Caesars Entertainment Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 2/6/2030 (b) | $ 64,838 | $ 64,922 | |||
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 8.29%, 9/18/2024 (b) | 123,259 | 118,526 | |||
PENN Entertainment, Inc., Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.95%, 5/3/2029 (b) | 352,918 | 352,219 | |||
Peraton Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 2/1/2028 (b) | 399,551 | 393,344 | |||
Playa Resorts Holding BV, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 9.34%, 1/5/2029 (b) | 234,012 | 233,707 | |||
Scientific Games International, Inc., Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 8.25%, 4/14/2029 (b) | 138,600 | 138,633 | |||
Travelport Finance SARL, Senior Secured 2020 Super Priority Term Loan, 1 Month USD LIBOR + 1.50%, 7.25%, 2/28/2025 (b) | 313,460 | 309,152 | |||
1,968,095 | |||||
HOUSEHOLD DURABLES — 0.0% (c) | |||||
Springs Windows Fashions LLC, Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 10/6/2028 (b) | 117,381 | 95,372 | |||
HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
Conair Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 5/17/2028 (b) | 64,244 | 60,750 |
Security Description | Principal Amount | Value | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | |||||
Calpine Corp., Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 7.19%, 8/12/2026 (b) | $ 77,000 | $ 77,022 | |||
Vistra Operations Co. LLC, Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.90%, 12/31/2025 (b) | 343,046 | 342,617 | |||
419,639 | |||||
INSURANCE — 0.1% | |||||
Acrisure LLC: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.69%, 2/15/2027 (b) | 162,372 | 158,037 | |||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 9.43%, 2/15/2027 (b) | 137,900 | 135,430 | |||
Alliant Holdings Intermediate LLC: | |||||
Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 8.65%, 11/6/2027 (b) | 152,287 | 151,580 | |||
Senior Secured 2023 Term Loan B5, 1 Month USD SOFR + 3.50%, 8.65%, 11/5/2027 (b) | 164,175 | 163,377 | |||
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.44%, 2/19/2028 (b) | 348,423 | 345,811 | |||
AssuredPartners, Inc.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 3.50%, 8.72%, 2/12/2027 (b) | 254,644 | 253,026 | |||
Senior Secured 2022 Term Loan, 1 Month USD SOFR + 3.50%, 8.60%, 2/12/2027 (b) | 103,687 | 102,888 | |||
HUB International Ltd., 2023 Term Loan B, 6/20/2030 (b) | 65,000 | 65,221 | |||
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.25%, 9.45%, 11/16/2027 (b) | 310,557 | 306,675 | |||
1,682,045 |
Security Description | Principal Amount | Value | |||
INTERACTIVE MEDIA & SERVICES — 0.0% (c) | |||||
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028 (d) (i) | $ 24,474 | $ 367 | |||
INTERNET & CATALOG RETAIL — 0.0% (c) | |||||
ION Trading Finance Ltd., Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 10.29%, 4/3/2028 (b) | 189,238 | 185,995 | |||
PUG LLC, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 8.52%, 2/12/2027 (b) | 310,368 | 277,633 | |||
463,628 | |||||
INTERNET & TELECOM — 0.0% (c) | |||||
Cablevision Lightpath LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 11/30/2027 (b) | 385,125 | 371,827 | |||
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 Month USD SOFR + 3.50%, 8.46%, 11/8/2027 (b) | 133,221 | 132,871 | |||
Go Daddy Operating Co. LLC, Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 8.08%, 11/9/2029 (b) | 49,750 | 49,903 | |||
Uber Technologies, Inc., Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 3/3/2030 (b) | 144,275 | 144,447 | |||
699,048 | |||||
LEISURE INDUSTRY — 0.0% (c) | |||||
Carnival Corp., Senior Secured 2021 Incremental Term Loan B, 1 Month USD SOFR + 3.25%, 8.47%, 10/18/2028 (b) | 292,411 | 290,339 | |||
LEISURE&REC/GAMES — 0.0% (c) | |||||
Scientific Games Holdings LP, Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 8.42%, 4/4/2029 (b) | 273,323 | 270,419 |
Security Description | Principal Amount | Value | |||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c) | |||||
Parexel International Corp., Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 8.44%, 11/15/2028 (b) | $ 380,187 | $ 377,716 | |||
MACHINERY — 0.0% (c) | |||||
Ali Group North America Corp., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.08%, 7/30/2029 (b) | 284,005 | 284,325 | |||
American Trailer World Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.86%, 3/3/2028 (b) | 74,018 | 66,964 | |||
Columbus McKinnon Corp., Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.75%, 8.23%, 5/14/2028 (b) | 30,204 | 30,166 | |||
Madison IAQ LLC, Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 8.30%, 6/21/2028 (b) | 357,700 | 350,814 | |||
Titan Acquisition Ltd., Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.73%, 3/28/2025 (b) | 266,826 | 261,099 | |||
993,368 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (c) | |||||
Brookfield WEC Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.94%, 8/1/2025 (b) | 379,028 | 378,712 | |||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 3.50%, 8.58%, 8/21/2026 (b) | 237,711 | 227,480 | |||
606,192 | |||||
MEDIA — 0.1% | |||||
Charter Communications Operating LLC, Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.83%, 2/1/2027 (b) | 182,161 | 181,288 |
Security Description | Principal Amount | Value | |||
Diamond Sports Group LLC, 2022 2nd Lien Term Loan, 3 Month USD SOFR + 3.25%, 8.31%, 8/24/2026 (b) (d) | $ 171,496 | $ 6,145 | |||
Go Daddy Operating Co. LLC, Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 7.19%, 8/10/2027 (b) | 284,267 | 284,252 | |||
Gray Television, Inc., Senior Secured 2021 Term Loan D, 1 Month USD SOFR + 3.00%, 8.27%, 12/1/2028 (b) | 348,232 | 340,914 | |||
iHeartCommunications, Inc., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 5/1/2026 (b) | 170,000 | 147,677 | |||
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD SOFR + 3.25%, 8.33%, 10/20/2025 (b) | 142,391 | 128,695 | |||
Radiate Holdco LLC, Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.48%, 9/25/2026 (b) | 146,337 | 122,502 | |||
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 Month USD SOFR + 2.50%, 7.72%, 9/30/2026 (b) | 127,089 | 113,427 | |||
Univision Communications, Inc., Senior Secured 2022 First Lien Term Loan B, 3 Month USD SOFR + 4.25%, 9.49%, 6/24/2029 (b) | 179,210 | 179,135 | |||
Vertical U.S. Newco, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 8.60%, 7/30/2027 (b) | 303,714 | 301,741 | |||
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 7.69%, 4/30/2028 (b) | 190,000 | 187,422 | |||
1,993,198 | |||||
METALS & MINING — 0.0% (c) | |||||
Tiger Acquisition LLC, Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.25%, 8.45%, 6/1/2028 (b) | 115,912 | 113,859 |
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (c) | |||||
Radiology Partners, Inc., Senior Secured 2018 1st Lien Term Loan B, 1 Month USD SOFR + 4.25%, 9.33%, 7/9/2025 (b) | $ 159,661 | $ 121,093 | |||
OIL, GAS & CONSUMABLE FUELS — 0.0% (c) | |||||
Pacific Gas & Electric Co., 2020 Term Loan B1, 1 Month USD LIBOR + 3.00%, 8.22%, 6/23/2025 (b) | 313,512 | 313,848 | |||
Par Petroleum LLC, Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 4.25%, 9.61%, 2/28/2030 (b) | 49,875 | 49,189 | |||
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.75%, 11.01%, 6/22/2026 (b) | 165,696 | 164,959 | |||
527,996 | |||||
PASSENGER AIRLINES — 0.1% | |||||
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.84%, 8/11/2028 (b) | 193,050 | 193,309 | |||
American Airlines, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 8.26%, 1/29/2027 (b) | 213,400 | 208,332 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 10.00%, 4/20/2028 (b) | 310,000 | 317,031 | |||
Kestrel Bidco, Inc., Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.51%, 12/11/2026 (b) | 184,325 | 179,269 | |||
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.76%, 6/21/2027 (b) | 404,000 | 420,412 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 8.80%, 10/20/2027 (b) | 193,500 | 201,240 |
Security Description | Principal Amount | Value | |||
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 4/21/2028 (b) | $ 279,078 | $ 279,389 | |||
1,798,982 | |||||
PERSONAL CARE PRODUCTS — 0.0% (c) | |||||
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.25%, 12/22/2026 (b) | 225,406 | 220,140 | |||
PHARMACEUTICALS — 0.1% | |||||
Grifols Worldwide Operations USA, Inc., Senior Secured USD 2019 Term Loan B, 3 Month USD SOFR + 2.00%, 7.41%, 11/15/2027 (b) | 240,000 | 236,550 | |||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 8.86%, 5/5/2028 (b) | 507,855 | 507,718 | |||
Organon & Co., Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 8.25%, 6/2/2028 (b) | 486,545 | 487,078 | |||
Perrigo Investments LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.45%, 4/20/2029 (b) | 193,723 | 192,512 | |||
PetVet Care Centers LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 8.69%, 2/14/2025 (b) | 220,658 | 216,576 | |||
Southern Veterinary Partners LLC, Senior Secured Term Loan, 1 Month USD SOFR + 4.00%, 9.22%, 10/5/2027 (b) | 308,292 | 303,795 | |||
1,944,229 | |||||
PIPELINES — 0.1% | |||||
BCP Renaissance Parent LLC, Senior Secured 2022 Term Loan B3, 3 Month USD SOFR + 3.50%, 8.74%, 10/31/2026 (b) | 137,829 | 137,559 |
Security Description | Principal Amount | Value | |||
Buckeye Partners LP, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.45%, 11/1/2026 (b) | $ 364,067 | $ 362,057 | |||
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 6/5/2028 (b) | 272,245 | 272,090 | |||
Freeport LNG Investments LLLP, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 8.75%, 12/21/2028 (b) | 210,529 | 206,650 | |||
GIP II Blue Holding LP, Senior Secured Term Loan B, 1 Month USD SOFR + 4.50%, 9.72%, 9/29/2028 (b) | 92,081 | 92,509 | |||
Oryx Midstream Services Permian Basin LLC, Senior Secured 2023 Incremental Term Loan, 1 Month USD SOFR + 3.25%, 8.54%, 10/5/2028 (b) | 240,059 | 240,000 | |||
1,310,865 | |||||
PROFESSIONAL SERVICES — 0.0% (c) | |||||
Dun & Bradstreet Corp., Senior Secured 2022 Incremental Term Loan B2, 1 Month USD SOFR + 3.25%, 8.33%, 1/18/2029 (b) | 69,125 | 69,060 | |||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 8.44%, 8/31/2028 (b) | 334,900 | 328,341 | |||
Trans Union LLC, Senior Secured 2021 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.47%, 12/1/2028 (b) | 492,198 | 491,608 | |||
889,009 | |||||
PUBLISHING-BOOKS — 0.0% (c) | |||||
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 1 Month USD SOFR + 4.50%, 9.70%, 2/19/2026 (b) | 157,575 | 157,772 |
Security Description | Principal Amount | Value | |||
RETAIL-BUILDING PRODUCTS — 0.0% (c) | |||||
LBM Acquisition LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 8.95%, 12/17/2027 (b) | $ 250,017 | $ 240,771 | |||
Park River Holdings, Inc., Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 8.52%, 12/28/2027 (b) | 159,858 | 153,709 | |||
394,480 | |||||
RETAIL-RESTAURANTS — 0.0% (c) | |||||
IRB Holding Corp., Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 8.20%, 12/15/2027 (b) | 348,953 | 346,990 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
Bright Bidco BV, Senior Secured 2022 Exit Term Loan, 3 Month USD SOFR + 1.00%, 8.00%, 10/31/2027 (b) | 24,262 | 12,576 | |||
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.94%, 8/27/2025 (b) | 128,036 | 128,216 | |||
140,792 | |||||
SOFTWARE — 0.2% | |||||
Applied Systems, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 6.75%, 11.99%, 9/17/2027 (b) | 210,000 | 210,591 | |||
Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 9/18/2026 (b) | 277,195 | 277,910 | |||
Athenahealth Group, Inc., Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 8.59%, 2/15/2029 (b) | 266,505 | 257,177 | |||
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 10/30/2026 (b) | 365,000 | 364,909 |
Security Description | Principal Amount | Value | |||
Castle U.S. Holding Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.75%, 8.94%, 1/29/2027 (b) | $ 312,192 | $ 230,778 | |||
CDK Global, Inc., Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.49%, 7/6/2029 (b) | 204,125 | 203,792 | |||
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 9.88%, 7/14/2026 (b) | 303,401 | 297,960 | |||
Constant Contact, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 9.20%, 2/10/2028 (b) | 114,155 | 109,321 | |||
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.93%, 10/16/2028 (b) | 131,783 | 123,135 | |||
DCert Buyer, Inc.: | |||||
2021 2nd Lien Term Loan, 3 Month USD SOFR + 7.00%, 12.26%, 2/19/2029 (b) | 55,000 | 50,692 | |||
Senior Secured 2019 Term Loan B, 3 Month USD SOFR + 4.00%, 9.26%, 10/16/2026 (b) | 75,200 | 74,671 | |||
Finastra USA, Inc.: | |||||
Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 9.23%, 6/13/2024 (b) | 119,939 | 115,610 | |||
USD 2nd Lien Term Loan, 6 Month USD LIBOR + 7.25%, 12.79%, 6/13/2025 (b) | 105,000 | 95,701 | |||
First Advantage Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 1/31/2027 (b) | 275,666 | 275,667 | |||
GoTo Group, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 9.93%, 8/31/2027 (b) | 127,493 | 80,392 | |||
Grab Holdings, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 9.70%, 1/29/2026 (b) | 135,685 | 135,827 |
Security Description | Principal Amount | Value | |||
Greeneden U.S. Holdings II LLC, Senior Secured 2020 USD Term Loan B4, 1 Month USD SOFR + 4.00%, 9.19%, 12/1/2027 (b) | $ 318,512 | $ 318,086 | |||
Hyland Software, Inc., Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 11.47%, 7/7/2025 (b) | 45,000 | 43,481 | |||
I-Logic Technologies Bidco Ltd., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 2/16/2028 (b) | 272,500 | 269,750 | |||
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 8.00%, 10/27/2028 (b) | 325,875 | 325,976 | |||
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.42%, 12/1/2027 (b) | 72,135 | 61,128 | |||
McAfee LLC, Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 9.01%, 3/1/2029 (b) | 103,079 | 98,885 | |||
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00%, 9.18%, 12/18/2028 (b) | 212,313 | 181,527 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 11.69%, 10/15/2029 (b) | 40,000 | 35,500 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.94%, 10/15/2028 (b) | 242,041 | 237,125 | |||
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 8.19%, 12/29/2027 (b) | 141,738 | 141,738 | |||
Polaris Newco LLC, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 9.52%, 6/2/2028 (b) | 122,382 | 112,999 |
Security Description | Principal Amount | Value | |||
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 8.19%, 4/24/2028 (b) | $ 249,365 | $ 244,285 | |||
Sophia LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 9.04%, 10/7/2027 (b) | 419,554 | 415,709 | |||
Ultimate Software Group, Inc.: | |||||
2023 Incremental Term Loan, 3 Month USD SOFR + 7.00%, 9.78%, 5/4/2026 (b) | 95,000 | 94,981 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 5.25%, 10.27%, 5/3/2027 (b) | 70,000 | 68,075 | |||
Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 5/4/2026 (b) | 269,301 | 266,070 | |||
5,819,448 | |||||
SPECIALTY RETAIL — 0.1% | |||||
Great Outdoors Group LLC, Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.94%, 3/6/2028 (b) | 269,838 | 268,151 | |||
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.75%, 10.02%, 7/7/2028 (b) | 235,800 | 123,991 | |||
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 8.47%, 7/21/2028 (b) | 190,856 | 187,784 | |||
Leslie's Poolmart, Inc., 2021 Term Loan B, 7.97%, 3/9/2028 (b) | 344,120 | 343,833 | |||
Michaels Cos., Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.75%, 4/15/2028 (b) | 88,958 | 79,039 | |||
Petco Health & Wellness Co., Inc., Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.75%, 3/3/2028 (b) | 355,000 | 352,982 | |||
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.75%, 8.83%, 2/11/2028 (b) | 344,623 | 344,553 |
Security Description | Principal Amount | Value | |||
Pilot Travel Centers LLC, Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 8/4/2028 (b) | $ 343,244 | $ 343,183 | |||
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 3.25%, 8.56%, 2/17/2028 (b) | 158,072 | 158,269 | |||
Restoration Hardware, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 7.60%, 10/20/2028 (b) | 235,800 | 228,608 | |||
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.69%, 6/2/2028 (b) | 310,313 | 302,191 | |||
Staples, Inc., Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 10.30%, 4/16/2026 (b) | 205,714 | 176,593 | |||
Victoria's Secret & Co., Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.51%, 8/2/2028 (b) | 206,325 | 204,262 | |||
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.47%, 8/3/2028 (b) | 290,575 | 289,235 | |||
3,402,674 | |||||
STEEL-PRODUCERS — 0.0% (c) | |||||
Phoenix Services International LLC, Term Load, 11.00%, 3/1/2025 | 44,829 | 44,829 | |||
TELECOM SERVICES — 0.0% (c) | |||||
Connect Finco SARL, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.70%, 12/11/2026 (b) | 140,288 | 140,375 | |||
TELECOMMUNICATION EQUIP — 0.0% (c) | |||||
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 8.07%, 5/1/2024 (b) (d) | 294,531 | 149,866 |
Security Description | Principal Amount | Value | |||
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.97%, 4/30/2028 (b) | $ 144,045 | $ 144,032 | |||
293,898 | |||||
TRANSPORT-SERVICES — 0.1% | |||||
Echo Global Logistics, Inc., Senior Secured Term Loan, 1 Month USD SOFR + 3.500%, 8.70%, 11/23/2028 (b) | 122,640 | 119,267 | |||
EG America LLC, Senior Secured 2018 USD Term Loan, 1 Month USD SOFR + 4.00%, 9.08%, 2/7/2025 (b) | 174,360 | 172,036 | |||
EG Group Ltd., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 3/31/2026 (b) | 152,692 | 152,167 | |||
Element Materials Technology Group U.S. Holdings, Inc.: | |||||
2022 USD Delayed Draw Term Loan, 3 Month USD SOFR + 4.25%, 9.59%, 7/6/2029 (b) | 40,847 | 40,133 | |||
Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.25%, 9.59%, 7/6/2029 (b) | 88,503 | 86,954 | |||
Endure Digital, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.79%, 2/10/2028 (b) | 121,648 | 113,589 | |||
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 7.69%, 8/3/2028 (b) | 112,412 | 112,424 | |||
ExGen Renewables IV LLC, Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 8.03%, 12/15/2027 (b) | 187,039 | 186,162 | |||
LaserShip, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.50%, 12.69%, 5/7/2029 (b) | 40,000 | 30,000 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50%, 9.69%, 5/7/2028 (b) | $ 137,550 | $ 114,167 | |||
1,126,899 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $53,510,295) | 51,806,917 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 31.7% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.13%, 12/1/2051 (b) | 11,307,075 | 9,923,954 | |||
2.22%, 7/1/2051 (b) | 12,900,772 | 11,382,679 | |||
2.50%, 9/1/2050 | 12,914,247 | 10,992,314 | |||
3.00%, 6/1/2042 | 10,576,962 | 9,518,801 | |||
3.00%, 11/1/2042 | 5,950,100 | 5,385,366 | |||
3.00%, 12/1/2042 | 4,935,290 | 4,417,209 | |||
3.00%, 1/1/2045 | 688,580 | 621,243 | |||
3.00%, 2/1/2045 | 480,590 | 430,531 | |||
3.00%, 3/1/2045 | 472,721 | 423,482 | |||
3.00%, 4/1/2045 | 13,500,229 | 12,157,049 | |||
3.00%, 5/1/2045 | 1,859,191 | 1,665,533 | |||
3.00%, 8/1/2045 | 5,390,657 | 4,829,155 | |||
3.00%, 7/1/2047 | 1,893,328 | 1,694,576 | |||
3.00%, 6/1/2051 | 17,356,157 | 15,340,737 | |||
3.00%, 10/1/2051 | 15,551,127 | 13,836,513 | |||
3.00%, 3/1/2052 | 5,940,595 | 5,233,770 | |||
3.50%, 2/1/2045 | 751,006 | 697,622 | |||
3.50%, 4/1/2045 | 11,690,448 | 10,856,150 | |||
3.50%, 6/1/2045 | 5,931,426 | 5,508,113 | |||
3.50%, 10/1/2045 | 6,113,201 | 5,676,916 | |||
3.50%, 2/1/2046 | 3,045,611 | 2,815,228 | |||
4.00%, 4/1/2047 | 8,034,815 | 7,657,841 | |||
4.00%, 7/1/2047 | 2,049,502 | 1,953,331 | |||
4.00%, 10/1/2047 | 4,599,817 | 4,383,976 | |||
4.00%, 7/1/2052 | 32,249,062 | 30,270,638 | |||
4.30%, 1/1/2033 | 10,000,000 | 9,830,223 | |||
4.50%, 6/1/2044 | 912,614 | 898,873 | |||
4.50%, 7/1/2052 | 14,230,148 | 13,679,190 | |||
4.50%, 10/1/2052 | 17,674,243 | 16,986,885 | |||
4.80%, 1/1/2030 | 17,395,000 | 17,582,120 | |||
Federal Home Loan Mortgage Corp. REMICS: | |||||
Series 3852, Class NS, CMO, IO, REMIC, 1 Month USD LIBOR - 6.00%, 0.81%, 5/15/2041 (b) | 3,191,261 | 231,439 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 1,999,063 | 1,890,517 |
Security Description | Principal Amount | Value | |||
Series 3935, Class SJ, CMO, IO, REMIC, 1 Month USD LIBOR - 6.65%, 1.46%, 5/15/2041 (b) | $ 488,020 | $ 11,459 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 4,973,500 | 4,572,881 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 4,414,330 | 3,478,673 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 28,358,863 | 26,856,663 | |||
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045 | 3,850,875 | 3,265,268 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 14,119,874 | 12,114,519 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 628,911 | 604,664 | |||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | 3,416,485 | 3,159,332 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 14,292,326 | 13,596,876 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 3,304,826 | 3,072,461 | |||
Series 4484, ClassCD, CMO, REMIC, 1.75%, 7/15/2030 | 2,639,988 | 2,444,688 | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | 7,589,078 | 6,955,796 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 2,977,006 | 2,792,193 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 2,787,595 | 2,594,166 | |||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | 4,999,287 | 4,639,329 | |||
Series 4702, Class ZL, CMO, 3.00%, 7/15/2047 | 14,805,148 | 12,872,482 | |||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 2,893,754 | 2,578,872 | |||
Series 5130, Class SD, CMO, IO, SOFR30A - 2.60%, 0.00%, 8/25/2051 (b) | 79,201,061 | 1,084,833 | |||
Series 5243, Class IB, 3.00%, 1/25/2051 | 17,285,666 | 2,877,279 |
Security Description | Principal Amount | Value | |||
Federal Home Loan Mortgage Corp. STACR REMIC Trust: | |||||
Series 2021-HQA4, Class M2, CMO, SOFR30A + 2.35%, 7.42%, 12/25/2041 (a) (b) | $ 5,000,000 | $ 4,683,568 | |||
Series 2022-DNA2, Class M2, SOFR30A + 3.75%, 8.82%, 2/25/2042 (a) (b) | 9,500,000 | 9,553,502 | |||
Series 2022-DNA3, Class M1B, SOFR30A + 2.90%, 7.97%, 4/25/2042 (a) (b) | 20,000,000 | 19,955,714 | |||
Federal Home Loan Mortgage Corp. Strips Series 326, Class 300, CMO, 3.00%, 3/15/2044 | 9,628,702 | 8,596,464 | |||
Federal National Mortgage Association: | |||||
1.41%, 12/1/2030 | 10,000,000 | 8,034,229 | |||
1.91%, 12/1/2031 | 10,000,000 | 8,146,962 | |||
1.98%, 10/1/2033 | 19,500,000 | 15,795,218 | |||
2.22%, 12/1/2029 | 5,400,000 | 4,694,807 | |||
2.50%, 10/1/2040 | 18,362,395 | 16,277,609 | |||
2.50%, 9/1/2046 | 1,832,053 | 1,550,557 | |||
2.50%, 2/1/2047 | 4,582,468 | 3,964,796 | |||
2.50%, 11/1/2050 | 7,544,718 | 6,473,710 | |||
2.50%, 5/1/2051 | 8,146,021 | 6,914,369 | |||
2.80%, 11/1/2039 | 10,034,000 | 7,911,705 | |||
3.00%, 5/1/2035 | 2,844,859 | 2,637,199 | |||
3.00%, 10/1/2041 | 9,060,559 | 8,109,031 | |||
3.00%, 3/1/2043 | 2,157,054 | 1,950,062 | |||
3.00%, 7/1/2043 | 2,126,443 | 1,890,283 | |||
3.00%, 1/1/2045 | 68,601 | 60,900 | |||
3.00%, 3/1/2045 | 625,479 | 559,679 | |||
3.00%, 4/1/2045 | 1,247,773 | 1,099,475 | |||
3.00%, 7/1/2045 | 11,670,783 | 10,550,852 | |||
3.00%, 10/1/2046 | 2,266,451 | 2,028,431 | |||
3.00%, 2/1/2047 | 8,220,858 | 7,357,514 | |||
3.00%, 11/1/2048 | 5,040,522 | 4,504,806 | |||
3.00%, 10/1/2049 | 3,468,713 | 3,037,464 | |||
3.00%, 11/1/2051 | 25,157,734 | 22,235,604 | |||
3.00%, 4/1/2052 | 9,185,962 | 8,110,005 | |||
3.00%, 4/1/2053 | 10,731,476 | 9,552,376 | |||
3.50%, 9/1/2034 | 808,555 | 766,063 | |||
3.50%, 12/1/2034 | 690,304 | 654,026 | |||
3.50%, 2/1/2035 | 470,197 | 445,486 | |||
3.50%, 1/1/2045 | 5,085,316 | 4,718,536 | |||
3.50%, 2/1/2045 | 1,531,925 | 1,421,435 | |||
3.50%, 6/1/2045 | 5,977,435 | 5,544,320 | |||
3.50%, 11/1/2051 | 12,366,190 | 11,360,544 | |||
3.72%, 6/1/2032 | 11,718,445 | 11,046,494 | |||
3.88%, 10/1/2030 | 11,448,205 | 10,981,464 | |||
4.00%, 6/1/2052 | 11,902,046 | 11,164,956 |
Security Description | Principal Amount | Value | |||
4.00%, 12/1/2052 | $ 24,155,976 | $ 22,746,136 | |||
4.50%, 3/1/2044 | 673,816 | 662,901 | |||
4.50%, 6/1/2044 | 218,578 | 215,037 | |||
4.50%, 7/1/2044 | 272,406 | 267,993 | |||
4.50%, 2/1/2045 | 452,511 | 445,181 | |||
4.55%, 3/1/2053 (b) | 19,789,498 | 19,026,253 | |||
5.00%, 9/1/2052 | 8,435,430 | 8,264,203 | |||
5.13%, 11/1/2032 | 13,371,000 | 13,964,676 | |||
3.00%, 6/1/2051 | 15,534,960 | 13,745,699 | |||
Federal National Mortgage Association Connecticut Avenue Securities: | |||||
Series 2022-R02, Class 2M2, CMO, SOFR30A + 3.00%, 8.07%, 1/25/2042 (a) (b) | 12,000,000 | 11,891,312 | |||
Series 2023-R02, Class 1M2, SOFR30A + 3.35%, 8.42%, 1/25/2043 (a) (b) | 13,500,000 | 13,610,811 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2010-109, Class NS, CMO, REMIC, 3.00%, 10/25/2040 | 1,032,085 | 965,657 | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 1 Month USD LIBOR - 6.00%, 0.85%, 6/25/2041 (b) | 1,884,458 | 153,621 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 1,417,232 | 1,293,706 | |||
Series 2012-148, Class VZ, 3.00%, 1/25/2043 | 32,226,835 | 28,618,696 | |||
Series 2012-151, Class SB, CMO, REMIC, 1 Month USD LIBOR - 6.00%, 0.00%, 1/25/2043 (b) | 20,907 | 12,100 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 19,066,592 | 17,057,649 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 719,319 | 693,420 | |||
Series 2013-30, Class PS, CMO, REMIC, 1 Month USD LIBOR - 6.00%, 0.00%, 4/25/2043 (b) | 611,451 | 387,814 | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | 3,650,768 | 3,222,210 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 4,317,490 | 3,833,462 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 2,087,984 | 1,939,707 |
Security Description | Principal Amount | Value | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | $ 3,398,268 | $ 3,158,206 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 3,641,530 | 3,237,554 | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 1,645,196 | 1,573,747 | |||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 25,383 | 25,220 | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | 3,834,543 | 3,657,739 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 1,047,045 | 1,026,904 | |||
Series 2020-1, Class LA, 4.00%, 2/25/2060 | 12,839,665 | 11,124,091 | |||
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046 | 8,686,588 | 7,416,331 | |||
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041 | 9,243,513 | 7,930,245 | |||
Series 2021-35, Class EH, CMO, 2.00%, 2/25/2037 | 15,671,752 | 13,799,780 | |||
Federal National Mortgage Association-Aces: | |||||
Series 2018-M10, Class A1, 3.47%, 7/25/2028 (b) | 1,044,860 | 1,034,071 | |||
Series 2020-M12, Class IO, 1.40%, 7/25/2029 (b) | 98,729,458 | 5,721,423 | |||
Government National Mortgage Association: | |||||
2.50%, 3/20/2051 | 8,967,716 | 7,702,373 | |||
3.00%, 2/20/2052 | 23,037,009 | 20,642,959 | |||
Series 2021-143, Class IO, IO, VRN, 0.97%, 10/16/2063 (b) | 83,692,862 | 5,473,423 | |||
Series 2021-40, Class IO, IO, VRN, 0.82%, 2/16/2063 (b) | 72,579,357 | 4,335,265 | |||
Series 2021-57, Class AI, 2.00%, 2/20/2051 | 8,989,108 | 965,980 | |||
Series 2021-60, Class IO, IO, VRN, 0.83%, 5/16/2063 (b) | 56,386,108 | 3,396,814 | |||
Series 2021-79, Class IO, IO, 0.88%, 8/16/2063 (b) | 81,112,690 | 5,169,993 | |||
Series 2021-80, Class IO, IO, VRN, 0.90%, 12/16/2062 (b) | 88,459,130 | 5,715,048 | |||
Series 2021-85, Class IO, IO, VRN, 0.68%, 3/16/2063 (b) | 100,566,566 | 5,633,800 |
Security Description | Principal Amount | Value | |||
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061 (b) | $ 41,696,972 | $ 2,121,737 | |||
Series 2022-91, Class IO, 0.43%, 7/16/2064 (b) | 81,868,888 | 4,003,231 | |||
Government National Mortgage Association REMICS: | |||||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 1,160,626 | 1,107,396 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 1 Month USD LIBOR - 6.18%, 1.03%, 7/20/2042 (b) | 1,351,968 | 27,499 | |||
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR - 6.20%, 1.04%, 8/20/2050 (b) | 7,090,701 | 806,072 | |||
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR - 6.30%, 1.14%, 11/20/2050 (b) | 26,379,690 | 3,686,827 | |||
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050 | 32,221,116 | 3,735,383 | |||
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR - 5.00%, 0.00%, 11/20/2050 (b) | 8,797,700 | 568,319 | |||
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR - 6.30%, 1.14%, 12/20/2050 (b) | 31,665,732 | 3,839,020 | |||
Series 2021-1, Class IH, 2.50%, 1/20/2051 | 39,553,769 | 5,405,074 | |||
Series 2021-118, Class EI, 2.50%, 7/20/2051 | 15,998,726 | 1,946,952 | |||
Series 2021-125, Class SN, CMO, IO, 1 Month USD LIBOR - 4.20%, 0.00%, 1/20/2051 (b) | 8,133,656 | 384,373 | |||
Series 2021-137, Class IQ, 3.00%, 8/20/2051 | 22,120,752 | 3,393,247 | |||
Series 2021-196, Class IM, 3.00%, 11/20/2051 | 28,980,635 | 4,509,289 | |||
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051 | 45,284,428 | 4,563,054 | |||
Series 2021-30, Class KI, 3.00%, 2/20/2051 | 8,771,002 | 1,308,915 | |||
Series 2021-44, Class IQ, 3.00%, 3/20/2051 | 16,273,840 | 2,472,158 | |||
Series 2021-8, Class KX, 3.00%, 1/20/2051 | 11,327,703 | 1,746,601 | |||
Series 2022-180, Class IO, 2.50%, 6/20/2051 | 44,550,205 | 6,645,569 |
Security Description | Principal Amount | Value | |||
Series 2022-61, Class EI, 3.00%, 7/20/2051 | $ 3,785,030 | $ 583,952 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,049,387,762) | 947,298,501 | ||||
U.S. TREASURY OBLIGATIONS — 23.6% | |||||
U.S. Treasury Bill 4.79%, 12/28/2023 | 3,700,000 | 3,604,206 | |||
U.S. Treasury Bonds: | |||||
3.63%, 2/15/2053 | 347,000,000 | 333,282,656 | |||
3.63%, 5/15/2053 | 165,000,000 | 158,657,812 | |||
U.S. Treasury Notes: | |||||
3.38%, 5/15/2033 | 74,500,000 | 71,857,578 | |||
3.50%, 2/15/2033 | 10,800,000 | 10,521,563 | |||
3.63%, 3/31/2028 | 11,500,000 | 11,234,062 | |||
3.63%, 5/31/2028 | 8,700,000 | 8,510,367 | |||
3.63%, 3/31/2030 | 10,800,000 | 10,567,125 | |||
3.75%, 4/15/2026 | 23,100,000 | 22,610,930 | |||
3.75%, 5/31/2030 | 12,800,000 | 12,624,000 | |||
3.88%, 3/31/2025 | 11,600,000 | 11,372,531 | |||
3.88%, 4/30/2025 | 18,700,000 | 18,336,957 | |||
4.00%, 2/29/2028 | 8,700,000 | 8,637,469 | |||
4.00%, 6/30/2028 | 8,600,000 | 8,552,969 | |||
4.13%, 6/15/2026 | 14,300,000 | 14,153,649 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $709,204,692) | 704,523,874 | ||||
MORTGAGE-BACKED SECURITIES — 13.7% | |||||
American Home Mortgage Investment Trust Series 2007-1, Class GA1C, 1 Month USD LIBOR + 0.19%, 5.34%, 5/25/2047 (b) | 5,185,815 | 2,922,238 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036 (e) | 1,713,806 | 1,441,444 | |||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 3,146,257 | 2,555,830 | |||
BBCMS Mortgage Trust: | |||||
Series 2022-C18, Class XD, 2.35%, 12/15/2055 (a) (b) | 12,094,000 | 1,842,307 | |||
Series 2023-C19, Class A5, 5.45%, 4/15/2056 | 1,700,000 | 1,725,198 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.81%, 1/26/2037 (a) (b) | 5,736,291 | 4,486,664 |
Security Description | Principal Amount | Value | |||
BRAVO Residential Funding Trust: | |||||
Series 2022-NQM3, Class A1, 5.11%, 7/25/2062 (a) (b) | $ 3,633,944 | $ 3,506,816 | |||
Series 2023-NQM4, Class A1, 6.44%, 5/25/2063 (a) (e) | 12,000,000 | 11,939,916 | |||
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 Month USD LIBOR + 0.46%, 5.61%, 7/25/2037 (b) | 7,750,902 | 2,159,244 | |||
CHL Mortgage Pass-Through Trust: | |||||
Series 2007-3, Class A1, 6.00%, 4/25/2037 | 2,923,760 | 1,541,888 | |||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 690,478 | 525,664 | |||
Series 2007-10, Class A4, 5.50%, 7/25/2037 | 3,461,521 | 1,643,612 | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | 2,094,926 | 1,256,806 | |||
Series 2007-HYB1, Class 2A1, CMO, 3.78%, 3/25/2037 (b) | 1,001,708 | 857,460 | |||
CIM Trust: | |||||
Series 2023-R2, Class A1, 5.50%, 8/25/2064 (a) (b) | 15,971,678 | 15,709,199 | |||
Series 2023-R4, Class A1, 5.00%, 5/25/2062 (a) (b) | 9,902,289 | 9,592,089 | |||
Citigroup Mortgage Loan Trust, Inc.: | |||||
Series 2007-10, Class 2A2A, CMO, 3.97%, 9/25/2037 (b) | 1,991,030 | 1,587,097 | |||
Series 2007-AR4, Class 1A1A, CMO, 4.00%, 3/25/2037 (b) | 1,187,540 | 983,168 | |||
Series 2007-AR5, Class 1A2A, CMO, 4.19%, 4/25/2037 (b) | 536,649 | 450,126 | |||
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (a) (b) | 844,927 | 764,676 | |||
CitiMortgage Alternative Loan Trust: | |||||
Series 2007-A3, Class 1A4, 5.75%, 3/25/2037 | 2,800,604 | 2,229,417 | |||
Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 3,564,717 | 2,942,529 | |||
COLT Mortgage Loan Trust: | |||||
Series 2022-2, Class A1, 2.99%, 2/25/2067 (a) (e) | 16,318,196 | 14,430,078 | |||
Series 2022-3, Class M1, 4.23%, 2/25/2067 (a) (b) | 10,023,000 | 7,947,169 | |||
Series 2023-1, Class A1, 6.05%, 4/25/2068 (a) (e) | 9,630,719 | 9,487,491 |
Security Description | Principal Amount | Value | |||
Countrywide Alternative Loan Trust: | |||||
Series 2005-54CB, Class 1A1, 1 Month USD LIBOR + 0.65%, 5.50%, 11/25/2035 (b) | $ 5,167,252 | $ 3,813,763 | |||
Series 2007-16CB, Class 2A1, 1 Month USD LIBOR + 0.45%, 5.60%, 8/25/2037 (b) | 6,562,538 | 2,492,470 | |||
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035 | 1,611,775 | 1,261,086 | |||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 3,124,255 | 1,919,509 | |||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036 | 2,525,238 | 1,492,948 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 2,299,187 | 1,270,032 | |||
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR + 0.42%, 5.58%, 5/20/2046 (b) | 1,697,060 | 1,505,773 | |||
Credit Suisse Mortgage Capital Certificates: | |||||
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 6.17%, 5/15/2036 (a) (b) | 1,685,806 | 1,674,973 | |||
Series 2021-RPL9, Class A1, 2.44%, 2/25/2061 (a) (b) | 5,057,421 | 4,663,673 | |||
CSMC Mortgage-Backed Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 1,197,441 | 1,087,232 | |||
CSMC Trust: | |||||
Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (a) (b) | 6,864,881 | 6,514,621 | |||
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (e) | 9,516,363 | 9,089,377 | |||
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (b) | 4,719,928 | 4,370,618 | |||
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 Month USD LIBOR + 0.64%, 5.79%, 6/25/2037 (b) | 3,415,200 | 2,857,874 |
Security Description | Principal Amount | Value | |||
Ellington Financial Mortgage Trust Series 2022-3, Class A1, 5.00%, 8/25/2067 (a) (e) | $ 5,698,933 | $ 5,518,035 | |||
Federal Home Loan Mortgage Corp. REMICS: | |||||
Series 4341, Class AZ, 3.00%, 5/15/2044 | 10,502,376 | 9,207,167 | |||
Series 4342, Class JZ, 3.00%, 1/15/2045 | 3,989,185 | 3,417,078 | |||
Series 5319, Class PO, 0.01%, 8/25/2050 | 11,645,216 | 8,002,288 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2021-57, Class EA, 1.00%, 5/25/2046 | 7,243,878 | 5,734,024 | |||
Series 2021-9, Class CA, 2.00%, 3/25/2051 | 12,389,917 | 10,241,381 | |||
First Horizon Alternative Mortgage Securities Trust: | |||||
Series 2007-FA4, Class 1A4, 6.25%, 8/25/2037 | 2,727,394 | 1,172,127 | |||
Series 2007-FA4, Class 1A7, 6.00%, 8/25/2037 | 1,909,491 | 792,557 | |||
Government National Mortgage Association REMICS: | |||||
Series 2016-99, Class LA, 2.00%, 11/20/2043 | 8,888,356 | 7,374,873 | |||
Series 2020-181, Class QI, 3.00%, 12/20/2050 | 8,415,914 | 1,136,517 | |||
Series 2020-84, Class NT, 1.25%, 6/20/2050 | 4,635,201 | 3,485,540 | |||
GS Mortgage Securities Trust Series 2023-GS1, Class AS, 4.04%, 11/10/2048 (b) | 1,958,000 | 1,732,842 | |||
GSR Mortgage Loan Trust: | |||||
Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.44%, 5.59%, 8/25/2046 (b) | 13,876,872 | 3,205,779 | |||
Series 2007-AR1, Class 2A1, 3.57%, 3/25/2047 (b) | 4,212,393 | 2,633,057 | |||
HOMES Trust Series 2023-NQM1, Class A1, 6.18%, 1/25/2068 (a) (e) | 6,675,657 | 6,612,574 | |||
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038 | 21,516,182 | 7,336,798 | |||
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.29%, 4/25/2036 (b) | 1,150,887 | 1,042,554 |
Security Description | Principal Amount | Value | |||
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (a) (b) | $ 8,492,000 | $ 7,951,674 | |||
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 Month USD LIBOR + 0.66%, 4.07%, 6/25/2046 (b) | 5,590,801 | 4,047,804 | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 5.47%, 11/25/2036 (b) | 6,887,166 | 6,380,923 | |||
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 4.03%, 1/26/2051 (a) (b) | 14,550,068 | 13,484,101 | |||
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060 (a) (b) | 693,317 | 644,696 | |||
NRPL Trust Series 2019-3A, Class A1, CMO, 6.00%, 7/25/2059 (a) (e) | 3,084,555 | 3,088,383 | |||
OBX Trust: | |||||
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (e) | 4,946,018 | 4,848,873 | |||
Series 2023-NQM4, Class A1, 6.11%, 3/25/2063 (a) (e) | 15,837,399 | 15,657,290 | |||
PMT Credit Risk Transfer Trust: | |||||
Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 8.93%, 5/30/2025 (a) (b) | 1,233,049 | 1,233,049 | |||
Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 8.08%, 2/27/2024 (a) (b) | 864,700 | 844,501 | |||
Preston Ridge Partners Mortgage LLC: | |||||
Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025 (a) (e) | 3,041,290 | 2,906,101 | |||
Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (e) | 14,735,804 | 13,959,092 | |||
PRPM LLC Series 2022-5, Class A1, 6.90%, 9/27/2027 (a) (e) | 6,183,247 | 5,973,164 | |||
RALI Trust Series 2005-QS13, Class 2A4, 5.75%, 9/25/2035 | 3,133,247 | 2,640,524 |
Security Description | Principal Amount | Value | |||
RBSGC Mortgage Loan Trust Series 2007-A, Class 2A2, 6.00%, 1/25/2037 | $ 2,602,973 | $ 2,278,702 | |||
Residential Accredit Loans, Inc. Trust Series 2005-QA7, Class A22, CMO, 4.87%, 7/25/2035 (b) | 1,807,276 | 1,702,649 | |||
Residential Asset Securitization Trust Series 2005-A16, Class A3, 6.00%, 2/25/2036 | 3,015,040 | 1,276,850 | |||
Seasoned Credit Risk Transfer Trust: | |||||
Series 2019-4, Class MV, 3.00%, 2/25/2059 | 15,644,590 | 13,552,139 | |||
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059 | 6,312,805 | 5,152,110 | |||
Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060 | 10,237,285 | 8,359,649 | |||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.25%, 9/25/2036 (b) | 139,362 | 139,362 | |||
Structured Asset Mortgage Investments II Trust: | |||||
Series 2007-AR3, Class 1A3, 1 Month USD LIBOR + 0.42%, 5.57%, 9/25/2047 (b) | 7,395,847 | 5,013,717 | |||
Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 5.82%, 7/19/2034 (b) | 1,026,958 | 1,002,521 | |||
TBW Mortgage-Backed Trust Series 2006-6, Class A2B, 6.16%, 1/25/2037 (e) | 10,522,162 | 3,077,295 | |||
UBS Commercial Mortgage Trust Series 2018-C8, Class C, 4.84%, 2/15/2051 (b) | 1,969,000 | 1,629,336 | |||
Verus Securitization Trust: | |||||
Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (e) | 17,444,814 | 15,930,964 | |||
Series 2023-3, Class A1, 5.93%, 3/25/2068 (a) (e) | 4,951,120 | 4,884,547 | |||
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (e) | 10,963,211 | 10,787,262 | |||
Series 2023-INV1, Class A1, 6.00%, 2/25/2068 (a) (e) | 7,591,463 | 7,509,337 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 3.34%, 11/25/2036 (b) | 3,283,615 | 2,806,436 |
Security Description | Principal Amount | Value | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust: | |||||
Series 2006-AR9, Class 2A, 4.82%, 11/25/2046 (b) | $ 2,871,188 | $ 2,170,096 | |||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 671,612 | 642,345 | |||
Series 2006-1, Class 4CB, 6.50%, 2/25/2036 | 4,724,869 | 3,665,004 | |||
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (e) | 2,515,439 | 574,207 | |||
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | 3,745,342 | 2,995,189 | |||
Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.46%, 5.61%, 2/25/2037 (b) | 4,078,285 | 2,997,236 | |||
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.49%, 8/25/2037 (b) | 759,007 | 747,124 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $443,552,256) | 409,741,518 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 3.2% | |||||
BAMLL Commercial Mortgage Securities Trust Series 2018-DSNY, Class A, 1 Month USD LIBOR + 0.85%, 6.04%, 9/15/2034 (a) (b) | 720,000 | 715,089 | |||
Bank: | |||||
Series 2017-BNK4, Class XA, IO, 1.50%, 5/15/2050 (b) | 24,590,788 | 977,121 | |||
Series 2017-BNK6, Class XA, IO, 0.91%, 7/15/2060 (b) | 48,534,085 | 1,143,101 | |||
Series 2021-BN35, Class XA, IO, VRN, 1.15%, 6/15/2064 (b) | 9,171,140 | 522,580 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class C, VRN, 4.43%, 2/15/2051 (b) | 2,545,000 | 2,029,181 | |||
Series 2020-B19, Class XA, IO, VRN, 1.88%, 9/15/2053 (b) | 19,919,459 | 1,433,250 |
Security Description | Principal Amount | Value | |||
Series 2021-B24, Class XA, IO, VRN, 1.27%, 3/15/2054 (b) | $ 3,381,535 | $ 198,422 | |||
BX Commercial Mortgage Trust: | |||||
Series 2020-VKNG, Class A, 1 Month USD LIBOR + 1.04%, 6.19%, 10/15/2037 (a) (b) | 1,502,771 | 1,483,830 | |||
Series 2021-VOLT, Class E, 1 Month USD LIBOR + 2.00%, 7.19%, 9/15/2036 (a) (b) | 1,923,000 | 1,814,981 | |||
Series 2021-XL2, Class E, 1 Month USD LIBOR + 1.85%, 7.04%, 10/15/2038 (a) (b) | 2,670,793 | 2,545,166 | |||
BX Trust Series 2019-OC11, Class E, 4.08%, 12/9/2041 (a) (b) | 3,830,000 | 3,095,250 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.38%, 5/10/2050 (b) | 13,315,712 | 467,441 | |||
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.77%, 5/10/2058 (b) | 9,907,343 | 331,032 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class C, VRN, 4.57%, 2/10/2048 (b) | 2,541,000 | 2,332,368 | |||
Series 2015-GC27, Class D, 4.57%, 2/10/2048 (a) (b) | 423,700 | 340,646 | |||
Series 2015-GC31, Class C, 4.17%, 6/10/2048 (b) | 1,500,000 | 1,202,062 | |||
Series 2015-GC33, Class C, 4.73%, 9/10/2058 (b) | 1,500,000 | 1,250,327 | |||
Series 2016-GC36, Class XA, IO, 1.37%, 2/10/2049 (b) | 19,327,754 | 457,316 | |||
Series 2020-555, Class E, 3.62%, 12/10/2041 (a) (b) | 2,047,000 | 1,522,296 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 1.20%, 10/10/2046 (b) | 15,237,851 | 28,860 | |||
Series 2015-CR22, Class XA, IO, 0.95%, 3/10/2048 (b) | 7,180,630 | 75,758 | |||
Series 2015-CR26, Class XA, IO, 1.04%, 10/10/2048 (b) | 18,498,723 | 279,408 |
Security Description | Principal Amount | Value | |||
Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | $ 1,767,000 | $ 1,682,760 | |||
Series 2015-DC1, Class C, VRN, 4.44%, 2/10/2048 (b) | 644,000 | 547,628 | |||
Series 2015-DC1, Class XA, IO, 1.12%, 2/10/2048 (b) | 5,942,336 | 62,471 | |||
Series 2016-DC2, Class XA, IO, 1.08%, 2/10/2049 (b) | 14,344,150 | 261,903 | |||
Series 2017-PANW, Class E, 4.13%, 10/10/2029 (a) (b) | 2,316,000 | 2,073,748 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b) | 900,000 | 840,043 | |||
Series 2015-C4, Class XA, IO, 0.95%, 11/15/2048 (b) | 31,230,808 | 449,037 | |||
Series 2017-CX10, Class XA, IO, 0.89%, 11/15/2050 (b) | 54,904,754 | 1,298,819 | |||
Series 2019-C17, Class XA, IO, VRN, 1.49%, 9/15/2052 (b) | 29,755,375 | 1,633,550 | |||
CSMC Trust: | |||||
Series 2017-TIME, Class A, 3.65%, 11/13/2039 (a) | 2,977,000 | 2,434,944 | |||
Series 2020-NET, Class A, 2.26%, 8/15/2037 (a) | 2,384,659 | 2,129,956 | |||
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (a) | 632,000 | 539,581 | |||
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (a) | 2,250,000 | 1,724,986 | |||
DOLP Trust Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (a) (b) | 1,000,000 | 610,059 | |||
Grace Trust Series 2020-GRCE, Class D, VRN, 2.77%, 12/10/2040 (a) (b) | 1,147,000 | 798,661 | |||
Great Wolf Trust: | |||||
Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.85%, 7.99%, 12/15/2036 (a) (b) | 100,000 | 97,176 | |||
Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.25%, 8.39%, 12/15/2036 (a) (b) | 100,000 | 95,585 |
Security Description | Principal Amount | Value | |||
GS Mortgage Securities Corp Trust: | |||||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 1.15%, 6.34%, 7/15/2031 (a) (b) | $ 283,000 | $ 271,456 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.85%, 7.04%, 7/15/2031 (a) (b) | 650,000 | 441,865 | |||
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.35%, 7.54%, 7/15/2031 (a) (b) | 650,000 | 415,875 | |||
Series 2018-TWR, Class F, 1 Month USD LIBOR + 3.05%, 8.24%, 7/15/2031 (a) (b) | 650,000 | 389,885 | |||
Series 2018-TWR, Class G, 1 Month USD LIBOR + 4.17%, 9.37%, 7/15/2031 (a) (b) | 650,000 | 354,147 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC20, Class A5, 4.00%, 4/10/2047 | 1,774,000 | 1,744,867 | |||
Series 2014-GC24, Class XA, IO, 0.83%, 9/10/2047 (b) | 24,571,680 | 144,823 | |||
Series 2014-GC26, Class A5, 3.63%, 11/10/2047 | 1,749,000 | 1,680,829 | |||
Series 2015-GC32, Class XA, IO, 0.85%, 7/10/2048 (b) | 20,629,542 | 237,557 | |||
Series 2015-GC34, Class XA, IO, 1.36%, 10/10/2048 (b) | 14,589,247 | 314,396 | |||
Series 2015-GS1, Class XA, IO, 0.90%, 11/10/2048 (b) | 25,024,438 | 368,463 | |||
Series 2016-GS3, Class XA, IO, 1.32%, 10/10/2049 (b) | 23,525,652 | 696,164 | |||
Series 2017-GS7, Class XA, IO, 1.23%, 8/10/2050 (b) | 38,578,465 | 1,259,316 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2014-C20, Class B, 4.40%, 7/15/2047 (b) | 3,000,000 | 2,658,269 | |||
Series 2015-JP1, Class XA, IO, 1.05%, 1/15/2049 (b) | 14,725,563 | 261,616 | |||
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (b) | 2,899,000 | 2,392,058 |
Security Description | Principal Amount | Value | |||
Series 2022-NLP, Class A, 1 Month USD LIBOR + 0.60%, 5.74%, 4/15/2037 (a) (b) | $ 2,359,019 | $ 2,161,487 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C23, Class A4, 3.67%, 9/15/2047 | 1,700,301 | 1,649,962 | |||
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (b) | 1,055,000 | 959,746 | |||
Series 2014-C25, Class XA, IO, 0.95%, 11/15/2047 (b) | 4,456,886 | 33,025 | |||
Series 2015-C28, Class XA, IO, 1.06%, 10/15/2048 (b) | 7,822,300 | 85,158 | |||
Series 2015-C30, Class XA, IO, 0.57%, 7/15/2048 (b) | 21,709,961 | 144,775 | |||
Series 2015-C32, Class C, 4.81%, 11/15/2048 (b) | 1,132,000 | 858,902 | |||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.63%, 6/15/2049 (b) | 15,498,986 | 474,785 | |||
LoanCore Issuer Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 6.69%, 5/15/2036 (a) (b) | 1,936,278 | 1,898,921 | |||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.95%, 3/10/2050 (a) (b) | 34,547,384 | 602,109 | |||
Manhattan West Mortgage Trust: | |||||
Series 2020-1MW, Class C, VRN, 2.41%, 9/10/2039 (a) (b) | 2,462,000 | 2,032,353 | |||
Series 2020-1MW, Class D, VRN, 2.41%, 9/10/2039 (a) (b) | 2,462,000 | 1,993,987 | |||
Med Trust Series 2021-MDLN, Class G, 1 Month USD LIBOR + 5.25%, 10.44%, 11/15/2038 (a) (b) | 2,850,321 | 2,649,809 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2013-C12, Class XA, IO, 0.79%, 10/15/2046 (b) | 6,106,177 | 238 | |||
Series 2015-C20, Class C, 4.60%, 2/15/2048 (b) | 500,000 | 453,920 | |||
Series 2016-C28, Class XA, IO, 1.31%, 1/15/2049 (b) | 17,935,707 | 393,643 |
Security Description | Principal Amount | Value | |||
Series 2016-C30, Class XA, IO, 1.48%, 9/15/2049 (b) | $ 16,786,464 | $ 525,647 | |||
Series 2016-C31, Class C, 4.41%, 11/15/2049 (b) | 3,358,000 | 2,576,527 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-UBS8, Class XA, IO, 1.00%, 12/15/2048 (b) | 22,205,837 | 352,740 | |||
Series 2016-UB12, Class XA, IO, 0.79%, 12/15/2049 (b) | 47,026,853 | 845,744 | |||
Series 2019-L3, Class XA, IO, 0.76%, 11/15/2052 (b) | 55,585,625 | 1,801,721 | |||
One New York Plaza Trust Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 7.39%, 1/15/2036 (a) (b) | 1,599,000 | 1,439,386 | |||
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 450,000 | 363,597 | |||
SLG Office Trust: | |||||
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,422,893 | |||
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,355,048 | |||
SREIT Trust Series 2021-MFP, Class D, 1 Month USD LIBOR + 1.58%, 6.77%, 11/15/2038 (a) (b) | 2,864,000 | 2,747,599 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2017-C1, Class XA, IO, 1.69%, 6/15/2050 (b) | 17,138,615 | 742,961 | |||
Series 2017-C4, Class XA, IO, 1.24%, 10/15/2050 (b) | 20,190,449 | 698,156 | |||
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b) | 2,187,753 | 1,747,497 | |||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 798,717 | 756,235 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2015-C26, Class XA, IO, 1.32%, 2/15/2048 (b) | 6,781,930 | 87,795 | |||
Series 2015-LC20, Class XA, IO, 1.42%, 4/15/2050 (b) | 6,100,278 | 80,149 |
Security Description | Principal Amount | Value | |||
Series 2015-NXS1, Class XA, IO, 1.21%, 5/15/2048 (b) | $ 6,642,481 | $ 86,217 | |||
Series 2015-NXS2, Class XA, IO, 0.74%, 7/15/2058 (b) | 20,891,766 | 189,613 | |||
Series 2015-P2, Class XA, IO, 1.08%, 12/15/2048 (b) | 14,043,616 | 247,388 | |||
Series 2016-BNK1, Class XB, IO, VRN, 1.46%, 8/15/2049 (b) | 19,849,000 | 664,888 | |||
Series 2016-C33, Class XA, IO, 1.73%, 3/15/2059 (b) | 10,469,066 | 337,644 | |||
Series 2016-C35, Class B, 3.44%, 7/15/2048 | 3,000,000 | 2,528,635 | |||
Series 2017-C38, Class XA, IO, 1.11%, 7/15/2050 (b) | 33,726,426 | 987,978 | |||
Series 2017-RC1, Class XA, IO, 1.55%, 1/15/2060 (b) | 15,703,951 | 633,745 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 1.11%, 3/15/2047 (b) | 5,593,719 | 14,441 | |||
Series 2014-C21, Class XA, IO, 1.15%, 8/15/2047 (b) | 12,439,671 | 84,600 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $154,359,936) | 94,869,642 |
Shares | |||
SHORT-TERM INVESTMENT — 1.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (j) (k) (Cost $30,238,919) | 30,238,919 | 30,238,919 | |
TOTAL INVESTMENTS — 99.8% (Cost $3,252,991,871) | 2,981,408,112 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 6,032,201 | ||
NET ASSETS — 100.0% | $ 2,987,440,313 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.7% of net assets as of June 30, 2023, 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 June 30, 2023. 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) | 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 June 30, 2023. Maturity date shown is the final maturity. |
(f) | Non-income producing security. |
(g) | 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 June 30, 2023, total aggregate fair value of this security is $357, representing less than 0.05% of the Fund's net assets. |
(h) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(i) | Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(j) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(k) | The rate shown is the annualized seven-day yield at June 30, 2023. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 4,836 | 4,742 | (94) | |||
Athenahealth Group, Inc. | 32,822 | 31,673 | (1,149) | |||
$37,658 | $36,415 | $(1,243) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 381,946,960 | $ — | $ 381,946,960 | ||||
Asset-Backed Securities | — | 348,108,635 | — | 348,108,635 | ||||
Foreign Government Obligations | — | 12,855,176 | — | 12,855,176 | ||||
U.S. Government Agency Obligations | — | 947,298,501 | — | 947,298,501 | ||||
U.S. Treasury Obligations | — | 704,523,874 | — | 704,523,874 | ||||
Mortgage-Backed Securities | — | 408,508,469 | — | 409,741,518 | ||||
Commercial Mortgage Backed Securities | — | 94,869,642 | — | 94,869,642 | ||||
Common Stocks | 15,733 | 1,880 | 357 | 17,970 | ||||
Senior Floating Rate Loans | — | 51,806,917 | — | 51,806,917 | ||||
Short-Term Investment | 30,238,919 | — | — | 30,238,919 | ||||
TOTAL INVESTMENTS | $30,254,652 | $2,949,920,054 | $357 | $2,981,408,112 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Depreciation | $ — | $ (1,243) | $ — | $ (1,243) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (1,243) | $ — | $ (1,243) |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 78,929,216 | $78,929,216 | $1,128,464,721 | $1,177,155,018 | $— | $— | 30,238,919 | $30,238,919 | $3,050,003 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $ 105,174,455 | $ 9,468,061 | $ — | ||
Investments in affiliated issuers, at value | 461,156,630 | 67,671,459 | 271,138,183 | ||
Total Investments | 566,331,085 | 77,139,520 | 271,138,183 | ||
Foreign currency, at value | — | — | — | ||
Net cash at broker | — | — | — | ||
Cash | 352 | — | — | ||
Receivable from broker — accumulated variation margin on futures contracts | — | — | — | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable — unaffiliated issuers | — | — | — | ||
Dividends receivable — affiliated issuers | 96,072 | 6,025 | 259,272 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 632 | 5,378 | 250 | ||
Securities lending income receivable — affiliated issuers | 12,772 | 6,901 | 31,806 | ||
Receivable for foreign taxes recoverable | — | — | — | ||
Other receivable | — | — | — | ||
TOTAL ASSETS | 566,440,913 | 77,157,824 | 271,429,511 | ||
LIABILITIES | |||||
Due to custodian | — | — | — | ||
Payable upon return of securities loaned | 32,724,798 | 5,978,695 | 41,508,999 | ||
Payable for investments purchased | — | — | — | ||
Payable for fund shares repurchased | 36,885 | — | — | ||
Payable to broker – accumulated variation margin on open futures contracts | — | — | — | ||
Payable for accumulated variation margin on swap contracts | — | — | — | ||
Advisory fee payable | 45,564 | 5,545 | 29,869 | ||
Trustees’ fees and expenses payable | 230 | 37 | 102 | ||
TOTAL LIABILITIES | 32,807,477 | 5,984,277 | 41,538,970 | ||
NET ASSETS | $ 533,633,436 | $ 71,173,547 | $229,890,541 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $ 636,513,554 | $ 94,932,994 | $227,127,850 | ||
Total distributable earnings (loss) | (102,880,118) | (23,759,447) | 2,762,691 | ||
NET ASSETS | $ 533,633,436 | $ 71,173,547 | $229,890,541 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 26.64 | $ 30.29 | $ 39.98 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 20,030,000 | 2,350,000 | 5,750,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ 131,221,210 | $ 10,652,255 | $ — | ||
Investments in affiliated issuers | 474,344,143 | 72,234,288 | 255,392,233 | ||
Total cost of investments | $ 605,565,353 | $ 82,886,543 | $255,392,233 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 33,996,738 | $ 17,067,582 | $ 43,391,568 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | |||
$500,602,101 | $27,185,478 | $42,421,864 | $ 36,354,511 | |||
49,808,408 | 1,554,320 | 167,594 | 263,694 | |||
550,410,509 | 28,739,798 | 42,589,458 | 36,618,205 | |||
— | 2,026 | — | — | |||
497,309 | 904,039 | — | — | |||
1,129 | — | — | — | |||
— | 9,070 | — | — | |||
— | 249,221 | — | — | |||
2,011,291 | — | — | — | |||
— | — | 492,931 | — | |||
152,611 | 1,756 | 3,142 | 2,846 | |||
3,180,521 | 341,422 | — | 432,177 | |||
— | — | — | — | |||
— | — | — | — | |||
— | 2,396 | — | — | |||
603 | — | — | — | |||
556,253,973 | 30,249,728 | 43,085,531 | 37,053,228 | |||
— | 3,546 | — | — | |||
— | — | — | — | |||
2,497,500 | 719,922 | — | 250,000 | |||
— | — | — | — | |||
295,115 | — | — | — | |||
— | 35,473 | — | — | |||
90,937 | 13,354 | 14,127 | 12,964 | |||
150 | 13 | 16 | 14 | |||
2,883,702 | 772,308 | 14,143 | 262,978 | |||
$553,370,271 | $29,477,420 | $43,071,388 | $36,790,250 | |||
$555,270,880 | $34,648,829 | $46,527,295 | $37,353,464 | |||
(1,900,609) | (5,171,409) | (3,455,907) | (563,214) | |||
$553,370,271 | $29,477,420 | $43,071,388 | $36,790,250 | |||
$ 40.25 | $ 25.63 | $ 26.92 | $ 29.43 | |||
13,750,000 | 1,150,000 | 1,600,000 | 1,250,000 | |||
$503,896,216 | $28,136,278 | $44,464,808 | $36,724,757 | |||
49,808,408 | 1,546,219 | 167,594 | 263,694 | |||
$553,704,624 | $29,682,497 | $44,632,402 | $36,988,451 | |||
$ — | $ 2,036 | $ — | $ — | |||
$ — | $ — | $ — | $ — |
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* | $ — | $ — | $ 76,059,929 | ||
Investments in affiliated issuers, at value | 227,868,269 | 390,759,491 | 2,452,803 | ||
Total Investments | 227,868,269 | 390,759,491 | 78,512,732 | ||
Foreign currency, at value | — | — | — | ||
Cash | — | — | 576,238 | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | — | — | ||
Dividends receivable — affiliated issuers | 1,285 | 1,021 | 10,670 | ||
Interest receivable — unaffiliated issuers | — | — | 1,016,309 | ||
Securities lending income receivable — unaffiliated issuers | 916 | 452 | — | ||
Securities lending income receivable — affiliated issuers | 32,805 | 27,461 | — | ||
Receivable from Adviser | 25,722 | 43,115 | — | ||
Other receivable | — | — | — | ||
TOTAL ASSETS | 227,928,997 | 390,831,540 | 80,115,949 | ||
LIABILITIES | |||||
Due to custodian | — | — | 84 | ||
Payable upon return of securities loaned | 48,283,244 | 91,543,951 | — | ||
Payable for investments purchased | — | — | 542,133 | ||
Unrealized depreciation on unfunded loan commitments | — | — | — | ||
Advisory fee payable | 73,835 | 163,141 | 42,137 | ||
Trustees’ fees and expenses payable | 54 | 95 | 28 | ||
TOTAL LIABILITIES | 48,357,133 | 91,707,187 | 584,382 | ||
NET ASSETS | $179,571,864 | $299,124,353 | $ 79,531,567 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $202,174,361 | $289,216,900 | $ 95,231,527 | ||
Total distributable earnings (loss) | (22,602,497) | 9,907,453 | (15,699,960) | ||
NET ASSETS | $179,571,864 | $299,124,353 | $ 79,531,567 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 25.87 | $ 43.35 | $ 40.79 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 6,940,000 | 6,900,000 | 1,950,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ — | $ — | $ 86,149,318 | ||
Investments in affiliated issuers | 231,853,147 | 363,068,942 | 2,452,803 | ||
Total cost of investments | $231,853,147 | $363,068,942 | $ 88,602,121 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 49,580,901 | $ 95,360,242 | $ — |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |
$ 123,110,685 | $2,951,169,193 | |
3,869,754 | 30,238,919 | |
126,980,439 | 2,981,408,112 | |
— | 289 | |
23,174 | 249,792 | |
17,997 | 52,674,042 | |
— | 10,083,414 | |
12,670 | 144,397 | |
804,927 | 21,166,556 | |
— | — | |
— | — | |
— | — | |
— | 9,880 | |
127,839,207 | 3,065,736,482 | |
33 | — | |
— | — | |
161,301 | 76,967,053 | |
— | 1,243 | |
46,985 | 1,326,979 | |
56 | 894 | |
208,375 | 78,296,169 | |
$127,630,832 | $2,987,440,313 | |
$137,665,039 | $3,535,673,060 | |
(10,034,207) | (548,232,747) | |
$127,630,832 | $2,987,440,313 | |
$ 46.41 | $ 40.45 | |
2,750,000 | 73,850,000 | |
$128,796,555 | $3,222,752,952 | |
3,869,754 | 30,238,919 | |
$132,666,309 | $3,252,991,871 | |
$ — | $ 278 | |
$ — | $ — |
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 | 16,150,805 | 197,003 | 873,969 | ||
Dividend income — affiliated issuers | 16,414,506 | 3,534,661 | 6,169,407 | ||
Unaffiliated securities lending income | 68,073 | 70,346 | 23,217 | ||
Affiliated securities lending income | 199,469 | 241,690 | 444,225 | ||
Foreign taxes withheld | — | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 32,832,853 | 4,043,700 | 7,510,818 | ||
EXPENSES | |||||
Advisory fee | 547,405 | 69,462 | 247,697 | ||
Trustees’ fees and expenses | 6,271 | 1,044 | 2,799 | ||
Proxy voting expenses | 34,087 | 3,990 | 10,173 | ||
Miscellaneous expenses | 270 | 42 | 112 | ||
TOTAL EXPENSES | 588,033 | 74,538 | 260,781 | ||
NET INVESTMENT INCOME (LOSS) | $ 32,244,820 | $ 3,969,162 | $ 7,250,037 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (6,532,514) | (1,349,009) | (435,565) | ||
Investments — affiliated issuers | (13,382,775) | (6,991,262) | (11,160,291) | ||
In-kind redemptions — unaffiliated issuers | 693,072 | 64,302 | 348,112 | ||
In-kind redemptions — affiliated issuers | 12,122,716 | 563,177 | 4,752,224 | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency transactions | — | — | — | ||
Futures contracts | — | — | — | ||
Swap contracts | — | — | — | ||
Net realized gain (loss) | (7,099,501) | (7,712,792) | (6,495,520) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | (29,027,578) | 497,416 | (1,569,618) | ||
Investments — affiliated issuers | 7,353,816 | 5,885,551 | 21,079,762 | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency translations | — | — | — | ||
Futures contracts | — | — | — | ||
Swap contracts | — | — | — | ||
Net change in unrealized appreciation/depreciation | (21,673,762) | 6,382,967 | 19,510,144 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (28,773,263) | (1,329,825) | 13,014,624 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 3,471,557 | $ 2,639,337 | $ 20,264,661 |
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 | ||||||
$15,160,194 | $ 1,853,245 | $ 849,095 | $1,022,666 | $ — | $ — | $ 3,690,845 | ||||||
— | — | — | — | — | — | — | ||||||
1,091,063 | 104,055 | 72,627 | 51,961 | 3,975,217 | 4,273,640 | 100,724 | ||||||
— | — | — | — | 17,137 | 39,169 | — | ||||||
— | — | — | — | 305,592 | 229,631 | — | ||||||
— | — | — | — | — | — | (2,892) | ||||||
16,251,257 | 1,957,300 | 921,722 | 1,074,627 | 4,297,946 | 4,542,440 | 3,788,677 | ||||||
856,882 | 166,896 | 159,950 | 151,146 | 509,254 | 1,326,079 | 471,259 | ||||||
4,516 | 402 | 468 | 430 | 1,532 | 2,655 | 874 | ||||||
13,837 | 1,228 | 1,529 | 1,382 | 5,276 | 9,240 | 2,996 | ||||||
194 | — | — | — | 66 | 111 | — | ||||||
875,429 | 168,526 | 161,947 | 152,958 | 516,128 | 1,338,085 | 475,129 | ||||||
$15,375,828 | $ 1,788,774 | $ 759,775 | $ 921,669 | $ 3,781,818 | $ 3,204,355 | $ 3,313,548 | ||||||
(916,335) | (2,122,869) | (1,181,504) | (88,163) | — | (3,581,797) | (5,095,150) | ||||||
— | (19,020) | — | 485 | (12,445,559) | (13,683,523) | — | ||||||
— | (122,007) | — | — | — | 3,581,800 | — | ||||||
— | — | — | — | (85,067) | 397,980 | — | ||||||
— | (1,704) | — | — | — | — | — | ||||||
— | 8,801 | — | — | — | — | — | ||||||
2,086,475 | (710,768) | — | — | — | — | — | ||||||
— | (123,401) | — | — | — | — | — | ||||||
1,170,140 | (3,090,968) | (1,181,504) | (87,678) | (12,530,626) | (13,285,540) | (5,095,150) | ||||||
2,042,516 | 2,510,334 | 1,363,270 | 106,492 | — | — | 4,727,940 | ||||||
— | 8,101 | — | (31) | 5,722,938 | 47,025,282 | — | ||||||
— | (2,566) | — | — | — | — | — | ||||||
— | (31) | — | — | — | — | — | ||||||
(419,791) | 24,090 | — | — | — | — | — | ||||||
— | (16,281) | — | — | — | — | — | ||||||
1,622,725 | 2,523,647 | 1,363,270 | 106,461 | 5,722,938 | 47,025,282 | 4,727,940 | ||||||
2,792,865 | (567,321) | 181,766 | 18,783 | (6,807,688) | 33,739,742 | (367,210) | ||||||
$18,168,693 | $ 1,221,453 | $ 941,541 | $ 940,452 | $ (3,025,870) | $ 36,944,097 | $ 2,946,338 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 5,010,028 | $ 111,662,448 | |
Dividend income — unaffiliated issuers | 19 | — | |
Dividend income — affiliated issuers | 184,641 | 3,050,003 | |
Other income | 9,236 | — | |
Foreign taxes withheld | — | (4,317) | |
TOTAL INVESTMENT INCOME (LOSS) | 5,203,924 | 114,708,134 | |
EXPENSES | |||
Advisory fee | 573,619 | 13,532,233 | |
Trustees’ fees and expenses | 1,584 | 26,925 | |
Proxy voting expenses | 5,542 | 94,235 | |
Miscellaneous expenses | — | 1,141 | |
TOTAL EXPENSES | 580,745 | 13,654,534 | |
NET INVESTMENT INCOME (LOSS) | $ 4,623,179 | $101,053,600 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (1,185,399) | (73,961,643) | |
Foreign currency transactions | — | 6 | |
Net realized gain (loss) | (1,185,399) | (73,961,637) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 522,666 | (12,307,412) | |
Unfunded loan commitments | — | 7,366 | |
Foreign currency translations | (2) | — | |
Net change in unrealized appreciation/depreciation | 522,664 | (12,300,046) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (662,735) | (86,261,683) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 3,960,444 | $ 14,791,917 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 32,244,820 | $ 23,531,552 | $ 3,969,162 | $ 4,230,037 | |||
Net realized gain (loss) | (7,099,501) | 4,007,362 | (7,712,792) | (2,550) | |||
Net change in unrealized appreciation/depreciation | (21,673,762) | (26,093,305) | 6,382,967 | (15,709,270) | |||
Net increase (decrease) in net assets resulting from operations | 3,471,557 | 1,445,609 | 2,639,337 | (11,481,783) | |||
Net equalization credits and charges | (320,063) | 2,661,692 | (50,204) | (16,609) | |||
Distributions to shareholders | (32,025,253) | (26,209,495) | (4,182,212) | (4,045,876) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 282,817,522 | 419,842,759 | 21,883,439 | 38,728,531 | |||
Cost of shares redeemed | (188,661,245) | (57,424,560) | (44,726,185) | (52,680,244) | |||
Net income equalization | 320,063 | (2,661,692) | 50,204 | 16,609 | |||
Other Capital | — | 18,255 | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 94,476,340 | 359,774,762 | (22,792,542) | (13,935,104) | |||
Net increase (decrease) in net assets during the period | 65,602,581 | 337,672,568 | (24,385,621) | (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 | $ 533,633,436 | $468,030,855 | $ 71,173,547 | $ 95,559,168 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 10,100,000 | 14,140,000 | 720,000 | 1,120,000 | |||
Shares redeemed | (6,830,000) | (1,950,000) | (1,480,000) | (1,520,000) | |||
Net increase (decrease) from share transactions | 3,270,000 | 12,190,000 | (760,000) | (400,000) |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | For the Period 9/28/21*- 6/30/22 | |||||
$ 7,250,037 | $ 9,954,711 | $ 15,375,828 | $ 2,171,248 | $ 1,788,774 | $ 966,581 | |||||
(6,495,520) | 12,256,385 | 1,170,140 | (685,236) | (3,090,968) | (2,421,925) | |||||
19,510,144 | (53,905,411) | 1,622,725 | (6,068,494) | 2,523,647 | (3,484,542) | |||||
20,264,661 | (31,694,315) | 18,168,693 | (4,582,482) | 1,221,453 | (4,939,886) | |||||
73,146 | 192 | 398,172 | (79,660) | (426) | (29,064) | |||||
(14,220,211) | (12,089,236) | (13,852,204) | (2,137,247) | (1,679,743) | (831,308) | |||||
27,236,038 | 36,021,408 | 366,334,053 | 239,500,100 | 7,602,349 | 44,823,447 | |||||
(44,224,301) | (34,093,710) | (120,141,901) | (332,794,845) | (6,390,149) | (10,438,804) | |||||
(73,146) | (192) | (398,172) | 79,660 | 426 | 29,064 | |||||
529 | — | 133,928 | 138,713 | 20,414 | 89,647 | |||||
(17,060,880) | 1,927,506 | 245,927,908 | (93,076,372) | 1,233,040 | 34,503,354 | |||||
(10,943,284) | (41,855,853) | 250,642,569 | (99,875,761) | 774,324 | 28,703,096 | |||||
240,833,825 | 282,689,678 | 302,727,702 | 402,603,463 | 28,703,096 | — | |||||
$229,890,541 | $240,833,825 | $ 553,370,271 | $ 302,727,702 | $29,477,420 | $ 28,703,096 | |||||
710,000 | 810,000 | 9,150,000 | 5,950,000 | 300,000 | 1,500,000 | |||||
(1,140,000) | (770,000) | (3,000,000) | (8,300,000) | (250,000) | (400,000) | |||||
(430,000) | 40,000 | 6,150,000 | (2,350,000) | 50,000 | 1,100,000 |
* | Commencement of operations. |
SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | ||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | For the Period 4/5/22*- 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 759,775 | $ 231,606 | $ 921,669 | $ 152,659 | |||
Net realized gain (loss) | (1,181,504) | (189,996) | (87,678) | (105,291) | |||
Net change in unrealized appreciation/depreciation | 1,363,270 | (3,416,424) | 106,461 | (476,707) | |||
Net increase (decrease) in net assets resulting from operations | 941,541 | (3,374,814) | 940,452 | (429,339) | |||
Net equalization credits and charges | 10,872 | (1,113) | 3,028 | 1,649 | |||
Distributions to shareholders | (530,211) | (700,875) | (974,780) | (102,786) | |||
Return of capital | (389,728) | — | — | — | |||
Total Distributions to shareholders | (919,939) | (700,875) | (974,780) | (102,786) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 7,988,301 | 10,685,680 | 4,356,963 | 32,963,912 | |||
Cost of shares redeemed | — | (16,723,473) | — | — | |||
Net income equalization | (10,872) | 1,113 | (3,028) | (1,649) | |||
Other Capital | 118 | 10,686 | 2,864 | 32,964 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 7,977,547 | (6,025,994) | 4,356,799 | 32,995,227 | |||
Net increase (decrease) in net assets during the period | 8,010,021 | (10,102,796) | 4,325,499 | 32,464,751 | |||
Net assets at beginning of period | 35,061,367 | 45,164,163 | 32,464,751 | — | |||
NET ASSETS AT END OF PERIOD | $43,071,388 | $ 35,061,367 | $36,790,250 | $32,464,751 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 300,000 | 400,000 | 150,000 | 1,100,000 | |||
Shares redeemed | — | (600,000) | — | — | |||
Net increase (decrease) from share transactions | 300,000 | (200,000) | 150,000 | 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 | ||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | |||||
$ 3,781,818 | $ 1,864,166 | $ 3,204,355 | $ 2,044,310 | $ 3,313,548 | $ 2,925,925 | |||||
(12,530,626) | (5,800,454) | (13,285,540) | 2,571,374 | (5,095,150) | 769,507 | |||||
5,722,938 | (9,885,098) | 47,025,282 | (30,518,656) | 4,727,940 | (17,006,267) | |||||
(3,025,870) | (13,821,386) | 36,944,097 | (25,902,972) | 2,946,338 | (13,310,835) | |||||
(760,410) | (509,259) | (400,836) | (142,580) | 10,499 | (15,165) | |||||
(3,737,844) | (1,883,135) | (4,093,813) | (7,269,494) | (3,330,606) | (5,404,954) | |||||
— | — | — | — | — | — | |||||
(3,737,844) | (1,883,135) | (4,093,813) | (7,269,494) | (3,330,606) | (5,404,954) | |||||
110,570,222 | 112,910,613 | 107,269,046 | 107,170,499 | 22,282,311 | 9,309,790 | |||||
(42,780,089) | (61,634,491) | (44,239,964) | (45,148,661) | (16,630,979) | (40,124,127) | |||||
760,410 | 509,259 | 400,836 | 142,580 | (10,499) | 15,165 | |||||
— | — | — | — | 83,477 | 68,054 | |||||
68,550,543 | 51,785,381 | 63,429,918 | 62,164,418 | 5,724,310 | (30,731,118) | |||||
61,026,419 | 35,571,601 | 95,879,366 | 28,849,372 | 5,350,541 | (49,462,072) | |||||
118,545,445 | 82,973,844 | 203,244,987 | 174,395,615 | 74,181,026 | 123,643,098 | |||||
$179,571,864 | $118,545,445 | $299,124,353 | $203,244,987 | $ 79,531,567 | $ 74,181,026 | |||||
4,210,000 | 3,780,000 | 2,680,000 | 2,450,000 | 550,000 | 200,000 | |||||
(1,640,000) | (2,060,000) | (1,120,000) | (1,040,000) | (400,000) | (825,000) | |||||
2,570,000 | 1,720,000 | 1,560,000 | 1,410,000 | 150,000 | (625,000) |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 4,623,179 | $ 2,322,666 | $ 101,053,600 | $ 77,993,893 | |||
Net realized gain (loss) | (1,185,399) | (3,083,762) | (73,961,637) | (71,677,135) | |||
Net change in unrealized appreciation/depreciation | 522,664 | (6,559,270) | (12,300,046) | (268,963,903) | |||
Net increase (decrease) in net assets resulting from operations | 3,960,444 | (7,320,366) | 14,791,917 | (262,647,145) | |||
Net equalization credits and charges | (29,009) | (22,189) | — | (3,201) | |||
Distributions to shareholders | (4,502,769) | (2,972,526) | (117,444,339) | (96,266,392) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 16,211,354 | 89,243,755 | 1,101,213,991 | 12,031,920 | |||
Cost of shares redeemed | (19,702,219) | (107,825,844) | (258,273,252) | (597,715,967) | |||
Net income equalization | 29,009 | 22,189 | — | 3,201 | |||
Other Capital | 51,328 | 241,692 | 2,456,789 | 621,780 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (3,410,528) | (18,318,208) | 845,397,528 | (585,059,066) | |||
Contribution from affiliate (Note 5) | 7,309 | — | — | — | |||
Net increase (decrease) in net assets during the period | (3,974,553) | (28,633,289) | 742,745,106 | (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 | $127,630,832 | $ 131,605,385 | $2,987,440,313 | $2,244,695,207 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 350,000 | 1,800,000 | 27,100,000 | 250,000 | |||
Shares redeemed | (425,000) | (2,200,000) | (6,350,000) | (12,950,000) | |||
Net increase (decrease) from share transactions | (75,000) | (400,000) | 20,750,000 | (12,700,000) |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.61 | 2.99 | 0.65 | 0.78 | 0.69 | ||||
Net realized and unrealized gain (loss) (b) | (1.37) | (0.44) | 7.15 | (3.89) | (1.43) | ||||
Total from investment operations | 0.24 | 2.55 | 7.80 | (3.11) | (0.74) | ||||
Net equalization credits and charges (a) | (0.02) | 0.34 | 0.02 | (0.02) | 0.00(c) | ||||
Other capital (a) | — | 0.00(c) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.51) | (3.48) | (0.55) | (0.80) | (0.70) | ||||
Net asset value, end of period | $ 26.64 | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | ||||
Total return (d) | 0.78% | 10.57% | 37.12% | (12.71)% | (2.71)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $533,633 | $468,031 | $130,358 | $53,750 | $112,792 | ||||
Ratios to average net assets: | |||||||||
Total expenses (e) | 0.11% | 0.05% | 0.08% | 0.08% | 0.12% | ||||
Net investment income (loss) | 5.79% | 10.09% | 2.56% | 3.30% | 2.76% | ||||
Portfolio turnover rate (f) | 30% | 38% | 49% | 30% | 28% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR SSGA Income Allocation ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.45 | 1.33 | 1.35 | 1.43 | 1.53 | ||||
Net realized and unrealized gain (loss) (b) | (0.33) | (4.92) | 5.18 | (2.95) | 0.91 | ||||
Total from investment operations | 1.12 | (3.59) | 6.53 | (1.52) | 2.44 | ||||
Net equalization credits and charges (a) | (0.02) | (0.01) | 0.04 | 0.03 | 0.03 | ||||
Other capital (a) | — | — | — | — | 0.00(c) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.54) | (1.29) | (1.32) | (1.46) | (1.57) | ||||
Net asset value, end of period | $ 30.29 | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | ||||
Total return (d) | 3.79% | (10.41)% | 21.90% | (4.56)% | 7.93% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $71,174 | $95,559 | $125,039 | $126,039 | $104,613 | ||||
Ratios to average net assets: | |||||||||
Total expenses (e) | 0.09% | 0.12% | 0.16% | 0.18% | 0.18% | ||||
Net investment income (loss) | 4.78% | 3.85% | 4.02% | 4.41% | 4.71% | ||||
Portfolio turnover rate (f) | 89% | 58% | 60% | 38% | 71% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR SSGA Global Allocation ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.21 | 1.61 | 0.91 | 1.07 | 1.03 | ||||
Net realized and unrealized gain (loss) (b) | 2.14 | (6.71) | 9.16 | (1.44) | 0.57 | ||||
Total from investment operations | 3.35 | (5.10) | 10.07 | (0.37) | 1.60 | ||||
Net equalization credits and charges (a) | 0.01 | 0.00(c) | (0.00)(c) | 0.00(c) | 0.01 | ||||
Other capital (a) | 0.00(c) | — | — | 0.00(c) | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.51) | (1.62) | (0.91) | (1.08) | (1.00) | ||||
Net realized gains | (0.84) | (0.35) | — | — | — | ||||
Total distributions | (2.35) | (1.97) | (0.91) | (1.08) | (1.00) | ||||
Net asset value, end of period | $ 39.98 | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | ||||
Total return (d) | 9.15% | (11.58)% | 27.51% | (1.00)% | 4.37% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $229,891 | $240,834 | $282,690 | $237,850 | $255,687 | ||||
Ratios to average net assets: | |||||||||
Total expenses (e) | 0.11% | 0.11% | 0.17% | 0.09% | 0.15% | ||||
Net investment income (loss) | 3.12% | 3.59% | 2.16% | 2.84% | 2.76% | ||||
Portfolio turnover rate (f) | 144% | 153% | 110% | 94% | 71% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR SSGA Ultra Short Term Bond ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.44 | 0.21 | 0.27 | 0.81 | 1.02 | ||||
Net realized and unrealized gain (loss) (b) | 0.18 | (0.63) | 0.25 | (0.11) | 0.04 | ||||
Total from investment operations | 1.62 | (0.42) | 0.52 | 0.70 | 1.06 | ||||
Net equalization credits and charges (a) | 0.04 | (0.01) | 0.00(c) | 0.02 | 0.03 | ||||
Other capital (a) | 0.01 | 0.01 | 0.01 | 0.03 | 0.02 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.25) | (0.21) | (0.33) | (0.90) | (0.97) | ||||
Net asset value, end of period | $ 40.25 | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | ||||
Total return (d) | 4.24% | (1.05)% | 1.34% | 1.86% | 2.79% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $553,370 | $302,728 | $402,603 | $298,907 | $167,719 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 3.59% | 0.51% | 0.67% | 2.02% | 2.54% | ||||
Portfolio turnover rate (e) | 34% | 68% | 76% | 71% | 100% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR Loomis Sayles Opportunistic Bond ETF | |||
Year Ended 6/30/23 | 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) | 1.45 | 0.67 | |
Net realized and unrealized gain (loss) (b) | (0.57) | (4.05) | |
Total from investment operations | 0.88 | (3.38) | |
Net equalization credits and charges (a) | (0.00)(c) | (0.02) | |
Other capital (a) | 0.02 | 0.06 | |
Distributions to shareholders from: | |||
Net investment income | (1.36) | (0.57) | |
Net asset value, end of period | $ 25.63 | $ 26.09 | |
Total return (d) | 3.58% | (11.25)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $29,477 | $28,703 | |
Ratios to average net assets: | |||
Total expenses | 0.53% | 0.55%(e) | |
Net expenses | 0.53% | 0.51%(e) | |
Net investment income (loss) | 5.62% | 3.11%(e) | |
Portfolio turnover rate (f) | 137% | 101%(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 year. |
(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 ETF | |||||
Year Ended 6/30/23 | 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) | 0.51 | 0.17 | 0.07 | ||
Net realized and unrealized gain (loss) (b) | 0.04 | (2.80) | 0.11 | ||
Total from investment operations | 0.55 | (2.63) | 0.18 | ||
Net equalization credits and charges (a) | 0.01 | (0.00)(c) | 0.00(c) | ||
Other capital (a) | 0.00(c) | 0.01 | 0.03 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.36) | (0.30) | (0.10) | ||
Net realized gains | — | (0.22) | — | ||
Return of Capital | (0.25) | — | — | ||
Total distributions | (0.61) | (0.52) | (0.10) | ||
Net asset value, end of period | $ 26.92 | $ 26.97 | $ 30.11 | ||
Total return (d) | 2.10% | (8.83)% | 0.69% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $43,071 | $35,061 | $45,164 | ||
Ratios to average net assets: | |||||
Total expenses | 0.40% | 0.40% | 0.40%(e) | ||
Net investment income (loss) | 1.90% | 0.57% | 0.57%(e) | ||
Portfolio turnover rate (f) | 52% | 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 year. |
(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 | |||
Year Ended 6/30/23 | 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) | 0.77 | 0.14 | |
Net realized and unrealized gain (loss) (b) | (0.03) | (0.57) | |
Total from investment operations | 0.74 | (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 | (0.82) | (0.09) | |
Net asset value, end of period | $ 29.43 | $ 29.51 | |
Total return (d) | 2.53% | (1.31)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $36,790 | $32,465 | |
Ratios to average net assets: | |||
Total expenses | 0.44% | 0.43%(e) | |
Net investment income (loss) | 2.62% | 2.00%(e) | |
Portfolio turnover rate (f) | 50% | 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 year. |
(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 | |||||||||
Year Ended 6/30/23 | 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) | 0.69 | 0.52 | 0.63 | 0.81 | 0.15 | ||||
Net realized and unrealized gain (loss) (b) | (1.14) | (4.02) | (0.37) | 1.31 | 0.99 | ||||
Total from investment operations | (0.45) | (3.50) | 0.26 | 2.12 | 1.14 | ||||
Net equalization credits and charges (a) | (0.14) | (0.14) | (0.16) | (0.17) | 0.00(c) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.67) | (0.54) | (0.77) | (1.05) | (0.16) | ||||
Net asset value, end of period | $ 25.87 | $ 27.13 | $ 31.31 | $ 31.98 | $ 31.08 | ||||
Total return (d) | (2.12)% | (11.78)% | 0.29% | 6.42% | 3.81% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $179,572 | $118,545 | $82,974 | $47,014 | $10,877 | ||||
Ratios to average net assets: | |||||||||
Total expenses (e) | 0.36% | 0.39% | 0.39% | 0.31% | 0.31%(f) | ||||
Net investment income (loss) | 2.62% | 1.76% | 1.99% | 2.57% | 1.98%(f) | ||||
Portfolio turnover rate (g) | 110% | 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 | |||||||||
Year Ended 6/30/23 | 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) | 0.54 | 0.47 | 0.36 | 0.57 | 0.23 | ||||
Net realized and unrealized gain (loss) (b) | 5.51 | (5.07) | 11.62 | 1.98 | 0.55 | ||||
Total from investment operations | 6.05 | (4.60) | 11.98 | 2.55 | 0.78 | ||||
Net equalization credits and charges (a) | (0.07) | (0.03) | (0.04) | 0.03 | (0.03) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.69) | (0.46) | (0.39) | (0.48) | (0.11) | ||||
Net realized gains | — | (1.23) | — | — | — | ||||
Total distributions | (0.69) | (1.69) | (0.39) | (0.48) | (0.11) | ||||
Net asset value, end of period | $ 43.35 | $ 38.06 | $ 44.38 | $ 32.83 | $ 30.73 | ||||
Total return (c) | 15.91% | (11.02)% | 36.48% | 8.52% | 2.50% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $299,124 | $203,245 | $174,396 | $68,617 | $14,136 | ||||
Ratios to average net assets: | |||||||||
Total expenses (d) | 0.57% | 0.54% | 0.52% | 0.49% | 0.49%(e) | ||||
Net investment income (loss) | 1.37% | 1.06% | 0.89% | 1.79% | 3.12%(e) | ||||
Portfolio turnover rate (f) | 203% | 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 | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.85 | 1.49 | 1.48 | 1.87 | 1.98 | ||||
Net realized and unrealized gain (loss) | (0.47) | (8.60) | 1.83 | (2.06) | 2.60 | ||||
Total from investment operations | 1.38 | (7.11) | 3.31 | (0.19) | 4.58 | ||||
Net equalization credits and charges (a) | 0.01 | (0.01) | 0.03 | 0.04 | 0.03 | ||||
Other capital (a) | 0.05 | 0.03 | 0.09 | 0.13 | 0.08 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.86) | (1.47) | (1.53) | (1.91) | (1.92) | ||||
Net realized gains | — | (1.22) | — | — | — | ||||
Total distributions | (1.86) | (2.69) | (1.53) | (1.91) | (1.92) | ||||
Net asset value, end of period | $ 40.79 | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | ||||
Total return (b) | 3.63% | (14.57)% | 7.09% | (0.04)% | 9.99% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $79,532 | $74,181 | $123,643 | $94,494 | $65,050 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.66% | 0.65% | 0.72% | 0.75% | 0.75% | ||||
Net expenses | 0.66% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
Net investment income (loss) | 4.57% | 3.12% | 2.95% | 3.77% | 4.06% | ||||
Portfolio turnover rate (c) | 48% | 38% | 77% | 54% | 37% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.68 | 0.69 | 0.68 | 1.08 | 1.30 | ||||
Net realized and unrealized gain (loss) (b) | (0.22) | (2.96) | 0.14 | 0.07 | 0.62 | ||||
Total from investment operations | 1.46 | (2.27) | 0.82 | 1.15 | 1.92 | ||||
Net equalization credits and charges (a) | (0.01) | (0.01) | 0.01 | 0.00(c) | 0.03 | ||||
Contribution from affiliate (Note 5) | 0.00(c) | — | — | — | — | ||||
Other capital (a) | 0.02 | 0.07 | 0.01 | 0.03 | 0.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.65) | (0.73) | (0.72) | (1.14) | (1.29) | ||||
Net realized gains | — | (0.16) | — | — | — | ||||
Total distributions | (1.65) | (0.89) | (0.72) | (1.14) | (1.29) | ||||
Net asset value, end of period | $ 46.41 | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | ||||
Total return (d) | 3.24% | (4.52)% | 1.70% | 2.43% | 4.18% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $127,631 | $131,605 | $160,239 | $142,519 | $121,344 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.46% | 0.45% | 0.49% | 0.50% | 0.50% | ||||
Net expenses | 0.46% | 0.45% | 0.45% | 0.45% | 0.45% | ||||
Net investment income (loss) | 3.63% | 1.41% | 1.36% | 2.18% | 2.65% | ||||
Portfolio turnover rate (e) | 34% | 104% | 58% | 43% | 62% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | |||||
Net asset value, beginning of period | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 1.68 | 1.30 | 1.09 | 1.37 | 1.56 | ||||
Net realized and unrealized gain (loss) (b) | (1.55) | (5.91) | (0.70) | 0.59 | 1.44 | ||||
Total from investment operations | 0.13 | (4.61) | 0.39 | 1.96 | 3.00 | ||||
Net equalization credits and charges (a) | — | (0.00)(c) | 0.00(c) | (0.00)(c) | 0.00(c) | ||||
Contribution from affiliate | — | — | 0.00(c) | — | — | ||||
Other capital (a) | 0.04 | 0.01 | 0.00(c) | 0.03 | 0.04 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.99) | (1.59) | (1.33) | (1.55) | (1.68) | ||||
Net asset value, end of period | $ 40.45 | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | ||||
Total return (d) | 0.49% | (9.75)% | 0.81%(e) | 4.13% | 6.53% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,987,440 | $2,244,695 | $3,188,671 | $3,191,242 | $3,336,881 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.56% | 0.55% | 0.62% | 0.65% | 0.65% | ||||
Net expenses | 0.56% | 0.55% | 0.55% | 0.55% | 0.55% | ||||
Net investment income (loss) | 4.11% | 2.79% | 2.22% | 2.80% | 3.27% | ||||
Portfolio turnover rate (f) | 113% | 119% | 82%(f) | 25% | 47% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | If an affiliate had not made a contribution during the year ended ended June 30, 2021, the total return would have remained 0.81%. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
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 |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Futures Contracts | $9,070 | $— | $— | $— | $— | $9,070 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $295,115 | $— | $— | $— | $— | $295,115 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Swap Contracts | 35,473 | — | — | — | — | 35,473 |
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 | $2,086,475 | $ — | $ — | $— | $— | $2,086,475 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | (1,704) | — | — | — | (1,704) | |||||
Futures Contracts | (710,768) | — | — | — | — | (710,768) | |||||
Swap Contracts | (1,101) | — | (122,300) | — | — | (123,401) |
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 | $(419,791) | $ — | $ — | $— | $— | $(419,791) | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | (2,566) | — | — | — | (2,566) | |||||
Futures Contracts | 24,090 | — | — | — | — | 24,090 | |||||
Swap Contracts | (27,192) | — | 10,911 | — | — | (16,281) |
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 * |
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 Loomis Sayles Opportunistic Bond 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 year ended June 30, 2023, the net annualized advisory fees were 0.10%, 0.08%, 0.11%, 0.52%, 0,35% and 0.56%, respectively. |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ — | $ — | $156,581,376 | $167,437,692 | |||
SPDR SSGA Income Allocation ETF | — | — | 73,673,527 | 71,041,968 | |||
SPDR SSGA Global Allocation ETF | — | — | 314,746,777 | 321,091,227 | |||
SPDR SSGA Ultra Short Term Bond ETF | — | — | 233,479,072 | 136,374,870 | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 830,909 | 1,656,915 | 41,649,007 | 37,682,308 | |||
SPDR Nuveen Municipal Bond ETF | — | — | 21,164,364 | 19,641,711 | |||
SPDR Nuveen Municipal Bond ESG ETF | — | — | 20,739,207 | 16,691,281 | |||
SPDR SSGA Fixed Income Sector Rotation ETF | — | — | 159,357,289 | 159,429,538 | |||
SPDR SSGA US Sector Rotation ETF | — | — | 479,451,438 | 479,984,299 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | — | — | 36,604,432 | 33,026,404 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 23,740,117 | 9,654,578 | 19,023,248 | 24,907,892 | |||
SPDR DoubleLine Total Return Tactical ETF | 3,117,516,985 | 2,389,921,243 | 490,532,299 | 306,503,489 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $265,604,141 | $173,042,608 | $12,815,788 | ||
SPDR SSGA Income Allocation ETF | 20,092,826 | 42,341,606 | 627,479 | ||
SPDR SSGA Global Allocation ETF | 25,596,557 | 41,563,797 | 5,100,336 | ||
SPDR Loomis Sayles Opportunistic Bond ETF | — | 4,186,225 | (122,007) | ||
SPDR Nuveen Municipal Bond ETF | 8,484,662 | — | — | ||
SPDR SSGA Fixed Income Sector Rotation ETF | 110,568,611 | 42,778,398 | (85,067) | ||
SPDR SSGA US Sector Rotation ETF | 106,426,542 | 43,396,485 | 3,979,780 |
Ordinary Income | Tax Exempt Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||
SPDR SSGA Multi-Asset Real Return ETF | $ 32,025,253 | $ — | $ — | $ — | $ 32,025,253 | ||||
SPDR SSGA Income Allocation ETF | 4,182,212 | — | — | — | 4,182,212 | ||||
SPDR SSGA Global Allocation ETF | 9,050,475 | — | 5,169,736 | — | 14,220,211 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 13,852,204 | — | — | — | 13,852,204 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 1,679,743 | — | — | — | 1,679,743 | ||||
SPDR Nuveen Municipal Bond ETF | 76,677 | 453,534 | — | 389,728 | 919,939 | ||||
SPDR Nuveen Municipal Bond ESG ETF | 5,789 | 968,991 | — | — | 974,780 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 3,737,844 | — | — | — | 3,737,844 | ||||
SPDR SSGA US Sector Rotation ETF | 4,093,813 | — | — | — | 4,093,813 | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 3,330,606 | — | — | — | 3,330,606 | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 4,502,769 | — | — | — | 4,502,769 | ||||
SPDR DoubleLine Total Return Tactical ETF | 117,444,339 | — | — | — | 117,444,339 |
Ordinary Income | Tax Exempt Income | Long-Term Capital Gains | Total | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 26,209,495 | $ — | $ — | $ 26,209,495 | |||
SPDR SSGA Income Allocation ETF | 4,045,876 | — | — | 4,045,876 | |||
SPDR SSGA Global Allocation ETF | 9,962,243 | — | 2,126,993 | 12,089,236 | |||
SPDR SSGA Ultra Short Term Bond ETF | 2,137,247 | — | — | 2,137,247 | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 831,308 | — | — | 831,308 | |||
SPDR Nuveen Municipal Bond ETF | 304,924 | 395,951 | — | 700,875 | |||
SPDR Nuveen Municipal Bond ESG ETF | 6,073 | 96,713 | — | 102,786 | |||
SPDR SSGA Fixed Income Sector Rotation ETF | 1,883,135 | — | — | 1,883,135 | |||
SPDR SSGA US Sector Rotation ETF | 7,269,494 | — | — | 7,269,494 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 4,608,767 | — | 796,187 | 5,404,954 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 2,715,591 | — | 256,935 | 2,972,526 | |||
SPDR DoubleLine Total Return Tactical ETF | 96,266,392 | — | — | 96,266,392 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
SPDR SSGA Multi-Asset Real Return ETF | $ 219,567 | $ (60,765,529) | $— | $ (42,334,156) | $ (102,880,118) | ||||
SPDR SSGA Income Allocation ETF | — | (17,340,170) | — | (6,419,277) | (23,759,447) | ||||
SPDR SSGA Global Allocation ETF | — | (9,703,927) | — | 12,466,618 | 2,762,691 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 1,706,812 | (302,524) | — | (3,304,897) | (1,900,609) | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 147,767 | (4,329,041) | — | (990,135) | (5,171,409) | ||||
SPDR Nuveen Municipal Bond ETF | — | (1,412,963) | — | (2,042,944) | (3,455,907) | ||||
SPDR Nuveen Municipal Bond ESG ETF | — | (192,969) | — | (370,245) | (563,214) | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 43,974 | (18,350,483) | — | (4,295,988) | (22,602,497) | ||||
SPDR SSGA US Sector Rotation ETF | — | (16,311,007) | — | 26,218,460 | 9,907,453 | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 72,697 | (5,651,939) | — | (10,120,718) | (15,699,960) | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 560,513 | (4,848,825) | — | (5,745,895) | (10,034,207) | ||||
SPDR DoubleLine Total Return Tactical ETF | 12,882,827 | (289,320,692) | — | (271,794,882) | (548,232,747) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR SSGA Multi-Asset Real Return ETF | $ 25,250,988 | $ 35,514,541 | |
SPDR SSGA Income Allocation ETF | 9,618,849 | 7,721,321 | |
SPDR SSGA Global Allocation ETF | 7,243,186 | 2,460,741 | |
SPDR SSGA Ultra Short Term Bond ETF | 302,524 | — | |
SPDR Loomis Sayles Opportunistic Bond ETF | 2,902,740 | 1,426,301 | |
SPDR Nuveen Municipal Bond ETF | — | 1,412,963 | |
SPDR Nuveen Municipal Bond ESG ETF | 156,548 | 36,421 | |
SPDR SSGA Fixed Income Sector Rotation ETF | 9,946,884 | 8,403,599 | |
SPDR SSGA US Sector Rotation ETF | 12,136,781 | 4,174,226 | |
SPDR DoubleLine Emerging Markets Fixed Income ETF | 358,351 | 5,293,588 | |
SPDR DoubleLine Short Duration Total Return Tactical ETF | 2,623,845 | 2,224,980 | |
SPDR DoubleLine Total Return Tactical ETF | 174,806,045 | 114,514,647 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 608,665,241 | $ 1,643,484 | $ 43,977,640 | $ (42,334,156) | |||
SPDR SSGA Income Allocation ETF | 83,558,797 | 176,349 | 6,595,626 | (6,419,277) | |||
SPDR SSGA Global Allocation ETF | 258,671,565 | 16,414,791 | 3,948,173 | 12,466,618 | |||
SPDR SSGA Ultra Short Term Bond ETF | 553,420,012 | 309,109 | 3,614,006 | (3,304,897) | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 29,711,737 | 225,048 | 1,215,173 | (990,125) | |||
SPDR Nuveen Municipal Bond ETF | 44,632,402 | 112,970 | 2,155,914 | (2,042,944) | |||
SPDR Nuveen Municipal Bond ESG ETF | 36,988,451 | 197,927 | 568,173 | (370,246) | |||
SPDR SSGA Fixed Income Sector Rotation ETF | 232,164,257 | 230,354 | 4,526,342 | (4,295,988) | |||
SPDR SSGA US Sector Rotation ETF | 364,541,031 | 26,633,313 | 414,853 | 26,218,460 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 88,633,450 | 300,768 | 10,421,486 | (10,120,718) | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 132,726,332 | 52,988 | 5,798,881 | (5,745,893) | |||
SPDR DoubleLine Total Return Tactical ETF | 3,253,201,751 | 6,182,226 | 277,975,865 | (271,793,639) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 33,996,738 | $ 32,724,798 | $ 1,837,100 | $ 34,561,898 | ||||
SPDR SSGA Income Allocation ETF | 17,067,582 | 5,978,695 | 11,402,825 | 17,381,520 | ||||
SPDR SSGA Global Allocation ETF | 43,391,568 | 41,508,999 | 2,538,119 | 44,047,118 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 49,580,901 | 48,283,244 | 2,280,151 | 50,563,395 | ||||
SPDR SSGA US Sector Rotation ETF | 95,360,242 | 91,543,951 | 5,019,782 | 96,563,733 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of June 30, 2023 | ||||||||||||||
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 | $32,724,798 | $— | $— | $— | $32,724,798 | $32,724,798 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 5,978,695 | — | — | — | 5,978,695 | 5,978,695 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 41,508,999 | — | — | — | 41,508,999 | 41,508,999 | |||||||
SPDR SSGA Fixed Income Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 48,283,244 | — | — | — | 48,283,244 | 48,283,244 | |||||||
SPDR SSGA US Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 91,543,951 | — | — | — | 91,543,951 | 91,543,951 |
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 |
Individual Fund constituting theSSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
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 DoubleLine Emerging Markets Fixed Income ETF SPDR DoubleLine Short Duration Total Return Tactical ETF SPDR DoubleLine Total Return Tactical ETF | For the year ended June 30, 2023 | For each of the two years in the period ended June 30, 2023 | For each of the five years in the period ended June 30, 2023 |
SPDR Loomis Sayles Opportunistic Bond ETF | For the year ended June 30, 2023 | For the year ended June 30, 2023 and the period from September 28, 2021 (commencement of operations) through June 30, 2022 | For the year ended June 30, 2023 and the period from September 28, 2021 (commencement of operations) through June 30, 2022 |
SPDR Nuveen Municipal Bond ETF | For the year ended June 30, 2023 | For the year ended June 30, 2023 and the period from September 28, 2021 (commencement of operations) through June 30, 2022 | For each of the two years in the period ended June 30, 2023 and the period from February 3, 2021 (commencement of operations) through June 30, 2021 |
SPDR Nuveen Municipal Bond ESG ETF | For the year ended June 30, 2023 | For the year ended June 30, 2023 and the period from April 5, 2022 (commencement of operations) through June 30, 2022 | For the year ended June 30, 2023 and the period from April 5, 2022 (commencement of operations) through June 30, 2022 |
Individual Fund constituting theSSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
SPDR SSGA Fixed Income Sector Rotation ETFSPDR SSGA US Sector Rotation ETF | For the year ended June 30, 2023 | For each of the two years in the period ended June 30, 2023 | For each of the four years in the period ended June 30, 2023 and the period from April 3, 2019 (commencement of operations) through June 30, 2019 |
August 25, 2023
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 | 0.11% | $ 982.80 | $0.54 | $1,024.20 | $0.55 | ||||
SPDR SSGA Income Allocation ETF | 0.13 | 1,050.10 | 0.66 | 1,024.10 | 0.65 | ||||
SPDR SSGA Global Allocation ETF | 0.11 | 1,080.30 | 0.57 | 1,024.20 | 0.55 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.20 | 1,023.80 | 1.00 | 1,023.80 | 1.00 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 0.53 | 1,034.60 | 2.67 | 1,022.20 | 2.66 | ||||
SPDR Nuveen Municipal Bond ETF | 0.40 | 1,020.30 | 2.00 | 1,022.80 | 2.01 | ||||
SPDR Nuveen Municipal Bond ESG ETF | 0.43 | 1,018.90 | 2.15 | 1,022.70 | 2.16 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 0.35 | 1,023.50 | 1.76 | 1,023.10 | 1.76 | ||||
SPDR SSGA US Sector Rotation ETF | 0.57 | 1,120.10 | 3.00 | 1,022.00 | 2.86 | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.65 | 1,035.20 | 3.28 | 1,021.60 | 3.26 | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.45 | 1,026.70 | 2.26 | 1,022.60 | 2.26 | ||||
SPDR DoubleLine Total Return Tactical ETF | 0.55 | 1,031.60 | 2.77 | 1,022.10 | 2.76 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | the Program supported each Fund’s ability to honor redemption requests timely; |
• | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |
Amount | |
SPDR SSGA Global Allocation ETF | $5,169,736 |
Percentage | |
SPDR Nuveen Municipal Bond ETF | 49.30% |
SPDR Nuveen Municipal Bond ESG ETF | 99.40% |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
CARL G. VERBONCOEUR c/o SSGAActive Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 121 | The Motley Fool Funds Trust (Trustee). | |||||
DWIGHT D. CHURCHILL c/o SSGAActive Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). | 121 | Affiliated Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE S. RICHER c/o SSGAActive Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, Putnam Investments LLC (December 2008 - May 2017). | 121 | Principal Financial Group (Director) and Financial Committee Chair; Bain Capital Specialty Finance (Director); University of Notre Dame (Trustee); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, M.A. Mortenson Companies, Inc.(construction and real estate company) (February 2007- April 2017). | 121 | Rydex Series Funds; Rydex Dynamic Funds; Rydex Variable Trust; Guggenheim Funds Trust; Guggenheim Variable Funds Trust; Guggenheim Strategy Funds Trust; Transparent Value Trust; Fiduciary/Claymore Energy Infrastructure Fund; Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust; Guggenheim Strategic Opportunities Fund; Guggenheim Enhanced, Equity Income Fund; Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund (Trustee and Audit Committee Chair). | |||||
CAROLYN M. CLANCY c/o SSGA Active Trust One Iron Street Boston, MA 02210 1960 | Independent Trustee | Term: Unlimited Served: since October 2022 | Retired. Executive Vice President, Head of Strategy, Analytics and Market Readiness, Fidelity Investments (April 2020 – June 2021); Executive Vice President, Head of Broker Dealer Business, Fidelity Investments (July 2017 – March 2020). | 121 | Assumption University (Trustee); Big Sister Association of Greater Boston (Director). | |||||
KRISTI L. ROWSELL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1966 | Independent Trustee | Term: Unlimited Served: since October 2022 | Partner and President, Harris Associates (2010 – 2021). | 121 | Oakmark Funds (Trustee); Board of Governors, Investment Company Institute (Member); Habitat for Humanity Chicago (Director). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | President, Winnisquam Capital LLC (December 2022 – present); Non-Executive, Chairman, Fusion Acquisition Corp II (February 2020 - Present); Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - September 2021); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). | 132 | Investment Managers Series Trust (December 2022 – present); The Select Sector SPDR Trust (November 2005 - Present); SSGA SPDR ETFs Europe I PLC (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II PLC (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
GUNJAN CHAUHAN** c/o SSGA Active Trust One Iron Street Boston, MA 02210 1982 | Interested Trustee | Term: Unlimited Served: since October 2022 | Senior Managing Director, State Street Global Advisors (April 2018 – Present); Managing Director, State Street Global Advisors (June 2015– March 2018). | 121 | State Street ICAV (Director). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser, which includes series of the the SPDR Series Trust, SSGA Active Trust and SPDR Index Shares Funds. | ||||||||||
* Mr. Ross is an Interested Trustee because of his ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
** Ms. Chauhan is an Interested Trustee because of her position with an affiliate of the Adviser. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ANN M. CARPENTER SSGA Funds Management Inc. One Iron Street Boston, MA 02210 1966 | President and Principal Executive Officer; Deputy Treasurer | Term: Unlimited Served: since May 2023 (with respect to President and Principal Executive Officer); Term: Unlimited Served: since February 2016 (with respect to Deputy Treasurer) | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Direct Street Global Advisors (April 2005 - present).* | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer and Principal Financial Officer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present)* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Secretary | Term: Unlimited Served: since November 2020 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
E. GERARD MAIORANA, JR. SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 | Assistant Secretary | Term: Unlimited Served: since May 2023 | Assistant Vice President, State Street Global Advisors (July 2014 - present). | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
JOHN BETTENCOURT SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1976 | Assistant Treasurer | Term: Unlimited Served: since May 2022 | Vice President, State Street Global Advisors and SSGA Funds Management Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 | Assistant Treasurer | Term: Unlimited Served: since November 2020 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Congress Street
Boston, MA 02114
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 |
1 | |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
2 | |
6 | |
Schedules of Investments | |
10 | |
30 | |
50 | |
53 | |
55 | |
62 | |
63 |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | SPDR Blackstone High Income Composite Index | Net Asset Value | Market Value | Bloomberg U.S. Aggregate Bond Index | SPDR Blackstone High Income Composite Index | ||||
ONE YEAR | 8.48% | 8.25% | (0.94)% | 9.85% | 8.48% | 8.25% | (0.94)% | 9.85% | |||
SINCE INCEPTION(1) | (0.12)% | 0.22% | (7.43)% | 1.66% | (0.09)% | 0.16% | (5.49)% | 1.21% |
(1) | For the period February 16, 2022 to June 30, 2023. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (2/16/22, 2/17/22, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Point Au Roche Park CLO Ltd. 11.35% 7/20/2034 | 1.0% | ||
Ares LXVIII CLO Ltd. 13.63% 4/25/2035 | 0.6 | ||
Sunoco LP/Sunoco Finance Corp. 4.50% 5/15/2029 | 0.6 | ||
Ballyrock CLO Ltd. 11.40% 10/20/2031 | 0.6 | ||
Hughes Satellite Systems Corp. 6.63% 8/1/2026 | 0.5 | ||
TOTAL | 3.3% |
% of Net Assets | |||
Software | 8.4% | ||
Financial Services | 4.5 | ||
Oil, Gas & Consumable Fuels | 4.3 | ||
Asset Backed Securities | 3.8 | ||
Commercial Services | 3.4 | ||
Pipelines | 3.3 | ||
Other ABS | 3.0 | ||
Aerospace & Defense | 2.9 | ||
Media | 2.8 | ||
Hotels, Restaurants & Leisure | 2.8 | ||
Entertainment | 2.7 | ||
Health Care Providers & Services | 2.7 | ||
Real Estate Investment Trusts (REITs) | 2.4 | ||
Specialty Retail | 2.3 | ||
Retail-Restaurants | 2.2 | ||
Insurance | 2.1 | ||
Home Furnishings | 2.1 | ||
Commercial Services & Supplies | 1.9 | ||
Leisure Industry | 1.9 | ||
Chemicals | 1.6 | ||
Construction & Engineering | 1.6 | ||
Building Products | 1.6 | ||
Passenger Airlines | 1.3 | ||
Containers & Packaging | 1.2 | ||
IT Services | 1.0 | ||
Pharmaceuticals | 0.9 | ||
Machinery | 0.9 | ||
Metals & Mining | 0.9 | ||
Construction Materials | 0.8 | ||
Transport-Services | 0.8 | ||
Consumer Staples Distribution & Retail | 0.8 | ||
Diversified Telecommunication Services | 0.8 | ||
Finance-Consumer Loans | 0.8 | ||
Professional Services | 0.7 | ||
Health Care Equipment & Supplies | 0.7 | ||
Machinery-Construction & Mining | 0.7 | ||
Internet & Telecom | 0.6 | ||
Retail-Building Products | 0.6 | ||
Auto-Cars/Light Trucks | 0.6 | ||
Oil-Field Services | 0.6 | ||
Bldg-Residential/Commer | 0.6 | ||
Real Estate | 0.6 | ||
Metal-Iron | 0.6 | ||
Food Products | 0.5 | ||
Broadline Retail | 0.5 | ||
Beverages | 0.5 | ||
Computer Services | 0.5 | ||
Electrical Equipment | 0.5 | ||
Telecom Services | 0.5 | ||
Office Automation&Equip | 0.5 | ||
Ground Transportation | 0.4 | ||
Automobile Components | 0.4 | ||
Miscellaneous Manufactur | 0.4 | ||
Capital Markets | 0.4 | ||
Commercial Banks | 0.4 |
% of Net Assets | |||
Paper & Forest Products | 0.4% | ||
Automobiles | 0.4 | ||
Electronic Equipment, Instruments & Components | 0.3 | ||
Household Products | 0.3 | ||
Independent Power Producers & Energy Traders | 0.3 | ||
Consumer Finance | 0.3 | ||
Telecommunication Equip | 0.3 | ||
Cosmetics & Toiletries | 0.3 | ||
Cable/Satellite TV | 0.3 | ||
Life Sciences Tools & Services | 0.3 | ||
Distribution/Wholesale | 0.3 | ||
Medical Labs&Testing Srv | 0.3 | ||
Casino Services | 0.3 | ||
Steel-Producers | 0.3 | ||
Gas-Distribution | 0.3 | ||
Bldg Prod-Doors&Windows | 0.3 | ||
Commercial Serv-Finance | 0.3 | ||
Advertising Services | 0.2 | ||
Communications Equipment | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Leisure&Rec/Games | 0.2 | ||
Investment Companies | 0.2 | ||
Semiconductors & Semiconductor Equipment | 0.2 | ||
Internet Security | 0.2 | ||
Advertising Agencies | 0.2 | ||
Diversified Finan Serv | 0.2 | ||
Medical-Hospitals | 0.2 | ||
Food-Retail | 0.2 | ||
Finance-Mtge Loan/Banker | 0.2 | ||
Electric Utilities | 0.2 | ||
E-Commerce/Services | 0.2 | ||
Electronic Compo-Semicon | 0.2 | ||
Electronic Compo-Misc | 0.2 | ||
Publishing-Newspapers | 0.2 | ||
Internet & Catalog Retail | 0.1 | ||
Energy Equipment & Services | 0.1 | ||
Food-Misc/Diversified | 0.1 | ||
Computers | 0.1 | ||
Distributors | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Gaming & Entertainment | 0.1 | ||
Food & Beverage | 0.1 | ||
Cellular Telecom | 0.1 | ||
Television | 0.1 | ||
Casino Hotels | 0.1 | ||
Broadcast Serv/Program | 0.1 | ||
Environ Monitoring&Det | 0.1 | ||
Medical-Drugs | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Retail-Automobile | 0.1 | ||
Printing-Commercial | 0.1 | ||
Rental Auto/Equipment | 0.1 | ||
Building&Construct-Misc | 0.1 | ||
Cruise Lines | 0.1 | ||
Enterprise Software/Serv | 0.1 | ||
Air Freight & Logistics | 0.0 * | ||
Retail-Major Dept Store | 0.0 * | ||
Coal | 0.0 * | ||
Short-Term Investment | 5.3 | ||
Liabilities in Excess of Other Assets | (2.4) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Cumulative Total Return | Average Annual Total Return | ||||||||||
Net Asset Value | Market Value | Markit iBoxx USD Liquid Leveraged Loan Index | Morningstar LSTA U.S. Leveraged Loan 100 Index | Net Asset Value | Market Value | Markit iBoxx USD Liquid Leveraged Loan Index | Morningstar LSTA U.S. Leveraged Loan 100 Index | ||||
ONE YEAR | 6.95% | 7.63% | 11.02% | 11.78% | 6.95% | 7.63% | 11.02% | 11.78% | |||
FIVE YEARS | 15.93% | 16.16% | 14.82% | 21.47% | 3.00% | 3.04% | 2.80% | 3.97% | |||
TEN YEARS | 33.19% | 33.12% | 32.16% | 43.35% | 2.91% | 2.90% | 2.83% | 3.67% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Barclays Capital, Inc. 5.11% 6/15/2024 | 2.1% | ||
Peraton Corp. Senior Secured Term Loan B 8.95% 2/1/2028 | 1.7 | ||
Athenahealth Group, Inc. Senior Secured 2022 Term Loan B 8.59% 2/15/2029 | 1.7 | ||
Medline Borrower LP Senior Secured USD Term Loan B 8.35% 10/23/2028 | 1.7 | ||
TransDigm, Inc. Senior Secured 2023 Term Loan I 8.49% 8/24/2028 | 1.5 | ||
TOTAL | 8.7% |
% of Net Assets | |||
Software | 14.4% | ||
Commercial Services | 5.5 | ||
Health Care Providers & Services | 5.4 | ||
Insurance | 5.2 | ||
Passenger Airlines | 4.9 | ||
Media | 4.7 | ||
Hotels, Restaurants & Leisure | 4.5 | ||
Financial Services | 3.8 | ||
Commercial Services & Supplies | 2.9 | ||
Entertainment | 2.7 | ||
Pipelines | 2.4 | ||
Pharmaceuticals | 2.3 | ||
Retail-Restaurants | 2.0 | ||
Health Care Equipment & Supplies | 2.0 | ||
Diversified Telecommunication Services | 1.9 | ||
Specialty Retail | 1.9 | ||
Aerospace & Defense | 1.8 | ||
Building Products | 1.4 | ||
Machinery-Construction & Mining | 1.3 | ||
Home Furnishings | 1.3 | ||
Chemicals | 1.2 | ||
Oil, Gas & Consumable Fuels | 1.2 | ||
Retail-Building Products | 1.2 | ||
Containers & Packaging | 1.2 | ||
Machinery | 1.2 | ||
Semiconductors & Semiconductor Equipment | 1.2 | ||
Casino Services | 1.0 | ||
Automobile Components | 1.0 | ||
Independent Power Producers & Energy Traders | 0.9 | ||
Beverages | 0.9 | ||
Broadline Retail | 0.8 | ||
Life Sciences Tools & Services | 0.8 | ||
Internet & Telecom | 0.8 | ||
Communications Equipment | 0.7 | ||
Ground Transportation | 0.7 | ||
Cosmetics & Toiletries | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Professional Services | 0.6 | ||
Construction & Engineering | 0.5 | ||
Distributors | 0.4 | ||
Food Products | 0.4 | ||
Investment Companies | 0.4 | ||
Computers | 0.3 | ||
Transport-Services | 0.3 | ||
Distribution/Wholesale | 0.3 | ||
Construction Materials | 0.2 | ||
Electrical Equipment | 0.2 | ||
Industrial Conglomerates | 0.2 | ||
Real Estate Investment Trusts (REITs) | 0.2 | ||
Leisure Industry | 0.2 | ||
Automobiles | 0.2 | ||
Telecom Services | 0.1 | ||
Household Products | 0.1 | ||
Telecommunication Equip | 0.1 | ||
Air Freight & Logistics | 0.1 |
% of Net Assets | |||
Leisure&Rec/Games | 0.1% | ||
Diversified Consumer Services | 0.1 | ||
Capital Markets | 0.1 | ||
Internet Security | 0.1 | ||
Advertising Agencies | 0.1 | ||
Steel-Producers | 0.1 | ||
Cable/Satellite TV | 0.1 | ||
Oil-Field Services | 0.1 | ||
Bldg Prod-Doors&Windows | 0.1 | ||
Metals & Mining | 0.1 | ||
Real Estate | 0.1 | ||
Office Automation&Equip | 0.1 | ||
Metal-Iron | 0.1 | ||
Enterprise Software/Serv | 0.1 | ||
E-Commerce/Products | 0.1 | ||
Oil&Gas Drilling | 0.1 | ||
MRI/Medical Diag Imaging | 0.0 * | ||
Miscellaneous Manufactur | 0.0 * | ||
Food-Misc/Diversified | 0.0 * | ||
IT Services | 0.0 * | ||
Gaming & Entertainment | 0.0 * | ||
Commercial Banks | 0.0 * | ||
Gas-Distribution | 0.0 * | ||
Retail-Major Dept Store | 0.0 * | ||
Medical-Hospitals | 0.0 * | ||
Auto-Cars/Light Trucks | 0.0 * | ||
Bldg-Residential/Commer | 0.0 * | ||
Finance-Mtge Loan/Banker | 0.0 * | ||
Electric Utilities | 0.0 * | ||
E-Commerce/Services | 0.0 * | ||
Broadcast Serv/Program | 0.0 * | ||
Finance-Consumer Loans | 0.0 * | ||
Computer Services | 0.0 * | ||
Paper & Forest Products | 0.0 * | ||
Real Estate Management & Development | 0.0 * | ||
Real Estate Oper/Develop | 0.0 * | ||
Textiles, Apparel & Luxury Goods | 0.0 * | ||
Internet Connectiv Svcs | 0.0 * | ||
Commercial Serv-Finance | 0.0 * | ||
Building&Construct-Misc | 0.0 * | ||
Consumer Staples Distribution & Retail | 0.0 * | ||
Bldg&Construct Prod-Misc | 0.0 * | ||
Food-Retail | 0.0 * | ||
Aerospace/Defense | 0.0 * | ||
Diversified Finan Serv | 0.0 * | ||
Short-Term Investment | 6.5 | ||
Repurchase Agreements | 2.1 | ||
Liabilities in Excess of Other Assets | (3.5) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 46.0% | |||||
ADVERTISING AGENCIES — 0.2% | |||||
ABG Intermediate Holdings 2 LLC 2023 Term Loan B2, 1 Month USD SOFR + 4.00%, 9.35%, 12/21/2028 (a) | $ 200,826 | $ 200,650 | |||
ADVERTISING SERVICES — 0.2% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD SOFR + 3.35%, 8.43%, 8/15/2025 (a) | 134,700 | 134,815 | |||
CMG Media Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 8.84%, 12/17/2026 (a) | 62,031 | 55,712 | |||
190,527 | |||||
AEROSPACE & DEFENSE — 0.5% | |||||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (a) | 28,400 | 28,205 | |||
Senior Secured 2020 Term Loan B1, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (a) | 52,823 | 52,460 | |||
TransDigm, Inc. Senior Secured 2023 Term Loan I, 3 Month USD SOFR + 3.25%, 8.49%, 8/24/2028 (a) | 518,162 | 518,462 | |||
599,127 | |||||
AIR FREIGHT & LOGISTICS — 0.0% (b) | |||||
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD SOFR + 4.00%, 9.50%, 7/26/2028 (a) | 45,390 | 43,225 | |||
AUTOMOBILE COMPONENTS — 0.4% | |||||
Belron Finance U.S. LLC 2019 USD Term Loan B3, 3 Month USD LIBOR + 2.25%, 7.56%, 10/30/2026 (a) | 122,558 | 122,609 | |||
Clarios Global LP 2023 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.85%, 5/6/2030 (a) | 250,000 | 249,726 |
Security Description | Principal Amount | Value | |||
USI, Inc. Senior Secured 2022 Incremental Term Loan, 3 Month USD SOFR + 3.75%, 8.99%, 11/22/2029 (a) | $ 148,875 | $ 148,862 | |||
521,197 | |||||
BEVERAGES — 0.4% | |||||
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 0.00%, 5.24%, 3/31/2028 (a) | 572,284 | 554,669 | |||
BROADLINE RETAIL — 0.5% | |||||
EG America LLC 2023 USD First Lien Incremental Tranche B Term Loan B, 2/28/2028 (a) | 94,311 | 93,722 | |||
EG Group Ltd. Senior Secured 2023 USD First Lien Incremental Tranche C Term Loan B, 2/28/2028 (a) | 141,467 | 135,631 | |||
Harbor Freight Tools USA, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.75%, 7.97%, 10/19/2027 (a) | 234,911 | 232,122 | |||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.90%, 3/15/2028 (a) | 199,490 | 198,168 | |||
659,643 | |||||
BUILDING PRODUCTS — 1.0% | |||||
ACProducts, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.78%, 5/17/2028 (a) | 299,237 | 252,481 | |||
Chamberlain Group, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 11/3/2028 (a) | 340,595 | 333,449 | |||
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.50%, 4/12/2028 (a) | 112,068 | 107,726 | |||
Oscar AcquisitionCo LLC Senior Secured Term Loan B, 3 Month USD SOFR + 4.50%, 9.84%, 4/29/2029 (a) | 371,278 | 363,389 | |||
Summit Materials LLC Senior Secured Term Loan B, 6 Month USD SOFR + 3.00%, 8.49%, 12/14/2027 (a) | 199,000 | 200,337 | |||
1,257,382 |
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%, 7.19%, 5/3/2028 (a) | $ 122,431 | $ 120,533 | |||
CAPITAL MARKETS — 0.4% | |||||
AqGen Island Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.69%, 8/2/2028 (a) | 215,121 | 212,030 | |||
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD SOFR + 2.50%, 7.60%, 6/30/2028 (a) | 312,978 | 309,805 | |||
521,835 | |||||
CASINO SERVICES — 0.3% | |||||
Stars Group Holdings BV Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.49%, 7/22/2028 (a) | 397,000 | 398,195 | |||
CHEMICALS — 0.7% | |||||
Axalta Coating Systems U.S. Holdings, Inc. 2022 USD Term Loan B4, 3 Month USD SOFR + 3.00%, 8.22%, 12/20/2029 (a) | 230,625 | 231,400 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD SOFR + 2.50%, 8.00%, 3/2/2026 (a) | 135,098 | 135,186 | |||
PQ Corp. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.50%, 7.65%, 6/9/2028 (a) | 125,760 | 125,397 | |||
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 9.19%, 3/16/2027 (a) | 171,891 | 169,621 | |||
Starfruit Finco BV Senior Secured 2018 USD Term Loan B, 3 Month USD SOFR + 2.75%, 8.07%, 10/1/2025 (a) | 263,966 | 264,263 | |||
925,867 | |||||
COMMERCIAL SERVICES — 2.0% | |||||
AEA International Holdings SARL Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 9/7/2028 (a) | 289,332 | 288,970 |
Security Description | Principal Amount | Value | |||
AlixPartners LLP Senior Secured 2021 USD Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 2/4/2028 (a) | $ 177,310 | $ 177,154 | |||
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 5/12/2028 (a) | 355,167 | 345,894 | |||
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 8.75%, 6/2/2028 (a) | 138,013 | 124,937 | |||
Corp. Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 11/2/2029 (a) | 330,775 | 331,726 | |||
Mavis Tire Express Services Corp. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 5/4/2028 (a) | 293,822 | 291,711 | |||
Neptune Bidco U.S., Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 5.00%, 10.00%, 4/11/2029 (a) | 273,485 | 241,693 | |||
PECF USS Intermediate Holding III Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25%, 9.52%, 12/15/2028 (a) | 396,742 | 326,965 | |||
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 9.22%, 8/27/2025 (a) | 396,118 | 396,488 | |||
2,525,538 | |||||
COMMERCIAL SERVICES & SUPPLIES — 1.8% | |||||
Aramark Services, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 7.69%, 4/6/2028 (a) | 355,896 | 356,074 | |||
Asurion LLC: | |||||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD SOFR + 5.25%, 10.45%, 1/20/2029 (a) | 99,524 | 83,742 | |||
Senior Secured 2021 Term Loan B9, 3 Month USD LIBOR + 3.25%, 8.79%, 7/31/2027 (a) | 228,147 | 216,277 | |||
Belron Finance U.S. LLC 2023 Term Loan, 3 Month USD SOFR + 2.75%, 7.83%, 4/18/2029 (a) | 125,000 | 125,235 |
Security Description | Principal Amount | Value | |||
Cast & Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 8.69%, 2/9/2026 (a) | $ 198,413 | $ 195,624 | |||
Covanta Holding Corp.: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 7.60%, 11/30/2028 (a) | 131,798 | 130,847 | |||
Senior Secured 2021 Term Loan C, 1 Month USD SOFR + 2.50%, 7.60%, 11/30/2028 (a) | 9,997 | 9,925 | |||
Garda World Security Corp. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 6.25%, 9.43%, 10/30/2026 (a) | 305,848 | 304,701 | |||
GFL Environmental, Inc. Senior Secured 2023 Term Loan, 1 Month USD SOFR + 3.00%, 8.15%, 5/28/2027 (a) | 82,149 | 82,313 | |||
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 9.95%, 7/28/2028 (a) | 87,716 | 82,453 | |||
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD SOFR + 3.50%, 8.74%, 11/30/2027 (a) | 188,143 | 185,806 | |||
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 7.94%, 9/23/2026 (a) | 329,440 | 329,757 | |||
Thevelia U.S. LLC USD Term Loan B, 6/18/2029 (c) | 150,000 | 149,812 | |||
2,252,566 | |||||
COMMUNICATIONS EQUIPMENT — 0.2% | |||||
Cogeco Financing 2 LP Senior Secured 2021 Incremental Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 9/1/2028 (a) | 126,956 | 126,321 | |||
Zayo Group Holdings, Inc. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.00%, 8.22%, 3/9/2027 (a) | 137,687 | 108,566 | |||
234,887 |
Security Description | Principal Amount | Value | |||
COMPUTER SERVICES — 0.4% | |||||
Maximus, Inc. Senior Secured Term Loan B, 2 Month USD SOFR + 2.00%, 7.23%, 5/28/2028 (a) | $ 110,414 | $ 110,506 | |||
Tempo Acquisition LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 8.10%, 8/31/2028 (a) | 357,355 | 357,898 | |||
468,404 | |||||
COMPUTERS — 0.1% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 10.03%, 7/27/2028 (a) | 165,912 | 125,471 | |||
CONSTRUCTION & ENGINEERING — 0.9% | |||||
Brown Group Holding LLC: | |||||
Senior Secured 2022 Incremental Term Loan B2, 3 Month USD SOFR + 3.75%, 8.80%, 7/2/2029 (a) | 153,906 | 153,796 | |||
Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.70%, 6/7/2028 (a) | 167,460 | 165,139 | |||
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 3/31/2028 (a) | 387,848 | 381,546 | |||
KKR Apple Bidco LLC Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.75%, 7.97%, 9/23/2028 (a) | 272,991 | 271,090 | |||
Pike Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 1/21/2028 (a) | 184,204 | 183,716 | |||
1,155,287 | |||||
CONSTRUCTION MATERIALS — 0.3% | |||||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.84%, 2/1/2027 (a) | 422,760 | 422,475 | |||
CONSUMER FINANCE — 0.3% | |||||
Amentum Government Services Holdings LLC Senior Secured Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 1/29/2027 (a) | 351,368 | 346,976 |
Security Description | Principal Amount | Value | |||
CONSUMER STAPLES DISTRIBUTION & RETAIL — 0.1% | |||||
U.S. Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 7.19%, 9/13/2026 (a) | $ 137,423 | $ 137,479 | |||
CONTAINERS & PACKAGING — 0.9% | |||||
Berlin Packaging LLC Senior Secured 2021 Term Loan B5, 3 Month USD LIBOR + 3.75%, 9.28%, 3/11/2028 (a) | 222,075 | 218,791 | |||
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.97%, 7/1/2026 (a) | 201,954 | 201,956 | |||
Charter NEX U.S., Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 12/1/2027 (a) | 188,252 | 187,017 | |||
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 9.38%, 4/13/2029 (a) | 435,233 | 429,120 | |||
Graham Packaging Co., Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.00%, 8.22%, 8/4/2027 (a) | 50,161 | 49,915 | |||
Trident TPI Holdings, Inc. Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 9.54%, 9/15/2028 (a) | 79,097 | 78,023 | |||
1,164,822 | |||||
COSMETICS & TOILETRIES — 0.2% | |||||
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD SOFR + 3.75%, 9.09%, 10/1/2026 (a) | 281,163 | 280,110 | |||
DISTRIBUTION/WHOLESALE — 0.3% | |||||
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 7.60%, 2/11/2028 (a) | 303,321 | 302,752 | |||
Windsor Holdings III LLC USD Term Loan B, 6/21/2030 (a) | 115,000 | 113,117 | |||
415,869 |
Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.1% | |||||
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 6.25%, 11.49%, 10/20/2028 (a) | $ 173,853 | $ 151,667 | |||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Ascend Learning LLC Senior Secured 2021 2nd Lien Term Loan, 1 Month USD SOFR + 5.75%, 10.95%, 12/10/2029 (a) | 157,414 | 134,786 | |||
DIVERSIFIED FINAN SERV — 0.1% | |||||
Avolon TLB Borrower 1 (US) LLC Senior Secured 2023 Term Loan B6, 1 Month USD SOFR + 2.50%, 7.58%, 6/22/2028 | 103,465 | 103,539 | |||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||
Altice France SA Senior Secured 2023 USD Term Loan B14, 3 Month USD SOFR + 5.50%, 10.49%, 8/15/2028 (a) | 202,214 | 180,644 | |||
CCI Buyer, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 4.00%, 9.24%, 12/17/2027 (a) | 85,420 | 83,979 | |||
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 2.25%, 7.47%, 3/15/2027 (a) | 162,913 | 126,156 | |||
390,779 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
Energizer Holdings, Inc. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 2.25%, 7.44%, 12/22/2027 (a) | 118,000 | 117,558 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.3% | |||||
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.75%, 7.97%, 7/2/2029 (a) | 246,281 | 246,205 | |||
Ingram Micro, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 9.04%, 6/30/2028 (a) | 54,000 | 53,899 |
Security Description | Principal Amount | Value | |||
MX Holdings U.S., Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD SOFR + 2.50%, 7.72%, 7/31/2025 (a) | $ 115,500 | $ 115,572 | |||
415,676 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
WIN Waste Innovations Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.75%, 7.97%, 3/24/2028 (a) | 150,574 | 130,265 | |||
ENTERTAINMENT — 1.6% | |||||
Crown Finance U.S., Inc. Senior Secured 2018 USD Term Loan, 2/28/2025 (c) (d) | 95,314 | 29,445 | |||
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 9.10%, 1/27/2029 (a) | 447,945 | 442,953 | |||
Formula One Holdings Ltd. Term Loan B, 1 Month USD SOFR + 3.00%, 8.10%, 1/15/2030 (a) | 250,000 | 250,344 | |||
GVC Holdings Ltd.: | |||||
2022 USD Term Loan B2, 6 Month USD SOFR + 3.50%, 8.44%, 10/31/2029 (a) | 278,139 | 278,069 | |||
Senior Secured 2021 USD Term Loan B4, 3 Month USD SOFR + 2.50%, 7.44%, 3/29/2027 (a) | 80,928 | 80,827 | |||
Motion Finco SARL Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 8.79%, 11/12/2026 (a) | 22,996 | 22,831 | |||
NASCAR Holdings LLC Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 10/19/2026 (a) | 220,757 | 221,326 | |||
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 7.79%, 1/23/2025 (a) | 139,538 | 139,393 | |||
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 8.05%, 4/29/2026 (a) | 423,037 | 423,064 | |||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD SOFR + 2.13%, 7.33%, 1/20/2028 (a) | 134,203 | 134,006 | |||
2,022,258 |
Security Description | Principal Amount | Value | |||
FINANCIAL SERVICES — 2.1% | |||||
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75%, 9.07%, 7/27/2028 (a) | $ 90,968 | $ 89,944 | |||
Belron Finance U.S. LLC Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.43%, 7.80%, 4/13/2028 (a) | 301,986 | 302,137 | |||
CE Intermediate I LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 9.34%, 11/10/2028 (a) | 189,332 | 186,492 | |||
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 2/2/2028 (a) | 400,278 | 400,216 | |||
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 3 Month USD SOFR + 3.75%, 8.99%, 4/9/2027 (a) | 102,859 | 100,085 | |||
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 10.22%, 8/2/2027 (a) | 295,611 | 289,658 | |||
Edelman Financial Center LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.94%, 4/7/2028 (a) | 219,230 | 214,147 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 3.25%, 8.47%, 2/15/2027 (a) | 135,119 | 132,658 | |||
Paysafe Holdings Corp. Senior Secured USD Term Loan B1, 1 Month USD SOFR + 2.75%, 7.97%, 6/28/2028 (a) | 76,410 | 74,468 | |||
Setanta Aircraft Leasing Designated Activity Co. Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 7.54%, 11/5/2028 (a) | 159,762 | 159,976 | |||
Victory Capital Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.25%, 7.29%, 7/1/2026 (a) | 299,958 | 298,959 | |||
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 7.45%, 12/16/2028 (a) | 117,359 | 116,479 |
Security Description | Principal Amount | Value | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.95%, 5/18/2025 (a) | $ 275,092 | $ 274,900 | |||
2,640,119 | |||||
FOOD & BEVERAGE — 0.1% | |||||
7.74%, 6/28/2030 | 108,546 | 108,479 | |||
FOOD PRODUCTS — 0.3% | |||||
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 3 Month USD SOFR + 2.25%, 7.45%, 1/29/2027 (a) | 358,090 | 356,702 | |||
FOOD-MISC/DIVERSIFIED — 0.1% | |||||
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 9.19%, 5/12/2028 (a) | 188,965 | 184,140 | |||
GAMING & ENTERTAINMENT — 0.1% | |||||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 7.72%, 5/29/2026 (a) | 130,998 | 131,256 | |||
GROUND TRANSPORTATION — 0.4% | |||||
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 2.00%, 7.34%, 12/30/2026 (a) | 166,178 | 166,222 | |||
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD SOFR + 3.75%, 9.48%, 3/24/2026 (a) | 312,778 | 312,638 | |||
478,860 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.7% | |||||
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 8.59%, 5/10/2027 (a) | 555,375 | 540,102 | |||
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 10/1/2027 (a) | 335,175 | 330,566 | |||
870,668 |
Security Description | Principal Amount | Value | |||
HEALTH CARE PROVIDERS & SERVICES — 1.7% | |||||
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD SOFR + 2.25%, 7.45%, 11/8/2027 (a) | $ 174,319 | $ 174,465 | |||
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 1.75%, 6.99%, 8/12/2026 (a) | 360,318 | 355,670 | |||
GHX Ultimate Parent Corp. 2023 Term Loan, 3 Month USD SOFR + 4.75%, 9.79%, 6/30/2027 (a) | 170,632 | 171,112 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.95%, 3/15/2028 (a) | 74,042 | 73,917 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (a) | 182,538 | 182,766 | |||
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD SOFR + 3.25%, 8.35%, 10/23/2028 (a) | 536,516 | 530,982 | |||
National Mentor Holdings, Inc.: | |||||
Senior Secured 2021 Term Loan, 3 Month USD SOFR + 3.75%, 8.95%, 3/2/2028 (a) | 91,730 | 69,801 | |||
Senior Secured 2021 Term Loan C, 3 Month USD SOFR + 3.75%, 9.09%, 3/2/2028 (a) | 2,631 | 2,002 | |||
Pediatric Associates Holding Co. LLC: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.47%, 12/29/2028 (a) | 147,978 | 145,130 | |||
Senior Secured 2022 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.25%, 3.25%, 12/29/2028 (a) | 22,524 | 18,751 | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (a) | 45,479 | 45,536 | |||
Radnet Management, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.00%, 8.22%, 4/21/2028 (a) | 142,778 | 142,677 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.02%, 11/16/2025 (a) | 145,797 | 135,389 |
Security Description | Principal Amount | Value | |||
Vizient, Inc. 2022 Term Loan B7, 1 Month SOFR CME + 2.25%, 7.44%, 5/16/2029 (a) | $ 115,758 | $ 115,825 | |||
2,164,023 | |||||
HOME FURNISHINGS — 0.4% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 8.80%, 7/31/2028 (a) | 474,413 | 466,348 | |||
HOTELS, RESTAURANTS & LEISURE — 1.9% | |||||
1011778 BC Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.94%, 11/19/2026 (a) | 456,611 | 454,137 | |||
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 8.69%, 8/17/2028 (a) | 312,988 | 312,891 | |||
Caesars Entertainment Corp. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 2/6/2030 (a) | 427,419 | 427,977 | |||
Motion Finco SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 8.79%, 11/12/2026 (a) | 161,305 | 160,146 | |||
Peraton Corp. Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 2/1/2028 (a) | 622,043 | 612,380 | |||
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 8.25%, 4/14/2029 (a) | 308,295 | 308,367 | |||
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B, 1 Month USD SOFR + 2.25%, 7.45%, 5/24/2030 (a) | 150,000 | 150,254 | |||
2,426,152 | |||||
HOUSEHOLD PRODUCTS — 0.1% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 5.50%, 10.71%, 12/19/2025 (a) | 136,708 | 136,896 |
Security Description | Principal Amount | Value | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.3% | |||||
Calpine Corp.: | |||||
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 7.70%, 12/16/2027 (a) | $ 25,910 | $ 25,924 | |||
Senior Secured Term Loan B9, 1 Month USD LIBOR + 2.00%, 7.20%, 4/5/2026 (a) | 337,780 | 337,885 | |||
363,809 | |||||
INSURANCE — 1.9% | |||||
Acrisure LLC Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 9.43%, 2/15/2027 (a) | 170,828 | 167,768 | |||
Alliant Holdings Intermediate LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 8.65%, 11/6/2027 (a) | 351,232 | 349,600 | |||
AmWINS Group, Inc. Senior Secured 2023 Incremental Term Loan B, 1 Month USD SOFR + 2.75%, 7.83%, 2/19/2028 (a) | 129,350 | 129,202 | |||
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 3.50%, 8.72%, 2/12/2027 (a) | 491,064 | 487,944 | |||
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.94%, 1/27/2027 (a) | 205,863 | 203,622 | |||
HUB International Ltd. 2023 Term Loan B, 6/20/2030 (a) | 115,000 | 115,392 | |||
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 11/12/2027 (a) | 333,605 | 332,354 | |||
Ryan Specialty Group LLC Senior Secured Term Loan, 1 Month USD SOFR + 3.00%, 8.20%, 9/1/2027 (a) | 245,618 | 245,887 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.85%, 2/17/2028 (a) | 357,773 | 356,180 | |||
2,387,949 |
Security Description | Principal Amount | Value | |||
INTERNET & CATALOG RETAIL — 0.1% | |||||
Imperva, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR - 4.00%, 1.00%, 1/12/2026 (a) | $ 49,640 | $ 45,079 | |||
ION Trading Finance Ltd. Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 10.29%, 4/3/2028 (a) | 74,690 | 73,410 | |||
118,489 | |||||
INTERNET & TELECOM — 0.4% | |||||
Adevinta ASA Senior Secured USD Term Loan B, 8.29%, 6/26/2028 (a) | 86,238 | 86,436 | |||
Uber Technologies, Inc. Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 3/3/2030 (a) | 351,875 | 352,293 | |||
438,729 | |||||
INTERNET SECURITY — 0.2% | |||||
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25%, 11.47%, 8/31/2029 (a) | 240,040 | 233,439 | |||
INVESTMENT COMPANIES — 0.2% | |||||
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.50%, 8.55%, 5/17/2029 (a) | 134,324 | 133,707 | |||
LSF11 Trinity Bidco, Inc. Term Loan, 9.65%, 6/14/2030 (a) | 125,000 | 124,844 | |||
258,551 | |||||
IT SERVICES — 0.4% | |||||
Access CIG LLC Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 12.94%, 2/27/2026 (a) | 194,616 | 183,751 | |||
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 10/18/2027 (a) | 52,661 | 49,332 | |||
Presidio Holdings, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 3.50%, 8.70%, 1/22/2027 (a) | 22,702 | 22,628 |
Security Description | Principal Amount | Value | |||
WEX, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 7.47%, 3/31/2028 (a) | $ 246,844 | $ 246,998 | |||
502,709 | |||||
LEISURE INDUSTRY — 0.3% | |||||
Carnival Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD SOFR + 3.25%, 8.47%, 10/18/2028 (a) | 418,528 | 415,563 | |||
LEISURE&REC/GAMES — 0.2% | |||||
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 8.42%, 4/4/2029 (a) | 277,090 | 274,145 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.3% | |||||
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 8.44%, 11/15/2028 (a) | 419,759 | 417,031 | |||
MACHINERY — 0.8% | |||||
Chart Industries, Inc. 2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.94%, 3/15/2030 (a) | 171,507 | 171,578 | |||
Clark Equipment Co. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.50%, 7.84%, 4/20/2029 (a) | 124,684 | 124,899 | |||
Engineered Machinery Holdings, Inc. Senior Secured 2021 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 9.04%, 5/19/2028 (a) | 318,746 | 313,168 | |||
Madison IAQ LLC Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 8.30%, 6/21/2028 (a) | 406,902 | 399,069 | |||
1,008,714 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.4% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.94%, 8/1/2025 (a) | 467,297 | 466,907 | |||
MEDIA — 1.9% | |||||
Cogeco Communications Finance LP Senior Secured Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 1/3/2025 (a) | 64,556 | 64,583 |
Security Description | Principal Amount | Value | |||
CSC Holdings LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 7.69%, 4/15/2027 (a) | $ 129,413 | $ 113,433 | |||
Gray Television, Inc.: | |||||
Senior Secured 2021 Term Loan D, 1 Month USD SOFR + 3.00%, 8.27%, 12/1/2028 (a) | 58,867 | 57,630 | |||
Senior Secured 2023 Term Loan E, 1 Month USD SOFR + 2.50%, 7.77%, 1/2/2026 (a) | 47,196 | 46,458 | |||
MH Sub I LLC: | |||||
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.85%, 9/13/2024 (a) | 109,243 | 109,379 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD SOFR + 6.25%, 11.35%, 2/23/2029 (a) | 116,242 | 101,731 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD SOFR + 2.50%, 7.72%, 9/18/2026 (a) | 136,843 | 136,867 | |||
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.48%, 9/25/2026 (a) | 151,362 | 126,709 | |||
Telenet Financing USD LLC Senior Secured 2020 USD Term Loan AR, 1 Month USD LIBOR + 2.00%, 7.19%, 4/30/2028 (a) | 311,409 | 306,405 | |||
Univision Communications, Inc. Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 1/31/2029 (a) | 153,801 | 151,224 | |||
UPC Broadband Holding BV Senior Secured 2020 USD Term Loan AT, 1 Month USD LIBOR + 2.25%, 7.44%, 4/30/2028 (a) | 322,531 | 318,096 | |||
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 8.60%, 7/30/2027 (a) | 431,799 | 428,995 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 7.69%, 1/31/2028 (a) | 164,749 | 163,586 |
Security Description | Principal Amount | Value | |||
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 7.69%, 4/30/2028 (a) | $ 322,531 | $ 318,154 | |||
2,443,250 | |||||
MEDICAL LABS&TESTING SRV — 0.3% | |||||
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.00%, 8.22%, 11/1/2028 (a) | 60,933 | 60,762 | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2021 Term Loan, 9.42%, 10/1/2028 (a) | 398,530 | 375,294 | |||
436,056 | |||||
MISCELLANEOUS MANUFACTUR — 0.2% | |||||
Gates Global LLC Senior Secured 2021 Term Loan B3, 1 Month USD SOFR + 2.50%, 7.70%, 3/31/2027 (a) | 186,351 | 185,652 | |||
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.97%, 9/6/2026 (a) | 53,021 | 45,444 | |||
231,096 | |||||
OIL, GAS & CONSUMABLE FUELS — 0.4% | |||||
ITT Holdings LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.97%, 7/10/2028 (a) | 118,712 | 117,970 | |||
Pacific Gas & Electric Co. 2020 Term Loan B1, 1 Month USD LIBOR + 3.00%, 8.22%, 6/23/2025 (a) | 323,917 | 324,264 | |||
442,234 | |||||
PASSENGER AIRLINES — 1.3% | |||||
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.84%, 8/11/2028 (a) | 258,085 | 258,430 | |||
American Airlines, Inc. Senior Secured 2023 Term Loan B, 6 Month USD SOFR + 2.75%, 8.15%, 2/15/2028 (a) | 482,442 | 474,433 | |||
Kestrel Bidco, Inc. Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.51%, 12/11/2026 (a) | 78,029 | 75,889 |
Security Description | Principal Amount | Value | |||
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.76%, 6/21/2027 (a) | $ 257,367 | $ 267,823 | |||
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 8.80%, 10/20/2027 (a) | 111,301 | 115,753 | |||
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 4/21/2028 (a) | 405,800 | 406,253 | |||
1,598,581 | |||||
PHARMACEUTICALS — 0.9% | |||||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 1.75%, 7.01%, 8/1/2027 (a) | 190,657 | 187,440 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 3 Month USD SOFR + 2.00%, 7.41%, 11/15/2027 (a) | 171,055 | 168,596 | |||
Horizon Therapeutics USA, Inc. Term Loan B1, 1 Month USD LIBOR - 2.25%, 5/22/2026 (a) | 71,304 | 71,291 | |||
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 8.86%, 5/5/2028 (a) | 306,814 | 306,732 | |||
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 8.25%, 6/2/2028 (a) | 354,367 | 354,754 | |||
1,088,813 | |||||
PIPELINES — 1.4% | |||||
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.45%, 11/1/2026 (a) | 307,467 | 305,770 | |||
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 6/5/2028 (a) | 390,395 | 390,172 | |||
Freeport LNG Investments LLLP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 8.75%, 12/21/2028 (a) | 361,654 | 354,993 |
Security Description | Principal Amount | Value | |||
Oryx Midstream Services Permian Basin LLC Senior Secured 2023 Incremental Term Loan, 1 Month USD SOFR + 3.25%, 8.54%, 10/5/2028 (a) | $ 349,119 | $ 349,034 | |||
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 8.65%, 11/17/2028 (a) | 151,696 | 149,678 | |||
Whitewater Whistler Holdings LLC Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 3.25%, 8.49%, 2/15/2030 (a) | 175,000 | 175,109 | |||
1,724,756 | |||||
PROFESSIONAL SERVICES — 0.7% | |||||
Anticimex International AB Senior Secured 2021 USD Term Loan B1, 3 Month USD LIBOR + 3.50%, 8.55%, 11/16/2028 (a) | 175,650 | 173,729 | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD SOFR + 3.25%, 8.43%, 2/6/2026 (a) | 383,115 | 383,929 | |||
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.47%, 12/1/2028 (a) | 319,545 | 319,161 | |||
876,819 | |||||
RETAIL-BUILDING PRODUCTS — 0.4% | |||||
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 8.95%, 12/17/2027 (a) | 575,783 | 554,490 | |||
RETAIL-RESTAURANTS — 0.5% | |||||
Hilton Domestic Operating Co., Inc. Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.94%, 6/22/2026 (a) | 173,211 | 173,272 | |||
IRB Holding Corp. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 8.20%, 12/15/2027 (a) | 445,472 | 442,966 | |||
616,238 |
Security Description | Principal Amount | Value | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.2% | |||||
Entegris, Inc. Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 7/6/2029 (a) | $ 81,101 | $ 81,286 | |||
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.94%, 8/17/2029 (a) | 140,722 | 141,073 | |||
222,359 | |||||
SOFTWARE — 7.1% | |||||
Applied Systems, Inc. Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 9/18/2026 (a) | 164,587 | 165,012 | |||
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 9.52%, 5/8/2028 (a) | 170,383 | 167,366 | |||
Athenahealth Group, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 8.59%, 2/15/2029 (a) | 544,143 | 525,098 | |||
Banff Merger Sub, Inc.: | |||||
Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD SOFR + 5.50%, 10.72%, 2/27/2026 (a) | 73,647 | 71,990 | |||
Senior Secured 2021 USD Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 10/2/2025 (a) | 165,414 | 164,293 | |||
Camelot U.S. Acquisition LLC Senior Secured Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 10/30/2026 (a) | 378,945 | 378,850 | |||
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.49%, 7/6/2029 (a) | 398,000 | 397,351 | |||
Cloud Software Group, Inc. Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 3/30/2029 (a) | 429,275 | 402,535 | |||
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 3 Month USD SOFR + 4.00%, 9.26%, 10/16/2026 (a) | 548,004 | 544,151 | |||
EP Purchaser LLC Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.50%, 9.00%, 11/6/2028 (a) | 145,386 | 142,660 |
Security Description | Principal Amount | Value | |||
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 3.25%, 8.33%, 7/30/2027 (a) | $ 407,319 | $ 402,814 | |||
EverCommerce, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.47%, 7/6/2028 (a) | 137,066 | 136,792 | |||
First Advantage Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 1/31/2027 (a) | 116,548 | 116,548 | |||
Flexera Software LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.97%, 3/3/2028 (a) | 186,727 | 184,334 | |||
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 9.15%, 11/19/2026 (a) | 97,212 | 88,949 | |||
Greeneden U.S. Holdings II LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD SOFR + 4.00%, 9.19%, 12/1/2027 (a) | 89 | 89 | |||
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 8.69%, 7/1/2024 (a) | 122,230 | 121,374 | |||
Idera, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 9.01%, 3/2/2028 (a) | 188,674 | 184,153 | |||
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 2/16/2028 (a) | 177,920 | 176,125 | |||
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 8.00%, 10/27/2028 (a) | 153,566 | 153,613 | |||
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 9.01%, 3/1/2029 (a) | 505,242 | 484,681 | |||
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 8.73%, 11/10/2028 (a) | 114,704 | 113,414 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 11.69%, 10/15/2029 (a) | 77,379 | 68,674 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.94%, 10/15/2028 (a) | $ 297,665 | $ 291,619 | |||
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 10/22/2026 (a) | 178,639 | 178,416 | |||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 9/12/2029 (a) | 397,313 | 395,825 | |||
Open Text Corp. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 8.58%, 1/31/2030 (a) | 252,452 | 253,872 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 9.20%, 4/26/2024 (a) | 50,771 | 50,716 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.25%, 8.47%, 3/10/2028 (a) | 191,597 | 187,611 | |||
Quartz Acquireco LLC Term Loan B, 6/28/2030 (a) | 200,000 | 200,250 | |||
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 8.19%, 4/24/2028 (a) | 447,457 | 438,340 | |||
Roper Industrial Products Investment Co. LLC Senior Secured USD Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 11/22/2029 (a) | 54,890 | 54,740 | |||
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.85%, 2/5/2027 (a) | 250,785 | 251,146 | |||
Sovos Compliance LLC Senior Secured 2021 Term Loan, 1 Month USD SOFR + 4.50%, 9.72%, 8/11/2028 (a) | 218,455 | 211,335 | |||
SS&C Technologies, Inc.: | |||||
Senior Secured 2022 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.45%, 3/22/2029 (a) | 179,617 | 179,318 | |||
Senior Secured 2022 Term Loan B7, 1 Month USD SOFR + 2.25%, 7.45%, 3/22/2029 (a) | 270,717 | 270,266 | |||
Surf Holdings LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.70%, 3/5/2027 (a) | 94,409 | 93,804 |
Security Description | Principal Amount | Value | |||
Ultimate Software Group, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 5.25%, 10.27%, 5/3/2027 (a) | $ 100,669 | $ 97,901 | |||
Senior Secured 2021 Term Loan, 3 Month USD SOFR + 3.25%, 8.27%, 5/4/2026 (a) | 565,858 | 556,191 | |||
8,902,216 | |||||
SPECIALTY RETAIL — 1.4% | |||||
Petco Health & Wellness Co., Inc. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.75%, 3/3/2028 (a) | 431,011 | 428,561 | |||
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.75%, 8.83%, 2/11/2028 (a) | 323,402 | 323,336 | |||
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 8/4/2028 (a) | 355,100 | 355,036 | |||
SRS Distribution, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.69%, 6/2/2028 (a) | 381,973 | 371,975 | |||
Whatabrands LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.47%, 8/3/2028 (a) | 307,507 | 306,089 | |||
1,784,997 | |||||
STEEL-PRODUCERS — 0.2% | |||||
Phoenix Services International LLC Term Load, 11.00%, 3/1/2025 | 205,217 | 205,217 | |||
TELECOMMUNICATION EQUIP — 0.3% | |||||
Coral-U.S. Co-Borrower LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 3.00%, 8.19%, 10/15/2029 (a) | 305,848 | 303,826 | |||
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 6 Month USD SOFR + 3.75%, 9.07%, 12/1/2027 (a) | 119,118 | 115,545 | |||
419,371 | |||||
TRADING COMPANIES & DISTRIBUTORS — 0.2% | |||||
Foundation Building Materials Holding Co. LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 8.52%, 1/31/2028 (a) | 200,913 | 195,697 |
Security Description | Principal Amount | Value | |||
TRANSPORT-SERVICES — 0.3% | |||||
EG America LLC Senior Secured 2018 USD Term Loan, 1 Month USD SOFR + 4.00%, 9.08%, 2/7/2025 (a) | $ 17,772 | $ 17,711 | |||
Endure Digital, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.79%, 2/10/2028 (a) | 411,351 | 384,099 | |||
401,810 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $57,805,963) | 57,982,940 | ||||
ASSET-BACKED SECURITIES — 6.8% | |||||
OTHER ABS — 6.8% | |||||
Apidos CLO XI Series 2012-11A, Class ER3, 3 Month USD LIBOR + 6.57%, 11.83%, 4/17/2034 (a) (e) | 500,000 | 438,600 | |||
Ares LXVIII CLO Ltd. Series 2023-68A, Class E, 3 Month SOFR + 8.55%, 13.63%, 4/25/2035 (a) (e) | 750,000 | 743,400 | |||
Balboa Bay Loan Funding Ltd. Series 2022-1A, Class E, 3 Month SOFR + 7.93%, 12.98%, 4/20/2034 (a) (e) | 500,000 | 456,400 | |||
Ballyrock CLO Ltd. Series 2020-2A, Class DR, 3 Month USD LIBOR + 6.15%, 11.40%, 10/20/2031 (a) (e) | 750,000 | 696,300 | |||
Benefit Street Partners CLO X Ltd. Series 2016-10A, Class DRR, 3 Month USD LIBOR + 6.75%, 12.00%, 4/20/2034 (a) (e) | 500,000 | 455,300 | |||
Canyon CLO Ltd. Series 2020-1A, Class ER, 3 Month USD LIBOR + 6.35%, 11.61%, 7/15/2034 (a) (e) | 602,000 | 526,810 | |||
Carlyle U.S. CLO Ltd.: | |||||
Series 2020-1A, Class DR, 3 Month USD LIBOR + 6.25%, 11.50%, 7/20/2034 (a) (e) | 500,000 | 434,050 | |||
Series 2021-9A, Class E, 3 month USD LIBOR + 6.63%, 11.88%, 10/20/2034 (a) (e) | 712,882 | 620,065 | |||
GoldenTree Loan Management U.S. CLO Ltd. Series 2022-12A, Class E, 3 Month SOFR + 7.25%, 12.30%, 4/20/2034 (a) (e) | 500,000 | 471,000 |
Security Description | Principal Amount | Value | |||
Palmer Square CLO Ltd. Series 2019-1A, Class DR, 3 Month USD LIBOR + 6.50%, 11.82%, 11/14/2034 (a) (e) | $ 500,000 | $ 432,850 | |||
Point Au Roche Park CLO Ltd. Series 2021-1A, Class E, 3 Month USD LIBOR + 6.10%, 11.35%, 7/20/2034 (a) (e) | 1,480,000 | 1,259,776 | |||
Rad CLO 15 Ltd. Series 2021-15A, Class E, 3 Month USD LIBOR + 6.20%, 11.45%, 1/20/2034 (a) (e) | 652,349 | 575,763 | |||
RR 20 Ltd. Series 2022-20A, Class D, 3 Month SOFR + 7.25%, 12.24%, 7/15/2037 (a) (e) | 500,000 | 476,500 | |||
Vibrant CLO XVI Ltd. Series 2023-16A, Class C, 3 month USD SOFR + 5.84%, 10.92%, 4/15/2036 (a) (e) | 500,000 | 489,472 | |||
Voya CLO Ltd. Series 2019-2A, Class E, 3 Month USD LIBOR + 6.60%, 11.85%, 7/20/2032 (a) (e) | 500,000 | 440,150 | |||
8,516,436 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $8,788,256) | 8,516,436 |
Shares | |||
COMMON STOCKS — 0.2% | |||
AEROSPACE & DEFENSE — 0.2% | |||
Flame NewCo. LLC | 19,856 | 205,112 |
Principal Amount | |||
CORPORATE BONDS & NOTES — 44.1% | |||
ADVERTISING — 0.1% | |||
Clear Channel Outdoor Holdings, Inc.: | |||
7.50%, 6/1/2029 (e) | $ 100,000 | 74,091 | |
7.75%, 4/15/2028 (e) | 130,000 | 101,980 | |
176,071 | |||
AEROSPACE & DEFENSE — 2.2% | |||
Bombardier, Inc.: | |||
6.00%, 2/15/2028 (e) | 380,000 | 359,176 | |
7.50%, 2/1/2029 (e) | 493,000 | 487,301 | |
Howmet Aerospace, Inc.: | |||
3.00%, 1/15/2029 | 682,000 | 597,425 | |
5.95%, 2/1/2037 | 50,000 | 50,940 | |
Spirit AeroSystems, Inc. 4.60%, 6/15/2028 | 80,000 | 67,060 |
Security Description | Principal Amount | Value | |||
TransDigm, Inc.: | |||||
4.63%, 1/15/2029 | $ 580,000 | $ 515,800 | |||
4.88%, 5/1/2029 | 390,000 | 349,378 | |||
Triumph Group, Inc. 7.75%, 8/15/2025 | 300,000 | 291,627 | |||
2,718,707 | |||||
AUTO MANUFACTURERS — 1.0% | |||||
Allison Transmission, Inc. 3.75%, 1/30/2031 (e) | 490,000 | 415,775 | |||
Ford Motor Co. 4.75%, 1/15/2043 | 100,000 | 76,773 | |||
Ford Motor Credit Co. LLC: | |||||
3.82%, 11/2/2027 | 200,000 | 178,978 | |||
6.80%, 5/12/2028 | 465,000 | 466,055 | |||
Wabash National Corp. 4.50%, 10/15/2028 (e) | 130,000 | 112,745 | |||
1,250,326 | |||||
BANKS — 0.4% | |||||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (e) | 559,000 | 531,687 | |||
BEVERAGES — 0.1% | |||||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (e) | 90,000 | 77,066 | |||
CHEMICALS — 1.3% | |||||
Ashland, Inc. 3.38%, 9/1/2031 (e) | 320,000 | 255,683 | |||
Chemours Co.: | |||||
4.63%, 11/15/2029 (e) | 394,000 | 332,903 | |||
5.75%, 11/15/2028 (e) | 100,000 | 91,889 | |||
Mativ Holdings, Inc. 6.88%, 10/1/2026 (e) | 60,000 | 52,391 | |||
Methanex Corp. 5.25%, 12/15/2029 | 330,000 | 301,353 | |||
Nufarm Australia Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030 (e) | 80,000 | 70,973 | |||
Valvoline, Inc. 3.63%, 6/15/2031 (e) | 595,000 | 483,824 | |||
1,589,016 | |||||
COAL — 0.1% | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (e) | 170,000 | 143,415 | |||
COMMERCIAL SERVICES — 1.9% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (e) | 180,000 | 163,526 | |||
ASGN, Inc. 4.63%, 5/15/2028 (e) | 80,000 | 73,174 | |||
Deluxe Corp. 8.00%, 6/1/2029 (e) | 110,000 | 86,176 | |||
Gartner, Inc.: | |||||
3.63%, 6/15/2029 (e) | 510,000 | 449,744 | |||
3.75%, 10/1/2030 (e) | 200,000 | 174,340 |
Security Description | Principal Amount | Value | |||
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (e) | $ 535,000 | $ 402,673 | |||
Service Corp. International: | |||||
3.38%, 8/15/2030 | 73,000 | 61,061 | |||
4.00%, 5/15/2031 | 410,000 | 350,788 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (e) | 170,000 | 148,130 | |||
United Rentals North America, Inc. 3.75%, 1/15/2032 | 180,000 | 152,627 | |||
WW International, Inc. 4.50%, 4/15/2029 (e) | 150,000 | 89,993 | |||
ZipRecruiter, Inc. 5.00%, 1/15/2030 (e) | 220,000 | 188,122 | |||
2,340,354 | |||||
COMPUTERS — 0.5% | |||||
KBR, Inc. 4.75%, 9/30/2028 (e) | 90,000 | 82,474 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (e) | 90,000 | 84,414 | |||
Seagate HDD Cayman: | |||||
4.13%, 1/15/2031 | 292,000 | 239,612 | |||
9.63%, 12/1/2032 (e) | 50,000 | 55,270 | |||
Unisys Corp. 6.88%, 11/1/2027 (e) | 180,000 | 129,550 | |||
591,320 | |||||
CONSTRUCTION MATERIALS — 1.4% | |||||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (e) | 448,000 | 389,935 | |||
5.00%, 3/1/2030 (e) | 120,000 | 112,158 | |||
Griffon Corp. 5.75%, 3/1/2028 | 219,000 | 204,809 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (e) | 401,000 | 355,137 | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (e) | 170,000 | 148,789 | |||
Masonite International Corp. 5.38%, 2/1/2028 (e) | 230,000 | 218,912 | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25%, 1/15/2029 (e) | 300,000 | 283,695 | |||
1,713,435 | |||||
DIVERSIFIED FINANCIAL SERVICES — 3.5% | |||||
Burford Capital Global Finance LLC 6.88%, 4/15/2030 (e) | 220,000 | 201,256 | |||
Enova International, Inc. 8.50%, 9/15/2025 (e) | 140,000 | 136,254 | |||
goeasy Ltd. 4.38%, 5/1/2026 (e) | 325,000 | 296,419 |
Security Description | Principal Amount | Value | |||
Nationstar Mortgage Holdings, Inc.: | |||||
5.50%, 8/15/2028 (e) | $ 610,000 | $ 534,726 | |||
5.75%, 11/15/2031 (e) | 123,000 | 101,011 | |||
6.00%, 1/15/2027 (e) | 231,000 | 214,927 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 420,000 | 359,848 | |||
5.00%, 3/15/2027 | 160,000 | 143,565 | |||
9.38%, 7/25/2030 | 57,000 | 56,690 | |||
Series A, 5.63%, 8/1/2033 | 190,000 | 142,827 | |||
OneMain Finance Corp.: | |||||
3.50%, 1/15/2027 | 700,000 | 601,944 | |||
5.38%, 11/15/2029 | 110,000 | 93,926 | |||
7.13%, 3/15/2026 | 160,000 | 157,502 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (e) | 170,000 | 136,760 | |||
5.38%, 10/15/2025 (e) | 200,000 | 189,618 | |||
5.75%, 9/15/2031 (e) | 270,000 | 219,929 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (e) | 180,000 | 160,835 | |||
SLM Corp. 4.20%, 10/29/2025 | 470,000 | 437,805 | |||
Synchrony Financial 7.25%, 2/2/2033 | 120,000 | 107,737 | |||
World Acceptance Corp. 7.00%, 11/1/2026 (e) | 140,000 | 122,199 | |||
4,415,778 | |||||
ELECTRIC — 0.2% | |||||
PG&E Corp.: | |||||
5.00%, 7/1/2028 | 100,000 | 91,796 | |||
5.25%, 7/1/2030 | 200,000 | 179,346 | |||
271,142 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.5% | |||||
Energizer Holdings, Inc.: | |||||
4.38%, 3/31/2029 (e) | 260,000 | 224,070 | |||
4.75%, 6/15/2028 (e) | 340,000 | 303,406 | |||
6.50%, 12/31/2027 (e) | 150,000 | 144,453 | |||
671,929 | |||||
ELECTRONICS — 0.2% | |||||
Sensata Technologies BV 4.00%, 4/15/2029 (e) | 350,000 | 311,539 | |||
ENGINEERING & CONSTRUCTION — 0.5% | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (e) | 184,000 | 175,205 | |||
Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (e) | 121,000 | 101,629 | |||
TopBuild Corp.: | |||||
3.63%, 3/15/2029 (e) | 100,000 | 87,365 | |||
4.13%, 2/15/2032 (e) | 150,000 | 128,587 |
Security Description | Principal Amount | Value | |||
Tutor Perini Corp. 6.88%, 5/1/2025 (e) | $ 100,000 | $ 83,653 | |||
576,439 | |||||
ENTERTAINMENT — 1.3% | |||||
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (e) | 640,000 | 596,531 | |||
Cinemark USA, Inc. 5.25%, 7/15/2028 (e) | 550,000 | 488,746 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (e) | 180,000 | 130,351 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029 (e) | 480,000 | 430,373 | |||
1,646,001 | |||||
ENVIRONMENTAL CONTROL — 0.2% | |||||
GFL Environmental, Inc. 4.00%, 8/1/2028 (e) | 100,000 | 89,661 | |||
Stericycle, Inc. 3.88%, 1/15/2029 (e) | 199,000 | 176,977 | |||
266,638 | |||||
FOOD — 1.1% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC: | |||||
3.50%, 3/15/2029 (e) | 200,000 | 173,942 | |||
4.63%, 1/15/2027 (e) | 130,000 | 123,273 | |||
Lamb Weston Holdings, Inc.: | |||||
4.13%, 1/31/2030 (e) | 540,000 | 482,679 | |||
4.88%, 5/15/2028 (e) | 290,000 | 277,808 | |||
Post Holdings, Inc.: | |||||
4.50%, 9/15/2031 (e) | 100,000 | 85,340 | |||
5.50%, 12/15/2029 (e) | 290,000 | 268,253 | |||
1,411,295 | |||||
GAS — 0.5% | |||||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||||
5.75%, 5/20/2027 | 200,000 | 183,956 | |||
5.88%, 8/20/2026 | 406,000 | 383,146 | |||
567,102 | |||||
HEALTH CARE PRODUCTS — 0.3% | |||||
Hologic, Inc. 3.25%, 2/15/2029 (e) | 438,000 | 383,110 | |||
HEALTH CARE SERVICES — 1.3% | |||||
CHS/Community Health Systems, Inc.: | |||||
5.25%, 5/15/2030 (e) | 70,000 | 55,364 | |||
6.13%, 4/1/2030 (e) | 100,000 | 60,554 | |||
6.88%, 4/15/2029 (e) | 310,000 | 193,573 |
Security Description | Principal Amount | Value | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (e) | $ 240,000 | $ 192,466 | |||
4.63%, 6/1/2030 (e) | 510,000 | 437,932 | |||
Encompass Health Corp.: | |||||
4.63%, 4/1/2031 | 185,000 | 163,897 | |||
4.75%, 2/1/2030 | 350,000 | 318,692 | |||
Tenet Healthcare Corp.: | |||||
6.13%, 10/1/2028 | 100,000 | 96,250 | |||
6.88%, 11/15/2031 | 160,000 | 159,698 | |||
1,678,426 | |||||
HOME BUILDERS — 2.2% | |||||
Beazer Homes USA, Inc.: | |||||
5.88%, 10/15/2027 | 35,000 | 33,018 | |||
7.25%, 10/15/2029 | 270,000 | 263,110 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (e) | 270,000 | 234,193 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (e) | 200,000 | 183,862 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (e) | 110,000 | 103,800 | |||
KB Home 4.00%, 6/15/2031 | 353,000 | 305,038 | |||
LGI Homes, Inc. 4.00%, 7/15/2029 (e) | 150,000 | 125,372 | |||
M/I Homes, Inc.: | |||||
3.95%, 2/15/2030 | 47,000 | 40,461 | |||
4.95%, 2/1/2028 | 200,000 | 186,436 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (e) | 450,000 | 399,996 | |||
Taylor Morrison Communities, Inc.: | |||||
5.13%, 8/1/2030 (e) | 280,000 | 260,145 | |||
5.75%, 1/15/2028 (e) | 225,000 | 218,846 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 470,000 | 454,236 | |||
2,808,513 | |||||
HOME FURNISHINGS — 0.4% | |||||
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (e) | 610,000 | 528,242 | |||
HOUSEHOLD PRODUCTS — 0.1% | |||||
Edgewell Personal Care Co. 4.13%, 4/1/2029 (e) | 200,000 | 174,536 | |||
HOUSEHOLD PRODUCTS & WARES — 0.1% | |||||
Central Garden & Pet Co. 4.13%, 10/15/2030 | 200,000 | 167,760 | |||
INSURANCE — 0.2% | |||||
MGIC Investment Corp. 5.25%, 8/15/2028 | 310,000 | 291,967 | |||
INTERNET — 0.5% | |||||
ANGI Group LLC 3.88%, 8/15/2028 (e) | 240,000 | 196,277 |
Security Description | Principal Amount | Value | |||
Cogent Communications Group, Inc. 7.00%, 6/15/2027 (e) | $ 330,000 | $ 319,311 | |||
Ziff Davis, Inc. 4.63%, 10/15/2030 (e) | 150,000 | 130,157 | |||
645,745 | |||||
IRON/STEEL — 0.7% | |||||
ATI, Inc. 5.13%, 10/1/2031 | 190,000 | 169,632 | |||
Commercial Metals Co. 4.38%, 3/15/2032 | 120,000 | 104,150 | |||
Mineral Resources Ltd.: | |||||
8.00%, 11/1/2027 (e) | 440,000 | 442,772 | |||
8.50%, 5/1/2030 (e) | 100,000 | 101,013 | |||
817,567 | |||||
IT SERVICES — 0.2% | |||||
Seagate HDD Cayman: | |||||
8.25%, 12/15/2029 (e) | 129,000 | 134,788 | |||
8.50%, 7/15/2031 (e) | 100,000 | 104,939 | |||
239,727 | |||||
LEISURE TIME — 1.9% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (e) | 500,000 | 459,960 | |||
6.00%, 5/1/2029 (e) | 100,000 | 89,286 | |||
7.63%, 3/1/2026 (e) | 200,000 | 195,852 | |||
NCL Corp. Ltd.: | |||||
5.88%, 3/15/2026 (e) | 260,000 | 244,052 | |||
7.75%, 2/15/2029 (e) | 580,000 | 552,548 | |||
Royal Caribbean Cruises Ltd.: | |||||
3.70%, 3/15/2028 | 145,000 | 125,945 | |||
5.38%, 7/15/2027 (e) | 170,000 | 159,389 | |||
5.50%, 8/31/2026 (e) | 130,000 | 123,352 | |||
5.50%, 4/1/2028 (e) | 300,000 | 279,975 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (e) | 210,000 | 172,286 | |||
2,402,645 | |||||
LODGING — 0.8% | |||||
Hilton Domestic Operating Co., Inc.: | |||||
3.63%, 2/15/2032 (e) | 200,000 | 166,774 | |||
3.75%, 5/1/2029 (e) | 290,000 | 257,192 | |||
4.00%, 5/1/2031 (e) | 80,000 | 69,470 | |||
Las Vegas Sands Corp. 3.90%, 8/8/2029 | 420,000 | 375,153 | |||
Station Casinos LLC 4.50%, 2/15/2028 (e) | 100,000 | 89,874 | |||
958,463 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.2% | |||||
Manitowoc Co., Inc. 9.00%, 4/1/2026 (e) | 230,000 | 229,554 |
Security Description | Principal Amount | Value | |||
MACHINERY-DIVERSIFIED — 0.1% | |||||
ATS Corp. 4.13%, 12/15/2028 (e) | $ 168,000 | $ 150,990 | |||
MEDIA — 1.7% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.50%, 8/15/2030 (e) | 100,000 | 83,301 | |||
4.75%, 3/1/2030 (e) | 350,000 | 299,481 | |||
4.75%, 2/1/2032 (e) | 200,000 | 162,768 | |||
5.00%, 2/1/2028 (e) | 60,000 | 54,691 | |||
5.13%, 5/1/2027 (e) | 230,000 | 213,893 | |||
CSC Holdings LLC 7.50%, 4/1/2028 (e) | 200,000 | 114,000 | |||
DISH DBS Corp. 7.75%, 7/1/2026 | 230,000 | 141,054 | |||
Gray Television, Inc. 7.00%, 5/15/2027 (e) | 100,000 | 85,307 | |||
News Corp.: | |||||
3.88%, 5/15/2029 (e) | 300,000 | 264,321 | |||
5.13%, 2/15/2032 (e) | 75,000 | 68,671 | |||
Nexstar Media, Inc.: | |||||
4.75%, 11/1/2028 (e) | 200,000 | 173,532 | |||
5.63%, 7/15/2027 (e) | 50,000 | 46,617 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (e) | 256,000 | 245,645 | |||
Urban One, Inc. 7.38%, 2/1/2028 (e) | 150,000 | 131,307 | |||
2,084,588 | |||||
MINING — 0.9% | |||||
Eldorado Gold Corp. 6.25%, 9/1/2029 (e) | 210,000 | 188,433 | |||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.38%, 4/1/2031 (e) | 100,000 | 85,348 | |||
5.88%, 4/15/2030 (e) | 316,000 | 301,154 | |||
6.13%, 4/15/2032 (e) | 275,000 | 261,393 | |||
IAMGOLD Corp. 5.75%, 10/15/2028 (e) | 220,000 | 165,103 | |||
New Gold, Inc. 7.50%, 7/15/2027 (e) | 160,000 | 149,658 | |||
Taseko Mines Ltd. 7.00%, 2/15/2026 (e) | 40,000 | 36,512 | |||
1,187,601 | |||||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
Hillenbrand, Inc. 3.75%, 3/1/2031 | 350,000 | 296,713 | |||
OFFICE & BUSINESS EQUIPMENT — 0.5% | |||||
Pitney Bowes, Inc.: | |||||
6.88%, 3/15/2027 (e) | 140,000 | 103,638 | |||
7.25%, 3/15/2029 (e) | 50,000 | 33,042 |
Security Description | Principal Amount | Value | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (e) | $ 550,000 | $ 467,841 | |||
604,521 | |||||
OIL & GAS — 3.0% | |||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75%, 7/15/2028 (a) (e) | 110,000 | 108,229 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (e) | 528,000 | 490,179 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (e) | 100,000 | 88,774 | |||
MEG Energy Corp. 5.88%, 2/1/2029 (e) | 520,000 | 488,743 | |||
Northern Oil & Gas, Inc.: | |||||
8.13%, 3/1/2028 (e) | 200,000 | 196,018 | |||
8.75%, 6/15/2031 (a) (e) | 94,000 | 92,321 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (e) | 480,000 | 417,029 | |||
4.63%, 5/1/2030 (e) | 353,000 | 306,217 | |||
Sunoco LP/Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 830,000 | 736,708 | |||
4.50%, 4/30/2030 | 60,000 | 52,726 | |||
Transocean, Inc.: | |||||
7.50%, 1/15/2026 (e) | 80,000 | 76,082 | |||
7.50%, 4/15/2031 | 460,000 | 362,494 | |||
8.00%, 2/1/2027 (e) | 400,000 | 362,712 | |||
3,778,232 | |||||
OIL & GAS SERVICES — 0.8% | |||||
Archrock Partners LP/Archrock Partners Finance Corp. 6.25%, 4/1/2028 (e) | 500,000 | 469,730 | |||
Enerflex Ltd. 9.00%, 10/15/2027 (e) | 253,000 | 246,541 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 260,000 | 246,925 | |||
963,196 | |||||
PACKAGING & CONTAINERS — 0.3% | |||||
Cascades, Inc./Cascades USA, Inc. 5.38%, 1/15/2028 (e) | 150,000 | 141,306 | |||
OI European Group BV 4.75%, 2/15/2030 (e) | 310,000 | 280,649 | |||
421,955 | |||||
PHARMACEUTICALS — 0.1% | |||||
Prestige Brands, Inc. 3.75%, 4/1/2031 (e) | 150,000 | 123,591 | |||
PIPELINES — 2.3% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||||
5.38%, 6/15/2029 (e) | 200,000 | 185,724 |
Security Description | Principal Amount | Value | |||
5.75%, 3/1/2027 (e) | $ 200,000 | $ 192,670 | |||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||||
5.63%, 5/1/2027 (e) | 380,000 | 360,019 | |||
6.00%, 2/1/2029 (e) | 115,000 | 107,355 | |||
Delek Logistics Partners LP/Delek Logistics Finance Corp. 7.13%, 6/1/2028 (e) | 170,000 | 158,266 | |||
EnLink Midstream Partners LP 5.05%, 4/1/2045 | 120,000 | 95,776 | |||
EQM Midstream Partners LP 6.50%, 7/15/2048 | 150,000 | 135,771 | |||
Global Partners LP/GLP Finance Corp. 6.88%, 1/15/2029 | 273,000 | 253,893 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (e) | 200,000 | 174,552 | |||
5.13%, 6/15/2028 (e) | 300,000 | 282,240 | |||
5.50%, 10/15/2030 (e) | 400,000 | 372,896 | |||
Holly Energy Partners LP/Holly Energy Finance Corp. 5.00%, 2/1/2028 (e) | 60,000 | 55,959 | |||
NuStar Logistics LP: | |||||
5.63%, 4/28/2027 | 120,000 | 115,351 | |||
6.00%, 6/1/2026 | 80,000 | 78,037 | |||
6.38%, 10/1/2030 | 290,000 | 278,322 | |||
2,846,831 | |||||
REAL ESTATE — 0.8% | |||||
Howard Hughes Corp.: | |||||
4.13%, 2/1/2029 (e) | 505,000 | 418,796 | |||
4.38%, 2/1/2031 (e) | 210,000 | 167,933 | |||
Kennedy-Wilson, Inc.: | |||||
4.75%, 3/1/2029 | 200,000 | 158,060 | |||
4.75%, 2/1/2030 | 200,000 | 151,486 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.75%, 1/15/2029 (e) | 150,000 | 112,608 | |||
1,008,883 | |||||
REAL ESTATE INVESTMENT TRUSTS — 2.3% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (e) | 100,000 | 77,902 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (e) | 100,000 | 89,527 | |||
5.25%, 7/15/2030 (e) | 80,000 | 72,086 | |||
5.63%, 7/15/2032 (e) | 60,000 | 53,771 | |||
7.00%, 2/15/2029 (a) (e) | 144,000 | 144,298 | |||
REIT, 4.50%, 2/15/2031 (e) | 510,000 | 438,207 | |||
MPT Operating Partnership LP/MPT Finance Corp. 4.63%, 8/1/2029 | 200,000 | 151,458 |
Security Description | Principal Amount | Value | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (e) | $ 240,000 | $ 225,065 | |||
Service Properties Trust: | |||||
3.95%, 1/15/2028 | 390,000 | 305,140 | |||
4.75%, 10/1/2026 | 230,000 | 199,656 | |||
4.95%, 2/15/2027 | 270,000 | 230,904 | |||
5.25%, 2/15/2026 | 120,000 | 108,814 | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (e) | 390,000 | 337,131 | |||
4.38%, 1/15/2027 (e) | 560,000 | 482,328 | |||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029 (e) | 50,000 | 35,350 | |||
2,951,637 | |||||
RETAIL — 2.7% | |||||
1011778 BC ULC/New Red Finance, Inc. 4.00%, 10/15/2030 (e) | 630,000 | 542,165 | |||
Asbury Automotive Group, Inc.: | |||||
4.63%, 11/15/2029 (e) | 120,000 | 106,810 | |||
4.75%, 3/1/2030 | 235,000 | 208,710 | |||
5.00%, 2/15/2032 (e) | 290,000 | 253,376 | |||
Bath & Body Works, Inc. 6.75%, 7/1/2036 | 200,000 | 180,234 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (e) | 141,000 | 126,229 | |||
Carrols Restaurant Group, Inc. 5.88%, 7/1/2029 (e) | 140,000 | 115,150 | |||
Carvana Co. 5.50%, 4/15/2027 (e) | 150,000 | 101,968 | |||
FirstCash, Inc. 4.63%, 9/1/2028 (e) | 410,000 | 366,606 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (e) | 150,000 | 131,886 | |||
Murphy Oil USA, Inc. 3.75%, 2/15/2031 (e) | 160,000 | 134,446 | |||
Nordstrom, Inc. 5.00%, 1/15/2044 | 99,000 | 68,812 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (e) | 300,000 | 257,592 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (e) | 240,000 | 201,941 | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (e) | 240,000 | 210,689 | |||
Yum! Brands, Inc.: | |||||
3.63%, 3/15/2031 | 130,000 | 112,550 | |||
4.63%, 1/31/2032 | 102,000 | 92,564 | |||
4.75%, 1/15/2030 (e) | 180,000 | 168,984 | |||
3,380,712 | |||||
SEMICONDUCTORS — 0.2% | |||||
ams-OSRAM AG 7.00%, 7/31/2025 (e) | 300,000 | 264,399 |
Security Description | Principal Amount | Value | |||
SOFTWARE — 1.3% | |||||
Fair Isaac Corp. 4.00%, 6/15/2028 (e) | $ 600,000 | $ 550,770 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (e) | 220,000 | 197,133 | |||
Open Text Corp.: | |||||
3.88%, 2/15/2028 (e) | 560,000 | 493,019 | |||
3.88%, 12/1/2029 (e) | 175,000 | 146,314 | |||
Open Text Holdings, Inc. 4.13%, 2/15/2030 (e) | 230,000 | 195,760 | |||
1,582,996 | |||||
TELECOMMUNICATIONS — 1.0% | |||||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 680,000 | 637,976 | |||
U.S. Cellular Corp. 6.70%, 12/15/2033 | 90,000 | 77,404 | |||
Viasat, Inc. 6.50%, 7/15/2028 (e) | 675,000 | 571,219 | |||
1,286,599 | |||||
TRANSPORTATION — 0.0% (b) | |||||
Danaos Corp. 8.50%, 3/1/2028 (e) | 40,000 | 40,086 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $55,445,828) | 55,569,045 |
Shares | |||
SHORT-TERM INVESTMENT — 5.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (f) (g) (Cost $6,605,513) | 6,605,513 | 6,605,513 | |
TOTAL INVESTMENTS — 102.4% (Cost $128,837,177) | 128,879,046 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)% | (2,991,137) | ||
NET ASSETS — 100.0% | $ 125,887,909 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.5% of net assets as of June 30, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2023. |
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 |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 3,406 | 3,340 | (66) | |||
Athenahealth Group, Inc. | 67,015 | 64,669 | (2,346) | |||
ABG Intermediate Holdings 2 LLC | 65,845 | 65,787 | (58) | |||
$136,266 | $133,796 | $(2,470) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 55,569,045 | $— | $ 55,569,045 | ||||
Asset-Backed Securities | — | 8,516,436 | — | 8,516,436 | ||||
Common Stocks | 205,112 | — | — | 205,112 | ||||
Senior Floating Rate Loans | — | 57,982,940 | — | 57,982,940 | ||||
Short-Term Investment | 6,605,513 | — | — | 6,605,513 | ||||
TOTAL INVESTMENTS | $6,810,625 | $122,068,421 | $— | $128,879,046 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Depreciation | $ — | $ (2,470) | $— | $ (2,470) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (2,470) | $— | $ (2,470) |
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 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $ — | $ 2,327,133 | $ 2,323,843 | $(3,290) | $— | — | $ — | $ 14,073 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,996,829 | 2,996,829 | 90,854,811 | 87,246,127 | — | — | 6,605,513 | 6,605,513 | 215,318 | ||||||||
Total | $2,996,829 | $93,181,944 | $89,569,970 | $(3,290) | $— | $6,605,513 | $229,391 |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 91.0% | |||||
ADVERTISING AGENCIES — 0.1% | |||||
ABG Intermediate Holdings 2 LLC 2023 Term Loan B2, 1 Month USD SOFR + 4.00%, 9.35%, 12/21/2028 (a) | $ 5,355,578 | $ 5,350,892 | |||
AEROSPACE & DEFENSE — 1.6% | |||||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (a) | 182,043 | 180,792 | |||
Senior Secured 2020 Term Loan B1, 1 Month USD SOFR + 3.50%, 8.70%, 4/6/2026 (a) | 339,574 | 337,239 | |||
TransDigm, Inc.: | |||||
Senior Secured 2022 Term Loan H, 3 Month USD SOFR + 3.25%, 8.49%, 2/22/2027 (a) | 5,392,267 | 5,400,410 | |||
Senior Secured 2023 Term Loan I, 3 Month USD SOFR + 3.25%, 8.49%, 8/24/2028 (a) | 68,352,032 | 68,391,676 | |||
74,310,117 | |||||
AIR FREIGHT & LOGISTICS — 0.1% | |||||
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD SOFR + 3.75%, 9.48%, 3/24/2026 (a) | 250,694 | 250,583 | |||
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD SOFR + 4.00%, 9.50%, 7/26/2028 (a) | 2,598,759 | 2,474,785 | |||
2,725,368 | |||||
AUTOMOBILE COMPONENTS — 1.0% | |||||
Clarios Global LP 2023 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.85%, 5/6/2030 (a) | 35,341,635 | 35,302,935 |
Security Description | Principal Amount | Value | |||
USI, Inc. Senior Secured 2022 Incremental Term Loan, 3 Month USD SOFR + 3.75%, 8.99%, 11/22/2029 (a) | $ 10,390,379 | $ 10,389,444 | |||
45,692,379 | |||||
BEVERAGES — 0.9% | |||||
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 0.00%, 5.24%, 3/31/2028 (a) | 42,973,944 | 41,651,206 | |||
BROADLINE RETAIL — 0.8% | |||||
EG America LLC 2023 USD First Lien Incremental Tranche B Term Loan B, 2/28/2028 (a) | 196,882 | 195,652 | |||
EG Group Ltd. Senior Secured 2023 USD First Lien Incremental Tranche C Term Loan B, 2/28/2028 (b) | 295,324 | 283,141 | |||
GYP Holdings III Corp. 2023 Term Loan, 1 Month USD SOFR + 3.00%, 8.10%, 5/12/2030 (a) | 734,041 | 735,303 | |||
Harbor Freight Tools USA, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.75%, 7.97%, 10/19/2027 (a) | 37,400,983 | 36,956,847 | |||
38,170,943 | |||||
BUILDING PRODUCTS — 1.4% | |||||
ACProducts, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.78%, 5/17/2028 (a) | 11,747,438 | 9,911,901 | |||
Chamberlain Group, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 11/3/2028 (a) | 9,974,684 | 9,765,415 | |||
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.25%, 8.50%, 4/12/2028 (a) | 34,756,651 | 33,410,005 |
Security Description | Principal Amount | Value | |||
Oscar AcquisitionCo LLC Senior Secured Term Loan B, 3 Month USD SOFR + 4.50%, 9.84%, 4/29/2029 (a) | $ 10,957,784 | $ 10,724,931 | |||
63,812,252 | |||||
CAPITAL MARKETS — 0.1% | |||||
AqGen Ascensus, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.69%, 8/2/2029 (a) | 7,194,340 | 6,474,906 | |||
AqGen Island Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.69%, 8/2/2028 (a) | 496,245 | 489,114 | |||
6,964,020 | |||||
CASINO SERVICES — 1.0% | |||||
Stars Group Holdings BV: | |||||
Senior Secured 2018 USD Incremental Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/21/2026 (a) | 36,819,290 | 36,860,895 | |||
Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.49%, 7/22/2028 (a) | 7,535,958 | 7,558,642 | |||
44,419,537 | |||||
CHEMICALS — 1.1% | |||||
Axalta Coating Systems U.S. Holdings, Inc. 2022 USD Term Loan B4, 3 Month USD SOFR + 3.00%, 8.22%, 12/20/2029 (a) | 10,664,428 | 10,700,260 | |||
Diamond BV Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 2.75%, 8.06%, 9/29/2028 (a) | 10,398,172 | 10,399,576 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD SOFR + 2.50%, 8.00%, 3/2/2026 (a) | 11,474,942 | 11,482,458 | |||
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 9.19%, 3/16/2027 (a) | 2,777,669 | 2,740,990 |
Security Description | Principal Amount | Value | |||
Starfruit Finco BV: | |||||
2023 Term Loan B, 3 Month USD SOFR + 4.00%, 8.99%, 4/3/2028 (a) | $ 3,362,922 | $ 3,347,503 | |||
Senior Secured 2018 USD Term Loan B, 3 Month USD SOFR + 2.75%, 8.07%, 10/1/2025 (a) | 12,062,962 | 12,076,533 | |||
50,747,320 | |||||
COMMERCIAL SERVICES — 5.4% | |||||
AlixPartners LLP Senior Secured 2021 USD Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 2/4/2028 (a) | 6,809,998 | 6,804,039 | |||
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 5/12/2028 (a) | 47,044,698 | 45,816,361 | |||
APX Group, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.76%, 7/10/2028 (a) | 10,649,512 | 10,655,315 | |||
Avis Budget Car Rental LLC Senior Secured 2022 Term Loan C, 1 Month SOFR + 3.50%, 3/16/2029 (a) | 3,950,000 | 3,963,983 | |||
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 8.75%, 6/2/2028 (a) | 48,153,670 | 43,591,109 | |||
Corp. Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 11/2/2029 (a) | 955,000 | 957,746 | |||
Mavis Tire Express Services Corp. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 5/4/2028 (a) | 4,987,277 | 4,951,444 | |||
Neptune Bidco U.S., Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 5.00%, 10.00%, 4/11/2029 (a) | 50,815,580 | 44,908,269 | |||
PECF USS Intermediate Holding III Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25%, 9.52%, 12/15/2028 (a) | 15,883,585 | 13,090,059 |
Security Description | Principal Amount | Value | |||
Vaco Holdings LLC Senior Secured 2022 Term Loan, 3 Month USD SOFR + 5.00%, 10.59%, 1/21/2029 (a) | $ 3,347,294 | $ 3,060,699 | |||
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 9.22%, 8/27/2025 (a) | 51,890,790 | 51,939,308 | |||
VT Topco, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 8.72%, 8/1/2025 (a) | 1,073,230 | 1,061,489 | |||
Senior Secured 2021 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 8/1/2025 (a) | 8,642,489 | 8,548,283 | |||
Wand NewCo 3, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.75%, 7.94%, 2/5/2026 (a) | 11,968,992 | 11,888,381 | |||
251,236,485 | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.9% | |||||
Aramark Services, Inc. Senior Secured 2023 Term Loan B6, 1 Week USD SOFR + 2.50%, 7.72%, 6/22/2030 (a) | 509,395 | 510,032 | |||
Asurion LLC: | |||||
Senior Secured 2020 Term Loan B8, 1 Month USD LIBOR + 3.25%, 8.44%, 12/23/2026 (a) | 43,146,821 | 41,647,470 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD SOFR + 5.25%, 10.45%, 1/20/2029 (a) | 12,724,070 | 10,706,414 | |||
Belron Finance U.S. LLC 2023 Term Loan, 3 Month USD SOFR + 2.75%, 7.83%, 4/18/2029 (a) | 7,614,629 | 7,628,944 | |||
Covanta Holding Corp.: | |||||
2023 Term Loan B, 3 Month USD SOFR + 3.00%, 8.15%, 11/30/2028 (a) | 2,906,977 | 2,899,259 | |||
2023 Term Loan C, 8.15%, 11/30/2028 (a) | 218,023 | 217,444 | |||
Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 7.60%, 11/30/2028 (a) | 920,054 | 913,416 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan C, 1 Month USD SOFR + 2.50%, 7.60%, 11/30/2028 (a) | $ 69,849 | $ 69,345 | |||
Garda World Security Corp. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 6.25%, 9.43%, 10/30/2026 (a) | 1,000,000 | 996,250 | |||
GFL Environmental, Inc. Senior Secured 2023 Term Loan, 1 Month USD SOFR + 3.00%, 8.15%, 5/28/2027 (a) | 2,499,173 | 2,504,147 | |||
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 9.95%, 7/28/2028 (a) | 9,143,675 | 8,595,054 | |||
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 7.94%, 9/23/2026 (a) | 48,621,144 | 48,668,064 | |||
Thevelia U.S. LLC USD Term Loan B, 6/18/2029 (b) | 10,217,949 | 10,205,176 | |||
135,561,015 | |||||
COMMUNICATIONS EQUIPMENT — 0.7% | |||||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 4/6/2026 (a) | 15,064,120 | 14,463,438 | |||
Zayo Group Holdings, Inc. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.00%, 8.22%, 3/9/2027 (a) | 25,693,232 | 20,259,113 | |||
34,722,551 | |||||
COMPUTERS — 0.3% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 10.03%, 7/27/2028 (a) | 16,351,681 | 12,365,959 | |||
CONSTRUCTION & ENGINEERING — 0.5% | |||||
Brown Group Holding LLC Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.70%, 6/7/2028 (a) | 11,986,456 | 11,820,384 |
Security Description | Principal Amount | Value | |||
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 3/31/2028 (a) | $ 493,697 | $ 485,674 | |||
KKR Apple Bidco LLC: | |||||
2022 Incremental Term Loan, 1 Month USD SOFR + 4.00%, 9.10%, 9/22/2028 (a) | 8,119,135 | 8,088,688 | |||
Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.75%, 7.97%, 9/23/2028 (a) | 4,594,039 | 4,562,041 | |||
24,956,787 | |||||
CONSTRUCTION MATERIALS — 0.2% | |||||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.84%, 2/1/2027 (a) | 10,359,483 | 10,352,490 | |||
CONTAINERS & PACKAGING — 1.2% | |||||
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.97%, 7/1/2026 (a) | 20,852,318 | 20,852,526 | |||
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 9.38%, 4/13/2029 (a) | 37,028,910 | 36,508,839 | |||
57,361,365 | |||||
COSMETICS & TOILETRIES — 0.7% | |||||
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD SOFR + 3.75%, 9.09%, 10/1/2026 (a) | 35,081,148 | 34,949,769 | |||
DISTRIBUTION/WHOLESALE — 0.3% | |||||
Windsor Holdings III LLC USD Term Loan B, 6/21/2030 (a) | 12,454,104 | 12,250,169 |
Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.4% | |||||
American Builders & Contractors Supply Co., Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.00%, 7.08%, 1/15/2027 (a) | $ 9,194,673 | $ 9,178,169 | |||
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 6.25%, 11.49%, 10/20/2028 (a) | 11,845,774 | 10,334,075 | |||
19,512,244 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Bright Horizons Family Solutions LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.33%, 11/24/2028 (a) | 4,173,237 | 4,167,165 | |||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.9% | |||||
Altice France SA Senior Secured 2023 USD Term Loan B14, 3 Month USD SOFR + 5.50%, 10.49%, 8/15/2028 (a) | 48,674,229 | 43,482,392 | |||
CCI Buyer, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 4.00%, 9.24%, 12/17/2027 (a) | 572,203 | 562,547 | |||
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 2.25%, 7.47%, 3/15/2027 (a) | 46,645,217 | 36,120,890 | |||
Ciena Corp.: | |||||
2023 Term Loan B, 1 Month USD SOFR + 2.50%, 7.59%, 1/18/2030 (a) | 2,000,000 | 2,004,380 | |||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.84%, 9/26/2025 (a) | 4,333,745 | 4,341,871 | |||
86,512,080 | |||||
ELECTRICAL EQUIPMENT — 0.2% | |||||
Energizer Holdings, Inc. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 2.25%, 7.44%, 12/22/2027 (a) | 4,621,552 | 4,604,245 |
Security Description | Principal Amount | Value | |||
Gates Global LLC Senior Secured 2021 Term Loan B3, 1 Month USD SOFR + 2.50%, 7.70%, 3/31/2027 (a) | $ 5,566,910 | $ 5,546,034 | |||
10,150,279 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.7% | |||||
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.75%, 7.97%, 7/2/2029 (a) | 33,895,299 | 33,884,791 | |||
ENTERTAINMENT — 2.6% | |||||
AP Gaming I LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 9.39%, 2/15/2029 (a) | 2,350,701 | 2,331,601 | |||
Crown Finance U.S., Inc.: | |||||
Senior Secured 2018 USD Term Loan, 2/28/2025 (a) | 49,204,796 | 15,200,837 | |||
Senior Secured 2019 Incremental Term Loan, 3 Month USD LIBOR + 2.75%, 8.29%, 9/30/2026 (a) | 6,043,316 | 1,866,962 | |||
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 9.10%, 1/27/2029 (a) | 41,849,001 | 41,382,594 | |||
Formula One Holdings Ltd. Term Loan B, 1 Month USD SOFR + 3.00%, 8.10%, 1/15/2030 (a) | 8,213,403 | 8,224,697 | |||
GVC Holdings Ltd.: | |||||
2022 USD Term Loan B2, 6 Month USD SOFR + 3.50%, 8.44%, 10/31/2029 (a) | 7,875,956 | 7,873,987 | |||
Senior Secured 2021 USD Term Loan B4, 3 Month USD SOFR + 2.50%, 7.44%, 3/29/2027 (a) | 2,578,579 | 2,575,356 | |||
NASCAR Holdings LLC Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 10/19/2026 (a) | 2,341,135 | 2,347,175 |
Security Description | Principal Amount | Value | |||
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 8.05%, 4/29/2026 (a) | $ 37,599,177 | $ 37,601,621 | |||
119,404,830 | |||||
FINANCIAL SERVICES — 3.5% | |||||
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75%, 9.07%, 7/27/2028 (a) | 496,212 | 490,630 | |||
Camelot U.S. Acquisition LLC Senior Secured 2020 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 8.22%, 10/30/2026 (a) | 2,085,022 | 2,084,594 | |||
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 7.72%, 2/2/2028 (a) | 46,396,716 | 46,389,525 | |||
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 10.22%, 8/2/2027 (a) | 36,847,702 | 36,105,589 | |||
Edelman Financial Center LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.94%, 4/7/2028 (a) | 6,828,043 | 6,669,734 | |||
Focus Financial Partners LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 8.35%, 6/30/2028 (a) | 22,264,888 | 22,131,856 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 3.25%, 8.47%, 2/15/2027 (a) | 3,729,848 | 3,661,909 | |||
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.95%, 11/16/2026 (a) | 14,282,215 | 14,263,362 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.95%, 5/18/2025 (a) | 32,140,886 | 32,118,388 | |||
163,915,587 |
Security Description | Principal Amount | Value | |||
FOOD PRODUCTS — 0.3% | |||||
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 3 Month USD SOFR + 2.25%, 7.45%, 1/29/2027 (a) | $ 14,283,370 | $ 14,228,022 | |||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 9.19%, 5/12/2028 (a) | 575,734 | 561,033 | |||
GAMING & ENTERTAINMENT — 0.0% (c) | |||||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 7.72%, 5/29/2026 (a) | 1,000,000 | 1,001,965 | |||
GROUND TRANSPORTATION — 0.7% | |||||
Avis Budget Car Rental LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 8/6/2027 (a) | 2,992,248 | 2,962,565 | |||
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 2.00%, 7.34%, 12/30/2026 (a) | 24,932,367 | 24,938,850 | |||
XPO Logistics, Inc. 2023 Term Loan B, 5/24/2028 (a) | 3,334,446 | 3,350,234 | |||
31,251,649 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.0% | |||||
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 8.59%, 5/10/2027 (a) | 35,716,548 | 34,734,342 | |||
Carestream Health, Inc. Senior Secured 2022 Term Loan, 3 Month USD SOFR + 7.50%, 12.84%, 9/30/2027 (a) | 4,713,866 | 3,450,550 | |||
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 10/1/2027 (a) | 55,084,813 | 54,327,397 | |||
92,512,289 |
Security Description | Principal Amount | Value | |||
HEALTH CARE PROVIDERS & SERVICES — 5.2% | |||||
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD SOFR + 2.25%, 7.45%, 11/8/2027 (a) | $ 4,820,921 | $ 4,824,946 | |||
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 1.75%, 6.99%, 8/12/2026 (a) | 33,601,846 | 33,168,382 | |||
Envision Healthcare Corp.: | |||||
Senior Secured 2022 First Out Term Loan, 3 Month USD SOFR + 7.875%, 13.11%, 3/31/2027 (a),(d) | 16,938,100 | 18,653,083 | |||
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 9.49%, 3/31/2027 (a),(d) | 7,618,580 | 1,721,342 | |||
GHX Ultimate Parent Corp. 2023 Term Loan, 3 Month USD SOFR + 4.75%, 9.79%, 6/30/2027 (a) | 5,422,907 | 5,438,173 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.95%, 3/15/2028 (a) | 19,719,776 | 19,686,351 | |||
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (a) | 31,304,872 | 31,344,003 | |||
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD SOFR + 3.25%, 8.35%, 10/23/2028 (a) | 79,469,527 | 78,649,799 | |||
National Mentor Holdings, Inc.: | |||||
Senior Secured 2021 Term Loan, 3 Month USD SOFR + 3.75%, 8.95%, 3/2/2028 (a) | 11,097,268 | 8,444,355 | |||
Senior Secured 2021 Term Loan C, 3 Month USD SOFR + 3.75%, 9.09%, 3/2/2028 (a) | 418,466 | 318,427 | |||
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD SOFR + 2.25%, 7.75%, 7/3/2028 (a) | 7,877,219 | 7,887,065 |
Security Description | Principal Amount | Value | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.02%, 11/16/2025 (a) | $ 27,900,511 | $ 25,908,833 | |||
Sotera Health Holdings LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 8.02%, 12/11/2026 (a) | 9,099,451 | 8,984,298 | |||
245,029,057 | |||||
HOME FURNISHINGS — 0.9% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 8.80%, 7/31/2028 (a) | 41,995,902 | 41,281,971 | |||
HOTELS, RESTAURANTS & LEISURE — 4.5% | |||||
1011778 BC Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.94%, 11/19/2026 (a) | 61,580,756 | 61,246,988 | |||
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 8.69%, 8/17/2028 (a) | 4,739,002 | 4,737,533 | |||
Caesars Entertainment Corp. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 8.45%, 2/6/2030 (a) | 26,296,191 | 26,330,508 | |||
PENN Entertainment, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.95%, 5/3/2029 (a) | 6,295,542 | 6,283,077 | |||
Peraton Corp. Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.95%, 2/1/2028 (a) | 81,329,591 | 80,066,135 | |||
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 8.25%, 4/14/2029 (a) | 20,316,294 | 20,321,069 |
Security Description | Principal Amount | Value | |||
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B, 1 Month USD SOFR + 2.25%, 7.45%, 5/24/2030 (a) | $ 9,502,552 | $ 9,518,659 | |||
208,503,969 | |||||
HOUSEHOLD PRODUCTS — 0.1% | |||||
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD SOFR + 1.75%, 6.83%, 2/4/2027 (a) | 6,134,190 | 6,134,896 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.9% | |||||
Calpine Corp.: | |||||
Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 7.19%, 8/12/2026 (a) | 3,661,885 | 3,662,948 | |||
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 7.70%, 12/16/2027 (a) | 19,948,849 | 19,959,721 | |||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.90%, 12/31/2025 (a) | 17,118,578 | 17,097,179 | |||
40,719,848 | |||||
INDUSTRIAL CONGLOMERATES — 0.2% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 13.53%, 7/27/2029 (a) | 13,082,319 | 8,634,331 | |||
INSURANCE — 5.2% | |||||
Acrisure LLC: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.69%, 2/15/2027 (a) | 36,713,127 | 35,733,070 | |||
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 9.43%, 2/15/2027 (a) | 1,381,695 | 1,356,942 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.93%, 2/15/2027 (a) | $ 989,924 | $ 967,651 | |||
Alliant Holdings Intermediate LLC: | |||||
Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 8.65%, 11/6/2027 (a) | 6,381,451 | 6,351,809 | |||
Senior Secured 2023 Term Loan B5, 1 Month USD SOFR + 3.50%, 8.65%, 11/5/2027 (a) | 1,956,636 | 1,947,127 | |||
AmWINS Group, Inc.: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.44%, 2/19/2028 (a) | 31,314,148 | 31,079,448 | |||
Senior Secured 2023 Incremental Term Loan B, 1 Month USD SOFR + 2.75%, 7.83%, 2/19/2028 (a) | 155,162 | 154,984 | |||
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD SOFR + 3.50%, 8.72%, 2/12/2027 (a) | 3,463,428 | 3,441,418 | |||
Broadstreet Partners, Inc.: | |||||
2023 Term Loan B3, 1 Month USD SOFR + 4.00%, 9.16%, 1/27/2029 (a) | 14,435,484 | 14,381,351 | |||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.94%, 1/27/2027 (a) | 3,982,038 | 3,938,693 | |||
HUB International Ltd.: | |||||
2023 Term Loan B, 6/20/2030 (b) | 51,890,476 | 52,067,163 | |||
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 11/10/2029 (a) | 4,270,208 | 4,273,283 | |||
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.44%, 11/12/2027 (a) | 36,702,363 | 36,564,730 | |||
Ryan Specialty Group LLC Senior Secured Term Loan, 1 Month USD SOFR + 3.00%, 8.20%, 9/1/2027 (a) | 3,540,321 | 3,544,198 |
Security Description | Principal Amount | Value | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.85%, 2/17/2028 (a) | $ 46,171,776 | $ 45,966,311 | |||
241,768,178 | |||||
INTERNET & TELECOM — 0.8% | |||||
Go Daddy Operating Co. LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 8.08%, 11/9/2029 (a) | 8,686,960 | 8,713,716 | |||
Uber Technologies, Inc. Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 3/3/2030 (a) | 29,889,584 | 29,925,152 | |||
38,638,868 | |||||
INTERNET SECURITY — 0.1% | |||||
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25%, 11.47%, 8/31/2029 (a) | 3,678,427 | 3,577,270 | |||
INVESTMENT COMPANIES — 0.4% | |||||
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.50%, 8.55%, 5/17/2029 (a) | 2,981,370 | 2,967,701 | |||
Energize HoldCo LLC Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.94%, 12/8/2028 (a) | 6,510,416 | 6,420,898 | |||
LSF11 Trinity Bidco, Inc. Term Loan, 4/26/2030 (b) | 9,869,506 | 9,857,169 | |||
19,245,768 | |||||
IT SERVICES — 0.0% (c) | |||||
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 10/18/2027 (a) | 175,742 | 164,633 | |||
LEISURE&REC/GAMES — 0.1% | |||||
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 8.42%, 4/4/2029 (a) | 6,045,707 | 5,981,471 |
Security Description | Principal Amount | Value | |||
LIFE SCIENCES TOOLS & SERVICES — 0.8% | |||||
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 8.44%, 11/15/2028 (a) | $ 37,446,499 | $ 37,203,097 | |||
MACHINERY — 1.2% | |||||
Chart Industries, Inc. 2023 Term Loan B, 1 Month USD SOFR + 3.75%, 8.94%, 3/15/2030 (a) | 8,775,234 | 8,778,876 | |||
Clark Equipment Co. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.50%, 7.84%, 4/20/2029 (a) | 2,375,387 | 2,379,473 | |||
Engineered Machinery Holdings, Inc. Senior Secured 2021 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 9.04%, 5/19/2028 (a) | 8,996,190 | 8,838,756 | |||
Madison IAQ LLC Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 8.30%, 6/21/2028 (a) | 36,176,660 | 35,480,259 | |||
55,477,364 | |||||
MACHINERY-CONSTRUCTION & MINING — 1.3% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.94%, 8/1/2025 (a) | 61,399,509 | 61,348,241 | |||
MEDIA — 4.7% | |||||
Charter Communications Operating LLC: | |||||
Senior Secured 2019 Term Loan B1, 3 Month USD SOFR + 1.75%, 6.80%, 4/30/2025 (a) | 1,016,768 | 1,017,404 | |||
Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.83%, 2/1/2027 (a) | 17,199,106 | 17,116,637 | |||
CSC Holdings LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 7.69%, 4/15/2027 (a) | 21,011,221 | 18,416,650 |
Security Description | Principal Amount | Value | |||
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 7.19%, 8/10/2027 (a) | $ 5,178 | $ 5,178 | |||
MH Sub I LLC: | |||||
2023 Term Loan, 1 Month USD SOFR + 4.25%, 9.35%, 5/3/2028 (a) | 42,575,138 | 40,904,064 | |||
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.85%, 9/13/2024 (a) | 859,842 | 860,916 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD SOFR + 6.25%, 11.35%, 2/23/2029 (a) | 8,294,933 | 7,259,393 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD SOFR + 2.50%, 7.72%, 9/18/2026 (a) | 9,593,549 | 9,595,228 | |||
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.48%, 9/25/2026 (a) | 39,627,554 | 33,173,217 | |||
UPC Financing Partnership Senior Secured 2021 USD Term Loan AX, 1 Month USD LIBOR + 2.93%, 8.12%, 1/31/2029 (a) | 1,000,000 | 981,980 | |||
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 8.60%, 7/30/2027 (a) | 47,778,558 | 47,468,236 | |||
Virgin Media Bristol LLC: | |||||
2020 USD Term Loan Q, 8.44%, 1/31/2029 (a) | 14,000,000 | 13,959,960 | |||
Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 7.69%, 1/31/2028 (a) | 27,951,876 | 27,754,535 | |||
218,513,398 | |||||
MISCELLANEOUS MANUFACTUR — 0.0% (c) | |||||
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.97%, 9/6/2026 (a) | 1,026,869 | 880,114 |
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (c) | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 7.29%, 6/11/2025 (a) | $ 1,000,000 | $ 1,000,940 | |||
OIL, GAS & CONSUMABLE FUELS — 1.1% | |||||
ITT Holdings LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.97%, 7/10/2028 (a) | 5,746,743 | 5,710,826 | |||
Pacific Gas & Electric Co. 2020 Term Loan B1, 1 Month USD LIBOR + 3.00%, 8.22%, 6/23/2025 (a) | 46,726,252 | 46,776,249 | |||
52,487,075 | |||||
PASSENGER AIRLINES — 4.9% | |||||
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.84%, 8/11/2028 (a) | 16,086,688 | 16,108,244 | |||
American Airlines, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 10.00%, 4/20/2028 (a) | 63,702,237 | 65,157,161 | |||
Kestrel Bidco, Inc. Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.51%, 12/11/2026 (a) | 15,290 | 14,871 | |||
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.76%, 6/21/2027 (a) | 45,250,070 | 47,088,353 | |||
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 8.80%, 10/20/2027 (a) | 38,268,575 | 39,799,318 | |||
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 4/21/2028 (a) | 58,388,508 | 58,453,612 | |||
226,621,559 |
Security Description | Principal Amount | Value | |||
PHARMACEUTICALS — 2.3% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD SOFR + 3.50%, 8.58%, 5/4/2025 (a) | $ 7,590,714 | $ 7,362,993 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 1.75%, 7.01%, 8/1/2027 (a) | 34,019,678 | 33,445,596 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 3 Month USD SOFR + 2.00%, 7.41%, 11/15/2027 (a) | 6,800,627 | 6,702,868 | |||
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 8.86%, 5/5/2028 (a) | 47,813,804 | 47,800,894 | |||
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 8.25%, 6/2/2028 (a) | 14,393,004 | 14,408,764 | |||
109,721,115 | |||||
PIPELINES — 2.2% | |||||
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 7.45%, 11/1/2026 (a) | 5,940,622 | 5,907,830 | |||
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 9.29%, 6/5/2028 (a) | 44,805,528 | 44,779,989 | |||
Freeport LNG Investments LLLP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 8.75%, 12/21/2028 (a) | 21,795,529 | 21,394,055 | |||
Oryx Midstream Services Permian Basin LLC Senior Secured 2023 Incremental Term Loan, 1 Month USD SOFR + 3.25%, 8.54%, 10/5/2028 (a) | 10,435,788 | 10,433,231 |
Security Description | Principal Amount | Value | |||
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 8.65%, 11/17/2028 (a) | $ 10,270,120 | $ 10,133,527 | |||
Whitewater Whistler Holdings LLC Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 3.25%, 8.49%, 2/15/2030 (a) | 11,074,651 | 11,081,573 | |||
103,730,205 | |||||
PROFESSIONAL SERVICES — 0.6% | |||||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD SOFR + 3.25%, 8.43%, 2/6/2026 (a) | 25,991,066 | 26,046,655 | |||
Proofpoint, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 8.44%, 8/31/2028 (a) | 907,133 | 889,367 | |||
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.47%, 12/1/2028 (a) | 2,419,251 | 2,416,348 | |||
29,352,370 | |||||
RETAIL-BUILDING PRODUCTS — 1.2% | |||||
Kodiak Building Partners, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 8.49%, 3/12/2028 (a) | 6,248,730 | 6,108,134 | |||
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 8.95%, 12/17/2027 (a) | 52,808,082 | 50,855,239 | |||
56,963,373 | |||||
RETAIL-RESTAURANTS — 1.7% | |||||
Hilton Domestic Operating Co., Inc. Senior Secured 2019 Term Loan B2, 1 Month USD SOFR + 1.75%, 6.94%, 6/22/2026 (a) | 24,539,449 | 24,548,161 |
Security Description | Principal Amount | Value | |||
IRB Holding Corp. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 8.20%, 12/15/2027 (a) | $ 54,226,578 | $ 53,921,553 | |||
78,469,714 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.2% | |||||
Entegris, Inc. Senior Secured 2023 Term Loan B, 3 Month USD SOFR + 2.75%, 7.99%, 7/6/2029 (a) | 11,306,859 | 11,315,435 | |||
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.94%, 8/17/2029 (a) | 43,068,553 | 43,176,224 | |||
54,491,659 | |||||
SOFTWARE — 14.4% | |||||
Applied Systems, Inc. Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 9/18/2026 (a) | 2,073,872 | 2,079,223 | |||
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 9.52%, 5/8/2028 (a) | 4,170,435 | 4,096,576 | |||
Athenahealth Group, Inc.: | |||||
Senior Secured 2022 Delayed Draw Term Loan, 2/15/2029 (b) | 1,634,221 | 1,577,024 | |||
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 8.59%, 2/15/2029 (a) | 81,986,236 | 79,116,718 | |||
Banff Merger Sub, Inc.: | |||||
Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD SOFR + 5.50%, 10.72%, 2/27/2026 (a) | 15,197,744 | 14,855,795 | |||
Senior Secured 2021 USD Term Loan, 1 Month USD SOFR + 3.75%, 8.97%, 10/2/2025 (a) | 32,089,404 | 31,871,837 | |||
Camelot U.S. Acquisition LLC Senior Secured Term Loan B, 1 Month USD SOFR + 3.00%, 8.22%, 10/30/2026 (a) | 8,345,322 | 8,343,236 |
Security Description | Principal Amount | Value | |||
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.49%, 7/6/2029 (a) | $ 54,553,873 | $ 54,464,950 | |||
Cloud Software Group, Inc. Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.50%, 9.74%, 3/30/2029 (a) | 68,199,046 | 63,950,927 | |||
Cloudera, Inc. Senior Secured 2021 Second Lien Term Loan, 1 Month USD LIBOR + 6.00%, 11.08%, 10/8/2029 (a) | 5,883,443 | 5,353,933 | |||
ConnectWise LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.69%, 9/29/2028 (a) | 4,003,101 | 3,908,047 | |||
DCert Buyer, Inc.: | |||||
2021 2nd Lien Term Loan, 3 Month USD SOFR + 7.00%, 12.26%, 2/19/2029 (a) | 7,467,875 | 6,882,917 | |||
Senior Secured 2019 Term Loan B, 3 Month USD SOFR + 4.00%, 9.26%, 10/16/2026 (a) | 10,900,719 | 10,824,087 | |||
ECI Macola Max Holding LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 9.27%, 11/9/2027 (a) | 407,113 | 403,426 | |||
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD SOFR + 3.25%, 8.33%, 7/30/2027 (a) | 7,764,963 | 7,679,082 | |||
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 9.15%, 11/19/2026 (a) | 7,280,993 | 6,662,108 | |||
Idera, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.75%, 9.01%, 3/2/2028 (a) | 514,269 | 501,947 | |||
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 9.24%, 2/16/2028 (a) | 763,435 | 755,732 |
Security Description | Principal Amount | Value | |||
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 8.00%, 10/27/2028 (a) | $ 8,171,793 | $ 8,174,326 | |||
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 9.01%, 3/1/2029 (a) | 68,782,078 | 65,982,991 | |||
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 8.73%, 11/10/2028 (a) | 7,047,015 | 6,967,736 | |||
Mitchell International, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.94%, 10/15/2028 (a) | 30,257,894 | 29,643,356 | |||
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD SOFR + 4.00%, 9.22%, 10/22/2026 (a) | 10,747,487 | 10,734,053 | |||
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 9/12/2029 (a) | 43,962,357 | 43,797,718 | |||
Open Text Corp. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 8.58%, 1/31/2030 (a) | 19,669,142 | 19,779,781 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 3.25%, 8.47%, 3/10/2028 (a) | 3,719,194 | 3,641,817 | |||
Quartz Acquireco LLC Term Loan B, 6/28/2030 (a) | 6,766,304 | 6,774,762 | |||
Quest Software U.S. Holdings, Inc. Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.25%, 9.45%, 2/1/2029 (a) | 33,545,991 | 26,207,806 | |||
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 8.19%, 4/24/2028 (a) | 51,691,031 | 50,637,826 | |||
Rocket Software, Inc.: | |||||
2018 Term Loan, 1 Month USD LIBOR + 4.25%, 9.47%, 11/28/2025 (a) | 662,551 | 656,943 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 4.25%, 9.44%, 11/28/2025 (a) | $ 660,647 | $ 655,692 | |||
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.85%, 2/5/2027 (a) | 8,554,043 | 8,566,361 | |||
Sophia LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 9.04%, 10/7/2027 (a) | 493,712 | 489,187 | |||
SS&C Technologies, Inc.: | |||||
Senior Secured 2022 Term Loan B6, 1 Month USD SOFR + 2.25%, 7.45%, 3/22/2029 (a) | 1,018,590 | 1,016,894 | |||
Senior Secured 2022 Term Loan B7, 1 Month USD SOFR + 2.25%, 7.45%, 3/22/2029 (a) | 1,602,687 | 1,600,018 | |||
Surf Holdings LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.70%, 3/5/2027 (a) | 6,467,305 | 6,425,850 | |||
Ultimate Software Group, Inc. Senior Secured 2021 Term Loan, 3 Month USD SOFR + 3.25%, 8.27%, 5/4/2026 (a) | 61,864,984 | 60,808,021 | |||
Vision Solutions, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 12.51%, 4/23/2029 (a) | 1,233,333 | 1,070,071 | |||
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.25%, 9.51%, 4/24/2028 (a) | 16,200,691 | 15,432,859 | |||
672,391,633 | |||||
SPECIALTY RETAIL — 1.8% | |||||
Petco Health & Wellness Co., Inc. Senior Secured 2021 Term Loan B, 3 Month USD SOFR + 3.25%, 8.75%, 3/3/2028 (a) | 3,985,646 | 3,962,987 | |||
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 3.75%, 8.83%, 2/11/2028 (a) | 26,652,317 | 26,646,853 |
Security Description | Principal Amount | Value | |||
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 7.20%, 8/4/2028 (a) | $ 39,258,092 | $ 39,251,026 | |||
SRS Distribution, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 8.69%, 6/2/2028 (a) | 6,363,325 | 6,196,765 | |||
Whatabrands LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 8.47%, 8/3/2028 (a) | 6,687,266 | 6,656,438 | |||
82,714,069 | |||||
STEEL-PRODUCERS — 0.1% | |||||
Phoenix Services International LLC Term Load, 11.00%, 3/1/2025 | 2,377,813 | 2,377,813 | |||
TELECOM SERVICES — 0.0% (c) | |||||
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.95%, 4/11/2025 (a) | 997,376 | 998,283 | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 6 Month USD SOFR + 3.75%, 9.07%, 12/1/2027 (a) | 5,072,977 | 4,920,788 | |||
TRANSPORT-SERVICES — 0.3% | |||||
Endure Digital, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.79%, 2/10/2028 (a) | 15,181,858 | 14,176,060 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $4,282,982,015) | 4,248,221,688 |
Shares | |||
COMMON STOCKS — 0.1% | |||
AEROSPACE & DEFENSE — 0.0% | |||
Flame NewCo. LLC | 230,071 | 2,376,633 |
Security Description | Shares | Value | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
Carestream Health, Inc. (e),(f) | 396,286 | $ 2,476,788 | |||
TOTAL COMMON STOCKS (Cost $9,882,290) | 4,853,421 |
Principal Amount | |||
CORPORATE BONDS & NOTES — 3.8% | |||
AEROSPACE & DEFENSE — 0.2% | |||
Bombardier, Inc.: | |||
6.00%, 2/15/2028 (g) | $ 3,280,000 | 3,100,256 | |
7.50%, 2/1/2029 (g) | 343,000 | 339,035 | |
Howmet Aerospace, Inc. 3.00%, 1/15/2029 | 800,000 | 700,792 | |
TransDigm, Inc.: | |||
4.63%, 1/15/2029 | 1,545,000 | 1,373,984 | |
4.88%, 5/1/2029 | 2,400,000 | 2,150,016 | |
7,664,083 | |||
AIRLINES — 0.0% (c) | |||
Allegiant Travel Co. 7.25%, 8/15/2027 (g) | 800,000 | 797,128 | |
APPAREL — 0.0% (c) | |||
Crocs, Inc. 4.25%, 3/15/2029 (g) | 610,000 | 520,306 | |
AUTO MANUFACTURERS — 0.2% | |||
Allison Transmission, Inc.: | |||
3.75%, 1/30/2031 (g) | 800,000 | 678,816 | |
5.88%, 6/1/2029 (g) | 3,000,000 | 2,927,730 | |
Ford Motor Co. 4.75%, 1/15/2043 | 100,000 | 76,773 | |
Ford Motor Credit Co. LLC: | |||
2.30%, 2/10/2025 | 3,260,000 | 3,044,775 | |
2.70%, 8/10/2026 | 526,000 | 469,623 | |
Wabash National Corp. 4.50%, 10/15/2028 (g) | 900,000 | 780,543 | |
7,978,260 | |||
BANKS — 0.0% (c) | |||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (g) | 1,839,000 | 1,749,146 | |
BEVERAGES — 0.0% (c) | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (g) | 300,000 | 256,887 | |
CHEMICALS — 0.1% | |||
Ashland, Inc. 3.38%, 9/1/2031 (g) | 600,000 | 479,406 | |
Chemours Co. 5.75%, 11/15/2028 (g) | 2,050,000 | 1,883,725 |
Security Description | Principal Amount | Value | |||
Valvoline, Inc. 3.63%, 6/15/2031 (g) | $ 1,500,000 | $ 1,219,725 | |||
3,582,856 | |||||
COAL — 0.0% (c) | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (g) | 1,110,000 | 936,418 | |||
COMMERCIAL SERVICES — 0.1% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (g) | 425,000 | 386,104 | |||
Gartner, Inc. 3.63%, 6/15/2029 (g) | 2,340,000 | 2,063,529 | |||
MPH Acquisition Holdings LLC 5.50%, 9/1/2028 (g) | 1,500,000 | 1,278,435 | |||
Service Corp. International 4.00%, 5/15/2031 | 410,000 | 350,788 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (g) | 1,120,000 | 975,912 | |||
WW International, Inc. 4.50%, 4/15/2029 (g) | 150,000 | 89,992 | |||
ZipRecruiter, Inc. 5.00%, 1/15/2030 (g) | 772,000 | 660,137 | |||
5,804,897 | |||||
COMPUTERS — 0.0% (c) | |||||
KBR, Inc. 4.75%, 9/30/2028 (g) | 560,000 | 513,173 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (g) | 310,000 | 290,758 | |||
Seagate HDD Cayman 4.13%, 1/15/2031 | 550,000 | 451,325 | |||
Unisys Corp. 6.88%, 11/1/2027 (g) | 500,000 | 359,860 | |||
1,615,116 | |||||
CONSTRUCTION MATERIALS — 0.1% | |||||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (g) | 1,100,000 | 957,429 | |||
6.38%, 6/15/2032 (g) | 435,000 | 432,073 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (g) | 2,205,000 | 1,952,814 | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (g) | 700,000 | 612,661 | |||
3,954,977 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
Burford Capital Global Finance LLC: | |||||
6.25%, 4/15/2028 (g) | 260,000 | 240,708 | |||
6.88%, 4/15/2030 (g) | 500,000 | 457,400 | |||
Enova International, Inc. 8.50%, 9/15/2025 (g) | 530,000 | 515,817 |
Security Description | Principal Amount | Value | |||
goeasy Ltd. 4.38%, 5/1/2026 (g) | $ 200,000 | $ 182,412 | |||
Nationstar Mortgage Holdings, Inc.: | |||||
5.50%, 8/15/2028 (g) | 1,970,000 | 1,726,902 | |||
5.75%, 11/15/2031 (g) | 700,000 | 574,861 | |||
6.00%, 1/15/2027 (g) | 355,000 | 330,299 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 3,250,000 | 2,784,535 | |||
9.38%, 7/25/2030 | 217,000 | 215,822 | |||
Series A, 5.63%, 8/1/2033 | 760,000 | 571,307 | |||
OneMain Finance Corp.: | |||||
3.50%, 1/15/2027 | 1,564,000 | 1,344,915 | |||
6.63%, 1/15/2028 | 300,000 | 282,945 | |||
7.13%, 3/15/2026 | 1,697,000 | 1,670,510 | |||
PennyMac Financial Services, Inc.: | |||||
5.38%, 10/15/2025 (g) | 1,380,000 | 1,308,364 | |||
5.75%, 9/15/2031 (g) | 1,800,000 | 1,466,190 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (g) | 500,000 | 446,765 | |||
SLM Corp.: | |||||
3.13%, 11/2/2026 | 600,000 | 519,024 | |||
4.20%, 10/29/2025 | 1,100,000 | 1,024,650 | |||
Synchrony Financial 7.25%, 2/2/2033 | 370,000 | 332,190 | |||
15,995,616 | |||||
ELECTRIC — 0.0% (c) | |||||
PG&E Corp.: | |||||
5.00%, 7/1/2028 | 991,000 | 909,698 | |||
5.25%, 7/1/2030 | 300,000 | 269,019 | |||
1,178,717 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (c) | |||||
Energizer Holdings, Inc.: | |||||
4.75%, 6/15/2028 (g) | 300,000 | 267,711 | |||
6.50%, 12/31/2027 (g) | 1,530,000 | 1,473,421 | |||
1,741,132 | |||||
ENGINEERING & CONSTRUCTION — 0.0% (c) | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (g) | 840,000 | 799,848 | |||
TopBuild Corp. 4.13%, 2/15/2032 (g) | 200,000 | 171,450 | |||
971,298 | |||||
ENTERTAINMENT — 0.1% | |||||
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (g) | 500,000 | 466,040 | |||
Churchill Downs, Inc. 4.75%, 1/15/2028 (g) | 2,010,000 | 1,867,712 |
Security Description | Principal Amount | Value | |||
Cinemark USA, Inc. 5.25%, 7/15/2028 (g) | $ 2,250,000 | $ 1,999,417 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (g) | 150,000 | 108,626 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029 (g) | 1,665,000 | 1,492,856 | |||
5,934,651 | |||||
ENVIRONMENTAL CONTROL — 0.0% (c) | |||||
GFL Environmental, Inc. 4.00%, 8/1/2028 (g) | 265,000 | 237,602 | |||
FOOD — 0.1% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 6.50%, 2/15/2028 (g) | 132,000 | 132,208 | |||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (g) | 1,602,000 | 1,431,948 | |||
Post Holdings, Inc. 4.63%, 4/15/2030 (g) | 2,100,000 | 1,841,553 | |||
3,405,709 | |||||
GAS — 0.0% (c) | |||||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||||
5.75%, 5/20/2027 | 640,000 | 588,659 | |||
5.88%, 8/20/2026 | 1,354,000 | 1,277,784 | |||
1,866,443 | |||||
HEALTH CARE SERVICES — 0.1% | |||||
CHS/Community Health Systems, Inc. 5.63%, 3/15/2027 (g) | 1,000,000 | 884,480 | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (g) | 1,000,000 | 801,940 | |||
4.63%, 6/1/2030 (g) | 1,310,000 | 1,124,884 | |||
Tenet Healthcare Corp. 6.88%, 11/15/2031 | 523,000 | 522,011 | |||
3,333,315 | |||||
HOME BUILDERS — 0.3% | |||||
Beazer Homes USA, Inc.: | |||||
5.88%, 10/15/2027 | 710,000 | 669,800 | |||
7.25%, 10/15/2029 | 1,450,000 | 1,412,996 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (g) | 1,315,000 | 1,140,605 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (g) | 1,650,000 | 1,516,861 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (g) | 550,000 | 519,002 |
Security Description | Principal Amount | Value | |||
KB Home: | |||||
4.00%, 6/15/2031 | $ 200,000 | $ 172,826 | |||
7.25%, 7/15/2030 | 210,000 | 213,872 | |||
LGI Homes, Inc. 4.00%, 7/15/2029 (g) | 670,000 | 559,993 | |||
M/I Homes, Inc.: | |||||
3.95%, 2/15/2030 | 300,000 | 258,261 | |||
4.95%, 2/1/2028 | 1,230,000 | 1,146,581 | |||
Meritage Homes Corp. 3.88%, 4/15/2029 (g) | 1,320,000 | 1,173,322 | |||
Taylor Morrison Communities, Inc.: | |||||
5.13%, 8/1/2030 (g) | 1,700,000 | 1,579,453 | |||
5.75%, 1/15/2028 (g) | 600,000 | 583,590 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 1,940,000 | 1,874,932 | |||
12,822,094 | |||||
HOME FURNISHINGS — 0.1% | |||||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (g) | 2,760,000 | 2,254,147 | |||
4.00%, 4/15/2029 (g) | 870,000 | 753,394 | |||
3,007,541 | |||||
INSURANCE — 0.0% (c) | |||||
MGIC Investment Corp. 5.25%, 8/15/2028 | 735,000 | 692,245 | |||
NMI Holdings, Inc. 7.38%, 6/1/2025 (g) | 890,000 | 903,332 | |||
1,595,577 | |||||
INTERNET — 0.1% | |||||
ANGI Group LLC 3.88%, 8/15/2028 (g) | 1,001,000 | 818,638 | |||
Cogent Communications Group, Inc.: | |||||
3.50%, 5/1/2026 (g) | 322,000 | 299,045 | |||
7.00%, 6/15/2027 (g) | 1,020,000 | 986,962 | |||
Rakuten Group, Inc. 10.25%, 11/30/2024 (g) | 1,295,000 | 1,288,292 | |||
3,392,937 | |||||
IRON/STEEL — 0.1% | |||||
ATI, Inc. 5.13%, 10/1/2031 | 2,670,000 | 2,383,776 | |||
Mineral Resources Ltd. 8.00%, 11/1/2027 (g) | 1,050,000 | 1,056,615 | |||
3,440,391 | |||||
IT SERVICES — 0.0% (c) | |||||
Seagate HDD Cayman 8.25%, 12/15/2029 (g) | 775,000 | 809,774 | |||
LEISURE TIME — 0.2% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (g) | 2,010,000 | 1,849,039 | |||
7.63%, 3/1/2026 (g) | 1,730,000 | 1,694,120 |
Security Description | Principal Amount | Value | |||
Royal Caribbean Cruises Ltd.: | |||||
5.38%, 7/15/2027 (g) | $ 405,000 | $ 379,720 | |||
5.50%, 4/1/2028 (g) | 1,810,000 | 1,689,182 | |||
7.50%, 10/15/2027 | 1,510,000 | 1,516,538 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (g) | 980,000 | 804,002 | |||
7,932,601 | |||||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc.: | |||||
3.75%, 5/1/2029 (g) | 590,000 | 523,253 | |||
4.00%, 5/1/2031 (g) | 500,000 | 434,190 | |||
Las Vegas Sands Corp.: | |||||
3.50%, 8/18/2026 | 1,000,000 | 931,160 | |||
3.90%, 8/8/2029 | 1,069,000 | 954,852 | |||
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (g) | 510,000 | 439,911 | |||
3,283,366 | |||||
MACHINERY-DIVERSIFIED — 0.0% (c) | |||||
ATS Corp. 4.13%, 12/15/2028 (g) | 508,000 | 456,565 | |||
MEDIA — 0.1% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp. 5.13%, 5/1/2027 (g) | 1,750,000 | 1,627,447 | |||
News Corp. 5.13%, 2/15/2032 (g) | 75,000 | 68,671 | |||
Nexstar Media, Inc. 4.75%, 11/1/2028 (g) | 410,000 | 355,741 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (g) | 1,248,000 | 1,197,518 | |||
Urban One, Inc. 7.38%, 2/1/2028 (g) | 400,000 | 350,152 | |||
3,599,529 | |||||
MINING — 0.1% | |||||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.38%, 4/1/2031 (g) | 2,195,000 | 1,873,388 | |||
5.88%, 4/15/2030 (g) | 500,000 | 476,510 | |||
6.13%, 4/15/2032 (g) | 140,000 | 133,073 | |||
New Gold, Inc. 7.50%, 7/15/2027 (g) | 550,000 | 514,448 | |||
Taseko Mines Ltd. 7.00%, 2/15/2026 (g) | 230,000 | 209,942 | |||
3,207,361 | |||||
OFFICE & BUSINESS EQUIPMENT — 0.1% | |||||
Pitney Bowes, Inc. 7.25%, 3/15/2029 (g) | 550,000 | 363,462 |
Security Description | Principal Amount | Value | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (g) | $ 3,010,000 | $ 2,560,366 | |||
2,923,828 | |||||
OIL & GAS — 0.2% | |||||
CNX Resources Corp. 6.00%, 1/15/2029 (g) | 1,547,000 | 1,436,188 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (g) | 311,000 | 276,087 | |||
MEG Energy Corp. 5.88%, 2/1/2029 (g) | 500,000 | 469,945 | |||
Northern Oil & Gas, Inc.: | |||||
8.13%, 3/1/2028 (g) | 590,000 | 578,253 | |||
8.75%, 6/15/2031 (g) | 361,000 | 354,553 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (g) | 2,029,000 | 1,762,816 | |||
4.63%, 5/1/2030 (g) | 895,000 | 776,386 | |||
Sunoco LP/Sunoco Finance Corp. 4.50%, 5/15/2029 | 2,980,000 | 2,645,048 | |||
Transocean, Inc. 8.75%, 2/15/2030 (g) | 2,590,000 | 2,629,782 | |||
10,929,058 | |||||
OIL & GAS SERVICES — 0.1% | |||||
Archrock Partners LP/Archrock Partners Finance Corp.: | |||||
6.25%, 4/1/2028 (g) | 300,000 | 281,838 | |||
6.88%, 4/1/2027 (g) | 250,000 | 240,852 | |||
Enerflex Ltd. 9.00%, 10/15/2027 (g) | 813,000 | 792,244 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 1,580,000 | 1,500,542 | |||
2,815,476 | |||||
PACKAGING & CONTAINERS — 0.0% (c) | |||||
Cascades, Inc./Cascades USA, Inc. 5.38%, 1/15/2028 (g) | 700,000 | 659,428 | |||
OI European Group BV 4.75%, 2/15/2030 (g) | 1,900,000 | 1,720,108 | |||
2,379,536 | |||||
PIPELINES — 0.2% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.38%, 6/15/2029 (g) | 1,100,000 | 1,021,482 | |||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.00%, 2/1/2029 (g) | 1,100,000 | 1,026,872 |
Security Description | Principal Amount | Value | |||
Delek Logistics Partners LP/Delek Logistics Finance Corp. 7.13%, 6/1/2028 (g) | $ 1,510,000 | $ 1,405,780 | |||
EQM Midstream Partners LP 6.50%, 7/15/2048 | 900,000 | 814,626 | |||
Global Partners LP/GLP Finance Corp. 6.88%, 1/15/2029 | 950,000 | 883,509 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (g) | 1,570,000 | 1,370,233 | |||
5.13%, 6/15/2028 (g) | 1,300,000 | 1,223,040 | |||
5.50%, 10/15/2030 (g) | 150,000 | 139,836 | |||
NuStar Logistics LP 6.38%, 10/1/2030 | 1,360,000 | 1,305,233 | |||
9,190,611 | |||||
REAL ESTATE — 0.1% | |||||
Howard Hughes Corp.: | |||||
4.13%, 2/1/2029 (g) | 2,600,000 | 2,156,180 | |||
4.38%, 2/1/2031 (g) | 74,000 | 59,176 | |||
5.38%, 8/1/2028 (g) | 1,000,000 | 894,450 | |||
Kennedy-Wilson, Inc.: | |||||
4.75%, 3/1/2029 | 750,000 | 592,725 | |||
4.75%, 2/1/2030 | 100,000 | 75,743 | |||
5.00%, 3/1/2031 | 250,000 | 186,925 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.75%, 1/15/2029 (g) | 470,000 | 352,839 | |||
4,318,038 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (g) | 300,000 | 233,706 | |||
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (g) | 1,820,000 | 1,575,028 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (g) | 500,000 | 447,635 | |||
7.00%, 2/15/2029 (g) | 555,000 | 556,149 | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (g) | 1,275,000 | 1,195,657 | |||
Service Properties Trust: | |||||
4.75%, 10/1/2026 | 100,000 | 86,807 | |||
4.95%, 2/15/2027 | 2,180,000 | 1,864,336 | |||
4.95%, 10/1/2029 | 1,070,000 | 830,234 | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (g) | 90,000 | 77,800 | |||
4.38%, 1/15/2027 (g) | 3,890,000 | 3,350,457 | |||
10,217,809 |
Security Description | Principal Amount | Value | |||
RETAIL — 0.3% | |||||
1011778 BC ULC/New Red Finance, Inc.: | |||||
4.00%, 10/15/2030 (g) | $ 2,060,000 | $ 1,772,795 | |||
4.38%, 1/15/2028 (g) | 420,000 | 388,084 | |||
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (g) | 670,000 | 682,355 | |||
Asbury Automotive Group, Inc.: | |||||
4.63%, 11/15/2029 (g) | 500,000 | 445,040 | |||
4.75%, 3/1/2030 | 1,700,000 | 1,509,821 | |||
5.00%, 2/15/2032 (g) | 650,000 | 567,912 | |||
Bath & Body Works, Inc. 6.75%, 7/1/2036 | 600,000 | 540,702 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (g) | 670,000 | 599,811 | |||
FirstCash, Inc. 5.63%, 1/1/2030 (g) | 2,310,000 | 2,086,923 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (g) | 480,000 | 422,035 | |||
Murphy Oil USA, Inc.: | |||||
3.75%, 2/15/2031 (g) | 308,000 | 258,809 | |||
4.75%, 9/15/2029 | 540,000 | 496,346 | |||
Nordstrom, Inc. 5.00%, 1/15/2044 | 299,000 | 207,826 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (g) | 1,560,000 | 1,339,479 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (g) | 790,000 | 664,722 | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (g) | 1,330,000 | 1,167,567 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (g) | 80,000 | 75,104 | |||
13,225,331 | |||||
SOFTWARE — 0.1% | |||||
Fair Isaac Corp.: | |||||
4.00%, 6/15/2028 (g) | 850,000 | 780,257 | |||
5.25%, 5/15/2026 (g) | 1,030,000 | 1,007,711 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (g) | 1,100,000 | 985,666 | |||
Open Text Corp. 3.88%, 12/1/2029 (g) | 2,400,000 | 2,006,592 | |||
4,780,226 |
Security Description | Principal Amount | Value | |||
TELECOMMUNICATIONS — 0.1% | |||||
Frontier Communications Holdings LLC 5.00%, 5/1/2028 (g) | $ 580,000 | $ 500,401 | |||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 2,150,000 | 2,017,130 | |||
Viasat, Inc. 6.50%, 7/15/2028 (g) | 1,495,000 | 1,265,144 | |||
3,782,675 | |||||
TRANSPORTATION — 0.0% (c) | |||||
Danaos Corp. 8.50%, 3/1/2028 (g) | 610,000 | 611,305 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $175,401,193) | 178,246,186 |
Shares | |||
REPURCHASE AGREEMENTS — 2.1% | |||
Barclays Capital, Inc., dated 06/29/2023 (collateralized by U.S. Treasury Notes 2.875% due 11/15/2046, valued at $121,951,000); expected proceeds $104,996,444, 5.11%, 06/15/2024 (Cost $100,000,000) | 100,000,000 | 100,000,000 | |
SHORT-TERM INVESTMENT — 6.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.07% (h),(i) (Cost $302,552,338) | 302,552,338 | 302,552,338 | |
TOTAL INVESTMENTS — 103.5% (Cost $4,870,817,836) | 4,833,873,633 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)% | (162,017,971) | ||
NET ASSETS — 100.0% | $ 4,671,855,662 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
VT Topco, Inc. | 3,762 | 3,719 | (43) | |||
Athenahealth Group, Inc. | 8,464,412 | 8,168,157 | (296,255) | |||
ABG Intermediate Holdings 2 LLC | 1,755,927 | 1,754,391 | (1,536) | |||
$10,224,101 | $9,926,267 | $(297,834) |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(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 June 30, 2023, total aggregate fair value of this security is $2,476,788, representing less than 0.05% of the Fund's net assets. |
(f) | Non-income producing security. |
(g) | 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 June 30, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2023 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2023. |
SOFR | Secured Overnight Financing Rate |
LIBOR | London Interbank Offered Rate |
GO | Government Obligation |
CDI | CREST Depository Interest |
CVR | Contingent Value Rights |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 178,246,186 | $ — | $ 178,246,186 | ||||
Common Stocks | 2,376,633 | — | 2,476,788 | 4,853,421 | ||||
Repurchase Agreements | — | 100,000,000 | — | 100,000,000 | ||||
Senior Floating Rate Loans | — | 4,248,221,688 | — | 4,248,221,688 | ||||
Short-Term Investment | 302,552,338 | — | — | 302,552,338 | ||||
TOTAL INVESTMENTS | $304,928,971 | $4,526,467,874 | $2,476,788 | $4,833,873,633 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Depreciation | $ — | $ (297,834) | $ — | $ (297,834) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (297,834) | $ — | $ (297,834) |
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 6/30/23 | Value at 6/30/23 | 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 | 4,700,474,930 | 5,308,273,401 | — | — | 302,552,338 | 302,552,338 | 12,307,149 | ||||||||
Total | $910,350,809 | $4,725,502,867 | $5,332,720,220 | $(581,118) | $— | $302,552,338 | $12,436,624 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $122,273,533 | $ 4,431,321,295 | |
Investments in affiliated issuers, at value | 6,605,513 | 302,552,338 | |
Repurchase agreements, at value and amortized cost | — | 100,000,000 | |
Total Investments | 128,879,046 | 4,833,873,633 | |
Cash | 344,284 | 16,909,728 | |
Receivable for investments sold | 2,906,050 | 209,212,906 | |
Receivable for fund shares sold | — | 158,866,011 | |
Dividends receivable — affiliated issuers | 29,691 | 1,203,821 | |
Interest receivable — unaffiliated issuers | 1,553,801 | 38,913,482 | |
Receivable for foreign taxes recoverable | 3,827 | 12,589 | |
Other receivable | 3,786 | — | |
TOTAL ASSETS | 133,720,485 | 5,258,992,170 | |
LIABILITIES | |||
Payable for investments purchased | 7,757,215 | 584,110,714 | |
Unrealized depreciation on unfunded loan commitments | 2,470 | 297,834 | |
Advisory fee payable | 72,842 | 2,725,056 | |
Trustees’ fees and expenses payable | 49 | 2,904 | |
TOTAL LIABILITIES | 7,832,576 | 587,136,508 | |
NET ASSETS | $125,887,909 | $ 4,671,855,662 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $135,859,210 | $ 5,781,018,758 | |
Total distributable earnings (loss) | (9,971,301) | (1,109,163,096) | |
NET ASSETS | $125,887,909 | $ 4,671,855,662 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 27.67 | $ 41.84 | |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 4,550,000 | 111,650,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $122,231,664 | $ 4,468,265,498 | |
Investments in affiliated issuers | 6,605,513 | 302,552,338 | |
Repurchase agreements | — | 100,000,000 | |
Total cost of investments | $128,837,177 | $ 4,870,817,836 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 9,169,963 | $ 480,799,161 | |
Dividend income — affiliated issuers | 229,391 | 12,436,624 | |
TOTAL INVESTMENT INCOME (LOSS) | 9,399,354 | 493,235,785 | |
EXPENSES | |||
Advisory fee | 823,714 | 43,690,236 | |
Trustees’ fees and expenses | 1,409 | 81,386 | |
Miscellaneous expenses | 6,024 | 268,575 | |
TOTAL EXPENSES | 831,147 | 44,040,197 | |
NET INVESTMENT INCOME (LOSS) | $ 8,568,207 | $ 449,195,588 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (8,148,238) | (617,557,774) | |
Investments — affiliated issuers | (3,290) | (581,118) | |
In-kind redemptions — unaffiliated issuers | 41,335 | — | |
Net realized gain (loss) | (8,110,193) | (618,138,892) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 9,380,791 | 563,240,825 | |
Unfunded loan commitments | 50 | 1,040,163 | |
Net change in unrealized appreciation/depreciation | 9,380,841 | 564,280,988 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,270,648 | (53,857,904) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 9,838,855 | $ 395,337,684 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||||||
Year Ended 6/30/23 | For the Period 2/17/22*- 6/30/22 | Year Ended 6/30/23 | Year Ended 6/30/22 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 8,568,207 | $ 2,126,689 | $ 449,195,588 | $ 375,689,558 | |||
Net realized gain (loss) | (8,110,193) | (2,925,500) | (618,138,892) | (250,379,712) | |||
Net change in unrealized appreciation/depreciation | 9,380,841 | (9,341,442) | 564,280,988 | (698,437,560) | |||
Net increase (decrease) in net assets resulting from operations | 9,838,855 | (10,140,253) | 395,337,684 | (573,127,714) | |||
Net equalization credits and charges | 40,471 | 294 | (1,905,227) | 1,321,939 | |||
Distributions to shareholders | (8,087,000) | (1,548,000) | (419,871,500) | (384,792,728) | |||
Return of capital | — | — | — | (2,807,272) | |||
Total Distributions to shareholders | (8,087,000) | (1,548,000) | (419,871,500) | (387,600,000) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 16,447,735 | 128,999,422 | 1,862,640,864 | 6,597,224,116 | |||
Cost of shares redeemed | (9,655,756) | — | (5,642,644,491) | (3,482,041,836) | |||
Net income equalization | (40,471) | (294) | 1,905,227 | (1,321,939) | |||
Other Capital | 32,498 | 408 | 16,111,574 | 11,592,704 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 6,784,006 | 128,999,536 | (3,761,986,826) | 3,125,453,045 | |||
Contribution from Affiliate (Note 4) | — | — | 38,051 | — | |||
Net increase (decrease) in net assets during the period | 8,576,332 | 117,311,577 | (3,788,387,818) | 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 | $125,887,909 | $ 117,311,577 | $ 4,671,855,662 | $ 8,460,243,480 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 600,000 | 4,300,000 | 44,500,000 | 145,850,000 | |||
Shares redeemed | (350,000) | — | (135,100,000) | (79,550,000) | |||
Net increase (decrease) from share transactions | 250,000 | 4,300,000 | (90,600,000) | 66,300,000 |
* | Commencement of operations. |
SPDR Blackstone High Income ETF | |||
Year Ended 6/30/23 | 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) | 2.00 | 0.50 | |
Net realized and unrealized gain (loss) (b) | 0.26 | (2.86) | |
Total from investment operations | 2.26 | (2.36) | |
Net equalization credits and charges (a) | 0.01 | 0.00(c) | |
Other capital (a) | 0.01 | 0.00(c) | |
Distributions to shareholders from: | |||
Net investment income | (1.89) | (0.36) | |
Net asset value, end of period | $ 27.67 | $ 27.28 | |
Total return (d) | 8.48% | (7.93)% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $125,888 | $117,312 | |
Ratios to average net assets: | |||
Total expenses | 0.70% | 0.70%(e) | |
Net investment income (loss) | 7.26% | 4.63%(e) | |
Portfolio turnover rate | 133% | 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 year. |
(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 | |||||||||
Year Ended 6/30/23 | Year Ended 6/30/22 | Year Ended 6/30/21 | Year Ended 6/30/20(a) | Year Ended 6/30/19(a) | |||||
Net asset value, beginning of period | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.01 | 1.95 | 1.98 | 2.34 | 2.48 | ||||
Net realized and unrealized gain (loss) (c) | (0.27) | (4.44) | 3.02 | (3.06) | (0.86) | ||||
Total from investment operations | 2.74 | (2.49) | 5.00 | (0.72) | 1.62 | ||||
Net equalization credits and charges (b) | (0.01) | 0.01 | 0.06 | (0.04) | (0.03) | ||||
Contribution from Affiliate (Note 4) | 0.00(d) | — | 0.00(d) | 0.01 | — | ||||
Other capital (b) | 0.11 | 0.06 | 0.02 | 0.21 | 0.09 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.83) | (2.04) | (2.14) | (2.35) | (2.47) | ||||
Return of Capital | — | (0.01) | — | — | — | ||||
Total distributions | (2.83) | (2.05) | — | — | — | ||||
Net asset value, end of period | $ 41.84 | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | ||||
Total return (e) | 6.95%(f) | (5.46)% | 11.97%(f) | (1.23)%(f) | 3.68% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,671,856 | $8,460,243 | $6,294,196 | $1,433,094 | $2,222,400 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.71% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
Net investment income (loss) | 7.19% | 4.33% | 4.31% | 5.17% | 5.33% | ||||
Portfolio turnover rate | 125% | 140% | 176% | 195%(g) | 124%(g) |
(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 year. |
(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, 2023, June 30, 2021 and June 30, 2020, the total return would have remained 6.95%, 11.97% and (1.23)%, respectively. |
(g) | 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 | $ 158,634,540 | $ 152,580,070 | |
SPDR Blackstone Senior Loan ETF | 7,150,881,402 | 10,594,165,980 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR Blackstone High Income ETF | $6,124,927 | $3,201,341 | $41,335 |
Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR Blackstone High Income ETF | $ 8,087,000 | $— | $ 8,087,000 | ||
SPDR Blackstone Senior Loan ETF | 419,871,500 | — | 419,871,500 |
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | ||||
SPDR Blackstone High Income ETF | $ 1,548,000 | $ — | $ — | $ 1,548,000 | |||
SPDR Blackstone Senior Loan ETF | 384,792,728 | — | 2,807,272 | 387,600,000 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
SPDR Blackstone High Income ETF | $ 1,075,898 | $ (10,722,813) | $— | $ (324,386) | $ (9,971,301) | ||||
SPDR Blackstone Senior Loan ETF | 29,351,474 | (1,061,105,358) | — | (77,409,212) | (1,109,163,096) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR Blackstone High Income ETF | $ 9,359,240 | $ 1,363,573 | |
SPDR Blackstone Senior Loan ETF | 516,487,819 | 544,617,539 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone High Income ETF | $ 129,200,962 | $ 1,291,106 | $ 1,613,022 | $ (321,916) | |||
SPDR Blackstone Senior Loan ETF | 4,910,985,010 | 35,612,340 | 112,723,717 | (77,111,377) |
Individual Fund constituting theSSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
SPDR Blackstone High Income ETF | For the year ended June 30, 2023 | For the year ended June 30, 2023 and the period from February 17, 2022 (commencement of operations) through June 30, 2022 | For the year ended June 30, 2023 and the period from February 17, 2022 (commencement of operations) through June 30, 2022 |
SPDR Blackstone Senior Loan ETF | For the year ended June 30, 2023 | For each of the two years in the period ended June 30, 2023 | For each of the five years in the period ended June 30, 2023 |
August 25, 2023
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 Blackstone High Income ETF | 0.71% | $1,050.70 | $3.61 | $1,021.30 | $3.56 | ||||
SPDR Blackstone Senior Loan ETF | 0.71 | 1,048.50 | 3.61 | 1,021.30 | 3.56 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
CARL G. VERBONCOEUR c/o SSGAActive Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 121 | The Motley Fool Funds Trust (Trustee). | |||||
DWIGHT D. CHURCHILL c/o SSGAActive Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). | 121 | Affiliated Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE S. RICHER c/o SSGAActive Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, Putnam Investments LLC (December 2008 - May 2017). | 121 | Principal Financial Group (Director) and Financial Committee Chair; Bain Capital Specialty Finance (Director); University of Notre Dame (Trustee); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, M.A. Mortenson Companies, Inc.(construction and real estate company) (February 2007- April 2017). | 121 | Rydex Series Funds; Rydex Dynamic Funds; Rydex Variable Trust; Guggenheim Funds Trust; Guggenheim Variable Funds Trust; Guggenheim Strategy Funds Trust; Transparent Value Trust; Fiduciary/Claymore Energy Infrastructure Fund; Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust; Guggenheim Strategic Opportunities Fund; Guggenheim Enhanced, Equity Income Fund; Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund (Trustee and Audit Committee Chair). | |||||
CAROLYN M. CLANCY c/o SSGA Active Trust One Iron Street Boston, MA 02210 1960 | Independent Trustee | Term: Unlimited Served: since October 2022 | Retired. Executive Vice President, Head of Strategy, Analytics and Market Readiness, Fidelity Investments (April 2020 – June 2021); Executive Vice President, Head of Broker Dealer Business, Fidelity Investments (July 2017 – March 2020). | 121 | Assumption University (Trustee); Big Sister Association of Greater Boston (Director). | |||||
KRISTI L. ROWSELL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1966 | Independent Trustee | Term: Unlimited Served: since October 2022 | Partner and President, Harris Associates (2010 – 2021). | 121 | Oakmark Funds (Trustee); Board of Governors, Investment Company Institute (Member); Habitat for Humanity Chicago (Director). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | President, Winnisquam Capital LLC (December 2022 – present); Non-Executive, Chairman, Fusion Acquisition Corp II (February 2020 - Present); Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - September 2021); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). | 132 | Investment Managers Series Trust (December 2022 – present); The Select Sector SPDR Trust (November 2005 - Present); SSGA SPDR ETFs Europe I PLC (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II PLC (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
GUNJAN CHAUHAN** c/o SSGA Active Trust One Iron Street Boston, MA 02210 1982 | Interested Trustee | Term: Unlimited Served: since October 2022 | Senior Managing Director, State Street Global Advisors (April 2018 – Present); Managing Director, State Street Global Advisors (June 2015– March 2018). | 121 | State Street ICAV (Director). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser, which includes series of the the SPDR Series Trust, SSGA Active Trust and SPDR Index Shares Funds. | ||||||||||
* Mr. Ross is an Interested Trustee because of his ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
** Ms. Chauhan is an Interested Trustee because of her position with an affiliate of the Adviser. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ANN M. CARPENTER SSGA Funds Management Inc. One Iron Street Boston, MA 02210 1966 | President and Principal Executive Officer; Deputy Treasurer | Term: Unlimited Served: since May 2023 (with respect to President and Principal Executive Officer); Term: Unlimited Served: since February 2016 (with respect to Deputy Treasurer) | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Direct Street Global Advisors (April 2005 - present).* | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer and Principal Financial Officer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present)* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Secretary | Term: Unlimited Served: since November 2020 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
E. GERARD MAIORANA, JR. SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 | Assistant Secretary | Term: Unlimited Served: since May 2023 | Assistant Vice President, State Street Global Advisors (July 2014 - present). | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
JOHN BETTENCOURT SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1976 | Assistant Treasurer | Term: Unlimited Served: since May 2022 | Vice President, State Street Global Advisors and SSGA Funds Management Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 | Assistant Treasurer | Term: Unlimited Served: since November 2020 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Congress Street
Boston, MA 02114
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. |
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. | Audit Committee Financial Expert. |
(a)(1) The Board of Trustees of the registrant has determined that the registrant has four Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”
(2) Dwight Churchill, Clare Richer, Kristi Rowsell, Sandra Sponem and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. | Principal Accountant Fees and Services. |
(a) Audit Fees.
For the fiscal years ending June 30, 2023 and June 30, 2022, the aggregate audit fees billed for professional services rendered by the principal accountant were $397,862 and $397,862, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2023 and June 30, 2022, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2023 and June 30, 2022, the aggregate tax fees billed for professional services rendered by the principal accountant were $38,065 and $38,065, respectively. Tax fees represent services related to the review of year-end distribution requirements.
(d) All Other Fees.
For the fiscal years ended June 30, 2023 and June 30, 2022, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a)through (c).
For the fiscal years ended June 30, 2023 and June 30, 2022, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,540,002 and $9,327,125, respectively.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit, audit-related or permissible non-audit services, either:
(a) | The Audit Committee shall pre-approve all audit, audit-related and permissible non-audit services provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
(b) | The engagement to render the audit, audit-related or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
(c) | Pre-Approval for a service provided to the Trust other than audit or audit-related services is not required if: (1) the aggregate amount of all such permissible non-audit services provided to the Trust constitutes not more than five percent (5%) of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
(d) | The Audit Committee shall pre-approve any permissible non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any permissible non-audit services that need to be pre-approved. |
Notwithstanding the above, Pre-Approval for any permissible non-audit services under this Sub-section is not required if: (1) the aggregate amount of all such permissible non-audit services constitutes not more than five percent (5%) of the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person)
during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2023 (in millions) | FY 2022 (in millions) | |||||||
Non audit services billed to: | ||||||||
Registrant: | See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: | — | — | ||||||
Other entities in the Investment Company | ||||||||
Audit Related Fees | $ | 17.9 | $ | 18.1 | ||||
Tax Fees | $ | 5.6 | $ | 5.4 | ||||
All Other Fees | $ | 15.5 | $ | 14.5 |
(1) | Information is for the calendar years 2023 and 2022, respectively. |
(2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. | Audit Committees of Listed Registrants. |
The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (the “1934 Act”). The members of the registrant’s Audit Committee are Dwight Churchill, Carolyn Clancy, Clare Richer, Kristi Rowsell, Sandra Sponem and Carl Verboncoeur.
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) Within 90 days of the filing date of this Form N-CSR, Ann M. Carpenter, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Ms. Carpenter and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(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) Code of Ethics referred to in Item 2.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
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/ Ann M. Carpenter | |
Ann M. Carpenter | ||
President and Principal Executive Officer |
Date: September 7, 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/ Ann M. Carpenter | |
Ann M. Carpenter | ||
President and Principal Executive Officer |
Date: September 7, 2023
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer |
Date: September 7, 2023