UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: June 30
Date of reporting period: December 31, 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 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-060252/g660205imgb51991a21.jpg)
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
7 | |
8 | |
9 | |
10 | |
11 | |
12 | |
13 | |
Schedules of Investments (Unaudited) | |
15 | |
17 | |
19 | |
21 | |
27 | |
41 | |
46 | |
50 | |
52 | |
54 | |
59 | |
72 | |
114 | |
127 | |
139 | |
150 |
Description | % of Net Assets | ||
SPDR S&P Global Natural Resources ETF | 27.9% | ||
SPDR S&P Global Infrastructure ETF | 24.5 | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 17.1 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 7.8 | ||
The Energy Select Sector SPDR Fund | 6.5 | ||
TOTAL | 83.8% |
% of Net Assets | |||
Natural Resources | 34.3% | ||
International Equity | 24.7 | ||
Commodities | 17.1 | ||
Inflation Linked | 7.8 | ||
Domestic Equity | 6.5 | ||
International Fixed Income | 3.6 | ||
Real Estate | 1.1 | ||
Short Term Investments | 9.3 | ||
Liabilities in Excess of Other Assets | (4.4) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Long Term Treasury ETF | 13.1% | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 12.1 | ||
SPDR Bloomberg High Yield Bond ETF | 11.0 | ||
SPDR Blackstone Senior Loan ETF | 9.8 | ||
Schwab U.S. Dividend Equity ETF | 9.1 | ||
TOTAL | 55.1% |
% of Net Assets | |||
Domestic Fixed Income | 39.0% | ||
Domestic Equity | 30.3 | ||
International Fixed Income | 12.1 | ||
International Equity | 11.4 | ||
Inflation Linked | 3.0 | ||
Real Estate | 2.1 | ||
Short Term Investments | 16.5 | ||
Liabilities in Excess of Other Assets | (14.4) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR S&P 500 ETF Trust | 24.9% | ||
SPDR Portfolio Developed World ex-U.S. ETF | 15.5 | ||
SPDR Portfolio Emerging Markets ETF | 8.9 | ||
SPDR Portfolio Aggregate Bond ETF | 6.9 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 5.9 | ||
TOTAL | 62.1% |
% of Net Assets | |||||
Domestic Equity | 41.1% | ||||
International Equity | 27.4 | ||||
Domestic Fixed Income | 16.4 | ||||
International Fixed Income | 6.0 | ||||
Inflation Linked | 5.9 | ||||
Commodities | 0.0* | ||||
Short Term Investments | 7.9 | ||||
Liabilities in Excess of Other Assets | (4.7) | ||||
TOTAL | 100.0% | ||||
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
U.S. Treasury Bills 5.27% 1/25/2024 | 6.9% | ||
U.S. Treasury Notes 4.75% 7/31/2025 | 4.2 | ||
American Express Credit Account Master Trust 3.39% 5/15/2027 | 3.1 | ||
Parker-Hannifin Corp. 3.65% 6/15/2024 | 1.9 | ||
Hyundai Auto Lease Securitization Trust 5.05% 1/15/2026 | 1.7 | ||
TOTAL | 17.8% |
% of Net Assets | |||
Corporate Bonds & Notes | 66.6% | ||
U.S. Treasury Obligations | 13.0 | ||
Asset-Backed Securities | 8.7 | ||
Commercial Mortgage Backed Securities | 2.2 | ||
Mortgage-Backed Securities | 1.8 | ||
Short-Term Investment | 6.7 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 4.5% | ||
OneMain Direct Auto Receivables Trust ABS 0.87% 7/14/2028 | 1.3 | ||
UniCredit SpA 7.30% 4/2/2034 | 1.1 | ||
Credit Suisse AG 4.75% 8/9/2024 | 1.1 | ||
HSBC USA, Inc. 5.63% 3/17/2025 | 1.0 | ||
TOTAL | 9.0% |
% of Net Assets | |||
Banks | 12.4% | ||
Asset-Backed Securities | 11.9 | ||
Commercial Services | 4.5 | ||
Money Market Fund | 4.5 | ||
Media | 3.8 | ||
Software | 3.6 | ||
Pipelines | 3.5 | ||
Oil & Gas | 3.0 | ||
Diversified Financial Services | 2.8 | ||
Telecommunications | 2.8 | ||
Electric | 2.5 | ||
Retail | 2.4 | ||
Investment Company Security | 2.3 | ||
Insurance | 2.2 | ||
Semiconductors | 2.1 | ||
Internet | 2.1 | ||
Auto Manufacturers | 1.9 | ||
Real Estate Investment Trusts | 1.8 | ||
Home Builders | 1.7 | ||
Airlines | 1.7 | ||
Pharmaceuticals | 1.6 | ||
Transportation | 1.5 | ||
Leisure Time | 1.4 | ||
Construction Materials | 1.4 | ||
Auto Parts & Equipment | 1.3 | ||
Chemicals | 1.1 | ||
IT Services | 1.0 | ||
Health Care Products | 0.9 | ||
Oil & Gas Services | 0.8 | ||
Advertising | 0.7 | ||
Computers | 0.7 | ||
Food | 0.7 | ||
Health Care Services | 0.7 | ||
Mining | 0.6 | ||
Aerospace & Defense | 0.6 | ||
Engineering & Construction | 0.6 | ||
Energy-Alternate Sources | 0.5 | ||
Environmental Control | 0.4 | ||
Entertainment | 0.4 | ||
Office Furnishings | 0.3 | ||
Packaging & Containers | 0.3 | ||
Office & Business Equipment | 0.3 | ||
Biotechnology | 0.2 | ||
Machinery, Construction & Mining | 0.2 | ||
Commercial Mortgage Backed Securities | 0.2 | ||
Iron/Steel | 0.2 | ||
Household Products & Wares | 0.2 | ||
Miscellaneous Manufacturer | 0.2 | ||
Distribution & Wholesale | 0.2 | ||
Home Furnishings | 0.2 |
% of Net Assets | |||
Beverages | 0.1% | ||
Electronics | 0.1 | ||
Coal | 0.1 | ||
Electrical Components & Equipment | 0.1 | ||
Real Estate | 0.1 | ||
Metal Fabricate & Hardware | 0.1 | ||
Machinery-Diversified | 0.1 | ||
Hand & Machine Tools | 0.0* | ||
Short-Term Investment | 4.1 | ||
Other Assets in Excess of Liabilities | 2.3 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
New Jersey Economic Development Authority Revenue, NJ | 2.3% | ||
Southfield Public Schools, General Obligation, MI | 2.2 | ||
City of New York, General Obligation, NY | 2.2 | ||
New Mexico Hospital Equipment Loan Council Revenue, NM | 2.0 | ||
Medford Hospital Facilities Authority Revenue, OR | 2.0 | ||
TOTAL | 10.7% |
% of Net Assets | |||
Municipal Bonds & Notes | 98.9% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 1.1 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Idaho Housing & Finance Association Revenue, ID | 2.5% | ||
New York City Transitional Finance Authority Future Tax Secured Revenue, NY | 2.3 | ||
City of Dallas, General Obligation, TX AGM | 2.3 | ||
Pennsylvania Turnpike Commission Revenue, PA | 2.3 | ||
Medford Hospital Facilities Authority Revenue, OR | 2.0 | ||
TOTAL | 11.4% |
% of Net Assets | |||
Municipal Bonds & Notes | 99.2% | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Intermediate Term Treasury ETF | 38.6% | ||
SPDR Portfolio Mortgage-Backed Bond ETF | 34.2 | ||
SPDR Portfolio Long Term Treasury ETF | 11.9 | ||
SPDR Bloomberg High Yield Bond ETF | 5.5 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 5.1 | ||
TOTAL | 95.3% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 9.7 | ||
Liabilities in Excess of Other Assets | (9.5) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
The Technology Select Sector SPDR Fund | 36.2% | ||
The Financial Select Sector SPDR Fund | 11.6 | ||
The Consumer Discretionary Select Sector SPDR Fund | 11.6 | ||
The Communication Services Select Sector SPDR Fund | 11.6 | ||
The Consumer Staples Select Sector SPDR Fund | 11.4 | ||
TOTAL | 82.4% |
% of Net Assets | |||
Domestic Equity | 99.9% | ||
Short Term Investments | 12.1 | ||
Liabilities in Excess of Other Assets | (12.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Minejesa Capital BV 5.63% 8/10/2037 | 2.5% | ||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 | 2.3 | ||
Banco Internacional del Peru SAA Interbank VRN 4.00% 7/8/2030 | 2.1 | ||
BBVA Bancomer SA VRN 5.88% 9/13/2034 | 2.1 | ||
Mexico Generadora de Energia S de Real 5.50% 12/6/2032 | 2.0 | ||
TOTAL | 11.0% |
% of Net Assets | |||
Corporate Bonds & Notes | 86.4% | ||
Foreign Government Obligations | 8.4 | ||
Short-Term Investments | 4.0 | ||
Other Assets in Excess of Liabilities | 1.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Notes 4.25% 10/15/2025 | 14.8% | ||
U.S. Treasury Notes 3.00% 7/15/2025 | 14.5 | ||
U.S. Treasury Bills 5.24% 4/2/2024 | 1.9 | ||
Citigroup Mortgage Loan Trust, Inc. CMO 4.50% 7/25/2037 | 1.5 | ||
Regatta XXIII Funding Ltd. 6.83% 1/20/2035 | 1.5 | ||
TOTAL | 34.2% |
% of Net Assets | |||
U.S. Treasury Obligations | 31.2% | ||
Asset-Backed Securities | 23.6 | ||
Corporate Bonds & Notes | 15.5 | ||
Mortgage-Backed Securities | 11.0 | ||
Commercial Mortgage Backed Securities | 5.5 | ||
Senior Floating Rate Loans | 4.8 | ||
U.S. Government Agency Obligations | 3.2 | ||
Foreign Government Obligations | 0.3 | ||
Short-Term Investment | 2.0 | ||
Other Assets in Excess of Liabilities | 2.9 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Bonds 4.75% 11/15/2043 | 6.8% | ||
U.S. Treasury Bonds 4.13% 8/15/2053 | 5.8 | ||
U.S. Treasury Bonds 4.75% 11/15/2053 | 4.6 | ||
Federal National Mortgage Association REMICS 3.00% 1/25/2043 | 0.9 | ||
Federal Home Loan Mortgage Corp. REMICS CMO, REMIC 4.00% 7/15/2044 | 0.8 | ||
TOTAL | 18.9% |
% of Net Assets | |||
U.S. Government Agency Obligations | 29.8% | ||
U.S. Treasury Obligations | 20.7 | ||
Mortgage-Backed Securities | 18.5 | ||
Asset-Backed Securities | 12.4 | ||
Commercial Mortgage Backed Securities | 3.2 | ||
Banks | 1.9 | ||
Electric | 1.0 | ||
Retail | 0.7 | ||
Pipelines | 0.6 | ||
Oil & Gas | 0.6 | ||
Commercial Services | 0.6 | ||
Real Estate Investment Trusts | 0.6 | ||
Diversified Financial Services | 0.5 | ||
Health Care Services | 0.5 | ||
Telecommunications | 0.5 | ||
Insurance | 0.5 | ||
Media | 0.5 | ||
Pharmaceuticals | 0.4 | ||
Software | 0.4 | ||
Food | 0.4 | ||
Internet | 0.3 | ||
Mining | 0.3 | ||
Chemicals | 0.3 | ||
Foreign Government Obligations | 0.3 | ||
Semiconductors | 0.2 | ||
Entertainment | 0.2 | ||
Packaging & Containers | 0.2 | ||
Transportation | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Leisure Time | 0.2 | ||
Construction Materials | 0.2 | ||
Lodging | 0.2 | ||
Airlines | 0.2 | ||
Auto Manufacturers | 0.1 | ||
Beverages | 0.1 | ||
Environmental Control | 0.1 | ||
Advertising | 0.1 | ||
Engineering & Construction | 0.1 | ||
Health Care Products | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Computers | 0.1 | ||
Iron/Steel | 0.1 | ||
Agriculture | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Household Products | 0.1 | ||
Home Builders | 0.1 | ||
Electronics | 0.1 | ||
Water | 0.1 | ||
Forest Products & Paper | 0.1 |
% of Net Assets | |||
Trucking & Leasing | 0.1% | ||
Machinery-Diversified | 0.1 | ||
Biotechnology | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Household Products & Wares | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Housewares | 0.0* | ||
Holding Companies-Diversified | 0.0* | ||
Miscellaneous Manufacturer | 0.0* | ||
Energy-Alternate Sources | 0.0* | ||
Investment Company Security | 0.0* | ||
Coal | 0.0* | ||
Home Furnishings | 0.0* | ||
Machinery, Construction & Mining | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
IT Services | 0.0* | ||
Real Estate | 0.0* | ||
Short-Term Investment | 0.2 | ||
Other Assets in Excess of Liabilities | 0.7 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 95.1% | ||||||
COMMODITIES — 17.1% | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 6,560,274 | $ 87,251,645 | ||||
DOMESTIC EQUITY — 6.5% | ||||||
The Energy Select Sector SPDR Fund (a)(b) | 395,641 | 33,170,541 | ||||
INFLATION LINKED — 7.8% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (a) | 2,123,904 | 39,483,375 | ||||
INTERNATIONAL EQUITY — 24.7% | ||||||
SPDR S&P Global Infrastructure ETF (a) | 2,332,514 | 124,766,174 | ||||
VanEck Agribusiness ETF (b) | 16,073 | 1,224,441 | ||||
125,990,615 | ||||||
INTERNATIONAL FIXED INCOME — 3.6% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (a) | 430,628 | 18,060,538 | ||||
NATURAL RESOURCES — 34.3% | ||||||
SPDR Gold MiniShares Trust (a) | 383,495 | 15,688,780 | ||||
SPDR S&P Global Natural Resources ETF (a)(b) | 2,511,949 | 142,301,911 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 276,870 | 16,565,132 | ||||
174,555,823 | ||||||
REAL ESTATE — 1.1% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 105,119 | 2,868,698 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 29,936 | 2,853,500 | ||||
5,722,198 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $508,084,658) | 484,234,735 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 9.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (c)(d) | 25,144,772 | $ 25,144,772 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 22,259,665 | 22,259,665 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $47,404,437) | $ 47,404,437 | |||||
TOTAL INVESTMENTS — 104.4% (Cost $555,489,095) | 531,639,172 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.4)% | (22,284,425) | |||||
NET ASSETS — 100.0% | $ 509,354,747 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $484,234,735 | $— | $— | $484,234,735 | ||||
Short-Term Investments | 47,404,437 | — | — | 47,404,437 | ||||
TOTAL INVESTMENTS | $531,639,172 | $— | $— | $531,639,172 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 2,108,232 | $ 38,917,963 | $ 12,014,203 | $ 11,791,996 | $ (377,300) | $ 720,505 | 2,123,904 | $ 39,483,375 | $ 728,094 | ||||||||
SPDR Dow Jones International Real Estate ETF | 106,095 | 2,627,973 | 565,318 | 624,233 | 24,198 | 275,442 | 105,119 | 2,868,698 | 38,907 | ||||||||
SPDR Dow Jones REIT ETF | 118,899 | 10,753,226 | 694,273 | 8,755,813 | (549,598) | 711,412 | 29,936 | 2,853,500 | 86,852 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 327,586 | 13,679,991 | 7,857,166 | 3,815,241 | 23,940 | 314,682 | 430,628 | 18,060,538 | 518,487 | ||||||||
SPDR Gold MiniShares Trust | 276,756 | 10,541,636 | 7,535,592 | 3,384,917 | 191,728 | 804,741 | 383,495 | 15,688,780 | — | ||||||||
SPDR S&P Global Infrastructure ETF | 2,501,429 | 133,501,265 | 29,360,203 | 38,674,297 | (210,163) | 789,166 | 2,332,514 | 124,766,174 | 2,934,489 | ||||||||
SPDR S&P Global Natural Resources ETF | 2,741,886 | 147,815,074 | 33,027,706 | 46,596,380 | (52,170) | 8,107,681 | 2,511,949 | 142,301,911 | 2,588,120 | ||||||||
SPDR S&P Metals & Mining ETF | 332,119 | 16,878,288 | 3,090,295 | 6,223,104 | 768,515 | 2,051,138 | 276,870 | 16,565,132 | 79,023 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 21,584,135 | 21,584,135 | 19,131,756 | 15,571,119 | — | — | 25,144,772 | 25,144,772 | 777,786 | ||||||||
State Street Navigator Securities Lending Portfolio II | 32,724,798 | 32,724,798 | 502,576,595 | 513,041,728 | — | — | 22,259,665 | 22,259,665 | 123,222 | ||||||||
The Energy Select Sector SPDR Fund | 395,864 | 32,132,281 | 10,207,424 | 10,406,579 | 1,393,643 | (156,228) | 395,641 | 33,170,541 | 565,478 | ||||||||
Total | $461,156,630 | $626,060,531 | $658,885,407 | $1,212,793 | $13,618,539 | $443,163,086 | $8,440,458 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.9% | ||||||
DOMESTIC EQUITY — 30.3% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 80,665 | $ 1,627,820 | ||||
iShares Mortgage Real Estate ETF (a) | 132,686 | 3,130,063 | ||||
Schwab U.S. Dividend Equity ETF (a) | 94,317 | 7,180,353 | ||||
SPDR ICE Preferred Securities ETF (b) | 140,331 | 4,703,895 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (a)(b) | 182,564 | 7,154,683 | ||||
23,796,814 | ||||||
DOMESTIC FIXED INCOME — 39.0% | ||||||
SPDR Blackstone Senior Loan ETF (b) | 184,021 | 7,716,000 | ||||
SPDR Bloomberg Convertible Securities ETF (a)(b) | 55,120 | 3,976,908 | ||||
SPDR Bloomberg High Yield Bond ETF (b) | 91,008 | 8,621,188 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 354,843 | 10,297,544 | ||||
30,611,640 | ||||||
INFLATION LINKED — 3.0% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 126,071 | 2,343,660 | ||||
INTERNATIONAL EQUITY — 11.4% | ||||||
SPDR S&P Global Infrastructure ETF (a)(b) | 116,550 | 6,234,260 | ||||
SPDR S&P International Dividend ETF (b) | 77,053 | 2,739,234 | ||||
8,973,494 | ||||||
INTERNATIONAL FIXED INCOME — 12.1% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (b) | 447,851 | 9,512,355 | ||||
REAL ESTATE — 2.1% | ||||||
SPDR Dow Jones REIT ETF (a)(b) | 16,922 | 1,613,005 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $80,322,915) | 76,850,968 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 16.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (c)(d) | 1,655,596 | $ 1,655,596 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 11,290,594 | 11,290,594 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,946,190) | $ 12,946,190 | |||||
TOTAL INVESTMENTS — 114.4% (Cost $93,269,105) | 89,797,158 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (14.4)% | (11,282,528) | |||||
NET ASSETS — 100.0% | $ 78,514,630 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | All or a portion of the shares of the security are on loan at December 31, 2023. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $76,850,968 | $— | $— | $76,850,968 | ||||
Short-Term Investments | 12,946,190 | — | — | 12,946,190 | ||||
TOTAL INVESTMENTS | $89,797,158 | $— | $— | $89,797,158 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 173,309 | $ 7,256,448 | $ 1,264,188 | $ 816,414 | $ (51,319) | $ 63,097 | 184,021 | $ 7,716,000 | $ 378,483 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | — | — | 2,322,509 | 44,782 | 324 | 65,609 | 126,071 | 2,343,660 | 15,669 | ||||||||
SPDR Bloomberg Convertible Securities ETF | 52,305 | 3,658,735 | 506,460 | 315,550 | (25,559) | 152,822 | 55,120 | 3,976,908 | 47,375 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 406,911 | 8,610,237 | 1,367,297 | 510,977 | (40,455) | 86,253 | 447,851 | 9,512,355 | 268,500 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 93,779 | 8,630,481 | 4,949,710 | 5,054,356 | (203,542) | 298,895 | 91,008 | 8,621,188 | 287,123 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | 50,932 | 1,445,450 | 12,392 | 1,484,866 | 60,894 | (33,870) | — | — | 2,463 | ||||||||
SPDR Dow Jones REIT ETF | 15,848 | 1,433,293 | 245,702 | 154,216 | 3,181 | 85,045 | 16,922 | 1,613,005 | 34,219 | ||||||||
SPDR ICE Preferred Securities ETF | 127,166 | 4,256,246 | 687,119 | 248,109 | (23,324) | 31,963 | 140,331 | 4,703,895 | 165,422 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 307,978 | 9,208,542 | 1,705,296 | 394,125 | (25,224) | (196,945) | 354,843 | 10,297,544 | 186,227 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 134,956 | 5,004,168 | 5,177,786 | 3,525,644 | (203,615) | 701,988 | 182,564 | 7,154,683 | 171,373 | ||||||||
SPDR S&P Global Infrastructure ETF | 107,500 | 5,737,275 | 873,303 | 399,343 | (9,829) | 32,854 | 116,550 | 6,234,260 | 138,663 | ||||||||
SPDR S&P International Dividend ETF | 163,925 | 5,637,381 | 449,840 | 3,449,795 | 34,972 | 66,836 | 77,053 | 2,739,234 | 60,026 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 814,508 | 814,508 | 6,756,423 | 5,915,335 | — | — | 1,655,596 | 1,655,596 | 66,840 | ||||||||
State Street Navigator Securities Lending Portfolio II | 5,978,695 | 5,978,695 | 110,865,989 | 105,554,090 | — | — | 11,290,594 | 11,290,594 | 56,955 | ||||||||
Total | $67,671,459 | $137,184,014 | $127,867,602 | $(483,496) | $1,354,547 | $77,858,922 | $1,879,338 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.8% | ||||||
COMMODITIES — 0.0% (a) | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 1,560 | $ 20,747 | ||||
DOMESTIC EQUITY — 41.1% | ||||||
SPDR Gold Shares (b) | 37,877 | 7,240,946 | ||||
SPDR Portfolio S&P 600 Small Cap ETF (b)(c) | 293,949 | 12,398,769 | ||||
SPDR S&P 500 ETF Trust (b) | 125,659 | 59,726,979 | ||||
SPDR S&P MidCap 400 ETF Trust (b)(c) | 9,592 | 4,866,789 | ||||
The Communication Services Select Sector SPDR Fund (b)(c) | 66,276 | 4,815,614 | ||||
The Energy Select Sector SPDR Fund (b) | 56,385 | 4,727,318 | ||||
The Financial Select Sector SPDR Fund (b) | 338 | 12,709 | ||||
The Technology Select Sector SPDR Fund (b)(c) | 24,680 | 4,750,407 | ||||
98,539,531 | ||||||
DOMESTIC FIXED INCOME — 16.4% | ||||||
SPDR Blackstone Senior Loan ETF (b) | 83,404 | 3,497,130 | ||||
SPDR Bloomberg High Yield Bond ETF (b) | 24,903 | 2,359,061 | ||||
SPDR Bloomberg International Treasury Bond ETF (b) | 313,979 | 7,278,033 | ||||
SPDR Portfolio Aggregate Bond ETF (b)(c) | 649,015 | 16,640,745 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (b)(c) | 206,758 | 5,905,008 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 125,327 | 3,636,990 | ||||
39,316,967 | ||||||
INFLATION LINKED — 5.9% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 763,018 | 14,184,505 | ||||
INTERNATIONAL EQUITY — 27.4% | ||||||
SPDR Portfolio Developed World ex-U.S. ETF (b)(c) | 1,094,701 | 37,230,781 | ||||
SPDR Portfolio Emerging Markets ETF (b)(c) | 602,450 | 21,332,754 | ||||
SPDR S&P International Small Cap ETF (b) | 230,500 | 7,320,680 | ||||
65,884,215 |
Security Description | Shares | Value | ||||
INTERNATIONAL FIXED INCOME — 6.0% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (b) | 338,981 | $ 7,199,956 | ||||
SPDR Bloomberg International Corporate Bond ETF (b) | 242,135 | 7,247,101 | ||||
14,447,057 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $211,134,913) | 232,393,022 | |||||
SHORT-TERM INVESTMENTS — 7.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (d)(e) | 7,280,831 | $ 7,280,831 | ||||
State Street Navigator Securities Lending Portfolio II (f)(g) | 11,654,151 | 11,654,151 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,934,982) | $ 18,934,982 | |||||
TOTAL INVESTMENTS — 104.7% (Cost $230,069,895) | 251,328,004 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.7)% | (11,356,432) | |||||
NET ASSETS — 100.0% | $ 239,971,572 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Amount is less than 0.05% of net assets. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(c) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2023. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $232,393,022 | $— | $— | $232,393,022 | ||||
Short-Term Investments | 18,934,982 | — | — | 18,934,982 | ||||
TOTAL INVESTMENTS | $251,328,004 | $— | $— | $251,328,004 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 83,240 | $ 3,485,259 | $ 503,698 | $ 495,982 | $ 203 | $ 3,952 | 83,404 | $ 3,497,130 | $ 182,121 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 740,764 | 13,674,503 | 2,101,591 | 1,679,200 | (43,988) | 131,599 | 763,018 | 14,184,505 | 274,464 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 325,324 | 6,883,856 | 997,756 | 694,308 | (18,818) | 31,470 | 338,981 | 7,199,956 | 215,372 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 50,020 | 4,603,341 | 2,601,927 | 4,776,631 | (155,390) | 85,814 | 24,903 | 2,359,061 | 117,060 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | 244,384 | 6,935,618 | 809,133 | 853,964 | (5,583) | 361,897 | 242,135 | 7,247,101 | 96,590 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 507,878 | 11,452,649 | 6,185,536 | 10,714,541 | (235,263) | 589,652 | 313,979 | 7,278,033 | 72,515 | ||||||||
SPDR Gold Shares | 37,649 | 6,711,687 | 3,131,449 | 2,938,417 | (213,407) | 549,634 | 37,877 | 7,240,946 | — | ||||||||
SPDR Portfolio Aggregate Bond ETF | 270,297 | 6,857,435 | 20,533,846 | 11,288,443 | (58,716) | 596,623 | 649,015 | 16,640,745 | 226,116 | ||||||||
SPDR Portfolio Developed World ex-U.S. ETF | 1,116,902 | 36,343,991 | 7,547,830 | 8,351,598 | 501,079 | 1,189,479 | 1,094,701 | 37,230,781 | 380,320 | ||||||||
SPDR Portfolio Emerging Markets ETF | 462,602 | 15,904,257 | 6,798,033 | 1,959,511 | (40,407) | 630,382 | 602,450 | 21,332,754 | 326,699 | ||||||||
SPDR Portfolio Europe ETF | 384,632 | 14,812,178 | 2,741,323 | 17,370,706 | 1,273,915 | (1,456,710) | — | — | — | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | — | — | 5,915,133 | 197,932 | 1,021 | 186,786 | 206,758 | 5,905,008 | 37,050 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 154,046 | 4,605,975 | 3,798,575 | 4,352,925 | (665,475) | 250,840 | 125,327 | 3,636,990 | 51,819 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 148,000 | 5,748,320 | 9,669,740 | 3,590,629 | (62,192) | 633,530 | 293,949 | 12,398,769 | 108,806 | ||||||||
SPDR S&P 500 ETF Trust | 125,343 | 55,562,045 | 27,890,529 | 27,775,979 | 2,389,988 | 1,660,396 | 125,659 | 59,726,979 | 436,976 | ||||||||
SPDR S&P International Small Cap ETF | 220,444 | 6,725,747 | 929,489 | 608,282 | (8,408) | 282,134 | 230,500 | 7,320,680 | 82,725 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 9,792 | 4,689,487 | 614,610 | 708,718 | 152,853 | 118,557 | 9,592 | 4,866,789 | 33,511 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,331,839 | 10,331,839 | 16,883,998 | 19,935,006 | — | — | 7,280,831 | 7,280,831 | 373,146 | ||||||||
State Street Navigator Securities Lending Portfolio II | 41,508,999 | 41,508,999 | 973,495,590 | 1,003,350,438 | — | — | 11,654,151 | 11,654,151 | 160,935 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 9,439,412 | 4,876,012 | 17,730 | 234,484 | 66,276 | 4,815,614 | 11,416 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 28,532 | 4,845,019 | 2,543,790 | 7,177,879 | (21,964) | (188,966) | — | — | 8,266 | ||||||||
The Energy Select Sector SPDR Fund | — | — | 5,571,530 | 393,018 | (10,286) | (440,908) | 56,385 | 4,727,318 | 79,653 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 2,277,038 | 2,449,648 | 184,007 | 1,312 | 338 | 12,709 | 61 | ||||||||
The Health Care Select Sector SPDR Fund | 35,191 | 4,670,901 | — | 4,583,236 | (8,069) | (79,596) | — | — | — | ||||||||
The Industrial Select Sector SPDR Fund | 44,587 | 4,785,077 | 2,656,602 | 7,267,828 | 83,647 | (257,498) | — | — | 18,918 | ||||||||
The Technology Select Sector SPDR Fund | — | — | 4,601,687 | 257,967 | 9,047 | 397,640 | 24,680 | 4,750,407 | 10,329 | ||||||||
Total | $271,138,183 | $1,120,239,845 | $1,148,648,798 | $3,065,524 | $ 5,512,503 | $251,307,257 | $3,304,868 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 66.6% | ||||||
AEROSPACE & DEFENSE — 1.5% | ||||||
Boeing Co.: | ||||||
1.43%, 2/4/2024 | $ 1,000,000 | $ 995,980 | ||||
4.88%, 5/1/2025 | 5,000,000 | 4,977,300 | ||||
L3Harris Technologies, Inc. 5.40%, 1/15/2027 | 1,665,000 | 1,700,032 | ||||
RTX Corp. 5.75%, 11/8/2026 | 870,000 | 893,516 | ||||
8,566,828 | ||||||
AGRICULTURE — 0.5% | ||||||
Imperial Brands Finance PLC 3.13%, 7/26/2024 (a) | 408,000 | 401,354 | ||||
Philip Morris International, Inc. 5.13%, 11/15/2024 | 2,500,000 | 2,495,325 | ||||
2,896,679 | ||||||
APPAREL — 0.1% | ||||||
Tapestry, Inc. 7.05%, 11/27/2025 | 625,000 | 639,719 | ||||
AUTO MANUFACTURERS — 5.7% | ||||||
American Honda Finance Corp.: | ||||||
Series GMTN, 5.80%, 10/3/2025 | 3,000,000 | 3,053,490 | ||||
SOFR + 0.92%, 6.29%, 1/12/2026 (b) | 2,915,000 | 2,926,543 | ||||
Daimler Truck Finance North America LLC: | ||||||
5.15%, 1/16/2026 (a) | 3,000,000 | 3,009,030 | ||||
5.20%, 1/17/2025 (a) | 1,500,000 | 1,499,340 | ||||
SOFR + 0.75%, 6.17%, 12/13/2024 (a) (b) | 1,000,000 | 998,990 | ||||
Ford Motor Credit Co. LLC: | ||||||
2.30%, 2/10/2025 | 1,680,000 | 1,615,942 | ||||
5.58%, 3/18/2024 | 2,000,000 | 1,997,080 | ||||
General Motors Financial Co., Inc.: | ||||||
3.80%, 4/7/2025 | 2,000,000 | 1,959,840 | ||||
5.40%, 4/6/2026 | 925,000 | 931,410 | ||||
Hyundai Capital America 0.80%, 1/8/2024 (a) | 1,000,000 | 999,310 | ||||
Mercedes-Benz Finance North America LLC: | ||||||
5.50%, 11/27/2024 (a) | 5,000,000 | 5,006,050 | ||||
SOFR + 0.93%, 6.36%, 3/30/2025 (a) (b) | 4,000,000 | 4,022,600 | ||||
Nissan Motor Acceptance Co. LLC: | ||||||
3 mo. USD Term SOFR + 0.90%, 6.28%, 3/8/2024 (a) (b) | 1,000,000 | 999,360 | ||||
6.95%, 9/15/2026 (a) | 500,000 | 516,900 |
Security Description | Principal Amount | Value | ||||
Toyota Motor Credit Corp. SOFR + 0.56%, 5.93%, 1/10/2025 (b) | $ 3,335,000 | $ 3,333,733 | ||||
32,869,618 | ||||||
BANKS — 21.1% | ||||||
Bank of America Corp. Series MTN, SOFR + 0.67%, 1.84%, 2/4/2025 (b) | 10,000,000 | 9,961,900 | ||||
Bank of America NA SOFR + 0.78%, 6.18%, 8/18/2025 (b) | 5,000,000 | 5,008,100 | ||||
Barclays Bank PLC 3.75%, 5/15/2024 | 2,000,000 | 1,985,600 | ||||
Canadian Imperial Bank of Commerce 5.93%, 10/2/2026 | 2,500,000 | 2,570,175 | ||||
Citibank NA 5.86%, 9/29/2025 | 1,880,000 | 1,911,772 | ||||
Citigroup, Inc.: | ||||||
SOFR + 1.37%, 4.14%, 5/24/2025 (b) | 1,500,000 | 1,491,105 | ||||
SOFR + 0.69%, 6.07%, 10/30/2024 (b) | 7,000,000 | 6,996,500 | ||||
Discover Bank 2.45%, 9/12/2024 | 2,000,000 | 1,949,920 | ||||
Goldman Sachs Group, Inc.: | ||||||
5.70%, 11/1/2024 | 5,000,000 | 5,012,450 | ||||
SOFR + 0.49%, 5.87%, 10/21/2024 (b) | 1,500,000 | 1,497,060 | ||||
SOFR + 0.51%, 5.92%, 9/10/2024 (b) | 5,000,000 | 4,992,200 | ||||
HSBC Holdings PLC: | ||||||
4.25%, 3/14/2024 | 1,000,000 | 995,800 | ||||
SOFR + 1.43%, 6.85%, 3/10/2026 (b) | 1,000,000 | 1,003,100 | ||||
HSBC USA, Inc. 5.63%, 3/17/2025 | 3,000,000 | 3,016,470 | ||||
Huntington Bancshares, Inc. 2.63%, 8/6/2024 | 7,333,000 | 7,190,960 | ||||
JPMorgan Chase & Co. 3 mo. USD Term SOFR + 0.58%, 0.97%, 6/23/2025 (b) | 5,000,000 | 4,883,100 | ||||
KeyBank NA: | ||||||
4.15%, 8/8/2025 | 770,000 | 747,185 | ||||
SOFR + 0.32%, 5.74%, 6/14/2024 (b) | 1,000,000 | 992,210 | ||||
Macquarie Group Ltd. SOFR + 0.71%, 6.08%, 10/14/2025 (a) (b) | 1,000,000 | 993,250 | ||||
Mitsubishi UFJ Financial Group, Inc. 1 yr. CMT + 1.70%, 4.79%, 7/18/2025 (b) | 5,000,000 | 4,976,850 | ||||
Morgan Stanley: | ||||||
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025 (b) | 1,500,000 | 1,495,590 |
Security Description | Principal Amount | Value | ||||
SOFR + 1.16%, 3.62%, 4/17/2025 (b) | $ 5,000,000 | $ 4,969,700 | ||||
Series F, 3.88%, 4/29/2024 | 4,000,000 | 3,976,840 | ||||
Morgan Stanley Bank NA 5.88%, 10/30/2026 | 5,000,000 | 5,149,150 | ||||
National Australia Bank Ltd. 1.39%, 1/12/2025 (a) | 1,500,000 | 1,447,935 | ||||
NatWest Markets PLC SOFR + 0.53%, 5.93%, 8/12/2024 (a) (b) | 2,125,000 | 2,124,533 | ||||
Royal Bank of Canada Series GMTN, SOFR + 0.53%, 5.90%, 1/20/2026 (b) | 500,000 | 495,720 | ||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||
4.44%, 4/2/2024 (a) | 5,000,000 | 4,982,500 | ||||
SOFR + 1.43%, 6.80%, 1/13/2026 (b) | 2,000,000 | 2,014,240 | ||||
Sumitomo Mitsui Trust Bank Ltd.: | ||||||
0.80%, 9/16/2024 (a) | 2,500,000 | 2,419,400 | ||||
SOFR + 0.44%, 5.86%, 9/16/2024 (a) (b) | 1,500,000 | 1,497,210 | ||||
Toronto-Dominion Bank: | ||||||
Series MTN, SOFR + 0.35%, 5.77%, 9/10/2024 (b) | 1,515,000 | 1,512,212 | ||||
Series MTN, SOFR + 0.91%, 6.33%, 3/8/2024 (b) | 2,000,000 | 2,000,640 | ||||
Truist Bank SOFR + 0.20%, 5.57%, 1/17/2024 (b) | 1,000,000 | 999,430 | ||||
U.S. Bancorp Series MTN, 3.60%, 9/11/2024 | 10,000,000 | 9,861,700 | ||||
UBS AG SOFR + 0.36%, 5.75%, 2/9/2024 (a) (b) | 3,930,000 | 3,929,607 | ||||
Wells Fargo & Co. Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025 (b) | 4,500,000 | 4,381,335 | ||||
121,433,449 | ||||||
BEVERAGES — 1.4% | ||||||
Constellation Brands, Inc. 5.00%, 2/2/2026 | 1,000,000 | 999,830 | ||||
PepsiCo, Inc. SOFR + 0.40%, 5.80%, 11/12/2024 (b) | 7,000,000 | 7,011,130 | ||||
8,010,960 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Amgen, Inc. 5.51%, 3/2/2026 | 1,455,000 | 1,455,655 | ||||
CHEMICALS — 0.6% | ||||||
LyondellBasell Industries NV 5.75%, 4/15/2024 | 2,000,000 | 1,998,620 |
Security Description | Principal Amount | Value | ||||
Nutrien Ltd. 5.90%, 11/7/2024 | $ 830,000 | $ 832,199 | ||||
Sherwin-Williams Co. 4.05%, 8/8/2024 | 875,000 | 866,644 | ||||
3,697,463 | ||||||
COMMERCIAL SERVICES — 0.1% | ||||||
Cintas Corp. No. 2 3.45%, 5/1/2025 | 585,000 | 574,037 | ||||
CONSTRUCTION MATERIALS — 0.6% | ||||||
Vulcan Materials Co. 5.80%, 3/1/2026 | 3,330,000 | 3,332,098 | ||||
COSMETICS/PERSONAL CARE — 0.2% | ||||||
Kenvue, Inc. 5.50%, 3/22/2025 | 1,040,000 | 1,048,746 | ||||
DIVERSIFIED FINANCIAL SERVICES — 5.7% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.45%, 4/15/2027 (a) | 915,000 | 947,528 | ||||
Ally Financial, Inc. 5.13%, 9/30/2024 | 3,000,000 | 2,985,030 | ||||
Charles Schwab Corp.: | ||||||
0.75%, 3/18/2024 | 5,000,000 | 4,948,000 | ||||
5.88%, 8/24/2026 | 7,000,000 | 7,178,990 | ||||
Nasdaq, Inc. 5.65%, 6/28/2025 | 645,000 | 651,199 | ||||
Stifel Financial Corp. 4.25%, 7/18/2024 | 1,000,000 | 990,250 | ||||
Synchrony Financial: | ||||||
4.25%, 8/15/2024 | 6,597,000 | 6,516,055 | ||||
4.38%, 3/19/2024 | 8,805,000 | 8,768,459 | ||||
32,985,511 | ||||||
ELECTRIC — 4.8% | ||||||
CenterPoint Energy, Inc. SOFR + 0.65%, 6.05%, 5/13/2024 (b) | 750,000 | 750,067 | ||||
DTE Energy Co. 4.22%, 11/1/2024 (c) | 1,250,000 | 1,234,050 | ||||
Eversource Energy 4.20%, 6/27/2024 | 3,080,000 | 3,057,424 | ||||
Jersey Central Power & Light Co. 4.70%, 4/1/2024 (a) | 1,888,000 | 1,880,297 | ||||
National Rural Utilities Cooperative Finance Corp. Series D, SOFR + 0.33%, 5.70%, 10/18/2024 (b) | 2,500,000 | 2,498,125 | ||||
NextEra Energy Capital Holdings, Inc.: | ||||||
4.26%, 9/1/2024 | 1,250,000 | 1,239,112 | ||||
5.75%, 9/1/2025 | 1,500,000 | 1,515,735 | ||||
6.05%, 3/1/2025 | 875,000 | 882,884 | ||||
SOFR + 1.02%, 6.45%, 3/21/2024 (b) | 1,500,000 | 1,500,690 |
Security Description | Principal Amount | Value | ||||
Southern California Edison Co. SOFR + 0.83%, 6.27%, 4/1/2024 (b) | $ 640,000 | $ 639,917 | ||||
Southwestern Public Service Co. 3.30%, 6/15/2024 | 6,982,000 | 6,904,639 | ||||
Tampa Electric Co. 3.88%, 7/12/2024 | 1,670,000 | 1,652,983 | ||||
Virginia Electric & Power Co. 3.45%, 2/15/2024 | 4,015,000 | 3,998,739 | ||||
27,754,662 | ||||||
ELECTRONICS — 0.4% | ||||||
Arrow Electronics, Inc. 6.13%, 3/1/2026 | 2,500,000 | 2,503,550 | ||||
ENTERTAINMENT — 0.8% | ||||||
Warnermedia Holdings, Inc.: | ||||||
3.53%, 3/15/2024 | 2,000,000 | 1,988,540 | ||||
3.64%, 3/15/2025 | 1,000,000 | 978,960 | ||||
6.41%, 3/15/2026 | 1,630,000 | 1,631,255 | ||||
4,598,755 | ||||||
HAND & MACHINE TOOLS — 0.4% | ||||||
Stanley Black & Decker, Inc. 6.27%, 3/6/2026 | 2,500,000 | 2,506,125 | ||||
HEALTH CARE PRODUCTS — 0.3% | ||||||
GE HealthCare Technologies, Inc. 5.55%, 11/15/2024 | 1,000,000 | 1,000,600 | ||||
Revvity, Inc. 0.85%, 9/15/2024 | 1,000,000 | 965,850 | ||||
1,966,450 | ||||||
INSURANCE — 2.3% | ||||||
Athene Global Funding: | ||||||
2.75%, 6/25/2024 (a) | 4,060,000 | 3,989,316 | ||||
SOFR + 0.70%, 6.11%, 5/24/2024 (a) (b) | 1,000,000 | 999,060 | ||||
Corebridge Global Funding 5.75%, 7/2/2026 (a) | 2,500,000 | 2,531,375 | ||||
Pacific Life Global Funding II SOFR + 0.62%, 6.03%, 6/4/2026 (a) (b) | 4,168,000 | 4,136,448 | ||||
Pricoa Global Funding I 2.40%, 9/23/2024 (a) | 1,500,000 | 1,465,350 | ||||
13,121,549 | ||||||
INVESTMENT COMPANY SECURITY — 0.3% | ||||||
ARES Capital Corp. 7.00%, 1/15/2027 | 500,000 | 514,745 | ||||
Blackstone Private Credit Fund 2.35%, 11/22/2024 | 1,000,000 | 967,750 | ||||
1,482,495 | ||||||
IT SERVICES — 0.3% | ||||||
Apple, Inc. 4.42%, 5/8/2026 | 1,785,000 | 1,786,267 |
Security Description | Principal Amount | Value | ||||
MACHINERY, CONSTRUCTION & MINING — 1.0% | ||||||
Caterpillar Financial Services Corp.: | ||||||
4.80%, 1/6/2026 | $ 2,500,000 | $ 2,517,075 | ||||
5.15%, 8/11/2025 | 3,500,000 | 3,526,040 | ||||
6,043,115 | ||||||
MACHINERY-DIVERSIFIED — 1.2% | ||||||
John Deere Capital Corp.: | ||||||
Series MTN, 3.40%, 6/6/2025 | 1,390,000 | 1,367,816 | ||||
Series MTN, 4.05%, 9/8/2025 | 2,000,000 | 1,982,400 | ||||
Series MTN, 4.80%, 1/9/2026 | 2,000,000 | 2,010,900 | ||||
Series MTN, SOFR + 0.20%, 5.56%, 10/11/2024 (b) | 1,500,000 | 1,498,140 | ||||
6,859,256 | ||||||
MEDIA — 0.2% | ||||||
Discovery Communications LLC 3.80%, 3/13/2024 | 1,117,000 | 1,111,750 | ||||
MINING — 1.6% | ||||||
BHP Billiton Finance USA Ltd. 4.88%, 2/27/2026 | 4,000,000 | 4,021,720 | ||||
Glencore Funding LLC 4.13%, 3/12/2024 (a) | 5,000,000 | 4,977,800 | ||||
8,999,520 | ||||||
MISCELLANEOUS MANUFACTURER — 2.6% | ||||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 11,000,000 | 10,895,060 | ||||
Siemens Financieringsmaatschappij NV: | ||||||
SOFR + 0.43%, 5.85%, 3/11/2024 (a) (b) | 1,000,000 | 1,000,060 | ||||
6.13%, 8/17/2026 (a) | 3,000,000 | 3,110,340 | ||||
15,005,460 | ||||||
OIL & GAS — 0.9% | ||||||
Chevron USA, Inc. 3.90%, 11/15/2024 | 1,000,000 | 990,770 | ||||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 750,000 | 690,510 | ||||
Occidental Petroleum Corp. 6.95%, 7/1/2024 | 2,500,000 | 2,513,725 | ||||
Pioneer Natural Resources Co. 5.10%, 3/29/2026 | 795,000 | 800,565 | ||||
4,995,570 | ||||||
PACKAGING & CONTAINERS — 0.4% | ||||||
Graphic Packaging International LLC 0.82%, 4/15/2024 (a) | 1,000,000 | 985,540 | ||||
Sonoco Products Co. 1.80%, 2/1/2025 | 1,470,000 | 1,414,463 | ||||
2,400,003 |
Security Description | Principal Amount | Value | ||||
PHARMACEUTICALS — 2.1% | ||||||
Astrazeneca Finance LLC 0.70%, 5/28/2024 | $ 2,000,000 | $ 1,961,560 | ||||
Cigna Group 5.69%, 3/15/2026 | 5,000,000 | 5,002,850 | ||||
Eli Lilly & Co. 5.00%, 2/27/2026 | 1,555,000 | 1,555,715 | ||||
Pfizer Investment Enterprises Pte. Ltd. 4.65%, 5/19/2025 | 2,240,000 | 2,234,893 | ||||
Viatris, Inc. 1.65%, 6/22/2025 | 1,500,000 | 1,420,515 | ||||
12,175,533 | ||||||
PIPELINES — 1.4% | ||||||
Enbridge, Inc.: | ||||||
5.90%, 11/15/2026 | 1,085,000 | 1,114,176 | ||||
5.97%, 3/8/2026 | 1,820,000 | 1,820,637 | ||||
Energy Transfer LP 6.05%, 12/1/2026 | 2,000,000 | 2,056,180 | ||||
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 1,000,000 | 1,001,930 | ||||
Williams Cos., Inc. 4.55%, 6/24/2024 | 2,000,000 | 1,989,340 | ||||
7,982,263 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | ||||||
Realty Income Corp. 5.05%, 1/13/2026 | 1,115,000 | 1,114,443 | ||||
RETAIL — 0.6% | ||||||
7-Eleven, Inc. 0.80%, 2/10/2024 (a) | 2,000,000 | 1,988,940 | ||||
Dollar General Corp. 4.25%, 9/20/2024 | 1,090,000 | 1,077,846 | ||||
Genuine Parts Co. 1.75%, 2/1/2025 | 660,000 | 634,590 | ||||
3,701,376 | ||||||
SEMICONDUCTORS — 1.1% | ||||||
Intel Corp. 4.88%, 2/10/2026 | 5,565,000 | 5,606,348 | ||||
NXP BV/NXP Funding LLC 4.88%, 3/1/2024 | 750,000 | 748,372 | ||||
6,354,720 | ||||||
SOFTWARE — 2.5% | ||||||
Intuit, Inc. 5.25%, 9/15/2026 | 2,500,000 | 2,550,050 | ||||
Microsoft Corp. 3.40%, 9/15/2026 (a) | 2,250,000 | 2,192,895 | ||||
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | 10,000,000 | 9,937,000 | ||||
14,679,945 | ||||||
TELECOMMUNICATIONS — 2.1% | ||||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 1,500,000 | 1,483,110 |
Security Description | Principal Amount | Value | ||||
5.54%, 2/20/2026 | $ 4,000,000 | $ 4,002,840 | ||||
NTT Finance Corp. 0.58%, 3/1/2024 (a) | 2,000,000 | 1,984,400 | ||||
Verizon Communications, Inc.: | ||||||
4.13%, 3/16/2027 | 3,000,000 | 2,957,340 | ||||
SOFR + 0.50%, 5.93%, 3/22/2024 (b) | 1,500,000 | 1,500,405 | ||||
11,928,095 | ||||||
TRANSPORTATION — 0.4% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 1,000,000 | 964,180 | ||||
JB Hunt Transport Services, Inc. 3.85%, 3/15/2024 | 1,281,000 | 1,273,570 | ||||
2,237,750 | ||||||
TRUCKING & LEASING — 0.9% | ||||||
GATX Corp. 4.35%, 2/15/2024 | 5,414,000 | 5,396,350 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $383,343,979) | 384,215,765 | |||||
ASSET-BACKED SECURITIES — 8.7% | ||||||
AUTOMOBILE — 5.6% | ||||||
Honda Auto Receivables Owner Trust Series 2023-4, Class A2, 5.87%, 6/22/2026 | 6,000,000 | 6,040,777 | ||||
Hyundai Auto Lease Securitization Trust Series 2023-A, Class A3, 5.05%, 1/15/2026 (a) | 10,000,000 | 9,974,710 | ||||
Mercedes-Benz Auto Lease Trust Series 2023-A, Class A3, 4.74%, 1/15/2027 | 10,000,000 | 9,954,990 | ||||
Toyota Auto Receivables Owner Trust Series 2023-D, Class A2A, 5.80%, 11/16/2026 | 6,500,000 | 6,540,489 | ||||
32,510,966 | ||||||
CREDIT CARD — 3.1% | ||||||
American Express Credit Account Master Trust Series 2022-2, Class A, 3.39%, 5/15/2027 | 18,000,000 | 17,627,812 | ||||
TOTAL ASSET-BACKED SECURITIES (Cost $49,617,016) | 50,138,778 | |||||
U.S. TREASURY OBLIGATIONS — 13.0% | ||||||
U.S. Treasury Bills 5.27%, 1/25/2024 (d) (Cost $39,859,120) | 40,000,000 | 39,865,005 |
Security Description | Principal Amount | Value | |||
U.S. Treasury Notes: | |||||
4.00%, 6/30/2028 | $ 6,746,000 | $ 6,778,676 | |||
4.75%, 7/31/2025 | 24,254,100 | 24,365,897 | |||
5.00%, 9/30/2025 | 3,738,000 | 3,776,402 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $74,371,776) | 74,785,980 | ||||
MORTGAGE-BACKED SECURITIES — 1.8% | |||||
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 mo. USD Term SOFR + 1.55%, 6.91%, 7/15/2035 (a) (b) | 2,870,000 | 2,852,618 | |||
CSMC Trust Capital Certificates Series 2019-ICE4, Class A, 1 mo. USD Term SOFR + 1.03%, 6.39%, 5/15/2036 (a) (b) | 7,331,760 | 7,320,924 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $10,169,381) | 10,173,542 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.2% | |||||
BPR Trust Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.26%, 4/15/2037 (a) (b) | 1,800,000 | 1,770,586 | |||
BX Commercial Mortgage Trust Series 2019-XL, Class A, 1 mo. USD Term SOFR + 1.03%, 6.40%, 10/15/2036 (a) (b) | 638,379 | 636,733 | |||
BX Mortgage Trust Series 2021-PAC, Class B, 1 mo. USD Term SOFR + 1.01%, 6.38%, 10/15/2036 (a) (b) | 2,500,000 | 2,427,844 | |||
Cold Storage Trust: | |||||
Series 2020-ICE5, Class A, 1 mo. USD Term SOFR + 1.01%, 6.37%, 11/15/2037 (a) (b) | 3,178,991 | 3,158,777 | |||
Series 2020-ICE5, Class B, 1 mo. USD Term SOFR + 1.41%, 6.77%, 11/15/2037 (a) (b) | 4,914,953 | 4,856,034 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $12,973,067) | 12,849,974 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 6.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (e) (f) (Cost $38,837,338) | 38,837,338 | $ 38,837,338 | ||||
TOTAL INVESTMENTS — 99.0% (Cost $569,312,557) | 571,001,377 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 5,502,943 | |||||
NET ASSETS — 100.0% | $ 576,504,320 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 17.5% of net assets as of December 31, 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 December 31, 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 December 31, 2023. Maturity date shown is the final maturity. |
(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 December 31, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2023. |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Note Futures (short) | (123) | 03/28/2024 | $(25,157,626) | $(25,327,429) | $(169,803) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 188 | 03/28/2024 | 19,947,094 | 20,449,040 | 501,946 | |||||
$ 332,143 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $384,215,765 | $— | $384,215,765 | ||||
Asset-Backed Securities | — | 50,138,778 | — | 50,138,778 | ||||
U.S. Treasury Obligations | — | 74,785,980 | — | 74,785,980 | ||||
Mortgage-Backed Securities | — | 10,173,542 | — | 10,173,542 | ||||
Commercial Mortgage Backed Securities | — | 12,849,974 | — | 12,849,974 | ||||
Short-Term Investment | 38,837,338 | — | — | 38,837,338 | ||||
TOTAL INVESTMENTS | $38,837,338 | $532,164,039 | $— | $571,001,377 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Appreciation | $ 501,946 | $ — | $— | $ 501,946 | ||||
Futures Contracts - Unrealized Depreciation | (169,803) | — | — | (169,803) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 332,143 | $ — | $— | $ 332,143 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 49,808,408 | $49,808,408 | $360,887,436 | $371,858,506 | $— | $— | 38,837,338 | $38,837,338 | $1,978,818 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 58.4% | |||||
AUSTRALIA — 0.6% | |||||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.38%, 4/1/2031 (a) | $ 9,000 | $ 8,144 | |||
5.88%, 4/15/2030 (a) | 78,000 | 77,338 | |||
Northern Star Resources Ltd. 6.13%, 4/11/2033 (a) | 126,000 | 126,569 | |||
212,051 | |||||
BRAZIL — 0.3% | |||||
Petrobras Global Finance BV 6.50%, 7/3/2033 | 105,000 | 106,293 | |||
CANADA — 2.0% | |||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP 8.75%, 7/15/2026 (a) | 20,000 | 18,745 | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC 6.25%, 9/15/2027 (a) | 7,000 | 6,810 | |||
Enbridge, Inc. 6.20%, 11/15/2030 | 140,000 | 149,838 | |||
Garda World Security Corp. 9.50%, 11/1/2027 (a) | 33,000 | 33,291 | |||
Magna International, Inc. 5.98%, 3/21/2026 | 183,000 | 183,406 | |||
Nutrien Ltd.: | |||||
4.90%, 3/27/2028 | 73,000 | 73,769 | |||
5.80%, 3/27/2053 | 16,000 | 17,161 | |||
Strathcona Resources Ltd. 6.88%, 8/1/2026 (a) | 44,000 | 42,084 | |||
TransCanada PipeLines Ltd. 6.20%, 3/9/2026 | 219,000 | 218,963 | |||
744,067 | |||||
CHINA — 0.8% | |||||
Alibaba Group Holding Ltd. 3.15%, 2/9/2051 | 129,000 | 85,591 | |||
Li Auto, Inc. 0.25%, 5/1/2028 | 10,000 | 14,689 | |||
NXP BV/NXP Funding LLC/NXP USA, Inc. 5.00%, 1/15/2033 | 44,000 | 43,926 | |||
Prosus NV 4.19%, 1/19/2032 (a) | 165,000 | 142,100 | |||
286,306 | |||||
DENMARK — 0.3% | |||||
AP Moller - Maersk AS 5.88%, 9/14/2033 (a) | 100,000 | 104,085 | |||
FRANCE — 0.4% | |||||
BNP Paribas SA 5 yr. CMT + 3.20%, 4.63%, 1/12/2027 (a) (b) | 165,000 | 144,406 |
Security Description | Principal Amount | Value | |||
GERMANY — 0.5% | |||||
Deutsche Bank AG: | |||||
SOFR + 1.72%, 3.04%, 5/28/2032 (b) | $ 90,000 | $ 75,166 | |||
SOFR + 1.87%, 2.13%, 11/24/2026 (b) | 125,000 | 117,156 | |||
192,322 | |||||
HONG KONG — 0.1% | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 50,000 | 41,901 | |||
IRELAND — 0.6% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.30%, 1/30/2032 | 90,000 | 78,377 | |||
Bank of Ireland Group PLC 1 yr. CMT + 2.65%, 6.25%, 9/16/2026 (a) (b) | 165,000 | 166,828 | |||
245,205 | |||||
ITALY — 2.1% | |||||
Intesa Sanpaolo SpA: | |||||
5.02%, 6/26/2024 (a) | 165,000 | 163,263 | |||
1 yr. CMT + 3.90%, 7.78%, 6/20/2054 (a) (b) | 200,000 | 207,838 | |||
UniCredit SpA 5 yr. USD ICE Swap + 4.91%, 7.30%, 4/2/2034 (a) (b) | 406,000 | 418,882 | |||
789,983 | |||||
JAPAN — 0.4% | |||||
NTT Finance Corp. 4.14%, 7/26/2024 (a) | 165,000 | 163,916 | |||
NETHERLANDS — 0.5% | |||||
ING Groep NV SOFR + 1.56%, 6.98%, 9/11/2027 (b) | 200,000 | 200,606 | |||
SPAIN — 0.4% | |||||
Banco Santander SA VRN, 5 yr. USD ICE Swap + 4.99%, 7.50%, 2/8/2024 (b) | 172,000 | 172,000 | |||
SWITZERLAND — 1.7% | |||||
Credit Suisse AG 4.75%, 8/9/2024 | 410,000 | 407,253 | |||
UBS Group AG SOFR + 3.70%, 6.44%, 8/11/2028 (a) (b) | 214,000 | 222,008 | |||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.: | |||||
7.88%, 5/1/2027 (a) | 9,000 | 7,792 | |||
9.50%, 6/1/2028 (a) | 21,000 | 17,766 | |||
654,819 | |||||
UNITED KINGDOM — 2.0% | |||||
Barclays PLC 5 yr. CMT + 3.41%, 4.38%, 3/15/2028 (b) | 284,000 | 222,244 | |||
British Telecommunications PLC 9.63%, 12/15/2030 | 95,000 | 117,587 |
Security Description | Principal Amount | Value | |||
HSBC Holdings PLC SOFR + 3.02%, 7.40%, 11/13/2034 (b) | $ 200,000 | $ 219,580 | |||
Standard Chartered PLC 1 yr. CMT + 0.95%, 1.82%, 11/23/2025 (a) (b) | 165,000 | 159,004 | |||
TechnipFMC PLC 6.50%, 2/1/2026 (a) | 36,000 | 35,961 | |||
754,376 | |||||
UNITED STATES — 45.7% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (a) | 91,000 | 88,068 | |||
Advanced Drainage Systems, Inc. 6.38%, 6/15/2030 (a) | 5,000 | 5,067 | |||
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (a) | 42,000 | 38,706 | |||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 23,000 | 20,224 | |||
Ally Financial, Inc. SOFR + 2.82%, 6.85%, 1/3/2030 (b) | 125,000 | 128,534 | |||
Amazon.com, Inc. 3.10%, 5/12/2051 | 85,000 | 63,531 | |||
AMC Networks, Inc. 4.25%, 2/15/2029 | 50,000 | 38,398 | |||
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (a) | 34,000 | 32,260 | |||
American Express Co. 5.85%, 11/5/2027 | 35,000 | 36,521 | |||
American International Group, Inc. Series A-9, 3 mo. USD Term SOFR + 2.87%, 5.75%, 4/1/2048 (b) | 17,000 | 16,804 | |||
American Tower Corp. 2.30%, 9/15/2031 | 145,000 | 120,070 | |||
Ameriprise Financial, Inc. 4.50%, 5/13/2032 | 44,000 | 43,693 | |||
Amgen, Inc. 4.20%, 3/1/2033 | 90,000 | 85,634 | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75%, 1/15/2028 (a) | 94,000 | 93,009 | |||
Apple, Inc. 4.00%, 5/10/2028 | 120,000 | 119,696 | |||
APX Group, Inc. 5.75%, 7/15/2029 (a) | 55,000 | 51,345 | |||
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 27,000 | 23,538 | |||
Arcosa, Inc. 4.38%, 4/15/2029 (a) | 24,000 | 22,347 | |||
Aretec Group, Inc. 7.50%, 4/1/2029 (a) | 31,000 | 27,900 | |||
Armor Holdco, Inc. 8.50%, 11/15/2029 (a) | 17,000 | 15,464 |
Security Description | Principal Amount | Value | |||
Artera Services LLC 9.03%, 12/4/2025 (a) | $ 27,000 | $ 25,610 | |||
Arthur J Gallagher & Co. 6.50%, 2/15/2034 | 95,000 | 103,975 | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (a) | 32,000 | 28,857 | |||
AT&T, Inc.: | |||||
3.55%, 9/15/2055 | 44,000 | 31,723 | |||
3.65%, 9/15/2059 | 56,000 | 40,220 | |||
3.80%, 12/1/2057 | 7,000 | 5,210 | |||
Avnet, Inc. 5.50%, 6/1/2032 | 42,000 | 41,676 | |||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 153,000 | 138,162 | |||
Bank of America Corp.: | |||||
5 yr. CMT + 1.20%, 2.48%, 9/21/2036 (b) | 95,000 | 75,376 | |||
SOFR + 1.99%, 6.20%, 11/10/2028 (b) | 130,000 | 135,755 | |||
Series MTN, SOFR + 1.33%, 6.77%, 4/2/2026 (b) | 295,000 | 295,601 | |||
Beacon Roofing Supply, Inc. 4.50%, 11/15/2026 (a) | 5,000 | 4,854 | |||
Beazer Homes USA, Inc. 5.88%, 10/15/2027 | 48,000 | 46,860 | |||
BellRing Brands, Inc. 7.00%, 3/15/2030 (a) | 29,000 | 30,166 | |||
BGC Group, Inc. 4.38%, 12/15/2025 | 127,000 | 121,956 | |||
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | 124,000 | 116,003 | |||
BlackRock, Inc. 2.10%, 2/25/2032 | 63,000 | 52,668 | |||
Blackstone Mortgage Trust, Inc. 3.75%, 1/15/2027 (a) | 85,000 | 75,989 | |||
Blackstone Private Credit Fund: | |||||
2.35%, 11/22/2024 | 200,000 | 193,550 | |||
2.63%, 12/15/2026 | 131,000 | 118,702 | |||
Blackstone Secured Lending Fund: | |||||
2.75%, 9/16/2026 | 130,000 | 119,079 | |||
2.85%, 9/30/2028 | 46,000 | 39,879 | |||
Block, Inc. 0.13%, 3/1/2025 | 20,000 | 19,572 | |||
Blue Owl Capital Corp. II 8.45%, 11/15/2026 (a) | 55,000 | 56,703 | |||
Blue Owl Credit Income Corp. 5.50%, 3/21/2025 | 100,000 | 98,546 | |||
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (a) | 45,000 | 41,717 | |||
Boise Cascade Co. 4.88%, 7/1/2030 (a) | 88,000 | 82,607 | |||
Booking Holdings, Inc. 0.75%, 5/1/2025 | 5,000 | 9,440 |
Security Description | Principal Amount | Value | |||
Brand Industrial Services, Inc. 10.38%, 8/1/2030 (a) | $ 23,000 | $ 24,369 | |||
Bristow Group, Inc. 6.88%, 3/1/2028 (a) | 41,000 | 39,666 | |||
Broadcom, Inc.: | |||||
3.50%, 2/15/2041 (a) | 204,000 | 161,903 | |||
4.15%, 4/15/2032 (a) | 116,000 | 109,477 | |||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC 4.50%, 4/1/2027 (a) | 52,000 | 46,829 | |||
Builders FirstSource, Inc. 5.00%, 3/1/2030 (a) | 17,000 | 16,423 | |||
California Resources Corp. 7.13%, 2/1/2026 (a) | 99,000 | 100,537 | |||
Carpenter Technology Corp.: | |||||
6.38%, 7/15/2028 | 5,000 | 5,019 | |||
7.63%, 3/15/2030 | 39,000 | 40,367 | |||
Carriage Purchaser, Inc. 7.88%, 10/15/2029 (a) | 24,000 | 19,686 | |||
Caterpillar Financial Services Corp. Series MTN, 3.65%, 8/12/2025 | 85,000 | 83,642 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 2/1/2031 (a) | 96,000 | 83,870 | |||
4.50%, 8/15/2030 (a) | 85,000 | 76,769 | |||
4.75%, 2/1/2032 (a) | 130,000 | 114,626 | |||
CenterPoint Energy Houston Electric LLC 5.30%, 4/1/2053 | 16,000 | 16,768 | |||
Central Garden & Pet Co. 4.13%, 10/15/2030 | 84,000 | 76,442 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (a) | 32,000 | 28,949 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 46,000 | 46,101 | |||
Civitas Resources, Inc. 8.75%, 7/1/2031 (a) | 44,000 | 46,748 | |||
Clarios Global LP/Clarios U.S. Finance Co. 8.50%, 5/15/2027 (a) | 41,000 | 41,287 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a) | 37,000 | 35,569 | |||
CMG Media Corp. 8.88%, 12/15/2027 (a) | 22,000 | 17,394 | |||
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | 43,000 | 38,099 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 90,000 | 86,494 | |||
Coeur Mining, Inc. 5.13%, 2/15/2029 (a) | 24,000 | 22,060 | |||
Coinbase Global, Inc.: | |||||
3.38%, 10/1/2028 (a) | 48,000 | 39,935 | |||
3.63%, 10/1/2031 (a) | 13,000 | 9,946 | |||
Comcast Corp. 2.99%, 11/1/2063 | 80,000 | 51,693 |
Security Description | Principal Amount | Value | |||
Consolidated Communications, Inc. 6.50%, 10/1/2028 (a) | $ 53,000 | $ 45,855 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 58,000 | 53,399 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 29,000 | 23,985 | |||
Corporate Office Properties LP 2.75%, 4/15/2031 | 17,000 | 13,851 | |||
Covanta Holding Corp. 4.88%, 12/1/2029 (a) | 56,000 | 48,918 | |||
Crescent Energy Finance LLC 9.25%, 2/15/2028 (a) | 55,000 | 57,076 | |||
Crowdstrike Holdings, Inc. 3.00%, 2/15/2029 | 85,000 | 76,607 | |||
Crown Castle, Inc. 5.80%, 3/1/2034 | 50,000 | 51,791 | |||
Cumulus Media New Holdings, Inc. 6.75%, 7/1/2026 (a) | 48,000 | 32,423 | |||
CVR Energy, Inc.: | |||||
5.75%, 2/15/2028 (a) | 27,000 | 25,079 | |||
8.50%, 1/15/2029 (a) | 25,000 | 24,872 | |||
CVS Health Corp.: | |||||
5.25%, 2/21/2033 | 89,000 | 90,988 | |||
5.30%, 6/1/2033 | 80,000 | 82,117 | |||
CyberArk Software Ltd. Zero Coupon, 11/15/2024 | 11,000 | 15,578 | |||
Datadog, Inc. 0.13%, 6/15/2025 | 11,000 | 15,432 | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (a) | 10,000 | 8,209 | |||
4.63%, 6/1/2030 (a) | 45,000 | 39,339 | |||
Delek Logistics Partners LP/Delek Logistics Finance Corp. 7.13%, 6/1/2028 (a) | 87,000 | 82,454 | |||
Deluxe Corp. 8.00%, 6/1/2029 (a) | 23,000 | 20,502 | |||
Diamondback Energy, Inc. 6.25%, 3/15/2033 | 85,000 | 90,999 | |||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc. 5.88%, 8/15/2027 (a) | 68,000 | 63,851 | |||
Discover Financial Services SOFR + 3.37%, 7.96%, 11/2/2034 (b) | 175,000 | 194,675 | |||
DISH DBS Corp. 5.88%, 11/15/2024 | 180,000 | 169,591 | |||
DraftKings Holdings, Inc. Zero Coupon, 3/15/2028 | 16,000 | 12,972 | |||
Dream Finders Homes, Inc. 8.25%, 8/15/2028 (a) | 35,000 | 37,038 | |||
Eco Material Technologies, Inc. 7.88%, 1/31/2027 (a) | 39,000 | 39,303 | |||
Eli Lilly & Co. 4.70%, 2/27/2033 | 73,000 | 74,917 |
Security Description | Principal Amount | Value | |||
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | $ 40,000 | $ 39,516 | |||
Endeavor Energy Resources LP/EER Finance, Inc. 5.75%, 1/30/2028 (a) | 5,000 | 5,014 | |||
Energizer Holdings, Inc. 4.75%, 6/15/2028 (a) | 36,000 | 33,490 | |||
Energy Transfer LP 6.40%, 12/1/2030 | 140,000 | 149,765 | |||
EnLink Midstream LLC 6.50%, 9/1/2030 (a) | 15,000 | 15,309 | |||
Enstar Group Ltd. 3.10%, 9/1/2031 | 22,000 | 17,958 | |||
Enterprise Products Operating LLC 5.05%, 1/10/2026 | 65,000 | 65,632 | |||
Enviri Corp. 5.75%, 7/31/2027 (a) | 36,000 | 33,407 | |||
EQM Midstream Partners LP 4.00%, 8/1/2024 | 82,000 | 81,235 | |||
Evergreen Acqco 1 LP/TVI, Inc. 9.75%, 4/26/2028 (a) | 40,000 | 42,582 | |||
Eversource Energy 4.75%, 5/15/2026 | 219,000 | 217,890 | |||
Exact Sciences Corp. 0.38%, 3/1/2028 | 11,000 | 10,328 | |||
Fair Isaac Corp. 5.25%, 5/15/2026 (a) | 37,000 | 36,747 | |||
Fidelity National Financial, Inc. 2.45%, 3/15/2031 | 34,000 | 28,191 | |||
Ford Motor Credit Co. LLC 5.58%, 3/18/2024 | 225,000 | 224,671 | |||
Forestar Group, Inc.: | |||||
3.85%, 5/15/2026 (a) | 30,000 | 28,660 | |||
5.00%, 3/1/2028 (a) | 56,000 | 53,665 | |||
Freedom Mortgage Corp. 7.63%, 5/1/2026 (a) | 18,000 | 17,780 | |||
Frontier Communications Holdings LLC 6.75%, 5/1/2029 (a) | 76,000 | 67,954 | |||
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 22,000 | 19,490 | |||
Gap, Inc. 3.63%, 10/1/2029 (a) | 61,000 | 52,115 | |||
Gartner, Inc. 3.63%, 6/15/2029 (a) | 29,000 | 26,229 | |||
General Motors Financial Co., Inc.: | |||||
2.90%, 2/26/2025 | 57,000 | 55,330 | |||
3.80%, 4/7/2025 | 215,000 | 210,683 | |||
5.00%, 4/9/2027 | 68,000 | 67,895 | |||
5.40%, 4/6/2026 | 125,000 | 125,866 | |||
Genworth Holdings, Inc. 6.50%, 6/15/2034 | 12,000 | 11,024 |
Security Description | Principal Amount | Value | |||
Getty Images, Inc. 9.75%, 3/1/2027 (a) | $ 14,000 | $ 14,089 | |||
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (a) | 41,000 | 41,428 | |||
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 33,000 | 30,330 | |||
Global Payments, Inc. 5.40%, 8/15/2032 | 35,000 | 35,368 | |||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc. 7.00%, 8/15/2028 (a) | 28,000 | 20,531 | |||
Grand Canyon University 4.13%, 10/1/2024 | 60,000 | 57,049 | |||
Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (a) | 17,000 | 14,667 | |||
Griffon Corp. 5.75%, 3/1/2028 | 34,000 | 33,424 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 41,000 | 34,442 | |||
Guitar Center, Inc. 8.50%, 1/15/2026 (a) | 25,000 | 22,022 | |||
GYP Holdings III Corp. 4.63%, 5/1/2029 (a) | 32,000 | 29,248 | |||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. 5.75%, 1/20/2026 (a) | 49,072 | 46,329 | |||
Helix Energy Solutions Group, Inc. 9.75%, 3/1/2029 (a) | 69,000 | 72,428 | |||
HF Sinclair Corp. 5.00%, 2/1/2028 (a) | 26,000 | 25,174 | |||
HLF Financing SARL LLC/Herbalife International, Inc. 4.88%, 6/1/2029 (a) | 41,000 | 32,180 | |||
HSBC USA, Inc. 5.63%, 3/17/2025 | 378,000 | 380,075 | |||
HubSpot, Inc. 0.38%, 6/1/2025 | 5,000 | 10,381 | |||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 44,000 | 34,681 | |||
Interface, Inc. 5.50%, 12/1/2028 (a) | 43,000 | 39,947 | |||
International Business Machines Corp. 4.40%, 7/27/2032 | 80,000 | 78,657 | |||
Iron Mountain, Inc. 4.88%, 9/15/2029 (a) | 150,000 | 141,672 | |||
ITT Holdings LLC 6.50%, 8/1/2029 (a) | 17,000 | 15,029 | |||
Jabil, Inc. 5.45%, 2/1/2029 | 11,000 | 11,235 | |||
Jackson Financial, Inc. 3.13%, 11/23/2031 | 180,000 | 151,153 |
Security Description | Principal Amount | Value | |||
JPMorgan Chase & Co.: | |||||
SOFR + 1.46%, 3.16%, 4/22/2042 (b) | $ 80,000 | $ 62,077 | |||
SOFR + 2.08%, 4.91%, 7/25/2033 (b) | 110,000 | 108,778 | |||
SOFR + 2.58%, 5.72%, 9/14/2033 (b) | 60,000 | 62,050 | |||
KB Home: | |||||
4.00%, 6/15/2031 | 8,000 | 7,212 | |||
4.80%, 11/15/2029 | 89,000 | 85,338 | |||
Kinder Morgan, Inc. 4.80%, 2/1/2033 | 85,000 | 82,012 | |||
Kohl's Corp. 4.63%, 5/1/2031 | 46,000 | 36,343 | |||
LCM Investments Holdings II LLC 4.88%, 5/1/2029 (a) | 6,000 | 5,586 | |||
Liberty Mutual Group, Inc.: | |||||
4.30%, 2/1/2061 (a) | 100,000 | 66,074 | |||
4.57%, 2/1/2029 (a) | 31,000 | 30,341 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 35,000 | 25,940 | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (a) | 86,000 | 77,231 | |||
Lowe's Cos., Inc. 2.80%, 9/15/2041 | 95,000 | 69,336 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 47,000 | 45,066 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 90,000 | 86,700 | |||
Martin Midstream Partners LP/Martin Midstream Finance Corp. 11.50%, 2/15/2028 (a) | 37,000 | 38,298 | |||
Maxim Crane Works Holdings Capital LLC 11.50%, 9/1/2028 (a) | 22,000 | 22,846 | |||
McCormick & Co., Inc. 4.95%, 4/15/2033 | 73,000 | 73,283 | |||
Medtronic Global Holdings SCA 4.25%, 3/30/2028 | 47,000 | 46,830 | |||
Micron Technology, Inc.: | |||||
3.37%, 11/1/2041 | 58,000 | 43,568 | |||
6.75%, 11/1/2029 | 80,000 | 86,458 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (a) | 13,000 | 12,650 | |||
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 28,000 | 19,878 | |||
MIWD Holdco II LLC/MIWD Finance Corp. 5.50%, 2/1/2030 (a) | 34,000 | 30,139 | |||
MongoDB, Inc. 0.25%, 1/15/2026 | 6,000 | 11,859 | |||
Moody's Corp. 2.00%, 8/19/2031 | 56,000 | 46,542 | |||
Moog, Inc. 4.25%, 12/15/2027 (a) | 90,000 | 85,369 |
Security Description | Principal Amount | Value | |||
Morgan Stanley: | |||||
SOFR + 1.36%, 2.48%, 9/16/2036 (b) | $ 140,000 | $ 111,128 | |||
SOFR + 2.08%, 4.89%, 7/20/2033 (b) | 90,000 | 87,774 | |||
Series MTN, SOFR + 1.59%, 5.16%, 4/20/2029 (b) | 68,000 | 68,318 | |||
Series MTN, SOFR + 1.88%, 5.42%, 7/21/2034 (b) | 50,000 | 50,699 | |||
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (a) | 24,000 | 19,807 | |||
MPLX LP 4.95%, 9/1/2032 | 60,000 | 58,781 | |||
MSCI, Inc. 3.63%, 11/1/2031 (a) | 25,000 | 22,041 | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | 61,000 | 57,929 | |||
Nationstar Mortgage Holdings, Inc. 5.00%, 2/1/2026 (a) | 36,000 | 35,169 | |||
NCL Corp. Ltd.: | |||||
3.63%, 12/15/2024 (a) | 33,000 | 32,084 | |||
7.75%, 2/15/2029 (a) | 15,000 | 15,057 | |||
NCL Finance Ltd. 6.13%, 3/15/2028 (a) | 9,000 | 8,601 | |||
Nestle Holdings, Inc.: | |||||
2.50%, 9/14/2041 (a) | 95,000 | 70,717 | |||
4.13%, 10/1/2027 (a) | 125,000 | 124,310 | |||
New Fortress Energy, Inc. 6.50%, 9/30/2026 (a) | 102,000 | 98,037 | |||
Newfold Digital Holdings Group, Inc. 6.00%, 2/15/2029 (a) | 11,000 | 8,325 | |||
News Corp. 3.88%, 5/15/2029 (a) | 84,000 | 77,660 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
4.26%, 9/1/2024 | 50,000 | 49,564 | |||
6.05%, 3/1/2025 | 31,000 | 31,279 | |||
NFP Corp. 6.88%, 8/15/2028 (a) | 40,000 | 40,687 | |||
NMG Holding Co., Inc./Neiman Marcus Group LLC 7.13%, 4/1/2026 (a) | 28,000 | 26,917 | |||
NMI Holdings, Inc. 7.38%, 6/1/2025 (a) | 33,000 | 33,161 | |||
Noble Finance II LLC 8.00%, 4/15/2030 (a) | 77,000 | 80,361 | |||
Northern Oil & Gas, Inc. 8.75%, 6/15/2031 (a) | 15,000 | 15,675 | |||
NRG Energy, Inc.: | |||||
3.38%, 2/15/2029 (a) | 53,000 | 46,824 | |||
3.63%, 2/15/2031 (a) | 44,000 | 37,849 | |||
5.25%, 6/15/2029 (a) | 22,000 | 21,382 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 83,000 | 80,804 |
Security Description | Principal Amount | Value | |||
Oncor Electric Delivery Co. LLC 4.30%, 5/15/2028 (a) | $ 94,000 | $ 92,833 | |||
Osaic Holdings, Inc. 10.75%, 8/1/2027 (a) | 25,000 | 25,435 | |||
Oscar AcquisitionCo LLC/Oscar Finance, Inc. 9.50%, 4/15/2030 (a) | 17,000 | 16,576 | |||
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | 24,000 | 22,378 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (a) | 42,000 | 38,418 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 63,000 | 61,544 | |||
PepsiCo, Inc. 4.20%, 7/18/2052 | 60,000 | 55,685 | |||
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | 40,000 | 41,255 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (a) | 40,000 | 35,958 | |||
Pike Corp. 5.50%, 9/1/2028 (a) | 24,000 | 22,862 | |||
Pitney Bowes, Inc. 7.25%, 3/15/2029 (a) | 50,000 | 42,746 | |||
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 19,000 | 19,294 | |||
Presidio Holdings, Inc. 8.25%, 2/1/2028 (a) | 24,000 | 24,186 | |||
Prudential Financial, Inc. 5 yr. CMT + 3.23%, 6.00%, 9/1/2052 (b) | 45,000 | 44,872 | |||
Public Storage Operating Co. 2.25%, 11/9/2031 | 44,000 | 37,604 | |||
QUALCOMM, Inc. 5.40%, 5/20/2033 | 130,000 | 140,429 | |||
Rand Parent LLC 8.50%, 2/15/2030 (a) | 39,000 | 37,302 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.75%, 1/15/2029 (a) | 38,000 | 29,554 | |||
Republic Services, Inc. 5.00%, 4/1/2034 | 21,000 | 21,504 | |||
Rockies Express Pipeline LLC 4.95%, 7/15/2029 (a) | 62,000 | 59,362 | |||
Royal Caribbean Cruises Ltd.: | |||||
5.38%, 7/15/2027 (a) | 7,000 | 6,894 | |||
5.50%, 4/1/2028 (a) | 10,000 | 9,868 | |||
7.50%, 10/15/2027 | 7,000 | 7,389 | |||
11.63%, 8/15/2027 (a) | 125,000 | 136,445 | |||
Sabre GLBL, Inc.: | |||||
8.63%, 6/1/2027 (a) | 23,000 | 20,909 | |||
11.25%, 12/15/2027 (a) | 32,000 | 31,345 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (b) | 110,000 | 100,877 |
Security Description | Principal Amount | Value | |||
Seagate HDD Cayman: | |||||
8.50%, 7/15/2031 (a) | $ 61,000 | $ 66,314 | |||
9.63%, 12/1/2032 | 35,000 | 40,017 | |||
Sempra 3.70%, 4/1/2029 | 22,000 | 20,955 | |||
Shea Homes LP/Shea Homes Funding Corp. 4.75%, 2/15/2028 | 40,000 | 37,908 | |||
Sinclair Television Group, Inc. 5.50%, 3/1/2030 (a) | 46,000 | 34,423 | |||
SM Energy Co. 6.63%, 1/15/2027 | 5,000 | 4,994 | |||
Smyrna Ready Mix Concrete LLC 6.00%, 11/1/2028 (a) | 59,000 | 58,247 | |||
Southern Co. 5.15%, 10/6/2025 | 175,000 | 175,504 | |||
Specialty Building Products Holdings LLC/SBP Finance Corp. 6.38%, 9/30/2026 (a) | 31,000 | 30,673 | |||
Standard Industries, Inc.: | |||||
3.38%, 1/15/2031 (a) | 18,000 | 15,461 | |||
4.38%, 7/15/2030 (a) | 50,000 | 45,876 | |||
5.00%, 2/15/2027 (a) | 13,000 | 12,677 | |||
Starwood Property Trust, Inc. 4.38%, 1/15/2027 (a) | 145,000 | 137,032 | |||
Steelcase, Inc. 5.13%, 1/18/2029 | 87,000 | 82,371 | |||
Stem, Inc. 0.50%, 12/1/2028 (a) | 176,000 | 90,981 | |||
StoneMor, Inc. 8.50%, 5/15/2029 (a) | 10,000 | 7,851 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 46,000 | 41,455 | |||
Sunoco LP/Sunoco Finance Corp. 4.50%, 5/15/2029 | 71,000 | 66,261 | |||
Take-Two Interactive Software, Inc. 4.95%, 3/28/2028 | 151,000 | 152,214 | |||
Talen Energy Supply LLC 8.63%, 6/1/2030 (a) | 84,000 | 89,222 | |||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.: | |||||
5.50%, 1/15/2028 (a) | 58,000 | 55,014 | |||
6.00%, 3/1/2027 (a) | 5,000 | 4,911 | |||
Taylor Morrison Communities, Inc. 5.75%, 1/15/2028 (a) | 66,000 | 66,593 | |||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (a) | 12,000 | 10,128 | |||
4.00%, 4/15/2029 (a) | 54,000 | 48,963 | |||
Tenneco, Inc. 8.00%, 11/17/2028 (a) | 26,000 | 22,227 | |||
Texas Instruments, Inc. 4.90%, 3/14/2033 | 94,000 | 97,584 | |||
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | 45,000 | 40,158 |
Security Description | Principal Amount | Value | |||
Titan International, Inc. 7.00%, 4/30/2028 | $ 39,000 | $ 39,051 | |||
T-Mobile USA, Inc. 4.80%, 7/15/2028 | 146,000 | 147,169 | |||
TMS International Corp. 6.25%, 4/15/2029 (a) | 17,000 | 14,198 | |||
TopBuild Corp. 3.63%, 3/15/2029 (a) | 63,000 | 57,034 | |||
TransDigm, Inc.: | |||||
6.88%, 12/15/2030 (a) | 63,000 | 64,867 | |||
7.13%, 12/1/2031 (a) | 35,000 | 36,749 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 94,000 | 93,414 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (a) | 68,000 | 60,946 | |||
Tronox, Inc. 4.63%, 3/15/2029 (a) | 56,000 | 49,576 | |||
U.S. Cellular Corp. 6.70%, 12/15/2033 | 38,000 | 38,733 | |||
Unisys Corp. 6.88%, 11/1/2027 (a) | 49,000 | 44,157 | |||
United Airlines Pass-Through Trust: | |||||
Series 2020-1, Class A, 5.88%, 4/15/2029 | 26,526 | 26,808 | |||
Series 2020-1, Class B, 4.88%, 7/15/2027 | 93,632 | 90,883 | |||
United Parcel Service, Inc. 4.88%, 3/3/2033 | 104,000 | 107,984 | |||
UnitedHealth Group, Inc. 5.88%, 2/15/2053 | 85,000 | 96,257 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | 47,000 | 44,206 | |||
USA Compression Partners LP/USA Compression Finance Corp. 6.88%, 9/1/2027 | 50,000 | 49,554 | |||
Valaris Ltd. 8.38%, 4/30/2030 (a) | 54,000 | 55,252 | |||
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.50%, 9/1/2025 (a) | 23,000 | 18,931 | |||
Verizon Communications, Inc.: | |||||
2.10%, 3/22/2028 | 136,000 | 122,949 | |||
2.85%, 9/3/2041 | 24,000 | 17,764 | |||
3.55%, 3/22/2051 | 61,000 | 47,061 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 51,000 | 42,628 | |||
Vistra Operations Co. LLC: | |||||
4.38%, 5/1/2029 (a) | 26,000 | 24,113 | |||
5.00%, 7/31/2027 (a) | 105,000 | 102,242 | |||
VMware LLC 4.50%, 5/15/2025 | 240,000 | 237,689 | |||
Vornado Realty LP 3.40%, 6/1/2031 | 55,000 | 42,642 | |||
Warnermedia Holdings, Inc. 6.41%, 3/15/2026 | 58,000 | 58,045 |
Security Description | Principal Amount | Value | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a) | $ 45,000 | $ 43,676 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 16,000 | 15,427 | |||
Watco Cos. LLC/Watco Finance Corp. 6.50%, 6/15/2027 (a) | 17,000 | 17,000 | |||
Weatherford International Ltd. 8.63%, 4/30/2030 (a) | 26,000 | 27,103 | |||
Weekley Homes LLC/Weekley Finance Corp. 4.88%, 9/15/2028 (a) | 37,000 | 34,866 | |||
Wells Fargo & Co.: | |||||
SOFR + 1.79%, 6.30%, 10/23/2029 (b) | 150,000 | 158,236 | |||
SOFR + 2.02%, 5.39%, 4/24/2034 (b) | 73,000 | 73,261 | |||
Werner FinCo LP/Werner FinCo, Inc. 11.50%, 6/15/2028 (a) | 7,000 | 7,276 | |||
Western Midstream Operating LP 6.15%, 4/1/2033 | 11,000 | 11,430 | |||
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | 26,000 | 25,224 | |||
World Acceptance Corp. 7.00%, 11/1/2026 (a) | 16,000 | 14,475 | |||
WW International, Inc. 4.50%, 4/15/2029 (a) | 56,000 | 37,040 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (a) | 65,000 | 58,664 | |||
XPO CNW, Inc. 6.70%, 5/1/2034 | 39,000 | 40,114 | |||
XPO, Inc. 7.13%, 6/1/2031 (a) | 101,000 | 104,867 | |||
17,321,562 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $21,980,338) | 22,133,898 | ||||
ASSET-BACKED SECURITIES — 11.9% | |||||
AMMC CLO 15 Ltd. Series 2014-15A, Class BR3, 3 mo. USD Term SOFR + 1.91%, 7.31%, 1/15/2032 (a) (b) | 250,000 | 248,550 | |||
Anchorage Capital CLO 9 Ltd. Series 2016-9A, Class AR2, 3 mo. USD Term SOFR + 1.40%, 6.80%, 7/15/2032 (a) (b) | 250,000 | 249,751 | |||
Ballyrock CLO Ltd. Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.26%, 6.68%, 4/20/2031 (a) (b) | 211,605 | 211,182 | |||
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 mo. USD Term SOFR + 2.36%, 7.76%, 1/15/2031 (a) (b) | 255,000 | 254,218 |
Security Description | Principal Amount | Value | |||
Clover CLO LLC Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 1.96%, 7.38%, 4/20/2032 (a) (b) | $ 320,000 | $ 319,008 | |||
Elmwood CLO V Ltd. Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.41%, 6.83%, 10/20/2034 (a) (b) | 250,000 | 248,900 | |||
Generate CLO 2 Ltd. Series 2A, Class BR, 3 mo. USD Term SOFR + 1.71%, 7.12%, 1/22/2031 (a) (b) | 250,000 | 247,975 | |||
Greywolf CLO VI Ltd. Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.29%, 6.67%, 4/26/2031 (a) (b) | 249,660 | 249,035 | |||
Hayfin U.S. XII Ltd. Series 2018-8A, Class B, ABS, 3 mo. USD Term SOFR + 1.74%, 7.16%, 4/20/2031 (a) (b) | 250,000 | 247,875 | |||
KKR CLO 22 Ltd. Series 22A, Class B, 3 mo. USD Term SOFR + 1.862%, 7.28%, 7/20/2031 (a) (b) | 250,000 | 248,625 | |||
Madison Park Funding XVII Ltd. Series 2015-17A, Class AR2, 3 mo. USD Term SOFR + 1.26%, 6.67%, 7/21/2030 (a) (b) | 239,343 | 239,223 | |||
OHA Credit Funding 6 Ltd. Series 2020-6A, Class AR, 3 mo. USD Term SOFR + 1.40%, 6.82%, 7/20/2034 (a) (b) | 250,000 | 249,997 | |||
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS, 0.87%, 7/14/2028 (a) | 523,651 | 503,731 | |||
OZLM Funding IV Ltd. Series 2013-4A, Class A2R, 3 mo. USD Term SOFR + 1.96%, 7.37%, 10/22/2030 (a) (b) | 250,000 | 249,225 | |||
Post CLO Ltd. Series 2023-1A, Class B1, 3 mo. USD Term SOFR + 2.50%, 7.92%, 4/20/2036 (a) (b) | 250,000 | 250,358 | |||
Sounds Point CLO IV-R Ltd. Series 2013-3RA, Class A, 3 mo. USD Term SOFR + 1.41%, 6.81%, 4/18/2031 (a) (b) | 250,000 | 249,514 | |||
THL Credit Wind River CLO Ltd. Series 2017-4A, Class B, 3 mo. USD Term SOFR + 1.71%, 7.08%, 11/20/2030 (a) (b) | 250,000 | 248,425 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $4,484,942) | 4,515,592 |
Security Description | Shares | Value | |||
CONVERTIBLE BONDS — 0.5% | |||||
UNITED STATES — 0.5% | |||||
Cloudflare, Inc. 8/15/2026 | 36,000 | $ 32,532 | |||
Liberty Media Corp.-Liberty Formula One 2.25%, 8/15/2027 | 20,000 | 20,352 | |||
Liberty TripAdvisor Holdings, Inc. 0.50%, 6/30/2051 (a) | 30,000 | 26,236 | |||
Northern Oil & Gas, Inc. 3.63%, 4/15/2029 | 55,000 | 64,829 | |||
Royal Caribbean Cruises Ltd. 6.00%, 8/15/2025 | 5,000 | 13,321 | |||
Zscaler, Inc. 0.13%, 7/1/2025 | 10,000 | 15,181 | |||
172,451 | |||||
TOTAL CONVERTIBLE BONDS (Cost $166,427) | 172,451 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 18.1% | |||
ADVERTISING SERVICES — 0.4% | |||
CMG Media Corp., 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.95%, 12/17/2026 (b) | $ 146,231 | 135,995 | |
AEROSPACE & DEFENSE — 0.1% | |||
TransDigm, Inc., 2023 Term Loan J, 3 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (b) | 40,000 | 40,227 | |
AIR FREIGHT & LOGISTICS — 0.2% | |||
Rand Parent LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.61%, 3/17/2030 (b) | 95,280 | 95,101 | |
AIRLINES — 1.2% | |||
American Airlines, Inc.: | |||
2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.43%, 4/20/2028 (b) | 99,000 | 101,854 | |
2023 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.87%, 6/4/2029 (b) | 115,000 | 115,391 | |
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.17%, 10/20/2027 (b) | 86,400 | 88,605 |
Security Description | Principal Amount | Value | |||
United Airlines, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.22%, 4/21/2028 (b) | $ 130,868 | $ 131,522 | |||
437,372 | |||||
AUTO PARTS & EQUIPMENT — 0.6% | |||||
First Brands Group LLC: | |||||
2021 Term Loan, 6 mo. USD Term SOFR + 5.00%, 10.88%, 3/30/2027 (b) | 63,708 | 63,310 | |||
2022 Incremental Term Loan, 6 mo. USD Term SOFR + 5.00%, 10.88%, 3/30/2027 (b) | 49,291 | 49,013 | |||
Wheel Pros LLC, 2023 FILO Term Loan (c) | 94,000 | 101,262 | |||
213,585 | |||||
BROADCAST SERV/PROGRAM — 0.8% | |||||
EW Scripps Co., 2019 Term Loan B2, 1 mo. USD Term SOFR + 2.56%, 8.03%, 5/1/2026 (b) | 322,201 | 321,698 | |||
BUILDING PRODUCTS — 0.2% | |||||
ACProducts, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (b) | 57 | 51 | |||
Emrld Borrower LP, Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.36%, 5/31/2030 (b) | 45,803 | 46,017 | |||
Oscar AcquisitionCo LLC, Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (b) | 30,613 | 30,367 | |||
76,435 | |||||
CHEMICALS — 0.8% | |||||
Aruba Investments, Inc., 2020 USD Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.46%, 11/24/2027 (b) | 128,684 | 127,276 | |||
LSF11 A5 Holdco LLC, Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 10/15/2028 (b) | 109,536 | 109,948 | |||
Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.36%, 11/9/2028 (b) | 54,500 | 54,466 | |||
291,690 | |||||
COMMERCIAL SERVICES — 1.8% | |||||
Albion Financing 3 Sarl, USD Term Loan, 3 mo. USD LIBOR + 5.25%, 10.92%, 8/17/2026 (b) | 103,834 | 104,629 |
Security Description | Principal Amount | Value | |||
CoreLogic, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/2/2028 (b) | $ 23,431 | $ 22,865 | |||
GTCR W Merger Sub LLC, USD Term Loan B (c) | 266,000 | 267,496 | |||
Kingpin Intermediate Holdings LLC, 2023 Term Loan B, 1 mo. USD Term SOFR + 3.500%, 8.86%, 2/8/2028 (b) | 37,905 | 37,952 | |||
Mckissock Investment Holdings LLC, Incremental Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.38%, 3/12/2029 (b) | 94,000 | 94,118 | |||
Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.51%, 4/11/2029 (b) | 129,674 | 118,796 | |||
Prime Security Services Borrower LLC, 2023 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.84%, 10/14/2030 (b) | 23,028 | 23,123 | |||
668,979 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.4% | |||||
McGraw-Hill Global Education Holdings LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.11%, 7/28/2028 (b) | 156,607 | 156,656 | |||
COMMUNICATIONS EQUIPMENT — 0.4% | |||||
CommScope, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.72%, 4/6/2026 (b) | 182,156 | 163,372 | |||
COMPUTERS — 0.7% | |||||
Genuine Financial Holdings LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.36%, 9/27/2030 (b) | 120,697 | 120,590 | |||
NCR Atleos LLC, Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.21%, 3/27/2029 (b) | 139,000 | 138,739 | |||
259,329 | |||||
CONTAINERS & PACKAGING — 0.3% | |||||
Graham Packaging Co., Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/4/2027 (b) | 116,146 | 116,448 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | |||||
Paysafe Holdings Corp., USD Term Loan B1, 1 mo. USD Term SOFR + 2.75%, 8.22%, 6/28/2028 (b) | $ 156,460 | $ 156,297 | |||
ENERGY-ALTERNATE SOURCES — 0.2% | |||||
Array Technologies, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.93%, 10/14/2027 (b) | 87,177 | 87,245 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.2% | |||||
Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.36%, 9/29/2028 (b) | 62,842 | 62,921 | |||
HEALTH CARE PROVIDERS & SERVICES — 1.7% | |||||
Agiliti Health, Inc., 2023 Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.39%, 5/1/2030 (b) | 156,132 | 156,278 | |||
Avantor Funding, Inc., 2021 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.71%, 11/8/2027 (b) | 17,890 | 17,952 | |||
CHG Healthcare Services, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.61%, 9/29/2028 (b) | 293,250 | 294,049 | |||
LifePoint Health, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 11.17%, 11/16/2028 (b) | 120,000 | 119,865 | |||
Medline Borrower LP, USD Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/23/2028 (b) | 55,107 | 55,448 | |||
643,592 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.5% | |||||
19th Holdings Golf LLC, 2022 Term Loan B, 1 mo. USD Term SOFR + 3.35%, 8.70%, 2/7/2029 (b) | 154,432 | 153,660 | |||
Caesars Entertainment Corp., Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.71%, 2/6/2030 (b) | 44,663 | 44,840 | |||
198,500 | |||||
INSURANCE — 0.9% | |||||
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/24/2028 (b) | 218,390 | 219,330 |
Security Description | Principal Amount | Value | |||
USI, Inc.: | |||||
2023 Acquisition Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (b) | $ 21,945 | $ 22,007 | |||
2023 Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.35%, 11/22/2029 (b) | 98,753 | 99,069 | |||
340,406 | |||||
INTERNET & TELECOM — 0.3% | |||||
Arches Buyer, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.71%, 12/6/2027 (b) | 102,362 | 100,407 | |||
Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.13%, 3/3/2030 (b) | 32,426 | 32,558 | |||
132,965 | |||||
LEISURE INDUSTRY — 0.4% | |||||
Carnival Corp., 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.36%, 8/8/2027 (b) | 140,295 | 140,821 | |||
MACHINERY-CONSTRUCTION & MINING — 0.2% | |||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/21/2026 (b) | 84,547 | 83,825 | |||
MEDIA — 0.6% | |||||
DirecTV Financing LLC, Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.65%, 8/2/2027 (b) | 112,717 | 112,922 | |||
MH Sub I LLC, 2023 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.61%, 5/3/2028 (b) | 108,455 | 106,828 | |||
219,750 | |||||
MISCELLANEOUS MANUFACTUR — 0.2% | |||||
Gates Global LLC, 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.50%, 7.96%, 3/31/2027 (b) | 75,946 | 76,163 | |||
PHARMACEUTICALS — 0.7% | |||||
IVC Acquisition Ltd, 2023 USD Term Loan B (c) | 78,000 | 78,422 | |||
Jazz Financing Lux Sarl, USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 5/5/2028 (b) | 92,214 | 92,809 | |||
Organon & Co., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 6/2/2028 (b) | 112,394 | 112,816 | |||
284,047 |
Security Description | Principal Amount | Value | |||
PROFESSIONAL SERVICES — 0.2% | |||||
Proofpoint, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 8/31/2028 (b) | $ 73,896 | $ 74,022 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.3% | |||||
Altar Bidco, Inc., 2021 Term Loan, 12 mo. USD Term SOFR + 3.10%, 8.28%, 2/1/2029 (b) | 130,674 | 130,688 | |||
SOFTWARE — 2.2% | |||||
Camelot U.S. Acquisition LLC, Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/30/2026 (b) | 111,798 | 112,092 | |||
Cengage Learning, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.41%, 7/14/2026 (b) | 60,536 | 60,804 | |||
Dun & Bradstreet Corp., 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.21%, 2/6/2026 (b) | 125,017 | 125,427 | |||
Open Text Corp., 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.21%, 1/31/2030 (b) | 173,363 | 173,971 | |||
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.11%, 10/28/2030 (b) | 143,125 | 144,183 | |||
Sabre Global, Inc.: | |||||
2021 Term Loan B1, 1 mo. USD Term SOFR + 3.50%, 8.97%, 12/17/2027 (b) | 45,101 | 39,667 | |||
2021 Term Loan B2, 1 mo. USD Term SOFR + 3.50%, 8.97%, 12/17/2027 (b) | 70,658 | 62,144 | |||
Ultimate Software Group, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/4/2026 (b) | 129,677 | 130,194 | |||
848,482 | |||||
SPECIALTY RETAIL — 0.9% | |||||
Michaels Cos., Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.86%, 4/15/2028 (b) | 125,795 | 104,913 | |||
PetSmart, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/11/2028 (b) | 219,752 | 217,664 | |||
322,577 |
Security Description | Principal Amount | Value | |||
TRANSPORT-SERVICES — 0.3% | |||||
Endure Digital, Inc., Term Loan, 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (b) | $ 98,832 | $ 97,087 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $6,899,770) | 6,876,275 |
Shares | |||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 4.5% | |||
UNITED STATES — 4.5% | |||
SPDR Blackstone Senior Loan ETF (d) | 40,506 | 1,698,417 | |
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,687,776) | 1,698,417 |
Principal Amount | |||
COMMERCIAL MORTGAGE BACKED SECURITIES — 0.2% | |||
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a) (Cost $99,000) | $ 100,000 | 82,362 |
Shares | |||
SHORT-TERM INVESTMENT — 4.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (e) (f) (Cost $1,564,328) | 1,564,328 | 1,564,328 | |
TOTAL INVESTMENTS — 97.7% (Cost $36,882,581) | 37,043,323 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.3% | 867,874 | ||
NET ASSETS — 100.0% | $ 37,911,197 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.0% of net assets as of December 31, 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 December 31, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(d) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2023. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
CVR | Contingent Value Rights |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
U.S. Treasury Bond Futures (long) | 9 | 03/19/2024 | $1,047,407 | $1,124,438 | $ 77,031 | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 27 | 03/19/2024 | 3,065,066 | 3,186,422 | 121,355 | |||||
2 Yr. U.S. Treasury Note Futures (long) | 10 | 03/28/2024 | 2,041,057 | 2,059,141 | 18,084 | |||||
Ultra U.S. Treasury Bond Futures (long) | 10 | 03/19/2024 | 1,225,925 | 1,335,937 | 110,013 | |||||
5 Yr. U.S. Treasury Note Futures (long) | 23 | 03/28/2024 | 2,482,097 | 2,501,634 | 19,537 | |||||
$346,020 |
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 | $ 31,954 | $— | $ 31,954 | ||||||||
LCH Limited | 1,870 | Receives/Annually | 1 month SOFR | 3.36% | 01/18/28 | (17,221) | — | (17,221) | ||||||||
$ 14,733 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $22,133,898 | $— | $22,133,898 | ||||
Asset-Backed Securities | — | 4,515,592 | — | 4,515,592 | ||||
Commercial Mortgage Backed Securities | — | 82,362 | — | 82,362 | ||||
Convertible Bonds | — | 172,451 | — | 172,451 | ||||
Mutual Funds and Exchange Traded Products | 1,698,417 | — | — | 1,698,417 | ||||
Senior Floating Rate Loans | — | 6,876,275 | — | 6,876,275 | ||||
Short-Term Investment | 1,564,328 | — | — | 1,564,328 | ||||
TOTAL INVESTMENTS | $3,262,745 | $33,780,578 | $— | $37,043,323 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Centrally Cleared IRS Swap Agreements - Unrealized Appreciation | $ — | $ 31,954 | $— | $ 31,954 | ||||
Centrally Cleared IRS Swap Agreements - Unrealized Depreciation | — | (17,221) | — | (17,221) | ||||
Futures Contracts - Unrealized Appreciation | 346,020 | — | — | 346,020 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 346,020 | $ 14,733 | $— | $ 360,753 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 23,140 | $ 968,872 | $ 727,005 | $ — | $— | $2,540 | 40,506 | $1,698,417 | $ 73,310 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 585,448 | 585,448 | 8,673,574 | 7,694,694 | — | — | 1,564,328 | 1,564,328 | 40,887 | ||||||||
Total | $1,554,320 | $9,400,579 | $7,694,694 | $— | $2,540 | $3,262,745 | $114,197 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 98.9% | ||||||
ALABAMA — 2.0% | ||||||
Black Belt Energy Gas District Revenue, AL Series B, 4.00%, 10/1/2052 (a) | $ 500,000 | $ 502,232 | ||||
Southeast Energy Authority A Cooperative District Revenue, AL Series B, 4.00%, 12/1/2051 (a) | 500,000 | 499,127 | ||||
1,001,359 | ||||||
ARIZONA — 1.1% | ||||||
Maricopa County Industrial Development Authority Revenue, AZ AMT, 4.00%, 10/15/2047 (b) | 100,000 | 87,053 | ||||
Maricopa County Pollution Control Corp. Revenue, AZ Series B, 0.88%, 6/1/2043 (a) | 500,000 | 454,393 | ||||
541,446 | ||||||
ARKANSAS — 1.1% | ||||||
Arkansas Development Finance Authority Revenue, AR AMT, 5.45%, 9/1/2052 | 525,000 | 524,958 | ||||
CALIFORNIA — 7.7% | ||||||
Anaheim Public Financing Authority Revenue, CA Series C, AGM, Zero Coupon, 9/1/2036 (c) | 320,000 | 217,528 | ||||
California Community Choice Financing Authority Revenue, CA Series E-1, 5.00%, 2/1/2054 (a) | 500,000 | 539,775 | ||||
California Housing Finance Agency Revenue, CA Series 2021-1, Class A, 3.50%, 11/20/2035 | 172,362 | 167,807 | ||||
City & County of San Francisco Special Tax District No., Special Tax Revenue, CA Series B, 5.75%, 9/1/2053 (b) | 350,000 | 363,521 | ||||
City of Long Beach Marina System Revenue, CA 5.00%, 5/15/2040 | 750,000 | 755,392 | ||||
Municipal Improvement Corp. of Los Angeles Revenue, CA Series A, 1.45%, 11/1/2027 | 540,000 | 484,135 | ||||
Norman Y Mineta San Jose International Airport SJC Revenue, CA Series A, AMT, 5.00%, 3/1/2037 | 210,000 | 217,846 | ||||
Orange County Community Facilities District, Special Tax Revenue, CA Series A, 5.00%, 8/15/2037 | 250,000 | 270,611 | ||||
Palomar Health, General Obligation, CA Series A, AGC, Zero Coupon, 8/1/2027 (c) | 100,000 | 89,725 |
Security Description | Principal Amount | Value | |||
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, CA Series H, AMT, 5.00%, 5/1/2028 | $ 175,000 | $ 188,198 | |||
University of California Revenue, CA Series BI, 1.37%, 5/15/2028 | 595,000 | 525,012 | |||
3,819,550 | |||||
COLORADO — 3.2% | |||||
City & County of Denver Airport System Revenue, CO Series B2, AMT, 5.00%, 11/15/2031 (a) | 400,000 | 411,121 | |||
Colorado Health Facilities Authority Revenue, CO Series A-1, 4.00%, 8/1/2037 | 200,000 | 202,859 | |||
Denver Convention Center Hotel Authority Revenue, CO 5.00%, 12/1/2030 | 400,000 | 412,718 | |||
Park Creek Metropolitan District Revenue, CO Series A, 5.00%, 12/1/2024 | 575,000 | 581,810 | |||
1,608,508 | |||||
CONNECTICUT — 1.7% | |||||
South Central Connecticut Regional Water Authority Revenue, CT Series B, 5.00%, 8/1/2037 | 125,000 | 131,244 | |||
State of Connecticut, General Obligation, CT Series F, 5.00%, 11/15/2041 | 610,000 | 693,786 | |||
825,030 | |||||
DISTRICT OF COLUMBIA — 0.6% | |||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, DC Series B, 4.00%, 10/1/2038 | 305,000 | 307,159 | |||
FLORIDA — 4.6% | |||||
City of Gainesville Utilities System Revenue, FL Series B, 4.15%, 10/1/2042 (a) | 300,000 | 300,000 | |||
County of Miami-Dade Aviation Revenue, FL Series A, AMT, 5.00%, 10/1/2029 | 210,000 | 211,002 | |||
County of Miami-Dade Seaport Department Revenue, FL Series A, AMT, 5.00%, 10/1/2038 | 375,000 | 410,368 | |||
County of Miami-Dade Water & Sewer System Revenue, FL 3.00%, 10/1/2036 | 530,000 | 497,754 | |||
Florida Development Finance Corp. Revenue, FL: | |||||
6.13%, 7/1/2032 (a) (b) | 300,000 | 302,370 | |||
Series A, 8.00%, 7/1/2057 (a) (b) | 540,000 | 551,213 | |||
2,272,707 |
Security Description | Principal Amount | Value | |||
GEORGIA — 2.6% | |||||
Main Street Natural Gas, Inc. Revenue, GA Series E-1, 5.00%, 12/1/2053 (a) | $ 600,000 | $ 645,725 | |||
Municipal Electric Authority of Georgia Revenue, GA Series B, 5.00%, 1/1/2048 | 605,000 | 619,033 | |||
1,264,758 | |||||
GUAM — 0.6% | |||||
Territory of Guam Revenue, GU Series A, 5.00%, 11/1/2035 | 300,000 | 322,638 | |||
HAWAII — 1.9% | |||||
State of Hawaii, General Obligation, HI Series EY, 5.00%, 10/1/2027 | 905,000 | 937,626 | |||
ILLINOIS — 9.2% | |||||
Chicago Board of Education, General Obligation, IL: | |||||
Series A, 5.00%, 12/1/2035 | 300,000 | 314,807 | |||
Series A, 5.00%, 12/1/2036 | 300,000 | 312,537 | |||
Chicago O'Hare International Airport Revenue, IL: | |||||
5.00%, 1/1/2038 | 250,000 | 277,489 | |||
Series B, 5.00%, 1/1/2029 | 160,000 | 162,720 | |||
Illinois Finance Authority Revenue, IL 5.00%, 7/1/2039 | 230,000 | 251,987 | |||
Illinois State Toll Highway Authority Revenue, IL Series B, 5.00%, 1/1/2036 | 900,000 | 904,293 | |||
Northern Illinois Municipal Power Agency Revenue, IL Series A, 5.00%, 12/1/2029 | 360,000 | 381,578 | |||
Northern Illinois University Revenue, IL Series B, BAM, 4.00%, 4/1/2037 (c) | 345,000 | 353,596 | |||
State of Illinois Sales Tax Revenue, IL Series C, 5.00%, 6/15/2026 | 565,000 | 587,542 | |||
State of Illinois, General Obligation, IL: | |||||
Series D, 3.25%, 11/1/2026 | 100,000 | 99,687 | |||
Series A, 4.00%, 3/1/2038 | 730,000 | 739,835 | |||
Series A, 5.00%, 12/1/2031 | 150,000 | 159,752 | |||
4,545,823 | |||||
IOWA — 0.4% | |||||
Iowa Finance Authority Revenue, IA 4.00%, 12/1/2050 (a) | 200,000 | 202,541 | |||
KANSAS — 0.6% | |||||
City of Olathe, General Obligation, KS Series 234, 3.00%, 10/1/2031 | 300,000 | 290,332 |
Security Description | Principal Amount | Value | |||
KENTUCKY — 0.9% | |||||
Kentucky Economic Development Finance Authority Revenue, KY Series A, 4.25%, 7/1/2035 | $ 450,000 | $ 452,075 | |||
LOUISIANA — 3.5% | |||||
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, LA Series B, 5.00%, 8/15/2025 | 250,000 | 257,922 | |||
Louisiana Offshore Terminal Authority Revenue, LA Series 2007A, 4.15%, 9/1/2027 | 250,000 | 255,740 | |||
Louisiana Public Facilities Authority Revenue, LA Series A, 4.00%, 4/1/2039 | 320,000 | 326,273 | |||
Louisiana Stadium & Exposition District Revenue, LA Series A, 5.00%, 7/1/2039 | 800,000 | 904,534 | |||
1,744,469 | |||||
MARYLAND — 1.0% | |||||
State of Maryland Department of Transportation Revenue, MD: | |||||
Series B, AMT, 5.00%, 8/1/2030 | 200,000 | 221,318 | |||
Series B, AMT, 5.00%, 8/1/2031 | 250,000 | 278,744 | |||
500,062 | |||||
MICHIGAN — 5.5% | |||||
Michigan Finance Authority Revenue, MI: | |||||
5.00%, 11/1/2034 | 110,000 | 120,843 | |||
5.50%, 12/1/2026 | 700,000 | 724,565 | |||
Michigan State Housing Development Authority Revenue, MI Series A, 4.70%, 12/1/2043 | 750,000 | 773,895 | |||
Southfield Public Schools, General Obligation, MI 5.00%, 5/1/2046 | 1,000,000 | 1,105,625 | |||
2,724,928 | |||||
MINNESOTA — 1.0% | |||||
Duluth Economic Development Authority Revenue, MN Series A, 4.00%, 6/15/2037 | 380,000 | 364,521 | |||
State of Minnesota, General Obligation, MN Series A, 5.00%, 8/1/2035 | 100,000 | 111,170 | |||
475,691 | |||||
MISSOURI — 3.4% | |||||
City of Kansas City Sanitary Sewer System Revenue, MO Series A, 4.00%, 1/1/2036 | 600,000 | 604,169 | |||
City of St. Louis Airport Revenue, MO Series C, 5.00%, 7/1/2029 | 100,000 | 113,027 |
Security Description | Principal Amount | Value | |||
Park Hill School District of Platte County, General Obligation, MO 3.00%, 3/1/2032 | $ 1,000,000 | $ 952,876 | |||
1,670,072 | |||||
NEBRASKA — 0.6% | |||||
Central Plains Energy Project Revenue, NE Series A, 5.00%, 5/1/2054 (a) | 275,000 | 291,518 | |||
NEVADA — 1.0% | |||||
Las Vegas Valley Water District, General Obligation, NV 5.00%, 6/1/2039 | 500,000 | 506,302 | |||
NEW JERSEY — 3.7% | |||||
New Jersey Economic Development Authority Revenue, NJ 5.00%, 6/15/2031 | 1,000,000 | 1,124,781 | |||
New Jersey Transportation Trust Fund Authority Revenue, NJ: | |||||
Series A, 5.00%, 6/15/2025 | 245,000 | 252,504 | |||
Series BB, 5.00%, 6/15/2040 | 380,000 | 432,751 | |||
1,810,036 | |||||
NEW MEXICO — 2.0% | |||||
New Mexico Hospital Equipment Loan Council Revenue, NM Series A, 4.00%, 8/1/2039 | 1,000,000 | 1,009,023 | |||
NEW YORK — 5.0% | |||||
City of New York, General Obligation, NY Series A-1, 4.00%, 8/1/2037 | 1,020,000 | 1,080,024 | |||
New York City Industrial Development Agency Revenue, NY Series A, AGM, 3.00%, 3/1/2036 (c) | 795,000 | 743,165 | |||
New York State Dormitory Authority Revenue, NY Series B, 5.00%, 2/15/2034 | 300,000 | 305,383 | |||
New York Transportation Development Corp. Revenue, NY 6.00%, 4/1/2035 | 250,000 | 278,499 | |||
Triborough Bridge & Tunnel Authority Revenue, NY Series A, 5.00%, 11/1/2025 | 85,000 | 88,546 | |||
2,495,617 | |||||
NORTH CAROLINA — 0.5% | |||||
City of Raleigh, Certificate Participation, NC 4.50%, 2/1/2034 (a) | 230,000 | 230,000 | |||
OHIO — 1.1% | |||||
State of Ohio Revenue, OH Series A, 3.25%, 1/1/2035 | 580,000 | 559,248 |
Security Description | Principal Amount | Value | |||
OKLAHOMA — 1.6% | |||||
Oklahoma County Finance Authority Revenue, OK 4.00%, 9/1/2038 | $ 500,000 | $ 516,868 | |||
Oklahoma Development Finance Authority Revenue, OK Series B, 5.00%, 8/15/2038 | 300,000 | 294,479 | |||
811,347 | |||||
OREGON — 3.6% | |||||
Medford Hospital Facilities Authority Revenue, OR Series A, 5.00%, 8/15/2032 | 900,000 | 1,004,688 | |||
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation, OR Series A, 5.00%, 6/15/2038 | 695,000 | 765,826 | |||
1,770,514 | |||||
PENNSYLVANIA — 5.9% | |||||
City of Philadelphia Airport Revenue, PA Series B, AMT, 5.00%, 7/1/2032 | 750,000 | 791,120 | |||
Commonwealth Financing Authority Revenue, PA AGM, 4.00%, 6/1/2039 (c) | 550,000 | 554,021 | |||
Pennsylvania Economic Development Financing Authority Revenue, PA Series A, 5.00%, 2/1/2025 | 100,000 | 101,002 | |||
Pennsylvania State University Revenue, PA Series B, 5.00%, 9/1/2033 | 600,000 | 635,033 | |||
Pennsylvania Turnpike Commission Revenue, PA Series B, 5.00%, 12/1/2031 | 800,000 | 828,612 | |||
2,909,788 | |||||
TENNESSEE — 2.0% | |||||
New Memphis Arena Public Building Authority Revenue, TN Zero Coupon, 4/1/2030 | 530,000 | 491,032 | |||
Tennergy Corp. Revenue, TN Series A, 5.00%, 2/1/2050 (a) | 500,000 | 504,347 | |||
995,379 | |||||
TEXAS — 6.9% | |||||
Austin Independent School District, General Obligation, TX 5.00%, 8/1/2036 | 500,000 | 594,588 | |||
Central Texas Turnpike System Revenue, TX Series B, 5.00%, 8/15/2037 | 525,000 | 529,091 | |||
Forney Independent School District, General Obligation, TX Series B, 5.00%, 8/15/2039 (c) | 425,000 | 479,846 |
Security Description | Principal Amount | Value | |||
Harris County-Houston Sports Authority Revenue, TX Series A, 5.00%, 11/15/2029 | $ 505,000 | $ 511,377 | |||
New Hope Cultural Education Facilities Finance Corp. Revenue, TX Series A1, 5.50%, 1/1/2057 | 465,000 | 332,638 | |||
Plano Independent School District, General Obligation, TX Series A, 5.00%, 2/15/2027 (c) | 215,000 | 225,087 | |||
Texas Municipal Power Agency Revenue, TX AGM, 3.00%, 9/1/2039 (c) | 250,000 | 219,781 | |||
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX 5.50%, 12/31/2058 | 500,000 | 542,221 | |||
3,434,629 | |||||
UTAH — 3.8% | |||||
City of Salt Lake City Airport Revenue, UT Series A, 5.25%, 7/1/2038 | 375,000 | 423,083 | |||
Utah Telecommunication Open Infrastructure Agency Revenue, UT 4.38%, 6/1/2040 | 750,000 | 782,427 | |||
Vineyard Redevelopment Agency, Special Obligation, UT: | |||||
AGM, 5.00%, 5/1/2024 (c) | 350,000 | 352,187 | |||
AGM, 5.00%, 5/1/2027 (c) | 325,000 | 348,605 | |||
1,906,302 | |||||
VIRGINIA — 1.8% | |||||
Isle of Wight County Economic Development Authority Revenue, VA 5.25%, 7/1/2048 | 345,000 | 379,717 | |||
Virginia Small Business Financing Authority Revenue, VA: | |||||
AMT, 5.00%, 6/30/2039 | 125,000 | 135,370 | |||
AMT, 5.00%, 12/31/2039 | 355,000 | 384,450 | |||
899,537 | |||||
WASHINGTON — 4.4% | |||||
Energy Northwest Revenue, WA Series A, 5.00%, 7/1/2039 | 300,000 | 347,704 | |||
Port of Seattle Revenue, WA Series C, AMT, 5.00%, 4/1/2035 | 750,000 | 753,384 | |||
State of Washington, General Obligation, WA: | |||||
Series D, 5.00%, 2/1/2036 | 700,000 | 701,586 | |||
Series 2017-A, 5.00%, 8/1/2029 | 150,000 | 158,676 | |||
Washington Health Care Facilities Authority Revenue, WA 5.00%, 8/15/2037 | 200,000 | 204,518 | |||
2,165,868 |
Security Description | Principal Amount | Value | ||||
WISCONSIN — 2.4% | ||||||
Public Finance Authority Revenue, WI Series A, 6.00%, 6/15/2052 | $ 250,000 | $ 234,488 | ||||
Wisconsin Health & Educational Facilities Authority Revenue, WI Series A, 3.00%, 10/15/2037 | 425,000 | 378,697 | ||||
Wisconsin Housing & Economic Development Authority Housing Revenue, WI Series A, 2.05%, 11/1/2036 | 700,000 | 564,959 | ||||
1,178,144 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $49,678,863) | 49,004,984 |
Shares | |||
SHORT-TERM INVESTMENT — 0.0% (d) | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (e) (f) (Cost $8,206) | 8,206 | 8,206 | |
TOTAL INVESTMENTS — 98.9% (Cost $49,687,069) | 49,013,190 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% | 541,240 | ||
NET ASSETS — 100.0% | $ 49,554,430 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 2.6% of net assets as of December 31, 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. | 4.8% |
Permanent School Fund Guaranteed | 1.5% |
Build America Mutual Assurance Company | 0.7% |
Assured Guaranty Corp. | 0.2% |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2023. |
AMT | Alternative Minimum Tax |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $ — | $49,004,984 | $— | $49,004,984 | ||||
Short-Term Investment | 8,206 | — | — | 8,206 | ||||
TOTAL INVESTMENTS | $8,206 | $49,004,984 | $— | $49,013,190 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 167,594 | $167,594 | $10,424,487 | $10,583,875 | $— | $— | 8,206 | $8,206 | $15,834 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 99.2% | ||||||
ALABAMA — 2.4% | ||||||
Black Belt Energy Gas District Revenue, AL Series C, 5.50%, 10/1/2054 (a) | $ 600,000 | $ 662,876 | ||||
West Jefferson Industrial Development Board Revenue, AL 4.48%, 12/1/2038 (a) | 320,000 | 320,000 | ||||
982,876 | ||||||
ARIZONA — 0.6% | ||||||
City of Phoenix Civic Improvement Corp. Revenue, AZ Series D, 5.00%, 7/1/2030 | 215,000 | 232,584 | ||||
CALIFORNIA — 5.4% | ||||||
California Community Choice Financing Authority Revenue, CA Series D, 5.50%, 5/1/2054 (a) | 600,000 | 646,443 | ||||
Compton Unified School District, General Obligation, CA Series B, BAM, 4.00%, 6/1/2032 (b) | 175,000 | 181,776 | ||||
Folsom Ranch Financing Authority, Special Tax Revenue, CA 5.00%, 9/1/2029 | 145,000 | 155,906 | ||||
Los Angeles Department of Water & Power Revenue, CA Series E, 5.00%, 7/1/2039 | 600,000 | 603,805 | ||||
Orange County Community Facilities District, Special Tax Revenue, CA Series A, 5.00%, 8/15/2052 | 200,000 | 205,263 | ||||
San Francisco Unified School District, General Obligation, CA 4.00%, 6/15/2026 | 185,000 | 191,452 | ||||
San Mateo Foster City Public Financing Authority Revenue, CA 4.00%, 8/1/2035 | 175,000 | 187,364 | ||||
2,172,009 | ||||||
COLORADO — 1.3% | ||||||
Regional Transportation District Revenue, CO Series A, 5.00%, 7/15/2027 | 500,000 | 525,303 | ||||
CONNECTICUT — 5.5% | ||||||
Connecticut State Health & Educational Facilities Authority Revenue, CT Series L, 5.00%, 7/1/2047 | 600,000 | 646,589 | ||||
State of Connecticut Special Tax Revenue, CT Series A, 4.00%, 5/1/2039 | 460,000 | 477,520 | ||||
State of Connecticut, General Obligation, CT Series F, 5.00%, 11/15/2041 | 610,000 | 693,786 |
Security Description | Principal Amount | Value | |||
University of Connecticut Revenue, CT Series A, 5.00%, 4/15/2026 | $ 380,000 | $ 400,234 | |||
2,218,129 | |||||
DELAWARE — 0.4% | |||||
Delaware Transportation Authority Revenue, DE 3.25%, 7/1/2025 | 180,000 | 180,351 | |||
DISTRICT OF COLUMBIA — 1.8% | |||||
District of Columbia Revenue, DC Series A, AMT, 5.00%, 8/31/2026 | 700,000 | 730,301 | |||
FLORIDA — 7.5% | |||||
City of Gainesville Utilities System Revenue, FL Series A, 5.00%, 10/1/2025 | 290,000 | 300,920 | |||
City of Pompano Beach Revenue, FL 3.50%, 9/1/2030 | 250,000 | 232,187 | |||
City of Tallahassee Utility System Revenue, FL 5.00%, 10/1/2037 | 560,000 | 564,985 | |||
Florida Development Finance Corp. Revenue, FL: | |||||
4.00%, 11/15/2034 | 385,000 | 409,333 | |||
Series A, 4.00%, 6/15/2042 | 500,000 | 462,114 | |||
Series A, 8.00%, 7/1/2057 (a) (c) | 300,000 | 306,230 | |||
Miami-Dade County Expressway Authority Revenue, FL Series A, 5.00%, 7/1/2025 | 100,000 | 100,841 | |||
Orlando Utilities Commission Revenue, FL Series A, 5.00%, 10/1/2027 | 150,000 | 163,831 | |||
Palm Beach County Health Facilities Authority Revenue, FL 5.00%, 11/15/2032 | 100,000 | 103,253 | |||
Somerset Community Development District, Special Assessment, FL: | |||||
4.00%, 5/1/2032 | 200,000 | 189,639 | |||
4.20%, 5/1/2037 | 200,000 | 183,460 | |||
3,016,793 | |||||
IDAHO — 2.5% | |||||
Idaho Housing & Finance Association Revenue, ID Series A, 4.00%, 8/15/2048 | 1,000,000 | 1,001,392 | |||
ILLINOIS — 5.5% | |||||
Chicago O'Hare International Airport Revenue, IL: | |||||
5.00%, 1/1/2038 | 250,000 | 277,489 | |||
Series C, AMT, 5.00%, 1/1/2034 | 400,000 | 450,330 | |||
City of Chicago, General Obligation, IL Series A, 5.50%, 1/1/2039 | 275,000 | 301,875 | |||
Illinois Finance Authority Revenue, IL 5.00%, 7/1/2036 | 270,000 | 308,555 |
Security Description | Principal Amount | Value | |||
Illinois State Toll Highway Authority Revenue, IL: | |||||
Series B, 5.00%, 1/1/2036 | $ 600,000 | $ 602,862 | |||
Series B, 5.00%, 1/1/2027 | 140,000 | 150,003 | |||
State of Illinois, General Obligation, IL 5.50%, 1/1/2028 | 130,000 | 142,396 | |||
2,233,510 | |||||
IOWA — 0.8% | |||||
Iowa Finance Authority Revenue, IA 4.00%, 12/1/2050 (a) | 300,000 | 303,811 | |||
MARYLAND — 2.6% | |||||
Maryland Economic Development Corp. Revenue, MD Series B, AMT, 5.00%, 12/31/2036 | 425,000 | 455,621 | |||
State of Maryland, General Obligation, MD Series B, 5.00%, 8/1/2027 | 400,000 | 436,564 | |||
Washington Suburban Sanitary Commission Revenue, MD 5.00%, 6/1/2027 | 150,000 | 163,029 | |||
1,055,214 | |||||
MASSACHUSETTS — 0.7% | |||||
Massachusetts Development Finance Agency Revenue, MA Series A-2, 5.00%, 7/1/2027 | 250,000 | 271,149 | |||
MICHIGAN — 1.9% | |||||
Michigan State Housing Development Authority Revenue, MI Series A, 4.70%, 12/1/2043 | 750,000 | 773,895 | |||
MINNESOTA — 2.0% | |||||
City of Minneapolis/St. Paul Housing & Redevelopment Authority Revenue, MN Series A, 5.00%, 11/15/2026 | 435,000 | 461,917 | |||
Minneapolis-St. Paul Metropolitan Airports Commission Revenue, MN Series B, AMT, 5.00%, 1/1/2034 | 300,000 | 337,747 | |||
799,664 | |||||
MONTANA — 0.5% | |||||
Cascade County Elementary School District No. 1 Great Falls, General Obligation, MT 3.00%, 7/1/2029 | 205,000 | 206,965 | |||
NEVADA — 1.3% | |||||
Las Vegas Valley Water District, General Obligation, NV 5.00%, 6/1/2039 | 500,000 | 506,302 |
Security Description | Principal Amount | Value | |||
NEW JERSEY — 3.4% | |||||
Hudson County Improvement Authority Revenue, NJ 3.00%, 10/1/2034 | $ 160,000 | $ 157,690 | |||
New Jersey Economic Development Authority Revenue, NJ: | |||||
Series MMM, 5.00%, 6/15/2033 | 180,000 | 201,519 | |||
Series QQQ, 5.00%, 6/15/2033 | 275,000 | 313,820 | |||
New Jersey Transportation Trust Fund Authority Revenue, NJ Series CC, 5.25%, 6/15/2036 | 300,000 | 353,422 | |||
State of New Jersey, General Obligation, NJ Series A, 5.00%, 6/1/2027 | 330,000 | 356,860 | |||
1,383,311 | |||||
NEW YORK — 12.3% | |||||
City of New York, General Obligation, NY: | |||||
Series E1, 5.00%, 4/1/2039 | 300,000 | 347,912 | |||
Series A, 5.00%, 8/1/2025 | 105,000 | 108,830 | |||
Series A-1, 5.00%, 9/1/2034 | 400,000 | 478,940 | |||
Hudson Yards Infrastructure Corp. Revenue, NY Series A, 5.00%, 2/15/2030 | 300,000 | 320,621 | |||
Metropolitan Transportation Authority Revenue, NY: | |||||
Series E, 3.50%, 11/15/2032 | 230,000 | 227,863 | |||
Series A, 5.00%, 11/15/2037 | 575,000 | 658,736 | |||
New York City Health & Hospitals Corp. Revenue, NY Series A, 5.00%, 2/15/2039 | 180,000 | 198,140 | |||
New York City Transitional Finance Authority Building Aid Revenue, NY Series S1A, 5.00%, 7/15/2038 | 475,000 | 521,815 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue, NY: | |||||
Series A, 5.00%, 11/1/2026 | 880,000 | 940,495 | |||
Series F-1, 5.00%, 11/1/2034 | 250,000 | 293,949 | |||
New York Transportation Development Corp. Revenue, NY: | |||||
AMT, 5.00%, 12/1/2036 | 250,000 | 274,844 | |||
AMT, 5.00%, 12/1/2037 | 300,000 | 326,572 | |||
6.00%, 4/1/2035 | 250,000 | 278,499 | |||
4,977,216 | |||||
NORTH CAROLINA — 0.9% | |||||
County of Durham Revenue, NC Series A, 5.00%, 6/1/2042 | 320,000 | 364,963 | |||
OKLAHOMA — 3.0% | |||||
Carter County Public Facilities Authority Revenue, OK 5.00%, 9/1/2028 | 200,000 | 213,008 |
Security Description | Principal Amount | Value | |||
Grand River Dam Authority Revenue, OK Series A, 5.00%, 6/1/2039 | $ 700,000 | $ 703,102 | |||
Muskogee Industrial Trust Revenue, OK 4.00%, 9/1/2032 | 100,000 | 100,297 | |||
Norman Regional Hospital Authority Revenue, OK 4.00%, 9/1/2037 | 230,000 | 210,773 | |||
1,227,180 | |||||
OREGON — 3.7% | |||||
Medford Hospital Facilities Authority Revenue, OR Series A, 5.00%, 8/15/2037 | 745,000 | 811,855 | |||
Warm Springs Reservation Confederated Tribe Revenue, OR Series B, 5.00%, 11/1/2039 (c) | 650,000 | 702,115 | |||
1,513,970 | |||||
PENNSYLVANIA — 6.0% | |||||
Pennsylvania Economic Development Financing Authority Revenue, PA: | |||||
Series A-2, 4.00%, 5/15/2053 | 250,000 | 243,964 | |||
Series A-2, 4.60%, 10/1/2046 (a) | 750,000 | 757,936 | |||
Pennsylvania Turnpike Commission Revenue, PA: | |||||
5.00%, 6/1/2027 | 500,000 | 518,500 | |||
Series E, 6.00%, 12/1/2030 (a) | 820,000 | 923,216 | |||
2,443,616 | |||||
TENNESSEE — 0.6% | |||||
Tennessee Housing Development Agency Revenue, TN Series 2A, 4.15%, 7/1/2038 | 250,000 | 258,503 | |||
TEXAS — 10.6% | |||||
Board of Regents of the University of Texas System Revenue, TX Series B, 5.00%, 8/15/2029 | 425,000 | 484,362 | |||
City of Dallas, General Obligation, TX AGM, 3.13%, 2/15/2035 (b) | 950,000 | 926,699 | |||
City of Garland Electric Utility System Revenue, TX 5.00%, 3/1/2024 | 300,000 | 300,875 | |||
Love Field Airport Modernization Corp. Revenue, TX AMT, 5.00%, 11/1/2034 | 105,000 | 108,252 | |||
Lower Colorado River Authority Revenue, TX Series B, 5.00%, 5/15/2039 (a) | 590,000 | 629,146 | |||
Tarrant County Cultural Education Facilities Finance Corp. Revenue, TX Series A, 4.00%, 11/15/2035 | 600,000 | 607,838 |
Security Description | Principal Amount | Value | |||
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX 5.50%, 12/31/2058 | $ 500,000 | $ 542,221 | |||
Texas Woman's University Revenue, TX Series A, 5.00%, 7/1/2037 | 585,000 | 671,912 | |||
4,271,305 | |||||
UTAH — 1.0% | |||||
City of Salt Lake City Airport Revenue, UT Series A, 5.25%, 7/1/2038 | 375,000 | 423,083 | |||
VIRGINIA — 2.9% | |||||
Hampton Roads Transportation Accountability Commission Revenue, VA Series A, 5.00%, 7/1/2026 | 125,000 | 131,534 | |||
Isle of Wight County Economic Development Authority Revenue, VA 5.25%, 7/1/2048 | 345,000 | 379,717 | |||
Virginia Beach Development Authority Revenue, VA Series A, 7.00%, 9/1/2053 | 100,000 | 107,089 | |||
Virginia Small Business Financing Authority Revenue, VA AMT, 5.00%, 1/1/2037 | 500,000 | 538,843 | |||
1,157,183 | |||||
WASHINGTON — 7.4% | |||||
Central Puget Sound Regional Transit Authority Revenue, WA Series S-1, 5.00%, 11/1/2045 | 105,000 | 109,303 | |||
King County Public Hospital District No. 1, General Obligation, WA 5.00%, 12/1/2036 | 590,000 | 628,781 | |||
Port of Seattle Revenue, WA: | |||||
Series B, 5.00%, 6/1/2034 | 200,000 | 231,321 | |||
Series C, AMT, 5.00%, 4/1/2035 | 750,000 | 753,385 | |||
State of Washington, General Obligation, WA: | |||||
Series D, 5.00%, 2/1/2036 | 700,000 | 701,586 | |||
Series A, 5.00%, 8/1/2033 | 250,000 | 269,424 | |||
Washington Health Care Facilities Authority Revenue, WA 5.00%, 8/15/2037 | 300,000 | 306,777 | |||
3,000,577 | |||||
WISCONSIN — 4.7% | |||||
Public Finance Authority Revenue, WI Series A, 4.00%, 11/15/2037 | 600,000 | 577,069 | |||
Wisconsin Health & Educational Facilities Authority Revenue, WI Series A, 4.00%, 4/1/2039 | 800,000 | 796,534 |
Security Description | Principal Amount | Value | ||||
Wisconsin Housing & Economic Development Authority Housing Revenue, WI Series A, 2.05%, 11/1/2036 | $ 675,000 | $ 544,782 | ||||
1,918,385 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $39,598,910) | 40,149,540 | |||||
TOTAL INVESTMENTS — 99.2% (Cost $39,598,910) | 40,149,540 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 322,310 | |||||
NET ASSETS — 100.0% | $ 40,471,850 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 | 2.3% |
Build America Mutual Assurance Company | 0.4% |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.5% of net assets as of December 31, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
AMT | Alternative Minimum Tax |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $— | $40,149,540 | $— | $40,149,540 | ||||
TOTAL INVESTMENTS | $— | $40,149,540 | $— | $40,149,540 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 263,694 | $263,694 | $5,942,036 | $6,205,730 | $— | $— | — | $— | $10,799 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC FIXED INCOME — 99.8% | ||||||
SPDR Bloomberg High Yield Bond ETF (a) | 117,048 | $ 11,087,957 | ||||
SPDR Bloomberg International Treasury Bond ETF (a) | 3,605 | 83,564 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 312,040 | 10,244,273 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a)(b) | 2,741,086 | 78,285,416 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a)(b) | 380,213 | 9,045,268 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 832,968 | 24,172,731 | ||||
SPDR Portfolio Mortgage-Backed Bond ETF (a)(b) | 3,138,845 | 69,274,309 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $201,023,751) | 202,193,518 | |||||
SHORT-TERM INVESTMENTS — 9.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (c)(d) | 410,348 | $ 410,348 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 19,257,020 | 19,257,020 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,667,368) | $ 19,667,368 | |||||
TOTAL INVESTMENTS — 109.5% (Cost $220,691,119) | 221,860,886 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.5)% | (19,312,271) | |||||
NET ASSETS — 100.0% | $ 202,548,615 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $202,193,518 | $— | $— | $202,193,518 | ||||
Short-Term Investments | 19,667,368 | — | — | 19,667,368 | ||||
TOTAL INVESTMENTS | $221,860,886 | $— | $— | $221,860,886 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 127,586 | $ 11,714,947 | $ 5,728,607 | $ 17,409,126 | $ (2,525) | $ (31,903) | — | $ — | $ 85,099 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 98,180 | 9,035,505 | 11,361,638 | 9,378,197 | (152,161) | 221,172 | 117,048 | 11,087,957 | 231,803 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 558,817 | 12,601,323 | 6,948,052 | 19,310,360 | (13,037) | (142,414) | 3,605 | 83,564 | 98,573 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 434,649 | 13,956,579 | 19,044,210 | 23,048,123 | (105,937) | 397,544 | 312,040 | 10,244,273 | 469,158 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,951,784 | 55,215,969 | 38,399,728 | 16,339,891 | (401,708) | 1,411,318 | 2,741,086 | 78,285,416 | 1,304,705 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 265,123 | 6,166,761 | 9,984,000 | 7,290,203 | (168,457) | 353,167 | 380,213 | 9,045,268 | 135,628 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 623,115 | 18,631,139 | 15,176,644 | 9,420,882 | (1,463,778) | 1,249,608 | 832,968 | 24,172,731 | 281,429 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 2,371,611 | 51,961,997 | 26,054,115 | 9,300,202 | (1,137,754) | 1,696,153 | 3,138,845 | 69,274,309 | 1,029,342 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 300,805 | 300,805 | 1,521,298 | 1,411,755 | — | — | 410,348 | 410,348 | 9,336 | ||||||||
State Street Navigator Securities Lending Portfolio II | 48,283,244 | 48,283,244 | 582,067,552 | 611,093,776 | — | — | 19,257,020 | 19,257,020 | 207,858 | ||||||||
Total | $227,868,269 | $716,285,844 | $724,002,515 | $(3,445,357) | $5,154,645 | $221,860,886 | $3,852,931 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9% | ||||||
DOMESTIC EQUITY — 99.9% | ||||||
The Consumer Discretionary Select Sector SPDR Fund (a)(b) | 273,720 | $ 48,943,873 | ||||
The Communication Services Select Sector SPDR Fund (a) | 669,680 | 48,658,949 | ||||
The Consumer Staples Select Sector SPDR Fund (a)(b) | 668,609 | 48,159,906 | ||||
The Energy Select Sector SPDR Fund (a) | 220,069 | 18,450,585 | ||||
The Financial Select Sector SPDR Fund (a)(b) | 1,302,722 | 48,982,347 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 110,560 | 15,078,173 | ||||
The Industrial Select Sector SPDR Fund (a)(b) | 352,300 | 40,158,677 | ||||
The Technology Select Sector SPDR Fund (a)(b) | 793,902 | 152,810,257 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $373,470,596) | 421,242,767 | |||||
SHORT-TERM INVESTMENTS — 12.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (c)(d) | 794,569 | $ 794,569 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 50,319,432 | 50,319,432 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,114,001) | $ 51,114,001 | |||||
TOTAL INVESTMENTS — 112.0% (Cost $424,584,597) | 472,356,768 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (12.0)% | (50,492,223) | |||||
NET ASSETS — 100.0% | $ 421,864,545 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2023 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2023. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $421,242,767 | $— | $— | $421,242,767 | ||||
Short-Term Investments | 51,114,001 | — | — | 51,114,001 | ||||
TOTAL INVESTMENTS | $472,356,768 | $— | $— | $472,356,768 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 385,530 | $ 385,530 | $ 4,247,460 | $ 3,838,421 | $ — | $ — | 794,569 | $ 794,569 | $ 15,760 | ||||||||
State Street Navigator Securities Lending Portfolio II | 91,543,951 | 91,543,951 | 796,927,975 | 838,152,494 | — | — | 50,319,432 | 50,319,432 | 144,935 | ||||||||
The Communication Services Select Sector SPDR Fund | 96,107 | 6,254,643 | 57,213,191 | 18,726,142 | 455,484 | 3,461,773 | 669,680 | 48,658,949 | 198,928 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 295,657 | 50,205,515 | 57,631,415 | 59,025,695 | 176,360 | (43,722) | 273,720 | 48,943,873 | 192,385 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 421,950 | 31,296,031 | 61,231,968 | 43,682,233 | (1,840,109) | 1,154,249 | 668,609 | 48,159,906 | 423,873 | ||||||||
The Energy Select Sector SPDR Fund | 167,682 | 13,610,748 | 19,088,615 | 13,668,592 | (83,203) | (496,983) | 220,069 | 18,450,585 | 297,951 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 67,194,883 | 23,378,985 | 554,781 | 4,611,668 | 1,302,722 | 48,982,347 | 386,560 | ||||||||
The Health Care Select Sector SPDR Fund | 462,115 | 61,336,524 | 37,509,648 | 83,939,533 | 593,657 | (422,123) | 110,560 | 15,078,173 | 238,714 | ||||||||
The Industrial Select Sector SPDR Fund | 649,374 | 69,690,818 | 30,071,849 | 62,833,326 | 3,025,583 | 203,753 | 352,300 | 40,158,677 | 361,241 | ||||||||
The Materials Select Sector SPDR Fund | — | — | 41,177,550 | 40,394,490 | (783,060) | — | — | — | 50,090 | ||||||||
The Technology Select Sector SPDR Fund | 382,122 | 66,435,731 | 96,288,340 | 23,483,022 | 1,956,201 | 11,613,007 | 793,902 | 152,810,257 | 495,331 | ||||||||
Total | $390,759,491 | $1,268,582,894 | $1,211,122,933 | $ 4,055,694 | $20,081,622 | $472,356,768 | $2,805,768 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 86.4% | ||||||
AUSTRALIA — 0.2% | ||||||
AngloGold Ashanti Holdings PLC 3.75%, 10/1/2030 | $ 200,000 | $ 173,818 | ||||
BRAZIL — 8.4% | ||||||
Banco do Brasil SA 10 yr. CMT + 4.40%, 6.25%, 4/15/2024 (a) | 1,100,000 | 1,078,781 | ||||
Braskem Netherlands Finance BV COR, 7.25%, 2/13/2033 | 1,200,000 | 1,000,164 | ||||
BRF SA 4.88%, 1/24/2030 | 200,000 | 175,848 | ||||
Cosan Luxembourg SA 7.50%, 6/27/2030 (b) | 200,000 | 208,368 | ||||
CSN Resources SA 5.88%, 4/8/2032 | 400,000 | 346,204 | ||||
Guara Norte SARL 5.20%, 6/15/2034 | 1,722,148 | 1,569,531 | ||||
Itau Unibanco Holding SA 5 yr. CMT + 3.22%, 4.63%, 2/27/2025 (a) | 200,000 | 174,796 | ||||
MARB BondCo PLC 3.95%, 1/29/2031 | 600,000 | 484,908 | ||||
Minerva Luxembourg SA 8.88%, 9/13/2033 | 200,000 | 211,964 | ||||
MV24 Capital BV 6.75%, 6/1/2034 | 322,544 | 300,618 | ||||
NBM U.S. Holdings, Inc. 6.63%, 8/6/2029 | 200,000 | 194,176 | ||||
Nexa Resources SA 5.38%, 5/4/2027 | 1,177,000 | 1,142,608 | ||||
Simpar Europe SA 5.20%, 1/26/2031 | 200,000 | 173,644 | ||||
Unigel Luxembourg SA 8.75%, 10/1/2026 (c) | 200,000 | 56,532 | ||||
7,118,142 | ||||||
CHILE — 9.0% | ||||||
Agrosuper SA 4.60%, 1/20/2032 | 1,350,000 | 1,161,864 | ||||
CAP SA 3.90%, 4/27/2031 (b) | 2,100,000 | 1,625,883 | ||||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 (b) | 2,500,000 | 1,980,825 | ||||
Empresa Electrica Angamos SA 4.88%, 5/25/2029 | 95,600 | 86,136 | ||||
Empresa Electrica Cochrane SpA 5.50%, 5/14/2027 | 943,740 | 889,918 | ||||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 1,400,000 | 1,171,716 | ||||
Mercury Chile Holdco LLC 6.50%, 1/24/2027 (b) | 600,000 | 556,146 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 200,000 | 95,352 | ||||
7,567,840 | ||||||
COLOMBIA — 9.2% | ||||||
AI Candelaria Spain SA: | ||||||
5.75%, 6/15/2033 (b) | 1,975,000 | 1,530,743 | ||||
7.50%, 12/15/2028 | 206,250 | 195,764 |
Security Description | Principal Amount | Value | ||||
Banco Davivienda SA 10 yr. CMT + 5.10%, 6.65%, 4/22/2031 (a) (b) | $ 400,000 | $ 284,924 | ||||
Bancolombia SA 5 yr. CMT + 2.94%, 4.63%, 12/18/2029 (a) | 400,000 | 369,920 | ||||
Canacol Energy Ltd. 5.75%, 11/24/2028 | 900,000 | 657,873 | ||||
Ecopetrol SA: | ||||||
4.63%, 11/2/2031 | 1,500,000 | 1,272,495 | ||||
5.88%, 5/28/2045 | 100,000 | 78,532 | ||||
5.88%, 11/2/2051 | 250,000 | 189,595 | ||||
Empresas Publicas de Medellin ESP: | ||||||
4.25%, 7/18/2029 | 1,500,000 | 1,277,415 | ||||
4.38%, 2/15/2031 | 500,000 | 409,255 | ||||
Fideicomiso PA Pacifico Tres 8.25%, 1/15/2035 | 182,000 | 167,768 | ||||
Geopark Ltd. 5.50%, 1/17/2027 | 300,000 | 265,383 | ||||
Gran Tierra Energy, Inc. 9.50%, 10/15/2029 (b) | 200,000 | 175,006 | ||||
Oleoducto Central SA 4.00%, 7/14/2027 | 950,000 | 879,824 | ||||
7,754,497 | ||||||
GUATEMALA — 1.5% | ||||||
CT Trust 5.13%, 2/3/2032 | 600,000 | 521,088 | ||||
Millicom International Cellular SA 6.25%, 3/25/2029 | 810,000 | 768,973 | ||||
1,290,061 | ||||||
INDIA — 7.0% | ||||||
Adani Electricity Mumbai Ltd.: | ||||||
3.87%, 7/22/2031 | 200,000 | 154,774 | ||||
3.95%, 2/12/2030 | 611,000 | 500,222 | ||||
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 (b) | 1,242,500 | 1,018,546 | ||||
Adani Ports & Special Economic Zone Ltd.: | ||||||
3.10%, 2/2/2031 | 1,000,000 | 765,330 | ||||
4.20%, 8/4/2027 | 200,000 | 179,592 | ||||
4.38%, 7/3/2029 | 700,000 | 603,288 | ||||
Adani Transmission Step-One Ltd.: | ||||||
4.00%, 8/3/2026 | 1,200,000 | 1,101,000 | ||||
4.25%, 5/21/2036 | 471,000 | 377,973 | ||||
UPL Corp. Ltd.: | ||||||
4.50%, 3/8/2028 | 200,000 | 177,295 | ||||
4.63%, 6/16/2030 | 900,000 | 747,523 | ||||
Vedanta Resources Ltd. 6.13%, 8/9/2024 | 400,000 | 267,168 | ||||
5,892,711 | ||||||
INDONESIA — 7.0% | ||||||
Freeport Indonesia PT 5.32%, 4/14/2032 (b) | 900,000 | 884,574 |
Security Description | Principal Amount | Value | ||||
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT: | ||||||
4.75%, 5/15/2025 | $ 1,000,000 | $ 988,000 | ||||
5.45%, 5/15/2030 | 363,000 | 366,111 | ||||
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 (b) | 1,689,660 | 1,629,035 | ||||
Minejesa Capital BV 5.63%, 8/10/2037 | 2,400,000 | 2,084,400 | ||||
5,952,120 | ||||||
ISRAEL — 1.8% | ||||||
Bank Hapoalim BM 5 yr. CMT + 2.16%, 3.26%, 1/21/2032 (a) (b) | 1,200,000 | 1,037,712 | ||||
Bank Leumi Le-Israel BM 5 yr. CMT + 1.63%, 3.28%, 1/29/2031 (a) (b) | 500,000 | 451,325 | ||||
1,489,037 | ||||||
JAMAICA — 0.0% (d) | ||||||
Digicel Group Holdings Ltd.: | ||||||
7.00%, 12/31/2099 (b) | 68,049 | 5,103 | ||||
8.00%, 4/1/2025 (b) (c) | 33,734 | 7,759 | ||||
12,862 | ||||||
KUWAIT — 1.6% | ||||||
MEGlobal BV 2.63%, 4/28/2028 | 400,000 | 359,460 | ||||
MEGlobal Canada ULC 5.00%, 5/18/2025 | 1,000,000 | 987,400 | ||||
1,346,860 | ||||||
MEXICO — 9.5% | ||||||
Banco Mercantil del Norte SA 10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a) | 800,000 | 749,096 | ||||
Banco Nacional de Comercio Exterior SNC 5 yr. CMT + 2.00%, 2.72%, 8/11/2031 (a) | 600,000 | 510,810 | ||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%, 7.53%, 10/1/2028 (a) | 500,000 | 523,685 | ||||
BBVA Bancomer SA: | ||||||
5 yr. CMT + 4.66%, 8.45%, 6/29/2038 (a) | 202,000 | 214,225 | ||||
5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (a) | 1,870,000 | 1,747,571 | ||||
Braskem Idesa SAPI 6.99%, 2/20/2032 | 200,000 | 112,612 | ||||
Cemex SAB de CV 5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (a) | 800,000 | 757,784 | ||||
Industrias Penoles SAB de CV 4.15%, 9/12/2029 | 1,300,000 | 1,209,975 | ||||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b) | 300,000 | 65,160 | ||||
Mexico Generadora de Energia S de Real 5.50%, 12/6/2032 | 1,749,708 | 1,703,446 |
Security Description | Principal Amount | Value | ||||
Petroleos Mexicanos 6.75%, 9/21/2047 | $ 650,000 | $ 427,570 | ||||
Unifin Financiera SAB de CV 5 yr. CMT + 6.31%, 8.88%, 1/29/2025 (a) (c) | 800,000 | 80 | ||||
8,022,014 | ||||||
PANAMA — 2.3% | ||||||
C&W Senior Financing DAC 6.88%, 9/15/2027 | 400,000 | 374,264 | ||||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 246,000 | 179,843 | ||||
Global Bank Corp. 3 mo. USD Term SOFR + 3.30%, 5.25%, 4/16/2029 (a) | 1,000,000 | 892,120 | ||||
UEP Penonome II SA 6.50%, 10/1/2038 (b) | 695,536 | 529,164 | ||||
1,975,391 | ||||||
PARAGUAY — 0.7% | ||||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 216,935 | 155,605 | ||||
Frigorifico Concepcion SA 7.70%, 7/21/2028 | 200,000 | 167,076 | ||||
Rutas 2 & 7 Finance Ltd. Zero Coupon, 9/30/2036 | 433,333 | 288,566 | ||||
611,247 | ||||||
PERU — 10.7% | ||||||
Banco BBVA Peru SA 5 yr. CMT + 2.75%, 5.25%, 9/22/2029 (a) | 200,000 | 198,060 | ||||
Banco de Credito del Peru SA: | ||||||
5 yr. CMT + 2.45%, 3.25%, 9/30/2031 (a) | 850,000 | 775,778 | ||||
5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a) | 1,300,000 | 1,229,930 | ||||
Banco Internacional del Peru SAA Interbank: | ||||||
3 mo. USD Term SOFR + 5.76%, 6.63%, 3/19/2029 (a) | 300,000 | 298,500 | ||||
5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (a) | 1,900,000 | 1,816,552 | ||||
Cia de Minas Buenaventura SAA 5.50%, 7/23/2026 | 400,000 | 381,640 | ||||
Fenix Power Peru SA 4.32%, 9/20/2027 | 731,176 | 684,513 | ||||
Inkia Energy Ltd. 5.88%, 11/9/2027 | 400,000 | 382,076 | ||||
Intercorp Financial Services, Inc. 4.13%, 10/19/2027 | 819,000 | 746,953 | ||||
Kallpa Generacion SA 4.13%, 8/16/2027 | 500,000 | 476,770 | ||||
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034 | 750,765 | 743,257 | ||||
Orazul Energy Peru SA 5.63%, 4/28/2027 | 252,000 | 237,873 |
Security Description | Principal Amount | Value | ||||
Petroleos del Peru SA: | ||||||
4.75%, 6/19/2032 | $ 500,000 | $ 357,450 | ||||
5.63%, 6/19/2047 | 200,000 | 124,128 | ||||
Transportadora de Gas del Peru SA 4.25%, 4/30/2028 | 600,000 | 588,420 | ||||
9,041,900 | ||||||
SAUDI ARABIA — 0.7% | ||||||
EIG Pearl Holdings SARL 3.55%, 8/31/2036 | 700,000 | 609,560 | ||||
SINGAPORE — 6.6% | ||||||
DBS Group Holdings Ltd. Series GMTN, 5 yr. CMT + 1.10%, 1.82%, 3/10/2031 (a) | 1,550,000 | 1,436,230 | ||||
Oversea-Chinese Banking Corp. Ltd. 5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (a),(a) (b) | 1,900,000 | 1,787,368 | ||||
SingTel Group Treasury Pte. Ltd. Series EMTN, 1.88%, 6/10/2030 | 800,000 | 678,906 | ||||
United Overseas Bank Ltd.: | ||||||
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (a) | 900,000 | 820,647 | ||||
Series GMTN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (a) | 900,000 | 830,455 | ||||
5,553,606 | ||||||
SOUTH AFRICA — 2.5% | ||||||
Gold Fields Orogen Holdings BVI Ltd. 5.13%, 5/15/2024 | 1,000,000 | 994,249 | ||||
Sasol Financing USA LLC 5.50%, 3/18/2031 | 1,300,000 | 1,093,118 | ||||
2,087,367 | ||||||
SOUTH KOREA — 1.2% | ||||||
KT Corp.: | ||||||
1.00%, 9/1/2025 | 400,000 | 374,532 | ||||
2.50%, 7/18/2026 | 400,000 | 376,620 | ||||
Shinhan Financial Group Co. Ltd. 5 yr. CMT + 2.06%, 2.88%, 5/12/2026 (a) (b) | 300,000 | 272,121 | ||||
1,023,273 | ||||||
UNITED ARAB EMIRATES — 2.0% | ||||||
Galaxy Pipeline Assets Bidco Ltd. 2.16%, 3/31/2034 (b) | 1,953,712 | 1,698,264 | ||||
UNITED STATES — 4.5% | ||||||
Freeport-McMoRan, Inc.: | ||||||
4.38%, 8/1/2028 | 700,000 | 673,435 | ||||
4.63%, 8/1/2030 | 1,300,000 | 1,270,880 | ||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.: | ||||||
3.00%, 2/2/2029 | 1,700,000 | 1,494,640 |
Security Description | Principal Amount | Value | ||||
3.75%, 12/1/2031 | $ 400,000 | $ 344,152 | ||||
3,783,107 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $76,928,561) | 73,003,677 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 8.4% | ||||||
CHILE — 0.3% | ||||||
Chile Government International Bonds: | ||||||
3.10%, 5/7/2041 | 200,000 | 151,801 | ||||
3.10%, 1/22/2061 | 200,000 | 133,785 | ||||
285,586 | ||||||
COLOMBIA — 1.4% | ||||||
Colombia Government International Bonds: | ||||||
4.13%, 5/15/2051 | 950,000 | 631,356 | ||||
5.00%, 6/15/2045 | 700,000 | 541,420 | ||||
1,172,776 | ||||||
MEXICO — 3.0% | ||||||
Mexico Government International Bonds: | ||||||
2.66%, 5/24/2031 | 1,000,000 | 845,421 | ||||
4.40%, 2/12/2052 | 1,100,000 | 871,553 | ||||
6.34%, 5/4/2053 | 800,000 | 815,915 | ||||
2,532,889 | ||||||
PANAMA — 2.7% | ||||||
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025 | 400,000 | 375,584 | ||||
Panama Government International Bonds: | ||||||
2.25%, 9/29/2032 | 300,000 | 219,374 | ||||
3.87%, 7/23/2060 | 2,100,000 | 1,256,356 | ||||
4.30%, 4/29/2053 | 600,000 | 401,695 | ||||
2,253,009 | ||||||
SOUTH KOREA — 1.0% | ||||||
Korea East-West Power Co. Ltd. 1.75%, 5/6/2025 | 900,000 | 861,453 | ||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $9,237,508) | 7,105,713 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (e) (f) (Cost $3,359,417) | 3,359,417 | $ 3,359,417 | ||||
TOTAL INVESTMENTS — 98.8% (Cost $89,525,486) | 83,468,807 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2% | 1,052,345 | |||||
NET ASSETS — 100.0% | $ 84,521,152 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 11.3% of net assets as of December 31, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Security is currently in default and/or issuer is in bankruptcy. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2023. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
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 | $ — | $73,003,677 | $— | $73,003,677 | ||||
Foreign Government Obligations | — | 7,105,713 | — | 7,105,713 | ||||
Short-Term Investments | 3,359,417 | — | — | 3,359,417 | ||||
TOTAL INVESTMENTS | $3,359,417 | $80,109,390 | $— | $83,468,807 |
% of Net Assets | ||
Banks | 20.7% | |
Electric | 17.4 | |
Mining | 9.9 | |
Foreign Government Obligations | 8.4 | |
Pipelines | 6.5 | |
Chemicals | 5.4 | |
Food | 4.8 | |
Oil & Gas | 4.4 | |
Telecommunications | 3.8 | |
Commercial Services | 3.6 | |
Iron/Steel | 2.3 | |
Oil & Gas Services | 1.9 | |
Transportation | 1.4 | |
Holding Companies-Diversified | 1.4 | |
Diversified Financial Services | 1.0 | |
Construction Materials | 0.9 | |
Energy-Alternate Sources | 0.6 | |
Agriculture | 0.2 | |
Engineering & Construction | 0.2 | |
Short-Term Investments | 4.0 | |
Other Assets in Excess of Liabilities | 1.2 | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,452,803 | $2,452,803 | $20,202,494 | $19,295,880 | $— | $— | 3,359,417 | $3,359,417 | $47,601 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 15.5% | ||||||
AEROSPACE & DEFENSE — 0.2% | ||||||
Boeing Co. 4.88%, 5/1/2025 | $ 370,000 | $ 368,320 | ||||
AGRICULTURE — 0.2% | ||||||
Philip Morris International, Inc. 4.88%, 2/13/2026 | 370,000 | 371,051 | ||||
AUTO MANUFACTURERS — 0.5% | ||||||
Ford Motor Co. 4.35%, 12/8/2026 | 385,000 | 375,325 | ||||
General Motors Financial Co., Inc. 5.25%, 3/1/2026 | 360,000 | 360,306 | ||||
735,631 | ||||||
BANKS — 4.3% | ||||||
Banco BBVA Peru SA 5 yr. CMT + 2.75%, 5.25%, 9/22/2029 (a) | 100,000 | 99,030 | ||||
Banco Bilbao Vizcaya Argentaria Colombia SA 4.88%, 4/21/2025 | 200,000 | 195,034 | ||||
Banco de Bogota SA 6.25%, 5/12/2026 | 200,000 | 197,080 | ||||
Banco de Credito del Peru SA 5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a) | 150,000 | 141,915 | ||||
Banco Industrial SA 5 yr. CMT + 4.44%, 4.88%, 1/29/2031 (a) | 150,000 | 139,916 | ||||
Banco Internacional del Peru SAA Interbank 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (a) | 150,000 | 143,412 | ||||
Banco Nacional de Comercio Exterior SNC 5 yr. CMT + 2.00%, 2.72%, 8/11/2031 (a) | 200,000 | 170,270 | ||||
Bank of America Corp. Series MTN, 3 mo. USD Term SOFR + 1.23%, 3.46%, 3/15/2025 (a) | 370,000 | 368,209 | ||||
Bank of Montreal: | ||||||
Series MTN, 1.50%, 1/10/2025 | 70,000 | 67,435 | ||||
Series MTN, SOFR + 0.71%, 6.13%, 3/8/2024 (a) | 300,000 | 300,120 | ||||
Bank of Nova Scotia 4.75%, 2/2/2026 | 360,000 | 359,359 | ||||
BBVA Bancomer SA 5 yr. CMT + 3.00%, 5.35%, 11/12/2029 (a) | 200,000 | 196,968 | ||||
Citigroup, Inc.: | ||||||
SOFR + 1.53%, 3.29%, 3/17/2026 (a) | 95,000 | 92,504 |
Security Description | Principal Amount | Value | ||||
3 mo. USD Term SOFR + 1.16%, 3.35%, 4/24/2025 (a) | $ 465,000 | $ 461,564 | ||||
Commonwealth Bank of Australia SOFR + 1.63%, 6.05%, 9/12/2025 (a) (b) | 350,000 | 350,298 | ||||
Global Bank Corp. 3 mo. USD Term SOFR + 3.30%, 5.25%, 4/16/2029 (a) | 200,000 | 178,424 | ||||
Goldman Sachs Group, Inc. 3.50%, 4/1/2025 | 365,000 | 357,134 | ||||
JPMorgan Chase & Co.: | ||||||
3 mo. USD Term SOFR + 1.42%, 3.22%, 3/1/2025 (a) | 175,000 | 174,277 | ||||
3.90%, 7/15/2025 | 375,000 | 369,551 | ||||
Morgan Stanley Series GMTN, 3.88%, 1/27/2026 | 260,000 | 254,725 | ||||
Multibank, Inc. 7.75%, 2/3/2028 (b) | 200,000 | 200,426 | ||||
Oversea-Chinese Banking Corp. Ltd. 5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (a) | 200,000 | 188,144 | ||||
PNC Financial Services Group, Inc. SOFR + 1.32%, 5.81%, 6/12/2026 (a) | 175,000 | 176,232 | ||||
Royal Bank of Canada 3.38%, 4/14/2025 | 365,000 | 357,890 | ||||
Toronto-Dominion Bank Series MTN, 0.70%, 9/10/2024 | 380,000 | 367,962 | ||||
Truist Financial Corp. Series MTN, SOFR + 1.46%, 4.26%, 7/28/2026 (a) | 385,000 | 377,315 | ||||
Wells Fargo & Co. Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025 (a) | 380,000 | 369,979 | ||||
6,655,173 | ||||||
BEVERAGES — 0.2% | ||||||
Constellation Brands, Inc. 5.00%, 2/2/2026 | 370,000 | 369,937 | ||||
BIOTECHNOLOGY — 0.5% | ||||||
Amgen, Inc. 5.51%, 3/2/2026 | 365,000 | 365,164 | ||||
Royalty Pharma PLC 1.75%, 9/2/2027 | 415,000 | 372,529 | ||||
737,693 |
Security Description | Principal Amount | Value | ||||
CHEMICALS — 0.2% | ||||||
Braskem Netherlands Finance BV 5 yr. CMT + 8.22%, 8.50%, 1/23/2081 (a) | $ 200,000 | $ 173,598 | ||||
Sasol Financing USA LLC 4.38%, 9/18/2026 | 200,000 | 186,018 | ||||
359,616 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 | 177,500 | 145,437 | ||||
Adani Ports & Special Economic Zone Ltd. 4.00%, 7/30/2027 | 200,000 | 178,144 | ||||
323,581 | ||||||
CONSTRUCTION MATERIALS — 0.2% | ||||||
Carrier Global Corp. 5.80%, 11/30/2025 (b) | 240,000 | 243,326 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.7% | ||||||
American Express Co. SOFR + 1.00%, 4.99%, 5/1/2026 (a) | 370,000 | 369,130 | ||||
Avolon Holdings Funding Ltd. 2.13%, 2/21/2026 (b) | 390,000 | 361,694 | ||||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (a) | 350,000 | 346,423 | ||||
1,077,247 | ||||||
ELECTRIC — 1.5% | ||||||
American Electric Power Co., Inc. 5.20%, 1/15/2029 | 365,000 | 370,344 | ||||
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 | 200,000 | 158,466 | ||||
Empresa Electrica Angamos SA 4.88%, 5/25/2029 | 95,600 | 86,136 | ||||
Entergy Louisiana LLC 0.95%, 10/1/2024 | 380,000 | 367,608 | ||||
Fenix Power Peru SA 4.32%, 9/20/2027 | 265,882 | 248,914 | ||||
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 | 160,920 | 155,146 | ||||
Mexico Generadora de Energia S de Real 5.50%, 12/6/2032 | 126,424 | 123,081 | ||||
Minejesa Capital BV 4.63%, 8/10/2030 | 200,000 | 190,030 | ||||
Pacific Gas & Electric Co.: | ||||||
2.10%, 8/1/2027 | 160,000 | 144,293 | ||||
4.95%, 6/8/2025 | 225,000 | 223,483 |
Security Description | Principal Amount | Value | ||||
TNB Global Ventures Capital Bhd. Series EMTN, 3.24%, 10/19/2026 | $ 300,000 | $ 285,828 | ||||
2,353,329 | ||||||
ENGINEERING & CONSTRUCTION — 0.1% | ||||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 130,161 | 93,363 | ||||
ENVIRONMENTAL CONTROL — 0.5% | ||||||
Republic Services, Inc. 2.50%, 8/15/2024 | 375,000 | 367,800 | ||||
Veralto Corp. 5.50%, 9/18/2026 (b) | 365,000 | 371,081 | ||||
738,881 | ||||||
FOOD — 0.2% | ||||||
BRF GmbH 4.35%, 9/29/2026 | 200,000 | 189,274 | ||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 3.00%, 2/2/2029 | 50,000 | 43,960 | ||||
233,234 | ||||||
HEALTH CARE PRODUCTS — 0.2% | ||||||
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | 385,000 | 371,159 | ||||
HEALTH CARE SERVICES — 0.5% | ||||||
Elevance Health, Inc. 3.50%, 8/15/2024 | 375,000 | 369,810 | ||||
HCA, Inc.: | ||||||
5.00%, 3/15/2024 | 295,000 | 294,398 | ||||
5.38%, 2/1/2025 | 60,000 | 59,976 | ||||
724,184 | ||||||
INSURANCE — 0.2% | ||||||
Athene Global Funding: | ||||||
1.72%, 1/7/2025 (b) | 65,000 | 62,349 | ||||
SOFR + 0.70%, 6.11%, 5/24/2024 (a) (b) | 305,000 | 304,713 | ||||
367,062 | ||||||
INTERNET — 0.2% | ||||||
Expedia Group, Inc. 6.25%, 5/1/2025 (b) | 365,000 | 368,066 | ||||
LODGING — 0.2% | ||||||
Marriott International, Inc.: | ||||||
3.60%, 4/15/2024 | 295,000 | 293,183 | ||||
5.00%, 10/15/2027 | 75,000 | 75,938 | ||||
369,121 | ||||||
MACHINERY-DIVERSIFIED — 0.3% | ||||||
John Deere Capital Corp. Series MTN, 4.75%, 1/20/2028 | 370,000 | 376,101 |
Security Description | Principal Amount | Value | ||||
MINING — 0.5% | ||||||
AngloGold Ashanti Holdings PLC 3.38%, 11/1/2028 | $ 200,000 | $ 180,120 | ||||
Freeport-McMoRan, Inc. 4.13%, 3/1/2028 | 50,000 | 47,949 | ||||
Glencore Funding LLC 1.63%, 9/1/2025 (b) | 395,000 | 373,366 | ||||
Industrias Penoles SAB de CV 4.15%, 9/12/2029 | 200,000 | 186,150 | ||||
787,585 | ||||||
MISCELLANEOUS MANUFACTURER — 0.2% | ||||||
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 370,000 | 366,470 | ||||
OIL & GAS — 0.2% | ||||||
ONGC Videsh Ltd. 4.63%, 7/15/2024 | 200,000 | 199,016 | ||||
Petrobras Global Finance BV 7.38%, 1/17/2027 | 70,000 | 73,622 | ||||
272,638 | ||||||
OIL & GAS SERVICES — 0.1% | ||||||
Guara Norte SARL 5.20%, 6/15/2034 | 171,358 | 156,172 | ||||
PIPELINES — 0.9% | ||||||
AI Candelaria Spain SA 7.50%, 12/15/2028 | 206,250 | 195,764 | ||||
Enbridge, Inc. 5.90%, 11/15/2026 | 360,000 | 369,680 | ||||
Energy Transfer LP 6.05%, 12/1/2026 | 350,000 | 359,832 | ||||
GNL Quintero SA 4.63%, 7/31/2029 | 282,400 | 276,690 | ||||
Transportadora de Gas del Peru SA 4.25%, 4/30/2028 | 200,000 | 196,140 | ||||
1,398,106 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | ||||||
Welltower OP LLC: | ||||||
REIT, 3.63%, 3/15/2024 | 320,000 | 318,349 | ||||
4.00%, 6/1/2025 | 50,000 | 49,115 | ||||
367,464 | ||||||
RETAIL — 0.2% | ||||||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 350,000 | 343,791 | ||||
SEMICONDUCTORS — 0.7% | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.88%, 1/15/2027 | 35,000 | 34,156 | ||||
Broadcom, Inc. 3.15%, 11/15/2025 | 335,000 | 324,555 | ||||
Microchip Technology, Inc.: | ||||||
0.97%, 2/15/2024 | 300,000 | 298,206 | ||||
4.25%, 9/1/2025 | 60,000 | 59,074 |
Security Description | Principal Amount | Value | ||||
NXP BV/NXP Funding LLC/NXP USA, Inc. 4.40%, 6/1/2027 | $ 360,000 | $ 355,655 | ||||
1,071,646 | ||||||
SOFTWARE — 0.2% | ||||||
Oracle Corp. 5.80%, 11/10/2025 | 365,000 | 370,979 | ||||
TELECOMMUNICATIONS — 0.4% | ||||||
KT Corp. 2.50%, 7/18/2026 | 200,000 | 188,310 | ||||
Millicom International Cellular SA 5.13%, 1/15/2028 | 180,000 | 167,668 | ||||
Telefonica Celular del Paraguay SA 5.88%, 4/15/2027 | 200,000 | 194,676 | ||||
550,654 | ||||||
TRANSPORTATION — 0.6% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 385,000 | 371,209 | ||||
MV24 Capital BV 6.75%, 6/1/2034 | 161,272 | 150,309 | ||||
Ryder System, Inc. Series MTN, 5.25%, 6/1/2028 | 360,000 | 364,954 | ||||
886,472 | ||||||
TRUCKING & LEASING — 0.2% | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 4.40%, 7/1/2027 (b) | 365,000 | 355,795 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $24,277,453) | 24,163,847 | |||||
ASSET-BACKED SECURITIES — 23.6% | ||||||
AUTOMOBILE — 2.4% | ||||||
Citizens Auto Receivables Trust Series 2023-2, Class A2A, 6.09%, 10/15/2026 (b) | 250,000 | 250,746 | ||||
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026 (b) | 458,765 | 446,883 | ||||
Exeter Automobile Receivables Trust: | ||||||
Series 2023-5A, Class A2, 6.20%, 4/15/2026 | 450,000 | 450,531 | ||||
Series 2021-1A, Class C, 0.74%, 1/15/2026 | 8,020 | 8,005 | ||||
GLS Auto Receivables Issuer Trust: | ||||||
Series 2021-2A, Class C, 1.08%, 6/15/2026 (b) | 304,004 | 299,751 | ||||
Series 2023-4A, Class A2, 6.40%, 12/15/2026 (b) | 500,000 | 502,196 |
Security Description | Principal Amount | Value | |||
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025 (b) | $ 350,000 | $ 337,190 | |||
Santander Drive Auto Receivables Trust Series 2020-4, Class D, 1.48%, 1/15/2027 | 542,002 | 529,628 | |||
Westlake Automobile Receivables Trust: | |||||
Series 2023-2A, Class A3, 5.80%, 2/16/2027 (b) | 400,000 | 401,519 | |||
Series 2023-4A, Class A2, 6.23%, 1/15/2027 (b) | 500,000 | 503,160 | |||
3,729,609 | |||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.4% | |||||
LoanCore Issuer Ltd. Series 2019-CRE2, Class B, 1 mo. USD Term SOFR + 1.81%, 7.18%, 5/15/2036 (a) (b) | 223,278 | 220,215 | |||
PFP Ltd. Series 2021-8, Class A, 1 mo. USD Term SOFR + 1.11%, 6.48%, 8/9/2037 (a) (b) | 308,336 | 303,800 | |||
Ready Capital Mortgage Financing LLC Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.06%, 6.42%, 7/25/2036 (a) (b) | 66,855 | 65,275 | |||
589,290 | |||||
OTHER ABS — 20.8% | |||||
ACHV ABS Trust Series 2023-4CP, Class A, 6.81%, 11/25/2030 (b) | 633,699 | 634,108 | |||
ACREC Ltd. Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.62%, 10/16/2036 (a) (b) | 169,794 | 166,338 | |||
Affirm Asset Securitization Trust: | |||||
Series 2022-A, Class A, 4.30%, 5/17/2027 (b) | 500,000 | 492,104 | |||
Series 2023-X1, Class A, 7.11%, 11/15/2028 (b) | 800,000 | 802,074 | |||
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, 3 mo. USD Term SOFR + 1.47%, 6.87%, 10/15/2034 (a) (b) | 1,500,000 | 1,492,800 |
Security Description | Principal Amount | Value | |||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1, Class A, 30 day USD SOFR Average + 1.45%, 6.79%, 1/15/2037 (a) (b) | $ 250,000 | $ 246,505 | |||
Bain Capital Credit CLO Ltd. Series 2019-1A, Class AR, 3 mo. USD Term SOFR + 1.39%, 6.79%, 4/19/2034 (a) (b) | 500,000 | 498,275 | |||
BDS LLC Series 2022-FL11, Class ATS, 1 mo. USD Term SOFR + 1.80%, 7.16%, 3/19/2039 (a) (b) | 250,000 | 248,162 | |||
BDS Ltd. Series 2021-FL9, Class A, 1 mo. USD Term SOFR + 1.18%, 6.54%, 11/16/2038 (a) (b) | 133,825 | 131,305 | |||
BRSP Ltd. Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.62%, 8/19/2038 (a) (b) | 126,865 | 123,381 | |||
BSPRT Issuer Ltd.: | |||||
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.43%, 6.80%, 12/15/2038 (a) (b) | 200,000 | 196,643 | |||
Series 2022-FL8, Class A, 30 day USD SOFR Average + 1.50%, 6.84%, 2/15/2037 (a) (b) | 200,000 | 197,201 | |||
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.58%, 3/15/2036 (a) (b) | 128,598 | 126,357 | |||
Carlyle U.S. CLO Ltd. Series 2021-1A, Class A1, 3 mo. USD Term SOFR + 1.40%, 6.80%, 4/15/2034 (a) (b) | 1,000,000 | 998,855 | |||
CarVal CLO IV Ltd. Series 2021-1A, Class A1A, 3 mo. USD Term SOFR + 1.44%, 6.86%, 7/20/2034 (a) (b) | 500,000 | 498,900 | |||
Carvana Auto Receivables Trust Series 2023-P5, Class A2, 5.77%, 4/12/2027 (b) | 600,000 | 602,027 | |||
CHCP Ltd. Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.16%, 6.52%, 2/15/2038 (a) (b) | 53,494 | 52,765 |
Security Description | Principal Amount | Value | |||
CQS U.S. CLO Ltd. Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.48%, 6.90%, 1/20/2035 (a) (b) | $ 1,000,000 | $ 994,600 | |||
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 mo. USD Term SOFR + 1.11%, 3.69%, 10/25/2034 (a) | 518,767 | 451,605 | |||
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (b) | 345,275 | 321,597 | |||
FS Rialto Issuer LLC: | |||||
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.72%, 11/16/2036 (a) (b) | 181,000 | 177,887 | |||
Series 2022-FL5, Class A, 1 mo. USD Term SOFR + 2.30%, 7.66%, 6/19/2037 (a) (b) | 300,000 | 298,528 | |||
Series 2022-FL4, Class AS, 30 day USD SOFR Average + 2.40%, 7.74%, 1/19/2039 (a) (b) | 250,000 | 245,267 | |||
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.33%, 6.69%, 5/16/2038 (a) (b) | 144,971 | 142,794 | |||
HalseyPoint CLO 3 Ltd. Series 2020-3A, Class A1A, 3 mo. USD Term SOFR + 1.71%, 7.10%, 11/30/2032 (a) (b) | 1,150,000 | 1,150,000 | |||
Jamestown CLO XV Ltd. Series 2020-15A, Class A, 3 mo. USD Term SOFR + 1.60%, 7.00%, 4/15/2033 (a) (b) | 500,000 | 500,646 | |||
KREF Ltd.: | |||||
Series 2021-FL2, Class AS, 1 mo. USD Term SOFR + 1.41%, 6.78%, 2/15/2039 (a) (b) | 250,000 | 237,760 | |||
Series 2022-FL3, Class A, 1 mo. USD Term SOFR + 1.45%, 6.81%, 2/17/2039 (a) (b) | 200,000 | 197,048 | |||
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.18%, 6.55%, 2/15/2039 (a) (b) | 200,000 | 194,612 | |||
LCCM Trust: | |||||
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%, 6.93%, 11/15/2038 (a) (b) | 181,000 | 178,346 |
Security Description | Principal Amount | Value | |||
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.31%, 6.68%, 12/13/2038 (a) (b) | $ 150,248 | $ 145,115 | |||
LFT CRE Ltd. Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.28%, 6.65%, 6/15/2039 (a) (b) | 220,000 | 215,756 | |||
LoanCore Issuer Ltd. Series 2022-CRE7, Class A, 30 day USD SOFR Average + 1.55%, 6.89%, 1/17/2037 (a) (b) | 500,000 | 495,709 | |||
Loanpal Solar Loan Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048 (b) | 312,425 | 241,540 | |||
Marble Point CLO XXI Ltd. Series 2021-3A, Class A1, 3 mo. USD Term SOFR + 1.50%, 6.90%, 10/17/2034 (a) (b) | 2,000,000 | 1,992,482 | |||
Marble Point CLO XXII Ltd. Series 2021-2A, Class A, 3 mo. USD Term SOFR + 1.46%, 6.84%, 7/25/2034 (a) (b) | 1,000,000 | 993,883 | |||
Marlette Funding Trust Series 2021-1A, Class C, 1.41%, 6/16/2031 (b) | 191,127 | 190,081 | |||
MF1 Ltd.: | |||||
Series 2022-FL8, Class A, 1 mo. USD Term SOFR + 1.35%, 6.71%, 2/19/2037 (a) (b) | 347,000 | 340,367 | |||
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.19%, 6.55%, 10/16/2036 (a) (b) | 190,373 | 187,658 | |||
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.57%, 7/16/2036 (a) (b) | 241,232 | 237,367 | |||
MP CLO VIII Ltd. Series 2015-2A, Class ARR, 3 mo. USD Term SOFR + 1.46%, 6.85%, 4/28/2034 (a) (b) | 500,000 | 498,050 | |||
Northwoods Capital XVI Ltd. Series 2017-16A, Class A, 3 mo. USD Term SOFR + 1.53%, 6.91%, 11/15/2030 (a) (b) | 864,943 | 863,992 | |||
Octagon Investment Partners 51 Ltd. Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.41%, 6.83%, 7/20/2034 (a) (b) | 1,000,000 | 995,600 |
Security Description | Principal Amount | Value | |||
Pagaya AI Debt Selection Trust: | |||||
Series 2021-3, Class B, 1.74%, 5/15/2029 (b) | $ 805,834 | $ 798,490 | |||
Series 2021-5, Class B, 2.63%, 8/15/2029 (b) | 999,882 | 975,732 | |||
Pagaya AI Debt Trust Series 2023-1, Class A, 7.56%, 7/15/2030 (b) | 293,381 | 294,586 | |||
Peace Park CLO Ltd. Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.39%, 6.81%, 10/20/2034 (a) (b) | 1,000,000 | 999,455 | |||
Regatta VI Funding Ltd. Series 2016-1A, Class AR2, 3 mo. USD Term SOFR + 1.42%, 6.84%, 4/20/2034 (a) (b) | 1,000,000 | 996,800 | |||
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.83%, 1/20/2035 (a) (b) | 2,265,000 | 2,255,034 | |||
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (b) | 332,692 | 283,823 | |||
Shackleton CLO Ltd. Series 2013-3A, Class AR, 3 mo. USD Term SOFR + 1.38%, 6.78%, 7/15/2030 (a) (b) | 309,579 | 309,053 | |||
Sound Point CLO XXVI Ltd. Series 2020-1A, Class AR, 3 mo. USD Term SOFR + 1.43%, 6.85%, 7/20/2034 (a) (b) | 1,000,000 | 992,005 | |||
Starwood Ltd. Series 2022-FL3, Class A, 30 day USD SOFR Average + 1.35%, 6.69%, 11/15/2038 (a) (b) | 220,000 | 214,171 | |||
TRTX Issuer Ltd. Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.65%, 6.99%, 2/15/2039 (a) (b) | 200,000 | 194,081 | |||
Vibrant CLO IV Ltd. Series 2016-4A, Class A1RR, 3 mo. USD Term SOFR + 1.38%, 6.80%, 7/20/2032 (a) (b) | 500,000 | 498,950 | |||
Vibrant CLO VIII Ltd. Series 2018-8A, Class A1A, 3 mo. USD Term SOFR + 1.40%, 6.82%, 1/20/2031 (a) (b) | 372,956 | 372,987 |
Security Description | Principal Amount | Value | |||
VMC Finance LLC Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.90%, 7.24%, 2/18/2039 (a) (b) | $ 640,000 | $ 627,332 | |||
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (c) | 323,525 | 309,520 | |||
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (c) | 1,152,432 | 1,099,623 | |||
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 mo. USD Term SOFR + 0.47%, 4.29%, 10/25/2036 (a) | 269,275 | 93,198 | |||
Wellfleet CLO Ltd. Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.48%, 6.88%, 7/15/2034 (a) (b) | 1,000,000 | 994,300 | |||
32,305,230 | |||||
STUDENT LOAN ABS — 0.0% (d) | |||||
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045 (b) | 100,481 | 93,386 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (b) | 17,414 | 17,078 | |||
110,464 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $37,002,430) | 36,734,593 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.3% | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bonds 4.50%, 1/28/2026 | 200,000 | 196,298 | |||
DOMINICAN REPUBLIC — 0.1% | |||||
Dominican Republic International Bonds 5.50%, 1/27/2025 | 100,000 | 99,407 |
Security Description | Principal Amount | Value | |||
SOUTH AFRICA — 0.1% | |||||
Republic of South Africa Government International Bonds 4.88%, 4/14/2026 | $ 200,000 | $ 197,431 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $510,333) | 493,136 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.2% | |||||
Federal Home Loan Mortgage Corp. REMICS: | |||||
Series 4211, Class AP, 1.60%, 3/15/2043 | 651,984 | 601,550 | |||
Series 4461, Class BA, CMO, 2.00%, 12/15/2043 | 425,164 | 391,506 | |||
Series 5179, Class GD, CMO, 2.00%, 12/25/2047 | 856,516 | 735,515 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 | 172,537 | 167,471 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 51,536 | 48,600 | |||
Federal National Mortgage Association: | |||||
3.00%, 11/1/2033 | 575,585 | 548,382 | |||
3.00%, 11/1/2036 | 144,613 | 135,552 | |||
5.00%, 8/1/2043 | 811,314 | 810,542 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2010-141, Class FB, CMO, REMIC, 30 day USD SOFR Average + 0.58%, 5.92%, 12/25/2040 (a) | 120,715 | 119,195 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 52,958 | 52,466 | |||
Series 2016-8, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.56%, 5.90%, 3/25/2046 (a) | 205,986 | 202,269 | |||
Series 2018-27, Class FJ, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.75%, 12/25/2047 (a) | 146,014 | 141,631 | |||
Series 2018-45, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.75%, 6/25/2048 (a) | 161,314 | 156,838 | |||
Federal National Mortgage Association-Aces Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030 (a) | 1,027,427 | 914,230 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $5,419,722) | 5,025,747 |
Security Description | Principal Amount | Value | |||
U.S. TREASURY OBLIGATIONS — 31.2% | |||||
U.S. Treasury Bills 5.24%, 4/2/2024 (Cost $2,959,846) | $ 3,000,000 | $ 2,960,624 | |||
U.S. Treasury Notes: | |||||
3.00%, 7/15/2025 | 23,000,000 | 22,500,469 | |||
4.25%, 10/15/2025 | 23,000,000 | 22,959,570 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $48,105,138) | 48,420,663 | ||||
MORTGAGE-BACKED SECURITIES — 11.0% | |||||
Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8, Class 2A1A, CMO, 4.50%, 7/25/2037 (a) | 3,025,049 | 2,386,172 | |||
Countrywide Alternative Loan Trust: | |||||
Series 2006-J7, Class 1A3, 6.25%, 11/25/2036 | 414,874 | 197,804 | |||
Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | 235,505 | 123,482 | |||
CSMC Trust Series 2020-RPL3, Class A1, CMO, 4.05%, 3/25/2060 (a) (b) | 764,349 | 776,271 | |||
Federal Home Loan Mortgage Corp. REMICS Series 4981, Class GF, 30 day USD SOFR Average + 0.51%, 5.85%, 6/25/2050 (a) | 910,735 | 889,842 | |||
Federal National Mortgage Association REMICS Series 2016-83, Class FK, 30 day USD SOFR Average + 0.61%, 5.95%, 11/25/2046 (a) | 820,021 | 807,500 | |||
Legacy Mortgage Asset Trust: | |||||
Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (c) | 355,735 | 348,652 | |||
Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (b) (c) | 304,387 | 293,857 | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.79%, 11/25/2036 (a) | 2,462,897 | 2,204,164 | |||
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (b) (c) | 652,302 | 660,046 | |||
OBX Trust Series 2023-NQM10, Class A1, 6.47%, 10/25/2063 (b) (c) | 793,369 | 802,340 |
Security Description | Principal Amount | Value | |||
Preston Ridge Partners Mortgage LLC Series 2022-1, Class A1, 3.72%, 2/25/2027 (b) (c) | $ 1,520,111 | $ 1,465,776 | |||
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036 | 2,582,020 | 613,541 | |||
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060 (a) (b) | 718,739 | 689,630 | |||
Verus Securitization Trust: | |||||
Series 2022-3, Class A1, 4.13%, 2/25/2067 (b) (c) | 733,829 | 682,902 | |||
Series 2023-5, Class A1, 6.48%, 6/25/2068 (b) (c) | 1,139,783 | 1,145,833 | |||
Series 2023-INV2, Class A1, 6.44%, 8/25/2068 (b) (c) | 1,221,701 | 1,230,094 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 4.34%, 12/25/2036 (a) | 1,735,995 | 1,497,744 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-8, Class 2CB3, CMO, 1 mo. USD Term SOFR + 0.52%, 5.50%, 10/25/2035 (a) | 266,310 | 239,903 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $18,525,553) | 17,055,553 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 5.5% | |||||
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (b) | 139,000 | 128,121 | |||
AREIT Trust Series 2022-CRE6, Class A, 30 day USD SOFR Average + 1.25%, 6.59%, 1/20/2037 (a) (b) | 89,407 | 87,480 | |||
Bank: | |||||
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (a) | 980,504 | 20,003 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.21%, 3/15/2063 (a) | 1,286,454 | 70,462 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B1, Class XA, IO, 0.52%, 1/15/2051 (a) | 1,554,286 | 25,231 | |||
Series 2019-B15, Class XA, IO, VRN, 0.81%, 12/15/2072 (a) | 4,035,743 | 137,263 |
Security Description | Principal Amount | Value | |||
BPR Trust: | |||||
Series 2021-TY, Class A, 1 mo. USD Term SOFR + 1.16%, 6.53%, 9/15/2038 (a) (b) | $ 192,000 | $ 185,887 | |||
Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.26%, 4/15/2037 (a) (b) | 250,000 | 245,915 | |||
BX Commercial Mortgage Trust: | |||||
Series 2019-IMC, Class B, 1 mo. USD Term SOFR + 1.35%, 6.71%, 4/15/2034 (a) (b) | 100,000 | 99,159 | |||
Series 2019-XL, Class A, 1 mo. USD Term SOFR + 1.03%, 6.40%, 10/15/2036 (a) (b) | 225,113 | 224,532 | |||
Series 2021-21M, Class A, 1 mo. USD Term SOFR + 0.84%, 6.21%, 10/15/2036 (a) (b) | 122,160 | 119,717 | |||
Series 2021-CIP, Class A, 1 mo. USD Term SOFR + 1.04%, 6.40%, 12/15/2038 (a) (b) | 250,000 | 244,774 | |||
BXMT Ltd. Series 2021-FL4, Class A, 1 mo. USD Term SOFR + 1.16%, 6.53%, 5/15/2038 (a) (b) | 138,000 | 131,464 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2016-P3, Class A3, 3.06%, 4/15/2049 | 317,000 | 302,262 | |||
Series 2016-GC37, Class XA, IO, 1.65%, 4/10/2049 (a) | 373,410 | 10,082 | |||
CLNC Ltd. Series 2019-FL1, Class AS, ABS, 1 mo. USD Term SOFR + 1.66%, 7.02%, 8/20/2035 (a) (b) | 131,000 | 127,154 | |||
Cold Storage Trust Series 2020-ICE5, Class A, 1 mo. USD Term SOFR + 1.01%, 6.37%, 11/15/2037 (a) (b) | 221,173 | 219,766 | |||
COMM Mortgage Trust: | |||||
Series 2014-UBS5, Class A3, 3.57%, 9/10/2047 | 196,030 | 194,522 | |||
Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | 200,000 | 194,054 | |||
Series 2018-HCLV, Class A, 1 mo. USD Term SOFR + 1.30%, 6.66%, 9/15/2033 (a) (b) | 70,000 | 63,051 | |||
Series 2015-CR25, Class XA, IO, 0.79%, 8/10/2048 (a) | 1,055,750 | 10,250 |
Security Description | Principal Amount | Value | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.09%, 6/15/2050 (a) | $ 235,680 | $ 6,662 | |||
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (a) | 838,653 | 17,314 | |||
Series 2017-CX9, Class XA, IO, 0.61%, 9/15/2050 (a) | 1,186,129 | 14,732 | |||
CSMC Trust Capital Certificates Series 2019-ICE4, Class B, 1 mo. USD Term SOFR + 1.28%, 6.64%, 5/15/2036 (a) (b) | 224,442 | 223,905 | |||
DBJPM Mortgage Trust Series 2020-C9, Class A2, 1.90%, 8/15/2053 | 250,000 | 230,340 | |||
EQUS Mortgage Trust Series 2021-EQAZ, Class A, 1 mo. USD Term SOFR + 0.87%, 6.23%, 10/15/2038 (a) (b) | 180,996 | 177,130 | |||
Extended Stay America Trust Series 2021-ESH, Class A, 1 mo. USD Term SOFR + 1.19%, 6.56%, 7/15/2038 (a) (b) | 140,016 | 138,654 | |||
FS Rialto Issuer LLC Series 2019-FL1, Class A, 1 mo. USD Term SOFR + 1.31%, 6.67%, 12/16/2036 (a) (b) | 65,087 | 64,272 | |||
GPMT Ltd. Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.72%, 7/16/2035 (a) (b) | 54,600 | 53,340 | |||
Great Wolf Trust Series 2019, Class A, 1 mo. USD Term SOFR + 1.15%, 6.71%, 12/15/2036 (a) (b) | 200,000 | 198,998 | |||
GS Mortgage Securities Corportation Trust Series 2021-IP, Class A, 1 mo. USD Term SOFR + 1.06%, 6.43%, 10/15/2036 (a) (b) | 181,000 | 173,353 | |||
GS Mortgage Securities Trust: | |||||
Series 2015-GC34, Class A4, 3.51%, 10/10/2048 | 225,000 | 212,418 | |||
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (a) | 370,103 | 10,304 | |||
Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053 (a) | 2,108,545 | 112,711 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.96%, 4/15/2037 (a) (b) | 183,541 | 168,882 | |||
Series 2016-JP4, Class XA, IO, 0.57%, 12/15/2049 (a) | 1,333,877 | 18,091 |
Security Description | Principal Amount | Value | |||
JPMBB Commercial Mortgage Securities Trust Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (a) | $ 150,000 | $ 135,861 | |||
JPMCC Commercial Mortgage Securities Trust Series 2019-COR5, Class XA, IO, VRN, 1.47%, 6/13/2052 (a) | 1,076,922 | 55,218 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 mo. USD Term SOFR + 1.31%, 6.68%, 7/15/2036 (a) (b) | 138,000 | 135,026 | |||
MHP Trust Series 2022-MHIL, Class A, 1 mo. USD Term SOFR + 0.82%, 6.18%, 1/15/2027 (a) (b) | 143,123 | 140,175 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C16, Class AS, 4.09%, 6/15/2047 | 201,000 | 197,436 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) (b) | 1,117,886 | 3,062 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2019-PLND, Class B, 1 mo. USD Term SOFR + 1.41%, 6.78%, 5/15/2036 (a) (b) | 163,000 | 146,670 | |||
Series 2019-PLND, Class D, 1 mo. USD Term SOFR + 1.86%, 7.23%, 5/15/2036 (a) (b) | 127,000 | 101,557 | |||
Series 2021-L6, Class A2, 2.13%, 6/15/2054 (a) | 151,000 | 131,676 | |||
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (a) | 1,315,286 | 18,732 | |||
MSC Trust Series 2021-ILP, Class A, 1 mo. USD Term SOFR + 0.89%, 6.25%, 11/15/2036 (a) (b) | 180,403 | 176,665 | |||
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 mo. USD Term SOFR + 1.06%, 8.50%, 6/15/2035 (a) (b) | 14,487 | 13,376 | |||
Ready Capital Mortgage Financing LLC Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.31%, 6.67%, 11/25/2036 (a) (b) | 277,371 | 273,288 | |||
RIAL Issuer Ltd. Series 2022-FL8, Class A, 1 mo. USD Term SOFR + 2.25 %, 7.61%, 1/19/2037 (a) (b) | 250,000 | 245,938 | |||
SMR Mortgage Trust Series 2022-IND, Class A, 1 mo. USD Term SOFR + 1.65 %, 7.01%, 2/15/2039 (a) (b) | 149,364 | 142,063 |
Security Description | Principal Amount | Value | ||||
SREIT Trust Series 2021-MFP, Class A, 1 mo. USD Term SOFR + 0.85%, 6.21%, 11/15/2038 (a) (b) | $ 173,192 | $ 170,271 | ||||
Starwood Ltd. Series 2019-FL1, Class AS, 1 mo. USD Term SOFR + 1.51%, 6.88%, 7/15/2038 (a) (b) | 100,000 | 95,881 | ||||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.52%, 6/15/2050 (a) | 592,885 | 22,668 | ||||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b) | 221,645 | 212,424 | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2021-C60, Class A2, 2.04%, 8/15/2054 | 151,000 | 140,221 | ||||
Series 2021-SAVE, Class A, 1 mo. USD Term SOFR + 1.26%, 6.63%, 2/15/2040 (a) (b) | 57,265 | 55,573 | ||||
Series 2021-SAVE, Class B, 1 mo. USD Term SOFR + 1.56%, 6.93%, 2/15/2040 (a) (b) | 80,000 | 74,570 | ||||
Series 2022-ONL, Class A, 3.86%, 12/15/2039 (b) | 500,000 | 453,510 | ||||
Series 2019-C51, Class XA, IO, VRN, 1.32%, 6/15/2052 (a) | 971,278 | 49,024 | ||||
Series 2019-C52, Class XA, IO, VRN, 1.60%, 8/15/2052 (a) | 2,854,572 | 175,031 | ||||
WFRBS Commercial Mortgage Trust: | ||||||
Series 2014-C21, Class AS, 3.89%, 8/15/2047 | 250,000 | 237,542 | ||||
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (a) | 235,000 | 222,065 | ||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $9,700,159) | 8,487,778 | |||||
SENIOR FLOATING RATE LOANS — 4.8% | ||||||
ADVERTISING SERVICES — 0.1% | ||||||
Lamar Media Corp. 2020 Term Loan B, 1 mo. USD Term SOFR + 1.50%, 6.96%, 2/5/2027 (a) | 160,000 | 159,734 |
Security Description | Principal Amount | Value | |||
AIRLINES — 0.1% | |||||
Mileage Plus Holdings LLC 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.77%, 6/21/2027 (a) | $ 74,667 | $ 77,333 | |||
BUILDING PRODUCTS — 0.1% | |||||
Ingersoll-Rand Services Co. 2020 USD Spinco Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.21%, 3/1/2027 (a) | 83,430 | 83,768 | |||
CHEMICALS — 0.1% | |||||
Axalta Coating Systems U.S. Holdings, Inc. 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.50%, 7.87%, 12/20/2029 (a) | 102,682 | 103,163 | |||
Element Solutions Inc. 2023 Term Loan B, 12/18/2030 (e) | 125,000 | 125,469 | |||
228,632 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
APi Group DE, Inc. 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 2.50%, 7.97%, 1/3/2029 (a) | 94,814 | 95,009 | |||
Trans Union LLC 2019 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.11%, 11/16/2026 (a) | 184,371 | 184,823 | |||
279,832 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
Aramark Services, Inc. 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.97%, 4/6/2028 (a) | 80,000 | 80,187 | |||
Aramark Services, Inc. 2023 Term Loan B6, 1 mo. USD Term SOFR + 2.50%, 7.86%, 6/22/2030 (a) | 79,600 | 79,886 | |||
160,073 | |||||
CONTAINERS & PACKAGING — 0.2% | |||||
Berry Global, Inc. 2023 Term Loan AA, 1 mo. USD Term SOFR + 1.75%, 7.22%, 7/1/2029 (a) | 234,413 | 234,974 | |||
DISTRIBUTION/WHOLESALE — 0.2% | |||||
Resideo Funding, Inc. 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.72%, 2/11/2028 (a) | 292,481 | 293,212 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 0.2% | |||||
Focus Financial Partners LLC 2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.86%, 6/30/2028 (a) | $ 34,296 | $ 34,359 | |||
Setanta Aircraft Leasing Designated Activity Co. Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.61%, 11/5/2028 (a) | 250,000 | 251,076 | |||
Walker & Dunlop, Inc. 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.71%, 12/16/2028 (a) | 39,200 | 39,151 | |||
324,586 | |||||
ENTERTAINMENT — 0.4% | |||||
Flutter Entertainment PLC Term Loan B, 3 mo. USD Term SOFR + 2.25%, 7.70%, 11/25/2030 (a) | 310,000 | 311,162 | |||
WMG Acquisition Corp. 2021 Term Loan G, 1 mo. USD Term SOFR + 2.13%, 7.48%, 1/20/2028 (a) | 277,767 | 278,357 | |||
589,519 | |||||
FORESTRY — 0.3% | |||||
Asplundh Tree Expert LLC 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.21%, 9/7/2027 (a) | 414,295 | 415,275 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.3% | |||||
Catalent Pharma Solutions, Inc. 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.47%, 2/22/2028 (a) | 158,483 | 155,848 | |||
IQVIA, Inc. 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.00%, 7.35%, 1/2/2031 (a) | 250,000 | 251,317 | |||
407,165 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.1% | |||||
ICON Luxembourg Sarl LUX Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.86%, 7/3/2028 (a) | 157,783 | 158,547 | |||
PRA Health Sciences, Inc. US Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.86%, 7/3/2028 (a) | 39,311 | 39,502 | |||
198,049 |
Security Description | Principal Amount | Value | |||
HOTELS, RESTAURANTS & LEISURE — 0.0% (d) | |||||
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.71%, 5/24/2030 (a) | $ 34,825 | $ 34,958 | |||
HOUSEHOLD PRODUCTS — 0.2% | |||||
Reynolds Consumer Products LLC Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.21%, 2/4/2027 (a) | 356,979 | 358,095 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.2% | |||||
Vistra Operations Co. LLC 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.36%, 12/20/2030 (a) | 365,328 | 365,801 | |||
INTERNET & TELECOM — 0.2% | |||||
Go Daddy Operating Co. LLC 2022 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/9/2029 (a) | 304,668 | 306,055 | |||
IT SERVICES — 0.3% | |||||
Fleetcor Technologies Operating Co. LLC 2021 Term Loan B4, 1 mo. USD Term SOFR + 1.75%, 7.21%, 4/28/2028 (a) | 414,384 | 415,195 | |||
LODGING — 0.0% (d) | |||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B4, 1 mo. USD Term SOFR + 2.00%, 7.46%, 11/8/2030 (a) | 75,000 | 75,355 | |||
MACHINERY — 0.0% (d) | |||||
Ali Group North America Corp. 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.47%, 7/30/2029 (a) | 67,811 | 68,006 | |||
MEDIA — 0.2% | |||||
Charter Communications Operating LLC 2019 Term Loan B2, 3 mo. USD Term SOFR + 1.75%, 7.13%, 2/1/2027 (a) | 233,779 | 234,073 | |||
Nexstar Broadcasting, Inc. 2019 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.97%, 9/18/2026 (a) | 135,801 | 136,034 | |||
370,107 | |||||
PHARMACEUTICALS — 0.2% | |||||
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.54%, 11/15/2027 (a) | 318,651 | 319,050 |
Security Description | Principal Amount | Value | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.3% | |||||
Iron Mountain, Inc. 2018 Term Loan B, 1 mo. USD Term SOFR + 1.75% 7.22%, 1/2/2026(a) | $ 414,018 | $ 414,225 | |||
RETAIL — 0.3% | |||||
1011778 BC ULC 2023 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.61%, 9/20/2030 (a) | 230,000 | 230,369 | |||
KFC Holding Co. 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.22%, 3/15/2028 (a) | 266,252 | 266,890 | |||
497,259 | |||||
SOFTWARE — 0.3% | |||||
Gen Digital, Inc. 2022 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.35%, 9/12/2029 (a) | 220,266 | 220,851 | |||
SS&C Technologies, Inc. 2018 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.22%, 4/16/2025 (a) | 300,442 | 301,164 | |||
522,015 | |||||
SPECIALTY RETAIL — 0.2% | |||||
Pilot Travel Centers LLC 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.46%, 8/4/2028 (a) | 273,601 | 274,769 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $7,432,767) | 7,473,042 |
Shares | |||
SHORT-TERM INVESTMENT — 2.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (f) (g) (Cost $3,064,421) | 3,064,421 | 3,064,421 | |
TOTAL INVESTMENTS — 97.1% (Cost $154,037,976) | 150,918,780 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.9% | 4,440,000 | ||
NET ASSETS — 100.0% | $ 155,358,780 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 33.3% of net assets as of December 31, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2023. Maturity date shown is the final maturity. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 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 |
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 | $ — | $ 24,163,847 | $— | $ 24,163,847 | ||||
Asset-Backed Securities | — | 36,734,593 | — | 36,734,593 | ||||
Foreign Government Obligations | — | 493,136 | — | 493,136 | ||||
U.S. Government Agency Obligations | — | 5,025,747 | — | 5,025,747 | ||||
U.S. Treasury Obligations | — | 48,420,663 | — | 48,420,663 | ||||
Mortgage-Backed Securities | — | 17,055,553 | — | 17,055,553 | ||||
Commercial Mortgage Backed Securities | — | 8,487,778 | — | 8,487,778 | ||||
Senior Floating Rate Loans | — | 7,473,042 | — | 7,473,042 | ||||
Short-Term Investment | 3,064,421 | — | — | 3,064,421 | ||||
TOTAL INVESTMENTS | $3,064,421 | $147,854,359 | $— | $150,918,780 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,869,754 | $3,869,754 | $31,034,863 | $31,840,196 | $— | $— | 3,064,421 | $3,064,421 | $110,126 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 12.3% | |||||
AUSTRALIA — 0.3% | |||||
AngloGold Ashanti Holdings PLC 3.75%, 10/1/2030 | $ 200,000 | $ 173,818 | |||
BHP Billiton Finance USA Ltd. 5.25%, 9/8/2030 | 2,080,000 | 2,154,006 | |||
Glencore Funding LLC 1.63%, 4/27/2026 (a) | 1,375,000 | 1,273,511 | |||
Macquarie Group Ltd. SOFR + 1.53%, 2.87%, 1/14/2033 (a) (b) | 2,875,000 | 2,363,480 | |||
Westpac Banking Corp. 5 yr. CMT + 1.53%, 3.02%, 11/18/2036 (b) | 2,645,000 | 2,147,370 | |||
8,112,185 | |||||
BERMUDA — 0.1% | |||||
Triton Container International Ltd./TAL International Container Corp. 3.25%, 3/15/2032 | 2,590,000 | 2,087,695 | |||
BRAZIL — 0.4% | |||||
Banco do Brasil SA 10 yr. CMT + 4.40%, 6.25%, 4/15/2024 (b) | 400,000 | 392,284 | |||
Banco do Estado do Rio Grande do Sul SA VRN, 5 yr. CMT + 4.93%, 5.38%, 1/28/2031 (b) | 500,000 | 464,795 | |||
Braskem Netherlands Finance BV 5 yr. CMT + 8.22%, 8.50%, 1/23/2081 (b) | 1,100,000 | 954,789 | |||
BRF SA 4.88%, 1/24/2030 | 600,000 | 527,544 | |||
Cosan Luxembourg SA 7.50%, 6/27/2030 (a) | 600,000 | 625,104 | |||
Cosan Overseas Ltd. 8.25%, 2/5/2024 | 900,000 | 896,191 | |||
CSN Resources SA 5.88%, 4/8/2032 | 1,400,000 | 1,211,714 | |||
Guara Norte SARL 5.20%, 6/15/2034 | 771,111 | 702,775 | |||
Itau Unibanco Holding SA VRN, 5 yr. CMT + 3.22%, 4.63%, 2/27/2025 (b) | 661,000 | 577,701 | |||
MARB BondCo PLC 3.95%, 1/29/2031 | 1,300,000 | 1,050,634 | |||
MC Brazil Downstream Trading SARL 7.25%, 6/30/2031 | 193,250 | 151,388 | |||
Minerva Luxembourg SA: | |||||
4.38%, 3/18/2031 | 700,000 | 576,604 | |||
8.88%, 9/13/2033 (a) | 1,000,000 | 1,059,820 | |||
MV24 Capital BV 6.75%, 6/1/2034 | 1,048,268 | 977,007 |
Security Description | Principal Amount | Value | |||
NBM U.S. Holdings, Inc. 6.63%, 8/6/2029 | $ 200,000 | $ 194,176 | |||
Nexa Resources SA 5.38%, 5/4/2027 | 500,000 | 485,390 | |||
Petrobras Global Finance BV 6.75%, 6/3/2050 | 400,000 | 388,268 | |||
Rumo Luxembourg SARL 4.20%, 1/18/2032 | 200,000 | 170,608 | |||
Simpar Europe SA 5.20%, 1/26/2031 | 600,000 | 520,932 | |||
Unigel Luxembourg SA 8.75%, 10/1/2026 (c) | 400,000 | 113,064 | |||
12,040,788 | |||||
CANADA — 0.5% | |||||
1375209 BC Ltd. 9.00%, 1/30/2028 (a) | 79,000 | 76,876 | |||
Air Canada 3.88%, 8/15/2026 (a) | 550,000 | 526,388 | |||
Bank of Montreal 5 yr. CMT + 1.40%, 3.09%, 1/10/2037 (b) | 2,645,000 | 2,148,137 | |||
Bank of Nova Scotia Series MTN, 3.45%, 4/11/2025 | 3,875,000 | 3,794,516 | |||
Bombardier, Inc.: | |||||
7.88%, 4/15/2027 (a) | 470,000 | 470,165 | |||
8.75%, 11/15/2030 (a) | 470,000 | 500,790 | |||
Garda World Security Corp.: | |||||
4.63%, 2/15/2027 (a) | 615,000 | 591,003 | |||
6.00%, 6/1/2029 (a) | 350,000 | 314,517 | |||
GFL Environmental, Inc.: | |||||
4.00%, 8/1/2028 (a) | 550,000 | 507,507 | |||
6.75%, 1/15/2031 (a) | 285,000 | 293,633 | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. 5.00%, 12/31/2026 (a) | 380,000 | 370,504 | |||
Mattamy Group Corp. 4.63%, 3/1/2030 (a) | 680,000 | 630,571 | |||
Ontario Gaming GTA LP 8.00%, 8/1/2030 (a) | 540,000 | 559,607 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (a) | 435,000 | 401,009 | |||
4.63%, 5/1/2030 (a) | 300,000 | 277,842 | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (a) | 325,000 | 300,024 | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (a) | 640,000 | 591,539 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (a) | 60,000 | 35,552 | |||
6.50%, 10/15/2027 (a) | 95,000 | 44,636 | |||
Tervita Corp. 11.00%, 12/1/2025 (a) | 237,000 | 248,748 |
Security Description | Principal Amount | Value | |||
Titan Acquisition Ltd./Titan Co.-Borrower LLC 7.75%, 4/15/2026 (a) | $ 410,000 | $ 412,522 | |||
Toronto-Dominion Bank Series MTN, 4.69%, 9/15/2027 | 2,130,000 | 2,130,511 | |||
15,226,597 | |||||
CAYMAN ISLANDS — 0.0% (d) | |||||
Global Aircraft Leasing Co. Ltd. PIK, 6.50%, 9/15/2024 (a) | 749,188 | 705,413 | |||
CHILE — 0.1% | |||||
Agrosuper SA 4.60%, 1/20/2032 | 1,000,000 | 860,640 | |||
CAP SA 3.90%, 4/27/2031 (a) | 1,800,000 | 1,393,614 | |||
Chile Electricity PEC SpA 0.00%, 1/25/2028 (a) | 900,000 | 713,097 | |||
Empresa Electrica Cochrane SpA 5.50%, 5/14/2027 | 419,440 | 395,519 | |||
Inversiones La Construccion SA 4.75%, 2/7/2032 | 900,000 | 753,246 | |||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 400,000 | 190,704 | |||
4,306,820 | |||||
CHINA — 0.1% | |||||
NXP BV/NXP Funding LLC/NXP USA, Inc. 3.88%, 6/18/2026 | 1,630,000 | 1,588,223 | |||
COLOMBIA — 0.3% | |||||
AI Candelaria Spain SA: | |||||
5.75%, 6/15/2033 (a) | 2,015,000 | 1,561,746 | |||
7.50%, 12/15/2028 | 412,499 | 391,528 | |||
Banco Davivienda SA VRN, 10 yr. CMT + 5.10%, 6.65%, 4/22/2031 (a) (b) | 600,000 | 427,386 | |||
Banco GNB Sudameris SA: | |||||
5 yr. CMT + 4.56%, 7.05%, 4/3/2027 (b) | 100,000 | 96,589 | |||
5 yr. CMT + 6.66%, 7.50%, 4/16/2031 (b) | 150,000 | 125,085 | |||
Bancolombia SA VRN, 5 yr. CMT + 2.94%, 4.63%, 12/18/2029 (b) | 1,700,000 | 1,572,160 | |||
Canacol Energy Ltd. 5.75%, 11/24/2028 | 1,000,000 | 730,970 | |||
Ecopetrol SA: | |||||
5.88%, 5/28/2045 | 200,000 | 157,064 | |||
5.88%, 11/2/2051 | 2,050,000 | 1,554,679 | |||
Empresas Publicas de Medellin ESP 4.25%, 7/18/2029 | 1,400,000 | 1,192,254 |
Security Description | Principal Amount | Value | |||
Fideicomiso PA Pacifico Tres 8.25%, 1/15/2035 | $ 364,000 | $ 335,535 | |||
Geopark Ltd. 5.50%, 1/17/2027 | 700,000 | 619,227 | |||
Gran Tierra Energy, Inc. 9.50%, 10/15/2029 (a) | 600,000 | 525,018 | |||
Grupo Aval Ltd. 4.38%, 2/4/2030 (a) | 300,000 | 252,804 | |||
Oleoducto Central SA 4.00%, 7/14/2027 | 300,000 | 277,839 | |||
9,819,884 | |||||
FRANCE — 0.0% (d) | |||||
Altice France SA 5.50%, 10/15/2029 (a) | 460,000 | 360,461 | |||
GERMANY — 0.0% (d) | |||||
TK Elevator U.S. Newco, Inc. 5.25%, 7/15/2027 (a) | 325,000 | 318,776 | |||
GUATEMALA — 0.1% | |||||
Banco Industrial SA 5 yr. CMT + 4.44%, 4.88%, 1/29/2031 (b) | 600,000 | 559,662 | |||
CT Trust 5.13%, 2/3/2032 | 1,000,000 | 868,480 | |||
Millicom International Cellular SA: | |||||
5.13%, 1/15/2028 | 360,000 | 335,337 | |||
6.25%, 3/25/2029 | 360,000 | 341,766 | |||
6.63%, 10/15/2026 | 540,000 | 527,596 | |||
2,632,841 | |||||
HONG KONG — 0.0% (d) | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 325,000 | 272,356 | |||
INDIA — 0.2% | |||||
Adani Electricity Mumbai Ltd.: | |||||
3.87%, 7/22/2031 | 800,000 | 619,096 | |||
3.95%, 2/12/2030 | 349,000 | 285,724 | |||
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 | 710,000 | 581,747 | |||
Adani Ports & Special Economic Zone Ltd.: | |||||
3.83%, 2/2/2032 | 900,000 | 697,878 | |||
4.00%, 7/30/2027 | 200,000 | 178,144 | |||
4.20%, 8/4/2027 | 400,000 | 359,184 | |||
4.38%, 7/3/2029 | 400,000 | 344,736 | |||
Adani Transmission Step-One Ltd.: | |||||
4.00%, 8/3/2026 | 600,000 | 550,500 | |||
4.25%, 5/21/2036 | 549,500 | 440,968 | |||
JSW Hydro Energy Ltd. 4.13%, 5/18/2031 (a) | 563,500 | 489,124 | |||
Network i2i Ltd. 5 yr. CMT + 4.27%, 5.65%, 1/15/2025 (b) | 600,000 | 591,120 |
Security Description | Principal Amount | Value | |||
UPL Corp. Ltd.: | |||||
4.50%, 3/8/2028 | $ 1,300,000 | $ 1,152,420 | |||
4.63%, 6/16/2030 | 200,000 | 166,116 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a) | 1,400,000 | 854,210 | |||
7,310,967 | |||||
INDONESIA — 0.2% | |||||
Freeport Indonesia PT: | |||||
5.32%, 4/14/2032 (a) | 700,000 | 688,002 | |||
6.20%, 4/14/2052 | 200,000 | 198,612 | |||
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT: | |||||
4.75%, 5/15/2025 | 400,000 | 395,200 | |||
5.45%, 5/15/2030 | 400,000 | 403,428 | |||
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 | 1,609,200 | 1,551,462 | |||
Minejesa Capital BV 5.63%, 8/10/2037 | 2,400,000 | 2,084,400 | |||
5,321,104 | |||||
IRELAND — 0.1% | |||||
Avolon Holdings Funding Ltd.: | |||||
2.13%, 2/21/2026 (a) | 1,495,000 | 1,386,493 | |||
3.25%, 2/15/2027 (a) | 810,000 | 750,173 | |||
2,136,666 | |||||
ISRAEL — 0.1% | |||||
Bank Hapoalim BM 5 yr. CMT + 2.16%, 3.26%, 1/21/2032 (a) (b) | 1,000,000 | 864,760 | |||
Bank Leumi Le-Israel BM 5 yr. CMT + 1.63%, 3.28%, 1/29/2031 (a) (b) | 500,000 | 451,325 | |||
1,316,085 | |||||
JAMAICA — 0.0% (d) | |||||
Digicel Group Holdings Ltd.: | |||||
PIK, 7.00%, 12/31/2099 (a) | 643,886 | 48,292 | |||
PIK, 8.00%, 4/1/2025 (a) (c) | 647,154 | 148,845 | |||
197,137 | |||||
KUWAIT — 0.0% (d) | |||||
MEGlobal BV 2.63%, 4/28/2028 | 700,000 | 629,055 | |||
MEGlobal Canada ULC 5.00%, 5/18/2025 | 200,000 | 197,480 | |||
826,535 | |||||
LUXEMBOURG — 0.0% (d) | |||||
Altice Financing SA 5.00%, 1/15/2028 (a) | 240,000 | 218,237 | |||
Altice France Holding SA 6.00%, 2/15/2028 (a) | 430,000 | 204,336 |
Security Description | Principal Amount | Value | |||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | $ 240,000 | $ 229,713 | |||
652,286 | |||||
MALAYSIA — 0.0% (d) | |||||
TNB Global Ventures Capital Bhd. Series EMTN, 3.24%, 10/19/2026 | 200,000 | 190,552 | |||
MEXICO — 0.3% | |||||
Banco Mercantil del Norte SA: | |||||
10 yr. CMT + 5.03%, 6.63%, 1/24/2032 (b) | 200,000 | 170,030 | |||
10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a) (b) | 1,400,000 | 1,310,918 | |||
Banco Nacional de Comercio Exterior SNC 5 yr. CMT + 2.00%, 2.72%, 8/11/2031 (b) | 1,600,000 | 1,362,160 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%, 7.53%, 10/1/2028 (b) | 500,000 | 523,685 | |||
BBVA Bancomer SA: | |||||
5 yr. CMT + 2.65%, 5.13%, 1/18/2033 (b) | 1,300,000 | 1,179,516 | |||
VRN, 5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (b) | 800,000 | 747,624 | |||
Braskem Idesa SAPI 6.99%, 2/20/2032 | 500,000 | 281,530 | |||
Cemex SAB de CV: | |||||
5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (b) | 1,600,000 | 1,515,568 | |||
5 yr. CMT + 5.16%, 9.13%, 3/14/2028 (a) (b) | 200,000 | 212,826 | |||
Credito Real SAB de CV SOFOM ER 5 yr. CMT + 7.03%, 9.13%, 11/29/2027 (b) (c) | 500,000 | 2,615 | |||
Industrias Penoles SAB de CV 4.15%, 9/12/2029 | 800,000 | 744,600 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (a) | 282,000 | 61,250 | |||
Mexico Generadora de Energia S de Real 5.50%, 12/6/2032 | 632,120 | 615,407 | |||
Petroleos Mexicanos 6.75%, 9/21/2047 | 700,000 | 460,460 | |||
Unifin Financiera SAB de CV 5 yr. CMT + 6.31%, 8.88%, 1/29/2025 (b) (c) | 1,800,000 | 180 | |||
9,188,369 | |||||
NETHERLANDS — 0.0% (d) | |||||
VZ Secured Financing BV 5.00%, 1/15/2032 (a) | 575,000 | 492,746 |
Security Description | Principal Amount | Value | |||
PANAMA — 0.1% | |||||
Banco General SA 4.13%, 8/7/2027 | $ 200,000 | $ 187,608 | |||
Banistmo SA 4.25%, 7/31/2027 | 700,000 | 637,567 | |||
C&W Senior Financing DAC 6.88%, 9/15/2027 | 450,000 | 421,047 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 | 200,000 | 146,214 | |||
Global Bank Corp. 3 mo. USD Term SOFR + 3.30%, 5.25%, 4/16/2029 (b) | 700,000 | 624,484 | |||
Multibank, Inc. 7.75%, 2/3/2028 (a) | 300,000 | 300,639 | |||
UEP Penonome II SA 6.50%, 10/1/2038 (a) | 660,319 | 502,371 | |||
2,819,930 | |||||
PARAGUAY — 0.0% (d) | |||||
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 | 520,644 | 373,453 | |||
Frigorifico Concepcion SA 7.70%, 7/21/2028 | 400,000 | 334,152 | |||
Rutas 2 & 7 Finance Ltd. Zero Coupon, 9/30/2036 | 650,000 | 432,848 | |||
1,140,453 | |||||
PERU — 0.2% | |||||
Banco de Credito del Peru SA 5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (b) | 1,000,000 | 946,100 | |||
Banco Internacional del Peru SAA Interbank: | |||||
3 mo. USD Term SOFR + 5.76%, 6.63%, 3/19/2029 (b) | 437,000 | 434,815 | |||
VRN, 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (b) | 1,700,000 | 1,625,336 | |||
Cia de Minas Buenaventura SAA 5.50%, 7/23/2026 | 900,000 | 858,690 | |||
Fenix Power Peru SA 4.32%, 9/20/2027 | 265,882 | 248,914 | |||
Inkia Energy Ltd. 5.88%, 11/9/2027 | 931,000 | 889,282 | |||
Intercorp Financial Services, Inc. 4.13%, 10/19/2027 | 200,000 | 182,406 | |||
Kallpa Generacion SA 4.13%, 8/16/2027 | 500,000 | 476,770 | |||
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034 | 222,120 | 219,898 | |||
Orazul Energy Peru SA 5.63%, 4/28/2027 | 400,000 | 377,576 |
Security Description | Principal Amount | Value | |||
Petroleos del Peru SA: | |||||
4.75%, 6/19/2032 | $ 700,000 | $ 500,430 | |||
5.63%, 6/19/2047 | 400,000 | 248,256 | |||
7,008,473 | |||||
SINGAPORE — 0.1% | |||||
Avation Capital SA PIK, 8.25%, 10/31/2026 (a) | 274,193 | 232,985 | |||
DBS Group Holdings Ltd. Series GMTN, VRN, 5 yr. CMT + 1.10%, 1.82%, 3/10/2031 (b) | 400,000 | 370,640 | |||
Oversea-Chinese Banking Corp. Ltd. VRN, 5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (b) | 1,500,000 | 1,411,080 | |||
United Overseas Bank Ltd.: | |||||
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (b) | 600,000 | 547,098 | |||
Series GMTN, VRN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (b) | 1,200,000 | 1,107,274 | |||
3,669,077 | |||||
SOUTH AFRICA — 0.0% (d) | |||||
Sasol Financing USA LLC: | |||||
4.38%, 9/18/2026 | 200,000 | 186,018 | |||
5.50%, 3/18/2031 | 1,200,000 | 1,009,032 | |||
1,195,050 | |||||
SOUTH KOREA — 0.0% (d) | |||||
Shinhan Financial Group Co. Ltd. VRN, 5 yr. CMT + 2.06%, 2.88%, 5/12/2026 (a) (b) | 300,000 | 272,121 | |||
SPAIN — 0.0% (d) | |||||
Grifols SA 4.75%, 10/15/2028 (a) | 640,000 | 581,914 | |||
UNITED STATES — 9.1% | |||||
AbbVie, Inc. 3.85%, 6/15/2024 | 2,105,000 | 2,088,013 | |||
Academy Ltd. 6.00%, 11/15/2027 (a) | 1,155,000 | 1,140,401 | |||
Acuris Finance U.S., Inc./Acuris Finance SARL 5.00%, 5/1/2028 (a) | 675,000 | 552,103 | |||
Acushnet Co. 7.38%, 10/15/2028 (a) | 285,000 | 297,694 | |||
AdaptHealth LLC 5.13%, 3/1/2030 (a) | 355,000 | 279,602 | |||
Advanced Drainage Systems, Inc. 6.38%, 6/15/2030 (a) | 735,000 | 744,871 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050 | 2,245,000 | 1,626,637 | |||
Aethon United BR LP/Aethon United Finance Corp. 8.25%, 2/15/2026 (a) | 305,000 | 307,211 |
Security Description | Principal Amount | Value | |||
Air Lease Corp. 3.25%, 3/1/2025 | $ 1,730,000 | $ 1,684,691 | |||
Air Methods Corp. 8.00%, 5/15/2025 (a) (c) | 78,000 | 686 | |||
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033 | 2,070,000 | 1,613,172 | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer: | |||||
6.75%, 10/15/2027 (a) | 420,000 | 418,564 | |||
6.75%, 4/15/2028 (a) | 580,000 | 593,816 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 (a) | 490,000 | 487,976 | |||
9.75%, 7/15/2027 (a) | 355,000 | 347,666 | |||
AMC Entertainment Holdings, Inc. 7.50%, 2/15/2029 (a) | 110,000 | 76,333 | |||
American Airlines, Inc.: | |||||
7.25%, 2/15/2028 (a) | 565,000 | 573,916 | |||
8.50%, 5/15/2029 (a) | 585,000 | 618,795 | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. 5.75%, 4/20/2029 (a) | 590,000 | 575,498 | |||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029 | 155,000 | 137,237 | |||
American Express Co. 3.95%, 8/1/2025 | 2,035,000 | 2,002,521 | |||
American Tower Corp. 3.60%, 1/15/2028 | 1,355,000 | 1,291,315 | |||
Amgen, Inc.: | |||||
5.25%, 3/2/2030 | 520,000 | 534,732 | |||
5.75%, 3/2/2063 | 860,000 | 904,539 | |||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | 440,000 | 405,574 | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 580,000 | 576,085 | |||
Antero Resources Corp. 5.38%, 3/1/2030 (a) | 330,000 | 316,708 | |||
APi Group DE, Inc. 4.75%, 10/15/2029 (a) | 475,000 | 445,474 | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027 (a) | 310,000 | 240,892 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 1,797,000 | 1,706,503 | |||
Arsenal AIC Parent LLC 8.00%, 10/1/2030 (a) | 170,000 | 178,787 |
Security Description | Principal Amount | Value | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (a) | $ 625,000 | $ 563,606 | |||
ASP Unifrax Holdings, Inc. 5.25%, 9/30/2028 (a) | 295,000 | 215,102 | |||
AssuredPartners, Inc. 5.63%, 1/15/2029 (a) | 410,000 | 382,362 | |||
AT&T, Inc.: | |||||
2.25%, 2/1/2032 | 2,645,000 | 2,188,473 | |||
2.75%, 6/1/2031 | 625,000 | 547,575 | |||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 445,000 | 403,797 | |||
Athene Holding Ltd. 3.95%, 5/25/2051 | 2,880,000 | 2,165,587 | |||
Bank of America Corp.: | |||||
5 yr. CMT + 1.20%, 2.48%, 9/21/2036 (b) | 4,065,000 | 3,225,293 | |||
SOFR + 1.11%, 3.84%, 4/25/2025 (b) | 420,000 | 417,434 | |||
Series MTN, SOFR + 1.75%, 4.83%, 7/22/2026 (b) | 635,000 | 630,288 | |||
Bausch & Lomb Escrow Corp. 8.38%, 10/1/2028 (a) | 695,000 | 733,566 | |||
Bausch Health Cos., Inc.: | |||||
4.88%, 6/1/2028 (a) | 530,000 | 319,654 | |||
6.13%, 2/1/2027 (a) | 185,000 | 124,845 | |||
11.00%, 9/30/2028 (a) | 216,000 | 157,347 | |||
14.00%, 10/15/2030 (a) | 28,000 | 15,625 | |||
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (a) | 545,000 | 526,753 | |||
Beacon Roofing Supply, Inc. 6.50%, 8/1/2030 (a) | 540,000 | 553,700 | |||
Becton Dickinson & Co. 4.69%, 2/13/2028 | 1,915,000 | 1,923,962 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (a) | 3,265,000 | 2,569,522 | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025 (a) | 235,000 | 238,020 | |||
Boeing Co. 2.95%, 2/1/2030 | 2,410,000 | 2,175,001 | |||
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (a) | 35,000 | 35,159 | |||
Boyd Gaming Corp. 4.75%, 6/15/2031 (a) | 555,000 | 509,390 | |||
BP Capital Markets America, Inc. 4.89%, 9/11/2033 | 2,110,000 | 2,147,853 | |||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) | 745,000 | 734,503 | |||
Broadcom, Inc. 3.42%, 4/15/2033 (a) | 2,434,000 | 2,138,172 |
Security Description | Principal Amount | Value | |||
Brown & Brown, Inc. 2.38%, 3/15/2031 | $ 1,845,000 | $ 1,514,062 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (a) | 400,000 | 361,020 | |||
5.00%, 3/1/2030 (a) | 400,000 | 386,416 | |||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a) | 465,000 | 420,379 | |||
Callon Petroleum Co. 7.50%, 6/15/2030 (a) | 550,000 | 555,880 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a) | 610,000 | 580,372 | |||
4.63%, 2/1/2029 (a) | 205,000 | 190,398 | |||
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026 (b) | 2,140,000 | 2,118,129 | |||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (a) | 725,000 | 706,491 | |||
7.00%, 8/15/2029 (a) | 360,000 | 375,476 | |||
9.88%, 8/1/2027 (a) | 595,000 | 624,696 | |||
Carrier Global Corp. 6.20%, 3/15/2054 (a) | 200,000 | 231,890 | |||
Castle U.S. Holding Corp. 9.50%, 2/15/2028 (a) | 140,000 | 72,078 | |||
Catalent Pharma Solutions, Inc. 3.50%, 4/1/2030 (a) | 205,000 | 179,055 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 1/15/2034 (a) | 380,000 | 309,012 | |||
4.50%, 8/15/2030 (a) | 370,000 | 334,169 | |||
4.75%, 3/1/2030 (a) | 755,000 | 690,629 | |||
4.75%, 2/1/2032 (a) | 375,000 | 330,653 | |||
5.13%, 5/1/2027 (a) | 925,000 | 895,011 | |||
Cedar Fair LP 5.25%, 7/15/2029 | 580,000 | 546,493 | |||
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc. 8.00%, 6/15/2029 (a) | 445,000 | 464,211 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%, 2/1/2032 | 3,370,000 | 2,683,396 | |||
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 2,195,000 | 2,142,452 | |||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a) | 645,000 | 632,687 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 520,000 | 521,144 | |||
CHS/Community Health Systems, Inc.: | |||||
4.75%, 2/15/2031 (a) | 310,000 | 244,199 | |||
6.00%, 1/15/2029 (a) | 220,000 | 198,020 | |||
Citigroup, Inc. 3 mo. USD Term SOFR + 1.65%, 3.67%, 7/24/2028 (b) | 4,465,000 | 4,256,797 |
Security Description | Principal Amount | Value | |||
Civitas Resources, Inc. 8.38%, 7/1/2028 (a) | $ 700,000 | $ 732,109 | |||
Clarios Global LP/Clarios U.S. Finance Co. 6.75%, 5/15/2028 (a) | 560,000 | 576,548 | |||
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (a) | 205,000 | 192,388 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a) | 145,000 | 139,391 | |||
Clear Channel Outdoor Holdings, Inc.: | |||||
7.50%, 6/1/2029 (a) | 180,000 | 149,431 | |||
9.00%, 9/15/2028 (a) | 185,000 | 193,064 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (a) | 580,000 | 558,540 | |||
Clydesdale Acquisition Holdings, Inc. 6.63%, 4/15/2029 (a) | 205,000 | 201,618 | |||
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | 550,000 | 487,311 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 605,000 | 581,435 | |||
Coherent Corp. 5.00%, 12/15/2029 (a) | 255,000 | 242,329 | |||
Comcast Corp. 2.94%, 11/1/2056 | 3,226,000 | 2,126,482 | |||
CommScope Technologies LLC 5.00%, 3/15/2027 (a) | 220,000 | 92,609 | |||
CommScope, Inc. 4.75%, 9/1/2029 (a) | 335,000 | 226,922 | |||
Consolidated Communications, Inc. 5.00%, 10/1/2028 (a) | 290,000 | 237,835 | |||
Constellation Brands, Inc. 2.88%, 5/1/2030 | 2,385,000 | 2,136,244 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 335,000 | 277,065 | |||
Coty, Inc.: | |||||
5.00%, 4/15/2026 (a) | 1,035,000 | 1,019,992 | |||
6.50%, 4/15/2026 (a) | 245,000 | 245,198 | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 6.63%, 7/15/2030 (a) | 645,000 | 662,828 | |||
CQP Holdco LP/BIP-V Chinook Holdco LLC 5.50%, 6/15/2031 (a) | 1,015,000 | 961,844 | |||
Crown Castle, Inc. 4.30%, 2/15/2029 | 2,240,000 | 2,158,128 | |||
CSC Holdings LLC: | |||||
5.75%, 1/15/2030 (a) | 495,000 | 308,207 | |||
6.50%, 2/1/2029 (a) | 445,000 | 395,618 |
Security Description | Principal Amount | Value | |||
CSI Compressco LP/CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (a) | $ 385,000 | $ 384,642 | |||
CSX Corp. 3.35%, 9/15/2049 | 2,815,000 | 2,129,773 | |||
CVR Partners LP/CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (a) | 280,000 | 265,026 | |||
CVS Health Corp.: | |||||
5.13%, 2/21/2030 | 530,000 | 538,379 | |||
5.30%, 6/1/2033 | 1,070,000 | 1,098,312 | |||
5.88%, 6/1/2053 | 1,015,000 | 1,069,414 | |||
Dana, Inc.: | |||||
4.25%, 9/1/2030 | 95,000 | 84,998 | |||
5.38%, 11/15/2027 | 125,000 | 124,184 | |||
5.63%, 6/15/2028 | 650,000 | 644,241 | |||
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028 (a) | 270,000 | 267,700 | |||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc. 5.88%, 8/15/2027 (a) | 320,000 | 300,477 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 290,000 | 149,489 | |||
5.75%, 12/1/2028 (a) | 555,000 | 448,756 | |||
5.88%, 11/15/2024 | 65,000 | 61,241 | |||
Dollar General Corp.: | |||||
3.50%, 4/3/2030 | 2,355,000 | 2,170,297 | |||
4.25%, 9/20/2024 | 1,060,000 | 1,048,181 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 1,933,000 | 1,898,709 | |||
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 400,000 | 360,244 | |||
DTE Energy Co.: | |||||
4.22%, 11/1/2024 (e) | 1,060,000 | 1,046,474 | |||
4.88%, 6/1/2028 | 2,135,000 | 2,153,212 | |||
Duke Energy Carolinas LLC 3.55%, 3/15/2052 | 890,000 | 682,274 | |||
Duke Energy Corp.: | |||||
2.65%, 9/1/2026 | 3,375,000 | 3,202,639 | |||
5.00%, 8/15/2052 | 340,000 | 317,937 | |||
Dun & Bradstreet Corp. 5.00%, 12/15/2029 (a) | 730,000 | 681,243 | |||
Elevance Health, Inc. 4.10%, 5/15/2032 | 2,290,000 | 2,185,805 | |||
Embarq Corp. 8.00%, 6/1/2036 | 225,000 | 138,758 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 635,000 | 608,914 | |||
4.63%, 4/1/2031 | 455,000 | 418,882 | |||
4.75%, 2/1/2030 | 60,000 | 56,455 | |||
Endo Luxembourg Finance Co. I SARL/Endo U.S., Inc. 6.13%, 4/1/2029 (a) (c) | 170,000 | 108,644 | |||
Energizer Holdings, Inc. 6.50%, 12/31/2027 (a) | 235,000 | 235,409 |
Security Description | Principal Amount | Value | |||
Energy Transfer LP: | |||||
4.75%, 1/15/2026 | $ 1,065,000 | $ 1,057,694 | |||
5.00%, 5/15/2044 | 1,210,000 | 1,063,372 | |||
Entergy Louisiana LLC 4.75%, 9/15/2052 | 710,000 | 653,122 | |||
EQM Midstream Partners LP: | |||||
4.75%, 1/15/2031 (a) | 395,000 | 368,843 | |||
6.50%, 7/1/2027 (a) | 540,000 | 551,162 | |||
Equinix, Inc.: | |||||
2.95%, 9/15/2051 | 1,926,000 | 1,287,608 | |||
3.90%, 4/15/2032 | 1,185,000 | 1,100,581 | |||
Essential Utilities, Inc. 3.35%, 4/15/2050 | 3,020,000 | 2,150,693 | |||
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | 580,000 | 528,566 | |||
Exelon Corp. 5.15%, 3/15/2028 | 1,365,000 | 1,385,420 | |||
Expedia Group, Inc.: | |||||
3.80%, 2/15/2028 | 2,785,000 | 2,681,732 | |||
5.00%, 2/15/2026 | 1,585,000 | 1,585,380 | |||
Ferrellgas LP/Ferrellgas Finance Corp. 5.38%, 4/1/2026 (a) | 430,000 | 420,850 | |||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. 6.75%, 1/15/2030 (a) | 405,000 | 355,529 | |||
Ford Motor Co. 3.25%, 2/12/2032 | 1,320,000 | 1,098,161 | |||
Fortrea Holdings, Inc. 7.50%, 7/1/2030 (a) | 580,000 | 597,481 | |||
Fortress Transportation & Infrastructure Investors LLC 7.88%, 12/1/2030 (a) | 700,000 | 729,498 | |||
Freeport-McMoRan, Inc.: | |||||
4.38%, 8/1/2028 | 400,000 | 384,820 | |||
4.63%, 8/1/2030 | 300,000 | 293,280 | |||
5.25%, 9/1/2029 | 700,000 | 709,310 | |||
Frontier Communications Holdings LLC: | |||||
5.00%, 5/1/2028 (a) | 250,000 | 230,988 | |||
5.88%, 10/15/2027 (a) | 125,000 | 120,650 | |||
5.88%, 11/1/2029 | 225,000 | 190,656 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | 185,000 | 174,546 | |||
Gap, Inc. 3.88%, 10/1/2031 (a) | 395,000 | 325,448 | |||
General Motors Financial Co., Inc.: | |||||
2.40%, 10/15/2028 | 1,225,000 | 1,088,388 | |||
3.10%, 1/12/2032 | 520,000 | 443,014 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a) | 2,138,000 | 2,100,649 |
Security Description | Principal Amount | Value | |||
Goldman Sachs Group, Inc. 3 mo. USD Term SOFR + 1.43%, 6.81%, 5/15/2026 (b) | $ 4,160,000 | $ 4,181,590 | |||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 | 470,000 | 427,991 | |||
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a) | 210,000 | 139,031 | |||
Griffon Corp. 5.75%, 3/1/2028 | 430,000 | 422,716 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 665,000 | 616,894 | |||
GTCR W-2 Merger Sub LLC 7.50%, 1/15/2031 (a) | 200,000 | 212,188 | |||
Guardian Life Global Funding 1.25%, 5/13/2026 (a) | 2,305,000 | 2,119,148 | |||
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 175,000 | 177,063 | |||
Halliburton Co. 4.85%, 11/15/2035 | 885,000 | 871,194 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 1,130,000 | 1,081,297 | |||
5.13%, 6/15/2039 | 1,165,000 | 1,111,026 | |||
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL 4.63%, 5/1/2028 (a) | 575,000 | 525,245 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 125,000 | 102,579 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (a) | 380,000 | 351,264 | |||
5.13%, 6/15/2028 (a) | 365,000 | 352,619 | |||
5.50%, 10/15/2030 (a) | 310,000 | 301,639 | |||
Hewlett Packard Enterprise Co. 5.90%, 10/1/2024 | 835,000 | 836,753 | |||
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026 (a) | 290,000 | 28,008 | |||
Hightower Holding LLC 6.75%, 4/15/2029 (a) | 315,000 | 285,900 | |||
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||||
6.25%, 11/1/2028 (a) | 540,000 | 538,952 | |||
8.38%, 11/1/2033 (a) | 115,000 | 122,308 | |||
Host Hotels & Resorts LP Series I, 3.50%, 9/15/2030 | 2,452,000 | 2,193,657 | |||
HUB International Ltd. 7.25%, 6/15/2030 (a) | 450,000 | 475,083 | |||
Hyundai Capital America 5.68%, 6/26/2028 (a) | 1,585,000 | 1,616,003 | |||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25%, 5/15/2027 | 385,000 | 348,352 |
Security Description | Principal Amount | Value | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (a) | $ 410,000 | $ 395,400 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (a) | 435,000 | 423,934 | |||
Invitation Homes Operating Partnership LP 2.70%, 1/15/2034 | 2,685,000 | 2,154,337 | |||
IQVIA, Inc. 6.25%, 2/1/2029 (a) | 720,000 | 751,882 | |||
Iron Mountain, Inc.: | |||||
7.00%, 2/15/2029 (a) | 470,000 | 484,561 | |||
REIT, 4.50%, 2/15/2031 (a) | 580,000 | 526,872 | |||
Jacobs Engineering Group, Inc. 5.90%, 3/1/2033 | 2,215,000 | 2,261,559 | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 3.75%, 12/1/2031 | 300,000 | 258,114 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 590,000 | 565,668 | |||
JPMorgan Chase & Co.: | |||||
3 mo. USD Term SOFR + 1.25%, 2.58%, 4/22/2032 (b) | 2,560,000 | 2,166,605 | |||
SOFR + 1.26%, 2.96%, 1/25/2033 (b) | 2,535,000 | 2,170,720 | |||
SOFR + 1.99%, 4.85%, 7/25/2028 (b) | 1,060,000 | 1,060,095 | |||
Kinder Morgan, Inc. 5.20%, 6/1/2033 | 2,155,000 | 2,143,385 | |||
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (a) | 425,000 | 369,465 | |||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 310,000 | 287,088 | |||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc. 5.00%, 2/1/2026 (a) | 340,000 | 339,255 | |||
Level 3 Financing, Inc. 10.50%, 5/15/2030 (a) | 420,000 | 409,874 | |||
LFS Topco LLC 5.88%, 10/15/2026 (a) | 345,000 | 318,825 | |||
LifePoint Health, Inc. 5.38%, 1/15/2029 (a) | 145,000 | 107,294 | |||
Light & Wonder International, Inc. 7.25%, 11/15/2029 (a) | 505,000 | 517,807 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 140,000 | 103,760 | |||
Live Nation Entertainment, Inc. 6.50%, 5/15/2027 (a) | 290,000 | 295,171 |
Security Description | Principal Amount | Value | |||
Lowe's Cos., Inc. 4.40%, 9/8/2025 | $ 2,440,000 | $ 2,424,116 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 350,000 | 335,598 | |||
Lumen Technologies, Inc. 4.00%, 2/15/2027 (a) | 155,000 | 98,296 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 365,000 | 351,615 | |||
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a) | 265,000 | 254,768 | |||
Madison IAQ LLC: | |||||
4.13%, 6/30/2028 (a) | 570,000 | 519,920 | |||
5.88%, 6/30/2029 (a) | 220,000 | 194,084 | |||
Marriott International, Inc. Series HH, 2.85%, 4/15/2031 | 2,465,000 | 2,137,993 | |||
Marvell Technology, Inc. 1.65%, 4/15/2026 | 1,710,000 | 1,592,010 | |||
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050 (a) | 2,380,000 | 1,738,590 | |||
Match Group Holdings II LLC 5.00%, 12/15/2027 (a) | 775,000 | 756,640 | |||
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | 365,000 | 350,980 | |||
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a) | 565,000 | 544,880 | |||
Medline Borrower LP 5.25%, 10/1/2029 (a) | 795,000 | 750,774 | |||
Merck & Co., Inc. 4.50%, 5/17/2033 | 760,000 | 765,419 | |||
Meta Platforms, Inc. 5.60%, 5/15/2053 | 1,960,000 | 2,127,933 | |||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | 720,000 | 651,874 | |||
MetLife, Inc. 5.25%, 1/15/2054 | 2,110,000 | 2,171,633 | |||
Michaels Cos., Inc.: | |||||
5.25%, 5/1/2028 (a) | 360,000 | 287,024 | |||
7.88%, 5/1/2029 (a) | 200,000 | 127,328 | |||
Microsoft Corp. 2.92%, 3/17/2052 | 1,440,000 | 1,060,805 | |||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029 (a) | 445,000 | 414,299 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a) | 565,000 | 462,294 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (a) | 1,150,000 | 1,125,620 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b) | 5,395,000 | 4,282,389 | |||
MPLX LP 1.75%, 3/1/2026 | 910,000 | 851,360 |
Security Description | Principal Amount | Value | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | $ 285,000 | $ 270,650 | |||
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 180,000 | 172,440 | |||
Nabors Industries, Inc. 9.13%, 1/31/2030 (a) | 375,000 | 378,086 | |||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a) | 480,000 | 447,936 | |||
Navient Corp. 5.00%, 3/15/2027 | 285,000 | 275,227 | |||
NCL Corp. Ltd.: | |||||
5.88%, 3/15/2026 (a) | 395,000 | 386,010 | |||
8.38%, 2/1/2028 (a) | 275,000 | 291,544 | |||
NetApp, Inc. 1.88%, 6/22/2025 | 1,660,000 | 1,579,175 | |||
News Corp. 5.13%, 2/15/2032 (a) | 155,000 | 147,923 | |||
NextEra Energy Capital Holdings, Inc. 4.26%, 9/1/2024 | 950,000 | 941,725 | |||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (a) | 465,000 | 469,822 | |||
NGL Energy Partners LP/NGL Energy Finance Corp. 7.50%, 4/15/2026 | 110,000 | 109,274 | |||
Novelis Corp. 4.75%, 1/30/2030 (a) | 455,000 | 428,683 | |||
NRG Energy, Inc. 3.63%, 2/15/2031 (a) | 785,000 | 675,257 | |||
NuStar Logistics LP 6.00%, 6/1/2026 | 550,000 | 548,455 | |||
Occidental Petroleum Corp. 6.63%, 9/1/2030 | 1,010,000 | 1,075,155 | |||
Olympus Water U.S. Holding Corp.: | |||||
4.25%, 10/1/2028 (a) | 400,000 | 361,640 | |||
6.25%, 10/1/2029 (a) | 200,000 | 178,470 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 | 2,460,000 | 2,139,044 | |||
OneMain Finance Corp.: | |||||
5.38%, 11/15/2029 | 250,000 | 234,105 | |||
7.13%, 3/15/2026 | 324,000 | 330,166 | |||
ONEOK, Inc. 6.63%, 9/1/2053 | 950,000 | 1,065,130 | |||
Oracle Corp.: | |||||
3.80%, 11/15/2037 | 260,000 | 221,247 | |||
6.25%, 11/9/2032 | 165,000 | 179,426 | |||
O'Reilly Automotive, Inc. 5.75%, 11/20/2026 | 515,000 | 527,314 | |||
Organon & Co./Organon Foreign Debt Co.-Issuer BV 5.13%, 4/30/2031 (a) | 770,000 | 656,379 |
Security Description | Principal Amount | Value | |||
Outfront Media Capital LLC/Outfront Media Capital Corp. 7.38%, 2/15/2031 (a) | $ 415,000 | $ 438,290 | |||
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | 530,000 | 506,950 | |||
Pacific Gas & Electric Co. 2.50%, 2/1/2031 | 1,315,000 | 1,086,151 | |||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC 4.00%, 10/15/2027 (a) | 550,000 | 516,995 | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029 (a) | 850,000 | 793,033 | |||
Parker-Hannifin Corp. 4.25%, 9/15/2027 | 535,000 | 530,356 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 240,000 | 234,454 | |||
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | 90,000 | 45,900 | |||
Penn Entertainment, Inc.: | |||||
4.13%, 7/1/2029 (a) | 210,000 | 180,165 | |||
5.63%, 1/15/2027 (a) | 185,000 | 179,776 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (a) | 310,000 | 279,276 | |||
7.88%, 12/15/2029 (a) | 340,000 | 350,652 | |||
Penske Truck Leasing Co. LP/PTL Finance Corp. 4.20%, 4/1/2027 (a) | 1,105,000 | 1,068,568 | |||
PepsiCo, Inc. 3.60%, 2/18/2028 | 655,000 | 641,219 | |||
Performance Food Group, Inc. 4.25%, 8/1/2029 (a) | 380,000 | 348,673 | |||
Permian Resources Operating LLC 7.00%, 1/15/2032 (a) | 560,000 | 577,567 | |||
PetSmart, Inc./PetSmart Finance Corp.: | |||||
4.75%, 2/15/2028 (a) | 625,000 | 587,656 | |||
7.75%, 2/15/2029 (a) | 1,000,000 | 974,630 | |||
Philip Morris International, Inc. 5.50%, 9/7/2030 | 2,405,000 | 2,494,586 | |||
Pike Corp.: | |||||
5.50%, 9/1/2028 (a) | 560,000 | 533,445 | |||
8.63%, 1/31/2031 (a) | 285,000 | 299,786 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (a) | 90,000 | 83,120 | |||
5.50%, 12/15/2029 (a) | 140,000 | 135,208 |
Security Description | Principal Amount | Value | |||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. 5.63%, 9/1/2029 (a) | $ 260,000 | $ 205,933 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (a) | 220,000 | 217,877 | |||
Qorvo, Inc. 1.75%, 12/15/2024 | 770,000 | 738,368 | |||
Quanta Services, Inc. 2.35%, 1/15/2032 | 2,620,000 | 2,172,242 | |||
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 9/15/2026 (a) | 120,000 | 91,510 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | 95,000 | 48,637 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25%, 4/15/2030 (a) | 290,000 | 216,418 | |||
Realty Income Corp. 5.05%, 1/13/2026 | 1,055,000 | 1,054,472 | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026 (a) | 195,000 | 194,407 | |||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | 555,000 | 515,218 | |||
Royal Caribbean Cruises Ltd.: | |||||
5.50%, 8/31/2026 (a) | 420,000 | 416,413 | |||
7.25%, 1/15/2030 (a) | 70,000 | 73,093 | |||
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) | 160,000 | 128,872 | |||
Ryan Specialty LLC 4.38%, 2/1/2030 (a) | 575,000 | 537,343 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,375,000 | 1,380,844 | |||
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028 (b) | 2,340,000 | 2,145,920 | |||
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc. 6.63%, 3/1/2030 (a) | 555,000 | 518,725 | |||
Scotts Miracle-Gro Co. 4.50%, 10/15/2029 | 380,000 | 340,039 | |||
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 170,000 | 150,030 | |||
Sealed Air Corp./Sealed Air Corp. U.S. 7.25%, 2/15/2031 (a) | 360,000 | 381,989 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (a) | 605,000 | 609,556 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a) | 490,000 | 492,925 |
Security Description | Principal Amount | Value | |||
Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | $ 1,025,000 | $ 993,358 | |||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp. 7.88%, 11/1/2028 (a) | 280,000 | 289,596 | |||
SK Invictus Intermediate II SARL 5.00%, 10/30/2029 (a) | 195,000 | 168,406 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a) | 2,230,000 | 2,142,428 | |||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 515,000 | 468,614 | |||
Southern Co. Series A, 3.70%, 4/30/2030 | 2,295,000 | 2,164,093 | |||
Southwestern Energy Co.: | |||||
4.75%, 2/1/2032 | 430,000 | 399,010 | |||
5.38%, 2/1/2029 | 410,000 | 399,213 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 670,000 | 641,277 | |||
Spirit AeroSystems, Inc. 9.75%, 11/15/2030 (a) | 355,000 | 381,721 | |||
SRS Distribution, Inc.: | |||||
4.63%, 7/1/2028 (a) | 655,000 | 623,881 | |||
6.13%, 7/1/2029 (a) | 285,000 | 270,371 | |||
Standard Industries, Inc. 4.38%, 7/15/2030 (a) | 680,000 | 623,914 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a) | 195,000 | 181,916 | |||
10.75%, 4/15/2027 (a) | 145,000 | 105,838 | |||
Station Casinos LLC 4.63%, 12/1/2031 (a) | 295,000 | 267,332 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (a) | 630,000 | 576,236 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 510,000 | 459,612 | |||
Sunoco LP/Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 150,000 | 139,988 | |||
6.00%, 4/15/2027 | 170,000 | 170,568 | |||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 165,000 | 118,582 | |||
Sysco Corp. 3.25%, 7/15/2027 | 1,120,000 | 1,071,325 | |||
Tenet Healthcare Corp.: | |||||
6.13%, 10/1/2028 | 230,000 | 228,937 | |||
6.13%, 6/15/2030 | 745,000 | 753,299 | |||
6.25%, 2/1/2027 | 245,000 | 245,747 | |||
T-Mobile USA, Inc. 2.25%, 2/15/2026 | 3,355,000 | 3,180,574 | |||
TMS International Corp. 6.25%, 4/15/2029 (a) | 180,000 | 150,331 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 445,000 | 436,572 |
Security Description | Principal Amount | Value | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 | $ 520,000 | $ 510,463 | |||
6.88%, 12/15/2030 (a) | 565,000 | 581,747 | |||
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a) | 352,500 | 352,098 | |||
Transocean, Inc. 8.00%, 2/1/2027 (a) | 245,000 | 241,009 | |||
Trident TPI Holdings, Inc. 12.75%, 12/31/2028 (a) | 355,000 | 382,640 | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 330,000 | 289,572 | |||
Truist Financial Corp. Series MTN, SOFR + 1.44%, 4.87%, 1/26/2029 (b) | 985,000 | 972,471 | |||
U.S. Foods, Inc.: | |||||
4.75%, 2/15/2029 (a) | 515,000 | 489,909 | |||
7.25%, 1/15/2032 (a) | 1,090,000 | 1,138,734 | |||
United Airlines, Inc. 4.63%, 4/15/2029 (a) | 745,000 | 694,273 | |||
United Natural Foods, Inc. 6.75%, 10/15/2028 (a) | 325,000 | 263,114 | |||
UnitedHealth Group, Inc. 4.25%, 1/15/2029 | 4,305,000 | 4,295,787 | |||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 10.50%, 2/15/2028 (a) | 280,000 | 284,018 | |||
Univision Communications, Inc.: | |||||
4.50%, 5/1/2029 (a) | 325,000 | 289,816 | |||
7.38%, 6/30/2030 (a) | 125,000 | 124,969 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (a) | 160,000 | 150,490 | |||
Venture Global LNG, Inc.: | |||||
8.13%, 6/1/2028 (a) | 375,000 | 378,728 | |||
8.38%, 6/1/2031 (a) | 245,000 | 245,054 | |||
9.88%, 2/1/2032 (a) | 290,000 | 301,997 | |||
Veralto Corp. 5.35%, 9/18/2028 (a) | 1,050,000 | 1,076,250 | |||
Verizon Communications, Inc. 1.75%, 1/20/2031 | 2,664,000 | 2,192,472 | |||
Viatris, Inc. 1.65%, 6/22/2025 | 670,000 | 634,497 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 290,000 | 242,394 | |||
Viking Cruises Ltd.: | |||||
5.88%, 9/15/2027 (a) | 875,000 | 852,722 | |||
9.13%, 7/15/2031 (a) | 510,000 | 546,108 | |||
Virtusa Corp. 7.13%, 12/15/2028 (a) | 130,000 | 111,735 | |||
Vistra Operations Co. LLC 7.75%, 10/15/2031 (a) | 845,000 | 877,803 | |||
VT Topco, Inc. 8.50%, 8/15/2030 (a) | 535,000 | 556,737 |
Security Description | Principal Amount | Value | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a) | $ 480,000 | $ 465,874 | |||
Weatherford International Ltd.: | |||||
6.50%, 9/15/2028 (a) | 225,000 | 234,119 | |||
8.63%, 4/30/2030 (a) | 510,000 | 531,644 | |||
Wells Fargo & Co.: | |||||
Series MTN, 3 mo. USD Term SOFR + 1.57%, 3.58%, 5/22/2028 (b) | 2,235,000 | 2,129,553 | |||
Series MTN, SOFR + 1.98%, 4.81%, 7/25/2028 (b) | 855,000 | 849,271 | |||
Welltower OP LLC 2.05%, 1/15/2029 | 2,475,000 | 2,178,272 | |||
Wheel Pros, Inc. 6.50%, 5/15/2029 (a) | 100,000 | 30,241 | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | 886,000 | 854,069 | |||
Workday, Inc. 3.70%, 4/1/2029 | 2,235,000 | 2,146,472 | |||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 600,000 | 529,932 | |||
WRKCo, Inc. 3.75%, 3/15/2025 | 2,145,000 | 2,104,502 | |||
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (a) | 585,000 | 546,876 | |||
XHR LP: | |||||
4.88%, 6/1/2029 (a) | 1,125,000 | 1,036,091 | |||
6.38%, 8/15/2025 (a) | 265,000 | 264,467 | |||
XPO, Inc. 7.13%, 6/1/2031 (a) | 680,000 | 706,037 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 375,000 | 363,086 | |||
289,673,937 | |||||
VIETNAM — 0.0% (d) | |||||
Mong Duong Finance Holdings BV 5.13%, 5/7/2029 | 230,573 | 213,999 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $411,009,186) | 391,679,440 | ||||
ASSET-BACKED SECURITIES — 12.4% | |||||
ACE Securities Corp. Home Equity Loan Trust: | |||||
Series 2006-FM1, Class A2C, ABS, 1 mo. USD Term SOFR + 0.41%, 5.77%, 7/25/2036 (b) | 8,405,993 | 2,048,540 |
Security Description | Principal Amount | Value | |||
Series 2007-WM2, Class A2C, ABS, 1 mo. USD Term SOFR + 0.39%, 5.75%, 2/25/2037 (b) | $ 2,755,718 | $ 1,095,541 | |||
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 1 mo. USD Term SOFR + 1.51%, 6.87%, 12/18/2037 (a) (b) | 3,000,000 | 2,918,844 | |||
Affirm Asset Securitization Trust: | |||||
Series 2022-A, Class A, 4.30%, 5/17/2027 (a) | 3,000,000 | 2,952,621 | |||
Series 2023-A, Class A, 6.61%, 1/18/2028 (a) | 1,750,000 | 1,755,223 | |||
Series 2023-B, Class A, 6.82%, 9/15/2028 (a) | 5,250,000 | 5,330,551 | |||
AIMCO CLO 11 Ltd. Series 2020-11A, Class AR, 3 mo. USD Term SOFR + 1.39%, 6.79%, 10/17/2034 (a) (b) | 2,000,000 | 1,998,300 | |||
Aligned Data Centers Issuer LLC Series 2023-1A, Class A2, 6.00%, 8/17/2048 (a) | 5,000,000 | 4,949,636 | |||
Allegro CLO II-S Ltd. Series 2014-1RA, Class A1, 3 mo. USD Term SOFR + 1.34%, 6.75%, 10/21/2028 (a) (b) | 183,467 | 183,063 | |||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-FR1, Class M5, 3.85%, 5/25/2034 (e) | 4,804,032 | 3,269,809 | |||
AMSR Trust: | |||||
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038 (a) | 3,000,000 | 2,683,476 | |||
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038 (a) | 3,000,000 | 2,601,038 | |||
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038 (a) | 2,000,000 | 1,734,732 | |||
Series 2023-SFR1, Class B, 4.00%, 4/17/2040 (a) | 12,000,000 | 11,207,151 | |||
Series 2023-SFR2, Class A, 3.95%, 6/17/2040 (a) | 6,800,000 | 6,399,386 | |||
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, ABS, 3 mo. USD Term SOFR + 1.47%, 6.87%, 10/15/2034 (a) (b) | 2,000,000 | 1,990,400 |
Security Description | Principal Amount | Value | |||
AREIT Trust Series 2021-CRE5, Class B, 1 mo. USD Term SOFR + 1.93%, 7.29%, 11/17/2038 (a) (b) | $ 300,000 | $ 287,962 | |||
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 mo. USD Term SOFR + 0.29%, 5.65%, 7/25/2036 (b) | 17,469,015 | 4,363,401 | |||
Bain Capital Credit CLO Ltd.: | |||||
Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.22%, 6.63%, 4/23/2031 (a) (b) | 475,052 | 474,739 | |||
Series 2019-3A, Class DR, ABS, 3 mo. USD Term SOFR + 3.36%, 8.77%, 10/21/2034 (a) (b) | 1,000,000 | 959,654 | |||
Series 2020-5A, Class D, ABS, 3 mo. USD Term SOFR + 3.81%, 9.23%, 1/20/2032 (a) (b) | 2,500,000 | 2,480,462 | |||
Series 2021-6A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.82%, 10/21/2034 (a) (b) | 3,000,000 | 2,978,100 | |||
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.25%, 8.61%, 7/24/2036 (a) (b) | 2,000,000 | 1,998,994 | |||
Blackbird Capital II Aircraft Lease Ltd. Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046 (a) | 3,890,627 | 3,229,337 | |||
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 mo. USD Term SOFR + 0.47%, 4.29%, 10/25/2036 (b) | 16,229,606 | 10,529,260 | |||
BSPRT Issuer Ltd. Series 2021-FL6, Class A, ABS, 1 mo. USD Term SOFR + 1.21%, 6.58%, 3/15/2036 (a) (b) | 540,484 | 531,067 | |||
Canyon Capital CLO Ltd.: | |||||
Series 2017-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.26%, 8.66%, 7/15/2030 (a) (b) | 1,000,000 | 977,942 | |||
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.36%, 8.76%, 4/15/2034 (a) (b) | 2,000,000 | 1,941,370 | |||
Carlyle U.S. CLO Ltd.: | |||||
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 6.26%, 11.66%, 4/15/2034 (a) (b) | 1,000,000 | 944,073 |
Security Description | Principal Amount | Value | |||
Series 2022-2A, Class A2, 3 mo. USD Term SOFR + 2.00%, 7.42%, 4/20/2035 (a) (b) | $ 2,000,000 | $ 1,987,374 | |||
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.60%, 7.99%, 10/15/2036 (a) (b) | 3,000,000 | 2,999,862 | |||
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.00%, 8.39%, 10/15/2036 (a) (b) | 2,000,000 | 1,995,688 | |||
Catamaran CLO Ltd. Series 2018-1A, Class C, 3 mo. USD Term SOFR + 2.76%, 8.14%, 10/25/2031 (a) (b) | 1,000,000 | 989,038 | |||
Cathedral Lake VIII Ltd. Series 2021-8A, Class C, 3 mo. USD Term SOFR + 2.88%, 8.29%, 1/20/2035 (a) (b) | 2,550,000 | 2,518,380 | |||
CIFC Funding Ltd.: | |||||
Series 2013-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.81%, 9.21%, 7/16/2030 (a) (b) | 1,000,000 | 992,600 | |||
Series 2021-1A, Class E, ABS, 3 mo. USD Term SOFR + 6.26%, 11.64%, 4/25/2033 (a) (b) | 500,000 | 479,302 | |||
Series 2021-6A, Class B, 3 mo. USD Term SOFR + 1.91%, 7.31%, 10/15/2034 (a) (b) | 1,000,000 | 987,500 | |||
Series 2022-3A, Class B, 3 mo. USD Term SOFR + 2.00%, 7.41%, 4/21/2035 (a) (b) | 2,000,000 | 1,983,400 | |||
CyrusOne Data Centers Issuer I LLC Series 2023-1A, Class A2, 4.30%, 4/20/2048 (a) | 5,000,000 | 4,556,111 | |||
DataBank Issuer Series 2023-1A, Class A2, 5.12%, 2/25/2053 (a) | 4,000,000 | 3,772,205 | |||
Drive Auto Receivables Trust Series 2021-3, Class C, 1.47%, 1/15/2027 | 4,000,000 | 3,918,957 | |||
Dryden 37 Senior Loan Fund Series 2015-37A, Class BR, 3 mo. USD Term SOFR + 1.66%, 7.06%, 1/15/2031 (a) (b) | 1,626,877 | 1,603,775 | |||
Dryden 68 CLO Ltd. Series 2019-68A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%, 9.01%, 7/15/2035 (a) (b) | 1,500,000 | 1,449,150 |
Security Description | Principal Amount | Value | |||
Elmwood CLO VIII Ltd. Series 2021-1A, Class D1, ABS, 3 mo. USD Term SOFR + 3.26%, 8.68%, 1/20/2034 (a) (b) | $ 1,500,000 | $ 1,487,885 | |||
Exeter Automobile Receivables Trust: | |||||
Series 2021-1A, Class D, ABS, 1.08%, 11/16/2026 | 1,000,000 | 967,151 | |||
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028 (a) | 1,500,000 | 1,388,627 | |||
Fillmore Park CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.16%, 8.56%, 7/15/2030 (a) (b) | 1,000,000 | 983,200 | |||
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 mo. USD Term SOFR + 0.39%, 5.75%, 3/25/2037 (b) | 8,751,409 | 4,452,876 | |||
FirstKey Homes Trust: | |||||
Series 2020-SFR2, Class D, ABS, 1.97%, 10/19/2037 (a) | 2,000,000 | 1,849,894 | |||
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 2,000,000 | 1,862,035 | |||
FMC GMSR Issuer Trust: | |||||
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (a) (b) | 3,000,000 | 2,699,642 | |||
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b) | 2,650,000 | 2,292,699 | |||
FREED ABS Trust Series 2021-2, Class C, ABS, 1.94%, 6/19/2028 (a) | 1,556,700 | 1,540,861 | |||
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 mo. USD Term SOFR + 1.33%, 6.69%, 5/16/2038 (a) (b) | 1,932,942 | 1,903,924 | |||
GAIA Aviation Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044 (a) (e) | 1,053,650 | 955,843 | |||
Galaxy XXII CLO Ltd. Series 2016-22A, Class CRR, 3 mo. USD Term SOFR + 2.41%, 7.81%, 4/16/2034 (a) (b) | 500,000 | 492,350 | |||
Galaxy XXVIII CLO Ltd. Series 2018-28A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%, 8.66%, 7/15/2031 (a) (b) | 2,100,000 | 2,033,881 |
Security Description | Principal Amount | Value | |||
GLS Auto Receivables Issuer Trust Series 2021-2A, Class C, 1.08%, 6/15/2026 (a) | $ 2,432,027 | $ 2,398,009 | |||
GoldenTree Loan Management U.S. CLO Ltd. Series 2022-15A, Class DR, 3 mo. USD Term SOFR + 4.40%, 9.74%, 10/20/2036 (a) (b) | 1,000,000 | 998,138 | |||
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048 (a) | 3,166,985 | 2,358,049 | |||
Greystone CRE Notes Ltd. Series 2021-FL3, Class B, ABS, 1 mo. USD Term SOFR + 1.76%, 7.13%, 7/15/2039 (a) (b) | 2,925,000 | 2,781,532 | |||
GSAA Home Equity Trust: | |||||
Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,134,183 | 817,087 | |||
Series 2007-4, Class A3A, ABS, 1 mo. USD Term SOFR + 0.71%, 6.07%, 3/25/2037 (b) | 5,659,156 | 2,270,243 | |||
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048 (a) | 1,610,750 | 1,496,901 | |||
Invesco U.S. CLO Ltd.: | |||||
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.65%, 8.07%, 7/15/2036 (a) (b) | 1,000,000 | 1,004,003 | |||
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.15%, 8.57%, 7/15/2036 (a) (b) | 1,000,000 | 996,773 | |||
Jamestown CLO XII Ltd. Series 2019-1A, Class A2, ABS, 3 mo. USD Term SOFR + 2.41%, 7.83%, 4/20/2032 (a) (b) | 1,000,000 | 997,700 | |||
JOL Air Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a) | 1,972,415 | 1,794,607 | |||
Katayma CLO I Ltd. Series 2023-1A, Class D, 3 mo. USD Term SOFR - 5.25%, 10.62%, 10/20/2036 (a) (b) | 5,000,000 | 5,005,275 | |||
LCCM Trust Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%, 6.93%, 11/15/2038 (a) (b) | 2,864,000 | 2,822,008 | |||
LCM XVIII LP Series 18A, Class CR, 3 mo. USD Term SOFR + 2.11%, 7.53%, 4/20/2031 (a) (b) | 1,435,000 | 1,390,802 |
Security Description | Principal Amount | Value | |||
Lendbuzz Securitization Trust Series 2022-1A, Class A, 4.22%, 5/17/2027 (a) | $ 2,142,823 | $ 2,089,084 | |||
LendingPoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028 (a) | 2,044,370 | 2,017,250 | |||
Madison Park Funding XLVIII Ltd. Series 2021-48A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%, 8.66%, 4/19/2033 (a) (b) | 1,000,000 | 986,883 | |||
Madison Park Funding XVII Ltd. Series 2015-17A, Class DR, 3 mo. USD Term SOFR + 3.86%, 9.27%, 7/21/2030 (a) (b) | 1,000,000 | 992,500 | |||
Magnetite XXIX Ltd. Series 2021-29A, Class E, ABS, 3 mo. USD Term SOFR + 6.01%, 11.41%, 1/15/2034 (a) (b) | 500,000 | 492,444 | |||
Magnetite XXXI Ltd. Series 2021-31A, Class E, 3 mo. USD Term SOFR + 6.26%, 11.66%, 7/15/2034 (a) (b) | 500,000 | 492,921 | |||
Marble Point CLO XI Ltd. Series 2017-2A, Class B, 3 mo. USD Term SOFR + 1.76%, 7.16%, 12/18/2030 (a) (b) | 3,500,000 | 3,463,600 | |||
Merrill Lynch Mortgage Investors Trust: | |||||
Series 2006-HE4, Class A2B, 1 mo. USD Term SOFR + 0.31%, 5.67%, 7/25/2037 (b) | 3,775,259 | 720,231 | |||
Series 2006-HE4, Class A2C, 1 mo. USD Term SOFR + 0.41%, 5.77%, 7/25/2037 (b) | 5,225,170 | 1,000,632 | |||
Series 2006-WMC2, Class A1, 1 mo. USD Term SOFR + 0.59%, 4.51%, 3/25/2037 (b) | 32,350,094 | 8,250,969 | |||
MetroNet Infrastructure Issuer LLC Series 2023-1A, Class A2, 6.56%, 4/20/2053 (a) | 4,000,000 | 4,001,824 | |||
MF1 Ltd. Series 2021-FL7, Class A, ABS, 1 mo. USD Term SOFR + 1.19%, 6.55%, 10/16/2036 (a) (b) | 1,616,186 | 1,593,138 | |||
MKS CLO Ltd. Series 2017-1A, Class AR, 3 mo. USD Term SOFR + 1.26%, 6.68%, 7/20/2030 (a) (b) | 312,996 | 312,182 |
Security Description | Principal Amount | Value | |||
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.00%, 6/22/2043 (a) | $ 139,872 | $ 128,122 | |||
MP CLO III Ltd. Series 2013-1A, Class CR, 3 mo. USD Term SOFR + 2.26%, 7.68%, 10/20/2030 (a) (b) | 1,000,000 | 976,100 | |||
MVW LLC: | |||||
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041 (a) | 563,058 | 514,388 | |||
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041 (a) | 938,430 | 855,922 | |||
Neuberger Berman Loan Advisers CLO 40 Ltd. Series 2021-40A, Class D, ABS, 3 mo. USD Term SOFR + 3.01%, 8.41%, 4/16/2033 (a) (b) | 1,500,000 | 1,463,187 | |||
Neuberger Berman Loan Advisers CLO 47 Ltd. Series 2022-47A, Class D, ABS, 3 mo. USD Term SOFR + 3.10%, 8.49%, 4/14/2035 (a) (b) | 500,000 | 483,200 | |||
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 mo. USD Term SOFR + 3.71%, 9.11%, 10/13/2031 (a) (b) | 1,000,000 | 881,518 | |||
Octagon Investment Partners 27 Ltd. Series 2016-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.21%, 8.61%, 7/15/2030 (a) (b) | 500,000 | 471,000 | |||
Octagon Investment Partners 30 Ltd. Series 2017-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.56%, 8.98%, 3/17/2030 (a) (b) | 1,000,000 | 940,236 | |||
Octagon Investment Partners 31 Ltd. Series 2017-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.66%, 9.08%, 7/20/2030 (a) (b) | 1,000,000 | 989,780 | |||
Octagon Investment Partners 40 Ltd. Series 2019-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%, 9.03%, 1/20/2035 (a) (b) | 500,000 | 472,800 | |||
Octagon Investment Partners 49 Ltd. Series 2020-5A, Class D, ABS, 3 mo. USD Term SOFR + 3.66%, 9.06%, 1/15/2033 (a) (b) | 3,200,000 | 3,133,760 |
Security Description | Principal Amount | Value | |||
Octagon Investment Partners 51 Ltd.: | |||||
Series 2021-1A, Class A, ABS, 3 mo. USD Term SOFR + 1.41%, 6.83%, 7/20/2034 (a) (b) | $ 1,385,000 | $ 1,378,906 | |||
Series 2021-1A, Class C, 3 mo. USD Term SOFR + 2.21%, 7.63%, 7/20/2034 (a) (b) | 500,000 | 489,991 | |||
Octagon Investment Partners XXI Ltd. Series 2014-1A, Class A2R3, 3 mo. USD Term SOFR + 1.66%, 7.04%, 2/14/2031 (a) (b) | 500,000 | 492,768 | |||
Pagaya AI Debt Trust: | |||||
Series 2022-1, Class A, 2.03%, 10/15/2029 (a) | 2,826,354 | 2,783,223 | |||
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029 (a) | 4,499,405 | 4,338,087 | |||
Series 2022-2, Class A, 4.97%, 1/15/2030 (a) | 1,071,036 | 1,064,379 | |||
Series 2023-1, Class A, 7.56%, 7/15/2030 (a) | 1,173,524 | 1,178,346 | |||
Series 2023-3, Class A, 7.60%, 12/16/2030 (a) | 4,204,928 | 4,227,500 | |||
Park Avenue Institutional Advisers CLO Ltd. Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 2.36%, 7.78%, 10/20/2031 (a) (b) | 4,000,000 | 3,918,400 | |||
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 mo. USD SOFR + 3.11%, 8.47%, 3/25/2026 (a) (b) | 1,300,000 | 1,282,539 | |||
PPM CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.51%, 8.91%, 7/15/2031 (a) (b) | 500,000 | 480,147 | |||
PRET LLC: | |||||
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (e) | 3,617,174 | 3,536,004 | |||
Series 2022-RN1, Class A1, 3.72%, 7/25/2051 (a) (e) | 11,919,508 | 11,517,140 | |||
Progress Residential Trust: | |||||
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | 7,965,491 | 7,196,314 | |||
Series 2022-SFR5, Class A, 4.45%, 6/17/2039 (a) | 2,693,810 | 2,605,715 | |||
Series 2023-SFR2, Class A, 4.50%, 10/17/2028 (a) | 9,400,000 | 9,040,228 | |||
Prosper Marketplace Issuance Trust Series 2023-1A, Class A, 7.06%, 7/16/2029 (a) | 4,821,226 | 4,842,817 |
Security Description | Principal Amount | Value | |||
Race Point IX CLO Ltd. Series 2015-9A, Class BR, 3 mo. USD Term SOFR + 2.41%, 7.81%, 10/15/2030 (a) (b) | $ 2,250,000 | $ 2,216,700 | |||
Ready Capital Mortgage Financing LLC Series 2023-FL12, Class A, 1 mo. USD Term SOFR + 2.34%, 7.69%, 5/25/2038 (a) (b) | 1,735,510 | 1,735,500 | |||
Regatta VI Funding Ltd. Series 2016-1A, Class AR2, 3 mo. USD Term SOFR + 1.42%, 6.84%, 4/20/2034 (a) (b) | 850,000 | 847,280 | |||
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.83%, 1/20/2035 (a) (b) | 4,500,000 | 4,480,200 | |||
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036 (e) | 8,664,451 | 3,373,215 | |||
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | 998,076 | 851,468 | |||
Securitized Asset-Backed Receivables LLC Trust: | |||||
Series 2007-BR4, Class A2A, ABS, 1 mo. USD Term SOFR + 0.20%, 5.56%, 5/25/2037 (b) | 3,449,409 | 1,815,424 | |||
Series 2007-BR4, Class A2B, ABS, 1 mo. USD Term SOFR + 0.31%, 5.67%, 5/25/2037 (b) | 23,969,405 | 12,628,328 | |||
Series 2007-BR5, Class A2B, 1 mo. USD Term SOFR + 0.29%, 5.65%, 5/25/2037 (b) | 33,183,341 | 23,722,142 | |||
Shackleton CLO Ltd. Series 2013-3A, Class DR, 3 mo. USD Term SOFR + 3.28%, 8.68%, 7/15/2030 (a) (b) | 1,080,000 | 1,051,488 | |||
Shenton Aircraft Investment I Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042 (a) | 1,682,929 | 1,447,746 | |||
Sound Point CLO II Ltd. Series 2013-1A, Class A1R, 3 mo. USD Term SOFR + 1.33%, 6.71%, 1/26/2031 (a) (b) | 436,560 | 436,051 |
Security Description | Principal Amount | Value | |||
Sound Point CLO Ltd.: | |||||
Series 2023-36A, Class B, 3 mo. USD Term SOFR + 2.85%, 8.27%, 7/26/2036 (a) (b) | $ 1,000,000 | $ 1,008,000 | |||
Series 2023-36A, Class C, 3 mo. USD Term SOFR + 3.40%, 8.82%, 7/26/2036 (a) (b) | 500,000 | 501,850 | |||
Sound Point CLO XII Ltd. Series 2016-2A, Class DR, ABS, 3 mo. USD Term SOFR + 4.11%, 9.53%, 10/20/2028 (a) (b) | 1,000,000 | 995,915 | |||
Sound Point CLO XIV Ltd. Series 2016-3A, Class DR, ABS, 3 mo. USD Term SOFR + 3.91%, 9.32%, 1/23/2029 (a) (b) | 1,000,000 | 995,355 | |||
Sound Point CLO XX Ltd. Series 2018-2A, Class C, 3 mo. USD Term SOFR + 2.21%, 7.59%, 7/26/2031 (a) (b) | 500,000 | 485,850 | |||
Sound Point CLO XXIII Ltd. Series 2019-2A, Class ER, 3 mo. USD Term SOFR + 6.73%, 12.13%, 7/15/2034 (a) (b) | 1,000,000 | 797,852 | |||
Sound Point CLO XXVI Ltd. Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 3.61%, 9.03%, 7/20/2034 (a) (b) | 500,000 | 458,545 | |||
Sound Point CLO XXVIII Ltd. Series 2020-3A, Class D, ABS, 3 mo. USD Term SOFR + 3.91%, 9.29%, 1/25/2032 (a) (b) | 4,000,000 | 3,875,748 | |||
Sound Point CLO XXXIII Ltd. Series 2022-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.30%, 8.68%, 4/25/2035 (a) (b) | 700,000 | 643,020 | |||
Start II Ltd. Series 2019-1, Class A, 4.09%, 3/15/2044 (a) | 439,234 | 398,829 | |||
Steele Creek CLO Ltd. Series 2017-1A, Class A, 3 mo. USD Term SOFR + 1.51%, 6.91%, 10/15/2030 (a) (b) | 856,674 | 855,645 | |||
Stratus CLO Ltd. Series 2021-1A, Class C, 3 mo. USD Term SOFR + 2.01%, 7.43%, 12/29/2029 (a) (b) | 1,000,000 | 982,500 |
Security Description | Principal Amount | Value | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 mo. USD Term SOFR + 0.45%, 5.81%, 12/25/2036 (b) | $ 582,633 | $ 563,487 | |||
Sunnova Helios V Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048 (a) | 1,195,260 | 976,006 | |||
Sunrun Demeter Issuer LLC Series 2021-2A, Class A, 2.27%, 1/30/2057 (a) | 2,465,298 | 2,091,196 | |||
Tesla Auto Lease Trust Series 2021-B, Class B, 0.91%, 9/22/2025 (a) | 3,250,000 | 3,168,204 | |||
Theorem Funding Trust Series 2023-1A, Class A, 7.58%, 4/15/2029 (a) | 3,220,670 | 3,247,059 | |||
THL Credit Wind River CLO Ltd. Series 2017-3A, Class AR, ABS, 3 mo. USD Term SOFR + 1.41%, 6.81%, 4/15/2035 (a) (b) | 2,150,000 | 2,136,670 | |||
TIF Funding II LLC: | |||||
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046 (a) | 3,846,875 | 3,293,069 | |||
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046 (a) | 1,538,750 | 1,309,726 | |||
Tricon Residential Trust Series 2023-SFR1, Class A, 5.10%, 7/17/2040 (a) | 9,990,776 | 9,865,489 | |||
Trimaran Cavu Ltd. Series 2021-3A, Class D, ABS, 3 mo. USD Term SOFR + 4.04%, 9.44%, 1/18/2035 (a) (b) | 1,500,000 | 1,482,576 | |||
TRTX Issuer Ltd. Series 2021-FL4, Class A, ABS, 1 mo. USD Term SOFR + 1.31%, 6.68%, 3/15/2038 (a) (b) | 1,012,278 | 998,284 | |||
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027 (a) | 956,411 | 923,546 | |||
Upstart Securitization Trust: | |||||
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (a) | 503,396 | 499,306 | |||
Series 2021-3, Class B, 1.66%, 7/20/2031 (a) | 1,302,968 | 1,288,836 | |||
Series 2022-1, Class B, 4.48%, 3/20/2032 (a) | 6,500,000 | 6,339,918 | |||
Series 2023-2, Class A, 6.77%, 6/20/2033 (a) | 2,679,431 | 2,681,587 |
Security Description | Principal Amount | Value | |||
Valley Stream Park CLO Ltd. Series 2022-1A, Class DR, 3 mo. USD Term SOFR - 4.15%, 9.57%, 10/20/2034 (a) (b) | $ 500,000 | $ 498,614 | |||
Vantage Data Centers Issuer LLC Series 2019-1A, Class A2, 3.19%, 7/15/2044 (a) | 3,394,253 | 3,332,226 | |||
Venture 39 CLO Ltd. Series 2020-39A, Class D, ABS, 3 mo. USD Term SOFR + 4.51%, 9.91%, 4/15/2033 (a) (b) | 1,750,000 | 1,737,050 | |||
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051 (a) (e) | 1,068,663 | 1,038,965 | |||
Voya CLO Ltd.: | |||||
Series 2013-1A, Class BR, 3 mo. USD Term SOFR + 2.16%, 7.56%, 10/15/2030 (a) (b) | 1,000,000 | 970,700 | |||
Series 2014-2A, Class BRR, 3 mo. USD Term SOFR + 2.36%, 7.76%, 4/17/2030 (a) (b) | 1,250,000 | 1,246,375 | |||
Series 2017-3A, Class A2AR, 3 mo. USD Term SOFR + 1.81%, 7.23%, 4/20/2034 (a) (b) | 1,005,000 | 986,207 | |||
Series 2017-3A, Class CR, ABS, 3 mo. USD Term SOFR + 3.41%, 8.83%, 4/20/2034 (a) (b) | 1,000,000 | 971,925 | |||
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2007-HE2, Class 2A2, 1 mo. USD Term SOFR + 0.33%, 5.69%, 2/25/2037 (b) | 12,922,095 | 3,753,245 | |||
Wellfleet CLO Ltd.: | |||||
Series 2017-3A, Class A2, 3 mo. USD Term SOFR + 1.76%, 7.16%, 1/17/2031 (a) (b) | 1,700,000 | 1,661,611 | |||
Series 2020-2A, Class CR, 3 mo. USD Term SOFR + 2.56%, 7.96%, 7/15/2034 (a) (b) | 1,550,000 | 1,496,012 | |||
Wellfleet CLO X Ltd. Series 2019-XA, Class A2R, 3 mo. USD Term SOFR + 2.01%, 7.43%, 7/20/2032 (a) (b) | 3,500,000 | 3,429,737 |
Security Description | Principal Amount | Value | |||
Wind River CLO Ltd. Series 2016-2A, Class BR, 3 mo. USD Term SOFR + 2.06%, 7.44%, 11/1/2031 (a) (b) | $ 3,000,000 | $ 2,979,000 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $423,428,208) | 396,757,461 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.3% | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bonds: | |||||
4.13%, 5/15/2051 | 1,700,000 | 1,129,795 | |||
5.00%, 6/15/2045 | 900,000 | 696,111 | |||
1,825,906 | |||||
DOMINICAN REPUBLIC — 0.0% (d) | |||||
Dominican Republic International Bonds 8.63%, 4/20/2027 | 350,000 | 366,835 | |||
MEXICO — 0.1% | |||||
Mexico Government International Bonds: | |||||
2.66%, 5/24/2031 | 800,000 | 676,337 | |||
6.34%, 5/4/2053 | 2,000,000 | 2,039,789 | |||
2,716,126 | |||||
PANAMA — 0.1% | |||||
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025 | 500,000 | 469,480 | |||
Panama Government International Bonds: | |||||
2.25%, 9/29/2032 | 200,000 | 146,249 | |||
3.87%, 7/23/2060 | 1,000,000 | 598,265 | |||
4.30%, 4/29/2053 | 400,000 | 267,796 | |||
4.50%, 4/1/2056 | 400,000 | 268,762 | |||
1,750,552 | |||||
PERU — 0.0% (d) | |||||
Corp. Financiera de Desarrollo SA 3 mo. USD Term SOFR - 5.61%, 5.25%, 7/15/2029 (b) | 1,000,000 | 988,627 | |||
SOUTH AFRICA — 0.0% (d) | |||||
Republic of South Africa Government International Bonds 4.30%, 10/12/2028 | 650,000 | 607,824 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $9,899,725) | 8,255,870 |
Security Description | Shares | Value | |||
COMMON STOCKS — 0.0% (d) | |||||
UNITED STATES — 0.0% (d) | |||||
Bright Bidco BV (f) (g) | 710 | $ 462 | |||
Envision Healthcare Corp. (f) (g) | 2,187 | 18,589 | |||
Phoenix Services International LLC (f) (g) | $ 7,665 | 54,192 | |||
73,243 | |||||
TOTAL COMMON STOCKS (Cost $58,944) | 73,243 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 1.9% | |||
ADVERTISING SERVICES — 0.0% (d) | |||
CMG Media Corp., 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.95%, 12/17/2026 (b) | $ 149,985 | 139,486 | |
AEROSPACE & DEFENSE — 0.0% (d) | |||
Dynasty Acquisition Co., Inc.: | |||
2023 Term Loan B1, 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (b) | 285,678 | 286,774 | |
2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (b) | 122,434 | 122,903 | |
Spirit Aerosystems, Inc., 2022 Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.63%, 1/15/2027 (b) | 79,000 | 79,362 | |
TransDigm, Inc.: | |||
2023 Term Loan I, 3 mo. USD Term SOFR + 3.25%, 8.61%, 8/24/2028 (b) | 407,000 | 409,362 | |
2023 Term Loan J, 3 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (b) | 120,000 | 120,681 | |
1,019,082 | |||
AIR FREIGHT & LOGISTICS — 0.0% (d) | |||
Worldwide Express Operations LLC, 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.36%, 7/26/2028 (b) | 62,300 | 61,231 | |
AIRLINES — 0.1% | |||
Air Canada, 2021 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/11/2028 (b) | 192,075 | 192,900 |
Security Description | Principal Amount | Value | |||
American Airlines, Inc.: | |||||
2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.43%, 4/20/2028 (b) | $ 279,000 | $ 287,044 | |||
2023 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.87%, 6/4/2029 (b) | 313,106 | 314,170 | |||
Kestrel Bidco, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.46%, 12/11/2026 (b) | 207,755 | 207,723 | |||
Mileage Plus Holdings LLC, 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.77%, 6/21/2027 (b) | 353,500 | 366,125 | |||
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.17%, 10/20/2027 (b) | 172,000 | 176,389 | |||
United Airlines, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.22%, 4/21/2028 (b) | 402,330 | 404,341 | |||
1,948,692 | |||||
AUTO COMPONENTS — 0.0% (d) | |||||
Clarios Global LP, 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.11%, 5/6/2030 (b) | 408,975 | 410,406 | |||
DexKo Global, Inc., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.36%, 10/4/2028 (b) | 149,179 | 148,620 | |||
559,026 | |||||
BEVERAGES — 0.0% (d) | |||||
Triton Water Holdings, Inc., Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/31/2028 (b) | 397,861 | 394,877 | |||
BROADCAST SERV/PROGRAM — 0.0% (d) | |||||
EW Scripps Co., 2019 Term Loan B2, 1 mo. USD Term SOFR + 2.56%, 8.03%, 5/1/2026 (b) | 190,354 | 190,057 | |||
BUILDING MATERIALS — 0.0% (d) | |||||
Quikrete Holdings, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.22%, 3/19/2029 (b) | 144,266 | 144,867 |
Security Description | Principal Amount | Value | |||
Tamko Building Products LLC, 2023 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.87%, 9/20/2030 (b) | $ 139,650 | $ 140,494 | |||
285,361 | |||||
BUILDING PRODUCTS — 0.0% (d) | |||||
Chamberlain Group, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.71%, 11/3/2028 (b) | 198,985 | 198,772 | |||
Cornerstone Building Brands, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.71%, 4/12/2028 (b) | 129,005 | 129,260 | |||
328,032 | |||||
CAPITAL MARKETS — 0.0% (d) | |||||
Focus Financial Partners LLC, 2023 Term Loan B6, 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/30/2028 (b) | 49,875 | 50,067 | |||
CHEMICALS — 0.1% | |||||
Hexion Holdings Corp., 2022 USD Term Loan, 3 mo. USD Term SOFR + 4.50%, 10.02%, 3/15/2029 (b) | 134,332 | 129,414 | |||
Illuminate Buyer LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 6/30/2027 (b) | 696,131 | 698,264 | |||
Ineos U.S. Finance LLC, 2023 USD Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.86%, 2/18/2030 (b) | 313,413 | 314,196 | |||
Nouryon Finance BV, 2023 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.47%, 4/3/2028 (b) | 229,087 | 230,268 | |||
Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.36%, 11/9/2028 (b) | 251,736 | 251,579 | |||
PMHC II, Inc., 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.81%, 4/23/2029 (b) | 213,210 | 204,838 | |||
Polar U.S. Borrower LLC, 2018 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.24%, 10/15/2025 (b) | 154,390 | 105,989 | |||
PQ Corp., 2021 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.98%, 6/9/2028 (b) | 291,024 | 291,862 |
Security Description | Principal Amount | Value | |||
Vantage Specialty Chemicals, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.11%, 10/26/2026 (b) | $ 24,750 | $ 23,946 | |||
2,250,356 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 5/12/2028 (b) | 403,872 | 402,826 | |||
APX Group, Inc., 2021 Term Loan B, 3 U.S. (Fed) Prime Rate + 3.25%, 11.75%, 7/10/2028 (b) | 275,784 | 276,301 | |||
CoreLogic, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/2/2028 (b) | 347,714 | 339,311 | |||
EAB Global, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.86%, 8/16/2028 (b) | 249,429 | 249,429 | |||
GTCR W Merger Sub LLC, USD Term Loan B (h) | 340,000 | 341,913 | |||
Homeserve USA Holding Corp., Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.36%, 10/21/2030 (b) | 245,000 | 246,072 | |||
Mavis Tire Express Services Corp., 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/4/2028 (b) | 1,251,520 | 1,255,431 | |||
OMNIA Partners LLC, Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.63%, 7/25/2030 (b) | 132,548 | 133,543 | |||
PECF USS Intermediate Holding III Corp., Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.61%, 12/15/2028 (b) | 149,177 | 117,189 | |||
Spin Holdco, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.62%, 3/4/2028 (b) | 195,251 | 172,379 | |||
Verscend Holding Corp., 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 8/27/2025 (b) | 411,285 | 413,169 | |||
Viad Corp., Initial Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.47%, 7/30/2028 (b) | 173,087 | 172,871 |
Security Description | Principal Amount | Value | |||
VT Topco, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.61%, 8/9/2030 (b) | $ 100,000 | $ 100,625 | |||
Wand NewCo 3, Inc., 2020 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.22%, 2/5/2026 (b) | 308,768 | 310,061 | |||
4,531,120 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
ADMI Corp., 2023 Term Loan B5 (h) | 200,000 | 197,500 | |||
Asurion LLC: | |||||
2021 2nd Lien Term Loan B3, 1 mo. USD Term SOFR + 5.25%, 10.61%, 1/31/2028 (b) | 70,000 | 66,908 | |||
2021 Second Lien Term Loan B4, 1 mo. USD Term SOFR + 5.25%, 10.72%, 1/20/2029 (b) | 105,000 | 99,348 | |||
2021 Term Loan B9, 1 mo. USD Term SOFR + 3.25%, 8.61%, 7/31/2027 (b) | 378,056 | 375,841 | |||
2023 Term Loan B11, 1 mo. USD Term SOFR + 4.25%, 9.61%, 8/19/2028 (b) | 24,875 | 24,821 | |||
Garda World Security Corp.: | |||||
2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.72%, 10/30/2026 (b) | 214,126 | 214,779 | |||
2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.62%, 2/1/2029 (b) | 153,063 | 153,486 | |||
Packaging Coordinators Midco, Inc., 2020 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.11%, 11/30/2027 (b) | 375,259 | 375,963 | |||
Packers Holdings LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.71%, 3/9/2028 (b) | 113,817 | 72,331 | |||
1,580,977 | |||||
COMMUNICATIONS EQUIPMENT — 0.0% (d) | |||||
CommScope, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.72%, 4/6/2026 (b) | 154,402 | 138,479 | |||
Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 3/9/2027 (b) | 325,000 | 280,202 | |||
418,681 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION & ENGINEERING — 0.0% (d) | |||||
Brand Industrial Services, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 10.88%, 8/1/2030 (b) | $ 134,662 | $ 134,194 | |||
Brown Group Holding LLC, Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.21%, 6/7/2028 (b) | 45,208 | 45,311 | |||
DG Investment Intermediate Holdings 2, Inc.: | |||||
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.22%, 3/30/2029 (b) | 60,000 | 54,400 | |||
2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.22%, 3/31/2028 (b) | 253,612 | 251,937 | |||
KKR Apple Bidco LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.22%, 9/22/2028 (b) | 186,200 | 186,258 | |||
Tecta America Corp., 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.47%, 4/10/2028 (b) | 190,125 | 190,898 | |||
862,998 | |||||
CONSTRUCTION MATERIALS — 0.0% (d) | |||||
Traverse Midstream Partners LLC, 2017 Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.24%, 2/16/2028 (b) | 53,496 | 53,652 | |||
CONSUMER STAPLES DISTRIBUTION & RETAIL — 0.0% (d) | |||||
Monogram Food Solutions LLC, Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 8/28/2028 (b) | 254,800 | 254,800 | |||
CONTAINERS & PACKAGING — 0.1% | |||||
Charter NEX U.S., Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.22%, 12/1/2027 (b) | 346,613 | 348,618 | |||
Clydesdale Acquisition Holdings, Inc., Term Loan B, 1 mo. USD Term SOFR + 4.18%, 9.63%, 4/13/2029 (b) | 273,636 | 275,175 |
Security Description | Principal Amount | Value | |||
Graham Packaging Co., Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/4/2027 (b) | $ 299,142 | $ 299,918 | |||
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, 6 mo. USD Term SOFR + 4.73%, 10.48%, 2/12/2026 (b) | 94,514 | 89,464 | |||
Pregis TopCo Corp., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.11%, 7/31/2026 (b) | 374,563 | 375,882 | |||
Pretium Packaging LLC: | |||||
First Out Term Loan A, 3 mo. USD Term SOFR + 5.00%, 10.39%, 10/2/2028 (b) | 54,306 | 53,356 | |||
Second Out Term Loan A1, 3 mo. USD Term SOFR + 4.60%, 9.99%, 10/2/2028 (b) | 202,317 | 159,324 | |||
Pretium PKG Holdings, Inc., 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.21%, 10/1/2029 (b) | 45,000 | 17,903 | |||
Reynolds Group Holdings Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.2500%, 8.72%, 9/24/2028 (b) | 184,056 | 184,778 | |||
TricorBraun Holdings, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 3/3/2028 (b) | 192,241 | 191,410 | |||
Trident TPI Holdings, Inc., 2021 Term Loan B3, 3 mo. USD Term SOFR + 4.00%, 9.61%, 9/15/2028 (b) | 242,155 | 241,803 | |||
2,237,631 | |||||
COSMETICS & TOILETRIES — 0.0% (d) | |||||
Solis IV BV, USD Term Loan B1, 3 mo. USD Term SOFR + 3.50%, 8.88%, 2/26/2029 (b) | 270,652 | 270,111 | |||
Sunshine Luxembourg VII Sarl, 2021 Term Loan B3, 3 mo. USD Term SOFR + 3.50%, 8.95%, 10/1/2026 (b) | 666,048 | 670,391 | |||
940,502 |
Security Description | Principal Amount | Value | |||
DISTRIBUTION/WHOLESALE — 0.0% (d) | |||||
BCPE Empire Holdings, Inc., 2023 Extended Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.11%, 12/11/2028 (b) | $ 352,196 | $ 353,583 | |||
DISTRIBUTORS — 0.0% (d) | |||||
American Tire Distributors Holdings, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 6.25%, 11.91%, 10/20/2028 (b) | 236,922 | 199,429 | |||
DIVERSIFIED CONSUMER SERVICES — 0.0% (d) | |||||
Ascend Learning LLC: | |||||
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.75%, 11.21%, 12/10/2029 (b) | 64,708 | 56,123 | |||
2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.86%, 12/11/2028 (b) | 266,102 | 261,962 | |||
318,085 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
AllSpring Buyer LLC, Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.89%, 11/1/2028 (b) | 388,910 | 388,150 | |||
Astra Acquisition Corp.: | |||||
2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.86%, 10/25/2028 (b) | 139,181 | 90,758 | |||
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 8.88%, 14.48%, 10/25/2029 (b) | 159,962 | 77,581 | |||
Castlelake Aviation Ltd., Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.12%, 10/22/2026 (b) | 336,781 | 337,857 | |||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.10%, 4/9/2027 (b) | 336,934 | 334,407 | |||
Edelman Financial Center LLC: | |||||
2018 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.22%, 7/20/2026 (b) | 91,670 | 91,842 | |||
2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.86%, 4/7/2028 (b) | 186,154 | 186,649 |
Security Description | Principal Amount | Value | |||
Eisner Advisory Group LLC, Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.72%, 7/28/2028 (b) | $ 156,402 | $ 156,924 | |||
Focus Financial Partners LLC, 2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.86%, 6/30/2028 (b) | 447,704 | 448,517 | |||
Greystone Select Financial LLC, Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.66%, 6/16/2028 (b) | 86,954 | 86,519 | |||
HighTower Holdings LLC, 2021 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.64%, 4/21/2028 (b) | 301,253 | 300,626 | |||
Minotaur Acquisition, Inc., Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.21%, 3/27/2026 (b) | 317,321 | 317,802 | |||
Walker & Dunlop, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.71%, 12/16/2028 (b) | 112,700 | 112,559 | |||
2,930,191 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (d) | |||||
Altice France SA, 2023 USD Term Loan B14, 3 mo. USD Term SOFR + 5.50%, 10.89%, 8/15/2028 (b) | 169,150 | 152,446 | |||
Level 3 Financing, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.22%, 3/1/2027 (b) | 97,930 | 93,593 | |||
Telesat Canada, Term Loan B5, 3 mo. USD Term SOFR + 2.75%, 8.40%, 12/7/2026 (b) | 102,573 | 66,353 | |||
312,392 | |||||
ELECTRICAL EQUIPMENT — 0.0% (d) | |||||
Energizer Holdings, Inc., 2020 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.72%, 12/22/2027 (b) | 134,524 | 134,692 | |||
Gates Global LLC, 2022 Term Loan B4, 1 mo. USD Term SOFR + 3.00%, 8.36%, 11/16/2029 (b) | 59,250 | 59,509 | |||
194,201 |
Security Description | Principal Amount | Value | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (d) | |||||
Compass Power Generation LLC, 2022 Term Loan B2, 1 mo. USD Term SOFR + 4.25%, 9.72%, 4/14/2029 (b) | $ 197,266 | $ 198,450 | |||
Mirion Technologies, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.36%, 10/20/2028 (b) | 205,040 | 205,988 | |||
404,438 | |||||
ENTERTAINMENT — 0.1% | |||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 4/22/2026 (b) | 48,676 | 40,796 | |||
Bally's Corp., 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.93%, 10/2/2028 (b) | 268,629 | 255,327 | |||
Fertitta Entertainment LLC, 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.35%, 1/27/2029 (b) | 1,253,881 | 1,256,038 | |||
NASCAR Holdings LLC, Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.86%, 10/19/2026 (b) | 102,798 | 103,318 | |||
Ontario Gaming GTA LP, Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 8/1/2030 (b) | 341,385 | 343,274 | |||
SMG U.S. Midco 2, Inc., 2020 Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.14%, 1/23/2025 (b) | 341,648 | 342,545 | |||
2,341,298 | |||||
FOOD PRODUCTS — 0.0% (d) | |||||
CHG PPC Parent LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.36%, 12/8/2028 (b) | 308,410 | 309,181 | |||
FOOD-MISC/DIVERSIFIED — 0.0% (d) | |||||
H Food Holdings LLC, 2018 Term Loan B, 3 mo. USD Term SOFR + 3.69%, 9.27%, 5/23/2025 (b) | 78,948 | 63,531 |
Security Description | Principal Amount | Value | |||
GROUND TRANSPORTATION — 0.0% (d) | |||||
Kenan Advantage Group, Inc., 2021 Term Loan B1, 1 mo. USD Term SOFR + 3.86%, 9.22%, 3/24/2026 (b) | $ 369,691 | $ 369,013 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
ADMI Corp., 2021 Incremental Term Loan B3, 3 mo. USD Term SOFR + 3.75%, 9.22%, 12/23/2027 (b) | 144,262 | 137,500 | |||
Bausch & Lomb Corp.: | |||||
2023 Incremental Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.36%, 9/29/2028 (b) | 144,638 | 144,818 | |||
Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.71%, 5/10/2027 (b) | 345,022 | 342,220 | |||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.47%, 2/22/2028 (b) | 666,103 | 655,030 | |||
Gainwell Acquisition Corp., Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.36%, 10/1/2027 (b) | 416,661 | 406,245 | |||
1,685,813 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.1% | |||||
Air Methods Corp., 2017 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 4/22/2024 (b) (c) | 71,286 | 10,752 | |||
Aveanna Healthcare LLC: | |||||
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 7.00%, 12.54%, 12/10/2029 (b) | 82,260 | 61,147 | |||
2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.24%, 7/17/2028 (b) | 200,030 | 186,743 | |||
CHG Healthcare Services, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.61%, 9/29/2028 (b) | 1,242,349 | 1,245,735 | |||
Fortrea Holdings, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.11%, 7/1/2030 (b) | 44,775 | 44,794 | |||
LifePoint Health, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 11.17%, 11/16/2028 (b) | 395,000 | 394,556 |
Security Description | Principal Amount | Value | |||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.40%, 10/19/2027 (b) | $ 169,137 | $ 165,614 | |||
Medline Borrower LP, USD Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/23/2028 (b) | 501,226 | 504,318 | |||
Sotera Health Holdings LLC, 2021 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.39%, 12/11/2026 (b) | 375,000 | 375,311 | |||
Team Health Holdings, Inc., 2022 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.63%, 3/2/2027 (b) | 84,518 | 64,783 | |||
3,053,753 | |||||
HOME FURNISHINGS — 0.0% (d) | |||||
AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.09%, 7/31/2028 (b) | 411,160 | 411,987 | |||
HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
Alterra Mountain Co.: | |||||
2021 Series B-2 Consenting Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 8/17/2028 (b) | 266,313 | 267,035 | |||
2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 5/31/2030 (b) | 89,550 | 90,221 | |||
Caesars Entertainment Corp., Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.71%, 2/6/2030 (b) | 64,512 | 64,769 | |||
Peraton Corp., Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/1/2028 (b) | 312,320 | 313,491 | |||
Playa Resorts Holding BV, 2022 Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.61%, 1/5/2029 (b) | 317,409 | 318,144 | |||
Travelport Finance Sarl, 2020 Super Priority Term Loan, 1 mo. USD Term SOFR + 1.60%, 12.37%, 2/28/2025 (b) | 150,562 | 146,129 | |||
1,199,789 |
Security Description | Principal Amount | Value | |||
HOUSEHOLD DURABLES — 0.0% (d) | |||||
Springs Windows Fashions LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 10/6/2028 (b) | $ 275,976 | $ 247,948 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (d) | |||||
Calpine Corp., 2019 Term Loan B10, 1 mo. USD Term SOFR + 2.00%, 7.47%, 8/12/2026 (b) | 76,600 | 76,827 | |||
Vistra Operations Co. LLC, 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.36%, 12/20/2030 (b) | 70,000 | 70,091 | |||
146,918 | |||||
INSURANCE — 0.1% | |||||
Acrisure LLC: | |||||
2020 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.15%, 2/15/2027 (b) | 241,119 | 241,055 | |||
2021 First Lien Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 2/15/2027 (b) | 137,200 | 137,800 | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, 3 mo. USD Term SOFR + 3.50%, 8.86%, 11/6/2030 (b) | 299,250 | 300,953 | |||
AssuredPartners, Inc.: | |||||
2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.97%, 2/12/2027 (b) | 253,324 | 254,212 | |||
2022 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.86%, 2/12/2027 (b) | 103,163 | 103,524 | |||
2023 Term Loan B4, 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/12/2027 (b) | 19,943 | 20,046 | |||
Cross Financial Corp., 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 9/15/2027 (b) | 184,056 | 184,516 | |||
HUB International Ltd., 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.66%, 6/20/2030 (b) | 64,838 | 65,198 | |||
OneDigital Borrower LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.71%, 11/16/2027 (b) | 308,980 | 309,175 | |||
1,616,479 |
Security Description | Principal Amount | Value | |||
INTERNET & CATALOG RETAIL — 0.0% (d) | |||||
ION Trading Finance Ltd., 2021 USD Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.20%, 4/3/2028 (b) | $ 252,941 | $ 253,554 | |||
PUG LLC, USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 2/12/2027 (b) | 418,190 | 412,526 | |||
666,080 | |||||
INTERNET & TELECOM — 0.0% (d) | |||||
CNT Holdings I Corp., 2020 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.93%, 11/8/2027 (b) | 132,539 | 132,963 | |||
INVESTMENT COMPANIES — 0.0% (d) | |||||
GIP Pilot Acquisition Partners LP, Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.39%, 10/4/2030 (b) | 120,000 | 120,182 | |||
IT SERVICES — 0.0% (d) | |||||
Access CIG LLC, 2023 Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.39%, 8/18/2028 (b) | 339,150 | 340,140 | |||
LEISURE INDUSTRY — 0.0% (d) | |||||
Carnival Corp.: | |||||
2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.72%, 10/18/2028 (b) | 340,799 | 341,794 | |||
2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.36%, 8/8/2027 (b) | 74,625 | 74,905 | |||
416,699 | |||||
LEISURE TIME — 0.0% (d) | |||||
ClubCorp Holdings, Inc., 2023 Term Loan B2, 2 mo. USD Term SOFR + 5.000%, 10.21%, 9/18/2026 (b) | 115,917 | 112,258 | |||
LEISURE&REC/GAMES — 0.0% (d) | |||||
Scientific Games Holdings LP, 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.66%, 4/4/2029 (b) | 271,947 | 272,388 |
Security Description | Principal Amount | Value | |||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (d) | |||||
Parexel International Corp., 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 11/15/2028 (b) | $ 656,845 | $ 661,525 | |||
MACHINERY — 0.0% (d) | |||||
American Trailer World Corp., Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 3/3/2028 (b) | 74,018 | 72,733 | |||
Columbus McKinnon Corp., 2021 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.39%, 5/14/2028 (b) | 28,487 | 28,593 | |||
Madison IAQ LLC, Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 6/21/2028 (b) | 664,293 | 663,161 | |||
Titan Acquisition Ltd., 2018 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 3/28/2025 (b) | 394,731 | 394,692 | |||
1,159,179 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (d) | |||||
Brookfield WEC Holdings, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.11%, 8/1/2025 (b) | 377,085 | 378,515 | |||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/21/2026 (b) | 267,711 | 265,424 | |||
643,939 | |||||
MEDIA — 0.1% | |||||
Charter Communications Operating LLC, 2023 Term Loan B4, 1 mo. USD Term SOFR + 2.00%, 7.36%, 12/7/2030 (b) | 380,000 | 379,339 | |||
CSC Holdings LLC, 2019 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.98%, 4/15/2027 (b) | 254,339 | 241,411 | |||
Diamond Sports Group LLC, 2022 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.25%, 8/24/2026 (b) (c) | 171,496 | 8,146 | |||
DirecTV Financing LLC, Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.65%, 8/2/2027 (b) | 281,505 | 282,016 |
Security Description | Principal Amount | Value | |||
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 5/1/2026 (b) | $ 115,272 | $ 99,933 | |||
NEP/NCP Holdco, Inc., 2018 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.72%, 10/20/2025 (b) | 142,018 | 135,139 | |||
Radiate Holdco LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.72%, 9/25/2026 (b) | 145,594 | 117,272 | |||
Simon & Schuster Inc, Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.39%, 10/30/2030 (b) | 105,000 | 105,459 | |||
Sinclair Television Group, Inc., Term Loan B2B, 1 mo. USD Term SOFR + 2.50%, 7.97%, 9/30/2026 (b) | 109,682 | 101,360 | |||
Univision Communications, Inc., 2022 First Lien Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 6/24/2029 (b) | 178,305 | 179,018 | |||
Vertical U.S. Newco, Inc., Term Loan B, 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (b) | 302,197 | 303,255 | |||
Virgin Media Bristol LLC, 2023 USD Term Loan Y, 6 mo. USD Term SOFR + 3.25%, 8.79%, 3/31/2031 (b) | 385,000 | 384,278 | |||
Ziggo Financing Partnership, USD Term Loan I, 1 mo. USD Term SOFR + 2.50%, 7.98%, 4/30/2028 (b) | 190,000 | 189,797 | |||
2,526,423 | |||||
METALS & MINING — 0.0% (d) | |||||
Tiger Acquisition LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.71%, 6/1/2028 (b) | 115,322 | 114,973 | |||
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.0% (d) | |||||
Starwood Property Trust, Inc., 2021 Term Loan B3, 1 mo. USD Term SOFR + 3.25%, 8.71%, 7/26/2026 (b) | 94,517 | 94,517 | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (d) | |||||
Radiology Partners, Inc., 2018 1st Lien Term Loan B, 1 mo. USD Term SOFR + 4.25%, 10.18%, 7/9/2025 (b) | 158,896 | 128,955 |
Security Description | Principal Amount | Value | |||
OIL, GAS & CONSUMABLE FUELS — 0.0% (d) | |||||
Pacific Gas & Electric Co., 2020 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 7.86%, 6/23/2027 (b) | $ 75,000 | $ 75,211 | |||
Par Petroleum LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.74%, 2/28/2030 (b) | 49,625 | 49,712 | |||
Waterbridge Midstream Operating LLC, Term Loan B, 3 mo. USD Term SOFR + 5.75%, 11.39%, 6/22/2026 (b) | 184,731 | 185,240 | |||
310,163 | |||||
PERSONAL PRODUCTS — 0.0% (d) | |||||
Kronos Acquisition Holdings, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.11%, 12/22/2026 (b) | 254,262 | 254,509 | |||
PHARMACEUTICALS — 0.1% | |||||
Curium Bidco Sarl, 2023 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.85%, 7/31/2029 (b) | 238,800 | 238,950 | |||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.54%, 11/15/2027 (b) | 663,273 | 664,102 | |||
Jazz Financing Lux Sarl, USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.97%, 5/5/2028 (b) | 504,980 | 508,240 | |||
Organon & Co., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.47%, 6/2/2028 (b) | 375,358 | 376,767 | |||
Perrigo Investments LLC, Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.71%, 4/20/2029 (b) | 193,234 | 193,314 | |||
Southern Veterinary Partners LLC, Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.47%, 10/5/2027 (b) | 411,249 | 410,478 | |||
2,391,851 |
Security Description | Principal Amount | Value | |||
PIPELINES — 0.0% (d) | |||||
BCP Renaissance Parent LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.87%, 10/31/2028 (b) | $ 196,791 | $ 197,468 | |||
CQP Holdco LP, 2023 4th Amendment Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.36%, 12/31/2030 (b) | 255,000 | 255,899 | |||
Freeport LNG Investments LLLP, Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.18%, 12/21/2028 (b) | 209,454 | 209,661 | |||
GIP II Blue Holding LP, Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.97%, 9/29/2028 (b) | 87,534 | 88,051 | |||
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.71%, 10/5/2028 (b) | 238,818 | 239,741 | |||
990,820 | |||||
PROFESSIONAL SERVICES — 0.1% | |||||
Dun & Bradstreet Corp., 2022 Incremental Term Loan B2, 1 mo. USD Term SOFR + 3.00%, 8.36%, 1/18/2029 (b) | 68,775 | 69,012 | |||
Proofpoint, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 8/31/2028 (b) | 1,250,803 | 1,252,929 | |||
1,321,941 | |||||
PUBLISHING-BOOKS — 0.0% (d) | |||||
Getty Images, Inc., 2019 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.95%, 2/19/2026 (b) | 151,578 | 152,469 | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.0% (d) | |||||
Iron Mountain, Inc., 2023 Term Loan B (h) | 165,000 | 165,258 | |||
RETAIL — 0.0% (d) | |||||
EG Group Ltd., 2023 USD Tranche C Term Loan B, 3 mo. USD Term SOFR + 5.50%, 11.24%, 2/7/2028 (b) | 91,157 | 89,790 |
Security Description | Principal Amount | Value | |||
RETAIL-BUILDING PRODUCTS — 0.0% (d) | |||||
LBM Acquisition LLC, Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 12/17/2027 (b) | $ 248,740 | $ 246,370 | |||
Park River Holdings, Inc., Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.91%, 12/28/2027 (b) | 216 | 211 | |||
246,581 | |||||
RETAIL-RESTAURANTS — 0.0% (d) | |||||
IRB Holding Corp., 2022 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.36%, 12/15/2027 (b) | 665,565 | 667,466 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (d) | |||||
Bright Bidco BV, 2022 Exit Term Loan, 3 mo. USD Term SOFR + 8.00%, 8.00%, 10/31/2027 (b) | 25,270 | 8,992 | |||
Ultra Clean Holdings, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.22%, 8/27/2025 (b) | 125,974 | 126,341 | |||
135,333 | |||||
SOFTWARE — 0.3% | |||||
Applied Systems, Inc.: | |||||
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 6.75%, 12.10%, 9/17/2027 (b) | 210,000 | 211,706 | |||
2022 Extended 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.85%, 9/18/2026 (b) | 275,806 | 277,404 | |||
Athenahealth Group, Inc., 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.61%, 2/15/2029 (b) | 668,113 | 666,109 | |||
Banff Merger Sub., Inc., 2023 USD Term Loan, 3 mo. USD Term SOFR + 4.25%, 1/31/2024 (b) | 470,000 | 474,054 | |||
Camelot U.S. Acquisition LLC, Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/30/2026 (b) | 341,678 | 342,575 | |||
Castle U.S. Holding Corp., USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 1/29/2027 (b) | 310,855 | 219,763 |
Security Description | Principal Amount | Value | |||
Cengage Learning, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.41%, 7/14/2026 (b) | $ 301,857 | $ 303,196 | |||
Central Parent, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.35%, 7/6/2029 (b) | 338,612 | 340,921 | |||
Constant Contact, Inc., Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.69%, 2/10/2028 (b) | 203,517 | 199,447 | |||
Cornerstone OnDemand, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.22%, 10/16/2028 (b) | 131,115 | 127,182 | |||
DCert Buyer, Inc.: | |||||
2019 Term loan B, 1 mo. USD Term SOFR + 4.00%, 9.36%, 10/16/2026 (b) | 184,526 | 183,279 | |||
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 7.00%, 12.36%, 2/19/2029 (b) | 55,000 | 50,325 | |||
First Advantage Holdings LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.22%, 1/31/2027 (b) | 275,666 | 276,804 | |||
GoTo Group, Inc., Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.28%, 8/31/2027 (b) | 126,840 | 84,530 | |||
Grab Holdings, Inc., Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.97%, 1/29/2026 (b) | 133,007 | 133,755 | |||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, 1 mo. USD Term SOFR + 4.00%, 9.47%, 12/1/2027 (b) | 371,742 | 373,632 | |||
Helios Software Holdings, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.70%, 7/18/2030 (b) | 144,638 | 144,743 | |||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.50%, 2/16/2028 (b) | 272,500 | 272,799 | |||
Informatica LLC, 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.22%, 10/27/2028 (b) | 324,225 | 325,306 | |||
Ivanti Software, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.91%, 12/1/2027 (b) | 71,769 | 68,322 |
Security Description | Principal Amount | Value | |||
McAfee LLC, 2022 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/1/2029 (b) | $ 271,700 | $ 271,305 | |||
MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.47%, 12/18/2028 (b) | 211,237 | 168,884 | |||
Mitchell International, Inc.: | |||||
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 6.50%, 12.15%, 10/15/2029 (b) | 40,000 | 39,388 | |||
2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 10/15/2028 (b) | 240,815 | 241,058 | |||
PointClickCare Technologies, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.61%, 12/29/2027 (b) | 141,013 | 141,189 | |||
Polaris Newco LLC, USD Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.47%, 6/2/2028 (b) | 201,353 | 198,911 | |||
RealPage, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.36%, 4/24/2028 (b) | 665,959 | 662,256 | |||
Sophia LP, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.96%, 10/7/2027 (b) | 411,952 | 413,336 | |||
Ultimate Software Group, Inc.: | |||||
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.76%, 5/3/2027 (b) | 70,000 | 70,269 | |||
2023 Incremental Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.99%, 5/4/2026 (b) | 94,525 | 95,049 | |||
Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.23%, 5/4/2026 (b) | 267,902 | 268,871 | |||
7,646,368 | |||||
SPECIALTY RETAIL — 0.1% | |||||
Great Outdoors Group LLC, 2021 Term Loan B1, 1 mo. USD Term SOFR + 3.75%, 9.11%, 3/6/2028 (b) | 343,273 | 343,702 | |||
Jo-Ann Stores, Inc., 2021 Term Loan B1, 3 mo. USD Term SOFR + 4.75%, 10.39%, 7/7/2028 (b) | 234,600 | 16,254 | |||
K-Mac Holdings Corp., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.72%, 7/21/2028 (b) | 219,728 | 219,865 |
Security Description | Principal Amount | Value | |||
Michaels Cos., Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.86%, 4/15/2028 (b) | $ 228,146 | $ 190,274 | |||
PetSmart, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/11/2028 (b) | 342,869 | 339,612 | |||
Rent-A-Center, Inc., 2021 First Lien Term Loan B, 3 mo. USD Term SOFR + 3.25%, 9.12%, 2/17/2028 (b) | 157,224 | 157,519 | |||
Restoration Hardware, Inc., Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.97%, 10/20/2028 (b) | 125,160 | 122,093 | |||
SRS Distribution, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.97%, 6/2/2028 (b) | 1,263,530 | 1,267,219 | |||
Staples, Inc., 7 Year Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.46%, 4/16/2026 (b) | 136,468 | 129,724 | |||
Whatabrands LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/3/2028 (b) | 289,100 | 289,953 | |||
3,076,215 | |||||
STEEL-PRODUCERS — 0.0% (d) | |||||
Phoenix Services International LLC, 2023 Exit PIK Term Loan, 1 mo. USD Term SOFR + 6.10%, 11.46%, 6/30/2028 (b) | 84,277 | 78,589 | |||
TELECOM SERVICES — 0.0% (d) | |||||
Connect Finco Sarl, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.86%, 12/11/2026 (b) | 209,381 | 209,716 | |||
TELECOMMUNICATION EQUIP — 0.0% (d) | |||||
Cyxtera DC Holdings, Inc., Term Loan B, 3 mo. USD SOFR + 3.00%, 5/1/2024 (b) (c) | 294,531 | 187,400 | |||
GOGO Intermediate Holdings LLC, Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.22%, 4/30/2028 (b) | 143,190 | 143,693 | |||
331,093 |
Security Description | Principal Amount | Value | |||
TRANSPORT-SERVICES — 0.0% (d) | |||||
Echo Global Logistics, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.95%, 11/23/2028 (b) | $ 122,019 | $ 119,679 | |||
Element Materials Technology Group U.S. Holdings, Inc.: | |||||
2022 USD Delayed Draw Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.70%, 7/6/2029 (b) | 40,642 | 40,388 | |||
2022 USD Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.70%, 7/6/2029 (b) | 88,058 | 87,508 | |||
Endure Digital, Inc., Term Loan, 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (b) | 260,313 | 255,718 | |||
Everi Holdings, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.97%, 8/3/2028 (b) | 112,412 | 112,898 | |||
LaserShip, Inc.: | |||||
2021 2nd Lien Term Loan, 2 mo. USD Term SOFR + 7.50%, 13.40%, 5/7/2029 (b) | 40,000 | 33,600 | |||
2021 Term Loan, 3 mo. USD Term SOFR + 4.50%, 10.40%, 5/7/2028 (b) | 151,774 | 139,821 | |||
789,612 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost $61,392,064) | 60,512,652 |
Shares | |||
WARRANTS — 0.0% (d) | |||
SINGAPORE — 0.0% (d) | |||
Avation PLC (expiring 10/31/26) (g) (Cost $0) | 4,550 | 1,160 |
Principal Amount | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.8% | |||
Federal Home Loan Mortgage Corp.: | |||
30 day USD SOFR Average - 2.15%, 2.14%, 12/1/2051 (b) | $ 11,169,959 | 9,819,300 | |
30 day USD SOFR Average + 2.14%, 2.22%, 7/1/2051 (b) | 11,883,306 | 10,536,013 |
Security Description | Principal Amount | Value | |||
2.50%, 9/1/2050 | $ 12,524,585 | $ 10,661,618 | |||
3.00%, 6/1/2042 | 10,196,285 | 9,286,974 | |||
3.00%, 11/1/2042 | 5,702,868 | 5,196,724 | |||
3.00%, 12/1/2042 | 4,797,027 | 4,330,309 | |||
3.00%, 1/1/2045 | 654,220 | 594,948 | |||
3.00%, 2/1/2045 | 456,650 | 413,486 | |||
3.00%, 3/1/2045 | 452,134 | 409,396 | |||
3.00%, 4/1/2045 | 12,905,808 | 11,723,042 | |||
3.00%, 8/1/2045 | 5,124,229 | 4,639,860 | |||
3.00%, 7/1/2047 | 1,814,303 | 1,637,784 | |||
3.00%, 10/1/2051 | 14,992,431 | 13,410,455 | |||
3.00%, 3/1/2052 | 5,729,532 | 5,064,472 | |||
3.50%, 2/1/2045 | 723,664 | 677,679 | |||
3.50%, 4/1/2045 | 11,180,431 | 10,426,590 | |||
3.50%, 6/1/2045 | 5,661,194 | 5,268,781 | |||
3.50%, 10/1/2045 | 5,847,671 | 5,442,332 | |||
3.50%, 2/1/2046 | 2,962,132 | 2,770,732 | |||
4.00%, 4/1/2047 | 7,704,374 | 7,428,887 | |||
4.00%, 7/1/2047 | 1,944,619 | 1,874,985 | |||
4.00%, 7/1/2052 | 31,118,903 | 29,454,779 | |||
4.19%, 7/1/2033 | 16,202,000 | 15,401,800 | |||
4.30%, 1/1/2033 | 10,000,000 | 9,609,748 | |||
4.50%, 6/1/2044 | 793,648 | 788,484 | |||
4.50%, 7/1/2052 | 13,793,384 | 13,373,492 | |||
4.80%, 1/1/2030 | 17,395,000 | 17,438,861 | |||
Federal Home Loan Mortgage Corp. REMICS: | |||||
Series 3852, Class NS, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.55%, 5/15/2041 (b) | 3,009,053 | 282,657 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 1,945,790 | 1,854,648 | |||
Series 3935, Class SJ, CMO, IO, REMIC, 30 day USD SOFR Average - 6.54%, 1.20%, 5/15/2041 (b) | 370,100 | 6,714 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 4,277,599 | 4,010,164 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 4,480,960 | 3,682,133 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 26,558,594 | 25,481,965 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 14,333,000 | 12,551,237 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 522,532 | 509,544 |
Security Description | Principal Amount | Value | |||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | $ 3,179,560 | $ 2,972,832 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 13,283,054 | 12,701,451 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 3,028,350 | 2,845,341 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 2,250,633 | 2,122,405 | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | 7,385,061 | 6,870,179 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 2,781,442 | 2,637,059 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 2,581,001 | 2,428,436 | |||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | 4,648,540 | 4,362,268 | |||
Series 4702, Class ZL, CMO, 3.00%, 7/15/2047 | 15,028,618 | 13,337,064 | |||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 2,750,289 | 2,473,033 | |||
Series 4998, Class KF, 30 day USD SOFR Average + 0.35%, 5.69%, 8/25/2050 (b) | 6,965,120 | 6,654,214 | |||
Series 5130, Class SD, CMO, IO, 30 day USD SOFR Average - 2.60%, 0.00%, 8/25/2051 (b) | 75,778,657 | 978,401 | |||
Series 5243, Class IB, 3.00%, 1/25/2051 | 16,769,441 | 2,835,136 | |||
Federal Home Loan Mortgage Corp. STACR REMICS Trust: | |||||
Series 2021-HQA4, Class M2, CMO, 30 day USD SOFR Average + 2.35%, 7.69%, 12/25/2041 (a) (b) | 5,000,000 | 4,910,421 | |||
Series 2022-DNA2, Class M2, 30 day USD SOFR Average + 3.75%, 9.09%, 2/25/2042 (a) (b) | 9,500,000 | 9,817,733 | |||
Series 2022-DNA3, Class M1B, 30 day USD SOFR Average + 2.90%, 8.24%, 4/25/2042 (a) (b) | 20,000,000 | 20,409,422 |
Security Description | Principal Amount | Value | |||
Federal Home Loan Mortgage Corp. STRIPS Series 326, Class 300, CMO, 3.00%, 3/15/2044 | $ 9,091,717 | $ 8,174,798 | |||
Federal National Mortgage Association: | |||||
1.41%, 12/1/2030 | 10,000,000 | 8,014,951 | |||
1.91%, 12/1/2031 | 10,000,000 | 8,258,263 | |||
1.98%, 10/1/2033 | 19,450,478 | 15,912,891 | |||
2.22%, 12/1/2029 | 5,400,000 | 4,784,818 | |||
2.50%, 10/1/2040 | 17,712,330 | 15,887,759 | |||
2.50%, 9/1/2046 | 1,645,674 | 1,407,884 | |||
2.50%, 2/1/2047 | 4,440,178 | 3,879,772 | |||
2.50%, 6/1/2050 | 14,536,579 | 12,591,299 | |||
2.50%, 11/1/2050 | 7,137,832 | 6,173,808 | |||
2.50%, 3/1/2051 | 26,145,610 | 22,629,683 | |||
2.80%, 11/1/2039 | 10,034,000 | 7,707,819 | |||
3.00%, 10/1/2041 | 8,486,351 | 7,660,686 | |||
3.00%, 3/1/2043 | 2,073,253 | 1,884,332 | |||
3.00%, 7/1/2043 | 2,021,371 | 1,816,551 | |||
3.00%, 1/1/2045 | 67,598 | 60,410 | |||
3.00%, 3/1/2045 | 603,789 | 546,090 | |||
3.00%, 4/1/2045 | 1,225,712 | 1,089,078 | |||
3.00%, 7/1/2045 | 11,087,517 | 10,077,194 | |||
3.00%, 10/1/2046 | 2,171,494 | 1,960,222 | |||
3.00%, 2/1/2047 | 7,912,598 | 7,142,756 | |||
3.00%, 11/1/2048 | 4,828,037 | 4,358,301 | |||
3.00%, 10/1/2049 | 3,373,359 | 2,950,508 | |||
3.00%, 11/1/2051 | 24,031,246 | 21,352,466 | |||
3.00%, 4/1/2053 | 10,073,909 | 8,703,113 | |||
3.50%, 9/1/2034 | 751,381 | 722,310 | |||
3.50%, 12/1/2034 | 639,556 | 614,643 | |||
3.50%, 2/1/2035 | 438,933 | 421,711 | |||
3.50%, 1/1/2045 | 4,967,753 | 4,617,916 | |||
3.50%, 2/1/2045 | 1,380,036 | 1,291,228 | |||
3.50%, 6/1/2045 | 5,636,679 | 5,240,401 | |||
3.50%, 11/1/2051 | 11,821,570 | 10,929,063 | |||
3.72%, 6/1/2032 | 11,655,645 | 10,798,441 | |||
3.88%, 10/1/2030 | 11,363,098 | 11,006,106 | |||
4.00%, 6/1/2052 | 11,391,757 | 10,782,207 | |||
4.00%, 12/1/2052 | 23,009,071 | 21,850,826 | |||
4.10%, 8/1/2032 | 10,000,000 | 9,520,191 | |||
4.33%, 12/1/2032 | 10,400,000 | 10,060,993 | |||
4.50%, 3/1/2044 | 646,209 | 641,257 | |||
4.50%, 6/1/2044 | 213,649 | 212,014 | |||
4.50%, 7/1/2044 | 268,241 | 266,187 | |||
4.50%, 2/1/2045 | 431,802 | 428,492 | |||
30 day USD SOFR Average + 2.28%, 4.54%, 3/1/2053 (b) | 19,082,466 | 18,537,069 | |||
5.00%, 9/1/2052 | 8,254,826 | 8,166,381 | |||
5.00%, 12/1/2052 | 11,221,756 | 11,101,522 | |||
5.13%, 11/1/2032 | 13,371,000 | 13,550,265 | |||
3.00%, 6/1/2051 | 14,658,886 | 13,041,365 |
Security Description | Principal Amount | Value | |||
Federal National Mortgage Association Connecticut Avenue Securities: | |||||
Series 2022-R02, Class 2M2, CMO, 30 day USD SOFR Average + 3.00%, 8.34%, 1/25/2042 (a) (b) | $ 12,000,000 | $ 12,104,273 | |||
Series 2023-R02, Class 1M2, 30 day USD SOFR Average + 3.35%, 8.69%, 1/25/2043 (a) (b) | 13,500,000 | 14,044,114 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040 | 953,466 | 893,417 | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.55%, 6/25/2041 (b) | 1,821,068 | 152,476 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 1,373,359 | 1,261,110 | |||
Series 2012-148, Class VZ, 3.00%, 1/25/2043 | 32,713,270 | 29,656,532 | |||
Series 2012-151, Class SB, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 1/25/2043 (b) | 20,907 | 12,074 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 19,354,384 | 17,619,840 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 521,390 | 506,747 | |||
Series 2013-30, Class PS, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 4/25/2043 (b) | 611,451 | 406,748 | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | 3,504,643 | 3,132,249 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 4,136,081 | 3,716,044 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 1,946,579 | 1,825,882 | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 3,144,931 | 2,966,258 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 3,476,730 | 3,129,687 |
Security Description | Principal Amount | Value | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | $ 1,400,009 | $ 1,357,992 | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | 3,172,144 | 3,069,836 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 375,764 | 371,774 | |||
Series 2020-1, Class LA, 4.00%, 2/25/2060 | 12,839,665 | 11,073,181 | |||
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046 | 8,279,092 | 7,250,728 | |||
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041 | 8,612,381 | 7,515,265 | |||
Series 2021-35, Class EH, CMO, 2.00%, 2/25/2037 | 14,676,137 | 13,117,783 | |||
Federal National Mortgage Association-Aces: | |||||
Series 2018-M10, Class A1, 3.36%, 7/25/2028 (b) | 229,464 | 228,237 | |||
Series 2020-M12, 1.28%, 7/25/2029 (b) | 98,438,975 | 5,330,847 | |||
Government National Mortgage Association: | |||||
2.50%, 3/20/2051 | 8,558,333 | 7,429,047 | |||
3.00%, 2/20/2052 | 22,437,331 | 20,141,788 | |||
Series 2021-143, IO, VRN, 0.97%, 10/16/2063 (b) | 82,867,357 | 5,312,170 | |||
Series 2021-40, IO, VRN, 0.82%, 2/16/2063 (b) | 71,821,373 | 4,174,768 | |||
Series 2021-57, Class AI, 2.00%, 2/20/2051 | 8,521,403 | 929,149 | |||
Series 2021-60, IO, VRN, 0.83%, 5/16/2063 (b) | 55,814,243 | 3,272,923 | |||
Series 2021-79, IO, 0.88%, 8/16/2063 (b) | 80,356,502 | 5,004,572 | |||
Series 2021-80, IO, VRN, 0.90%, 12/16/2062 (b) | 87,650,066 | 5,532,629 | |||
Series 2021-85, IO, VRN, 0.68%, 3/16/2063 (b) | 99,564,884 | 5,413,764 | |||
Series 2021-99, IO, VRN, 0.59%, 5/16/2061 (b) | 41,295,220 | 2,030,920 | |||
Series 2022-91, 0.43%, 7/16/2064 (b) | 81,240,418 | 3,939,178 | |||
Government National Mortgage Association REMICS: | |||||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 943,744 | 914,278 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 1 mo. USD Term SOFR - 6.07%, 0.71%, 7/20/2042 (b) | 1,162,938 | 23,629 |
Security Description | Principal Amount | Value | |||
Series 2020-116, Class HS, CMO, IO, 1 mo. USD Term SOFR - 6.09%, 0.73%, 8/20/2050 (b) | $ 6,771,661 | $ 867,081 | |||
Series 2020-173, Class SY, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.83%, 11/20/2050 (b) | 24,906,612 | 3,459,506 | |||
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050 | 30,872,151 | 3,470,039 | |||
Series 2020-176, Class SL, CMO, IO, 1 mo. USD Term SOFR - 4.89%, 0.00%, 11/20/2050 (b) | 8,470,490 | 683,898 | |||
Series 2020-185, Class SE, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.83%, 12/20/2050 (b) | 30,359,958 | 4,125,567 | |||
Series 2021-1, Class IH, 2.50%, 1/20/2051 | 37,595,671 | 5,080,902 | |||
Series 2021-118, Class EI, 2.50%, 7/20/2051 | 15,086,193 | 1,554,606 | |||
Series 2021-125, Class SN, CMO, IO, 1 mo. USD Term SOFR - 4.09%, 0.00%, 1/20/2051 (b) | 7,777,395 | 298,939 | |||
Series 2021-137, Class IQ, 3.00%, 8/20/2051 | 20,852,202 | 3,205,396 | |||
Series 2021-196, Class IM, 3.00%, 11/20/2051 | 27,647,082 | 4,310,672 | |||
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051 | 41,820,866 | 5,768,745 | |||
Series 2021-30, Class KI, 3.00%, 2/20/2051 | 8,386,508 | 1,236,051 | |||
Series 2021-44, Class IQ, 3.00%, 3/20/2051 | 15,493,300 | 2,353,072 | |||
Series 2021-8, Class KX, 3.00%, 1/20/2051 | 10,842,348 | 1,679,016 | |||
Series 2022-180, 2.50%, 6/20/2051 | 42,498,676 | 5,928,925 | |||
Series 2022-61, Class EI, 3.00%, 7/20/2051 | 3,633,950 | 562,571 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,035,978,136) | 952,688,923 | ||||
U.S. TREASURY OBLIGATIONS — 20.7% | |||||
U.S. Treasury Bonds: | |||||
4.13%, 8/15/2053 | 183,500,000 | 185,994,453 | |||
4.75%, 11/15/2043 (i) | 203,000,000 | 218,129,814 | |||
4.75%, 11/15/2053 | 132,000,000 | 148,458,750 | |||
U.S. Treasury Notes: | |||||
3.50%, 2/15/2033 | 6,900,000 | 6,694,078 | |||
3.63%, 5/31/2028 | 6,700,000 | 6,630,383 | |||
3.75%, 6/30/2030 | 9,500,000 | 9,418,359 | |||
3.88%, 4/30/2025 | 10,100,000 | 10,009,258 |
Security Description | Principal Amount | Value | |||
3.88%, 8/15/2033 | $ 2,800,000 | $ 2,798,250 | |||
4.00%, 6/30/2028 | 12,100,000 | 12,158,609 | |||
4.38%, 12/15/2026 | 16,700,000 | 16,868,305 | |||
4.38%, 11/30/2028 | 13,200,000 | 13,509,375 | |||
4.38%, 11/30/2030 | 8,700,000 | 8,951,484 | |||
4.50%, 7/15/2026 | 11,500,000 | 11,608,711 | |||
4.88%, 11/30/2025 | 11,100,000 | 11,216,637 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $613,226,410) | 662,446,466 | ||||
MORTGAGE-BACKED SECURITIES — 18.5% | |||||
American Home Mortgage Investment Trust Series 2007-1, Class GA1C, 1 mo. USD Term SOFR + 0.30%, 5.66%, 5/25/2047 (b) | 5,105,026 | 2,821,354 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 6.33%, 10/25/2036 (e) | 1,632,350 | 1,348,383 | |||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 3,078,094 | 2,377,937 | |||
BBCMS Mortgage Trust: | |||||
Series 2022-C18, Class XD, 2.15%, 12/15/2055 (a) (b) | 12,094,000 | 1,792,967 | |||
Series 2023-C19, Class A5, 5.45%, 4/15/2056 | 1,700,000 | 1,756,853 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.81%, 1/26/2037 (a) (b) | 5,410,836 | 4,235,939 | |||
BRAVO Residential Funding Trust: | |||||
Series 2022-NQM3, Class A1, 5.11%, 7/25/2062 (a) (b) | 3,384,860 | 3,385,102 | |||
Series 2023-NQM4, Class A1, 6.44%, 5/25/2063 (a) (e) | 11,423,029 | 11,462,634 | |||
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 mo. USD Term SOFR + 0.57%, 5.93%, 7/25/2037 (b) | 7,748,319 | 1,917,033 | |||
CHL Mortgage Pass-Through Trust: | |||||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 660,143 | 488,040 | |||
Series 2007-10, Class A4, 5.50%, 7/25/2037 | 3,455,850 | 1,559,269 | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | 2,092,236 | 1,222,084 |
Security Description | Principal Amount | Value | |||
Series 2007-3, Class A1, 6.00%, 4/25/2037 | $ 2,897,654 | $ 1,470,854 | |||
Series 2007-HYB1, Class 2A1, CMO, 3.85%, 3/25/2037 (b) | 931,236 | 785,385 | |||
CIM Trust: | |||||
Series 2023-R2, Class A1, 5.50%, 8/25/2064 (a) (b) | 14,965,288 | 14,793,801 | |||
Series 2023-R4, Class A1, 5.00%, 5/25/2062 (a) (b) | 9,323,270 | 9,107,185 | |||
Citigroup Mortgage Loan Trust, Inc.: | |||||
Series 2007-10, Class 2A2A, CMO, 4.52%, 9/25/2037 (b) | 1,903,364 | 1,502,441 | |||
Series 2007-AR4, Class 1A1A, CMO, 4.20%, 3/25/2037 (b) | 1,162,674 | 938,266 | |||
Series 2007-AR5, Class 1A2A, CMO, 4.52%, 4/25/2037 (b) | 506,717 | 433,499 | |||
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (a) (b) | 732,195 | 690,338 | |||
CitiMortgage Alternative Loan Trust: | |||||
Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 3,424,375 | 2,840,907 | |||
Series 2007-A3, Class 1A4, 5.75%, 3/25/2037 | 2,696,937 | 2,075,358 | |||
COLT Mortgage Loan Trust: | |||||
Series 2022-2, Class A1, 2.99%, 2/25/2067 (a) (e) | 15,631,928 | 14,150,474 | |||
Series 2022-3, Class M1, 4.24%, 2/25/2067 (a) (b) | 10,023,000 | 8,376,770 | |||
Series 2023-1, Class A1, 6.05%, 4/25/2068 (a) (e) | 8,634,707 | 8,613,864 | |||
Countrywide Alternative Loan Trust: | |||||
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035 | 1,549,204 | 1,148,549 | |||
Series 2005-54CB, Class 1A1, 1 mo. USD Term SOFR + 0.76%, 5.50%, 11/25/2035 (b) | 4,970,179 | 3,502,530 | |||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 2,992,193 | 1,714,308 | |||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036 | 2,472,722 | 1,362,781 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 2,245,700 | 1,144,128 | |||
Series 2006-OA2, Class A1, CMO, 1 mo. USD Term SOFR + 0.53%, 5.89%, 5/20/2046 (b) | 1,636,792 | 1,337,058 |
Security Description | Principal Amount | Value | |||
Series 2007-16CB, Class 2A1, 1 mo. USD Term SOFR + 0.56%, 5.92%, 8/25/2037 (b) | $ 6,489,447 | $ 2,324,596 | |||
CSMC Mortgage-Backed Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 1,175,206 | 1,019,418 | |||
CSMC Trust: | |||||
Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (a) (b) | 5,494,796 | 5,299,235 | |||
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (e) | 7,692,981 | 7,583,039 | |||
CSMC Trust Capital Certificates Series 2021-RPL9, Class A1, 2.44%, 2/25/2061 (a) (b) | 4,839,720 | 4,643,463 | |||
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (b) | 4,462,519 | 4,237,951 | |||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 mo. USD Term SOFR + 0.75%, 6.11%, 6/25/2037 (b) | 3,234,685 | 2,705,806 | |||
Ellington Financial Mortgage Trust Series 2022-3, Class A1, 5.00%, 8/25/2067 (a) (e) | 5,473,233 | 5,378,323 | |||
Federal Home Loan Mortgage Corp. REMICS: | |||||
3.50%, 6/15/2048 | 10,098,139 | 9,167,497 | |||
Series 4341, Class AZ, 3.00%, 5/15/2044 | 10,483,894 | 9,348,020 | |||
Series 4432, Class JZ, 3.00%, 1/15/2045 | 4,049,398 | 3,541,767 | |||
Series 4640, Class DZ, 3.00%, 12/15/2046 | 18,500,322 | 16,610,471 | |||
Series 5164, Class J, 2.50%, 5/25/2049 | 20,792,039 | 18,110,256 | |||
Series 5202, Class KA, 2.50%, 6/25/2049 | 9,487,020 | 8,368,362 | |||
Series 5202, Class NV, 3.00%, 1/25/2037 | 7,589,534 | 6,917,947 | |||
Series 5226, Class DL, 3.50%, 12/15/2045 | 10,784,002 | 9,423,700 | |||
Series 5319, 0.00%, 8/25/2050 | 11,244,673 | 7,606,836 | |||
Federal National Mortgage Association REMICS: | |||||
Series 2010-152, Class DE, 4.50%, 1/25/2041 | 15,826,900 | 15,530,199 | |||
Series 2013-110, Class CO, 0.00%, 12/25/2039 | 3,339,430 | 2,642,031 |
Security Description | Principal Amount | Value | |||
Series 2013-110, Class DO, 0.00%, 11/25/2043 | $ 2,722,012 | $ 2,090,720 | |||
Series 2017-90, Class WF, 30 day USD SOFR Average + 0.46%, 5.80%, 11/25/2047 (b) | 7,406,739 | 7,196,363 | |||
Series 2018-91, Class PB, 4.00%, 12/25/2048 | 6,434,400 | 5,954,472 | |||
Series 2020-57, Class LJ, 2.00%, 8/25/2050 | 24,083,000 | 17,870,173 | |||
Series 2021-57, Class EA, 1.00%, 5/25/2046 | 6,699,458 | 5,371,823 | |||
Series 2021-86, Class MA, 2.50%, 11/25/2047 | 11,135,043 | 9,880,740 | |||
Series 2021-9, Class CA, 2.00%, 3/25/2051 | 11,728,541 | 9,750,540 | |||
Series 2023-36, 2.50%, 10/25/2052 | 37,974,938 | 5,410,777 | |||
Series 2023-43, Class HO, 0.00%, 8/25/2049 | 8,867,739 | 6,164,015 | |||
Federal National Mortgage Association-Aces Series 2022-M13, Class A1, 2.59%, 4/25/2032 (b) | 21,425,365 | 19,740,116 | |||
First Horizon Alternative Mortgage Securities Trust: | |||||
Series 2007-FA4, Class 1A4, 6.25%, 8/25/2037 | 2,700,926 | 1,081,154 | |||
Series 2007-FA4, Class 1A7, 6.00%, 8/25/2037 | 1,890,961 | 730,602 | |||
Government National Mortgage Association REMICS: | |||||
Series 2010-158, Class FA, 1 mo. USD Term SOFR + 0.56%, 5.92%, 12/20/2040 (b) | 3,243,534 | 3,197,153 | |||
Series 2016-99, Class LA, 2.00%, 11/20/2043 | 8,638,414 | 7,248,792 | |||
Series 2018-42, Class ML, 3.50%, 3/20/2048 | 7,615,943 | 7,060,016 | |||
Series 2018-91, Class FC, 1 mo. USD Term SOFR + 0.41%, 5.76%, 7/20/2048 (b) | 2,974,829 | 2,889,828 | |||
Series 2019-6, Class LA, 3.50%, 12/20/2048 | 5,854,097 | 5,466,770 | |||
Series 2020-129, Class YI, 2.50%, 9/20/2050 | 10,580,474 | 1,150,569 | |||
Series 2020-181, Class QI, 3.00%, 12/20/2050 | 8,133,776 | 1,039,551 | |||
Series 2020-84, Class NT, 1.25%, 6/20/2050 | 4,439,859 | 3,375,806 | |||
Series 2021-139, Class IP, 3.00%, 8/20/2051 | 24,899,576 | 3,730,403 | |||
Series 2021-142, 3.00%, 8/20/2051 | 22,045,317 | 3,460,022 |
Security Description | Principal Amount | Value | |||
GS Mortgage Securities Trust Series 2015-GS1, Class AS, 4.04%, 11/10/2048 (b) | $ 1,958,000 | $ 1,760,471 | |||
GSR Mortgage Loan Trust: | |||||
Series 2006-OA1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.55%, 5.91%, 8/25/2046 (b) | 13,876,872 | 3,076,300 | |||
Series 2007-AR1, Class 2A1, 4.28%, 3/25/2047 (b) | 4,176,860 | 2,567,191 | |||
HOMES Trust Series 2023-NQM1, Class A1, 6.18%, 1/25/2068 (a) (e) | 6,315,112 | 6,295,476 | |||
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038 | 21,517,868 | 7,122,193 | |||
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.37%, 4/25/2036 (b) | 1,094,701 | 982,965 | |||
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (a) (b) | 8,561,955 | 8,269,131 | |||
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 mo. USD Term SOFR + 0.77%, 6.13%, 6/25/2046 (b) | 5,590,924 | 3,872,231 | |||
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.79%, 11/25/2036 (b) | 6,719,314 | 6,013,437 | |||
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (a) (e) | 14,065,492 | 14,232,473 | |||
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 4.13%, 1/26/2051 (a) (b) | 14,894,896 | 13,643,488 | |||
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 5.69%, 10/25/2060 (a) (b) | 647,988 | 611,659 | |||
NRPL Trust Series 2019-3A, Class A1, CMO, 7.00%, 7/25/2059 (a) (e) | 2,853,320 | 2,848,497 | |||
OBX Trust: | |||||
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (e) | 4,604,671 | 4,601,670 | |||
Series 2023-NQM4, Class A1, 6.11%, 3/25/2063 (a) (e) | 14,188,479 | 14,192,744 |
Security Description | Principal Amount | Value | |||
PMT Credit Risk Transfer Trust: | |||||
Series 2019-2R, Class A, 1 mo. USD Term SOFR + 3.86%, 9.22%, 5/30/2025 (a) (b) | $ 1,137,658 | $ 1,138,321 | |||
Series 2021-1R, Class A, 1 mo. USD Term SOFR + 3.01%, 8.37%, 2/27/2024 (a) (b) | 820,289 | 816,154 | |||
Preston Ridge Partners Mortgage LLC: | |||||
Series 2020-6, Class A1, CMO, 5.36%, 11/25/2025 (a) (e) | 2,720,778 | 2,722,945 | |||
Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (e) | 13,680,995 | 13,191,984 | |||
PRPM LLC Series 2022-5, Class A1, 6.90%, 9/27/2027 (a) (e) | 5,878,223 | 5,895,605 | |||
RBSGC Mortgage Loan Trust Series 2007-A, Class 2A2, 6.00%, 1/25/2037 | 2,525,960 | 2,149,715 | |||
Residential Accredit Loans, Inc. Trust: | |||||
Series 2005-QA7, Class A22, CMO, 5.07%, 7/25/2035 (b) | 1,649,093 | 1,540,914 | |||
Series 2005-QS13, Class 2A4, 5.75%, 9/25/2035 | 3,010,570 | 2,460,219 | |||
Residential Asset Securitization Trust Series 2005-A16, Class A3, 6.00%, 2/25/2036 | 3,015,043 | 1,199,162 | |||
Seasoned Credit Risk Transfer Trust: | |||||
Series 2019-4, Class MV, 3.00%, 2/25/2059 | 15,346,401 | 13,209,892 | |||
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059 | 6,060,206 | 4,795,300 | |||
Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060 | 9,866,520 | 7,805,292 | |||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.25%, 9/25/2036 (b) | 116,181 | 115,992 | |||
Structured Asset Mortgage Investments II Trust: | |||||
Series 2004-AR3, Class M, CMO, 1 mo. USD Term SOFR + 0.79%, 6.15%, 7/19/2034 (b) | 857,224 | 829,413 | |||
Series 2007-AR3, Class 1A3, 1 mo. USD Term SOFR + 0.53%, 5.89%, 9/25/2047 (b) | 6,839,507 | 4,658,432 |
Security Description | Principal Amount | Value | |||
TBW Mortgage-Backed Trust Series 2006-6, Class A2B, 6.16%, 1/25/2037 (e) | $ 10,413,058 | $ 2,370,912 | |||
UBS Commercial Mortgage Trust Series 2018-C8, Class C, 4.68%, 2/15/2051 (b) | 1,969,000 | 1,650,889 | |||
Verus Securitization Trust: | |||||
Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (e) | 16,307,297 | 15,175,590 | |||
Series 2023-3, Class A1, 5.93%, 3/25/2068 (a) (e) | 4,513,018 | 4,500,181 | |||
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (e) | 9,916,373 | 9,880,152 | |||
Series 2023-INV1, Class A1, 6.00%, 2/25/2068 (a) (e) | 6,989,314 | 6,969,641 | |||
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 4.02%, 11/25/2036 (b) | 3,142,713 | 2,657,111 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust: | |||||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 630,890 | 585,883 | |||
Series 2006-1, Class 4CB, 6.50%, 2/25/2036 | 4,555,440 | 3,407,798 | |||
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (e) | 2,489,504 | 535,338 | |||
Series 2006-AR9, Class 2A, 12 mo. MTA + 0.84%, 5.85%, 11/25/2046 (b) | 2,739,624 | 2,063,668 | |||
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | 3,610,060 | 2,804,459 | |||
Series 2007-HY1, Class A3A, CMO, 1 mo. USD Term SOFR + 0.57%, 5.93%, 2/25/2037 (b) | 3,887,015 | 2,800,558 | |||
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR4, Class A1, CMO, 5.76%, 8/25/2037 (b) | 651,976 | 631,138 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $617,369,796) | 589,327,997 |
Security Description | Principal Amount | Value | |||
COMMERCIAL MORTGAGE BACKED SECURITIES — 3.2% | |||||
BAMLL Commercial Mortgage Securities Trust Series 2018-DSNY, Class A, 1 mo. USD Term SOFR + 1.15%, 6.51%, 9/15/2034 (a) (b) | $ 720,000 | $ 716,631 | |||
Bank: | |||||
Series 2017-BNK4, Class XA, IO, 1.34%, 5/15/2050 (b) | 24,376,021 | 833,160 | |||
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (b) | 47,755,605 | 974,226 | |||
Series 2021-BN35, Class XA, IO, VRN, 1.04%, 6/15/2064 (b) | 9,149,043 | 495,574 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class C, VRN, 4.29%, 2/15/2051 (b) | 2,545,000 | 2,081,270 | |||
Series 2020-B19, Class XA, IO, VRN, 1.77%, 9/15/2053 (b) | 19,879,484 | 1,298,731 | |||
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054 (b) | 3,378,181 | 175,230 | |||
BX Commercial Mortgage Trust: | |||||
Series 2020-VKNG, Class A, 1 mo. USD Term SOFR + 1.04%, 6.41%, 10/15/2037 (a) (b) | 1,502,771 | 1,490,911 | |||
Series 2021-VOLT, Class E, 1 mo. USD Term SOFR + 2.11%, 7.48%, 9/15/2036 (a) (b) | 1,923,000 | 1,838,065 | |||
Series 2021-XL2, Class E, 1 mo. USD Term SOFR + 1.96%, 7.32%, 10/15/2038 (a) (b) | 2,253,523 | 2,182,258 | |||
BX Trust Series 2019-OC11, Class E, 3.94%, 12/9/2041 (a) (b) | 3,830,000 | 3,218,275 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.22%, 5/10/2050 (b) | 13,183,585 | 406,282 | |||
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.60%, 5/10/2058 (b) | 9,580,810 | 252,585 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048 (b) | 2,541,000 | 2,375,659 |
Security Description | Principal Amount | Value | |||
Series 2015-GC27, Class D, 4.42%, 2/10/2048 (a) (b) | $ 423,700 | $ 360,470 | |||
Series 2015-GC31, Class C, 4.03%, 6/10/2048 (b) | 1,500,000 | 1,170,855 | |||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (b) | 1,500,000 | 1,135,476 | |||
Series 2015-P1, Class A5, 3.72%, 9/15/2048 | 2,106,000 | 2,033,142 | |||
Series 2016-C1, Class A4, 3.21%, 5/10/2049 | 1,840,000 | 1,744,720 | |||
Series 2016-GC36, Class XA, IO, 1.21%, 2/10/2049 (b) | 19,126,430 | 377,500 | |||
Series 2020-555, Class E, 3.50%, 12/10/2041 (a) (b) | 2,047,000 | 1,560,970 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 0.72%, 10/10/2046 (b) | 5,764,978 | 31,007 | |||
Series 2015-CR22, Class XA, IO, 0.81%, 3/10/2048 (b) | 7,082,116 | 51,045 | |||
Series 2015-CR26, Class XA, IO, 0.89%, 10/10/2048 (b) | 18,268,457 | 198,067 | |||
Series 2015-DC1, Class A5, 3.35%, 2/10/2048 | 1,767,000 | 1,714,465 | |||
Series 2015-DC1, Class C, VRN, 4.30%, 2/10/2048 (b) | 644,000 | 511,732 | |||
Series 2015-DC1, Class XA, IO, 0.97%, 2/10/2048 (b) | 5,394,764 | 43,186 | |||
Series 2016-DC2, Class XA, IO, 0.92%, 2/10/2049 (b) | 13,969,360 | 198,866 | |||
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b) | 2,316,000 | 1,980,365 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b) | 900,000 | 841,026 | |||
Series 2015-C4, Class XA, IO, 0.80%, 11/15/2048 (b) | 30,836,911 | 325,110 | |||
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (b) | 54,680,203 | 1,128,872 | |||
Series 2019-C17, Class XA, IO, VRN, 1.32%, 9/15/2052 (b) | 28,995,335 | 1,571,554 |
Security Description | Principal Amount | Value | |||
CSMC Trust: | |||||
Series 2017-TIME, Class A, 3.65%, 11/13/2039 (a) | $ 2,977,000 | $ 2,505,422 | |||
Series 2020-NET, Class A, 2.26%, 8/15/2037 (a) | 2,337,888 | 2,160,717 | |||
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (a) | 632,000 | 562,780 | |||
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (a) | 2,250,000 | 1,761,008 | |||
DBJPM Mortgage Trust Series 2020-C9, Class A3, 1.88%, 8/15/2053 | 2,500,000 | 2,102,336 | |||
DOLP Trust Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (a) (b) | 1,000,000 | 627,877 | |||
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040 (a) (b) | 1,147,000 | 852,230 | |||
Great Wolf Trust: | |||||
Series 2019-WOLF, Class E, 1 mo. USD Term SOFR + 2.85%, 8.41%, 12/15/2036 (a) (b) | 100,000 | 98,795 | |||
Series 2019-WOLF, Class F, 1 mo. USD Term SOFR + 3.25%, 8.81%, 12/15/2036 (a) (b) | 100,000 | 98,194 | |||
GS Mortgage Securities Corp. Trust: | |||||
Series 2018-TWR, Class A, 1 mo. USD Term SOFR + 1.20%, 6.56%, 7/15/2031 (a) (b) | 283,000 | 237,388 | |||
Series 2018-TWR, Class D, 1 mo. USD Term SOFR + 1.90%, 7.26%, 7/15/2031 (a) (b) | 650,000 | 289,266 | |||
Series 2018-TWR, Class E, 1 mo. USD Term SOFR + 2.40%, 7.76%, 7/15/2031 (a) (b) | 650,000 | 227,516 | |||
Series 2018-TWR, Class F, 1 mo. USD Term SOFR + 3.10%, 8.46%, 7/15/2031 (a) (b) | 650,000 | 147,891 | |||
Series 2018-TWR, Class G, 1 mo. USD Term SOFR + 4.22%, 9.58%, 7/15/2031 (a) (b) | 650,000 | 45,516 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC20, Class A5, 4.00%, 4/10/2047 | 1,031,478 | 1,026,920 | |||
Series 2014-GC24, Class XA, IO, 0.68%, 9/10/2047 (b) | 23,042,362 | 63,580 |
Security Description | Principal Amount | Value | |||
Series 2014-GC26, Class A5, 3.63%, 11/10/2047 | $ 1,749,000 | $ 1,711,169 | |||
Series 2015-GC32, Class XA, IO, 0.68%, 7/10/2048 (b) | 20,061,907 | 163,832 | |||
Series 2015-GC34, Class A4, 3.51%, 10/10/2048 | 1,880,000 | 1,774,869 | |||
Series 2015-GC34, Class XA, IO, 1.19%, 10/10/2048 (b) | 14,150,898 | 236,066 | |||
Series 2015-GS1, Class XA, IO, 0.75%, 11/10/2048 (b) | 24,822,956 | 273,851 | |||
Series 2016-GS3, Class XA, IO, 1.19%, 10/10/2049 (b) | 23,240,998 | 577,000 | |||
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (b) | 38,425,885 | 1,069,777 | |||
IMT Trust Series 2017-APTS, Class AFX, 3.48%, 6/15/2034 (a) | 2,046,000 | 2,010,107 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2014-C20, Class B, 4.40%, 7/15/2047 (b) | 3,000,000 | 2,786,679 | |||
Series 2015-JP1, Class XA, IO, 0.88%, 1/15/2049 (b) | 14,046,043 | 190,698 | |||
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (b) | 2,899,000 | 2,435,023 | |||
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.96%, 4/15/2037 (a) (b) | 2,313,783 | 2,128,992 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (b) | 1,055,000 | 989,029 | |||
Series 2014-C23, Class A4, 3.67%, 9/15/2047 | 1,409,113 | 1,392,668 | |||
Series 2014-C25, Class XA, IO, 0.80%, 11/15/2047 (b) | 4,336,146 | 22,467 | |||
Series 2015-C28, Class XA, IO, 0.91%, 10/15/2048 (b) | 7,575,143 | 52,453 | |||
Series 2015-C30, Class XA, IO, 0.42%, 7/15/2048 (b) | 21,227,094 | 109,954 | |||
Series 2015-C31, Class A3, 3.80%, 8/15/2048 | 876,109 | 841,586 | |||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.48%, 6/15/2049 (b) | 15,345,232 | 353,168 |
Security Description | Principal Amount | Value | |||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.82%, 3/10/2050 (a) (b) | $ 32,859,683 | $ 542,665 | |||
Manhattan West Mortgage Trust: | |||||
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039 (a) (b) | 2,462,000 | 2,119,574 | |||
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039 (a) (b) | 2,462,000 | 2,068,911 | |||
Med Trust Series 2021-MDLN, Class G, 1 mo. USD Term SOFR + 5.36%, 10.73%, 11/15/2038 (a) (b) | 2,850,321 | 2,716,496 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2015-C20, Class C, 4.45%, 2/15/2048 (b) | 500,000 | 460,848 | |||
Series 2016-C28, Class XA, IO, 1.15%, 1/15/2049 (b) | 17,736,091 | 320,661 | |||
Series 2016-C30, Class XA, IO, 1.34%, 9/15/2049 (b) | 16,533,069 | 426,220 | |||
Series 2016-C31, Class C, 4.26%, 11/15/2049 (b) | 3,358,000 | 2,575,919 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-UBS8, Class XA, IO, 0.83%, 12/15/2048 (b) | 21,413,509 | 259,264 | |||
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (b) | 46,542,111 | 662,855 | |||
Series 2016-UBS9, Class A4, 3.59%, 3/15/2049 | 913,000 | 870,110 | |||
Series 2019-L3, Class XA, IO, 0.61%, 11/15/2052 (b) | 54,218,274 | 1,580,636 | |||
One New York Plaza Trust Series 2020-1NYP, Class C, 1 mo. USD Term SOFR + 2.31%, 7.68%, 1/15/2036 (a) (b) | 1,599,000 | 1,328,226 | |||
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 450,000 | 394,973 | |||
SLG Office Trust: | |||||
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,502,038 | |||
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,407,480 | |||
SREIT Trust Series 2021-MFP, Class D, 1 mo. USD Term SOFR + 1.69%, 7.05%, 11/15/2038 (a) (b) | 2,740,455 | 2,666,827 |
Security Description | Principal Amount | Value | |||
UBS Commercial Mortgage Trust: | |||||
Series 2017-C1, Class XA, IO, 1.52%, 6/15/2050 (b) | $ 16,935,996 | $ 647,531 | |||
Series 2017-C4, Class XA, IO, 1.09%, 10/15/2050 (b) | 20,004,130 | 630,050 | |||
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b) | 2,040,903 | 1,627,791 | |||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 579,848 | 561,050 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2015-C26, Class XA, IO, 1.18%, 2/15/2048 (b) | 6,611,596 | 64,985 | |||
Series 2015-C27, Class A5, 3.45%, 2/15/2048 | 3,836,000 | 3,704,445 | |||
Series 2015-C30, Class A4, 3.66%, 9/15/2058 | 574,375 | 554,838 | |||
Series 2015-LC20, Class XA, IO, 1.28%, 4/15/2050 (b) | 6,064,239 | 61,689 | |||
Series 2015-NXS1, Class XA, IO, 1.06%, 5/15/2048 (b) | 6,369,044 | 52,787 | |||
Series 2015-NXS2, Class XA, IO, 0.59%, 7/15/2058 (b) | 20,493,173 | 131,726 | |||
Series 2015-P2, Class XA, IO, 0.92%, 12/15/2048 (b) | 13,864,674 | 188,342 | |||
Series 2016-BNK1, Class XB, IO, VRN, 1.32%, 8/15/2049 (b) | 19,849,000 | 555,840 | |||
Series 2016-C33, Class XA, IO, 1.56%, 3/15/2059 (b) | 10,343,268 | 266,912 | |||
Series 2016-C35, Class B, 3.44%, 7/15/2048 | 3,000,000 | 2,632,947 | |||
Series 2017-C38, Class XA, IO, 0.93%, 7/15/2050 (b) | 33,188,043 | 829,397 | |||
Series 2017-RC1, Class XA, IO, 1.38%, 1/15/2060 (b) | 15,484,421 | 547,996 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 0.89%, 3/15/2047 (b) | 3,454,538 | 2,362 | |||
Series 2014-C21, Class XA, IO, 0.98%, 8/15/2047 (b) | 11,779,832 | 39,363 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $162,521,879) | 102,247,863 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 0.2% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (j) (k) (Cost $6,857,025) | 6,857,025 | $ 6,857,025 | |||
TOTAL INVESTMENTS — 99.3% (Cost $3,341,741,373) | 3,170,848,100 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7% | 21,889,877 | ||||
NET ASSETS — 100.0% | $ 3,192,737,977 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 24.4% of net assets as of December 31, 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 December 31, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Security is currently in default and/or issuer is in bankruptcy. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2023. Maturity date shown is the final maturity. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2023, total aggregate fair value of the securities is $73,243, representing less than 0.05% of the Fund's net assets. |
(g) | Non-income producing security. |
(h) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(i) | When-issued security. |
(j) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(k) | The rate shown is the annualized seven-day yield at December 31, 2023. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
VRN | Variable Rate Note |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/Depreciation ($) | |||
OMNIA Partners LLC | 12,452 | 12,545 | 93 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 391,679,440 | $ — | $ 391,679,440 | ||||
Asset-Backed Securities | — | 396,757,461 | — | 396,757,461 | ||||
Foreign Government Obligations | — | 8,255,870 | — | 8,255,870 | ||||
U.S. Government Agency Obligations | — | 952,688,923 | — | 952,688,923 | ||||
U.S. Treasury Obligations | — | 662,446,466 | — | 662,446,466 | ||||
Mortgage-Backed Securities | — | 589,327,997 | — | 589,327,997 | ||||
Commercial Mortgage Backed Securities | — | 102,247,863 | — | 102,247,863 | ||||
Common Stocks | — | — | 73,243 | 73,243 | ||||
Senior Floating Rate Loans | — | 60,512,652 | — | 60,512,652 | ||||
Warrants | — | 1,160 | — | 1,160 | ||||
Short-Term Investment | 6,857,025 | — | — | 6,857,025 | ||||
TOTAL INVESTMENTS | $6,857,025 | $3,163,917,832 | $73,243 | $3,170,848,100 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Appreciation | $ — | $ 93 | $ — | $ 93 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ 93 | $ — | $ 93 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 30,238,919 | $30,238,919 | $429,685,776 | $453,067,670 | $— | $— | 6,857,025 | $6,857,025 | $1,093,316 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $ 88,476,086 | $ 11,938,236 | $ 20,747 | ||
Investments in affiliated issuers, at value | 443,163,086 | 77,858,922 | 251,307,257 | ||
Total Investments | 531,639,172 | 89,797,158 | 251,328,004 | ||
Foreign currency, at value | — | — | — | ||
Net cash at broker | — | — | — | ||
Cash | — | — | 167 | ||
Receivable from broker — accumulated variation margin on futures contracts | — | — | — | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | — | 24,875 | ||
Dividends receivable — affiliated issuers | 118,537 | 8,671 | 284,192 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 2,660 | 1,795 | 687 | ||
Securities lending income receivable — affiliated issuers | 28,823 | 8,781 | 17,731 | ||
Receivable from Adviser | — | — | — | ||
Receivable for foreign taxes recoverable | — | — | — | ||
TOTAL ASSETS | 531,789,192 | 89,816,405 | 251,655,656 | ||
LIABILITIES | |||||
Deposit from Broker | — | — | — | ||
Due to custodian | — | — | — | ||
Payable upon return of securities loaned | 22,259,665 | 11,290,594 | 11,654,151 | ||
Payable for investments purchased | — | — | — | ||
Payable for fund shares repurchased | 125,061 | — | — | ||
Payable for accumulated variation margin on swap contracts | — | — | — | ||
Advisory fee payable | 49,280 | 11,107 | 29,822 | ||
Trustees’ fees and expenses payable | 439 | 74 | 111 | ||
TOTAL LIABILITIES | 22,434,445 | 11,301,775 | 11,684,084 | ||
NET ASSETS | $509,354,747 | $ 78,514,630 | $239,971,572 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in capital | $603,036,460 | $100,438,824 | $231,650,750 | ||
Total distributable earnings (loss) | (93,681,713) | (21,924,194) | 8,320,822 | ||
NET ASSETS | $509,354,747 | $ 78,514,630 | $239,971,572 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 27.24 | $ 31.03 | $ 41.45 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 18,700,000 | 2,530,000 | 5,790,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ 112,757,035 | $ 12,201,901 | $ 21,091 | ||
Investments in affiliated issuers | 442,732,060 | 81,067,204 | 230,048,804 | ||
Total cost of investments | $555,489,095 | $ 93,269,105 | $230,069,895 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 22,286,672 | $ 14,748,000 | $ 13,670,034 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | |||
$532,164,039 | $33,780,578 | $49,004,984 | $40,149,540 | |||
38,837,338 | 3,262,745 | 8,206 | — | |||
571,001,377 | 37,043,323 | 49,013,190 | 40,149,540 | |||
— | 523 | — | �� | — | ||
— | 513,094 | — | — | |||
239 | 45,412 | — | — | |||
332,509 | 346,175 | — | — | |||
— | 4,798 | 472 | — | |||
— | — | — | — | |||
347,516 | 7,566 | 994 | 1,584 | |||
4,984,715 | 413,343 | 577,877 | 465,461 | |||
— | — | — | — | |||
— | — | — | — | |||
— | 2,007 | — | — | |||
— | 3,134 | — | — | |||
576,666,356 | 38,379,375 | 49,592,533 | 40,616,585 | |||
56,211 | — | — | — | |||
— | — | 21,444 | 130,431 | |||
— | — | — | — | |||
— | 444,130 | — | — | |||
— | — | — | — | |||
— | 6,576 | — | — | |||
105,751 | 17,455 | 16,637 | 14,285 | |||
74 | 17 | 22 | 19 | |||
162,036 | 468,178 | 38,103 | 144,735 | |||
$576,504,320 | $ 37,911,197 | $49,554,430 | $40,471,850 | |||
$576,185,703 | $42,219,364 | $51,826,482 | $40,254,191 | |||
318,617 | (4,308,167) | (2,272,052) | 217,659 | |||
$576,504,320 | $ 37,911,197 | $49,554,430 | $40,471,850 | |||
$ 40.39 | $ 26.15 | $ 27.53 | $ 29.98 | |||
14,275,000 | 1,450,000 | 1,800,000 | 1,350,000 | |||
$530,475,219 | $33,630,477 | $49,678,863 | $39,598,910 | |||
38,837,338 | 3,252,104 | 8,206 | — | |||
$569,312,557 | $36,882,581 | $49,687,069 | $39,598,910 | |||
$ — | $ 504 | $ — | $ — | |||
$ — | $ — | $ — | $ — |
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* | $ — | $ — | $ 80,109,390 | ||
Investments in affiliated issuers, at value | 221,860,886 | 472,356,768 | 3,359,417 | ||
Total Investments | 221,860,886 | 472,356,768 | 83,468,807 | ||
Foreign currency, at value | — | — | 362 | ||
Cash | — | — | 99 | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | 545 | — | ||
Dividends receivable — affiliated issuers | 1,682 | 4,752 | 12,586 | ||
Interest receivable — unaffiliated issuers | — | — | 1,084,236 | ||
Securities lending income receivable — unaffiliated issuers | — | 3,135 | — | ||
Securities lending income receivable — affiliated issuers | 25,147 | 25,225 | — | ||
Unrealized appreciation on unfunded loan commitments | — | — | — | ||
Receivable from Adviser | — | 35,093 | — | ||
Other receivable | — | — | — | ||
TOTAL ASSETS | 221,887,715 | 472,425,518 | 84,566,090 | ||
LIABILITIES | |||||
Due to custodian | — | — | — | ||
Payable upon return of securities loaned | 19,257,020 | 50,319,432 | — | ||
Payable for investments purchased | — | — | — | ||
Payable for fund shares repurchased | 104 | — | — | ||
Advisory fee payable | 81,932 | 241,396 | 44,907 | ||
Trustees’ fees and expenses payable | 44 | 145 | 31 | ||
TOTAL LIABILITIES | 19,339,100 | 50,560,973 | 44,938 | ||
NET ASSETS | $202,548,615 | $421,864,545 | $ 84,521,152 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in capital | $224,066,124 | $392,196,262 | $ 98,414,700 | ||
Total distributable earnings (loss) | (21,517,509) | 29,668,283 | (13,893,548) | ||
NET ASSETS | $202,548,615 | $421,864,545 | $ 84,521,152 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 26.00 | $ 45.81 | $ 41.74 | ||
Shares outstanding (unlimited amount authorized, $0.01 par value) | 7,790,000 | 9,210,000 | 2,025,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ — | $ — | $ 86,166,069 | ||
Investments in affiliated issuers | 220,691,119 | 424,584,597 | 3,359,417 | ||
Total cost of investments | $ 220,691,119 | $424,584,597 | $ 89,525,486 | ||
Foreign currency, at cost | $ — | $ — | $ 265 | ||
* Includes investments in securities on loan, at value | $ 18,837,690 | $ 57,934,124 | $ — |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |
$147,854,359 | $3,163,991,075 | |
3,064,421 | 6,857,025 | |
150,918,780 | 3,170,848,100 | |
— | 449 | |
— | 27,886 | |
27,343 | 4,050,711 | |
3,503,375 | — | |
18,408 | 214,433 | |
1,266,009 | 22,052,411 | |
— | — | |
— | — | |
— | 93 | |
— | — | |
1,751 | — | |
155,735,666 | 3,197,194,083 | |
155,751 | — | |
— | — | |
163,327 | 2,944,683 | |
— | — | |
57,762 | 1,510,439 | |
46 | 984 | |
376,886 | 4,456,106 | |
$155,358,780 | $3,192,737,977 | |
$164,404,664 | $3,745,819,842 | |
(9,045,884) | (553,081,865) | |
$155,358,780 | $3,192,737,977 | |
$ 46.72 | $ 40.29 | |
3,325,000 | 79,250,000 | |
$150,973,555 | $3,334,884,348 | |
3,064,421 | 6,857,025 | |
$154,037,976 | $3,341,741,373 | |
$ — | $ 434 | |
$ — | $ — |
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 | 3,878,738 | 392,721 | 2,850 | ||
Dividend income — affiliated issuers | 8,317,236 | 1,822,383 | 3,143,933 | ||
Unaffiliated securities lending income | 5,798 | 29,530 | 9,444 | ||
Affiliated securities lending income | 123,222 | 56,955 | 160,935 | ||
Other income | — | — | — | ||
Foreign taxes withheld | — | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 12,324,994 | 2,301,589 | 3,317,162 | ||
EXPENSES | |||||
Advisory fee | 315,893 | 63,016 | 174,901 | ||
Trustees’ fees and expenses | 3,168 | 427 | 1,259 | ||
Miscellaneous expenses | 115 | 15 | 50 | ||
TOTAL EXPENSES | 319,176 | 63,458 | 176,210 | ||
NET INVESTMENT INCOME (LOSS) | $12,005,818 | $2,238,131 | $ 3,140,952 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (2,963,852) | (318,702) | (564,206) | ||
Investments — affiliated issuers | (3,343,074) | (514,774) | 598,448 | ||
In-kind redemptions — unaffiliated issuers | (431,091) | 11,121 | 6,509 | ||
In-kind redemptions — affiliated issuers | 4,555,867 | 31,278 | 2,467,076 | ||
Foreign currency transactions | — | — | — | ||
Futures contracts | — | — | — | ||
Swap contracts | — | — | — | ||
Net realized gain (loss) | (2,182,150) | (791,077) | 2,507,827 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | 1,765,806 | 920,529 | (344) | ||
Investments — affiliated issuers | 13,618,539 | 1,354,547 | 5,512,503 | ||
Foreign currency translations | — | — | — | ||
Futures contracts | — | — | — | ||
Swap contracts | — | — | — | ||
Net change in unrealized appreciation/depreciation | 15,384,345 | 2,275,076 | 5,512,159 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 13,202,195 | 1,483,999 | 8,019,986 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $25,208,013 | $3,722,130 | $11,160,938 |
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 | ||||||
$13,223,890 | $1,056,365 | $ 654,082 | $ 640,730 | $ — | $ — | $ 2,278,658 | ||||||
— | — | — | — | — | — | — | ||||||
1,978,818 | 114,197 | 15,834 | 10,799 | 3,645,073 | 2,660,833 | 47,601 | ||||||
— | — | — | — | 13,558 | 16,718 | — | ||||||
— | — | — | — | 207,858 | 144,935 | — | ||||||
— | 1,809 | — | — | — | — | — | ||||||
— | — | — | — | — | — | (3,079) | ||||||
15,202,708 | 1,172,371 | 669,916 | 651,529 | 3,866,489 | 2,822,486 | 2,323,180 | ||||||
597,048 | 87,043 | 89,291 | 79,545 | 332,387 | 976,289 | 255,216 | ||||||
2,959 | 189 | 251 | 211 | 931 | 1,632 | 448 | ||||||
127 | 1,398 | — | — | 38 | 71 | — | ||||||
600,134 | 88,630 | 89,542 | 79,756 | 333,356 | 977,992 | 255,664 | ||||||
$14,602,574 | $1,083,741 | $ 580,374 | $ 571,773 | $ 3,533,133 | $ 1,844,494 | $ 2,067,516 | ||||||
(213,049) | (266,990) | (127,180) | (50,601) | — | — | (1,975,505) | ||||||
— | — | — | — | (3,532,172) | (302,976) | — | ||||||
— | 11 | — | — | — | — | — | ||||||
— | — | — | — | 86,815 | 4,358,670 | — | ||||||
— | (70) | — | — | — | — | — | ||||||
(947,774) | (139,661) | — | — | — | — | — | ||||||
— | (26,038) | — | — | — | — | — | ||||||
(1,160,823) | (432,748) | (127,180) | (50,601) | (3,445,357) | 4,055,694 | (1,975,505) | ||||||
4,982,935 | 1,100,901 | 1,369,065 | 920,876 | — | — | 4,032,710 | ||||||
— | 2,540 | — | — | 5,154,645 | 20,081,622 | — | ||||||
— | 30 | — | — | — | — | 97 | ||||||
627,537 | 337,014 | — | — | — | — | — | ||||||
— | 41,925 | — | — | — | — | — | ||||||
5,610,472 | 1,482,410 | 1,369,065 | 920,876 | 5,154,645 | 20,081,622 | 4,032,807 | ||||||
4,449,649 | 1,049,662 | 1,241,885 | 870,275 | 1,709,288 | 24,137,316 | 2,057,302 | ||||||
$19,052,223 | $2,133,403 | $1,822,259 | $1,442,048 | $ 5,242,421 | $25,981,810 | $ 4,124,818 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $3,414,677 | $ 79,318,775 | |
Dividend income — affiliated issuers | 110,126 | 1,093,316 | |
Other income | 4,131 | — | |
Foreign taxes withheld | (310) | (220) | |
TOTAL INVESTMENT INCOME (LOSS) | 3,528,624 | 80,411,871 | |
EXPENSES | |||
Advisory fee | 303,477 | 8,616,032 | |
Trustees’ fees and expenses | 698 | 16,433 | |
Miscellaneous expenses | — | 671 | |
TOTAL EXPENSES | 304,175 | 8,633,136 | |
NET INVESTMENT INCOME (LOSS) | $3,224,449 | $ 71,778,735 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (938,254) | (84,133,765) | |
Foreign currency transactions | 31 | — | |
Net realized gain (loss) | (938,223) | (84,133,765) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 2,566,674 | 100,690,486 | |
Unfunded loan commitments | — | 1,336 | |
Foreign currency translations | 2 | 15 | |
Net change in unrealized appreciation/depreciation | 2,566,676 | 100,691,837 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,628,453 | 16,558,072 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $4,852,902 | $ 88,336,807 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 12,005,818 | $ 32,244,820 | $ 2,238,131 | $ 3,969,162 | |||
Net realized gain (loss) | (2,182,150) | (7,099,501) | (791,077) | (7,712,792) | |||
Net change in unrealized appreciation/depreciation | 15,384,345 | (21,673,762) | 2,275,076 | 6,382,967 | |||
Net increase (decrease) in net assets resulting from operations | 25,208,013 | 3,471,557 | 3,722,130 | 2,639,337 | |||
Net equalization credits and charges | (43,372) | (320,063) | 24,892 | (50,204) | |||
Distributions to shareholders | (11,884,832) | (32,025,253) | (1,844,478) | (4,182,212) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 81,001,723 | 282,817,522 | 7,512,017 | 21,883,439 | |||
Cost of shares redeemed | (118,603,593) | (188,661,245) | (2,048,586) | (44,726,185) | |||
Net income equalization | 43,372 | 320,063 | (24,892) | 50,204 | |||
Other capital | — | — | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | (37,558,498) | 94,476,340 | 5,438,539 | (22,792,542) | |||
Net increase (decrease) in net assets during the period | (24,278,689) | 65,602,581 | 7,341,083 | (24,385,621) | |||
Net assets at beginning of period | 533,633,436 | 468,030,855 | 71,173,547 | 95,559,168 | |||
NET ASSETS AT END OF PERIOD | $ 509,354,747 | $ 533,633,436 | $78,514,630 | $ 71,173,547 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 3,040,000 | 10,100,000 | 250,000 | 720,000 | |||
Shares redeemed | (4,370,000) | (6,830,000) | (70,000) | (1,480,000) | |||
Net increase (decrease) from share transactions | (1,330,000) | 3,270,000 | 180,000 | (760,000) |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | |||||
$ 3,140,952 | $ 7,250,037 | $ 14,602,574 | $ 15,375,828 | $ 1,083,741 | $ 1,788,774 | |||||
2,507,827 | (6,495,520) | (1,160,823) | 1,170,140 | (432,748) | (3,090,968) | |||||
5,512,159 | 19,510,144 | 5,610,472 | 1,622,725 | 1,482,410 | 2,523,647 | |||||
11,160,938 | 20,264,661 | 19,052,223 | 18,168,693 | 2,133,403 | 1,221,453 | |||||
25,389 | 73,146 | 231,896 | 398,172 | 2,638 | (426) | |||||
(3,129,222) | (14,220,211) | (16,832,997) | (13,852,204) | (1,270,150) | (1,679,743) | |||||
20,194,347 | 27,236,038 | 112,565,889 | 366,334,053 | 7,555,401 | 7,602,349 | |||||
(18,145,032) | (44,224,301) | (91,703,177) | (120,141,901) | — | (6,390,149) | |||||
(25,389) | (73,146) | (231,896) | (398,172) | (2,638) | 426 | |||||
— | 529 | 52,111 | 133,928 | 15,123 | 20,414 | |||||
2,023,926 | (17,060,880) | 20,682,927 | 245,927,908 | 7,567,886 | 1,233,040 | |||||
10,081,031 | (10,943,284) | 23,134,049 | 250,642,569 | 8,433,777 | 774,324 | |||||
229,890,541 | 240,833,825 | 553,370,271 | 302,727,702 | 29,477,420 | 28,703,096 | |||||
$239,971,572 | $229,890,541 | $576,504,320 | $ 553,370,271 | $ 37,911,197 | $29,477,420 | |||||
510,000 | 710,000 | 2,800,000 | 9,150,000 | 300,000 | 300,000 | |||||
(470,000) | (1,140,000) | (2,275,000) | (3,000,000) | — | (250,000) | |||||
40,000 | (430,000) | 525,000 | 6,150,000 | 300,000 | 50,000 |
SPDR Nuveen Municipal Bond ETF | SPDR Nuveen Municipal Bond ESG ETF | ||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 580,374 | $ 759,775 | $ 571,773 | $ 921,669 | |||
Net realized gain (loss) | (127,180) | (1,181,504) | (50,601) | (87,678) | |||
Net change in unrealized appreciation/depreciation | 1,369,065 | 1,363,270 | 920,876 | 106,461 | |||
Net increase (decrease) in net assets resulting from operations | 1,822,259 | 941,541 | 1,442,048 | 940,452 | |||
Net equalization credits and charges | 5,957 | 10,872 | (1,011) | 3,028 | |||
Distributions to shareholders | (638,404) | (530,211) | (661,175) | (974,780) | |||
Return of capital | — | (389,728) | — | — | |||
Total Distributions to shareholders | (638,404) | (919,939) | (661,175) | (974,780) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 5,293,893 | 7,988,301 | 2,900,625 | 4,356,963 | |||
Cost of shares redeemed | — | — | — | — | |||
Net income equalization | (5,957) | (10,872) | 1,011 | (3,028) | |||
Other capital | 5,294 | 118 | 102 | 2,864 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 5,293,230 | 7,977,547 | 2,901,738 | 4,356,799 | |||
Net increase (decrease) in net assets during the period | 6,483,042 | 8,010,021 | 3,681,600 | 4,325,499 | |||
Net assets at beginning of period | 43,071,388 | 35,061,367 | 36,790,250 | 32,464,751 | |||
NET ASSETS AT END OF PERIOD | $49,554,430 | $43,071,388 | $40,471,850 | $36,790,250 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 200,000 | 300,000 | 100,000 | 150,000 | |||
Shares redeemed | — | — | — | — | |||
Net increase (decrease) from share transactions | 200,000 | 300,000 | 100,000 | 150,000 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | SPDR DoubleLine Emerging Markets Fixed Income ETF | ||||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | |||||
$ 3,533,133 | $ 3,781,818 | $ 1,844,494 | $ 3,204,355 | $ 2,067,516 | $ 3,313,548 | |||||
(3,445,357) | (12,530,626) | 4,055,694 | (13,285,540) | (1,975,505) | (5,095,150) | |||||
5,154,645 | 5,722,938 | 20,081,622 | 47,025,282 | 4,032,807 | 4,727,940 | |||||
5,242,421 | (3,025,870) | 25,981,810 | 36,944,097 | 4,124,818 | 2,946,338 | |||||
(280,319) | (760,410) | (813,180) | (400,836) | 11,161 | 10,499 | |||||
(4,070,618) | (3,737,844) | (1,862,310) | (4,093,813) | (2,318,406) | (3,330,606) | |||||
— | — | — | — | — | — | |||||
(4,070,618) | (3,737,844) | (1,862,310) | (4,093,813) | (2,318,406) | (3,330,606) | |||||
34,957,732 | 110,570,222 | 128,073,242 | 107,269,046 | 8,094,038 | 22,282,311 | |||||
(13,152,784) | (42,780,089) | (29,452,550) | (44,239,964) | (4,940,087) | (16,630,979) | |||||
280,319 | 760,410 | 813,180 | 400,836 | (11,161) | (10,499) | |||||
— | — | — | — | 29,222 | 83,477 | |||||
22,085,267 | 68,550,543 | 99,433,872 | 63,429,918 | 3,172,012 | 5,724,310 | |||||
22,976,751 | 61,026,419 | 122,740,192 | 95,879,366 | 4,989,585 | 5,350,541 | |||||
179,571,864 | 118,545,445 | 299,124,353 | 203,244,987 | 79,531,567 | 74,181,026 | |||||
$202,548,615 | $179,571,864 | $421,864,545 | $299,124,353 | $84,521,152 | $ 79,531,567 | |||||
1,370,000 | 4,210,000 | 3,000,000 | 2,680,000 | 200,000 | 550,000 | |||||
(520,000) | (1,640,000) | (690,000) | (1,120,000) | (125,000) | (400,000) | |||||
850,000 | 2,570,000 | 2,310,000 | 1,560,000 | 75,000 | 150,000 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | ||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 3,224,449 | $ 4,623,179 | $ 71,778,735 | $ 101,053,600 | |||
Net realized gain (loss) | (938,223) | (1,185,399) | (84,133,765) | (73,961,637) | |||
Net change in unrealized appreciation/depreciation | 2,566,676 | 522,664 | 100,691,837 | (12,300,046) | |||
Net increase (decrease) in net assets resulting from operations | 4,852,902 | 3,960,444 | 88,336,807 | 14,791,917 | |||
Net equalization credits and charges | 52,921 | (29,009) | — | — | |||
Distributions to shareholders | (3,864,579) | (4,502,769) | (93,185,925) | (117,444,339) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 38,267,433 | 16,211,354 | 333,396,102 | 1,101,213,991 | |||
Cost of shares redeemed | (11,593,298) | (19,702,219) | (124,052,177) | (258,273,252) | |||
Net income equalization | (52,921) | 29,009 | — | — | |||
Other capital | 65,490 | 51,328 | 802,857 | 2,456,789 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 26,686,704 | (3,410,528) | 210,146,782 | 845,397,528 | |||
Contribution from affiliate (Note 5) | — | 7,309 | — | — | |||
Net increase (decrease) in net assets during the period | 27,727,948 | (3,974,553) | 205,297,664 | 742,745,106 | |||
Net assets at beginning of period | 127,630,832 | 131,605,385 | 2,987,440,313 | 2,244,695,207 | |||
NET ASSETS AT END OF PERIOD | $155,358,780 | $127,630,832 | $3,192,737,977 | $2,987,440,313 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 825,000 | 350,000 | 8,500,000 | 27,100,000 | |||
Shares redeemed | (250,000) | (425,000) | (3,100,000) | (6,350,000) | |||
Net increase (decrease) from share transactions | 575,000 | (75,000) | 5,400,000 | 20,750,000 |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 26.64 | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.61 | 1.61 | 2.99 | 0.65 | 0.78 | 0.69 | |||||
Net realized and unrealized gain (loss) (b) | 0.60 | (1.37) | (0.44) | 7.15 | (3.89) | (1.43) | |||||
Total from investment operations | 1.21 | 0.24 | 2.55 | 7.80 | (3.11) | (0.74) | |||||
Net equalization credits and charges (a) | 0.00(c) | (0.02) | 0.34 | 0.02 | (0.02) | 0.00(c) | |||||
Other capital (a) | — | — | 0.00(c) | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.61) | (1.51) | (3.48) | (0.55) | (0.80) | (0.70) | |||||
Net asset value, end of period | $ 27.24 | $ 26.64 | $ 27.93 | $ 28.52 | $ 21.25 | $ 25.18 | |||||
Total return (d) | 4.53% | 0.78% | 10.57% | 37.12% | (12.71)% | (2.71)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $509,355 | $533,633 | $468,031 | $130,358 | $53,750 | $112,792 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (e) | 0.12%(f) | 0.11% | 0.05% | 0.08% | 0.08% | 0.12% | |||||
Net investment income (loss) | 4.50%(f) | 5.79% | 10.09% | 2.56% | 3.30% | 2.76% | |||||
Portfolio turnover rate (g) | 9%(h) | 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 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 Income Allocation ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 30.29 | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.93 | 1.45 | 1.33 | 1.35 | 1.43 | 1.53 | |||||
Net realized and unrealized gain (loss) (b) | 0.55 | (0.33) | (4.92) | 5.18 | (2.95) | 0.91 | |||||
Total from investment operations | 1.48 | 1.12 | (3.59) | 6.53 | (1.52) | 2.44 | |||||
Net equalization credits and charges (a) | 0.01 | (0.02) | (0.01) | 0.04 | 0.03 | 0.03 | |||||
Other capital (a) | — | — | — | — | — | 0.00(c) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.75) | (1.54) | (1.29) | (1.32) | (1.46) | (1.57) | |||||
Net asset value, end of period | $ 31.03 | $ 30.29 | $ 30.73 | $ 35.62 | $ 30.37 | $ 33.32 | |||||
Total return (d) | 5.04% | 3.79% | (10.41)% | 21.90% | (4.56)% | 7.93% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $78,515 | $71,174 | $95,559 | $125,039 | $126,039 | $104,613 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (e) | 0.18%(f) | 0.09% | 0.12% | 0.16% | 0.18% | 0.18% | |||||
Net investment income (loss) | 6.24%(f) | 4.78% | 3.85% | 4.02% | 4.41% | 4.71% | |||||
Portfolio turnover rate (g) | 26%(h) | 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 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 Global Allocation ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 39.98 | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.54 | 1.21 | 1.61 | 0.91 | 1.07 | 1.03 | |||||
Net realized and unrealized gain (loss) (b) | 1.46 | 2.14 | (6.71) | 9.16 | (1.44) | 0.57 | |||||
Total from investment operations | 2.00 | 3.35 | (5.10) | 10.07 | (0.37) | 1.60 | |||||
Net equalization credits and charges (a) | 0.00(c) | 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 | (0.53) | (1.51) | (1.62) | (0.91) | (1.08) | (1.00) | |||||
Net realized gains | — | (0.84) | (0.35) | — | — | — | |||||
Total distributions | (0.53) | (2.35) | (1.97) | (0.91) | (1.08) | (1.00) | |||||
Net asset value, end of period | $ 41.45 | $ 39.98 | $ 38.97 | $ 46.04 | $ 36.88 | $ 38.33 | |||||
Total return (d) | 5.07% | 9.15% | (11.58)% | 27.51% | (1.00)% | 4.37% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $239,972 | $229,891 | $240,834 | $282,690 | $237,850 | $255,687 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (e) | 0.15%(f) | 0.11% | 0.11% | 0.17% | 0.09% | 0.15% | |||||
Net investment income (loss) | 2.72%(f) | 3.12% | 3.59% | 2.16% | 2.84% | 2.76% | |||||
Portfolio turnover rate (g) | 58%(h) | 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 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 Ultra Short Term Bond ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 40.25 | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.99 | 1.44 | 0.21 | 0.27 | 0.81 | 1.02 | |||||
Net realized and unrealized gain (loss) (b) | 0.26 | 0.18 | (0.63) | 0.25 | (0.11) | 0.04 | |||||
Total from investment operations | 1.25 | 1.62 | (0.42) | 0.52 | 0.70 | 1.06 | |||||
Net equalization credits and charges (a) | 0.02 | 0.04 | (0.01) | 0.00(c) | 0.02 | 0.03 | |||||
Other capital (a) | 0.00(c) | 0.01 | 0.01 | 0.01 | 0.03 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.13) | (1.25) | (0.21) | (0.33) | (0.90) | (0.97) | |||||
Net asset value, end of period | $ 40.39 | $ 40.25 | $ 39.83 | $ 40.46 | $ 40.26 | $ 40.41 | |||||
Total return (d) | 3.21% | 4.24% | (1.05)% | 1.34% | 1.86% | 2.79% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $576,504 | $553,370 | $302,728 | $402,603 | $298,907 | $167,719 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 4.89%(e) | 3.59% | 0.51% | 0.67% | 2.02% | 2.54% | |||||
Portfolio turnover rate (f) | 35%(g) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Loomis Sayles Opportunistic Bond ETF | |||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | For the Period 9/28/2021*- 6/30/22 | |||
Net asset value, beginning of period | $ 25.63 | $ 26.09 | $ 30.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.82 | 1.45 | 0.67 | ||
Net realized and unrealized gain (loss) (b) | 0.66 | (0.57) | (4.05) | ||
Total from investment operations | 1.48 | 0.88 | (3.38) | ||
Net equalization credits and charges (a) | 0.00(c) | (0.00)(c) | (0.02) | ||
Other capital (a) | 0.01 | 0.02 | 0.06 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.97) | (1.36) | (0.57) | ||
Net asset value, end of period | $ 26.15 | $ 25.63 | $ 26.09 | ||
Total return (d) | 5.93% | 3.58% | (11.25)% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $37,911 | $29,477 | $28,703 | ||
Ratios to average net assets: | |||||
Total expenses | 0.53%(e) | 0.53% | 0.55%(e) | ||
Net expenses | 0.53%(e) | 0.53% | 0.51%(e) | ||
Net investment income (loss) | 6.45%(e) | 5.62% | 3.11%(e) | ||
Portfolio turnover rate (f) | 29%(g) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Nuveen Municipal Bond ETF | |||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 26.92 | $ 26.97 | $ 30.11 | $ 30.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.35 | 0.51 | 0.17 | 0.07 | |||
Net realized and unrealized gain (loss) (b) | 0.64 | 0.04 | (2.80) | 0.11 | |||
Total from investment operations | 0.99 | 0.55 | (2.63) | 0.18 | |||
Net equalization credits and charges (a) | 0.00(c) | 0.01 | (0.00)(c) | 0.00(c) | |||
Other capital (a) | 0.00(c) | 0.00(c) | 0.01 | 0.03 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.38) | (0.36) | (0.30) | (0.10) | |||
Net realized gains | — | — | (0.22) | — | |||
Return of capital | — | (0.25) | — | — | |||
Total distributions | (0.38) | (0.61) | (0.52) | (0.10) | |||
Net asset value, end of period | $ 27.53 | $ 26.92 | $ 26.97 | $ 30.11 | |||
Total return (d) | 3.74% | 2.10% | (8.83)% | 0.69% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $49,554 | $43,071 | $35,061 | $45,164 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.40%(e) | 0.40% | 0.40% | 0.40%(e) | |||
Net investment income (loss) | 2.60%(e) | 1.90% | 0.57% | 0.57%(e) | |||
Portfolio turnover rate (f) | 22%(g) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Nuveen Municipal Bond ESG ETF | |||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | For the Period 4/5/2022*- 6/30/22 | |||
Net asset value, beginning of period | $ 29.43 | $ 29.51 | $ 30.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.45 | 0.77 | 0.14 | ||
Net realized and unrealized gain (loss) (b) | 0.62 | (0.03) | (0.57) | ||
Total from investment operations | 1.07 | 0.74 | (0.43) | ||
Net equalization credits and charges (a) | (0.00)(c) | 0.00(c) | 0.00(c) | ||
Other capital (a) | 0.00(c) | 0.00(c) | 0.03 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.52) | (0.82) | (0.09) | ||
Net asset value, end of period | $ 29.98 | $ 29.43 | $ 29.51 | ||
Total return (d) | 3.70% | 2.53% | (1.31)% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $40,472 | $36,790 | $32,465 | ||
Ratios to average net assets: | |||||
Total expenses | 0.43%(e) | 0.44% | 0.43%(e) | ||
Net investment income (loss) | 3.09%(e) | 2.62% | 2.00%(e) | ||
Portfolio turnover rate (f) | 16%(g) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR SSGA Fixed Income Sector Rotation ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 25.87 | $ 27.13 | $ 31.31 | $ 31.98 | $ 31.08 | $ 30.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.51 | 0.69 | 0.52 | 0.63 | 0.81 | 0.15 | |||||
Net realized and unrealized gain (loss) (b) | 0.24 | (1.14) | (4.02) | (0.37) | 1.31 | 0.99 | |||||
Total from investment operations | 0.75 | (0.45) | (3.50) | 0.26 | 2.12 | 1.14 | |||||
Net equalization credits and charges (a) | (0.04) | (0.14) | (0.14) | (0.16) | (0.17) | 0.00(c) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.58) | (0.67) | (0.54) | (0.77) | (1.05) | (0.16) | |||||
Net asset value, end of period | $ 26.00 | $ 25.87 | $ 27.13 | $ 31.31 | $ 31.98 | $ 31.08 | |||||
Total return (d) | 2.81% | (2.12)% | (11.78)% | 0.29% | 6.42% | 3.81% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $202,549 | $179,572 | $118,545 | $82,974 | $47,014 | $10,877 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (e) | 0.38%(f) | 0.36% | 0.39% | 0.39% | 0.31% | 0.31%(f) | |||||
Net investment income (loss) | 3.99%(f) | 2.62% | 1.76% | 1.99% | 2.57% | 1.98%(f) | |||||
Portfolio turnover rate (g) | 55%(h) | 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 | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 43.35 | $ 38.06 | $ 44.38 | $ 32.83 | $ 30.73 | $ 30.09 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.23 | 0.54 | 0.47 | 0.36 | 0.57 | 0.23 | |||||
Net realized and unrealized gain (loss) (b) | 2.57 | 5.51 | (5.07) | 11.62 | 1.98 | 0.55 | |||||
Total from investment operations | 2.80 | 6.05 | (4.60) | 11.98 | 2.55 | 0.78 | |||||
Net equalization credits and charges (a) | (0.10) | (0.07) | (0.03) | (0.04) | 0.03 | (0.03) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.24) | (0.69) | (0.46) | (0.39) | (0.48) | (0.11) | |||||
Net realized gains | — | — | (1.23) | — | — | — | |||||
Total distributions | (0.24) | (0.69) | (1.69) | (0.39) | (0.48) | (0.11) | |||||
Net asset value, end of period | $ 45.81 | $ 43.35 | $ 38.06 | $ 44.38 | $ 32.83 | $ 30.73 | |||||
Total return (c) | 6.28% | 15.91% | (11.02)% | 36.48% | 8.52% | 2.50% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $421,865 | $299,124 | $203,245 | $174,396 | $68,617 | $14,136 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (d) | 0.57%(e) | 0.57% | 0.54% | 0.52% | 0.49% | 0.49%(e) | |||||
Net investment income (loss) | 1.07%(e) | 1.37% | 1.06% | 0.89% | 1.79% | 3.12%(e) | |||||
Portfolio turnover rate (f) | 99%(g) | 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 | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 40.79 | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 1.07 | 1.85 | 1.49 | 1.48 | 1.87 | 1.98 | |||||
Net realized and unrealized gain (loss) (b) | 1.04 | (0.47) | (8.60) | 1.83 | (2.06) | 2.60 | |||||
Total from investment operations | 2.11 | 1.38 | (7.11) | 3.31 | (0.19) | 4.58 | |||||
Net equalization credits and charges (a) | 0.01 | 0.01 | (0.01) | 0.03 | 0.04 | 0.03 | |||||
Other capital (a) | 0.02 | 0.05 | 0.03 | 0.09 | 0.13 | 0.08 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.19) | (1.86) | (1.47) | (1.53) | (1.91) | (1.92) | |||||
Net realized gains | — | — | (1.22) | — | — | — | |||||
Total distributions | (1.19) | (1.86) | (2.69) | (1.53) | (1.91) | (1.92) | |||||
Net asset value, end of period | $ 41.74 | $ 40.79 | $ 41.21 | $ 50.99 | $ 49.09 | $ 51.02 | |||||
Total return (c) | 5.40% | 3.63% | (14.57)% | 7.09% | (0.04)% | 9.99% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $84,521 | $79,532 | $74,181 | $123,643 | $94,494 | $65,050 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.65%(d) | 0.66% | 0.65% | 0.72% | 0.75% | 0.75% | |||||
Net expenses | 0.65%(d) | 0.66% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
Net investment income (loss) | 5.27%(d) | 4.57% | 3.12% | 2.95% | 3.77% | 4.06% | |||||
Portfolio turnover rate (e) | 26%(f) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d) | Annualized. |
(e) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f) | Not annualized. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 46.41 | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 1.12 | 1.68 | 0.69 | 0.68 | 1.08 | 1.30 | |||||
Net realized and unrealized gain (loss) (b) | 0.46 | (0.22) | (2.96) | 0.14 | 0.07 | 0.62 | |||||
Total from investment operations | 1.58 | 1.46 | (2.27) | 0.82 | 1.15 | 1.92 | |||||
Net equalization credits and charges (a) | 0.02 | (0.01) | (0.01) | 0.01 | 0.00(c) | 0.03 | |||||
Contribution from affiliate (Note 5) | — | 0.00(c) | — | — | — | — | |||||
Other capital (a) | 0.02 | 0.02 | 0.07 | 0.01 | 0.03 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.31) | (1.65) | (0.73) | (0.72) | (1.14) | (1.29) | |||||
Net realized gains | — | — | (0.16) | — | — | — | |||||
Total distributions | (1.31) | (1.65) | (0.89) | (0.72) | (1.14) | (1.29) | |||||
Net asset value, end of period | $ 46.72 | $ 46.41 | $ 46.59 | $ 49.69 | $ 49.57 | $ 49.53 | |||||
Total return (d) | 3.56% | 3.24% | (4.52)% | 1.70% | 2.43% | 4.18% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $155,359 | $127,631 | $131,605 | $160,239 | $142,519 | $121,344 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.45%(e) | 0.46% | 0.45% | 0.49% | 0.50% | 0.50% | |||||
Net expenses | 0.45%(e) | 0.46% | 0.45% | 0.45% | 0.45% | 0.45% | |||||
Net investment income (loss) | 4.78%(e) | 3.63% | 1.41% | 1.36% | 2.18% | 2.65% | |||||
Portfolio turnover rate (f) | 17%(g) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 40.45 | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.90 | 1.68 | 1.30 | 1.09 | 1.37 | 1.56 | |||||
Net realized and unrealized gain (loss) (b) | 0.10 | (1.55) | (5.91) | (0.70) | 0.59 | 1.44 | |||||
Total from investment operations | 1.00 | 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) | 0.01 | 0.04 | 0.01 | 0.00(c) | 0.03 | 0.04 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.17) | (1.99) | (1.59) | (1.33) | (1.55) | (1.68) | |||||
Net asset value, end of period | $ 40.29 | $ 40.45 | $ 42.27 | $ 48.46 | $ 49.40 | $ 48.96 | |||||
Total return (d) | 2.61% | 0.49% | (9.75)% | 0.81%(e) | 4.13% | 6.53% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,192,738 | $2,987,440 | $2,244,695 | $3,188,671 | $3,191,242 | $3,336,881 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.55%(f) | 0.56% | 0.55% | 0.62% | 0.65% | 0.65% | |||||
Net expenses | 0.55%(f) | 0.56% | 0.55% | 0.55% | 0.55% | 0.55% | |||||
Net investment income (loss) | 4.58%(f) | 4.11% | 2.79% | 2.22% | 2.80% | 3.27% | |||||
Portfolio turnover rate (g) | 50%(h) | 113% | 119% | 82%(g) | 25% | 47% |
(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) | 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) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
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 SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $332,509 | $— | $— | $— | $— | $332,509 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Futures Contracts | 346,175 | — | — | — | — | 346,175 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Swap Contracts | $6,576 | $— | $— | $— | $— | $6,576 |
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 | $(947,774) | $— | $ — | $— | $— | $(947,774) | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Futures Contracts | (139,661) | — | — | — | — | (139,661) | |||||
Swap Contracts | (13,028) | — | (13,010) | — | — | (26,038) |
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 | $627,537 | $— | $— | $— | $— | $627,537 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Futures Contracts | 337,014 | — | — | — | — | 337,014 | |||||
Swap Contracts | 41,925 | — | — | — | — | 41,925 |
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 * |
Annual Rate | |
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 were 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 period ended December 31, 2023, the net annualized advisory fees were 0.12%, 0.18%, 0.15%, 0.52%, 0.38% and 0.57%, respectively. |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ — | $ — | $ 46,033,947 | $ 50,178,499 | |||
SPDR SSGA Income Allocation ETF | — | — | 18,193,678 | 18,499,018 | |||
SPDR SSGA Global Allocation ETF | — | — | 128,526,304 | 125,378,320 | |||
SPDR SSGA Ultra Short Term Bond ETF | 34,488,586 | 27,683,535 | 153,286,384 | 98,289,076 | |||
SPDR Loomis Sayles Opportunistic Bond ETF | — | — | 15,423,862 | 9,118,284 | |||
SPDR Nuveen Municipal Bond ETF | — | — | 15,422,800 | 9,768,843 | |||
SPDR Nuveen Municipal Bond ESG ETF | — | — | 6,943,439 | 5,882,599 | |||
SPDR SSGA Fixed Income Sector Rotation ETF | — | — | 97,756,975 | 98,344,928 | |||
SPDR SSGA US Sector Rotation ETF | — | — | 339,786,133 | 340,117,887 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | — | — | 20,733,590 | 20,061,696 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 33,687,800 | 7,015,431 | 24,725,991 | 13,262,445 | |||
SPDR DoubleLine Total Return Tactical ETF | 1,560,534,613 | 1,361,094,585 | 179,494,670 | 175,791,706 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $ 77,013,521 | $113,858,583 | $4,124,776 | ||
SPDR SSGA Income Allocation ETF | 7,320,978 | 1,994,987 | 42,399 | ||
SPDR SSGA Global Allocation ETF | 17,888,080 | 15,960,372 | 2,473,585 | ||
SPDR Loomis Sayles Opportunistic Bond ETF | — | 7,252 | 11 | ||
SPDR Nuveen Municipal Bond ESG ETF | 2,876,026 | — | — | ||
SPDR SSGA Fixed Income Sector Rotation ETF | 34,940,019 | 13,152,057 | 86,815 | ||
SPDR SSGA US Sector Rotation ETF | 127,621,327 | 29,014,133 | 4,358,670 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 558,588,983 | $ 4,482,513 | $ 31,432,324 | $ (26,949,811) | |||
SPDR SSGA Income Allocation ETF | 93,941,359 | 1,727,797 | 5,871,998 | (4,144,201) | |||
SPDR SSGA Global Allocation ETF | 233,349,227 | 24,155,581 | 6,176,804 | 17,978,777 | |||
SPDR SSGA Ultra Short Term Bond ETF | 569,027,945 | 3,675,577 | 1,370,002 | 2,305,575 | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 36,911,821 | 1,128,019 | 635,764 | 492,255 | |||
SPDR Nuveen Municipal Bond ETF | 49,687,069 | 974,303 | 1,648,182 | (673,879) | |||
SPDR Nuveen Municipal Bond ESG ETF | 39,598,910 | 778,152 | 227,522 | 550,630 | |||
SPDR SSGA Fixed Income Sector Rotation ETF | 221,002,229 | 1,501,660 | 643,003 | 858,657 | |||
SPDR SSGA US Sector Rotation ETF | 426,056,686 | 47,772,172 | 1,472,090 | 46,300,082 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 89,556,815 | 1,130,253 | 7,218,261 | (6,088,008) | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 154,097,999 | 861,650 | 4,040,869 | (3,179,219) | |||
SPDR DoubleLine Total Return Tactical ETF | 3,341,951,253 | 72,991,109 | 244,094,262 | (171,103,153) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 22,286,672 | $ 22,259,665 | $ 738,150 | $ 22,997,815 | ||||
SPDR SSGA Income Allocation ETF | 14,748,000 | 11,290,594 | 3,864,000 | 15,154,594 | ||||
SPDR SSGA Global Allocation ETF | 13,670,034 | 11,654,151 | 2,368,610 | 14,022,761 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 18,837,690 | 19,257,020 | 114,050 | 19,371,070 | ||||
SPDR SSGA US Sector Rotation ETF | 57,934,124 | 50,319,432 | 8,846,400 | 59,165,832 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 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 | $22,259,665 | $— | $— | $— | $22,259,665 | $22,259,665 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 11,290,594 | — | — | — | 11,290,594 | 11,290,594 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 11,654,151 | — | — | — | 11,654,151 | 11,654,151 | |||||||
SPDR SSGA Fixed Income Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 19,257,020 | — | — | — | 19,257,020 | 19,257,020 | |||||||
SPDR SSGA US Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 50,319,432 | — | — | — | 50,319,432 | 50,319,432 |
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 DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR SSGA Multi-Asset Real Return ETF | 0.12% | $1,045.30 | $0.62 | $1,024.50 | $0.61 | ||||
SPDR SSGA Income Allocation ETF | 0.18 | 1,050.40 | 0.93 | 1,024.20 | 0.92 | ||||
SPDR SSGA Global Allocation ETF | 0.15 | 1,050.70 | 0.77 | 1,024.40 | 0.76 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.20 | 1,032.10 | 1.02 | 1,024.10 | 1.02 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 0.53 | 1,059.30 | 2.74 | 1,022.50 | 2.69 | ||||
SPDR Nuveen Municipal Bond ETF | 0.40 | 1,037.40 | 2.05 | 1,023.10 | 2.03 | ||||
SPDR Nuveen Municipal Bond ESG ETF | 0.43 | 1,037.00 | 2.20 | 1,023.00 | 2.19 | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | 0.38 | 1,028.10 | 1.94 | 1,023.20 | 1.93 | ||||
SPDR SSGA US Sector Rotation ETF | 0.57 | 1,062.80 | 2.96 | 1,022.30 | 2.90 | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.65 | 1,054.00 | 3.36 | 1,021.90 | 3.30 | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.45 | 1,035.60 | 2.30 | 1,022.90 | 2.29 | ||||
SPDR DoubleLine Total Return Tactical ETF | 0.55 | 1,026.10 | 2.80 | 1,022.40 | 2.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-060252/g660205img9d4533091.jpg)
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 3.6% | ||
Point Au Roche Park CLO Ltd. 11.78% 7/20/2034 | 1.1 | ||
Intesa Sanpaolo SpA 5.71% 1/15/2026 | 0.6 | ||
Sunoco LP/Sunoco Finance Corp. 4.50% 5/15/2029 | 0.6 | ||
ARES LXVIII CLO Ltd. 13.93% 4/25/2035 | 0.6 | ||
TOTAL | 6.5% |
% of Net Assets | |||
Software | 8.3% | ||
Diversified Financial Services | 5.0 | ||
Commercial Services | 4.6 | ||
Oil, Gas & Consumable Fuels | 4.3 | ||
Automobiles | 4.1 | ||
Asset Backed Securities | 4.0 | ||
Other ABS | 3.5 | ||
Media | 3.3 | ||
Pipelines | 2.9 | ||
Specialty Retail | 2.8 | ||
Hotels, Restaurants & Leisure | 2.7 | ||
Insurance | 2.6 | ||
Real Estate Investment Trusts (REITs) | 2.6 | ||
Home Furnishings | 2.0 | ||
Aerospace & Defense | 1.9 | ||
Entertainment | 1.9 | ||
Commercial Services & Supplies | 1.9 | ||
Retail-Restaurants | 1.8 | ||
Building Products | 1.6 | ||
Health Care Providers & Services | 1.6 | ||
Leisure Industry | 1.3 | ||
Containers & Packaging | 1.2 | ||
Transport-Services | 1.2 | ||
Health Care Equipment & Supplies | 1.1 | ||
Construction & Engineering | 1.1 | ||
Chemicals | 1.1 | ||
Metals & Mining | 1.1 | ||
Construction Materials | 0.9 | ||
Machinery-Construction & Mining | 0.9 | ||
Office Automation&Equip | 0.9 | ||
IT Services | 0.8 | ||
Cosmetics & Toiletries | 0.8 | ||
Diversified Telecommunication Services | 0.8 | ||
Bldg-Residential/Commer | 0.8 | ||
Pharmaceuticals | 0.7 | ||
Retail-Building Products | 0.7 | ||
Internet & Telecom | 0.7 | ||
Retail | 0.7 | ||
Auto Components | 0.7 | ||
Food Products | 0.6 | ||
Computers | 0.6 | ||
Machinery | 0.6 | ||
Commercial Banks | 0.6 | ||
Airlines | 0.5 | ||
Beverages | 0.5 | ||
Electric Utilities | 0.5 | ||
Household Products | 0.5 | ||
Paper & Forest Products | 0.5 | ||
Real Estate | 0.5 | ||
Ground Transportation | 0.4 | ||
Advertising Services | 0.4 | ||
Leisure&Rec/Games | 0.4 | ||
Investment Companies | 0.4 | ||
Steel-Producers | 0.4 | ||
Distribution/Wholesale | 0.4 | ||
Electrical Equipment | 0.4 |
% of Net Assets | |||
Oil-Field Services | 0.4% | ||
Consumer Staples Distribution & Retail | 0.4 | ||
Electric-Generation | 0.4 | ||
Finance-Consumer Loans | 0.4 | ||
Metal-Iron | 0.4 | ||
Oil&Gas Drilling | 0.4 | ||
Consumer Finance | 0.3 | ||
Telecommunication Equip | 0.3 | ||
Trading Companies & Distributors | 0.3 | ||
Miscellaneous Manufactur | 0.3 | ||
Building Materials | 0.3 | ||
Hoolding Companies & Diversified | 0.3 | ||
Television | 0.3 | ||
Printing-Commercial | 0.3 | ||
Cruise Lines | 0.3 | ||
Medical Labs&Testing Srv | 0.2 | ||
Capital Markets | 0.2 | ||
Internet Security | 0.2 | ||
Shipbuilding | 0.2 | ||
Real Estate Management & Development | 0.2 | ||
Publishing-Newspapers | 0.2 | ||
Diversified Finan Serv | 0.2 | ||
Communications Equipment | 0.1 | ||
Internet & Catalog Retail | 0.1 | ||
Food-Misc/Diversified | 0.1 | ||
Air Freight & Logistics | 0.1 | ||
Life Sciences Tools & Services | 0.1 | ||
Diversified Consumer Services | 0.1 | ||
Professional Services | 0.1 | ||
Casino Services | 0.1 | ||
Leisure Time | 0.1 | ||
Semiconductors & Semiconductor Equipment | 0.1 | ||
Retail-Major Dept Store | 0.1 | ||
Bldg Prod-Doors&Windows | 0.1 | ||
E-Commerce/Services | 0.1 | ||
Food-Retail | 0.1 | ||
Broadcast Serv/Program | 0.1 | ||
Environ Monitoring&Det | 0.1 | ||
Commercial Serv-Finance | 0.1 | ||
Medical-Drugs | 0.1 | ||
Rental Auto/Equipment | 0.1 | ||
Building&Construct-Misc | 0.1 | ||
Metal Processors&Fabrica | 0.0 * | ||
Enterprise Software/Serv | 0.0 * | ||
Coal | 0.0 * | ||
Short-Term Investment | 2.7 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Barclays Capital, Inc. 5.37% 6/15/2024 | 1.9% | ||
Peraton Corp. Term Loan B 9.21% 2/1/2028 | 1.8 | ||
Medline Borrower LP USD Term Loan B 8.47% 10/23/2028 | 1.7 | ||
Athenahealth Group, Inc. 2022 Term Loan B 8.61% 2/15/2029 | 1.7 | ||
1011778 BC ULC 2023 Term Loan B5 7.61% 9/20/2030 | 1.6 | ||
TOTAL | 8.7% |
% of Net Assets | |||
Software | 14.2% | ||
Commercial Services | 7.5 | ||
Insurance | 5.7 | ||
Media | 5.0 | ||
Entertainment | 4.1 | ||
Diversified Financial Services | 3.5 | ||
Health Care Providers & Services | 3.3 | ||
Hotels, Restaurants & Leisure | 3.3 | ||
Retail | 2.9 | ||
Pharmaceuticals | 2.7 | ||
Health Care Equipment & Supplies | 2.6 | ||
Commercial Services & Supplies | 2.5 | ||
Specialty Retail | 2.5 | ||
Airlines | 2.3 | ||
Aerospace & Defense | 2.1 | ||
Pipelines | 2.1 | ||
Building Products | 1.7 | ||
Retail-Restaurants | 1.6 | ||
Retail-Building Products | 1.5 | ||
Cosmetics & Toiletries | 1.5 | ||
Machinery | 1.4 | ||
Home Furnishings | 1.4 | ||
Containers & Packaging | 1.2 | ||
Machinery-Construction & Mining | 1.1 | ||
Beverages | 1.0 | ||
Computers | 1.0 | ||
Auto Components | 1.0 | ||
Diversified Telecommunication Services | 0.9 | ||
Transport-Services | 0.9 | ||
Distribution/Wholesale | 0.9 | ||
Oil, Gas & Consumable Fuels | 0.8 | ||
Real Estate Investment Trusts (REITs) | 0.8 | ||
Chemicals | 0.7 | ||
Life Sciences Tools & Services | 0.7 | ||
Semiconductors & Semiconductor Equipment | 0.7 | ||
Independent Power Producers & Energy Traders | 0.6 | ||
Internet & Telecom | 0.6 | ||
Construction & Engineering | 0.6 | ||
Electronic Equipment, Instruments & Components | 0.6 | ||
Leisure Industry | 0.5 | ||
Construction Materials | 0.4 | ||
Leisure&Rec/Games | 0.4 | ||
Building Materials | 0.4 | ||
Communications Equipment | 0.3 | ||
Food Products | 0.3 | ||
IT Services | 0.3 | ||
Air Freight & Logistics | 0.3 | ||
Diversified Consumer Services | 0.3 | ||
Investment Companies | 0.3 | ||
Steel-Producers | 0.3 | ||
Metals & Mining | 0.3 | ||
Ground Transportation | 0.2 | ||
Internet & Catalog Retail | 0.2 | ||
Telecommunication Equip | 0.2 | ||
Trading Companies & Distributors | 0.2 |
% of Net Assets | |||
Professional Services | 0.2% | ||
Advertising Services | 0.2 | ||
Leisure Time | 0.2 | ||
Shipbuilding | 0.2 | ||
Oil-Field Services | 0.2 | ||
Office Automation&Equip | 0.2 | ||
Bldg-Residential/Commer | 0.2 | ||
Miscellaneous Manufactur | 0.1 | ||
Metal Fabricate & Hardware | 0.1 | ||
Capital Markets | 0.1 | ||
Casino Services | 0.1 | ||
Internet Security | 0.1 | ||
Electrical Equipment | 0.1 | ||
Advertising Agencies | 0.1 | ||
Hoolding Companies & Diversified | 0.1 | ||
Lodging | 0.1 | ||
Commercial Banks | 0.1 | ||
Cable/Satellite TV | 0.1 | ||
Automobiles | 0.1 | ||
Television | 0.1 | ||
Bldg Prod-Doors&Windows | 0.1 | ||
Electric Utilities | 0.1 | ||
Real Estate | 0.1 | ||
Electric-Generation | 0.1 | ||
Paper & Forest Products | 0.1 | ||
Metal-Iron | 0.1 | ||
Cruise Lines | 0.1 | ||
Oil&Gas Drilling | 0.1 | ||
Diversified Finan Serv | 0.1 | ||
Distributors | 0.0 * | ||
Household Products | 0.0 * | ||
Food-Misc/Diversified | 0.0 * | ||
Gaming & Entertainment | 0.0 * | ||
Environmental Control | 0.0 * | ||
Consumer Staples Distribution & Retail | 0.0 * | ||
Finance-Mtge Loan/Banker | 0.0 * | ||
E-Commerce/Services | 0.0 * | ||
Environ Monitoring&Det | 0.0 * | ||
Medical-Hospitals | 0.0 * | ||
Publishing-Newspapers | 0.0 * | ||
Internet Connectiv Svcs | 0.0 * | ||
Finance-Consumer Loans | 0.0 * | ||
Commercial Serv-Finance | 0.0 * | ||
Building&Construct-Misc | 0.0 * | ||
Enterprise Software/Serv | 0.0 * | ||
Coal | 0.0 * | ||
Short-Term Investment | 7.5 | ||
Repurchase Agreements | 1.9 | ||
Liabilities in Excess of Other Assets | (7.4) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 44.5% | |||||
ADVERTISING SERVICES — 0.2% | |||||
ABG Intermediate Holdings 2 LLC 2021 Term Loan B1 1 mo. USD Term SOFR + 4.00%, 9.36%, 12/21/2028 (a) | $ 222,804 | $ 224,119 | |||
CMG Media Corp. 2021 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.95%, 12/17/2026 (a) | 61,713 | 57,393 | |||
281,512 | |||||
AEROSPACE & DEFENSE — 0.6% | |||||
Dynasty Acquisition Co., Inc.: | |||||
2023 Term Loan B1 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (a) | 126,222 | 126,706 | |||
2023 Term Loan B2 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (a) | 54,095 | 54,303 | |||
TransDigm, Inc. 2023 Term Loan I 3 mo. USD Term SOFR + 3.25%, 8.61%, 8/24/2028 (a) | 619,290 | 622,884 | |||
803,893 | |||||
AIR FREIGHT & LOGISTICS — 0.1% | |||||
Worldwide Express Operations LLC 2021 1st Lien Term Loan 3 mo. USD Term SOFR + 4.00%, 9.36%, 7/26/2028 (a) | 173,669 | 170,689 | |||
AIRLINES — 0.5% | |||||
Air Canada 2021 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/11/2028 (a) | 247,849 | 248,914 | |||
American Airlines, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.60%, 2/15/2028 (a) | 106,662 | 106,702 | |||
Kestrel Bidco, Inc. Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.46%, 12/11/2026 (a) | 69,181 | 69,171 | |||
Mileage Plus Holdings LLC 2020 Term Loan B 3 mo. USD Term SOFR + 5.25%, 10.77%, 6/21/2027 (a) | 95,267 | 98,669 | |||
United Airlines, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.22%, 4/21/2028 (a) | 158,279 | 159,070 | |||
682,526 |
Security Description | Principal Amount | Value | |||
AUTO COMPONENTS — 0.5% | |||||
BBB Industries LLC 2022 Term Loan 1 mo. USD Term SOFR + 5.25%, 10.71%, 7/25/2029 (a) | $ 364,650 | $ 346,607 | |||
Clarios Global LP 2023 Incremental Term Loan 1 mo. USD Term SOFR + 3.75%, 9.11%, 5/6/2030 (a) | 249,375 | 250,248 | |||
596,855 | |||||
BEVERAGES — 0.4% | |||||
Triton Water Holdings, Inc. Term Loan 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/31/2028 (a) | 503,616 | 499,839 | |||
BUILDING MATERIALS — 0.3% | |||||
Summit Materials LLC 2023 Incremental Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.57%, 11/30/2028 (a) | 150,000 | 150,657 | |||
Tamko Building Products LLC 2023 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.87%, 9/20/2030 (a) | 248,182 | 249,683 | |||
400,340 | |||||
BUILDING PRODUCTS — 1.2% | |||||
ACProducts, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (a) | 197,191 | 173,583 | |||
Chamberlain Group, Inc. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 11/3/2028 (a) | 365,049 | 364,658 | |||
Cornerstone Building Brands, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 4/12/2028 (a) | 380,296 | 381,049 | |||
Janus International Group LLC 2023 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.76%, 8/3/2030 (a) | 174,562 | 175,190 | |||
Oscar AcquisitionCo LLC Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (a) | 379,400 | 376,351 | |||
1,470,831 | |||||
CAPITAL MARKETS — 0.2% | |||||
AqGen Island Holdings, Inc. Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 8/2/2028 (a) | 208,136 | 207,980 |
Security Description | Principal Amount | Value | |||
CASINO SERVICES — 0.1% | |||||
Stars Group Holdings BV 2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.86%, 7/22/2028 (a) | $ 165,205 | $ 165,985 | |||
CHEMICALS — 0.6% | |||||
Nouryon Finance BV 2023 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.47%, 4/3/2028 (a) | 430,980 | 433,202 | |||
PQ Corp. 2021 Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.98%, 6/9/2028 (a) | 125,119 | 125,479 | |||
SCIH Salt Holdings, Inc. 2021 Incremental Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.36%, 3/16/2027 (a) | 170,823 | 171,317 | |||
729,998 | |||||
COMMERCIAL SERVICES — 3.6% | |||||
AEA International Holdings Sarl Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.36%, 9/7/2028 (a) | 287,863 | 288,942 | |||
AlixPartners LLP 2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.11%, 2/4/2028 (a) | 176,402 | 176,998 | |||
Allied Universal Holdco LLC 2021 USD Incremental Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 5/12/2028 (a) | 490,217 | 488,947 | |||
Belron Finance U.S. LLC 2023 1st Lien Term Loan 3 mo. USD Term SOFR + 2.50%, 8.00%, 4/18/2029 (a) | 124,375 | 124,997 | |||
CoreLogic, Inc. Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/2/2028 (a) | 253,693 | 247,562 | |||
Corp. Service Co. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.61%, 11/2/2029 (a) | 297,178 | 298,292 | |||
GTCR W Merger Sub LLC USD Term Loan B (b) | 373,005 | 375,103 | |||
Homeserve USA Holding Corp. Term Loan 1 mo. USD Term SOFR + 3.00%, 8.36%, 10/21/2030 (a) | 372,238 | 373,867 | |||
Mavis Tire Express Services Corp. 2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/4/2028 (a) | 382,698 | 383,895 |
Security Description | Principal Amount | Value | |||
Neptune Bidco U.S., Inc. 2022 USD Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.51%, 4/11/2029 (a) | $ 266,504 | $ 244,147 | |||
OMNIA Partners LLC Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.63%, 7/25/2030 (a) | 364,050 | 366,782 | |||
Prime Security Services Borrower LLC 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.84%, 10/14/2030 (a) | 372,508 | 374,050 | |||
Spring Education Group, Inc. Term Loan 3 mo. USD Term SOFR + 4.50%, 9.85%, 10/4/2030 (a) | 120,000 | 120,495 | |||
Verscend Holding Corp. 2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 8/27/2025 (a) | 586,028 | 588,712 | |||
VT Topco, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.25%, 9.61%, 8/9/2030 (a) | 175,000 | 176,094 | |||
4,628,883 | |||||
COMMERCIAL SERVICES & SUPPLIES — 1.9% | |||||
Aramark Services, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.97%, 4/6/2028 (a) | 355,896 | 356,729 | |||
Asurion LLC: | |||||
2021 Second Lien Term Loan B4 1 mo. USD Term SOFR + 5.25%, 10.72%, 1/20/2029 (a) | 335,165 | 317,123 | |||
2021 Term Loan B9 1 mo. USD Term SOFR + 3.25%, 8.61%, 7/31/2027 (a) | 304,224 | 302,441 | |||
2022 Term Loan B10 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/19/2028 (a) | 179,590 | 179,085 | |||
Covanta Holding Corp.: | |||||
2021 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/30/2028 (a) | 131,130 | 131,263 | |||
2021 Term Loan C 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/30/2028 (a) | 9,998 | 10,008 | |||
Garda World Security Corp. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.72%, 10/30/2026 (a) | 497,748 | 499,266 |
Security Description | Principal Amount | Value | |||
McGraw-Hill Global Education Holdings LLC 2021 Term Loan 1 mo. USD Term SOFR + 4.75%, 10.11%, 7/28/2028 (a) | $ 243,364 | $ 243,441 | |||
Packaging Coordinators Midco, Inc. 2020 1st Lien Term Loan 3 mo. USD Term SOFR + 3.50%, 9.11%, 11/30/2027 (a) | 187,181 | 187,531 | |||
Thevelia U.S. LLC USD Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.25%, 6/18/2029 (a) | 149,625 | 150,373 | |||
2,377,260 | |||||
COMMUNICATIONS EQUIPMENT — 0.1% | |||||
Zayo Group Holdings, Inc. USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 3/9/2027 (a) | 108,052 | 93,158 | |||
COMPUTERS — 0.3% | |||||
Magenta Buyer LLC 2021 USD 1st Lien Term Loan 3 mo. USD Term SOFR + 5.00%, 10.64%, 7/27/2028 (a) | 132,134 | 94,559 | |||
Vision Solutions, Inc. 2021 Incremental Term Loan 3 mo. USD Term SOFR + 4.00%, 9.64%, 4/24/2028 (a) | 243,675 | 242,212 | |||
336,771 | |||||
CONSTRUCTION & ENGINEERING — 0.6% | |||||
Brown Group Holding LLC: | |||||
2022 Incremental Term Loan B2 3 mo. USD Term SOFR + 3.75%, 9.14%, 7/2/2029 (a) | 153,130 | 153,748 | |||
Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 6/7/2028 (a) | 166,546 | 166,926 | |||
KKR Apple Bidco LLC 2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.22%, 9/22/2028 (a) | 271,606 | 271,691 | |||
Pike Corp. 2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 1/21/2028 (a) | 184,204 | 185,067 | |||
777,432 | |||||
CONSTRUCTION MATERIALS — 0.3% | |||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan 1 mo. USD Term SOFR + 2.63%, 8.10%, 2/1/2027 (a) | 420,570 | 423,331 |
Security Description | Principal Amount | Value | |||
CONSUMER FINANCE — 0.3% | |||||
Amentum Government Services Holdings LLC Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 1/29/2027 (a) | $ 349,557 | $ 350,539 | |||
CONTAINERS & PACKAGING — 0.9% | |||||
Berlin Packaging LLC 2021 Term Loan B5 1 mo. USD Term SOFR + 3.75%, 9.21%, 3/11/2028 (a) | 125,633 | 125,926 | |||
Charter NEX U.S., Inc. 2021 Term Loan 1 mo. USD Term SOFR + 3.75%, 9.22%, 12/1/2027 (a) | 375,135 | 377,305 | |||
Clydesdale Acquisition Holdings, Inc. Term Loan B 1 mo. USD Term SOFR + 4.18%, 9.63%, 4/13/2029 (a) | 125,593 | 126,299 | |||
Graham Packaging Co., Inc. 2021 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/4/2027 (a) | 50,148 | 50,278 | |||
Proampac PG Borrower LLC 2023 Term Loan 3 mo. USD Term SOFR + 4.50%, 9.89%, 9/15/2028 (a) | 375,162 | 376,334 | |||
Trident TPI Holdings, Inc. 2021 Term Loan B3 3 mo. USD Term SOFR + 4.00%, 9.61%, 9/15/2028 (a) | 78,699 | 78,585 | |||
1,134,727 | |||||
COSMETICS & TOILETRIES — 0.7% | |||||
Solis IV BV USD Term Loan B1 3 mo. USD Term SOFR + 3.50%, 8.88%, 2/26/2029 (a) | 383,814 | 383,046 | |||
Sunshine Luxembourg VII Sarl 2021 Term Loan B3 3 mo. USD Term SOFR + 3.50%, 8.95%, 10/1/2026 (a) | 457,686 | 460,670 | |||
843,716 | |||||
DISTRIBUTION/WHOLESALE — 0.4% | |||||
Fastlane Parent Co., Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.86%, 9/29/2028 (a) | 375,451 | 375,628 | |||
Windsor Holdings III LLC USD Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.84%, 8/1/2030 (a) | 114,711 | 115,714 | |||
491,342 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Ascend Learning LLC 2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 5.75%, 11.21%, 12/10/2029 (a) | $ 144,286 | $ 125,142 | |||
DIVERSIFIED FINANCIAL SERVICES — 2.1% | |||||
Advisor Group, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.86%, 8/17/2028 (a) | 112,892 | 113,395 | |||
Apex Group Treasury LLC USD Term Loan 3 mo. USD Term SOFR + 3.75%, 9.38%, 7/27/2028 (a) | 90,505 | 90,278 | |||
Aretec Group, Inc. 2023 Incremental Term Loan 1 mo. USD Term SOFR + 4.50%, 9.96%, 8/9/2030 (a) | 502,858 | 503,200 | |||
Avolon TLB Borrower 1 U.S. LLC 2023 Term Loan B6 (b) | 140,000 | 140,478 | |||
Citadel Securities LP 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.97%, 7/29/2030 (a) | 246,520 | 247,392 | |||
Deerfield Dakota Holding LLC 2020 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.10%, 4/9/2027 (a) | 251,975 | 250,086 | |||
Edelman Financial Center LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.86%, 4/7/2028 (a) | 500,444 | 501,775 | |||
Focus Financial Partners LLC 2021 Term Loan B4 1 mo. USD Term SOFR + 2.50%, 7.86%, 6/30/2028 (a) | 496,751 | 497,653 | |||
NFP Corp. 2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 2/16/2027 (a) | 134,421 | 135,272 | |||
Paysafe Holdings Corp. USD Term Loan B1 1 mo. USD Term SOFR + 2.75%, 8.22%, 6/28/2028 (a) | 75,980 | 75,901 | |||
Walker & Dunlop, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 2.25%, 7.71%, 12/16/2028 (a) | 116,763 | 116,617 | |||
2,672,047 |
Security Description | Principal Amount | Value | |||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Altice France SA 2023 USD Term Loan B14 3 mo. USD Term SOFR + 5.50%, 10.89%, 8/15/2028 (a) | $ 88,454 | $ 79,719 | |||
CCI Buyer, Inc. Term Loan 3 mo. USD Term SOFR + 4.00%, 9.36%, 12/17/2027 (a) | 84,983 | 84,862 | |||
164,581 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
MX Holdings U.S., Inc. 2023 USD Term Loan B1D 1 mo. USD Term SOFR + 2.75%, 8.22%, 7/31/2028 (a) | 114,922 | 115,389 | |||
ENTERTAINMENT — 1.3% | |||||
AP Gaming I LLC 2022 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.35%, 2/15/2029 (a) | 177,276 | 178,217 | |||
CE Intermediate I LLC Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.02%, 11/10/2028 (a) | 188,374 | 186,961 | |||
Crown Finance U.S., Inc. 2023 Exit Term Loan 3 mo. USD Term SOFR + 8.50%, 13.88%, 7/31/2028 (a) | 40,186 | 40,890 | |||
Fertitta Entertainment LLC 2022 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.35%, 1/27/2029 (a) | 267,725 | 268,185 | |||
GVC Holdings Ltd. 2022 USD Term Loan B2 3 mo. USD Term SOFR + 3.50%, 8.95%, 10/31/2029 (a) | 276,742 | 277,607 | |||
Motion Finco Sarl Delayed Draw Term Loan B2 3 mo. USD Term SOFR + 3.25%, 8.86%, 11/12/2026 (a) | 49,340 | 49,450 | |||
SMG U.S. Midco 2, Inc. 2020 Term Loan 3 mo. USD Term SOFR + 2.50%, 8.14%, 1/23/2025 (a) | 138,815 | 139,179 | |||
UFC Holdings LLC 2021 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.40%, 4/29/2026 (a) | 420,648 | 422,722 | |||
WMG Acquisition Corp. 2021 Term Loan G 1 mo. USD Term SOFR + 2.13%, 7.48%, 1/20/2028 (a) | 134,203 | 134,488 | |||
1,697,699 |
Security Description | Principal Amount | Value | |||
FOOD PRODUCTS — 0.3% | |||||
Froneri International Ltd. 2020 USD Term Loan 1 mo. USD Term SOFR + 2.25%, 7.61%, 1/29/2027 (a) | $ 356,244 | $ 357,063 | |||
FOOD-MISC/DIVERSIFIED — 0.1% | |||||
Skopima Merger Sub, Inc. Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/12/2028 (a) | 188,003 | 187,651 | |||
GROUND TRANSPORTATION — 0.3% | |||||
Genesee & Wyoming, Inc. Term Loan 3 mo. USD Term SOFR + 2.00%, 7.36%, 12/30/2026 (a) | 123,783 | 124,218 | |||
Kenan Advantage Group, Inc. 2021 Term Loan B1 1 mo. USD Term SOFR + 3.86%, 9.22%, 3/24/2026 (a) | 311,174 | 310,602 | |||
434,820 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.9% | |||||
Bausch & Lomb Corp. Term Loan 3 mo. USD Term SOFR + 3.25%, 8.71%, 5/10/2027 (a) | 611,079 | 606,117 | |||
Gainwell Acquisition Corp. Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.36%, 10/1/2027 (a) | 510,478 | 497,716 | |||
1,103,833 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.9% | |||||
GHX Ultimate Parent Corp. 2023 Term Loan 3 mo. USD Term SOFR + 4.75%, 10.12%, 6/30/2027 (a) | 169,778 | 170,451 | |||
Medline Borrower LP USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/23/2028 (a) | 619,277 | 623,097 | |||
Radnet Management, Inc. 2021 Term Loan 3 mo. USD Term SOFR + 3.00%, 8.64%, 4/21/2028 (a) | 136,385 | 136,991 | |||
Surgery Center Holdings, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 12/19/2030 | 280,000 | 281,488 | |||
1,212,027 |
Security Description | Principal Amount | Value | |||
HOME FURNISHINGS — 0.4% | |||||
AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.09%, 7/31/2028 (a) | $ 486,024 | $ 487,001 | |||
HOOLDING COMPANIES & DIVERSIFIED — 0.3% | |||||
Belfor Holdings, Inc. 2023 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 11/1/2030 (a) | 372,586 | 374,218 | |||
HOTELS, RESTAURANTS & LEISURE — 1.5% | |||||
Alterra Mountain Co. 2021 Series B-2 Consenting Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 8/17/2028 (a) | 311,395 | 312,239 | |||
Caesars Entertainment Corp. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 2/6/2030 (a) | 316,929 | 318,191 | |||
Motion Finco Sarl USD Term Loan B1 3 mo. USD Term SOFR + 3.25%, 8.86%, 11/12/2026 (a) | 346,095 | 346,867 | |||
Peraton Corp. Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/1/2028 (a) | 617,008 | 619,322 | |||
Scientific Games International, Inc. 2022 USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.46%, 4/14/2029 (a) | 306,738 | 308,080 | |||
1,904,699 | |||||
INSURANCE — 2.4% | |||||
Acrisure LLC 2021 First Lien Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.90%, 2/15/2027 (a) | 169,961 | 170,704 | |||
Alliant Holdings Intermediate LLC 2023 Term Loan B6 3 mo. USD Term SOFR + 3.50%, 8.86%, 11/6/2030 | 360,492 | 360,492 | |||
AmWINS Group, Inc. 2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.11%, 2/19/2028 (a) | 128,700 | 129,223 | |||
AssuredPartners, Inc. 2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 2/12/2027 (a) | 488,520 | 490,232 | |||
Broadstreet Partners, Inc. 2020 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 1/27/2027 (a) | 372,202 | 373,183 |
Security Description | Principal Amount | Value | |||
HUB International Ltd. 2023 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.66%, 6/20/2030 (a) | $ 114,712 | $ 115,350 | |||
Hyperion Insurance Group Ltd. 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 11/12/2027 (a) | 496,563 | 498,284 | |||
Ryan Specialty Group LLC Term Loan 1 mo. USD Term SOFR + 3.00%, 8.46%, 9/1/2027 (a) | 244,355 | 244,559 | |||
Sedgwick Claims Management Services, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/24/2028 (a) | 439,067 | 440,957 | |||
USI, Inc.: | |||||
2023 Acquisition Term Loan 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (a) | 99,750 | 100,030 | |||
2023 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.34%, 11/22/2029 (a) | 183,041 | 183,628 | |||
3,106,642 | |||||
INTERNET & CATALOG RETAIL — 0.1% | |||||
ION Trading Finance Ltd. 2021 USD Term Loan 3 mo. USD Term SOFR + 4.75%, 10.20%, 4/3/2028 (a) | 74,309 | 74,489 | |||
INTERNET & TELECOM — 0.4% | |||||
Adevinta ASA USD Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.11%, 6/26/2028 | 48,365 | 48,837 | |||
Go Daddy Operating Co. LLC 2021 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.47%, 8/10/2027 (a) | 821 | 821 | |||
Uber Technologies, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.13%, 3/3/2030 (a) | 493,796 | 495,803 | |||
545,461 | |||||
INTERNET SECURITY — 0.2% | |||||
Proofpoint, Inc. 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.72%, 8/31/2029 (a) | 240,040 | 243,041 |
Security Description | Principal Amount | Value | |||
INVESTMENT COMPANIES — 0.2% | |||||
AL GCX Holdings LLC Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.95%, 5/17/2029 (a) | $ 131,868 | $ 132,296 | |||
GIP Pilot Acquisition Partners LP Term Loan 3 mo. USD Term SOFR + 3.00%, 8.39%, 10/4/2030 (a) | 100,000 | 100,152 | |||
232,448 | |||||
IT SERVICES — 0.4% | |||||
Access CIG LLC: | |||||
2018 2nd Lien Term Loan 3 mo. USD Term SOFR + 7.75%, 13.39%, 2/27/2026 (a) | 194,616 | 194,453 | |||
2023 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.39%, 8/18/2028 (a) | 248,506 | 249,231 | |||
Ahead DB Holdings LLC 2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.20%, 10/18/2027 (a) | 52,392 | 52,278 | |||
Presidio Holdings, Inc. 2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.96%, 1/22/2027 (a) | 22,585 | 22,659 | |||
518,621 | |||||
LEISURE INDUSTRY — 0.4% | |||||
Carnival Corp. 2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 10/18/2028 (a) | 498,419 | 499,875 | |||
LEISURE TIME — 0.1% | |||||
Recess Holdings, Inc. 2023 Term Loan 3 mo. USD Term SOFR + 4.00%, 9.39%, 3/29/2027 (a) | 174,562 | 176,090 | |||
LEISURE&REC/GAMES — 0.4% | |||||
Scientific Games Holdings LP 2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.66%, 4/4/2029 (a) | 472,572 | 473,340 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Parexel International Corp. 2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 11/15/2028 (a) | 159,740 | 160,878 | |||
MACHINERY — 0.5% | |||||
Chart Industries, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 3/15/2030 (a) | 156,668 | 157,190 |
Security Description | Principal Amount | Value | |||
Madison IAQ LLC Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 6/21/2028 (a) | $ 435,169 | $ 434,427 | |||
591,617 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.4% | |||||
Brookfield WEC Holdings, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.11%, 8/1/2025 (a) | 464,901 | 466,665 | |||
MEDIA — 1.8% | |||||
Cogeco Communications Finance (USA), LP 2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.97%, 9/1/2028 (a) | 126,313 | 124,608 | |||
CSC Holdings LLC 2019 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.98%, 4/15/2027 (a) | 128,745 | 122,200 | |||
DirecTV Financing LLC Term Loan 3 mo. USD Term SOFR + 5.00%, 10.65%, 8/2/2027 (a) | 367,176 | 367,842 | |||
Gray Television, Inc. 2021 Term Loan D 1 mo. USD Term SOFR + 3.00%, 8.46%, 12/1/2028 (a) | 58,568 | 58,253 | |||
MH Sub I LLC: | |||||
2020 Incremental Term Loan 1 mo. USD Term SOFR + 3.75%, 9.22%, 9/13/2024 (a) | 108,695 | 109,058 | |||
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.61%, 2/23/2029 (a) | 116,242 | 109,164 | |||
Radiate Holdco LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 9/25/2026 (a) | 70,251 | 56,585 | |||
Telenet Financing USD LLC 2020 USD Term Loan AR 1 mo. USD Term SOFR + 2.00%, 7.48%, 4/30/2028 (a) | 311,409 | 310,280 | |||
Univision Communications, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 1/31/2029 (a) | 153,022 | 153,069 | |||
UPC Broadband Holding BV 2020 USD Term Loan AT 1 mo. USD Term SOFR + 2.25%, 7.73%, 4/30/2028 (a) | 276,108 | 275,590 |
Security Description | Principal Amount | Value | |||
Vertical U.S. Newco, Inc. Term Loan B 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (a) | $ 495,821 | $ 497,557 | |||
Virgin Media Bristol LLC USD Term Loan N 1 mo. USD Term SOFR + 2.50%, 7.98%, 1/31/2028 (a) | 164,749 | 164,451 | |||
2,348,657 | |||||
MEDICAL LABS&TESTING SRV — 0.2% | |||||
Electron BidCo, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 11/1/2028 (a) | 60,625 | 60,852 | |||
U.S. Anesthesia Partners, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 4.25%, 9.71%, 10/1/2028 (a) | 261,661 | 240,148 | |||
301,000 | |||||
MISCELLANEOUS MANUFACTUR — 0.1% | |||||
Gates Global LLC 2021 Term Loan B3 1 mo. USD Term SOFR + 2.50%, 7.96%, 3/31/2027 (a) | 185,396 | 185,926 | |||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
Pacific Gas & Electric Co. 2020 Term Loan B1 1 mo. USD Term SOFR + 3.00%, 7.86%, 6/23/2027 (a) | 145,000 | 145,408 | |||
PHARMACEUTICALS — 0.7% | |||||
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B 3 mo. USD Term SOFR + 2.00%, 7.54%, 11/15/2027 (a) | 170,610 | 170,824 | |||
Jazz Financing Lux Sarl USD Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 5/5/2028 (a) | 305,078 | 307,047 | |||
Organon & Co. USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 6/2/2028 (a) | 354,367 | 355,697 | |||
833,568 | |||||
PIPELINES — 1.7% | |||||
BIP PipeCo Holdings LLC Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.62%, 12/6/2030 | 160,000 | 159,800 |
Security Description | Principal Amount | Value | |||
Buckeye Partners LP: | |||||
2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.61%, 11/1/2026 (a) | $ 199,979 | $ 200,719 | |||
2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/22/2030 (a) | 105,911 | 106,387 | |||
CQP Holdco LP 2023 4th Amendment Term Loan 3 mo. USD Term SOFR + 3.00%, 8.36%, 12/31/2030 | 353,169 | 354,414 | |||
Freeport LNG Investments LLLP Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.18%, 12/21/2028 (a) | 483,932 | 484,409 | |||
Oryx Midstream Services Permian Basin LLC 2023 Incremental Term Loan 1 mo. USD Term SOFR + 3.25%, 8.71%, 10/5/2028 (a) | 347,315 | 348,657 | |||
TransMontaigne Operating Co. LP Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 11/17/2028 (a) | 150,994 | 150,684 | |||
Whitewater Whistler Holdings LLC 2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.15%, 2/15/2030 (a) | 322,584 | 323,756 | |||
2,128,826 | |||||
PROFESSIONAL SERVICES — 0.1% | |||||
Anticimex International AB 2021 USD Term Loan B1 3 mo. USD Term SOFR + 3.15%, 8.50%, 11/16/2028 (a) | 174,758 | 174,904 | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.2% | |||||
Iron Mountain, Inc. 2023 Term Loan B (b) | 280,000 | 280,438 | |||
RETAIL — 0.7% | |||||
1011778 BC ULC 2023 Term Loan B5 1 mo. USD Term SOFR + 2.25%, 7.61%, 9/20/2030 (a) | 124,662 | 124,862 | |||
BCPE Grill Parent, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.11%, 9/30/2030 (a) | 258,592 | 254,174 | |||
Harbor Freight Tools USA, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 10/19/2027 (a) | 374,955 | 375,022 | |||
Peer Holding III B.V. 2023 USD Term Loan B4 (b) | 200,000 | 200,875 | |||
954,933 |
Security Description | Principal Amount | Value | |||
RETAIL-BUILDING PRODUCTS — 0.4% | |||||
LBM Acquisition LLC Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 12/17/2027 (a) | $ 496,141 | $ 491,413 | |||
RETAIL-RESTAURANTS — 0.4% | |||||
IRB Holding Corp. 2022 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.36%, 12/15/2027 (a) | 496,462 | 497,880 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1% | |||||
MKS Instruments, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.84%, 8/17/2029 (a) | 140,013 | 140,575 | |||
SHIPBUILDING — 0.2% | |||||
LSF11 Trinity Bidco, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.36%, 6/14/2030 (a) | 279,202 | 281,296 | |||
SOFTWARE — 7.5% | |||||
Applied Systems, Inc. 2022 Extended 1st Lien Term Loan 3 mo. USD Term SOFR + 4.50%, 9.85%, 9/18/2026 (a) | 163,762 | 164,711 | |||
AppLovin Corp. 2023 Term Loan B 1 mo. USD Term SOFR + 3.10%, 8.46%, 8/16/2030 (a) | 134,026 | 134,296 | |||
Apttus Corp. 2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/8/2028 (a) | 169,516 | 170,170 | |||
Athenahealth Group, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.61%, 2/15/2029 (a) | 519,083 | 517,525 | |||
Banff Merger Sub, Inc. 2021 USD 2nd Lien Term Loan 1 mo. USD Term SOFR + 5.50%, 10.97%, 2/27/2026 (a) | 73,647 | 73,647 | |||
Banff Merger Sub., Inc. 2023 USD Term Loan 3 mo. USD Term SOFR + 4.25%,, 1/31/2024 (a) | 164,927 | 166,350 | |||
Camelot U.S. Acquisition LLC Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/30/2026 (a) | 354,732 | 355,663 | |||
Central Parent, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.35%, 7/6/2029 (a) | 587,554 | 591,561 |
Security Description | Principal Amount | Value | |||
Cloud Software Group, Inc. 2022 USD Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.99%, 3/30/2029 (a) | $ 647,550 | $ 634,155 | |||
Cloudera, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 10/8/2028 (a) | 140,000 | 140,000 | |||
DCert Buyer, Inc. 2019 Term loan B 1 mo. USD Term SOFR + 4.00%, 9.36%, 10/16/2026 (a) | 197,391 | 196,057 | |||
Dun & Bradstreet Corp. 2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 2/6/2026 (a) | 381,095 | 382,347 | |||
EP Purchaser LLC 2021 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.11%, 11/6/2028 (a) | 144,650 | 143,685 | |||
Epicor Software Corp. 2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 7/30/2027 (a) | 286,598 | 287,955 | |||
EverCommerce, Inc. Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 7/6/2028 (a) | 136,368 | 136,667 | |||
First Advantage Holdings LLC 2021 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 1/31/2027 (a) | 116,548 | 117,028 | |||
Flexera Software LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.22%, 3/3/2028 (a) | 185,762 | 185,893 | |||
Fortra LLC 2021 Term Loan 3 mo. USD Term SOFR + 4.00%, 9.48%, 11/19/2026 (a) | 181,050 | 172,062 | |||
Gen Digital, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.35%, 9/12/2029 (a) | 274,601 | 275,330 | |||
I-Logic Technologies Bidco Ltd. 2021 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.50%, 2/16/2028 (a) | 177,920 | 178,115 | |||
Informatica LLC 2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 10/27/2028 (a) | 152,788 | 153,298 | |||
McAfee LLC 2022 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/1/2029 (a) | 385,801 | 385,240 |
Security Description | Principal Amount | Value | |||
MeridianLink, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.61%, 11/10/2028 (a) | $ 114,124 | $ 114,366 | |||
Mitchell International, Inc.: | |||||
2021 2nd Lien Term Loan 3 mo. USD Term SOFR + 6.50%, 12.15%, 10/15/2029 (a) | 77,379 | 76,194 | |||
2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.40%, 10/15/2028 (a) | 360,610 | 360,974 | |||
Navicure, Inc. 2019 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 10/22/2026 (a) | 370,741 | 372,595 | |||
Open Text Corp. 2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 1/31/2030 (a) | 494,692 | 496,426 | |||
Project Alpha Intermediate Holding, Inc. 2023 1st Lien Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.11%, 10/28/2030 (a) | 243,100 | 244,898 | |||
Project Ruby Ultimate Parent Corp. 2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 3/10/2028 (a) | 190,617 | 190,821 | |||
Quartz Acquireco LLC Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/28/2030 (a) | 199,500 | 200,373 | |||
Quest Software U.S. Holdings, Inc. 2022 Term Loan 3 mo. USD Term SOFR + 4.25%, 9.78%, 2/1/2029 (a) | 119,090 | 91,567 | |||
RealPage, Inc. 1st Lien Term Loan 1 mo. USD Term SOFR + 3.00%, 8.36%, 4/24/2028 (a) | 445,180 | 442,705 | |||
SolarWinds Holdings, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/5/2027 (a) | 477,600 | 479,327 | |||
Sovos Compliance LLC 2021 Term Loan 1 mo. USD Term SOFR + 4.50%, 9.97%, 8/11/2028 (a) | 126,195 | 124,933 | |||
SS&C Technologies, Inc.: | |||||
2022 Term Loan B6 1 mo. USD Term SOFR + 2.25%, 7.71%, 3/22/2029 (a) | 44,864 | 44,991 | |||
2022 Term Loan B7 1 mo. USD Term SOFR + 2.25%, 7.71%, 3/22/2029 (a) | 75,500 | 75,714 |
Security Description | Principal Amount | Value | |||
Surf Holdings LLC USD Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 3/5/2027 (a) | $ 93,923 | $ 94,240 | |||
Ultimate Software Group, Inc.: | |||||
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 5.25%, 10.76%, 5/3/2027 (a) | 100,669 | 101,056 | |||
2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/4/2026 (a) | 508,559 | 510,588 | |||
9,583,523 | |||||
SPECIALTY RETAIL — 1.3% | |||||
Michaels Cos., Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 4/15/2028 (a) | 333,066 | 277,777 | |||
Petco Health & Wellness Co., Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/3/2028 (a) | 107,751 | 102,162 | |||
PetSmart, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/11/2028 (a) | 424,064 | 420,035 | |||
SRS Distribution, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 6/2/2028 (a) | 484,788 | 486,203 | |||
Whatabrands LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/3/2028 (a) | 382,037 | 383,164 | |||
1,669,341 | |||||
STEEL-PRODUCERS — 0.3% | |||||
Arsenal AIC Parent LLC Term Loan 1 mo. USD Term SOFR + 4.50%, 9.86%, 8/18/2030 (a) | 148,665 | 149,501 | |||
Phoenix Services International LLC 2023 Exit PIK Term Loan 1 mo. USD Term SOFR + 6.10%, 11.46%, 6/30/2028 (a) | 207,700 | 193,680 | |||
343,181 | |||||
TELECOMMUNICATION EQUIP — 0.3% | |||||
Coral-U.S. Co-Borrower LLC 2021 Term Loan B6 2 mo. USD Term SOFR + 3.00%, 8.54%, 10/15/2029 (a) | 261,333 | 261,225 |
Security Description | Principal Amount | Value | |||
Delta TopCo, Inc. 2020 Term Loan B 6 mo. USD Term SOFR + 3.75%, 9.12%, 12/1/2027 (a) | $ 118,510 | $ 118,599 | |||
379,824 | |||||
TRADING COMPANIES & DISTRIBUTORS — 0.3% | |||||
Foundation Building Materials Holding Co. LLC 2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.89%, 1/31/2028 (a) | 376,567 | 375,991 | |||
TRANSPORT-SERVICES — 0.3% | |||||
Endure Digital, Inc. Term Loan 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (a) | 394,543 | 387,577 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $56,106,115) | 56,897,205 | ||||
ASSET-BACKED SECURITIES — 7.5% | |||||
OTHER ABS — 7.5% | |||||
Apidos CLO XI Ltd. Series 2012-11A, Class ER3, 3 mo. USD Term SOFR + 6.83%, 12.23%, 4/17/2034 (a) (c) | 500,000 | 481,501 | |||
ARES LXVIII CLO Ltd. Series 2023-68A, Class E, 3 mo. USD Term SOFR + 8.55%, 13.93%, 4/25/2035 (a) (c) | 750,000 | 752,175 | |||
Balboa Bay Loan Funding Ltd. Series 2022-1A, Class E, 3 mo. USD Term SOFR + 7.93%, 13.35%, 4/20/2034 (a) (c) | 500,000 | 491,600 | |||
Ballyrock CLO Ltd. Series 2020-2A, Class DR, 3 mo. USD Term SOFR + 6.41%, 11.83%, 10/20/2031 (a) (c) | 750,000 | 740,700 | |||
Benefit Street Partners CLO X Ltd. Series 2016-10A, Class DRR, 3 mo. USD Term SOFR + 7.01%, 12.43%, 4/20/2034 (a) (c) | 500,000 | 488,350 | |||
Canyon CLO Ltd. Series 2020-1A, Class ER, 3 mo. USD Term SOFR + 6.61%, 12.01%, 7/15/2034 (a) (c) | 602,000 | 573,465 | |||
Carlyle U.S. CLO Ltd.: | |||||
Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 6.51%, 11.93%, 7/20/2034 (a) (c) | 500,000 | 480,050 |
Security Description | Principal Amount | Value | |||
Series 2021-9A, Class E, 3 mo. USD Term SOFR + 6.89%, 12.31%, 10/20/2034 (a) (c) | $ 712,882 | $ 661,982 | |||
GoldenTree Loan Management U.S. CLO Ltd. Series 2022-12A, Class E, 3 mo. USD Term SOFR + 7.25%, 12.67%, 4/20/2034 (a) (c) | 500,000 | 495,550 | |||
Magnetite XXXI Ltd. Series 2021-31A, Class D, 3 mo. USD Term SOFR + 3.26%, 8.66%, 7/15/2034 (a) (c) | 500,000 | 485,350 | |||
Palmer Square CLO Ltd. Series 2019-1A, Class DR, 3 mo. USD Term SOFR + 6.76%, 12.14%, 11/14/2034 (a) (c) | 500,000 | 479,300 | |||
Point Au Roche Park CLO Ltd. Series 2021-1A, Class E, 3 mo. USD Term SOFR + 6.36%, 11.78%, 7/20/2034 (a) (c) | 1,480,000 | 1,376,104 | |||
Rad CLO 15 Ltd. Series 2021-15A, Class E, 3 mo. USD Term SOFR + 6.46%, 11.88%, 1/20/2034 (a) (c) | 652,349 | 622,667 | |||
RR 20 Ltd. Series 2022-20A, Class D, 3 mo. USD Term SOFR + 7.25%, 12.64%, 7/15/2037 (a) (c) | 500,000 | 501,719 | |||
Vibrant CLO XVI Ltd. Series 2023-16A, Class C, 3 mo. USD Term SOFR + 5.84%, 11.23%, 4/15/2036 (a) (c) | 500,000 | 505,000 | |||
Voya CLO Ltd. Series 2019-2A, Class E, 3 mo. USD Term SOFR + 6.86%, 12.28%, 7/20/2032 (a) (c) | 500,000 | 489,850 | |||
9,625,363 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $9,282,255) | 9,625,363 |
Shares | |||
COMMON STOCKS — 0.2% | |||
AEROSPACE & DEFENSE — 0.2% | |||
Flame Newco LLC (d) (e) | 19,856 | 205,113 | |
ENTERTAINMENT — 0.0% | |||
Cineworld Group PLC (d) (e) | 1,834 | 33,012 | |
TOTAL COMMON STOCKS (Cost $242,710) | 238,125 |
Security Description | Shares | Value | |||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 3.6% | |||||
DOMESTIC FIXED INCOME — 3.6% | |||||
SPDR Blackstone Senior Loan ETF, , 0.00%, (Cost $4,609,215) | 110,911 | $ 4,650,498 |
Principal Amount | |||
CORPORATE BONDS & NOTES — 41.8% | |||
ADVERTISING — 0.5% | |||
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (c) | $ 306,000 | 281,997 | |
Clear Channel Outdoor Holdings, Inc.: | |||
7.50%, 6/1/2029 (c) | 220,000 | 182,638 | |
7.75%, 4/15/2028 (c) | 130,000 | 112,112 | |
AEROSPACE & DEFENSE — 1.1% | |||
Bombardier, Inc. 8.75%, 11/15/2030 (c) | 42,000 | 44,751 | |
Rolls-Royce PLC 5.75%, 10/15/2027 (c) | 400,000 | 400,448 | |
Spirit AeroSystems, Inc. 4.60%, 6/15/2028 | 100,000 | 88,277 | |
TransDigm, Inc.: | |||
4.63%, 1/15/2029 | 530,000 | 496,939 | |
4.88%, 5/1/2029 | 390,000 | 365,180 | |
AUTO MANUFACTURERS — 0.5% | |||
Allison Transmission, Inc. 3.75%, 1/30/2031 (c) | 780,000 | 688,654 | |
Wabash National Corp. 4.50%, 10/15/2028 (c) | 10,000 | 9,086 | |
AUTO PARTS & EQUIPMENT — 0.2% | |||
Goodyear Tire & Rubber Co. 5.63%, 4/30/2033 | 108,000 | 96,849 | |
Titan International, Inc. 7.00%, 4/30/2028 | 150,000 | 150,195 | |
BANKS — 0.6% | |||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (c) | 784,000 | 781,342 | |
Popular, Inc. 7.25%, 3/13/2028 | 35,000 | 36,003 | |
BEVERAGES — 0.1% | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (c) | 90,000 | 83,084 | |
CHEMICALS — 0.9% | |||
Ashland, Inc. 3.38%, 9/1/2031 (c) | 320,000 | 276,538 |
Security Description | Principal Amount | Value | |||
Methanex Corp. 5.25%, 12/15/2029 | $ 330,000 | $ 317,226 | |||
Nufarm Australia Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030 (c) | 80,000 | 74,088 | |||
Valvoline, Inc. 3.63%, 6/15/2031 (c) | 545,000 | 465,130 | |||
COAL — 0.2% | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (c) | 220,000 | 198,264 | |||
COMMERCIAL SERVICES — 1.5% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (c) | 180,000 | 174,200 | |||
ASGN, Inc. 4.63%, 5/15/2028 (c) | 80,000 | 76,066 | |||
Cimpress PLC 7.00%, 6/15/2026 | 230,000 | 224,871 | |||
Deluxe Corp. 8.00%, 6/1/2029 (c) | 110,000 | 98,053 | |||
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (c) | 90,000 | 74,277 | |||
Sabre GLBL, Inc.: | |||||
8.63%, 6/1/2027 (c) | 250,000 | 227,267 | |||
11.25%, 12/15/2027 (c) | 70,000 | 68,568 | |||
Service Corp. International: | |||||
3.38%, 8/15/2030 | 73,000 | 64,127 | |||
4.00%, 5/15/2031 | 410,000 | 367,249 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (c) | 170,000 | 152,366 | |||
United Rentals North America, Inc. 3.75%, 1/15/2032 | 180,000 | 159,869 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (c) | 150,000 | 141,084 | |||
WW International, Inc. 4.50%, 4/15/2029 (c) | 180,000 | 119,056 | |||
COMPUTERS — 0.7% | |||||
KBR, Inc. 4.75%, 9/30/2028 (c) | 90,000 | 83,551 | |||
NCR Voyix Corp.: | |||||
5.00%, 10/1/2028 (c) | 50,000 | 47,290 | |||
5.13%, 4/15/2029 (c) | 300,000 | 285,690 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (c) | 170,000 | 162,600 | |||
Seagate HDD Cayman 4.13%, 1/15/2031 | 292,000 | 261,168 | |||
CONSTRUCTION MATERIALS — 1.1% | |||||
Builders FirstSource, Inc. 5.00%, 3/1/2030 (c) | 120,000 | 115,925 | |||
Griffon Corp. 5.75%, 3/1/2028 | 430,000 | 422,716 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (c) | 100,000 | 95,876 |
Security Description | Principal Amount | Value | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (c) | $ 150,000 | $ 134,706 | |||
Masonite International Corp. 5.38%, 2/1/2028 (c) | 230,000 | 222,364 | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25%, 1/15/2029 (c) | 400,000 | 387,976 | |||
DIVERSIFIED FINANCIAL SERVICES — 3.5% | |||||
Ally Financial, Inc. 6.70%, 2/14/2033 | 270,000 | 270,192 | |||
Burford Capital Global Finance LLC 6.88%, 4/15/2030 (c) | 220,000 | 216,130 | |||
goeasy Ltd.: | |||||
4.38%, 5/1/2026 (c) | 115,000 | 110,701 | |||
9.25%, 12/1/2028 (c) | 268,000 | 286,406 | |||
Nationstar Mortgage Holdings, Inc.: | |||||
5.00%, 2/1/2026 (c) | 70,000 | 68,384 | |||
5.50%, 8/15/2028 (c) | 610,000 | 587,778 | |||
5.75%, 11/15/2031 (c) | 123,000 | 114,784 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 420,000 | 390,382 | |||
9.38%, 7/25/2030 | 57,000 | 60,055 | |||
Series MTN, 5.63%, 8/1/2033 | 490,000 | 403,721 | |||
OneMain Finance Corp.: | |||||
3.50%, 1/15/2027 | 600,000 | 556,686 | |||
5.38%, 11/15/2029 | 110,000 | 103,006 | |||
7.88%, 3/15/2030 | 159,000 | 163,965 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (c) | 220,000 | 198,196 | |||
5.75%, 9/15/2031 (c) | 470,000 | 435,507 | |||
7.88%, 12/15/2029 (c) | 157,000 | 161,919 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (c) | 50,000 | 44,947 | |||
PRA Group, Inc. 8.38%, 2/1/2028 (c) | 50,000 | 47,628 | |||
Synchrony Financial 7.25%, 2/2/2033 | 200,000 | 198,932 | |||
World Acceptance Corp. 7.00%, 11/1/2026 (c) | 122,000 | 110,372 | |||
ELECTRIC — 0.9% | |||||
NRG Energy, Inc.: | |||||
3.38%, 2/15/2029 (c) | 338,000 | 298,616 | |||
3.63%, 2/15/2031 (c) | 210,000 | 180,642 | |||
3.88%, 2/15/2032 (c) | 9,000 | 7,707 | |||
PG&E Corp. 5.25%, 7/1/2030 | 170,000 | 164,732 | |||
Vistra Operations Co. LLC: | |||||
4.38%, 5/1/2029 (c) | 349,000 | 323,666 | |||
7.75%, 10/15/2031 (c) | 164,000 | 170,366 |
Security Description | Principal Amount | Value | |||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.3% | |||||
Energizer Holdings, Inc.: | |||||
4.38%, 3/31/2029 (c) | $ 160,000 | $ 143,779 | |||
4.75%, 6/15/2028 (c) | 240,000 | 223,270 | |||
ENGINEERING & CONSTRUCTION — 0.4% | |||||
Great Lakes Dredge & Dock Corp. 5.25%, 6/1/2029 (c) | 121,000 | 104,393 | |||
TopBuild Corp.: | |||||
3.63%, 3/15/2029 (c) | 240,000 | 217,272 | |||
4.13%, 2/15/2032 (c) | 150,000 | 134,079 | |||
Tutor Perini Corp. 6.88%, 5/1/2025 (c) | 110,000 | 107,746 | |||
ENTERTAINMENT — 0.5% | |||||
Churchill Downs, Inc. 4.75%, 1/15/2028 (c) | 400,000 | 380,124 | |||
Cinemark USA, Inc. 5.25%, 7/15/2028 (c) | 150,000 | 137,677 | |||
Light & Wonder International, Inc. 7.50%, 9/1/2031 (c) | 47,000 | 49,095 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. 5.13%, 10/1/2029 (c) | 137,000 | 129,402 | |||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Stericycle, Inc. 3.88%, 1/15/2029 (c) | 100,000 | 91,110 | |||
FOOD — 0.8% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 3.50%, 3/15/2029 (c) | 200,000 | 181,552 | |||
Lamb Weston Holdings, Inc.: | |||||
4.13%, 1/31/2030 (c) | 140,000 | 129,154 | |||
4.88%, 5/15/2028 (c) | 240,000 | 234,694 | |||
Post Holdings, Inc.: | |||||
4.50%, 9/15/2031 (c) | 100,000 | 89,877 | |||
5.50%, 12/15/2029 (c) | 390,000 | 376,650 | |||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Mercer International, Inc. 5.13%, 2/1/2029 | 220,000 | 188,995 | |||
HEALTH CARE PRODUCTS — 0.1% | |||||
Hologic, Inc. 3.25%, 2/15/2029 (c) | 200,000 | 181,206 | |||
HEALTH CARE SERVICES — 1.4% | |||||
Acadia Healthcare Co., Inc. 5.00%, 4/15/2029 (c) | 300,000 | 289,137 | |||
Charles River Laboratories International, Inc. 4.25%, 5/1/2028 (c) | 100,000 | 95,463 |
Security Description | Principal Amount | Value | |||
CHS/Community Health Systems, Inc.: | |||||
5.25%, 5/15/2030 (c) | $ 70,000 | $ 58,493 | |||
6.88%, 4/15/2029 (c) | 205,000 | 133,814 | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (c) | 240,000 | 197,018 | |||
4.63%, 6/1/2030 (c) | 360,000 | 314,708 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 370,000 | 354,801 | |||
4.63%, 4/1/2031 | 385,000 | 354,439 | |||
HOME BUILDERS — 2.1% | |||||
Beazer Homes USA, Inc.: | |||||
5.88%, 10/15/2027 | 35,000 | 34,169 | |||
7.25%, 10/15/2029 | 270,000 | 273,218 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (c) | 370,000 | 334,728 | |||
Dream Finders Homes, Inc. 8.25%, 8/15/2028 (c) | 130,000 | 137,570 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (c) | 70,000 | 66,873 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (c) | 110,000 | 107,202 | |||
KB Home 4.00%, 6/15/2031 | 353,000 | 318,215 | |||
LGI Homes, Inc.: | |||||
4.00%, 7/15/2029 (c) | 150,000 | 129,896 | |||
8.75%, 12/15/2028 (c) | 35,000 | 37,181 | |||
M/I Homes, Inc.: | |||||
3.95%, 2/15/2030 | 145,000 | 130,120 | |||
4.95%, 2/1/2028 | 160,000 | 154,133 | |||
Taylor Morrison Communities, Inc.: | |||||
5.13%, 8/1/2030 (c) | 280,000 | 271,278 | |||
5.75%, 1/15/2028 (c) | 225,000 | 227,023 | |||
Thor Industries, Inc. 4.00%, 10/15/2029 (c) | 150,000 | 133,861 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 290,000 | 288,193 | |||
HOME FURNISHINGS — 0.5% | |||||
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (c) | 680,000 | 616,570 | |||
HOUSEHOLD PRODUCTS — 0.1% | |||||
Edgewell Personal Care Co. 4.13%, 4/1/2029 (c) | 160,000 | 146,003 | |||
HOUSEHOLD PRODUCTS & WARES — 0.4% | |||||
Central Garden & Pet Co. 4.13%, 10/15/2030 | 545,000 | 495,961 | |||
INSURANCE — 0.2% | |||||
MGIC Investment Corp. 5.25%, 8/15/2028 | 280,000 | 272,975 | |||
INTERNET — 0.7% | |||||
ANGI Group LLC 3.88%, 8/15/2028 (c) | 130,000 | 109,786 |
Security Description | Principal Amount | Value | |||
Cogent Communications Group, Inc. 7.00%, 6/15/2027 (c) | $ 380,000 | $ 383,800 | |||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. 3.50%, 3/1/2029 (c) | 500,000 | 453,080 | |||
INVESTMENT COMPANY SECURITY — 0.2% | |||||
Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (c) | 300,000 | 279,051 | |||
IRON/STEEL — 0.5% | |||||
ATI, Inc. 5.13%, 10/1/2031 | 190,000 | 176,922 | |||
Commercial Metals Co. 4.38%, 3/15/2032 | 120,000 | 108,279 | |||
Mineral Resources Ltd. 8.00%, 11/1/2027 (c) | 330,000 | 336,745 | |||
IT SERVICES — 0.0% | |||||
Seagate HDD Cayman 9.63%, 12/1/2032 | 50,000 | 57,167 | |||
LEISURE TIME — 1.6% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (c) | 300,000 | 292,341 | |||
6.00%, 5/1/2029 (c) | 460,000 | 442,028 | |||
NCL Corp. Ltd.: | |||||
5.88%, 3/15/2026 (c) | 500,000 | 488,620 | |||
7.75%, 2/15/2029 (c) | 330,000 | 331,251 | |||
Royal Caribbean Cruises Ltd.: | |||||
3.70%, 3/15/2028 | 245,000 | 226,115 | |||
5.50%, 4/1/2028 (c) | 300,000 | 296,040 | |||
LODGING — 0.9% | |||||
Hilton Domestic Operating Co., Inc.: | |||||
3.63%, 2/15/2032 (c) | 200,000 | 174,148 | |||
3.75%, 5/1/2029 (c) | 590,000 | 545,125 | |||
Las Vegas Sands Corp. 3.90%, 8/8/2029 | 219,000 | 202,288 | |||
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (c) | 200,000 | 186,966 | |||
MACHINERY, CONSTRUCTION & MINING — 0.2% | |||||
BWX Technologies, Inc.: | |||||
4.13%, 6/30/2028 (c) | 90,000 | 83,524 | |||
4.13%, 4/15/2029 (c) | 250,000 | 231,660 | |||
MACHINERY-DIVERSIFIED — 0.1% | |||||
ATS Corp. 4.13%, 12/15/2028 (c) | 148,000 | 137,211 | |||
MEDIA — 2.3% | |||||
AMC Networks, Inc. 4.25%, 2/15/2029 | 210,000 | 161,272 |
Security Description | Principal Amount | Value | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 2/1/2031 (c) | $ 60,000 | $ 52,419 | |||
4.25%, 1/15/2034 (c) | 70,000 | 56,923 | |||
4.50%, 8/15/2030 (c) | 100,000 | 90,316 | |||
4.75%, 3/1/2030 (c) | 370,000 | 338,454 | |||
5.00%, 2/1/2028 (c) | 60,000 | 57,437 | |||
CSC Holdings LLC: | |||||
6.50%, 2/1/2029 (c) | 70,000 | 62,232 | |||
7.50%, 4/1/2028 (c) | 300,000 | 223,911 | |||
DISH DBS Corp.: | |||||
7.38%, 7/1/2028 | 110,000 | 66,263 | |||
7.75%, 7/1/2026 | 380,000 | 265,286 | |||
Gray Escrow II, Inc. 5.38%, 11/15/2031 (c) | 212,000 | 159,920 | |||
Gray Television, Inc.: | |||||
4.75%, 10/15/2030 (c) | 20,000 | 15,150 | |||
7.00%, 5/15/2027 (c) | 461,000 | 436,032 | |||
iHeartCommunications, Inc. 8.38%, 5/1/2027 | 100,000 | 64,892 | |||
News Corp.: | |||||
3.88%, 5/15/2029 (c) | 300,000 | 277,356 | |||
5.13%, 2/15/2032 (c) | 75,000 | 71,575 | |||
Nexstar Media, Inc. 4.75%, 11/1/2028 (c) | 100,000 | 92,157 | |||
Scripps Escrow II, Inc. 5.38%, 1/15/2031 (c) | 250,000 | 183,372 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (c) | 98,000 | 86,948 | |||
Sinclair Television Group, Inc. 5.50%, 3/1/2030 (c) | 50,000 | 37,416 | |||
Sirius XM Radio, Inc. 4.00%, 7/15/2028 (c) | 100,000 | 92,708 | |||
Urban One, Inc. 7.38%, 2/1/2028 (c) | 52,000 | 44,164 | |||
METAL FABRICATE & HARDWARE — 0.0% | |||||
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | 50,000 | 46,622 | |||
MINING — 1.1% | |||||
Eldorado Gold Corp. 6.25%, 9/1/2029 (c) | 220,000 | 206,441 | |||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.50%, 9/15/2027 (c) | 100,000 | 96,124 | |||
5.88%, 4/15/2030 (c) | 300,000 | 297,453 | |||
6.13%, 4/15/2032 (c) | 375,000 | 378,045 | |||
IAMGOLD Corp. 5.75%, 10/15/2028 (c) | 155,000 | 133,951 | |||
New Gold, Inc. 7.50%, 7/15/2027 (c) | 170,000 | 171,154 | |||
Taseko Mines Ltd. 7.00%, 2/15/2026 (c) | 90,000 | 85,396 |
Security Description | Principal Amount | Value | |||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
Hillenbrand, Inc. 3.75%, 3/1/2031 | $ 350,000 | $ 303,968 | |||
OFFICE & BUSINESS EQUIPMENT — 0.7% | |||||
Pitney Bowes, Inc.: | |||||
6.88%, 3/15/2027 (c) | 90,000 | 84,218 | |||
7.25%, 3/15/2029 (c) | 50,000 | 42,746 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (c) | 780,000 | 703,973 | |||
OFFICE FURNISHINGS — 0.2% | |||||
Steelcase, Inc. 5.13%, 1/18/2029 | 200,000 | 189,358 | |||
OIL & GAS — 3.8% | |||||
Baytex Energy Corp. 8.50%, 4/30/2030 (c) | 50,000 | 51,729 | |||
Calumet Specialty Products Partners LP/Calumet Finance Corp.: | |||||
8.13%, 1/15/2027 (c) | 10,000 | 9,866 | |||
9.75%, 7/15/2028 (c) | 250,000 | 247,793 | |||
Civitas Resources, Inc. 8.75%, 7/1/2031 (c) | 135,000 | 143,431 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (c) | 488,000 | 468,992 | |||
Comstock Resources, Inc. 6.75%, 3/1/2029 (c) | 200,000 | 183,736 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (c) | 374,000 | 347,386 | |||
EnQuest PLC 11.63%, 11/1/2027 (c) | 76,000 | 71,983 | |||
MEG Energy Corp. 5.88%, 2/1/2029 (c) | 180,000 | 174,915 | |||
Northern Oil & Gas, Inc. 8.75%, 6/15/2031 (c) | 94,000 | 98,228 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (c) | 480,000 | 442,493 | |||
4.63%, 5/1/2030 (c) | 463,000 | 428,803 | |||
PBF Holding Co. LLC/PBF Finance Corp. 7.88%, 9/15/2030 (c) | 216,000 | 219,996 | |||
Precision Drilling Corp. 6.88%, 1/15/2029 (c) | 300,000 | 288,672 | |||
Sunoco LP/Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 820,000 | 765,265 | |||
4.50%, 4/30/2030 | 60,000 | 55,571 | |||
Transocean, Inc. 7.50%, 4/15/2031 | 356,000 | 313,394 | |||
Valaris Ltd. 8.38%, 4/30/2030 (c) | 480,000 | 491,131 | |||
OIL & GAS SERVICES — 0.4% | |||||
Archrock Partners LP/Archrock Partners Finance Corp. 6.25%, 4/1/2028 (c) | 300,000 | 295,851 |
Security Description | Principal Amount | Value | |||
Helix Energy Solutions Group, Inc. 9.75%, 3/1/2029 (c) | $ 125,000 | $ 131,210 | |||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 130,000 | 126,560 | |||
PACKAGING & CONTAINERS — 0.3% | |||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 9/1/2029 (c) | 260,000 | 220,350 | |||
Cascades, Inc./Cascades USA, Inc. 5.38%, 1/15/2028 (c) | 150,000 | 146,631 | |||
PHARMACEUTICALS — 0.1% | |||||
Prestige Brands, Inc. 3.75%, 4/1/2031 (c) | 150,000 | 131,674 | |||
PIPELINES — 1.8% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||||
5.38%, 6/15/2029 (c) | 200,000 | 192,566 | |||
5.75%, 1/15/2028 (c) | 300,000 | 296,838 | |||
Delek Logistics Partners LP/Delek Logistics Finance Corp. 7.13%, 6/1/2028 (c) | 174,000 | 164,908 | |||
EnLink Midstream Partners LP: | |||||
5.05%, 4/1/2045 | 120,000 | 99,666 | |||
5.45%, 6/1/2047 | 220,000 | 193,827 | |||
Global Partners LP/GLP Finance Corp. 6.88%, 1/15/2029 | 273,000 | 264,597 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (c) | 200,000 | 184,876 | |||
5.13%, 6/15/2028 (c) | 210,000 | 202,877 | |||
5.50%, 10/15/2030 (c) | 400,000 | 389,212 | |||
NuStar Logistics LP 6.38%, 10/1/2030 | 290,000 | 290,664 | |||
REAL ESTATE — 0.7% | |||||
Howard Hughes Corp.: | |||||
4.13%, 2/1/2029 (c) | 505,000 | 454,964 | |||
4.38%, 2/1/2031 (c) | 210,000 | 184,172 | |||
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.75%, 1/15/2029 (c) | 340,000 | 264,432 | |||
REAL ESTATE INVESTMENT TRUSTS — 2.4% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (c) | 220,000 | 185,174 | |||
Iron Mountain, Inc.: | |||||
5.25%, 3/15/2028 (c) | 300,000 | 291,612 | |||
5.25%, 7/15/2030 (c) | 280,000 | 266,358 | |||
5.63%, 7/15/2032 (c) | 60,000 | 56,828 | |||
7.00%, 2/15/2029 (c) | 49,000 | 50,518 |
Security Description | Principal Amount | Value | |||
REIT, 4.50%, 2/15/2031 (c) | $ 200,000 | $ 181,680 | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (c) | 240,000 | 236,165 | |||
Service Properties Trust: | |||||
3.95%, 1/15/2028 | 415,000 | 341,126 | |||
4.95%, 2/15/2027 | 270,000 | 245,746 | |||
4.95%, 10/1/2029 | 10,000 | 8,262 | |||
Starwood Property Trust, Inc. 4.38%, 1/15/2027 (c) | 720,000 | 680,436 | |||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6.00%, 1/15/2030 (c) | 110,000 | 76,931 | |||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029 (c) | 670,000 | 484,584 | |||
RETAIL — 3.2% | |||||
1011778 BC ULC/New Red Finance, Inc. 3.88%, 1/15/2028 (c) | 170,000 | 160,694 | |||
Asbury Automotive Group, Inc.: | |||||
4.63%, 11/15/2029 (c) | 120,000 | 111,224 | |||
5.00%, 2/15/2032 (c) | 270,000 | 245,992 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (c) | 131,000 | 121,310 | |||
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (c) | 70,000 | 64,893 | |||
Carrols Restaurant Group, Inc. 5.88%, 7/1/2029 (c) | 130,000 | 114,305 | |||
FirstCash, Inc.: | |||||
4.63%, 9/1/2028 (c) | 350,000 | 326,848 | |||
5.63%, 1/1/2030 (c) | 120,000 | 114,898 | |||
Foot Locker, Inc. 4.00%, 10/1/2029 (c) | 100,000 | 83,461 | |||
Gap, Inc.: | |||||
3.63%, 10/1/2029 (c) | 633,000 | 540,797 | |||
3.88%, 10/1/2031 (c) | 20,000 | 16,478 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (c) | 150,000 | 139,149 | |||
Lithia Motors, Inc.: | |||||
3.88%, 6/1/2029 (c) | 120,000 | 108,806 | |||
4.38%, 1/15/2031 (c) | 20,000 | 18,207 | |||
Macy's Retail Holdings LLC 4.50%, 12/15/2034 | 90,000 | 74,022 | |||
Murphy Oil USA, Inc.: | |||||
3.75%, 2/15/2031 (c) | 410,000 | 359,238 | |||
4.75%, 9/15/2029 | 50,000 | 47,483 | |||
Nordstrom, Inc. 5.00%, 1/15/2044 | 99,000 | 70,970 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (c) | 300,000 | 274,413 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (c) | 460,000 | 420,744 |
Security Description | Principal Amount | Value | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (c) | $ 240,000 | $ 221,827 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (c) | 10,000 | 8,358 | |||
Yum! Brands, Inc.: | |||||
3.63%, 3/15/2031 | 130,000 | 117,234 | |||
4.63%, 1/31/2032 | 102,000 | 95,298 | |||
4.75%, 1/15/2030 (c) | 280,000 | 271,104 | |||
SOFTWARE — 0.8% | |||||
Fair Isaac Corp. 4.00%, 6/15/2028 (c) | 583,000 | 551,641 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (c) | 220,000 | 214,071 | |||
Open Text Corp. 3.88%, 12/1/2029 (c) | 5,000 | 4,486 | |||
Open Text Holdings, Inc. 4.13%, 2/15/2030 (c) | 230,000 | 208,612 | |||
TELECOMMUNICATIONS — 0.7% | |||||
Consolidated Communications, Inc. 6.50%, 10/1/2028 (c) | 185,000 | 160,060 | |||
Frontier Communications Holdings LLC: | |||||
5.88%, 11/1/2029 | 293,000 | 248,276 | |||
6.00%, 1/15/2030 (c) | 100,000 | 85,184 | |||
6.75%, 5/1/2029 (c) | 258,000 | 230,686 | |||
Viasat, Inc. 7.50%, 5/30/2031 (c) | 50,000 | 39,090 | |||
Viavi Solutions, Inc. 3.75%, 10/1/2029 (c) | 100,000 | 87,616 | |||
TRANSPORTATION — 0.1% | |||||
Danaos Corp. 8.50%, 3/1/2028 (c) | 40,000 | 40,498 | |||
XPO, Inc. 7.13%, 2/1/2032 (c) | 55,000 | 56,725 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $50,773,422) | 53,481,429 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 2.7% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (f) (g) (Cost $3,491,942) | 3,491,942 | $ 3,491,942 | |||
TOTAL INVESTMENTS — 100.3% (Cost $124,483,888) | 128,384,562 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (389,849) | ||||
NET ASSETS — 100.0% | $ 127,994,713 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.8% of net assets as of December 31, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2023, total aggregate fair value of the securities is $238,125, representing 0.20% of the Fund's net assets. |
(e) | Non-income producing security. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2023. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CVR | Contingent Value Rights |
MTN | Medium Term Note |
PIK | Payment in Kind |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
OMNIA Partners LLC | 34,199 | 34,455 | 256 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 53,481,429 | $ — | $ 53,481,429 | ||||
Asset-Backed Securities | — | 9,625,363 | — | 9,625,363 | ||||
Common Stocks | — | — | 238,125 | 238,125 | ||||
Mutual Funds and Exchange Traded Products | 4,650,498 | — | — | 4,650,498 | ||||
Senior Floating Rate Loans | — | 56,897,205 | — | 56,897,205 | ||||
Short-Term Investment | 3,491,942 | — | — | 3,491,942 | ||||
TOTAL INVESTMENTS | $8,142,440 | $120,003,997 | $238,125 | $128,384,562 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Appreciation | $ — | $ 256 | $ — | $ 256 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ 256 | $ — | $ 256 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $ — | $ 7,009,776 | $ 2,377,119 | $(23,442) | $41,283 | 110,911 | $4,650,498 | $ 113,540 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 6,605,513 | 6,605,513 | 30,353,129 | 33,466,700 | — | — | 3,491,942 | 3,491,942 | 106,423 | ||||||||
Total | $6,605,513 | $37,362,905 | $35,843,819 | $(23,442) | $41,283 | $8,142,440 | $219,963 |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 88.7% | |||||
ADVERTISING AGENCIES — 0.1% | |||||
ABG Intermediate Holdings 2 LLC 2023 Term Loan B2 1 mo. USD Term SOFR + 4.00%, 9.36%, 12/21/2028 (a) | $ 3,356,814 | $ 3,376,619 | |||
ADVERTISING SERVICES — 0.1% | |||||
ABG Intermediate Holdings 2 LLC 2021 Term Loan B1 1 mo. USD Term SOFR + 4.00%, 9.36%, 12/21/2028 (b) | 5,941,685 | 5,976,741 | |||
AEROSPACE & DEFENSE — 1.7% | |||||
Dynasty Acquisition Co., Inc.: | |||||
2023 Term Loan B1 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (a) | 6,248,278 | 6,272,240 | |||
2023 Term Loan B2 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/24/2028 (a) | 2,677,833 | 2,688,102 | |||
TransDigm, Inc.: | |||||
2022 Term Loan H 3 mo. USD Term SOFR + 3.25%, 8.61%, 2/22/2027 (a) | 14,736,836 | 14,817,078 | |||
2023 Term Loan I 3 mo. USD Term SOFR + 3.25%, 8.61%, 8/24/2028 (a) | 60,638,984 | 60,990,994 | |||
2023 Term Loan J 3 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (a) | 3,973,510 | 3,996,060 | |||
88,764,474 | |||||
AIR FREIGHT & LOGISTICS — 0.3% | |||||
Worldwide Express Operations LLC 2021 1st Lien Term Loan 3 mo. USD Term SOFR + 4.00%, 9.36%, 7/26/2028 (a) | 13,198,380 | 12,971,896 | |||
AIRLINES — 2.3% | |||||
Air Canada 2021 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/11/2028 (a) | 6,845,928 | 6,875,331 |
Security Description | Principal Amount | Value | |||
American Airlines, Inc. 2021 Term Loan 3 mo. USD Term SOFR + 4.75%, 10.43%, 4/20/2028 (a) | $ 35,829,996 | $ 36,862,974 | |||
Mileage Plus Holdings LLC 2020 Term Loan B 3 mo. USD Term SOFR + 5.25%, 10.77%, 6/21/2027 (a) | 26,691,655 | 27,644,948 | |||
SkyMiles IP Ltd. 2020 Skymiles Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.17%, 10/20/2027 (a) | 6,644,581 | 6,814,150 | |||
United Airlines, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.22%, 4/21/2028 (a) | 43,175,097 | 43,390,973 | |||
121,588,376 | |||||
AUTO COMPONENTS — 0.9% | |||||
BBB Industries LLC 2022 Term Loan 1 mo. USD Term SOFR + 5.25%, 10.71%, 7/25/2029 (a) | 5,967,343 | 5,672,079 | |||
Clarios Global LP 2023 Incremental Term Loan 1 mo. USD Term SOFR + 3.75%, 9.11%, 5/6/2030 (a) | 40,715,892 | 40,858,397 | |||
46,530,476 | |||||
BEVERAGES — 1.0% | |||||
Triton Water Holdings, Inc. Term Loan 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/31/2028 (a) | 49,510,689 | 49,139,358 | |||
BUILDING MATERIALS — 0.4% | |||||
Quikrete Holdings, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 3/19/2029 (a) | 7,979,695 | 8,012,931 | |||
Summit Materials LLC 2023 Incremental Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.57%, 11/30/2028 | 2,199,095 | 2,208,727 | |||
Tamko Building Products LLC 2023 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.87%, 9/20/2030 (a) | 7,880,892 | 7,928,532 | |||
18,150,190 |
Security Description | Principal Amount | Value | |||
BUILDING PRODUCTS — 1.6% | |||||
ACProducts, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (a) | $ 10,195,155 | $ 8,974,540 | |||
Chamberlain Group, Inc. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 11/3/2028 (a) | 12,900,846 | 12,887,042 | |||
Cornerstone Building Brands, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 4/12/2028 (a) | 41,545,484 | 41,627,744 | |||
Emrld Borrower LP Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.36%, 5/31/2030 (a) | 5,205,773 | 5,230,188 | |||
Oscar AcquisitionCo LLC Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (a) | 15,864,955 | 15,737,480 | |||
84,456,994 | |||||
CAPITAL MARKETS — 0.1% | |||||
AqGen Ascensus, Inc. 2021 2nd Lien Term Loan 3 mo. USD Term SOFR + 6.50%, 12.18%, 8/2/2029 (a) | 7,194,340 | 6,947,034 | |||
AqGen Island Holdings, Inc. Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 8/2/2028 (a) | 480,132 | 479,772 | |||
7,426,806 | |||||
CASINO SERVICES — 0.1% | |||||
Stars Group Holdings BV 2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.86%, 7/22/2028 (a) | 3,135,963 | 3,150,764 | |||
CHEMICALS — 0.7% | |||||
Axalta Coating Systems U.S. Holdings, Inc. 2023 USD Term Loan B4 3 mo. USD Term SOFR + 2.50%, 7.87%, 12/20/2029 (a) | 13,959,572 | 14,024,973 | |||
Nouryon Finance BV 2023 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.47%, 4/3/2028 (a) | 9,040,248 | 9,086,850 | |||
SCIH Salt Holdings, Inc. 2021 Incremental Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.36%, 3/16/2027 (a) | 8,642,010 | 8,666,985 |
Security Description | Principal Amount | Value | |||
Starfruit Finco BV 2023 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.44%, 4/3/2028 (a) | $ 3,346,107 | $ 3,362,838 | |||
35,141,646 | |||||
COMMERCIAL SERVICES — 7.3% | |||||
AlixPartners LLP 2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.11%, 2/4/2028 (a) | 3,429,119 | 3,440,692 | |||
Allied Universal Holdco LLC 2021 USD Incremental Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 5/12/2028 (a) | 67,206,466 | 67,032,401 | |||
APX Group, Inc. 2021 Term Loan B 3 U.S. (Fed) Prime Rate + 3.25%, 11.75%, 7/10/2028 (a) | 9,600,405 | 9,618,406 | |||
Avis Budget Car Rental LLC: | |||||
2020 Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.22%, 8/6/2027 (a) | 4,971,549 | 4,967,821 | |||
2023 Term Loan C 8.36%, 3/16/2029 | 2,873,333 | 2,883,218 | |||
Belron Finance U.S. LLC: | |||||
2023 1st Lien Term Loan 3 mo. USD Term SOFR + 2.50%, 8.00%, 4/18/2029 (b) | 4,204,072 | 4,225,092 | |||
2023 USD Term Loan (b) | 1,994,872 | 2,004,846 | |||
CoreLogic, Inc. Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/2/2028 (a) | 60,157,207 | 58,703,508 | |||
Corp. Service Co. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.61%, 11/2/2029 (a) | 858,000 | 861,217 | |||
GTCR W Merger Sub LLC USD Term Loan B (b) | 51,137,300 | 51,424,947 | |||
Homeserve USA Holding Corp. Term Loan 1 mo. USD Term SOFR + 3.00%, 8.36%, 10/21/2030 (a) | 10,374,000 | 10,419,387 | |||
Mavis Tire Express Services Corp. 2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/4/2028 (a) | 9,596,279 | 9,626,267 | |||
Neptune Bidco U.S., Inc. 2022 USD Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.51%, 4/11/2029 (a) | 65,818,278 | 60,296,783 |
Security Description | Principal Amount | Value | |||
OMNIA Partners LLC: | |||||
Delayed Draw Term Loan, 7/25/2030 | $ 409,068 | $ 412,138 | |||
Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.63%, 7/25/2030 (a) | 10,369,312 | 10,447,134 | |||
Prime Security Services Borrower LLC 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.84%, 10/14/2030 (a) | 6,878,627 | 6,907,104 | |||
Spring Education Group, Inc. Term Loan 3 mo. USD Term SOFR + 4.50%, 9.85%, 10/4/2030 (a) | 2,757,011 | 2,768,383 | |||
Trans Union LLC 2019 Term Loan B5 1 mo. USD Term SOFR + 1.75%, 7.11%, 11/16/2026 (a) | 6,225,844 | 6,241,097 | |||
Vaco Holdings LLC 2022 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.43%, 1/21/2029 (a) | 3,330,303 | 3,294,919 | |||
Verscend Holding Corp. 2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 8/27/2025 (a) | 45,404,753 | 45,612,706 | |||
VT Topco, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.25%, 9.61%, 8/9/2030 (a) | 6,826,040 | 6,868,703 | |||
Wand NewCo 3, Inc. 2020 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.22%, 2/5/2026 (a) | 11,968,831 | 12,018,981 | |||
380,075,750 | |||||
COMMERCIAL SERVICES & SUPPLIES — 2.5% | |||||
Aramark Services, Inc. 2023 Term Loan B6 1 mo. USD Term SOFR + 2.50%, 7.86%, 6/22/2030 (a) | 2,501,836 | 2,510,818 | |||
Asurion LLC: | |||||
2020 Term Loan B8 1 mo. USD Term SOFR + 3.25%, 8.72%, 12/23/2026 (a) | 41,399,987 | 41,377,010 | |||
2021 Second Lien Term Loan B4 1 mo. USD Term SOFR + 5.25%, 10.72%, 1/20/2029 (a) | 44,142,664 | 41,766,464 | |||
2022 Term Loan B10 1 mo. USD Term SOFR + 4.00%, 9.36%, 8/19/2028 (a) | 2,109,648 | 2,103,709 |
Security Description | Principal Amount | Value | |||
2023 Term Loan B11 1 mo. USD Term SOFR + 4.25%, 9.61%, 8/19/2028 (a) | $ 6,392,648 | $ 6,378,968 | |||
Covanta Holding Corp.: | |||||
2021 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/30/2028 (a) | 916,164 | 917,094 | |||
2021 Term Loan C 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/30/2028 (a) | 69,849 | 69,920 | |||
2023 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.36%, 11/30/2028 (a) | 2,899,709 | 2,906,958 | |||
2023 Term Loan C 1 mo. USD Term SOFR + 3.00%, 8.36%, 11/30/2028 (a) | 218,023 | 218,568 | |||
Garda World Security Corp. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.72%, 10/30/2026 (a) | 1,528,615 | 1,533,277 | |||
McGraw-Hill Global Education Holdings LLC 2021 Term Loan 1 mo. USD Term SOFR + 4.75%, 10.11%, 7/28/2028 (a) | 21,964,756 | 21,971,675 | |||
Thevelia U.S. LLC USD Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.25%, 6/18/2029 (a) | 10,192,404 | 10,243,366 | |||
131,997,827 | |||||
COMMUNICATIONS EQUIPMENT — 0.3% | |||||
Zayo Group Holdings, Inc. USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 3/9/2027 (a) | 18,335,053 | 15,807,749 | |||
COMPUTERS — 1.0% | |||||
Magenta Buyer LLC 2021 USD 1st Lien Term Loan 3 mo. USD Term SOFR + 5.00%, 10.64%, 7/27/2028 (a) | 16,257,712 | 11,634,426 | |||
Vision Solutions, Inc. 2021 Incremental Term Loan 3 mo. USD Term SOFR + 4.00%, 9.64%, 4/24/2028 (a) | 41,677,440 | 41,427,375 | |||
53,061,801 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION & ENGINEERING — 0.5% | |||||
Brown Group Holding LLC Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 6/7/2028 (a) | $ 6,948,357 | $ 6,964,199 | |||
KKR Apple Bidco LLC: | |||||
2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.22%, 9/22/2028 (a) | 2,035,934 | 2,036,576 | |||
2022 Incremental Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 9/22/2028 (a) | 15,601,631 | 15,674,803 | |||
24,675,578 | |||||
CONSTRUCTION MATERIALS — 0.4% | |||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan 1 mo. USD Term SOFR + 2.63%, 8.10%, 2/1/2027 (a) | 21,953,217 | 22,097,340 | |||
CONTAINERS & PACKAGING — 1.1% | |||||
Berlin Packaging LLC 2021 Term Loan B5 1 mo. USD Term SOFR + 3.75%, 9.21%, 3/11/2028 (a) | 4,477,099 | 4,487,531 | |||
Berry Global, Inc. 2021 Term Loan Z 1 mo. USD Term SOFR + 1.75%, 7.22%, 7/1/2026 (a) | 1,313,485 | 1,319,232 | |||
Clydesdale Acquisition Holdings, Inc. Term Loan B 1 mo. USD Term SOFR + 4.18%, 9.63%, 4/13/2029 (a) | 43,836,363 | 44,082,942 | |||
Proampac PG Borrower LLC 2023 Term Loan 3 mo. USD Term SOFR + 4.50%, 9.89%, 9/15/2028 (a) | 6,200,037 | 6,219,412 | |||
56,109,117 | |||||
COSMETICS & TOILETRIES — 1.5% | |||||
Solis IV BV USD Term Loan B1 3 mo. USD Term SOFR + 3.50%, 8.88%, 2/26/2029 (a) | 24,370,966 | 24,322,224 | |||
Sunshine Luxembourg VII Sarl 2021 Term Loan B3 3 mo. USD Term SOFR + 3.50%, 8.95%, 10/1/2026 (a) | 55,078,043 | 55,437,152 | |||
79,759,376 |
Security Description | Principal Amount | Value | |||
DISTRIBUTION/WHOLESALE — 0.9% | |||||
Fastlane Parent Co., Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.86%, 9/29/2028 (a) | $ 6,221,775 | $ 6,224,699 | |||
Windsor Holdings III LLC USD Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.84%, 8/1/2030 (a) | 39,465,416 | 39,810,739 | |||
46,035,438 | |||||
DISTRIBUTORS — 0.0% (c) | |||||
American Builders & Contractors Supply Co., Inc. 2019 Term Loan 1 mo. USD Term SOFR + 2.00%, 7.36%, 1/15/2027 (a) | 2,485,010 | 2,494,329 | |||
DIVERSIFIED CONSUMER SERVICES — 0.3% | |||||
Ascend Learning LLC 2021 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 12/11/2028 (a) | 12,887,708 | 12,687,240 | |||
Bright Horizons Family Solutions LLC 2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.61%, 11/24/2028 (a) | 4,152,053 | 4,155,956 | |||
16,843,196 | |||||
DIVERSIFIED FINANCIAL SERVICES — 2.7% | |||||
Advisor Group, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.86%, 8/17/2028 (a) | 23,188,174 | 23,291,477 | |||
Apex Group Treasury LLC USD Term Loan 3 mo. USD Term SOFR + 3.75%, 9.38%, 7/27/2028 (a) | 493,687 | 492,453 | |||
Aretec Group, Inc. 2023 Incremental Term Loan 1 mo. USD Term SOFR + 4.50%, 9.96%, 8/9/2030 (a) | 32,251,189 | 32,273,120 | |||
Avolon TLB Borrower 1 U.S. LLC 2023 Term Loan B6 (b) | 587,368 | 589,374 | |||
Citadel Securities LP 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.97%, 7/29/2030 (a) | 40,461,761 | 40,604,996 | |||
Deerfield Dakota Holding LLC 2020 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.10%, 4/9/2027 (a) | 6,812,425 | 6,761,331 |
Security Description | Principal Amount | Value | |||
Edelman Financial Center LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.86%, 4/7/2028 (a) | $ 14,112,627 | $ 14,150,167 | |||
Focus Financial Partners LLC 2022 Term Loan B5 1 mo. USD Term SOFR + 3.25%, 8.61%, 6/30/2028 (a) | 16,029,180 | 16,084,240 | |||
NFP Corp. 2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 2/16/2027 (a) | 3,710,572 | 3,734,060 | |||
137,981,218 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.8% | |||||
Altice France SA 2023 USD Term Loan B14 3 mo. USD Term SOFR + 5.50%, 10.89%, 8/15/2028 (a) | 40,526,753 | 36,524,737 | |||
CCI Buyer, Inc. Term Loan 3 mo. USD Term SOFR + 4.00%, 9.36%, 12/17/2027 (a) | 569,277 | 568,462 | |||
SBA Senior Finance II LLC 2018 Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.11%, 4/11/2025 (a) | 4,820,918 | 4,834,248 | |||
41,927,447 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
Energizer Holdings, Inc. 2020 Term Loan 1 mo. USD Term SOFR + 2.25%, 7.72%, 12/22/2027 (a) | 2,695,677 | 2,699,046 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.6% | |||||
II-VI, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 7/2/2029 (a) | 30,695,469 | 30,868,131 | |||
ENTERTAINMENT — 3.6% | |||||
AP Gaming I LLC 2022 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.35%, 2/15/2029 (a) | 4,333,722 | 4,356,735 | |||
Bally's Corp. 2021 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.93%, 10/2/2028 (a) | 11,567,537 | 10,994,712 | |||
Crown Finance U.S., Inc. 2023 Exit Term Loan 3 mo. USD Term SOFR + 8.50%, 13.88%, 7/31/2028 (a) | 23,304,543 | 23,712,373 |
Security Description | Principal Amount | Value | |||
Delta 2 (LUX) Sarl 2022 Term Loan B 1 mo. USD Term SOFR + 3.00%,, 1/15/2030 (a) | $ 1,000,000 | $ 1,003,910 | |||
Fertitta Entertainment LLC 2022 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.35%, 1/27/2029 (a) | 57,248,483 | 57,346,950 | |||
Flutter Entertainment PLC Term Loan B 3 mo. USD Term SOFR + 2.25%, 7.70%, 11/25/2030 (a) | 45,561,224 | 45,732,079 | |||
GVC Holdings Ltd.: | |||||
2021 USD Term Loan B4 3 mo. USD Term SOFR + 2.50%, 7.95%, 3/29/2027 (a) | 1,570,526 | 1,576,698 | |||
2022 USD Term Loan B2 3 mo. USD Term SOFR + 3.50%, 8.95%, 10/31/2029 (a) | 6,849,754 | 6,871,159 | |||
Motion Finco Sarl Delayed Draw Term Loan B2 3 mo. USD Term SOFR + 3.25%, 8.86%, 11/12/2026 (a) | 2,098,670 | 2,103,350 | |||
NASCAR Holdings LLC Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 10/19/2026 (a) | 1,521,119 | 1,528,808 | |||
UFC Holdings LLC 2021 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.40%, 4/29/2026 (a) | 30,558,471 | 30,709,124 | |||
185,935,898 | |||||
ENVIRONMENTAL CONTROL — 0.0% (c) | |||||
GFL Environmental, Inc. 2023 First Lien Term Loan 3 mo. USD Term SOFR + 2.50%, 7.90% (a)(b) | 1,845,453 | 1,854,450 | |||
FOOD PRODUCTS — 0.2% | |||||
Froneri International Ltd. 2020 USD Term Loan 1 mo. USD Term SOFR + 2.25%, 7.61%, 1/29/2027 (a) | 9,681,426 | 9,703,694 | |||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
Skopima Merger Sub, Inc. Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/12/2028 (a) | 572,804 | 571,730 |
Security Description | Principal Amount | Value | |||
GAMING & ENTERTAINMENT — 0.0% (c) | |||||
PCI Gaming Authority Term Loan 1 mo. USD Term SOFR + 2.50%, 7.97%, 5/29/2026 (a) | $ 1,000,000 | $ 1,004,815 | |||
GROUND TRANSPORTATION — 0.2% | |||||
Genesee & Wyoming, Inc. Term Loan 3 mo. USD Term SOFR + 2.00%, 7.36%, 12/30/2026 (a) | 11,585,875 | 11,626,541 | |||
Kenan Advantage Group, Inc. 2021 Term Loan B1 1 mo. USD Term SOFR + 3.86%, 9.22%, 3/24/2026 (a) | 249,409 | 248,951 | |||
11,875,492 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.2% | |||||
Bausch & Lomb Corp. Term Loan 3 mo. USD Term SOFR + 3.25%, 8.71%, 5/10/2027 (a) | 48,371,322 | 47,978,547 | |||
Carestream Health, Inc. 2022 Term Loan 3 mo. USD Term SOFR + 7.50%, 12.86%, 9/30/2027 (a) | 4,713,866 | 3,684,192 | |||
Gainwell Acquisition Corp. Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.36%, 10/1/2027 (a) | 65,037,283 | 63,411,351 | |||
115,074,090 | |||||
HEALTH CARE PROVIDERS & SERVICES — 3.2% | |||||
Avantor Funding, Inc. 2021 Term Loan B5 1 mo. USD Term SOFR + 2.25%, 7.71%, 11/8/2027 (a) | 10,334,726 | 10,370,639 | |||
DaVita, Inc. 2020 Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.22%, 8/12/2026 (a) | 33,259,316 | 33,286,090 | |||
GHX Ultimate Parent Corp. 2023 Term Loan 3 mo. USD Term SOFR + 4.75%, 10.12%, 6/30/2027 (a) | 5,395,793 | 5,417,160 | |||
ICON Luxembourg Sarl LUX Term Loan 3 mo. USD Term SOFR + 2.25%, 7.86%, 7/3/2028 (a) | 8,211,039 | 8,250,821 | |||
LifePoint Health, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 5.50%, 11.17%, 11/16/2028 (a) | 6,076,296 | 6,069,461 |
Security Description | Principal Amount | Value | |||
Medline Borrower LP USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/23/2028 (a) | $ 86,594,329 | $ 87,128,616 | |||
PRA Health Sciences, Inc. US Term Loan 3 mo. USD Term SOFR + 2.25%, 7.86%, 7/3/2028 (a) | 3,956,082 | 3,975,249 | |||
Sotera Health Holdings LLC 2021 Term Loan 3 mo. USD Term SOFR + 2.75%, 8.39%, 12/11/2026 (a) | 5,694,013 | 5,698,739 | |||
Surgery Center Holdings, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.86%, 12/19/2030 (a) | 6,634,500 | 6,669,762 | |||
166,866,537 | |||||
HOME FURNISHINGS — 1.0% | |||||
AI Aqua Merger Sub, Inc.: | |||||
2021 1st Lien Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.09%, 7/31/2028 (a) | 42,342,378 | 42,427,486 | |||
2023 Incremental Term Loan (b) | 11,000,000 | 11,068,750 | |||
53,496,236 | |||||
HOOLDING COMPANIES & DIVERSIFIED — 0.1% | |||||
Belfor Holdings, Inc. 2023 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 11/1/2030 (a) | 6,127,837 | 6,154,677 | |||
HOTELS, RESTAURANTS & LEISURE — 3.2% | |||||
Alterra Mountain Co. 2021 Series B-2 Consenting Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 8/17/2028 (a) | 4,393,359 | 4,405,265 | |||
Caesars Entertainment Corp. Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.71%, 2/6/2030 (a) | 31,113,992 | 31,237,981 | |||
Motion Finco Sarl USD Term Loan B1 3 mo. USD Term SOFR + 3.25%, 8.86%, 11/12/2026 (a) | 14,858,831 | 14,891,966 | |||
PENN Entertainment, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.11%, 5/3/2029 (a) | 11,385,162 | 11,426,604 |
Security Description | Principal Amount | Value | |||
Peraton Corp. Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/1/2028 (a) | $ 91,485,416 | $ 91,828,486 | |||
Scientific Games International, Inc. 2022 USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.46%, 4/14/2029 (a) | 4,204,782 | 4,223,178 | |||
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.71%, 5/24/2030 (a) | 5,097,549 | 5,116,997 | |||
163,130,477 | |||||
HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
Reynolds Consumer Products LLC Term Loan 1 mo. USD Term SOFR + 1.75%, 7.21%, 2/4/2027 (a) | 25,209 | 25,287 | |||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.6% | |||||
Calpine Corp. 2020 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.97%, 12/16/2027 (a) | 7,228,102 | 7,250,979 | |||
Vistra Operations Co. LLC 1st Lien Term Loan B3 1 mo. USD Term SOFR + 2.00%, 7.36%, 12/20/2030 (a) | 23,716,120 | 23,746,833 | |||
30,997,812 | |||||
INSURANCE — 5.6% | |||||
Acrisure LLC: | |||||
2020 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.15%, 2/15/2027 (a) | 41,881,019 | 41,869,921 | |||
2021 First Lien Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.90%, 2/15/2027 (a) | 1,374,681 | 1,380,695 | |||
2021 Incremental Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.40%, 2/15/2027 (a) | 984,887 | 985,625 | |||
Alliant Holdings Intermediate LLC 2023 Term Loan B6 3 mo. USD Term SOFR + 3.50%, 8.86%, 11/6/2030 (a) | 6,815,169 | 6,853,947 |
Security Description | Principal Amount | Value | |||
AmWINS Group, Inc.: | |||||
2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.61%, 2/19/2028 (a) | $ 39,412,531 | $ 39,523,477 | |||
2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.11%, 2/19/2028 (a) | 154,382 | 155,010 | |||
AssuredPartners, Inc.: | |||||
2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 2/12/2027 (a) | 3,445,483 | 3,457,559 | |||
2023 Term Loan B4 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/12/2027 (a) | 2,990,664 | 3,006,156 | |||
Broadstreet Partners, Inc.: | |||||
2020 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 1/27/2027 (a) | 4,256,576 | 4,267,792 | |||
2023 Term Loan B3 1 mo. USD Term SOFR + 4.00%, 9.11%, 1/27/2029 (a) | 12,586,977 | 12,640,724 | |||
HUB International Ltd.: | |||||
2022 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.37%, 11/10/2029 (a) | 4,248,750 | 4,269,994 | |||
2023 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.66%, 6/20/2030 (a) | 67,936,631 | 68,314,019 | |||
Hyperion Insurance Group Ltd. 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 11/12/2027 (a) | 37,228,402 | 37,357,398 | |||
Ryan Specialty Group LLC Term Loan 1 mo. USD Term SOFR + 3.00%, 8.46%, 9/1/2027 (a) | 2,206,426 | 2,208,268 | |||
Sedgwick Claims Management Services, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/24/2028 (a) | 46,188,159 | 46,386,999 | |||
USI, Inc.: | |||||
2023 Acquisition Term Loan 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (a) | 4,598,644 | 4,611,566 |
Security Description | Principal Amount | Value | |||
2023 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.34%, 11/22/2029 (a) | $ 12,842,657 | $ 12,883,818 | |||
290,172,968 | |||||
INTERNET & CATALOG RETAIL — 0.2% | |||||
White Cap Buyer LLC Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 10/19/2027 (a) | 8,472,131 | 8,500,385 | |||
INTERNET & TELECOM — 0.6% | |||||
Go Daddy Operating Co. LLC: | |||||
2021 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.47%, 8/10/2027 (a) | 4,969,977 | 4,985,508 | |||
2022 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/9/2029 (a) | 2,194,501 | 2,204,497 | |||
Uber Technologies, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.13%, 3/3/2030 (a) | 24,446,842 | 24,546,218 | |||
31,736,223 | |||||
INTERNET SECURITY — 0.1% | |||||
Proofpoint, Inc. 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.72%, 8/31/2029 (a) | 3,678,427 | 3,724,407 | |||
INVESTMENT COMPANIES — 0.3% | |||||
AL GCX Holdings LLC Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.95%, 5/17/2029 (a) | 2,963,990 | 2,973,623 | |||
Energize HoldCo LLC 2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.75%, 9.11%, 12/8/2028 (a) | 7,050,573 | 7,050,573 | |||
GIP Pilot Acquisition Partners LP Term Loan 3 mo. USD Term SOFR + 3.00%, 8.39%, 10/4/2030 (a) | 3,740,000 | 3,745,666 | |||
13,769,862 | |||||
IT SERVICES — 0.2% | |||||
Access CIG LLC 2023 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.39%, 8/18/2028 (a) | 12,656,464 | 12,693,421 |
Security Description | Principal Amount | Value | |||
Ahead DB Holdings LLC 2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.20%, 10/18/2027 (a) | $ 174,845 | $ 174,462 | |||
12,867,883 | |||||
LEISURE INDUSTRY — 0.3% | |||||
Carnival Corp.: | |||||
2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 10/18/2028 (a) | 3,511,213 | 3,521,465 | |||
2023 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.36%, 8/8/2027 (a) | 11,122,055 | 11,163,763 | |||
14,685,228 | |||||
LEISURE TIME — 0.2% | |||||
Recess Holdings, Inc. 2023 Term Loan 3 mo. USD Term SOFR + 4.00%, 9.39%, 3/29/2027 (a) | 9,931,359 | 10,018,259 | |||
LEISURE&REC/GAMES — 0.4% | |||||
Scientific Games Holdings LP 2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.66%, 4/4/2029 (a) | 22,888,524 | 22,925,718 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.7% | |||||
Parexel International Corp. 2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 11/15/2028 (a) | 38,196,431 | 38,468,581 | |||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.46%, 11/8/2030 (a) | 6,570,936 | 6,602,050 | |||
MACHINERY — 1.4% | |||||
Chart Industries, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 3/15/2030 (a) | 5,139,471 | 5,156,585 | |||
Clark Equipment Co. 2022 Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.85%, 4/20/2029 (a) | 14,159,807 | 14,205,332 | |||
Madison IAQ LLC Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 6/21/2028 (a) | 38,752,179 | 38,686,106 |
Security Description | Principal Amount | Value | |||
Pro Mach Group, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 8/31/2028 (a) | $ 1,799,718 | $ 1,807,223 | |||
SPX Flow, Inc. 2022 Term Loan 1 mo. USD Term SOFR + 4.50%, 9.96%, 4/5/2029 (a) | 11,551,973 | 11,604,939 | |||
71,460,185 | |||||
MACHINERY-CONSTRUCTION & MINING — 1.0% | |||||
Brookfield WEC Holdings, Inc. 2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.11%, 8/1/2025 (a) | 40,500,037 | 40,653,735 | |||
Clear Channel Outdoor Holdings, Inc. Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.14%, 8/21/2026 (a) | 8,911,252 | 8,835,105 | |||
49,488,840 | |||||
MEDIA — 4.7% | |||||
Charter Communications Operating LLC 2019 Term Loan B2 3 mo. USD Term SOFR + 1.75%, 7.13%, 2/1/2027 (a) | 27,483,300 | 27,517,792 | |||
CSC Holdings LLC 2019 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.98%, 4/15/2027 (a) | 20,630,280 | 19,581,642 | |||
DirecTV Financing LLC Term Loan 3 mo. USD Term SOFR + 5.00%, 10.65%, 8/2/2027 (a) | 49,819,683 | 49,910,106 | |||
iHeartCommunications, Inc. 2020 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 5/1/2026 (a) | 12,885,735 | 11,171,095 | |||
MH Sub I LLC: | |||||
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.61%, 2/23/2029 (a) | 5,294,933 | 4,972,498 | |||
2023 Term Loan 1 mo. USD Term SOFR + 4.25%, 9.61%, 5/3/2028 (a) | 48,860,385 | 48,127,479 | |||
Nexstar Broadcasting, Inc. 2019 Term Loan B4 1 mo. USD Term SOFR + 2.50%, 7.97%, 9/18/2026 (a) | 4,234,082 | 4,241,365 | |||
Radiate Holdco LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.72%, 9/25/2026 (a) | 12,097,640 | 9,744,286 |
Security Description | Principal Amount | Value | |||
UPC Financing Partnership 2021 USD Term Loan AX 1 mo. USD Term SOFR + 3.00%, 8.48%, 1/31/2029 (a) | $ 1,000,000 | $ 998,230 | |||
Vertical U.S. Newco, Inc. Term Loan B 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (a) | 45,927,434 | 46,088,180 | |||
Virgin Media Bristol LLC: | |||||
2023 USD Term Loan Y 6 mo. USD Term SOFR + 3.25%, 8.79%, 3/31/2031 (a) | 3,814,067 | 3,806,915 | |||
USD Term Loan N 1 mo. USD Term SOFR + 2.50%, 7.98%, 1/31/2028 (a) | 16,119,272 | 16,090,177 | |||
242,249,765 | |||||
METAL FABRICATE & HARDWARE — 0.1% | |||||
Hillman Group, Inc. 2021 Term Loan B1 1 mo. USD LIBOR + 2.75%,, 7/14/2028 (a) | 3,988,825 | 3,999,495 | |||
MISCELLANEOUS MANUFACTUR — 0.1% | |||||
Gates Global LLC 2021 Term Loan B3 1 mo. USD Term SOFR + 2.50%, 7.96%, 3/31/2027 (a) | 3,132,443 | 3,141,401 | |||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
Pacific Gas & Electric Co. 2020 Term Loan B1 1 mo. USD Term SOFR + 3.00%, 7.86%, 6/23/2027 (a) | 5,221,875 | 5,236,574 | |||
PHARMACEUTICALS — 2.6% | |||||
Amneal Pharmaceuticals LLC 2018 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 5/4/2025 (a) | 3,547,385 | 3,519,112 | |||
Elanco Animal Health, Inc. Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.19%, 8/1/2027 (a) | 62,205,841 | 61,903,520 | |||
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B 3 mo. USD Term SOFR + 2.00%, 7.54%, 11/15/2027 (a) | 14,826,255 | 14,844,788 | |||
Jazz Financing Lux Sarl USD Term Loan 1 mo. USD Term SOFR + 3.50%, 8.97%, 5/5/2028 (a) | 38,888,287 | 39,139,311 |
Security Description | Principal Amount | Value | |||
Organon & Co. USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.47%, 6/2/2028 (a) | $ 14,084,476 | $ 14,137,364 | |||
133,544,095 | |||||
PIPELINES — 1.8% | |||||
BIP PipeCo Holdings LLC Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.62%, 12/6/2030 (a) | 6,774,545 | 6,766,077 | |||
Buckeye Partners LP: | |||||
2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.61%, 11/1/2026 (a) | 4,287,065 | 4,302,927 | |||
2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 11/22/2030 (a) | 3,867,736 | 3,885,082 | |||
CQP Holdco LP 2023 4th Amendment Term Loan 3 mo. USD Term SOFR + 3.00%, 8.36%, 12/31/2030 (a) | 33,809,321 | 33,928,499 | |||
Freeport LNG Investments LLLP Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.18%, 12/21/2028 (a) | 21,540,045 | 21,561,262 | |||
Oryx Midstream Services Permian Basin LLC 2023 Incremental Term Loan 1 mo. USD Term SOFR + 3.25%, 8.71%, 10/5/2028 (a) | 9,387,024 | 9,423,305 | |||
TransMontaigne Operating Co. LP Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 11/17/2028 (a) | 9,227,246 | 9,208,284 | |||
Whitewater Whistler Holdings LLC 2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.15%, 2/15/2030 (a) | 4,218,841 | 4,234,177 | |||
93,309,613 | |||||
PROFESSIONAL SERVICES — 0.2% | |||||
Proofpoint, Inc. 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 8/31/2028 (a) | 6,594,394 | 6,605,604 | |||
Trans Union LLC 2021 Term Loan B6 1 mo. USD Term SOFR + 2.25%, 7.61%, 12/1/2028 (a) | 1,982,872 | 1,991,924 | |||
8,597,528 |
Security Description | Principal Amount | Value | |||
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.2% | |||||
Iron Mountain, Inc. 2023 Term Loan B (b) | $ 8,734,409 | $ 8,748,079 | |||
RETAIL — 2.9% | |||||
1011778 BC ULC 2023 Term Loan B5 1 mo. USD Term SOFR + 2.25%, 7.61%, 9/20/2030 (a) | 82,480,984 | 82,613,366 | |||
BCPE Grill Parent, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.11%, 9/30/2030 (a) | 5,450,000 | 5,356,887 | |||
GYP Holdings III Corp. 2023 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.36%, 5/12/2030 (a) | 734,041 | 737,942 | |||
Harbor Freight Tools USA, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 10/19/2027 (a) | 45,840,207 | 45,848,459 | |||
Peer Holding III B.V. 2023 USD Term Loan B4 (b) | 15,723,733 | 15,792,524 | |||
150,349,178 | |||||
RETAIL-BUILDING PRODUCTS — 1.5% | |||||
Kodiak Building Partners, Inc. Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.61%, 3/12/2028 (a) | 6,216,234 | 6,213,903 | |||
LBM Acquisition LLC Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 12/17/2027 (a) | 58,371,571 | 57,815,290 | |||
Park River Holdings, Inc. Term Loan 3 mo. USD Term SOFR + 3.25%, 8.91%, 12/28/2027 (a) | 12,387,724 | 12,121,450 | |||
76,150,643 | |||||
RETAIL-RESTAURANTS — 1.3% | |||||
IRB Holding Corp. 2022 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.36%, 12/15/2027 (a) | 65,464,198 | 65,651,099 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.7% | |||||
Entegris, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.86%, 7/6/2029 (a) | 1,131,336 | 1,136,993 |
Security Description | Principal Amount | Value | |||
MKS Instruments, Inc. 2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.84%, 8/17/2029 (a) | $ 36,744,784 | $ 36,892,498 | |||
38,029,491 | |||||
SHIPBUILDING — 0.2% | |||||
LSF11 Trinity Bidco, Inc. 2023 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.36%, 6/14/2030 (a) | 12,000,712 | 12,090,718 | |||
SOFTWARE — 14.1% | |||||
Applied Systems, Inc. 2022 Extended 1st Lien Term Loan 3 mo. USD Term SOFR + 4.50%, 9.85%, 9/18/2026 (a) | 2,063,477 | 2,075,435 | |||
Apttus Corp. 2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.47%, 5/8/2028 (a) | 4,149,211 | 4,165,206 | |||
Athenahealth Group, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.61%, 2/15/2029 (a) | 87,121,406 | 86,860,042 | |||
Banff Merger Sub, Inc. 2021 USD 2nd Lien Term Loan 1 mo. USD Term SOFR + 5.50%, 10.97%, 2/27/2026 (a) | 14,197,744 | 14,197,744 | |||
Banff Merger Sub., Inc. 2023 USD Term Loan 3 mo. USD Term SOFR + 4.25%,, 1/31/2024 | 42,479,980 | 42,846,370 | |||
Camelot U.S. Acquisition LLC: | |||||
2020 Incremental Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/30/2026 (a) | 1,951,774 | 1,957,629 | |||
Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 10/30/2026 (a) | 4,004,761 | 4,015,273 | |||
Cengage Learning, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.41%, 7/14/2026 (a) | 7,800,521 | 7,835,116 | |||
Central Parent, Inc. 2023 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.35%, 7/6/2029 (a) | 49,366,773 | 49,703,454 | |||
Cloud Software Group, Inc. 2022 USD Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.99%, 3/30/2029 (a) | 81,310,307 | 79,628,403 |
Security Description | Principal Amount | Value | |||
Cloudera, Inc.: | |||||
2021 Second Lien Term Loan 1 mo. USD Term SOFR + 6.00%, 11.46%, 10/8/2029 (a) | $ 5,883,443 | $ 5,667,697 | |||
2023 Fungible Delayed Draw TL 1 mo. USD Term SOFR + 3.75%, 8.96%, 10/8/2028 (a) | 5,378,182 | 5,341,207 | |||
ConnectWise LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 9/29/2028 (a) | 3,982,780 | 3,982,780 | |||
DCert Buyer, Inc. 2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 7.00%, 12.36%, 2/19/2029 (a) | 7,467,875 | 6,833,106 | |||
Dun & Bradstreet Corp. 2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 2/6/2026 (a) | 33,065,153 | 33,173,772 | |||
ECI Macola Max Holding LLC 2020 Term Loan 3 mo. USD Term SOFR + 3.75%, 9.11%, 11/9/2027 (a) | 405,025 | 405,689 | |||
Fortra LLC 2021 Term Loan 3 mo. USD Term SOFR + 4.00%, 9.48%, 11/19/2026 (a) | 9,818,972 | 9,331,558 | |||
Gen Digital, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.35%, 9/12/2029 (a) | 37,446,108 | 37,545,527 | |||
Idera, Inc. 2021 Term Loan 3 mo. USD Term SOFR + 3.75%, 9.28%, 3/2/2028 (a) | 511,639 | 510,040 | |||
I-Logic Technologies Bidco Ltd. 2021 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.50%, 2/16/2028 (a) | 763,435 | 764,271 | |||
Informatica LLC 2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.22%, 10/27/2028 (a) | 7,135,480 | 7,159,277 | |||
McAfee LLC 2022 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/1/2029 (a) | 79,412,057 | 79,296,513 | |||
MeridianLink, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.61%, 11/10/2028 (a) | 6,016,397 | 6,029,182 |
Security Description | Principal Amount | Value | |||
Mitchell International, Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.40%, 10/15/2028 (a) | $ 37,209,451 | $ 37,247,032 | |||
Navicure, Inc. 2019 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.47%, 10/22/2026 (a) | 9,697,112 | 9,745,598 | |||
Open Text Corp. 2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.21%, 1/31/2030 (a) | 39,932,968 | 40,072,933 | |||
Project Alpha Intermediate Holding, Inc. 2023 1st Lien Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.11%, 10/28/2030 (a) | 41,820,678 | 42,129,942 | |||
Project Ruby Ultimate Parent Corp. 2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.72%, 3/10/2028 (a) | 3,700,170 | 3,704,130 | |||
Quartz Acquireco LLC Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.86%, 6/28/2030 (a) | 6,749,389 | 6,778,917 | |||
Quest Software U.S. Holdings, Inc. 2022 Term Loan 3 mo. USD Term SOFR + 4.25%, 9.78%, 2/1/2029 (a) | 27,913,345 | 21,462,292 | |||
RealPage, Inc. 1st Lien Term Loan 1 mo. USD Term SOFR + 3.00%, 8.36%, 4/24/2028 (a) | 46,696,955 | 46,437,320 | |||
Rocket Software, Inc. 2023 USD Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.11%, 11/28/2028 (a) | 1,316,484 | 1,295,914 | |||
SolarWinds Holdings, Inc. 2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.11%, 2/5/2027 (a) | 9,032,855 | 9,065,508 | |||
SS&C Technologies, Inc.: | |||||
2022 Term Loan B6 1 mo. USD Term SOFR + 2.25%, 7.71%, 3/22/2029 (a) | 983,881 | 986,671 | |||
2022 Term Loan B7 1 mo. USD Term SOFR + 2.25%, 7.71%, 3/22/2029 (a) | 1,722,416 | 1,727,299 | |||
Ultimate Software Group, Inc. 2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/4/2026 (a) | 20,655,202 | 20,737,617 |
Security Description | Principal Amount | Value | |||
Vision Solutions, Inc. 2021 2nd Lien Term Loan 3 mo. USD Term SOFR + 7.25%, 12.89%, 4/23/2029 (a) | $ 1,233,333 | $ 1,135,956 | |||
731,852,420 | |||||
SPECIALTY RETAIL — 2.1% | |||||
Michaels Cos., Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 4/15/2028 (a) | 13,073,734 | 10,903,494 | |||
Petco Health & Wellness Co., Inc. 2021 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/3/2028 (a) | 3,948,518 | 3,743,688 | |||
PetSmart, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.21%, 2/11/2028 (a) | 21,932,382 | 21,724,025 | |||
Pilot Travel Centers LLC 2021 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.46%, 8/4/2028 (a) | 43,356,191 | 43,541,322 | |||
SRS Distribution, Inc. 2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.97%, 6/2/2028 (a) | 14,192,806 | 14,234,249 | |||
Whatabrands LLC 2021 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.47%, 8/3/2028 (a) | 14,596,028 | 14,639,086 | |||
108,785,864 | |||||
STEEL-PRODUCERS — 0.3% | |||||
Arsenal AIC Parent LLC Term Loan 1 mo. USD Term SOFR + 4.50%, 9.86%, 8/18/2030 (a) | 11,452,454 | 11,516,874 | |||
Phoenix Services International LLC 2023 Exit PIK Term Loan 1 mo. USD Term SOFR + 6.10%, 11.46%, 6/30/2028 (a) | 2,414,355 | 2,251,386 | |||
13,768,260 | |||||
TELECOMMUNICATION EQUIP — 0.2% | |||||
Delta TopCo, Inc. 2020 Term Loan B 6 mo. USD Term SOFR + 3.75%, 9.12%, 12/1/2027 (a) | 8,765,777 | 8,772,352 |
Security Description | Principal Amount | Value | |||
TRADING COMPANIES & DISTRIBUTORS — 0.2% | |||||
Foundation Building Materials Holding Co. LLC 2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.89%, 1/31/2028 (a) | $ 12,829,029 | $ 12,809,401 | |||
TRANSPORT-SERVICES — 0.7% | |||||
Endure Digital, Inc. Term Loan 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (a) | 37,807,965 | 37,140,466 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $4,522,005,780) | 4,594,445,909 |
Shares | |||
COMMON STOCKS — 0.5% | |||
AEROSPACE & DEFENSE — 0.1% (c) | |||
Flame Newco LLC (d)(e) | 230,071 | 2,376,633 | |
ENTERTAINMENT — 0.4% | |||
Cineworld Group PLC (d)(e) | 1,063,146 | 19,136,628 | |
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||
Carestream Health, Inc. (d)(e) | 396,286 | 171,592 | |
HEALTH CARE PROVIDERS & SERVICES — 0.0% (c) | |||
Envision Healthcare Corp. (d)(e) | 154,531 | 1,313,514 | |
TOTAL COMMON STOCKS (Cost $36,324,118) | 22,998,367 |
Principal Amount | |||
CORPORATE BONDS & NOTES — 8.8% | |||
ADVERTISING — 0.1% | |||
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (f) | $ 3,965,000 | 3,653,985 | |
AEROSPACE & DEFENSE — 0.3% | |||
Bombardier, Inc. 8.75%, 11/15/2030 (f) | 274,000 | 291,950 | |
Howmet Aerospace, Inc.: | |||
3.00%, 1/15/2029 | 2,200,000 | 2,009,766 | |
5.90%, 2/1/2027 | 970,000 | 994,987 | |
6.75%, 1/15/2028 | 500,000 | 527,275 | |
Moog, Inc. 4.25%, 12/15/2027 (f) | 1,780,000 | 1,688,419 |
Security Description | Principal Amount | Value | |||
Rolls-Royce PLC 5.75%, 10/15/2027 (f) | $ 3,126,000 | $ 3,129,501 | |||
Spirit AeroSystems, Inc. 9.75%, 11/15/2030 (f) | 600,000 | 645,162 | |||
TransDigm, Inc.: | |||||
4.63%, 1/15/2029 | 4,555,000 | 4,270,859 | |||
4.88%, 5/1/2029 | 4,590,000 | 4,297,893 | |||
AIRLINES — 0.0% (c) | |||||
Air Canada 3.88%, 8/15/2026 (f) | 1,800,000 | 1,722,726 | |||
AUTO MANUFACTURERS — 0.1% | |||||
Allison Transmission, Inc.: | |||||
3.75%, 1/30/2031 (f) | 1,320,000 | 1,165,415 | |||
4.75%, 10/1/2027 (f) | 1,560,000 | 1,511,968 | |||
5.88%, 6/1/2029 (f) | 3,000,000 | 2,988,330 | |||
Wabash National Corp. 4.50%, 10/15/2028 (f) | 140,000 | 127,208 | |||
AUTO PARTS & EQUIPMENT — 0.1% | |||||
Goodyear Tire & Rubber Co. 5.63%, 4/30/2033 | 1,110,000 | 995,392 | |||
Titan International, Inc. 7.00%, 4/30/2028 | 1,850,000 | 1,852,405 | |||
BANKS — 0.1% | |||||
Intesa Sanpaolo SpA 5.71%, 1/15/2026 (f) | 6,297,000 | 6,275,653 | |||
BEVERAGES — 0.0% (c) | |||||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (f) | 300,000 | 276,945 | |||
CHEMICALS — 0.1% | |||||
Chemours Co. 5.75%, 11/15/2028 (f) | 398,000 | 379,175 | |||
Methanex Corp. 5.13%, 10/15/2027 | 800,000 | 781,312 | |||
Minerals Technologies, Inc. 5.00%, 7/1/2028 (f) | 950,000 | 910,860 | |||
Valvoline, Inc. 3.63%, 6/15/2031 (f) | 1,500,000 | 1,280,175 | |||
COAL — 0.0% (c) | |||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (f) | 1,870,000 | 1,685,244 | |||
COMMERCIAL SERVICES — 0.2% | |||||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (f) | 2,295,000 | 2,221,055 | |||
ASGN, Inc. 4.63%, 5/15/2028 (f) | 1,000,000 | 950,830 | |||
MPH Acquisition Holdings LLC 5.50%, 9/1/2028 (f) | 1,500,000 | 1,347,300 | |||
Sabre GLBL, Inc.: | |||||
8.63%, 6/1/2027 (f) | 2,012,000 | 1,829,049 | |||
11.25%, 12/15/2027 (f) | 315,000 | 308,555 |
Security Description | Principal Amount | Value | |||
Service Corp. International 4.00%, 5/15/2031 | $ 410,000 | $ 367,249 | |||
TriNet Group, Inc. 3.50%, 3/1/2029 (f) | 1,120,000 | 1,003,823 | |||
Upbound Group, Inc. 6.38%, 2/15/2029 (f) | 1,100,000 | 1,034,616 | |||
WW International, Inc. 4.50%, 4/15/2029 (f) | 1,070,000 | 707,719 | |||
COMPUTERS — 0.1% | |||||
KBR, Inc. 4.75%, 9/30/2028 (f) | 560,000 | 519,876 | |||
NCR Voyix Corp.: | |||||
5.00%, 10/1/2028 (f) | 300,000 | 283,740 | |||
5.13%, 4/15/2029 (f) | 1,262,000 | 1,201,803 | |||
Science Applications International Corp. 4.88%, 4/1/2028 (f) | 2,240,000 | 2,142,493 | |||
Seagate HDD Cayman: | |||||
4.09%, 6/1/2029 | 1,480,000 | 1,371,427 | |||
4.13%, 1/15/2031 | 550,000 | 491,925 | |||
5.75%, 12/1/2034 | 1,360,000 | 1,306,457 | |||
CONSTRUCTION MATERIALS — 0.2% | |||||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (f) | 1,861,000 | 1,679,645 | |||
Griffon Corp. 5.75%, 3/1/2028 | 5,512,000 | 5,418,627 | |||
JELD-WEN, Inc. 4.88%, 12/15/2027 (f) | 2,475,000 | 2,372,931 | |||
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (f) | 1,420,000 | 1,275,217 | |||
Summit Materials LLC/Summit Materials Finance Corp. 5.25%, 1/15/2029 (f) | 600,000 | 581,964 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | |||||
Ally Financial, Inc. 6.70%, 2/14/2033 | 2,100,000 | 2,101,491 | |||
Burford Capital Global Finance LLC: | |||||
6.25%, 4/15/2028 (f) | 620,000 | 597,147 | |||
6.88%, 4/15/2030 (f) | 1,150,000 | 1,129,771 | |||
Enova International, Inc. 8.50%, 9/15/2025 (f) | 1,198,000 | 1,184,355 | |||
goeasy Ltd.: | |||||
4.38%, 5/1/2026 (f) | 2,000,000 | 1,925,240 | |||
9.25%, 12/1/2028 (f) | 2,906,000 | 3,105,584 | |||
Nationstar Mortgage Holdings, Inc.: | |||||
5.13%, 12/15/2030 (f) | 1,700,000 | 1,549,125 | |||
5.50%, 8/15/2028 (f) | 3,060,000 | 2,948,524 | |||
5.75%, 11/15/2031 (f) | 3,130,000 | 2,920,916 | |||
6.00%, 1/15/2027 (f) | 595,000 | 590,716 | |||
Navient Corp.: | |||||
4.88%, 3/15/2028 | 3,590,000 | 3,336,833 | |||
5.50%, 3/15/2029 | 920,000 | 848,783 |
Security Description | Principal Amount | Value | |||
9.38%, 7/25/2030 | $ 457,000 | $ 481,491 | |||
11.50%, 3/15/2031 | 1,340,000 | 1,475,755 | |||
Series MTN, 5.63%, 8/1/2033 | 2,930,000 | 2,414,085 | |||
OneMain Finance Corp.: | |||||
3.50%, 1/15/2027 | 1,564,000 | 1,451,095 | |||
3.88%, 9/15/2028 | 1,500,000 | 1,328,340 | |||
6.63%, 1/15/2028 | 300,000 | 303,150 | |||
7.88%, 3/15/2030 | 1,458,000 | 1,503,533 | |||
9.00%, 1/15/2029 | 2,390,000 | 2,527,712 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (f) | 770,000 | 693,685 | |||
5.38%, 10/15/2025 (f) | 485,000 | 479,806 | |||
5.75%, 9/15/2031 (f) | 4,490,000 | 4,160,479 | |||
7.88%, 12/15/2029 (f) | 3,284,000 | 3,386,888 | |||
PHH Mortgage Corp. 7.88%, 3/15/2026 (f) | 425,000 | 382,054 | |||
PRA Group, Inc.: | |||||
5.00%, 10/1/2029 (f) | 70,000 | 57,321 | |||
8.38%, 2/1/2028 (f) | 610,000 | 581,068 | |||
Synchrony Financial 7.25%, 2/2/2033 | 2,720,000 | 2,705,475 | |||
ELECTRIC — 0.2% | |||||
NRG Energy, Inc.: | |||||
3.38%, 2/15/2029 (f) | 2,000,000 | 1,766,960 | |||
3.63%, 2/15/2031 (f) | 2,910,000 | 2,503,182 | |||
5.25%, 6/15/2029 (f) | 960,000 | 933,034 | |||
PG&E Corp. 5.00%, 7/1/2028 | 500,000 | 486,280 | |||
Vistra Operations Co. LLC: | |||||
4.38%, 5/1/2029 (f) | 3,710,000 | 3,440,691 | |||
7.75%, 10/15/2031 (f) | 1,245,000 | 1,293,331 | |||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (c) | |||||
Energizer Holdings, Inc.: | |||||
4.75%, 6/15/2028 (f) | 300,000 | 279,087 | |||
6.50%, 12/31/2027 (f) | 1,530,000 | 1,532,662 | |||
ENGINEERING & CONSTRUCTION — 0.1% | |||||
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (f) | 840,000 | 839,194 | |||
TopBuild Corp.: | |||||
3.63%, 3/15/2029 (f) | 4,200,000 | 3,802,260 | |||
4.13%, 2/15/2032 (f) | 200,000 | 178,772 | |||
ENTERTAINMENT — 0.1% | |||||
Churchill Downs, Inc. 4.75%, 1/15/2028 (f) | 1,600,000 | 1,520,496 | |||
Cinemark USA, Inc. 5.25%, 7/15/2028 (f) | 2,490,000 | 2,285,446 | |||
Light & Wonder International, Inc.: | |||||
7.25%, 11/15/2029 (f) | 990,000 | 1,015,106 |
Security Description | Principal Amount | Value | |||
7.50%, 9/1/2031 (f) | $ 217,000 | $ 226,672 | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. 5.13%, 10/1/2029 (f) | 472,000 | 445,823 | |||
ENVIRONMENTAL CONTROL — 0.0% (c) | |||||
Stericycle, Inc. 3.88%, 1/15/2029 (f) | 540,000 | 491,994 | |||
FOOD — 0.1% | |||||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (f) | 1,602,000 | 1,477,893 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (f) | 2,100,000 | 1,939,455 | |||
5.63%, 1/15/2028 (f) | 1,000,000 | 989,750 | |||
FOREST PRODUCTS & PAPER — 0.0% (c) | |||||
Mercer International, Inc. 5.13%, 2/1/2029 | 2,100,000 | 1,804,047 | |||
HEALTH CARE SERVICES — 0.6% | |||||
Acadia Healthcare Co., Inc. 5.00%, 4/15/2029 (f) | 700,000 | 674,653 | |||
CHS/Community Health Systems, Inc. 5.63%, 3/15/2027 (f) | 100,000 | 92,914 | |||
DaVita, Inc.: | |||||
3.75%, 2/15/2031 (f) | 700,000 | 574,637 | |||
4.63%, 6/1/2030 (f) | 5,170,000 | 4,519,562 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 2,320,000 | 2,224,694 | |||
4.63%, 4/1/2031 | 190,000 | 174,918 | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026 (f) | 21,385,000 | 21,319,990 | |||
HOME BUILDERS — 0.5% | |||||
Beazer Homes USA, Inc.: | |||||
5.88%, 10/15/2027 | 710,000 | 693,145 | |||
7.25%, 10/15/2029 | 4,360,000 | 4,411,971 | |||
Century Communities, Inc. 3.88%, 8/15/2029 (f) | 3,115,000 | 2,818,047 | |||
Dream Finders Homes, Inc. 8.25%, 8/15/2028 (f) | 1,680,000 | 1,777,826 | |||
Forestar Group, Inc. 3.85%, 5/15/2026 (f) | 2,880,000 | 2,751,350 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (f) | 550,000 | 536,008 | |||
KB Home 4.00%, 6/15/2031 | 610,000 | 549,891 | |||
LGI Homes, Inc.: | |||||
4.00%, 7/15/2029 (f) | 480,000 | 415,666 | |||
8.75%, 12/15/2028 (f) | 1,860,000 | 1,975,897 |
Security Description | Principal Amount | Value | |||
M/I Homes, Inc.: | |||||
3.95%, 2/15/2030 | $ 1,543,000 | $ 1,384,657 | |||
4.95%, 2/1/2028 | 2,370,000 | 2,283,092 | |||
Taylor Morrison Communities, Inc. 5.75%, 1/15/2028 (f) | 5,510,000 | 5,559,535 | |||
Thor Industries, Inc. 4.00%, 10/15/2029 (f) | 700,000 | 624,687 | |||
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 2,540,000 | 2,524,176 | |||
HOME FURNISHINGS — 0.1% | |||||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (f) | 2,760,000 | 2,329,440 | |||
4.00%, 4/15/2029 (f) | 1,370,000 | 1,242,206 | |||
HOUSEHOLD PRODUCTS & WARES — 0.0% (c) | |||||
Central Garden & Pet Co.: | |||||
4.13%, 10/15/2030 | 1,868,000 | 1,699,917 | |||
4.13%, 4/30/2031 (f) | 553,000 | 489,687 | |||
INSURANCE — 0.1% | |||||
MGIC Investment Corp. 5.25%, 8/15/2028 | 3,655,000 | 3,563,296 | |||
INTERNET — 0.3% | |||||
ANGI Group LLC 3.88%, 8/15/2028 (f) | 1,295,000 | 1,093,640 | |||
Cogent Communications Group, Inc.: | |||||
3.50%, 5/1/2026 (f) | 322,000 | 308,457 | |||
7.00%, 6/15/2027 (f) | 1,820,000 | 1,838,200 | |||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. 3.50%, 3/1/2029 (f) | 3,290,000 | 2,981,266 | |||
Newfold Digital Holdings Group, Inc. 11.75%, 10/15/2028 (f) | 7,273,000 | 7,807,784 | |||
INVESTMENT COMPANY SECURITY — 0.0% (c) | |||||
Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (f) | 1,470,000 | 1,367,350 | |||
IRON/STEEL — 0.1% | |||||
ATI, Inc. 5.13%, 10/1/2031 | 1,000,000 | 931,170 | |||
Mineral Resources Ltd.: | |||||
8.00%, 11/1/2027 (f) | 1,300,000 | 1,326,572 | |||
8.13%, 5/1/2027 (f) | 1,100,000 | 1,109,669 | |||
IT SERVICES — 0.0% (c) | |||||
Seagate HDD Cayman 9.63%, 12/1/2032 | 80,000 | 91,467 | |||
LEISURE TIME — 0.3% | |||||
Carnival Corp.: | |||||
5.75%, 3/1/2027 (f) | 1,010,000 | 984,215 |
Security Description | Principal Amount | Value | |||
6.00%, 5/1/2029 (f) | $ 2,835,000 | $ 2,724,236 | |||
10.50%, 6/1/2030 (f) | 4,540,000 | 4,964,354 | |||
Royal Caribbean Cruises Ltd.: | |||||
3.70%, 3/15/2028 | 790,000 | 729,107 | |||
5.38%, 7/15/2027 (f) | 1,905,000 | 1,876,025 | |||
5.50%, 4/1/2028 (f) | 2,260,000 | 2,230,168 | |||
7.50%, 10/15/2027 | 1,510,000 | 1,593,986 | |||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc. 3.75%, 5/1/2029 (f) | 3,250,000 | 3,002,805 | |||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
BWX Technologies, Inc.: | |||||
4.13%, 6/30/2028 (f) | 2,240,000 | 2,078,832 | |||
4.13%, 4/15/2029 (f) | 2,263,000 | 2,096,986 | |||
MACHINERY-DIVERSIFIED — 0.0% (c) | |||||
ATS Corp. 4.13%, 12/15/2028 (f) | 508,000 | 470,967 | |||
MEDIA — 0.3% | |||||
AMC Networks, Inc. 4.25%, 2/15/2029 | 1,730,000 | 1,328,571 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.50%, 6/1/2033 (f) | 1,060,000 | 894,311 | |||
4.75%, 3/1/2030 (f) | 600,000 | 548,844 | |||
4.75%, 2/1/2032 (f) | 2,250,000 | 1,983,915 | |||
5.00%, 2/1/2028 (f) | 1,390,000 | 1,330,619 | |||
5.13%, 5/1/2027 (f) | 2,380,000 | 2,302,840 | |||
Gray Escrow II, Inc. 5.38%, 11/15/2031 (f) | 1,125,000 | 848,632 | |||
Gray Television, Inc.: | |||||
4.75%, 10/15/2030 (f) | 1,690,000 | 1,280,209 | |||
7.00%, 5/15/2027 (f) | 2,200,000 | 2,080,848 | |||
iHeartCommunications, Inc. 6.38%, 5/1/2026 | 460,000 | 391,575 | |||
News Corp.: | |||||
3.88%, 5/15/2029 (f) | 1,000,000 | 924,520 | |||
5.13%, 2/15/2032 (f) | 75,000 | 71,576 | |||
Scripps Escrow II, Inc. 5.38%, 1/15/2031 (f) | 1,060,000 | 777,499 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (f) | 1,380,000 | 1,224,364 | |||
Sinclair Television Group, Inc. 5.50%, 3/1/2030 (f) | 500,000 | 374,160 | |||
Sirius XM Radio, Inc. 4.00%, 7/15/2028 (f) | 300,000 | 278,124 | |||
Urban One, Inc. 7.38%, 2/1/2028 (f) | 390,000 | 331,231 |
Security Description | Principal Amount | Value | |||
METAL FABRICATE & HARDWARE — 0.0% (c) | |||||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (f) | $ 1,290,000 | $ 1,197,533 | |||
MINING — 0.3% | |||||
Arsenal AIC Parent LLC 8.00%, 10/1/2030 (f) | 2,988,000 | 3,142,450 | |||
FMG Resources August 2006 Pty. Ltd.: | |||||
4.38%, 4/1/2031 (f) | 2,195,000 | 1,986,190 | |||
5.88%, 4/15/2030 (f) | 4,000,000 | 3,966,040 | |||
6.13%, 4/15/2032 (f) | 1,240,000 | 1,250,069 | |||
New Gold, Inc. 7.50%, 7/15/2027 (f) | 2,260,000 | 2,275,345 | |||
Taseko Mines Ltd. 7.00%, 2/15/2026 (f) | 880,000 | 834,979 | |||
OFFICE & BUSINESS EQUIPMENT — 0.2% | |||||
Pitney Bowes, Inc.: | |||||
6.88%, 3/15/2027 (f) | 150,000 | 140,364 | |||
7.25%, 3/15/2029 (f) | 1,110,000 | 948,950 | |||
Xerox Holdings Corp. 5.50%, 8/15/2028 (f) | 8,720,000 | 7,870,062 | |||
OFFICE FURNISHINGS — 0.0% (c) | |||||
Steelcase, Inc. 5.13%, 1/18/2029 | 2,570,000 | 2,433,250 | |||
OIL & GAS — 0.7% | |||||
Baytex Energy Corp. 8.75%, 4/1/2027 (f) | 1,000,000 | 1,034,330 | |||
Chord Energy Corp. 6.38%, 6/1/2026 (f) | 2,260,000 | 2,264,972 | |||
Civitas Resources, Inc.: | |||||
8.38%, 7/1/2028 (f) | 1,095,000 | 1,145,228 | |||
8.75%, 7/1/2031 (f) | 410,000 | 435,605 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (f) | 3,817,000 | 3,668,328 | |||
Comstock Resources, Inc. 6.75%, 3/1/2029 (f) | 261,000 | 239,775 | |||
CVR Energy, Inc. 5.75%, 2/15/2028 (f) | 2,224,000 | 2,065,740 | |||
MEG Energy Corp. 5.88%, 2/1/2029 (f) | 2,420,000 | 2,351,635 | |||
Northern Oil & Gas, Inc.: | |||||
8.13%, 3/1/2028 (f) | 1,000,000 | 1,012,960 | |||
8.75%, 6/15/2031 (f) | 1,115,000 | 1,165,153 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (f) | 4,999,000 | 4,608,378 | |||
4.63%, 5/1/2030 (f) | 4,165,000 | 3,857,373 | |||
5.88%, 7/15/2027 (f) | 200,000 | 199,244 | |||
PBF Holding Co. LLC/PBF Finance Corp.: | |||||
7.88%, 9/15/2030 (f) | 1,217,000 | 1,239,514 | |||
6.00%, 2/15/2028 | 280,000 | 273,529 |
Security Description | Principal Amount | Value | |||
Precision Drilling Corp. 6.88%, 1/15/2029 (f) | $ 1,700,000 | $ 1,635,808 | |||
SM Energy Co.: | |||||
6.63%, 1/15/2027 | 1,360,000 | 1,358,246 | |||
6.75%, 9/15/2026 | 600,000 | 600,396 | |||
Sunoco LP/Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 6,110,000 | 5,702,157 | |||
4.50%, 4/30/2030 | 350,000 | 324,163 | |||
7.00%, 9/15/2028 (f) | 450,000 | 464,544 | |||
Transocean, Inc. 8.75%, 2/15/2030 (f) | 457,000 | 478,027 | |||
Valaris Ltd. 8.38%, 4/30/2030 (f) | 2,160,000 | 2,210,090 | |||
OIL & GAS SERVICES — 0.2% | |||||
Archrock Partners LP/Archrock Partners Finance Corp.: | |||||
6.25%, 4/1/2028 (f) | 4,810,000 | 4,743,478 | |||
6.88%, 4/1/2027 (f) | 2,500,000 | 2,513,025 | |||
CSI Compressco LP/CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (f) | 830,000 | 829,228 | |||
Helix Energy Solutions Group, Inc. 9.75%, 3/1/2029 (f) | 1,694,000 | 1,778,158 | |||
Oceaneering International, Inc.: | |||||
6.00%, 2/1/2028 | 1,450,000 | 1,411,633 | |||
6.00%, 2/1/2028 (f) | 420,000 | 409,227 | |||
PACKAGING & CONTAINERS — 0.1% | |||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 9/1/2029 (f) | 3,885,000 | 3,292,537 | |||
Cascades, Inc./Cascades USA, Inc. 5.38%, 1/15/2028 (f) | 700,000 | 684,278 | |||
PHARMACEUTICALS — 0.1% | |||||
Grifols SA 4.75%, 10/15/2028 (f) | 490,000 | 445,528 | |||
Herbalife Nutrition Ltd./HLF Financing, Inc. 7.88%, 9/1/2025 (f) | 2,250,000 | 2,232,202 | |||
Owens & Minor, Inc. 4.50%, 3/31/2029 (f) | 80,000 | 70,550 | |||
PIPELINES — 0.4% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||||
5.38%, 6/15/2029 (f) | 900,000 | 866,547 | |||
5.75%, 3/1/2027 (f) | 1,850,000 | 1,837,512 |
Security Description | Principal Amount | Value | |||
5.75%, 1/15/2028 (f) | $ 2,630,000 | $ 2,602,280 | |||
Delek Logistics Partners LP/Delek Logistics Finance Corp. 7.13%, 6/1/2028 (f) | 3,726,000 | 3,531,316 | |||
EnLink Midstream Partners LP 5.45%, 6/1/2047 | 710,000 | 625,531 | |||
Global Partners LP/GLP Finance Corp.: | |||||
6.88%, 1/15/2029 | 950,000 | 920,759 | |||
7.00%, 8/1/2027 | 1,200,000 | 1,173,228 | |||
Hess Midstream Operations LP: | |||||
4.25%, 2/15/2030 (f) | 1,960,000 | 1,811,785 | |||
5.13%, 6/15/2028 (f) | 4,660,000 | 4,501,933 | |||
5.50%, 10/15/2030 (f) | 150,000 | 145,955 | |||
5.63%, 2/15/2026 (f) | 658,000 | 653,407 | |||
NuStar Logistics LP: | |||||
5.75%, 10/1/2025 | 1,000,000 | 997,660 | |||
6.00%, 6/1/2026 | 180,000 | 179,494 | |||
6.38%, 10/1/2030 | 1,450,000 | 1,453,321 | |||
REAL ESTATE — 0.1% | |||||
Anywhere Real Estate Group LLC/Anywhere Co.-Issuer Corp. 7.00%, 4/15/2030 (f) | 340,000 | 314,017 | |||
Howard Hughes Corp.: | |||||
4.13%, 2/1/2029 (f) | 2,600,000 | 2,342,392 | |||
4.38%, 2/1/2031 (f) | 74,000 | 64,899 | |||
5.38%, 8/1/2028 (f) | 1,000,000 | 963,490 | |||
REAL ESTATE INVESTMENT TRUSTS — 0.6% | |||||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (f) | 2,550,000 | 2,146,335 | |||
Brandywine Operating Partnership LP 4.55%, 10/1/2029 | 650,000 | 571,941 | |||
HAT Holdings I LLC/HAT Holdings II LLC 3.38%, 6/15/2026 (f) | 1,980,000 | 1,868,724 | |||
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (f) | 1,820,000 | 1,667,557 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (f) | 1,000,000 | 944,480 | |||
5.00%, 7/15/2028 (f) | 2,000,000 | 1,924,080 | |||
5.63%, 7/15/2032 (f) | 340,000 | 322,024 | |||
7.00%, 2/15/2029 (f) | 555,000 | 572,194 | |||
REIT, 4.50%, 2/15/2031 (f) | 2,210,000 | 2,007,564 | |||
Rithm Capital Corp. 6.25%, 10/15/2025 (f) | 3,095,000 | 3,045,542 | |||
Service Properties Trust: | |||||
3.95%, 1/15/2028 | 1,755,000 | 1,442,592 | |||
4.95%, 2/15/2027 | 2,180,000 | 1,984,171 | |||
4.95%, 10/1/2029 | 540,000 | 446,148 |
Security Description | Principal Amount | Value | |||
Starwood Property Trust, Inc.: | |||||
3.63%, 7/15/2026 (f) | $ 550,000 | $ 520,900 | |||
4.38%, 1/15/2027 (f) | 7,640,000 | 7,220,182 | |||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 10.50%, 2/15/2028 (f) | 4,200,000 | 4,260,270 | |||
RETAIL — 0.7% | |||||
1011778 BC ULC/New Red Finance, Inc.: | |||||
4.00%, 10/15/2030 (f) | 1,600,000 | 1,439,552 | |||
4.38%, 1/15/2028 (f) | 420,000 | 401,226 | |||
Asbury Automotive Group, Inc.: | |||||
4.63%, 11/15/2029 (f) | 500,000 | 463,435 | |||
4.75%, 3/1/2030 | 1,000,000 | 933,450 | |||
5.00%, 2/15/2032 (f) | 450,000 | 409,986 | |||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029 (f) | 670,000 | 620,440 | |||
BlueLinx Holdings, Inc. 6.00%, 11/15/2029 (f) | 700,000 | 648,928 | |||
Brinker International, Inc. 8.25%, 7/15/2030 (f) | 50,000 | 52,476 | |||
FirstCash, Inc.: | |||||
4.63%, 9/1/2028 (f) | 2,400,000 | 2,241,240 | |||
5.63%, 1/1/2030 (f) | 3,500,000 | 3,351,180 | |||
Foot Locker, Inc. 4.00%, 10/1/2029 (f) | 1,760,000 | 1,468,914 | |||
Gap, Inc.: | |||||
3.63%, 10/1/2029 (f) | 6,610,000 | 5,647,187 | |||
3.88%, 10/1/2031 (f) | 1,730,000 | 1,425,382 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (f) | 980,000 | 909,107 | |||
Lithia Motors, Inc.: | |||||
3.88%, 6/1/2029 (f) | 149,000 | 135,101 | |||
4.38%, 1/15/2031 (f) | 60,000 | 54,620 | |||
Macy's Retail Holdings LLC: | |||||
4.50%, 12/15/2034 | 450,000 | 370,111 | |||
5.88%, 3/15/2030 (f) | 700,000 | 661,101 | |||
Murphy Oil USA, Inc.: | |||||
3.75%, 2/15/2031 (f) | 1,596,000 | 1,398,399 | |||
4.75%, 9/15/2029 | 660,000 | 626,769 | |||
Patrick Industries, Inc. 4.75%, 5/1/2029 (f) | 1,560,000 | 1,426,948 | |||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.00%, 6/1/2031 (f) | 4,340,000 | 3,969,624 | |||
Superior Plus LP/Superior General Partner, Inc. 4.50%, 3/15/2029 (f) | 1,330,000 | 1,229,292 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (f) | 3,390,000 | 2,833,498 | |||
Yum! Brands, Inc.: | |||||
3.63%, 3/15/2031 | 197,000 | 177,655 |
Security Description | Principal Amount | Value | |||
4.75%, 1/15/2030 (f) | $ 840,000 | $ 813,313 | |||
SOFTWARE — 0.1% | |||||
Fair Isaac Corp. 4.00%, 6/15/2028 (f) | 1,990,000 | 1,882,958 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (f) | 2,800,000 | 2,724,540 | |||
Open Text Corp. 3.88%, 12/1/2029 (f) | 1,100,000 | 986,942 | |||
TELECOMMUNICATIONS — 0.1% | |||||
Consolidated Communications, Inc.: | |||||
5.00%, 10/1/2028 (f) | 110,000 | 90,213 | |||
6.50%, 10/1/2028 (f) | 1,410,000 | 1,219,918 | |||
Frontier Communications Holdings LLC: | |||||
8.63%, 3/15/2031 (f) | 3,610,000 | 3,681,297 | |||
8.75%, 5/15/2030 (f) | 670,000 | 689,665 | |||
TRANSPORTATION — 0.0% (c) | |||||
Danaos Corp. 8.50%, 3/1/2028 (f) | 610,000 | 617,588 | |||
XPO, Inc. 7.13%, 2/1/2032 (f) | 504,000 | 519,811 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $435,032,485) | 457,934,786 | ||||
REPURCHASE AGREEMENTS — 1.9% | |||||
Barclays Capital, Inc., dated 12/29/2023 (collateralized by U.S. Treasury Notes 3.000% due 05/15/2047, valued at $120,000,000); expected proceeds $102,520,917, 5.37%, 06/15/2024 (Cost $100,000,000) | 100,000,000 | 100,000,000 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 7.5% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.36% (g)(h) (Cost $389,694,648) | 389,694,648 | $ 389,694,648 | |||
TOTAL INVESTMENTS — 107.4% (Cost $5,482,234,781) | 5,565,073,710 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)% | (385,456,425) | ||||
NET ASSETS — 100.0% | $ 5,179,617,285 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Athenahealth Group, Inc. | 9,550,367 | 9,292,841 | (257,526) | |||
VT Topco, Inc. | 3,761 | 3,763 | 2 | |||
OMNIA Partners LLC | 565,019 | 569,259 | 4,240 | |||
$10,119,147 | $9,865,863 | $(253,284) |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 December 31, 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) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2023, total aggregate fair value of the securities is $22,998,367, representing 0.50% of the Fund's net assets. |
(e) | Non-income producing security. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.0% of net assets as of December 31, 2023, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2023 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2023. |
SOFR | Secured Overnight Financing Rate |
GO | Government Obligation |
LIBOR | London Interbank Offered Rate |
PIK | Payment in Kind |
MTN | Medium Term Note |
CVR | Contingent Value Rights |
REIT | Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 457,934,786 | $ — | $ 457,934,786 | ||||
Common Stocks | — | — | 22,998,367 | 22,998,367 | ||||
Repurchase Agreements | — | 100,000,000 | — | 100,000,000 | ||||
Senior Floating Rate Loans | — | 4,594,445,909 | — | 4,594,445,909 | ||||
Short-Term Investment | 389,694,648 | — | — | 389,694,648 | ||||
TOTAL INVESTMENTS | $389,694,648 | $5,152,380,695 | $22,998,367 | $5,565,073,710 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Depreciation | $ — | $ (253,284) | $ — | $ (253,284) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (253,284) | $ — | $ (253,284) |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/23 | Value at 12/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 302,552,338 | $302,552,338 | $2,067,126,595 | $1,979,984,285 | $— | $— | 389,694,648 | $389,694,648 | $6,339,644 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $120,242,122 | $ 5,075,379,062 | |
Investments in affiliated issuers, at value | 8,142,440 | 389,694,648 | |
Repurchase agreements, at value and amortized cost | — | 100,000,000 | |
Total Investments | 128,384,562 | 5,565,073,710 | |
Cash | 379,940 | — | |
Receivable for investments sold | 2,085,218 | 326,656,231 | |
Receivable for fund shares sold | — | 2,094,711 | |
Dividends receivable — affiliated issuers | 31,053 | 1,719,415 | |
Interest receivable — unaffiliated issuers | 1,645,094 | 37,049,991 | |
Unrealized appreciation on unfunded loan commitments | 256 | — | |
Receivable from Affiliate | — | 837,000 | |
Receivable for foreign taxes recoverable | 5,367 | 43,107 | |
TOTAL ASSETS | 132,531,490 | 5,933,474,165 | |
LIABILITIES | |||
Due to custodian | — | 57,384,040 | |
Payable for investments purchased | 4,467,961 | 693,091,910 | |
Unrealized depreciation on unfunded loan commitments | — | 253,284 | |
Advisory fee payable | 68,771 | 3,120,509 | |
Trustees’ fees and expenses payable | 45 | 7,137 | |
TOTAL LIABILITIES | 4,536,777 | 753,856,880 | |
NET ASSETS | $127,994,713 | $ 5,179,617,285 | |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $135,855,423 | $ 6,278,723,560 | |
Total distributable earnings (loss) | (7,860,710) | (1,099,106,275) | |
NET ASSETS | $127,994,713 | $ 5,179,617,285 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 28.13 | $ 41.92 | |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 4,550,000 | 123,550,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $ 116,382,731 | $ 4,992,540,133 | |
Investments in affiliated issuers | 8,101,157 | 389,694,648 | |
Repurchase agreements | — | 100,000,000 | |
Total cost of investments | $124,483,888 | $ 5,482,234,781 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $5,363,932 | $214,023,758 | |
Dividend income — affiliated issuers | 219,963 | 6,339,644 | |
TOTAL INVESTMENT INCOME (LOSS) | 5,583,895 | 220,363,402 | |
EXPENSES | |||
Advisory fee | 432,331 | 16,051,883 | |
Trustees’ fees and expenses | 664 | 29,377 | |
Miscellaneous expenses | 27 | 972 | |
TOTAL EXPENSES | 433,022 | 16,082,232 | |
NET INVESTMENT INCOME (LOSS) | $5,150,873 | $204,281,170 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (644,871) | (73,098,531) | |
Investments — affiliated issuers | (23,442) | — | |
Net realized gain (loss) | (668,313) | (73,098,531) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 3,817,522 | 119,783,132 | |
Investments — affiliated issuers | 41,283 | — | |
Unfunded loan commitments | 2,726 | 44,550 | |
Net change in unrealized appreciation/depreciation | 3,861,531 | 119,827,682 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,193,218 | 46,729,151 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $8,344,091 | $251,010,321 |
SPDR Blackstone High Income ETF | SPDR Blackstone Senior Loan ETF | ||||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 5,150,873 | $ 8,568,207 | $ 204,281,170 | $ 449,195,588 | |||
Net realized gain (loss) | (668,313) | (8,110,193) | (73,098,531) | (618,138,892) | |||
Net change in unrealized appreciation/depreciation | 3,861,531 | 9,380,841 | 119,827,682 | 564,280,988 | |||
Net increase (decrease) in net assets resulting from operations | 8,344,091 | 9,838,855 | 251,010,321 | 395,337,684 | |||
Net equalization credits and charges | — | 40,471 | (118,660) | (1,905,227) | |||
Distributions to shareholders | (6,233,500) | (8,087,000) | (240,953,500) | (419,871,500) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | — | 16,447,735 | 1,360,304,716 | 1,862,640,864 | |||
Cost of shares redeemed | — | (9,655,756) | (865,277,292) | (5,642,644,491) | |||
Net income equalization | — | (40,471) | 118,660 | 1,905,227 | |||
Other capital | (3,787) | 32,498 | 1,840,378 | 16,111,574 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (3,787) | 6,784,006 | 496,986,462 | (3,761,986,826) | |||
Contribution from Affiliate (Note 4) | — | — | 837,000 | 38,051 | |||
Net increase (decrease) in net assets during the period | 2,106,804 | 8,576,332 | 507,761,623 | (3,788,387,818) | |||
Net assets at beginning of period | 125,887,909 | 117,311,577 | 4,671,855,662 | 8,460,243,480 | |||
NET ASSETS AT END OF PERIOD | $127,994,713 | $125,887,909 | $5,179,617,285 | $ 4,671,855,662 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | — | 600,000 | 32,600,000 | 44,500,000 | |||
Shares redeemed | — | (350,000) | (20,700,000) | (135,100,000) | |||
Net increase (decrease) from share transactions | — | 250,000 | 11,900,000 | (90,600,000) |
SPDR Blackstone High Income ETF | |||||
Six Months Ended 12/31/23 (Unaudited) | Year Ended 6/30/23 | For the Period 02/17/22*- 6/30/22 | |||
Net asset value, beginning of period | $ 27.67 | $ 27.28 | $ 30.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 1.13 | 2.00 | 0.50 | ||
Net realized and unrealized gain (loss) (b) | 0.70 | 0.26 | (2.86) | ||
Total from investment operations | 1.83 | 2.26 | (2.36) | ||
Net equalization credits and charges (a) | — | 0.01 | 0.00(c) | ||
Other capital (a) | (0.00)(c) | 0.01 | 0.00(c) | ||
Distributions to shareholders from: | |||||
Net investment income | (1.37) | (1.89) | (0.36) | ||
Net asset value, end of period | $ 28.13 | $ 27.67 | $ 27.28 | ||
Total return (d) | 6.96% | 8.48% | (7.93)% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $127,995 | $125,888 | $117,312 | ||
Ratios to average net assets: | |||||
Total expenses | 0.69%(e) | 0.70% | 0.70%(e) | ||
Net investment income (loss) | 8.16%(e) | 7.26% | 4.63%(e) | ||
Portfolio turnover rate | 57%(f) | 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 period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Not annualized. |
SPDR Blackstone Senior Loan ETF | |||||||||||
Six Months Ended 12/31/23 (Unaudited) | 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 | $ 41.84 | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.87 | 3.01 | 1.95 | 1.98 | 2.34 | 2.48 | |||||
Net realized and unrealized gain (loss) (c) | 0.38 | (0.27) | (4.44) | 3.02 | (3.06) | (0.86) | |||||
Total from investment operations | 2.25 | 2.74 | (2.49) | 5.00 | (0.72) | 1.62 | |||||
Net equalization credits and charges (b) | (0.00)(d) | (0.01) | 0.01 | 0.06 | (0.04) | (0.03) | |||||
Contribution from affiliate (Note 4) | 0.01 | 0.00(d) | — | 0.00(d) | 0.01 | — | |||||
Other capital (b) | 0.02 | 0.11 | 0.06 | 0.02 | 0.21 | 0.09 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (2.20) | (2.83) | (2.04) | (2.14) | (2.35) | (2.47) | |||||
Return of capital | — | — | (0.01) | — | — | — | |||||
Total distributions | (2.20) | (2.83) | (2.05) | — | — | — | |||||
Net asset value, end of period | $ 41.92 | $ 41.84 | $ 41.83 | $ 46.30 | $ 43.36 | $ 46.25 | |||||
Total return (e) | 5.65%(f) | 6.95%(g) | (5.46)% | 11.97%(g) | (1.23)%(g) | 3.68% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $5,179,617 | $4,671,856 | $8,460,243 | $6,294,196 | $1,433,094 | $2,222,400 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.70%(h) | 0.71% | 0.70% | 0.70% | 0.70% | 0.70% | |||||
Net investment income (loss) | 8.91%(h) | 7.19% | 4.33% | 4.31% | 5.17% | 5.33% | |||||
Portfolio turnover rate | 62%(i) | 125% | 140% | 176% | 195%(j) | 124%(j) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the period ended ended December 31, 2023, the total return would have been 5.64%. |
(g) | 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. |
(h) | Annualized. |
(i) | Not annualized. |
(j) | 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 |
* | The Advisory fees were reduced for SPDR Blackstone High Income ETF by the acquired fund fees and expenses and for the period ended December 31, 2023, and, as a result, the net annualized advisory fees were 0.69%. |
Purchases | Sales | ||
SPDR Blackstone High Income ETF | $ 70,094,516 | $ 71,222,755 | |
SPDR Blackstone Senior Loan ETF | 3,381,398,569 | 2,796,725,238 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone High Income ETF | $ 124,847,673 | $ 4,187,965 | $ 651,076 | $ 3,536,889 | |||
SPDR Blackstone Senior Loan ETF | 5,522,401,955 | 110,393,506 | 67,721,751 | 42,671,755 |
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 | 0.69% | $1,069.60 | $3.59 | $1,021.70 | $3.51 | ||||
SPDR Blackstone Senior Loan ETF | 0.70 | 1,056.50 | 3.62 | 1,021.60 | 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 184, then divided by 366. |
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.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) | 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.
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: | March 6, 2024 |
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: | March 6, 2024 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 6, 2024 |