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: 811-23494
T. Rowe Price Exchange-Traded Funds, Inc.
(Exact name of registrant as specified in charter)
100 East Pratt Street, Baltimore, MD 21202
(Address of principal executive offices)
David Oestreicher
100 East Pratt Street, Baltimore, MD 21202
(Name and address of agent for service)
Registrant’s telephone number, including area code: (410) 345-2000
Date of fiscal year end: May 31
Date of reporting period: November 30, 2023
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
T. ROWE PRICE | |
TBUX | Ultra Short-Term Bond ETF |
For more insights from T. Rowe Price investment professionals, go to troweprice.com. |
■ | Timely delivery of important documents |
■ | Convenient access to your documents anytime, anywhere |
■ | Strong security protocols to safeguard sensitive data |
Beginning Account Value 6/1/23 | Ending Account Value 11/30/23 | Expenses Paid During Period* 6/1/23 to 11/30/23 | |
Actual | $1,000.00 | $1,032.30 | $0.86 |
Hypothetical (assumes 5% return before expenses) | 1,000.00 | 1,024.15 | 0.86 |
* | Expenses are equal to the fund’s annualized expense ratio for the 6-month period (0.17%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), and divided by the days in the year (366) to reflect the half-year period. |
6 Months Ended | Year Ended | 9/28/21 (1) Through | |
11/30/23 | 5/31/23 | 5/31/22 | |
NET ASSET VALUE | |||
Beginning of period | $ 48.67 | $ 49.07 | $ 50.00 |
Investment activities | |||
Net investment income(2) (3) | 1.26 | 1.63 | 0.31 |
Net realized and unrealized gain/loss | 0.32 | (0.13) | (0.94) |
Total from investment activities | 1.58 | 1.50 | (0.63) |
Distributions | |||
Net investment income | (1.19) | (1.69) | (0.27) |
Net realized gain | - | (0.21) | (0.03) |
Total distributions | (1.19) | (1.90) | (0.30) |
NET ASSET VALUE | |||
End of period | $ 49.06 (4) | $ 48.67 | $ 49.07 |
6 Months Ended | Year Ended | 9/28/21 (1) Through | |
11/30/23 | 5/31/23 | 5/31/22 | |
Ratios/Supplemental Data | |||
Total return, based on NAV(3) (5) | 3.23% (4) | 3.15% | (1.31)% |
Ratios to average net assets:(3) | |||
Gross expenses before waivers/payments by Price Associates | 0.17% (6) | 0.17% | 0.17% (6) |
Net expenses after waivers/payments by Price Associates | 0.17% (6) | 0.17% | 0.17% (6) |
Net investment income | 5.14% (6) | 3.34% | 0.94% (6) |
Portfolio turnover rate(7) | 45.6% | 61.2% | 12.5% |
Net assets, end of period (in thousands) | $ 112,834 | $ 54,755 | $ 36,801 |
(1) | Inception date |
(2) | Per share amounts calculated using average shares outstanding method. |
(3) | See Note 6 for details to expense-related arrangements with Price Associates. |
(4) | Net asset value and Total return include adjustments made in accordance with U.S. generally accepted accounting principles for financial reporting purposes and may differ from the net asset value and total returns for share holder transactions. |
(5) | Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions. Total return is not annualized for periods less than one year. |
(6) | Annualized |
(7) | Portfolio turnover excludes securities received or delivered through in-kind share transactions. |
PORTFOLIO OF INVESTMENTS‡ | Par/Shares | $ Value |
(Amounts in 000s) | ||
ASSET-BACKED SECURITIES 18.8% | ||
Auto Backed 10.4% | ||
Ally Auto Receivables Trust, Series 2023-A, Class A2, 6.15%, 1/17/34 (1) | 296 | 297 |
Ally Auto Receivables Trust, Series 2023-A, Class B, 6.01%, 1/17/34 (1) | 178 | 177 |
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.06%, 8/18/26 | 100 | 96 |
ARI Fleet Lease Trust, Series 2023-B, Class A2, 6.05%, 7/15/32 (1) | 200 | 201 |
CarMax Auto Owner Trust, Series 2020-4, Class B, 0.85%, 6/15/26 | 327 | 310 |
CarMax Auto Owner Trust, Series 2023-3, Class A2B, FRN, SOFR30A + 0.60%, 5.924%, 11/16/26 | 510 | 510 |
CarMax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, 5/15/28 | 340 | 340 |
Carvana Auto Receivables Trust, Series 2021-N4, Class B, 1.24%, 9/11/28 | 10 | 9 |
Carvana Auto Receivables Trust, Series 2022-N1, Class A1, 2.31%, 12/11/28 (1) | 35 | 35 |
Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.36%, 4/12/27 (1) | 71 | 71 |
Carvana Auto Receivables Trust, Series 2023-N3, Class A, 6.41%, 9/10/27 (1) | 212 | 212 |
Carvana Auto Receivables Trust, Series 2023-P3, Class A2, 6.09%, 11/10/26 (1) | 425 | 425 |
Chase Auto Credit Linked Notes, Series 2021-3, Class B, 0.76%, 2/26/29 (1) | 425 | 409 |
Drive Auto Receivables Trust, Series 2020-2, Class D, 3.05%, 5/15/28 | 42 | 42 |
Enterprise Fleet Financing, Series 2020-2, Class A2, 0.61%, 7/20/26 (1) | 7 | 7 |
Enterprise Fleet Financing, Series 2021-2, Class A3, 0.74%, 5/20/27 (1) | 305 | 288 |
Enterprise Fleet Financing, Series 2022-3, Class A2, 4.38%, 7/20/29 (1) | 532 | 524 |
Enterprise Fleet Financing, Series 2023-2, Class A2, 5.56%, 4/22/30 (1) | 400 | 398 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Enterprise Fleet Financing LLC, Series 2023-3, Class A2, 6.40%, 3/20/30 (1) | 275 | 278 |
Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.86%, 12/15/26 | 100 | 100 |
Exeter Automobile Receivables Trust, Series 2022-4A, Class B, 4.57%, 1/15/27 | 250 | 248 |
Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.97%, 3/15/27 | 200 | 199 |
Exeter Automobile Receivables Trust, Series 2022-6A, Class A3, 5.70%, 8/17/26 | 25 | 25 |
Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.72%, 4/15/27 | 310 | 309 |
Exeter Automobile Receivables Trust, Series 2023-3A, Class B, 6.11%, 9/15/27 | 165 | 165 |
Exeter Automobile Receivables Trust, Series 2023-4A, Class A2, 6.07%, 12/15/25 | 425 | 425 |
Exeter Automobile Receivables Trust, Series 2023-4A, Class B, 6.31%, 10/15/27 | 275 | 275 |
Ford Credit Auto Lease Trust, Series 2023-A, Class B, 5.29%, 6/15/26 | 120 | 119 |
Ford Credit Auto Lease Trust, Series 2023-B, Class B, 6.20%, 2/15/27 | 180 | 181 |
Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31 (1) | 635 | 606 |
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class B, 5.31%, 5/15/28 (1) | 100 | 99 |
GM Financial Automobile Leasing Trust, Series 2023-2, Class B, 5.54%, 5/20/27 | 80 | 79 |
HPEFS Equipment Trust, Series 2023-1A, Class A2, 5.43%, 8/20/25 (1) | 144 | 144 |
JPMorgan Chase, Series 2021-1, Class B, 0.875%, 9/25/28 (1) | 173 | 169 |
JPMorgan Chase, Series 2021-2, Class B, 0.889%, 12/26/28 (1) | 43 | 42 |
JPMorgan Chase, Series 2021-2, Class C, 0.969%, 12/26/28 (1) | 44 | 43 |
JPMorgan Chase Bank, Series 2021-3, Class D, 1.009%, 2/26/29 (1) | 183 | 176 |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 8/25/28 (1) | 185 | 185 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (1) | 67 | 67 |
Octane Receivables Trust, Series 2023-1A, Class B, 5.96%, 7/20/29 (1) | 200 | 198 |
Octane Receivables Trust, Series 2023-3A, Class A2, 6.44%, 3/20/29 (1) | 925 | 927 |
Octane Receivables Trust, Series 2023-3A, Class B, 6.48%, 7/20/29 (1) | 265 | 267 |
Santander Consumer Auto Receivables Trust, Series 2021-BA, Class B, 1.45%, 10/16/28 (1) | 2 | 2 |
Santander Drive Auto Receivables Trust, Series 2022-5, Class B, 4.43%, 3/15/27 | 250 | 246 |
Santander Drive Auto Receivables Trust, Series 2022-6, Class B, 4.72%, 6/15/27 | 150 | 147 |
Santander Drive Auto Receivables Trust, Series 2022-7, Class A2, 5.81%, 1/15/26 | 26 | 25 |
Santander Drive Auto Receivables Trust, Series 2023-1, Class B, 4.98%, 2/15/28 | 85 | 84 |
Santander Drive Auto Receivables Trust, Series 2023-3, Class A3, 5.61%, 10/15/27 | 635 | 634 |
Santander Drive Auto Receivables Trust, Series 2023-4, Class A2, 6.18%, 2/16/27 | 555 | 556 |
Santander Drive Auto Receivables Trust, Series 2023-4, Class A3, 5.73%, 4/17/28 | 190 | 190 |
SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A2B, FRN, SOFR30A + 0.80%, 6.125%, 3/22/27 (1) | 63 | 63 |
World Omni Auto Receivables Trust, Series 2021-A, Class B, 0.64%, 12/15/26 | 25 | 23 |
World Omni Select Auto Trust, Series 2020-A, Class B, 0.84%, 6/15/26 | 84 | 83 |
11,730 | ||
Collateralized Debt Obligations 0.4% | ||
BlueMountain, Series 2015-3A, Class A1R, CLO, FRN, 3M TSFR + 1.26%, 6.677%, 4/20/31 (1) | 224 | 223 |
Symphony Static, Series 2021-1A, Class A, CLO, FRN, 3M TSFR + 1.09%, 6.47%, 10/25/29 (1) | 181 | 180 |
403 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Equipment Lease Heavy Duty 0.7% | ||
MMAF Equipment Finance, Series 2020-A, Class A3, 0.97%, 4/9/27 (1) | 400 | 379 |
MMAF Equipment Finance, Series 2020-BA, Class A5, 0.85%, 4/14/42 (1) | 100 | 93 |
MMAF Equipment Finance, Series 2023-A, Class A2, 5.79%, 11/13/26 (1) | 105 | 105 |
SCF Equipment Leasing, Series 2023-1A, Class A2, 6.56%, 1/22/30 (1) | 220 | 220 |
797 | ||
Other Asset-Backed Securities 6.8% | ||
ARI Fleet Lease Trust, Series 2021-A, Class A2, 0.37%, 3/15/30 (1) | 14 | 14 |
Axis Equipment Finance Receivables, Series 2021-1A, Class A2, 0.75%, 11/20/26 | 16 | 16 |
Dell Equipment Finance Trust, Series 2023-2, Class A3, 5.65%, 1/22/29 (1) | 100 | 100 |
Dell Equipment Finance Trust, Series 2023-3, Class A3, 6.57%, 4/23/29 (1) | 245 | 247 |
DLLAA, Series 2021-1A, Class A3, 0.67%, 4/17/26 (1) | 125 | 121 |
DLLAA, Series 2023-1A, Class A2, 5.93%, 7/20/26 (1) | 525 | 526 |
DLLAA, Series 2023-1A, Class A3, 5.64%, 2/22/28 (1) | 325 | 325 |
DLLAD, Series 2023-1A, Class A2, 5.19%, 4/20/26 (1) | 247 | 245 |
Elara HGV Timeshare Issuer, Series 2017-A, Class A, 2.69%, 3/25/30 (1) | 11 | 11 |
Hardee's Funding, Series 2018-1A, Class A2II, 4.959%, 6/20/48 (1) | 57 | 54 |
Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, 2/25/32 (1) | 229 | 222 |
HPEFS Equipment Trust, Series 2021-2A, Class D, 1.29%, 3/20/29 (1) | 300 | 290 |
HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, 5/21/29 (1) | 1,000 | 972 |
HPEFS Equipment Trust, Series 2023-2A, Class A3, 5.99%, 1/21/31 (1) | 250 | 251 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
HPEFS Equipment Trust, Series 2023-2A, Class B, 6.25%, 1/21/31 (1) | 110 | 111 |
Kubota Credit Owner Trust, Series 2023-2A, Class A2, 5.61%, 7/15/26 (1) | 685 | 684 |
Kubota Credit Owner Trust, Series 2023-2A, Class A3, 5.28%, 1/18/28 (1) | 525 | 524 |
M&T Equipment Notes, Series 2023-1A, Class A2, 6.09%, 7/15/30 (1) | 430 | 430 |
M&T Equipment Notes, Series 2023-1A, Class A3, 5.74%, 7/15/30 (1) | 580 | 578 |
MVW, Series 2020-1A, Class A, 1.74%, 10/20/37 (1) | 83 | 77 |
MVW, Series 2021-1WA, Class A, 1.14%, 1/22/41 (1) | 43 | 39 |
Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.06%, 10/15/69 (1) | 60 | 52 |
Nelnet Student Loan Trust, Series 2021-DA, Class AFL, FRN, 1M TSFR + 0.80%, 6.136%, 4/20/62 (1) | 60 | 59 |
Octane Receivables Trust, Series 2021-1A, Class A, 0.93%, 3/22/27 (1) | 18 | 17 |
Octane Receivables Trust, Series 2021-2A, Class A, 1.21%, 9/20/28 (1) | 61 | 59 |
Octane Receivables Trust, Series 2022-1A, Class A2, 4.18%, 3/20/28 (1) | 43 | 43 |
Octane Receivables Trust, Series 2022-2A, Class A, 5.11%, 2/22/28 (1) | 55 | 55 |
Octane Receivables Trust, Series 2023-2A, Class A2, 5.88%, 6/20/31 (1) | 166 | 165 |
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B, 1.833%, 12/15/31 (1) | 59 | 58 |
Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/15/32 (1) | 168 | 166 |
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B, 5.721%, 8/16/32 (1) | 99 | 99 |
Santander Retail Auto Lease Trust, Series 2020-A, Class B, 1.61%, 1/20/26 (1) | 180 | 173 |
Sierra Timeshare Receivables Funding, Series 2019-3A, Class A, 2.34%, 8/20/36 (1) | 41 | 39 |
Sierra Timeshare Receivables Funding, Series 2020-2A, Class A, 1.33%, 7/20/37 (1) | 36 | 34 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Verdant Receivables, Series 2023-1A, Class A2, 6.24%, 1/13/31 (1) | 590 | 589 |
Verizon Master Trust, Series 2021-1, Class B, 0.69%, 5/20/27 | 269 | 262 |
7,707 | ||
Student Loans 0.3% | ||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A, 3.42%, 1/15/43 (1) | 69 | 66 |
Navient Private Education Refi Loan Trust, Series 2020-FA, Class A, 1.22%, 7/15/69 (1) | 61 | 54 |
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.17%, 9/16/69 (1) | 70 | 62 |
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.31%, 1/15/69 (1) | 89 | 81 |
Navient Private Education Refi Loan Trust, Series 2021-GA, Class A, 1.58%, 4/15/70 (1) | 75 | 64 |
SMB Private Education Loan Trust, Series 2016-B, Class A2B, FRN, 1M TSFR + 1.56%, 6.887%, 2/17/32 (1) | 32 | 32 |
359 | ||
Whole Loans Backed 0.2% | ||
Progress Residential Trust, Series 2020-SFR3, Class B, CMO, ARM, 1.495%, 10/17/27 (1) | 235 | 216 |
Total Asset-Backed Securities (Cost $21,238) | 21,212 | |
CORPORATE BONDS 63.7% | ||
Advertising 0.5% | ||
WPP Finance, 3.75%, 9/19/24 | 600 | 588 |
588 | ||
Airlines 0.3% | ||
SMBC Aviation Capital Finance, 3.55%, 4/15/24 (1) | 400 | 396 |
396 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Automotive 3.9% | ||
Daimler Trucks Finance North America, FRN, SOFR + 0.75%, 6.097%, 12/13/24 (1) | 300 | 300 |
Ford Motor Credit, 2.30%, 2/10/25 | 300 | 285 |
Ford Motor Credit, 3.664%, 9/8/24 | 300 | 294 |
Ford Motor Credit, 4.134%, 8/4/25 | 250 | 240 |
Hyundai Capital America, 1.30%, 1/8/26 (1) | 250 | 228 |
Hyundai Capital America, 1.80%, 10/15/25 (1) | 410 | 381 |
Hyundai Capital America, 5.50%, 3/30/26 (1) | 85 | 84 |
Hyundai Capital America, 5.65%, 6/26/26 (1) | 200 | 199 |
Hyundai Capital America, 6.25%, 11/3/25 (1) | 70 | 71 |
LeasePlan, 2.875%, 10/24/24 (1) | 600 | 582 |
Nissan Motor, 3.522%, 9/17/25 (1) | 295 | 281 |
Nissan Motor Acceptance, 1.125%, 9/16/24 (1) | 416 | 399 |
Volkswagen Group of America Finance, 5.80%, 9/12/25 (1) | 300 | 300 |
Volkswagen Group of America Finance, 6.00%, 11/16/26 (1) | 545 | 550 |
Volkswagen Group of America Finance, FRN, SOFR + 0.95%, 6.296%, 6/7/24 (1) | 200 | 200 |
4,394 | ||
Banking 22.4% | ||
ABN AMRO Bank, VR, 6.339%, 9/18/27 (1)(2) | 200 | 201 |
Australia & New Zealand Banking Group, 4.50%, 3/19/24 (1) | 800 | 796 |
Banco Santander, 5.147%, 8/18/25 | 400 | 395 |
Bangkok Bank, 4.05%, 3/19/24 | 250 | 249 |
Bank of America, 4.45%, 3/3/26 | 400 | 390 |
Bank of America, VR, 4.83%, 7/22/26 (2) | 200 | 197 |
Bank of America, VR, 5.08%, 1/20/27 (2) | 200 | 198 |
Bank of America, FRN, SOFR + 0.66%, 6.007%, 2/4/25 | 200 | 199 |
Bank of Ireland Group, VR, 6.25%, 9/16/26 (1)(2) | 400 | 399 |
Bank of Montreal, 5.30%, 6/5/26 | 550 | 549 |
Banque Federative du Credit Mutuel, 4.935%, 1/26/26 (1) | 400 | 394 |
Banque Federative du Credit Mutuel, 5.896%, 7/13/26 (1) | 400 | 402 |
Barclays, 4.375%, 9/11/24 | 400 | 393 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Barclays, VR, 5.304%, 8/9/26 (2) | 400 | 392 |
BPCE SA, 2.375%, 1/14/25 (1) | 500 | 481 |
CaixaBank, VR, 6.684%, 9/13/27 (1)(2) | 550 | 554 |
Canadian Imperial Bank of Commerce, FRN, SOFRINDX + 0.40%, 5.747%, 12/14/23 | 300 | 300 |
Capital One Financial, VR, 1.34%, 12/6/24 (2) | 400 | 400 |
Capital One Financial, 4.25%, 4/30/25 (3) | 180 | 175 |
Capital One Financial, FRN, SOFR + 1.35%, 6.697%, 5/9/25 | 200 | 199 |
Citigroup, 4.40%, 6/10/25 | 400 | 392 |
Citigroup, FRN, SOFR + 0.69%, 6.042%, 1/25/26 | 500 | 496 |
Cooperatieve Rabobank, 4.625%, 12/1/23 | 750 | 750 |
Danske Bank, VR, 3.77%, 3/28/25 (1)(2) | 400 | 396 |
Danske Bank, VR, 6.259%, 9/22/26 (1)(2) | 235 | 236 |
Deutsche Bank, VR, 1.45%, 4/1/25 (2) | 300 | 295 |
Deutsche Bank, 3.70%, 5/30/24 | 200 | 197 |
Discover Bank, 2.45%, 9/12/24 | 900 | 873 |
Emirates NBD Bank PJSC, 2.625%, 2/18/25 | 400 | 384 |
Fifth Third Bancorp, 2.375%, 1/28/25 | 160 | 154 |
Fifth Third Bank, 3.85%, 3/15/26 | 650 | 615 |
Goldman Sachs Group, FRN, SOFR + 0.50%, 5.847%, 9/10/24 | 100 | 99 |
Goldman Sachs Group, FRN, SOFR + 0.70%, 6.049%, 1/24/25 | 400 | 399 |
Goldman Sachs Group, FRN, SOFR + 1.39%, 6.737%, 3/15/24 | 50 | 50 |
Huntington Bancshares, 2.625%, 8/6/24 (3) | 225 | 219 |
Huntington National Bank, VR, 5.70%, 11/18/25 (2) | 335 | 327 |
ING Groep, VR, 3.87%, 3/28/26 (2) | 800 | 778 |
Intesa Sanpaolo, 3.25%, 9/23/24 (1) | 500 | 488 |
Intesa Sanpaolo, 5.25%, 1/12/24 | 300 | 300 |
Intesa Sanpaolo, 7.00%, 11/21/25 (1) | 200 | 202 |
Lloyds Banking Group, VR, 2.44%, 2/5/26 (2) | 635 | 608 |
Lloyds Banking Group, 4.50%, 11/4/24 | 400 | 393 |
Mitsubishi UFJ Financial Group, VR, 5.06%, 9/12/25 (2) | 400 | 397 |
Mitsubishi UFJ Financial Group, VR, 5.72%, 2/20/26 (2) | 400 | 400 |
Morgan Stanley, VR, 5.05%, 1/28/27 (2)(3) | 240 | 237 |
Morgan Stanley Bank, FRN, SOFR + 0.78%, 6.13%, 7/16/25 | 800 | 799 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
NatWest Group, VR, 5.85%, 3/2/27 (2) | 400 | 399 |
PNC Bank NA, 3.875%, 4/10/25 | 500 | 486 |
PNC Financial Services Group, VR, 5.812%, 6/12/26 (2)(3) | 240 | 240 |
Santander U.K. Group Holdings, VR, 1.09%, 3/15/25 (2) | 400 | 393 |
Siam Commercial Bank, 3.90%, 2/11/24 | 400 | 399 |
Societe Generale, 4.25%, 4/14/25 (1) | 500 | 485 |
Societe Generale, 5.00%, 1/17/24 (1) | 400 | 399 |
Standard Chartered, VR, 3.97%, 3/30/26 (1)(2) | 200 | 194 |
Standard Chartered, 5.20%, 1/26/24 (1) | 400 | 399 |
Standard Chartered, VR, 6.187%, 7/6/27 (1)(2) | 400 | 401 |
Toronto-Dominion Bank, FRN, SOFR + 1.08%, 6.42%, 7/17/26 | 550 | 549 |
Truist Financial, FRN, SOFR + 0.40%, 5.747%, 6/9/25 | 445 | 436 |
UBS Group, VR, 2.59%, 9/11/25 (1)(2) | 500 | 485 |
UBS Group, VR, 6.327%, 12/22/27 (1)(2) | 300 | 303 |
US Bancorp, 3.60%, 9/11/24 | 100 | 98 |
US Bancorp, VR, 5.73%, 10/21/26 (2) | 465 | 462 |
Wells Fargo, 3.00%, 4/22/26 | 800 | 757 |
Wells Fargo, 4.10%, 6/3/26 | 290 | 282 |
Woori Bank, 4.75%, 4/30/24 | 400 | 398 |
25,312 | ||
Broadcasting 0.4% | ||
Interpublic Group, 4.20%, 4/15/24 | 400 | 396 |
396 | ||
Building & Real Estate 0.2% | ||
EMG SUKUK, 4.564%, 6/18/24 | 200 | 198 |
198 | ||
Cable Operators 0.2% | ||
Cox Communications, 3.15%, 8/15/24 (1) | 200 | 196 |
196 | ||
Chemicals 0.5% | ||
Celanese US Holdings, 1.40%, 8/5/26 | 348 | 310 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
LG Chem, 4.375%, 7/14/25 | 280 | 274 |
584 | ||
Consumer Products 0.2% | ||
Mattel, 3.375%, 4/1/26 (1) | 285 | 266 |
266 | ||
Diversified Chemicals 0.2% | ||
Bayer US Finance II, 4.25%, 12/15/25 (1) | 290 | 279 |
279 | ||
Drugs 1.3% | ||
AbbVie, 3.80%, 3/15/25 | 525 | 514 |
BNP Paribas SA, 4.25%, 10/15/24 | 500 | 492 |
Viatris, 1.65%, 6/22/25 | 515 | 483 |
1,489 | ||
Electric Utilities 0.2% | ||
Israel Electric, 5.00%, 11/12/24 | 200 | 196 |
196 | ||
Energy 4.7% | ||
APA Infrastructure, 4.20%, 3/23/25 (1) | 800 | 783 |
DCP Midstream Operating, 5.375%, 7/15/25 | 740 | 739 |
Energy Transfer, 6.05%, 12/1/26 | 315 | 319 |
Energy Transfer , 5.75%, 4/1/25 | 200 | 199 |
EQT, 6.125%, 2/1/25 | 200 | 200 |
Gray Oak Pipeline, 2.60%, 10/15/25 (1) | 125 | 117 |
MPLX, 4.875%, 12/1/24 | 500 | 494 |
MPLX, 4.875%, 6/1/25 | 200 | 197 |
Occidental Petroleum, 5.50%, 12/1/25 | 300 | 300 |
Occidental Petroleum, 5.55%, 3/15/26 | 150 | 150 |
Occidental Petroleum, 5.875%, 9/1/25 | 478 | 480 |
Occidental Petroleum, 8.50%, 7/15/27 | 125 | 135 |
Reliance Industries, 4.125%, 1/28/25 | 250 | 245 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Sabine Pass Liquefaction, 5.75%, 5/15/24 | 156 | 156 |
Western Midstream Operating, 3.10%, 2/1/25 | 322 | 312 |
Western Midstream Operating, 3.95%, 6/1/25 | 500 | 485 |
5,311 | ||
Exploration & Production 0.2% | ||
Aker BP, 2.00%, 7/15/26 (1) | 300 | 273 |
273 | ||
Financial 4.2% | ||
AerCap Ireland Capital, 3.15%, 2/15/24 | 300 | 298 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.10%, 1/15/27 | 225 | 226 |
Air Lease, 4.25%, 2/1/24 | 200 | 199 |
Ally Financial, 3.875%, 5/21/24 (3) | 400 | 395 |
Ally Financial, 4.625%, 3/30/25 | 200 | 196 |
Ally Financial, 5.125%, 9/30/24 | 200 | 198 |
CNO Financial Group, 5.25%, 5/30/25 | 577 | 571 |
Fab Sukuk Co, 3.875%, 1/22/24 | 200 | 199 |
General Motors Financial, 4.00%, 1/15/25 | 100 | 98 |
General Motors Financial, 6.05%, 10/10/25 | 300 | 301 |
General Motors Financial, FRN, SOFR + 0.76%, 6.107%, 3/8/24 | 390 | 390 |
Indian Railway Finance, 3.73%, 3/29/24 | 400 | 398 |
LSEGA Financing, 1.375%, 4/6/26 (1) | 400 | 363 |
QNB Finance, 3.50%, 3/28/24 | 200 | 198 |
Synchrony Financial, 4.25%, 8/15/24 | 190 | 187 |
Western Union, 2.85%, 1/10/25 | 510 | 492 |
4,709 | ||
Food/Tobacco 0.5% | ||
Imperial Brands Finance, 3.125%, 7/26/24 (1) | 200 | 196 |
Imperial Brands Finance, 4.25%, 7/21/25 (1) | 400 | 390 |
586 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Forest Products 0.2% | ||
Celulosa Arauco Constitucion, 4.50%, 8/1/24 | 200 | 197 |
197 | ||
Gas & Gas Transmission 0.2% | ||
Kinder Morgan Energy, 4.25%, 9/1/24 | 200 | 198 |
198 | ||
Health Care 1.4% | ||
Baxter International, FRN, SOFRINDX + 0.44%, 5.785%, 11/29/24 | 250 | 249 |
HCA, 5.375%, 2/1/25 | 950 | 943 |
Utah Acquisition Sub, 3.95%, 6/15/26 | 420 | 400 |
1,592 | ||
Information Technology 0.8% | ||
Microchip Technology, 0.972%, 2/15/24 | 500 | 495 |
NXP, 4.875%, 3/1/24 | 400 | 398 |
893 | ||
Insurance 4.6% | ||
Athene Global Funding, 2.514%, 3/8/24 (1) | 250 | 248 |
Athene Global Funding, FRN, SOFRINDX + 0.72%, 6.063%, 1/7/25 (1) | 200 | 198 |
Brighthouse Financial Global Funding, 1.00%, 4/12/24 (1) | 125 | 123 |
Brighthouse Financial Global Funding, 1.20%, 12/15/23 (1) | 150 | 149 |
Brighthouse Financial Global Funding, FRN, SOFR + 0.76%, 6.108%, 4/12/24 (1) | 245 | 244 |
Brown & Brown, 4.20%, 9/15/24 | 150 | 148 |
CNO Global Funding, 1.65%, 1/6/25 (1) | 400 | 379 |
Corebridge Financial, 3.50%, 4/4/25 | 1,200 | 1,161 |
Equitable Financial Life Global Funding, 1.40%, 7/7/25 (1) | 185 | 172 |
Equitable Financial Life Global Funding, 5.50%, 12/2/25 (1) | 621 | 616 |
First American Financial, 4.60%, 11/15/24 | 650 | 640 |
Principal Financial Group, 3.40%, 5/15/25 | 250 | 241 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Voya Financial, 3.65%, 6/15/26 | 900 | 858 |
5,177 | ||
Manufacturing 1.3% | ||
Carrier Global, 5.80%, 11/30/25 (1) | 305 | 307 |
POSCO, 4.375%, 8/4/25 | 400 | 392 |
VF, 2.40%, 4/23/25 | 785 | 740 |
1,439 | ||
Media & Communications 0.5% | ||
Warnermedia Holdings, 3.638%, 3/15/25 | 589 | 573 |
573 | ||
Media & Entertainment 0.4% | ||
Take-Two Interactive Software, 5.00%, 3/28/26 | 450 | 447 |
447 | ||
Metals & Mining 0.4% | ||
ABJA Investment, 5.95%, 7/31/24 | 400 | 398 |
Freeport-McMoRan, 5.00%, 9/1/27 | 5 | 5 |
403 | ||
Oil Field Services 0.3% | ||
Energy Transfer, 5.875%, 1/15/24 (3) | 350 | 350 |
350 | ||
Other Telecommunications 0.4% | ||
British Telecommunications, 4.50%, 12/4/23 | 400 | 400 |
400 | ||
Real Estate Investment Trust Securities 3.5% | ||
Brixmor Operating Partnership, 3.65%, 6/15/24 | 391 | 385 |
Brixmor Operating Partnership, 3.85%, 2/1/25 | 200 | 194 |
Brixmor Operating Partnership, 4.125%, 6/15/26 | 100 | 96 |
CubeSmart, 4.00%, 11/15/25 | 675 | 652 |
Essex Portfolio, 3.875%, 5/1/24 | 750 | 743 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Kilroy Realty, 3.45%, 12/15/24 | 575 | 556 |
Scentre Group Trust, 3.50%, 2/12/25 (1) | 900 | 875 |
WP Carey, 4.60%, 4/1/24 | 400 | 398 |
3,899 | ||
Retail 0.9% | ||
7-Eleven, 0.80%, 2/10/24 (1) | 95 | 94 |
Advance Auto Parts, 5.90%, 3/9/26 | 100 | 99 |
Nordstrom, 2.30%, 4/8/24 | 85 | 84 |
Walgreens Boots Alliance, 3.80%, 11/18/24 | 750 | 733 |
1,010 | ||
Transportation 0.7% | ||
Penske Truck Leasing, 2.70%, 11/1/24 (1) | 200 | 194 |
Penske Truck Leasing, 3.45%, 7/1/24 (1) | 400 | 394 |
Penske Truck Leasing, 3.95%, 3/10/25 (1) | 200 | 195 |
783 | ||
Transportation Services 0.3% | ||
HPHT Finance, 2.875%, 11/5/24 | 400 | 390 |
390 | ||
Utilities 4.1% | ||
American Electric Power, 2.031%, 3/15/24 | 500 | 494 |
American Electric Power, 5.699%, 8/15/25 | 278 | 278 |
Constellation Energy Generation, 3.25%, 6/1/25 | 1,096 | 1,058 |
Enel Finance International NV, 6.80%, 10/14/25 (1) | 400 | 406 |
NextEra Energy Capital Holdings, 6.051%, 3/1/25 | 200 | 200 |
NRG Energy, 3.75%, 6/15/24 (1) | 200 | 196 |
Pacific Gas and Electric, 3.15%, 1/1/26 | 595 | 561 |
Pacific Gas and Electric, 4.95%, 6/8/25 | 200 | 197 |
Sempra Energy, 3.30%, 4/1/25 | 100 | 97 |
Southern, 4.48%, 8/1/24 | 495 | 489 |
Southern California Edison, FRN, SOFRINDX + 0.83%, 6.177%, 4/1/24 | 25 | 25 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Vistra Operations, 3.55%, 7/15/24 (1) | 545 | 534 |
Vistra Operations, 5.125%, 5/13/25 (1) | 135 | 133 |
4,668 | ||
Wireless Communications 3.8% | ||
American Tower, 1.60%, 4/15/26 | 975 | 888 |
American Tower, 2.40%, 3/15/25 | 186 | 178 |
Crown Castle, 1.05%, 7/15/26 | 395 | 352 |
Crown Castle, 1.35%, 7/15/25 (3) | 300 | 280 |
Crown Castle International, 4.45%, 2/15/26 | 500 | 488 |
Rogers Communications, 2.95%, 3/15/25 | 475 | 458 |
Rogers Communications, 3.625%, 12/15/25 | 400 | 383 |
Sprint, 7.125%, 6/15/24 | 750 | 753 |
Sprint, 7.625%, 3/1/26 | 500 | 519 |
4,299 | ||
Total Corporate Bonds (Cost $71,935) | 71,891 | |
FOREIGN GOVERNMENT OBLIGATIONS & MUNICIPALITIES 1.0% | ||
Foreign Govt & Muni (Excl Canadian) 1.0% | ||
Japan Treasury Discount Bill, (0.246)%, 2/13/24 (JPY) | 169,400 | 1,143 |
1,143 | ||
Total Foreign Government Obligations & Municipalities (Cost $1,118) | 1,143 | |
NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 7.6% | ||
Commercial Mortgage-Backed Securities 2.8% | ||
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, ARM, 1M TSFR + 1.10%, 6.42%, 9/15/32 (1) | 475 | 472 |
BX Trust, Series 2020-VKNG, Class A, ARM, 1M TSFR + 1.04%, 6.367%, 10/15/37 (1) | 596 | 591 |
BX Trust, Series 2021-ARIA, Class A, ARM, 1M TSFR + 1.01%, 6.337%, 10/15/36 (1) | 665 | 646 |
COMM Mortgage Trust, Series 2014-CR21, Class A3, 3.528%, 12/10/47 | 20 | 20 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
COMM Mortgage Trust, Series 2014-LC15, Class A4, 4.006%, 4/10/47 | 308 | 306 |
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A, 3.144%, 12/10/36 (1) | 450 | 433 |
Great Wolf Trust, Series 2019-WOLF, Class A, ARM, 1M TSFR + 1.15%, 6.472%, 12/15/36 (1) | 625 | 621 |
ONE Mortgage Trust, Series 2021-PARK, Class A, ARM, 1M TSFR + 0.81%, 6.137%, 3/15/36 (1) | 115 | 108 |
3,197 | ||
Whole Loans Backed 4.8% | ||
Angel Oak Mortgage Trust, Series 2019-5, Class A1, CMO, ARM, 2.59%, 10/25/49 (1) | 54 | 52 |
Angel Oak Mortgage Trust, Series 2021-2, Class A1, CMO, ARM, 0.99%, 4/25/66 (1) | 94 | 77 |
Angel Oak Mortgage Trust, Series 2021-5, Class A1, CMO, ARM, 0.95%, 7/25/66 (1) | 120 | 99 |
Angel Oak Mortgage Trust, Series 2022-1, Class A1, CMO, ARM, 2.88%, 12/25/66 (1) | 98 | 85 |
Bellemeade Re, Series 2022-1, Class M1A, CMO, ARM, SOFR30A + 1.75%, 7.078%, 1/26/32 (1) | 104 | 104 |
BINOM Securitization Trust, Series 2021-INV1, Class A1, CMO, ARM, 2.03%, 6/25/56 (1) | 67 | 56 |
COLT Funding, Series 2021-4, Class A1, CMO, ARM, 1.40%, 10/25/66 (1) | 78 | 60 |
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M1, CMO, ARM, SOFR30A + 0.75%, 6.078%, 10/25/41 (1) | 1 | 1 |
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1, CMO, ARM, SOFR30A + 0.85%, 6.178%, 12/25/41 (1) | 53 | 53 |
Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M1, CMO, ARM, SOFR30A + 1.90%, 7.229%, 6/25/43 (1) | 54 | 54 |
Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1, CMO, ARM, SOFR30A + 1.70%, 7.028%, 7/25/43 (1) | 219 | 220 |
Eagle RE, Series 2021-2, Class M1A, CMO, ARM, SOFR30A + 1.55%, 6.878%, 4/25/34 (1) | 8 | 8 |
Ellington Financial Mortgage Trust, Series 2023-1, Class A1, CMO, ARM, 5.73%, 2/25/68 (1) | 167 | 164 |
Freddie Mac Stacr Remic Trust, Series 2023-HQA3, Class A1, CMO, ARM, SOFR30A + 1.85%, 7.173%, 11/25/43 (1) | 115 | 116 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Freddie Mac STACR REMIC Trust, Series 2022-DNA1, Class M1A, CMO, ARM, SOFR30A + 1.00%, 6.328%, 1/25/42 (1) | 145 | 144 |
Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class M1A, CMO, ARM, SOFR30A + 1.30%, 6.628%, 2/25/42 (1) | 192 | 191 |
Freddie Mac STACR REMIC Trust, Series 2022-DNA5, Class M1A, CMO, ARM, SOFR30A + 2.95%, 8.278%, 6/25/42 (1) | 200 | 205 |
New Residential Mortgage Loan Trust, Series 2023-NQM1, Class A1A, CMO, ARM, 6.864%, 10/25/63 (1) | 683 | 685 |
OBX Trust, Series 2022-NQM1, Class A1, CMO, ARM, 2.31%, 11/25/61 (1) | 156 | 130 |
OBX Trust, Series 2023-NQM10, Class A1, CMO, ARM, 6.465%, 10/25/63 (1) | 460 | 460 |
Progress Residential Trust, Series 2019-SFR4, Class B, CMO, ARM, 2.937%, 10/17/36 (1) | 800 | 775 |
Verus Securitization Trust, Series 2019-INV3, Class A1, CMO, ARM, 3.692%, 11/25/59 (1) | 96 | 93 |
Verus Securitization Trust, Series 2021-2, Class A1, CMO, ARM, 1.03%, 2/25/66 (1) | 100 | 83 |
Verus Securitization Trust, Series 2021-4, Class A1, CMO, ARM, 0.94%, 7/25/66 (1) | 101 | 78 |
Verus Securitization Trust, Series 2021-5, Class A1, CMO, ARM, 1.01%, 9/25/66 (1) | 135 | 105 |
Verus Securitization Trust, Series 2021-R3, Class A1, CMO, ARM, 1.02%, 4/25/64 (1) | 74 | 66 |
Verus Securitization Trust, Series 2023-3, Class A1, CMO, ARM, 5.93%, 3/25/68 (1) | 299 | 296 |
Verus Securitization Trust, Series 2023-INV1, Class A1, CMO, ARM, 5.999%, 2/25/68 (1) | 132 | 131 |
Verus Securitization Trust, Series 2023-INV3, Class A1, CMO, ARM, 6.876%, 11/25/68 (1) | 770 | 773 |
Vista Point Securitization Trust, Series 2020-2, Class A1, CMO, ARM, 1.48%, 4/25/65 (1) | 70 | 63 |
5,427 | ||
Total Non-U.S. Government Mortgage-Backed Securities (Cost $8,821) | 8,624 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 2.2% | ||
U.S. Treasury Obligations 2.2% | ||
U.S. Treasury Bills, 5.195%, 11/29/24 | 650 | 618 |
U.S. Treasury Bills, 5.383%, 5/30/24 | 650 | 633 |
U.S. Treasury Bills, 5.466%, 4/18/24 (4) | 565 | 554 |
U.S. Treasury Notes, 4.625%, 11/15/26 | 480 | 482 |
U.S. Treasury Notes, 4.875%, 11/30/25 | 170 | 170 |
2,457 | ||
Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $2,455) | 2,457 | |
SHORT-TERM INVESTMENTS 5.6% | ||
Commercial Paper 5.6% | ||
Bacardi-Martini, 5.977%, 12/19/23 (5) | 500 | 499 |
Bayer, 6.297%, 7/9/24 (5) | 550 | 530 |
Canadian Natural Resources, 6.022%, 12/22/23 (5) | 300 | 299 |
Crown Castle, 6.035%, 12/5/23 (5) | 300 | 300 |
Harley-Davidson Financial Services, 6.039%, 12/5/23 (5) | 700 | 699 |
Harley-Davidson Financial Services, 6.037%, 12/6/23 (5) | 300 | 300 |
Ovintiv, 6.156%, 12/19/23 | 750 | 748 |
Ovintiv, 6.123%, 12/20/23 | 250 | 249 |
Stanley Black & Decker, 6.051%, 1/18/24 (5) | 750 | 744 |
Syngenta Wilmington, 6.281%, 12/5/23 (5) | 1,100 | 1,099 |
Targa Resources, 6.001%, 12/1/23 (5) | 300 | 300 |
Walgreens Boots Alliance, 6.281%, 12/29/23 (5) | 250 | 249 |
Western Midstream Operating, 6.207%, 1/3/24 (5) | 300 | 298 |
6,314 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Money Market Funds 0.0% | ||
T. Rowe Price Government Reserve Fund, 5.42% (6)(7) | 1 | 1 |
Total Short-Term Investments (Cost $6,315) | 6,315 | |
SECURITIES LENDING COLLATERAL 1.6% | ||
Investments in a Pooled Account through Securities Lending Program with State Street Bank 1.6% | ||
Money Market Funds 1.6% | ||
T. Rowe Price Government Reserve Fund, 5.42% (6)(7) | 1,792 | 1,792 |
Total Investments in a Pooled Account through Securities Lending Program with State Street Bank | 1,792 | |
Total Securities Lending Collateral (Cost $1,792) | 1,792 |
Options Purchased 0.0% |
OTC Options Purchased 0.0% |
Description | Contracts | Notional Amount | $ Value | |
Counterparty: Bank of America, Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.IG-S41, 1 Year Index, 12/20/28), Pay 1.00% Quarterly, Receive upon credit default, 01/17/24 @ 0.73% (8) | 1 | 5,000 | 3 | |
Total Options Purchased (Cost $4) | 3 |
Total Investments in Securities 100.5% of Net Assets (Cost $113,678) | $113,437 |
‡ | Par/Shares and Notional Amount are denominated in U.S. dollars unless otherwise noted. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. Total value of such securities at period-end amounts to $43,318 and represents 38.4% of net assets. |
(2) | Security is a fix-to-float security, which carries a fixed coupon until a certain date, upon which it switches to a floating rate. Reference rate and spread are provided if the rate is currently floating. |
(3) | All or a portion of this security is on loan at November 30, 2023. See Note 4. |
(4) | At November 30, 2023, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. |
(5) | Commercial paper exempt from registration under Section 4(2) of the Securities Act of 1933 and may be resold in transactions exempt from registration only to dealers in that program or other "accredited investors" -- total value of such securities at period-end amounts to $5,317 and represents 4.7 % of net assets. |
(6) | Seven-day yield |
(7) | Affiliated Companies |
(8) | Non-income producing. |
1M TSFR | One month term SOFR (Secured overnight financing rate) |
3M TSFR | Three month term SOFR (Secured overnight financing rate) |
ARM | Adjustable Rate Mortgage (ARM); rate shown is effective rate at period-end. The rates for certain ARMs are not based on a published reference rate and spread but may be determined using a formula based on the rates of the underlying loans. |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
FRN | Floating Rate Note |
JPY | Japanese Yen |
OTC | Over-the-counter |
SOFR | Secured overnight financing rate |
SOFR30A | 30-day Average term SOFR (Secured Overnight Financing Rate) |
SOFRINDX | SOFR (Secured overnight financing rate) Index |
USD | U.S. Dollar |
VR | Variable Rate; rate shown is effective rate at period-end. The rates for certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and based on current market conditions. |
SWAPS 0.0% |
Description | Notional Amount | $ Value | Initial $ Value | Unrealized $ Gain/(Loss) |
CENTRALLY CLEARED SWAPS 0.0% | ||||
Credit Default Swaps, Protection Sold 0.0% | ||||
Protection Sold (Relevant Credit: AT&T, Baa2*), Receive 1.00% Quarterly, Pay upon credit default 12/20/23 | 125 | — | — | — |
Protection Sold (Relevant Credit: Citigroup, A3*), Receive 1.00% Quarterly, Pay upon credit default 12/20/23 | 60 | — | — | — |
Protection Sold (Relevant Credit: Bank of America, A1*), Receive 1.00% Quarterly, Pay upon credit default 12/20/23 | 60 | — | — | — |
Protection Sold (Relevant Credit: Verizon Communications, Baa1*), Receive 1.00% Quarterly, Pay upon credit default 12/20/23 | 125 | — | — | — |
Protection Sold (Relevant Credit: Freeport-McMoran, Baa2*), Receive 1.00% Quarterly, Pay upon credit default 6/20/24 | 200 | 1 | — | 1 |
Description | Notional Amount | $ Value | Initial $ Value | Unrealized $ Gain/(Loss) |
Protection Sold (Relevant Credit: Hess, Baa3*), Receive 1.00% Quarterly, Pay upon credit default 6/20/24 | 100 | 1 | — | 1 |
Protection Sold (Relevant Credit: Devon Energy, Baa2*), Receive 1.00% Quarterly, Pay upon credit default 6/20/24 | 100 | 1 | — | 1 |
Protection Sold (Relevant Credit: AT&T, Baa2*), Receive 1.00% Quarterly, Pay upon credit default 6/20/24 | 275 | 2 | 1 | 1 |
Protection Sold (Relevant Credit: Verizon Communications, Baa1*), Receive 1.00% Quarterly, Pay upon credit default 6/20/24 | 275 | 2 | 1 | 1 |
Protection Sold (Relevant Credit: AT&T, Baa2*), Receive 1.00% Quarterly, Pay upon credit default 12/20/24 | 275 | 2 | 1 | 1 |
Total Centrally Cleared Credit Default Swaps, Protection Sold | 6 | |||
Net payments (receipts) of variation margin to date | $ (6) | |||
Variation margin receivable (payable) on centrally cleared swaps | $(—) |
* | Credit ratings as of November 30, 2023. Ratings shown are from Moody’s Investors Service and if Moody’s does not rate a security, then Standard & Poor’s (S&P) is used. Fitch is used for securities that are not rated by either Moody’s or S&P. |
FORWARD CURRENCY EXCHANGE CONTRACTS |
Counterparty | Settlement | Receive | Deliver | Unrealized Gain/(Loss) | ||
JP Morgan Chase Bank | 2/13/24 | USD | 1,136 | JPY | 169,400 | $(19) |
Net unrealized gain (loss) on open forward currency exchange contracts | $(19) |
FUTURES CONTRACTS |
($000s) |
Expiration Date | Notional Amount | Value and Unrealized Gain (Loss) | |
Short, 66 Three Month SOFR Futures contracts | 09/24 | (15,674) | $ (23) |
Short, 31 U.S. Treasury Notes five year contracts | 03/24 | (3,288) | (24) |
Short, 1 U.S. Treasury Notes ten year contracts | 03/24 | (109) | — |
Short, 58 U.S. Treasury Notes two year contracts | 03/24 | (11,833) | (26) |
Short, 2 Ultra U.S. Treasury Notes ten year contracts | 03/24 | (226) | (1) |
Long, 25 Three Month SOFR Futures contracts | 06/24 | 5,921 | 5 |
Net payments (receipts) of variation margin to date | 105 | ||
Variation margin receivable (payable) on open futures contracts | $ 36 |
Affiliate | Net Realized Gain (Loss) | Changes in Net Unrealized Gain/Loss | Investment Income |
T. Rowe Price Government Reserve Fund | $ — | $— | $—++ |
Totals | $—# | $— | $ —+ |
Supplementary Investment Schedule | ||||
Affiliate | Value 5/31/23 | Purchase Cost | Sales Cost | Value 11/30/23 |
T. Rowe Price Government Reserve Fund | $ 86 | ¤ | ¤ | $ 1,793 |
Total | $1,793^ |
++ | Excludes earnings on securities lending collateral, which are subject to rebates and fees as described in Note 4. |
# | Capital gain distributions from mutual funds represented $0 of the net realized gain (loss). |
+ | Investment income comprised $0 of dividend income and $0 of interest income. |
¤ | Purchase and sale information not shown for cash management funds. |
^ | The cost basis of investments in affiliated companies was $1,793. |
Assets | |
Investments in securities, at value (cost $113,678) | $ 113,437 |
Receivable for investment securities sold | 2,596 |
Interest and dividends receivable | 849 |
Cash deposits on centrally cleared swaps | 195 |
Variation margin receivable on futures contracts | 36 |
Total assets | 117,113 |
Liabilities | |
Payable for investment securities purchased | 2,396 |
Obligation to return securities lending collateral | 1,792 |
Due to custodian | 56 |
Unrealized loss on forward currency exchange contracts | 19 |
Investment management and administrative fees payable | 16 |
Total liabilities | 4,279 |
NET ASSETS | $ 112,834 |
Net assets consists of: | |
Total distributable earnings (loss) | $ (277) |
Paid-in capital applicable to 2,300,000 shares of $0.0001 par value capital stock outstanding; 4,000,000,000 shares authorized | 113,111 |
NET ASSETS | $112,834 |
NET ASSET VALUE PER SHARE | $ 49.06 |
6 Months Ended | |
11/30/23 | |
Investment Income (Loss) | |
Income | |
Interest | $ 2,568 |
Securities lending | 2 |
Total income | 2,570 |
Expenses | |
Investment management and administrative expense | 82 |
Miscellaneous expense | 1 |
Total expenses | 83 |
Net investment income | 2,487 |
Realized and Unrealized Gain / Loss | |
Net realized gain (loss) | |
Securities | (129) |
Futures | 312 |
Swaps | 2 |
Options written | (14) |
Forward currency exchange contracts | 52 |
Net realized gain | 223 |
Change in net unrealized gain / loss | |
Securities | 481 |
Futures | (79) |
Swaps | 5 |
Options written | 3 |
Forward currency exchange contracts | (29) |
Change in unrealized gain / loss | 381 |
Net realized and unrealized gain / loss | 604 |
INCREASE IN NET ASSETS FROM OPERATIONS | $3,091 |
6 Months Ended | Year Ended | ||
11/30/23 | 5/31/23 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 2,487 | $ 1,680 | |
Net realized gain (loss) | 223 | (25) | |
Change in net unrealized gain / loss | 381 | (7) | |
Increase in net assets from operations | 3,091 | 1,648 | |
Distributions to shareholders | |||
Net earnings | (2,491) | (1,976) | |
Capital share transactions* | |||
Shares sold | 57,479 | 26,775 | |
Shares redeemed | — | (8,493) | |
Increase in net assets from capital share transactions | 57,479 | 18,282 | |
Net Assets | |||
Increase during period | 58,079 | 17,954 | |
Beginning of period | 54,755 | 36,801 | |
End of period | $112,834 | $54,755 | |
*Share information | |||
Shares sold | 1,175 | 550 | |
Shares redeemed | — | (175) | |
Increase in shares outstanding | 1,175 | 375 |
($000s) | Level 1 | Level 2 | Level 3 | Total Value |
Assets | ||||
Fixed Income1 | $ — | $105,327 | $— | $105,327 |
Short-Term Investments | 1 | 6,314 | — | 6,315 |
Securities Lending Collateral | 1,792 | — | — | 1,792 |
Options Purchased | — | 3 | — | 3 |
Total Securities | 1,793 | 111,644 | — | 113,437 |
Swaps* | — | 6 | — | 6 |
Futures Contracts* | 5 | — | — | 5 |
Total | $1,798 | $111,650 | $— | $113,448 |
Liabilities | ||||
Forward Currency Exchange Contracts | $ — | $ 19 | $— | $ 19 |
Futures Contracts* | 74 | — | — | 74 |
Total | $ 74 | $ 19 | $— | $ 93 |
1 | Includes Asset-Backed Securities, Corporate Bonds, Foreign Government Obligations & Municipalities, Non-U.S. Government Mortgage-Backed Securities, U.S. Government & Agency Mortgage-Backed Securities and U.S. Government Agency Obligations (Excluding Mortgage-Backed). |
* | The fair value presented includes cumulative gain (loss) on open futures contracts and centrally cleared swaps; however, the net value reflected on the accompanying Portfolio of Investments is only the unsettled variation margin receivable (payable) at that date. |
($000s) | Location on Statement of Assets and Liabilities | Fair Value |
Assets | ||
Interest rate derivatives | Futures* | $ 5 |
Credit derivatives | Centrally cleared swaps* and Securities^ | 9 |
Total | $14 | |
Liabilities | ||
Interest rate derivatives | Futures* | $74 |
Foreign exchange derivatives | Forwards | 19 |
Total | $93 |
* | The fair value presented includes cumulative gain (loss) on open futures contracts and centrally cleared swaps; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) at that date. |
^ | Options purchased are reported as securities. |
($000s) | Location of Gain (Loss) on Statement of Operations | |||||
Securities^ | Options Written | Futures | Forward Currency Exchange Contracts | Swaps | Total | |
Realized Gain (Loss) | ||||||
Interest rate derivatives | $(1) | $(14) | $312 | $ — | $— | $ 297 |
Foreign exchange derivatives | — | — | — | 52 | — | 52 |
Credit derivatives | — | — | — | — | 2 | 2 |
Total | $(1) | $(14) | $312 | $ 52 | $ 2 | $ 351 |
Change in Unrealized Gain (Loss) | ||||||
Interest rate derivatives | $ 1 | $ 3 | $ (79) | $ — | $— | $ (75) |
Foreign exchange derivatives | — | — | — | (29) | — | (29) |
Credit derivatives | (1) | — | — | — | 5 | 4 |
Total | $ — | $ 3 | $ (79) | $(29) | $ 5 | $(100) |
^ | Options purchased are reported as securities and are reflected in the accompanying Portfolio of Investments. |
Votes For | Votes Withheld | |
Melody Bianchetto | 13,058,976 | 207,279 |
Mark J. Parrell | 13,008,567 | 257,689 |
Eric L. Veiel | 13,038,692 | 227,564 |
Kellye L. Walker | 13,058,746 | 207,511 |
Item 1. (b) Notice pursuant to Rule 30e-3.
Not applicable.
Item 2. Code of Ethics.
A code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions is filed as an exhibit to the registrant’s annual Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the registrant’s most recent fiscal half-year.
Item 3. Audit Committee Financial Expert.
Disclosure required in registrant’s annual Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Disclosure required in registrant’s annual Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There has been no change to the procedures by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is filed with the registrant’s annual Form N-CSR. | |
(2) | ||
(3) | Written solicitation to repurchase securities issued by closed-end companies: not applicable. | |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
T. Rowe Price Exchange-Traded Funds, Inc. | ||||
By | /s/ David Oestreicher | |||
David Oestreicher | ||||
Principal Executive Officer | ||||
Date | January 19, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ David Oestreicher | |||
David Oestreicher | ||||
Principal Executive Officer | ||||
Date | January 19, 2024 |
By | /s/ Alan S. Dupski | |||
Alan S. Dupski | ||||
Principal Financial Officer | ||||
Date | January 19, 2024 |