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: October 31
Date of reporting period: April 30, 2024
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
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T. ROWE PRICE | |
TAGG | QM U.S. Bond ETF |
For more insights from T. Rowe Price investment professionals, go to troweprice.com. |
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■ | Timely delivery of important documents |
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■ | Strong security protocols to safeguard sensitive data |
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Beginning Account Value 11/1/23 | Ending Account Value 4/30/24 | Expenses Paid During Period* 11/1/23 to 4/30/24 | |
Actual | $1,000.00 | $1,051.00 | $0.41 |
Hypothetical (assumes 5% return before expenses) | 1,000.00 | 1,024.47 | 0.40 |
* | Expenses are equal to the fund’s annualized expense ratio for the 6-month period (0.08%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (182), and divided by the days in the year (366) to reflect the half-year period. |
6 Months Ended | Year Ended | Year Ended | 9/28/21 (1) Through | |
4/30/24 | 10/31/23 | 10/31/22 | 10/31/21 | |
NET ASSET VALUE | ||||
Beginning of period | $ 39.93 | $ 41.11 | $ 49.96 | $ 50.00 |
Investment activities | ||||
Net investment income(2) (3) | 0.90 | 1.54 | 0.90 | 0.06 |
Net realized and unrealized gain/loss | 1.15 | (1.31) | (8.87) | (0.07) |
Total from investment activities | 2.05 | 0.23 | (7.97) | (0.01) (4) |
Distributions | ||||
Net investment income | (0.91) | (1.41) | (0.87) | (0.03) |
Net realized gain | - | - | (0.01) | - |
Total distributions | (0.91) | (1.41) | (0.88) | (0.03) |
NET ASSET VALUE | ||||
End of period | $ 41.07 | $ 39.93 | $ 41.11 | $ 49.96 |
6 Months Ended | Year Ended | Year Ended | 9/28/21 (1) Through | |
4/30/24 | 10/31/23 | 10/31/22 | 10/31/21 | |
Ratios/Supplemental Data | ||||
Total return, based on NAV(3) (5) | 5.10% | 0.45% | (16.09)% | (0.08)% |
Ratios to average net assets:(3) | ||||
Gross expenses before waivers/payments by Price Associates | 0.08% (6) | 0.08% | 0.08% | 0.08% (6) |
Net expenses after waivers/payments by Price Associates | 0.08% (6) | 0.08% | 0.08% | 0.08% (6) |
Net investment income | 4.30% (6) | 3.66% | 1.96% | 1.29% (6) |
Portfolio turnover rate(7) | 74.4% | 211.9% | 403.7% | 50.9% |
Portfolio turnover rate, excluding mortgage dollar roll transactions | 14.1% | 41.7% | 35.1% | 11.7% |
Net assets, end of period (in thousands) | $ 88,309 | $ 103,819 | $ 35,973 | $ 27,477 |
(1) | Inception date |
(2) | Per share amounts calculated using average shares outstanding method. |
(3) | Includes the impact of expense-related arrangements with Price Associates. |
(4) | The amount presented is inconsistent with the fund's results of operations because of the timing of redemptions of fund shares in relation to fluctuating market values for the investment portfolio. |
(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) | The portfolio turnover rate calculation includes purchases and sales from mortgage dollar roll transactions. |
PORTFOLIO OF INVESTMENTS‡ | Par/Shares | $ Value |
(Amounts in 000s) | ||
ASSET-BACKED SECURITIES 4.8% | ||
Car Loan 1.8% | ||
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class C, 1.59%, 10/20/25 | 3 | 3 |
CarMax Auto Owner Trust, Series 2021-1, Class D, 1.28%, 7/15/27 | 100 | 96 |
CarMax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, 5/15/28 | 75 | 75 |
CarMax Auto Owner Trust, Series 2023-3, Class B, 5.47%, 2/15/29 | 65 | 64 |
Carvana Auto Receivables Trust, Series 2021-P4, Class C, 2.33%, 2/10/28 | 45 | 40 |
Chase Auto Credit Linked Notes, Series 2021-3, Class B, 0.76%, 2/26/29 (1) | 142 | 138 |
Enterprise Fleet Financing, Series 2021-2, Class A3, 0.74%, 5/20/27 (1) | 300 | 287 |
Enterprise Fleet Financing, Series 2023-2, Class A2, 5.56%, 4/22/30 (1) | 96 | 96 |
Exeter Automobile Receivables Trust, Series 2021-4A, Class C, 1.46%, 10/15/27 | 41 | 41 |
Ford Credit Auto Owner Trust, Series 2020-1, Class C, 2.54%, 8/15/31 (1) | 300 | 291 |
Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.85%, 8/15/35 (1) | 100 | 98 |
GM Financial Automobile Leasing Trust, Series 2023-1, Class C, 5.76%, 1/20/27 | 75 | 75 |
Santander Drive Auto Receivables Trust, Series 2022-3, Class C, 4.49%, 8/15/29 | 40 | 39 |
US Bank, Series 2023-1, Class B, 6.789%, 8/25/32 (1) | 204 | 204 |
1,547 | ||
Credit Card 0.1% | ||
Synchrony Card Funding, Series 2023-A1, Class A, 5.54%, 7/15/29 | 115 | 115 |
115 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Other Asset-Backed Securities 2.6% | ||
DLLAA, Series 2023-1A, Class A3, 5.64%, 2/22/28 (1) | 60 | 60 |
DLLAA, Series 2023-1A, Class A4, 5.73%, 10/20/31 (1) | 70 | 70 |
Elara HGV Timeshare, Series 2023-A, Class A, 6.16%, 2/25/38 (1) | 82 | 82 |
Elara HGV Timeshare, Series 2023-A, Class B, 6.53%, 2/25/38 (1) | 82 | 82 |
Elmwood CLO VIII, Series 2021-1A, Class AR, CLO, FRN, 3M TSFR + 1.55%, 6.877%, 4/20/37 (1) | 250 | 250 |
FirstKey Homes Trust, Series 2020-SFR2, Class B, 1.567%, 10/19/37 (1) | 310 | 290 |
MidOcean Credit, Series 2022-11A, Class A1R, CLO, FRN, 3M TSFR + 1.73%, 7.057%, 10/18/33 (1) | 250 | 251 |
MMAF Equipment Finance, Series 2022-A, Class A4, 3.32%, 6/13/44 (1) | 100 | 95 |
MMAF Equipment Finance, Series 2022-B, Class A3, 5.61%, 7/10/28 (1) | 169 | 169 |
Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (1) | 51 | 51 |
Octane Receivables Trust, Series 2024-1A, Class A2, 5.68%, 5/20/30 (1) | 100 | 100 |
Palmer Square, Series 2020-3A, Class A1R2, CLO, FRN, 3M TSFR + 1.65%, 6.957%, 11/15/36 (1) | 250 | 251 |
Progress Residential Trust, Series 2020-SFR1, Class C, 2.183%, 4/17/37 (1) | 100 | 96 |
Symphony Static, Series 2021-1A, Class A, CLO, FRN, 3M TSFR + 1.09%, 6.415%, 10/25/29 (1) | 143 | 143 |
Tricon American Homes, Series 2019-SFR1, Class D, 3.198%, 3/17/38 (1) | 230 | 217 |
Verdant Receivables, Series 2023-1A, Class A2, 6.24%, 1/13/31 (1) | 124 | 124 |
2,331 | ||
Student Loan 0.3% | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.13%, 2/15/68 (1) | 70 | 67 |
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A, 2.46%, 11/15/68 (1) | 107 | 100 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Nelnet Student Loan Trust, Series 2021-CA, Class AFX, 1.32%, 4/20/62 (1) | 50 | 45 |
Nelnet Student Loan Trust, Series 2021-DA, Class AFX, 1.63%, 4/20/62 (1) | 73 | 66 |
278 | ||
Total Asset-Backed Securities (Cost $4,279) | 4,271 | |
CORPORATE BONDS 29.8% | ||
FINANCIAL INSTITUTIONS 12.0% | ||
Banking 8.1% | ||
Ally Financial, 2.20%, 11/2/28 | 35 | 30 |
Bank of America, VR, 2.572%, 10/20/32 (2) | 65 | 53 |
Bank of America, VR, 2.592%, 4/29/31 (2) | 310 | 260 |
Bank of America, VR, 2.676%, 6/19/41 (2) | 230 | 155 |
Bank of America, VR, 3.824%, 1/20/28 (2) | 215 | 205 |
Bank of America, 4.00%, 1/22/25 | 70 | 69 |
Bank of America, VR, 4.244%, 4/24/38 (2) | 15 | 13 |
Bank of America, 5.875%, 2/7/42 | 15 | 15 |
Bank of Montreal, 2.65%, 3/8/27 | 70 | 65 |
Banque Federative du Credit Mutuel, 4.935%, 1/26/26 (1) | 300 | 296 |
Barclays, VR, 2.279%, 11/24/27 (2) | 200 | 182 |
Barclays, VR, 2.852%, 5/7/26 (2) | 200 | 193 |
Capital One Financial, VR, 2.359%, 7/29/32 (2) | 50 | 38 |
Capital One Financial, 3.65%, 5/11/27 | 155 | 146 |
Capital One Financial, 4.20%, 10/29/25 | 25 | 24 |
Citigroup, VR, 3.106%, 4/8/26 (2) | 25 | 24 |
Citigroup, VR, 3.887%, 1/10/28 (2) | 430 | 411 |
Citigroup, 4.65%, 7/30/45 | 15 | 13 |
Citigroup, 5.875%, 1/30/42 | 95 | 96 |
Danske Bank, VR, 3.244%, 12/20/25 (1)(2) | 255 | 250 |
Danske Bank, VR, 4.298%, 4/1/28 (1)(2) | 200 | 191 |
Discover Financial Services, 3.75%, 3/4/25 | 105 | 103 |
Fifth Third Bancorp, VR, 6.339%, 7/27/29 (2) | 45 | 45 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Goldman Sachs Group, VR, 1.948%, 10/21/27 (2) | 65 | 59 |
Goldman Sachs Group, VR, 2.615%, 4/22/32 (2) | 150 | 123 |
Goldman Sachs Group, VR, 3.272%, 9/29/25 (2) | 220 | 218 |
Goldman Sachs Group, 3.50%, 1/23/25 | 85 | 84 |
Goldman Sachs Group, 3.80%, 3/15/30 | 140 | 128 |
Goldman Sachs Group, 4.25%, 10/21/25 | 25 | 24 |
Goldman Sachs Group, 6.75%, 10/1/37 | 15 | 16 |
HSBC Holdings, VR, 2.013%, 9/22/28 (2) | 265 | 234 |
ING Groep, VR, 6.114%, 9/11/34 (2) | 200 | 201 |
JPMorgan Chase, VR, 1.578%, 4/22/27 (2) | 125 | 115 |
JPMorgan Chase, VR, 2.956%, 5/13/31 (2) | 275 | 235 |
JPMorgan Chase, VR, 3.109%, 4/22/51 (2) | 15 | 10 |
JPMorgan Chase, VR, 3.54%, 5/1/28 (2) | 15 | 14 |
JPMorgan Chase, VR, 3.782%, 2/1/28 (2) | 95 | 91 |
Morgan Stanley, VR, 2.188%, 4/28/26 (2) | 125 | 121 |
Morgan Stanley, 3.125%, 7/27/26 | 135 | 128 |
Morgan Stanley, VR, 3.622%, 4/1/31 (2) | 10 | 9 |
Morgan Stanley, 4.30%, 1/27/45 | 15 | 12 |
Morgan Stanley, 5.656%, 4/18/30 (2) | 155 | 155 |
PNC Financial Services, VR, 4.758%, 1/26/27 (2) | 180 | 178 |
PNC Financial Services Group, VR, 4.626%, 6/6/33 (2) | 110 | 101 |
Royal Bank of Canada, 2.30%, 11/3/31 | 50 | 40 |
Santander Holdings USA, VR, 6.499%, 3/9/29 (2)(3) | 80 | 80 |
Skandinaviska Enskilda Banken, 5.125%, 3/5/27 (1) | 230 | 228 |
Standard Chartered, VR, 1.822%, 11/23/25 (1)(2) | 200 | 194 |
State Street, VR, 4.857%, 1/26/26 (2) | 55 | 55 |
Sumitomo Mitsui Financial Group, 5.464%, 1/13/26 | 200 | 200 |
Toronto-Dominion Bank, 1.15%, 6/12/25 | 185 | 176 |
Toronto-Dominion Bank, 4.456%, 6/8/32 | 95 | 88 |
UBS Group, VR, 1.364%, 1/30/27 (1)(2) | 200 | 184 |
UBS Group, VR, 2.193%, 6/5/26 (1)(2) | 250 | 239 |
Wells Fargo, VR, 2.188%, 4/30/26 (2) | 185 | 178 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Wells Fargo, VR, 2.393%, 6/2/28 (2) | 430 | 391 |
7,186 | ||
Brokerage Asset Managers Exchanges 0.1% | ||
BlackRock Funding, 4.70%, 3/14/29 | 60 | 59 |
Intercontinental Exchange, 1.85%, 9/15/32 | 15 | 11 |
Nasdaq, 5.95%, 8/15/53 | 15 | 15 |
85 | ||
Finance Companies 0.8% | ||
AerCap Ireland Capital, 2.45%, 10/29/26 | 150 | 138 |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 5.75%, 6/6/28 | 150 | 150 |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.15%, 9/30/30 | 150 | 152 |
Avolon Holdings Funding, 3.95%, 7/1/24 (1) | 75 | 75 |
Avolon Holdings Funding, 6.375%, 5/4/28 (1) | 150 | 151 |
666 | ||
Insurance 1.7% | ||
ACE INA Holdings, 3.35%, 5/15/24 | 85 | 85 |
American International Group, 3.875%, 1/15/35 | 40 | 34 |
Anthem, 2.25%, 5/15/30 | 60 | 50 |
Anthem, 4.101%, 3/1/28 | 15 | 14 |
Anthem, 4.55%, 3/1/48 | 30 | 25 |
Anthem, 4.65%, 1/15/43 | 85 | 73 |
Aon, 3.875%, 12/15/25 | 135 | 131 |
Fidelity National Financial, 4.50%, 8/15/28 | 70 | 66 |
First American Financial, 4.60%, 11/15/24 | 70 | 69 |
Health Care Service, 2.20%, 6/1/30 (1) | 15 | 12 |
Humana, 2.15%, 2/3/32 | 85 | 66 |
Humana, 3.70%, 3/23/29 | 20 | 19 |
Humana, 5.95%, 3/15/34 | 50 | 50 |
Marsh & McLennan, 3.50%, 6/3/24 | 20 | 20 |
MassMutual Global Funding II, 5.10%, 4/9/27 (1) | 220 | 219 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
New York Life Insurance, 3.75%, 5/15/50 (1) | 20 | 15 |
Principal Financial Group, 2.125%, 6/15/30 | 215 | 176 |
Principal Financial Group, 3.40%, 5/15/25 | 10 | 10 |
Principal Financial Group, 3.70%, 5/15/29 | 75 | 69 |
Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47 (1) | 20 | 16 |
UnitedHealth Group, 2.00%, 5/15/30 | 10 | 8 |
UnitedHealth Group, 3.50%, 8/15/39 | 320 | 251 |
UnitedHealth Group, 3.75%, 7/15/25 | 40 | 39 |
UnitedHealth Group, 4.20%, 1/15/47 | 35 | 28 |
1,545 | ||
Real Estate Investment Trusts 1.3% | ||
Alexandria Real Estate Equities, 3.95%, 1/15/27 | 40 | 38 |
Alexandria Real Estate Equities, 4.00%, 2/1/50 | 40 | 29 |
Brixmor Operating Partnership, 3.85%, 2/1/25 | 60 | 59 |
Brixmor Operating Partnership, 3.90%, 3/15/27 | 15 | 14 |
Brixmor Operating Partnership, 4.05%, 7/1/30 | 85 | 77 |
Essex Portfolio, 2.65%, 3/15/32 | 35 | 28 |
Essex Portfolio, 3.875%, 5/1/24 | 45 | 45 |
Essex Portfolio, 4.50%, 3/15/48 (3) | 20 | 16 |
Extra Space Storage, 4.00%, 6/15/29 | 15 | 14 |
GAIF Bond Issuer, 3.40%, 9/30/26 (1) | 15 | 14 |
Healthpeak Properties, 2.125%, 12/1/28 | 15 | 13 |
Healthpeak Properties, 2.875%, 1/15/31 | 15 | 13 |
Kilroy Realty, 3.45%, 12/15/24 | 35 | 35 |
Kilroy Realty, 4.25%, 8/15/29 | 150 | 134 |
Kilroy Realty, 4.375%, 10/1/25 | 65 | 63 |
Physicians Realty, 2.625%, 11/1/31 | 15 | 12 |
Prologis, 4.00%, 9/15/28 | 35 | 33 |
Public Storage, 1.95%, 11/9/28 | 35 | 30 |
Public Storage, 5.35%, 8/1/53 | 40 | 37 |
Realty Income, 3.95%, 8/15/27 | 25 | 24 |
Realty Income, 4.625%, 11/1/25 | 240 | 237 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Regency Centers, 3.60%, 2/1/27 | 40 | 38 |
Simon Property Group, 3.375%, 10/1/24 | 110 | 109 |
Simon Property Group, 3.80%, 7/15/50 | 35 | 25 |
1,137 | ||
Total Financial Institutions | 10,619 | |
INDUSTRIAL 15.7% | ||
Basic Industry 0.3% | ||
LYB International Finance II, 3.50%, 3/2/27 | 25 | 24 |
Westlake, 3.375%, 6/15/30 | 150 | 132 |
Yara International, 7.378%, 11/14/32 (1) | 100 | 107 |
263 | ||
Capital Goods 0.4% | ||
Amphenol, 5.05%, 4/5/29 | 60 | 59 |
General Dynamics, 3.25%, 4/1/25 | 10 | 10 |
John Deere Capital, 2.65%, 6/10/26 | 15 | 14 |
L3Harris Technologies, 3.832%, 4/27/25 | 60 | 59 |
Northrop Grumman, 3.85%, 4/15/45 | 15 | 12 |
Parker-Hannifin, 4.50%, 9/15/29 | 25 | 24 |
Republic Services, 2.50%, 8/15/24 | 70 | 69 |
Republic Services, 3.375%, 11/15/27 | 65 | 61 |
Republic Services, 5.00%, 4/1/34 | 15 | 15 |
Waste Connections, 3.20%, 6/1/32 | 65 | 55 |
378 | ||
Communications 3.4% | ||
America Movil SAB de CV, 2.875%, 5/7/30 | 200 | 172 |
America Movil SAB de CV, 6.375%, 3/1/35 | 85 | 89 |
American Tower, 2.40%, 3/15/25 | 115 | 112 |
AT&T, 2.25%, 2/1/32 | 590 | 465 |
Charter Communications Operating, 2.80%, 4/1/31 | 245 | 194 |
Charter Communications Operating, 3.70%, 4/1/51 | 255 | 149 |
Charter Communications Operating, 4.908%, 7/23/25 | 220 | 217 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Comcast, 2.65%, 2/1/30 | 40 | 35 |
Comcast, 3.95%, 10/15/25 | 225 | 220 |
Cox Communications, 3.15%, 8/15/24 (1) | 15 | 15 |
Crown Castle International, 2.25%, 1/15/31 | 25 | 20 |
Crown Castle International, 2.90%, 3/15/27 | 10 | 9 |
Crown Castle International, 3.70%, 6/15/26 | 80 | 77 |
Crown Castle International, 4.45%, 2/15/26 | 60 | 59 |
Rogers Communications, 3.625%, 12/15/25 | 40 | 39 |
Rogers Communications, 4.50%, 3/15/42 | 85 | 70 |
Time Warner Cable, 6.55%, 5/1/37 | 50 | 45 |
Time Warner Cable, 6.75%, 6/15/39 | 110 | 100 |
T-Mobile USA, 2.25%, 11/15/31 | 15 | 12 |
T-Mobile USA, 3.75%, 4/15/27 | 395 | 376 |
Verizon Communications, 2.355%, 3/15/32 | 150 | 120 |
Verizon Communications, 2.987%, 10/30/56 | 15 | 9 |
Verizon Communications, 4.00%, 3/22/50 | 10 | 8 |
Walt Disney, 3.70%, 10/15/25 | 40 | 39 |
Warnermedia Holdings, 5.05%, 3/15/42 | 305 | 243 |
WPP Finance, Series 2010, 3.75%, 9/19/24 | 75 | 74 |
2,968 | ||
Consumer Cyclical 3.2% | ||
Amazon.com, 3.875%, 8/22/37 | 115 | 99 |
AutoZone, 1.65%, 1/15/31 | 30 | 23 |
AutoZone, 3.75%, 6/1/27 | 30 | 29 |
AutoZone, 5.05%, 7/15/26 | 250 | 248 |
Best Buy, 1.95%, 10/1/30 (3) | 100 | 81 |
Ford Motor Credit, 7.122%, 11/7/33 | 200 | 209 |
General Motors, 4.00%, 4/1/25 | 125 | 123 |
Home Depot, 5.875%, 12/16/36 | 90 | 93 |
Hyundai Capital America, 2.65%, 2/10/25 (1) | 15 | 15 |
Hyundai Capital America, 5.35%, 3/19/29 (1) | 20 | 20 |
Hyundai Capital America, 5.50%, 3/30/26 (1) | 80 | 79 |
Lowe's, 5.00%, 4/15/33 | 250 | 242 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
McDonald's, 3.30%, 7/1/25 | 50 | 49 |
McDonald's, 5.45%, 8/14/53 | 150 | 142 |
Mercedes-Benz Finance North America, 4.80%, 3/30/26 (1) | 180 | 178 |
Mercedes-Benz Finance North America, 5.05%, 8/3/33 (1) | 200 | 194 |
O'Reilly Automotive, 3.60%, 9/1/27 | 30 | 28 |
O'Reilly Automotive, 3.90%, 6/1/29 | 285 | 266 |
PACCAR Financial, 0.90%, 11/8/24 | 85 | 83 |
PACCAR Financial, 5.20%, 11/9/26 | 205 | 205 |
Priceline Group, 3.65%, 3/15/25 | 85 | 83 |
Ross Stores, 1.875%, 4/15/31 | 10 | 8 |
Ross Stores, 4.60%, 4/15/25 | 335 | 331 |
TJX, 1.60%, 5/15/31 | 30 | 24 |
2,852 | ||
Consumer Non-Cyclical 4.5% | ||
Abbott Laboratories, 4.75%, 11/30/36 | 245 | 232 |
AbbVie, 3.20%, 5/14/26 | 15 | 14 |
AbbVie, 3.20%, 11/21/29 | 15 | 14 |
AbbVie, 4.45%, 5/14/46 | 40 | 34 |
AbbVie, 4.50%, 5/14/35 | 125 | 115 |
AbbVie, 4.80%, 3/15/29 | 145 | 142 |
Anheuser-Busch InBev Finance, 4.90%, 2/1/46 | 15 | 14 |
Anheuser-Busch InBev Worldwide, 4.75%, 4/15/58 | 25 | 21 |
Anheuser-Busch InBev Worldwide, 5.45%, 1/23/39 | 15 | 15 |
Anheuser-Busch InBev Worldwide, 5.55%, 1/23/49 | 60 | 59 |
AstraZeneca, 1.375%, 8/6/30 | 15 | 12 |
AstraZeneca, 4.00%, 9/18/42 | 50 | 41 |
Astrazeneca Finance, 4.875%, 3/3/28 | 220 | 217 |
Astrazeneca Finance, 4.875%, 3/3/33 | 100 | 97 |
BAT Capital, 2.789%, 9/6/24 | 15 | 15 |
BAT Capital, 3.557%, 8/15/27 | 18 | 17 |
BAT Capital, 4.39%, 8/15/37 | 180 | 148 |
BAT Capital, 7.079%, 8/2/43 | 90 | 93 |
Becton Dickinson & Company, 2.823%, 5/20/30 | 245 | 211 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Becton Dickinson & Company, 3.70%, 6/6/27 | 145 | 138 |
Biogen, 2.25%, 5/1/30 | 350 | 289 |
Biogen, 3.15%, 5/1/50 | 15 | 9 |
Bristol-Myers Squibb, 3.40%, 7/26/29 | 7 | 6 |
Bristol-Myers Squibb, 4.25%, 10/26/49 | 15 | 12 |
CommonSpirit Health, 2.76%, 10/1/24 | 50 | 49 |
CommonSpirit Health, 2.782%, 10/1/30 | 20 | 17 |
CVS Health, 1.875%, 2/28/31 | 15 | 12 |
CVS Health, 2.70%, 8/21/40 | 275 | 180 |
CVS Health, 3.25%, 8/15/29 | 50 | 45 |
CVS Health, 5.125%, 7/20/45 | 145 | 126 |
CVS Health, 6.00%, 6/1/63 | 75 | 72 |
Hackensack Meridian Health, 4.211%, 7/1/48 | 85 | 70 |
Hasbro, 3.00%, 11/19/24 | 25 | 25 |
HCA, 4.125%, 6/15/29 | 200 | 185 |
HCA, 4.375%, 3/15/42 | 20 | 16 |
ICON Investments Six DAC, 5.849%, 5/8/29 | 200 | 200 |
IQVIA, 6.25%, 2/1/29 | 65 | 66 |
Mars, 4.75%, 4/20/33 (1) | 100 | 96 |
McKesson, 5.25%, 2/15/26 | 300 | 299 |
MedStar Health, 3.626%, 8/15/49 | 30 | 22 |
Memorial Sloan-Kettering Cancer Center, 4.20%, 7/1/55 | 10 | 8 |
Northwell Healthcare, 3.979%, 11/1/46 | 20 | 15 |
NYU Langone Hospitals, 4.368%, 7/1/47 | 15 | 13 |
Perrigo Finance Unlimited, 4.65%, 6/15/30 | 200 | 182 |
Reynolds American, 4.45%, 6/12/25 | 13 | 13 |
Smithfield Foods, 5.20%, 4/1/29 (1) | 15 | 14 |
Solventum, 5.40%, 3/1/29 (1) | 90 | 88 |
Stanford Health Care, 3.795%, 11/15/48 | 10 | 8 |
Takeda Pharmaceutical, 2.05%, 3/31/30 | 200 | 165 |
3,951 | ||
Energy 1.6% | ||
Amerada Hess, 7.125%, 3/15/33 | 50 | 55 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Boardwalk Pipelines, 3.40%, 2/15/31 | 25 | 22 |
Boardwalk Pipelines, 4.95%, 12/15/24 | 25 | 25 |
BP Capital Markets America, 3.41%, 2/11/26 | 45 | 44 |
Cameron LNG, 3.701%, 1/15/39 (1) | 40 | 31 |
Canadian Natural Resources, 2.95%, 7/15/30 | 20 | 17 |
Enbridge, 5.625%, 4/5/34 | 55 | 54 |
Enbridge, 6.70%, 11/15/53 | 35 | 37 |
Enbridge Energy Partners, 5.50%, 9/15/40 | 10 | 9 |
Energy Transfer, 5.25%, 4/15/29 | 120 | 118 |
Energy Transfer, 5.40%, 10/1/47 | 15 | 13 |
Energy Transfer, 6.50%, 2/1/42 | 25 | 25 |
Energy Transfer Operating, 3.75%, 5/15/30 | 70 | 63 |
Enterprise Products Operating, 5.35%, 1/31/33 | 100 | 99 |
MPLX, 5.65%, 3/1/53 | 350 | 323 |
ONEOK, 6.625%, 9/1/53 | 200 | 209 |
Pioneer Natural Resources, 1.125%, 1/15/26 | 10 | 9 |
Sabine Pass Liquefaction, 4.20%, 3/15/28 | 70 | 67 |
Sabine Pass Liquefaction, 4.50%, 5/15/30 | 85 | 80 |
TotalEnergies Capital International, 2.434%, 1/10/25 | 40 | 39 |
TotalEnergies Capital International, 2.986%, 6/29/41 | 60 | 43 |
Transcontinental Gas Pipe Line, 4.60%, 3/15/48 | 10 | 8 |
Woodside Finance, 4.50%, 3/4/29 (1) | 20 | 19 |
1,409 | ||
Industrial Other 0.0% | ||
Northwestern University, 2.64%, 12/1/50 | 20 | 12 |
12 | ||
Technology 1.8% | ||
Apple, 3.20%, 5/13/25 | 40 | 39 |
Apple, 3.35%, 2/9/27 | 165 | 158 |
CDW, 4.25%, 4/1/28 | 45 | 42 |
Fiserv, 3.20%, 7/1/26 | 40 | 38 |
Keysight Technologies, 3.00%, 10/30/29 | 50 | 44 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Keysight Technologies, 4.55%, 10/30/24 | 10 | 10 |
Microchip Technology, 5.05%, 3/15/29 | 60 | 59 |
Micron Technology, 4.185%, 2/15/27 | 70 | 67 |
Motorola Solutions, 5.00%, 4/15/29 | 60 | 59 |
NXP, 2.50%, 5/11/31 | 65 | 53 |
NXP, 3.15%, 5/1/27 | 125 | 117 |
NXP, 3.40%, 5/1/30 | 15 | 13 |
Oracle, 3.60%, 4/1/40 | 15 | 11 |
RELX Capital, 3.00%, 5/22/30 | 25 | 22 |
Roper Technologies, 2.95%, 9/15/29 | 25 | 22 |
Roper Technologies, 3.80%, 12/15/26 | 25 | 24 |
ServiceNow, 1.40%, 9/1/30 | 310 | 245 |
Texas Instruments, 1.375%, 3/12/25 | 70 | 68 |
Visa, 2.70%, 4/15/40 | 35 | 25 |
VMware, 1.40%, 8/15/26 | 95 | 86 |
Western Union, 2.85%, 1/10/25 | 50 | 49 |
Western Union, 6.20%, 11/17/36 (3) | 340 | 338 |
1,589 | ||
Transportation 0.5% | ||
Canadian Pacific Railway, 1.75%, 12/2/26 | 95 | 87 |
Canadian Pacific Railway, 2.875%, 11/15/29 | 120 | 106 |
Canadian Pacific Railway, 3.50%, 5/1/50 | 15 | 10 |
Canadian Pacific Railway, 4.70%, 5/1/48 | 10 | 8 |
ERAC USA Finance, 4.50%, 2/15/45 (1) | 10 | 8 |
ERAC USA Finance, 4.90%, 5/1/33 (1) | 185 | 175 |
Transurban Finance, 2.45%, 3/16/31 (1) | 30 | 25 |
Transurban Finance, 4.125%, 2/2/26 (1) | 15 | 15 |
434 | ||
Total Industrial | 13,856 | |
UTILITY 2.1% | ||
Electric 1.7% | ||
AEP Texas, 4.70%, 5/15/32 | 30 | 28 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Ameren, 5.70%, 12/1/26 | 165 | 165 |
Berkshire Hathaway Energy, 6.125%, 4/1/36 | 65 | 67 |
Duke Energy Indiana, 5.40%, 4/1/53 | 40 | 37 |
Exelon, 3.40%, 4/15/26 | 175 | 168 |
Georgia Power, 4.95%, 5/17/33 | 100 | 96 |
Metropolitan Edison, 4.30%, 1/15/29 (1)(3) | 75 | 71 |
Mid-Atlantic Interstate Transmission, 4.10%, 5/15/28 (1) | 15 | 14 |
NextEra Energy Capital Holdings, 5.749%, 9/1/25 | 130 | 130 |
Pacific Gas & Electric, 2.10%, 8/1/27 | 215 | 192 |
Pacific Gas and Electric, 6.15%, 1/15/33 | 100 | 100 |
Southern, 4.40%, 7/1/46 | 300 | 243 |
Southern California Edison, 5.15%, 6/1/29 | 210 | 207 |
1,518 | ||
Natural Gas 0.4% | ||
APT Pipelines, 4.25%, 7/15/27 (1) | 10 | 10 |
NiSource, 1.70%, 2/15/31 | 160 | 125 |
NiSource, 5.65%, 2/1/45 | 15 | 14 |
NiSource , 3.95%, 3/30/48 | 45 | 33 |
NiSource Finance, 3.49%, 5/15/27 | 55 | 52 |
Southern Co Gas Capital, 5.15%, 9/15/32 | 100 | 97 |
331 | ||
Total Utility | 1,849 | |
Total Corporate Bonds (Cost $27,803) | 26,324 | |
FOREIGN GOVERNMENT OBLIGATIONS & MUNICIPALITIES 1.2% | ||
Local Authorities 0.6% | ||
Province of Alberta, 4.50%, 1/24/34 | 205 | 196 |
Province of British Columbia Canada, 4.20%, 7/6/33 | 98 | 92 |
Province of Manitoba Canada, 4.30%, 7/27/33 | 250 | 236 |
524 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Owned No Guarantee 0.2% | ||
Corp Nacional del Cobre de Chile, 3.75%, 1/15/31 (1) | 200 | 174 |
174 | ||
Sovereign 0.4% | ||
Panama Government International Bond, 3.298%, 1/19/33 | 200 | 150 |
United Mexican States, 4.75%, 3/8/44 | 300 | 238 |
388 | ||
Total Foreign Government Obligations & Municipalities (Cost $1,179) | 1,086 | |
MUNICIPAL SECURITIES 2.2% | ||
California 0.6% | ||
Bay Area Toll Auth., Series S-10, 3.176%, 4/1/41 | 50 | 38 |
California, 5.20%, 3/1/43 | 200 | 190 |
California State University, 6.484%, 11/1/41 | 250 | 265 |
493 | ||
District Of Columbia 0.3% | ||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, 7.462%, 10/1/46 | 225 | 266 |
266 | ||
Georgia 0.3% | ||
County of Fulton, 5.148%, 7/1/39 | 205 | 197 |
Municipal Electric Auth. of Georgia, Build America, Vogtle Units, Series A, 6.637%, 4/1/57 | 40 | 43 |
240 | ||
Illinois 0.3% | ||
Chicago O'Hare Int'l Airport, Build America, 6.395%, 1/1/40 | 250 | 263 |
Cook County, 6.36%, 11/15/33 | 25 | 26 |
289 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Louisiana 0.1% | ||
Louisiana Local Government Environmental Facilities & Community Development Auth, Series A, 4.475%, 8/1/39 | 60 | 55 |
55 | ||
Maryland 0.0% | ||
Maryland Health & Higher Educational Facilities Auth., Series B, 4.815%, 7/1/43 | 40 | 36 |
36 | ||
New York 0.1% | ||
New York State Urban Dev. Sales Tax Revenue, Series B, 2.59%, 3/15/35 | 70 | 56 |
56 | ||
Tennessee 0.0% | ||
Metropolitan Government of Nashville & Davidson County, Series B, 3.235%, 7/1/52 | 75 | 46 |
46 | ||
Texas 0.4% | ||
Central Texas Regional Mobility Auth., Series E, 3.167%, 1/1/41 | 75 | 56 |
Dallas/Fort Worth Int'l Airport, Series C, 2.843%, 11/1/46 | 65 | 45 |
Dallas/Fort Worth Int'l Airport, Series A, 5.045%, 11/1/47 | 250 | 234 |
Texas Natural Gas Securitization Fin Corp, 5.169%, 4/1/41 | 30 | 29 |
Texas Private Activity Bond Surface Transportation, North Tarrant, Express, Series B, 3.922%, 12/31/49 | 30 | 24 |
388 | ||
Virginia 0.0% | ||
Univ. of Virginia, Series B, 2.584%, 11/1/51 | 75 | 46 |
46 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Wisconsin 0.1% | ||
Public Finance Auth., Series B, 3.405%, 7/1/51 | 70 | 47 |
47 | ||
Total Municipal Securities (Cost $2,278) | 1,962 | |
NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 6.8% | ||
Collateralized Mortgage Obligations 2.3% | ||
Angel Oak Mortgage Trust, Series 2019-5, Class A1, CMO, ARM, 2.593%, 10/25/49 (1) | 20 | 19 |
Angel Oak Mortgage Trust, Series 2021-6, Class A3, CMO, ARM, 1.714%, 9/25/66 (1) | 66 | 52 |
Angel Oak Mortgage Trust, Series 2022-6, Class A1, CMO, ARM, 4.30%, 7/25/67 (1) | 304 | 289 |
Angel Oak Mortgage Trust, Series 2023-3, Class A1, CMO, ARM, 4.80%, 9/26/67 (1) | 46 | 45 |
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class A3, CMO, ARM, 2.189%, 9/25/51 (1) | 54 | 47 |
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A20, CMO, ARM, 2.50%, 11/25/51 (1) | 109 | 83 |
BRAVO Residential Funding Trust, Series 2021-NQM3, Class A1, CMO, ARM, 1.699%, 4/25/60 (1) | 42 | 38 |
Chase Home Lending Mortgage Trust, Series 2023-RPL1, Class A1, CMO, ARM, 3.50%, 6/25/62 (1) | 293 | 258 |
COLT Mortgage Trust, Series 2022-3, Class A1, CMO, ARM, 3.901%, 2/25/67 (1) | 82 | 75 |
Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M1, FRN, CMO, ARM, SOFR30A + 2.30%, 7.63%, 5/25/43 (1) | 60 | 61 |
Ellington Financial Mortgage Trust, Series 2021-3, Class M1, CMO, ARM, 2.53%, 9/25/66 (1) | 100 | 60 |
Freddie Mac STACR REMIC Trust, Series 2021-DNA7, Class M1, FRN, CMO, ARM, SOFR30A + 0.85%, 6.18%, 11/25/41 (1) | 35 | 35 |
Freddie Mac STACR REMIC Trust, Series 2024-HQA1, Class A1, FRN, CMO, ARM, SOFR30A + 1.25%, 6.58%, 3/25/44 (1) | 168 | 168 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
GCAT, Series 2021-NQM5, Class A1, CMO, ARM, 1.262%, 7/25/66 (1) | 65 | 51 |
JP Morgan Mortgage Trust, Series 2023-DSC2, Class A1, CMO, ARM, 5.25%, 11/25/63 (1) | 228 | 219 |
Morgan Stanley Residential Mortgage Loan Trust, Series 2023-NQM1, Class A2, FRN, CMO, ARM, 7.53%, 9/25/68 (1) | 94 | 96 |
New Residential Mortgage Loan Trust, Series 2022-INV1, Class A4, CMO, ARM, 3.00%, 3/25/52 (1) | 87 | 69 |
OBX Trust, Series 2023-NQM9, Class A2, CMO, 7.513%, 10/25/63 (1) | 92 | 93 |
Verus Securitization Trust, Series 2019-INV3, Class A1, CMO, ARM, 3.692%, 11/25/59 (1) | 56 | 54 |
Verus Securitization Trust, Series 2021-7, Class A1, CMO, ARM, 1.829%, 10/25/66 (1) | 72 | 61 |
Verus Securitization Trust, Series 2023-INV1, Class A1, CMO, ARM, 5.999%, 2/25/68 (1) | 82 | 81 |
Verus Securitization Trust, Series 2024-INV1, Class A2, CMO, ARM, 6.318%, 3/25/69 (1) | 99 | 99 |
2,053 | ||
Commercial Mortgage-Backed Securities 4.5% | ||
Benchmark Mortgage Trust, Series 2023-V3, Class A3, ARM, 6.363%, 7/15/56 | 265 | 270 |
Big Trust, Series 2022-BIG, Class A, ARM, FRN, 1M TSFR + 1.34%, 6.663%, 2/15/39 (1) | 96 | 95 |
BMO Mortgage Trust, Series 2024-5C4, Class A3, 6.526%, 5/15/57 | 75 | 77 |
BWAY Trust, Series 2022-26BW, Class A, ARM, 3.402%, 2/10/44 (1) | 100 | 75 |
BX Trust, Series 2020-VKNG, Class A, ARM, FRN, 1M TSFR + 1.04%, 6.365%, 10/15/37 (1) | 295 | 295 |
BX Trust, Series 2021-ARIA, Class B, ARM, FRN, 1M TSFR + 1.41%, 6.732%, 10/15/36 (1) | 105 | 103 |
BX Trust, Series 2021-ARIA, Class A, ARM, FRN, 1M TSFR + 1.01%, 6.335%, 10/15/36 (1) | 315 | 311 |
BX Trust, Series 2022-CSMO, Class A, ARM, FRN, 1M TSFR + 2.11%, 7.436%, 6/15/27 (1) | 176 | 177 |
BX Trust, Series 2023-LIFE, Class B, 5.391%, 2/15/28 (1) | 100 | 95 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
COMM Trust, Series 2015-CR23, Class A3, 3.23%, 5/10/48 | 34 | 34 |
Federal Home Loan Mortgage, Series K137, Class A2, ARM, 2.347%, 11/25/31 | 390 | 322 |
Federal Home Loan Mortgage, Series K-150, Class A2, ARM, 3.71%, 9/25/32 | 165 | 149 |
Federal Home Loan Mortgage, Series K-156, Class A2, ARM, 4.43%, 2/25/33 | 125 | 119 |
Federal Home Loan Mortgage, Series K753, Class A2, ARM, 4.40%, 10/25/30 | 730 | 699 |
Five Mortgage Trust, Series 2023-V1, Class A3, ARM, 5.668%, 2/10/56 | 50 | 50 |
Great Wolf Trust, Series 2019-WOLF, Class A, ARM, FRN, 1M TSFR + 1.35%, 6.669%, 12/15/36 (1) | 84 | 84 |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class B, ARM, 3.377%, 1/5/39 (1) | 100 | 82 |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class A3, 3.801%, 8/15/48 | 154 | 150 |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class B, ARM, FRN, 1M TSFR + 1.22%, 6.536%, 4/15/38 (1) | 84 | 83 |
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4, 4.31%, 12/15/51 | 175 | 165 |
NYO Commercial Mortgage Trust, Series 2021-1290, Class C, ARM, FRN, 1M TSFR + 2.11%, 7.43%, 11/15/38 (1) | 90 | 82 |
SCG 2023-NASH Mortgage Trust, Series 2023-NASH, Class A, ARM, FRN, 1M TSFR + 2.39%, 7.712%, 12/15/40 (1) | 160 | 161 |
SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A, ARM, FRN, 1M TSFR + 1.39%, 6.692%, 5/15/39 (1) | 150 | 150 |
WB Commercial Mortgage Trust, Series 2024-HQ, Class A, 6.134%, 3/15/40 (1) | 100 | 99 |
3,927 | ||
Total Non-U.S. Government Mortgage-Backed Securities (Cost $6,253) | 5,980 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
U.S. GOVERNMENT & AGENCY MORTGAGE-BACKED SECURITIES 27.5% | ||
U.S. Government Agency Obligations 21.1% | ||
Federal Home Loan Mortgage Corp. | ||
1.50%, 2/1/36 - 4/1/41 | 502 | 418 |
2.00%, 8/1/36 - 4/1/52 | 1,068 | 830 |
2.50%, 6/1/42 - 5/1/52 | 2,263 | 1,808 |
3.00%, 9/1/32 - 6/1/52 | 1,275 | 1,089 |
3.50%, 8/1/49 - 4/1/52 | 1,065 | 930 |
4.00%, 4/1/47 - 9/1/52 | 691 | 629 |
4.50%, 11/1/52 | 249 | 230 |
5.00%, 5/1/53 | 22 | 21 |
5.50%, 8/1/53 - 2/1/54 | 186 | 181 |
6.00%, 2/1/53 | 225 | 226 |
6.50%, 1/1/54 | 22 | 22 |
Federal National Mortgage Assn. | ||
1.50%, 5/1/37 - 1/1/42 | 176 | 144 |
2.00%, 5/1/36 - 3/1/52 | 5,848 | 4,547 |
2.50%, 7/1/30 - 5/1/52 | 2,176 | 1,783 |
3.00%, 1/1/35 - 3/1/52 | 1,523 | 1,306 |
3.50%, 1/1/33 - 1/1/52 | 621 | 553 |
4.00%, 5/1/47 - 9/1/52 | 497 | 451 |
4.50%, 4/1/41 - 7/1/53 | 836 | 778 |
5.00%, 11/1/44 - 7/1/53 | 305 | 291 |
5.50%, 5/1/44 - 2/1/54 | 513 | 500 |
6.00%, 1/1/53 - 1/1/54 | 398 | 396 |
6.50%, 11/1/53 - 1/1/54 | 203 | 206 |
2.50%, 4/20/51 - 9/20/51 | 143 | 117 |
UMBS, TBA (4) | ||
2.50%, 5/15/54 | 160 | 127 |
3.50%, 3/25/52 | 100 | 86 |
5.00%, 5/15/54 | 690 | 654 |
5.50%, 5/15/54 | 215 | 209 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
6.00%, 5/15/54 | 85 | 84 |
18,616 | ||
U.S. Government Obligations 6.4% | ||
Government National Mortgage Assn. | ||
1.50%, 5/20/37 | 43 | 36 |
2.00%, 1/20/51 - 3/20/52 | 1,302 | 1,027 |
2.50%, 8/20/50 - 12/20/51 | 1,208 | 991 |
3.00%, 6/20/45 - 6/20/52 | 1,057 | 908 |
3.50%, 6/20/46 - 10/20/50 | 691 | 615 |
4.00%, 10/20/40 - 10/20/52 | 616 | 561 |
4.50%, 10/20/47 - 10/20/52 | 375 | 350 |
5.00%, 8/20/47 - 8/20/52 | 146 | 141 |
Government National Mortgage Assn., TBA (4) | ||
2.50%, 5/20/54 | 150 | 123 |
5.00%, 5/15/54 | 130 | 124 |
5.50%, 5/15/54 | 440 | 431 |
6.00%, 6/15/54 | 190 | 190 |
6.50%, 6/15/54 | 130 | 131 |
5,628 | ||
Total U.S. Government & Agency Mortgage-Backed Securities (Cost $26,114) | 24,244 | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 27.0% | ||
U.S. Treasury Obligations 27.0% | ||
U.S. Treasury Bonds, 1.75%, 8/15/41 | 1,710 | 1,085 |
U.S. Treasury Bonds, 2.00%, 8/15/51 | 1,665 | 956 |
U.S. Treasury Bonds, 2.25%, 2/15/52 | 350 | 213 |
U.S. Treasury Bonds, 3.375%, 8/15/42 | 115 | 94 |
U.S. Treasury Bonds, 3.625%, 2/15/53 | 205 | 167 |
U.S. Treasury Bonds, 3.625%, 5/15/53 | 2,855 | 2,333 |
U.S. Treasury Bonds, 3.875%, 2/15/43 | 140 | 122 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
U.S. Treasury Bonds, 3.875%, 5/15/43 | 3,295 | 2,874 |
U.S. Treasury Bonds, 4.25%, 2/15/54 | 170 | 156 |
U.S. Treasury Bonds, 4.50%, 2/15/44 | 205 | 195 |
U.S. Treasury Notes, 0.75%, 8/31/26 | 5,080 | 4,611 |
U.S. Treasury Notes, 1.25%, 8/15/31 | 590 | 466 |
U.S. Treasury Notes, 1.875%, 2/28/27 | 830 | 764 |
U.S. Treasury Notes, 3.375%, 5/15/33 | 855 | 773 |
U.S. Treasury Notes, 3.50%, 2/15/33 | 200 | 183 |
U.S. Treasury Notes, 3.50%, 1/31/28 | 385 | 368 |
U.S. Treasury Notes, 3.625%, 5/31/28 | 800 | 766 |
U.S. Treasury Notes, 3.75%, 12/31/28 | 425 | 407 |
U.S. Treasury Notes, 4.00%, 2/29/28 | 1,130 | 1,098 |
U.S. Treasury Notes, 4.00%, 6/30/28 | 4,120 | 4,000 |
U.S. Treasury Notes, 4.125%, 10/31/27 | 140 | 137 |
U.S. Treasury Notes, 4.125%, 1/31/25 (5) | 150 | 149 |
U.S. Treasury Notes, 4.25%, 2/28/29 | 1,690 | 1,656 |
U.S. Treasury Notes, 4.75%, 11/15/53 | 265 | 264 |
23,837 | ||
Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $26,570) | 23,837 | |
SHORT-TERM INVESTMENTS 3.1% | ||
Money Market Funds 3.1% | ||
T. Rowe Price Government Reserve Fund, 5.37% (6)(7) | 2,692 | 2,692 |
Total Short-Term Investments (Cost $2,692) | 2,692 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
SECURITIES LENDING COLLATERAL 0.6% | ||
Investments in a Pooled Account through Securities Lending Program with State Street Bank 0.6% | ||
Money Market Funds 0.6% | ||
T. Rowe Price Government Reserve Fund, 5.37% (6)(7) | 553 | 553 |
Total Investments in a Pooled Account through Securities Lending Program with State Street Bank | 553 | |
Total Securities Lending Collateral (Cost $553) | 553 | |
Total Investments 103.0% of Net Assets (Cost $97,721) | $90,949 |
‡ | 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 $11,100 and represents 12.6% 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 April 30, 2024. See Note 4. |
(4) | To-Be-Announced purchase commitment. Total value of such securities at period-end amounts to $2,159 and represents 2.4% of net assets. |
(5) | At April 30, 2024, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. |
(6) | Seven-day yield |
(7) | Affiliated Companies |
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 |
SOFR30A | 30-day Average term SOFR (Secured Overnight Financing Rate) |
TBA | To-Be-Announced |
UMBS | Uniform Mortgage-Backed Securities |
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. |
FUTURES CONTRACTS |
($000s) |
Expiration Date | Notional Amount | Value and Unrealized Gain (Loss) | |
Long, 1 Ultra U.S. Treasury Bonds contracts | 06/24 | 127 | $ (7) |
Long, 44 U.S. Treasury Notes five year contracts | 06/24 | 4,694 | (86) |
Long, 4 U.S. Treasury Notes two year contracts | 06/24 | 819 | (8) |
Net payments (receipts) of variation margin to date | 85 | ||
Variation margin receivable (payable) on open futures contracts | $(16) |
Affiliate | Net Realized Gain (Loss) | Changes in Net Unrealized Gain/Loss | Investment Income |
T. Rowe Price Government Reserve Fund | $ — | $— | $88++ |
Totals | $—# | $— | $ 88+ |
Supplementary Investment Schedule | ||||
Affiliate | Value 10/31/23 | Purchase Cost | Sales Cost | Value 4/30/24 |
T. Rowe Price Government Reserve Fund | $5,434 | ¤ | ¤ | $ 3,245 |
Total | $3,245^ |
++ | Excludes earnings on securities lending collateral, which are subject to rebates and fees. |
# | Capital gain distributions from mutual funds represented $0 of the net realized gain (loss). |
+ | Investment income comprised $88 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 $3,245. |
Assets | |
Investments in securities, at value (cost $97,721) | $90,949 |
Receivable for investment securities sold | 1,311 |
Interest and dividends receivable | 700 |
Cash | 1 |
Total assets | 92,961 |
Liabilities | |
Payable for investment securities purchased | 4,077 |
Obligation to return securities lending collateral | 553 |
Variation margin payable on futures contracts | 16 |
Investment management and administrative fees payable | 6 |
Total liabilities | 4,652 |
NET ASSETS | $ 88,309 |
Net assets consists of: | |
Total distributable earnings (loss) | $ (9,588) |
Paid-in capital applicable to 2,150,000 shares of $0.0001 par value capital stock outstanding; 4,000,000,000 shares authorized | 97,897 |
NET ASSETS | $88,309 |
NET ASSET VALUE PER SHARE | $ 41.07 |
6 Months Ended | |
4/30/24 | |
Investment Income (Loss) | |
Income | |
Interest | $1,975 |
Dividend | 88 |
Securities lending | 2 |
Total income | 2,065 |
Investment management and administrative expense | 38 |
Net investment income | 2,027 |
Realized and Unrealized Gain / Loss | |
Net realized loss on securities | (618) |
Change in net unrealized gain / loss | |
Securities | 4,121 |
Futures | 33 |
Change in unrealized gain / loss | 4,154 |
Net realized and unrealized gain / loss | 3,536 |
INCREASE IN NET ASSETS FROM OPERATIONS | $5,563 |
6 Months Ended | Year Ended | ||
4/30/24 | 10/31/23 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 2,027 | $ 2,224 | |
Net realized loss | (618) | (1,229) | |
Change in net unrealized gain / loss | 4,154 | (4,494) | |
Increase (decrease) in net assets from operations | 5,563 | (3,499) | |
Distributions to shareholders | |||
Net earnings | (2,034) | (2,246) | |
Capital share transactions* | |||
Shares sold | — | 76,693 | |
Shares redeemed | (19,039) | (3,102) | |
Increase (decrease) in net assets from capital share transactions | (19,039) | 73,591 | |
Net Assets | |||
Increase (decrease) during period | (15,510) | 67,846 | |
Beginning of period | 103,819 | 35,973 | |
End of period | $ 88,309 | $103,819 | |
*Share information | |||
Shares sold | — | 1,800 | |
Shares redeemed | (450) | (75) | |
Increase (decrease) in shares outstanding | (450) | 1,725 |
($000s) | Level 1 | Level 2 | Level 3 | Total Value |
Assets | ||||
Fixed Income1 | $ — | $87,704 | $— | $87,704 |
Short-Term Investments | 2,692 | — | — | 2,692 |
Securities Lending Collateral | 553 | — | — | 553 |
Total | $3,245 | $87,704 | $— | $90,949 |
Liabilities | ||||
Futures Contracts* | $ 101 | $ — | $— | $ 101 |
1 | Includes Asset-Backed Securities, Corporate Bonds, Foreign Government Obligations & Municipalities, Municipal Securities, 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; 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 |
Liabilities | ||
Interest rate derivatives | Futures* | $101 |
* | The fair value presented includes cumulative gain (loss) on open futures contracts; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) at that date. |
($000s) | Location of Gain (Loss) on Statement of Operations |
Futures | |
Change in Unrealized Gain (Loss) | |
Interest rate derivatives | $33 |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-166533/g834547img95358d286.gif)
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 | June 17, 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 | June 17, 2024 | |||
By | /s/ Alan S. Dupski | |||
Alan S. Dupski | ||||
Principal Financial Officer | ||||
Date | June 17, 2024 |