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: May 31, 2024
Item 1. Reports to Shareholders
(a) Report pursuant to Rule 30e-1
![Image](https://capedge.com/proxy/N-CSR/0001193125-24-192811/g804786rvoss72dndfypzaf3jyvg.jpg)
Annual Shareholder Report
May 31, 2024
Ultra Short-Term Bond ETF (TBUX)
Principal Listing Exchange: NYSE Arca, Inc.
This annual shareholder report contains important information about Ultra Short-Term Bond ETF ("the fund") for the period of June 1, 2023 to May 31, 2024. You can find the fund’s prospectus, financial information on Form N-CSR (which includes required tax information for dividends), holdings, proxy voting information, and other information at www.troweprice.com/prospectus. You can also request this information without charge by contacting T. Rowe Price at 1-800-638-5660 or info@troweprice.com or by contacting your intermediary.
What were the fund costs for the last year? (based on a hypothetical $10,000 investment)
Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
---|---|---|
Ultra Short-Term Bond ETF | $18 | 0.17% |
What drove fund performance during the past 12 months?
The shorter-maturity U.S. investment-grade bond market generated positive returns over the 12-month period ended May 31, 2024, largely lifted by declining interest rates and tighter credit spreads near the end of 2023. Corporate bonds and securitized credit generated positive excess returns during the rally and the broader reporting period.
The fund’s out-of-benchmark allocations to securitized sectors (residential mortgage-backed securities, asset-backed securities (ABS), and commercial mortgage-backed securities), overweight to investment-grade corporate bonds, and underweight to U.S. Treasuries aided relative performance versus its style-specific benchmark, the Bloomberg Short-Term Government/Corporate Index. Security selection among investment-grade corporate bonds also contributed.
Positioning on the yield curve hindered relative performance. Specifically, an overweight to the two-year key rate detracted as the yield on the two-year U.S. Treasury note ended the period higher.
The fund’s allocation to investment-grade corporate debt decreased over the reporting period but continued to represent the portfolio’s largest absolute and relative position. As corporate bond valuations tightened early in the period, we focused on additions in ABS, and our allocation to the ABS sector ended notably higher. Within the sector, the analyst team identified a variety of opportunities among automotive and industrial equipment securities.
While we are primarily a cash bond manager, we occasionally employ the limited use of derivatives in our strategy for hedging purposes. Derivatives may include futures and options, as well as credit default and interest rate swaps. During the reporting period, our use of derivatives, particularly U.S. Treasury futures, contributed modestly to absolute performance.
How has the fund performed?
Cumulative Returns of a Hypothetical $10,000 Investment as of May 31, 2024
![Growth of 10K Chart](https://capedge.com/proxy/N-CSR/0001193125-24-192811/g804786ih6iwyqddvjdf0shdmbat.jpg)
Ultra Short-Term Bond ETF (Based on Net Asset Value) | (Regulatory Benchmark) | (Strategy Benchmark) | |
---|---|---|---|
9/28/21 | $10,000 | $10,000 | $10,000 |
11/30/21 | $9,970 | $10,037 | $9,998 |
2/28/22 | $9,934 | $9,686 | $9,982 |
5/31/22 | $9,869 | $9,118 | $9,982 |
8/31/22 | $9,867 | $8,935 | $9,982 |
11/30/22 | $9,901 | $8,748 | $10,024 |
2/28/23 | $10,064 | $8,745 | $10,127 |
5/31/23 | $10,181 | $8,923 | $10,244 |
8/31/23 | $10,341 | $8,828 | $10,378 |
11/30/23 | $10,510 | $8,851 | $10,527 |
2/29/24 | $10,709 | $9,036 | $10,665 |
5/31/24 | $10,867 | $9,039 | $10,803 |
202406-3653144, 202407-3567209
ETF990-052 07/24
Average Annual Total Returns
1 Year | Since Inception 9/28/21 | |
---|---|---|
Ultra Short-Term Bond ETF (Based on Net Asset Value) | 6.74% | 3.16% |
Ultra Short-Term Bond ETF (At Market Price) | 6.95% | 3.21% |
Bloomberg U.S. Aggregate Bond Index (Regulatory Benchmark) | 1.31% | - 3.71% |
Bloomberg Short-Term Government/Corporate Index (Strategy Benchmark) | 5.46% | 2.93% |
The preceding line graph shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The fund’s performance information included in the line graph and table above is compared with a regulatory required index that represents an overall securities market (Regulatory Benchmark). In addition, the line graph and table may also include one or more indexes that more closely aligns to the fund's investment strategy (Strategy Benchmark(s)). Due to new SEC Rules on shareholder reporting the fund adopted a new broad-based securities market index, referred to as the Regulatory Benchmark. Market index returns do not include expenses, which are deducted from fund returns. The fund's total return figures reflect the reinvestment of dividends and capital gains, if any. Neither the fund’s returns nor the index returns reflect the deduction of taxes that a shareholder would pay on fund distributions or redemptions of fund shares. The fund’s past performance is not a good predictor of the fund’s future performance. Updated performance information can be found at www.troweprice.com.
What are some fund statistics?
Fund Statistics
- Total Net Assets (000s)$164,063
- Number of Portfolio Holdings442
- Investment Advisory Fees Paid (000s)$192
- Portfolio Turnover Rate76.4%
What did the fund invest in?
Credit Quality Allocation* (as a % of Net Assets)
U.S. Treasury Securities | 0.4% |
AAA Rated | 29.6 |
AA Rated | 5.2 |
A Rated | 23.2 |
BBB Rated | 39.5 |
Not Rated | 1.1 |
Reserves | 1.0 |
*Credit ratings for the securities held in the Fund are provided by Moody's, Standard & Poor's, and Fitch and are converted to the Standard & Poor's nomenclature. A rating of AAA represents the highest-rated securities, and a rating of D represents the lowest rated securities. If the ratings agencies differ, the highest rating is applied to the security. If a rating is not available, the security is classified as Not Rated. The rating of the underlying investment vehicle is used to determine the creditworthiness of credit default swaps and sovereign securities. The Fund is not rated by any agency.
Top Ten Holdings (as a % of Net Assets)
U.S. Treasury Bills | 2.6% |
Santander Drive Auto Receivables Trust | 2.0 |
Verus Securitization Trust | 1.7 |
HPEFS Equipment Trust | 1.5 |
Enterprise Fleet Financing | 1.3 |
CarMax Auto Owner Trust | 1.3 |
Conagra Brands | 1.2 |
Targa Resources | 1.2 |
Edison International | 1.2 |
Octane Receivables Trust | 1.0 |
If you invest directly with T. Rowe Price, you can elect to receive future shareholder reports or other important documents through electronic delivery by enrolling at www.troweprice.com/paperless. If you invest through a financial intermediary such as an investment advisor, a bank, retirement plan sponsor or a brokerage firm, please contact that organization and ask if it can provide electronic delivery.
Bloomberg does not accept any liability for any errors or omissions in the indexes or data, and hereby expressly disclaim all warranties of originality, accuracy, completeness, timeliness, merchantability and fitness for a particular purpose. No party may rely on any indexes or data contained in this communication. Visit www.troweprice.com/en/us/market-data-disclosures for additional legal notices & disclaimers.
T. Rowe Price Investment Services, Inc.
100 East Pratt Street
Baltimore, MD 21202
Ultra Short-Term Bond ETF (TBUX)
![Image](https://capedge.com/proxy/N-CSR/0001193125-24-192811/g804786tqfeidiukrtojihknl6nq.jpg)
Principal Listing Exchange: NYSE Arca, Inc.
Item 1. (b) Notice pursuant to Rule 30e-3.
Not applicable.
Item 2. Code of Ethics.
The registrant has adopted 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. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Directors has determined that Mr. Paul F. McBride qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. McBride is considered independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) – (d) Aggregate fees billed for the last two fiscal years for professional services rendered to, or on behalf of, the registrant by the registrant’s principal accountant were as follows:
2024 | 2023 | |||||||||||||
Audit Fees | $ | 33,840 | $ | 31,609 | ||||||||||
Audit-Related Fees | - | - | ||||||||||||
Tax Fees | - | 6,939 | ||||||||||||
All Other Fees | - | - |
Audit fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit-related fees include amounts reasonably related to the performance of the audit of the registrant’s financial statements and specifically include the issuance of a report on internal controls and, if applicable, agreed-upon procedures related to fund acquisitions. Tax fees include amounts related to services for tax compliance, tax planning, and tax advice. The nature of these services specifically includes the review of distribution calculations and the preparation of Federal, state, and excise tax returns. All other fees include the registrant’s pro-rata share of amounts for agreed-upon procedures in conjunction with service contract approvals by the registrant’s Board of Directors/Trustees.
(e)(1) The registrant’s audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such a service is required between regularly scheduled audit committee meetings, pre-approval may be authorized by one audit committee member with ratification at the next scheduled audit committee meeting. Waiver of pre-approval for audit or non-audit services requiring fees of a de minimis amount is not permitted.
(2) No services included in (b) – (d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $1,230,000 and $1,521,000, respectively.
(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. Accordingly, these services were considered by the registrant’s audit committee in maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable. The complete schedule of investments is included in Item 7 of this Form N-CSR.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a – b) Report pursuant to Regulation S-X.
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T. ROWE PRICE | |
TBUX | Ultra Short-Term Bond ETF |
For more insights from T. Rowe Price investment professionals, go to troweprice.com. |
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Year Ended | 9/28/21(1) Through | ||
5/31/24 | 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) | 2.59 | 1.63 | 0.31 |
Net realized and unrealized gain/loss | 0.62 | (0.13) | (0.94) |
Total from investment activities | 3.21 | 1.50 | (0.63) |
Distributions | |||
Net investment income | (2.47) | (1.69) | (0.27) |
Net realized gain | (0.07) | (0.21) | (0.03) |
Total distributions | (2.54) | (1.90) | (0.30) |
NET ASSET VALUE | |||
End of period | $ 49.34 | $ 48.67 | $ 49.07 |
Ratios/Supplemental Data | |||
Total return, based on NAV(3) (4) | 6.74% | 3.15% | (1.31)% |
Ratios to average net assets:(3) | |||
Gross expenses before waivers/payments by Price Associates | 0.17% | 0.17% | 0.17%(5) |
Net expenses after waivers/payments by Price Associates | 0.17% | 0.17% | 0.17%(5) |
Net investment income | 5.27% | 3.34% | 0.94%(5) |
Portfolio turnover rate(6) | 76.4% | 61.2% | 12.5% |
Net assets, end of period (in thousands) | $ 164,063 | $ 54,755 | $ 36,801 |
(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) | 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. |
(5) | Annualized |
(6) | Portfolio turnover excludes securities received or delivered through in-kind share transactions. |
PORTFOLIO OF INVESTMENTS‡ | Par/Shares | $ Value |
(Amounts in 000s) | ||
ASSET-BACKED SECURITIES 25.6% | ||
Auto Backed 11.5% | ||
Ally Auto Receivables Trust, Series 2023-A, Class A2, 6.15%, 1/17/34 (1) | 1 | 1 |
Ally Auto Receivables Trust, Series 2023-A, Class B, 6.01%, 1/17/34 (1) | 178 | 179 |
AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.06%, 8/18/26 | 188 | 184 |
ARI Fleet Lease Trust, Series 2023-B, Class A2, 6.05%, 7/15/32 (1) | 200 | 201 |
ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32 (1) | 500 | 497 |
Bayview Opportunity Master Fund VII, Series 2024-CAR1, Class A, FRN, SOFR30A + 1.10%, 6.424%, 12/26/31 (1) | 233 | 233 |
CarMax Auto Owner Trust, Series 2020-2, Class B, 1.03%, 12/15/26 | 171 | 163 |
CarMax Auto Owner Trust, Series 2020-4, Class B, 0.85%, 6/15/26 | 327 | 318 |
CarMax Auto Owner Trust, Series 2021-1, Class D, 1.28%, 7/15/27 | 650 | 625 |
CarMax Auto Owner Trust, Series 2023-3, Class A2B, FRN, SOFR30A + 0.60%, 5.924%, 11/16/26 | 399 | 400 |
CarMax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, 5/15/28 | 340 | 339 |
CarMax Auto Owner Trust, Series 2024-1, Class A3, 4.92%, 10/16/28 | 270 | 268 |
Carvana Auto Receivables Trust, Series 2021-N4, Class B, 1.24%, 9/11/28 | 8 | 8 |
Carvana Auto Receivables Trust, Series 2022-N1, Class A1, 2.31%, 12/11/28 (1) | 16 | 16 |
Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.36%, 4/12/27 (1) | 44 | 44 |
Carvana Auto Receivables Trust, Series 2023-N3, Class A, 6.41%, 9/10/27 (1) | 139 | 140 |
Carvana Auto Receivables Trust, Series 2023-P3, 6.09%, 11/10/26 (1) | 270 | 270 |
Carvana Auto Receivables Trust, Series 2024-N1, Class A3, 5.60%, 3/10/28 (1) | 280 | 279 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Chase Auto Credit Linked Notes, Series 2021-3, Class B, 0.76%, 2/26/29 (1) | 570 | 555 |
Drive Auto Receivables Trust, Series 2020-2, Class D, 3.05%, 5/15/28 | 24 | 24 |
Drive Auto Receivables Trust, Series 2024-1, Class B, 5.31%, 1/16/29 | 310 | 308 |
Enterprise Fleet Financing, Series 2021-2, Class A3, 0.74%, 5/20/27 (1) | 305 | 293 |
Enterprise Fleet Financing, Series 2022-3, Class A2, 4.38%, 7/20/29 (1) | 402 | 398 |
Enterprise Fleet Financing, Series 2023-2, Class A2, 5.56%, 4/22/30 (1) | 354 | 353 |
Enterprise Fleet Financing, Series 2023-3, Class A2, 6.40%, 3/20/30 (1) | 275 | 278 |
Enterprise Fleet Financing, Series 2024-1, Class A2, 5.23%, 3/20/30 (1) | 505 | 502 |
Enterprise Fleet Financing, Series 2024-2, Class A2, 5.74%, 12/20/26 (1) | 375 | 376 |
Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.86%, 12/15/26 | 60 | 60 |
Exeter Automobile Receivables Trust, Series 2022-4A, Class B, 4.57%, 1/15/27 | 123 | 123 |
Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.97%, 3/15/27 | 179 | 179 |
Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.72%, 4/15/27 | 310 | 310 |
Exeter Automobile Receivables Trust, Series 2023-3A, Class B, 6.11%, 9/15/27 | 165 | 165 |
Exeter Automobile Receivables Trust, Series 2023-4A, Class B, 6.31%, 10/15/27 | 275 | 276 |
Exeter Automobile Receivables Trust, Series 2024-2A, Class B, 5.61%, 4/17/28 | 300 | 300 |
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 | 182 |
Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31 (1) | 635 | 620 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class B, 5.31%, 5/15/28 (1) | 100 | 99 |
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class D, 6.62%, 5/15/28 (1) | 100 | 100 |
Ford Credit Floorplan Master Owner Trust, Series 2024-1, Class B, 5.48%, 4/15/29 (1) | 115 | 115 |
GM Financial Automobile Leasing Trust, Series 2023-2, Class B, 5.54%, 5/20/27 | 80 | 80 |
Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A3, 5.02%, 3/15/27 (1) | 260 | 258 |
Hyundai Auto Lease Securitization Trust, Series 2024-A, Class B, 5.35%, 5/15/28 (1) | 165 | 164 |
JPMorgan Chase, Series 2021-1, Class B, 0.875%, 9/25/28 (1) | 74 | 73 |
JPMorgan Chase, Series 2021-2, Class B, 0.889%, 12/26/28 (1) | 19 | 19 |
JPMorgan Chase, Series 2021-2, Class C, 0.969%, 12/26/28 (1) | 48 | 48 |
JPMorgan Chase Bank, Series 2021-3, Class D, 1.009%, 2/26/29 (1) | 108 | 105 |
Navistar Financial Dealer Note Master Owner Trust, Series 2024-1, Class A, 5.59%, 4/25/29 (1) | 105 | 105 |
Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 8/25/28 (1) | 875 | 880 |
Octane Receivables Trust, Series 2023-1A, Class B, 5.96%, 7/20/29 (1) | 200 | 200 |
Octane Receivables Trust, Series 2023-3A, Class A2, 6.44%, 3/20/29 (1) | 818 | 822 |
Octane Receivables Trust, Series 2023-3A, Class B, 6.48%, 7/20/29 (1) | 265 | 267 |
Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B, 5.721%, 8/16/32 (1) | 561 | 561 |
Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class B, 5.64%, 12/15/33 (1) | 250 | 249 |
Santander Drive Auto Receivables Trust, Series 2022-5, Class B, 4.43%, 3/15/27 | 250 | 248 |
Santander Drive Auto Receivables Trust, Series 2022-6, Class B, 4.72%, 6/15/27 | 150 | 149 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
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 A3, 5.73%, 4/17/28 | 190 | 191 |
Santander Drive Auto Receivables Trust, Series 2024-1, Class B, 5.23%, 12/15/28 | 785 | 782 |
Santander Drive Auto Receivables Trust, Series 2024-2, Class B, 5.78%, 7/16/29 | 1,000 | 1,004 |
SBNA Auto Lease Trust, Series 2024-A, Class A4, 5.24%, 1/22/29 (1) | 220 | 219 |
SBNA Auto Lease Trust, Series 2024-B, Class A3, 5.56%, 11/22/27 (1) | 230 | 230 |
SBNA Auto Lease Trust, Series 2024-B, Class A4, 5.55%, 12/20/28 (1) | 225 | 225 |
SBNA Auto Receivables Trust, Series 2024-A, Class A3, 5.32%, 12/15/28 (1) | 255 | 254 |
SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A2B, FRN, SOFR30A + 0.80%, 6.123%, 3/22/27 (1) | 39 | 39 |
US Bank, Series 2023-1, Class B, 6.789%, 8/25/32 (1) | 388 | 389 |
Volkswagen Auto Lease Trust, Series 2024-A, Class A3, 5.21%, 6/21/27 | 315 | 314 |
Wheels Fleet Lease Funding 1, Series 2024-1A, Class A1, 5.49%, 2/18/39 (1) | 420 | 419 |
World Omni Auto Receivables Trust, Series 2021-A, Class B, 0.64%, 12/15/26 | 25 | 24 |
18,936 | ||
Collateralized Debt Obligations 5.9% | ||
Allegro CLO IX, Series 2018-3A, Class A1R, FRN, 3M TSFR + 1.23%, 6.557%, 10/16/31 (1) | 1,500 | 1,501 |
Apidos CLO XVIII, Series 2018-18A, Class AR, FRN, 3M TSFR + 1.15%, 6.475%, 10/22/30 (1) | 719 | 719 |
Apidos CLO XXV, Series 2016-25A, Class A1R2, FRN, 3M TSFR + 1.15%, 6.475%, 10/20/31 (1) | 562 | 563 |
Atrium XIII, Series 13A, Class AR, FRN, 3M TSFR + 1.15%, 6.476%, 11/21/30 (1) | 753 | 753 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
BlueMountain, Series 2015-3A, Class A1R, CLO, FRN, 3M TSFR + 1.26%, 6.586%, 4/20/31 (1) | 196 | 196 |
BlueMountain CLO, Series 2016-3A, Class A1R2, FRN, 3M TSFR + 1.20%, 6.522%, 11/15/30 (1) | 556 | 556 |
Madison Park Funding XXIX, Series 2018-29A, Class AR, FRN, 3M TSFR + 1.18%, 6.507%, 10/18/30 (1) | 636 | 638 |
Marathon Static CLO, Series 2022-18A, Class A1R2, FRN, 3M TSFR + 1.15%, 6.475%, 7/20/30 (1) | 419 | 418 |
Marble Point CLO XII, Series 2018-1A, Class A, FRN, 3M TSFR + 1.27%, 6.599%, 7/16/31 (1) | 205 | 205 |
Marble Point CLO XII, Series 2018-2A, Class A12R, FRN, 3M TSFR + 1.20%, 6.524%, 1/20/32 (1) | 793 | 795 |
Octagon Investment Partners 39, Series 2018-3A, Class AR, FRN, 3M TSFR + 1.15%, 6.475%, 10/20/30 (1) | 578 | 579 |
OZLM Funding II, Series 2012-2A, Class A1A2, FRN, 3M TSFR + 1.20%, 6.529%, 7/30/31 (1) | 214 | 215 |
OZLM XXI, Series 2017-21A, Class A1R, FRN, 3M TSFR + 1.15%, 6.475%, 1/20/31 (1) | 261 | 261 |
Romark CLO II, Series 2018-2A, Class A1R, FRN, 3M TSFR + 1.14%, 6.487%, 7/25/31 (1) | 800 | 800 |
Symphony Static, Series 2021-1A, Class A, FRN, 3M TSFR + 1.09%, 6.415%, 10/25/29 (1) | 143 | 143 |
THL Credit Wind River CLO, Series 2015-1A, Class A1R3, FRN, 3M TSFR + 1.20%, 6.525%, 10/20/30 (1) | 564 | 566 |
TIAA CLO I, Series 2016-1A, Class ARR, FRN, 3M TSFR + 1.25%, 6.574%, 7/20/31 (1) | 735 | 737 |
9,645 | ||
Equipment Lease Heavy Duty 0.8% | ||
Auxilior Term Funding, Series 2023-1A, Class A2, 6.18%, 12/15/28 (1) | 205 | 205 |
Dllad, Series 2024-1A, Class A2, 5.50%, 8/20/27 (1) | 115 | 115 |
MMAF Equipment Finance, Series 2020-BA, Class A5, 0.85%, 4/14/42 (1) | 800 | 764 |
MMAF Equipment Finance, Series 2023-A, Class A2, 5.79%, 11/13/26 (1) | 91 | 91 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Octane Receivables Trust, Series 2024-1A, Class A2, 5.68%, 5/20/30 (1) | 145 | 145 |
1,320 | ||
Other Asset-Backed Securities 7.2% | ||
Amur Equipment Finance Receivables IX, Series 2021-1A, Class C, 1.75%, 6/21/27 (1) | 805 | 788 |
Amur Equipment Finance Receivables XIII, Series 2024-1A, Class A2, 5.38%, 1/21/31 (1) | 350 | 349 |
Axis Equipment Finance Receivables, Series 2021-1A, Class A2, 0.75%, 11/20/26 | 1 | 1 |
BRE Grand Islander Timeshare Issuer, Series 2019-A, Class A, 3.28%, 9/26/33 (1) | 102 | 98 |
Crown Point CLO 7, Series 2018-7A, Class AR, FRN, 3M TSFR + 1.23%, 6.556%, 10/20/31 (1) | 800 | 799 |
Dell Equipment Finance Trust, Series 2023-2, Class A3, 5.65%, 1/22/29 (1) | 100 | 100 |
Dell Equipment Finance Trust, Series 2024-1, Class A3, 5.39%, 3/22/30 (1) | 200 | 200 |
DLLAA, Series 2021-1A, Class A3, 0.67%, 4/17/26 (1) | 68 | 66 |
DLLAA, Series 2023-1A, Class A2, 5.93%, 7/20/26 (1) | 417 | 418 |
DLLAA, Series 2023-1A, Class A3, 5.64%, 2/22/28 (1) | 325 | 326 |
DLLAD, Series 2023-1A, Class A2, 5.19%, 4/20/26 (1) | 162 | 162 |
FirstKey Homes Trust, Series 2020-SFR1, Class B, 1.74%, 8/17/37 (1) | 1,000 | 949 |
Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, 2/25/32 (1) | 185 | 182 |
HPEFS Equipment Trust, Series 2021-2A, Class D, 1.29%, 3/20/29 (1) | 300 | 296 |
HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, 5/21/29 (1) | 1,000 | 993 |
HPEFS Equipment Trust, Series 2022-1A, Class C, 1.96%, 5/21/29 (1) | 307 | 302 |
HPEFS Equipment Trust, Series 2022-1A, Class D, 2.40%, 11/20/29 (1) | 400 | 387 |
HPEFS Equipment Trust, Series 2022-2A, Class C, 4.43%, 9/20/29 (1) | 280 | 277 |
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 A3, 5.28%, 1/18/28 (1) | 525 | 524 |
M&T Equipment Notes, Series 2023-1A, Class A2, 6.09%, 7/15/30 (1) | 344 | 344 |
M&T Equipment Notes, Series 2023-1A, Class A3, 5.74%, 7/15/30 (1) | 580 | 579 |
MVW, Series 2020-1A, Class A, 1.74%, 10/20/37 (1) | 69 | 65 |
MVW, Series 2021-1WA, Class A, 1.14%, 1/22/41 (1) | 35 | 32 |
Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.06%, 10/15/69 (1) | 55 | 48 |
Nelnet Student Loan Trust, Series 2021-DA, Class AFL, FRN, 1M TSFR + 0.80%, 6.125%, 4/20/62 (1) | 53 | 52 |
Northwoods Capital XIV-B, Series 2018-14BA, Class AR, FRN, 3M TSFR + 1.25%, 6.573%, 11/13/31 (1) | 345 | 346 |
Octane Receivables Trust, Series 2021-2A, Class A, 1.21%, 9/20/28 (1) | 36 | 36 |
Octane Receivables Trust, Series 2022-1A, Class A2, 4.18%, 3/20/28 (1) | 27 | 26 |
Octane Receivables Trust, Series 2022-2A, Class A, 5.11%, 2/22/28 (1) | 37 | 37 |
Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (1) | 48 | 48 |
Octane Receivables Trust, Series 2023-2A, Class A2, 5.88%, 6/20/31 (1) | 117 | 117 |
Post Road Equipment Finance, Series 2024-1A, Class A2, 5.59%, 11/15/29 (1) | 100 | 100 |
Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B, 1.833%, 12/15/31 (1) | 29 | 29 |
Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/15/32 (1) | 101 | 101 |
Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class B, 6.493%, 6/15/33 (1) | 239 | 240 |
Santander Retail Auto Lease Trust, Series 2020-A, Class B, 1.61%, 1/20/26 (1) | 180 | 177 |
SFS Auto Receivables Securitization Trust, Series 2024-1A, Class A3, 4.95%, 5/21/29 (1) | 255 | 253 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Sierra Timeshare Receivables Funding, Series 2019-3A, Class A, 2.34%, 8/20/36 (1) | 33 | 32 |
Sierra Timeshare Receivables Funding, Series 2020-2A, Class A, 1.33%, 7/20/37 (1) | 28 | 27 |
Symphony CLO XVI, Series 2015-16A, Class ARR, FRN, 3M TSFR + 1.20%, 6.523%, 10/15/31 (1) | 725 | 724 |
Verdant Receivables, Series 2023-1A, Class A2, 6.24%, 1/13/31 (1) | 551 | 551 |
Verdant Receivables, Series 2024-1A, Class A2, 5.68%, 12/12/31 (1) | 100 | 100 |
Verizon Master Trust, Series 2024-1, Class A1A, 5.00%, 12/20/28 | 100 | 99 |
Voya CLO, Series 2018-3A, Class A1R2, FRN, 3M TSFR + 1.20%, 6.528%, 10/15/31 (1) | 270 | 270 |
11,761 | ||
Student Loans 0.2% | ||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A2A, 3.42%, 1/15/43 (1) | 54 | 52 |
Navient Private Education Refi Loan Trust, Series 2020-FA, Class A, 1.22%, 7/15/69 (1) | 53 | 48 |
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.17%, 9/16/69 (1) | 62 | 56 |
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.31%, 1/15/69 (1) | 76 | 70 |
Navient Private Education Refi Loan Trust, Series 2021-GA, Class A, 1.58%, 4/15/70 (1) | 69 | 60 |
SMB Private Education Loan Trust, Series 2016-B, Class A2B, FRN, 1M TSFR + 1.56%, 6.881%, 2/17/32 (1) | 18 | 18 |
304 | ||
Total Asset-Backed Securities (Cost $41,903) | 41,966 | |
CORPORATE BONDS 52.8% | ||
Advertising 0.4% | ||
WPP Finance, 3.75%, 9/19/24 | 600 | 595 |
595 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Aerospace & Defense 0.4% | ||
Boeing, 4.875%, 5/1/25 | 350 | 346 |
Boeing, 6.259%, 5/1/27 (1) | 240 | 241 |
587 | ||
Automotive 3.1% | ||
Daimler Truck Finance North America, 5.15%, 1/16/26 (1) | 300 | 298 |
Ford Motor Credit, 3.664%, 9/8/24 | 300 | 298 |
Ford Motor Credit, 4.134%, 8/4/25 | 250 | 245 |
Ford Motor Credit, 4.389%, 1/8/26 | 475 | 463 |
Hyundai Capital America, 1.30%, 1/8/26 (1) | 250 | 233 |
Hyundai Capital America, 1.65%, 9/17/26 (1) | 605 | 554 |
Hyundai Capital America, 1.80%, 10/15/25 (1) | 410 | 389 |
Hyundai Capital America, 5.25%, 1/8/27 (1) | 120 | 119 |
Hyundai Capital America, 5.50%, 3/30/26 (1) | 85 | 85 |
LeasePlan, 2.875%, 10/24/24 (1) | 600 | 593 |
Nissan Motor, 3.522%, 9/17/25 (1) | 295 | 286 |
Nissan Motor Acceptance, 1.125%, 9/16/24 (1) | 416 | 410 |
Volkswagen Group of America Finance, 4.625%, 11/13/25 (1) | 230 | 227 |
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 | 551 |
5,051 | ||
Banking 16.0% | ||
ABN AMRO Bank, VR, 6.339%, 9/18/27 (1)(2) | 200 | 202 |
American Express, VR, 5.098%, 2/16/28 (2) | 240 | 238 |
Banco Bilbao Vizcaya Argentaria, VR, 5.862%, 9/14/26 (2) | 800 | 800 |
Banco Santander, VR, 5.552%, 3/14/28 (2) | 200 | 198 |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/25 (1) | 575 | 572 |
Banco Santander SA, 5.147%, 8/18/25 | 400 | 396 |
Bank of America, VR, 5.08%, 1/20/27 (2) | 200 | 199 |
Bank of Ireland Group, VR, 6.253%, 9/16/26 (1)(2) | 400 | 401 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Bank of Montreal, 5.37%, 6/4/27 | 750 | 751 |
Banque Federative du Credit Mutuel, 4.935%, 1/26/26 (1) | 400 | 396 |
Banque Federative du Credit Mutuel, 5.088%, 1/23/27 (1) | 215 | 214 |
Banque Federative du Credit Mutuel, 5.896%, 7/13/26 (1) | 400 | 404 |
Barclays, 4.375%, 1/12/26 | 200 | 196 |
Barclays, 5.20%, 5/12/26 | 400 | 395 |
Barclays, VR, 5.304%, 8/9/26 (2) | 400 | 398 |
Barclays, VR, 5.674%, 3/12/28 (2) | 200 | 200 |
BPCE SA, 2.375%, 1/14/25 (1) | 500 | 488 |
BPCE SA, 4.50%, 3/15/25 (1) | 700 | 691 |
CaixaBank SA, VR, 6.684%, 9/13/27 (1)(2) | 550 | 559 |
Capital One Financial, VR, 2.636%, 3/3/26 (2) | 300 | 292 |
Capital One Financial, 3.75%, 7/28/26 | 550 | 530 |
Capital One Financial, VR, 4.985%, 7/24/26 (2) | 300 | 297 |
Citigroup, 4.40%, 6/10/25 | 400 | 395 |
Citigroup, FRN, SOFR + 0.69%, 6.053%, 1/25/26 | 500 | 501 |
Commonwealth Bank of Australia, 4.50%, 12/9/25 (1) | 700 | 687 |
Cooperatieve Rabobank, 3.75%, 7/21/26 | 250 | 240 |
Cooperatieve Rabobank, 4.375%, 8/4/25 | 250 | 246 |
Danske Bank, VR, 1.621%, 9/11/26 (1)(2) | 310 | 294 |
Danske Bank, VR, 5.427%, 3/1/28 (1)(2) | 275 | 275 |
Danske Bank, VR, 6.259%, 9/22/26 (1)(2) | 235 | 237 |
Deutsche Bank, 4.50%, 4/1/25 | 1,160 | 1,143 |
Discover Bank, 2.45%, 9/12/24 | 650 | 644 |
Emirates NBD Bank PJSC, 2.625%, 2/18/25 | 400 | 390 |
Fifth Third Bank, 3.85%, 3/15/26 | 1,500 | 1,449 |
HDFC BankGandhinagar, 5.686%, 3/2/26 | 250 | 250 |
HSBC Holdings, VR, 4.292%, 9/12/26 (2) | 575 | 564 |
HSBC Holdings, 4.375%, 11/23/26 | 400 | 389 |
HSBC Holdings, VR, 5.597%, 5/17/28 (2) | 400 | 401 |
Huntington Bancshares, 2.625%, 8/6/24 | 225 | 224 |
Huntington National Bank, VR, 5.699%, 11/18/25 (2) | 335 | 334 |
ING Groep, VR, 3.869%, 3/28/26 (2) | 800 | 786 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Intesa Sanpaolo, 7.00%, 11/21/25 (1) | 550 | 556 |
Lloyds Banking Group, VR, 2.438%, 2/5/26 (2) | 635 | 621 |
Lloyds Banking Group, 4.50%, 11/4/24 | 400 | 397 |
Mitsubishi UFJ Financial Group, VR, 5.063%, 9/12/25 (2) | 400 | 399 |
Mitsubishi UFJ Financial Group, VR, 5.719%, 2/20/26 (2) | 400 | 399 |
PNC Financial Services Group, VR, 5.30%, 1/21/28 (2) | 160 | 159 |
PNC Financial Services Group, VR, 5.812%, 6/12/26 (2) | 240 | 240 |
PNC Financial Services Group, VR, 6.615%, 10/20/27 (2) | 550 | 563 |
Royal BK Scotland Group, 4.80%, 4/5/26 | 240 | 237 |
Santander Holdings USA, 3.244%, 10/5/26 | 250 | 235 |
Societe Generale, 4.25%, 4/14/25 (1) | 500 | 491 |
Societe Generale, 4.25%, 8/19/26 (1) | 460 | 442 |
Societe Generale, VR, VR, 5.519%, 1/19/28 (1)(2) | 225 | 222 |
Standard Chartered, VR, 3.971%, 3/30/26 (1)(2) | 200 | 197 |
Standard Chartered, VR, 5.688%, 5/14/28 (1)(2) | 200 | 199 |
Standard Chartered, VR, 6.17%, 1/9/27 (1)(2) | 200 | 201 |
Standard Chartered, VR, 6.187%, 7/6/27 (1)(2) | 400 | 403 |
UBS AG, 5.00%, 7/9/27 | 250 | 246 |
UBS Group, VR, 2.593%, 9/11/25 (1)(2) | 500 | 496 |
UBS Group, VR, 6.327%, 12/22/27 (1)(2) | 300 | 305 |
US Bancorp, VR, 5.727%, 10/21/26 (2) | 615 | 616 |
Wells Fargo, VR, 5.707%, 4/22/28 (2) | 430 | 433 |
26,323 | ||
Building & Real Estate 0.1% | ||
EMG SUKUK, 4.564%, 6/18/24 | 200 | 200 |
200 | ||
Building Products 0.1% | ||
Owens Corning, 5.50%, 6/15/27 | 200 | 201 |
201 | ||
Cable Operators 0.4% | ||
Charter Communications Operating, 4.908%, 7/23/25 | 139 | 138 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Charter Communications Operating, 6.15%, 11/10/26 | 350 | 352 |
Cox Communications, 3.15%, 8/15/24 (1) | 200 | 199 |
689 | ||
Chemicals 1.0% | ||
Celanese US Holdings, 1.40%, 8/5/26 | 202 | 184 |
International Flavors & Fragrances, 1.23%, 10/1/25 (1) | 750 | 707 |
LG Chem, 4.375%, 7/14/25 | 280 | 276 |
MEGlobal Canada ULC, 5.00%, 5/18/25 | 500 | 494 |
1,661 | ||
Consumer Products 0.5% | ||
LG Electronics, 5.625%, 4/24/27 (1) | 530 | 532 |
Mattel, 3.375%, 4/1/26 (1) | 285 | 272 |
804 | ||
Drugs 0.8% | ||
BNP Paribas SA, 4.25%, 10/15/24 | 500 | 496 |
BNP Paribas SA, 4.375%, 9/28/25 (1) | 350 | 343 |
Viatris, 1.65%, 6/22/25 | 515 | 493 |
1,332 | ||
Electric Utilities 0.4% | ||
GS Caltex, 1.625%, 7/27/25 | 650 | 621 |
621 | ||
Energy 4.6% | ||
Abu Dhabi National Energy, 4.375%, 6/22/26 | 300 | 295 |
APA Infrastructure, 4.20%, 3/23/25 (1) | 1,050 | 1,037 |
Boardwalk Pipelines, 4.95%, 12/15/24 | 700 | 696 |
Crestwood Mid Partner, 5.75%, 4/1/25 | 700 | 699 |
DCP Midstream Operating, 5.375%, 7/15/25 | 452 | 450 |
EQT, 3.125%, 5/15/26 (1) | 534 | 507 |
EQT, 6.125%, 2/1/25 | 200 | 200 |
MPLX, 4.875%, 6/1/25 | 200 | 198 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Occidental Petroleum, 5.50%, 12/1/25 | 1,000 | 995 |
Occidental Petroleum, 5.875%, 9/1/25 | 228 | 228 |
Occidental Petroleum, 8.50%, 7/15/27 | 125 | 134 |
Reliance Industries, 4.125%, 1/28/25 | 250 | 247 |
SA Global Sukuk, 1.602%, 6/17/26 | 300 | 278 |
Sabine Pass Liquefaction, 5.875%, 6/30/26 | 69 | 69 |
Schlumberger Holdings, 5.00%, 5/29/27 (1) | 500 | 497 |
TER Finance Jersey Zero Coupon, 1/2/25 (1)(3) | 200 | 193 |
Western Midstream Operating, 3.10%, 2/1/25 | 322 | 316 |
Western Midstream Operating, 3.95%, 6/1/25 | 500 | 491 |
7,530 | ||
Exploration & Production 0.2% | ||
Lundin Energy, 2.00%, 7/15/26 (1) | 300 | 279 |
279 | ||
Financial 3.9% | ||
Aldar Sukuk, 4.75%, 9/29/25 | 570 | 563 |
Ally Financial, 4.625%, 3/30/25 | 200 | 198 |
Ally Financial, 5.125%, 9/30/24 | 200 | 199 |
Ally Financial, 5.80%, 5/1/25 | 300 | 300 |
Bank Mandiri Persero, 5.50%, 4/4/26 | 620 | 619 |
CNO Financial Group, 5.25%, 5/30/25 | 577 | 573 |
Ford Motor Credit, 6.95%, 6/10/26 | 375 | 381 |
General Motors Financial, 4.00%, 1/15/25 | 100 | 99 |
General Motors Financial, 5.40%, 5/8/27 | 125 | 124 |
General Motors Financial, 6.05%, 10/10/25 | 585 | 587 |
Hikma Finance USA, 3.25%, 7/9/25 | 600 | 579 |
LPL Holdings, 5.70%, 5/20/27 | 315 | 316 |
QNB Finance, 1.375%, 1/26/26 | 320 | 299 |
QNB Finance, 2.625%, 5/12/25 | 250 | 243 |
Synchrony Financial, 4.25%, 8/15/24 | 190 | 189 |
Western Union, 1.35%, 3/15/26 | 734 | 680 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Western Union, 2.85%, 1/10/25 | 510 | 501 |
6,450 | ||
Food Processing 0.4% | ||
Campbell Soup, 5.30%, 3/20/26 | 635 | 634 |
634 | ||
Food/Tobacco 1.0% | ||
Imperial Brands Finance, 3.125%, 7/26/24 (1) | 200 | 199 |
Imperial Brands Finance, 4.25%, 7/21/25 (1) | 775 | 761 |
Reynolds American, 4.45%, 6/12/25 | 750 | 741 |
1,701 | ||
Forest Products 0.1% | ||
Celulosa Arauco y Constitucion SA, 4.50%, 8/1/24 | 200 | 200 |
200 | ||
Health Care 1.8% | ||
HCA, 5.25%, 6/15/26 | 590 | 586 |
HCA, 5.375%, 2/1/25 | 295 | 294 |
Highmark, 1.45%, 5/10/26 (1) | 701 | 644 |
Icon Investments Six DAC, 5.809%, 5/8/27 | 666 | 671 |
Solventum, 5.45%, 2/25/27 (1) | 335 | 334 |
Utah Acquisition Sub, 3.95%, 6/15/26 | 420 | 405 |
2,934 | ||
Information Technology 0.2% | ||
Amphenol, 5.05%, 4/5/27 | 380 | 379 |
379 | ||
Insurance 2.8% | ||
Athene Global Funding, 5.684%, 2/23/26 (1) | 555 | 553 |
Athene Global Funding, FRN, SOFRINDX + 0.72%, 6.049%, 1/7/25 (1) | 200 | 200 |
CNO Global Funding, 1.65%, 1/6/25 (1) | 400 | 390 |
Corebridge Financial, 3.50%, 4/4/25 | 1,200 | 1,178 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Equitable Financial Life Global Funding, 1.40%, 7/7/25 (1) | 185 | 177 |
Equitable Financial Life Global Funding, 5.50%, 12/2/25 (1) | 621 | 619 |
First American Financial, 4.60%, 11/15/24 | 650 | 645 |
Principal Life Global Funding II, 5.00%, 1/16/27 (1) | 55 | 55 |
Voya Financial, 3.65%, 6/15/26 | 900 | 867 |
4,684 | ||
Internet Service Providers 0.2% | ||
Meituan Zero Coupon, 4/27/27 | 300 | 283 |
283 | ||
Manufacturing 1.6% | ||
FMC, 3.20%, 10/1/26 | 1,369 | 1,294 |
POSCO, 4.375%, 8/4/25 | 400 | 394 |
VF, 2.40%, 4/23/25 | 906 | 876 |
2,564 | ||
Metals & Mining 0.3% | ||
ABJA Investment, 5.95%, 7/31/24 | 400 | 400 |
Freeport-McMoRan, 5.00%, 9/1/27 | 44 | 43 |
443 | ||
Other Telecommunications 0.3% | ||
Axiata SPV2, 4.357%, 3/24/26 | 480 | 471 |
471 | ||
Pharmaceuticals 0.5% | ||
Bayer US Finance II, 4.25%, 12/15/25 (1) | 840 | 818 |
818 | ||
Real Estate Investment Trust Securities 2.8% | ||
Brixmor Operating Partnership, 3.65%, 6/15/24 (4) | 391 | 391 |
Brixmor Operating Partnership, 3.85%, 2/1/25 | 800 | 790 |
Brixmor Operating Partnership, 4.125%, 6/15/26 | 100 | 97 |
CubeSmart, 4.00%, 11/15/25 | 925 | 901 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Healthcare Realty Holdings, 3.50%, 8/1/26 | 295 | 280 |
Kilroy Realty, 3.45%, 12/15/24 | 672 | 663 |
Kilroy Realty, 4.375%, 10/1/25 | 600 | 586 |
Scentre Group Trust, 3.50%, 2/12/25 (1) | 900 | 886 |
4,594 | ||
Retail 0.9% | ||
Advance Auto Parts, 5.90%, 3/9/26 | 100 | 100 |
Dollar General, 4.15%, 11/1/25 | 675 | 661 |
Walgreens Boots Alliance, 3.80%, 11/18/24 | 750 | 741 |
1,502 | ||
Services 0.5% | ||
CDW / CDW Finance, 4.125%, 5/1/25 | 300 | 293 |
CDW / CDW Finance, 5.50%, 12/1/24 | 600 | 598 |
891 | ||
Telephones 0.2% | ||
AT&T, 1.70%, 3/25/26 | 300 | 280 |
280 | ||
Transportation 0.9% | ||
GATX, 5.40%, 3/15/27 | 250 | 250 |
Penske Truck Leasing, 2.70%, 11/1/24 (1) | 200 | 197 |
Penske Truck Leasing, 3.45%, 7/1/24 (1) | 400 | 399 |
Penske Truck Leasing, 3.95%, 3/10/25 (1) | 550 | 543 |
Penske Truck Leasing / PTL Finance, 5.35%, 1/12/27 (1) | 60 | 60 |
1,449 | ||
Transportation Services 0.2% | ||
HPHT Finance, 2.875%, 11/5/24 | 400 | 395 |
395 | ||
Utilities 3.3% | ||
Ameren, 3.65%, 2/15/26 | 675 | 653 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Constellation Energy Generation, 3.25%, 6/1/25 | 1,096 | 1,071 |
Edison International, 3.55%, 11/15/24 | 875 | 866 |
Enel Finance International NV, 6.80%, 10/14/25 (1) | 400 | 406 |
NRG Energy, 3.75%, 6/15/24 (1) | 200 | 200 |
Pacific Gas and Electric, 3.15%, 1/1/26 | 805 | 774 |
Southern, 4.475%, 8/1/24 | 495 | 494 |
Southwestern Electric Power, 2.75%, 10/1/26 | 300 | 281 |
Vistra Operations, 3.55%, 7/15/24 (1) | 545 | 544 |
Vistra Operations, 5.125%, 5/13/25 (1) | 135 | 134 |
5,423 | ||
Wireless Communications 2.9% | ||
American Tower, 1.60%, 4/15/26 | 975 | 908 |
Crown Castle, 1.05%, 7/15/26 | 395 | 361 |
Crown Castle, 1.35%, 7/15/25 | 150 | 143 |
Crown Castle International, 4.45%, 2/15/26 | 500 | 491 |
Crown Castle Towers, 3.663%, 5/15/45 (1) | 825 | 807 |
PT Tower Bersama Infrastructure, 4.25%, 1/21/25 | 300 | 296 |
Rogers Communications, 3.625%, 12/15/25 | 400 | 387 |
SBA Tower Trust, 1.884%, 7/15/50 (1) | 270 | 253 |
SBA Tower Trust, 2.836%, 1/15/50 (1) | 155 | 152 |
Sprint, 7.625%, 3/1/26 | 935 | 958 |
4,756 | ||
Total Corporate Bonds (Cost $86,689) | 86,724 | |
FOREIGN GOVERNMENT OBLIGATIONS & MUNICIPALITIES 0.5% | ||
Foreign Govt & Muni (Excl Canadian) 0.5% | ||
Japan Treasury Discount Bills, 0.042%, 8/5/24 (JPY) | 122,900 | 782 |
782 | ||
Total Foreign Government Obligations & Municipalities (Cost $789) | 782 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
NON-U.S. GOVERNMENT MORTGAGE-BACKED SECURITIES 8.8% | ||
Commercial Mortgage-Backed Securities 3.3% | ||
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, FRN, 1M TSFR + 1.10%, 6.414%, 9/15/32 (1) | 475 | 475 |
BX Trust, Series 2020-VKNG, Class A, FRN, 1M TSFR + 1.04%, 6.362%, 10/15/37 (1) | 585 | 583 |
BX Trust, Series 2021-ARIA, Class A, FRN, 1M TSFR + 1.01%, 6.331%, 10/15/36 (1) | 665 | 659 |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, FRN, 1M TSFR + 1.37%, 6.684%, 12/15/37 (1) | 410 | 410 |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class B, FRN, 1M TSFR + 1.55%, 6.864%, 12/15/37 (1) | 650 | 649 |
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class C, FRN, 1M TSFR + 1.75%, 7.064%, 12/15/37 (1) | 400 | 400 |
Cold Storage Trust, Series 2020-ICE5, Class A, FRN, 1M TSFR + 1.01%, 6.334%, 11/15/37 (1) | 688 | 687 |
Commercial Mortgage Trust, Series 2014-CR21, Class A3, 3.528%, 12/10/47 | 20 | 20 |
Commercial Mortgage Trust, Series 2014-UBS6, Class A5, ARM, 3.644%, 12/10/47 | 400 | 395 |
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A, 3.144%, 12/10/36 (1) | 450 | 441 |
MARQ Trust, Series 2024-HOU, Class A, FRN, 1M TSFR + 1.59%, 7.02%, 6/15/29 (1) | 150 | 150 |
ONE Mortgage Trust, Series 2021-PARK, Class A, FRN, 1M TSFR + 0.81%, 6.131%, 3/15/36 (1) | 115 | 112 |
SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A, FRN, 1M TSFR + 1.39%, 6.692%, 5/15/39 (1) | 445 | 445 |
5,426 | ||
Whole Loans Backed 5.5% | ||
Angel Oak Mortgage Trust, Series 2019-5, Class A1, CMO, ARM, 2.593%, 10/25/49 (1) | 44 | 42 |
Angel Oak Mortgage Trust, Series 2021-2, Class A1, CMO, ARM, 0.985%, 4/25/66 (1) | 90 | 75 |
Angel Oak Mortgage Trust, Series 2021-5, Class A1, CMO, ARM, 0.951%, 7/25/66 (1) | 112 | 93 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Angel Oak Mortgage Trust, Series 2022-1, Class A1, CMO, ARM, 2.881%, 12/25/66 (1) | 93 | 83 |
Bellemeade Re, Series 2022-1, Class M1A, FRN, SOFR30A + 1.75%, 7.073%, 1/26/32 (1) | 45 | 46 |
BINOM Securitization Trust, Series 2021-INV1, Class A1, CMO, ARM, 2.034%, 6/25/56 (1) | 62 | 53 |
COLT Funding, Series 2021-4, Class A1, CMO, ARM, 1.397%, 10/25/66 (1) | 73 | 60 |
COLT Mortgage Loan Trust, Series 2020-3, Class A1, CMO, ARM, 1.506%, 4/27/65 (1) | 98 | 93 |
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1, CMO, ARM, SOFR30A + 0.85%, 6.174%, 12/25/41 (1) | 42 | 42 |
Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M1, CMO, ARM, SOFR30A + 1.90%, 7.223%, 6/25/43 (1) | 49 | 49 |
Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1, CMO, ARM, SOFR30A + 1.70%, 7.024%, 7/25/43 (1) | 193 | 195 |
Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1, CMO, ARM, SOFR30A + 1.15%, 6.474%, 3/25/44 (1) | 627 | 628 |
Ellington Financial Mortgage Trust, Series 2023-1, Class A1, CMO, ARM, 5.732%, 2/25/68 (1) | 154 | 152 |
Federal National Mortgage Association Connecticut Avenue Securities, Series 2024-R02, Class 1M1, CMO, ARM, SOFR30A + 1.10%, 6.424%, 2/25/44 (1) | 390 | 391 |
Freddie Mac STACR REMIC Trust, Series 2022-DNA1, Class M1A, CMO, ARM, SOFR30A + 1.00%, 6.324%, 1/25/42 (1) | 129 | 129 |
Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class M1A, CMO, ARM, SOFR30A + 1.30%, 6.624%, 2/25/42 (1) | 161 | 162 |
Freddie Mac STACR REMIC Trust, Series 2022-DNA5, Class M1A, CMO, ARM, SOFR30A + 2.95%, 8.28%, 6/25/42 (1) | 176 | 181 |
Freddie Mac STACR REMIC Trust, Series 2023-HQA3, Class A1, CMO, ARM, SOFR30A + 1.85%, 7.173%, 11/25/43 (1) | 112 | 114 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Freddie Mac STACR REMIC Trust, Series 2024-DNA2, Class A1, CMO, ARM, SOFR30A + 1.25%, 6.574%, 5/25/44 (1) | 305 | 305 |
Freddie Mac STACR REMIC Trust, Series 2024-HQA1, Class A1, CMO, ARM, SOFR30A + 1.25%, 6.574%, 3/25/44 (1) | 458 | 458 |
Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1, CMO, ARM, 6.386%, 5/25/69 (1) | 360 | 360 |
New Residential Mortgage Loan Trust, Series 2023-NQM1, Class A1A, CMO, ARM, 6.864%, 10/25/63 (1) | 620 | 625 |
OBX Trust, Series 2022-NQM1, Class A1, CMO, ARM, 2.305%, 11/25/61 (1) | 150 | 129 |
OBX Trust, Series 2023-NQM10, Class A1, CMO, ARM, 6.465%, 10/25/63 (1) | 420 | 421 |
OBX Trust, Series 2024-NQM7, Class A1, CMO, ARM, 6.243%, 3/25/64 (1) | 483 | 484 |
Progress Residential Trust, Series 2020-SFR1, Class A, 1.732%, 4/17/37 (1) | 100 | 99 |
Progress Residential Trust, Series 2020-SFR2, Class A, 2.078%, 6/17/37 (1) | 254 | 245 |
Progress Residential Trust, Series 2020-SFR3, Class B, CMO, ARM, 1.495%, 10/17/27 (1) | 440 | 415 |
Verus Securitization Trust, Series 2019-INV3, Class A1, CMO, ARM, 3.692%, 11/25/59 (1) | 82 | 79 |
Verus Securitization Trust, Series 2021-2, Class A1, CMO, ARM, 1.031%, 2/25/66 (1) | 87 | 75 |
Verus Securitization Trust, Series 2021-4, Class A1, CMO, ARM, 0.938%, 7/25/66 (1) | 95 | 76 |
Verus Securitization Trust, Series 2021-R3, Class A1, CMO, ARM, 1.02%, 4/25/64 (1) | 67 | 60 |
Verus Securitization Trust, Series 2023-3, Class A1, CMO, ARM, 5.93%, 3/25/68 (1) | 269 | 267 |
Verus Securitization Trust, Series 2023-8, Class A1, CMO, ARM, 6.259%, 12/25/68 (1) | 227 | 227 |
Verus Securitization Trust, Series 2023-INV1, Class A1, CMO, ARM, 5.999%, 2/25/68 (1) | 122 | 121 |
Verus Securitization Trust, Series 2023-INV3, Class A1, CMO, ARM, 6.876%, 11/25/68 (1) | 736 | 742 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Verus Securitization Trust, Series 2024-1, Class A1, CMO, ARM, 5.712%, 1/25/69 (1) | 746 | 740 |
Verus Securitization Trust, Series 2024-INV1, Class A1, CMO, ARM, 6.116%, 3/25/69 (1) | 453 | 451 |
Vista Point Securitization Trust, Series 2020-2, Class A1, CMO, ARM, 1.475%, 4/25/65 (1) | 62 | 56 |
9,023 | ||
Total Non-U.S. Government Mortgage-Backed Securities (Cost $14,538) | 14,449 | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (EXCLUDING MORTGAGE-BACKED) 3.0% | ||
U.S. Treasury Obligations 3.0% | ||
U.S. Treasury Bills, 5.267%, 9/19/24 (5) | 650 | 640 |
U.S. Treasury Bills, 5.292%, 6/11/24 | 400 | 399 |
U.S. Treasury Bills, 5.292%, 6/25/24 | 400 | 399 |
U.S. Treasury Bills, 5.305%, 7/11/24 | 800 | 795 |
U.S. Treasury Bills, 5.306%, 7/23/24 (5) | 650 | 645 |
U.S. Treasury Bills, 5.318%, 8/6/24 | 1,000 | 991 |
U.S. Treasury Bills, 5.332%, 8/20/24 | 375 | 371 |
U.S. Treasury Notes, 4.625%, 11/15/26 | 480 | 478 |
U.S. Treasury Notes, 4.875%, 11/30/25 | 170 | 170 |
4,888 | ||
Total U.S. Government Agency Obligations (Excluding Mortgage-Backed) (Cost $4,890) | 4,888 | |
SHORT-TERM INVESTMENTS 10.2% | ||
Commercial Paper 10.2% | ||
Bacardi-Martini, 5.845%, 7/18/24 (6) | 1,300 | 1,290 |
Bayer, 6.297%, 7/9/24 (6) | 550 | 547 |
Canadian Natural Resources, 5.874%, 6/25/24 (6) | 1,550 | 1,544 |
Conagra Brands, 5.653%, 6/3/24 (6) | 600 | 600 |
Conagra Brands, 5.764%, 6/13/24 (6) | 1,400 | 1,397 |
Par/Shares | $ Value | |
(Amounts in 000s) | ||
Edison International, 5.503%, 6/3/24 (6) | 1,100 | 1,099 |
Energy Transfer, 5.653%, 6/3/24 | 1,000 | 999 |
Gotham Funding, 5.312%, 6/3/24 (6) | 1,100 | 1,099 |
Harley-Davidson Financial Services, 6.049%, 6/4/24 (6) | 900 | 899 |
International Flavors & Fragrances, 6.075%, 6/24/24 (6) | 800 | 797 |
Intesa Sanpaolo, 6.10%, 4/15/25 | 525 | 525 |
Ovintiv, 6.07%, 6/17/24 | 300 | 299 |
Ovintiv Canada ULC, 6.108%, 6/20/24 | 1,200 | 1,196 |
Quanta Services, 5.706%, 6/5/24 (6) | 1,400 | 1,399 |
Targa Resources, 5.803%, 6/3/24 (6) | 400 | 400 |
Targa Resources, 6.039%, 7/8/24 (6) | 1,000 | 994 |
Targa Resources, 6.04%, 7/10/24 (6) | 600 | 596 |
VF, 6.456%, 7/23/24 (6) | 290 | 288 |
Walgreens Boots Alliance, 6.432%, 7/1/24 (6) | 800 | 796 |
16,764 | ||
Money Market Funds 0.0% | ||
T. Rowe Price Government Reserve Fund, 5.39% (7)(8) | 1 | 1 |
Total Short-Term Investments (Cost $16,767) | 16,765 | |
SECURITIES LENDING COLLATERAL 0.1% | ||
Investments in a Pooled Account through Securities Lending Program with State Street Bank 0.1% | ||
Money Market Funds 0.1% | ||
T. Rowe Price Government Reserve Fund, 5.39% (7)(8) | 47 | 47 |
Total Investments in a Pooled Account through Securities Lending Program with State Street Bank | 47 | |
Total Securities Lending Collateral (Cost $47) | 47 |
Options Purchased 0.0% |
OTC Options Purchased 0.0% |
Counterparty | Description | Contracts | Notional Amount | $ Value |
Citibank N.A. | Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.IG.S42, 5 Year Index, 6/20/29), Pay 1.00% Quarterly, Receive upon credit default, 6/19/24 @ 0.65% *(9) | 1 | 7,700 | 1 |
Citibank N.A. | Credit Default Swap, Protection Bought (Relevant Credit: Markit CDX.NA.IG.S42, 5 Year Index, 6/20/29), Pay 1.00% Quarterly, Receive upon credit default, 6/19/24 @ 0.70% *(9) | 1 | 7,700 | — |
Total Options Purchased (Cost $8) | 1 |
Total Investments in Securities 101.0% of Net Assets (Cost $165,631) | $165,622 |
‡ | Par/Shares and Notional Amount are denominated in U.S. dollars unless otherwise noted. |
* | Exercise Spread |
(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 $75,154 and represents 45.8% 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) | Level 3 in fair value hierarchy. See Note 2. |
(4) | All or a portion of this security is on loan at May 31, 2024. See Note 4. |
(5) | At May 31, 2024, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. |
(6) | 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 $13,745 and represents 8.4% of net assets. |
(7) | Seven-day yield |
(8) | Affiliated Companies |
(9) | 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 |
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: Freeport-McMoran, Baa2*), Receive 1.00% Quarterly, Pay upon credit default, 6/20/24 | 200 | — | — | — |
Protection Sold (Relevant Credit: Hess, Baa3*), Receive 1.00% Quarterly, Pay upon credit default, 6/20/24 | 100 | — | — | — |
Protection Sold (Relevant Credit: Devon Energy, Baa2*), Receive 1.00% Quarterly, Pay upon credit default, 6/20/24 | 100 | — | — | — |
Protection Sold (Relevant Credit: AT&T, Baa2*), Receive 1.00% Quarterly, Pay upon credit default, 6/20/24 | 275 | 1 | — | 1 |
Protection Sold (Relevant Credit: Verizon Communications, Baa1*), Receive 1.00% Quarterly, Pay upon credit default, 6/20/24 | 275 | 1 | — | 1 |
Description | Notional Amount | $ Value | Initial $ Value | Unrealized $ Gain/(Loss) |
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 | 3 | |||
Net payments (receipts) of variation margin to date | $(3) | |||
Variation margin receivable (payable) on centrally cleared swaps | $— |
* | Credit ratings as of May 31, 2024. 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) | ||
State Street Bank London | 8/5/24 | USD | 799 | JPY | 122,900 | $10 |
Net unrealized gain (loss) on open forward currency exchange contracts | $10 |
FUTURES CONTRACTS |
($000s) |
Expiration Date | Notional Amount | Value and Unrealized Gain (Loss) | |
Short, 29 Three Month SOFR Futures contracts | 09/24 | (6,889) | $25 |
Long, 2 U.S. Treasury Notes ten year contracts | 09/24 | 217 | 1 |
Short, 2 Ultra U.S. Treasury Notes ten year contracts | 09/24 | (225) | 1 |
Short, 42 U.S. Treasury Notes five year contracts | 09/24 | (4,445) | 2 |
Short, 64 U.S. Treasury Notes two year contracts | 09/24 | (13,031) | (6) |
Long, 11 Three Month SOFR Futures contracts | 03/25 | 2,627 | (14) |
Short, 11 Three Month SOFR Futures contracts | 03/26 | (2,648) | 14 |
Net payments (receipts) of variation margin to date | (40) | ||
Variation margin receivable (payable) on open futures contracts | $(17) |
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 5/31/24 |
T. Rowe Price Government Reserve Fund | $86 | ¤ | ¤ | $48 |
Total | $48^ |
++ | 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 $48. |
Assets | |
Investments in securities, at value (cost $165,631) | $165,622 |
Interest and dividends receivable | 1,068 |
Unrealized gain on forward currency exchange contracts | 10 |
Total assets | 166,700 |
Liabilities | |
Payable for investment securities purchased | 2,495 |
Due to custodian | 55 |
Obligation to return securities lending collateral | 47 |
Investment management and administrative fees payable | 23 |
Variation margin payable on futures contracts | 17 |
Total liabilities | 2,637 |
NET ASSETS | $164,063 |
Net assets consists of: | |
Total distributable earnings (loss) | $375 |
Paid-in capital applicable to 3,325,000 shares of $0.0001 par value capital stock outstanding; 4,000,000,000 shares authorized | 163,688 |
NET ASSETS | $164,063 |
NET ASSET VALUE PER SHARE | $49.34 |
Year Ended | |
5/31/24 | |
Investment Income (Loss) | |
Income | |
Interest | $6,175 |
Securities lending | 2 |
Total income | 6,177 |
Expenses | |
Investment management and administrative expense | 192 |
Miscellaneous expense | 2 |
Total expenses | 194 |
Net investment income | 5,983 |
Realized and Unrealized Gain / Loss | |
Net realized gain (loss) | |
Securities | 14 |
Futures | 513 |
Swaps | 11 |
Options written | (4) |
Forward currency exchange contracts | 105 |
Foreign currency transactions | (8) |
Net realized gain | 631 |
Change in net unrealized gain / loss | |
Securities | 713 |
Futures | 13 |
Swaps | 2 |
Options written | 3 |
Change in unrealized gain / loss | 731 |
Net realized and unrealized gain / loss | 1,362 |
INCREASE IN NET ASSETS FROM OPERATIONS | $7,345 |
Year Ended | |||
5/31/24 | 5/31/23 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $5,983 | $1,680 | |
Net realized gain (loss) | 631 | (25) | |
Change in net unrealized gain / loss | 731 | (7) | |
Increase in net assets from operations | 7,345 | 1,648 | |
Distributions to shareholders | |||
Net earnings | (6,093) | (1,976) | |
Capital share transactions* | |||
Shares sold | 108,056 | 26,775 | |
Shares redeemed | — | (8,493) | |
Increase in net assets from capital share transactions | 108,056 | 18,282 | |
Net Assets | |||
Increase during period | 109,308 | 17,954 | |
Beginning of period | 54,755 | 36,801 | |
End of period | $164,063 | $54,755 | |
*Share information | |||
Shares sold | 2,200 | 550 | |
Shares redeemed | — | (175) | |
Increase in shares outstanding | 2,200 | 375 |
($000s) | Level 1 | Level 2 | Level 3 | Total Value |
Assets | ||||
Fixed Income Securities1 | $— | $62,085 | $— | $62,085 |
Corporate Bonds | — | 86,531 | 193 | 86,724 |
Short-Term Investments | 1 | 16,764 | — | 16,765 |
Securities Lending Collateral | 47 | — | — | 47 |
Options Purchased | — | 1 | — | 1 |
Total Securities | 48 | 165,381 | 193 | 165,622 |
Swaps* | — | 3 | — | 3 |
Forward Currency Exchange Contracts | — | 10 | — | 10 |
Futures Contracts* | 43 | — | — | 43 |
Total | $91 | $165,394 | $193 | $165,678 |
Liabilities | ||||
Futures Contracts* | $20 | $— | $— | $20 |
1 | Includes Asset-Backed Securities, Foreign Government Obligations & Municipalities, Non-U.S. Government 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 | $43 |
Foreign exchange derivatives | Forwards | 10 |
Credit derivatives | Centrally cleared swaps and Securities^ | 4 |
Total | $57 | |
Liabilities | ||
Interest rate derivatives | Futures | $20 |
* | 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 and are reflected in the accompanying Portfolio of Investments. |
($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 | $7 | $(4) | $513 | $— | $— | $516 |
Foreign exchange derivatives | — | — | — | 105 | — | 105 |
Credit derivatives | 5 | — | — | — | 11 | 16 |
Total | $12 | $(4) | $513 | $105 | $11 | $637 |
Change in Unrealized Gain (Loss) | ||||||
Interest rate derivatives | $1 | $3 | $13 | $— | $— | $17 |
Credit derivatives | (7) | — | — | — | 2 | (5) |
Total | $(6) | $3 | $13 | $— | $2 | $12 |
^ | Options purchased are reported as securities. |
($000s) | ||
May 31, | May 31, | |
2024 | 2023 | |
Ordinary income (including short-term capital gains, if any) | $6,019 | $1,764 |
Long-term capital gain | 74 | 212 |
Total distributions | $6,093 | $1,976 |
($000s) | |
Cost of investments | $165,658 |
Unrealized appreciation | $383 |
Unrealized depreciation | (392) |
Net unrealized appreciation (depreciation) | $(9) |
($000s) | |
Undistributed ordinary income | $356 |
Undistributed long-term capital gain | 39 |
Net unrealized appreciation (depreciation) | (9) |
Loss carryforwards and deferrals | (11) |
Total distributable earnings (loss) | $375 |
![](https://capedge.com/proxy/N-CSR/0001193125-24-192811/g804786img6c020bf71.gif)
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Remuneration paid to Directors is included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
If applicable, see Item 7.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. 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 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
(a)(1) | The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached. | |
(2) | Listing standards relating to recovery of erroneously awarded compensation: not applicable. | |
(3) | ||
(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 Ultra Short-Term Bond ETF | ||||
By | /s/ David Oestreicher | |||
David Oestreicher | ||||
Principal Executive Officer | ||||
Date | July 18, 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 | July 18, 2024 |
By | /s/ Alan S. Dupski | |||
Alan S. Dupski | ||||
Principal Financial Officer | ||||
Date | July 18, 2024 |