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: 811-23564
Name of Fund: | BlackRock Capital Allocation Term Trust (BCAT) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Capital
Allocation Term Trust, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2024
Date of reporting period: 06/30/2024
Item 1 – Reports to Stockholders
(a) The Reports to Shareholders are attached herewith.
2024 Semi-Annual Report (Unaudited) |
BlackRock Capital Allocation Term Trust (BCAT) |
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Total Cumulative Distributions for the Fiscal Period | % Breakdown of the Total Cumulative Distributions for the Fiscal Period | ||||||||||
Trust Name | Net Income | Net Realized Capital Gains Short-Term | Net Realized Capital Gains Long-Term | Return of Capital (a) | Total Per Common Share | Net Income | Net Realized Capital Gains Short-Term | Net Realized Capital Gains Long-Term | Return of Capital | Total Per Common Share | |
BCAT | $ 0.072129 | $ — | $ — | $ 0.850761 | $ 0.922890 | 8 % | — % | — % | 92 % | 100 % | |
ECAT | 0.054004 | — | — | 0.992926 | 1.046930 | 5 | — | — | 95 | 100 |
(a) | Each Trust estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share. |
Trust Name | Amount Per Common Share |
BCAT | $ 0.285390 |
ECAT | 0.296930 |
Symbol on New York Stock Exchange | BCAT |
Initial Offering Date | September 28, 2020 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($16.41)(a) | 20.87% |
Current Monthly Distribution per Common Share(b) | $0.285390 |
Current Annualized Distribution per Common Share(b) | $3.424680 |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The monthly distribution per Common Share, declared on August 1, 2024, was increased to $0.286990 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 16.41 | $ 14.95 | 9.77 % | $ 16.91 | $ 14.83 |
Net Asset Value | 17.60 | 17.25 | 2.03 | 17.88 | 16.98 |
Average Annual Total Returns | |||
6-month | 1 Year | Since Inception(a) | |
Trust at NAV(b)(c) | 7.97 % | 13.15 % | 4.78 % |
Trust at Market Price(b)(c) | 16.15 | 19.89 | 2.85 |
50% MSCI World Index / 50% Bloomberg U.S. Aggregate Bond Index(d) | 5.40 | 11.19 | 5.03 |
MSCI World Index(e) | 11.75 | 20.19 | 12.83 |
Bloomberg U.S. Aggregate Bond Index(f) | (0.71 ) | 2.63 | (2.68 ) |
MSCI ACWI(g) | 11.30 | 19.38 | 11.66 |
(a) | BCAT commenced operations on September 28, 2020. |
(b) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. |
(c) | The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(d) | Effective June 30, 2024, the Trust changed its reporting benchmarks from MSCI ACWI and Bloomberg U.S. Aggregate Bond Index to a customized reference benchmark consisting of MSCI World Index (50%) and Bloomberg U.S. Aggregate Bond Index (50%). The investment adviser believes the new benchmark represents a more appropriate reporting benchmark for the Trust. |
(e) | A broad global equity index that captures large- and mid-cap representation across certain developed markets countries. |
(f) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
(g) | An index that captures large- and mid-cap representation across certain developed and emerging markets. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
TEN LARGEST HOLDINGS | |
Security | Percent of Total Investments(a)(b) |
Uniform Mortgage-Backed Securities, 4.50%, 07/15/54 | 4.2 % |
Microsoft Corp. | 3.8 |
Uniform Mortgage-Backed Securities, 3.50%, 07/15/54 | 3.5 |
Amazon.com, Inc. | 2.4 |
Alphabet, Inc. | 1.7 |
NVIDIA Corp. | 1.6 |
ASML Holding NV | 1.1 |
Mastercard, Inc. | 1.0 |
UnitedHealth Group, Inc. | 1.0 |
Shell PLC | 0.9 |
GEOGRAPHIC ALLOCATION | |
Country/Geographic Region | Percent of Total Investments(a)(b) |
United States | 73.3 % |
Japan | 3.3 |
Cayman Islands | 3.2 |
United Kingdom | 2.5 |
Canada | 2.4 |
France | 1.8 |
Netherlands | 1.7 |
Italy | 1.4 |
Spain | 1.2 |
China | 1.2 |
Germany | 1.2 |
Other# | 6.8 |
(a) | Excludes underlying investment in total return swaps. |
(b) | Excludes short-term securities, short investments and options, if any. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
Symbol on New York Stock Exchange | ECAT |
Initial Offering Date | September 27, 2021 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($17.54)(a) | 20.31% |
Current Monthly Distribution per Common Share(b) | $0.296930 |
Current Annualized Distribution per Common Share(b) | $3.563160 |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The monthly distribution per Common Share, declared on August 1, 2024, was increased to $0.300330 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 17.54 | $ 16.13 | 8.74 % | $ 17.85 | $ 16.04 |
Net Asset Value | 18.76 | 18.05 | 3.93 | 19.05 | 17.78 |
Average Annual Total Returns | |||
6-month | 1 Year | Since Inception(a) | |
Trust at NAV(b)(c) | 10.42 % | 16.29 % | 6.69 % |
Trust at Market Price(b)(c) | 15.53 | 24.91 | 4.12 |
65% MSCI World Index / 35% Bloomberg U.S. Aggregate Bond Index(d) | 7.28 | 13.84 | 3.05 |
MSCI World Index(e) | 11.75 | 20.19 | 6.38 |
Bloomberg U.S. Aggregate Bond Index(f) | (0.71 ) | 2.63 | (3.40 ) |
MSCI ACWI(g) | 11.30 | 19.38 | 5.32 |
(a) | ECAT commenced operations on September 27, 2021. |
(b) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. |
(c) | The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(d) | Effective June 30, 2024, the Trust changed its reporting benchmarks from MSCI ACWI and Bloomberg U.S. Aggregate Bond Index to a customized reference benchmark consisting of MSCI World Index (65%) and Bloomberg U.S. Aggregate Bond Index (35%). The investment adviser believes the new benchmark represents a more appropriate reporting benchmark for the Trust. |
(e) | A broad global equity index that captures large- and mid-cap representation across certain developed markets countries. |
(f) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
(g) | An index that captures large- and mid-cap representation across certain developed and emerging markets. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
TEN LARGEST HOLDINGS | |
Security | Percent of Total Investments(a) |
Microsoft Corp. | 4.6 % |
Uniform Mortgage-Backed Securities, 4.50%, 07/15/54 | 4.3 |
NVIDIA Corp. | 3.2 |
Eli Lilly & Co. | 2.8 |
Marsh & McLennan Cos., Inc. | 2.0 |
Mastercard, Inc. | 2.0 |
Alphabet, Inc. | 2.0 |
ASML Holding NV | 2.0 |
Uniform Mortgage-Backed Securities, 5.50%, 07/15/54 | 1.9 |
Applied Materials, Inc. | 1.8 |
GEOGRAPHIC ALLOCATION | |
Country/Geographic Region | Percent of Total Investments(a) |
United States | 80.9 % |
Japan | 2.7 |
France | 2.5 |
Netherlands | 2.3 |
Germany | 1.7 |
United Kingdom | 1.4 |
Cayman Islands | 1.3 |
Italy | 1.2 |
Taiwan | 1.0 |
Other# | 5.0 |
(a) | Excludes short-term securities, short investments and options, if any. |
# | Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
Canada — 0.1% | |||
Fairstone Financial Issuance Trust I, Series 2020- 1A, Class D, 6.87%, 10/20/39(a) | CAD | 1,270 | $ 881,986 |
Cayman Islands(a)(b) — 3.4% | |||
522 Funding CLO Ltd., Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.91%), 9.24%, 04/20/30 | USD | 1,950 | 1,959,971 |
AGL CLO Ltd. | |||
Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.89%, 01/15/33 | 550 | 551,750 | |
Series 2020-7A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.69%, 07/15/34 | 250 | 250,635 | |
AIMCO CLO, Series 2017-AA, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.74%, 04/20/34 | 250 | 250,091 | |
Apidos CLO XXII, Series 2015-22A, Class CR, (3- mo. CME Term SOFR + 3.21%), 8.54%, 04/20/31 | 250 | 251,057 | |
Apidos CLO XXXV, Series 2021-35A, Class E, (3- mo. CME Term SOFR + 6.01%), 11.34%, 04/20/34 | 375 | 376,270 | |
Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.89%, 10/22/34 | 250 | 251,037 | |
ARES Loan Funding I Ltd. | |||
Series 2021-ALFA, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 10/15/34 | 1,250 | 1,254,441 | |
Series 2021-ALFA, Class SUB, 0.00%, 10/15/34 | 2,150 | 1,476,620 | |
Ares LV CLO Ltd., Series 2020-55A, Class DR, (3- mo. CME Term SOFR + 3.41%), 8.74%, 07/15/34 | 1,500 | 1,503,845 | |
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34 | 625 | 628,145 | |
Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3- mo. CME Term SOFR + 3.31%), 8.64%, 07/15/32 | 2,700 | 2,702,758 | |
Bardot CLO Ltd., Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.59%, 10/22/32 | 250 | 250,054 | |
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/31 | 250 | 246,300 | |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class ER, (3-mo. CME Term SOFR + 7.01%), 12.34%, 07/15/34 | 250 | 250,611 | |
Birch Grove CLO Ltd., Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.56%), 8.89%, 10/19/34 | 750 | 750,545 | |
BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3-mo. CME Term SOFR + 3.36%), 8.69%, 08/20/32 | 1,000 | 1,003,489 | |
Canyon CLO Ltd., Series 2020-3A, Class E, (3-mo. CME Term SOFR + 7.51%), 12.84%, 01/15/34 | 250 | 251,433 | |
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3- mo. CME Term SOFR + 3.46%), 8.79%, 04/20/32 | 1,425 | 1,429,870 | |
CarVal CLO VC Ltd., Series 2021-2A, Class E, (3- mo. CME Term SOFR + 7.01%), 12.34%, 10/15/34 | 500 | 501,717 |
Security | Par (000) | Value | |
Cayman Islands (continued) | |||
CIFC Funding Ltd. | |||
Series 2014-2RA, Class B1, (3-mo. CME Term SOFR + 3.06%), 8.38%, 04/24/30 | USD | 1,000 | $ 1,003,102 |
Series 2019-3A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.64%, 10/16/34 | 1,000 | 1,002,098 | |
Crown City CLO III, Series 2021-1A, Class C, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/20/34 | 1,250 | 1,250,276 | |
Crown Point CLO Ltd., Series 2020-9A, Class DR, (3-mo. CME Term SOFR + 4.01%), 9.34%, 07/14/34 | 500 | 500,941 | |
Elmwood CLO II Ltd. | |||
Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34 | 3,000 | 3,011,771 | |
Series 2019-2A, Class SUB, 0.00%, 04/20/34 | 1,000 | 740,900 | |
Elmwood CLO V Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 6.36%), 11.69%, 10/20/34 | 250 | 250,824 | |
Elmwood CLO X Ltd., Series 2021-3A, Class ER, (3-mo. CME Term SOFR + 5.85%), 11.17%, 07/20/37 | 1,000 | 1,003,717 | |
Flatiron CLO Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.00%), 8.59%, 11/16/34 | 700 | 700,992 | |
Golub Capital Partners CLO Ltd. | |||
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34 | 250 | 250,694 | |
Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34 | 1,000 | 1,002,333 | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.84%, 10/19/34 | 250 | 250,987 | |
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | 500 | 501,005 | |
Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3-mo. CME Term SOFR + 6.21%), 11.53%, 07/17/32 | 1,000 | 1,002,530 | |
OCP CLO Ltd. | |||
Series 2019-16A, Class ER, (3-mo. CME Term SOFR + 6.61%), 11.91%, 04/10/33 | 400 | 399,947 | |
Series 2020-18A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.79%, 07/20/32 | 500 | 500,557 | |
Series 2020-AR, Class D1R, (3-mo. CME Term SOFR + 3.60%), 8.89%, 04/18/37 | 3,500 | 3,505,317 | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.64%, 07/15/34 | 250 | 245,016 | |
OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.58%, 04/17/31 | 250 | 248,533 | |
Palmer Square CLO Ltd., Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 07/15/34 | 250 | 251,049 | |
Palmer Square Loan Funding Ltd. | |||
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.59%, 04/20/29 | 1,250 | 1,250,716 | |
Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.76%), 8.09%, 07/20/29 | 250 | 251,239 | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.59%, 07/20/29 | 250 | 250,239 | |
Series 2021-4A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.59%, 10/15/29 | 750 | 750,644 | |
Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.10%, 10/15/29 | 500 | 502,114 |
Security | Par (000) | Value | |
Cayman Islands (continued) | |||
Park Avenue Institutional Advisers CLO Ltd. | |||
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 7.56%), 12.89%, 01/20/34 | USD | 600 | $ 588,320 |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.99%, 07/15/34 | 1,000 | 1,000,923 | |
Pikes Peak CLO | |||
Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/34 | 1,000 | 1,001,424 | |
Series 2020-6A, Class ER2, (3-mo. CME Term SOFR + 6.69%), 12.02%, 05/18/34 | 500 | 500,314 | |
Post CLO Ltd. | |||
Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.21%), 8.54%, 04/16/31 | 500 | 500,764 | |
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 6.71%), 12.04%, 10/15/34 | 750 | 752,196 | |
Rad CLO Ltd. | |||
Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.34%, 04/15/32 | 250 | 250,255 | |
Series 2020-9A, Class E, (3-mo. CME Term SOFR + 7.85%), 13.18%, 01/15/34 | 5,000 | 5,015,825 | |
Regatta XVII Funding Ltd. | |||
Series 2020-1A, Class D, (3-mo. CME Term SOFR + 4.41%), 9.74%, 10/15/33 | 750 | 751,435 | |
Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.20%, 10/15/33 | 250 | 250,609 | |
Regatta XX Funding Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 10/15/34 | 1,500 | 1,503,133 | |
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35 | 500 | 502,048 | |
RR Ltd., Series 2021-19A, Class D, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/15/35 | 250 | 251,194 | |
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.18%, 07/15/35 | 750 | 753,841 | |
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3-mo. CME Term SOFR + 6.16%), 11.49%, 07/20/34 | 3,750 | 3,742,030 | |
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 07/20/34 | 250 | 244,539 | |
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29 | 1,000 | 17,550 | |
Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/15/32 | 500 | 491,909 | |
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.74%, 01/15/34 | 500 | 501,045 | |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31 | 500 | 500,432 | |
TICP CLO XV Ltd., Series 2020-15A, Class E, (3- mo. CME Term SOFR + 6.41%), 11.74%, 04/20/33 | 500 | 500,552 | |
Trestles CLO Ltd. | |||
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.49%, 04/25/32 | 500 | 500,704 | |
Series 2017-1A, Class D1RR, 07/25/37(c) | 500 | 500,000 |
Security | Par (000) | Value | |
Cayman Islands (continued) | |||
Trimaran CAVU Ltd., Series 2019-1A, Class D, (3- mo. CME Term SOFR + 4.41%), 9.74%, 07/20/32 | USD | 1,750 | $ 1,755,596 |
Whitebox CLO I Ltd. | |||
Series 2019-1A, Class D1RR, (3-mo. CME Term SOFR + 3.10%), 8.44%, 07/24/36 | 250 | 250,000 | |
Series 2019-1A, Class ERR, (3-mo. CME Term SOFR + 5.75%), 11.09%, 07/24/36 | 1,300 | 1,300,000 | |
Series 2019-1A, Class SUB, 0.00%, 07/24/36 | 1,000 | 585,800 | |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/24/34 | 2,750 | 2,758,391 | |
Whitebox CLO III Ltd. | |||
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/15/34 | 500 | 501,538 | |
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.44%, 10/15/34 | 500 | 502,040 | |
65,042,587 | |||
Ireland(b) — 0.6% | |||
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.20%), 7.08%, 04/25/34(a) | EUR | 868 | 931,284 |
Ares European CLO XII DAC, Series 12A, Class DR, (3-mo. EURIBOR + 3.00%), 6.90%, 04/20/32(a) | 875 | 936,604 | |
CIFC European Funding CLO III DAC, Series 3A, Class D, (3-mo. EURIBOR + 3.60%), 7.51%, 01/15/34(a) | 700 | 754,331 | |
CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (3-mo. EURIBOR + 3.80%), 7.50%, 12/23/33(a) | 2,300 | 2,479,040 | |
Harvest CLO XXXII DAC, Series 2032X, Class D, (3-mo. EURIBOR + 3.60%), 7.30%, 07/25/37(d) | 209 | 223,829 | |
Henley CLO IV DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.00%), 6.88%, 04/25/34(a) | 1,000 | 1,077,476 | |
Invesco Euro CLO V DAC, Series 5A, Class 5A, (3-mo. EURIBOR + 3.80%), 7.71%, 01/15/34(a) | 3,150 | 3,357,409 | |
Penta CLO DAC, Series 2024-17X, Class D, 08/15/38(c)(d) | 232 | 248,460 | |
Prodigy Finance DAC(a) | |||
Series 2021-1A, Class C, (1 mo. Term SOFR + 3.86%), 9.21%, 07/25/51 | USD | 93 | 93,840 |
Series 2021-1A, Class D, (1 mo. Term SOFR + 6.01%), 11.36%, 07/25/51 | 105 | 107,777 | |
Tikehau CLO XII DAC, Series 2012X, Class D, 10/20/38(c)(d) | EUR | 340 | 364,123 |
10,574,173 | |||
United States — 2.8% | |||
510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60(a)(e) | USD | 3,618 | 3,604,055 |
Ajax Mortgage Loan Trust(a) | |||
Series 2021-G, Class A, 1.88%, 06/25/61(b) | 4,016 | 3,884,067 | |
Series 2021-G, Class B, 3.75%, 06/25/61(b) | 705 | 709,707 | |
Series 2021-G, Class C, 0.00%, 06/25/61 | 1,267 | 1,177,968 | |
AMSR Trust, Series 2020-SFR5, Class G, 4.11%, 11/17/37(a) | 2,899 | 2,757,956 | |
Citigroup Mortgage Loan Trust(b) | |||
Series 2007-AHL2, Class A3B, (1 mo. Term SOFR + 0.31%), 5.66%, 05/25/37 | 4,111 | 2,673,622 |
Security | Par (000) | Value | |
United States (continued) | |||
Citigroup Mortgage Loan Trust(b) (continued) | |||
Series 2007-AHL3, Class A3B, (1 mo. Term SOFR + 0.28%), 5.63%, 07/25/45 | USD | 3,034 | $ 2,077,017 |
College Avenue Student Loans LLC, Series 2021-A, Class D, 4.12%, 07/25/51(a) | 180 | 158,892 | |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1, 0.00%, 04/25/43(a)(f) | 5 | 2,751,520 | |
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) | 2,403 | 2,180,722 | |
Lending Funding Trust(a) | |||
Series 2020-2A, Class C, 4.30%, 04/21/31 | 980 | 904,172 | |
Series 2020-2A, Class D, 6.77%, 04/21/31 | 2,830 | 2,677,267 | |
Lendmark Funding Trust, Series 2021-1A, Class D, 5.05%, 11/20/31(a) | 2,320 | 2,055,088 | |
Litigation Fee Residual, Series 2020-1, Class A, 4.00%, 10/30/27(f) | 785 | 780,494 | |
Mariner Finance Issuance Trust(a) | |||
Series 2021-AA, Class E, 5.40%, 03/20/36 | 1,420 | 1,233,270 | |
Series 2021-BA, Class E, 4.68%, 11/20/36 | 540 | 456,083 | |
Navient Private Education Refi Loan Trust, Series 2021-DA, Class D, 4.00%, 04/15/60(a) | 1,340 | 1,220,434 | |
Nelnet Student Loan Trust(a) | |||
Series 2021-A, Class D, 4.93%, 04/20/62 | 1,670 | 1,380,966 | |
Series 2021-BA, Class D, 4.75%, 04/20/62 | 340 | 277,078 | |
Series 2021-CA, Class D, 4.44%, 04/20/62 | 110 | 88,533 | |
Progress Residential(a) | |||
Series 2021-SFR1, Class H, 5.00%, 04/17/38 | 750 | 700,659 | |
Series 2021-SFR3, Class H, 4.75%, 05/17/26 | 1,140 | 1,051,395 | |
Regional Management Issuance Trust(a) | |||
Series 2020-1, Class D, 6.77%, 10/15/30 | 2,050 | 2,008,884 | |
Series 2021-3, Class A, 3.88%, 10/17/33(f) | 4,780 | 4,313,950 | |
Republic Finance Issuance Trust(a) | |||
Series 2020-A, Class D, 7.00%, 11/20/30 | 5,110 | 5,015,619 | |
Series 2021-A, Class D, 5.23%, 12/22/31 | 800 | 742,301 | |
Residential Mortgage Loan Trust, Series 2020-1, Class B1, 3.95%, 01/26/60(a)(b) | 400 | 365,344 | |
SMB Private Education Loan Trust(a) | |||
Series 2021-A, Class D1, 3.86%, 01/15/53 | 1,512 | 1,301,717 | |
Series 2021-A, Class D2, 3.86%, 01/15/53 | 825 | 710,365 | |
Series 2021-C, Class D, 3.93%, 01/15/53 | 418 | 371,767 | |
Sofi Professional Loan Program LLC, Series 2018-A, Class R1, 0.00%, 02/25/42(a)(f) | 115 | 1,401,260 | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class M8, (1 mo. Term SOFR + 1.91%), 7.26%, 05/25/35(b) | 182 | 171,247 | |
Tricon Residential Trust(a) | |||
Series 2021-SFR1, Class F, 3.69%, 07/17/38 | 1,375 | 1,263,225 | |
Series 2021-SFR1, Class G, 4.13%, 07/17/38 | 887 | 808,027 | |
53,274,671 | |||
Total Asset-Backed Securities — 6.9% (Cost: $140,055,134) | 129,773,417 |
Shares | |||
Common Stocks | |||
Australia — 0.4% | |||
Glencore PLC | 1,222,574 | 6,956,775 |
Security | Shares | Value | |
Canada — 1.6% | |||
Cameco Corp. | 251,242 | $ 12,361,106 | |
Enbridge, Inc. | 228,354 | 8,123,964 | |
Lionsgate Studios Corp.(g) | 49,511 | 399,059 | |
Suncor Energy, Inc. | 231,418 | 8,821,643 | |
29,705,772 | |||
China — 0.8% | |||
BYD Co. Ltd., Class H | 275,079 | 8,169,527 | |
Contemporary Amperex Technology Co. Ltd., Class A | 96,100 | 2,369,335 | |
Tencent Holdings Ltd. | 83,088 | 3,941,722 | |
14,480,584 | |||
Denmark — 0.2% | |||
Novo Nordisk A/S, Class B | 31,455 | 4,500,731 | |
France — 1.6% | |||
Accor SA | 81,513 | 3,335,431 | |
Cie de Saint-Gobain SA | 85,547 | 6,653,344 | |
EssilorLuxottica SA | 18,320 | 3,936,666 | |
LVMH Moet Hennessy Louis Vuitton SE | 17,326 | 13,302,743 | |
TotalEnergies SE | 57,277 | 3,834,909 | |
31,063,093 | |||
Germany — 0.9% | |||
adidas AG, Class N | 25,206 | 6,018,349 | |
Bayerische Motoren Werke AG | 9,928 | 939,104 | |
Mercedes-Benz Group AG, Class N | 89,568 | 6,199,136 | |
Siemens AG, Class N, Registered Shares | 16,967 | 3,157,992 | |
16,314,581 | |||
Hong Kong — 0.1% | |||
AIA Group Ltd. | 420,970 | 2,848,177 | |
India — 0.0% | |||
Think & Learn Private Ltd., Class J-B, (Acquired 12/11/20, Cost: $5,113,105)(f)(g)(h) | 2,279 | — | |
Italy — 1.1% | |||
Ariston Holding NV | 476,063 | 1,961,545 | |
Intesa Sanpaolo SpA | 2,332,817 | 8,669,712 | |
UniCredit SpA | 251,001 | 9,288,548 | |
19,919,805 | |||
Japan — 3.2% | |||
FANUC Corp. | 195,915 | 5,378,397 | |
Honda Motor Co. Ltd. | 377,500 | 4,058,119 | |
Hoya Corp. | 75,486 | 8,827,282 | |
Keyence Corp. | 19,800 | 8,666,023 | |
Komatsu Ltd. | 214,500 | 6,265,444 | |
Mitsubishi UFJ Financial Group, Inc. | 781,900 | 8,438,286 | |
Mitsui & Co. Ltd. | 314,400 | 7,170,401 | |
SMC Corp. | 9,100 | 4,335,756 | |
Sysmex Corp. | 93,200 | 1,504,430 | |
Toyota Motor Corp. | 315,200 | 6,467,104 | |
61,111,242 | |||
Macau — 0.0% | |||
Sands China Ltd.(g) | 74,225 | 154,336 | |
Wynn Macau Ltd. | 628,846 | 514,133 | |
668,469 | |||
Netherlands — 1.4% | |||
ASML Holding NV | 21,082 | 21,486,057 | |
ING Groep NV | 296,592 | 5,096,242 | |
26,582,299 |
Security | Shares | Value | |
South Korea — 0.3% | |||
SK Hynix, Inc. | 37,300 | $ 6,330,129 | |
Spain — 0.9% | |||
Cellnex Telecom SA(a) | 302,532 | 9,839,693 | |
Puig Brands SA, Class B(g) | 271,000 | 7,574,940 | |
17,414,633 | |||
Sweden — 0.0% | |||
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $322,253)(f)(g)(h) | 2,732 | — | |
Switzerland — 0.4% | |||
On Holding AG, Class A(g) | 104,674 | 4,061,351 | |
UBS Group AG, Registered Shares | 108,262 | 3,179,671 | |
7,241,022 | |||
Taiwan — 0.7% | |||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 75,581 | 13,136,734 | |
United Kingdom — 1.9% | |||
AstraZeneca PLC | 50,701 | 7,890,747 | |
AstraZeneca PLC, ADR | 49,772 | 3,881,718 | |
BAE Systems PLC | 836,225 | 13,928,688 | |
Compass Group PLC | 113,795 | 3,100,152 | |
Genius Sports Ltd.(g) | 186,939 | 1,018,818 | |
RELX PLC | 115,222 | 5,279,337 | |
Teya Services Ltd., (Acquired 11/16/21, Cost: $2,398,802)(f)(g)(h) | 1,235 | 318,445 | |
35,417,905 | |||
United States — 39.9% | |||
ACV Auctions, Inc., Class A(g) | 203,406 | 3,712,160 | |
Adobe, Inc.(g) | 17,285 | 9,602,509 | |
Advanced Micro Devices, Inc.(g) | 1,160 | 188,164 | |
AES Corp. | 30,710 | 539,575 | |
Alphabet, Inc., Class C | 175,705 | 32,227,811 | |
Altice USA, Inc., Class A(g) | 37,386 | 76,267 | |
Amazon.com, Inc.(g)(i) | 235,991 | 45,605,261 | |
AMC Networks, Inc., Class A(g) | 9,801 | 94,678 | |
American Tower Corp. | 36,035 | 7,004,483 | |
Apple, Inc. | 57,156 | 12,038,197 | |
Applied Materials, Inc. | 46,040 | 10,864,980 | |
Astra Space, Inc., Class A(g) | 13,702 | 6,896 | |
Autodesk, Inc.(g) | 24,195 | 5,987,053 | |
Bank of America Corp. | 219,229 | 8,718,737 | |
Boston Scientific Corp.(g)(i) | 125,002 | 9,626,404 | |
Boyd Gaming Corp. | 2,409 | 132,736 | |
BP PLC | 73,129 | 440,293 | |
Bunge Global SA | 59,551 | 6,358,260 | |
Caesars Entertainment, Inc.(g) | 19,728 | 783,991 | |
Centuri Holdings, Inc.(g) | 44,646 | 869,704 | |
CF Industries Holdings, Inc. | 90,423 | 6,702,153 | |
Charles Schwab Corp. | 64,891 | 4,781,818 | |
Cheniere Energy, Inc. | 6,166 | 1,078,002 | |
Chevron Corp. | 58,375 | 9,131,018 | |
Citigroup, Inc. | 6,914 | 438,762 | |
Comcast Corp., Class A | 66,064 | 2,587,066 | |
Comerica, Inc. | 3,119 | 159,194 | |
Confluent, Inc., Class A(g) | 253,439 | 7,484,054 | |
ConocoPhillips | 33,551 | 3,837,563 | |
Constellium SE, Class A(g) | 84,946 | 1,601,232 | |
Costco Wholesale Corp. | 11,975 | 10,178,630 | |
CRH PLC | 63,152 | 4,735,137 | |
Crowdstrike Holdings, Inc., Class A(g) | 1,695 | 649,507 | |
Crown PropTech Acquisitions(f)(g) | 69,480 | 5,610 |
Security | Shares | Value | |
United States (continued) | |||
Crown PropTech Acquisitions, Class A(g) | 29,568 | $ 317,560 | |
Customers Bancorp, Inc.(g) | 537 | 25,765 | |
Danaher Corp. | 44,277 | 11,062,608 | |
Davidson Kempner Merchant Co-Investment Fund LP, (Acquired 04/01/21, Cost: $908,457)(h)(j) | — (k) | 4,960,265 | |
Delta Air Lines, Inc. | 123,684 | 5,867,569 | |
Dynatrace, Inc.(g) | 8,800 | 393,712 | |
Eaton Corp. PLC | 3,049 | 956,014 | |
Edwards Lifesciences Corp.(g) | 24,844 | 2,294,840 | |
Eli Lilly & Co. | 17,155 | 15,531,794 | |
Enterprise Products Partners LP | 328,803 | 9,528,711 | |
Epic Games, Inc., (Acquired 03/29/21, Cost: $2,499,240)(f)(g)(h) | 2,824 | 1,694,400 | |
F5, Inc.(g) | 30,129 | 5,189,118 | |
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost: $8,566,971)(f)(g)(h) | 126,282 | 8,286,625 | |
First Citizens BancShares, Inc., Class A | 220 | 370,394 | |
First Horizon Corp. | 7,177 | 113,181 | |
Flyr AS, Series D(f)(g) | 421,209 | 3,003,220 | |
Ford Motor Co. | 29,355 | 368,112 | |
Formentera Partners Fund II LP(f)(j) | — (k) | 3,589,405 | |
Fortive Corp. | 110,603 | 8,195,682 | |
Freeport-McMoRan, Inc.(i) | 222,628 | 10,819,721 | |
Freewire Equity(f)(g) | 45 | — | |
General Motors Co. | 10,095 | 469,014 | |
GLOBALFOUNDRIES, Inc.(g) | 73,546 | 3,718,486 | |
Golden Entertainment, Inc. | 2,119 | 65,922 | |
Goldman Sachs Group, Inc. | 22,121 | 10,005,771 | |
Green Plains, Inc.(g) | 46,023 | 729,925 | |
Hancock Whitney Corp. | 2,099 | 100,395 | |
Hawkeye 360, Series D1(f)(g) | 406,081 | 3,902,438 | |
Hilton Worldwide Holdings, Inc. | 11,838 | 2,583,052 | |
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000)(f)(g)(h) | 2,660,000 | 2,686,600 | |
Ingersoll Rand, Inc. | 44,330 | 4,026,937 | |
International Bancshares Corp. | 854 | 48,857 | |
Intuitive Surgical, Inc.(g) | 17,327 | 7,707,916 | |
Invesco S&P 500 Equal Weight ETF | 19,635 | 3,225,638 | |
Johnson & Johnson | 31,322 | 4,578,024 | |
JPMorgan Chase & Co. | 80,300 | 16,241,478 | |
Lam Research Corp. | 1,050 | 1,118,093 | |
Landbridge Co. LLC, Class A(g) | 39,605 | 916,856 | |
Landsea Homes Corp.(g) | 42,391 | 389,573 | |
Las Vegas Sands Corp. | 11,806 | 522,416 | |
Latch, Inc.(g) | 142,273 | 49,796 | |
Lions Gate Entertainment Corp., Class A(g) | 38,588 | 363,499 | |
Lions Gate Entertainment Corp., Class B(g) | 2,806 | 24,047 | |
LKQ Corp. | 151,506 | 6,301,135 | |
Loar Holdings, Inc.(g) | 533 | 28,468 | |
Marathon Petroleum Corp. | 5,414 | 939,221 | |
Marsh & McLennan Cos., Inc. | 70,566 | 14,869,668 | |
Mastercard, Inc., Class A | 44,986 | 19,846,024 | |
McDonald’s Corp. | 6,216 | 1,584,085 | |
Merck & Co., Inc. | 119,628 | 14,809,946 | |
Meta Platforms, Inc., Class A | 11,841 | 5,970,469 | |
Micron Technology, Inc. | 99,100 | 13,034,623 | |
Microsoft Corp. | 162,082 | 72,442,550 | |
Mirion Technologies, Inc., Class A(g) | 696,512 | 7,480,539 | |
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost: $560,518)(f)(g)(h) | 816 | — | |
New York Community Bancorp, Inc., Class A | 944,700 | 3,041,934 | |
NextEra Energy, Inc.(i) | 168,214 | 11,911,233 |
Security | Shares | Value | |
United States (continued) | |||
NRG Energy, Inc. | 7,344 | $ 571,804 | |
NVIDIA Corp. | 241,760 | 29,867,030 | |
Oracle Corp. | 84,527 | 11,935,212 | |
Palladyne AI Corp(g) | 7,517 | 12,027 | |
Paramount Global, Class B | 13,724 | 142,592 | |
Park Hotels & Resorts, Inc. | 21,852 | 327,343 | |
Playstudios, Inc., Class A(g) | 226,924 | 469,733 | |
Progressive Corp. | 66,929 | 13,901,823 | |
RXO, Inc.(g) | 5,629 | 147,198 | |
Salesforce, Inc. | 4,991 | 1,283,186 | |
Sanofi SA | 57,475 | 5,543,069 | |
Sarcos Technology & Robotics Corp.(g) | 164,721 | 263,554 | |
Screaming Eagle Acquisition Crop., (Acquired 05/14/24, Cost: $1,168,975)(g)(h) | 115,000 | 926,900 | |
Sempra | 199,398 | 15,166,212 | |
ServiceNow, Inc.(g) | 11,320 | 8,905,104 | |
Shell PLC | 454,286 | 16,370,798 | |
Shell PLC, ADR | 9,533 | 688,092 | |
Smith Douglas Homes Corp., Class A(g) | 27,051 | 632,452 | |
Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)(f)(g)(h) | 12,621 | 86,072 | |
Sonder Holdings, Inc., Class A(g) | 11,166 | 51,698 | |
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,663,335), A shares(f)(g)(h) | 20,535 | 1,991,895 | |
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,785,240), C shares(f)(g)(h) | 22,040 | 2,137,880 | |
Stryker Corp. | 18,914 | 6,435,489 | |
Sun Country Airlines Holdings, Inc.(g) | 175,935 | 2,209,744 | |
Tesla, Inc.(g) | 7,146 | 1,414,050 | |
Texas Capital Bancshares, Inc.(g) | 1,817 | 111,091 | |
Thermo Fisher Scientific, Inc. | 19,809 | 10,954,377 | |
TJX Cos., Inc. | 77,941 | 8,581,304 | |
Trane Technologies PLC | 8,646 | 2,843,929 | |
Transocean Ltd.(g) | 255,487 | 1,366,855 | |
U.S. Steel Corp. | 118,549 | 4,481,152 | |
UnitedHealth Group, Inc. | 36,963 | 18,823,777 | |
Valero Energy Corp. | 28,190 | 4,419,064 | |
Veralto Corp. | 62,016 | 5,920,668 | |
Vertex Pharmaceuticals, Inc.(g) | 3,823 | 1,791,917 | |
Visa, Inc., Class A | 15,139 | 3,973,533 | |
Vistra Corp. | 47,953 | 4,122,999 | |
Volato Group, Inc., Class A Lock Up(g) | 14,397 | 8,416 | |
Walmart, Inc. | 204,978 | 13,879,060 | |
Walt Disney Co. | 62,107 | 6,166,604 | |
Waystar Holding Corp.(g) | 12,400 | 266,600 | |
Wells Fargo & Co. | 129,091 | 7,666,714 | |
Wynn Resorts Ltd. | 8,000 | 716,000 | |
754,126,246 | |||
Total Common Stocks — 55.4% (Cost: $840,382,849) | 1,047,818,197 |
Par (000) | |||
Corporate Bonds | |||
Argentina — 0.0% | |||
YPF SA, 9.50%, 01/17/31(a) | USD | 221 | 224,536 |
Security | Par (000) | Value | |
Australia — 0.4% | |||
Mineral Resources Ltd., 9.25%, 10/01/28(a) | USD | 255 | $ 267,631 |
Oceana Australian Fixed Income Trust, A Note Upsize(f) | |||
12.00%, 07/31/25 | AUD | 1,881 | 1,254,815 |
12.50%, 07/31/26 | 2,822 | 1,888,392 | |
12.50%, 07/31/27 | 4,703 | 3,160,901 | |
6,571,739 | |||
Belgium — 0.0% | |||
Anheuser-Busch InBev SA, 4.00%, 09/24/25(d) | GBP | 100 | 124,659 |
KBC Group NV, (1-year UK Government Bond + 0.92%), 1.25%, 09/21/27(b)(d) | 100 | 115,627 | |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(a) | USD | 200 | 189,460 |
429,746 | |||
Brazil — 0.1% | |||
Azul Secured Finance LLP, 11.93%, 08/28/28(a) | 207 | 200,855 | |
Banco Votorantim SA, 4.50%, 09/24/24(d) | 243 | 241,644 | |
Braskem Netherlands Finance BV, (5-year CMT + 8.22%), 8.50%, 01/23/81(a)(b) | 354 | 354,664 | |
Cosan Luxembourg SA, 7.25%, 06/27/31(a) | 235 | 237,115 | |
MC Brazil Downstream Trading SARL, 7.25%, 06/30/31(d) | 190 | 168,331 | |
Samarco Mineracao SA, (9.00% PIK), 9.00%, 06/30/31(d)(l) | 220 | 203,658 | |
St Marys Cement, Inc./Canada, 5.75%, 04/02/34(a) | 200 | 197,360 | |
Vale Overseas Ltd., 6.40%, 06/28/54 | 190 | 188,043 | |
1,791,670 | |||
Canada — 0.7% | |||
Garda World Security Corp., 9.50%, 11/01/27(a) | 425 | 426,967 | |
HR Ottawa LP, 11.00%, 03/31/31(a) | 9,658 | 10,550,351 | |
Rogers Communications, Inc., 3.80%, 03/15/32 | 2,675 | 2,390,116 | |
Toronto-Dominion Bank, 2.88%, 04/05/27(d) | GBP | 100 | 118,726 |
13,486,160 | |||
Chile — 0.1% | |||
AES Andes SA, (5-year CMT + 3.84%), 8.15%, 06/10/55(a)(b) | USD | 285 | 284,430 |
Empresa Nacional del Petroleo, 6.15%, 05/10/33(a) | 200 | 199,600 | |
Engie Energia Chile SA, 3.40%, 01/28/30(d) | 395 | 344,761 | |
Kenbourne Invest SA, 6.88%, 11/26/24(a) | 300 | 127,500 | |
956,291 | |||
China — 0.2% | |||
Fantasia Holdings Group Co. Ltd.(d) | |||
6.95%, 12/17/21 | 320 | 3,200 | |
11.75%, 04/17/22(g)(m) | 520 | 5,200 | |
9.25%, 07/28/23(g)(m) | 1,200 | 13,800 | |
Fortune Star BVI Ltd., 5.05%, 01/27/27(d) | 200 | 180,562 | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30 | 3,260 | 2,946,388 | |
3,149,150 | |||
Costa Rica — 0.0% | |||
Liberty Costa Rica Senior Secured Finance, 10.88%, 01/15/31(a) | 211 | 223,792 | |
Dominican Republic — 0.0% | |||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(a) | 272 | 279,140 |
Security | Par (000) | Value | |
France — 0.2% | |||
Atos SE(d) | |||
0.00%, 11/06/24(n) | EUR | 100 | $ 13,922 |
1.75%, 05/07/25 | 100 | 12,787 | |
2.50%, 11/07/28 | 100 | 13,922 | |
1.00%, 11/12/29 | 200 | 29,491 | |
Bertrand Franchise Finance SAS(d) | |||
6.50%, 07/18/30 | 100 | 107,818 | |
(3-mo. EURIBOR + 3.75%), 7.49%, 07/18/30(b) | 235 | 252,781 | |
BNP Paribas SA(d) | |||
3.38%, 01/23/26 | GBP | 100 | 122,631 |
1.88%, 12/14/27 | 100 | 113,349 | |
Lion/Polaris Lux 4 SA, 07/01/29(b)(c)(d) | EUR | 165 | 176,707 |
Picard Groupe SAS, 07/01/29(c)(d) | 175 | 187,193 | |
RCI Banque SA, 10/09/34(b)(c)(d) | 200 | 213,668 | |
Sabena Technics Sas, (Acquired 10/28/22, Cost: $2,050,153), 8.72%, 09/30/29(f)(h) | 2,085 | 2,232,661 | |
Societe Generale SA, 1.88%, 10/03/24(d) | GBP | 100 | 125,190 |
TotalEnergies Capital International SA, 1.66%, 07/22/26(d) | 100 | 118,805 | |
Worldline SA/France, 0.00%, 07/30/26(d)(n)(o) | EUR | 120 | 118,958 |
3,839,883 | |||
Germany — 0.3% | |||
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(a) | 936 | 998,159 | |
APCOA Parking Holdings GmbH, (3-mo. EURIBOR + 5.00%), 8.91%, 01/15/27(a)(b) | 852 | 914,389 | |
Fraport AG Frankfurt Airport Services Worldwide, 4.25%, 06/11/32(d) | 225 | 243,017 | |
Lanxess AG, (13.35% PIK), 13.35%, 03/31/31(f)(l) | 3,322 | 3,504,992 | |
PrestigeBidCo GmbH, 07/01/29(b)(c)(d) | 135 | 145,663 | |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(d)(l) | 371 | 294,725 | |
Volkswagen Financial Services NV, 1.88%, 12/03/24(d) | GBP | 100 | 124,558 |
6,225,503 | |||
Ghana — 0.0% | |||
Kosmos Energy Ltd., 7.50%, 03/01/28(d) | USD | 202 | 192,721 |
Hong Kong(d) — 0.2% | |||
FWD Group Holdings Ltd., 8.40%, 04/05/29 | 4,076 | 4,165,162 | |
Melco Resorts Finance Ltd., 5.38%, 12/04/29 | 250 | 224,499 | |
4,389,661 | |||
India — 0.1% | |||
CA Magnum Holdings, 5.38%, 10/31/26(d) | 200 | 191,312 | |
Continuum Energy Pte. Ltd., 09/13/27(a)(c)(f) | 789 | 789,000 | |
Muthoot Finance Ltd., 7.13%, 02/14/28(a) | 234 | 236,413 | |
Network i2i Ltd., (5-year CMT + 3.39%), 3.98%, 12/31/79(b)(d) | 300 | 285,300 | |
ReNew Pvt Ltd., 5.88%, 03/05/27(d) | 200 | 193,706 | |
Vedanta Resources Finance II PLC(d) | |||
13.88%, 01/21/27 | 94 | 92,561 | |
13.88%, 12/09/28 | 246 | 236,275 | |
2,024,567 | |||
Indonesia(d) — 0.0% | |||
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26 | 300 | 301,875 | |
Pertamina Persero PT, 3.65%, 07/30/29 | 354 | 328,999 | |
630,874 |
Security | Par (000) | Value | |
Ireland — 0.0% | |||
ASG Finance Designated Activity Co., 9.75%, 05/15/29(a) | USD | 216 | $ 215,460 |
Israel(a)(d) — 0.0% | |||
Energean Israel Finance Ltd., 8.50%, 09/30/33 | 161 | 152,336 | |
Leviathan Bond Ltd., 6.75%, 06/30/30 | 52 | 45,814 | |
198,150 | |||
Italy — 0.4% | |||
A2A SpA, (5-year EURIBOR ICE Swap + 2.26%), 5.00%(b)(d)(p) | EUR | 200 | 212,316 |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(d) | 704 | 777,337 | |
Fiber Midco SpA, (10.00% PIK), 10.00%, 06/15/29(d)(l) | 196 | 209,539 | |
Forno d’Asolo SpA, (3-mo. EURIBOR + 5.50%), 9.21%, 04/30/27(a)(b) | 3,040 | 3,213,365 | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(b)(d) | 190 | 204,986 | |
Lottomatica SpA/Roma(d) | |||
5.38%, 06/01/30 | 100 | 108,434 | |
(3-mo. EURIBOR + 3.25%), 7.05%, 06/01/31(b) | 142 | 154,175 | |
Marcolin SpA, 6.13%, 11/15/26(a) | 540 | 581,667 | |
Pachelbel Bidco SpA(d) | |||
7.13%, 05/17/31 | 137 | 151,489 | |
(3-mo. EURIBOR + 4.25%), 8.07%, 05/17/31(b) | 126 | 136,815 | |
Shiba Bidco SpA, 4.50%, 10/31/28(a) | 1,882 | 1,952,493 | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34(d) | 200 | 210,902 | |
7,913,518 | |||
Japan — 0.3% | |||
Rakuten Group, Inc., 9.75%, 04/15/29(a) | USD | 3,454 | 3,560,210 |
SoftBank Group Corp.(c)(d) | |||
01/08/29 | EUR | 531 | 568,675 |
07/08/32 | 529 | 566,533 | |
4,695,418 | |||
Jersey — 0.1% | |||
Aston Martin Capital Holdings Ltd. | |||
10.00%, 03/31/29(a) | USD | 1,164 | 1,146,901 |
10.38%, 03/31/29(d) | GBP | 139 | 174,392 |
1,321,293 | |||
Kuwait — 0.0% | |||
MEGlobal BV, 4.25%, 11/03/26(d) | USD | 297 | 287,385 |
Luxembourg(a) — 0.1% | |||
Herens Midco SARL, 5.25%, 05/15/29 | EUR | 1,006 | 832,273 |
Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26 | 718 | 760,292 | |
1,592,565 | |||
Macau(d) — 0.0% | |||
MGM China Holdings Ltd., 5.88%, 05/15/26 | USD | 250 | 247,110 |
Studio City Co. Ltd., 7.00%, 02/15/27 | 300 | 299,531 | |
546,641 | |||
Mexico — 0.1% | |||
Braskem Idesa SAPI, 6.99%, 02/20/32(a) | 200 | 152,200 | |
Petroleos Mexicanos | |||
4.25%, 01/15/25 | 55 | 54,285 | |
8.75%, 06/02/29 | 340 | 333,691 |
Security | Par (000) | Value | |
Mexico (continued) | |||
Petroleos Mexicanos (continued) | |||
5.95%, 01/28/31 | USD | 309 | $ 248,359 |
6.70%, 02/16/32 | 219 | 183,231 | |
971,766 | |||
Morocco — 0.0% | |||
OCP SA, 7.50%, 05/02/54(a) | 317 | 322,998 | |
Netherlands — 0.1% | |||
ING Groep NV, 3.00%, 02/18/26(d) | GBP | 100 | 122,195 |
Q-Park Holding I BV, 02/15/30(c)(d) | EUR | 239 | 255,317 |
Sigma Holdco BV, 5.75%, 05/15/26(d) | 382 | 401,126 | |
Sunrise FinCo I BV, 4.88%, 07/15/31(a) | USD | 380 | 345,046 |
Trivium Packaging Finance BV, 8.50%, 08/15/27(a) | 267 | 265,008 | |
1,388,692 | |||
Panama — 0.0% | |||
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(d) | 245 | 212,294 | |
Peru — 0.0% | |||
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA, 07/03/36(a)(c) | 155 | 154,641 | |
Saudi Arabia — 0.0% | |||
EIG Pearl Holdings SARL, 3.55%, 08/31/36(a) | 317 | 272,422 | |
South Africa — 0.0% | |||
Sasol Financing USA LLC, 6.50%, 09/27/28 | 200 | 190,312 | |
South Korea(a) — 0.0% | |||
LG Electronics, Inc. | |||
5.63%, 04/24/27 | 200 | 200,625 | |
5.63%, 04/24/29 | 200 | 201,812 | |
402,437 | |||
Spain(d) — 0.1% | |||
Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(b) | GBP | 300 | 367,499 |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29 | EUR | 187 | 194,260 |
Telefonica Emisiones SA, 5.38%, 02/02/26 | GBP | 133 | 168,292 |
730,051 | |||
Sweden — 0.1% | |||
Intrum AB, 3.00%, 09/15/27(d) | EUR | 367 | 253,133 |
Verisure Holding AB | |||
3.25%, 02/15/27(d) | 751 | 772,112 | |
7.13%, 02/01/28(a) | 414 | 462,438 | |
Verisure Midholding AB, 5.25%, 02/15/29(d) | 751 | 784,576 | |
2,272,259 | |||
Switzerland — 0.1% | |||
UBS Group AG, (1-year EURIBOR ICE Swap + 0.77%), 0.65%, 01/14/28(b)(d) | 2,200 | 2,179,144 | |
Thailand(a) — 0.0% | |||
Bangkok Bank PCL/Hong Kong | |||
5.30%, 09/21/28 | USD | 241 | 240,470 |
5.50%, 09/21/33 | 200 | 198,404 | |
438,874 | |||
Turkey — 0.0% | |||
Sisecam U.K. PLC, 8.25%, 05/02/29(a) | 376 | 381,522 | |
Ukraine — 0.0% | |||
Metinvest BV, 7.65%, 10/01/27(d) | 200 | 138,158 |
Security | Par (000) | Value | |
Ukraine (continued) | |||
NAK Naftogaz Ukraine via Kondor Finance PLC | |||
7.13%, 07/19/26(d) | EUR | 218 | $ 192,610 |
7.63%, 11/08/28(a) | USD | 231 | 173,250 |
504,018 | |||
United Arab Emirates — 0.2% | |||
DAE Funding LLC, 1.55%, 08/01/24(d) | 332 | 330,340 | |
DP World Salaam, (5-year CMT + 5.75%), 6.00%(b)(d)(p) | 352 | 349,690 | |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.13%, 07/31/26(a) | 333 | 330,919 | |
Shelf Drilling Holdings Ltd., 9.63%, 04/15/29(a) | 1,954 | 1,863,627 | |
2,874,576 | |||
United Kingdom — 0.4% | |||
10X future Technologies Service Ltd., (Acquired 12/19/23, Cost: $1,609,686), 06/19/26(c)(f)(h)(l) | GBP | 1,301 | 1,727,122 |
Barclays PLC(d) | |||
3.00%, 05/08/26 | 100 | 121,193 | |
3.25%, 02/12/27 | 100 | 119,594 | |
BCP V Modular Services Finance II PLC, 6.13%, 11/30/28(a) | 955 | 1,100,980 | |
BCP V Modular Services Finance PLC, 6.75%, 11/30/29(a) | EUR | 1,912 | 1,725,151 |
CPUK Finance Ltd., 7.88%, 08/28/29(d) | GBP | 106 | 136,340 |
Deuce Finco PLC, 5.50%, 06/15/27(a) | 345 | 416,805 | |
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(b) | 100 | 117,450 | |
Informa PLC, 3.13%, 07/05/26(d) | 100 | 120,780 | |
Kane Bidco Ltd., 6.50%, 02/15/27(a) | 699 | 861,542 | |
Lloyds Banking Group PLC, 2.25%, 10/16/24(d) | 100 | 125,143 | |
NatWest Group PLC(b)(d) | |||
(1-year GBP Swap + 1.49%), 2.88%, 09/19/26 | 100 | 122,259 | |
(1-year GBP Swap + 2.01%), 3.13%, 03/28/27 | 100 | 121,598 | |
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(d) | 100 | 123,532 | |
Thames Water Utilities Finance PLC, 4.00%, 06/19/25(d) | 370 | 421,460 | |
7,360,949 | |||
United States — 8.1% | |||
AbbVie, Inc. | |||
3.20%, 11/21/29 | USD | 2,165 | 1,986,609 |
5.05%, 03/15/34 | 1,169 | 1,165,581 | |
Affinity Interactive, 6.88%, 12/15/27(a) | 1,000 | 881,760 | |
Alexander Funding Trust II, 7.47%, 07/31/28(a) | 130 | 137,559 | |
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 | 2,370 | 1,919,425 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(a) | 499 | 495,954 | |
AMC Networks, Inc. | |||
10.25%, 01/15/29(a) | 856 | 843,331 | |
4.25%, 02/15/29 | 1,272 | 858,115 | |
4.25%, 02/15/29(a)(n) | 655 | 629,353 | |
Amgen, Inc. | |||
5.50%, 12/07/26(d) | GBP | 100 | 127,487 |
4.05%, 08/18/29 | USD | 3,355 | 3,208,979 |
Amkor Technology, Inc., 6.63%, 09/15/27(a) | 400 | 401,063 | |
Aon North America, Inc., 5.30%, 03/01/31 | 3,745 | 3,734,116 | |
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 | 3,000 | 2,601,074 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(a) | |||
4.13%, 08/15/26 | 2,842 | 2,466,761 | |
5.25%, 08/15/27 | 202 | 125,305 |
Security | Par (000) | Value | |
United States (continued) | |||
AT&T, Inc. | |||
2.90%, 12/04/26 | GBP | 100 | $ 119,828 |
5.50%, 03/15/27(d) | 50 | 63,326 | |
Bank of America Corp., (1-day SOFR + 1.53%), 1.90%, 07/23/31(b) | USD | 3,340 | 2,751,126 |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(a) | 40 | 40,950 | |
BG Energy Capital PLC, 5.13%, 12/01/25(d) | GBP | 133 | 167,547 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(a) | USD | 827 | 828,841 |
Breeze Aviation Group, Inc., (20.00% PIK), 20.00%, 01/30/28(f)(h)(l) | 1,867 | 1,896,457 | |
Broadcom, Inc., 3.42%, 04/15/33(a) | 2,615 | 2,254,519 | |
Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.75%, 07/15/28(a) | 1,000 | 946,961 | |
Cinemark Holdings, Inc., 4.50%, 08/15/25(n) | 4,035 | 6,380,546 | |
Citigroup, Inc. | |||
1.75%, 10/23/26 | GBP | 100 | 117,182 |
(1-day SOFR + 1.36%), 5.17%, 02/13/30(b) | USD | 1,102 | 1,095,581 |
Citizens Bank NA/Providence RI, (1-day SOFR + 1.45%), 6.06%, 10/24/25(b) | 250 | 249,861 | |
Cloud Software Group, Inc.(a) | |||
6.50%, 03/31/29 | 280 | 268,888 | |
9.00%, 09/30/29 | 500 | 485,110 | |
Clydesdale Acquisition Holdings, Inc., 8.75%, 04/15/30(a) | 756 | 739,863 | |
CommScope Technologies LLC, 6.00%, 06/15/25(a) | 475 | 387,002 | |
CommScope, Inc., 6.00%, 03/01/26(a) | 441 | 387,000 | |
CSC Holdings LLC(a) | |||
5.50%, 04/15/27 | 2,040 | 1,654,725 | |
11.25%, 05/15/28 | 448 | 390,157 | |
11.75%, 01/31/29 | 985 | 840,061 | |
DISH DBS Corp., 5.88%, 11/15/24 | 866 | 822,321 | |
DISH Network Corp.(n) | |||
0.00%, 12/15/25(o) | 1,286 | 945,342 | |
3.38%, 08/15/26 | 174 | 107,908 | |
EquipmentShare.com, Inc., 9.00%, 05/15/28(a) | 1,576 | 1,626,391 | |
Flyr Secured Notes, (10.33% PIK), 10.33%, 05/10/27(f)(l) | 1,151 | 1,109,113 | |
Forestar Group, Inc., 5.00%, 03/01/28(a) | 1,950 | 1,869,521 | |
Freed Corp., 12.00%, 11/30/28(f) | 9,488 | 9,429,247 | |
Freewire Technology Notes, (6.00% PIK), 6.00%, 02/20/28(f)(l) | 2,713 | — | |
Frontier Communications Holdings LLC(a) | |||
8.75%, 05/15/30 | 1,250 | 1,288,053 | |
8.63%, 03/15/31 | 700 | 721,089 | |
Frontier Florida LLC, Series E, 6.86%, 02/01/28 | 845 | 847,113 | |
Full House Resorts, Inc., 8.25%, 02/15/28(a) | 172 | 164,783 | |
General Motors Co., 5.60%, 10/15/32 | 1,265 | 1,265,280 | |
Goldman Sachs Group, Inc., 7.25%, 04/10/28 | GBP | 50 | 67,515 |
GoTo Group, Inc., 5.50%, 05/01/28(a) | USD | 1,673 | 1,004,153 |
HCA, Inc., 3.63%, 03/15/32 | 2,120 | 1,867,430 | |
Howard Hughes Corp.(a) | |||
4.13%, 02/01/29 | 1,002 | 896,072 | |
4.38%, 02/01/31 | 1,102 | 948,881 | |
Insight M, Inc., 7.00%, 01/25/29(f) | 671 | 704,875 | |
JPMorgan Chase & Co.(b) | |||
(1-day SOFR + 1.62%), 5.34%, 01/23/35 | 548 | 544,724 | |
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(d) | GBP | 100 | 121,890 |
Kraft Heinz Foods Co., 3.75%, 04/01/30 | USD | 3,150 | 2,940,849 |
Landsea Homes Corp., 11.00%, 07/17/28(f) | 9,310 | 9,868,600 | |
Lessen, Inc., 13.82%, 01/05/28(a)(f) | 2,030 | 1,865,747 | |
Level 3 Financing, Inc.(a) | |||
4.63%, 09/15/27 | 770 | 398,071 |
Security | Par (000) | Value | |
United States (continued) | |||
Level 3 Financing, Inc.(a) (continued) | |||
11.00%, 11/15/29 | USD | 671 | $ 686,837 |
Lightning eMotors, Inc., 7.50%, 05/15/24(a)(n) | 945 | 12,533 | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(a) | 2,575 | 2,286,394 | |
Lowe’ s Cos., Inc., 2.63%, 04/01/31 | 2,960 | 2,525,212 | |
Morgan Stanley(b) | |||
(1-day SOFR + 1.02%), 1.93%, 04/28/32 | 3,055 | 2,454,587 | |
(1-day SOFR + 1.73%), 5.47%, 01/18/35 | 441 | 439,849 | |
Nationstar Mortgage Holdings, Inc.(a) | |||
6.00%, 01/15/27 | 181 | 179,070 | |
5.50%, 08/15/28 | 846 | 812,941 | |
5.75%, 11/15/31 | 366 | 344,009 | |
NCR Atleos Corp., 9.50%, 04/01/29(a) | 430 | 464,719 | |
Paramount Global, 7.88%, 07/30/30 | 424 | 433,981 | |
Pfizer Investment Enterprises Pte. Ltd., 4.75%, 05/19/33 | 1,867 | 1,819,054 | |
Pioneer Midco Notes, (10.50% PIK), 10.50%, 11/18/30(a)(f)(l) | 4,510 | 4,515,606 | |
Pitney Bowes, Inc., 6.88%, 03/15/27(a) | 2,370 | 2,238,614 | |
Rand Parent LLC, 8.50%, 02/15/30(a) | 897 | 908,133 | |
Republic Services, Inc., 1.45%, 02/15/31 | 3,080 | 2,442,109 | |
RingCentral, Inc., 8.50%, 08/15/30(a) | 1,430 | 1,492,528 | |
Sabre GLBL, Inc.(a) | |||
8.63%, 06/01/27 | 1,007 | 927,715 | |
11.25%, 12/15/27 | 1,463 | 1,422,154 | |
Sally Holdings LLC/Sally Capital, Inc., 6.75%, 03/01/32 | 810 | 800,221 | |
Seagate HDD Cayman | |||
8.25%, 12/15/29 | 609 | 653,153 | |
8.50%, 07/15/31 | 326 | 351,110 | |
9.63%, 12/01/32 | 550 | 627,352 | |
Service Properties Trust | |||
8.38%, 06/15/29 | 3,356 | 3,298,969 | |
8.88%, 06/15/32 | 2,413 | 2,250,690 | |
Sonder Bridge Notes, (10.00% PIK), 10.00%, 12/31/24(f)(l) | 565 | 543,261 | |
Sonder Holdings, Inc., (14.35% PIK), 14.35%, 12/10/26(f)(l) | 9,505 | 8,364,867 | |
Spirit AeroSystems, Inc.(a) | |||
9.38%, 11/30/29 | 742 | 798,865 | |
9.75%, 11/15/30 | 1,236 | 1,363,451 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(a) | 155 | 113,147 | |
Stem, Inc., 0.50%, 12/01/28(a)(n) | 200 | 79,495 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(a) | 180 | 191,920 | |
Tenneco, Inc., 8.00%, 11/17/28(a) | 1,648 | 1,500,249 | |
Texas Capital Bancshares, Inc., (5-year CMT + 3.15%), 4.00%, 05/06/31(b) | 400 | 362,534 | |
Texas Capital Bank NA, (1-mo. LIBOR US + 4.50%), 9.96%, 09/30/24(a)(b) | 2,238 | 2,233,131 | |
T-Mobile U.S., Inc., 2.70%, 03/15/32 | 2,955 | 2,472,228 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(a) | 424 | 437,605 | |
Transocean, Inc., 8.25%, 05/15/29(a) | 988 | 990,449 | |
Truist Financial Corp., (1-day SOFR + 1.62%), 5.44%, 01/24/30(b) | 451 | 449,825 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(a) | 861 | 843,162 | |
Univision Communications, Inc., 8.00%, 08/15/28(a) | 60 | 58,514 | |
Vantage Drilling International, 9.50%, 02/15/28(a) | 1,352 | 1,372,894 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(a) | 30 | 25,942 |
Security | Par (000) | Value | |
United States (continued) | |||
Verizon Communications, Inc., 1.13%, 11/03/28 | GBP | 100 | $ 108,404 |
Vistra Operations Co. LLC, 7.75%, 10/15/31(a) | USD | 405 | 421,763 |
Westbay, 11.00%, 02/06/30(f) | 9,314 | 9,314,000 | |
Zayo Group Holdings, Inc., 4.00%, 03/01/27(a) | 568 | 454,267 | |
151,960,484 | |||
Zambia — 0.0% | |||
First Quantum Minerals Ltd., 9.38%, 03/01/29(a) | 200 | 209,250 | |
Total Corporate Bonds — 12.4% (Cost: $237,751,933) | 234,012,552 | ||
Fixed Rate Loan Interests | |||
India — 0.1% | |||
Vedanta Hold Mauritius II Ltd., Delayed Draw Term Loan, 18.00%, 04/17/26(f) | 1,847 | 1,841,977 | |
United States(f) — 0.6% | |||
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28 | 2,975 | 2,988,355 | |
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27 | 6,480 | 6,451,789 | |
OD Intermediate SUBI Holdco II LLC, Mezzanine Term Loan, 10.00%, 04/01/26 | 1,332 | 1,300,669 | |
10,740,813 | |||
Total Fixed Rate Loan Interests — 0.7% (Cost: $12,558,482) | 12,582,790 | ||
Floating Rate Loan Interests(b) | |||
Belgium — 0.0% | |||
Finco Utilitas BV, EUR Term Loan B, 09/26/30(q) | 520 | 555,958 | |
Colombia — 0.2% | |||
Ecopetrol SA, 2023 Term Loan, (6-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.00%, 09/06/30(f) | 3,600 | 3,688,920 | |
France — 0.1% | |||
HomeVi S.a.S., 2024 EUR Term Loan B, 10/31/29(q) | EUR | 1,000 | 1,049,532 |
Germany — 0.1% | |||
Apleona Holding GmbH, 2024 EUR Term Loan B3, 04/28/28(q) | 1,200 | 1,285,391 | |
Ireland — 0.1% | |||
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo. EURIBOR + 3.75%), 7.35%, 05/17/27(f) | 2,712 | 2,896,780 | |
Jersey(f) — 0.4% | |||
Vita Global Finco Ltd. | |||
EUR Term Loan B, (6-mo. EURIBOR at 0.00% Floor + 7.00%), 10.74%, 07/06/27 | 4,654 | 4,766,594 | |
GBP Incremental Term Loan, (1-day SONIA + 7.00%), 12.19%, 07/06/27 | GBP | 2,850 | 3,448,974 |
8,215,568 | |||
Luxembourg(f) — 0.2% | |||
Euro Parfums Fze, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 6.75%), 11.98%, 06/23/28 | USD | 603 | 603,000 |
Speed Midco 3 S.a r.l., EUR Term Loan B2, (3-mo. EURIBOR + 4.95%), 8.66%, 05/16/29 | EUR | 2,566 | 2,734,275 |
3,337,275 |
Security | Par (000) | Value | |
Netherlands — 0.4% | |||
Cypher Bidco BV, EUR Term Loan, (6-mo. EURIBOR + 4.50%), 8.34%, 03/01/28(f) | EUR | 1,827 | $ 1,881,595 |
Median BV, 2021 EUR Term Loan B, 10/14/27(q) | 982 | 1,031,953 | |
Peer Holding III BV, 2024 EUR Term Loan B6, 06/20/31(q) | 2,400 | 2,564,498 | |
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA at 0.00% Floor + 5.75%), 10.98%, 01/03/28 | GBP | 1,388 | 1,748,306 |
7,226,352 | |||
Norway — 0.0% | |||
Sector Alarm Holding AS, 2024 EUR Term Loan B, 06/12/29(q) | EUR | 407 | 434,262 |
Spain(q) — 0.1% | |||
Aernnova Aerospace S.A.U, 2024 EUR Term Loan B, 02/27/30 | 1,303 | 1,388,005 | |
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan B, 06/13/31 | 741 | 791,833 | |
2,179,838 | |||
United States — 3.6% | |||
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 1.50% Floor + 6.88%), 12.22%, 12/21/27(f) | USD | 3,144 | 3,077,464 |
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.40%, 02/01/30 | 2,548 | 2,484,945 | |
CML Hyatt Lost Pines, Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.55%), 8.87%, 09/09/26(f) | 5,000 | 5,000,000 | |
CML La Quinta Resort, Term Loan, (1-mo. CME Term SOFR + 3.20%), 8.53%, 12/09/26(f) | 6,109 | 6,108,840 | |
Coreweave Compute Acquisition Co. II, LLC(f) | |||
2024 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 6.00%), 11.33%, 05/16/29 | 18 | 17,670 | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor +9.62%), 14.90%, 06/30/28 | 7,357 | 7,347,862 | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | 369 | 366,768 | |
ECL Entertainment LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/31/30 | 3,464 | 3,472,805 | |
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 07/10/28(f) | 373 | 364,521 | |
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 05/01/28(f) | 3,734 | 3,645,208 | |
Emerald Electronics Manufacturing Services, Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.40%), 11.75%, 12/29/27(f) | 1,123 | 988,152 | |
Galaxy Universal LLC, 1st Lien Term Loan, (6-mo. CME Term SOFR at 1.00% Floor + 6.50%), 11.79%, 11/12/26(f) | 13,025 | 12,894,543 | |
GoTo Group, Inc. | |||
2024 First Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | 1,126 | 992,717 | |
2024 Second Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | 879 | 441,404 |
Security | Par (000) | Value | |
United States (continued) | |||
Green Plains Operating Co. LLC, Term Loan, (3-mo. LIBOR US at 0.00% Floor + 8.00%), 13.60%, 07/20/26(f) | USD | 6,556 | $ 6,474,388 |
Helios Service Partners LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27(f) | 617 | 612,839 | |
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 5.61%), 10.96%, 10/25/28(f) | 1,867 | 1,502,703 | |
Indy U.S. Holdco LLC, 2024 EUR Term Loan B, 03/06/28(q) | EUR | 2,000 | 2,137,896 |
Level 3 Financing Inc., 2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | USD | 426 | 416,909 |
Lumen Technologies, Inc., 2024 Term Loan A, 06/01/28(q) | 1 | 596 | |
Maverick Gaming LLC | |||
2024 PIK Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 12.80%, 06/03/28 | 516 | 495,406 | |
2024 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 12.80%, 06/03/28 | 825 | 577,647 | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.44%, 11/01/29 | 1,052 | 713,603 | |
Nidda Healthcare Holding GmbH, 2024 EUR Term Loan B3, 02/21/30(q) | 1,439 | 1,541,520 | |
Orion Group Holdco LLC(f) | |||
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | 117 | 116,887 | |
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | 524 | 524,077 | |
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27 | 946 | 939,748 | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%), 11.60%, 03/19/27 | 198 | 195,734 | |
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 1,171 | 1,171,392 | |
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 100 | 100,202 | |
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 20 | 19,553 | |
Project Montage(f) | |||
PIK Revolver, 0.00%, 02/16/29 | 66 | 65,808 | |
PIK Term Loan, (Prime + 5.00%), 13.50%, 02/16/29 | 1,185 | 1,184,538 | |
Quartz Acquireco LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 06/28/30(f) | 174 | 173,688 | |
Redstone Holdco 2 LP | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.86%), 13.21%, 04/27/29 | 620 | 496,000 |
Security | Par (000) | Value | |
United States (continued) | |||
Redstone Holdco 2 LP (continued) | |||
2021 Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 04/27/28 | USD | 1,981 | $ 1,765,715 |
Waystar Technologies, Inc., 2024 USD Term Loan B, 10/22/29(q) | 18 | 18,000 | |
Xerox Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 11/17/29 | 88 | 87,558 | |
68,535,306 | |||
Total Floating Rate Loan Interests — 5.2% (Cost: $101,504,518) | 99,405,182 | ||
Foreign Agency Obligations | |||
Bahrain — 0.0% | |||
Bahrain Government International Bond, 5.45%, 09/16/32(d) | 257 | 235,798 | |
Brazil — 0.5% | |||
Brazil Letras do Tesouro Nacional, 0.00%, 07/01/24(o) | BRL | 55 | 9,750,062 |
Brazilian Government International Bond, 7.13%, 05/13/54 | USD | 210 | 202,755 |
9,952,817 | |||
Chile — 0.0% | |||
Chile Government International Bond, 4.34%, 03/07/42 | 278 | 239,978 | |
Colombia — 0.0% | |||
Colombia Government International Bond, 8.00%, 04/20/33 | 224 | 232,176 | |
Costa Rica — 0.0% | |||
Costa Rica Government International Bond, 7.30%, 11/13/54(a) | 210 | 218,794 | |
Dominican Republic — 0.1% | |||
Dominican Republic International Bond | |||
5.95%, 01/25/27(d) | 517 | 513,898 | |
4.50%, 01/30/30(a) | 420 | 382,725 | |
02/03/31(a)(c) | 272 | 279,990 | |
1,176,613 | |||
Egypt — 0.0% | |||
Egypt Government International Bond | |||
5.63%, 04/16/30(d) | EUR | 214 | 183,347 |
7.63%, 05/29/32(d) | USD | 219 | 178,690 |
8.50%, 01/31/47(a) | 200 | 148,000 | |
510,037 | |||
Guatemala(a) — 0.1% | |||
Guatemala Government Bond | |||
7.05%, 10/04/32 | 210 | 219,647 | |
6.60%, 06/13/36 | 230 | 230,431 | |
4.65%, 10/07/41 | 351 | 274,877 | |
724,955 | |||
Honduras — 0.0% | |||
Honduras Government International Bond, 5.63%, 06/24/30(a) | 195 | 166,177 |
Security | Par (000) | Value | |
Hungary — 0.1% | |||
Hungary Government International Bond | |||
5.38%, 09/12/33(d) | EUR | 319 | $ 353,624 |
5.50%, 03/26/36(a) | USD | 200 | 192,250 |
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(d) | EUR | 254 | 286,048 |
831,922 | |||
Indonesia — 0.0% | |||
Indonesia Government International Bond | |||
4.10%, 04/24/28 | USD | 253 | 242,948 |
6.75%, 01/15/44(d) | 283 | 327,130 | |
570,078 | |||
Ivory Coast(d) — 0.0% | |||
Ivory Coast Government International Bond | |||
6.38%, 03/03/28 | 309 | 298,571 | |
5.88%, 10/17/31 | EUR | 251 | 242,180 |
540,751 | |||
Jordan — 0.0% | |||
Jordan Government International Bond, 4.95%, 07/07/25(d) | USD | 200 | 194,688 |
Kenya — 0.0% | |||
Republic of Kenya Government International Bond, 9.75%, 02/16/31(a) | 249 | 237,173 | |
Mexico — 0.1% | |||
Mexico Government International Bond | |||
2.66%, 05/24/31 | 594 | 488,565 | |
6.35%, 02/09/35 | 313 | 314,721 | |
6.34%, 05/04/53 | 200 | 188,200 | |
991,486 | |||
Montenegro — 0.0% | |||
Montenegro Government International Bond, 2.88%, 12/16/27(d) | EUR | 186 | 183,199 |
Morocco — 0.0% | |||
Morocco Government International Bond, 5.95%, 03/08/28(a) | USD | 200 | 200,500 |
Nigeria — 0.0% | |||
Nigeria Government International Bond | |||
8.38%, 03/24/29(a) | 353 | 330,937 | |
7.63%, 11/28/47(d) | 244 | 177,510 | |
508,447 | |||
Oman(d) — 0.0% | |||
Oman Government International Bond | |||
6.50%, 03/08/47 | 219 | 218,453 | |
6.75%, 01/17/48 | 227 | 231,185 | |
449,638 | |||
Panama — 0.1% | |||
Panama Government International Bond | |||
7.50%, 03/01/31 | 352 | 368,170 | |
6.40%, 02/14/35 | 374 | 354,552 | |
722,722 | |||
Paraguay — 0.0% | |||
Paraguay Government International Bond, 2.74%, 01/29/33(d) | 395 | 317,728 |
Security | Par (000) | Value | |
Peru — 0.1% | |||
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25(d) | USD | 406 | $ 400,072 |
Peruvian Government International Bond | |||
2.78%, 01/23/31 | 250 | 214,125 | |
1.86%, 12/01/32 | 467 | 353,753 | |
967,950 | |||
Poland — 0.0% | |||
Republic of Poland Government International Bond | |||
4.88%, 10/04/33 | 79 | 77,040 | |
5.50%, 04/04/53 | 245 | 239,801 | |
316,841 | |||
Republic of North Macedonia — 0.0% | |||
North Macedonia Government International Bond, 6.96%, 03/13/27(d) | EUR | 187 | 207,653 |
Romania — 0.1% | |||
Romanian Government International Bond | |||
5.25%, 11/25/27(a) | USD | 76 | 74,632 |
2.50%, 02/08/30(d) | EUR | 366 | 342,604 |
2.12%, 07/16/31(d) | 368 | 317,382 | |
734,618 | |||
Saudi Arabia — 0.0% | |||
Saudi Government International Bond, 5.00%, 01/18/53(a) | USD | 658 | 579,040 |
Senegal — 0.0% | |||
Senegal Government International Bond, 6.25%, 05/23/33(d) | 278 | 232,478 | |
Serbia — 0.0% | |||
Serbia International Bond, 6.00%, 06/12/34(a) | 236 | 232,165 | |
South Africa — 0.0% | |||
Republic of South Africa Government International Bond, 5.88%, 04/20/32 | 380 | 351,975 | |
Spain(a)(d) — 0.3% | |||
Spain Government Bond | |||
2.90%, 10/31/46 | EUR | 2,252 | 2,068,732 |
3.45%, 07/30/66 | 2,440 | 2,316,238 | |
4,384,970 | |||
Trinidad And Tobago — 0.0% | |||
Trinidad & Tobago Government International Bond, 6.40%, 06/26/34(a) | USD | 284 | 282,047 |
Ukraine(g)(m) — 0.0% | |||
Ukraine Government International Bond | |||
7.75%, 09/01/23(d) | 261 | 82,345 | |
8.99%, 02/01/24(d) | 213 | 69,012 | |
7.25%, 03/15/33(a) | 444 | 126,318 | |
277,675 | |||
United Kingdom(d) — 0.3% | |||
United Kingdom Gilt | |||
3.75%, 10/22/53 | GBP | 1,911 | 2,065,851 |
0.50%, 10/22/61 | 10,627 | 3,981,711 | |
6,047,562 |
Security | Par (000) | Value | |
Uruguay — 0.0% | |||
Uruguay Government International Bond, 5.75%, 10/28/34 | USD | 272 | $ 283,485 |
Uzbekistan — 0.0% | |||
Republic of Uzbekistan International Bond, 5.38%, 05/29/27(a) | EUR | 221 | 236,014 |
Total Foreign Agency Obligations — 1.8% (Cost: $38,752,594) | 34,340,150 |
Shares | |||
Investment Companies | |||
United States — 1.1% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(r) | 37,594 | 4,027,069 | |
iShares JP Morgan USD Emerging Markets Bond ETF(r) | 71,155 | 6,295,794 | |
iShares MSCI Brazil ETF(r) | 23,271 | 635,997 | |
iShares Russell 2000 ETF(r) | 9,800 | 1,988,322 | |
iShares Russell Mid-Cap Growth ETF(r) | 3,986 | 439,855 | |
SPDR S&P Biotech ETF | 45,000 | 4,171,950 | |
VanEck J. P. Morgan EM Local Currency Bond ETF | 87,582 | 2,082,700 | |
VanEck Semiconductor ETF(g) | 5,362 | 1,397,873 | |
Total Investment Companies — 1.1% (Cost: $19,939,664) | 21,039,560 |
Par (000) | |||
Municipal Bonds | |||
Florida — 0.0% | |||
Florida Development Finance Corp., Refunding RB, AMT, 12.00%, 07/15/32(a)(b) | USD | 505 | 536,229 |
Puerto Rico(b) — 0.1% | |||
Commonwealth of Puerto Rico, GO | |||
0.00%, 11/01/51 | 4,482 | 2,310,724 | |
Series A-1, 0.00%, 11/01/43 | 314 | 192,413 | |
2,503,137 | |||
Texas — 0.1% | |||
Port of Beaumont Navigation District, Refunding ARB, Series B, 10.00%, 07/01/26(a) | 885 | 887,366 | |
Total Municipal Bonds — 0.2% (Cost: $3,594,037) | 3,926,732 | ||
Non-Agency Mortgage-Backed Securities | |||
United States — 4.4% | |||
Ajax Mortgage Loan Trust(a) | |||
Series 2020-C, Class C, 0.01%, 09/27/60 | 15 | 2,692 | |
Series 2020-C, Class RW, 0.00%, 09/25/60 | 13 | 13,121 | |
Series 2020-D, Class RW, 0.00%, 09/25/60 | 19 | 19,318 | |
Series 2021-E, Class B3, 3.89%, 12/25/60(b) | 950 | 323,294 | |
Series 2021-E, Class SA, 0.00%, 12/25/60(b) | 6 | 2,855 | |
Series 2021-E, Class XS, 0.00%, 12/25/60(b) | 12,833 | 492,351 |
Security | Par (000) | Value | |
United States (continued) | |||
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class AL, (1 mo. Term SOFR + 0.95%), 6.28%, 11/15/32(a)(b) | USD | 2,000 | $ 1,991,326 |
BFLD Trust, Series 2021-EYP, Class E, (1 mo. Term SOFR + 3.81%), 9.14%, 10/15/35(a)(b) | 790 | 45,553 | |
BX Commercial Mortgage Trust(a)(b) | |||
Series 2020-VIV3, Class B, 3.66%, 03/09/44 | 1,600 | 1,412,123 | |
Series 2020-VKNG, Class G, (1 mo. Term SOFR + 3.36%), 8.69%, 10/15/37 | 1,610 | 1,569,846 | |
Series 2021-MFM1, Class G, (1 mo. Term SOFR + 4.01%), 9.34%, 01/15/34 | 1,364 | 1,323,688 | |
BX Trust, Series 2021-VIEW, Class E, (1 mo. Term SOFR + 3.71%), 9.04%, 06/15/36(a)(b) | 614 | 577,846 | |
Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. Term SOFR + 3.61%), 8.93%, 11/15/37(a)(b) | 3,932 | 3,927,609 | |
Commercial Mortgage Trust(b) | |||
Series 2015-CR25, Class C, 4.67%, 08/10/48 | 2,000 | 1,925,675 | |
Series 2019-GC44, Class 180B, 3.51%, 08/15/57(a) | 1,900 | 1,823,093 | |
Credit Suisse Mortgage Capital Certificates Trust(a)(b) | |||
Series 2020-FACT, Class F, (1 mo. Term SOFR + 6.52%), 11.85%, 10/15/37 | 1,700 | 1,492,007 | |
Series 2020-NET, Class D, 3.83%, 08/15/37 | 1,275 | 1,186,847 | |
Series 2021-BHAR, Class E, (1 mo. Term SOFR + 3.61%), 8.94%, 11/15/38 | 2,500 | 2,462,619 | |
Series 2022-LION, Class A, (1 mo. Term SOFR + 3.44%), 8.77%, 02/15/25(f) | 3,400 | 3,293,022 | |
CSMC Trust, Series 2020-FACT, Class E, (1 mo. Term SOFR + 5.23%), 10.56%, 10/15/37(a)(b) | 730 | 662,585 | |
Deephaven Residential Mortgage Trust, Series 2021-1, Class B2, 3.96%, 05/25/65(a)(b) | 1,550 | 1,312,861 | |
FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%, 04/25/28(a)(b) | 437 | 378,534 | |
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, (1 mo. Term SOFR + 3.66%), 8.99%, 10/15/36(a)(b) | 1,540 | 1,472,213 | |
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55(a)(b) | 3,603 | 2,994,498 | |
JP Morgan Mortgage Trust(a)(b) | |||
Series 2021-1, Class A3X, 0.50%, 06/25/51 | 47,666 | 1,342,663 | |
Series 2021-1, Class AX1, 0.12%, 06/25/51 | 193,428 | 1,255,137 | |
Series 2021-1, Class AX4, 0.40%, 06/25/51 | 12,352 | 272,517 | |
Series 2021-1, Class B4, 3.02%, 06/25/51 | 792 | 596,426 | |
Series 2021-1, Class B5, 3.02%, 06/25/51 | 951 | 705,143 | |
Series 2021-1, Class B6, 2.89%, 06/25/51 | 1,536 | 610,902 | |
Series 2021-4, Class B4, 2.90%, 08/25/51 | 1,183 | 872,117 | |
Series 2021-4, Class B5, 2.90%, 08/25/51 | 887 | 607,268 | |
Series 2021-4, Class B6, 2.90%, 08/25/51 | 2,177 | 883,769 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M2, (1 mo. Term SOFR + 0.71%), 6.06%, 06/25/37(a)(b) | 2,735 | 2,266,315 | |
MCM Trust(f) | |||
0.00%, 09/25/31 | 3,287 | 2,151,828 | |
2.50%, 01/01/59(a) | 3,460 | 3,317,906 | |
MED Trust, Series 2021-MDLN, Class G, (1 mo. Term SOFR + 5.36%), 10.69%, 11/15/38(a)(b) | 4,924 | 4,921,785 |
Security | Par (000) | Value | |
United States (continued) | |||
New Residential Mortgage Loan Trust(a)(b) | |||
Series 2019-RPL2, Class B3, 4.01%, 02/25/59 | USD | 9,329 | $ 6,845,728 |
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55 | 1,370 | 1,121,325 | |
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55 | 1,022 | 843,321 | |
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS, 6.46%, 05/25/60(a)(b) | 7,582 | 3,771,346 | |
Seasoned Loans Structured Transaction Trust(a)(b) | |||
Series 2020-2, Class M1, 4.75%, 09/25/60 | 3,437 | 3,294,921 | |
Series 2020-3, Class M1, 4.75%, 04/26/60 | 4,996 | 4,851,153 | |
Starwood Mortgage Residential Trust, Series 2020- INV, Class B2, 4.26%, 11/25/55(a) | 1,225 | 955,771 | |
TVC DSCR(f) | |||
Series 21-1, 0.00%, 02/01/51 | 1,323 | 1,144,089 | |
Series 21-1, Class A, 2.38%, 02/01/51(a) | 3,443 | 3,144,944 | |
Verus Securitization Trust(a)(b) | |||
Series 2020-5, Class B1, 3.71%, 05/25/65 | 2,400 | 2,095,530 | |
Series 2020-5, Class B2, 4.71%, 05/25/65 | 1,400 | 1,210,244 | |
Series 2021-R2, Class B1, 3.25%, 02/25/64 | 2,735 | 2,003,952 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A, (12-mo. MTA + 0.81%), 5.96%, 07/25/47(b) | 1,097 | 859,143 | |
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA, 1.57%, 05/15/52(b) | 22,345 | 1,087,225 | |
Total Non-Agency Mortgage-Backed Securities — 4.4% (Cost: $90,601,586) | 83,738,044 |
Benefical Interest (000) | |||
Other Interests | |||
Canada — 0.2% | |||
Sprott Private Resource Streaming(f)(s) | USD | 4,640 | 3,812,224 |
Total Other Interests — 0.2% (Cost: $4,681,796) | 3,812,224 |
Par (000) | |||
Preferred Securities | |||
Capital Trusts — 0.1%(b) | |||
France — 0.0% | |||
Alstom SA, 5.87%(d)(p) | EUR | 100 | 108,605 |
Mexico — 0.0% | |||
Banco Mercantil del Norte SA, 6.75%(a)(p) | USD | 200 | 198,437 |
United Kingdom — 0.0% | |||
Centrica PLC, 6.50%, 05/21/55(d) | GBP | 125 | 159,592 |
Security | Par (000) | Value | |
United States — 0.1% | |||
Edison International, 7.88%, 06/15/54 | USD | 155 | $ 159,711 |
Paramount Global, 6.38%, 03/30/62 | 1,001 | 884,041 | |
1,043,752 | |||
1,510,386 |
Shares | |||
Preferred Stocks — 3.6%(f) | |||
China — 0.4% | |||
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $4,390,747)(g)(h) | 40,071 | 6,772,400 | |
Finland — 0.1% | |||
Aiven, Series D(g) | 37,890 | 2,246,877 | |
Germany — 0.0% | |||
Volocopter GmbH, Series D, (Acquired 03/03/21, Cost: $4,145,649)(g)(h) | 780 | 9,214 | |
Israel(g)(h) — 0.2% | |||
Deep Instinct Ltd. | |||
Series D-2, (Acquired 03/19/21, Cost: $2,130,236) | 350,490 | 1,549,166 | |
Series D-4, (Acquired 09/20/22, Cost: $2,188,898) | 310,467 | 1,577,172 | |
3,126,338 | |||
United Kingdom — 0.1% | |||
10X future Technologies Service Ltd., Series D, (Acquired 12/19/23, Cost: $3,926,032)(g)(h) | 114,500 | 2,224,644 | |
United States — 2.8% | |||
Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21, Cost: $1,800,187)(g)(h) | 3,333 | 558,377 | |
Bright Machines(g) | |||
Series C | 472,899 | 1,593,670 | |
Series C-1 | 985,059 | 2,383,843 | |
Cap Hill Brands(g) | 1,185,824 | 249,023 | |
Caresyntax, Inc.(g) | |||
Series C-2 | 13,600 | 1,651,856 | |
Series C3 | 1,759 | 187,334 | |
Clarify Health(g) | 345,315 | 1,947,577 | |
Coreweave, Inc., 10.00%, 03/25/49(g)(l) | 1,579,000 | 1,579,000 | |
Databricks, Inc., Series G, (Acquired 02/01/21, Cost: $2,392,693)(g)(h) | 40,470 | 2,974,545 | |
Davidson Homes LLC, 12.00%, 04/01/49(g)(l) | 7,345 | 6,693,131 | |
Dream Finders Homes, Inc., 9.00%, 12/31/49 | 10,172 | 9,714,260 | |
Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $1,482,935)(g)(h) | 253,147 | 498,700 | |
GM Cruise Holdings LLC, Class G, (Acquired 03/25/21, Cost: $1,886,159)(g)(h) | 71,581 | 647,092 | |
Insight M, Inc., Series D(g) | 1,942,003 | 678,342 | |
Jumpcloud, Inc.(g)(h) | |||
Series E-1, (Acquired 10/30/20, Cost: $2,052,443) | 1,125,428 | 2,239,602 | |
Series F, (Acquired 09/03/21, Cost: $443,302) | 74,023 | 147,306 |
Security | Shares | Value | |
United States (continued) | |||
Lessen Holdings, Inc.(g) | 514,906 | $ 2,826,834 | |
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,353,207)(g)(h) | 58,924 | 763,066 | |
Noodle Partners, Inc., Series C, (Acquired 08/26/21, Cost: $1,751,669)(g)(h) | 196,272 | 594,704 | |
PsiQuantum Corp., Series D, (Acquired 05/21/21, Cost: $945,402)(g)(h) | 36,048 | 1,144,524 | |
RapidSOS, Series C-1(g) | 1,707,127 | 1,655,913 | |
Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $814,688)(g)(h) | 35,677 | 791,673 | |
SambaNova Systems, Inc., Series D, (Acquired 04/09/21, Cost: $1,250,247)(g)(h) | 13,158 | 739,085 | |
SCI PH Parent, Inc., Series F, (Acquired 02/10/23, Cost: $1,183,000), 12.50%, 12/31/79(g)(h)(l) | 1,183 | 1,148,161 | |
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $678,934)(g)(h) | 45,203 | 308,284 | |
Source Global PBC(g)(h) | |||
Series D-2, (Acquired 05/16/24, Cost: $—) | 4,710 | 31,793 | |
Series D-3, (Acquired 05/15/24, Cost: $250,501) | 6,880 | 106,090 | |
Ursa Major Technologies, Inc.(g)(h) | |||
Series C, (Acquired 09/13/21, Cost: $1,732,297) | 290,420 | 862,547 | |
Series D, (Acquired 10/14/22, Cost: $235,803) | 35,579 | 109,939 | |
Verge Genomics, Inc.(g)(h) | |||
Series B, (Acquired 11/05/21, Cost: $1,626,608) | 305,363 | 1,975,699 | |
Series C PRVT, (Acquired 09/06/23, Cost: $259,904) | 36,142 | 260,222 | |
Versa Networks, Inc., Series E CONV Preferred, (Acquired 10/14/22, Cost: $4,906,958), 12.00%, 10/07/32(g)(h)(l) | 1,681,498 | 6,742,807 | |
Zero Mass Water, Inc., Series D Preferred, (Acquired 07/05/22, Cost: $271,491)(g)(h) | 6,628 | 114,930 | |
53,919,929 | |||
68,299,402 | |||
Total Preferred Securities — 3.7% (Cost: $88,242,084) | 69,809,788 |
Par (000) | |||
U.S. Government Sponsored Agency Securities | |||
Commercial Mortgage-Backed Securities — 0.1% | |||
Freddie Mac Multifamily Structured Pass Through Certificates, Series KL06, Class XFX, 1.47%, 12/25/29(b) | USD | 18,250 | 894,756 |
Mortgage-Backed Securities(t) — 8.8% | |||
Uniform Mortgage-Backed Securities | |||
3.00%, 07/15/54 | 9,557 | 8,128,434 | |
3.50%, 07/15/54 | 74,731 | 66,136,945 | |
4.50%, 07/15/54 | 86,126 | 81,190,886 | |
5.50%, 07/15/54 | 11,500 | 11,341,426 | |
166,797,691 | |||
Total U.S. Government Sponsored Agency Securities — 8.9% (Cost: $166,875,202) | 167,692,447 |
Security | Par (000) | Value | |
U.S. Treasury Obligations | |||
U.S. Treasury Notes, 4.63%, 09/30/28(u) | USD | 6,848 | $ 6,905,947 |
Total U.S. Treasury Obligations — 0.4% (Cost: $6,779,968) | 6,905,947 |
Shares | |||
Warrants | |||
Brazil — 0.0% | |||
Lavoro Ltd., (Issued 12/27/22, Exercisable 12/27/23, 1 Share for 1 Warrant, Expires 12/27/27, Strike Price USD 11.50)(g) | 25,681 | 10,272 | |
Israel(g) — 0.0% | |||
Deep Instinct Ltd., Series C, (Acquired 09/20/22, Cost: $0), (Exercisable 09/20/22, 1 Share for 1 Warrant, Expires 09/20/32, Strike Price USD 0.01)(f)(h) | 21,889 | 2,189 | |
Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50) | 8,959 | 383 | |
2,572 | |||
United Kingdom — 0.0% | |||
10X future Technologies Service Ltd., (Acquired 12/19/23, Cost: $0), (Expires 11/17/30, Strike Price GBP 0.01)(f)(g)(h) | 137,950 | 214,491 | |
United States(g) — 0.2% | |||
Cano Health, Inc., (Issued 07/06/20, Exercisable 07/06/21, 0.01 Shares for 1 Warrant, Expires 06/03/26, Strike Price USD 1,150.00) | 33,630 | 7 | |
Crown PropTech Acquisitions, (Issued 02/05/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD 11.50)(f) | 74,120 | 1,608 | |
Crown PropTech Acquisitions, (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)(f) | 44,352 | — | |
CXApp, Inc., Class A, (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/15/25, Strike Price USD 11.50) | 27,602 | 5,150 | |
Davidson Homes LLC, (Expires 05/16/34, Strike Price USD 8.47)(f) | 50,977 | 525,063 | |
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50) | 40,220 | 5,892 | |
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(f) | 5,990 | 29,832 | |
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 11.17)(f) | 19,736 | 52,300 | |
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 0.01)(f) | 173,677 | 878,805 | |
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21, 0.04 Shares for 1 Warrant, Expires 08/02/26, Strike Price USD 287.50) | 11,689 | 190 | |
Insight M, Inc.(f) | 663,000 | — |
Security | Shares | Value | |
United States (continued) | |||
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 06/04/26, Strike Price USD 11.50) | 10,196 | $ 1 | |
Lightning eMotors, Inc., (Issued/Exercisable 05/13/20, 1 Share for 1 Warrant, Expires 05/18/25, Strike Price USD 11.50) | 82,174 | 33 | |
New York Community Bancorp, Inc. Series C, PIPE, (Acquired 03/07/24, Cost: $0), (Issued/Exercisable 03/11/24, 1,000 Shares for 1 Warrant, Expires 03/11/31, Strike Price USD 2.50)(f)(h) | 550 | 1,073,501 | |
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 09/01/26, Strike Price USD 11.50) | 60,706 | 219 | |
Palladyne AI Corp., (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 09/24/26, Strike Price USD 11.50) | 68,671 | 2,177 | |
Pear Therapeutics, Inc., (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 12/03/26, Strike Price USD 11.50)(f) | 9,900 | — | |
RapidSOS, (Expires 12/13/33, Strike Price USD 0.01)(f) | 946,544 | 908,682 | |
Sarcos Technology & Robotics Corp., (Issued 01/15/21, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 69.00) | 25,291 | 802 | |
Sonder Holdings Inc.(f) | 26,332 | 106,381 | |
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (Exercisable 10/14/22, 1 Share for 1 Warrant, Expires 10/07/32, Strike Price USD 0.01)(f)(h) | 207,248 | 700,498 | |
Volato Group, Inc., (Acquired 12/03/23, Cost: $48,765), (Expires 12/03/28, Strike Price USD 11.50)(h) | 48,765 | 707 | |
4,291,848 | |||
Total Warrants — 0.2% (Cost: $797,568) | 4,519,183 | ||
Total Long-Term Investments — 101.5% (Cost: $1,752,517,415) | 1,919,376,213 | ||
Short-Term Securities | |||
Money Market Funds — 5.7% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(r)(v) | 107,467,123 | 107,467,123 | |
Total Short-Term Securities — 5.7% (Cost: $107,467,123) | 107,467,123 | ||
Options Purchased — 0.2% (Cost: $4,962,463) | 4,601,854 | ||
Total Investments Before Options Written — 107.4% (Cost: $1,864,947,001) | 2,031,445,190 | ||
Options Written — (0.2)% (Premiums Received: $(3,512,142)) | (3,912,526 ) | ||
Total Investments, Net of Options Written — 107.2% (Cost: $1,861,434,859) | 2,027,532,664 | ||
Liabilities in Excess of Other Assets — (7.2)% | (136,694,347 ) | ||
Net Assets — 100.0% | $ 1,890,838,317 |
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) | When-issued security. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(g) | Non-income producing security. |
(h) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $65,828,450, representing 3.5% of its net assets as of period end, and an original cost of $77,512,124. |
(i) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(j) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
(k) | Investment does not issue shares. |
(l) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(m) | Issuer filed for bankruptcy and/or is in default. |
(n) | Convertible security. |
(o) | Zero-coupon bond. |
(p) | Perpetual security with no stated maturity date. |
(q) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(r) | Affiliate of the Trust. |
(s) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(t) | Represents or includes a TBA transaction. |
(u) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(v) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 78,480,297 | $ 28,986,826 (a) | $ — | $ — | $ — | $ 107,467,123 | 107,467,123 | $ 2,643,132 | $ — |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 4,160,152 | — | — | — | (133,083 ) | 4,027,069 | 37,594 | 75,641 | — |
iShares JP Morgan USD Emerging Markets Bond ETF | 6,337,064 | — | — | — | (41,270 ) | 6,295,794 | 71,155 | 131,057 | — |
iShares MSCI Brazil ETF | 813,554 | — | — | — | (177,557 ) | 635,997 | 23,271 | 21,278 | — |
iShares Russell 2000 ETF | 1,966,958 | — | — | — | 21,364 | 1,988,322 | 9,800 | 10,626 | — |
iShares Russell Mid-Cap Growth ETF | 416,378 | — | — | — | 23,477 | 439,855 | 3,986 | 890 | — |
$ — | $ (307,069 ) | $ 120,854,160 | $ 2,882,624 | $ — |
(a) | Represents net amount purchased (sold). |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
Euro BOBL | 681 | 09/06/24 | $ 84,922 | $ 839,636 |
Euro Bund | 377 | 09/06/24 | 53,141 | 536,971 |
Euro-Schatz | 96 | 09/06/24 | 10,867 | 50,842 |
Nikkei 225 Index | 54 | 09/12/24 | 13,339 | 213,950 |
10-Year Australian Treasury Bonds | 134 | 09/16/24 | 10,152 | (98,468 ) |
U.S. Long Bond | 214 | 09/19/24 | 25,225 | 97,659 |
Euro Stoxx Banks Index | 100 | 09/20/24 | 736 | 4,661 |
MSCI Emerging Markets Index | 14 | 09/20/24 | 762 | 6,268 |
NASDAQ 100 E-Mini Index | 6 | 09/20/24 | 2,391 | (25,838 ) |
Long Gilt | 43 | 09/26/24 | 5,304 | 46,159 |
5-Year U.S. Treasury Note | 3,358 | 09/30/24 | 357,679 | 1,404,901 |
Carbon Emissions(a) | 12 | 12/16/24 | 867 | (34,962 ) |
3,041,779 | ||||
Short Contracts | ||||
30-Year Euro Buxl Bond | 20 | 09/06/24 | 2,790 | (57,399 ) |
Euro BTP | 264 | 09/06/24 | 32,596 | 259,892 |
Euro OAT | 17 | 09/06/24 | 2,242 | 18,007 |
10-Year Japanese Government Treasury Bonds | 39 | 09/12/24 | 34,629 | (4,328 ) |
10-Year U.S. Treasury Note | 342 | 09/19/24 | 37,567 | (281,628 ) |
10-Year U.S. Ultra Long Treasury Note | 1,766 | 09/19/24 | 200,055 | (1,105,225 ) |
Ultra U.S. Treasury Bond | 117 | 09/19/24 | 14,574 | 78,725 |
E-mini Russell 2000 Index | 42 | 09/20/24 | 4,337 | (74,347 ) |
Euro Stoxx 50 Index | 172 | 09/20/24 | 9,061 | (10,223 ) |
S&P 500 E-Mini Index | 412 | 09/20/24 | 113,743 | (179,254 ) |
2-Year U.S. Treasury Note | 2,548 | 09/30/24 | 520,349 | (577,188 ) |
(1,932,968 ) | ||||
$ 1,108,811 |
(a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 185,508 | EUR | 171,331 | Morgan Stanley & Co. International PLC | 07/17/24 | $ 1,893 |
USD | 188,074 | EUR | 173,701 | Morgan Stanley & Co. International PLC | 07/17/24 | 1,919 |
USD | 216,485 | EUR | 199,940 | Morgan Stanley & Co. International PLC | 07/17/24 | 2,209 |
USD | 365,580 | EUR | 337,641 | Morgan Stanley & Co. International PLC | 07/17/24 | 3,730 |
USD | 414,212 | EUR | 382,556 | Morgan Stanley & Co. International PLC | 07/17/24 | 4,226 |
USD | 452,368 | EUR | 417,796 | Morgan Stanley & Co. International PLC | 07/17/24 | 4,615 |
USD | 535,655 | EUR | 494,718 | Morgan Stanley & Co. International PLC | 07/17/24 | 5,465 |
USD | 2,396,513 | EUR | 2,213,362 | Morgan Stanley & Co. International PLC | 07/17/24 | 24,451 |
USD | 157,946 | EUR | 145,515 | State Street Bank and Trust Co. | 07/17/24 | 1,998 |
USD | 239,907 | EUR | 221,000 | State Street Bank and Trust Co. | 07/17/24 | 3,061 |
CAD | 289,613 | USD | 211,889 | State Street Bank and Trust Co. | 09/18/24 | 196 |
EUR | 3,509,889 | USD | 3,764,953 | Bank of America N.A. | 09/18/24 | 7,983 |
EUR | 2,663,317 | USD | 2,861,564 | BNP Paribas SA | 09/18/24 | 1,355 |
EUR | 446,158 | USD | 479,292 | HSBC Bank PLC | 09/18/24 | 304 |
INR | 147,168,449 | USD | 1,754,770 | State Street Bank and Trust Co. | 09/18/24 | 6,039 |
MXN | 20,603,528 | USD | 1,097,934 | JPMorgan Chase Bank N.A. | 09/18/24 | 14,801 |
MXN | 25,061,999 | USD | 1,333,422 | Morgan Stanley & Co. International PLC | 09/18/24 | 20,101 |
USD | 1,770,832 | BRL | 9,600,741 | HSBC Bank PLC | 09/18/24 | 68,182 |
USD | 5,191,727 | CHF | 4,609,034 | Goldman Sachs International | 09/18/24 | 13,706 |
USD | 8,658,294 | CHF | 7,684,301 | Goldman Sachs International | 09/18/24 | 25,362 |
USD | 4,623,871 | DKK | 31,921,575 | Deutsche Bank AG | 09/18/24 | 19,311 |
USD | 382,241 | EUR | 355,208 | Barclays Bank PLC | 09/18/24 | 412 |
USD | 44,462,152 | EUR | 41,198,284 | Barclays Bank PLC | 09/18/24 | 176,281 |
USD | 167,634,952 | EUR | 155,329,241 | Barclays Bank PLC | 09/18/24 | 664,630 |
USD | 782,804 | EUR | 726,116 | Deutsche Bank AG | 09/18/24 | 2,270 |
USD | 350,586 | EUR | 325,070 | JPMorgan Chase Bank N.A. | 09/18/24 | 1,153 |
USD | 410,087 | EUR | 375,094 | JPMorgan Chase Bank N.A. | 09/18/24 | 6,882 |
USD | 507,725 | EUR | 466,468 | State Street Bank and Trust Co. | 09/18/24 | 6,298 |
USD | 2,171,076 | GBP | 1,704,703 | JPMorgan Chase Bank N.A. | 09/18/24 | 14,933 |
USD | 55,212,375 | GBP | 43,351,762 | JPMorgan Chase Bank N.A. | 09/18/24 | 380,194 |
USD | 303,795 | GBP | 239,744 | UBS AG | 09/18/24 | 562 |
USD | 1,837,773 | IDR | 30,029,205,185 | JPMorgan Chase Bank N.A. | 09/18/24 | 4,851 |
USD | 582,334 | JPY | 92,298,158 | Deutsche Bank AG | 09/18/24 | 1,861 |
USD | 5,988,121 | JPY | 927,703,142 | HSBC Bank PLC | 09/18/24 | 153,703 |
USD | 49,409,741 | JPY | 7,654,794,822 | HSBC Bank PLC | 09/18/24 | 1,267,970 |
USD | 322,596 | JPY | 50,216,987 | JPMorgan Chase Bank N.A. | 09/18/24 | 6,777 |
USD | 251,966 | JPY | 38,736,190 | State Street Bank and Trust Co. | 09/18/24 | 8,350 |
USD | 216,188 | JPY | 33,653,377 | UBS AG | 09/18/24 | 4,538 |
USD | 400,170 | SEK | 4,178,345 | Barclays Bank PLC | 09/18/24 | 4,388 |
USD | 1,823,489 | SEK | 19,039,884 | Barclays Bank PLC | 09/18/24 | 19,991 |
ZAR | 33,715,234 | USD | 1,799,635 | State Street Bank and Trust Co. | 09/18/24 | 42,651 |
USD | 11,079,342 | CNH | 80,002,465 | HSBC Bank PLC | 09/19/24 | 57,732 |
USD | 21,459,598 | HKD | 167,214,285 | UBS AG | 09/19/24 | 63 |
3,057,397 | ||||||
EUR | 441,264 | USD | 474,394 | Deutsche Bank AG | 07/17/24 | (1,491 ) |
EUR | 16,989,301 | USD | 18,331,266 | Deutsche Bank AG | 09/18/24 | (68,709 ) |
EUR | 242,788 | USD | 265,575 | HSBC Bank PLC | 09/18/24 | (4,591 ) |
EUR | 374,806 | USD | 403,402 | HSBC Bank PLC | 09/18/24 | (506 ) |
EUR | 511,123 | USD | 550,612 | HSBC Bank PLC | 09/18/24 | (1,183 ) |
EUR | 1,084,813 | USD | 1,168,130 | JPMorgan Chase Bank N.A. | 09/18/24 | (2,017 ) |
EUR | 217,347 | USD | 234,524 | UBS AG | 09/18/24 | (887 ) |
EUR | 264,883 | USD | 287,144 | UBS AG | 09/18/24 | (2,410 ) |
GBP | 319,644 | USD | 407,658 | State Street Bank and Trust Co. | 09/18/24 | (3,365 ) |
GBP | 878,633 | USD | 1,124,800 | State Street Bank and Trust Co. | 09/18/24 | (13,486 ) |
GBP | 232,883 | USD | 295,623 | UBS AG | 09/18/24 | (1,069 ) |
GBP | 264,163 | USD | 337,953 | UBS AG | 09/18/24 | (3,834 ) |
JPY | 44,398,307 | USD | 283,491 | Deutsche Bank AG | 09/18/24 | (4,265 ) |
JPY | 53,625,866 | USD | 346,741 | Deutsche Bank AG | 09/18/24 | (9,483 ) |
JPY | 35,182,197 | USD | 221,836 | HSBC Bank PLC | 09/18/24 | (572 ) |
JPY | 39,945,489 | USD | 254,591 | HSBC Bank PLC | 09/18/24 | (3,370 ) |
JPY | 102,558,392 | USD | 662,202 | HSBC Bank PLC | 09/18/24 | (17,202 ) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
JPY | 108,893,436 | USD | 704,350 | HSBC Bank PLC | 09/18/24 | $ (19,508 ) |
JPY | 442,665,929 | USD | 2,787,265 | HSBC Bank PLC | 09/18/24 | (3,295 ) |
JPY | 85,613,557 | USD | 554,032 | UBS AG | 09/18/24 | (15,600 ) |
USD | 5,656,721 | AUD | 8,540,105 | Deutsche Bank AG | 09/18/24 | (51,796 ) |
USD | 9,301,146 | CAD | 12,767,493 | Deutsche Bank AG | 09/18/24 | (48,551 ) |
USD | 1,026,790 | EUR | 955,986 | Barclays Bank PLC | 09/18/24 | (842 ) |
USD | 209,105 | MXN | 3,892,781 | Morgan Stanley & Co. International PLC | 09/18/24 | (1,133 ) |
USD | 176,095 | NOK | 1,881,150 | HSBC Bank PLC | 09/18/24 | (431 ) |
USD | 953,590 | ZAR | 17,855,543 | JPMorgan Chase Bank N.A. | 09/18/24 | (22,082 ) |
HKD | 785,914 | USD | 100,867 | State Street Bank and Trust Co. | 09/19/24 | (7 ) |
(301,685 ) | ||||||
$ 2,755,712 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
SPDR S&P 500 ETF Trust | 607 | 07/05/24 | USD | 553.00 | USD | 33,034 | $ 21,549 |
InvesCo QQQ Trust, Series 1 | 336 | 07/12/24 | USD | 490.00 | USD | 16,098 | 55,440 |
SPX Volatility Index | 160 | 07/17/24 | USD | 18.00 | USD | 199 | 4,400 |
Adobe, Inc. | 59 | 07/19/24 | USD | 530.00 | USD | 3,278 | 180,687 |
Advanced Micro Devices, Inc. | 31 | 07/19/24 | USD | 160.00 | USD | 503 | 22,863 |
Apple, Inc. | 195 | 07/19/24 | USD | 185.00 | USD | 4,107 | 522,112 |
Apple, Inc. | 106 | 07/19/24 | USD | 220.00 | USD | 2,233 | 13,780 |
Bank of America Corp. | 266 | 07/19/24 | USD | 41.00 | USD | 1,058 | 9,709 |
Crowdstrike Holdings, Inc. | 23 | 07/19/24 | USD | 400.00 | USD | 881 | 13,800 |
EOG Resources, Inc. | 97 | 07/19/24 | USD | 125.00 | USD | 1,221 | 30,070 |
Freeport-McMoRan, Inc. | 213 | 07/19/24 | USD | 55.00 | USD | 1,035 | 3,089 |
iShares China Large-Cap ETF | 1,582 | 07/19/24 | USD | 27.00 | USD | 4,112 | 38,759 |
Mastercard, Inc., Class A | 156 | 07/19/24 | USD | 475.00 | USD | 6,882 | 4,368 |
Merck & Co., Inc. | 42 | 07/19/24 | USD | 130.00 | USD | 520 | 5,355 |
Meta Platforms, Inc. | 9 | 07/19/24 | USD | 470.00 | USD | 454 | 33,548 |
Micron Technology, Inc. | 23 | 07/19/24 | USD | 140.00 | USD | 303 | 5,152 |
Micron Technology, Inc. | 77 | 07/19/24 | USD | 145.00 | USD | 1,013 | 9,933 |
NVIDIA Corp. | 40 | 07/19/24 | USD | 110.00 | USD | 494 | 59,500 |
Sabre Corp. | 173 | 07/19/24 | USD | 4.50 | USD | 46 | 606 |
Sabre Corp. | 138 | 07/19/24 | USD | 3.50 | USD | 37 | 552 |
Sabre Corp. | 119 | 07/19/24 | USD | 4.00 | USD | 32 | 357 |
Uber Technologies, Inc. | 302 | 07/19/24 | USD | 70.00 | USD | 2,195 | 102,680 |
Valero Energy Corp. | 22 | 07/19/24 | USD | 185.00 | USD | 345 | 605 |
Vistra Corp. | 98 | 07/19/24 | USD | 85.00 | USD | 843 | 48,510 |
Vistra Corp. | 88 | 07/19/24 | USD | 110.00 | USD | 757 | 3,960 |
Western Digital Corp. | 57 | 07/19/24 | USD | 85.00 | USD | 432 | 1,767 |
Western Digital Corp. | 103 | 07/19/24 | USD | 82.50 | USD | 780 | 5,150 |
Apple, Inc. | 196 | 08/16/24 | USD | 220.00 | USD | 4,128 | 88,200 |
Apple, Inc. | 233 | 08/16/24 | USD | 200.00 | USD | 4,907 | 332,025 |
Apple, Inc. | 712 | 08/16/24 | USD | 210.00 | USD | 14,996 | 617,660 |
Boston Scientific Corp. | 290 | 08/16/24 | USD | 77.50 | USD | 2,233 | 64,525 |
ConocoPhillips | 124 | 08/16/24 | USD | 120.00 | USD | 1,418 | 19,220 |
Delta Air Lines, Inc. | 140 | 08/16/24 | USD | 55.00 | USD | 664 | 5,950 |
Eli Lilly & Co. | 29 | 08/16/24 | USD | 820.00 | USD | 2,626 | 290,362 |
Freeport-McMoRan, Inc. | 114 | 08/16/24 | USD | 55.00 | USD | 554 | 7,923 |
iShares Biotechnology ETF | 138 | 08/16/24 | USD | 140.00 | USD | 1,894 | 36,570 |
Microsoft Corp. | 110 | 08/16/24 | USD | 465.00 | USD | 4,916 | 106,975 |
UniCredit SpA | 27 | 08/16/24 | EUR | 37.00 | EUR | 466 | 10,843 |
Visa, Inc. | 44 | 08/16/24 | USD | 290.00 | USD | 1,155 | 3,344 |
Walmart, Inc. | 142 | 08/16/24 | USD | 70.00 | USD | 961 | 16,401 |
Walt Disney Co. | 193 | 08/16/24 | USD | 105.00 | USD | 1,916 | 43,135 |
Apple, Inc. | 275 | 09/20/24 | USD | 220.00 | USD | 5,792 | 165,000 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call (continued) | |||||||
Carrier Global Corp. | 176 | 09/20/24 | USD | 67.50 | USD | 1,110 | $ 34,760 |
Novo Nordisk A/S | 197 | 09/20/24 | USD | 145.00 | USD | 2,812 | 149,227 |
Trane Technologies PLC | 70 | 09/20/24 | USD | 360.00 | USD | 2,303 | 54,250 |
Walt Disney Co. | 220 | 10/18/24 | USD | 110.00 | USD | 2,184 | 51,920 |
Humana, Inc. | 47 | 11/15/24 | USD | 395.00 | USD | 1,756 | 94,470 |
3,391,061 | |||||||
Put | |||||||
Advanced Micro Devices, Inc. | 42 | 07/19/24 | USD | 145.00 | USD | 681 | 2,982 |
Applied Materials, Inc. | 31 | 07/19/24 | USD | 200.00 | USD | 732 | 620 |
Costco Wholesale Corp. | 7 | 07/19/24 | USD | 790.00 | USD | 595 | 725 |
Spirit Airlines, Inc. | 52 | 07/19/24 | USD | 2.00 | USD | 19 | 260 |
Spirit Airlines, Inc. | 42 | 07/19/24 | USD | 2.50 | USD | 15 | 105 |
Boston Scientific Corp. | 83 | 08/16/24 | USD | 70.00 | USD | 639 | 2,905 |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,542 | 08/16/24 | USD | 76.00 | USD | 19,609 | 54,653 |
NVIDIA Corp. | 140 | 08/16/24 | USD | 110.00 | USD | 1,730 | 43,750 |
Spirit Airlines, Inc. | 41 | 08/16/24 | USD | 2.00 | USD | 15 | 390 |
NVIDIA Corp. | 490 | 09/20/24 | USD | 105.00 | USD | 6,053 | 213,150 |
Merck & Co., Inc. | 238 | 10/18/24 | USD | 120.00 | USD | 2,946 | 89,250 |
408,790 | |||||||
$ 3,799,851 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | ||||||||
USD Currency | HSBC Bank PLC | — | 08/21/24 | CNH | 8.50 | USD | 51,044 | $ 51 |
Put | ||||||||
EUR Currency | UBS AG | — | 09/18/24 | USD | 1.05 | EUR | 10,276 | 52,163 |
S&P 500 Index | Citibank N.A. | 1,304 | 09/20/24 | USD | 5,200.00 | USD | 7,120 | 67,696 |
119,859 | ||||||||
$ 119,910 |
Paid by the Trust | Received by the Trust | ||||||||||
Description | Rate/Reference | Rate/Reference | Frequency | Counterparty | Expiration Date | Credit Rating | Exercise Price | Notional Amount (000)(a) | Value | ||
Put | |||||||||||
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | iTraxx.XO.41.V1 | Quarterly | Morgan Stanley & Co. International PLC | 07/17/24 | — | EUR 325.00 | EUR | 2,210 | $ 15,175 | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | CDX.NA.HY.42.V1 | Quarterly | BNP Paribas SA | 07/17/24 | — | USD 105.00 | USD | 1,885 | 2,857 | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | iTraxx.XO.41.V1 | Quarterly | BNP Paribas SA | 08/21/24 | — | EUR 475.00 | EUR | 2,000 | 3,124 | |
$ 21,156 |
(a) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Trust | Received by the Trust | |||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |
Call | ||||||||||
2-Year Interest Rate Swap, 07/20/26 | 1-Day SOFR, 5.33% | Annual | 4.35% | Annual | Citibank N.A. | 07/18/24 | 4.35 % | USD | 11,267 | $ 6,847 |
10-Year Interest Rate Swap, 10/25/34 | 1-Day SOFR, 5.33% | Annual | 3.75% | Annual | Citibank N.A. | 10/23/24 | 3.75 | USD | 19,535 | 249,760 |
2-Year Interest Rate Swap, 10/26/26 | 1-Day SOFR, 5.33% | Annual | 4.00% | Annual | JPMorgan Chase Bank N.A. | 10/24/24 | 4.00 | USD | 39,747 | 92,314 |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 3.60% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.60 | USD | 12,469 | 95,924 |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 3.60% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.60 | USD | 12,472 | 95,939 |
10-Year Interest Rate Swap, 01/25/35 | 1-Day SOFR, 5.33% | Annual | 3.00% | Annual | Goldman Sachs International | 01/23/25 | 3.00 | USD | 25,256 | 120,153 |
$ 660,937 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
InvesCo QQQ Trust, Series 1 | 336 | 07/12/24 | USD | 500.00 | USD | 16,098 | $ (10,920 ) |
SPX Volatility Index | 160 | 07/17/24 | USD | 35.00 | USD | 199 | (1,040 ) |
Alphabet, Inc., Class C | 160 | 07/19/24 | USD | 185.00 | USD | 2,935 | (56,000 ) |
Amazon.com, Inc. | 58 | 07/19/24 | USD | 200.00 | USD | 1,121 | (17,081 ) |
Apple, Inc. | 195 | 07/19/24 | USD | 200.00 | USD | 4,107 | (234,000 ) |
Applied Materials, Inc. | 31 | 07/19/24 | USD | 240.00 | USD | 732 | (17,980 ) |
Applied Materials, Inc. | 35 | 07/19/24 | USD | 250.00 | USD | 826 | (9,398 ) |
Cameco Corp. | 128 | 07/19/24 | USD | 60.00 | USD | 630 | (768 ) |
Costco Wholesale Corp. | 7 | 07/19/24 | USD | 820.00 | USD | 595 | (25,077 ) |
Eli Lilly & Co. | 9 | 07/19/24 | USD | 840.00 | USD | 815 | (64,597 ) |
Intuitive Surgical, Inc. | 23 | 07/19/24 | USD | 420.00 | USD | 1,023 | (70,840 ) |
iShares China Large-Cap ETF | 1,582 | 07/19/24 | USD | 29.00 | USD | 4,112 | (5,537 ) |
Lam Research Corp. | 9 | 07/19/24 | USD | 1,000.00 | USD | 958 | (71,707 ) |
Las Vegas Sands Corp. | 89 | 07/19/24 | USD | 52.50 | USD | 394 | (935 ) |
Meta Platforms, Inc. | 9 | 07/19/24 | USD | 540.00 | USD | 454 | (2,529 ) |
Meta Platforms, Inc. | 48 | 07/19/24 | USD | 550.00 | USD | 2,420 | (8,496 ) |
Micron Technology, Inc. | 62 | 07/19/24 | USD | 155.00 | USD | 815 | (3,224 ) |
Microsoft Corp. | 98 | 07/19/24 | USD | 440.00 | USD | 4,380 | (120,540 ) |
Microsoft Corp. | 52 | 07/19/24 | USD | 445.00 | USD | 2,324 | (51,220 ) |
Microsoft Corp. | 48 | 07/19/24 | USD | 460.00 | USD | 2,145 | (15,000 ) |
NVIDIA Corp. | 190 | 07/19/24 | USD | 115.00 | USD | 2,347 | (206,150 ) |
NVIDIA Corp. | 40 | 07/19/24 | USD | 130.00 | USD | 494 | (12,800 ) |
Salesforce, Inc. | 36 | 07/19/24 | USD | 310.00 | USD | 926 | (396 ) |
U.S. Steel Corp. | 322 | 07/19/24 | USD | 39.00 | USD | 1,217 | (15,134 ) |
UnitedHealth Group, Inc. | 27 | 07/19/24 | USD | 540.00 | USD | 1,375 | (11,745 ) |
Vistra Corp. | 97 | 07/19/24 | USD | 100.00 | USD | 834 | (7,275 ) |
Walt Disney Co. | 44 | 07/19/24 | USD | 115.00 | USD | 437 | (506 ) |
Western Digital Corp. | 160 | 07/19/24 | USD | 95.00 | USD | 1,212 | (800 ) |
Apple, Inc. | 319 | 08/16/24 | USD | 230.00 | USD | 6,719 | (61,886 ) |
Apple, Inc. | 196 | 08/16/24 | USD | 245.00 | USD | 4,128 | (15,582 ) |
Boston Scientific Corp. | 83 | 08/16/24 | USD | 80.00 | USD | 639 | (9,545 ) |
Boston Scientific Corp. | 290 | 08/16/24 | USD | 85.00 | USD | 2,233 | (8,700 ) |
Eli Lilly & Co. | 29 | 08/16/24 | USD | 920.00 | USD | 2,626 | (102,297 ) |
iShares iBoxx $ High Yield Corporate Bond ETF | 1,271 | 08/16/24 | USD | 78.00 | USD | 9,804 | (13,981 ) |
Walmart, Inc. | 142 | 08/16/24 | USD | 75.00 | USD | 961 | (3,550 ) |
Apple, Inc. | 275 | 09/20/24 | USD | 245.00 | USD | 5,792 | (37,812 ) |
NextEra Energy, Inc. | 94 | 09/20/24 | USD | 80.00 | USD | 666 | (6,815 ) |
Novo Nordisk A/S | 197 | 09/20/24 | USD | 160.00 | USD | 2,812 | (55,455 ) |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call (continued) | |||||||
NVIDIA Corp. | 490 | 09/20/24 | USD | 130.00 | USD | 6,053 | $ (520,625 ) |
NVIDIA Corp. | 289 | 09/20/24 | USD | 145.00 | USD | 3,570 | (174,845 ) |
(2,052,788 ) | |||||||
Put | |||||||
Advanced Micro Devices, Inc. | 84 | 07/19/24 | USD | 135.00 | USD | 1,363 | (1,428 ) |
Apple, Inc. | 106 | 07/19/24 | USD | 205.00 | USD | 2,233 | (15,794 ) |
Bank of America Corp. | 133 | 07/19/24 | USD | 36.00 | USD | 529 | (1,264 ) |
Crowdstrike Holdings, Inc. | 23 | 07/19/24 | USD | 340.00 | USD | 881 | (2,266 ) |
EOG Resources, Inc. | 97 | 07/19/24 | USD | 110.00 | USD | 1,221 | (1,698 ) |
Freeport-McMoRan, Inc. | 408 | 07/19/24 | USD | 45.00 | USD | 1,983 | (12,648 ) |
Uber Technologies, Inc. | 302 | 07/19/24 | USD | 60.00 | USD | 2,195 | (1,057 ) |
UnitedHealth Group, Inc. | 27 | 07/19/24 | USD | 450.00 | USD | 1,375 | (3,375 ) |
Valero Energy Corp. | 22 | 07/19/24 | USD | 150.00 | USD | 345 | (3,410 ) |
Vistra Corp. | 98 | 07/19/24 | USD | 75.00 | USD | 843 | (7,105 ) |
Walt Disney Co. | 88 | 07/19/24 | USD | 105.00 | USD | 874 | (57,860 ) |
Boston Scientific Corp. | 165 | 08/16/24 | USD | 65.00 | USD | 1,271 | (2,475 ) |
ConocoPhillips | 124 | 08/16/24 | USD | 105.00 | USD | 1,418 | (10,416 ) |
Delta Air Lines, Inc. | 140 | 08/16/24 | USD | 45.00 | USD | 664 | (19,530 ) |
Freeport-McMoRan, Inc. | 114 | 08/16/24 | USD | 45.00 | USD | 554 | (11,514 ) |
iShares Biotechnology ETF | 138 | 08/16/24 | USD | 130.00 | USD | 1,894 | (12,765 ) |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,542 | 08/16/24 | USD | 74.00 | USD | 19,609 | (35,588 ) |
Nice Ltd. | 29 | 08/16/24 | USD | 190.00 | USD | 499 | (59,160 ) |
NVIDIA Corp. | 290 | 08/16/24 | USD | 90.00 | USD | 3,583 | (13,630 ) |
UniCredit SpA | 27 | 08/16/24 | EUR | 31.00 | EUR | 466 | (7,952 ) |
Visa, Inc. | 44 | 08/16/24 | USD | 255.00 | USD | 1,155 | (18,700 ) |
Vistra Corp. | 165 | 08/16/24 | USD | 72.50 | USD | 1,419 | (32,175 ) |
Walt Disney Co. | 193 | 08/16/24 | USD | 90.00 | USD | 1,916 | (20,458 ) |
Carrier Global Corp. | 176 | 09/20/24 | USD | 57.50 | USD | 1,110 | (19,360 ) |
Trane Technologies PLC | 70 | 09/20/24 | USD | 310.00 | USD | 2,303 | (50,400 ) |
Merck & Co., Inc. | 238 | 10/18/24 | USD | 100.00 | USD | 2,946 | (119,000 ) |
Walt Disney Co. | 220 | 10/18/24 | USD | 90.00 | USD | 2,184 | (43,010 ) |
Humana, Inc. | 47 | 01/17/25 | USD | 310.00 | USD | 1,756 | (43,005 ) |
(627,043 ) | |||||||
$ (2,679,831 ) |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Put | |||||||
EUR Currency | UBS AG | 09/18/24 | USD | 1.02 | EUR | 10,276 | $ (17,465 ) |
Paid by the Trust | Received by the Trust | ||||||||||
Description | Rate/Reference | Rate/Reference | Frequency | Counterparty | Expiration Date | Credit Rating(a) | Exercise Price | Notional Amount (000)(b) | Value | ||
Put | |||||||||||
Sold Protection 5-Year Credit Default Swap, 06/20/29 | iTraxx.XO.41.V1 | 5.00% | Quarterly | Morgan Stanley & Co. International PLC | 07/17/24 | N/R | EUR 425.00 | EUR | 2,210 | $ (2,081 ) | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | CDX.NA.HY.42.V1 | 5.00% | Quarterly | BNP Paribas SA | 07/17/24 | N/R | USD 102.00 | USD | 1,885 | (972 ) | |
$ (3,053 ) |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Trust | Received by the Trust | |||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |
Call | ||||||||||
2-Year Interest Rate Swap, 07/20/26 | 3.85% | Annual | 1-Day SOFR, 5.33% | Annual | Citibank N.A. | 07/18/24 | 3.85 % | USD | 11,267 | $ (215 ) |
10-Year Interest Rate Swap, 10/25/34 | 3.15% | Annual | 1-Day SOFR, 5.33% | Annual | Citibank N.A. | 10/23/24 | 3.15 | USD | 19,535 | (49,302 ) |
2-Year Interest Rate Swap, 10/26/26 | 3.30% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 10/24/24 | 3.30 | USD | 39,747 | (22,284 ) |
5-Year Interest Rate Swap, 12/19/29 | 3.20% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.20 | USD | 12,469 | (45,683 ) |
5-Year Interest Rate Swap, 12/19/29 | 3.20% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.20 | USD | 12,472 | (45,690 ) |
10-Year Interest Rate Swap, 01/25/35 | 2.25% | Annual | 1-Day SOFR, 5.33% | Annual | Goldman Sachs International | 01/23/25 | 2.25 | USD | 25,256 | (25,336 ) |
(188,510 ) | ||||||||||
Put | ||||||||||
5-Year Interest Rate Swap, 07/03/29 | 1-Day SOFR, 5.33% | Annual | 4.35% | Annual | Morgan Stanley & Co. International PLC | 07/01/24 | 4.35 | USD | 20,234 | (54 ) |
5-Year Interest Rate Swap, 07/04/29 | 1-Day SOFR, 5.33% | Annual | 4.40% | Annual | Citibank N.A. | 07/02/24 | 4.40 | USD | 10,133 | (22 ) |
2-Year Interest Rate Swap, 07/20/26 | 1-Day SOFR, 5.33% | Annual | 4.37% | Annual | Deutsche Bank AG | 07/18/24 | 4.37 | USD | 49,641 | (197,212 ) |
5-Year Interest Rate Swap, 07/20/29 | 1-Day SOFR, 5.33% | Annual | 4.17% | Annual | Citibank N.A. | 07/18/24 | 4.17 | USD | 8,848 | (20,862 ) |
2-Year Interest Rate Swap, 09/15/26 | 1-Day SOFR, 5.33% | Annual | 4.60% | Annual | Goldman Sachs International | 09/13/24 | 4.60 | USD | 29,886 | (58,988 ) |
2-Year Interest Rate Swap, 11/23/26 | 1-Day SOFR, 5.33% | Annual | 5.00% | Annual | JPMorgan Chase Bank N.A. | 11/21/24 | 5.00 | USD | 50,148 | (39,759 ) |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 4.50% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 4.50 | USD | 12,470 | (56,603 ) |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 4.50% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 4.50 | USD | 12,472 | (56,612 ) |
2-Year Interest Rate Swap, 04/27/27 | 1-Day SOFR, 5.33% | Annual | 5.50% | Annual | Goldman Sachs International | 04/25/25 | 5.50 | USD | 49,758 | (38,807 ) |
2-Year Interest Rate Swap, 05/25/27 | 1-Day SOFR, 5.33% | Annual | 5.00% | Annual | Goldman Sachs International | 05/23/25 | 5.00 | USD | 60,284 | (119,047 ) |
2-Year Interest Rate Swap, 05/25/27 | 1-Day SOFR, 5.33% | Annual | 5.05% | Annual | Goldman Sachs International | 05/23/25 | 5.05 | USD | 60,284 | (110,152 ) |
2-Year Interest Rate Swap, 06/15/27 | 1-Day SOFR, 5.33% | Annual | 4.60% | Annual | Morgan Stanley & Co. International PLC | 06/13/25 | 4.60 | USD | 24,568 | (91,818 ) |
5-Year Interest Rate Swap, 06/22/30 | 1-Day SOFR, 5.33% | Annual | 4.40% | Annual | Goldman Sachs International | 06/20/25 | 4.40 | USD | 12,716 | (117,647 ) |
5-Year Interest Rate Swap, 06/29/30 | 1-Day SOFR, 5.33% | Annual | 4.55% | Annual | Morgan Stanley & Co. International PLC | 06/27/25 | 4.55 | USD | 15,030 | (116,084 ) |
(1,023,667 ) | ||||||||||
$ (1,212,177 ) |
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
iTraxx.XO.38.V2 | 5.00 % | Quarterly | 12/20/27 | EUR | 4,590 | $ (400,119 ) | $ 62,697 | $ (462,816 ) |
iTraxx.EUR.40.V1 | 1.00 | Quarterly | 12/20/28 | EUR | 177 | (3,460 ) | (3,391 ) | (69 ) |
iTraxx.XO.40.V1 | 5.00 | Quarterly | 12/20/28 | EUR | 4,845 | (332,172 ) | (359,149 ) | 26,977 |
CDX.NA.HY.42.V1 | 5.00 | Quarterly | 06/20/29 | USD | 195 | (12,484 ) | (12,605 ) | 121 |
$ (748,235 ) | $ (312,448 ) | $ (435,787 ) |
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
iTraxx.XO.34.V3 | 5.00 % | Quarterly | 12/20/25 | C+ | EUR | 33,645 | $ 1,738,780 | $ 1,178,926 | $ 559,854 |
iTraxx.XO.35.V2 | 5.00 | Quarterly | 06/20/26 | CC- | EUR | 1,421 | 90,938 | 96,442 | (5,504 ) |
CDX.NA.HY.41.V2 | 5.00 | Quarterly | 12/20/28 | B | USD | 3,367 | 219,169 | 92,687 | 126,482 |
$ 2,048,887 | $ 1,368,055 | $ 680,832 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Trust | Received by the Trust | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Reference | Frequency | Rate | Frequency | ||||||
Eurostat Eurozone HICP Ex Tobacco Unrevised | At Termination | 2.69% | At Termination | 08/15/32 | EUR | 1,425 | $ 15,661 | $ 30 | $ 15,631 |
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Rate | Frequency | Rate | Frequency | |||||||
1-Day SONIA, 5.20% | At Termination | 4.26% | At Termination | N/A | 09/06/24 | GBP | 25,649 | $ (341,953 ) | $ 15 | $ (341,968 ) |
1-Day SOFR, 5.33% | At Termination | 5.45% | At Termination | N/A | 10/02/24 | USD | 174,570 | (19,111 ) | 1,853 | (20,964 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.78% | Monthly | N/A | 02/04/25 | MXN | 48,743 | (20,341 ) | 1 | (20,342 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.79% | Monthly | N/A | 02/04/25 | MXN | 24,371 | (10,089 ) | 1 | (10,090 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.80% | Monthly | N/A | 02/04/25 | MXN | 24,371 | (9,968 ) | 1 | (9,969 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.95% | Monthly | N/A | 02/07/25 | MXN | 550,963 | (196,285 ) | 33 | (196,318 ) |
1-Day SOFR, 5.33% | Annual | 5.00% | Annual | N/A | 10/02/25 | USD | 169,290 | (384,598 ) | 18,025 | (402,623 ) |
0.28% | Annual | Tokyo Overnight Average Rate, 0.08% | Annual | N/A | 03/09/26 | JPY | 2,893,937 | 18,917 | 78 | 18,839 |
1-Day SOFR, 5.33% | Annual | 4.40% | Annual | N/A | 04/08/26 | USD | 43,825 | (303,073 ) | 174 | (303,247 ) |
1-Day SOFR, 5.33% | Annual | 4.45% | Annual | N/A | 04/09/26 | USD | 16,044 | (94,924 ) | 64 | (94,988 ) |
1-Day SOFR, 5.33% | Annual | 4.05% | Annual | N/A | 04/18/26 | USD | 25,216 | (333,031 ) | 102 | (333,133 ) |
1-Day SOFR, 5.33% | Annual | 4.30% | Annual | N/A | 04/24/26 | USD | 30,249 | (247,354 ) | 123 | (247,477 ) |
1-Day SOFR, 5.33% | Annual | 4.50% | Annual | N/A | 05/08/26 | USD | 25,254 | (95,383 ) | 105 | (95,488 ) |
4.69% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 10/02/26 | USD | 115,533 | 224,665 | (18,758 ) | 243,423 |
1-Day SOFR, 5.33% | At Termination | 4.17% | At Termination | 10/23/25 (a) | 10/23/26 | USD | 19,696 | 40,289 | 36 | 40,253 |
1-Day SOFR, 5.33% | At Termination | 4.21% | At Termination | 10/27/25 (a) | 10/27/26 | USD | 39,419 | 97,576 | 72 | 97,504 |
1-Day SOFR, 5.33% | Annual | 3.47% | Annual | 03/10/25 (a) | 03/10/27 | USD | 9,910 | (110,616 ) | 44 | (110,660 ) |
New Index, Research, 6.86% | Semi-Annual | 6.34% | Semi-Annual | N/A | 03/20/27 | INR | 1,186,669 | (78,818 ) | 94 | (78,912 ) |
1-Day SOFR, 5.33% | Annual | 4.10% | Annual | 05/30/25 (a) | 05/30/27 | USD | 30,153 | 71,151 | 135 | 71,016 |
1-Day SOFR, 5.33% | Annual | 4.15% | Annual | 05/30/25 (a) | 05/30/27 | USD | 30,153 | 98,571 | 143 | 98,428 |
1-Day SOFR, 5.33% | Annual | 3.30% | Annual | 10/23/25 (a) | 10/23/27 | USD | 7,036 | (67,361 ) | 32 | (67,393 ) |
1-Day SOFR, 5.33% | Annual | 4.20% | Annual | 10/23/25 (a) | 10/23/27 | USD | 10,250 | 67,926 | 47 | 67,879 |
1-Day SOFR, 5.33% | Annual | 3.92% | Annual | 11/03/25 (a) | 11/03/27 | USD | 4,880 | 8,693 | 22 | 8,671 |
1-Day SOFR, 5.33% | Annual | 3.95% | Annual | 11/03/25 (a) | 11/03/27 | USD | 4,880 | 11,321 | 22 | 11,299 |
1-Day SOFR, 5.33% | Annual | 3.99% | Annual | 11/03/25 (a) | 11/03/27 | USD | 9,761 | 28,771 | 44 | 28,727 |
1-Day SOFR, 5.33% | Annual | 4.07% | Annual | 11/03/25 (a) | 11/03/27 | USD | 19,787 | 88,576 | 90 | 88,486 |
1-Day SOFR, 5.33% | Annual | 3.86% | Annual | 11/10/25 (a) | 11/10/27 | USD | 20,267 | 16,728 | 92 | 16,636 |
1-Day SOFR, 5.33% | Annual | 3.48% | Annual | 01/23/26 (a) | 01/23/28 | USD | 27,289 | (142,697 ) | 118 | (142,815 ) |
3.45% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 01/26/28 | USD | 24,493 | 142,517 | 106 | 142,411 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/26/28 | USD | 24,493 | 97,163 | 106 | 97,057 |
3.27% | Annual | 1-Day SOFR, 5.33% | Annual | 02/05/26 (a) | 02/05/28 | USD | 24,747 | 219,561 | 107 | 219,454 |
1-Day SOFR, 5.33% | Annual | 3.87% | Annual | 02/05/26 (a) | 02/05/28 | USD | 24,747 | 45,039 | 107 | 44,932 |
1-Day SONIA, 5.20% | At Termination | 3.18% | At Termination | 02/10/27 (a) | 02/10/28 | GBP | 85,657 | (390,376 ) | 524 | (390,900 ) |
1-Day SONIA, 5.20% | Annual | 4.86% | Annual | N/A | 06/20/28 | GBP | 6,480 | 220,443 | (14 ) | 220,457 |
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Rate | Frequency | Rate | Frequency | |||||||
28-Day MXIBTIIE, 11.24% | Monthly | 9.13% | Monthly | N/A | 08/15/28 | MXN | 104,580 | $ (104,007 ) | $ 48 | $ (104,055 ) |
1-Day SOFR, 5.33% | Annual | 4.42% | Annual | N/A | 10/02/28 | USD | 81,301 | 257,544 | 16,675 | 240,869 |
1-Day SOFR, 5.33% | Annual | 4.40% | Annual | N/A | 10/31/28 | USD | 13,191 | 46,187 | 109 | 46,078 |
1-Day SONIA, 5.20% | Annual | 4.12% | Annual | N/A | 11/17/28 | GBP | 6,091 | (36,338 ) | 261 | (36,599 ) |
1-Day SONIA, 5.20% | Annual | 4.12% | Annual | N/A | 11/21/28 | GBP | 6,085 | (34,549 ) | 264 | (34,813 ) |
1-Day SOFR, 5.33% | Annual | 3.25% | Annual | 12/15/26 (a) | 12/15/28 | USD | 21,232 | (157,541 ) | 97 | (157,638 ) |
6-mo. EURIBOR, 3.68% | Semi-Annual | 3.00% | Annual | N/A | 03/05/29 | EUR | 15,660 | 17,855 | 156 | 17,699 |
New Index, Research, 6.86% | Semi-Annual | 6.26% | Semi-Annual | N/A | 03/20/29 | INR | 339,246 | (34,415 ) | 46 | (34,461 ) |
New Index, Research, 6.86% | Semi-Annual | 6.30% | Semi-Annual | N/A | 03/20/29 | INR | 414,634 | (34,002 ) | 56 | (34,058 ) |
1-Day SOFR, 5.33% | Annual | 3.79% | Annual | N/A | 03/29/29 | USD | 35,313 | (606,292 ) | 304 | (606,596 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/08/29 | USD | 21,208 | (152,201 ) | 189 | (152,390 ) |
1-Day SOFR, 5.33% | Annual | 4.05% | Annual | N/A | 04/09/29 | USD | 16,044 | (78,200 ) | 143 | (78,343 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/18/29 | USD | 25,216 | (169,128 ) | 226 | (169,354 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/24/29 | USD | 12,604 | (80,955 ) | 113 | (81,068 ) |
6-mo. EURIBOR, 3.68% | Semi-Annual | 2.90% | Annual | N/A | 04/30/29 | EUR | 17,653 | 3,730 | 179 | 3,551 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 05/06/29 | USD | 25,231 | (147,529 ) | 228 | (147,757 ) |
6-mo. EURIBOR, 3.68% | Semi-Annual | 2.87% | Annual | N/A | 06/11/29 | EUR | 12,874 | (17,237 ) | 136 | (17,373 ) |
0.02% | Annual | 6-mo. EURIBOR, 3.68% | Semi-Annual | N/A | 08/26/31 | EUR | 9,317 | 1,936,848 | 144 | 1,936,704 |
1-Day ESTR, 1,318.73% | Annual | 2.34% | Annual | 01/19/28 (a) | 01/19/33 | EUR | 7,414 | (84,999 ) | 104 | (85,103 ) |
1-Day SOFR, 5.33% | Annual | 3.14% | Annual | 05/12/28 (a) | 05/12/33 | USD | 13,769 | (333,355 ) | 127 | (333,482 ) |
1-Day SOFR, 5.33% | Annual | 4.31% | Annual | N/A | 09/29/33 | USD | 121,626 | 2,212,464 | 9,895 | 2,202,569 |
4.40% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 11/01/33 | USD | 11,317 | (305,627 ) | 177 | (305,804 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/12/34 | USD | 9,940 | (34,613 ) | 151 | (34,764 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/17/34 | USD | 2,863 | (9,357 ) | 44 | (9,401 ) |
New Index, Research, 6.86% | Semi-Annual | 6.34% | Semi-Annual | N/A | 03/20/34 | INR | 218,262 | (26,180 ) | 45 | (26,225 ) |
New Index, Research, 6.86% | Semi-Annual | 6.35% | Semi-Annual | N/A | 03/20/34 | INR | 218,262 | (24,257 ) | 45 | (24,302 ) |
3.46% | Annual | 1-Day SOFR, 5.33% | Annual | 12/15/26 (a) | 12/15/36 | USD | 4,853 | 124,262 | 80 | 124,182 |
4.25% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 09/29/43 | USD | 1,467 | (48,493 ) | 978 | (49,471 ) |
4.03% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 09/29/53 | USD | 30,617 | (1,150,564 ) | 9,569 | (1,160,133 ) |
3.65% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 11/03/53 | USD | 5,251 | 150,002 | 167 | 149,835 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 11/03/53 | USD | 5,251 | 183,141 | 167 | 182,974 |
$ (85,877 ) | $ 44,667 | $ (130,544 ) |
(a) | Forward Swap. |
Reference Obligations/Index | Financing Rate Paid by the Trust | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
American Airlines Group Inc. | 5.00 % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/24 | USD | 95 | $ (1,932 ) | $ (527 ) | $ (1,405 ) |
UBS Group AG | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | EUR | 3,700 | (68,403 ) | 107,058 | (175,461 ) |
UBS Group AG | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | EUR | 2,160 | (39,933 ) | 60,377 | (100,310 ) |
Boeing, Co. | 1.00 | Quarterly | Deutsche Bank AG | 12/20/28 | USD | 800 | 9,258 | (3,530 ) | 12,788 |
Paramount Global Class B | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/28 | USD | 300 | 13,877 | 19,436 | (5,559 ) |
Paramount Global Class B | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/28 | USD | 300 | 13,879 | 19,968 | (6,089 ) |
Xerox Corp. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/28 | USD | 10 | 903 | 1,100 | (197 ) |
Xerox Corp. | 1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/28 | USD | 30 | 2,708 | 3,298 | (590 ) |
Boeing, Co. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | USD | 800 | 13,079 | 9,571 | 3,508 |
Republic of Panama | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | USD | 300 | 10,202 | 11,321 | (1,119 ) |
TIM S.p.A. | 1.00 | Quarterly | Goldman Sachs International | 06/20/29 | EUR | 380 | 21,171 | 21,781 | (610 ) |
$ (25,191 ) | $ 249,853 | $ (275,044 ) |
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Vistra Operations Company LLC | 5.00 % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | BB | USD | 642 | $ 39,434 | $ 17,204 | $ 22,230 |
CCO Holdings LLC | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/29 | BB- | USD | 80 | 7,378 | 5,678 | 1,700 |
$ 46,812 | $ 22,882 | $ 23,930 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Trust | Received by the Trust | ||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day BZDIOVER, 0.04% | At Termination | 12.81% | At Termination | Morgan Stanley & Co. International PLC | N/A | 01/02/25 | BRL | 143,165 | $ 452,558 | $ — | $ 452,558 |
1-Day BZDIOVER, 0.04% | At Termination | 13.18% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/02/25 | BRL | 7,385 | 33,792 | — | 33,792 |
1-Day BZDIOVER, 0.04% | At Termination | 13.21% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/02/25 | BRL | 7,381 | 34,579 | — | 34,579 |
1-Day BZDIOVER, 0.04% | At Termination | 13.25% | At Termination | Citibank N.A. | N/A | 01/02/25 | BRL | 3,883 | 18,754 | — | 18,754 |
China Fixing Repo Rates 7-Day, 2.30% | Quarterly | 2.60% | Quarterly | Morgan Stanley & Co. International PLC | N/A | 09/15/26 | CNY | 157,107 | 373,929 | — | 373,929 |
1-Day BZDIOVER, 0.04% | At Termination | 10.06% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/04/27 | BRL | 14,158 | (152,344 ) | — | (152,344 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.03% | At Termination | BNP Paribas SA | N/A | 01/04/27 | BRL | 12,635 | (137,948 ) | — | (137,948 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.14% | At Termination | Bank of America N.A. | N/A | 01/04/27 | BRL | 13,441 | (141,631 ) | — | (141,631 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.12% | At Termination | BNP Paribas SA | N/A | 01/04/27 | BRL | 96 | (999 ) | — | (999 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.16% | At Termination | Bank of America N.A. | N/A | 01/04/27 | BRL | 17,910 | (186,540 ) | — | (186,540 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.12% | At Termination | BNP Paribas SA | N/A | 01/04/27 | BRL | 17,183 | (178,714 ) | — | (178,714 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.35% | At Termination | Barclays Bank PLC | N/A | 01/04/27 | BRL | 29,050 | (258,889 ) | — | (258,889 ) |
1-Day BZDIOVER, 0.04% | At Termination | 9.99% | At Termination | Citibank N.A. | N/A | 01/04/27 | BRL | 14,191 | (158,984 ) | — | (158,984 ) |
Paid by the Trust | Received by the Trust | ||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day BZDIOVER, 0.04% | At Termination | 10.00% | At Termination | Bank of America N.A. | N/A | 01/04/27 | BRL | 14,578 | $ (158,739 ) | $ — | $ (158,739 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.03% | At Termination | Morgan Stanley & Co. International PLC | N/A | 01/04/27 | BRL | 14,173 | (155,441 ) | — | (155,441 ) |
$ (616,617 ) | $ — | $ (616,617 ) |
Reference Entity | Payment Frequency | Counterparty(a) | Termination Date | Net Notional | Accrued Unrealized Appreciation (Depreciation) | Net Value of Reference Entity | Gross Notional Amount Net Asset Percentage |
Equity Securities Long/Short | Monthly | Barclays Bank PLC(b) | 07/28/25 | $255,667 | $7,220 | $262,887 | 0.0 % |
Monthly | Citibank N.A.(c) | 10/25/24 | 11,094,195 | (275,269 )(d) | 10,747,066 | 0.6 | |
Monthly | JPMorgan Chase Bank N.A.(e) | 02/10/25 | (6,593,452 ) | 9,305 (f) | (6,593,808 ) | 0.5 | |
$(258,744 ) | $4,416,145 |
(a) | The Trust receives the total return on a portfolio of long positions underlying the total return swap. The Trust pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Trust pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(d) | Amount includes $71,860 of net dividends and financing fees. |
(f) | Amount includes $9,661 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: | |||
(b) | (c) | (e) | |
Range: Benchmarks: | 0 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) | 26 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) | 15-95 basis points USD - 1D Overnight Bank Funding Rate (OBFR01) |
Security | Shares | Value | % of Basket Value |
Reference Entity — Long | |||
Common Stocks | |||
United States | |||
AMC Networks, Inc., Class A | 27,214 | $262,887 | 100.0 % |
Total Reference Entity — Long | 262,887 | ||
Net Value of Reference Entity — Barclays Bank PLC | $262,887 |
Security | Shares | Value | % of Basket Value |
Reference Entity — Long | |||
Common Stocks | |||
Italy | |||
Leonardo SpA | 463,859 | $10,747,066 | 97.6 % |
United States | |||
AMC Networks, Inc., Class A | 27,214 | 262,887 | 2.4 |
Net Value of Reference Entity — Citibank N.A. | $11,009,953 |
Security | Shares | Value | % of Basket Value |
Reference Entity — Long | |||
Common Stocks | |||
United States | |||
AMC Networks, Inc., Class A | 27,214 | $262,887 | (4.1 )% |
Security | Shares | Value | % of Basket Value |
United States (continued) | |||
Banc of California, Inc. | 1 | $13 | (0.0 )% |
Customers Bancorp Inc. | 6,046 | 290,087 | (4.6 ) |
Eagle Bancorp, Inc. | 3,416 | 64,562 | (1.0 ) |
New York Community Bancorp, Inc., Class A | 306,377 | 986,534 | (15.6 ) |
Total Reference Entity — Long | 1,604,083 | ||
Reference Entity — Short | |||
Common Stocks | |||
United States | |||
Air Transport Services Group, Inc. | (309 ) | (4,286 ) | 0.1 |
Atlantic Union Bankshares Corp. | (1,550 ) | (50,918 ) | 0.8 |
Brookline Bancorp, Inc. | (5,664 ) | (47,294 ) | 0.7 |
Community Bank System, Inc. | (1,416 ) | (66,849 ) | 1.1 |
CVB Financial Corp. | (3,741 ) | (64,495 ) | 1.0 |
Dime Community Bancshares, Inc. | (212 ) | (4,325 ) | 0.1 |
First Bancorp/Southern Pines NC | (1,699 ) | (54,232 ) | 0.9 |
Independent Bank Group, Inc. | (1,817 ) | (82,710 ) | 1.3 |
OceanFirst Financial Corp. | (4,578 ) | (72,744 ) | 1.1 |
Provident Financial Services, Inc. | (5,230 ) | (75,051 ) | 1.2 |
Sandy Spring Bancorp, Inc. | (3,683 ) | (89,718 ) | 1.4 |
Valley National Bancorp | (11,378 ) | (79,418 ) | 1.2 |
(692,040 ) | |||
Exchange Traded Funds | |||
United States | |||
iShares iBoxx $ High Yield Corporate Bond ETF | (24,105 ) | (1,859,460 ) | 29.4 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | (21,553 ) | (2,308,757 ) | 36.5 |
Vanguard Intermediate-Term Corporate Bond ETF | (38,468 ) | (3,074,747 ) | 48.5 |
(7,242,964 ) | |||
Total Reference Entity — Short | (7,935,004 ) | ||
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | $(6,330,921 ) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value |
Centrally Cleared Swaps(a) | $ 1,494,221 | $ (393,917 ) | $ 7,148,998 | $ (7,018,866 ) | $ — |
OTC Swaps | 276,792 | (4,057 ) | 970,363 | (2,096,838 ) | — |
Options Written | N/A | N/A | 1,053,950 | (1,454,334 ) | (3,912,526 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ 224,879 | $ — | $ 3,332,792 | $ — | $ 3,557,671 |
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 3,057,397 | — | — | 3,057,397 |
Options purchased Investments at value — unaffiliated(b) | — | 21,156 | 3,867,547 | 52,214 | 660,937 | — | 4,601,854 |
Swaps — centrally cleared Unrealized appreciation on centrally cleared swaps(a) | — | 713,434 | — | — | 6,419,933 | 15,631 | 7,148,998 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | 317,018 | 16,525 | — | 913,612 | — | 1,247,155 |
$ — | $ 1,051,608 | $ 4,108,951 | $ 3,109,611 | $ 11,327,274 | $ 15,631 | $ 19,613,075 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ 34,962 | $ — | $ 289,662 | $ — | $ 2,124,236 | $ — | $ 2,448,860 |
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 301,685 | — | — | 301,685 |
Options written Options written at value | — | 3,053 | 2,679,831 | 17,465 | 1,212,177 | — | 3,912,526 |
Swaps — centrally cleared Unrealized depreciation on centrally cleared swaps(a) | — | 468,389 | — | — | 6,550,477 | — | 7,018,866 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | 295,397 | 275,269 | — | 1,530,229 | — | 2,100,895 |
$ 34,962 | $ 766,839 | $ 3,244,762 | $ 319,150 | $ 11,417,119 | $ — | $ 15,782,832 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ (15,892,088 ) | $ — | $ (4,985,941 ) | $ — | $ (20,878,029 ) |
Forward foreign currency exchange contracts | — | — | — | 17,721,221 | — | — | 17,721,221 |
Options purchased(a) | — | (201,276 ) | 8,718,593 | (915,348 ) | (1,399,940 ) | (98,310 ) | 6,103,719 |
Options written | — | 22,630 | 2,007,159 | 178,093 | 1,327,393 | — | 3,535,275 |
Swaps | — | 316,132 | 3,143,690 | — | 168,273 | — | 3,628,095 |
$ — | $ 137,486 | $ (2,022,646 ) | $ 16,983,966 | $ (4,890,215 ) | $ (98,310 ) | $ 10,110,281 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ (130,265 ) | $ — | $ 2,560,161 | $ — | $ 5,146,495 | $ — | $ 7,576,391 |
Forward foreign currency exchange contracts | — | — | — | 4,753,815 | — | — | 4,753,815 |
Options purchased(b) | — | 18,783 | 152,412 | 290,814 | (2,905,450 ) | 70,187 | (2,373,254 ) |
Options written | — | (65 ) | (739,643 ) | (29,130 ) | 395,752 | — | (373,086 ) |
Swaps | — | (514,135 ) | (90,262 ) | — | (12,508,317 ) | (7,181 ) | (13,119,895 ) |
$ (130,265 ) | $ (495,417 ) | $ 1,882,668 | $ 5,015,499 | $ (9,871,520 ) | $ 63,006 | $ (3,536,029 ) |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — long | $522,081,912 |
Average notional value of contracts — short | $873,258,670 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $420,595,730 |
Average amounts sold — in USD | $43,455,829 |
Options: | |
Average value of option contracts purchased | $5,067,974 |
Average value of option contracts written | $2,486,604 |
Average notional value of swaption contracts purchased | $168,739,642 |
Average notional value of swaption contracts written | $639,238,086 |
Credit default swaps: | |
Average notional value — buy protection | $20,363,741 |
Average notional value — sell protection | $41,741,532 |
Interest rate swaps: | |
Average notional value — pays fixed rate | $276,279,988 |
Average notional value — receives fixed rate | $1,437,334,771 |
Inflation swaps: | |
Average notional value — receives fixed rate | $1,531,733 |
Total return swaps: | |
Average notional value | $9,229,896 |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Futures contracts | $ 2,627,803 | $ 1,130,023 |
Forward foreign currency exchange contracts | 3,057,397 | 301,685 |
Options | 4,601,854 (a) | 3,912,526 |
Swaps — centrally cleared | — | 640,265 |
Swaps — OTC(b) | 1,247,155 | 2,100,895 |
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | 11,534,209 | 8,085,394 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (6,427,654 ) | (4,450,119 ) |
Total derivative assets and liabilities subject to an MNA | $ 5,106,555 | $ 3,635,275 |
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received(b) | Net Amount of Derivative Assets(c)(d) |
Bank of America N.A. | $ 19,304 | $ (19,304 ) | $ — | $ — | $ — |
Barclays Bank PLC | 872,922 | (259,731 ) | — | — | 613,191 |
BNP Paribas SA | 7,336 | (7,336 ) | — | — | — |
Citibank N.A. | 343,057 | (343,057 ) | — | — | — |
Deutsche Bank AG | 36,230 | (36,230 ) | — | — | — |
Goldman Sachs International | 181,002 | (181,002 ) | — | — | — |
HSBC Bank PLC | 1,547,942 | (50,658 ) | — | — | 1,497,284 |
JPMorgan Chase Bank N.A. | 1,051,896 | (732,622 ) | — | — | 319,274 |
Morgan Stanley & Co. International PLC | 920,947 | (367,201 ) | — | (553,746 ) | — |
State Street Bank and Trust Co. | 68,593 | (16,858 ) | — | — | 51,735 |
UBS AG | 57,326 | (41,265 ) | — | — | 16,061 |
$ 5,106,555 | $ (2,055,264 ) | $ — | $ (553,746 ) | $ 2,497,545 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged(b) | Cash Collateral Pledged | Net Amount of Derivative Liabilities(c)(e) |
Bank of America N.A. | $ 488,029 | $ (19,304 ) | $ (456,840 ) | $ — | $ 11,885 |
Barclays Bank PLC | 259,731 | (259,731 ) | — | — | — |
BNP Paribas SA | 318,633 | (7,336 ) | — | — | 311,297 |
Citibank N.A. | 504,654 | (343,057 ) | (161,597 ) | — | — |
Deutsche Bank AG | 385,037 | (36,230 ) | (348,807 ) | — | — |
Goldman Sachs International | 470,587 | (181,002 ) | (134,127 ) | — | 155,458 |
HSBC Bank PLC | 50,658 | (50,658 ) | — | — | — |
JPMorgan Chase Bank N.A. | 732,622 | (732,622 ) | — | — | — |
Morgan Stanley & Co. International PLC | 367,201 | (367,201 ) | — | — | — |
State Street Bank and Trust Co. | 16,858 | (16,858 ) | — | — | — |
UBS AG | 41,265 | (41,265 ) | — | — | — |
$ 3,635,275 | $ (2,055,264 ) | $ (1,101,371 ) | $ — | $ 478,640 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statement of Assets and Liabilities. |
(b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 120,526,193 | $ 9,247,224 | $ 129,773,417 |
Common Stocks | ||||
Australia | — | 6,956,775 | — | 6,956,775 |
Canada | 29,705,772 | — | — | 29,705,772 |
China | — | 14,480,584 | — | 14,480,584 |
Denmark | — | 4,500,731 | — | 4,500,731 |
France | — | 31,063,093 | — | 31,063,093 |
Germany | — | 16,314,581 | — | 16,314,581 |
Hong Kong | — | 2,848,177 | — | 2,848,177 |
India | — | — | — | — |
Italy | — | 19,919,805 | — | 19,919,805 |
Japan | — | 61,111,242 | — | 61,111,242 |
Macau | — | 668,469 | — | 668,469 |
Netherlands | — | 26,582,299 | — | 26,582,299 |
South Korea | — | 6,330,129 | — | 6,330,129 |
Spain | 7,574,940 | 9,839,693 | — | 17,414,633 |
Sweden | — | — | — | — |
Switzerland | 4,061,351 | 3,179,671 | — | 7,241,022 |
Taiwan | 13,136,734 | — | — | 13,136,734 |
United Kingdom | 4,900,536 | 30,198,924 | 318,445 | 35,417,905 |
United States | 689,996,210 | 31,785,626 | 27,384,145 | 749,165,981 |
Corporate Bonds | ||||
Argentina | — | 224,536 | — | 224,536 |
Australia | — | 267,631 | 6,304,108 | 6,571,739 |
Belgium | — | 429,746 | — | 429,746 |
Brazil | — | 1,791,670 | — | 1,791,670 |
Level 1 | Level 2 | Level 3 | Total | |
Corporate Bonds (continued) | ||||
Canada | $ — | $ 13,486,160 | $ — | $ 13,486,160 |
Chile | — | 956,291 | — | 956,291 |
China | — | 3,149,150 | — | 3,149,150 |
Costa Rica | — | 223,792 | — | 223,792 |
Dominican Republic | — | 279,140 | — | 279,140 |
France | 132,880 | 1,474,342 | 2,232,661 | 3,839,883 |
Germany | — | 2,720,511 | 3,504,992 | 6,225,503 |
Ghana | — | 192,721 | — | 192,721 |
Hong Kong | — | 4,389,661 | — | 4,389,661 |
India | — | 1,235,567 | 789,000 | 2,024,567 |
Indonesia | — | 630,874 | — | 630,874 |
Ireland | — | 215,460 | — | 215,460 |
Israel | — | 198,150 | — | 198,150 |
Italy | — | 7,913,518 | — | 7,913,518 |
Japan | — | 4,695,418 | — | 4,695,418 |
Jersey | — | 1,321,293 | — | 1,321,293 |
Kuwait | — | 287,385 | — | 287,385 |
Luxembourg | — | 1,592,565 | — | 1,592,565 |
Macau | — | 546,641 | — | 546,641 |
Mexico | — | 971,766 | — | 971,766 |
Morocco | — | 322,998 | — | 322,998 |
Netherlands | — | 1,388,692 | — | 1,388,692 |
Panama | — | 212,294 | — | 212,294 |
Peru | — | 154,641 | — | 154,641 |
Saudi Arabia | — | 272,422 | — | 272,422 |
South Africa | — | 190,312 | — | 190,312 |
South Korea | — | 402,437 | — | 402,437 |
Spain | — | 730,051 | — | 730,051 |
Sweden | — | 2,272,259 | — | 2,272,259 |
Switzerland | — | 2,179,144 | — | 2,179,144 |
Thailand | — | 438,874 | — | 438,874 |
Turkey | — | 381,522 | — | 381,522 |
Ukraine | — | 504,018 | — | 504,018 |
United Arab Emirates | — | 2,874,576 | — | 2,874,576 |
United Kingdom | — | 5,633,827 | 1,727,122 | 7,360,949 |
United States | — | 104,348,711 | 47,611,773 | 151,960,484 |
Zambia | — | 209,250 | — | 209,250 |
Fixed Rate Loan Interests | — | — | 12,582,790 | 12,582,790 |
Floating Rate Loan Interests | — | 26,859,227 | 72,545,955 | 99,405,182 |
Foreign Agency Obligations | — | 34,340,150 | — | 34,340,150 |
Investment Companies | 21,039,560 | — | — | 21,039,560 |
Municipal Bonds | — | 3,926,732 | — | 3,926,732 |
Non-Agency Mortgage-Backed Securities | — | 70,686,255 | 13,051,789 | 83,738,044 |
Other Interests | — | — | 3,812,224 | 3,812,224 |
Preferred Securities | ||||
Capital Trusts | — | 1,510,386 | — | 1,510,386 |
Preferred Stocks | — | — | 68,299,402 | 68,299,402 |
U.S. Government Sponsored Agency Securities | — | 167,692,447 | — | 167,692,447 |
U.S. Treasury Obligations | — | 6,905,947 | — | 6,905,947 |
Warrants | ||||
Brazil | 10,272 | — | — | 10,272 |
Israel | 383 | — | 2,189 | 2,572 |
United Kingdom | — | — | 214,491 | 214,491 |
United States | 13,636 | 1,542 | 4,276,670 | 4,291,848 |
Short-Term Securities | ||||
Money Market Funds | 107,467,123 | — | — | 107,467,123 |
Options Purchased | ||||
Credit Contracts | — | 21,156 | — | 21,156 |
Equity Contracts | 3,799,851 | 67,696 | — | 3,867,547 |
Level 1 | Level 2 | Level 3 | Total | |
Foreign Currency Exchange Contracts | $ — | $ 52,214 | $ — | $ 52,214 |
Interest Rate Contracts | — | 660,937 | — | 660,937 |
Liabilities | ||||
Unfunded Floating Rate Loan Interests(a) | — | — | (16,602 ) | (16,602 ) |
$ 881,839,248 | $ 870,740,697 | $ 273,888,378 | 2,026,468,323 | |
Investments Valued at NAV(b) | 4,960,265 | |||
$ 2,031,428,588 | ||||
Derivative Financial Instruments(c) | ||||
Assets | ||||
Credit Contracts | $ — | $ 753,660 | $ — | $ 753,660 |
Equity Contracts | 6,268 | 235,136 | — | 241,404 |
Foreign Currency Exchange Contracts | — | 3,057,397 | — | 3,057,397 |
Interest Rate Contracts | 3,332,792 | 7,333,545 | — | 10,666,337 |
Other Contracts | — | 15,631 | — | 15,631 |
Liabilities | ||||
Commodity Contracts | (34,962 ) | — | — | (34,962 ) |
Credit Contracts | — | (762,782 ) | — | (762,782 ) |
Equity Contracts | (2,959,270 ) | (285,492 ) | — | (3,244,762 ) |
Foreign Currency Exchange Contracts | — | (319,150 ) | — | (319,150 ) |
Interest Rate Contracts | (2,124,236 ) | (9,292,883 ) | — | (11,417,119 ) |
$ (1,779,408 ) | $ 735,062 | $ — | $ (1,044,346 ) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Non-Agency Mortgage-Backed Securities | Other Interests | |
Assets | |||||||
Opening balance, as of December 31, 2023 | $ 8,947,923 | $ 27,338,257 | $ 56,881,661 | $ 11,920,142 | $ 65,568,658 | $ 15,407,058 | $ 4,065,568 |
Transfers into Level 3 | 1,564,177 | — | — | — | 4,582,720 | — | — |
Transfers out of Level 3 | — | (117,329 ) | — | — | — | — | — |
Other(a) | — | (5,271,859 ) | — | (518,705 ) | 518,705 | — | — |
Accrued discounts/premiums | 1,298 | — | 169,667 | 13,581 | 69,475 | 76,783 | — |
Net realized gain (loss) | 20,445 | — | (343,436 ) | 26,271 | (46,456 ) | — | — |
Net change in unrealized appreciation (depreciation)(b)(c) | (239,611 ) | (264,353 ) | (995,973 ) | 35,854 | 411,064 | 333,722 | (253,344 ) |
Purchases | — | 6,017,874 | 25,819,303 | 2,554,703 | 5,776,113 | — | — |
Sales | (1,047,008 ) | — | (19,361,566 ) | (1,449,056 ) | (4,334,324 ) | (2,765,774 ) | — |
Closing balance, as of June 30, 2024 | $ 9,247,224 | $ 27,702,590 | $ 62,169,656 | $ 12,582,790 | $ 72,545,955 | $ 13,051,789 | $ 3,812,224 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | $ (239,611 ) | $ (264,353 ) | $ (749,215 ) | $ 35,854 | $ 395,542 | $ 333,722 | $ (253,344 ) |
Preferred Stocks | Unfunded Fixed Rate Loan Interests | Unfunded Floating Rate Loan Interests | Warrants | Total | |
Assets/Liabilities | |||||
Opening balance, as of December 31, 2023 | $ 53,697,827 | $ — | $ (49,378 ) | $ 1,990,642 | $ 245,768,358 |
Transfers into Level 3 | 2,487,113 | — | — | — | 8,634,010 |
Transfers out of Level 3 | — | — | — | (6,587 ) | (123,916 ) |
Other(a) | 5,271,859 | 191 | (191 ) | — | — |
Accrued discounts/premiums | — | — | — | — | 330,804 |
Net realized gain (loss) | 301 | — | — | — | (342,875 ) |
Net change in unrealized appreciation (depreciation)(b)(c) | (5,593,633 ) | (191 ) | 32,967 | 2,509,295 | (4,024,203 ) |
Preferred Stocks | Unfunded Fixed Rate Loan Interests | Unfunded Floating Rate Loan Interests | Warrants | Total | |
Purchases | $ 13,680,646 | $ — | $ — | $ — | $ 53,848,639 |
Sales | (1,244,711 ) | — | — | — | (30,202,439 ) |
Closing balance, as of June 30, 2024 | $ 68,299,402 | $ — | $ (16,602 ) | $ 4,493,350 | $ 273,888,378 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | $ (5,593,633 ) | $ — | $ (15,451 ) | $ 2,660,884 | $ (3,689,605 ) |
(a) | Certain Level 3 investments were re-classified between Common Stocks, Fixed Rate Loan Interests, Floating Rate Loan Interests, Unfunded Fixed Rate Loan Interests and Unfunded Floating Rate Loan Interests. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
Value | Valuation Approach | Unobservable Inputs | Range of Unobservable Inputs Utilized(a) | Weighted Average of Unobservable Inputs Based on Fair Value | |
Assets | |||||
Common Stocks | $27,702,590 | Market | Revenue Multiple | 3.50x - 17.50x | 5.04x |
Volatility | 75% - 80% | 80% | |||
Time to Exit | 3.0 - 5.1 years | 3.0 years | |||
EBITDA Multiple | 7.75x | — | |||
Gross Profit Multiple | 12.40x - 12.80x | 12.64x | |||
Income | Discount Rate | 11% - 16% | 14% | ||
Asset Backed Securities | 5,094,444 | Income | Discount Rate | 8% - 9% | 9% |
Non-Agency Mortgage-Backed Securities | 3,293,022 | Income | Discount Rate | 10% | — |
Corporate Bonds | 62,169,656 | Income | Discount Rate | 7% - 30% | 12% |
Market | Revenue Mulltiple | 4.00x | — | ||
Volatility | 50% | — | |||
Floating Rate Loan Interest | 63,458,217 | Income | Discount Rate | 7% - 14% | 13% |
Fixed Rate Loan Interests | 10,740,813 | Income | Discount Rate | 7% - 12% | 8% |
Other Interests | 3,812,224 | Income | Discount Rate | 10% | — |
Preferred Stocks(b) | 68,299,402 | Market | Revenue Multiple | 0.22x - 18.08x | 7.74x |
Volatility | 35% - 95% | 69% | |||
Time to Exit | 0.5 - 5.0 years | 2.6 years | |||
EBIDTAR Multiple | 11.15x | — | |||
EBIDTA Multiple | 7.00x | — | |||
Market Adjustment Multiple | 1.40x | — | |||
Income | Discount Rate | 11% - 14% | 12% | ||
Warrants | 3,419,847 | Market | Revenue Multiple | 4.00x -10.50x | 7.49x |
Volatility | 38% - 80% | 68% | |||
Time to Exit | 0.5 - 5.1 years | 2.7 years |
Value | Valuation Approach | Unobservable Inputs | Range of Unobservable Inputs Utilized(a) | Weighted Average of Unobservable Inputs Based on Fair Value | |
Income | Discount Rate | 6%-19% | 18% | ||
$247,990,215 |
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
(b) | The fund valued certain of its Level 3 Direct Investments using recent transactions as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction prices, for which inputs are unobservable, is $1,579,000 as of June 30, 2024. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
Cayman Islands(a)(b) — 1.4% | |||
Apidos CLO XXXVI, Series 2021-36A, Class B, (3- mo. CME Term SOFR + 1.86%), 7.19%, 07/20/34 | USD | 250 | $ 250,390 |
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3- mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34 | 250 | 251,258 | |
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/31 | 250 | 246,300 | |
Birch Grove CLO Ltd., Series 2021-3A, Class D1, (3-mo. CME Term SOFR + 3.46%), 8.79%, 01/19/35 | 500 | 498,503 | |
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.77%, 10/22/30 | 112 | 112,412 | |
Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.39%, 01/20/31 | 500 | 502,158 | |
CarVal CLO VC Ltd. | |||
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/15/34 | 250 | 250,827 | |
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.34%, 10/15/34 | 250 | 250,858 | |
Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.19%, 04/20/31 | 250 | 250,029 | |
Cedar Funding XIV CLO Ltd. | |||
Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/15/33 | 500 | 499,543 | |
Series 2021-14A, Class E, (3-mo. CME Term SOFR + 6.60%), 11.93%, 07/15/33 | 250 | 246,253 | |
CIFC Funding Ltd., Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.81%), 9.14%, 07/16/30 | 500 | 502,417 | |
Elmwood CLO I Ltd, Series 19-1A, Class 1RR, (3-mo. CME Term SOFR + 1.52%), 6.83%, 04/20/37 | 250 | 250,257 | |
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34 | 750 | 752,943 | |
Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%, 01/17/34 | 1,000 | 594,000 | |
Generate CLO Ltd., Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.09%, 01/22/35 | 750 | 753,518 | |
GoldenTree Loan Management U.S. CLO Ltd. | |||
Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.14%, 10/20/32 | 250 | 250,430 | |
Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.94%, 10/20/34 | 1,500 | 1,506,874 | |
Golub Capital Partners CLO Ltd. | |||
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34 | 250 | 250,694 | |
Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34 | 250 | 250,583 | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.84%, 10/19/34 | 500 | 501,975 | |
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | 250 | 250,503 |
Security | Par (000) | Value | |
Cayman Islands (continued) | |||
Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 04/25/32 | USD | 250 | $ 251,140 |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 07/17/34 | 500 | 501,439 | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.24%, 01/22/35 | 250 | 250,252 | |
Myers Park CLO Ltd., Series 2018-1A, Class E, (3- mo. CME Term SOFR + 5.76%), 11.09%, 10/20/30 | 250 | 250,538 | |
Neuberger Berman CLO XIV Ltd., Series 2012-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.62%, 01/28/30 | 144 | 144,558 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 01/20/36 | 250 | 251,044 | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.64%, 07/15/34 | 1,500 | 1,470,093 | |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/25/34 | 250 | 251,860 | |
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.63%, 05/23/31 | 485 | 486,287 | |
Palmer Square CLO Ltd. | |||
Series 2013-2A, Class A2R3, (3-mo. CME Term SOFR + 1.76%), 7.08%, 10/17/31 | 250 | 250,468 | |
Series 2020-3ARR, Class A2R2, (3-mo. CME Term SOFR + 2.30%), 7.62%, 11/15/36 | 500 | 508,125 | |
Palmer Square Loan Funding Ltd., Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.10%, 10/15/29 | 500 | 502,114 | |
Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.99%, 07/15/34 | 1,650 | 1,651,523 | |
Pikes Peak CLO, Series 2021-11A, Class A1, (3-mo. CME Term SOFR + 1.95%), 7.27%, 07/25/34 | 1,500 | 1,501,510 | |
Rad CLO Ltd., Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34 | 250 | 249,901 | |
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.20%, 10/15/33 | 250 | 250,609 | |
Regatta XXIV Funding Ltd. | |||
Series 2021-5A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 01/20/35 | 250 | 250,663 | |
Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35 | 250 | 251,024 | |
RR Ltd., Series 2024-28R, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/15/37 | 500 | 500,343 | |
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.18%, 07/15/35 | 250 | 251,280 | |
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34 | 750 | 750,382 | |
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29 | 1,250 | 21,938 |
Security | Par (000) | Value | |
Cayman Islands (continued) | |||
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.74%, 01/15/34 | USD | 500 | $ 501,045 |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31 | 250 | 250,216 | |
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3- mo. CME Term SOFR + 6.96%), 12.29%, 10/20/32 | 500 | 501,750 | |
Trestles CLO V Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 10/20/34 | 1,000 | 1,002,610 | |
Trimaran CAVU Ltd. | |||
Series 2019-1A, Class E, (3-mo. CME Term SOFR + 7.30%), 12.63%, 07/20/32 | 500 | 500,164 | |
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/25/34 | 550 | 549,966 | |
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/32 | 250 | 249,883 | |
Whitebox CLO II Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.68%, 10/24/34 | 250 | 250,422 | |
Whitebox CLO III Ltd. | |||
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/15/34 | 1,000 | 1,003,077 | |
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.44%, 10/15/34 | 1,250 | 1,255,101 | |
26,084,050 | |||
Ireland(a)(c) — 0.0% | |||
Harvest CLO XXXII DAC, Series 2032X, Class D, (3-mo. EURIBOR + 3.60%), 7.30%, 07/25/37 | EUR | 230 | 246,319 |
Penta CLO DAC, Series 2024-17X, Class D, 08/15/38(d) | 253 | 270,950 | |
Tikehau CLO XII DAC, Series 2012X, Class D, 10/20/38(d) | 380 | 406,961 | |
924,230 | |||
United States(b) — 1.8% | |||
FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/19/39 | USD | 3,000 | 2,868,975 |
Home Partners of America Trust | |||
Series 2021-2, Class F, 3.80%, 12/17/26 | 2,403 | 2,180,722 | |
Series 2021-3, Class F, 4.24%, 01/17/41 | 3,650 | 3,145,377 | |
Mariner Finance Issuance Trust, Series 2021-BA, Class E, 4.68%, 11/20/36 | 470 | 396,961 | |
Mill City Solar Loan Ltd. | |||
Series 2019-1A, Class C, 5.92%, 03/20/43 | 1,176 | 959,534 | |
Series 2019-1A, Class D, 7.14%, 03/20/43 | 1,849 | 1,263,789 | |
Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44 | 327 | 272,335 | |
New Residential Mortgage Loan Trust, Series 2022- SFR1, Class F, 4.44%, 02/17/39 | 3,000 | 2,655,212 | |
Progress Residential Trust | |||
Series 2021-SFR10, Class F, 4.61%, 12/17/40 | 2,913 | 2,592,907 | |
Series 2021-SFR11, Class G, 4.69%, 01/17/39 | 3,000 | 2,590,281 | |
Series 2021-SFR9, Class F, 4.05%, 11/17/40 | 2,400 | 2,088,980 | |
Series 2022-SFR1, Class F, 4.88%, 02/17/41 | 2,000 | 1,745,560 | |
Series 2022-SFR1, Class G, 5.52%, 02/17/41 | 2,000 | 1,711,718 | |
Series 2022-SFR3, Class E1, 5.20%, 04/17/39 | 2,700 | 2,583,050 | |
Republic Finance Issuance Trust | |||
Series 2020-A, Class D, 7.00%, 11/20/30 | 600 | 588,918 | |
Series 2021-A, Class D, 5.23%, 12/22/31 | 800 | 742,301 | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%, 11/25/31(a) | 3,500 | 2,990,313 |
Security | Par (000) | Value | |
United States (continued) | |||
Tricon Residential Trust | |||
Series 2021-SFR1, Class F, 3.69%, 07/17/38 | USD | 1,375 | $ 1,263,225 |
Series 2021-SFR1, Class G, 4.13%, 07/17/38 | 887 | 808,027 | |
Series 2022-SFR1, Class E2, 5.74%, 04/17/39 | 1,200 | 1,152,570 | |
34,600,755 | |||
Total Asset-Backed Securities — 3.2% (Cost: $67,427,445) | 61,609,035 |
Shares | |||
Common Stocks | |||
Canada — 0.7% | |||
Cameco Corp. | 238,818 | 11,749,846 | |
Enbridge, Inc. | 22,000 | 782,676 | |
Lionsgate Studios Corp.(e) | 44,651 | 359,887 | |
12,892,409 | |||
China — 0.8% | |||
BYD Co. Ltd., Class H | 448,376 | 13,316,247 | |
Contemporary Amperex Technology Co. Ltd., Class A | 128,000 | 3,155,826 | |
16,472,073 | |||
Denmark — 0.2% | |||
Novo Nordisk A/S, Class B | 31,434 | 4,497,726 | |
Finland — 0.3% | |||
Neste OYJ | 281,730 | 5,027,327 | |
France — 2.5% | |||
Accor SA | 81,858 | 3,349,548 | |
Cie de Saint-Gobain SA | 228,168 | 17,745,568 | |
EssilorLuxottica SA | 15,113 | 3,247,535 | |
Hermes International SCA | 1,133 | 2,616,806 | |
LVMH Moet Hennessy Louis Vuitton SE | 21,063 | 16,171,978 | |
TotalEnergies SE | 38,467 | 2,575,509 | |
TotalEnergies SE, ADR | 44,000 | 2,933,920 | |
48,640,864 | |||
Germany — 1.5% | |||
adidas AG, Class N | 29,908 | 7,141,030 | |
Bayerische Motoren Werke AG | 9,997 | 945,631 | |
Mercedes-Benz Group AG, Class N | 184,109 | 12,742,460 | |
Siemens AG, Class N, Registered Shares | 40,494 | 7,536,966 | |
28,366,087 | |||
Hong Kong — 0.1% | |||
AIA Group Ltd. | 377,800 | 2,556,099 | |
Italy — 1.2% | |||
Ariston Holding NV | 450,912 | 1,857,914 | |
Intesa Sanpaolo SpA | 2,922,891 | 10,862,671 | |
UniCredit SpA | 268,153 | 9,923,276 | |
22,643,861 | |||
Japan — 2.5% | |||
FANUC Corp. | 201,100 | 5,520,739 | |
Honda Motor Co. Ltd. | 496,000 | 5,331,992 | |
Hoya Corp. | 78,700 | 9,203,125 | |
Keyence Corp. | 18,700 | 8,184,577 | |
Komatsu Ltd. | 302,700 | 8,841,724 | |
Mitsubishi UFJ Financial Group, Inc. | 203,000 | 2,190,782 |
Security | Shares | Value | |
Japan (continued) | |||
Sysmex Corp. | 104,300 | $ 1,683,605 | |
Toyota Motor Corp. | 320,000 | 6,565,588 | |
47,522,132 | |||
Netherlands — 2.0% | |||
ASML Holding NV | 32,037 | 32,651,017 | |
ING Groep NV | 295,828 | 5,083,114 | |
37,734,131 | |||
Norway — 0.0% | |||
Equinor ASA, ADR | 24,000 | 685,440 | |
South Korea — 0.5% | |||
Samsung SDI Co. Ltd. | 11,213 | 2,863,247 | |
SK Hynix, Inc. | 35,168 | 5,968,310 | |
8,831,557 | |||
Spain — 0.4% | |||
Cellnex Telecom SA(b) | 249,921 | 8,128,549 | |
Sweden — 0.2% | |||
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $293,944)(e)(f)(g) | 2,492 | — | |
Volvo AB, Class B | 125,246 | 3,218,123 | |
3,218,123 | |||
Switzerland — 0.3% | |||
UBS Group AG, Registered Shares | 176,588 | 5,186,415 | |
Taiwan — 1.1% | |||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 121,094 | 21,047,348 | |
United Kingdom — 1.2% | |||
AstraZeneca PLC | 4,000 | 622,532 | |
AstraZeneca PLC, ADR | 139,541 | 10,882,803 | |
Compass Group PLC | 75,759 | 2,063,925 | |
RELX PLC | 221,926 | 10,168,390 | |
Teya Services Ltd., (Acquired 11/16/21, Cost: $1,099,370)(e)(f)(g) | 566 | 145,943 | |
23,883,593 | |||
United States — 44.4% | |||
Adobe, Inc.(e) | 28,611 | 15,894,555 | |
Advanced Micro Devices, Inc.(e) | 1,156 | 187,515 | |
Alphabet, Inc., Class C | 184,680 | 33,874,006 | |
Amazon.com, Inc.(e) | 130,212 | 25,163,469 | |
American Tower Corp.(h) | 83,710 | 16,271,550 | |
Apple, Inc. | 82,215 | 17,316,123 | |
Applied Materials, Inc. | 126,742 | 29,909,845 | |
Autodesk, Inc.(e) | 26,910 | 6,658,879 | |
Bank of America Corp. | 219,855 | 8,743,633 | |
Boston Scientific Corp.(e) | 334,586 | 25,766,468 | |
Bunge Global SA | 47,047 | 5,023,208 | |
Cadence Design Systems, Inc.(e) | 27,770 | 8,546,217 | |
CF Industries Holdings, Inc. | 77,002 | 5,707,388 | |
Charles Schwab Corp. | 65,292 | 4,811,367 | |
Comcast Corp., Class A | 129,963 | 5,089,351 | |
Confluent, Inc., Class A(e) | 283,241 | 8,364,107 | |
Constellium SE, Class A(e) | 85,604 | 1,613,635 | |
Costco Wholesale Corp. | 13,315 | 11,317,617 | |
CRH PLC | 115,333 | 8,647,668 | |
Crowdstrike Holdings, Inc., Class A(e) | 1,469 | 562,906 | |
Danaher Corp. | 42,046 | 10,505,193 | |
Delta Air Lines, Inc. | 134,147 | 6,363,934 | |
Dynatrace, Inc.(e) | 8,600 | 384,764 | |
Eaton Corp. PLC | 3,076 | 964,480 |
Security | Shares | Value | |
United States (continued) | |||
Edwards Lifesciences Corp.(e) | 33,124 | $ 3,059,664 | |
Eli Lilly & Co. | 51,401 | 46,537,437 | |
Flyr AS, Series D(e)(f) | 392,187 | 2,796,293 | |
Ford Motor Co. | 28,873 | 362,067 | |
Fortive Corp. | 54,170 | 4,013,997 | |
Freeport-McMoRan, Inc. | 50,631 | 2,460,667 | |
Freewire Equity(e)(f) | 63 | — | |
General Motors Co. | 9,924 | 461,069 | |
Goldman Sachs Group, Inc. | 22,154 | 10,020,697 | |
Hilton Worldwide Holdings, Inc. | 15,713 | 3,428,577 | |
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000)(e)(f)(g) | 2,660,000 | 2,686,600 | |
Ingersoll Rand, Inc. | 42,373 | 3,849,163 | |
Intuit, Inc. | 9,539 | 6,269,126 | |
Intuitive Surgical, Inc.(e) | 51,844 | 23,062,803 | |
Invesco S&P 500 Equal Weight ETF | 9,750 | 1,601,730 | |
Johnson Controls International PLC | 81,791 | 5,436,648 | |
JPMorgan Chase & Co. | 68,063 | 13,766,422 | |
Lam Research Corp. | 1,050 | 1,118,093 | |
Landsea Homes Corp.(e) | 43,028 | 395,427 | |
Linde PLC | 16,438 | 7,213,159 | |
Lions Gate Entertainment Corp., Class A(e) | 18,500 | 174,270 | |
Lions Gate Entertainment Corp., Class B(e) | 2,821 | 24,176 | |
LKQ Corp. | 260,232 | 10,823,049 | |
Marsh & McLennan Cos., Inc. | 161,931 | 34,122,100 | |
Mastercard, Inc., Class A | 77,137 | 34,029,759 | |
Merck & Co., Inc. | 176,482 | 21,848,472 | |
Meta Platforms, Inc., Class A | 17,620 | 8,884,356 | |
Micron Technology, Inc. | 72,487 | 9,534,215 | |
Microsoft Corp.(h) | 172,828 | 77,245,475 | |
NextEra Energy, Inc. | 249,560 | 17,671,344 | |
NRG Energy, Inc. | 7,373 | 574,062 | |
NVIDIA Corp. | 425,390 | 52,552,681 | |
Oracle Corp. | 103,938 | 14,676,046 | |
Palo Alto Networks, Inc.(e) | 22,970 | 7,787,060 | |
Progressive Corp. | 76,298 | 15,847,858 | |
RXO, Inc.(e) | 5,166 | 135,091 | |
Salesforce, Inc. | 38,844 | 9,986,792 | |
Sanofi SA | 48,172 | 4,645,859 | |
Schlumberger NV | 31,346 | 1,478,904 | |
Schneider Electric SE | 60,975 | 14,618,498 | |
Screaming Eagle Acquisition Crop., (Acquired 05/14/24, Cost: $1,168,975)(e)(g) | 115,000 | 926,900 | |
ServiceNow, Inc.(e) | 21,517 | 16,926,778 | |
Smith Douglas Homes Corp., Class A(e) | 27,051 | 632,452 | |
Stryker Corp. | 19,034 | 6,476,319 | |
Tesla, Inc.(e) | 7,274 | 1,439,379 | |
Thermo Fisher Scientific, Inc. | 41,334 | 22,857,702 | |
TJX Cos., Inc. | 12,767 | 1,405,647 | |
Trane Technologies PLC | 8,725 | 2,869,914 | |
UnitedHealth Group, Inc. | 44,304 | 22,562,255 | |
Valero Energy Corp. | 2,310 | 362,116 | |
Veralto Corp. | 94,779 | 9,048,551 | |
Vertex Pharmaceuticals, Inc.(e) | 3,804 | 1,783,011 | |
Visa, Inc., Class A | 22,505 | 5,906,887 | |
Volato Group, Inc., Class A Lock Up(e) | 12,225 | 7,147 | |
Walmart, Inc. | 190,854 | 12,922,724 |
Security | Shares | Value | |
United States (continued) | |||
Walt Disney Co. | 80,054 | $ 7,948,562 | |
Wells Fargo & Co. | 26,077 | 1,548,713 | |
848,512,641 | |||
Total Common Stocks — 59.9% (Cost: $900,013,304) | 1,145,846,375 |
Par (000) | |||
Corporate Bonds | |||
Australia(f) — 0.3% | |||
Oceana Australian Fixed Income Trust, A Note Upsize | |||
12.00%, 07/31/25 | AUD | 1,682 | 1,122,062 |
12.50%, 07/31/26 | 2,524 | 1,688,980 | |
12.50%, 07/31/27 | 4,206 | 2,826,866 | |
5,637,908 | |||
Belgium — 0.0% | |||
Anheuser-Busch InBev SA, 4.00%, 09/24/25(c) | GBP | 100 | 124,659 |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | USD | 200 | 189,461 |
314,120 | |||
Canada — 0.0% | |||
Mattamy Group Corp., 5.25%, 12/15/27(b) | 703 | 683,036 | |
France(c) — 0.1% | |||
Atos SE | |||
0.00%, 11/06/24(i) | EUR | 100 | 13,922 |
1.75%, 05/07/25 | 100 | 12,787 | |
2.50%, 11/07/28 | 100 | 13,922 | |
1.00%, 11/12/29 | 200 | 29,491 | |
Bertrand Franchise Finance SAS | |||
6.50%, 07/18/30 | 100 | 107,818 | |
(3-mo. EURIBOR + 3.75%), 7.49%, 07/18/30(a) | 237 | 254,932 | |
BNP Paribas SA | |||
3.38%, 01/23/26 | GBP | 100 | 122,631 |
1.88%, 12/14/27 | 100 | 113,349 | |
Lion/Polaris Lux 4 SA, 07/01/29(a)(d) | EUR | 168 | 179,920 |
Picard Groupe SAS, 07/01/29(d) | 177 | 189,333 | |
RCI Banque SA, 10/09/34(a)(d) | 200 | 213,668 | |
Societe Generale SA, 1.88%, 10/03/24 | GBP | 100 | 125,190 |
TotalEnergies Capital International SA, 1.66%, 07/22/26 | 100 | 118,805 | |
Worldline SA/France, 0.00%, 07/30/26(i)(j) | EUR | 121 | 120,045 |
1,615,813 | |||
Germany — 0.3% | |||
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(b) | 952 | 1,015,222 | |
Commerzbank AG(a)(c)(d)(k) | 200 | 213,597 | |
Deutsche Bank AG, (5-year EURIBOR ICE Swap + 4.55%), 4.50%(a)(c)(k) | 200 | 191,165 | |
Fraport AG Frankfurt Airport Services Worldwide, 4.25%, 06/11/32(c) | 225 | 243,017 | |
Lanxess AG, (13.35% PIK), 13.35%, 03/31/31(f)(l) | 2,979 | 3,142,407 |
Security | Par (000) | Value | |
Germany (continued) | |||
PrestigeBidCo GmbH, 07/01/29(a)(c)(d) | EUR | 138 | $ 148,899 |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(c)(l) | 375 | 298,369 | |
5,252,676 | |||
Hong Kong — 0.2% | |||
FWD Group Holdings Ltd., 8.40%, 04/05/29(c) | USD | 4,119 | 4,209,103 |
Italy(c) — 0.1% | |||
A2A SpA, (5-year EURIBOR ICE Swap + 2.26%), 5.00%(a)(k) | EUR | 200 | 212,316 |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28 | 702 | 775,128 | |
Fiber Midco SpA, (10.00% PIK), 10.00%, 06/15/29(l) | 197 | 210,608 | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(a) | 189 | 203,907 | |
Pachelbel Bidco SpA | |||
7.13%, 05/17/31 | 137 | 151,489 | |
(3-mo. EURIBOR + 4.25%), 8.07%, 05/17/31(a) | 125 | 135,729 | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34 | 100 | 105,451 | |
1,794,628 | |||
Japan — 0.3% | |||
Mizuho Financial Group, Inc., (1-year CMT + 1.25%), 3.26%, 05/22/30(a) | USD | 2,040 | 1,856,446 |
Rakuten Group, Inc., 9.75%, 04/15/29(b) | 3,454 | 3,560,211 | |
SoftBank Group Corp.(c)(d) | |||
01/08/29 | EUR | 539 | 577,242 |
07/08/32 | 537 | 575,101 | |
6,569,000 | |||
Jersey — 0.0% | |||
Aston Martin Capital Holdings Ltd., 10.38%, 03/31/29(c) | GBP | 145 | 181,920 |
Netherlands — 0.2% | |||
Cooperatieve Rabobank UA, (1-year UK Government Bond + 1.05%), 1.88%, 07/12/28(a)(c) | 100 | 114,744 | |
ING Groep NV, 3.00%, 02/18/26(c) | 100 | 122,195 | |
Q-Park Holding I BV, 02/15/30(c)(d) | EUR | 243 | 259,590 |
Sigma Holdco BV, 5.75%, 05/15/26(c) | 374 | 392,725 | |
Sunrise FinCo I BV, 4.88%, 07/15/31(b) | USD | 380 | 345,046 |
Trivium Packaging Finance BV, 5.50%, 08/15/26(b) | 2,654 | 2,600,355 | |
3,834,655 | |||
Spain(c) — 0.1% | |||
Banco Bilbao Vizcaya Argentaria SA, (5-year EUR Swap + 4.27%), 6.88%(a)(k) | EUR | 200 | 211,593 |
Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(a) | GBP | 300 | 367,499 |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29 | EUR | 190 | 197,376 |
Telefonica Emisiones SA, 5.38%, 02/02/26 | GBP | 133 | 168,292 |
944,760 | |||
Sweden(c) — 0.0% | |||
Intrum AB, 3.00%, 09/15/27 | EUR | 370 | 255,202 |
Swedbank AB, (1-year UK Government Bond + 1.00%), 1.38%, 12/08/27(a) | GBP | 100 | 115,480 |
370,682 | |||
United Kingdom — 0.1% | |||
Barclays PLC, 3.00%, 05/08/26(c) | 100 | 121,193 |
Security | Par (000) | Value | |
United Kingdom (continued) | |||
CPUK Finance Ltd., 7.88%, 08/28/29(c) | GBP | 111 | $ 142,771 |
Deuce Finco PLC, 5.50%, 06/15/27(b) | 337 | 407,140 | |
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(a) | 100 | 117,450 | |
Informa PLC, 3.13%, 07/05/26(c) | 100 | 120,780 | |
Lloyds Banking Group PLC, 2.25%, 10/16/24(c) | 100 | 125,143 | |
NatWest Group PLC, (1-year GBP Swap + 1.49%), 2.88%, 09/19/26(a)(c) | 100 | 122,259 | |
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(c) | 100 | 123,532 | |
1,280,268 | |||
United States — 8.3% | |||
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) | USD | 2,176 | 2,067,832 |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) | 431 | 416,311 | |
Allegiant Travel Co., 7.25%, 08/15/27(b) | 635 | 604,321 | |
American Express Co., (1-day SOFR + 1.00%), 4.99%, 05/01/26(a) | 1,870 | 1,859,137 | |
Amgen, Inc. | |||
3.13%, 05/01/25 | 950 | 931,418 | |
5.50%, 12/07/26(c) | GBP | 100 | 127,487 |
3.00%, 01/15/52 | USD | 2,590 | 1,696,312 |
2.77%, 09/01/53 | 2,025 | 1,212,227 | |
Aon North America, Inc., 5.30%, 03/01/31 | 3,795 | 3,783,971 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 08/01/29(b) | 1,996 | 1,798,306 | |
AT&T, Inc. | |||
2.90%, 12/04/26 | GBP | 100 | 119,828 |
5.50%, 03/15/27(c) | 50 | 63,326 | |
Bank of America Corp.(a) | |||
(1-day SOFR + 1.01%), 1.20%, 10/24/26 | USD | 1,000 | 943,358 |
(1-day SOFR + 1.37%), 1.92%, 10/24/31 | 119 | 97,355 | |
BG Energy Capital PLC, 5.13%, 12/01/25(c) | GBP | 133 | 167,547 |
Calpine Corp., 4.50%, 02/15/28(b) | USD | 860 | 817,075 |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29(b) | 1,245 | 1,132,657 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25 | 433 | 428,794 | |
Citigroup, Inc. | |||
1.75%, 10/23/26 | GBP | 100 | 117,182 |
(3-mo. CME Term SOFR + 1.65%), 3.67%, 07/24/28(a) | USD | 1,000 | 953,230 |
Cloud Software Group, Inc., 6.50%, 03/31/29(b) | 2,073 | 1,990,732 | |
Commercial Metals Co., 4.38%, 03/15/32 | 1,987 | 1,791,437 | |
Covanta Holding Corp., 4.88%, 12/01/29(b) | 2,623 | 2,394,085 | |
CSC Holdings LLC(b) | |||
5.38%, 02/01/28 | 1,294 | 983,143 | |
7.50%, 04/01/28 | 1,264 | 670,825 | |
Dana, Inc. | |||
5.63%, 06/15/28 | 1,309 | 1,269,970 | |
4.25%, 09/01/30 | 287 | 250,535 | |
Dell International LLC/EMC Corp., 5.30%, 10/01/29 | 1,500 | 1,508,463 | |
Duke Energy Florida LLC, 2.40%, 12/15/31 | 1,500 | 1,245,437 | |
Flyr Secured Notes, (10.33% PIK), 10.33%, 05/10/27(f)(l) | 1,071 | 1,032,382 | |
Ford Motor Co. | |||
3.25%, 02/12/32 | 1,888 | 1,560,307 | |
6.10%, 08/19/32 | 2,250 | 2,246,788 | |
Ford Motor Credit Co. LLC, 4.54%, 08/01/26 | 1,915 | 1,863,917 |
Security | Par (000) | Value | |
United States (continued) | |||
Freed Corp., 12.00%, 11/30/28(f) | USD | 4,382 | $ 4,355,127 |
Freewire Technology Notes, (6.00% PIK), 6.00%, 02/20/28(f)(l) | 3,820 | — | |
Frontier Communications Holdings LLC(b) | |||
8.75%, 05/15/30 | 1,250 | 1,288,053 | |
8.63%, 03/15/31 | 350 | 360,544 | |
Frontier Florida LLC, Series E, 6.86%, 02/01/28 | 500 | 501,250 | |
Gen Digital, Inc., 6.75%, 09/30/27(b) | 1,394 | 1,411,686 | |
General Motors Financial Co., Inc., 5.55%, 07/15/29 | 2,575 | 2,574,907 | |
Gilead Sciences, Inc., 3.65%, 03/01/26 | 2,860 | 2,779,832 | |
Goldman Sachs Group, Inc. | |||
7.25%, 04/10/28 | GBP | 50 | 67,515 |
(1-day SOFR + 0.80%), 1.43%, 03/09/27(a) | USD | 2,500 | 2,332,736 |
GoTo Group, Inc., 5.50%, 05/01/28(b) | 377 | 171,227 | |
HCA, Inc., 5.88%, 02/01/29 | 2,605 | 2,652,148 | |
Healthpeak OP LLC, 5.25%, 12/15/32 | 3,000 | 2,945,600 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc(b) | |||
5.00%, 06/01/29 | 865 | 806,568 | |
4.88%, 07/01/31 | 1,335 | 1,181,822 | |
Insight M, Inc., 7.00%, 01/25/29(f) | 986 | 1,036,050 | |
JPMorgan Chase & Co.(a) | |||
(1-day SOFR + 1.32%), 4.08%, 04/26/26 | 3,765 | 3,714,951 | |
(1-day SOFR + 1.62%), 5.34%, 01/23/35 | 547 | 543,730 | |
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(c) | GBP | 100 | 121,890 |
KB Home, 4.80%, 11/15/29 | USD | 2,081 | 1,962,071 |
Landsea Homes Corp., 11.00%, 07/17/28(f) | 9,092 | 9,637,520 | |
Lessen, Inc., 13.82%, 01/05/28(f) | 1,900 | 1,745,598 | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(b) | 1,171 | 1,039,754 | |
Lowe’s Cos., Inc., 3.00%, 10/15/50 | 1,740 | 1,088,032 | |
Marriott Ownership Resorts, Inc. | |||
4.75%, 01/15/28 | 1,294 | 1,221,227 | |
4.50%, 06/15/29(b) | 888 | 815,944 | |
Mauser Packaging Solutions Holding Co., 7.88%, 04/15/27(b) | 1,557 | 1,588,126 | |
Medline Borrower LP, 3.88%, 04/01/29(b) | 1,641 | 1,511,213 | |
Morgan Stanley(a) | |||
(1-day SOFR + 1.03%), 1.79%, 02/13/32 | 119 | 95,503 | |
(1-day SOFR + 1.14%), 2.70%, 01/22/31 | 2,500 | 2,191,451 | |
(1-day SOFR + 1.99%), 2.19%, 04/28/26 | 1,920 | 1,864,597 | |
Nationstar Mortgage Holdings, Inc.(b) | |||
6.00%, 01/15/27 | 168 | 166,209 | |
5.50%, 08/15/28 | 1,440 | 1,383,729 | |
5.13%, 12/15/30 | 721 | 661,150 | |
5.75%, 11/15/31 | 340 | 319,571 | |
NCR Atleos Corp., 9.50%, 04/01/29(b) | 295 | 318,819 | |
Northern States Power Co., 2.90%, 03/01/50 | 1,225 | 780,356 | |
NRG Energy, Inc., 3.38%, 02/15/29(b) | 1,391 | 1,237,378 | |
Olympus Water U.S. Holding Corp.(b) | |||
7.13%, 10/01/27 | 505 | 506,918 | |
9.75%, 11/15/28 | 3,140 | 3,322,028 | |
Oncor Electric Delivery Co. LLC, 0.55%, 10/01/25 | 1,000 | 941,907 | |
Oracle Corp. | |||
2.95%, 05/15/25 | 1,900 | 1,856,513 | |
3.60%, 04/01/50 | 2,135 | 1,494,232 | |
Paramount Global, 7.88%, 07/30/30 | 425 | 435,005 | |
Pitney Bowes, Inc., 6.88%, 03/15/27(b) | 1,540 | 1,454,627 | |
PNC Financial Services Group, Inc., (1-day SOFR Index + 1.09%), 4.76%, 01/26/27(a) | 2,427 | 2,397,306 | |
Prologis LP, 2.25%, 01/15/32 | 119 | 97,217 |
Security | Par (000) | Value | |
United States (continued) | |||
Public Service Electric and Gas Co., 4.65%, 03/15/33 | USD | 2,650 | $ 2,554,184 |
Rand Parent LLC, 8.50%, 02/15/30(b) | 575 | 582,136 | |
Republic Services, Inc., 1.45%, 02/15/31 | 4,000 | 3,171,570 | |
RingCentral, Inc., 8.50%, 08/15/30(b) | 1,115 | 1,163,754 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) | 2,062 | 1,925,675 | |
Ryder System, Inc., 3.35%, 09/01/25 | 1,300 | 1,266,862 | |
Sabre GLBL, Inc.(b) | |||
8.63%, 06/01/27 | 140 | 128,977 | |
11.25%, 12/15/27 | 1,080 | 1,049,847 | |
Seagate HDD Cayman, 8.25%, 12/15/29 | 423 | 453,667 | |
Sonder Bridge Notes, (10.00% PIK), 10.00%, 12/31/24(f)(l) | 338 | 324,469 | |
Sonder Holdings, Inc., (14.35% PIK), 14.35%, 12/10/26(a)(f)(l) | 5,677 | 4,996,016 | |
Steel Dynamics, Inc., 3.45%, 04/15/30 | 3,060 | 2,794,185 | |
Stem, Inc., 0.50%, 12/01/28(b)(i) | 275 | 109,306 | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | 1,643 | 1,635,780 | |
T-Mobile U.S., Inc. | |||
3.75%, 04/15/27 | 2,750 | 2,643,191 | |
3.38%, 04/15/29 | 3,930 | 3,629,250 | |
Travel & Leisure Co., 4.63%, 03/01/30(b) | 440 | 400,424 | |
United Wholesale Mortgage LLC, 5.75%, 06/15/27(b) | 1,346 | 1,314,026 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | 520 | 509,227 | |
Univision Communications, Inc., 8.00%, 08/15/28(b) | 60 | 58,514 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | 30 | 25,942 | |
Verizon Communications, Inc. | |||
1.13%, 11/03/28 | GBP | 100 | 108,404 |
3.88%, 02/08/29 | USD | 1,500 | 1,425,668 |
Wells Fargo & Co., (1-day SOFR + 1.32%), 3.91%, 04/25/26(a) | 1,880 | 1,851,787 | |
Welltower OP LLC, 4.00%, 06/01/25 | 2,825 | 2,779,255 | |
Westbay, 11.00%, 02/06/30(f) | 9,276 | 9,276,000 | |
Xylem, Inc./New York, 2.25%, 01/30/31 | 3,000 | 2,517,125 | |
157,820,573 | |||
Total Corporate Bonds — 10.0% (Cost: $195,787,498) | 190,509,142 | ||
Fixed Rate Loan Interests | |||
United States — 0.2% | |||
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28(f) | 4,075 | 4,093,293 | |
Total Fixed Rate Loan Interests — 0.2% (Cost: $4,028,229) | 4,093,293 | ||
Floating Rate Loan Interests(a) | |||
Belgium — 0.0% | |||
Finco Utilitas BV, EUR Term Loan B, 09/26/30(m) | 520 | 555,958 | |
France — 0.1% | |||
HomeVi S.a.S., 2024 EUR Term Loan B, 10/31/29(m) | EUR | 1,000 | 1,049,532 |
Germany — 0.1% | |||
Apleona Holding GmbH, 2024 EUR Term Loan B3, 04/28/28(m) | 1,200 | 1,285,391 |
Security | Par (000) | Value | |
Ireland — 0.1% | |||
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo. EURIBOR + 3.75%), 7.35%, 05/17/27(f) | EUR | 2,673 | $ 2,854,999 |
Luxembourg — 0.1% | |||
Speed Midco 3 S.a r.l., EUR Term Loan B2, (3-mo. EURIBOR + 4.95%), 8.66%, 05/16/29(f) | 2,488 | 2,651,185 | |
Netherlands — 0.3% | |||
Median BV, 2021 EUR Term Loan B, 10/14/27(m) | 982 | 1,031,952 | |
Peer Holding III BV, 2024 EUR Term Loan B6, 06/20/31(m) | 2,400 | 2,564,911 | |
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA at 0.00% Floor + 5.75%), 10.98%, 01/03/28 | GBP | 1,358 | 1,710,519 |
5,307,382 | |||
Norway — 0.0% | |||
Sector Alarm Holding AS, 2024 EUR Term Loan B, 06/12/29(m) | EUR | 407 | 434,262 |
Spain(m) — 0.1% | |||
Aernnova Aerospace S.A.U, 2024 EUR Term Loan B, 02/27/30 | 1,303 | 1,388,006 | |
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan B, 06/13/31 | 741 | 791,833 | |
2,179,839 | |||
United States — 1.6% | |||
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.40%, 02/01/30 | USD | 2,108 | 2,054,770 |
American Auto Auction Group, LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 5.15%), 10.48%, 12/30/27 | 424 | 422,832 | |
Coreweave Compute Acquisition Co. II, LLC(f) | |||
2024 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 6.00%), 11.33%, 05/16/29 | 36 | 35,710 | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor +9.62%0), 14.95%, 06/30/28 | 7,186 | 7,177,786 | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | 369 | 366,768 | |
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 07/10/28(f) | 341 | 332,558 | |
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 05/01/28(f) | 3,406 | 3,325,580 | |
Galaxy Universal LLC, 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.50%), 11.79%, 11/12/26(f) | 6,147 | 6,085,088 | |
GoTo Group, Inc. | |||
2024 First Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | 128 | 113,002 | |
2024 Second Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | 111 | 55,948 | |
Helios Service Partners LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27(f) | 604 | 600,551 | |
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 5.61%), 10.96%, 10/25/28(f) | 1,090 | 877,173 | |
Indy U.S. Holdco LLC, 2024 EUR Term Loan B, 03/06/28(m) | EUR | 2,000 | 2,137,896 |
Nidda Healthcare Holding GmbH, 2024 EUR Term Loan B3, 02/21/30(m) | 1,439 | 1,541,519 |
Security | Par (000) | Value | |
United States (continued) | |||
Orion Group Holdco LLC(f) | |||
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | USD | 115 | $ 114,832 |
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | 515 | 514,863 | |
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27 | 926 | 920,162 | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%), 11.60%, 03/19/27 | 195 | 192,293 | |
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 1,151 | 1,150,797 | |
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 98 | 98,441 | |
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | 19 | 19,209 | |
Project Montage(f) | |||
PIK Revolver, 0.00%, 02/16/29 | 66 | 65,769 | |
PIK Term Loan, (Prime + 5.00%), 13.50%, 02/16/29 | 1,184 | 1,183,846 | |
Redstone Holdco 2 LP, 2021 Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 04/27/28 | 1,203 | 1,072,083 | |
30,459,476 | |||
Total Floating Rate Loan Interests — 2.4% (Cost: $46,793,246) | 46,778,024 | ||
Foreign Agency Obligations | |||
United Kingdom — 0.2% | |||
United Kingdom Gilt(c) | |||
3.75%, 10/22/53 | GBP | 943 | 1,019,795 |
0.50%, 10/22/61 | 5,221 | 1,956,124 | |
Total Foreign Agency Obligations — 0.2% (Cost: $3,163,042) | 2,975,919 |
Shares | |||
Investment Companies | |||
United States — 0.8% | |||
iShares iBoxx $ Investment Grade Corporate Bond ETF(n)(o)(p) | 35,863 | 3,841,645 | |
iShares JP Morgan USD Emerging Markets Bond ETF(n)(o)(p) | 66,207 | 5,857,995 | |
iShares Russell 2000 ETF(n)(o) | 100 | 20,289 | |
iShares Russell Mid-Cap Growth ETF(n)(o) | 3,916 | 432,131 |
Security | Shares | Value | |
United States (continued) | |||
SPDR S&P Biotech ETF(p) | 40,000 | $ 3,708,400 | |
VanEck J. P. Morgan EM Local Currency Bond ETF | 84,550 | 2,010,599 | |
Total Investment Companies — 0.8% (Cost: $15,520,194) | 15,871,059 |
Par (000) | |||
Municipal Bonds | |||
Florida — 0.0% | |||
Florida Development Finance Corp., Refunding RB, AMT, 12.00%, 07/15/32(b) | USD | 495 | 525,611 |
Puerto Rico(a) — 0.1% | |||
Commonwealth of Puerto Rico, GO | |||
0.00%, 11/01/51 | 4,125 | 2,126,965 | |
Series A-1, 0.00%, 11/01/43 | 289 | 176,651 | |
2,303,616 | |||
Total Municipal Bonds — 0.1% (Cost: $2,517,689) | 2,829,227 | ||
Non-Agency Mortgage-Backed Securities | |||
Bermuda — 0.1% | |||
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1 mo. Term SOFR + 2.25%), 7.58%, 01/19/37(a)(b) | 2,315 | 2,304,016 | |
United States(a)(b) — 1.8% | |||
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 | 2,047 | 1,623,090 | |
CHNGE Mortgage Trust | |||
Series 2022-1, Class M1, 3.99%, 01/25/67 | 2,000 | 1,694,053 | |
Series 2022-2, Class M1, 4.61%, 03/25/67 | 5,000 | 4,245,560 | |
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34 | 1,470 | 1,176,695 | |
FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%, 04/25/28 | 1,923 | 1,665,721 | |
Grace Trust, Series 2020-GRCE, Class D, 2.77%, 12/10/40 | 2,000 | 1,517,192 | |
GS Mortgage Securities Corp. Trust | |||
Series 2021-DM, Class E, (1 mo. Term SOFR + 3.05%), 8.38%, 11/15/36 | 2,150 | 2,094,019 | |
Series 2021-DM, Class F, (1 mo. Term SOFR + 3.55%), 8.88%, 11/15/36 | 2,150 | 2,075,974 | |
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41 | 2,000 | 1,541,324 | |
JP Morgan Chase Commercial Mortgage Securities Trust | |||
Series 2021-MHC, Class E, (1 mo. Term SOFR + 2.81%), 8.14%, 04/15/38 | 2,270 | 2,248,741 | |
Series 2021-NYAH, Class E, (1 mo. Term SOFR + 1.95%), 7.53%, 06/15/38 | 2,000 | 1,736,715 |
Security | Par (000) | Value | |
United States (continued) | |||
JP Morgan Chase Commercial Mortgage Securities Trust (continued) | |||
Series 2022-NLP, Class F, (1 mo. Term SOFR + 3.54%), 8.87%, 04/15/37 | USD | 1,952 | $ 1,620,707 |
Series 2022-OPO, Class D, 3.56%, 01/05/39 | 860 | 653,789 | |
MFRA Trust, Series 2022-CHM1, Class M1, 4.57%, 09/25/56 | 4,000 | 3,482,722 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, (1 mo. Term SOFR + 2.72%), 8.04%, 04/15/38 | 850 | 840,763 | |
SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 02/12/41 | 650 | 448,472 | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. Term SOFR + 2.19%), 7.51%, 05/15/37 | 2,410 | 2,422,050 | |
Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4, 4.48%, 12/26/51 | 2,547 | 1,951,890 | |
33,039,477 | |||
Total Non-Agency Mortgage-Backed Securities — 1.9% (Cost: $39,934,795) | 35,343,493 | ||
Preferred Securities | |||
Capital Trusts — 0.1%(a) | |||
France — 0.0% | |||
Alstom SA, 5.87%(c)(k) | EUR | 100 | 108,605 |
Germany — 0.0% | |||
Commerzbank AG, 6.50%(c)(k) | 200 | 210,095 | |
United Kingdom — 0.0% | |||
Centrica PLC, 6.50%, 05/21/55(c) | GBP | 125 | 159,592 |
United States — 0.1% | |||
Paramount Global, 6.38%, 03/30/62 | USD | 760 | 671,200 |
1,149,492 |
Shares | |||
Preferred Stocks — 1.7%(e)(f) | |||
Finland — 0.1% | |||
Aiven, Series D | 35,053 | 2,078,643 | |
Israel — 0.1% | |||
Deep Instinct Ltd., Series D-4, (Acquired 09/20/22, Cost: $3,691,502)(g) | 523,592 | 2,659,847 | |
United States — 1.5% | |||
Bright Machines | |||
Series C | 472,895 | 1,593,656 | |
Series C-1 | 985,055 | 2,383,834 | |
Cap Hill Brands | 1,088,268 | 228,536 | |
Clarify Health | 318,926 | 1,798,743 | |
Coreweave, Inc., 10.00%, 03/25/49(l) | 1,594,000 | 1,594,000 | |
Davidson Homes LLC, 12.00%, 04/01/49(l) | 7,258 | 6,613,853 | |
Insight M, Inc., Series D | 2,854,422 | 997,050 | |
Lessen Holdings, Inc. | 480,897 | 2,640,125 | |
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,239,070)(g) | 53,954 | 698,704 |
Security | Shares | Value | |
United States (continued) | |||
RapidSOS, Series C-1 | 1,707,127 | $ 1,655,913 | |
Source Global PBC(g) | |||
Series D-2, (Acquired 05/16/24, Cost: $—) | 4,323 | 29,180 | |
Series D-3, (Acquired 05/15/24, Cost: $229,929) | 6,315 | 97,377 | |
Verge Genomics, Inc.(g) | |||
Series B, (Acquired 11/05/21, Cost: $1,437,421) | 269,847 | 1,745,910 | |
Series C PRVT, (Acquired 09/06/23, Cost: $345,314) | 48,019 | 345,737 | |
Versa Networks, Inc., Series E CONV Preferred, (Acquired 10/14/22, Cost: $4,623,422), 12.00%, 10/07/32(g)(l) | 1,584,337 | 6,353,191 | |
Zero Mass Water, Inc., Series D Preferred, (Acquired 07/05/22, Cost: $249,208)(g) | 6,084 | 105,497 | |
28,881,306 | |||
33,619,796 | |||
Total Preferred Securities — 1.8% (Cost: $42,666,389) | 34,769,288 |
Par (000) | |||
U.S. Government Sponsored Agency Securities | |||
Mortgage-Backed Securities — 6.3% | |||
Uniform Mortgage-Backed Securities(q) | |||
3.50%, 07/15/54 | USD | 18,006 | 15,935,631 |
4.50%, 07/15/54 | 76,345 | 71,970,098 | |
5.50%, 07/15/54 | 32,500 | 32,051,856 | |
Total U.S. Government Sponsored Agency Securities — 6.3% (Cost: $119,559,416) | 119,957,585 | ||
U.S. Treasury Obligations | |||
U.S. Treasury Notes, 4.63%, 09/30/28(r) | 6,777 | 6,834,446 | |
Total U.S. Treasury Obligations — 0.4% (Cost: $6,711,877) | 6,834,446 |
Shares | |||
Warrants | |||
Israel — 0.0% | |||
Deep Instinct Ltd., Series C, (Acquired 09/20/22, Cost: $0), (Exercisable 09/20/22, 1 Share for 1 Warrant, Expires 09/20/32, Strike Price USD 0.01)(e)(f)(g) | 36,915 | 3,692 | |
United States(e) — 0.1% | |||
Davidson Homes LLC, (Expires 05/16/34, Strike Price USD 8.47)(f) | 50,374 | 518,852 | |
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(f) | 5,576 | 27,768 | |
Insight M, Inc.(f) | 974,500 | — | |
RapidSOS, (Expires 12/13/33, Strike Price USD 0.01)(f) | 946,544 | 908,682 |
Security | Shares | Value | |
United States (continued) | |||
Sonder Holdings Inc.(f) | 15,727 | $ 63,537 | |
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (Exercisable 10/14/22, 1 Share for 1 Warrant, Expires 10/07/32, Strike Price USD 0.01)(f)(g) | 195,273 | 660,023 | |
Volato Group, Inc., (Acquired 12/03/23, Cost: $41,409), (Expires 12/03/28, Strike Price USD 11.50)(g) | 41,409 | 600 | |
2,179,462 | |||
Total Warrants — 0.1% (Cost: $41,409) | 2,183,154 | ||
Total Long-Term Investments — 87.3% (Cost: $1,444,164,533) | 1,669,600,040 | ||
Short-Term Securities | |||
Money Market Funds — 18.4% | |||
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(n)(o)(s) | 5,461,930 | 5,463,568 | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(n)(o) | 347,060,366 | 347,060,366 | |
Total Short-Term Securities — 18.4% (Cost: $352,523,934) | 352,523,934 | ||
Options Purchased — 0.2% (Cost: $3,987,396) | 4,069,902 | ||
Total Investments Before Options Written — 105.9% (Cost: $1,800,675,863) | 2,026,193,876 | ||
Options Written — (0.2)% (Premiums Received: $(2,777,798)) | (4,341,781 ) | ||
Total Investments, Net of Options Written — 105.7% (Cost: $1,797,898,065) | 2,021,852,095 | ||
Liabilities in Excess of Other Assets — (5.7)% | (109,830,483 ) | ||
Net Assets — 100.0% | $ 1,912,021,612 |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) | When-issued security. |
(e) | Non-income producing security. |
(f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(g) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $16,459,201, representing 0.9% of its net assets as of period end, and an original cost of $17,079,564. |
(h) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(i) | Convertible security. |
(j) | Zero-coupon bond. |
(k) | Perpetual security with no stated maturity date. |
(l) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(m) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(n) | Affiliate of the Trust. |
(o) | Annualized 7-day yield as of period end. |
(p) | All or a portion of this security is on loan. |
(q) | Represents or includes a TBA transaction. |
(r) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
(s) | All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | $ — | $ 5,465,197 (a) | $ — | $ (1,629 ) | $ — | $ 5,463,568 | 5,461,930 | $ 18,537 (b) | $ — |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | 378,536,662 | — | (31,476,296 )(a) | — | — | 347,060,366 | 347,060,366 | 9,432,758 | — |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,968,600 | — | — | — | (126,955 ) | 3,841,645 | 35,863 | 72,158 | — |
iShares JP Morgan USD Emerging Markets Bond ETF | 5,896,395 | — | — | — | (38,400 ) | 5,857,995 | 66,207 | 121,943 | — |
iShares Russell 2000 ETF | 20,071 | — | — | — | 218 | 20,289 | 100 | 108 | — |
iShares Russell Mid-Cap Growth ETF | 409,065 | — | — | — | 23,066 | 432,131 | 3,916 | 875 | — |
SL Liquidity Series, LLC, Money Market Series(c) | 3,509,133 | — | (3,507,579 )(a) | (1,589 ) | 35 | — | — | — | — |
$ (3,218 ) | $ (142,036 ) | $ 362,675,994 | $ 9,646,379 | $ — |
(a) | Represents net amount purchased (sold). |
(b) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
(c) | As of period end, the entity is no longer held. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
Euro BOBL | 359 | 09/06/24 | $ 44,768 | $ 442,855 |
Euro Bund | 21 | 09/06/24 | 2,960 | (6,792 ) |
Euro-Schatz | 73 | 09/06/24 | 8,264 | 38,658 |
Nikkei 225 Index | 49 | 09/12/24 | 12,104 | 194,140 |
10-Year Australian Treasury Bonds | 67 | 09/16/24 | 5,076 | (49,254 ) |
U.S. Long Bond | 34 | 09/19/24 | 4,008 | 15,516 |
Euro Stoxx 50 Index | 109 | 09/20/24 | 5,742 | 8,629 |
Euro Stoxx Banks Index | 93 | 09/20/24 | 684 | 4,335 |
MSCI Emerging Markets Index | 4 | 09/20/24 | 218 | 1,791 |
NASDAQ 100 E-Mini Index | 261 | 09/20/24 | 104,020 | (155,522 ) |
S&P 500 E-Mini Index | 170 | 09/20/24 | 46,933 | 8,715 |
Long Gilt | 43 | 09/26/24 | 5,304 | 46,159 |
5-Year U.S. Treasury Note | 2,670 | 09/30/24 | 284,397 | 1,295,343 |
Carbon Emissions(a) | 12 | 12/16/24 | 867 | (34,962 ) |
1,809,611 | ||||
Short Contracts | ||||
Euro OAT | 24 | 09/06/24 | 3,165 | 25,422 |
10-Year Japanese Government Treasury Bonds | 17 | 09/12/24 | 15,095 | (1,887 ) |
10-Year U.S. Treasury Note | 41 | 09/19/24 | 4,504 | (33,172 ) |
10-Year U.S. Ultra Long Treasury Note | 139 | 09/19/24 | 15,746 | (121,793 ) |
Ultra U.S. Treasury Bond | 264 | 09/19/24 | 32,885 | (39,151 ) |
E-mini Russell 2000 Index | 67 | 09/20/24 | 6,918 | (118,601 ) |
2-Year U.S. Treasury Note | 942 | 09/30/24 | 192,374 | (213,123 ) |
(502,305 ) | ||||
$ 1,307,306 |
(a) | All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
INR | 148,563,276 | USD | 1,771,381 | BNP Paribas SA | 09/18/24 | $ 6,117 |
MXN | 26,047,271 | USD | 1,385,844 | Morgan Stanley & Co. International PLC | 09/18/24 | 20,891 |
MXN | 110,084,154 | USD | 5,857,021 | Morgan Stanley & Co. International PLC | 09/18/24 | 88,294 |
USD | 6,443,576 | CHF | 5,720,381 | Goldman Sachs International | 09/18/24 | 17,010 |
USD | 8,740,357 | CHF | 7,757,132 | Goldman Sachs International | 09/18/24 | 25,602 |
USD | 3,205,191 | DKK | 22,127,508 | Deutsche Bank AG | 09/18/24 | 13,386 |
USD | 68,185,177 | EUR | 63,192,308 | Barclays Bank PLC | 09/18/24 | 256,949 |
USD | 106,536,831 | EUR | 98,716,198 | Barclays Bank PLC | 09/18/24 | 422,391 |
USD | 1,081,878 | EUR | 1,003,539 | Deutsche Bank AG | 09/18/24 | 3,129 |
USD | 270,344 | EUR | 248,380 | JPMorgan Chase Bank N.A. | 09/18/24 | 3,349 |
USD | 397,338 | EUR | 368,420 | JPMorgan Chase Bank N.A. | 09/18/24 | 1,307 |
USD | 832,892 | EUR | 761,772 | JPMorgan Chase Bank N.A. | 09/18/24 | 14,030 |
USD | 424,869 | EUR | 393,746 | Standard Chartered Bank | 09/18/24 | 1,614 |
USD | 537,550 | EUR | 495,210 | Standard Chartered Bank | 09/18/24 | 5,227 |
USD | 2,674,581 | GBP | 2,100,000 | JPMorgan Chase Bank N.A. | 09/18/24 | 18,459 |
USD | 24,229,074 | GBP | 19,024,382 | JPMorgan Chase Bank N.A. | 09/18/24 | 166,653 |
USD | 394,942 | JPY | 61,478,640 | JPMorgan Chase Bank N.A. | 09/18/24 | 8,296 |
USD | 3,069,851 | JPY | 475,591,202 | Standard Chartered Bank | 09/18/24 | 78,811 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 45,894,384 | JPY | 7,110,104,804 | Standard Chartered Bank | 09/18/24 | $ 1,178,222 |
USD | 1,793,229 | SEK | 18,723,925 | Barclays Bank PLC | 09/18/24 | 19,659 |
ZAR | 33,712,048 | USD | 1,799,980 | Goldman Sachs International | 09/18/24 | 42,132 |
USD | 16,407,001 | HKD | 127,843,383 | UBS AG | 09/19/24 | 151 |
USD | 10,265,717 | KRW | 14,092,161,000 | UBS AG | 09/19/24 | 11,177 |
2,402,856 | ||||||
BRL | 38,277,353 | USD | 7,060,236 | JPMorgan Chase Bank N.A. | 09/18/24 | (271,913 ) |
EUR | 2,880,734 | USD | 3,108,956 | Barclays Bank PLC | 09/18/24 | (12,326 ) |
EUR | 230,677 | USD | 248,501 | JPMorgan Chase Bank N.A. | 09/18/24 | (536 ) |
EUR | 265,276 | USD | 285,650 | JPMorgan Chase Bank N.A. | 09/18/24 | (493 ) |
EUR | 242,888 | USD | 261,419 | Standard Chartered Bank | 09/18/24 | (329 ) |
EUR | 241,754 | USD | 260,859 | UBS AG | 09/18/24 | (987 ) |
EUR | 368,469 | USD | 399,424 | UBS AG | 09/18/24 | (3,341 ) |
GBP | 151,720 | USD | 194,101 | UBS AG | 09/18/24 | (2,202 ) |
GBP | 176,554 | USD | 224,120 | UBS AG | 09/18/24 | (810 ) |
IDR | 27,983,053,770 | USD | 1,711,973 | BNP Paribas SA | 09/18/24 | (3,944 ) |
JPY | 38,874,290 | USD | 251,358 | Deutsche Bank AG | 09/18/24 | (6,874 ) |
JPY | 37,219,845 | USD | 237,661 | Standard Chartered Bank | 09/18/24 | (3,582 ) |
JPY | 33,952,048 | USD | 216,390 | The Bank of New York Mellon | 09/18/24 | (2,862 ) |
JPY | 35,243,383 | USD | 222,362 | The Bank of New York Mellon | 09/18/24 | (713 ) |
JPY | 181,298,412 | USD | 1,173,221 | The Bank of New York Mellon | 09/18/24 | (33,017 ) |
JPY | 290,103,313 | USD | 1,873,046 | The Bank of New York Mellon | 09/18/24 | (48,557 ) |
JPY | 105,644,840 | USD | 683,359 | UBS AG | 09/18/24 | (18,948 ) |
USD | 5,230,926 | AUD | 7,897,271 | Deutsche Bank AG | 09/18/24 | (47,897 ) |
USD | 366,082 | CAD | 502,644 | Barclays Bank PLC | 09/18/24 | (2,006 ) |
USD | 701,958 | EUR | 653,553 | Barclays Bank PLC | 09/18/24 | (576 ) |
USD | 262,134 | EUR | 244,007 | Standard Chartered Bank | 09/18/24 | (160 ) |
USD | 545,943 | EUR | 509,204 | Standard Chartered Bank | 09/18/24 | (1,423 ) |
USD | 210,628 | MXN | 3,921,145 | Morgan Stanley & Co. International PLC | 09/18/24 | (1,141 ) |
(464,637 ) | ||||||
$ 1,938,219 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
SPDR S&P 500 ETF Trust | 307 | 07/05/24 | USD | 553.00 | USD | 16,708 | $ 10,899 |
InvesCo QQQ Trust, Series 1 | 167 | 07/12/24 | USD | 490.00 | USD | 8,001 | 27,555 |
SPX Volatility Index | 163 | 07/17/24 | USD | 18.00 | USD | 203 | 4,483 |
Adobe, Inc. | 59 | 07/19/24 | USD | 530.00 | USD | 3,278 | 180,687 |
Advanced Micro Devices, Inc. | 31 | 07/19/24 | USD | 160.00 | USD | 503 | 22,863 |
Apple, Inc. | 195 | 07/19/24 | USD | 185.00 | USD | 4,107 | 522,112 |
Apple, Inc. | 106 | 07/19/24 | USD | 220.00 | USD | 2,233 | 13,780 |
Bank of America Corp. | 268 | 07/19/24 | USD | 41.00 | USD | 1,066 | 9,782 |
Crowdstrike Holdings, Inc. | 23 | 07/19/24 | USD | 400.00 | USD | 881 | 13,800 |
Freeport-McMoRan, Inc. | 214 | 07/19/24 | USD | 55.00 | USD | 1,040 | 3,103 |
iShares China Large-Cap ETF | 804 | 07/19/24 | USD | 27.00 | USD | 2,090 | 19,698 |
Mastercard, Inc., Class A | 156 | 07/19/24 | USD | 475.00 | USD | 6,882 | 4,368 |
Merck & Co., Inc. | 42 | 07/19/24 | USD | 130.00 | USD | 520 | 5,355 |
Meta Platforms, Inc. | 9 | 07/19/24 | USD | 470.00 | USD | 454 | 33,547 |
Micron Technology, Inc. | 23 | 07/19/24 | USD | 140.00 | USD | 303 | 5,152 |
Micron Technology, Inc. | 79 | 07/19/24 | USD | 145.00 | USD | 1,039 | 10,191 |
NVIDIA Corp. | 40 | 07/19/24 | USD | 110.00 | USD | 494 | 59,500 |
Sabre Corp. | 174 | 07/19/24 | USD | 4.50 | USD | 46 | 609 |
Sabre Corp. | 139 | 07/19/24 | USD | 3.50 | USD | 37 | 556 |
Sabre Corp. | 120 | 07/19/24 | USD | 4.00 | USD | 32 | 360 |
Uber Technologies, Inc. | 300 | 07/19/24 | USD | 70.00 | USD | 2,180 | 102,000 |
Valero Energy Corp. | 22 | 07/19/24 | USD | 185.00 | USD | 345 | 605 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call (continued) | |||||||
Western Digital Corp. | 58 | 07/19/24 | USD | 85.00 | USD | 439 | $ 1,798 |
Western Digital Corp. | 104 | 07/19/24 | USD | 82.50 | USD | 788 | 5,200 |
Apple, Inc. | 199 | 08/16/24 | USD | 220.00 | USD | 4,191 | 89,550 |
Apple, Inc. | 234 | 08/16/24 | USD | 200.00 | USD | 4,929 | 333,450 |
Apple, Inc. | 720 | 08/16/24 | USD | 210.00 | USD | 15,165 | 624,600 |
Boston Scientific Corp. | 292 | 08/16/24 | USD | 77.50 | USD | 2,249 | 64,970 |
Delta Air Lines, Inc. | 141 | 08/16/24 | USD | 55.00 | USD | 669 | 5,993 |
Eli Lilly & Co. | 29 | 08/16/24 | USD | 820.00 | USD | 2,626 | 290,362 |
Freeport-McMoRan, Inc. | 117 | 08/16/24 | USD | 55.00 | USD | 569 | 8,132 |
iShares Biotechnology ETF | 70 | 08/16/24 | USD | 140.00 | USD | 961 | 18,550 |
Microsoft Corp. | 112 | 08/16/24 | USD | 465.00 | USD | 5,006 | 108,920 |
UniCredit SpA | 27 | 08/16/24 | EUR | 37.00 | EUR | 466 | 10,843 |
Visa, Inc. | 45 | 08/16/24 | USD | 290.00 | USD | 1,181 | 3,420 |
Walmart, Inc. | 143 | 08/16/24 | USD | 70.00 | USD | 968 | 16,517 |
Walt Disney Co. | 194 | 08/16/24 | USD | 105.00 | USD | 1,926 | 43,359 |
Apple, Inc. | 279 | 09/20/24 | USD | 220.00 | USD | 5,876 | 167,400 |
Carrier Global Corp. | 179 | 09/20/24 | USD | 67.50 | USD | 1,129 | 35,352 |
Novo Nordisk A/S | 198 | 09/20/24 | USD | 145.00 | USD | 2,826 | 149,985 |
Trane Technologies PLC | 72 | 09/20/24 | USD | 360.00 | USD | 2,368 | 55,800 |
Walt Disney Co. | 223 | 10/18/24 | USD | 110.00 | USD | 2,214 | 52,628 |
Humana, Inc. | 48 | 11/15/24 | USD | 395.00 | USD | 1,794 | 96,480 |
3,234,314 | |||||||
Put | |||||||
Advanced Micro Devices, Inc. | 42 | 07/19/24 | USD | 145.00 | USD | 681 | 2,982 |
Applied Materials, Inc. | 31 | 07/19/24 | USD | 200.00 | USD | 732 | 620 |
Costco Wholesale Corp. | 7 | 07/19/24 | USD | 790.00 | USD | 595 | 725 |
Boston Scientific Corp. | 83 | 08/16/24 | USD | 70.00 | USD | 639 | 2,905 |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,549 | 08/16/24 | USD | 76.00 | USD | 19,663 | 54,803 |
NVIDIA Corp. | 150 | 08/16/24 | USD | 110.00 | USD | 1,853 | 46,875 |
NVIDIA Corp. | 500 | 09/20/24 | USD | 105.00 | USD | 6,177 | 217,500 |
Merck & Co., Inc. | 238 | 10/18/24 | USD | 120.00 | USD | 2,946 | 89,250 |
415,660 | |||||||
$ 3,649,974 |
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Put | ||||||||
S&P 500 Index | Citibank N.A. | 1,325 | 09/20/24 | USD | 5,200.00 | USD | 7,235 | $ 68,786 |
Paid by the Trust | Received by the Trust | ||||||||||
Description | Rate/Reference | Rate/Reference | Frequency | Counterparty | Expiration Date | Credit Rating | Exercise Price | Notional Amount (000) | Value | ||
Put | |||||||||||
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | iTraxx.XO.41.V1 | Quarterly | Morgan Stanley & Co. International PLC | 07/17/24 | — | EUR 3.25 | EUR | 2,240 | $ 15,381 | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | CDX.NA.HY.42.V1 | Quarterly | BNP Paribas SA | 07/17/24 | — | USD 1.05 | USD | 1,900 | 2,880 | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | 5.00% | iTraxx.XO.41.V1 | Quarterly | BNP Paribas SA | 08/21/24 | — | EUR 4.75 | EUR | 2,035 | 3,179 | |
$ 21,440 |
Paid by the Trust | Received by the Trust | |||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |
Call | ||||||||||
2-Year Interest Rate Swap, 07/20/26 | 1-Day SOFR, 5.33% | Annual | 4.35% | Annual | Citibank N.A. | 07/18/24 | 4.35 % | USD | 5,619 | $ 3,415 |
10-Year Interest Rate Swap, 10/25/34 | 1-Day SOFR, 5.33% | Annual | 3.75% | Annual | Citibank N.A. | 10/23/24 | 3.75 | USD | 9,678 | 123,735 |
2-Year Interest Rate Swap, 10/26/26 | 1-Day SOFR, 5.33% | Annual | 4.00% | Annual | JPMorgan Chase Bank N.A. | 10/24/24 | 4.00 | USD | 19,216 | 44,630 |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 3.60% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.60 | USD | 6,331 | 48,701 |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 3.60% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.60 | USD | 6,353 | 48,875 |
10-Year Interest Rate Swap, 01/25/35 | 1-Day SOFR, 5.33% | Annual | 3.00% | Annual | Goldman Sachs International | 01/23/25 | 3.00 | USD | 12,685 | 60,346 |
$ 329,702 |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Call | |||||||
InvesCo QQQ Trust, Series 1 | 167 | 07/12/24 | USD | 500.00 | USD | 8,001 | $ (5,429 ) |
SPX Volatility Index | 163 | 07/17/24 | USD | 35.00 | USD | 203 | (1,060 ) |
Alphabet, Inc., Class C | 159 | 07/19/24 | USD | 185.00 | USD | 2,916 | (55,650 ) |
Amazon.com, Inc. | 58 | 07/19/24 | USD | 200.00 | USD | 1,121 | (17,081 ) |
Apple, Inc. | 195 | 07/19/24 | USD | 200.00 | USD | 4,107 | (234,000 ) |
Applied Materials, Inc. | 31 | 07/19/24 | USD | 240.00 | USD | 732 | (17,980 ) |
Applied Materials, Inc. | 35 | 07/19/24 | USD | 250.00 | USD | 826 | (9,398 ) |
Cameco Corp. | 128 | 07/19/24 | USD | 60.00 | USD | 630 | (768 ) |
Costco Wholesale Corp. | 7 | 07/19/24 | USD | 820.00 | USD | 595 | (25,077 ) |
Eli Lilly & Co. | 181 | 07/19/24 | USD | 850.00 | USD | 16,387 | (1,124,462 ) |
Eli Lilly & Co. | 9 | 07/19/24 | USD | 840.00 | USD | 815 | (64,597 ) |
Intuitive Surgical, Inc. | 23 | 07/19/24 | USD | 420.00 | USD | 1,023 | (70,840 ) |
iShares China Large-Cap ETF | 804 | 07/19/24 | USD | 29.00 | USD | 2,090 | (2,814 ) |
Lam Research Corp. | 9 | 07/19/24 | USD | 1,000.00 | USD | 958 | (71,707 ) |
Meta Platforms, Inc. | 9 | 07/19/24 | USD | 540.00 | USD | 454 | (2,529 ) |
Meta Platforms, Inc. | 49 | 07/19/24 | USD | 550.00 | USD | 2,471 | (8,673 ) |
Micron Technology, Inc. | 62 | 07/19/24 | USD | 155.00 | USD | 815 | (3,224 ) |
Microsoft Corp. | 97 | 07/19/24 | USD | 440.00 | USD | 4,335 | (119,310 ) |
Microsoft Corp. | 52 | 07/19/24 | USD | 445.00 | USD | 2,324 | (51,220 ) |
Microsoft Corp. | 49 | 07/19/24 | USD | 460.00 | USD | 2,190 | (15,313 ) |
NVIDIA Corp. | 190 | 07/19/24 | USD | 115.00 | USD | 2,347 | (206,150 ) |
NVIDIA Corp. | 40 | 07/19/24 | USD | 130.00 | USD | 494 | (12,800 ) |
Salesforce, Inc. | 36 | 07/19/24 | USD | 310.00 | USD | 926 | (396 ) |
UnitedHealth Group, Inc. | 27 | 07/19/24 | USD | 540.00 | USD | 1,375 | (11,745 ) |
Walt Disney Co. | 44 | 07/19/24 | USD | 115.00 | USD | 437 | (506 ) |
Western Digital Corp. | 162 | 07/19/24 | USD | 95.00 | USD | 1,227 | (810 ) |
Apple, Inc. | 323 | 08/16/24 | USD | 230.00 | USD | 6,803 | (62,662 ) |
Apple, Inc. | 199 | 08/16/24 | USD | 245.00 | USD | 4,191 | (15,821 ) |
Boston Scientific Corp. | 83 | 08/16/24 | USD | 80.00 | USD | 639 | (9,545 ) |
Boston Scientific Corp. | 292 | 08/16/24 | USD | 85.00 | USD | 2,249 | (8,760 ) |
Eli Lilly & Co. | 29 | 08/16/24 | USD | 920.00 | USD | 2,626 | (102,297 ) |
iShares iBoxx $ High Yield Corporate Bond ETF | 1,275 | 08/16/24 | USD | 78.00 | USD | 9,835 | (14,025 ) |
Walmart, Inc. | 143 | 08/16/24 | USD | 75.00 | USD | 968 | (3,575 ) |
Apple, Inc. | 279 | 09/20/24 | USD | 245.00 | USD | 5,876 | (38,362 ) |
NextEra Energy, Inc. | 94 | 09/20/24 | USD | 80.00 | USD | 666 | (6,815 ) |
Novo Nordisk A/S | 198 | 09/20/24 | USD | 160.00 | USD | 2,826 | (55,737 ) |
NVIDIA Corp. | 500 | 09/20/24 | USD | 130.00 | USD | 6,177 | (531,250 ) |
NVIDIA Corp. | 294 | 09/20/24 | USD | 145.00 | USD | 3,632 | (177,870 ) |
(3,160,258 ) |
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||
Put | |||||||
Advanced Micro Devices, Inc. | 84 | 07/19/24 | USD | 135.00 | USD | 1,363 | $ (1,428 ) |
Apple, Inc. | 106 | 07/19/24 | USD | 205.00 | USD | 2,233 | (15,794 ) |
Bank of America Corp. | 134 | 07/19/24 | USD | 36.00 | USD | 533 | (1,273 ) |
Crowdstrike Holdings, Inc. | 23 | 07/19/24 | USD | 340.00 | USD | 881 | (2,266 ) |
Freeport-McMoRan, Inc. | 214 | 07/19/24 | USD | 45.00 | USD | 1,040 | (6,634 ) |
Uber Technologies, Inc. | 300 | 07/19/24 | USD | 60.00 | USD | 2,180 | (1,050 ) |
UnitedHealth Group, Inc. | 27 | 07/19/24 | USD | 450.00 | USD | 1,375 | (3,375 ) |
Valero Energy Corp. | 22 | 07/19/24 | USD | 150.00 | USD | 345 | (3,410 ) |
Walt Disney Co. | 88 | 07/19/24 | USD | 105.00 | USD | 874 | (57,860 ) |
Boston Scientific Corp. | 165 | 08/16/24 | USD | 65.00 | USD | 1,271 | (2,475 ) |
Delta Air Lines, Inc. | 141 | 08/16/24 | USD | 45.00 | USD | 669 | (19,670 ) |
Freeport-McMoRan, Inc. | 117 | 08/16/24 | USD | 45.00 | USD | 569 | (11,817 ) |
iShares Biotechnology ETF | 70 | 08/16/24 | USD | 130.00 | USD | 961 | (6,475 ) |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,549 | 08/16/24 | USD | 74.00 | USD | 19,663 | (35,686 ) |
Nice Ltd. | 29 | 08/16/24 | USD | 190.00 | USD | 499 | (59,160 ) |
NVIDIA Corp. | 290 | 08/16/24 | USD | 90.00 | USD | 3,583 | (13,630 ) |
UniCredit SpA | 27 | 08/16/24 | EUR | 31.00 | EUR | 466 | (7,952 ) |
Visa, Inc. | 45 | 08/16/24 | USD | 255.00 | USD | 1,181 | (19,125 ) |
Walt Disney Co. | 194 | 08/16/24 | USD | 90.00 | USD | 1,926 | (20,564 ) |
Carrier Global Corp. | 179 | 09/20/24 | USD | 57.50 | USD | 1,129 | (19,690 ) |
Trane Technologies PLC | 72 | 09/20/24 | USD | 310.00 | USD | 2,368 | (51,840 ) |
Merck & Co., Inc. | 238 | 10/18/24 | USD | 100.00 | USD | 2,946 | (119,000 ) |
Walt Disney Co. | 223 | 10/18/24 | USD | 90.00 | USD | 2,214 | (43,596 ) |
Humana, Inc. | 48 | 01/17/25 | USD | 310.00 | USD | 1,794 | (43,920 ) |
(567,690 ) | |||||||
$ (3,727,948 ) |
Paid by the Trust | Received by the Trust | ||||||||||
Description | Rate/Reference | Rate/Reference | Frequency | Counterparty | Expiration Date | Credit Rating | Exercise Price | Notional Amount (000) | Value | ||
Put | |||||||||||
Sold Protection 5-Year Credit Default Swap, 06/20/29 | iTraxx.XO.41.V1 | 5.00% | Quarterly | Morgan Stanley & Co. International PLC | 07/17/24 | N/R | EUR 4.25 | EUR | 2,240 | $ (2,109 ) | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | CDX.NA.HY.42.V1 | 5.00% | Quarterly | BNP Paribas SA | 07/17/24 | N/R | USD 1.02 | USD | 1,900 | (980 ) | |
$ (3,089 ) |
Paid by the Trust | Received by the Trust | |||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |
Call | ||||||||||
2-Year Interest Rate Swap, 07/20/26 | 3.85% | Annual | 1-Day SOFR, 5.33% | Annual | Citibank N.A. | 07/18/24 | 3.85 % | USD | 5,619 | $ (107 ) |
10-Year Interest Rate Swap, 10/25/34 | 3.15% | Annual | 1-Day SOFR, 5.33% | Annual | Citibank N.A. | 10/23/24 | 3.15 | USD | 9,678 | (24,425 ) |
2-Year Interest Rate Swap, 10/26/26 | 3.30% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 10/24/24 | 3.30 | USD | 19,216 | (10,774 ) |
5-Year Interest Rate Swap, 12/19/29 | 3.20% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.20 | USD | 6,331 | (23,193 ) |
Paid by the Trust | Received by the Trust | |||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Expiration Date | Exercise Rate | Notional Amount (000) | Value | |
Call (continued) | ||||||||||
5-Year Interest Rate Swap, 12/19/29 | 3.20% | Annual | 1-Day SOFR, 5.33% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 3.20 % | USD | 6,353 | $ (23,276 ) |
10-Year Interest Rate Swap, 01/25/35 | 2.25% | Annual | 1-Day SOFR, 5.33% | Annual | Goldman Sachs International | 01/23/25 | 2.25 | USD | 12,685 | (12,725 ) |
(94,500 ) | ||||||||||
Put | ||||||||||
5-Year Interest Rate Swap, 07/03/29 | 1-Day SOFR, 5.33% | Annual | 4.35% | Annual | Morgan Stanley & Co. International PLC | 07/01/24 | 4.35 | USD | 10,198 | (27 ) |
5-Year Interest Rate Swap, 07/04/29 | 1-Day SOFR, 5.33% | Annual | 4.40% | Annual | Citibank N.A. | 07/02/24 | 4.40 | USD | 5,107 | (11 ) |
2-Year Interest Rate Swap, 07/20/26 | 1-Day SOFR, 5.33% | Annual | 4.37% | Annual | Deutsche Bank AG | 07/18/24 | 4.37 | USD | 24,757 | (98,355 ) |
5-Year Interest Rate Swap, 07/20/29 | 1-Day SOFR, 5.33% | Annual | 4.17% | Annual | Citibank N.A. | 07/18/24 | 4.17 | USD | 4,413 | (10,404 ) |
2-Year Interest Rate Swap, 09/15/26 | 1-Day SOFR, 5.33% | Annual | 4.60% | Annual | Goldman Sachs International | 09/13/24 | 4.60 | USD | 15,185 | (29,971 ) |
2-Year Interest Rate Swap, 11/23/26 | 1-Day SOFR, 5.33% | Annual | 5.00% | Annual | JPMorgan Chase Bank N.A. | 11/21/24 | 5.00 | USD | 24,755 | (19,627 ) |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 4.50% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 4.50 | USD | 6,331 | (28,738 ) |
5-Year Interest Rate Swap, 12/19/29 | 1-Day SOFR, 5.33% | Annual | 4.50% | Annual | JPMorgan Chase Bank N.A. | 12/17/24 | 4.50 | USD | 6,354 | (28,841 ) |
2-Year Interest Rate Swap, 04/27/27 | 1-Day SOFR, 5.33% | Annual | 5.50% | Annual | Goldman Sachs International | 04/25/25 | 5.50 | USD | 24,762 | (19,313 ) |
2-Year Interest Rate Swap, 05/25/27 | 1-Day SOFR, 5.33% | Annual | 5.00% | Annual | Goldman Sachs International | 05/23/25 | 5.00 | USD | 30,363 | (59,960 ) |
2-Year Interest Rate Swap, 05/25/27 | 1-Day SOFR, 5.33% | Annual | 5.05% | Annual | Goldman Sachs International | 05/23/25 | 5.05 | USD | 30,363 | (55,480 ) |
2-Year Interest Rate Swap, 06/15/27 | 1-Day SOFR, 5.33% | Annual | 4.60% | Annual | Morgan Stanley & Co. International PLC | 06/13/25 | 4.60 | USD | 12,479 | (46,638 ) |
5-Year Interest Rate Swap, 06/22/30 | 1-Day SOFR, 5.33% | Annual | 4.40% | Annual | Goldman Sachs International | 06/20/25 | 4.40 | USD | 6,478 | (59,934 ) |
5-Year Interest Rate Swap, 06/29/30 | 1-Day SOFR, 5.33% | Annual | 4.55% | Annual | Morgan Stanley & Co. International PLC | 06/27/25 | 4.55 | USD | 7,632 | (58,945 ) |
(516,244 ) | ||||||||||
$ (610,744 ) |
Reference Obligation/Index | Financing Rate Paid by the Trust | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
iTraxx.XO.38.V2 | 5.00 % | Quarterly | 12/20/27 | EUR | 831 | $ (72,396 ) | $ (9,763 ) | $ (62,633 ) |
iTraxx.EUR.40.V1 | 1.00 | Quarterly | 12/20/28 | EUR | 166 | (3,253 ) | (3,188 ) | (65 ) |
iTraxx.XO.40.V1 | 5.00 | Quarterly | 12/20/28 | EUR | 4,866 | (333,652 ) | (359,361 ) | 25,709 |
CDX.NA.HY.42.V1 | 5.00 | Quarterly | 06/20/29 | USD | 195 | (12,484 ) | (12,605 ) | 121 |
$ (421,785 ) | $ (384,917 ) | $ (36,868 ) |
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CDX.NA.HY.41.V2 | 5.00 % | Quarterly | 12/20/28 | B | USD | 3,316 | $ 215,845 | $ 91,281 | $ 124,564 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Rate | Frequency | Rate | Frequency | |||||||
1-Day SOFR, 5.33% | At Termination | 5.45% | At Termination | N/A | 10/02/24 | USD | 187,577 | $ (20,535 ) | $ 1,991 | $ (22,526 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.78% | Monthly | N/A | 02/04/25 | MXN | 46,651 | (19,469 ) | 1 | (19,470 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.79% | Monthly | N/A | 02/04/25 | MXN | 23,326 | (9,657 ) | — | (9,657 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.80% | Monthly | N/A | 02/04/25 | MXN | 23,326 | (9,540 ) | 1 | (9,541 ) |
28-Day MXIBTIIE, 11.24% | Monthly | 9.95% | Monthly | N/A | 02/07/25 | MXN | 510,185 | (181,758 ) | 29 | (181,787 ) |
1-Day SOFR, 5.33% | Annual | 5.00% | Annual | N/A | 10/02/25 | USD | 84,698 | (192,419 ) | 9,018 | (201,437 ) |
0.28% | Annual | Tokyo Overnight Average Rate, 0.08% | Annual | N/A | 03/09/26 | JPY | 2,930,801 | 19,158 | 79 | 19,079 |
1-Day SOFR, 5.33% | Annual | 4.40% | Annual | N/A | 04/08/26 | USD | 21,824 | (150,926 ) | 86 | (151,012 ) |
1-Day SOFR, 5.33% | Annual | 4.45% | Annual | N/A | 04/09/26 | USD | 7,990 | (47,271 ) | 32 | (47,303 ) |
1-Day SOFR, 5.33% | Annual | 4.05% | Annual | N/A | 04/18/26 | USD | 12,579 | (166,137 ) | 50 | (166,187 ) |
1-Day SOFR, 5.33% | Annual | 4.30% | Annual | N/A | 04/24/26 | USD | 15,182 | (124,149 ) | 61 | (124,210 ) |
1-Day SOFR, 5.33% | Annual | 4.50% | Annual | N/A | 05/08/26 | USD | 12,488 | (47,167 ) | 52 | (47,219 ) |
1-Day SOFR, 5.33% | At Termination | 4.17% | At Termination | 10/23/25 (a) | 10/23/26 | USD | 9,509 | 19,451 | 17 | 19,434 |
1-Day SOFR, 5.33% | At Termination | 4.21% | At Termination | 10/27/25 (a) | 10/27/26 | USD | 18,989 | 47,005 | 34 | 46,971 |
1-Day SOFR, 5.33% | Annual | 3.47% | Annual | 03/10/25 (a) | 03/10/27 | USD | 4,700 | (52,462 ) | 21 | (52,483 ) |
New Index, Research, 6.86% | Semi-Annual | 6.34% | Semi-Annual | N/A | 03/20/27 | INR | 602,249 | (40,001 ) | 48 | (40,049 ) |
1-Day SOFR, 5.33% | Annual | 4.10% | Annual | 05/30/25 (a) | 05/30/27 | USD | 15,272 | 36,037 | 68 | 35,969 |
1-Day SOFR, 5.33% | Annual | 4.15% | Annual | 05/30/25 (a) | 05/30/27 | USD | 15,272 | 49,925 | 72 | 49,853 |
1-Day SOFR, 5.33% | Annual | 3.30% | Annual | 10/23/25 (a) | 10/23/27 | USD | 3,403 | (32,575 ) | 16 | (32,591 ) |
1-Day SOFR, 5.33% | Annual | 4.20% | Annual | 10/23/25 (a) | 10/23/27 | USD | 4,949 | 32,797 | 23 | 32,774 |
1-Day SOFR, 5.33% | Annual | 3.92% | Annual | 11/03/25 (a) | 11/03/27 | USD | 2,364 | 4,211 | 11 | 4,200 |
1-Day SOFR, 5.33% | Annual | 3.95% | Annual | 11/03/25 (a) | 11/03/27 | USD | 2,364 | 5,483 | 10 | 5,473 |
1-Day SOFR, 5.33% | Annual | 3.99% | Annual | 11/03/25 (a) | 11/03/27 | USD | 4,728 | 13,936 | 21 | 13,915 |
1-Day SOFR, 5.33% | Annual | 4.07% | Annual | 11/03/25 (a) | 11/03/27 | USD | 9,541 | 42,710 | 43 | 42,667 |
1-Day SOFR, 5.33% | Annual | 3.86% | Annual | 11/10/25 (a) | 11/10/27 | USD | 9,919 | 8,187 | 45 | 8,142 |
1-Day SOFR, 5.33% | Annual | 3.48% | Annual | 01/23/26 (a) | 01/23/28 | USD | 13,665 | (71,456 ) | 59 | (71,515 ) |
3.45% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 01/26/28 | USD | 11,825 | 68,807 | 51 | 68,756 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/26/28 | USD | 11,825 | 46,910 | 51 | 46,859 |
3.27% | Annual | 1-Day SOFR, 5.33% | Annual | 02/05/26 (a) | 02/05/28 | USD | 11,933 | 105,868 | 51 | 105,817 |
1-Day SOFR, 5.33% | Annual | 3.87% | Annual | 02/05/26 (a) | 02/05/28 | USD | 11,933 | 21,717 | 52 | 21,665 |
1-Day SONIA, 5.20% | Annual | 4.86% | Annual | N/A | 06/20/28 | GBP | 6,370 | 216,701 | (14 ) | 216,715 |
28-Day MXIBTIIE, 11.24% | Monthly | 9.13% | Monthly | N/A | 08/15/28 | MXN | 104,580 | (104,008 ) | 47 | (104,055 ) |
1-Day SOFR, 5.33% | Annual | 4.42% | Annual | N/A | 10/02/28 | USD | 135,611 | 429,584 | 27,814 | 401,770 |
1-Day SOFR, 5.33% | Annual | 4.40% | Annual | N/A | 10/31/28 | USD | 6,490 | 22,725 | 54 | 22,671 |
1-Day SONIA, 5.20% | Annual | 4.12% | Annual | N/A | 11/17/28 | GBP | 3,004 | (17,923 ) | 129 | (18,052 ) |
1-Day SONIA, 5.20% | Annual | 4.12% | Annual | N/A | 11/21/28 | GBP | 3,004 | (17,056 ) | 129 | (17,185 ) |
1-Day SOFR, 5.33% | Annual | 3.25% | Annual | 12/15/26 (a) | 12/15/28 | USD | 21,109 | (156,626 ) | 96 | (156,722 ) |
6-mo. EURIBOR, 3.68% | Semi-Annual | 3.00% | Annual | N/A | 03/05/29 | EUR | 7,713 | 8,794 | 77 | 8,717 |
New Index, Research, 6.86% | Semi-Annual | 6.26% | Semi-Annual | N/A | 03/20/29 | INR | 172,172 | (17,466 ) | 23 | (17,489 ) |
New Index, Research, 6.86% | Semi-Annual | 6.30% | Semi-Annual | N/A | 03/20/29 | INR | 210,432 | (17,256 ) | 29 | (17,285 ) |
1-Day SOFR, 5.33% | Annual | 3.79% | Annual | N/A | 03/29/29 | USD | 17,015 | (292,139 ) | 146 | (292,285 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/08/29 | USD | 10,561 | (75,794 ) | 94 | (75,888 ) |
1-Day SOFR, 5.33% | Annual | 4.05% | Annual | N/A | 04/09/29 | USD | 7,990 | (38,942 ) | 72 | (39,014 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/18/29 | USD | 12,579 | (84,371 ) | 113 | (84,484 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 04/24/29 | USD | 6,326 | (40,632 ) | 57 | (40,689 ) |
Paid by the Trust | Received by the Trust | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Rate | Frequency | Rate | Frequency | |||||||
6-mo. EURIBOR, 3.68% | Semi-Annual | 2.90% | Annual | N/A | 04/30/29 | EUR | 8,865 | $ 1,873 | $ 90 | $ 1,783 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 05/06/29 | USD | 12,652 | (73,978 ) | 114 | (74,092 ) |
6-mo. EURIBOR, 3.68% | Semi-Annual | 2.87% | Annual | N/A | 06/11/29 | EUR | 6,519 | (8,728 ) | 69 | (8,797 ) |
1-Day SOFR, 5.33% | Annual | 3.14% | Annual | 05/12/28 (a) | 05/12/33 | USD | 6,701 | (162,228 ) | 62 | (162,290 ) |
1-Day SOFR, 5.33% | Annual | 4.31% | Annual | N/A | 09/29/33 | USD | 26,166 | 475,983 | 2,128 | 473,855 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/12/34 | USD | 4,817 | (16,773 ) | 74 | (16,847 ) |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 01/17/34 | USD | 1,389 | (4,539 ) | 21 | (4,560 ) |
New Index, Research, 6.86% | Semi-Annual | 6.34% | Semi-Annual | N/A | 03/20/34 | INR | 110,771 | (13,287 ) | 23 | (13,310 ) |
New Index, Research, 6.86% | Semi-Annual | 6.35% | Semi-Annual | N/A | 03/20/34 | INR | 110,771 | (12,310 ) | 23 | (12,333 ) |
3.46% | Annual | 1-Day SOFR, 5.33% | Annual | 12/15/26 (a) | 12/15/36 | USD | 4,824 | 123,540 | 80 | 123,460 |
3.65% | Annual | 1-Day SOFR, 5.33% | Annual | N/A | 11/03/53 | USD | 2,577 | 73,616 | 82 | 73,534 |
1-Day SOFR, 5.33% | Annual | 4.00% | Annual | N/A | 11/03/53 | USD | 2,577 | 89,880 | 82 | 89,798 |
$ (354,680 ) | $ 43,807 | $ (398,487 ) |
(a) | Forward Swap. |
Reference Obligations/Index | Financing Rate Paid by the Trust | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Paramount Global Class B | 1.00 % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/28 | USD | 255 | $ 11,796 | $ 16,521 | $ (4,725 ) |
Paramount Global Class B | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/28 | USD | 255 | 11,796 | 16,972 | (5,176 ) |
TIM S.p.A. | 1.00 | Quarterly | Goldman Sachs International | 06/20/29 | EUR | 380 | 21,171 | 21,781 | (610 ) |
$ 44,763 | $ 55,274 | $ (10,511 ) |
Reference Obligation/Index | Financing Rate Received by the Trust | Payment Frequency | Counterparty | Termination Date | Credit Rating | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CCO Holdings LLC | 5.00 % | Quarterly | Morgan Stanley & Co. International PLC | 06/20/29 | BB- | USD | 80 | $ 7,378 | $ 5,679 | $ 1,699 |
Paid by the Trust | Received by the Trust | ||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day BZDIOVER, 0.04% | At Termination | 12.81% | At Termination | Morgan Stanley & Co. International PLC | N/A | 01/02/25 | BRL | 136,435 | $ 17,950 | $ — | $ 17,950 |
1-Day BZDIOVER, 0.04% | At Termination | 13.18% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/02/25 | BRL | 7,068 | 431,282 | — | 431,282 |
1-Day BZDIOVER, 0.04% | At Termination | 13.21% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/02/25 | BRL | 7,065 | 32,342 | — | 32,342 |
1-Day BZDIOVER, 0.04% | At Termination | 13.25% | At Termination | Citibank N.A. | N/A | 01/02/25 | BRL | 3,716 | 33,095 | — | 33,095 |
Paid by the Trust | Received by the Trust | ||||||||||
Rate | Frequency | Rate | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day BZDIOVER, 0.04% | At Termination | 10.06% | At Termination | JPMorgan Chase Bank N.A. | N/A | 01/04/27 | BRL | 14,158 | $ (158,984 ) | $ — | $ (158,984 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.35% | At Termination | Barclays Bank PLC | N/A | 01/04/27 | BRL | 29,050 | (155,441 ) | — | (155,441 ) |
1-Day BZDIOVER, 0.04% | At Termination | 9.99% | At Termination | Citibank N.A. | N/A | 01/04/27 | BRL | 14,191 | (258,889 ) | — | (258,889 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.00% | At Termination | Bank of America N.A. | N/A | 01/04/27 | BRL | 14,578 | (152,344 ) | — | (152,344 ) |
1-Day BZDIOVER, 0.04% | At Termination | 10.03% | At Termination | Morgan Stanley & Co. International PLC | N/A | 01/04/27 | BRL | 14,173 | (158,739 ) | — | (158,739 ) |
$ (369,728 ) | $ — | $ (369,728 ) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value |
Centrally Cleared Swaps(a) | $ 135,102 | $ (384,931 ) | $ 2,084,271 | $ (2,395,062 ) | $ — |
OTC Swaps | 60,953 | — | 516,368 | (894,908 ) | — |
Options Written | N/A | N/A | 625,194 | (2,189,177 ) | (4,341,781 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ 217,610 | $ — | $ 1,863,953 | $ — | $ 2,081,563 |
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 2,402,856 | — | — | 2,402,856 |
Options purchased Investments at value — unaffiliated(b) | — | 21,440 | 3,718,760 | — | 329,702 | — | 4,069,902 |
Swaps — centrally cleared Unrealized appreciation on centrally cleared swaps(a) | — | 150,394 | — | — | 1,933,877 | — | 2,084,271 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | 62,652 | — | — | 514,669 | — | 577,321 |
$ — | $ 234,486 | $ 3,936,370 | $ 2,402,856 | $ 4,642,201 | $ — | $ 11,215,913 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ 34,962 | $ — | $ 274,123 | $ — | $ 465,172 | $ — | $ 774,257 |
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 464,637 | — | — | 464,637 |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Options written Options written at value | $ — | $ 3,089 | $ 3,727,948 | $ — | $ 610,744 | $ — | $ 4,341,781 |
Swaps — centrally cleared Unrealized depreciation on centrally cleared swaps(a) | — | 62,698 | — | — | 2,332,364 | — | 2,395,062 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | 10,511 | — | — | 884,397 | — | 894,908 |
$ 34,962 | $ 76,298 | $ 4,002,071 | $ 464,637 | $ 4,292,677 | $ — | $ 8,870,645 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ 20,282,128 | $ — | $ (4,146,313 ) | $ — | $ 16,135,815 |
Forward foreign currency exchange contracts | — | — | — | 14,672,435 | — | — | 14,672,435 |
Options purchased(a) | — | (202,082 ) | 8,132,858 | — | (446,132 ) | (20,532 ) | 7,464,112 |
Options written | — | 22,795 | 1,331,628 | — | 584,620 | — | 1,939,043 |
Swaps | — | (17,766 ) | 2,339 | — | 214,097 | — | 198,670 |
$ — | $ (197,053 ) | $ 29,748,953 | $ 14,672,435 | $ (3,793,728 ) | $ (20,532 ) | $ 40,410,075 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ (130,275 ) | $ — | $ (3,087,078 ) | $ — | $ (109,218 ) | $ — | $ (3,326,571 ) |
Forward foreign currency exchange contracts | — | — | — | 3,383,501 | — | — | 3,383,501 |
Options purchased(b) | — | 18,674 | 173,178 | — | (1,561,634 ) | 14,361 | (1,355,421 ) |
Options written | — | (69 ) | (1,596,034 ) | — | 253,404 | — | (1,342,699 ) |
Swaps | — | 61,519 | (240,544 ) | — | (11,497,766 ) | — | (11,676,791 ) |
$ (130,275 ) | $ 80,124 | $ (4,750,478 ) | $ 3,383,501 | $ (12,915,214 ) | $ 14,361 | $ (14,317,981 ) |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — long | $490,550,707 |
Average notional value of contracts — short | $229,656,824 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $324,405,897 |
Average amounts sold — in USD | $33,650,837 |
Options: | |
Average value of option contracts purchased | $4,390,884 |
Average value of option contracts written | $2,868,980 |
Average notional value of swaption contracts purchased | $90,828,142 |
Average notional value of swaption contracts written | $322,269,351 |
Credit default swaps: | |
Average notional value — buy protection | $8,315,383 |
Average notional value — sell protection | $3,356,401 |
Interest rate swaps: | |
Average notional value — pays fixed rate | $49,947,347 |
Average notional value — receives fixed rate | $810,148,210 |
Total return swaps: | |
Average notional value | $5,187,466 |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Futures contracts | $ 941,974 | $ 1,431,751 |
Forward foreign currency exchange contracts | 2,402,856 | 464,637 |
Options | 4,069,902 (a) | 4,341,781 |
Swaps — centrally cleared | — | 551,280 |
Swaps — OTC(b) | 577,321 | 894,908 |
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities | 7,992,053 | 7,684,357 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (4,591,948 ) | (5,710,979 ) |
Total derivative assets and liabilities subject to an MNA | $ 3,400,105 | $ 1,973,378 |
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) |
Barclays Bank PLC | $ 698,999 | $ (170,349 ) | $ — | $ — | $ 528,650 |
BNP Paribas SA | 12,176 | (4,924 ) | — | — | 7,252 |
Citibank N.A. | 229,031 | (229,031 ) | — | — | — |
Deutsche Bank AG | 16,515 | (16,515 ) | — | — | — |
Goldman Sachs International | 166,871 | (166,871 ) | — | — | — |
JPMorgan Chase Bank N.A. | 851,417 | (576,276 ) | — | — | 275,141 |
Morgan Stanley & Co. International PLC | 149,894 | (149,894 ) | — | — | — |
Standard Chartered Bank | 1,263,874 | (5,494 ) | — | — | 1,258,380 |
UBS AG | 11,328 | (11,328 ) | — | — | — |
$ 3,400,105 | $ (1,330,682 ) | $ — | $ — | $ 2,069,423 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged(d) | Cash Collateral Pledged | Net Amount of Derivative Liabilities(b)(e) |
Bank of America N.A. | $ 152,344 | $ — | $ — | $ — | $ 152,344 |
Barclays Bank PLC | 170,349 | (170,349 ) | — | — | — |
BNP Paribas SA | 4,924 | (4,924 ) | — | — | — |
Citibank N.A. | 293,836 | (229,031 ) | — | — | 64,805 |
Deutsche Bank AG | 153,126 | (16,515 ) | (136,611 ) | — | — |
Goldman Sachs International | 237,993 | (166,871 ) | (71,122 ) | — | — |
JPMorgan Chase Bank N.A. | 576,276 | (576,276 ) | — | — | — |
Morgan Stanley & Co. International PLC | 267,599 | (149,894 ) | — | — | 117,705 |
Standard Chartered Bank | 5,494 | (5,494 ) | — | — | — |
The Bank of New York Mellon | 85,149 | — | — | — | 85,149 |
UBS AG | 26,288 | (11,328 ) | — | — | 14,960 |
$ 1,973,378 | $ (1,330,682 ) | $ (207,733 ) | $ — | $ 434,963 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 61,609,035 | $ — | $ 61,609,035 |
Common Stocks | ||||
Canada | 12,892,409 | — | — | 12,892,409 |
China | — | 16,472,073 | — | 16,472,073 |
Denmark | — | 4,497,726 | — | 4,497,726 |
Finland | — | 5,027,327 | — | 5,027,327 |
France | 2,933,920 | 45,706,944 | — | 48,640,864 |
Germany | — | 28,366,087 | — | 28,366,087 |
Hong Kong | — | 2,556,099 | — | 2,556,099 |
Italy | — | 22,643,861 | — | 22,643,861 |
Japan | — | 47,522,132 | — | 47,522,132 |
Netherlands | — | 37,734,131 | — | 37,734,131 |
Norway | 685,440 | — | — | 685,440 |
South Korea | — | 8,831,557 | — | 8,831,557 |
Spain | — | 8,128,549 | — | 8,128,549 |
Sweden | — | 3,218,123 | — | 3,218,123 |
Switzerland | — | 5,186,415 | — | 5,186,415 |
Taiwan | 21,047,348 | — | — | 21,047,348 |
United Kingdom | 10,882,803 | 12,854,847 | 145,943 | 23,883,593 |
United States | 822,831,344 | 20,198,404 | 5,482,893 | 848,512,641 |
Corporate Bonds | ||||
Australia | — | — | 5,637,908 | 5,637,908 |
Belgium | — | 314,120 | — | 314,120 |
Canada | — | 683,036 | — | 683,036 |
France | 133,967 | 1,481,846 | — | 1,615,813 |
Germany | — | 2,110,269 | 3,142,407 | 5,252,676 |
Hong Kong | — | 4,209,103 | — | 4,209,103 |
Italy | — | 1,794,628 | — | 1,794,628 |
Japan | — | 6,569,000 | — | 6,569,000 |
Jersey | — | 181,920 | — | 181,920 |
Netherlands | — | 3,834,655 | — | 3,834,655 |
Spain | — | 944,760 | — | 944,760 |
Sweden | — | 370,682 | — | 370,682 |
United Kingdom | — | 1,280,268 | — | 1,280,268 |
United States | — | 125,417,411 | 32,403,162 | 157,820,573 |
Fixed Rate Loan Interests | — | — | 4,093,293 | 4,093,293 |
Floating Rate Loan Interests | — | 18,577,182 | 28,200,842 | 46,778,024 |
Foreign Agency Obligations | — | 2,975,919 | — | 2,975,919 |
Investment Companies | 15,871,059 | — | — | 15,871,059 |
Municipal Bonds | — | 2,829,227 | — | 2,829,227 |
Non-Agency Mortgage-Backed Securities | — | 35,343,493 | — | 35,343,493 |
Preferred Securities | ||||
Capital Trusts | — | 1,149,492 | — | 1,149,492 |
Preferred Stocks | — | — | 33,619,796 | 33,619,796 |
U.S. Government Sponsored Agency Securities | — | 119,957,585 | — | 119,957,585 |
U.S. Treasury Obligations | — | 6,834,446 | — | 6,834,446 |
Warrants | — | 600 | 2,182,554 | 2,183,154 |
Short-Term Securities | ||||
Money Market Funds | 352,523,934 | — | — | 352,523,934 |
Options Purchased | ||||
Credit Contracts | — | 21,440 | — | 21,440 |
Equity Contracts | 3,649,974 | 68,786 | — | 3,718,760 |
Level 1 | Level 2 | Level 3 | Total | |
Interest Rate Contracts | $ — | $ 329,702 | $ — | $ 329,702 |
Unfunded Floating Rate Loan Interests(a) | — | — | 55 | 55 |
Liabilities | ||||
Unfunded Floating Rate Loan Interests(a) | — | — | (14,965 ) | (14,965 ) |
$ 1,243,452,198 | $ 667,832,880 | $ 114,893,888 | $ 2,026,178,966 | |
Derivative Financial Instruments(b) | ||||
Assets | ||||
Credit Contracts | $ — | $ 152,093 | $ — | $ 152,093 |
Equity Contracts | 10,506 | 207,104 | — | 217,610 |
Foreign Currency Exchange Contracts | — | 2,402,856 | — | 2,402,856 |
Interest Rate Contracts | 1,863,953 | 2,448,546 | — | 4,312,499 |
Liabilities | ||||
Commodity Contracts | (34,962 ) | — | — | (34,962 ) |
Credit Contracts | — | (76,298 ) | — | (76,298 ) |
Equity Contracts | (4,002,071 ) | — | — | (4,002,071 ) |
Foreign Currency Exchange Contracts | — | (464,637 ) | — | (464,637 ) |
Interest Rate Contracts | (465,172 ) | (3,827,505 ) | — | (4,292,677 ) |
$ (2,627,746 ) | $ 842,159 | $ — | $ (1,785,587 ) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Preferred Stocks | Unfunded Floating Rate Loan Interest | |
Assets | |||||||
Opening balance, as of December 31, 2023 | $ 500,050 | $ 3,472,508 | $ 34,946,485 | $ 4,062,028 | $ 24,747,984 | $ 16,583,496 | $ (44,834 ) |
Transfers into Level 3 | — | — | — | — | — | 2,487,113 | — |
Transfers out of Level 3 | (500,050 ) | (99,630 ) | — | — | — | — | — |
Other(a) | — | (3,128,485 ) | — | — | — | 3,128,485 | — |
Accrued discounts/premiums | — | — | 145,992 | 4,532 | 25,494 | — | — |
Net realized gain (loss) | — | — | (761,871 ) | — | (10,340 ) | — | — |
Net change in unrealized appreciation (depreciation)(b)(c) | — | 169,435 | (2,228,447 ) | 26,733 | (97,698 ) | (2,480,585 ) | 29,924 |
Purchases | — | 5,215,008 | 18,516,096 | — | 4,521,897 | 13,901,287 | — |
Sales | — | — | (9,434,778 ) | — | (986,495 ) | — | — |
Closing balance, as of June 30, 2024 | $ — | $ 5,628,836 | $ 41,183,477 | $ 4,093,293 | $ 28,200,842 | $ 33,619,796 | $ (14,910 ) |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | $ — | $ 169,435 | $ (1,712,883 ) | $ 26,733 | $ (97,698 ) | $ (2,480,585 ) | $ (17,374 ) |
Warrants | Total | |
Assets | ||
Opening balance, as of December 31, 2023 | $ 715,474 | $ 84,983,191 |
Transfers into Level 3 | — | 2,487,113 |
Transfers out of Level 3 | (5,593 ) | (605,273 ) |
Other(a) | — | — |
Accrued discounts/premiums | — | 176,018 |
Net realized gain (loss) | (1 ) | (772,212 ) |
Net change in unrealized appreciation (depreciation)(b)(c) | 1,472,674 | (3,107,964 ) |
Purchases | — | 42,154,288 |
Sales | — | (10,421,273 ) |
Closing balance, as of June 30, 2024 | $ 2,182,554 | $ 114,893,888 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | $ 1,495,040 | $ (2,617,332 ) |
(a) | Certain Level 3 investments were re-classified between Common Stocks and Preferred Stocks. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
Value | Valuation Approach | Unobservable Inputs | Range of Unobservable Inputs Utilized(a) | Weighted Average of Unobservable Inputs Based on Fair Value | |
Assets | |||||
Common Stocks | $2,832,543 | Market | Gross Profit Multiple | 7.75x | — |
EBITDA | 12.40x | — | |||
Corporate Bonds | 41,183,477 | Income | Discount Rate | 9%- 21% | 13% |
Floating Rate Loan Interests | 26,498,580 | Income | Discount Rate | 7%- 14% | 11% |
Fixed Rate Loan Interests | 4,093,293 | Income | Discount Rate | 8% | — |
Preferred Stock(b) | 36,416,089 | Market | Revenue Multiple | 2.65x - 16.75x | 8.15x |
Time to Exit | 0.5 - 3.0 years | 2.4 years | |||
Volatility | 35% - 90% | 71% | |||
EBITDA | 7.00x | — | |||
Income | Discount Rate | 14%-16% | 15% | ||
Warrants | 2,182,554 | Market | Revenue Multiple | 6.50x -10.50x | 7.35x |
Volatility | 38% - 70% | 62% | |||
Time to Exit | 0.5 - 3.0 years | 3.0 years | |||
Income | Discount Rate | 16%-19% | 18% | ||
$113,206,536 |
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
(b) | The fund valued certain of its Level 3 Direct Investments using recent transactions as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction prices, for which inputs are unobservable, is $1,594,000 as of June 30, 2024. |
BCAT | ECAT | |
ASSETS | ||
Investments, at value — unaffiliated(a)(b) | $ 1,910,591,030 | $ 1,663,517,882 |
Investments, at value — affiliated(c) | 120,854,160 | 362,675,994 |
Cash | 1,198,000 | — |
Cash pledged: | ||
Futures contracts | 16,919,000 | 11,234,000 |
Centrally cleared swaps | 20,949,000 | 13,412,000 |
Foreign currency, at value(d) | 5,650,151 | 4,458,661 |
Receivables: | ||
Investments sold | 11,066,851 | 18,514 |
Options written | 437,782 | 208,093 |
Securities lending income — affiliated | — | 3,093 |
Swaps | 111,165 | 53,188 |
Dividends — unaffiliated | 1,131,067 | 1,360,825 |
Dividends — affiliated | 405,966 | 1,400,797 |
Interest — unaffiliated | 8,899,695 | 5,043,102 |
Variation margin on futures contracts | 2,627,803 | 941,974 |
Swap premiums paid | 276,792 | 60,953 |
Unrealized appreciation on: | ||
Forward foreign currency exchange contracts | 3,057,397 | 2,402,856 |
OTC swaps | 970,363 | 516,368 |
Unfunded floating rate loan interests | — | 55 |
Prepaid expenses | 25,516 | 24,351 |
Total assets | 2,105,171,738 | 2,067,332,706 |
LIABILITIES | ||
Due to broker | 2,264,191 | — |
Cash received: | ||
Collateral — OTC derivatives | 960,000 | 430,000 |
Collateral — TBA commitments | 2,028,281 | 815,000 |
Collateral on securities loaned | — | 5,465,198 |
Options written, at value(e) | 3,912,526 | 4,341,781 |
Payables: | ||
Investments purchased | 193,037,227 | 135,841,806 |
Swaps | 840,572 | — |
Accounting services fees | 75,068 | 66,883 |
Custodian fees | 69,576 | 47,614 |
Deferred foreign capital gain tax | 57,936 | — |
Income dividend distributions | 3,546,120 | 2,215,293 |
Interest expense and fees | 114,583 | — |
Investment advisory fees | 1,925,265 | 1,932,591 |
Trustees’ and Officer’s fees | 89,380 | 86,255 |
Options written | 224,118 | 112,359 |
Other accrued expenses | 40,857 | 364 |
Professional fees | 275,312 | 121,530 |
Proxy fees | 670,892 | 472,745 |
Transfer agent fees | 12,047 | 4,134 |
Variation margin on futures contracts | 1,130,023 | 1,431,751 |
Variation margin on centrally cleared swaps | 640,265 | 551,280 |
Swap premiums received | 4,057 | — |
BCAT | ECAT | |
Unrealized depreciation on: | ||
Forward foreign currency exchange contracts | 301,685 | 464,637 |
OTC swaps | 2,096,838 | 894,908 |
Unfunded floating rate loan interests | 16,602 | 14,965 |
Total liabilities | 214,333,421 | 155,311,094 |
Commitments and contingent liabilities | ||
NET ASSETS | $ 1,890,838,317 | $ 1,912,021,612 |
NET ASSETS CONSIST OF | ||
Paid-in capital(f)(g)(h) | $ 1,990,725,834 | $ 1,879,911,949 |
Accumulated earnings (loss) | (99,887,517) | 32,109,663 |
NET ASSETS | $ 1,890,838,317 | $ 1,912,021,612 |
Net asset value | $ 17.60 | $ 18.76 |
(a) Investments, at cost—unaffiliated | $1,744,236,538 | $1,438,140,361 |
(b) Securities loaned, at value | $— | $5,326,052 |
(c) Investments, at cost—affiliated | $120,710,463 | $362,535,502 |
(d) Foreign currency, at cost | $5,656,701 | $4,477,666 |
(e) Premiums received | $3,512,142 | $2,777,798 |
(f) Shares outstanding | 107,461,816 | 101,893,121 |
(g) Shares authorized | Unlimited | Unlimited |
(h) Par value | $0.001 | $0.001 |
BCAT | ECAT | |
INVESTMENT INCOME | ||
Dividends — unaffiliated | $9,604,931 | $9,845,294 |
Dividends — affiliated | 2,882,624 | 9,627,842 |
Interest — unaffiliated | 29,753,280 | 14,803,577 |
Securities lending income — affiliated — net | — | 18,537 |
Other income — unaffiliated | — | 94,347 |
Foreign taxes withheld | (639,665 ) | (844,563 ) |
Total investment income | 41,601,170 | 33,545,034 |
EXPENSES | ||
Investment advisory | 11,703,367 | 11,724,247 |
Proxy | 1,051,778 | 902,648 |
Professional | 116,041 | 129,486 |
Accounting services | 107,186 | 95,686 |
Custodian | 103,193 | 80,166 |
Trustees and Officer | 60,415 | 60,550 |
Transfer agent | 42,936 | 31,808 |
Registration | 18,526 | 17,548 |
Printing and postage | 6,528 | 10,879 |
Reorganization | — | 403,715 |
Miscellaneous | 101,946 | 231,556 |
Total expenses excluding interest expense | 13,311,916 | 13,688,289 |
Interest expense and fees — unaffiliated | 692,987 | 1,195 |
Total expenses | 14,004,903 | 13,689,484 |
Less: | ||
Fees waived and/or reimbursed by the Manager | (121,530 ) | (197,647 ) |
Total expenses after fees waived and/or reimbursed | 13,883,373 | 13,491,837 |
Net investment income | 27,717,797 | 20,053,197 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||
Net realized gain (loss) from: | ||
Investments — unaffiliated | 4,438,810 | 26,092,073 |
Investments — affiliated | — | (3,218 ) |
Forward foreign currency exchange contracts | 17,721,221 | 14,672,435 |
Foreign currency transactions | (176,816 ) | (203,620 ) |
Futures contracts | (20,878,029 ) | 16,135,815 |
Options written | 3,535,275 | 1,939,043 |
Payment by affiliate | 3,850 | — |
Swaps | 3,628,095 | 198,670 |
8,272,406 | 58,831,198 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments — unaffiliated(a) | 101,801,143 | 114,282,234 |
Investments — affiliated | (307,069 ) | (142,036 ) |
Forward foreign currency exchange contracts | 4,753,815 | 3,383,501 |
Foreign currency translations | (36,390 ) | (90,325 ) |
Futures contracts | 7,576,391 | (3,326,571 ) |
Options written | (373,086 ) | (1,342,699 ) |
Swaps | (13,119,895 ) | (11,676,791 ) |
Unfunded floating rate loan interests | 32,776 | 29,924 |
100,327,685 | 101,117,237 | |
Net realized and unrealized gain | 108,600,091 | 159,948,435 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $136,317,888 | $180,001,632 |
(a) Net of reduction in/(increase in) deferred foreign capital gain tax of | $(54,866 ) | $3,771 |
BCAT | ECAT | |||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | |
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income | $27,717,797 | $58,578,071 | $20,053,197 | $35,785,806 |
Net realized gain (loss) | 8,272,406 | (56,810,308 ) | 58,831,198 | (14,786,182 ) |
Net change in unrealized appreciation (depreciation) | 100,327,685 | 202,956,454 | 101,117,237 | 273,921,319 |
Net increase in net assets resulting from operations | 136,317,888 | 204,724,217 | 180,001,632 | 294,920,943 |
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||
From net investment income | (99,175,435 )(b) | (62,938,896 ) | (106,674,965 )(b) | (35,941,083 ) |
Return of capital | — | (99,719,802 ) | — | (114,889,303 ) |
Decrease in net assets resulting from distributions to shareholders | (99,175,435 ) | (162,658,698 ) | (106,674,965 ) | (150,830,386 ) |
CAPITAL SHARE TRANSACTIONS | ||||
Redemption of shares resulting from share repurchase program (including transaction costs) | — | (9,718,056 ) | — | (7,268,837 ) |
NET ASSETS | ||||
Total increase in net assets | 37,142,453 | 32,347,463 | 73,326,667 | 136,821,720 |
Beginning of period | 1,853,695,864 | 1,821,348,401 | 1,838,694,945 | 1,701,873,225 |
End of period | $1,890,838,317 | $1,853,695,864 | $1,912,021,612 | $1,838,694,945 |
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
BCAT | ECAT | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | ||
Net increase in net assets resulting from operations | $136,317,888 | $180,001,632 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | ||
Proceeds from sales of long-term investments and principal paydowns/payups | 2,529,300,457 | 1,885,267,760 |
Purchases of long-term investments | (2,421,955,632 ) | (1,846,995,511 ) |
Net proceeds from sales (purchases) of short-term securities | (27,200,093 ) | 29,127,573 |
Amortization of premium and accretion of discount on investments and other fees | (2,271,881 ) | (984,492 ) |
Paid-in-kind income | — | (200,053 ) |
Premiums paid on closing options written | (7,498,532 ) | (6,378,402 ) |
Premiums received from options written | 13,280,340 | 10,554,103 |
Net realized gain on investments and options written | (8,406,451 ) | (28,278,451 ) |
Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | (104,000,100 ) | (114,658,114 ) |
(Increase) Decrease in Assets | ||
Receivables | ||
Dividends — affiliated | (73,393 ) | 48,533 |
Dividends — unaffiliated | 257,272 | 204,300 |
From custodian | 772,356 | 1,146,112 |
Interest — unaffiliated | 551,885 | (276,640 ) |
Securities lending income — affiliated | — | (1,222 ) |
Swaps | 229,667 | 3,489 |
Variation margin on futures contracts | (1,229,884 ) | (390,579 ) |
Variation margin on centrally cleared swaps | 47,302 | — |
Swap premiums paid | (57,482 ) | (60,953 ) |
Prepaid expenses | (8,852 ) | 365,231 |
Increase (Decrease) in Liabilities | ||
Due to broker | 1,484,191 | — |
Cash received | ||
Collateral — OTC derivatives | (1,800,000 ) | (1,740,000 ) |
Collateral — TBA commitments | (2,685,719 ) | (1,045,000 ) |
Collateral on securities loaned | — | 1,958,927 |
Payables | ||
Swaps | (259,991 ) | — |
Accounting services fees | (1,438 ) | (1,068 ) |
Custodian fees | (3,801 ) | 2,390 |
Deferred foreign capital gain tax | 54,866 | (3,771 ) |
Interest expense and fees | (3,820 ) | — |
Investment advisory fees | (962 ) | 53,931 |
Trustees’ and Officer’s fees | 10,145 | 10,488 |
Other accrued expenses | (33,911 ) | (54,158 ) |
Professional fees | (15,181 ) | (2,957 ) |
Proxy fees | 607,036 | 472,745 |
Transfer agent fees | (7,979 ) | (14,496 ) |
Variation margin on futures contracts | 1,214 | 747,258 |
Variation margin on centrally cleared swaps | 640,265 | 473,386 |
Swap premiums received | (66,985 ) | — |
Net cash provided by operating activities | 105,972,797 | 109,351,991 |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | ||
Cash dividends paid to shareholders | (95,629,315 ) | (104,459,672 ) |
Net cash used for financing activities | (95,629,315 ) | (104,459,672 ) |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||
Cash impact from foreign exchange fluctuations | 77,058 | (21,824 ) |
BCAT | ECAT | |
CASH AND FOREIGN CURRENCY | ||
Net increase in restricted and unrestricted cash and foreign currency | $10,420,540 | $4,870,495 |
Restricted and unrestricted cash and foreign currency at beginning of period | 34,295,611 | 24,234,166 |
Restricted and unrestricted cash and foreign currency at end of period | $44,716,151 | $29,104,661 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||
Cash paid during the period for interest expense | $696,807 | $1,195 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES | ||
Cash | $1,198,000 | $— |
Cash pledged | ||
Futures contracts | 16,919,000 | 11,234,000 |
Centrally cleared swaps | 20,949,000 | 13,412,000 |
Foreign currency at value | 5,650,151 | 4,458,661 |
$44,716,151 | $29,104,661 |
BCAT | |||||
Six Months Ended 06/30/24 (unaudited)(a) | Year Ended 12/31/23(a) | Year Ended 12/31/22(a) | Year Ended 12/31/21(a) | Period from 09/28/20(b) to 12/31/20 | |
Net asset value, beginning of period | $17.25 | $16.84 | $20.90 | $21.05 | $20.00 |
Net investment income(c) | 0.26 | 0.55 | 0.50 | 0.53 | 0.04 |
Net realized and unrealized gain (loss) | 1.01 | 1.37 | (3.31 ) | 0.57 | 1.11 |
Net increase (decrease) from investment operations | 1.27 | 1.92 | (2.81 ) | 1.10 | 1.15 |
Distributions(d) | |||||
From net investment income | (0.92 )(e) | (0.58 ) | (0.99 ) | (0.75 ) | (0.03 ) |
From net realized gain | — | — | — | (0.03 ) | (0.07 ) |
Return of capital | — | (0.93 ) | (0.26 ) | (0.47 ) | — |
Total distributions | (0.92 ) | (1.51 ) | (1.25 ) | (1.25 ) | (0.10 ) |
Net asset value, end of period | $17.60 | $17.25 | $16.84 | $20.90 | $21.05 |
Market price, end of period | $16.41 | $14.95 | $13.87 | $19.45 | $21.77 |
Total Return(f) | |||||
Based on net asset value | 7.97 %(g)(h) | 13.24 % | (12.61 )% | 5.44 % | 5.77 %(h) |
Based on market price | 16.15 %(h) | 19.16 % | (22.66 )% | (5.12 )% | 9.39 %(h) |
Ratios to Average Net Assets(i) | |||||
Total expenses | 1.44 %(j)(k)(l) | 1.40 %(m) | 1.58 % | 1.61 % | 1.30 %(j) |
Total expenses after fees waived and/or reimbursed | 1.43 %(j)(k)(l) | 1.39 %(m) | 1.57 % | 1.60 % | 1.26 %(j) |
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs | 1.35 %(j)(k)(l) | 1.31 %(m) | 1.42 % | 1.51 % | 1.26 %(j) |
Net investment income | 2.96 %(j) | 3.19 % | 2.77 % | 2.49 % | 0.84 %(j) |
Supplemental Data | |||||
Net assets, end of period (000) | $1,890,838 | $1,853,696 | $1,821,348 | $2,332,983 | $2,351,695 |
Borrowings outstanding, end of period (000) | $— | $— | $— | $687,791 | $— |
Asset coverage, end of period per $1,000 of bank borrowings | $— | $— | $— | $6,290 | $— |
Portfolio turnover rate(n) | 126 %(o) | 234 %(o) | 98 % | 90 % | 13 % |
(a) | Consolidated Financial Highlights. |
(b) | Commencement of operations. |
(c) | Based on average shares outstanding. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(g) | Includes payment from an affiliate, which had no impact on the Trust’s total return. |
(h) | Not annualized. |
(i) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(j) | Annualized. |
(k) | Proxy fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.50%, 1.48% and 1.41% respectively. |
(l) | Includes non-recurring expenses of proxy costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.39% ,1.37% and 1.30%, respectively. |
(m) | Includes non-recurring expenses of proxy costs and offering costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.38% ,1.37% and 1.29%, respectively. |
(n) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/24 (unaudited)(a) | Year Ended 12/31/23(a) | Year Ended 12/31/22(a) | Year Ended 12/31/21(a) | Period from 09/28/20(b) to 12/31/20 | |
Portfolio turnover rate (excluding MDRs) | 73 % | 135 % | 88 % | 86 % | 13 % |
(o) | Excludes underlying investments in total return swaps. |
ECAT | ||||
Six Months Ended 06/30/24 (unaudited)(a) | Year Ended 12/31/23(a) | Year Ended 12/31/22 | Period from 09/27/21(b) to 12/31/21 | |
Net asset value, beginning of period | $18.05 | $16.62 | $20.69 | $20.00 |
Net investment income (loss)(c) | 0.20 | 0.35 | 0.18 | (0.04 ) |
Net realized and unrealized gain (loss) | 1.56 | 2.56 | (3.05 ) | 0.83 |
Net increase (decrease) from investment operations | 1.76 | 2.91 | (2.87 ) | 0.79 |
Distributions(d) | ||||
From net investment income | (1.05 )(e) | (0.35 ) | (0.50 ) | (0.05 ) |
From net realized gain | — | — | (0.08 ) | (0.05 ) |
Return of capital | — | (1.13 ) | (0.62 ) | — |
Total distributions | (1.05 ) | (1.48 ) | (1.20 ) | (0.10 ) |
Net asset value, end of period | $18.76 | $18.05 | $16.62 | $20.69 |
Market price, end of period | $17.54 | $16.13 | $13.43 | $18.65 |
Total Return(f) | ||||
Based on net asset value | 10.42 %(g) | 19.50 % | (12.89 )% | 4.00 %(g) |
Based on market price | 15.53 %(g) | 32.15 % | (21.91 )% | (6.25 )%(g) |
Ratios to Average Net Assets(h) | ||||
Total expenses | 1.39 %(i)(j)(k) | 1.36 %(l) | 1.29 % | 1.30 % |
Total expenses after fees waived and/or reimbursed | 1.37 %(i)(j)(k) | 1.32 %(l) | 1.28 % | 1.30 %(k) |
Net investment income (loss) | 2.14 %(k) | 2.01 % | 1.02 % | (0.77 )%(k) |
Supplemental Data | ||||
Net assets, end of period (000) | $1,912,022 | $1,838,695 | $1,701,873 | $2,187,581 |
Portfolio turnover rate(m) | 113 % | 246 % | 106 % | 15 % |
(a) | Consolidated Financial Highlights. |
(b) | Commencement of operations. |
(c) | Based on average shares outstanding. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(g) | Not annualized. |
(h) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) | The proxy fees and reorganization costs were not annualized in the calculation of the expense ratios. If these expense was annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.46% and 1.44%, respectively. |
(j) | Includes non-recurring expenses of proxy fees and reorganization costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.32% and 1.30%, respectively. |
(k) | Annualized. |
(l) | Includes non-recurring expenses of proxy fees. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.31% and 1.27%, respectively. |
(m) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/24 (unaudited)(a) | Year Ended 12/31/23(a) | Year Ended 12/31/22 | Period from 09/27/21(b) to 12/31/21 | |
Portfolio turnover rate (excluding MDRs) | 68 % | 152 % | 95 % | 15 % |
Trust Name | Herein Referred To As | Organized | Diversification Classification |
BlackRock Capital Allocation Term Trust | BCAT | Maryland | Diversified |
BlackRock ESG Capital Allocation Term Trust | ECAT | Maryland | Non-diversified |
Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services | ||
Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
(ii) | recapitalizations and other transactions across the capital structure; and | |
(iii) | market multiples of comparable issuers. | |
Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
(ii) | quoted prices for similar investments or assets in active markets; and | |
(iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services | ||
(ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | |
(iii) | relevant news and other public sources; and | |
(iv) | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Trust Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) |
BCAT | CML La Quinta Resort | $691,160 | $ 691,160 | $691,160 | $ — |
Coreweave Compute Acquisition Co. II, LLC | 554,061 | 554,061 | 545,750 | (8,311) | |
Orion Group Holdco, LLC | 217,026 | 217,026 | 215,680 | (1,346) | |
Orion Group Holdco, LLC | 620,073 | 620,073 | 613,128 | (6,945) | |
Project Montage | 460,654 | 460,654 | 460,654 | — | |
$ (16,602) | |||||
ECAT | Coreweave Compute Acquisition Co. II, LLC | $559,873 | $ 559,617 | $551,475 | (8,142) |
Orion Group Holdco, LLC | 213,210 | 211,833 | 211,888 | 55 | |
Orion Group Holdco, LLC | 609,171 | 609,171 | 602,348 | (6,823) | |
Project Montage | 460,385 | 460,385 | 460,385 | — | |
$ (14,910) |
Trust Name/Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Non-Cash Collateral Received, at Fair Value(a) | Net Amount |
ECAT | ||||
Barclays Capital, Inc. | $ 1,494,516 | $ (1,494,516 ) | $ — | $ — |
BofA Securities, Inc. | 1,511,142 | (1,511,142 ) | — | — |
Citigroup Global Markets, Inc. | 2,294,899 | (2,294,899 ) | — | — |
Toronto-Dominion Bank | 25,495 | (25,495 ) | — | — |
$ 5,326,052 | $ (5,326,052 ) | $ — | $ — |
(a) | Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Consolidated Statements of Assets and Liabilities. |
Trust Name | Fees Waived and/or Reimbursed by the Manager |
BCAT | $ 37,726 |
ECAT | 134,468 |
Trust Name | Fees Waived and/or Reimbursed by the Manager |
BCAT | $ 83,804 |
ECAT | 63,179 |
Trust Name | Amounts |
ECAT | $ 3,316 |
U.S. Government Securities | Other Securities | |||
Trust Name | Purchases | Sales | Purchases | Sales |
BCAT | $ 1,586,318,101 | $ 1,587,984,471 | $ 816,650,185 | $ 893,874,757 |
ECAT | 1,180,835,696 | 1,180,593,066 | 648,696,284 | 660,519,355 |
Trust Name | Purchases | Sales |
BCAT | $ 1,008,323,319 | $ 1,007,875,132 |
ECAT | 724,731,604 | 724,488,974 |
Trust Name | Non-Expiring Capital Loss Carryforwards | Qualified Late-Year Ordinary Losses |
BCAT | $ (183,393,168 ) | $ (20,412,625 ) |
ECAT | (130,433,346 ) | (13,291,621 ) |
Trust Name | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
BCAT | $ 1,868,436,565 | $ 290,604,770 | $ (125,128,349 ) | $ 165,476,421 |
ECAT | 1,817,142,774 | 300,160,038 | (90,116,725 ) | 210,043,313 |
Trust Name | Declaration Date | Record Date | Payable/ Paid Date | Dividend Per Common Share | |
BCAT | 07/01/24 | 07/15/24 | 07/31/24 | $ 0.286500 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.286990 | ||
ECAT | 07/01/24 | 07/15/24 | 07/31/24 | 0.299020 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.300330 |
Commencement Date of Tender Offer Period(a) | Valuation Date | Number of Shares Tendered | Tendered Shares as a Percentage of Outstanding Shares | Number of Tendered Shares to be Purchased | Tendered Shares to be Purchased as a Percentage of Outstanding Shares | Purchase Price | Total Amount of Purchases |
07/17/24 | 08/19/24 | 14,916,872 | 13.9 % | 2,686,545 | 2.5 % | $16.8854 | $45,363,387 |
(a) | Date the tender offer period began. |
R. Glenn Hubbard | W. Carl Kester | John M. Perlowski | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
BCAT | 36,796,606 | 1,233,931 | 416,268 | 36,767,130 | 1,257,139 | 422,535 | 36,806,139 | 1,202,340 | 438,325 |
Shavar Jeffries | Jennifer Raab | Alexander Vindman | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
BCAT | 18,076,722 | 633,243 | 155,987 | 18,077,938 | 632,777 | 155,237 | 18,074,208 | 634,126 | 157,618 |
Votes For | Votes Against | Votes Abstain | |
BCAT | 19,900,304 | 36,705,372 | 706,048 |
Cynthia L. Egan | Lorenzo A. Flores | Stayce D. Harris | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
ECAT | 20,113,587 | 893,249 | 331,125 | 20,105,675 | 897,368 | 334,918 | 20,135,581 | 879,077 | 323,303 |
Catherine A. Lynch | David Littlewood | David Locala | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
ECAT | 20,159,558 | 868,665 | 309,738 | 30,182,780 | 7,526,344 | 246,737 | 30,182,827 | 7,525,585 | 247,449 |
Athanassios Diplas | Alexander Vindman | |||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
ECAT | 37,492,133 | 374,523 | 89,204 | 30,171,177 | 7,542,595 | 242,089 |
R. Glenn Hubbard | W. Carl Kester | John M. Perlowski | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
ECAT | 20,067,632 | 917,882 | 352,448 | 20,074,220 | 905,753 | 357,990 | 20,075,633 | 919,147 | 343,182 |
Ilya Gurevich | Shavar Jeffries | Jennifer Raab | |||||||
Fund Name | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain | Votes For | Votes Against | Votes Abstain |
ECAT | 37,337,635 | 376,293 | 241,931 | 30,186,763 | 7,526,903 | 242,194 | 30,341,354 | 7,528,547 | 85,959 |
Votes For | Votes Against | Votes Abstain | |
ECAT | 31,912,474 | 26,782,838 | 598,511 |
Wilmington, DE 19809
079912 Singapore
Edinburgh, EH3 8BL
United Kingdom
Boston, MA 02114
Canton, MA 02021
Boston, MA 02116
New York, NY 10019
Wilmington, DE 19809
Currency Abbreviation | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNH | Chinese Yuan |
CNY | Chinese Yuan |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
SEK | Swedish Krona |
USD | United States Dollar |
ZAR | South African Rand |
Portfolio Abbreviation | |
ABS | Asset-Backed Security |
ADR | American Depositary Receipt |
AMT | Alternative Minimum Tax |
ARB | Airport Revenue Bonds |
BZDIOVER | Overnight Brazil Interbank Deposit (CETIP) |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
CR | Custodian Receipt |
DAC | Designated Activity Company |
ESTR | Euro Short Term Rate |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FREMF | Freddie Mac Multifamily Securities |
GO | General Obligation Bonds |
LIBOR | London Interbank Offered Rate |
MSCI | Morgan Stanley Capital International |
MTA | Month Treasury Average |
MXIBTIIE | Mexico Interbank TIIE 28-Day |
PIK | Payment-in-Kind |
PIPE | Private Investment in Public Equity |
RB | Revenue Bond |
S&P | Standard & Poor’s |
SCA | Societe en Commandite par Actions |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Interbank Average Rate |
SPDR | Standard & Poor’s Depository Receipt |
ST | Special Tax |
(b) Not Applicable
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrant – Not Applicable to this semi-annual report |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Financial Statements and Financial Highlights for Open-End Management Investment Companies – Not Applicable |
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 – Not Applicable |
Item 11 – | Statement Regarding Basis for Approval of Investment Advisory Contract – The registrant’s statement regarding the basis for approval of the investment advisory contract is included as part of the Report to Stockholders filed under Item 1(a) of this Form. |
Item 12 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 13 – | Portfolio Managers of Closed-End Management Investment Companies |
(a)(1) As of the date of filing this Report:
The registrant is managed by a team of investment professionals comprised of Rick Rieder, Managing Director at BlackRock, Russ Koesterich, CFA, JD, Managing Director at BlackRock, Kate Moore, Managing Director at BlackRock, Sarah Thompson, CFA, Managing Director at BlackRock and Randy Berkowitz, CFA, Managing Director at BlackRock. Messrs. Rieder, Koesterich and Berkowitz and Mses. Moore and Thompson are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Rieder and Koesterich have been members of the Fund’s portfolio management team since 2020. Mses. Moore and Thompson and Mr. Berkowitz have been members of the Fund’s portfolio management team since 2024.
Information below is with respect to Mses. Moore and Thompson and Mr. Berkowitz who became a portfolio manager to the Fund on June 30, 2024.
Portfolio Manager | Biography | |
Kate Moore | Managing Director of BlackRock since 2016; Chief Investment Strategist at J.P. Morgan from 2013 to 2016; Senior Global Equity Strategist at BofA Merrill Lynch Global Research from 2009 to 2013. | |
Sarah Thompson, CFA | Managing Director of BlackRock, Inc. since 2013. | |
Randy Berkowitz, CFA | Managing Director of BlackRock, Inc. since 2021; Director of BlackRock, Inc. from 2014 to 2021. |
(a)(2) As of June 30, 2024:
(ii) Number of Other Accounts Managed and Assets by Account Type | (iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based | |||||||||||||||||||||||||||||
(i) Name of Portfolio Manager | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | ||||||||||||||||||||||||
Kate Moore | 1 | 4 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
$1.91 Billion | $857.8 Million | $0 | $0 | $0 | $0 | |||||||||||||||||||||||||
Sarah Thompson, CFA | 2 | 4 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
$2.82 Billion | $1.68 Billion | $0 | $0 | $0 | $0 | |||||||||||||||||||||||||
Randy Berkowitz, CFA | 3 | 4 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
$3.35 Billion | $1.68 Billion | $0 | $0 | $0 | $0 |
(iv) Portfolio Manager Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant
shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that [a portfolio manager may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Currently, the portfolio managers of this fund are not entitled to receive a portion of incentive fees of other accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.
(a)(3) As of June 30, 2024:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of June 30, 2024.
BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.
Discretionary Incentive Compensation
Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1- and 5-year periods, as applicable, is generally assessed over trailing 1-, 3- and 5-year periods relative to benchmarks plus an alpha
target as well as against peer groups. With respect to these portfolio managers in relation to these portfolios, the benchmarks for the Fund and other accounts are:
Portfolio Manager | Benchmark | |
Kate Moore | S&P 500 Index, FTSE World ex-US Index, ICE BofA Current 5-Year Treasury Index and FTSE Non-US Dollar World Government Bond Index. | |
Sarah Thompson, CFA | MSCI World Net TR Index. | |
Randy Berkowitz, CFA | MSCI ACWI Minimum Volatility (USD) Index (USD) and MSCI World Net TR Index. |
Distribution of Discretionary Incentive Compensation
Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.
Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.
For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.
Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:
Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($345,000 for 2024). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year
in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.
(a)(4) Beneficial Ownership of Securities – As of June 30, 2024.
Portfolio Manager | Dollar Range of Equity Securities of the Fund Beneficially Owned | |
Kate Moore | None | |
Sarah Thompson, CFA | None | |
Randy Berkowitz, CFA | $100,001 - $500,000 |
(b) Not Applicable
Item 14 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report. |
Item 15 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 16 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 18 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
Item 19 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
1 | The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period. |
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.
BlackRock Capital Allocation Term Trust
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Capital Allocation Term Trust |
Date: August 23, 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/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Capital Allocation Term Trust |
Date: August 23, 2024
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Capital Allocation Term Trust |
Date: August 23, 2024