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 811-04367
Columbia Funds Series Trust I
(Exact name of registrant as specified in charter)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 345-6611
Date of fiscal year end: August 31
Date of reporting period: February 29, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
3 | |
5 | |
6 | |
45 | |
46 | |
47 | |
48 | |
49 |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | 2.73 | 3.63 | 3.81 | 1.46 | |
FTSE Three-Month U.S. Treasury Bill Index | 2.78 | 5.45 | 2.02 | 1.35 |
Portfolio breakdown (%) (at February 29, 2024) | |
Asset-Backed Securities — Non-Agency | 4.3 |
Commercial Mortgage-Backed Securities - Agency | 0.3 |
Commercial Mortgage-Backed Securities - Non-Agency | 3.2 |
Common Stocks | 0.0 (a) |
Convertible Bonds | 1.0 |
Convertible Preferred Stocks | 0.2 |
Corporate Bonds & Notes | 22.3 |
Foreign Government Obligations | 9.1 |
Money Market Funds(b) | 31.3 |
Municipal Bonds | 0.7 |
Residential Mortgage-Backed Securities - Agency | 9.1 |
Residential Mortgage-Backed Securities - Non-Agency | 11.0 |
Rights | 0.1 |
Senior Loans | 0.2 |
Treasury Bills | 1.9 |
U.S. Treasury Obligations | 5.3 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Consolidated Financial Statements. |
Derivative breakdown (%) (at February 29, 2024)(a) | |||
Asset | Liability | Net | |
Forward foreign currency exchange contracts | 0.26 | (0.18 ) | 0.08 |
Long futures contracts | 1.15 | (0.13 ) | 1.02 |
Short futures contracts | 0.35 | (0.12 ) | 0.23 |
Swap contracts | 0.00 (b) | — | 0.00 (b) |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Institutional Class | 1,000.00 | 1,000.00 | 1,027.30 | 1,018.35 | 6.60 | 6.57 | 1.31 |
Asset-Backed Securities — Non-Agency 4.2% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aligned Data Centers Issuer LLC(a) | ||||
Series 2021-1A Class A2 | ||||
08/15/2046 | 1.937% | 388,000 | 350,651 | |
Allegro CLO Ltd.(a),(b),(c) | ||||
Series 2016 Class C | ||||
3-month Term SOFR + 2.700% Floor 2.700% 04/25/2037 | 0.000% | 550,000 | 550,000 | |
Allegro CLO XII Ltd.(a),(b) | ||||
Series 2020-1A Class B | ||||
3-month Term SOFR + 1.962% Floor 1.700% 01/21/2032 | 7.279% | 250,000 | 250,021 | |
AMMC CLO Ltd.(a),(b) | ||||
Series 2016-18A Class BR | ||||
3-month Term SOFR + 1.862% Floor 1.600% 05/26/2031 | 7.185% | 600,000 | 600,061 | |
Series 2021-24A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 01/20/2035 | 7.329% | 350,000 | 350,219 | |
BlueMountain CLO Ltd.(a),(b) | ||||
Series 2016-3A Class BR | ||||
3-month Term SOFR + 1.962% Floor 1.700% 11/15/2030 | 7.269% | 525,000 | 525,045 | |
BlueMountain Fuji US CLO I Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month Term SOFR + 1.762% Floor 1.500% 07/20/2029 | 7.079% | 375,000 | 374,634 | |
BlueMountain Fuji US CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A2 | ||||
3-month Term SOFR + 1.862% Floor 1.600% 10/20/2030 | 7.179% | 500,000 | 499,662 | |
Carvana Auto Receivables Trust(a),(d),(e),(f) | ||||
Series 2023-N3 Class R | ||||
09/10/2030 | 0.000% | 2,000 | 450,000 | |
Cedar Funding VII CLO Ltd.(a),(b) | ||||
Series 207 Class B | ||||
3-month Term SOFR + 1.662% Floor 1.400% 01/21/2031 | 6.979% | 500,000 | 497,638 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2023-2A Class B | ||||
3-month Term SOFR + 2.600% Floor 2.600% 01/21/2037 | 7.934% | 450,000 | 450,101 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Conseco Finance Corp.(g) | ||||
Series 2096-9 Class M1 | ||||
08/15/2027 | 7.630% | 8,110 | 8,109 | |
Conseco Finance Securitizations Corp.(b) | ||||
Series 2001-4 Class M1 | ||||
1-month Term SOFR + 1.864% Floor 1.750%, Cap 15.000% 09/01/2033 | 7.190% | 293,633 | 288,979 | |
DataBank Issuer LLC(a) | ||||
Series 2023-1 Class A2 | ||||
02/25/2053 | 5.116% | 130,000 | 120,490 | |
DB Master Finance LLC(a) | ||||
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 181,450 | 175,195 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2020-85A Class AR | ||||
3-month Term SOFR + 1.412% Floor 1.150% 10/15/2035 | 6.726% | 800,000 | 801,204 | |
Golub Capital Partners CLO 54M LP(a),(b) | ||||
Series 2021-54A Class A | ||||
3-month Term SOFR + 1.792% Floor 1.530% 08/05/2033 | 7.064% | 450,000 | 449,434 | |
J.G. Wentworth XXXVII LLC(a) | ||||
Subordinated Series 2016-1A Class B | ||||
06/17/2069 | 5.190% | 630,607 | 579,514 | |
JG Wentworth XXII LLC(a) | ||||
Series 2010-3A Class A | ||||
12/15/2048 | 3.820% | 184,405 | 184,231 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
Series 2007-CH5 Class M1 | ||||
1-month Term SOFR + 0.384% Floor 0.270% 06/25/2037 | 5.705% | 325,000 | 308,499 | |
LAD Auto Receivables Trust(a) | ||||
Subordinated Series 2023-2A Class D | ||||
02/15/2031 | 6.300% | 550,000 | 538,783 | |
Lehman XS Trust(b) | ||||
Series 2006-19 Class A3 | ||||
1-month Term SOFR + 0.614% Floor 0.250% 12/25/2036 | 5.935% | 665,778 | 576,192 | |
MVW Owner Trust(a) | ||||
Series 2018-1A Class A | ||||
01/21/2036 | 3.450% | 16,656 | 16,485 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
30-day Average SOFR + 0.624% Floor 0.510% 06/25/2031 | 5.946% | 269,675 | 260,663 | |
OCCU Auto Receivables Trust(a) | ||||
Series 2022-1 Class A3 | ||||
10/15/2027 | 5.500% | 350,000 | 349,449 | |
OCP CLO Ltd.(a),(b) | ||||
Series 2021-21A Class B | ||||
3-month Term SOFR + 1.962% Floor 1.700% 07/20/2034 | 7.279% | 300,000 | 300,011 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2020-7A Class AR | ||||
3-month Term SOFR + 1.300% Floor 1.300% 02/24/2037 | 6.610% | 475,000 | 475,238 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A2 | ||||
3-month Term SOFR + 2.012% Floor 1.750% 01/20/2034 | 7.329% | 250,000 | 249,991 | |
Rad CLO Ltd.(a),(b) | ||||
Series 2023-22A Class D | ||||
3-month Term SOFR + 5.000% Floor 5.000% 01/20/2037 | 10.372% | 250,000 | 250,560 | |
Rad CLO Ltd.(a),(b),(c) | ||||
Series 2024-7A Class B1R | ||||
3-month Term SOFR + 1.900% Floor 1.900% 04/17/2036 | 7.250% | 500,000 | 500,476 | |
RASC Trust(b) | ||||
Series 2007-KS1 Class A4 | ||||
1-month Term SOFR + 0.334% Floor 0.220%, Cap 14.000% 01/25/2037 | 5.875% | 1,183,480 | 1,109,408 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2021-1A Class B | ||||
3-month Term SOFR + 1.912% Floor 1.650% 07/20/2034 | 7.229% | 448,279 | 447,838 | |
Sabey Data Center Issuer LLC(a) | ||||
Series 2020-1 Class A2 | ||||
04/20/2045 | 3.812% | 470,000 | 454,218 | |
Saxon Asset Securities Trust(b) | ||||
Series 2007-2 Class A2D | ||||
1-month Term SOFR + 0.414% Floor 0.300% 05/25/2047 | 5.735% | 558,100 | 387,680 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLM Student Loan Trust(b) | ||||
Series 2008-2 Class B | ||||
90-day Average SOFR + 1.462% Floor 1.200% 01/25/2083 | 6.823% | 740,000 | 708,208 | |
Series 2008-4 Class A4 | ||||
90-day Average SOFR + 1.912% Floor 1.650% 07/25/2026 | 7.273% | 192,279 | 192,432 | |
Series 2008-7 Class B | ||||
90-day Average SOFR + 2.112% Floor 1.850% 07/26/2083 | 7.473% | 500,000 | 470,059 | |
Series 2012-1 Class A3 | ||||
30-day Average SOFR + 1.064% Floor 0.950% 09/25/2028 | 6.386% | 295,617 | 289,283 | |
Subordinated Series 2004-10 Class B | ||||
90-day Average SOFR + 0.632% Floor 0.370% 01/25/2040 | 5.993% | 272,817 | 248,325 | |
Subordinated Series 2012-7 Class B | ||||
30-day Average SOFR + 1.914% Floor 1.800% 09/25/2043 | 7.236% | 550,000 | 504,572 | |
Taco Bell Funding LLC(a) | ||||
Series 2016-1A Class A23 | ||||
05/25/2046 | 4.970% | 553,125 | 544,813 | |
TAL Advantage VII LLC(a) | ||||
Series 2020-1A Class A | ||||
09/20/2045 | 2.050% | 294,975 | 266,387 | |
Textainer Marine Containers VII Ltd.(a) | ||||
Series 2021-2A Class A | ||||
04/20/2046 | 2.230% | 599,333 | 529,832 | |
Textainer Marine Containers VIII Ltd.(a) | ||||
Series 2020-2A Class A | ||||
09/20/2045 | 2.100% | 207,290 | 187,957 | |
Series 2020-3A Class A | ||||
09/20/2045 | 2.110% | 248,070 | 222,933 | |
Tif Funding II LLC(a) | ||||
Series 2020-1A Class A | ||||
08/20/2045 | 2.090% | 159,500 | 143,711 | |
T-Mobile US Trust(a) | ||||
Series 2022-1A Class A | ||||
05/22/2028 | 4.910% | 490,000 | 487,679 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vantage Data Centers LLC(a) | ||||
Series 2020-1A Class A2 | ||||
09/15/2045 | 1.645% | 395,000 | 368,562 | |
Total Asset-Backed Securities — Non-Agency (Cost $18,860,837) | 18,895,432 | |||
Commercial Mortgage-Backed Securities - Agency 0.3% | ||||
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(g),(h) | ||||
Series 2019-P002 Class X | ||||
07/25/2033 | 1.138% | 705,000 | 52,470 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(g),(h) | ||||
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.161% | 5,088,190 | 106,384 | |
Series 2018-K732 Class X3 | ||||
05/25/2046 | 2.173% | 1,350,000 | 39,078 | |
Series K039 Class X3 (FHLMC) | ||||
08/25/2042 | 2.076% | 1,520,000 | 25,001 | |
Series K043 Class X3 | ||||
02/25/2043 | 1.634% | 3,951,044 | 52,878 | |
Series K051 Class X3 | ||||
10/25/2043 | 1.613% | 2,100,000 | 52,192 | |
Series K060 Class X3 | ||||
12/25/2044 | 1.898% | 1,350,000 | 61,810 | |
Series K0728 Class X3 | ||||
11/25/2045 | 1.995% | 1,975,000 | 23,288 | |
Series KC07 Class X1 | ||||
09/25/2026 | 0.716% | 3,846,940 | 44,052 | |
Series KL05 Class X1HG | ||||
12/25/2027 | 1.223% | 2,400,000 | 96,491 | |
Series KLU3 Class X1 | ||||
01/25/2031 | 1.934% | 1,581,258 | 147,962 | |
Series KS06 Class X | ||||
08/25/2026 | 1.071% | 2,583,820 | 39,795 | |
Series Q004 Class XFL | ||||
05/25/2044 | 0.000% | 1,348,810 | 47,259 | |
Federal National Mortgage Association(g),(h) | ||||
Series 2016-M11B Class X2 | ||||
07/25/2039 | 3.053% | 429,495 | 6,314 | |
Series 2016-M4 Class X2 | ||||
01/25/2039 | 2.677% | 313,164 | 1,677 | |
Series 2019-M29 Class X4 | ||||
03/25/2029 | 0.700% | 4,300,000 | 114,042 | |
Freddie Mac Multifamily Structured Pass-Through Certificates(g),(h) | ||||
Series K096 Class X3 (FHLMC) | ||||
07/25/2029 | 2.042% | 3,390,000 | 297,926 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FREMF Mortgage Trust(a),(b) | ||||
Subordinated Series 2019-KF71 Class B | ||||
30-day Average SOFR + 2.414% Floor 2.300% 10/25/2029 | 7.746% | 283,850 | 261,273 | |
Government National Mortgage Association(g),(h) | ||||
CMO Series 2014-103 Class IO | ||||
05/16/2055 | 0.191% | 1,040,054 | 5,912 | |
Series 2012-4 Class IO | ||||
05/16/2052 | 0.000% | 1,703,925 | 17 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,965,176) | 1,475,821 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.2% | ||||
225 Liberty Street Trust(a),(g),(h) | ||||
Series 2016-225L Class X | ||||
02/10/2036 | 0.875% | 5,000,000 | 68,965 | |
AREIT Trust(a),(b) | ||||
Subordinated Series 2019-CRE3 Class AS | ||||
1-month Term SOFR + 1.414% Floor 1.300% 09/14/2036 | 6.736% | 348,074 | 341,589 | |
BAMLL Commercial Mortgage Securities Trust(a),(g) | ||||
Series 2018-PARK Class A | ||||
08/10/2038 | 4.091% | 95,000 | 87,837 | |
BDS Ltd.(a),(b) | ||||
Series 2021-FL8 Class A | ||||
1-month Term SOFR + 1.034% Floor 0.920% 01/18/2036 | 6.354% | 221,335 | 220,415 | |
BFLD Trust(a),(b) | ||||
Series 2020-EYP Class A | ||||
1-month Term SOFR + 1.264% Floor 1.150% 10/15/2035 | 6.582% | 480,000 | 386,612 | |
Series 2021-FPM Class A | ||||
1-month Term SOFR + 1.714% Floor 1.600% 06/15/2038 | 7.032% | 288,000 | 285,122 | |
BOCA Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-BOCA Class B | ||||
1-month Term SOFR + 2.319% Floor 2.319% 05/15/2039 | 7.637% | 100,000 | 100,062 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2021-CIP Class A | ||||
1-month Term SOFR + 1.035% Floor 0.921% 12/15/2038 | 6.353% | 250,000 | 246,875 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2021-VOLT Class A | ||||
1-month Term SOFR + 0.814% Floor 0.700% 09/15/2036 | 6.132% | 385,000 | 380,647 | |
Subordinated CMO Series 2021-VOLT Class F | ||||
1-month Term SOFR + 2.514% Floor 2.400% 09/15/2036 | 7.832% | 245,000 | 241,481 | |
BX Trust(a),(b),(c) | ||||
1-month Term SOFR + 2.090% Floor 2.090% 03/15/2026 | 7.340% | 356,000 | 355,101 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 225,000 | 199,113 | |
Series 2022-CLS Class A | ||||
10/13/2027 | 5.760% | 150,000 | 149,144 | |
BX Trust(a),(b) | ||||
Series 2022-GPA Class A | ||||
1-month Term SOFR + 2.165% Floor 2.165% 08/15/2039 | 7.488% | 491,193 | 492,422 | |
Subordinated Series 2021-LBA Class EJV | ||||
1-month Term SOFR + 2.114% Floor 2.000% 02/15/2036 | 7.432% | 240,000 | 236,363 | |
Subordinated Series 2022-GPA Class B | ||||
1-month Term SOFR + 2.664% Floor 2.664% 08/15/2041 | 7.978% | 119,077 | 119,375 | |
Subordinated Series 2024-BIO Class D | ||||
1-month Term SOFR + 3.639% 02/15/2041 | 8.939% | 463,000 | 462,711 | |
CAMB Commercial Mortgage Trust(a),(b) | ||||
Series 2019-LIFE Class A | ||||
1-month Term SOFR + 1.184% Floor 1.070% 12/15/2037 | 6.701% | 330,000 | 329,897 | |
Citigroup Commercial Mortgage Trust(g),(h) | ||||
Series 2016-P3 Class XA | ||||
04/15/2049 | 1.648% | 8,682,740 | 184,790 | |
Citigroup Commercial Mortgage Trust(a),(g) | ||||
Series 2023-SMRT Class A | ||||
06/10/2028 | 6.015% | 135,000 | 136,461 | |
COMM Mortgage Trust(a),(g),(h) | ||||
Series 2020-CBM Class XCP | ||||
02/10/2037 | 0.601% | 3,134,666 | 11,771 | |
Series 2020-SBX Class X | ||||
01/10/2038 | 0.585% | 11,501,000 | 101,040 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Commercial Mortgage Trust(g),(h) | ||||
Series 2012-CR4 Class XA | ||||
10/15/2045 | 1.144% | 672,394 | 41 | |
CoreVest American Finance Trust(a),(g),(h) | ||||
Series 2019-3 Class XA | ||||
10/15/2052 | 2.017% | 147,325 | 2,184 | |
Series 2020-1 Class XA | ||||
03/15/2050 | 2.509% | 479,568 | 18,890 | |
CoreVest American Finance Trust(a) | ||||
Series 2020-1 Class A2 | ||||
03/15/2050 | 2.296% | 265,000 | 239,774 | |
Credit Suisse Mortgage Capital Certificates(a),(b) | ||||
Series 2019-ICE4 Class A | ||||
1-month Term SOFR + 1.027% Floor 0.980% 05/15/2036 | 6.345% | 214,467 | 214,468 | |
CSAIL Commercial Mortgage Trust(g),(h) | ||||
Series 2015-C3 Class XA | ||||
08/15/2048 | 0.661% | 8,648,266 | 53,099 | |
CSMC Trust(a),(g),(h) | ||||
Series 2021-980M Class X | ||||
07/15/2031 | 0.991% | 6,982,000 | 141,804 | |
CSMC Trust(a),(g) | ||||
Subordinated Series 2021-B33 Class B | ||||
10/10/2043 | 3.645% | 423,000 | 358,934 | |
Del Amo Fashion Center Trust(a),(g) | ||||
Subordinated Series 2017-AMO Class C | ||||
06/05/2035 | 3.636% | 420,000 | 368,932 | |
DROP Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-FILE Class B | ||||
1-month Term SOFR + 1.814% Floor 1.700% 10/15/2043 | 7.132% | 400,000 | 369,000 | |
ELP Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-ELP Class C | ||||
1-month Term SOFR + 1.434% Floor 1.320% 11/15/2038 | 6.752% | 349,593 | 345,769 | |
FirstKey Homes Trust(a) | ||||
Series 2020-SFR2 Class A | ||||
10/19/2037 | 1.266% | 211,944 | 197,195 | |
Fontainebleau Miami Beach Trust(a) | ||||
Subordinated Series 2019-FBLU Class B | ||||
12/10/2036 | 3.447% | 435,810 | 424,238 | |
Fontainebleau Miami Beach Trust(a),(g) | ||||
Subordinated Series 2019-FBLU Class E | ||||
12/10/2036 | 3.963% | 310,000 | 300,251 | |
Grace Trust(a) | ||||
Subordinated Series 2020-GRCE Class B | ||||
12/10/2040 | 2.600% | 500,000 | 401,800 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage Securities Trust(a),(g),(h) | ||||
Series 2020-UPTN Class XA | ||||
02/10/2037 | 0.352% | 1,750,000 | 3,966 | |
Home Partners of America Trust(a) | ||||
Series 2019-1 Class B | ||||
09/17/2039 | 3.157% | 78,321 | 71,804 | |
Hudson Yards Mortgage Trust(a),(g) | ||||
Series 2019-55HY Class F | ||||
12/10/2041 | 2.943% | 85,000 | 60,642 | |
INTOWN Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-STAY Class B | ||||
1-month Term SOFR + 3.286% Floor 3.286% 08/15/2037 | 8.620% | 150,000 | 150,382 | |
JPMBB Commercial Mortgage Securities Trust(g),(h) | ||||
Series 2014-C21 Class XA | ||||
08/15/2047 | 0.865% | 655,472 | 464 | |
Series 2014-C23 Class XA | ||||
09/15/2047 | 0.576% | 2,316,836 | 3,315 | |
Series 2014-C26 Class XA | ||||
01/15/2048 | 0.928% | 4,675,548 | 13,688 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 375,000 | 334,731 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Subordinated Series 2022-NLP Class H | ||||
1-month Term SOFR + 5.010% Floor 5.010% 04/15/2037 | 10.328% | 224,544 | 148,523 | |
Life Mortgage Trust(a),(b) | ||||
Series 2022-BMR2 Class A1 | ||||
1-month Term SOFR + 1.295% Floor 1.295% 05/15/2039 | 6.613% | 385,000 | 381,630 | |
Series 2022-BMR2 Class B | ||||
1-month Term SOFR + 1.794% Floor 1.794% 05/15/2039 | 7.112% | 605,000 | 598,205 | |
Morgan Stanley Bank of America Merrill Lynch Trust(g),(h) | ||||
Series 2015-C26 Class XA | ||||
10/15/2048 | 0.962% | 8,790,834 | 67,269 | |
Series 2016-C31 Class XA | ||||
11/15/2049 | 1.263% | 2,049,806 | 51,042 | |
Morgan Stanley Capital I Trust(a),(g) | ||||
Series 2018-MP Class A | ||||
07/11/2040 | 4.276% | 212,000 | 188,079 | |
Natixis Commercial Mortgage Securities Trust(a),(g),(h) | ||||
Series 2020-2PAC Class XA | ||||
12/15/2038 | 1.395% | 937,398 | 6,696 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-2PAC Class XB | ||||
12/15/2038 | 0.957% | 2,665,000 | 13,442 | |
Natixis Commercial Mortgage Securities Trust(a),(g) | ||||
Subordinated Series 2018-ALXA Class E | ||||
01/15/2043 | 4.316% | 60,000 | 43,499 | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class AJ | ||||
1-month Term SOFR + 1.364% Floor 1.250% 01/15/2036 | 6.682% | 372,000 | 354,395 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2021-SFR9 Class E1 | ||||
11/17/2040 | 2.811% | 910,000 | 766,955 | |
SCOTT Trust(a) | ||||
Subordinated Series 2023-SFS Class AS | ||||
03/15/2040 | 6.204% | 100,000 | 98,153 | |
SFAVE Commercial Mortgage Securities Trust(a),(g) | ||||
Series 2015-5AVE Class A2A | ||||
01/05/2043 | 3.659% | 425,000 | 331,741 | |
Series 2015-5AVE Class A2B | ||||
01/05/2043 | 4.144% | 35,000 | 27,471 | |
Subordinated Series 2015-5AVE Class C | ||||
01/05/2043 | 4.388% | 345,000 | 215,969 | |
SMRT Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-MINI Class B | ||||
1-month Term SOFR + 1.350% Floor 1.350% 01/15/2039 | 6.668% | 350,000 | 343,875 | |
Subordinated Series 2022-MINI Class E | ||||
1-month Term SOFR + 2.700% Floor 2.700% 01/15/2039 | 8.018% | 350,000 | 337,750 | |
STWD FL1 Ltd.(a),(b) | ||||
Series 2019 Class AS | ||||
1-month Term SOFR + 1.514% Floor 1.400% 07/15/2038 | 6.836% | 398,000 | 392,143 | |
VMC Finance LLC(a),(b) | ||||
Series 2021-FL4 Class B | ||||
1-month Term SOFR + 1.914% Floor 1.800% 06/18/2036 | 7.236% | 299,000 | 278,149 | |
Wells Fargo Commercial Mortgage Trust(a),(g) | ||||
Subordinated Series 2019-JDWR Class D | ||||
09/15/2031 | 3.326% | 425,000 | 389,054 | |
WF-RBS Commercial Mortgage Trust(g),(h) | ||||
Series 2014-C24 Class XA | ||||
11/15/2047 | 0.833% | 2,300,953 | 4,352 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $15,113,149) | 14,251,556 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Financials 0.0% | ||
Financial Services 0.0% | ||
Intelsat Emergence SA(i) | 5,865 | 160,739 |
Total Financials | 160,739 | |
Total Common Stocks (Cost $199,371) | 160,739 |
Convertible Bonds 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.3% | ||||
Air Canada | ||||
07/01/2025 | 4.000% | 210,000 | 222,360 | |
American Airlines Group, Inc. | ||||
07/01/2025 | 6.500% | 490,000 | 574,525 | |
Southwest Airlines Co. | ||||
05/01/2025 | 1.250% | 390,000 | 419,835 | |
Total | 1,216,720 | |||
Cable and Satellite 0.2% | ||||
Liberty Broadband Corp.(a) | ||||
03/31/2053 | 3.125% | 755,000 | 711,752 | |
Liberty Media Corp.(a) | ||||
09/30/2053 | 2.375% | 185,000 | 203,408 | |
Total | 915,160 | |||
Consumer Cyclical Services 0.1% | ||||
Uber Technologies, Inc.(a) | ||||
12/01/2028 | 0.875% | 311,000 | 389,838 | |
Electric 0.2% | ||||
CenterPoint Energy, Inc.(a) | ||||
08/15/2026 | 4.250% | 485,000 | 478,210 | |
Emera, Inc.(j) | ||||
Junior Subordinated | ||||
06/15/2076 | 6.750% | 555,000 | 545,374 | |
Total | 1,023,584 | |||
Lodging 0.1% | ||||
Marriott Vacations Worldwide Corp. | ||||
12/15/2027 | 3.250% | 335,000 | 301,333 | |
Other Financial Institutions 0.0% | ||||
Sunac China Holdings Ltd.(a),(k) | ||||
09/30/2032 | 1.000% | 21,739 | 1,448 | |
Other Utility 0.1% | ||||
American Water Capital Corp.(a) | ||||
06/15/2026 | 3.625% | 365,000 | 354,050 |
Convertible Bonds (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Retailers 0.0% | ||||
Burlington Stores, Inc.(a) | ||||
12/15/2027 | 1.250% | 235,000 | 277,108 | |
Total Convertible Bonds (Cost $4,384,173) | 4,479,241 |
Convertible Preferred Stocks 0.2% | |||
Issuer | Shares | Value ($) | |
Utilities 0.2% | |||
Electric Utilities 0.2% | |||
NextEra Energy, Inc. | 6.926% | 18,995 | 661,976 |
Total Utilities | 661,976 | ||
Total Convertible Preferred Stocks (Cost $858,694) | 661,976 |
Corporate Bonds & Notes(l) 22.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ABS Other 0.2% | ||||
American Tower Trust #1(a) | ||||
03/15/2028 | 5.490% | 410,000 | 410,193 | |
SBA Tower Trust(a) | ||||
01/15/2028 | 6.599% | 240,000 | 242,014 | |
Total | 652,207 | |||
Aerospace & Defense 0.5% | ||||
Airbus SE(a) | ||||
06/09/2030 | 1.625% | EUR | 100,000 | 98,048 |
Boeing Co. (The) | ||||
05/01/2030 | 5.150% | 940,000 | 924,140 | |
05/01/2050 | 5.805% | 290,000 | 278,708 | |
TransDigm, Inc.(a) | ||||
08/15/2028 | 6.750% | 260,000 | 263,219 | |
12/01/2031 | 7.125% | 620,000 | 636,455 | |
Total | 2,200,570 | |||
Airlines 0.6% | ||||
American Airlines Pass-Through Trust | ||||
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 168,625 | 154,053 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 322,500 | 319,588 | |
04/20/2029 | 5.750% | 280,000 | 273,817 | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.500% | 82,049 | 73,350 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Delta Air Lines, Inc. | ||||
10/28/2024 | 2.900% | 105,000 | 102,968 | |
01/15/2026 | 7.375% | 185,000 | 191,003 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 1,214,000 | 1,186,077 | |
JetBlue Pass-Through Trust | ||||
Series 2020-1 Class A | ||||
11/15/2032 | 4.000% | 321,476 | 293,467 | |
Singapore Airlines Ltd.(a) | ||||
01/19/2029 | 3.375% | 200,000 | 184,789 | |
Total | 2,779,112 | |||
Apartment REIT 0.1% | ||||
American Homes 4 Rent LP | ||||
04/15/2052 | 4.300% | 210,000 | 163,906 | |
Invitation Homes Operating Partnership LP | ||||
04/15/2032 | 4.150% | 13,000 | 11,748 | |
08/15/2033 | 5.500% | 60,000 | 59,260 | |
01/15/2034 | 2.700% | 190,000 | 147,866 | |
Total | 382,780 | |||
Automotive 0.4% | ||||
Allison Transmission. Inc.(a) | ||||
01/30/2031 | 3.750% | 100,000 | 86,510 | |
Ford Motor Co. | ||||
02/12/2032 | 3.250% | 680,000 | 558,206 | |
Ford Motor Credit Co. LLC | ||||
06/14/2024 | 2.748% | GBP | 100,000 | 125,153 |
05/28/2027 | 4.950% | 430,000 | 418,033 | |
02/16/2028 | 2.900% | 200,000 | 179,292 | |
06/17/2031 | 3.625% | 200,000 | 170,464 | |
Total | 1,537,658 | |||
Banking 3.6% | ||||
American Express Co.(j),(m) | ||||
3.550% | 85,000 | 76,905 | ||
Bank of America Corp.(j),(m) | ||||
4.375% | 80,000 | 73,942 | ||
Bank of America Corp.(j) | ||||
10/01/2025 | 3.093% | 345,000 | 339,663 | |
12/06/2025 | 1.530% | 120,000 | 116,182 | |
02/04/2028 | 2.551% | 110,000 | 101,731 | |
06/14/2029 | 2.087% | 50,000 | 43,877 | |
10/24/2031 | 1.922% | 765,000 | 617,313 | |
04/22/2032 | 2.687% | 900,000 | 753,283 | |
Bank of Montreal(j) | ||||
11/26/2082 | 7.325% | CAD | 300,000 | 222,914 |
Bank of Nova Scotia (The)(j) | ||||
10/27/2082 | 8.625% | 415,000 | 427,513 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Capital One Financial Corp.(j) | ||||
11/02/2027 | 1.878% | 215,000 | 195,083 | |
Citigroup, Inc.(j) | ||||
05/01/2025 | 0.981% | 440,000 | 436,154 | |
11/05/2030 | 2.976% | 100,000 | 88,218 | |
06/03/2031 | 2.572% | 10,000 | 8,459 | |
11/03/2032 | 2.520% | 420,000 | 340,861 | |
01/25/2033 | 3.057% | 115,000 | 96,622 | |
Comerica, Inc.(j),(m) | ||||
5.625% | 95,000 | 90,467 | ||
Credit Suisse Group AG(a),(j) | ||||
09/11/2025 | 2.593% | 180,000 | 176,918 | |
11/15/2033 | 9.016% | 875,000 | 1,052,615 | |
Goldman Sachs Group, Inc. (The)(j) | ||||
12/09/2026 | 1.093% | 1,745,000 | 1,616,873 | |
01/27/2032 | 1.992% | 500,000 | 400,868 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
01/26/2028 | 0.250% | EUR | 15,000 | 14,295 |
11/01/2028 | 2.000% | EUR | 218,000 | 219,515 |
HSBC Holdings PLC(j) | ||||
05/24/2025 | 0.976% | 40,000 | 39,539 | |
06/04/2026 | 2.099% | 720,000 | 688,590 | |
05/24/2027 | 1.589% | 125,000 | 114,424 | |
08/17/2029 | 2.206% | 115,000 | 99,840 | |
05/24/2032 | 2.804% | 215,000 | 177,657 | |
JPMorgan Chase & Co.(j),(m) | ||||
3.650% | 85,000 | 79,397 | ||
JPMorgan Chase & Co.(j) | ||||
12/10/2025 | 1.561% | 1,400,000 | 1,357,129 | |
04/22/2027 | 1.578% | 285,000 | 263,425 | |
06/01/2029 | 2.069% | 105,000 | 92,453 | |
02/04/2032 | 1.953% | 325,000 | 261,358 | |
04/22/2032 | 2.580% | 345,000 | 288,446 | |
Lloyds Banking Group PLC(j) | ||||
11/07/2028 | 3.574% | 185,000 | 172,537 | |
Morgan Stanley(j) | ||||
10/21/2025 | 1.164% | 310,000 | 300,799 | |
04/28/2026 | 2.188% | 415,000 | 399,388 | |
02/13/2032 | 1.794% | 310,000 | 245,465 | |
07/21/2032 | 2.239% | 165,000 | 133,027 | |
Subordinated | ||||
09/16/2036 | 2.484% | 85,000 | 66,796 | |
PNC Financial Services Group, Inc. (The)(j) | ||||
01/24/2034 | 5.068% | 310,000 | 297,839 | |
10/20/2034 | 6.875% | 205,000 | 222,214 | |
01/22/2035 | 5.676% | 50,000 | 50,117 | |
Popular, Inc. | ||||
03/13/2028 | 7.250% | 215,000 | 217,435 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Santander UK Group Holdings PLC(j) | ||||
03/15/2025 | 1.089% | 300,000 | 299,437 | |
06/14/2027 | 1.673% | 110,000 | 99,995 | |
Toronto-Dominion Bank (The) | ||||
09/09/2025 | 2.667% | CAD | 601,000 | 427,949 |
Toronto-Dominion Bank (The)(j) | ||||
10/31/2082 | 8.125% | 430,000 | 447,850 | |
US Bancorp(j),(m) | ||||
3.700% | 185,000 | 158,046 | ||
Wells Fargo & Co.(j) | ||||
02/11/2026 | 2.164% | 545,000 | 527,309 | |
06/02/2028 | 2.393% | 140,000 | 127,701 | |
02/11/2031 | 2.572% | 180,000 | 153,539 | |
03/02/2033 | 3.350% | 820,000 | 703,566 | |
Total | 16,023,538 | |||
Brokerage/Asset Managers/Exchanges 0.1% | ||||
Intercontinental Exchange, Inc. | ||||
09/15/2032 | 1.850% | 175,000 | 135,058 | |
Jane Street Group/JSG Finance, Inc.(a) | ||||
11/15/2029 | 4.500% | 195,000 | 179,456 | |
Total | 314,514 | |||
Building Materials 0.1% | ||||
Advanced Drainage Systems, Inc.(a) | ||||
06/15/2030 | 6.375% | 70,000 | 70,266 | |
Cemex SAB de CV(a) | ||||
07/11/2031 | 3.875% | 505,000 | 439,874 | |
Total | 510,140 | |||
Cable and Satellite 1.0% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 260,000 | 196,307 | |
Charter Communications Operating LLC/Capital | ||||
04/01/2031 | 2.800% | 50,000 | 40,338 | |
02/01/2032 | 2.300% | 20,000 | 15,193 | |
05/01/2047 | 5.375% | 65,000 | 51,143 | |
04/01/2048 | 5.750% | 320,000 | 265,928 | |
07/01/2049 | 5.125% | 690,000 | 522,526 | |
04/01/2051 | 3.700% | 250,000 | 151,398 | |
04/01/2053 | 5.250% | 115,000 | 89,229 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 275,000 | 239,765 | |
04/01/2028 | 7.500% | 80,000 | 56,855 | |
01/31/2029 | 11.750% | 17,000 | 17,796 | |
02/01/2029 | 6.500% | 60,000 | 52,261 | |
12/01/2030 | 4.625% | 55,000 | 30,631 | |
DIRECTV Holdings LLC/Financing Co., Inc.(a) | ||||
08/15/2027 | 5.875% | 150,000 | 141,682 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LCPR Senior Secured Financing DAC(a) | ||||
07/15/2029 | 5.125% | 200,000 | 168,043 | |
SES GLOBAL Americas Holdings GP(a) | ||||
03/25/2044 | 5.300% | 375,000 | 288,092 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2030 | 4.125% | 550,000 | 474,771 | |
Tele Columbus AG(a) | ||||
05/02/2025 | 3.875% | EUR | 100,000 | 66,996 |
Time Warner Cable LLC | ||||
09/01/2041 | 5.500% | 540,000 | 444,942 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 400,000 | 345,105 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 510,000 | 478,059 | |
08/15/2030 | 4.500% | 200,000 | 174,738 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 340,000 | 290,977 | |
Total | 4,602,775 | |||
Chemicals 0.2% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 200,000 | 163,494 | |
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 212,000 | 180,717 | |
International Flavors & Fragrances, Inc.(a) | ||||
11/01/2030 | 2.300% | 455,000 | 372,847 | |
11/15/2040 | 3.268% | 5,000 | 3,495 | |
12/01/2050 | 3.468% | 25,000 | 16,417 | |
International Flavors & Fragrances, Inc. | ||||
06/01/2047 | 4.375% | 5,000 | 3,737 | |
09/26/2048 | 5.000% | 180,000 | 150,933 | |
Unifrax Escrow Issuer Corp.(a) | ||||
09/30/2029 | 7.500% | 155,000 | 84,840 | |
Total | 976,480 | |||
Construction Machinery 0.3% | ||||
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 267,000 | 162,056 | |
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 205,000 | 197,812 | |
07/15/2030 | 4.000% | 365,000 | 329,912 | |
02/15/2031 | 3.875% | 345,000 | 305,530 | |
United Rentals North America, Inc.(a) | ||||
12/15/2029 | 6.000% | 300,000 | 300,703 | |
Total | 1,296,013 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Cyclical Services 0.1% | ||||
Match Group, Inc.(a) | ||||
08/01/2030 | 4.125% | 150,000 | 132,343 | |
Uber Technologies, Inc.(a) | ||||
11/01/2026 | 8.000% | 145,000 | 147,478 | |
VT Topco, Inc.(a) | ||||
08/15/2030 | 8.500% | 175,000 | 182,446 | |
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 145,000 | 140,751 | |
Total | 603,018 | |||
Consumer Products 0.2% | ||||
Edgewell Personal Care Co.(a) | ||||
06/01/2028 | 5.500% | 94,000 | 91,770 | |
Energizer Holdings, Inc.(a) | ||||
12/31/2027 | 6.500% | 150,000 | 148,845 | |
03/31/2029 | 4.375% | 40,000 | 35,374 | |
Newell Brands, Inc. | ||||
04/01/2046 | 5.750% | 207,000 | 165,412 | |
Prestige Brands, Inc.(a) | ||||
04/01/2031 | 3.750% | 207,000 | 178,892 | |
Spectrum Brands, Inc.(a) | ||||
07/15/2030 | 5.500% | 85,000 | 83,303 | |
03/15/2031 | 3.875% | 45,000 | 42,744 | |
Total | 746,340 | |||
Diversified Manufacturing 0.0% | ||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA | ||||
09/15/2027 | 0.375% | EUR | 100,000 | 96,920 |
Electric 0.8% | ||||
AES Corp. (The)(a) | ||||
07/15/2030 | 3.950% | 35,000 | 31,846 | |
Alliant Energy Finance LLC(a) | ||||
03/01/2032 | 3.600% | 305,000 | 262,089 | |
Black Hills Corp. | ||||
05/15/2034 | 6.150% | 260,000 | 267,054 | |
DPL, Inc. | ||||
07/01/2025 | 4.125% | 370,000 | 360,012 | |
Duke Energy Progress LLC | ||||
03/15/2033 | 5.250% | 215,000 | 214,645 | |
12/01/2044 | 4.150% | 225,000 | 184,425 | |
E.ON SE(a) | ||||
11/07/2031 | 0.625% | EUR | 170,000 | 147,843 |
FirstEnergy Corp.(j) | ||||
07/15/2027 | 4.150% | 300,000 | 285,324 | |
FirstEnergy Corp. | ||||
11/15/2031 | 7.375% | 580,000 | 675,021 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 229,000 | 206,818 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 330,000 | 329,648 | |
NSTAR Electric Co. | ||||
05/15/2027 | 3.200% | 520,000 | 495,383 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 184,000 | 176,009 | |
Southwestern Electric Power Co. | ||||
11/01/2051 | 3.250% | 85,000 | 55,605 | |
Total | 3,691,722 | |||
Environmental 0.0% | ||||
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 127,000 | 124,501 | |
Finance Companies 0.3% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/29/2028 | 3.000% | 250,000 | 224,625 | |
01/30/2032 | 3.300% | 144,000 | 121,863 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 160,000 | 156,218 | |
Avolon Holdings Funding Ltd.(a) | ||||
07/01/2024 | 3.950% | 45,000 | 44,697 | |
02/15/2025 | 2.875% | 195,000 | 189,259 | |
11/18/2027 | 2.528% | 399,000 | 352,870 | |
FirstCash, Inc.(a) | ||||
03/01/2032 | 6.875% | 100,000 | 99,094 | |
GGAM Finance Ltd.(a) | ||||
02/15/2027 | 8.000% | 260,000 | 267,329 | |
Total | 1,455,955 | |||
Food and Beverage 1.1% | ||||
Becle SAB de CV(a) | ||||
10/14/2031 | 2.500% | 205,000 | 160,454 | |
Bimbo Bakeries USA, Inc.(a) | ||||
01/09/2036 | 5.375% | 240,000 | 237,905 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 555,000 | 546,860 | |
H-Food Holdings LLC/Hearthside Finance Co., Inc.(a) | ||||
06/01/2026 | 8.500% | 145,000 | 5,823 | |
JBS SA/Food Co./Finance, Inc. | ||||
12/01/2031 | 3.750% | 400,000 | 339,921 | |
01/15/2032 | 3.625% | 440,000 | 369,983 | |
04/01/2033 | 5.750% | 170,000 | 164,822 | |
JBS USA LUX SA/Food Co./Luxembourg SARL(a) | ||||
03/15/2034 | 6.750% | 278,000 | 286,258 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kraft Heinz Foods Co. | ||||
01/26/2039 | 6.875% | 135,000 | 151,191 | |
06/01/2046 | 4.375% | 620,000 | 514,301 | |
Kraft Heinz Foods Co.(a) | ||||
08/01/2039 | 7.125% | 240,000 | 272,892 | |
MARB BondCo PLC(a) | ||||
01/29/2031 | 3.950% | 200,000 | 162,444 | |
NBM US Holdings, Inc.(a) | ||||
05/14/2026 | 7.000% | 200,000 | 200,010 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 150,000 | 134,016 | |
05/15/2034 | 6.875% | 200,000 | 210,577 | |
Post Holdings, Inc.(a) | ||||
01/15/2028 | 5.625% | 515,000 | 505,401 | |
12/15/2029 | 5.500% | 225,000 | 214,854 | |
09/15/2031 | 4.500% | 65,000 | 57,832 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 197,000 | 172,879 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 295,000 | 258,613 | |
Total | 4,967,036 | |||
Gaming 0.5% | ||||
CDI Escrow Issuer, Inc.(a) | ||||
04/01/2030 | 5.750% | 191,000 | 183,547 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 105,000 | 103,913 | |
06/01/2028 | 5.750% | 80,000 | 79,429 | |
01/15/2029 | 5.300% | 130,000 | 126,247 | |
01/15/2030 | 4.000% | 20,000 | 17,998 | |
01/15/2031 | 4.000% | 105,000 | 92,574 | |
MGM Resorts International | ||||
10/15/2028 | 4.750% | 20,000 | 18,770 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 185,000 | 155,466 | |
Premier Entertainment Sub LLC/Finance Corp.(a) | ||||
09/01/2031 | 5.875% | 159,000 | 112,583 | |
VICI Properties LP | ||||
02/15/2030 | 4.950% | 29,000 | 27,679 | |
05/15/2032 | 5.125% | 692,000 | 649,912 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
01/15/2028 | 4.500% | 29,000 | 27,557 | |
12/01/2029 | 4.625% | 185,000 | 172,236 | |
08/15/2030 | 4.125% | 450,000 | 404,132 | |
Total | 2,172,043 | |||
Health Care 1.2% | ||||
180 Medical, Inc.(a) | ||||
10/15/2029 | 3.875% | 201,000 | 179,901 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Baylor Scott & White Holdings | ||||
11/15/2026 | 2.650% | 500,000 | 462,032 | |
Cano Health LLC(a) | ||||
10/01/2028 | 6.250% | 55,000 | 4,222 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 302,000 | 291,522 | |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 270,000 | 215,088 | |
Hackensack Meridian Health, Inc. | ||||
07/01/2057 | 4.500% | 300,000 | 257,027 | |
HCA, Inc. | ||||
09/15/2025 | 7.580% | 125,000 | 128,353 | |
12/01/2027 | 7.050% | 115,000 | 120,274 | |
09/01/2028 | 5.625% | 100,000 | 100,742 | |
09/01/2030 | 3.500% | 1,554,000 | 1,389,168 | |
04/01/2034 | 5.600% | 680,000 | 676,896 | |
06/15/2047 | 5.500% | 84,000 | 78,289 | |
ModivCare Escrow Issuer, Inc.(a) | ||||
10/01/2029 | 5.000% | 352,000 | 259,498 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 390,000 | 333,568 | |
Option Care Health, Inc.(a) | ||||
10/31/2029 | 4.375% | 160,000 | 146,080 | |
Prime Healthcare Services, Inc.(a) | ||||
11/01/2025 | 7.250% | 187,000 | 186,551 | |
Rede D’or Finance SARL(a) | ||||
01/22/2030 | 4.500% | 200,000 | 178,762 | |
Thermo Fisher Scientific, Inc. | ||||
03/01/2028 | 0.500% | EUR | 315,000 | 304,464 |
Total | 5,312,437 | |||
Healthcare Insurance 0.3% | ||||
Centene Corp. | ||||
12/15/2029 | 4.625% | 55,000 | 52,084 | |
02/15/2030 | 3.375% | 650,000 | 573,461 | |
10/15/2030 | 3.000% | 585,000 | 499,627 | |
03/01/2031 | 2.500% | 445,000 | 364,573 | |
Total | 1,489,745 | |||
Healthcare REIT 0.1% | ||||
Healthcare Realty Holdings LP | ||||
01/15/2028 | 3.625% | 63,000 | 57,636 | |
03/15/2030 | 2.400% | 40,000 | 32,225 | |
03/15/2031 | 2.050% | 56,000 | 42,622 | |
Healthcare Trust of America Holdings LP | ||||
02/15/2030 | 3.100% | 35,000 | 30,159 | |
03/15/2031 | 2.000% | 160,000 | 125,375 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Physicians Realty LP | ||||
11/01/2031 | 2.625% | 95,000 | 77,358 | |
Total | 365,375 | |||
Home Construction 0.0% | ||||
China Aoyuan Group, Ltd.(a),(n) | ||||
02/08/2024 | 0.000% | 200,000 | 3,937 | |
Independent Energy 1.2% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 430,000 | 389,624 | |
Civitas Resources, Inc.(a) | ||||
07/01/2031 | 8.750% | 395,000 | 420,462 | |
Continental Resources, Inc.(a) | ||||
01/15/2031 | 5.750% | 481,000 | 471,574 | |
04/01/2032 | 2.875% | 713,000 | 572,602 | |
Encana Corp. | ||||
08/15/2034 | 6.500% | 360,000 | 377,104 | |
02/01/2038 | 6.500% | 260,000 | 266,203 | |
EQT Corp.(a) | ||||
05/15/2031 | 3.625% | 580,000 | 507,363 | |
EQT Corp. | ||||
02/01/2034 | 5.750% | 285,000 | 280,327 | |
Medco Oak Tree Pte Ltd.(a) | ||||
05/14/2026 | 7.375% | 440,000 | 440,059 | |
Occidental Petroleum Corp. | ||||
08/15/2026 | 3.200% | 100,000 | 94,150 | |
09/01/2030 | 6.625% | 580,000 | 610,343 | |
01/01/2031 | 6.125% | 285,000 | 291,949 | |
05/01/2031 | 7.500% | 195,000 | 215,409 | |
Petrorio Luxembourg Sarl(a) | ||||
06/09/2026 | 6.125% | 200,000 | 196,932 | |
Southwestern Energy Co.(j) | ||||
01/23/2025 | 5.700% | 4,000 | 3,978 | |
Var Energi ASA(a) | ||||
01/15/2028 | 7.500% | 200,000 | 211,182 | |
Total | 5,349,261 | |||
Integrated Energy 0.3% | ||||
Cenovus Energy, Inc. | ||||
02/07/2028 | 3.500% | CAD | 115,000 | 81,179 |
06/15/2037 | 5.250% | 25,000 | 23,253 | |
11/15/2039 | 6.750% | 878,000 | 951,575 | |
06/15/2047 | 5.400% | 105,000 | 96,407 | |
Total | 1,152,414 | |||
Leisure 0.2% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 335,000 | 330,936 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 89,000 | 85,209 | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/15/2027 | 11.625% | 63,000 | 68,145 | |
04/01/2028 | 5.500% | 495,000 | 487,205 | |
Total | 971,495 | |||
Life Insurance 0.1% | ||||
Athene Global Funding(a) | ||||
03/08/2027 | 3.205% | 95,000 | 86,981 | |
08/19/2028 | 1.985% | 395,000 | 338,378 | |
Total | 425,359 | |||
Lodging 0.4% | ||||
Hilton Domestic Operating Co., Inc. | ||||
01/15/2030 | 4.875% | 351,000 | 333,790 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 483,000 | 412,617 | |
Hyatt Hotels Corp.(j) | ||||
04/23/2030 | 5.750% | 451,000 | 459,571 | |
Travel + Leisure Co.(a) | ||||
07/31/2026 | 6.625% | 150,000 | 151,542 | |
12/01/2029 | 4.500% | 380,000 | 348,533 | |
Total | 1,706,053 | |||
Media and Entertainment 0.5% | ||||
Netflix, Inc. | ||||
02/15/2025 | 5.875% | 285,000 | 285,899 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 590,000 | 535,289 | |
Scripps Escrow, Inc.(a) | ||||
07/15/2027 | 5.875% | 30,000 | 24,900 | |
Warnermedia Holdings, Inc. | ||||
03/15/2042 | 5.050% | 305,000 | 255,988 | |
03/15/2052 | 5.141% | 813,000 | 660,153 | |
WMG Acquisition Corp(a) | ||||
02/15/2031 | 3.000% | 655,000 | 550,346 | |
Total | 2,312,575 | |||
Metals and Mining 0.5% | ||||
ATI, Inc. | ||||
08/15/2030 | 7.250% | 92,000 | 94,616 | |
Cleveland-Cliffs, Inc.(a) | ||||
04/15/2030 | 6.750% | 1,045,000 | 1,037,402 | |
Freeport-McMoRan, Inc. | ||||
08/01/2030 | 4.625% | 265,000 | 252,655 | |
11/14/2034 | 5.400% | 135,000 | 131,094 | |
03/15/2043 | 5.450% | 815,000 | 759,231 | |
Total | 2,274,998 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Midstream 1.1% | ||||
Cheniere Energy Partners LP | ||||
03/01/2031 | 4.000% | 735,000 | 656,445 | |
Columbia Pipelines Operating Co. LLC(a) | ||||
11/15/2033 | 6.036% | 65,000 | 66,766 | |
Enbridge, Inc. | ||||
11/15/2029 | 3.125% | 395,000 | 356,843 | |
Enbridge, Inc.(j) | ||||
01/15/2084 | 8.500% | 295,000 | 315,418 | |
Energy Transfer LP(j),(m) | ||||
6.625% | 336,000 | 313,271 | ||
Energy Transfer LP(j) | ||||
05/15/2054 | 8.000% | 350,000 | 363,637 | |
Energy Transfer Partners LP | ||||
03/15/2045 | 5.150% | 10,000 | 8,923 | |
Ferrellgas LP/Finance Corp.(a) | ||||
04/01/2029 | 5.875% | 194,000 | 184,265 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 169,888 | 145,724 | |
Global Partners LP/Finance Corp. | ||||
01/15/2029 | 6.875% | 150,000 | 147,854 | |
Kinder Morgan, Inc. | ||||
12/01/2034 | 5.300% | 145,000 | 141,314 | |
NGL Energy Operating LLC/Finance Corp.(a) | ||||
02/15/2032 | 8.375% | 70,000 | 71,138 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 100,000 | 93,535 | |
05/15/2030 | 4.800% | 100,000 | 92,633 | |
Sunoco LP/Finance Corp. | ||||
05/15/2029 | 4.500% | 225,000 | 207,840 | |
TMS Issuer Sarl(a) | ||||
08/23/2032 | 5.780% | 300,000 | 307,817 | |
TransCanada PipeLines Ltd. | ||||
04/15/2030 | 4.100% | 635,000 | 594,773 | |
03/01/2034 | 4.625% | 5,000 | 4,635 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 80,000 | 71,980 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 139,000 | 129,584 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 196,000 | 175,907 | |
Venture Global LNG, Inc.(a) | ||||
02/01/2029 | 9.500% | 170,000 | 181,272 | |
Western Midstream Operating LP(j) | ||||
02/01/2030 | 4.050% | 445,000 | 411,701 | |
Total | 5,043,275 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Natural Gas 0.0% | ||||
KeySpan Gas East Corp.(a) | ||||
03/06/2033 | 5.994% | 170,000 | 169,183 | |
Office REIT 0.1% | ||||
Boston Properties LP | ||||
10/01/2026 | 2.750% | 38,000 | 35,180 | |
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 187,000 | 161,570 | |
04/01/2029 | 4.650% | 155,000 | 129,145 | |
01/15/2030 | 3.250% | 80,000 | 60,130 | |
Total | 386,025 | |||
Other Financial Institutions 0.1% | ||||
Greystar Real Estate Partners LLC(a) | ||||
09/01/2030 | 7.750% | 87,000 | 90,699 | |
Icahn Enterprises LP/Finance Corp. | ||||
09/15/2024 | 4.750% | 50,000 | 49,746 | |
05/15/2027 | 5.250% | 190,000 | 174,463 | |
02/01/2029 | 4.375% | 58,000 | 48,921 | |
Sunac China Holdings Ltd.(a),(k) | ||||
09/30/2025 | 6.000% | 17,586 | 2,110 | |
09/30/2026 | 6.250% | 17,586 | 1,878 | |
09/30/2027 | 6.500% | 35,173 | 3,441 | |
09/30/2028 | 6.750% | 52,759 | 4,505 | |
09/30/2029 | 7.000% | 52,759 | 3,945 | |
09/30/2030 | 7.250% | 24,786 | 1,683 | |
Total | 381,391 | |||
Other Industry 0.3% | ||||
Adtalem Global Education, Inc.(a) | ||||
03/01/2028 | 5.500% | 103,000 | 98,020 | |
AECOM | ||||
03/15/2027 | 5.125% | 540,000 | 528,842 | |
Duke University | ||||
10/01/2046 | 3.299% | 228,000 | 172,526 | |
Massachusetts Institute of Technology | ||||
07/01/2050 | 2.989% | 370,000 | 267,349 | |
President and Fellows of Harvard College | ||||
10/15/2050 | 2.517% | 505,000 | 330,397 | |
Total | 1,397,134 | |||
Other REIT 0.2% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 155,000 | 125,376 | |
Extra Space Storage LP | ||||
06/01/2031 | 2.550% | 35,000 | 28,823 | |
10/15/2031 | 2.400% | 30,000 | 24,233 | |
03/15/2032 | 2.350% | 155,000 | 122,888 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Host Hotels & Resorts LP | ||||
12/15/2029 | 3.375% | 315,000 | 278,690 | |
09/15/2030 | 3.500% | 115,000 | 101,382 | |
Lexington Realty Trust | ||||
09/15/2030 | 2.700% | 135,000 | 111,386 | |
Total | 792,778 | |||
Packaging 0.6% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
09/01/2028 | 3.250% | 220,000 | 190,904 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2027 | 5.250% | 206,000 | 149,370 | |
08/15/2027 | 5.250% | 20,000 | 14,428 | |
Ball Corp. | ||||
03/15/2026 | 4.875% | 86,000 | 85,171 | |
03/15/2028 | 6.875% | 365,000 | 374,027 | |
08/15/2030 | 2.875% | 945,000 | 799,897 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 51,000 | 49,848 | |
07/15/2027 | 5.625% | 125,000 | 123,338 | |
Berry Global, Inc.(a) | ||||
04/15/2028 | 5.500% | 360,000 | 357,981 | |
01/15/2034 | 5.650% | 20,000 | 19,739 | |
Clydesdale Acquisition Holdings, Inc.(a) | ||||
04/15/2029 | 6.625% | 94,000 | 93,401 | |
Sealed Air Corp.(a) | ||||
09/15/2025 | 5.500% | 357,000 | 356,302 | |
04/15/2029 | 5.000% | 100,000 | 95,179 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 140,000 | 136,547 | |
Total | 2,846,132 | |||
Paper 0.0% | ||||
Clearwater Paper Corp.(a) | ||||
08/15/2028 | 4.750% | 100,000 | 92,525 | |
Graphic Packaging International LLC(a) | ||||
07/15/2027 | 4.750% | 93,000 | 90,169 | |
Total | 182,694 | |||
Pharmaceuticals 0.4% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 180,000 | 175,825 | |
Allergan Funding SCS | ||||
11/15/2028 | 2.625% | EUR | 100,000 | 101,326 |
Bayer US Finance II LLC(a) | ||||
12/15/2025 | 4.250% | 100,000 | 97,198 | |
12/15/2028 | 4.375% | 289,000 | 269,117 | |
06/25/2038 | 4.625% | 520,000 | 426,620 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 250,000 | 207,160 | |
Kevlar SpA(a) | ||||
09/01/2029 | 6.500% | 296,000 | 266,401 | |
Total | 1,543,647 | |||
Property & Casualty 0.3% | ||||
Acrisure LLC/Finance, Inc.(a) | ||||
02/15/2029 | 4.250% | 120,000 | 106,448 | |
08/01/2029 | 6.000% | 80,000 | 72,065 | |
Aon Corp. | ||||
05/15/2030 | 2.800% | 230,000 | 200,077 | |
Berkshire Hathaway Finance Corp. | ||||
06/19/2039 | 2.375% | GBP | 250,000 | 224,173 |
Farmers Exchange Capital III(a),(j) | ||||
Subordinated | ||||
10/15/2054 | 5.454% | 300,000 | 246,897 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month Term SOFR + 2.552% 12/15/2024 | 7.936% | 450,000 | 451,487 | |
Total | 1,301,147 | |||
Refining 0.1% | ||||
MC Brazil Downstream Trading SARL(a) | ||||
06/30/2031 | 7.250% | 209,165 | 189,190 | |
Restaurants 0.7% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 325,000 | 302,720 | |
02/15/2029 | 3.500% | 670,000 | 604,200 | |
10/15/2030 | 4.000% | 870,000 | 764,374 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 60,000 | 52,975 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 645,000 | 612,110 | |
Yum! Brands, Inc. | ||||
03/15/2031 | 3.625% | 780,000 | 684,719 | |
01/31/2032 | 4.625% | 300,000 | 275,300 | |
Total | 3,296,398 | |||
Retailers 0.1% | ||||
LCM Investments Holdings II LLC(a) | ||||
08/01/2031 | 8.250% | 88,000 | 90,095 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 366,000 | 236,497 | |
Total | 326,592 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Stranded Utility 0.1% | ||||
Brazos Securitization LLC(a) | ||||
09/01/2031 | 5.014% | 183,698 | 181,779 | |
09/01/2050 | 5.413% | 200,000 | 206,293 | |
United Electric Securitization LLC(a) | ||||
06/01/2031 | 5.109% | 93,580 | 92,245 | |
Total | 480,317 | |||
Supranational 1.0% | ||||
Asian Development Bank | ||||
10/14/2026 | 3.000% | AUD | 135,000 | 85,070 |
Asian Infrastructure Investment Bank (The)(a) | ||||
12/15/2025 | 0.200% | GBP | 245,000 | 285,190 |
European Investment Bank(a) | ||||
01/20/2032 | 0.250% | EUR | 470,000 | 416,928 |
Inter-American Development Bank(a) | ||||
10/30/2025 | 2.750% | AUD | 330,000 | 209,067 |
10/03/2030 | 4.700% | AUD | 365,000 | 238,375 |
Inter-American Development Bank | ||||
01/29/2026 | 2.700% | AUD | 138,000 | 87,089 |
03/01/2029 | 4.600% | CAD | 230,000 | 174,621 |
International Bank for Reconstruction & Development | ||||
01/16/2025 | 1.900% | CAD | 470,000 | 337,874 |
03/16/2026 | 1.250% | NOK | 1,410,000 | 124,731 |
06/22/2026 | 5.000% | NZD | 740,000 | 450,268 |
01/19/2027 | 1.800% | CAD | 150,000 | 103,579 |
09/18/2030 | 4.250% | CAD | 180,000 | 134,974 |
08/08/2034 | 1.200% | EUR | 850,000 | 776,375 |
International Development Association(a) | ||||
02/17/2027 | 1.750% | NOK | 900,000 | 79,229 |
International Finance Corp. | ||||
09/10/2025 | 0.375% | NZD | 592,000 | 334,707 |
International Finance Corp.(a) | ||||
10/19/2028 | 4.600% | AUD | 310,000 | 203,521 |
Nordic Investment Bank | ||||
04/10/2024 | 1.875% | NOK | 3,100,000 | 290,982 |
08/23/2027 | 3.000% | NOK | 1,480,000 | 134,037 |
Total | 4,466,617 | |||
Technology 0.6% | ||||
CDW LLC/Finance Corp. | ||||
04/01/2028 | 4.250% | 35,000 | 33,324 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 139,000 | 95,201 | |
Dell International LLC/EMC Corp. | ||||
07/15/2046 | 8.350% | 275,000 | 348,326 | |
Everi Holdings, Inc.(a) | ||||
07/15/2029 | 5.000% | 195,000 | 193,290 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fidelity National Information Services, Inc. | ||||
12/03/2028 | 1.000% | EUR | 210,000 | 201,819 |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 140,000 | 123,951 | |
MSCI, Inc.(a) | ||||
09/01/2030 | 3.625% | 745,000 | 656,834 | |
02/15/2031 | 3.875% | 275,000 | 244,591 | |
11/01/2031 | 3.625% | 345,000 | 298,909 | |
08/15/2033 | 3.250% | 90,000 | 73,792 | |
NCR Corp.(a) | ||||
10/01/2030 | 5.250% | 75,000 | 67,806 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 70,000 | 72,303 | |
Oracle Corp. | ||||
04/01/2027 | 2.800% | 100,000 | 93,273 | |
11/15/2047 | 4.000% | 255,000 | 194,962 | |
Total | 2,698,381 | |||
Tobacco 0.2% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 10,000 | 7,453 | |
03/16/2052 | 5.650% | 140,000 | 122,894 | |
Reynolds American, Inc. | ||||
08/15/2045 | 5.850% | 660,000 | 598,095 | |
Total | 728,442 | |||
Transportation Services 0.0% | ||||
Hertz Corp (The)(a) | ||||
12/01/2029 | 5.000% | 224,000 | 171,762 | |
Wireless 1.1% | ||||
American Tower Corp. | ||||
01/15/2028 | 0.500% | EUR | 100,000 | 95,355 |
06/15/2030 | 2.100% | 175,000 | 144,040 | |
04/15/2031 | 2.700% | 300,000 | 251,634 | |
Cellnex Telecom SA(a) | ||||
06/26/2029 | 1.875% | EUR | 100,000 | 97,663 |
Crown Castle International Corp. | ||||
02/15/2028 | 3.800% | 385,000 | 362,538 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 890,000 | 840,383 | |
02/01/2029 | 3.125% | 380,000 | 336,443 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2028 | 5.152% | 1,066,750 | 1,061,188 | |
T-Mobile US, Inc. | ||||
04/15/2026 | 2.625% | 119,000 | 112,740 | |
04/15/2027 | 3.750% | 20,000 | 19,173 | |
02/01/2028 | 4.750% | 118,000 | 116,111 | |
02/15/2029 | 2.625% | 90,000 | 79,933 | |
04/15/2029 | 3.375% | 250,000 | 229,620 |
Corporate Bonds & Notes(l) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2031 | 2.875% | 125,000 | 107,528 | |
04/15/2031 | 3.500% | 360,000 | 322,150 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 3.250% | EUR | 305,000 | 293,551 |
01/31/2031 | 4.250% | 430,000 | 365,977 | |
Total | 4,836,027 | |||
Wirelines 0.2% | ||||
AT&T, Inc. | ||||
03/25/2024 | 0.900% | 77,000 | 76,758 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 200,000 | 188,547 | |
Cogent Communications Group, Inc.(a) | ||||
06/15/2027 | 7.000% | 90,000 | 89,886 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 118,000 | 98,277 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 170,000 | 157,586 | |
Frontier Communications Holdings LLC(a) | ||||
05/01/2029 | 6.750% | 118,000 | 106,046 | |
03/15/2031 | 8.625% | 86,000 | 87,106 | |
Northwest Fiber LLC/Finance Sub, Inc.(a) | ||||
04/30/2027 | 4.750% | 140,000 | 135,115 | |
02/15/2028 | 6.000% | 77,000 | 73,952 | |
Total | 1,013,273 | |||
Total Corporate Bonds & Notes (Cost $102,530,226) | 98,747,376 | |||
Foreign Government Obligations(l),(o) 9.1% | ||||
Australia 0.6% | ||||
Australia Government Bond(a) | ||||
12/21/2030 | 1.000% | AUD | 295,000 | 158,548 |
New South Wales Treasury Corp.(a) | ||||
03/20/2025 | 1.250% | AUD | 330,000 | 208,127 |
02/20/2032 | 1.500% | AUD | 790,000 | 409,907 |
New South Wales Treasury Corp. | ||||
03/08/2033 | 2.000% | AUD | 705,000 | 368,615 |
Queensland Treasury Corp.(a) | ||||
08/20/2027 | 2.750% | AUD | 502,000 | 313,074 |
07/21/2036 | 5.250% | AUD | 375,000 | 251,448 |
South Australian Government Financing Authority(a) | ||||
05/24/2038 | 4.750% | AUD | 305,000 | 190,143 |
Treasury Corp. of Victoria | ||||
11/20/2034 | 2.250% | AUD | 215,000 | 108,575 |
Treasury Corp. of Victoria(a) | ||||
09/15/2036 | 4.750% | AUD | 375,000 | 236,398 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Western Australian Treasury Corp. | ||||
10/22/2030 | 1.500% | AUD | 590,000 | 322,588 |
Total | 2,567,423 | |||
Austria 0.1% | ||||
Republic of Austria Government Bond(a) | ||||
02/20/2033 | 2.900% | EUR | 485,000 | 525,514 |
Brazil 0.2% | ||||
Brazil Notas do Tesouro Nacional Series F | ||||
01/01/2025 | 10.000% | BRL | 3,775,000 | 771,319 |
Brazilian Government International Bond | ||||
03/15/2034 | 6.125% | 200,000 | 197,830 | |
Total | 969,149 | |||
Canada 0.8% | ||||
Canadian Government Bond | ||||
09/01/2024 | 1.500% | CAD | 295,000 | 213,903 |
03/01/2025 | 1.250% | CAD | 1,080,000 | 770,502 |
12/01/2030 | 0.500% | CAD | 190,000 | 115,047 |
CPPIB Capital, Inc.(a) | ||||
12/01/2031 | 2.250% | CAD | 155,000 | 100,433 |
Ontario Teachers’ Finance Trust(a) | ||||
04/16/2031 | 2.000% | 465,000 | 388,314 | |
Province of Alberta(a) | ||||
04/18/2025 | 0.625% | EUR | 290,000 | 303,459 |
Province of British Columbia | ||||
07/06/2033 | 4.200% | 205,000 | 198,100 | |
Province of Ontario | ||||
12/02/2030 | 1.350% | CAD | 1,109,000 | 689,779 |
06/02/2045 | 3.450% | CAD | 380,000 | 244,662 |
Province of Quebec(a) | ||||
04/07/2025 | 0.200% | EUR | 105,000 | 109,396 |
Province of Quebec | ||||
09/08/2033 | 4.500% | 221,000 | 218,161 | |
Total | 3,351,756 | |||
Chile 0.2% | ||||
Corp. Nacional del Cobre de Chile(a) | ||||
02/02/2033 | 5.125% | 200,000 | 187,586 | |
Corporación Nacional del Cobre de Chile(a) | ||||
01/26/2036 | 6.440% | 204,000 | 207,693 | |
11/04/2044 | 4.875% | 490,000 | 402,857 | |
Total | 798,136 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colombia 0.3% | ||||
Colombia Government International Bond | ||||
03/15/2029 | 4.500% | 200,000 | 182,479 | |
04/15/2031 | 3.125% | 580,000 | 458,666 | |
04/22/2032 | 3.250% | 215,000 | 165,647 | |
Ecopetrol SA | ||||
06/26/2026 | 5.375% | 50,000 | 49,211 | |
04/29/2030 | 6.875% | 250,000 | 243,141 | |
11/02/2031 | 4.625% | 105,000 | 86,599 | |
01/19/2036 | 8.375% | 225,000 | 225,644 | |
05/28/2045 | 5.875% | 55,000 | 40,758 | |
Total | 1,452,145 | |||
Costa Rica 0.1% | ||||
Costa Rica Government International Bond(a) | ||||
04/03/2034 | 6.550% | 200,000 | 206,017 | |
Dominican Republic 0.0% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 200,000 | 181,556 | |
Finland 0.2% | ||||
Finland Government Bond(a) | ||||
09/15/2033 | 3.000% | EUR | 445,000 | 486,268 |
Kuntarahoitus Oyj(b) | ||||
3-month NIBOR + 1.250% 01/10/2025 | 5.960% | NOK | 2,000,000 | 190,160 |
Total | 676,428 | |||
Germany 0.2% | ||||
Bundesrepublik Deutschland Bundesanleihe(a),(f) | ||||
02/15/2031 | 0.000% | EUR | 310,000 | 285,409 |
05/15/2035 | 0.000% | EUR | 220,000 | 181,399 |
Bundesrepublik Deutschland Bundesanleihe(a) | ||||
07/04/2042 | 3.250% | EUR | 130,000 | 153,998 |
Kreditanstalt fuer Wiederaufbau(a) | ||||
02/17/2027 | 2.875% | NOK | 620,000 | 56,094 |
Total | 676,900 | |||
Guatemala 0.1% | ||||
Guatemala Government Bond(a) | ||||
08/10/2029 | 5.250% | 200,000 | 192,984 | |
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 200,000 | 156,342 | |
India 0.4% | ||||
Export-Import Bank of India(a) | ||||
02/01/2028 | 3.875% | 200,000 | 190,150 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
India Government Bond | ||||
06/15/2025 | 5.220% | INR | 30,950,000 | 365,002 |
04/08/2026 | 7.270% | INR | 3,500,000 | 42,398 |
06/20/2027 | 7.380% | INR | 30,330,000 | 369,129 |
04/10/2028 | 7.060% | INR | 13,230,000 | 159,538 |
04/18/2029 | 7.100% | INR | 16,170,000 | 195,125 |
10/07/2029 | 6.450% | INR | 11,000,000 | 128,879 |
07/12/2031 | 6.100% | INR | 7,990,000 | 90,844 |
02/06/2033 | 7.260% | INR | 19,120,000 | 233,075 |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 177,322 | |
Total | 1,951,462 | |||
Indonesia 1.4% | ||||
Indonesia Asahan Aluminium PT/Mineral Industri Persero(a) | ||||
05/15/2030 | 5.450% | 200,000 | 196,451 | |
Indonesia Government International Bond(a) | ||||
07/18/2024 | 2.150% | EUR | 200,000 | 214,118 |
Indonesia Government International Bond | ||||
10/15/2030 | 3.850% | 200,000 | 185,931 | |
03/12/2033 | 1.100% | EUR | 100,000 | 85,419 |
03/12/2051 | 3.050% | 200,000 | 139,436 | |
Indonesia Treasury Bond | ||||
06/15/2025 | 6.500% | IDR | 6,127,000,000 | 390,202 |
09/15/2026 | 8.375% | IDR | 4,278,000,000 | 284,799 |
04/15/2027 | 5.125% | IDR | 1,504,000,000 | 92,542 |
05/15/2028 | 6.125% | IDR | 773,000,000 | 48,629 |
08/15/2028 | 6.375% | IDR | 11,991,000,000 | 762,174 |
03/15/2029 | 9.000% | IDR | 2,298,000,000 | 161,556 |
02/15/2031 | 6.500% | IDR | 10,212,000,000 | 647,436 |
05/15/2031 | 8.750% | IDR | 4,550,000,000 | 325,044 |
04/15/2032 | 6.375% | IDR | 7,840,000,000 | 493,487 |
05/15/2033 | 6.625% | IDR | 2,025,000,000 | 128,853 |
06/15/2035 | 7.500% | IDR | 1,095,000,000 | 74,146 |
05/15/2038 | 7.500% | IDR | 4,489,000,000 | 303,619 |
Pertamina Persero PT(a) | ||||
07/30/2029 | 3.650% | 200,000 | 185,561 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
03/29/2027 | 4.150% | 270,000 | 263,658 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 485,000 | 479,328 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 200,000 | 176,002 | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 485,000 | 466,569 | |
Total | 6,104,960 | |||
Ireland 0.1% | ||||
Ireland Government Bond(a) | ||||
05/15/2029 | 1.100% | EUR | 235,000 | 235,386 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
02/22/2032 | 3.750% | 200,000 | 166,774 | |
Italy 0.0% | ||||
Republic of Italy Government International Bond | ||||
02/17/2026 | 1.250% | 200,000 | 184,822 | |
Japan 0.2% | ||||
Japan Government Five-Year Bond | ||||
06/20/2025 | 0.100% | JPY | 112,100,000 | 747,827 |
03/20/2027 | 0.005% | JPY | 30,000,000 | 198,925 |
Total | 946,752 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 215,000 | 208,677 | |
Malaysia 0.5% | ||||
Malaysia Government Bond | ||||
03/14/2025 | 3.882% | MYR | 970,000 | 205,519 |
07/15/2026 | 3.906% | MYR | 965,000 | 205,512 |
11/30/2026 | 3.900% | MYR | 1,040,000 | 221,816 |
11/16/2027 | 3.899% | MYR | 1,300,000 | 277,348 |
06/15/2028 | 3.733% | MYR | 1,280,000 | 270,897 |
04/15/2030 | 4.498% | MYR | 1,505,000 | 329,840 |
04/15/2033 | 3.844% | MYR | 1,488,000 | 312,898 |
07/05/2034 | 3.828% | MYR | 1,015,000 | 212,950 |
Total | 2,036,780 | |||
Mauritius 0.1% | ||||
Greenko Solar Mauritius Ltd.(a) | ||||
01/29/2025 | 5.550% | 200,000 | 197,547 | |
Greenko Wind Projects Mauritius Ltd.(a) | ||||
04/06/2025 | 5.500% | 405,000 | 398,173 | |
Total | 595,720 | |||
Mexico 0.7% | ||||
Mexican Bonos | ||||
03/06/2025 | 5.000% | MXN | 13,069,000 | 729,914 |
05/26/2033 | 7.500% | MXN | 16,590,000 | 873,114 |
Mexico Government International Bond | ||||
05/24/2031 | 2.659% | 475,000 | 393,294 | |
05/29/2031 | 7.750% | MXN | 15,730,000 | 854,047 |
02/12/2034 | 3.500% | 200,000 | 165,299 | |
Petroleos Mexicanos | ||||
02/12/2048 | 6.350% | 19,000 | 11,627 | |
Total | 3,027,295 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Netherlands 0.1% | ||||
BNG Bank NV(a) | ||||
07/17/2028 | 3.300% | AUD | 630,000 | 390,757 |
Greenko Dutch BV(a) | ||||
03/29/2026 | 3.850% | 185,000 | 174,442 | |
Total | 565,199 | |||
New Zealand 0.6% | ||||
New Zealand Government Bond | ||||
05/15/2024 | 0.500% | NZD | 1,025,000 | 617,937 |
04/15/2025 | 2.750% | NZD | 165,000 | 97,709 |
05/15/2026 | 0.500% | NZD | 620,000 | 344,059 |
05/15/2034 | 4.250% | NZD | 130,000 | 75,905 |
New Zealand Government Bond(a) | ||||
04/14/2033 | 3.500% | NZD | 1,340,000 | 743,141 |
New Zealand Local Government Funding Agency Bond | ||||
08/01/2028 | 4.700% | AUD | 295,000 | 192,820 |
04/14/2033 | 3.500% | NZD | 417,000 | 220,218 |
New Zealand Local Government Funding Agency Bond(a) | ||||
05/15/2031 | 2.250% | NZD | 380,000 | 190,709 |
05/15/2035 | 3.000% | NZD | 350,000 | 168,495 |
Total | 2,650,993 | |||
Norway 0.4% | ||||
Kommunalbanken AS | ||||
07/15/2024 | 5.250% | AUD | 184,000 | 119,862 |
07/16/2025 | 4.250% | AUD | 280,000 | 181,394 |
Norway Government Bond(a) | ||||
03/13/2025 | 1.750% | NOK | 6,410,000 | 587,792 |
02/17/2027 | 1.750% | NOK | 1,455,000 | 128,801 |
09/17/2031 | 1.250% | NOK | 4,300,000 | 337,992 |
05/18/2032 | 2.125% | NOK | 4,615,000 | 383,169 |
Total | 1,739,010 | |||
Panama 0.0% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 164,340 | |
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
04/28/2031 | 4.950% | 200,000 | 191,418 | |
Peru 0.0% | ||||
Peruvian Government International Bond | ||||
01/23/2031 | 2.783% | 150,000 | 127,594 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Philippines 0.5% | ||||
Philippine Government Bond | ||||
08/12/2025 | 2.625% | PHP | 33,665,000 | 570,160 |
09/09/2025 | 3.625% | PHP | 9,490,000 | 162,709 |
08/22/2028 | 6.125% | PHP | 14,640,000 | 259,920 |
09/15/2032 | 6.750% | PHP | 20,280,000 | 373,422 |
09/30/2035 | 8.000% | PHP | 4,700,000 | 95,740 |
Philippine Government International Bond | ||||
05/17/2027 | 0.875% | EUR | 535,000 | 528,026 |
05/05/2030 | 2.457% | 300,000 | 258,257 | |
01/14/2036 | 6.250% | PHP | 10,000,000 | 166,177 |
Total | 2,414,411 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
10/04/2033 | 4.875% | 155,000 | 151,759 | |
Qatar 0.2% | ||||
Qatar Government International Bond(a) | ||||
03/14/2049 | 4.817% | 280,000 | 259,357 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 465,000 | 386,646 | |
QNB Finance Ltd.(a) | ||||
03/28/2024 | 3.500% | 200,000 | 199,570 | |
Total | 845,573 | |||
Romania 0.0% | ||||
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 200,000 | 166,110 | |
Saudi Arabia 0.1% | ||||
Gaci First Investment Co.(a) | ||||
10/13/2032 | 5.250% | 200,000 | 200,293 | |
Singapore 0.1% | ||||
Singapore Government Bond | ||||
09/01/2033 | 3.375% | SGD | 495,000 | 376,268 |
South Africa 0.0% | ||||
Republic of South Africa Government International Bond | ||||
06/22/2030 | 5.875% | 200,000 | 185,280 | |
South Korea 0.5% | ||||
Korea Treasury Bond | ||||
03/10/2027 | 2.375% | KRW | 1,604,270,000 | 1,182,019 |
06/10/2027 | 2.125% | KRW | 316,190,000 | 228,990 |
09/10/2027 | 3.125% | KRW | 232,900,000 | 175,629 |
12/10/2029 | 1.375% | KRW | 161,100,000 | 108,183 |
12/10/2032 | 4.250% | KRW | 258,380,000 | 206,375 |
06/10/2033 | 3.250% | KRW | 679,000,000 | 502,950 |
Total | 2,404,146 |
Foreign Government Obligations(l),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
04/16/2050 | 3.875% | 200,000 | 158,846 | |
Finance Department Government of Sharjah(a) | ||||
11/23/2032 | 6.500% | 200,000 | 205,536 | |
Total | 364,382 | |||
United Kingdom 0.2% | ||||
United Kingdom Gilt(a) | ||||
01/31/2025 | 0.250% | GBP | 240,492 | 291,478 |
12/07/2027 | 4.250% | GBP | 280,000 | 355,093 |
01/31/2029 | 0.500% | GBP | 95,000 | 101,175 |
Total | 747,746 | |||
Total Foreign Government Obligations (Cost $41,958,206) | 40,507,500 | |||
Municipal Bonds 0.7% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
County of Miami-Dade Aviation | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
10/01/2035 | 2.857% | 85,000 | 69,059 | |
Higher Education 0.2% | ||||
Dutchess County Local Development Corp. | ||||
Refunding Revenue Bonds | ||||
Vassar College Project | ||||
Series 2020 | ||||
07/01/2049 | 4.000% | 25,000 | 24,181 | |
University of Nebraska Facilities Corp. | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2019A | ||||
10/01/2049 | 3.037% | 90,000 | 66,769 | |
University of Texas System (The) | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
08/15/2049 | 2.439% | 755,000 | 479,528 | |
University of Virginia | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020 | ||||
09/01/2050 | 2.256% | 560,000 | 341,260 | |
Total | 911,738 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Joint Power Authority 0.0% | ||||
South Carolina Public Service Authority | ||||
Revenue Bonds | ||||
Taxable - Santee Cooper | ||||
Series 2009 | ||||
01/01/2030 | 5.740% | 65,000 | 66,158 | |
Local Appropriation 0.1% | ||||
Louisiana Local Government Environmental Facilities & Community Development Authority | ||||
Series 2023 | ||||
12/01/2039 | 5.198% | 210,000 | 212,226 | |
Scago Public Facilities Corp. | ||||
Revenue Bonds | ||||
Georgetown County Project | ||||
Series 2024 | ||||
06/01/2043 | 4.000% | 25,000 | 24,780 | |
Total | 237,006 | |||
Local General Obligation 0.0% | ||||
Bowling Green City School District(c) | ||||
Unlimited General Obligation Bonds | ||||
Series 2024B | ||||
10/01/2053 | 4.125% | 65,000 | 63,583 | |
City of Norfolk | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2021 | ||||
10/01/2031 | 1.804% | 105,000 | 85,837 | |
Total | 149,420 | |||
Municipal Power 0.1% | ||||
City of San Antonio Electric & Gas Systems | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
02/01/2041 | 5.718% | 60,000 | 61,964 | |
Texas Natural Gas Securitization Finance | ||||
Customer Rate Relief Bonds | ||||
Winter Storm Uri | ||||
Series 2023 | ||||
04/01/2041 | 5.169% | 460,000 | 466,440 | |
Total | 528,404 | |||
Sales Tax 0.0% | ||||
Massachusetts School Building Authority | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020C | ||||
05/15/2043 | 2.950% | 75,000 | 56,663 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Special Non Property Tax 0.1% | ||||
City of Wilson(c) | ||||
Revenue Bonds | ||||
Series 2024 | ||||
10/01/2040 | 4.000% | 25,000 | 25,521 | |
10/01/2044 | 4.000% | 20,000 | 20,020 | |
State Board of Administration Finance Corp. | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020A | ||||
07/01/2030 | 2.154% | 312,000 | 263,702 | |
Total | 309,243 | |||
State General Obligation 0.1% | ||||
Commonwealth of Massachusetts | ||||
Limited General Obligation Bonds | ||||
Taxable - Consolidated Loan | ||||
Series 2019H | ||||
09/01/2049 | 2.900% | 375,000 | 261,987 | |
State of Texas | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2023 | ||||
10/01/2043 | 5.235% | 250,000 | 251,122 | |
Total | 513,109 | |||
Student Loan 0.1% | ||||
Massachusetts Educational Financing Authority | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2023A | ||||
07/01/2044 | 5.950% | 235,000 | 235,270 | |
Water & Sewer 0.0% | ||||
City of Missoula Water System | ||||
Revenue Bonds | ||||
Series 2019A | ||||
07/01/2039 | 5.000% | 15,000 | 16,035 | |
Massachusetts Water Resources Authority | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2019E | ||||
08/01/2039 | 3.124% | 225,000 | 180,736 | |
Total | 196,771 | |||
Total Municipal Bonds (Cost $3,309,386) | 3,272,841 | |||
Residential Mortgage-Backed Securities - Agency 9.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
04/01/2052- 05/01/2052 | 2.000% | 1,466,570 | 1,154,714 | |
05/01/2052 | 2.500% | 1,373,869 | 1,129,672 | |
05/01/2052- 10/01/2052 | 3.000% | 1,995,378 | 1,708,137 | |
08/01/2052- 10/01/2052 | 4.000% | 1,673,754 | 1,540,660 | |
08/01/2052 | 4.500% | 316,812 | 300,093 | |
08/01/2052- 08/01/2053 | 5.000% | 2,683,898 | 2,609,466 | |
11/01/2052- 09/01/2053 | 5.500% | 2,038,408 | 2,037,212 | |
Federal National Mortgage Association | ||||
12/01/2051- 04/01/2052 | 2.000% | 1,460,992 | 1,150,644 | |
08/01/2052 | 3.000% | 2,032,471 | 1,740,697 | |
08/01/2052 | 4.000% | 314,322 | 289,354 | |
09/01/2052- 09/01/2053 | 4.500% | 6,118,466 | 5,797,240 | |
10/01/2052- 09/01/2053 | 5.500% | 2,482,076 | 2,461,506 | |
11/01/2052- 04/01/2053 | 5.000% | 442,899 | 432,748 | |
05/01/2053 | 2.500% | 1,592,785 | 1,312,355 | |
Federal National Mortgage Association(p) | ||||
05/01/2053 | 5.500% | 65,792 | 65,609 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2013-5 Class GF | ||||
30-day Average SOFR + 1.214% Floor 1.100%, Cap 5.000% 10/25/2042 | 5.000% | 207,549 | 199,401 | |
Government National Mortgage Association(h) | ||||
CMO Series 2017-136 Class IO | ||||
09/20/2047 | 5.000% | 534,913 | 111,468 | |
CMO Series 2018-63 Class IO | ||||
09/20/2047 | 4.000% | 719,902 | 111,893 | |
Government National Mortgage Association TBA(c) | ||||
03/20/2054 | 4.500% | 2,350,000 | 2,243,985 | |
03/20/2054 | 5.000% | 2,125,000 | 2,075,495 | |
03/20/2054 | 5.500% | 1,325,000 | 1,316,149 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
03/13/2054 | 2.000% | 1,700,000 | 1,335,628 | |
03/13/2054 | 2.500% | 1,600,000 | 1,314,416 | |
03/13/2054 | 3.000% | 1,725,000 | 1,475,249 | |
03/13/2054- 04/11/2054 | 4.000% | 4,050,000 | 3,726,368 | |
03/13/2054 | 4.500% | 3,000,000 | 2,839,583 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $40,489,982) | 40,479,742 | |||
Residential Mortgage-Backed Securities - Non-Agency 10.9% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ABFC Trust(b) | ||||
CMO Series 2007-WMC1 Class A1A | ||||
1-month Term SOFR + 1.364% Floor 1.250% 06/25/2037 | 6.685% | 607,081 | 411,825 | |
Adjustable Rate Mortgage Trust(b) | ||||
CMO Series 2005-9 Class 5A3 | ||||
1-month Term SOFR + 0.754% Floor 0.320%, Cap 11.000% 11/25/2035 | 6.075% | 50,903 | 50,202 | |
Alternative Loan Trust(g) | ||||
CMO Series 2005-43 Class 1A | ||||
10/25/2035 | 3.981% | 160,902 | 136,750 | |
Alternative Loan Trust(b) | ||||
CMO Series 2005-59 Class 1A1 | ||||
1-month Term SOFR + 0.774% Floor 0.660%, Cap 11.000% 11/20/2035 | 6.090% | 702,917 | 624,113 | |
CMO Series 2007-OH3 Class A1B | ||||
1-month Term SOFR + 0.554% Floor 0.440%, Cap 10.000% 09/25/2047 | 5.875% | 429,355 | 381,876 | |
American Home Mortgage Investment Trust(b) | ||||
CMO Series 2005-1 Class 6A | ||||
6-month Term SOFR + 2.428% Floor 2.000% 06/25/2045 | 7.715% | 64,996 | 64,094 | |
Arroyo Mortgage Trust(a),(g) | ||||
CMO Series 2019-1 Class A1 | ||||
01/25/2049 | 3.805% | 50,325 | 46,939 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2005-B Class 3M1 | ||||
1-month Term SOFR + 0.789% Floor 0.450%, Cap 11.000% 04/20/2035 | 6.109% | 63,661 | 63,465 | |
Banc of America Funding Trust(a),(g) | ||||
Subordinated CMO Series 2014-R6 Class 2A13 | ||||
07/26/2036 | 5.710% | 457,465 | 450,034 | |
Bear Stearns Mortgage Funding Trust(b) | ||||
CMO Series 2006-AR3 Class 1A1 | ||||
1-month Term SOFR + 0.294% Floor 0.180%, Cap 10.500% 10/25/2036 | 5.795% | 262,007 | 215,290 | |
CMO Series 2006-AR4 Class A1 | ||||
1-month Term SOFR + 0.534% Floor 0.210%, Cap 10.500% 12/25/2036 | 5.855% | 363,785 | 336,621 | |
CMO Series 2007-AR3 Class 21A1 | ||||
1-month Term SOFR + 0.414% Floor 0.150%, Cap 10.500% 04/25/2037 | 5.735% | 283,640 | 244,384 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-AR5 Class 2A2 | ||||
1-month Term SOFR + 0.344% Floor 0.230%, Cap 10.500% 06/25/2037 | 5.665% | 826,874 | 704,509 | |
BRAVO Residential Funding Trust(a),(g) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 688,694 | 678,066 | |
Carrington Mortgage Loan Trust(b) | ||||
CMO Series 2007-FRE1 Class A3 | ||||
1-month Term SOFR + 0.374% Floor 0.260%, Cap 14.500% 02/25/2037 | 5.955% | 648,560 | 594,974 | |
Centex Home Equity Loan Trust(b) | ||||
CMO Series 2005-A Class M1 | ||||
1-month Term SOFR + 0.834% Floor 0.480% 01/25/2035 | 6.155% | 149,577 | 148,555 | |
CMO Series 2005-D Class M4 | ||||
1-month Term SOFR + 1.029% Floor 0.610% 10/25/2035 | 6.350% | 5,938 | 5,936 | |
CIM Trust(a),(g) | ||||
CMO Series 2020-R6 Class A1 | ||||
12/25/2060 | 2.250% | 750,165 | 637,724 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 370,804 | 326,101 | |
CMO Series 2023-R3 Class A1A | ||||
01/25/2063 | 4.500% | 589,935 | 541,882 | |
Citigroup Mortgage Loan Trust, Inc.(g) | ||||
CMO Series 2006-AR2 Class 1A1 | ||||
03/25/2036 | 5.294% | 224,836 | 168,738 | |
Citigroup Mortgage Loan Trust, Inc.(b) | ||||
CMO Series 2006-WFH3 Class M2 | ||||
1-month Term SOFR + 0.564% Floor 0.450% 10/25/2036 | 5.885% | 180,245 | 178,877 | |
COLT Mortgage Loan Trust(a),(g) | ||||
CMO Series 2022-5 Class A1 | ||||
04/25/2067 | 4.550% | 164,228 | 160,906 | |
CMO Series 2023-1 Class A1 | ||||
04/25/2068 | 6.048% | 425,037 | 424,741 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2022-R01 Class 1M1 | ||||
30-day Average SOFR + 1.000% 12/25/2041 | 6.322% | 33,531 | 33,536 | |
CMO Series 2022-R03 Class 1M1 | ||||
30-day Average SOFR + 2.100% 03/25/2042 | 7.422% | 18,892 | 19,149 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-R03 Class 1M2 | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 8.822% | 500,000 | 524,901 | |
CMO Series 2022-R04 Class 1M1 | ||||
30-day Average SOFR + 2.000% 03/25/2042 | 7.322% | 33,655 | 34,043 | |
CMO Series 2022-R05 Class 2M2 | ||||
30-day Average SOFR + 3.000% 04/25/2042 | 8.322% | 645,000 | 663,970 | |
CMO Series 2022-R06 Class 1M1 | ||||
30-day Average SOFR + 2.750% 05/25/2042 | 8.072% | 67,072 | 68,820 | |
CMO Series 2022-R09 Class 2M1 | ||||
30-day Average SOFR + 2.500% 09/25/2042 | 7.822% | 137,981 | 140,318 | |
CMO Series 2023-R01 Class 1M1 | ||||
30-day Average SOFR + 2.400% 12/25/2042 | 7.722% | 109,046 | 111,529 | |
CMO Series 2023-R03 Class 2M2 | ||||
30-day Average SOFR + 3.900% 04/25/2043 | 9.222% | 285,000 | 305,127 | |
CMO Series 2023-R06 Class 1M2 | ||||
30-day Average SOFR + 2.700% 07/25/2043 | 8.022% | 120,000 | 123,809 | |
Countrywide Asset-Backed Certificates(b) | ||||
CMO Series 2007-13 Class 2A1 | ||||
1-month Term SOFR + 1.014% Floor 0.900% 10/25/2047 | 6.335% | 129,007 | 115,325 | |
CMO Series 2007-13 Class 2A2 | ||||
1-month Term SOFR + 0.914% Floor 0.800% 10/25/2047 | 6.235% | 256,451 | 229,246 | |
Credit Suisse Mortgage Trust(a),(g) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
10/25/2059 | 2.656% | 12,973 | 12,493 | |
CSMC Trust(a),(g) | ||||
CMO Series 2020-RPL6 Class A1 | ||||
03/25/2059 | 3.385% | 589,371 | 587,135 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 1,218,740 | 1,167,651 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2004-10 Class MV4 | ||||
1-month Term SOFR + 1.689% Floor 1.575% 12/25/2034 | 7.010% | 807,785 | 759,449 | |
CMO Series 2005-17 Class MV1 | ||||
1-month Term SOFR + 0.574% Floor 0.460% 05/25/2036 | 5.895% | 119,297 | 117,836 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
CMO Series 2015-1A Class A2II | ||||
10/25/2045 | 4.474% | 139,125 | 136,204 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B2 | ||||
30-day Average SOFR + 6.200% 11/25/2041 | 11.522% | 80,000 | 83,579 | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2006-FF4 Class A3 | ||||
1-month Term SOFR + 0.394% Floor 0.560% 03/25/2036 | 5.715% | 66,794 | 66,208 | |
CMO Series 2006-FF9 Class 2A4 | ||||
1-month Term SOFR + 0.614% Floor 0.250% 06/25/2036 | 5.935% | 1,200,000 | 1,043,456 | |
First Horizon Mortgage Pass-Through Trust(g) | ||||
CMO Series 2005-AR4 Class 2A1 | ||||
10/25/2035 | 4.938% | 117,441 | 107,247 | |
First NLC Trust(b) | ||||
CMO Series 2005-4 Class A4 | ||||
1-month Term SOFR + 0.894% Floor 0.390%, Cap 14.000% 02/25/2036 | 6.215% | 227,006 | 219,079 | |
Flagstar Mortgage Trust(a),(g) | ||||
CMO Series 2021-5INV Class A5 | ||||
07/25/2051 | 2.500% | 1,109,673 | 967,637 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-DNA6 Class M2 | ||||
30-day Average SOFR + 1.500% 10/25/2041 | 6.822% | 810,000 | 807,975 | |
CMO Series 2022-DNA1 Class M2 | ||||
30-day Average SOFR + 2.500% 01/25/2042 | 7.822% | 550,000 | 555,493 | |
CMO Series 2022-DNA3 Class M1A | ||||
30-day Average SOFR + 2.000% 04/25/2042 | 7.322% | 122,099 | 123,631 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 7.522% | 274,443 | 279,210 | |
CMO Series 2022-DNA4 Class M1B | ||||
30-day Average SOFR + 3.350% 05/25/2042 | 8.672% | 285,000 | 299,461 | |
CMO Series 2022-DNA7 Class M1A | ||||
30-day Average SOFR + 2.500% 03/25/2052 | 7.822% | 112,326 | 114,347 | |
CMO Series 2022-HQA1 Class M1B | ||||
30-day Average SOFR + 3.500% 03/25/2042 | 8.822% | 280,000 | 292,785 | |
CMO Series 2022-HQA3 Class M1B | ||||
30-day Average SOFR + 3.550% 08/25/2042 | 8.872% | 130,000 | 136,388 | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 7.472% | 141,084 | 142,767 | |
Fremont Home Loan Trust(b) | ||||
CMO Series 2005-D Class M1 | ||||
1-month Term SOFR + 0.729% Floor 0.410% 11/25/2035 | 6.050% | 680,000 | 595,107 | |
GCAT Trust(a),(g) | ||||
CMO Series 2019-RPL1 Class B2 | ||||
10/25/2068 | 3.750% | 700,000 | 547,239 | |
CMO Series 2022-NQM4 Class A1 | ||||
08/25/2067 | 5.269% | 86,794 | 87,105 | |
GE-WMC Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-1 Class M1 | ||||
1-month Term SOFR + 0.774% Floor 0.660% 10/25/2035 | 6.095% | 206,557 | 200,847 | |
GMACM Mortgage Loan Trust(g) | ||||
CMO Series 2006-AR1 Class 1A1 | ||||
04/19/2036 | 3.603% | 408,873 | 314,565 | |
GS Mortgage-Backed Securities Corp. Trust(a),(g) | ||||
CMO Series 2021-PJ4 Class A4 | ||||
09/25/2051 | 2.500% | 630,574 | 495,863 | |
GS Mortgage-Backed Securities Trust(a),(g) | ||||
CMO Series 2020-RPL1 Class M2 | ||||
07/25/2059 | 3.831% | 800,000 | 676,422 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GSAMP Trust(b) | ||||
CMO Series 2005-WMC3 Class A2C | ||||
1-month Term SOFR + 0.774% Floor 0.330% 12/25/2035 | 6.095% | 715,658 | 691,612 | |
CMO Series 2006-HE7 Class A2D | ||||
1-month Term SOFR + 0.574% Floor 0.230% 10/25/2046 | 5.895% | 49,154 | 48,716 | |
CMO Series 2007-FM2 Class A1 | ||||
1-month Term SOFR + 0.254% Floor 0.140% 01/25/2037 | 5.715% | 739,432 | 422,838 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2007-6 Class 1A1A | ||||
1-month Term SOFR + 0.314% Floor 0.200%, Cap 10.500% 08/19/2037 | 5.834% | 440,703 | 376,526 | |
Home Equity Mortgage Loan Asset-Backed Trust(b) | ||||
CMO Series 2005-D Class AII4 | ||||
1-month Term SOFR + 0.814% Floor 0.350% 03/25/2036 | 6.135% | 56,474 | 55,640 | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2005-I1 Class 2A4 | ||||
1-month Term SOFR + 0.894% Floor 0.390% 11/25/2035 | 6.215% | 467,454 | 439,347 | |
CMO Series 2006-HE2 Class 1A | ||||
1-month Term SOFR + 0.374% Floor 0.260% 12/25/2036 | 5.695% | 1,166,793 | 457,091 | |
Impac CMB Trust(b) | ||||
CMO Series 2004-8 Class 2A1 (FGIC) | ||||
1-month Term SOFR + 0.814% Floor 0.700%, Cap 11.000% 10/25/2034 | 6.135% | 131,401 | 130,090 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-5 Class 1A1C | ||||
1-month Term SOFR + 0.654% Floor 0.270%, Cap 11.500% 02/25/2037 | 5.975% | 489,836 | 432,324 | |
IndyMac INDX Mortgage Loan Trust(b) | ||||
CMO Series 2006-AR2 Class 1A1A | ||||
1-month Term SOFR + 0.554% Floor 0.220% 04/25/2046 | 5.875% | 647,482 | 525,079 | |
CMO Series 2006-AR2 Class 1A1B | ||||
1-month Term SOFR + 0.534% Floor 0.420% 04/25/2046 | 5.855% | 596,877 | 484,068 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2006-A1 Class 1A1 | ||||
1-month Term SOFR + 0.574% Floor 0.230%, Cap 11.500% 03/25/2036 | 5.895% | 231,737 | 209,702 | |
CMO Series 2007-S1 Class A2 | ||||
1-month Term SOFR + 0.794% Floor 0.340%, Cap 11.500% 04/25/2047 | 6.115% | 147,009 | 138,941 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month Term SOFR + 0.699% Floor 0.585% 05/25/2035 | 6.020% | 183,784 | 180,202 | |
CMO Series 2007-HE1 Class AV4 | ||||
1-month Term SOFR + 0.394% Floor 0.280% 03/25/2047 | 5.995% | 1,103,000 | 1,011,612 | |
Legacy Mortgage Asset Trust(a),(g) | ||||
CMO Series 2020-GS2 Class A1 | ||||
03/25/2060 | 2.750% | 554,690 | 554,258 | |
Lehman Mortgage Trust | ||||
CMO Series 2006-1 Class 1A5 | ||||
02/25/2036 | 5.500% | 519,902 | 252,261 | |
Lehman XS Trust(b) | ||||
CMO Series 2006-15 Class A4 | ||||
1-month Term SOFR + 0.454% Floor 0.170% 10/25/2036 | 5.775% | 656,526 | 587,689 | |
CMO Series 2006-2N Class 2A1 | ||||
1-year MTA + 1.010% Floor 1.010% 02/25/2036 | 7.109% | 434,355 | 365,341 | |
CMO Series 2007-16N Class 2A2 | ||||
1-month Term SOFR + 1.814% Floor 1.700% 09/25/2047 | 7.135% | 492,676 | 421,648 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 2A3 | ||||
1-month Term SOFR + 0.434% Floor 0.160% 11/25/2036 | 5.755% | 1,808,377 | 552,587 | |
CMO Series 2006-4 Class 1A | ||||
1-month Term SOFR + 0.414% Floor 0.300% 05/25/2036 | 5.735% | 961,117 | 503,095 | |
Mastr Asset Backed Securities Trust(b) | ||||
CMO Series 2005-WF1 Class M6 | ||||
1-month Term SOFR + 1.104% Floor 0.660% 06/25/2035 | 6.425% | 672,400 | 671,590 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mill City Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-GS1 Class B2 | ||||
07/25/2059 | 0.000% | 800,000 | 559,861 | |
Morgan Stanley ABS Capital I, Inc. Trust(b) | ||||
CMO Series 2005-WMC1 Class M3 | ||||
1-month Term SOFR + 0.894% Floor 0.780% 01/25/2035 | 6.215% | 213,186 | 207,700 | |
CMO Series 2007-HE2 Class A2B | ||||
1-month Term SOFR + 0.204% Floor 0.090% 01/25/2037 | 5.615% | 1,181,935 | 548,336 | |
CMO Series 2007-NC3 Class A2D | ||||
1-month Term SOFR + 0.374% Floor 0.260% 05/25/2037 | 5.955% | 635,264 | 467,147 | |
Morgan Stanley Mortgage Loan Trust(b) | ||||
CMO Series 2005-5AR Class 1M6 | ||||
1-month Term SOFR + 1.364% Floor 0.750% 09/25/2035 | 6.685% | 500,000 | 485,044 | |
NMLT Trust(a),(g) | ||||
CMO Series 2021-INV1 Class A1 | ||||
05/25/2056 | 1.185% | 712,153 | 579,795 | |
OBX Trust(a),(g) | ||||
CMO Series 2021-NQM3 Class A1 | ||||
07/25/2061 | 1.054% | 575,676 | 445,176 | |
Option One Mortgage Loan Trust(b) | ||||
CMO Series 2007-5 Class 2A2 | ||||
1-month Term SOFR + 0.284% Floor 0.170% 05/25/2037 | 5.775% | 837,903 | 447,469 | |
CMO Series 2007-5 Class 2A3 | ||||
1-month Term SOFR + 0.344% Floor 0.230% 05/25/2037 | 5.895% | 1,525,482 | 798,074 | |
Series 2006-3 Class 1A1 | ||||
1-month Term SOFR + 0.254% Floor 0.140% 02/25/2037 | 5.715% | 902,715 | 563,589 | |
Preston Ridge Partners Mortgage Trust(a),(g) | ||||
CMO Series 2022-4 Class A2 | ||||
08/25/2027 | 5.000% | 615,000 | 561,803 | |
Pretium Mortgage Credit Partners LLC(a),(g) | ||||
CMO Series 2022-RN2 Class A2 | ||||
06/25/2052 | 6.500% | 720,000 | 682,942 | |
PRKCM Trust(a),(g) | ||||
CMO Series 2021-AFC2 Class A1 | ||||
11/25/2056 | 2.071% | 1,057,190 | 900,068 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
RALI Series Trust(b) | ||||
CMO Series 2006-QA6 Class A3 | ||||
1-month Term SOFR + 0.494% Floor 0.190% 07/25/2036 | 5.815% | 284,138 | 262,964 | |
CMO Series 2007-QH6 Class A1 | ||||
1-month Term SOFR + 0.494% Floor 0.190% 07/25/2037 | 5.815% | 279,646 | 257,578 | |
RALI Trust(b) | ||||
CMO Series 2006-QO10 Class A1 | ||||
1-month Term SOFR + 0.434% Floor 0.160% 01/25/2037 | 5.755% | 574,068 | 485,216 | |
Series 2007-QO1 Class A1 | ||||
1-month Term SOFR + 0.414% Floor 0.150% 02/25/2047 | 5.735% | 881,731 | 755,085 | |
RAMP Trust(b) | ||||
CMO Series 2006-RZ2 Class M1 | ||||
1-month Term SOFR + 0.609% Floor 0.330%, Cap 14.000% 05/25/2036 | 5.930% | 424,739 | 416,853 | |
RFMSI Trust | ||||
CMO Series 2006-S10 Class 1A1 | ||||
10/25/2036 | 6.000% | 537,442 | 399,551 | |
SG Residential Mortgage Trust(a),(g) | ||||
CMO Series 2021-2 Class A1 | ||||
12/25/2061 | 1.737% | 863,589 | 701,717 | |
Soundview Home Loan Trust(b) | ||||
CMO Series 2006-OPT5 Class 1A1 | ||||
1-month Term SOFR + 0.394% Floor 0.140% 07/25/2036 | 5.715% | 247,542 | 233,604 | |
Structured Adjustable Rate Mortgage Loan Trust(b) | ||||
Series 2007-4 Class 1A2 | ||||
1-month Term SOFR + 0.554% Floor 0.220% 05/25/2037 | 5.875% | 752,832 | 639,681 | |
Structured Asset Investment Loan Trust(b) | ||||
CMO Series 2004-6 Class A3 | ||||
1-month Term SOFR + 0.914% Floor 0.800% 07/25/2034 | 6.235% | 312,913 | 309,046 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR7 Class A1A | ||||
1-month Term SOFR + 0.534% Floor 0.210%, Cap 10.500% 08/25/2036 | 5.855% | 673,508 | 532,854 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-AR8 Class A1A | ||||
1-month Term SOFR + 0.514% Floor 0.200%, Cap 10.500% 10/25/2036 | 5.835% | 277,109 | 234,459 | |
Structured Asset Securities Corp Mortgage Loan Trust(b) | ||||
CMO Series 2005-2XS Class M1 | ||||
1-month Term SOFR + 0.819% Floor 0.470%, Cap 11.000% 02/25/2035 | 6.140% | 756,186 | 687,320 | |
Thornburg Mortgage Securities Trust(b) | ||||
CMO Series 2004-3 Class A | ||||
1-month Term SOFR + 0.854% Floor 0.370%, Cap 11.000% 09/25/2034 | 6.175% | 293,505 | 263,735 | |
Towd Point Mortgage Trust(a),(g) | ||||
CMO Series 2017-4 Class A2 | ||||
06/25/2057 | 3.000% | 900,000 | 813,578 | |
CMO Series 2019-2 Class M1 | ||||
12/25/2058 | 3.750% | 275,000 | 241,341 | |
Subordinated CMO Series 2017-2 Class B1 | ||||
04/25/2057 | 4.205% | 760,000 | 706,589 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2017-5 Class A1 | ||||
1-month Term SOFR + 0.714% 02/25/2057 | 6.035% | 47,145 | 47,871 | |
CMO Series 2019-HY3 Class M1 | ||||
1-month Term SOFR + 1.614% Floor 1.500% 10/25/2059 | 6.935% | 650,000 | 667,027 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 148,718 | 133,305 | |
CMO Series 2022-8 Class A3 | ||||
09/25/2067 | 6.127% | 88,203 | 87,632 | |
CMO Series 2022-INV1 Class A1 | ||||
08/25/2067 | 5.041% | 280,339 | 277,885 | |
CMO Series 2024-1 Class A1 | ||||
01/25/2069 | 5.712% | 99,170 | 98,454 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A4 | ||||
1-month Term SOFR + 0.344% Floor 0.230% 01/25/2037 | 5.665% | 1,079,626 | 498,505 | |
WaMu Mortgage Pass-Through Certificates(b) | ||||
CMO Series 2005-AR8 Class 2AC2 | ||||
1-month Term SOFR + 1.034% Floor 0.460%, Cap 10.500% 07/25/2045 | 6.355% | 323,534 | 299,617 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2007-OA4 Class 1A | ||||
1-year MTA + 0.770% Floor 0.770% 05/25/2047 | 5.859% | 540,662 | 427,280 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust(b) | ||||
CMO Series 2006-AR2 Class A1A | ||||
1-year MTA + 0.940% Floor 0.940% 04/25/2046 | 6.029% | 204,716 | 156,693 | |
Wells Fargo Mortgage Backed Securities Trust | ||||
CMO Series 2007-7 Class A39 | ||||
06/25/2037 | 6.000% | 810,592 | 710,068 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $51,077,085) | 49,008,323 |
Rights 0.1% | ||
Issuer | Shares | Value ($) |
Health Care 0.1% | ||
Biotechnology 0.1% | ||
Albireo Pharma, Inc., CVR(d),(e),(i),(q) | 37,853 | 89,454 |
Concert Pharmaceuticals, Inc., CVR(d),(e),(i),(q) | 173,147 | 70,367 |
Total | 159,821 | |
Health Care Equipment & Supplies 0.0% | ||
Abiomed, Inc., CVR(d),(e),(i),(q) | 15,541 | 27,197 |
Pharmaceuticals 0.0% | ||
Cincor Pharma, Inc.(d),(e),(i),(q) | 44,405 | 149,707 |
Total Health Care | 336,725 | |
Materials 0.0% | ||
Paper & Forest Products 0.0% | ||
Resolute Forest Products, Inc.(d),(e),(i),(q) | 76,222 | 152,444 |
Total Materials | 152,444 | |
Total Rights (Cost $381,037) | 489,169 |
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.2% | ||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(r) | ||||
Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 04/20/2028 | 10.389% | 174,250 | 179,124 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(b),(r) | ||||
Term Loan | ||||
3-month Term SOFR + 5.250% Floor 1.000% 06/21/2027 | 10.770% | 253,750 | 261,104 | |
United Airlines, Inc.(b),(p),(r) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.750% 02/22/2031 | 8.076% | 315,000 | 314,606 | |
Total | 754,834 | |||
Restaurants 0.0% | ||||
KFC Holding Co./Yum! Brands(b),(r) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 1.750% 03/15/2028 | 7.184% | 74 | 74 | |
Total Senior Loans (Cost $752,978) | 754,908 | |||
Treasury Bills 1.9% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 1.9% | ||||
U.S. Treasury Bills | ||||
03/07/2024 | 5.130% | 8,395,000 | 8,386,746 | |
Total Treasury Bills (Cost $8,387,581) | 8,386,746 | |||
U.S. Treasury Obligations 5.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
08/31/2025 | 5.000% | 455,000 | 456,209 | |
02/28/2026 | 0.500% | 355,000 | 327,266 | |
02/28/2026 | 4.625% | 2,925,000 | 2,924,771 | |
01/15/2027 | 4.000% | 330,000 | 326,133 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/31/2027 | 1.500% | 1,485,000 | 1,367,128 | |
02/15/2027 | 4.125% | 1,850,000 | 1,834,680 | |
05/31/2027 | 2.625% | 345,000 | 326,618 | |
01/31/2029 | 4.000% | 3,044,000 | 3,008,804 | |
02/28/2029 | 4.250% | 650,000 | 650,051 | |
02/15/2032 | 1.875% | 396,000 | 332,578 | |
05/15/2032 | 2.875% | 3,440,000 | 3,109,975 | |
08/15/2032 | 2.750% | 1,725,000 | 1,540,101 | |
02/15/2033 | 3.500% | 2,060,000 | 1,943,481 | |
02/15/2034 | 4.000% | 155,000 | 151,973 | |
02/15/2042 | 2.375% | 655,000 | 481,527 | |
11/15/2042 | 2.750% | 590,000 | 457,250 | |
02/15/2049 | 3.000% | 2,465,000 | 1,910,375 | |
02/15/2050 | 2.000% | 1,493,000 | 929,859 | |
08/15/2052 | 3.000% | 550,000 | 425,476 | |
02/15/2053 | 3.625% | 1,210,000 | 1,058,372 | |
Total U.S. Treasury Obligations (Cost $24,639,276) | 23,562,627 |
Money Market Funds 31.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(s),(t) | 138,909,787 | 138,882,005 |
Total Money Market Funds (Cost $138,869,823) | 138,882,005 | |
Total Investments in Securities (Cost: $453,776,980) | 444,016,002 | |
Other Assets & Liabilities, Net | 3,741,327 | |
Net Assets | 447,757,329 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
318,391 EUR | 3,661,988 NOK | Barclays | 03/20/2024 | 572 | — |
583,575 EUR | 6,635,531 NOK | Barclays | 03/20/2024 | — | (6,155 ) |
1,658,582 GBP | 2,104,179 USD | Barclays | 03/20/2024 | 10,339 | — |
7,004,660 MXN | 407,764 USD | Barclays | 03/20/2024 | — | (2,125 ) |
10,095,014 NOK | 891,054 EUR | Barclays | 03/20/2024 | 12,855 | — |
1,189,636 NOK | 114,500 USD | Barclays | 03/20/2024 | 2,449 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
196,554 USD | 264,527 CAD | Barclays | 03/20/2024 | — | (1,593 ) |
718,087 USD | 569,737 GBP | Barclays | 03/20/2024 | 1,164 | — |
290,461 USD | 229,556 GBP | Barclays | 03/20/2024 | — | (663 ) |
485,773 USD | 8,506,384 MXN | Barclays | 03/20/2024 | 11,991 | — |
660,682 USD | 1,082,726 NZD | Barclays | 03/20/2024 | — | (1,459 ) |
50,384,854 JPY | 343,500 USD | Barclays | 03/21/2024 | 6,492 | — |
343,376 NOK | 32,603 USD | BNY Capital Markets | 03/20/2024 | 260 | — |
194,500 CAD | 21,275,713 JPY | BNY Capital Markets | 03/21/2024 | — | (1,046 ) |
119,395 USD | 17,049,457 JPY | BNY Capital Markets | 03/21/2024 | — | (5,356 ) |
362,530 EUR | 392,605 USD | CIBC | 03/20/2024 | 519 | — |
725,977 GBP | 923,263 USD | CIBC | 03/20/2024 | 6,770 | — |
563,464 USD | 758,600 CAD | CIBC | 03/20/2024 | — | (4,362 ) |
392,017 USD | 365,531 EUR | CIBC | 03/20/2024 | 3,314 | — |
716,206 USD | 569,737 GBP | CIBC | 03/20/2024 | 3,046 | — |
441,992 USD | 722,658 NZD | CIBC | 03/20/2024 | — | (1,998 ) |
748,653 USD | 1,002,783 SGD | CIBC | 03/20/2024 | — | (2,850 ) |
2,543,132 CAD | 1,900,674 USD | Citi | 03/20/2024 | 26,340 | — |
60,079 EUR | 65,263 USD | Citi | 03/20/2024 | 287 | — |
1,145,000 GBP | 1,453,904 USD | Citi | 03/20/2024 | 8,424 | — |
6,496,743 NOK | 573,750 EUR | Citi | 03/20/2024 | 8,601 | — |
1,228,628 NZD | 762,714 USD | Citi | 03/20/2024 | 14,657 | — |
114,000 USD | 1,197,616 NOK | Citi | 03/20/2024 | — | (1,197 ) |
883,582 USD | 1,442,795 NZD | Citi | 03/20/2024 | — | (5,129 ) |
333,374,974 JPY | 2,290,492 USD | Citi | 03/21/2024 | 60,656 | — |
3,437,977 USD | 501,653,286 JPY | Citi | 03/21/2024 | — | (82,583 ) |
64,900 EUR | 71,458 USD | Citi | 04/12/2024 | 1,199 | — |
2,709 USD | 2,500 EUR | Citi | 04/12/2024 | — | (3 ) |
362,530 EUR | 392,897 USD | Goldman Sachs | 03/20/2024 | 812 | — |
572,500 GBP | 726,270 USD | Goldman Sachs | 03/20/2024 | 3,530 | — |
3,048,163 MXN | 176,859 USD | Goldman Sachs | 03/20/2024 | — | (1,509 ) |
1,204,526 SEK | 114,250 USD | Goldman Sachs | 03/20/2024 | — | (2,026 ) |
1,411,351 SGD | 1,051,748 USD | Goldman Sachs | 03/20/2024 | 2,079 | — |
233,241 USD | 353,320 AUD | Goldman Sachs | 03/20/2024 | — | (3,462 ) |
563,464 USD | 759,532 CAD | Goldman Sachs | 03/20/2024 | — | (3,675 ) |
573,524 USD | 455,789 GBP | Goldman Sachs | 03/20/2024 | 1,877 | — |
573,492 USD | 81,879,238 JPY | Goldman Sachs | 03/21/2024 | — | (25,829 ) |
11,607,141 NOK | 1,124,394 USD | HSBC | 03/20/2024 | 31,125 | — |
2,989,612 NZD | 1,864,874 USD | HSBC | 03/20/2024 | 44,632 | — |
2,012,023 SGD | 1,502,497 USD | HSBC | 03/20/2024 | 6,088 | — |
468,080 USD | 706,640 AUD | HSBC | 03/20/2024 | — | (8,523 ) |
1,871,633 USD | 2,501,355 SGD | HSBC | 03/20/2024 | — | (11,292 ) |
394,586,789 COP | 100,000 USD | JPMorgan | 03/01/2024 | — | (531 ) |
109,121,151 INR | 1,313,651 USD | JPMorgan | 03/01/2024 | — | (2,390 ) |
100,000 USD | 397,167,000 COP | JPMorgan | 03/01/2024 | 1,189 | — |
1,313,649 USD | 109,297,027 INR | JPMorgan | 03/01/2024 | 4,513 | — |
994,006 BRL | 200,000 USD | JPMorgan | 03/04/2024 | 43 | — |
98,944,445 INR | 1,191,506 USD | JPMorgan | 03/04/2024 | — | (1,800 ) |
100,000 USD | 497,381 BRL | JPMorgan | 03/04/2024 | 55 | — |
100,000 USD | 492,471 BRL | JPMorgan | 03/04/2024 | — | (933 ) |
1,191,504 USD | 99,045,593 INR | JPMorgan | 03/04/2024 | 3,022 | — |
393,008,222 COP | 100,000 USD | JPMorgan | 03/05/2024 | — | (112 ) |
41,094,979 INR | 494,843 USD | JPMorgan | 03/05/2024 | — | (756 ) |
34,256,600 TWD | 1,100,000 USD | JPMorgan | 03/05/2024 | 16,263 | — |
100,000 USD | 390,702,030 COP | JPMorgan | 03/05/2024 | — | (476 ) |
494,842 USD | 41,094,131 INR | JPMorgan | 03/05/2024 | 746 | — |
1,099,998 USD | 34,511,247 TWD | JPMorgan | 03/05/2024 | — | (8,204 ) |
393,647,123 COP | 100,000 USD | JPMorgan | 03/06/2024 | — | (257 ) |
124,427,571 INR | 1,500,003 USD | JPMorgan | 03/06/2024 | — | (508 ) |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
4,372,929,000 KRW | 3,300,000 USD | JPMorgan | 03/06/2024 | 16,250 | — |
662,132,958 KRW | 500,001 USD | JPMorgan | 03/06/2024 | 2,787 | — |
34,514,700 TWD | 1,100,000 USD | JPMorgan | 03/06/2024 | 8,104 | — |
6,217,324 TWD | 200,000 USD | JPMorgan | 03/06/2024 | 3,311 | — |
100,000 USD | 396,002,912 COP | JPMorgan | 03/06/2024 | 857 | — |
1,499,997 USD | 124,405,254 INR | JPMorgan | 03/06/2024 | 244 | — |
3,799,993 USD | 5,056,255,231 KRW | JPMorgan | 03/06/2024 | — | (3,114 ) |
1,299,997 USD | 40,765,219 TWD | JPMorgan | 03/06/2024 | — | (10,361 ) |
784,272,201 COP | 200,000 USD | JPMorgan | 03/07/2024 | 291 | — |
200,000 USD | 794,128,000 COP | JPMorgan | 03/07/2024 | 2,219 | — |
190,142,258 CLP | 200,000 USD | JPMorgan | 03/08/2024 | 3,219 | — |
200,000 USD | 193,323,097 CLP | JPMorgan | 03/08/2024 | 73 | — |
189,710,000 CLP | 200,000 USD | JPMorgan | 03/11/2024 | 3,698 | — |
397,364,090 COP | 100,000 USD | JPMorgan | 03/11/2024 | — | (1,115 ) |
100,000 USD | 98,646,555 CLP | JPMorgan | 03/11/2024 | 2,075 | — |
100,000 USD | 94,777,552 CLP | JPMorgan | 03/11/2024 | — | (1,929 ) |
100,000 USD | 397,246,910 COP | JPMorgan | 03/11/2024 | 1,085 | — |
191,936,116 CLP | 200,000 USD | JPMorgan | 03/12/2024 | 1,405 | — |
200,000 USD | 196,515,102 CLP | JPMorgan | 03/12/2024 | 3,334 | — |
397,626,000 COP | 100,000 USD | JPMorgan | 03/14/2024 | — | (1,128 ) |
16,619,289 INR | 200,000 USD | JPMorgan | 03/14/2024 | — | (347 ) |
449,512,657 INR | 5,410,802 USD | JPMorgan | 03/14/2024 | — | (8,116 ) |
100,000 USD | 393,770,800 COP | JPMorgan | 03/14/2024 | 148 | — |
5,610,791 USD | 465,419,369 INR | JPMorgan | 03/14/2024 | — | (116 ) |
1,556,622 AUD | 1,025,879 USD | JPMorgan | 03/20/2024 | 13,543 | — |
1,006,917 CAD | 747,254 USD | JPMorgan | 03/20/2024 | 5,138 | — |
1,725,236 EUR | 19,726,523 NOK | JPMorgan | 03/20/2024 | — | (7,859 ) |
105,500 EUR | 1,176,896 SEK | JPMorgan | 03/20/2024 | — | (492 ) |
3,331,567 EUR | 3,654,290 USD | JPMorgan | 03/20/2024 | 51,116 | — |
362,530 EUR | 391,964 USD | JPMorgan | 03/20/2024 | — | (121 ) |
16,618,963 INR | 200,000 USD | JPMorgan | 03/20/2024 | — | (290 ) |
348,184,354 INR | 4,189,198 USD | JPMorgan | 03/20/2024 | — | (7,098 ) |
5,052,752,080 KRW | 3,800,000 USD | JPMorgan | 03/20/2024 | 7,475 | — |
133,016,758 KRW | 100,000 USD | JPMorgan | 03/20/2024 | 160 | — |
1,189,670 NOK | 114,250 USD | JPMorgan | 03/20/2024 | 2,196 | — |
149,312 SGD | 112,412 USD | JPMorgan | 03/20/2024 | 1,364 | — |
40,716,000 TWD | 1,300,000 USD | JPMorgan | 03/20/2024 | 12,026 | — |
324,820 USD | 494,648 AUD | JPMorgan | 03/20/2024 | — | (3,130 ) |
200,000 USD | 786,086,000 COP | JPMorgan | 03/20/2024 | — | (285 ) |
3,899,992 USD | 5,202,423,645 KRW | JPMorgan | 03/20/2024 | 4,874 | — |
240,579 USD | 4,178,968 MXN | JPMorgan | 03/20/2024 | 3,960 | — |
114,500 USD | 1,204,481 NOK | JPMorgan | 03/20/2024 | — | (1,051 ) |
748,653 USD | 1,003,504 SGD | JPMorgan | 03/20/2024 | — | (2,313 ) |
393,558,123 COP | 100,000 USD | JPMorgan | 03/21/2024 | 29 | — |
33,246,326 INR | 400,001 USD | JPMorgan | 03/21/2024 | — | (664 ) |
21,035,992 JPY | 194,500 CAD | JPMorgan | 03/21/2024 | 2,649 | — |
21,467,818 JPY | 113,533 GBP | JPMorgan | 03/21/2024 | — | (263 ) |
33,306,469 JPY | 229,000 USD | JPMorgan | 03/21/2024 | 6,224 | — |
132,875,527 KRW | 100,000 USD | JPMorgan | 03/21/2024 | 269 | — |
2,290,992 USD | 336,414,790 JPY | JPMorgan | 03/21/2024 | — | (40,824 ) |
100,000 USD | 133,375,472 KRW | JPMorgan | 03/21/2024 | 107 | — |
193,478,000 CLP | 200,000 USD | JPMorgan | 03/25/2024 | — | (54 ) |
124,494,510 INR | 1,500,000 USD | JPMorgan | 03/26/2024 | — | (7 ) |
100,000 USD | 394,670,875 COP | JPMorgan | 03/26/2024 | 165 | — |
12,800,000 AUD | 11,324,491 CAD | JPMorgan | 03/27/2024 | 20,961 | — |
6,797,998 AUD | 4,125,000 EUR | JPMorgan | 03/27/2024 | 40,567 | — |
7,451,514 AUD | 3,875,000 GBP | JPMorgan | 03/27/2024 | 44,985 | — |
17,400,000 AUD | 18,524,684 NZD | JPMorgan | 03/27/2024 | — | (39,642 ) |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
4,800,000 AUD | 3,146,875 USD | JPMorgan | 03/27/2024 | 24,520 | — |
3,898,479 CAD | 4,400,000 AUD | JPMorgan | 03/27/2024 | — | (11,396 ) |
6,931,484 CAD | 4,750,000 EUR | JPMorgan | 03/27/2024 | 29,580 | — |
3,500,000 CAD | 2,588,443 USD | JPMorgan | 03/27/2024 | 8,606 | — |
594,882 CHF | 625,000 EUR | JPMorgan | 03/27/2024 | 1,748 | — |
556,010 CHF | 500,000 GBP | JPMorgan | 03/27/2024 | 908 | — |
875,000 CHF | 997,072 USD | JPMorgan | 03/27/2024 | 5,106 | — |
98,738,000 CLP | 100,000 USD | JPMorgan | 03/27/2024 | — | (2,083 ) |
41,739,940 CNH | 5,800,000 USD | JPMorgan | 03/27/2024 | — | (1,390 ) |
795,082,221 COP | 200,000 USD | JPMorgan | 03/27/2024 | — | (1,752 ) |
2,338,520 CZK | 100,000 USD | JPMorgan | 03/27/2024 | 284 | — |
875,000 EUR | 1,449,583 AUD | JPMorgan | 03/27/2024 | — | (3,672 ) |
8,125,000 EUR | 7,718,761 CHF | JPMorgan | 03/27/2024 | — | (39,400 ) |
7,900,000 EUR | 6,776,477 GBP | JPMorgan | 03/27/2024 | 8,636 | — |
600,000 EUR | 2,595,911 PLN | JPMorgan | 03/27/2024 | 806 | — |
5,250,000 EUR | 58,666,465 SEK | JPMorgan | 03/27/2024 | — | (14,739 ) |
500,000 EUR | 542,601 USD | JPMorgan | 03/27/2024 | 1,680 | — |
2,000,000 EUR | 2,161,722 USD | JPMorgan | 03/27/2024 | — | (1,964 ) |
875,000 GBP | 1,692,807 AUD | JPMorgan | 03/27/2024 | — | (3,519 ) |
1,250,000 GBP | 1,384,731 CHF | JPMorgan | 03/27/2024 | — | (8,269 ) |
856,216 GBP | 1,000,000 EUR | JPMorgan | 03/27/2024 | 883 | — |
125,000 GBP | 23,634,446 JPY | JPMorgan | 03/27/2024 | 426 | — |
1,000,000 GBP | 1,267,935 USD | JPMorgan | 03/27/2024 | 5,451 | — |
78,165,548 HUF | 200,000 EUR | JPMorgan | 03/27/2024 | 1,608 | — |
36,008,075 HUF | 100,000 USD | JPMorgan | 03/27/2024 | 1,067 | — |
3,286,293 ILS | 900,000 USD | JPMorgan | 03/27/2024 | — | (20,462 ) |
69,605,587 INR | 839,027 USD | JPMorgan | 03/27/2024 | 401 | — |
4,023,198 INR | 48,465 USD | JPMorgan | 03/27/2024 | — | (7 ) |
19,426,060 JPY | 200,000 AUD | JPMorgan | 03/27/2024 | 37 | — |
843,644,796 JPY | 8,600,000 AUD | JPMorgan | 03/27/2024 | — | (54,137 ) |
709,551,782 JPY | 6,400,000 CAD | JPMorgan | 03/27/2024 | — | (33,163 ) |
681,754,480 JPY | 4,000,000 CHF | JPMorgan | 03/27/2024 | — | (29,769 ) |
453,164,651 JPY | 2,800,000 EUR | JPMorgan | 03/27/2024 | — | (4,861 ) |
589,004,156 JPY | 3,125,000 GBP | JPMorgan | 03/27/2024 | 1,771 | — |
190,220,230 JPY | 1,000,000 GBP | JPMorgan | 03/27/2024 | — | (11,075 ) |
793,390,340 JPY | 8,600,000 NZD | JPMorgan | 03/27/2024 | — | (75,718 ) |
412,500,000 JPY | 2,757,862 USD | JPMorgan | 03/27/2024 | — | (3,901 ) |
265,380,103 KRW | 200,000 USD | JPMorgan | 03/27/2024 | 855 | — |
36,886,493 NOK | 3,250,000 EUR | JPMorgan | 03/27/2024 | 41,047 | — |
54,500,000 NOK | 53,882,922 SEK | JPMorgan | 03/27/2024 | 68,783 | — |
29,349,454 NOK | 2,800,000 USD | JPMorgan | 03/27/2024 | 35,095 | — |
10,204,436 NZD | 9,600,000 AUD | JPMorgan | 03/27/2024 | 31,662 | — |
2,100,000 NZD | 1,296,796 USD | JPMorgan | 03/27/2024 | 18,195 | — |
2,785,237 PLN | 700,000 USD | JPMorgan | 03/27/2024 | 2,688 | — |
58,895,199 SEK | 5,250,000 EUR | JPMorgan | 03/27/2024 | — | (7,348 ) |
2,923,062 SEK | 3,000,000 NOK | JPMorgan | 03/27/2024 | 363 | — |
2,932,134 SEK | 3,000,000 NOK | JPMorgan | 03/27/2024 | — | (513 ) |
2,685,904 SGD | 2,000,000 USD | JPMorgan | 03/27/2024 | 1,766 | — |
524,000 USD | 800,000 AUD | JPMorgan | 03/27/2024 | — | (3,607 ) |
73,958 USD | 100,000 CAD | JPMorgan | 03/27/2024 | — | (249 ) |
5,260,078 USD | 4,625,000 CHF | JPMorgan | 03/27/2024 | — | (16,828 ) |
200,000 USD | 197,461,981 CLP | JPMorgan | 03/27/2024 | 4,152 | — |
600,000 USD | 4,316,623 CNH | JPMorgan | 03/27/2024 | — | (37 ) |
3,915,910 USD | 3,625,000 EUR | JPMorgan | 03/27/2024 | 5,770 | — |
2,716,482 USD | 2,500,000 EUR | JPMorgan | 03/27/2024 | — | (11,876 ) |
5,357,898 USD | 4,250,000 GBP | JPMorgan | 03/27/2024 | 7,659 | — |
2,100,000 USD | 760,883,481 HUF | JPMorgan | 03/27/2024 | — | (9,464 ) |
200,000 USD | 724,173 ILS | JPMorgan | 03/27/2024 | 2,835 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
48,465 USD | 4,021,944 INR | JPMorgan | 03/27/2024 | — | (8 ) |
3,615,251 USD | 62,000,000 MXN | JPMorgan | 03/27/2024 | 8,590 | — |
1,100,000 USD | 11,586,344 NOK | JPMorgan | 03/27/2024 | — | (8,493 ) |
670,801 USD | 1,100,000 NZD | JPMorgan | 03/27/2024 | — | (1,057 ) |
4,600,000 USD | 18,420,525 PLN | JPMorgan | 03/27/2024 | 11,761 | — |
100,000 USD | 1,037,620 SEK | JPMorgan | 03/27/2024 | 194 | — |
1,800,000 USD | 18,531,759 SEK | JPMorgan | 03/27/2024 | — | (10,541 ) |
11,600,000 USD | 15,598,392 SGD | JPMorgan | 03/27/2024 | 4,748 | — |
100,000 USD | 3,144,081 TWD | JPMorgan | 03/27/2024 | — | (547 ) |
100,000 USD | 1,935,666 ZAR | JPMorgan | 03/27/2024 | 720 | — |
49,706,613 ZAR | 2,600,000 USD | JPMorgan | 03/27/2024 | 13,565 | — |
196,688,000 CLP | 200,000 USD | JPMorgan | 03/28/2024 | — | (3,341 ) |
5,333,707,000 KRW | 4,000,000 USD | JPMorgan | 03/28/2024 | — | (2,360 ) |
87,045,245 TRY | 2,699,209 USD | JPMorgan | 03/29/2024 | — | (7,728 ) |
299,209 USD | 9,643,885 TRY | JPMorgan | 03/29/2024 | 697 | — |
100,000 USD | 3,215,384 TRY | JPMorgan | 03/29/2024 | — | (8 ) |
465,908,093 INR | 5,610,802 USD | JPMorgan | 04/04/2024 | — | (690 ) |
571,250 EUR | 6,571,491 NOK | Morgan Stanley | 03/20/2024 | 1,143 | — |
444,820 EUR | 5,063,757 NOK | Morgan Stanley | 03/20/2024 | — | (4,133 ) |
362,530 EUR | 392,237 USD | Morgan Stanley | 03/20/2024 | 152 | — |
1,031,293 GBP | 1,304,260 USD | Morgan Stanley | 03/20/2024 | 2,327 | — |
8,053,833 MXN | 466,439 USD | Morgan Stanley | 03/20/2024 | — | (4,843 ) |
8,062,261 NOK | 712,854 EUR | Morgan Stanley | 03/20/2024 | 11,591 | — |
6,215,570 SGD | 4,686,698 USD | Morgan Stanley | 03/20/2024 | 63,972 | — |
360,242 USD | 286,945 GBP | Morgan Stanley | 03/20/2024 | 2,005 | — |
190,095 USD | 3,306,174 MXN | Morgan Stanley | 03/20/2024 | 3,371 | — |
308,759 USD | 505,860 NZD | Morgan Stanley | 03/20/2024 | — | (764 ) |
748,653 USD | 1,003,971 SGD | Morgan Stanley | 03/20/2024 | — | (1,967 ) |
167,027,688 JPY | 1,144,000 USD | Morgan Stanley | 03/21/2024 | 26,806 | — |
572,500 USD | 84,201,410 JPY | Morgan Stanley | 03/21/2024 | — | (9,304 ) |
185,763 AUD | 124,654 USD | RBC Capital Markets | 03/20/2024 | 3,844 | — |
39,883,882 MXN | 2,326,976 USD | RBC Capital Markets | 03/20/2024 | — | (6,891 ) |
1,006,436 SGD | 751,248 USD | RBC Capital Markets | 03/20/2024 | 2,728 | — |
113,834 USD | 105,500 EUR | RBC Capital Markets | 03/20/2024 | 267 | — |
147,401 USD | 2,578,485 MXN | RBC Capital Markets | 03/20/2024 | 3,483 | — |
171,000 EUR | 185,753 USD | Standard Chartered | 03/20/2024 | 812 | — |
182,761 SGD | 136,146 USD | Standard Chartered | 03/20/2024 | 221 | — |
2,987,873 AUD | 2,002,459 USD | State Street | 03/20/2024 | 59,322 | — |
362,530 EUR | 392,424 USD | State Street | 03/20/2024 | 338 | — |
362,530 EUR | 392,056 USD | State Street | 03/20/2024 | — | (29 ) |
1,204,341 NOK | 114,250 USD | State Street | 03/20/2024 | 814 | — |
1,411,589 SGD | 1,051,748 USD | State Street | 03/20/2024 | 1,902 | — |
832,786 USD | 14,419,342 MXN | State Street | 03/20/2024 | 10,983 | — |
114,500 USD | 1,194,011 NOK | State Street | 03/20/2024 | — | (2,037 ) |
219,122 USD | 360,069 NZD | State Street | 03/20/2024 | 108 | — |
166,374,818 JPY | 1,143,500 USD | State Street | 03/21/2024 | 30,673 | — |
1,145,992 USD | 165,894,826 JPY | State Street | 03/21/2024 | — | (36,376 ) |
104,077 AUD | 68,096 USD | TD Securities | 03/20/2024 | 410 | — |
155,131 CAD | 115,000 USD | UBS | 03/20/2024 | 666 | — |
444,820 EUR | 5,060,106 NOK | UBS | 03/20/2024 | — | (4,477 ) |
1,030,500 GBP | 1,312,024 USD | UBS | 03/20/2024 | 11,091 | — |
1,007,875 SGD | 751,248 USD | UBS | 03/20/2024 | 1,658 | — |
563,464 USD | 760,474 CAD | UBS | 03/20/2024 | — | (2,981 ) |
789,612 USD | 729,439 EUR | UBS | 03/20/2024 | — | (704 ) |
715,135 USD | 569,737 GBP | UBS | 03/20/2024 | 4,117 | — |
Total | 1,162,284 | (799,599 ) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini Japanese Government Bond | 1 | 03/2024 | JPY | 14,624,000 | — | (94 ) |
3-Month Copper | 2 | 05/2024 | USD | 424,675 | 1,369 | — |
3-Month Euro Euribor | 3 | 06/2026 | EUR | 731,813 | 323 | — |
Brazilian Real | 30 | 03/2024 | USD | 601,800 | 1,595 | — |
Brazilian Real | 3 | 03/2024 | USD | 60,180 | — | (374 ) |
Brent Crude | 12 | 03/2024 | USD | 982,920 | 12,363 | — |
Brent Crude | 9 | 03/2024 | USD | 737,190 | 5,511 | — |
Brent Crude | 4 | 03/2024 | USD | 327,640 | — | (1,247 ) |
Brent Crude | 7 | 03/2024 | USD | 573,370 | — | (2,967 ) |
Brent Crude | 3 | 04/2024 | USD | 243,540 | 2,097 | — |
Brent Crude | 5 | 05/2024 | USD | 402,650 | 2,245 | — |
Brent Crude | 6 | 10/2024 | USD | 466,200 | — | (5,006 ) |
British Pound | 59 | 03/2024 | USD | 4,651,413 | 209 | — |
British Pound | 3 | 03/2024 | USD | 236,513 | — | (110 ) |
British Pound | 16 | 03/2024 | USD | 1,261,400 | — | (9,575 ) |
CAC40 Index | 26 | 03/2024 | EUR | 2,064,660 | 48,724 | — |
CAC40 Index | 34 | 03/2024 | EUR | 2,699,940 | 24,451 | — |
CAC40 Index | 4 | 03/2024 | EUR | 317,640 | — | (603 ) |
Cocoa | 12 | 05/2024 | USD | 725,880 | 166,523 | — |
Cocoa | 6 | 05/2024 | USD | 362,940 | 38,927 | — |
Cocoa | 6 | 05/2024 | GBP | 309,720 | — | (4,502 ) |
Cocoa | 7 | 07/2024 | USD | 401,100 | — | (2,635 ) |
Cocoa | 3 | 07/2024 | GBP | 143,910 | — | (4,473 ) |
Coffee | 6 | 05/2024 | USD | 414,788 | 3,061 | — |
Coffee | 7 | 05/2024 | USD | 483,919 | — | (1,158 ) |
Coffee | 8 | 07/2024 | USD | 548,100 | 6,431 | — |
Cotton | 10 | 05/2024 | USD | 497,850 | 38,523 | — |
Cotton | 12 | 05/2024 | USD | 597,420 | — | (13 ) |
Cotton | 9 | 07/2024 | USD | 439,965 | 16,789 | — |
Crude Oil E-mini | 8 | 03/2024 | USD | 313,040 | — | (945 ) |
Crude Palm Oil | 4 | 04/2024 | MYR | 401,800 | 2,221 | — |
Crude Palm Oil | 28 | 05/2024 | MYR | 2,779,000 | 19,725 | — |
Crude Palm Oil | 12 | 06/2024 | MYR | 1,171,200 | 7,532 | — |
Crude Palm Oil | 5 | 07/2024 | MYR | 479,375 | 3,188 | — |
DAX Index | 5 | 03/2024 | EUR | 2,218,500 | 92,932 | — |
DAX Index | 5 | 03/2024 | EUR | 2,218,500 | 92,472 | — |
DJIA Index E-mini | 26 | 03/2024 | USD | 5,075,590 | 287,701 | — |
DJIA Index E-mini | 15 | 03/2024 | USD | 2,928,225 | 122,780 | — |
Euro FX | 1 | 03/2024 | USD | 135,113 | — | (445 ) |
Euro STOXX 50 Index | 101 | 03/2024 | EUR | 4,942,940 | 288,407 | — |
Euro STOXX 50 Index | 58 | 03/2024 | EUR | 2,838,520 | 157,317 | — |
Euro STOXX 50 Index | 2 | 03/2024 | EUR | 85,560 | 494 | — |
Euro STOXX Banks Index | 34 | 03/2024 | EUR | 208,335 | 5,131 | — |
Euro STOXX Banks Index | 156 | 03/2024 | EUR | 955,890 | — | (2,490 ) |
Euro-BTP | 29 | 03/2024 | EUR | 3,416,780 | 27,604 | — |
Euro-BTP | 2 | 03/2024 | EUR | 235,640 | — | (1,638 ) |
Euro-BTP | 60 | 03/2024 | EUR | 7,069,200 | — | (103,478 ) |
Euro-Bund | 5 | 03/2024 | EUR | 663,250 | — | (15,638 ) |
Euro-OAT | 20 | 03/2024 | EUR | 2,553,800 | — | (56,009 ) |
FCOJ-A | 1 | 05/2024 | USD | 53,723 | — | (2,530 ) |
Feeder Cattle | 7 | 04/2024 | USD | 888,038 | — | (15,891 ) |
Financial Select Sector Index E-mini | 1 | 03/2024 | USD | 124,350 | 3,136 | — |
FTSE 100 Index | 9 | 03/2024 | GBP | 686,385 | — | (1,301 ) |
FTSE 100 Index | 17 | 03/2024 | GBP | 1,296,505 | — | (7,110 ) |
FTSE Taiwan Index | 41 | 03/2024 | USD | 2,651,060 | 8,384 | — |
FTSE Taiwan Index | 23 | 03/2024 | USD | 1,487,180 | 1,226 | — |
FTSE/MIB Index | 15 | 03/2024 | EUR | 2,447,250 | 144,423 | — |
FTSE/MIB Index | 14 | 03/2024 | EUR | 2,284,100 | 48,884 | — |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE/MIB Index Mini | 6 | 03/2024 | EUR | 195,780 | 5,826 | — |
Gas Oil | 8 | 04/2024 | USD | 645,000 | — | (28,683 ) |
Gas Oil | 23 | 04/2024 | USD | 1,854,375 | — | (89,791 ) |
Gas Oil | 3 | 05/2024 | USD | 237,000 | — | (10,078 ) |
Gas Oil | 8 | 06/2024 | USD | 623,600 | — | (5,983 ) |
Gas Oil | 5 | 07/2024 | USD | 386,250 | — | (5,605 ) |
Gold | 3 | 10/2024 | JPY | 29,421,000 | 960 | — |
Gold | 29 | 12/2024 | JPY | 284,490,000 | 1,845 | — |
Gold 100 oz. | 14 | 04/2024 | USD | 2,876,580 | 11,237 | — |
Gold 100 oz. | 3 | 04/2024 | USD | 616,410 | 4,313 | — |
Gold 100 oz. | 1 | 04/2024 | USD | 205,470 | — | (183 ) |
Gold 100 oz. | 5 | 06/2024 | USD | 1,037,300 | 6,081 | — |
Gold E-micro | 9 | 04/2024 | USD | 184,923 | 1,017 | — |
Health Care Select Sector Index E-mini | 3 | 03/2024 | USD | 439,140 | — | (1,764 ) |
IBEX 35 Index | 10 | 03/2024 | EUR | 1,002,730 | 3,229 | — |
IBEX 35 Index | 13 | 03/2024 | EUR | 1,303,549 | — | (9,759 ) |
IBEX 35 Index Mini | 4 | 03/2024 | EUR | 40,109 | — | (220 ) |
IFSC Nifty 50 Index | 8 | 03/2024 | USD | 355,072 | 773 | — |
IFSC Nifty 50 Index | 53 | 03/2024 | USD | 2,352,352 | — | (11,396 ) |
Indian Rupee | 54 | 03/2024 | USD | 1,301,400 | 1,411 | — |
Indian Rupee | 2 | 03/2024 | USD | 48,200 | — | (30 ) |
Industrials Select Sector Index | 2 | 03/2024 | USD | 244,220 | 13,987 | — |
Japanese 10-Year Government Bond | 13 | 03/2024 | JPY | 1,901,380,000 | — | (11,224 ) |
JPX-Nikkei Index 400 | 1 | 03/2024 | JPY | 2,423,000 | — | (33 ) |
KLCI Index | 15 | 03/2024 | MYR | 1,154,625 | — | (165 ) |
Korea 3-Year Bond | 45 | 03/2024 | KRW | 4,702,500,000 | — | (3,362 ) |
KOSPI 200 Index Mini | 10 | 03/2024 | KRW | 177,875,000 | — | (537 ) |
Lean Hogs | 11 | 04/2024 | USD | 381,150 | 6,116 | — |
Lean Hogs | 3 | 04/2024 | USD | 103,950 | — | (123 ) |
Lean Hogs | 8 | 06/2024 | USD | 320,640 | 5,192 | — |
Live Cattle | 5 | 04/2024 | USD | 370,700 | 5,504 | — |
Live Cattle | 23 | 04/2024 | USD | 1,705,220 | 1,159 | — |
Live Cattle | 18 | 04/2024 | USD | 1,334,520 | — | (3,172 ) |
Live Cattle | 11 | 06/2024 | USD | 797,390 | — | (3,754 ) |
Live Cattle | 6 | 08/2024 | USD | 433,680 | 2,437 | — |
Live Cattle | 3 | 10/2024 | USD | 221,070 | 3,423 | — |
Lumber | 1 | 05/2024 | USD | 16,239 | 81 | — |
Mexican Peso | 164 | 03/2024 | USD | 4,796,180 | 123,873 | — |
Mexican Peso | 3 | 03/2024 | USD | 87,735 | 1,627 | — |
MSCI EAFE Index | 38 | 03/2024 | USD | 4,347,010 | 130,505 | — |
MSCI EAFE Index | 22 | 03/2024 | USD | 2,516,690 | 64,049 | — |
MSCI Emerging Markets Index | 13 | 03/2024 | USD | 660,920 | — | (4,448 ) |
MSCI Singapore Index | 2 | 03/2024 | SGD | 56,300 | — | (570 ) |
NASDAQ 100 Index E-mini | 14 | 03/2024 | USD | 5,063,170 | 316,716 | — |
NASDAQ 100 Index E-mini | 8 | 03/2024 | USD | 2,893,240 | 203,136 | — |
NASDAQ 100 Index Micro E-mini | 1 | 03/2024 | USD | 36,166 | 506 | — |
New Zealand Dollar | 3 | 03/2024 | USD | 182,460 | — | (1,523 ) |
New Zealand Dollar | 28 | 03/2024 | USD | 1,702,960 | — | (28,149 ) |
Nikkei 225 Index | 15 | 03/2024 | JPY | 588,900,000 | 473,814 | — |
Nikkei 225 Index | 16 | 03/2024 | JPY | 314,040,000 | 151,996 | — |
Nikkei 225 Index | 5 | 03/2024 | JPY | 196,300,000 | 137,139 | — |
Nikkei 225 Index | 3 | 03/2024 | USD | 589,575 | 32,618 | — |
Nikkei 225 Index Mini | 71 | 03/2024 | JPY | 278,746,000 | — | (967 ) |
NY Harbor ULSD Heat Oil | 1 | 03/2024 | USD | 111,296 | — | (3,227 ) |
NY Harbor ULSD Heat Oil | 9 | 03/2024 | USD | 1,001,662 | — | (56,397 ) |
NY Harbor ULSD Heat Oil | 5 | 04/2024 | USD | 545,034 | — | (4,734 ) |
NY Harbor ULSD Heat Oil | 5 | 05/2024 | USD | 536,907 | 1,348 | — |
NY Harbor ULSD Heat Oil | 4 | 06/2024 | USD | 426,871 | 1,182 | — |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Oat | 1 | 05/2024 | USD | 18,550 | 673 | — |
OMXS30 Index | 64 | 03/2024 | SEK | 15,724,800 | 53,300 | — |
OMXS30 Index | 104 | 03/2024 | SEK | 25,552,800 | 43,777 | — |
Platinum | 2 | 10/2024 | JPY | 4,281,000 | — | (295 ) |
Platinum | 11 | 12/2024 | JPY | 23,567,500 | — | (824 ) |
RBOB Gasoline | 7 | 03/2024 | USD | 758,814 | 32,471 | — |
RBOB Gasoline | 7 | 03/2024 | USD | 758,814 | 12,165 | — |
RBOB Gasoline | 1 | 03/2024 | USD | 108,402 | — | (1,342 ) |
RBOB Gasoline | 4 | 04/2024 | USD | 431,945 | 15,063 | — |
RBOB Gasoline | 5 | 05/2024 | USD | 533,106 | 19,190 | — |
Real Estate Select Sector Index E-mini | 1 | 03/2024 | USD | 47,900 | 286 | — |
Robusta Coffee | 11 | 05/2024 | USD | 340,450 | 6,568 | — |
Robusta Coffee | 2 | 07/2024 | USD | 60,520 | — | (942 ) |
Rough Rice | 5 | 05/2024 | USD | 182,850 | — | (1,792 ) |
Rubber | 4 | 07/2024 | JPY | 5,936,000 | 17 | — |
Russell 2000 Index E-mini | 16 | 03/2024 | USD | 1,645,840 | 19,644 | — |
Russell 2000 Index E-mini | 3 | 03/2024 | USD | 308,595 | 4,805 | — |
S&P 500 Index E-mini | 25 | 03/2024 | USD | 6,379,688 | 452,029 | — |
S&P 500 Index E-mini | 14 | 03/2024 | USD | 3,572,625 | 120,767 | — |
S&P Mid 400 Index E-mini | 7 | 03/2024 | USD | 2,024,820 | 92,107 | — |
S&P Mid 400 Index E-mini | 6 | 03/2024 | USD | 1,735,560 | 65,821 | — |
S&P/TSX 60 Index | 20 | 03/2024 | CAD | 5,162,400 | 110,144 | — |
S&P/TSX 60 Index | 13 | 03/2024 | CAD | 3,355,560 | 14,969 | — |
SGX TSI Iron Ore China 62% | 9 | 04/2024 | USD | 103,572 | 129 | — |
SGX TSI Iron Ore China 62% | 41 | 04/2024 | USD | 471,828 | — | (16,137 ) |
Short Term Euro-BTP | 36 | 03/2024 | EUR | 3,793,320 | — | (4,766 ) |
Short Term Euro-BTP | 5 | 03/2024 | EUR | 526,850 | — | (5,391 ) |
SPI 200 Index | 34 | 03/2024 | AUD | 6,511,000 | 79,396 | — |
SPI 200 Index | 21 | 03/2024 | AUD | 4,021,500 | 34,714 | — |
STOXX 600 Insurance Index | 2 | 03/2024 | EUR | 36,900 | 507 | — |
STOXX Europe 600 Bank Index | 7 | 03/2024 | EUR | 60,795 | 1,102 | — |
STOXX Europe 600 Index | 37 | 03/2024 | EUR | 915,565 | 38,013 | — |
STOXX Europe 600 Index | 77 | 03/2024 | EUR | 1,905,365 | 11,741 | — |
STOXX Europe 600 Index | 7 | 03/2024 | EUR | 173,215 | — | (372 ) |
Swedish Krona | 2 | 03/2024 | USD | 385,680 | — | (2,204 ) |
Swiss Franc | 1 | 03/2024 | USD | 141,544 | — | (601 ) |
TOPIX Index | 23 | 03/2024 | JPY | 616,630,000 | 319,152 | — |
TOPIX Index | 9 | 03/2024 | JPY | 241,290,000 | 6,934 | — |
TOPIX Index Mini | 34 | 03/2024 | JPY | 91,154,000 | 16,179 | — |
U.S. Dollar Index | 15 | 03/2024 | USD | 1,561,470 | 6,043 | — |
U.S. Treasury 2-Year Note | 151 | 06/2024 | USD | 30,917,250 | 16,494 | — |
U.S. Treasury 5-Year Note | 353 | 06/2024 | USD | 37,737,906 | 16,883 | — |
WIG 20 Index | 56 | 03/2024 | PLN | 2,710,400 | — | (289 ) |
WTI Crude | 3 | 03/2024 | USD | 234,780 | 3,197 | — |
WTI Crude | 8 | 03/2024 | USD | 626,080 | 5,177 | — |
WTI Crude | 7 | 03/2024 | USD | 547,820 | 3,565 | — |
WTI Crude | 4 | 04/2024 | USD | 309,800 | 4,676 | — |
WTI Crude | 6 | 04/2024 | USD | 464,700 | 280 | — |
WTI Crude | 1 | 05/2024 | USD | 76,810 | — | (701 ) |
WTI Crude | 3 | 05/2024 | USD | 230,430 | 535 | — |
WTI Crude | 8 | 06/2024 | USD | 609,440 | 3,087 | — |
Yen Denominated Nikkei 225 Index | 15 | 03/2024 | JPY | 294,750,000 | 131,936 | — |
Yuan Offshore Renminbi | 1 | 03/2024 | CNH | 720,150 | 96 | — |
Total | 5,159,430 | (561,765 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
1-Month SOFR | (12) | 07/2024 | USD | (4,742,879 ) | 2,004 | — |
3-Month Aluminum | (2) | 05/2024 | USD | (111,400 ) | — | (3,120 ) |
3-Month Copper | (8) | 05/2024 | USD | (411,800 ) | 4,611 | — |
3-Month CORRA | (2) | 09/2024 | CAD | (476,275 ) | 349 | — |
3-Month CORRA | (8) | 09/2024 | CAD | (1,905,100 ) | — | (929 ) |
3-Month Euro Euribor | (221) | 06/2024 | EUR | (53,230,613 ) | 71,034 | — |
3-Month Euro Euribor | (80) | 03/2025 | EUR | (19,443,000 ) | — | (4,228 ) |
3-Month Euro Euribor | (1) | 06/2027 | EUR | (243,938 ) | — | (122 ) |
3-Month Nickel | (1) | 05/2024 | USD | (107,376 ) | — | (2,410 ) |
3-Month SOFR | (135) | 09/2024 | USD | (32,025,375 ) | 25,462 | — |
3-Month SOFR | (80) | 03/2025 | USD | (19,100,000 ) | 21,964 | — |
3-Month SONIA | (80) | 09/2024 | GBP | (18,996,000 ) | 10,895 | — |
3-Month Zinc | (8) | 05/2024 | USD | (485,200 ) | — | (9,966 ) |
90-Day AUD Bank Bill | (4) | 06/2024 | AUD | (3,958,324 ) | 56 | — |
90-Day AUD Bank Bill | (10) | 03/2025 | AUD | (9,904,026 ) | — | (342 ) |
Australian 10-Year Bond | (2) | 03/2024 | AUD | (230,032 ) | 256 | — |
Australian 10-Year Bond | (11) | 03/2024 | AUD | (1,265,178 ) | — | (2,352 ) |
Australian 10-Year Bond | (58) | 03/2024 | AUD | (6,670,938 ) | — | (2,999 ) |
Australian 3-Year Bond | (25) | 03/2024 | AUD | (2,661,860 ) | — | (2,209 ) |
Australian 3-Year Bond | (91) | 03/2024 | AUD | (9,689,169 ) | — | (6,106 ) |
Australian Dollar | (82) | 03/2024 | USD | (5,327,540 ) | 19,615 | — |
Australian Dollar | (5) | 03/2024 | USD | (324,850 ) | 665 | — |
Banker’s Acceptance | (1) | 03/2025 | CAD | (239,275 ) | — | (74 ) |
Canadian Dollar | (31) | 03/2024 | USD | (2,283,770 ) | 7,058 | — |
Canadian Dollar | (5) | 03/2024 | USD | (368,350 ) | 855 | — |
Canadian Government 10-Year Bond | (37) | 06/2024 | CAD | (4,435,190 ) | 3,175 | — |
Canadian Government 10-Year Bond | (19) | 06/2024 | CAD | (2,277,530 ) | — | (3,884 ) |
Canola | (29) | 05/2024 | CAD | (344,346 ) | 944 | — |
Canola | (9) | 07/2024 | CAD | (108,162 ) | — | (913 ) |
Copper | (6) | 05/2024 | USD | (577,050 ) | 6,452 | — |
Copper | (13) | 05/2024 | USD | (1,250,275 ) | — | (2,687 ) |
Copper | (1) | 06/2024 | USD | (212,738 ) | — | (7,257 ) |
Copper | (4) | 07/2024 | USD | (386,700 ) | 3,531 | — |
Corn | (44) | 05/2024 | USD | (944,900 ) | — | (8,034 ) |
Corn | (134) | 07/2024 | USD | (2,956,375 ) | 119,289 | — |
Corn | (32) | 07/2024 | USD | (706,000 ) | — | (8,570 ) |
Corn | (25) | 09/2024 | USD | (562,813 ) | — | (13,480 ) |
Corn | (17) | 12/2024 | USD | (393,763 ) | — | (4,150 ) |
ECX Emissions EUA | (29) | 12/2024 | EUR | (1,624,000 ) | 176,454 | — |
Energy Select Sector Index E-mini | (1) | 03/2024 | USD | (90,110 ) | — | (2,071 ) |
Euro FX | (64) | 03/2024 | USD | (8,647,200 ) | — | (34,015 ) |
Euro-Bobl | (64) | 03/2024 | EUR | (7,438,080 ) | 65,737 | — |
Euro-Bobl | (30) | 03/2024 | EUR | (3,486,600 ) | — | (3,452 ) |
Euro-BTP | (6) | 03/2024 | EUR | (706,920 ) | 1,337 | — |
Euro-Bund | (22) | 03/2024 | EUR | (2,918,300 ) | 32,229 | — |
Euro-Bund | (1) | 03/2024 | EUR | (132,650 ) | — | (424 ) |
Euro-Bund | (8) | 03/2024 | EUR | (1,061,200 ) | — | (2,656 ) |
Euro-Buxl 30-Year | (1) | 03/2024 | EUR | (133,160 ) | — | (364 ) |
Euro-OAT | (15) | 03/2024 | EUR | (1,915,350 ) | — | (4,754 ) |
Euro-Schatz | (201) | 03/2024 | EUR | (21,135,150 ) | 124,960 | — |
Euro-Schatz | (376) | 03/2024 | EUR | (39,536,400 ) | 79,379 | — |
FTSE China A50 Index | (50) | 03/2024 | USD | (593,600 ) | 879 | — |
FTSE China A50 Index | (4) | 03/2024 | USD | (47,488 ) | — | (364 ) |
FTSE/JSE Top 40 Index | (17) | 03/2024 | ZAR | (11,257,910 ) | 16,395 | — |
FTSE/JSE Top 40 Index | (1) | 03/2024 | ZAR | (662,230 ) | 1,083 | — |
Hard Red Winter Wheat | (17) | 05/2024 | USD | (499,163 ) | — | (9,527 ) |
Hard Red Winter Wheat | (5) | 07/2024 | USD | (143,563 ) | 8,831 | — |
Hard Red Winter Wheat | (6) | 07/2024 | USD | (172,275 ) | — | (3,576 ) |
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Japanese Yen | (120) | 03/2024 | USD | (10,029,000 ) | 246,979 | — |
Japanese Yen | (7) | 03/2024 | USD | (585,025 ) | 4,573 | — |
Long Gilt | (21) | 06/2024 | GBP | (2,059,890 ) | 7,131 | — |
Long Gilt | (6) | 06/2024 | GBP | (588,540 ) | — | (2,879 ) |
Milling Wheat | (47) | 05/2024 | EUR | (460,600 ) | 10,981 | — |
Milling Wheat | (23) | 09/2024 | EUR | (235,750 ) | 2,294 | — |
Milling Wheat | (7) | 12/2024 | EUR | (73,675 ) | 889 | — |
MSCI Emerging Markets Index | (3) | 03/2024 | USD | (152,520 ) | — | (124 ) |
MSCI Singapore Index | (14) | 03/2024 | SGD | (394,100 ) | 1,926 | — |
Natural Gas | (10) | 03/2024 | USD | (186,000 ) | — | (8,387 ) |
Natural Gas | (68) | 03/2024 | USD | (1,264,800 ) | — | (56,734 ) |
Natural Gas | (25) | 03/2024 | GBP | (461,850 ) | — | (36,133 ) |
Natural Gas | (10) | 04/2024 | USD | (200,800 ) | — | (10,047 ) |
Natural Gas | (13) | 05/2024 | USD | (292,370 ) | — | (16,372 ) |
Natural Gas | (11) | 09/2024 | USD | (290,400 ) | — | (16,159 ) |
Natural Gas E-mini | (10) | 03/2024 | USD | (46,500 ) | — | (1,881 ) |
Nickel | (4) | 06/2024 | USD | (431,112 ) | — | (43,269 ) |
Norwegian Krone | (1) | 03/2024 | USD | (188,340 ) | 658 | — |
Norwegian Krone | (1) | 03/2024 | USD | (188,340 ) | — | (712 ) |
Palladium | (7) | 06/2024 | USD | (662,760 ) | 24,048 | — |
Palladium | (3) | 06/2024 | USD | (284,040 ) | 1,283 | — |
Platinum | (9) | 04/2024 | USD | (397,800 ) | 7,674 | — |
Platinum | (8) | 04/2024 | USD | (353,600 ) | 5,025 | — |
Primary Aluminum | (17) | 06/2024 | USD | (950,734 ) | — | (7,913 ) |
Rapeseed | (12) | 04/2024 | EUR | (247,200 ) | 486 | — |
Rapeseed | (8) | 07/2024 | EUR | (165,300 ) | — | (1,071 ) |
Silver | (12) | 05/2024 | USD | (1,373,100 ) | 26,269 | — |
Silver | (1) | 05/2024 | USD | (114,425 ) | 538 | — |
Silver | (3) | 05/2024 | USD | (343,275 ) | — | (1,305 ) |
Silver | (1) | 07/2024 | USD | (115,510 ) | — | (1,412 ) |
South African Rand | (112) | 03/2024 | USD | (2,913,400 ) | 9,702 | — |
Soybean | (19) | 05/2024 | USD | (1,083,713 ) | 46,371 | — |
Soybean | (57) | 07/2024 | USD | (3,281,063 ) | 151,162 | — |
Soybean | (13) | 07/2024 | USD | (748,313 ) | 2,634 | — |
Soybean | (23) | 11/2024 | USD | (1,303,238 ) | 5,037 | — |
Soybean Meal | (14) | 05/2024 | USD | (460,880 ) | 16,708 | — |
Soybean Meal | (42) | 07/2024 | USD | (1,391,040 ) | 49,176 | — |
Soybean Meal | (14) | 07/2024 | USD | (463,680 ) | 5,288 | — |
Soybean Oil | (14) | 05/2024 | USD | (379,764 ) | 4,415 | — |
Soybean Oil | (14) | 07/2024 | USD | (383,208 ) | 1,901 | — |
Soybean Oil | (24) | 07/2024 | USD | (656,928 ) | 1,723 | — |
Soybean Oil | (13) | 12/2024 | USD | (351,468 ) | 17,317 | — |
STOXX 600 Utilities Index | (2) | 03/2024 | EUR | (35,790 ) | — | (201 ) |
Sugar #11 | (3) | 04/2024 | USD | (72,878 ) | 1,539 | — |
Sugar #11 | (3) | 06/2024 | USD | (72,341 ) | 1,606 | — |
Sugar #11 | (1) | 02/2025 | USD | (24,461 ) | 502 | — |
Swiss Franc | (2) | 03/2024 | USD | (283,088 ) | 1,541 | — |
Thai SET50 Index | (321) | 03/2024 | THB | (53,510,700 ) | 40,038 | — |
U.S. Long Bond | (3) | 06/2024 | USD | (357,750 ) | — | (3,520 ) |
U.S. Long Bond | (17) | 06/2024 | USD | (2,027,250 ) | — | (7,071 ) |
U.S. Long Bond | (12) | 06/2024 | USD | (1,431,000 ) | — | (14,781 ) |
U.S. Treasury 10-Year Note | (32) | 06/2024 | USD | (3,534,000 ) | 65 | — |
U.S. Treasury 10-Year Note | (28) | 06/2024 | USD | (3,092,250 ) | — | (10,050 ) |
U.S. Treasury 10-Year Note | (42) | 06/2024 | USD | (4,638,375 ) | — | (13,071 ) |
U.S. Treasury 2-Year Note | (77) | 06/2024 | USD | (15,765,750 ) | — | (5,026 ) |
U.S. Treasury 2-Year Note | (119) | 06/2024 | USD | (24,365,250 ) | — | (5,610 ) |
U.S. Treasury 5-Year Note | (52) | 06/2024 | USD | (5,559,125 ) | 1,986 | — |
U.S. Treasury 5-Year Note | (10) | 06/2024 | USD | (1,069,063 ) | — | (437 ) |
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | (72) | 06/2024 | USD | (7,697,250 ) | — | (10,626 ) |
U.S. Treasury Ultra 10-Year Note | (30) | 06/2024 | USD | (3,425,156 ) | — | (7,214 ) |
U.S. Treasury Ultra 10-Year Note | (30) | 06/2024 | USD | (3,425,156 ) | — | (17,045 ) |
U.S. Treasury Ultra 10-Year Note | (118) | 06/2024 | USD | (13,472,281 ) | — | (34,317 ) |
U.S. Treasury Ultra Bond | (6) | 06/2024 | USD | (767,250 ) | 95 | — |
U.S. Treasury Ultra Bond | (41) | 06/2024 | USD | (5,242,875 ) | — | (6,132 ) |
U.S. Treasury Ultra Bond | (13) | 06/2024 | USD | (1,662,375 ) | — | (29,965 ) |
Volatility Index | (13) | 03/2024 | USD | (182,114 ) | 18,244 | — |
Volatility Index Mini | (2) | 03/2024 | USD | (2,802 ) | 28 | — |
Wheat | (16) | 05/2024 | USD | (461,000 ) | 11,590 | — |
Wheat | (16) | 07/2024 | USD | (463,400 ) | 15,331 | — |
Wheat | (12) | 07/2024 | USD | (347,550 ) | — | (864 ) |
Wheat | (5) | 09/2024 | USD | (146,688 ) | — | (799 ) |
Wheat | (2) | 12/2024 | USD | (60,075 ) | 4,146 | — |
White Sugar #5 | (5) | 04/2024 | USD | (153,775 ) | 1,865 | — |
White Sugar #5 | (3) | 07/2024 | USD | (90,120 ) | 217 | — |
WTI Crude | (2) | 11/2024 | USD | (146,260 ) | 877 | — |
Zinc | (5) | 06/2024 | USD | (304,094 ) | — | (7,480 ) |
Total | 1,557,357 | (523,642 ) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
SOFR | Fixed rate of 3.520% | Receives Annually, Pays Annually | Citi | 12/20/2053 | USD | 808,000 | 19,541 | — | — | 19,541 | — |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
SOFR | Secured Overnight Financing Rate | 5.310% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $107,999,803, which represents 24.12% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 29, 2024. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $939,169, which represents 0.21% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Zero coupon bond. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 29, 2024. |
(h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(i) | Non-income producing investment. |
(j) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of February 29, 2024. |
(k) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(l) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(m) | Perpetual security with no specified maturity date. |
(n) | Represents a security in default. |
(o) | Principal and interest may not be guaranteed by a governmental entity. |
(p) | Represents a security purchased on a forward commitment basis. |
(q) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $489,169, which represents 0.11% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Abiomed, Inc., CVR | 12/21/2022 | 15,541 | — | 27,197 |
Albireo Pharma, Inc., CVR | 01/09/2023-01/23/2023 | 37,853 | 80,907 | 89,454 |
Cincor Pharma, Inc. | 01/09/2023-02/23/2023 | 44,405 | 135,473 | 149,707 |
Concert Pharmaceuticals, Inc., CVR | 01/19/2023-03/02/2023 | 173,147 | 63,478 | 70,367 |
Resolute Forest Products, Inc. | 07/06/2022-12/29/2022 | 76,222 | 101,179 | 152,444 |
381,037 | 489,169 |
(r) | The stated interest rate represents the weighted average interest rate at February 29, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(s) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(t) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
208,710,318 | 182,191,493 | (252,015,427 ) | (4,379 ) | 138,882,005 | 14,935 | 4,011,104 | 138,909,787 |
BAM | Build America Mutual Assurance Co. |
BNY | Bank of New York |
CMO | Collateralized Mortgage Obligation |
CVR | Contingent Value Rights |
FGIC | Financial Guaranty Insurance Corporation |
FHLMC | Federal Home Loan Mortgage Corporation |
MTA | Monthly Treasury Average |
NIBOR | Norwegian Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 18,445,432 | 450,000 | 18,895,432 |
Commercial Mortgage-Backed Securities - Agency | — | 1,475,821 | — | 1,475,821 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 14,251,556 | — | 14,251,556 |
Common Stocks | ||||
Financials | — | 160,739 | — | 160,739 |
Total Common Stocks | — | 160,739 | — | 160,739 |
Convertible Bonds | — | 4,479,241 | — | 4,479,241 |
Convertible Preferred Stocks | ||||
Utilities | — | 661,976 | — | 661,976 |
Total Convertible Preferred Stocks | — | 661,976 | — | 661,976 |
Corporate Bonds & Notes | — | 98,747,376 | — | 98,747,376 |
Foreign Government Obligations | — | 40,507,500 | — | 40,507,500 |
Municipal Bonds | — | 3,272,841 | — | 3,272,841 |
Residential Mortgage-Backed Securities - Agency | — | 40,479,742 | — | 40,479,742 |
Residential Mortgage-Backed Securities - Non-Agency | — | 49,008,323 | — | 49,008,323 |
Rights | ||||
Health Care | — | — | 336,725 | 336,725 |
Materials | — | — | 152,444 | 152,444 |
Total Rights | — | — | 489,169 | 489,169 |
Senior Loans | — | 754,908 | — | 754,908 |
Treasury Bills | — | 8,386,746 | — | 8,386,746 |
U.S. Treasury Obligations | — | 23,562,627 | — | 23,562,627 |
Money Market Funds | 138,882,005 | — | — | 138,882,005 |
Total Investments in Securities | 138,882,005 | 304,194,828 | 939,169 | 444,016,002 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 1,162,284 | — | 1,162,284 |
Futures Contracts | 6,716,787 | — | — | 6,716,787 |
Swap Contracts | — | 19,541 | — | 19,541 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (799,599 ) | — | (799,599 ) |
Futures Contracts | (1,085,407 ) | — | — | (1,085,407 ) |
Total | 144,513,385 | 304,577,054 | 939,169 | 450,029,608 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $314,907,157) | $305,133,997 |
Affiliated issuers (cost $138,869,823) | 138,882,005 |
Cash | 5,357 |
Foreign currency (cost $93,348) | 93,312 |
Cash collateral held at broker for: | |
Forward foreign currency exchange contracts | 2,350,000 |
Margin deposits on: | |
Futures contracts | 16,221,250 |
Swap contracts | 86,717 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,162,284 |
Receivable for: | |
Investments sold | 2,238,952 |
Investments sold on a delayed delivery basis | 1,043,560 |
Capital shares sold | 414,395 |
Dividends | 602,844 |
Interest | 2,553,378 |
Foreign tax reclaims | 38,369 |
Variation margin for futures contracts | 863,339 |
Prepaid expenses | 3,927 |
Deferred compensation of board members | 103,046 |
Other assets | 12,346 |
Total assets | 471,809,078 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 799,599 |
Payable for: | |
Investments purchased | 2,231,670 |
Investments purchased on a delayed delivery basis | 19,158,409 |
Capital shares redeemed | 1,034,437 |
Variation margin for futures contracts | 605,434 |
Variation margin for swap contracts | 4,080 |
Foreign capital gains taxes deferred | 57 |
Management services fees | 13,468 |
Transfer agent fees | 42,351 |
Compensation of chief compliance officer | 42 |
Compensation of board members | 2,002 |
Other expenses | 34,707 |
Deferred compensation of board members | 125,493 |
Total liabilities | 24,051,749 |
Net assets applicable to outstanding capital stock | $447,757,329 |
Represented by | |
Paid in capital | 531,171,974 |
Total distributable earnings (loss) | (83,414,645 ) |
Total - representing net assets applicable to outstanding capital stock | $447,757,329 |
Institutional Class | |
Net assets | $447,757,329 |
Shares outstanding | 48,682,239 |
Net asset value per share | $9.20 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $51,423 |
Dividends — affiliated issuers | 4,011,104 |
Interest | 7,473,854 |
Interfund lending | 766 |
Foreign taxes withheld | (32,361 ) |
Total income | 11,504,786 |
Expenses: | |
Management services fees | 2,369,190 |
Transfer agent fees | |
Institutional Class | 284,466 |
Custodian fees | 40,029 |
Printing and postage fees | 19,496 |
Registration fees | 20,949 |
Accounting services fees | 25,931 |
Legal fees | 9,811 |
Interest on collateral | 21 |
Compensation of chief compliance officer | 42 |
Compensation of board members | 8,081 |
Deferred compensation of board members | 3,018 |
Other | 31,517 |
Total expenses | 2,812,551 |
Net investment income | 8,692,235 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,249,270 ) |
Investments — affiliated issuers | 14,935 |
Foreign currency translations | (345,828 ) |
Forward foreign currency exchange contracts | (1,956,190 ) |
Futures contracts | (4,890,585 ) |
Net realized loss | (9,426,938 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 5,673,983 |
Investments — affiliated issuers | (4,379 ) |
Foreign currency translations | (16,044 ) |
Forward foreign currency exchange contracts | 564,898 |
Futures contracts | 5,885,044 |
Swap contracts | 23,889 |
Foreign capital gains tax | 1,276 |
Net change in unrealized appreciation (depreciation) | 12,128,667 |
Net realized and unrealized gain | 2,701,729 |
Net increase in net assets resulting from operations | $11,393,964 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $8,692,235 | $14,211,369 |
Net realized loss | (9,426,938 ) | (10,805,469 ) |
Net change in unrealized appreciation (depreciation) | 12,128,667 | 1,677,721 |
Net increase in net assets resulting from operations | 11,393,964 | 5,083,621 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (10,963,938 ) | (37,236,968 ) |
Total distributions to shareholders | (10,963,938 ) | (37,236,968 ) |
Increase (decrease) in net assets from capital stock activity | 8,912,685 | (63,800,915 ) |
Total increase (decrease) in net assets | 9,342,711 | (95,954,262 ) |
Net assets at beginning of period | 438,414,618 | 534,368,880 |
Net assets at end of period | $447,757,329 | $438,414,618 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Shares sold | 5,313,799 | 48,568,380 | 10,253,167 | 95,719,139 |
Distributions reinvested | 1,215,514 | 10,963,938 | 4,119,134 | 37,236,968 |
Shares redeemed | (5,536,549 ) | (50,619,633 ) | (21,241,847 ) | (196,757,022 ) |
Net increase (decrease) | 992,764 | 8,912,685 | (6,869,546 ) | (63,800,915 ) |
Total net increase (decrease) | 992,764 | 8,912,685 | (6,869,546 ) | (63,800,915 ) |
Institutional Class | Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Per share data | ||||||
Net asset value, beginning of period | $9.19 | $9.79 | $9.68 | $9.38 | $9.36 | $9.08 |
Income (loss) from investment operations: | ||||||
Net investment income | 0.18 | 0.26 (a) | 0.05 | 0.02 | 0.08 | 0.22 |
Net realized and unrealized gain (loss) | 0.07 | (0.16 ) | 0.20 | 0.36 | 0.13 | 0.19 |
Total from investment operations | 0.25 | 0.10 | 0.25 | 0.38 | 0.21 | 0.41 |
Distributions to shareholders | ||||||
Distributions from net investment income | (0.24 ) | (0.67 ) | (0.14 ) | (0.08 ) | (0.19 ) | (0.13 ) |
Distributions from net realized gains | — | (0.03 ) | — | — | — | — |
Total distributions to shareholders | (0.24 ) | (0.70 ) | (0.14 ) | (0.08 ) | (0.19 ) | (0.13 ) |
Net asset value, end of period | $9.20 | $9.19 | $9.79 | $9.68 | $9.38 | $9.36 |
Total return | 2.73 % | 1.14 % | 2.60 % | 4.12 % | 2.34 % | 4.62 % |
Ratios to average net assets | ||||||
Total gross expenses(b) | 1.31 %(c),(d) | 1.31 %(c),(d) | 1.31 %(c),(d) | 1.36 %(c),(d) | 1.39 %(c) | 1.27 %(c) |
Total net expenses(b),(e) | 1.31 %(c),(d) | 1.31 %(c),(d) | 1.31 %(c),(d) | 1.36 %(c),(d) | 1.39 %(c) | 1.27 %(c) |
Net investment income | 4.04 % | 2.75 %(a) | 0.47 % | 0.23 % | 0.91 % | 2.43 % |
Supplemental data | ||||||
Net assets, end of period (in thousands) | $447,757 | $438,415 | $534,369 | $524,920 | $480,367 | $502,726 |
Portfolio turnover | 79 % | 200 % | 171 % | 203 % | 188 % | 226 % |
Notes to Consolidated Financial Highlights | |
(a) | Includes income resulting from special dividends. The effect of these amounted to: |
Class | Net investment income per share | Net investment income ratio |
Year Ended 8/31/2023 | ||
Institutional Class | 0.01 | 0.08% |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Ratios include dividends and interest on securities sold short. If dividends and interest on securities sold short had been excluded, annualized expenses would have been lower by: |
Class | 2/29/2024 | 8/31/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 |
Institutional Class | —% | 0.03% | 0.04% | 0.10% | 0.10% | —% |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
ASGM Offshore Fund, Ltd. | ASMF Offshore Fund, Ltd. | |
% of consolidated fund net assets | 1.40 % | 2.45 % |
Net assets | $6,269,724 | $10,951,972 |
Net investment income (loss) | 107,483 | 221,963 |
Net realized gain (loss) | (520,576 ) | (512,216 ) |
Net change in unrealized appreciation (depreciation) | 388,520 | (159,424 ) |
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 4,556,672 * |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 1,162,284 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 426,500 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 509,418 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 19,541 * |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,224,197 * |
Total | 7,898,612 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 44,784 * |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 799,599 |
Foreign exchange risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 77,738 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 404,239 * |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 558,646 * |
Total | 1,885,006 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Total ($) |
Commodity-related investment risk | — | (1,016,085 ) | (1,016,085 ) |
Equity risk | — | 809,662 | 809,662 |
Foreign exchange risk | (1,956,190 ) | (1,979,308 ) | (3,935,498 ) |
Interest rate risk | — | (2,704,854 ) | (2,704,854 ) |
Total | (1,956,190 ) | (4,890,585 ) | (6,846,775 ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 213,974 | — | 213,974 |
Equity risk | — | 4,177,323 | — | 4,177,323 |
Foreign exchange risk | 564,898 | 335,734 | — | 900,632 |
Interest rate risk | — | 1,158,013 | 23,889 | 1,181,902 |
Total | 564,898 | 5,885,044 | 23,889 | 6,473,831 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 200,633,365 |
Futures contracts — short | 310,382,613 |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 1,896,729 | (2,113,139 ) |
Interest rate swap contracts | 36,602 | (4,045 ) |
Barclays ($) | BNY Captial Markets ($) | CIBC ($) | Citi ($)(a) | Citi ($)(a) | Citi ($)(a) | Goldman Sachs ($) | HSBC ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($) | RBC Capital Markets ($) | Standard Chartered ($) | State Street ($) | TD Securities ($) | UBS ($) | Total ($) | |
Assets | |||||||||||||||||
Forward foreign currency exchange contracts | 45,862 | 260 | 13,649 | 1,199 | 118,965 | - | 8,298 | 81,845 | 561,212 | 86,190 | 111,367 | 10,322 | 1,033 | 104,140 | 410 | 17,532 | 1,162,284 |
Liabilities | |||||||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | 4,080 | - | - | - | - | - | - | - | - | - | - | 4,080 |
Forward foreign currency exchange contracts | 11,995 | 6,402 | 9,210 | 3 | 88,909 | - | 36,501 | 19,815 | 496,205 | 56,053 | 21,011 | 6,891 | - | 38,442 | - | 8,162 | 799,599 |
Total liabilities | 11,995 | 6,402 | 9,210 | 3 | 88,909 | 4,080 | 36,501 | 19,815 | 496,205 | 56,053 | 21,011 | 6,891 | - | 38,442 | - | 8,162 | 803,679 |
Total financial and derivative net assets | 33,867 | (6,142 ) | 4,439 | 1,196 | 30,056 | (4,080 ) | (28,203 ) | 62,030 | 65,007 | 30,137 | 90,356 | 3,431 | 1,033 | 65,698 | 410 | 9,370 | 358,605 |
Total collateral received (pledged) (c) | - | - | - | - | - | (4,080 ) | - | - | - | - | - | - | - | - | - | - | (4,080 ) |
Net amount (d) | 33,867 | (6,142 ) | 4,439 | 1,196 | 30,056 | - | (28,203 ) | 62,030 | 65,007 | 30,137 | 90,356 | 3,431 | 1,033 | 65,698 | 410 | 9,370 | 362,685 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin on the Statement of Assets and Liabilities. |
(c) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(d) | Represents the net amount due from/(to) counterparties in the event of default. |
Effective rate (%) | |
Institutional Class | 0.13 |
Fee rate(s) contractual through December 31, 2024 | |
Institutional Class | 1.37 % |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
453,777,000 | 11,413,000 | (15,160,000 ) | (3,747,000 ) |
Late year ordinary losses ($) | Post-October capital losses ($) |
1,770,217 | 16,465,087 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,350,000 | 5.86 | 2 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 10.75 | 22.99 | 10.09 | 8.17 |
Including sales charges | 4.39 | 15.93 | 8.80 | 7.53 | ||
Advisor Class | 11/08/12 | 10.91 | 23.30 | 10.37 | 8.45 | |
Class C | Excluding sales charges | 10/13/03 | 10.33 | 22.04 | 9.27 | 7.37 |
Including sales charges | 9.33 | 21.04 | 9.27 | 7.37 | ||
Institutional Class | 10/01/91 | 10.89 | 23.27 | 10.37 | 8.44 | |
Institutional 2 Class | 03/07/11 | 10.92 | 23.35 | 10.42 | 8.52 | |
Institutional 3 Class | 11/08/12 | 10.95 | 23.39 | 10.47 | 8.57 | |
Class R | 09/27/10 | 10.61 | 22.69 | 9.82 | 7.91 | |
Blended Benchmark | 9.24 | 19.03 | 9.22 | 8.32 | ||
S&P 500 Index | 13.93 | 30.45 | 14.76 | 12.70 | ||
Bloomberg U.S. Aggregate Bond Index | 2.35 | 3.33 | 0.56 | 1.43 |
Portfolio breakdown (%) (at February 29, 2024) | |
Asset-Backed Securities — Non-Agency | 5.6 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.8 |
Common Stocks | 54.1 |
Convertible Bonds | 0.0 (a) |
Corporate Bonds & Notes | 6.3 |
Exchange-Traded Equity Funds | 1.6 |
Foreign Government Obligations | 0.0 (a) |
Money Market Funds | 9.8 |
Residential Mortgage-Backed Securities - Agency | 11.5 |
Residential Mortgage-Backed Securities - Non-Agency | 8.0 |
Senior Loans | 0.0 (a) |
U.S. Treasury Obligations | 0.3 |
Total | 100.0 |
(a) | Rounds to zero. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,107.50 | 1,020.24 | 4.87 | 4.67 | 0.93 |
Advisor Class | 1,000.00 | 1,000.00 | 1,109.10 | 1,021.48 | 3.57 | 3.42 | 0.68 |
Class C | 1,000.00 | 1,000.00 | 1,103.30 | 1,016.51 | 8.79 | 8.42 | 1.68 |
Institutional Class | 1,000.00 | 1,000.00 | 1,108.90 | 1,021.48 | 3.57 | 3.42 | 0.68 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,109.20 | 1,021.68 | 3.36 | 3.22 | 0.64 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,109.50 | 1,021.93 | 3.09 | 2.97 | 0.59 |
Class R | 1,000.00 | 1,000.00 | 1,106.10 | 1,019.00 | 6.18 | 5.92 | 1.18 |
Asset-Backed Securities — Non-Agency 6.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACHV ABS Trust(a) | ||||
Series 2023-3PL Class A | ||||
08/19/2030 | 6.600% | 1,301,751 | 1,301,939 | |
ACHV ABS TRUST(a) | ||||
Subordinated Series 2023-3PL Class B | ||||
08/19/2030 | 7.170% | 2,550,000 | 2,564,226 | |
Affirm Asset Securitization Trust(a) | ||||
Series 2022-A Class 1A | ||||
05/17/2027 | 4.300% | 4,225,000 | 4,192,136 | |
Series 2023-B Class A | ||||
09/15/2028 | 6.820% | 8,400,000 | 8,513,550 | |
Series 2023-X1 Class A | ||||
11/15/2028 | 7.110% | 4,818,807 | 4,831,680 | |
Series 2024-A Class A | ||||
02/15/2029 | 5.610% | 10,200,000 | 10,187,883 | |
Subordinated Series 2023-B Class 1C | ||||
09/15/2028 | 7.810% | 2,000,000 | 2,049,512 | |
ALM Ltd.(a),(b) | ||||
Series 2022-20A Class A2 | ||||
3-month Term SOFR + 2.000% Floor 2.000% 07/15/2037 | 7.314% | 8,450,000 | 8,435,931 | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2021-2 Class E | ||||
07/13/2027 | 2.540% | 3,850,000 | 3,723,472 | |
Subordinated Series 2022-2 Class C | ||||
06/13/2028 | 4.410% | 2,713,719 | 2,701,864 | |
Subordinated Series 2023-3 Class C | ||||
10/12/2029 | 6.440% | 10,050,000 | 10,056,919 | |
Apidos CLO XI(a),(b) | ||||
Series 2012-11A Class BR3 | ||||
3-month Term SOFR + 1.912% Floor 1.650% 04/17/2034 | 7.228% | 12,575,000 | 12,576,333 | |
Apidos CLO XXVIII(a),(b) | ||||
Series 2017-28A Class A1B | ||||
3-month Term SOFR + 1.412% Floor 1.150% 01/20/2031 | 6.729% | 5,925,000 | 5,918,287 | |
Aqua Finance Trust(a) | ||||
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 2,778,569 | 2,480,269 | |
ARES XLVII CLO Ltd.(a),(b) | ||||
Series 2018-47A Class B | ||||
3-month Term SOFR + 1.712% Floor 1.450% 04/15/2030 | 7.026% | 3,450,000 | 3,450,362 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Avant Loans Funding Trust(a) | ||||
Subordinated Series 2021-REV1 Class C | ||||
07/15/2030 | 2.300% | 2,100,000 | 2,040,672 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-7A Class B | ||||
3-month Term SOFR + 1.912% Floor 1.650% 01/22/2035 | 7.229% | 15,750,000 | 15,749,921 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A1 | ||||
3-month Term SOFR + 1.262% 04/20/2031 | 6.579% | 2,453,116 | 2,454,364 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2018-4A Class B | ||||
3-month Term SOFR + 1.962% Floor 1.700% 10/15/2030 | 7.276% | 22,000,000 | 22,010,054 | |
Basswood Park CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month Term SOFR + 1.262% Floor 1.000% 04/20/2034 | 6.579% | 6,725,000 | 6,675,101 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month Term SOFR + 1.402% Floor 1.140% 01/20/2031 | 6.719% | 9,712,984 | 9,723,610 | |
Carlyle CLO Ltd.(a),(b) | ||||
Series C17A Class CR | ||||
3-month Term SOFR + 3.062% Floor 2.800% 04/30/2031 | 8.379% | 1,925,000 | 1,906,316 | |
Carlyle Group LP(a),(b) | ||||
Series 2017-5A Class A2 | ||||
3-month Term SOFR + 1.662% 01/20/2030 | 6.979% | 2,000,000 | 1,996,408 | |
Carmax Auto Owner Trust | ||||
Subordinated Series 2021-1 Class C | ||||
12/15/2026 | 0.940% | 1,650,000 | 1,551,142 | |
Cascade Funding Mortgage Trust(a) | ||||
CMO Series 2021-GRN1 Class A | ||||
03/20/2041 | 1.100% | 7,024,040 | 6,655,041 | |
Drive Auto Receivables Trust | ||||
Subordinated Series 2020-2 Class D | ||||
05/15/2028 | 3.050% | 1,227,031 | 1,215,309 | |
Subordinated Series 2021-2 Class D | ||||
03/15/2029 | 1.390% | 22,110,000 | 21,079,132 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2018-55A Class A1 | ||||
3-month Term SOFR + 1.282% 04/15/2031 | 6.596% | 7,912,465 | 7,915,994 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2016-42A Class BR | ||||
3-month Term SOFR + 1.812% Floor 1.550% 07/15/2030 | 7.126% | 6,025,000 | 6,025,542 | |
DT Auto Owner Trust(a) | ||||
Series 2020-2A Class D | ||||
03/16/2026 | 4.730% | 2,745,514 | 2,735,093 | |
Subordinated Series 2020-1A Class D | ||||
11/17/2025 | 2.550% | 3,244,252 | 3,217,139 | |
Subordinated Series 2020-3A Class D | ||||
06/15/2026 | 1.840% | 6,125,000 | 5,949,266 | |
Ent Auto Receivables Trust(a) | ||||
Series 2023-1A Class A2 | ||||
08/16/2027 | 6.220% | 8,353,046 | 8,376,449 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2019-4A Class D | ||||
09/15/2025 | 2.580% | 1,786,175 | 1,771,659 | |
Subordinated Series 2020-1A Class D | ||||
12/15/2025 | 2.730% | 2,024,181 | 2,001,545 | |
Subordinated Series 2020-2A Class D | ||||
04/15/2026 | 4.730% | 758,810 | 755,926 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 1,568,602 | 1,553,364 | |
Subordinated Series 2021-1A Class D | ||||
11/16/2026 | 1.080% | 6,831,301 | 6,643,754 | |
Subordinated Series 2021-3A Class D | ||||
06/15/2027 | 1.550% | 27,330,000 | 25,735,259 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2021-2 Class A | ||||
05/15/2034 | 1.530% | 15,305,000 | 14,009,110 | |
Series 2022-1 Class A | ||||
11/15/2034 | 3.880% | 21,500,000 | 20,749,669 | |
Foundation Finance Trust(a) | ||||
Series 2019-1A Class A | ||||
11/15/2034 | 3.860% | 231,405 | 229,955 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-1 Class D | ||||
03/15/2027 | 1.320% | 5,075,000 | 4,976,290 | |
Freed ABS Trust(a) | ||||
Subordinated Series 2021-1CP Class C | ||||
03/20/2028 | 2.830% | 62,080 | 61,914 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
FREED ABS Trust(a) | ||||
Subordinated Series 2022-3FP Class B | ||||
08/20/2029 | 5.790% | 585,828 | 585,632 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2019-4A Class C | ||||
08/15/2025 | 3.060% | 440,514 | 439,829 | |
Subordinated Series 2020-1A Class C | ||||
11/17/2025 | 2.720% | 689,117 | 688,111 | |
GoldenTree Loan Management US CLO Ltd.(a),(b) | ||||
Series 2024-19A Class A | ||||
3-month Term SOFR + 1.500% Floor 1.500% 04/20/2037 | 6.821% | 17,000,000 | 16,996,753 | |
GoldentTree Loan Management US CLO 1 Ltd.(a),(b) | ||||
Series 2021-10A Class A | ||||
3-month Term SOFR + 1.362% Floor 1.100% 07/20/2034 | 6.679% | 9,175,000 | 9,179,652 | |
Hertz Vehicle Financing LLC(a) | ||||
Series 2021-1A Class A | ||||
12/26/2025 | 1.210% | 9,606,000 | 9,349,365 | |
Hilton Grand Vacations Trust(a) | ||||
Series 2018-AA Class A | ||||
02/25/2032 | 3.540% | 694,341 | 674,794 | |
Series 2019-AA Class A | ||||
07/25/2033 | 2.340% | 1,690,642 | 1,594,983 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2020-REV1 Class B | ||||
10/15/2028 | 4.494% | 5,251,572 | 5,226,755 | |
LL ABS Trust(a) | ||||
Series 2021-1A Class A | ||||
05/15/2029 | 1.070% | 200,668 | 199,582 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month Term SOFR + 1.412% Floor 1.150% 04/19/2033 | 6.721% | 3,025,000 | 3,029,541 | |
Madison Park Funding XXXIII Ltd.(a),(b) | ||||
Series 2019-33A Class BR | ||||
3-month Term SOFR + 1.800% Floor 1.800% 10/15/2032 | 7.114% | 16,325,000 | 16,311,287 | |
Magnetite XII Ltd.(a),(b) | ||||
Series 2015-12A Class ARR | ||||
3-month Term SOFR + 1.362% Floor 1.100% 10/15/2031 | 6.676% | 13,708,192 | 13,719,720 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 39 Ltd.(a),(b) | ||||
Series 2018-3A Class B | ||||
3-month Term SOFR + 2.112% Floor 1.650% 10/20/2030 | 7.429% | 22,575,000 | 22,584,843 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2020-6A Class AR | ||||
3-month Term SOFR + 1.402% Floor 1.140% 07/20/2034 | 6.719% | 16,150,000 | 16,155,313 | |
Series 2021-8A Class A | ||||
3-month Term SOFR + 1.452% Floor 1.190% 01/18/2034 | 6.750% | 4,025,000 | 4,027,238 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2023-2A Class A1 | ||||
09/15/2036 | 5.840% | 22,150,000 | 22,310,669 | |
Oportun Issuance Trust(a) | ||||
Series 2024-1A Class A | ||||
04/08/2031 | 6.334% | 4,100,000 | 4,102,550 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-5 Class A | ||||
08/15/2029 | 1.530% | 24,460 | 24,410 | |
Series 2021-HG1 Class A | ||||
01/16/2029 | 1.220% | 2,118,442 | 2,068,407 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 9,130,623 | 9,011,209 | |
Series 2022-2 Class A | ||||
01/15/2030 | 4.970% | 617,699 | 614,237 | |
Series 2023-1 Class A | ||||
07/15/2030 | 7.556% | 6,677,828 | 6,700,251 | |
Series 2023-5 Class A | ||||
04/15/2031 | 7.179% | 8,144,361 | 8,167,354 | |
Series 2023-8 Class A | ||||
06/16/2031 | 7.299% | 2,125,000 | 2,141,146 | |
Series 2024-1 Class A | ||||
07/15/2031 | 6.660% | 4,050,000 | 4,060,102 | |
Series 2024-2 Class A | ||||
08/15/2031 | 6.319% | 3,600,000 | 3,604,535 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 4,324,428 | 4,202,845 | |
Pagaya AI Debt Trust(a),(c) | ||||
Subordinated Series 2023-7 Class AB | ||||
07/15/2031 | 7.342% | 7,643,769 | 7,660,935 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2021-4A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 10/15/2029 | 7.326% | 10,000,000 | 9,933,100 | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2023-1A Class A | ||||
07/16/2029 | 7.060% | 3,658,320 | 3,675,490 | |
Race Point IX CLO Ltd.(a),(b) | ||||
Series 2015-9A Class A2R | ||||
3-month Term SOFR + 0.712% Floor 1.450% 10/15/2030 | 6.026% | 12,200,000 | 12,179,748 | |
Redding Ridge Asset Management Ltd.(a),(b) | ||||
Series 2018-4A Class A2 | ||||
3-month Term SOFR + 1.812% 04/15/2030 | 7.126% | 3,000,000 | 2,999,925 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 3,089,551 | 2,807,038 | |
Santander Consumer Auto Receivables Trust(a) | ||||
Subordinated Series 2021-AA Class C | ||||
11/16/2026 | 1.030% | 1,275,000 | 1,203,123 | |
Subordinated Series 2021-AA Class D | ||||
01/15/2027 | 1.570% | 1,050,000 | 979,957 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 1,568,468 | 1,553,448 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2020-1A Class C | ||||
08/21/2028 | 2.600% | 4,850,000 | 4,739,004 | |
Theorem Funding Trust(a) | ||||
Series 2023-1A Class A | ||||
04/15/2029 | 7.580% | 2,163,810 | 2,181,481 | |
Subordinated Series 2021-1A Class B | ||||
12/15/2027 | 1.840% | 1,210,087 | 1,208,205 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST10 Class A | ||||
01/20/2030 | 2.250% | 5,305,310 | 5,184,658 | |
Series 2021-ST2 Class A | ||||
04/20/2027 | 2.500% | 333,417 | 324,868 | |
Series 2021-ST7 Class A | ||||
09/20/2029 | 1.850% | 148,568 | 148,205 | |
Series 2021-ST9 Class A | ||||
11/20/2029 | 1.700% | 521,112 | 513,869 | |
Upstart Securitization Trust(a) | ||||
Series 2020-2 Class A | ||||
11/20/2030 | 2.309% | 374,659 | 373,892 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-2 Class B | ||||
06/20/2031 | 1.750% | 213,329 | 212,828 | |
Subordinated Series 2021-3 Class B | ||||
07/20/2031 | 1.660% | 1,113,734 | 1,104,569 | |
Upstart Structured Pass-Through Trust(a) | ||||
Series 2022-1A Class A | ||||
04/15/2030 | 3.400% | 3,180,921 | 3,124,485 | |
VSE Voi Mortgage LLC(a) | ||||
Series 2018-A Class A | ||||
02/20/2036 | 3.560% | 804,885 | 788,927 | |
Westlake Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-3 Class C | ||||
01/15/2027 | 1.580% | 12,396,000 | 12,096,893 | |
Westlake Flooring Master Trust(a) | ||||
Series 2024-1A Class A | ||||
02/15/2028 | 5.430% | 5,125,000 | 5,127,651 | |
Total Asset-Backed Securities — Non-Agency (Cost $559,569,654) | 556,642,773 | |||
Commercial Mortgage-Backed Securities - Non-Agency 3.1% | ||||
AMSR Trust(a) | ||||
Subordinated Series 2020-SFR2 Class C | ||||
07/17/2037 | 2.533% | 2,799,000 | 2,656,684 | |
Ashford Hospitality Trust(a),(b) | ||||
Series 2018-KEYS Class B | ||||
1-month Term SOFR + 1.497% Floor 1.450% 05/15/2035 | 6.815% | 16,800,000 | 16,479,490 | |
BBCMS Trust(a),(b) | ||||
Subordinated Series 2018-BXH Class C | ||||
1-month Term SOFR + 1.614% Floor 1.500% 10/15/2037 | 6.932% | 3,558,358 | 3,492,240 | |
BB-UBS Trust(a) | ||||
Series 2012-SHOW Class A | ||||
11/05/2036 | 3.430% | 8,475,000 | 8,161,712 | |
BHMS Mortgage Trust(a),(b) | ||||
Series 2018-ATLS Class A | ||||
1-month Term SOFR + 1.547% Floor 1.250% 07/15/2035 | 6.615% | 14,823,000 | 14,718,988 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class C | ||||
1-month Term SOFR + 1.364% Floor 1.250% 10/15/2036 | 6.682% | 4,458,385 | 4,450,026 | |
BX Mortgage Trust(a),(b) | ||||
Series 2021-PAC Class D | ||||
1-month Term SOFR + 1.412% Floor 1.298% 10/15/2036 | 6.731% | 14,175,000 | 13,767,340 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Trust(a) | ||||
Series 2023-LIFE Class A | ||||
02/15/2028 | 5.045% | 7,225,000 | 7,057,864 | |
BX Trust(a),(b) | ||||
Subordinated Series 2019-ATL Class C | ||||
1-month Term SOFR + 1.700% Floor 1.587% 10/15/2036 | 7.019% | 4,422,000 | 4,377,778 | |
Subordinated Series 2019-ATL Class D | ||||
1-month Term SOFR + 2.001% Floor 1.887% 10/15/2036 | 7.319% | 3,895,000 | 3,787,884 | |
COMM Mortgage Trust(a),(c) | ||||
Subordinated Series 2020-CBM Class D | ||||
02/10/2037 | 3.633% | 2,925,000 | 2,763,173 | |
COMM Mortgage Trust(a) | ||||
Subordinated Series 2020-CX Class B | ||||
11/10/2046 | 2.446% | 3,275,000 | 2,613,213 | |
FirstKey Homes Trust(a) | ||||
Subordinated Series 2020-SFR1 Class D | ||||
08/17/2037 | 2.241% | 4,225,000 | 3,967,845 | |
Subordinated Series 2020-SFR2 Class D | ||||
10/19/2037 | 1.968% | 18,600,000 | 17,268,528 | |
GS Mortgage Securities Corp. II(a),(c) | ||||
Series 2023-SHIP Class A | ||||
09/10/2038 | 4.322% | 6,825,000 | 6,600,194 | |
GS Mortgage Securities Corp. Trust(a) | ||||
Series 2017-485L Class A | ||||
02/10/2037 | 3.721% | 3,835,000 | 3,473,426 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Subordinated CMO Series 2021-IP Class D | ||||
1-month Term SOFR + 2.214% Floor 2.100% 10/15/2036 | 7.532% | 5,425,000 | 5,213,280 | |
Home Partners of America Trust(a) | ||||
Subordinated Series 2019-2 Class D | ||||
10/19/2039 | 3.121% | 6,389,725 | 5,725,445 | |
Subordinated Series 2021-2 Class B | ||||
12/17/2026 | 2.302% | 40,972,086 | 37,283,144 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2021-2NU Class C | ||||
01/05/2040 | 2.077% | 1,500,000 | 1,132,461 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2017-C34 Class A3 | ||||
11/15/2052 | 3.276% | 14,135,000 | 13,168,180 | |
Morgan Stanley Capital I Trust(a),(c) | ||||
Series 2019-MEAD Class D | ||||
11/10/2036 | 3.283% | 7,392,500 | 6,427,754 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
One New York Plaza Trust(a),(b) | ||||
Subordinated Series 2020-1NYP Class C | ||||
1-month Term SOFR + 2.314% Floor 2.200% 01/15/2036 | 7.632% | 6,950,000 | 6,356,956 | |
Subordinated Series 2020-1NYP Class D | ||||
1-month Term SOFR + 2.864% Floor 2.750% 01/15/2036 | 8.182% | 2,600,000 | 2,127,365 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class C | ||||
04/17/2037 | 2.183% | 2,075,000 | 1,985,665 | |
Series 2020-SFR1 Class D | ||||
04/17/2037 | 2.383% | 4,200,000 | 4,014,782 | |
Series 2024-SFR1 Class A | ||||
02/17/2041 | 3.350% | 9,585,000 | 8,814,962 | |
Subordinated Series 2020-SFR2 Class C | ||||
06/17/2037 | 3.077% | 600,000 | 577,098 | |
Subordinated Series 2020-SFR2 Class D | ||||
06/17/2037 | 3.874% | 775,000 | 749,984 | |
Subordinated Series 2021-SFR8 Class D | ||||
10/17/2038 | 2.082% | 11,910,000 | 10,707,076 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-555 Class E | ||||
1-month Term SOFR + 3.014% Floor 2.900% 05/15/2038 | 8.332% | 3,025,000 | 2,379,893 | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 6.868% | 21,925,000 | 21,541,166 | |
STAR Trust(a),(b) | ||||
Subordinated Series 2022-SFR3 Class B | ||||
1-month Term SOFR + 1.950% Floor 1.950% 05/17/2024 | 7.268% | 12,100,000 | 12,082,213 | |
Tricon American Homes(a) | ||||
Series 2020-SFR1 Class C | ||||
07/17/2038 | 2.249% | 4,100,000 | 3,780,582 | |
Tricon American Homes Trust(a) | ||||
Subordinated Series 2020-SFR2 Class D | ||||
11/17/2039 | 2.281% | 6,775,000 | 5,965,544 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-C28 Class A3 | ||||
05/15/2048 | 3.290% | 6,512,659 | 6,403,390 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Series 2021-FCMT Class D | ||||
1-month Term SOFR + 3.614% Floor 3.500% 05/15/2031 | 8.932% | 3,925,000 | 3,618,257 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $294,848,123) | 275,691,582 |
Common Stocks 60.5% | ||
Issuer | Shares | Value ($) |
Communication Services 7.0% | ||
Entertainment 0.8% | ||
Endeavor Group Holdings, Inc., Class A | 1,377,031 | 33,117,596 |
Take-Two Interactive Software, Inc.(d) | 271,065 | 39,827,580 |
Total | 72,945,176 | |
Interactive Media & Services 5.3% | ||
Alphabet, Inc., Class A(d) | 787,618 | 109,053,588 |
Alphabet, Inc., Class C(d) | 693,816 | 96,981,600 |
Match Group, Inc.(d) | 596,337 | 21,491,985 |
Meta Platforms, Inc., Class A | 401,735 | 196,902,376 |
Pinterest, Inc., Class A(d) | 1,134,438 | 41,633,875 |
Total | 466,063,424 | |
Media 0.3% | ||
Comcast Corp., Class A | 512,993 | 21,981,750 |
Wireless Telecommunication Services 0.6% | ||
T-Mobile US, Inc. | 344,815 | 56,308,290 |
Total Communication Services | 617,298,640 | |
Consumer Discretionary 5.6% | ||
Automobiles 0.3% | ||
Tesla, Inc.(d) | 129,610 | 26,165,667 |
Broadline Retail 3.4% | ||
Amazon.com, Inc.(d) | 1,466,853 | 259,280,936 |
eBay, Inc. | 942,378 | 44,555,632 |
Total | 303,836,568 | |
Hotels, Restaurants & Leisure 0.5% | ||
Las Vegas Sands Corp. | 806,723 | 43,982,538 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Textiles, Apparel & Luxury Goods 1.4% | ||
NIKE, Inc., Class B | 654,792 | 68,052,533 |
Tapestry, Inc. | 1,098,055 | 52,190,554 |
Total | 120,243,087 | |
Total Consumer Discretionary | 494,227,860 | |
Consumer Staples 3.5% | ||
Consumer Staples Distribution & Retail 1.9% | ||
Dollar Tree, Inc.(d) | 202,736 | 29,737,316 |
Sysco Corp. | 776,370 | 62,862,679 |
Walmart, Inc. | 1,271,391 | 74,516,227 |
Total | 167,116,222 | |
Food Products 0.4% | ||
Mondelez International, Inc., Class A | 520,257 | 38,015,179 |
Household Products 0.8% | ||
Procter & Gamble Co. (The) | 455,985 | 72,474,256 |
Personal Care Products 0.4% | ||
Coty, Inc., Class A(d) | 2,798,198 | 35,145,367 |
Total Consumer Staples | 312,751,024 | |
Energy 2.3% | ||
Oil, Gas & Consumable Fuels 2.3% | ||
Canadian Natural Resources Ltd. | 863,931 | 60,207,351 |
Chevron Corp. | 620,759 | 94,361,576 |
EOG Resources, Inc. | 411,488 | 47,098,916 |
Total | 201,667,843 | |
Total Energy | 201,667,843 | |
Financials 8.0% | ||
Banks 2.7% | ||
Bank of America Corp. | 2,161,307 | 74,608,318 |
JPMorgan Chase & Co. | 511,631 | 95,194,064 |
Wells Fargo & Co. | 1,262,160 | 70,163,474 |
Total | 239,965,856 | |
Capital Markets 1.7% | ||
BlackRock, Inc. | 103,024 | 83,587,492 |
Charles Schwab Corp. (The) | 579,550 | 38,702,349 |
S&P Global, Inc. | 76,194 | 32,639,986 |
Total | 154,929,827 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Finance 0.5% | ||
American Express Co. | 199,719 | 43,822,343 |
Financial Services 2.7% | ||
Berkshire Hathaway, Inc., Class B(d) | 67,638 | 27,690,997 |
Block, Inc., Class A(d) | 494,899 | 39,329,623 |
MasterCard, Inc., Class A | 173,080 | 82,171,461 |
Visa, Inc., Class A | 323,037 | 91,303,178 |
Total | 240,495,259 | |
Insurance 0.4% | ||
Aon PLC, Class A | 99,271 | 31,368,643 |
Total Financials | 710,581,928 | |
Health Care 7.1% | ||
Biotechnology 2.0% | ||
AbbVie, Inc. | 544,590 | 95,875,069 |
BioMarin Pharmaceutical, Inc.(d) | 410,518 | 35,419,493 |
Vertex Pharmaceuticals, Inc.(d) | 102,031 | 42,928,523 |
Total | 174,223,085 | |
Health Care Equipment & Supplies 1.5% | ||
Abbott Laboratories | 373,539 | 44,316,667 |
Becton Dickinson & Co. | 210,718 | 49,634,625 |
Boston Scientific Corp.(d) | 578,885 | 38,327,976 |
Total | 132,279,268 | |
Health Care Providers & Services 1.1% | ||
Elevance Health, Inc. | 199,547 | 100,022,934 |
Life Sciences Tools & Services 1.3% | ||
IQVIA Holdings, Inc.(d) | 89,998 | 22,243,906 |
Thermo Fisher Scientific, Inc. | 163,420 | 93,178,815 |
Total | 115,422,721 | |
Pharmaceuticals 1.2% | ||
Eli Lilly & Co. | 94,588 | 71,289,084 |
Pfizer, Inc. | 1,453,466 | 38,604,057 |
Total | 109,893,141 | |
Total Health Care | 631,841,149 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 6.6% | ||
Aerospace & Defense 1.2% | ||
L3Harris Technologies, Inc. | 223,681 | 47,344,321 |
RTX Corp. | 663,335 | 59,481,249 |
Total | 106,825,570 | |
Air Freight & Logistics 0.7% | ||
United Parcel Service, Inc., Class B | 429,729 | 63,711,622 |
Electrical Equipment 0.8% | ||
Emerson Electric Co. | 632,159 | 67,546,189 |
Ground Transportation 1.4% | ||
Uber Technologies, Inc.(d) | 561,262 | 44,620,329 |
Union Pacific Corp. | 323,615 | 82,097,889 |
Total | 126,718,218 | |
Industrial Conglomerates 1.5% | ||
General Electric Co. | 382,250 | 59,971,203 |
Honeywell International, Inc. | 351,656 | 69,884,597 |
Total | 129,855,800 | |
Machinery 0.8% | ||
Parker-Hannifin Corp. | 138,067 | 73,927,975 |
Passenger Airlines 0.2% | ||
United Airlines Holdings, Inc.(d) | 482,823 | 21,963,618 |
Total Industrials | 590,548,992 | |
Information Technology 17.8% | ||
Electronic Equipment, Instruments & Components 0.6% | ||
TE Connectivity Ltd. | 380,204 | 54,582,086 |
IT Services 0.9% | ||
Accenture PLC, Class A | 132,818 | 49,777,530 |
International Business Machines Corp. | 146,538 | 27,113,926 |
Total | 76,891,456 | |
Semiconductors & Semiconductor Equipment 6.3% | ||
Advanced Micro Devices, Inc.(d) | 239,673 | 46,144,243 |
Entegris, Inc. | 267,550 | 35,948,018 |
Lam Research Corp. | 77,831 | 73,024,936 |
Marvell Technology, Inc. | 165,763 | 11,878,576 |
NVIDIA Corp. | 363,417 | 287,506,457 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
ON Semiconductor Corp.(d) | 464,736 | 36,676,965 |
QUALCOMM, Inc. | 446,257 | 70,414,892 |
Total | 561,594,087 | |
Software 6.1% | ||
Adobe, Inc.(d) | 85,934 | 48,147,101 |
Intuit, Inc. | 82,045 | 54,386,810 |
Microsoft Corp. | 980,200 | 405,449,928 |
Palo Alto Networks, Inc.(d) | 107,943 | 33,521,699 |
Total | 541,505,538 | |
Technology Hardware, Storage & Peripherals 3.9% | ||
Apple, Inc. | 1,937,902 | 350,275,787 |
Total Information Technology | 1,584,848,954 | |
Materials 1.3% | ||
Chemicals 0.4% | ||
Sherwin-Williams Co. (The) | 103,316 | 34,304,011 |
Containers & Packaging 0.5% | ||
Avery Dennison Corp. | 187,451 | 40,588,765 |
Metals & Mining 0.4% | ||
Newmont Corp. | 1,142,654 | 35,707,938 |
Total Materials | 110,600,714 | |
Real Estate 0.5% | ||
Specialized REITs 0.5% | ||
American Tower Corp. | 220,139 | 43,776,842 |
Total Real Estate | 43,776,842 | |
Utilities 0.8% | ||
Multi-Utilities 0.8% | ||
DTE Energy Co. | 327,992 | 35,537,933 |
Public Service Enterprise Group, Inc. | 629,307 | 39,268,757 |
Total | 74,806,690 | |
Total Utilities | 74,806,690 | |
Total Common Stocks (Cost $2,884,394,662) | 5,372,950,636 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.0% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 223,000 | 131,849 | |
Total Convertible Bonds (Cost $215,787) | 131,849 | |||
Corporate Bonds & Notes 7.1% | ||||
Aerospace & Defense 0.4% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 7,500,000 | 6,780,729 | |
Boeing Co. (The) | ||||
05/01/2040 | 5.705% | 9,350,000 | 9,102,868 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 248,000 | 248,245 | |
L3Harris Technologies, Inc. | ||||
07/31/2033 | 5.400% | 2,181,000 | 2,182,362 | |
Northrop Grumman Corp. | ||||
06/01/2034 | 4.900% | 3,425,000 | 3,335,456 | |
Raytheon Technologies Corp. | ||||
03/15/2032 | 2.375% | 8,868,000 | 7,187,048 | |
Spirit AeroSystems, Inc. | ||||
06/15/2028 | 4.600% | 129,000 | 113,242 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 160,000 | 173,047 | |
11/15/2030 | 9.750% | 131,000 | 140,356 | |
TransDigm, Inc. | ||||
11/15/2027 | 5.500% | 369,000 | 356,483 | |
TransDigm, Inc.(a) | ||||
08/15/2028 | 6.750% | 250,000 | 253,095 | |
03/01/2029 | 6.375% | 485,000 | 487,420 | |
12/15/2030 | 6.875% | 254,000 | 257,350 | |
03/01/2032 | 6.625% | 496,000 | 499,063 | |
Total | 31,116,764 | |||
Airlines 0.0% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 183,000 | 173,267 | |
American Airlines, Inc.(a) | ||||
05/15/2029 | 8.500% | 120,000 | 126,127 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 510,881 | 506,268 | |
04/20/2029 | 5.750% | 237,298 | 232,058 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 346,522 | 326,316 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 245,000 | 235,882 | |
04/15/2029 | 4.625% | 252,000 | 232,408 | |
Total | 1,832,326 | |||
Automotive 0.0% | ||||
Ford Motor Credit Co. LLC | ||||
02/10/2025 | 2.300% | 210,000 | 203,131 | |
11/13/2025 | 3.375% | 261,000 | 250,464 | |
IHO Verwaltungs GmbH(a),(e) | ||||
09/15/2026 | 4.750% | 264,544 | 256,895 | |
KAR Auction Services, Inc.(a) | ||||
06/01/2025 | 5.125% | 253,000 | 249,069 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 93,000 | 92,847 | |
05/15/2027 | 8.500% | 406,000 | 407,718 | |
Total | 1,460,124 | |||
Banking 2.3% | ||||
Bank of America Corp.(f) | ||||
04/23/2040 | 4.078% | 31,000,000 | 26,522,537 | |
Citigroup, Inc.(f) | ||||
01/25/2033 | 3.057% | 16,650,000 | 13,989,179 | |
Goldman Sachs Group, Inc. (The)(f) | ||||
04/22/2032 | 2.615% | 24,300,000 | 20,196,928 | |
HSBC Holdings PLC(f) | ||||
05/24/2032 | 2.804% | 26,800,000 | 22,145,140 | |
JPMorgan Chase & Co.(f) | ||||
04/22/2032 | 2.580% | 11,833,000 | 9,893,290 | |
10/23/2034 | 6.254% | 10,000,000 | 10,614,919 | |
Subordinated | ||||
05/13/2031 | 2.956% | 24,441,000 | 21,218,729 | |
Morgan Stanley(f) | ||||
01/22/2031 | 2.699% | 28,700,000 | 24,844,378 | |
11/01/2034 | 6.627% | 6,089,000 | 6,607,506 | |
PNC Financial Services Group, Inc. (The)(f) | ||||
01/22/2035 | 5.676% | 13,475,000 | 13,506,589 | |
US Bancorp(f) | ||||
06/12/2034 | 5.836% | 3,000,000 | 3,023,248 | |
Wells Fargo & Co.(f) | ||||
04/24/2034 | 5.389% | 35,000,000 | 34,431,530 | |
Total | 206,993,973 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 229,000 | 235,792 | |
Aretec Escrow Issuer 2, Inc.(a) | ||||
08/15/2030 | 10.000% | 224,000 | 243,942 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aretec Escrow Issuer, Inc.(a) | ||||
04/01/2029 | 7.500% | 241,000 | 223,425 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 293,000 | 275,287 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 235,000 | 234,360 | |
08/15/2028 | 6.875% | 672,000 | 683,811 | |
10/01/2030 | 7.500% | 212,000 | 223,099 | |
Total | 2,119,716 | |||
Building Materials 0.0% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
11/15/2029 | 3.875% | 184,000 | 164,156 | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 136,000 | 131,238 | |
05/15/2029 | 4.125% | 186,000 | 167,424 | |
08/01/2030 | 6.500% | 125,000 | 125,702 | |
Interface, Inc.(a) | ||||
12/01/2028 | 5.500% | 145,000 | 136,597 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 238,000 | 229,454 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 142,000 | 132,404 | |
07/01/2029 | 6.125% | 276,000 | 257,411 | |
12/01/2029 | 6.000% | 293,000 | 272,739 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 61,000 | 58,726 | |
01/15/2028 | 4.750% | 160,000 | 151,035 | |
Summit Materials LLC /Finance Corp.(a) | ||||
01/15/2031 | 7.250% | 188,000 | 194,859 | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 33,000 | 31,856 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 404,000 | 394,869 | |
Total | 2,448,470 | |||
Cable and Satellite 0.3% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 356,000 | 336,472 | |
02/01/2028 | 5.000% | 151,000 | 139,470 | |
03/01/2030 | 4.750% | 676,000 | 575,152 | |
08/15/2030 | 4.500% | 682,000 | 565,722 | |
03/01/2031 | 7.375% | 103,000 | 99,753 | |
02/01/2032 | 4.750% | 195,000 | 157,422 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 167,000 | 131,961 | |
Charter Communications Operating LLC/Capital | ||||
06/30/2062 | 3.950% | 9,934,000 | 5,840,375 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 258,000 | 224,943 | |
02/01/2029 | 6.500% | 240,000 | 209,043 | |
01/15/2030 | 5.750% | 335,000 | 196,926 | |
12/01/2030 | 4.125% | 227,000 | 169,093 | |
02/15/2031 | 3.375% | 233,000 | 164,388 | |
DISH DBS Corp.(a) | ||||
12/01/2028 | 5.750% | 227,000 | 157,196 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 444,000 | 463,188 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 204,000 | 190,608 | |
07/01/2029 | 5.500% | 188,000 | 177,837 | |
09/01/2031 | 3.875% | 127,000 | 105,149 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 16,960,000 | 15,921,540 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 299,000 | 257,966 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 206,000 | 193,098 | |
08/15/2030 | 4.500% | 192,000 | 167,749 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 329,000 | 281,563 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 241,000 | 206,125 | |
Ziggo Bond Finance BV(a) | ||||
01/15/2027 | 6.000% | 233,000 | 227,523 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 219,000 | 195,168 | |
Total | 27,355,430 | |||
Chemicals 0.1% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 120,000 | 122,707 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 119,000 | 105,796 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 215,000 | 207,655 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 209,000 | 208,771 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 316,000 | 286,577 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 253,000 | 235,097 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 163,000 | 142,649 | |
INEOS Finance PLC(a) | ||||
04/15/2029 | 7.500% | 333,000 | 330,505 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
INEOS Quattro Finance 2 Plc(a) | ||||
01/15/2026 | 3.375% | 162,000 | 153,257 | |
INEOS Quattro Finance 2 PLC(a) | ||||
03/15/2029 | 9.625% | 221,000 | 233,272 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 267,000 | 235,575 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 213,000 | 177,935 | |
Iris Holdings, Inc.(a),(e) | ||||
02/15/2026 | 8.750% | 135,000 | 115,851 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 271,000 | 242,803 | |
11/15/2028 | 9.750% | 395,000 | 420,031 | |
10/01/2029 | 6.250% | 181,000 | 161,706 | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 133,000 | 123,314 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 108,000 | 102,794 | |
08/15/2029 | 5.625% | 516,000 | 452,730 | |
03/01/2031 | 7.375% | 127,000 | 128,821 | |
Total | 4,187,846 | |||
Construction Machinery 0.1% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 106,000 | 95,589 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 117,000 | 114,538 | |
John Deere Capital Corp. | ||||
07/14/2028 | 4.950% | 6,000,000 | 6,034,360 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 54,000 | 55,262 | |
03/15/2031 | 7.750% | 309,000 | 324,658 | |
Total | 6,624,407 | |||
Consumer Cyclical Services 0.0% | ||||
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 372,000 | 317,853 | |
12/01/2028 | 6.125% | 329,000 | 281,147 | |
Match Group Holdings II LLC(a) | ||||
10/01/2031 | 3.625% | 133,000 | 112,565 | |
Match Group, Inc.(a) | ||||
02/15/2029 | 5.625% | 191,000 | 183,437 | |
Uber Technologies, Inc.(a) | ||||
01/15/2028 | 6.250% | 247,000 | 247,532 | |
08/15/2029 | 4.500% | 331,000 | 311,693 | |
Total | 1,454,227 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.0% | ||||
Acushnet Co.(a) | ||||
10/15/2028 | 7.375% | 47,000 | 48,467 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 473,000 | 470,844 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 79,000 | 76,743 | |
Prestige Brands, Inc.(a) | ||||
01/15/2028 | 5.125% | 165,000 | 159,477 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 65,000 | 55,092 | |
02/01/2032 | 4.375% | 281,000 | 235,302 | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 131,000 | 127,367 | |
07/15/2030 | 5.500% | 159,000 | 155,825 | |
03/15/2031 | 3.875% | 51,000 | 48,443 | |
Total | 1,377,560 | |||
Diversified Manufacturing 0.0% | ||||
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 136,000 | 140,315 | |
01/01/2031 | 9.500% | 47,000 | 50,487 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 374,000 | 375,206 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 524,000 | 523,438 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 152,000 | 138,530 | |
06/30/2029 | 5.875% | 213,000 | 190,320 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 479,000 | 423,580 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 325,000 | 317,660 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 391,000 | 375,502 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2028 | 7.250% | 287,000 | 293,504 | |
WESCO Distribution, Inc.(a),(g) | ||||
03/15/2029 | 6.375% | 186,000 | 186,235 | |
03/15/2032 | 6.625% | 239,000 | 239,185 | |
Total | 3,253,962 | |||
Electric 0.5% | ||||
Clearway Energy Operating LLC(a) | ||||
03/15/2028 | 4.750% | 335,000 | 313,567 | |
02/15/2031 | 3.750% | 232,000 | 195,682 | |
01/15/2032 | 3.750% | 102,000 | 85,313 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Edison International | ||||
11/15/2028 | 5.250% | 6,300,000 | 6,266,873 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 8,800,000 | 7,156,243 | |
Indiana Michigan Power Co. | ||||
03/15/2037 | 6.050% | 2,500,000 | 2,593,245 | |
NextEra Energy Operating Partners LP(a) | ||||
10/15/2026 | 3.875% | 54,000 | 50,536 | |
09/15/2027 | 4.500% | 335,000 | 312,982 | |
01/15/2029 | 7.250% | 388,000 | 394,637 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 134,000 | 117,091 | |
06/15/2029 | 5.250% | 154,000 | 146,012 | |
02/15/2031 | 3.625% | 272,000 | 228,797 | |
02/15/2032 | 3.875% | 44,000 | 36,947 | |
Ohio Edison Co.(a) | ||||
01/15/2033 | 5.500% | 7,000,000 | 6,907,484 | |
Pacific Gas and Electric Co. | ||||
01/15/2053 | 6.750% | 7,861,000 | 8,425,446 | |
Progress Energy, Inc. | ||||
03/01/2031 | 7.750% | 5,000,000 | 5,647,693 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 295,000 | 267,434 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 75,000 | 73,855 | |
02/15/2027 | 5.625% | 86,000 | 83,879 | |
07/31/2027 | 5.000% | 379,000 | 363,448 | |
10/15/2031 | 7.750% | 397,000 | 410,794 | |
Total | 40,077,958 | |||
Environmental 0.0% | ||||
GFL Environmental, Inc.(a) | ||||
12/15/2026 | 5.125% | 96,000 | 93,920 | |
01/15/2031 | 6.750% | 223,000 | 228,157 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 371,000 | 363,701 | |
Total | 685,778 | |||
Finance Companies 0.0% | ||||
Navient Corp. | ||||
06/25/2025 | 6.750% | 200,000 | 201,464 | |
03/15/2031 | 11.500% | 169,000 | 184,883 | |
OneMain Finance Corp. | ||||
01/15/2027 | 3.500% | 118,000 | 108,355 | |
01/15/2029 | 9.000% | 149,000 | 156,466 | |
03/15/2030 | 7.875% | 199,000 | 202,427 | |
09/15/2030 | 4.000% | 214,000 | 180,367 | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 247,000 | 233,122 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 277,000 | 237,733 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 587,000 | 487,600 | |
Springleaf Finance Corp. | ||||
11/15/2029 | 5.375% | 23,000 | 21,347 | |
United Wholesale Mortgage LLC(a) | ||||
04/15/2029 | 5.500% | 106,000 | 99,128 | |
Total | 2,112,892 | |||
Food and Beverage 0.5% | ||||
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 11,606,000 | 10,925,192 | |
Bacardi Ltd./Bacardi-Martini BV(a) | ||||
06/15/2043 | 5.900% | 2,756,000 | 2,736,406 | |
Chobani LLC/Finance Corp., Inc.(a) | ||||
07/01/2029 | 7.625% | 76,000 | 76,394 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 17,000,000 | 16,502,819 | |
Darling Ingredients, Inc.(a) | ||||
06/15/2030 | 6.000% | 162,000 | 159,624 | |
Diageo Capital PLC | ||||
10/05/2033 | 5.625% | 8,000,000 | 8,304,572 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 262,000 | 256,367 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2032 | 4.375% | 144,000 | 128,462 | |
Pilgrim’s Pride Corp. | ||||
03/01/2032 | 3.500% | 223,000 | 186,363 | |
Post Holdings, Inc.(a) | ||||
01/15/2028 | 5.625% | 152,000 | 149,167 | |
04/15/2030 | 4.625% | 322,000 | 292,495 | |
09/15/2031 | 4.500% | 115,000 | 102,317 | |
02/15/2032 | 6.250% | 192,000 | 192,963 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 514,000 | 466,616 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 314,000 | 275,553 | |
US Foods, Inc.(a) | ||||
09/15/2028 | 6.875% | 130,000 | 132,377 | |
02/15/2029 | 4.750% | 269,000 | 252,447 | |
06/01/2030 | 4.625% | 175,000 | 160,440 | |
01/15/2032 | 7.250% | 73,000 | 75,395 | |
Total | 41,375,969 | |||
Gaming 0.0% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 240,000 | 231,000 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 166,000 | 150,874 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 594,000 | 542,304 | |
02/15/2030 | 7.000% | 264,000 | 270,533 | |
02/15/2032 | 6.500% | 336,000 | 338,561 | |
CDI Escrow Issuer, Inc.(a) | ||||
04/01/2030 | 5.750% | 110,000 | 105,708 | |
Churchill Downs, Inc.(a) | ||||
05/01/2031 | 6.750% | 216,000 | 216,134 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2027 | 8.125% | 193,000 | 198,005 | |
International Game Technology PLC(a) | ||||
04/15/2026 | 4.125% | 122,000 | 118,124 | |
Light & Wonder International, Inc.(a) | ||||
09/01/2031 | 7.500% | 158,000 | 164,679 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 261,000 | 239,386 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 436,000 | 411,915 | |
Total | 2,987,223 | |||
Health Care 0.4% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 233,000 | 225,873 | |
04/15/2029 | 5.000% | 161,000 | 152,182 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 189,000 | 178,351 | |
11/01/2029 | 3.875% | 251,000 | 225,011 | |
Bausch & Lomb Escrow Corp.(a) | ||||
10/01/2028 | 8.375% | 306,000 | 320,182 | |
Catalent Pharma Solutions, Inc.(a) | ||||
04/01/2030 | 3.500% | 229,000 | 221,054 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 160,000 | 150,095 | |
03/15/2029 | 3.750% | 122,000 | 110,445 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 345,000 | 315,589 | |
04/15/2029 | 6.875% | 182,000 | 117,097 | |
05/15/2030 | 5.250% | 416,000 | 332,083 | |
01/15/2032 | 10.875% | 93,000 | 94,827 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 15,000,000 | 13,401,729 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 125,000 | 109,933 | |
HCA, Inc. | ||||
09/01/2030 | 3.500% | 22,000,000 | 19,666,466 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IQVIA, Inc.(a) | ||||
05/15/2027 | 5.000% | 210,000 | 204,485 | |
05/15/2030 | 6.500% | 104,000 | 105,495 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 239,000 | 214,241 | |
10/01/2029 | 5.250% | 635,000 | 587,195 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 459,000 | 458,030 | |
Star Parent, Inc.(a) | ||||
10/01/2030 | 9.000% | 362,000 | 381,799 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 370,000 | 369,081 | |
11/01/2027 | 5.125% | 237,000 | 232,084 | |
10/01/2028 | 6.125% | 205,000 | 202,638 | |
01/15/2030 | 4.375% | 186,000 | 170,287 | |
06/15/2030 | 6.125% | 104,000 | 103,082 | |
Tenet Healthcare Corp.(a) | ||||
05/15/2031 | 6.750% | 225,000 | 227,178 | |
Total | 38,876,512 | |||
Healthcare Insurance 0.2% | ||||
Centene Corp. | ||||
10/15/2030 | 3.000% | 17,500,000 | 14,946,104 | |
Home Construction 0.0% | ||||
Taylor Morrison Communities, Inc.(a) | ||||
06/15/2027 | 5.875% | 70,000 | 69,814 | |
01/15/2028 | 5.750% | 160,000 | 157,814 | |
08/01/2030 | 5.125% | 100,000 | 94,439 | |
Total | 322,067 | |||
Independent Energy 0.1% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 319,000 | 331,599 | |
Centennial Resource Production LLC(a) | ||||
04/01/2027 | 6.875% | 51,000 | 50,847 | |
Civitas Resources, Inc.(a) | ||||
07/01/2028 | 8.375% | 70,000 | 73,253 | |
11/01/2030 | 8.625% | 65,000 | 69,609 | |
07/01/2031 | 8.750% | 185,000 | 196,925 | |
CNX Resources Corp.(a) | ||||
01/15/2029 | 6.000% | 176,000 | 169,802 | |
01/15/2031 | 7.375% | 120,000 | 121,063 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 502,000 | 490,704 | |
Comstock Resources, Inc.(a) | ||||
01/15/2030 | 5.875% | 16,000 | 13,991 | |
CrownRock LP/Finance, Inc.(a) | ||||
05/01/2029 | 5.000% | 212,000 | 208,754 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2028 | 5.750% | 254,000 | 256,007 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 329,000 | 326,932 | |
02/01/2029 | 5.750% | 103,000 | 100,277 | |
04/15/2030 | 6.000% | 131,000 | 127,370 | |
04/15/2032 | 6.250% | 121,000 | 117,641 | |
11/01/2033 | 8.375% | 140,000 | 150,371 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 425,000 | 420,827 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 129,000 | 131,544 | |
Permian Resources Operating LLC(a) | ||||
01/15/2032 | 7.000% | 386,000 | 396,635 | |
SM Energy Co. | ||||
09/15/2026 | 6.750% | 253,000 | 252,651 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 503,000 | 456,764 | |
Total | 4,463,566 | |||
Leisure 0.1% | ||||
Boyne USA, Inc.(a) | ||||
05/15/2029 | 4.750% | 176,000 | 161,934 | |
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 281,000 | 277,591 | |
08/01/2028 | 4.000% | 215,000 | 198,320 | |
05/01/2029 | 6.000% | 211,000 | 205,905 | |
08/15/2029 | 7.000% | 90,000 | 93,408 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 181,000 | 197,437 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op(a) | ||||
05/01/2025 | 5.500% | 139,000 | 138,554 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||
10/01/2028 | 6.500% | 269,000 | 269,531 | |
Cinemark USA, Inc.(a) | ||||
05/01/2025 | 8.750% | 54,000 | 54,201 | |
03/15/2026 | 5.875% | 411,000 | 406,033 | |
07/15/2028 | 5.250% | 149,000 | 139,449 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 291,000 | 288,092 | |
05/15/2027 | 6.500% | 157,000 | 158,153 | |
10/15/2027 | 4.750% | 109,000 | 104,357 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 237,000 | 231,418 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 193,000 | 188,287 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Caribbean Cruises Ltd.(a) | ||||
07/01/2026 | 4.250% | 175,000 | 168,702 | |
08/31/2026 | 5.500% | 33,000 | 32,636 | |
04/01/2028 | 5.500% | 70,000 | 68,898 | |
01/15/2030 | 7.250% | 274,000 | 284,849 | |
Royal Caribbean Cruises Ltd. | ||||
03/15/2028 | 3.700% | 208,000 | 191,835 | |
Royal Caribbean Cruises Ltd.(a),(g) | ||||
03/15/2032 | 6.250% | 84,000 | 84,222 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 326,000 | 328,041 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 240,000 | 234,997 | |
07/15/2031 | 9.125% | 208,000 | 225,479 | |
Total | 4,732,329 | |||
Life Insurance 0.1% | ||||
Five Corners Funding Trust III(a) | ||||
02/15/2033 | 5.791% | 5,287,000 | 5,428,387 | |
MetLife, Inc. | ||||
07/15/2052 | 5.000% | 4,193,000 | 3,911,919 | |
Total | 9,340,306 | |||
Lodging 0.0% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2028 | 5.750% | 230,000 | 229,426 | |
Hilton Grand Vacations Borrower Escrow LLC(a) | ||||
01/15/2032 | 6.625% | 222,000 | 222,016 | |
Total | 451,442 | |||
Media and Entertainment 0.2% | ||||
Clear Channel Outdoor Holdings, Inc.(a) | ||||
04/15/2028 | 7.750% | 239,000 | 206,934 | |
09/15/2028 | 9.000% | 97,000 | 101,163 | |
06/01/2029 | 7.500% | 290,000 | 241,260 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 392,000 | 366,617 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 40,481 | 33,844 | |
05/01/2027 | 8.375% | 352,392 | 209,483 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 170,000 | 126,011 | |
01/15/2028 | 4.750% | 243,000 | 174,771 | |
Meta Platforms, Inc. | ||||
05/15/2063 | 5.750% | 5,000,000 | 5,234,740 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 287,000 | 276,379 | |
01/15/2029 | 4.250% | 125,000 | 112,267 | |
03/15/2030 | 4.625% | 138,000 | 123,014 | |
02/15/2031 | 7.375% | 56,000 | 58,434 | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 393,000 | 344,153 | |
Univision Communications, Inc.(a) | ||||
08/15/2028 | 8.000% | 166,000 | 166,852 | |
05/01/2029 | 4.500% | 157,000 | 137,498 | |
06/30/2030 | 7.375% | 253,000 | 244,351 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 13,139,000 | 10,575,726 | |
Total | 18,733,497 | |||
Metals and Mining 0.0% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 189,000 | 175,606 | |
10/01/2031 | 5.125% | 133,000 | 121,699 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 300,000 | 289,789 | |
04/15/2029 | 3.750% | 490,000 | 436,123 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 491,000 | 473,177 | |
04/01/2029 | 6.125% | 274,000 | 268,860 | |
Kaiser Aluminum Corp.(a) | ||||
03/01/2028 | 4.625% | 187,000 | 172,686 | |
06/01/2031 | 4.500% | 210,000 | 179,698 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 177,000 | 164,621 | |
01/30/2030 | 4.750% | 317,000 | 290,213 | |
08/15/2031 | 3.875% | 170,000 | 143,941 | |
Total | 2,716,413 | |||
Midstream 0.5% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
02/01/2032 | 6.625% | 222,000 | 221,222 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 220,000 | 192,811 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 194,000 | 194,118 | |
Delek Logistics Partners LP/Finance Corp.(a),(g) | ||||
03/15/2029 | 8.625% | 259,000 | 259,344 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 199,000 | 181,860 | |
06/15/2031 | 4.375% | 242,000 | 218,134 | |
Energy Transfer LP | ||||
05/15/2034 | 5.550% | 4,379,000 | 4,335,518 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 358,000 | 357,432 | |
06/01/2027 | 7.500% | 91,000 | 93,109 | |
07/01/2027 | 6.500% | 202,000 | 203,990 | |
04/01/2029 | 6.375% | 104,000 | 104,320 | |
01/15/2031 | 4.750% | 514,000 | 478,336 | |
Kinder Morgan Energy Partners LP | ||||
03/01/2044 | 5.500% | 10,000,000 | 9,245,607 | |
NuStar Logistics LP | ||||
06/01/2026 | 6.000% | 220,000 | 217,981 | |
04/28/2027 | 5.625% | 151,000 | 149,232 | |
10/01/2030 | 6.375% | 228,000 | 228,743 | |
Plains All American Pipeline LP/Finance Corp. | ||||
01/15/2037 | 6.650% | 15,000,000 | 15,829,237 | |
Sunoco LP/Finance Corp. | ||||
04/30/2030 | 4.500% | 178,000 | 162,245 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 235,000 | 219,081 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 233,000 | 209,114 | |
08/15/2031 | 4.125% | 396,000 | 347,633 | |
11/01/2033 | 3.875% | 267,000 | 224,029 | |
Venture Global LNG, Inc.(a) | ||||
06/01/2028 | 8.125% | 272,000 | 276,509 | |
02/01/2029 | 9.500% | 87,000 | 92,769 | |
06/01/2031 | 8.375% | 198,000 | 200,300 | |
02/01/2032 | 9.875% | 87,000 | 91,584 | |
Western Midstream Operating LP | ||||
04/01/2033 | 6.150% | 4,559,000 | 4,635,185 | |
Williams Companies, Inc. (The) | ||||
09/15/2045 | 5.100% | 6,000,000 | 5,478,484 | |
Total | 44,447,927 | |||
Natural Gas 0.0% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 3,855,000 | 3,528,797 | |
Oil Field Services 0.0% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 219,000 | 214,341 | |
Kodiak Gas Services LLC(a) | ||||
02/15/2029 | 7.250% | 101,000 | 103,034 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 272,000 | 268,084 | |
Nabors Industries, Inc.(a) | ||||
01/31/2030 | 9.125% | 206,000 | 211,088 | |
Transocean Aquila Ltd.(a) | ||||
09/30/2028 | 8.000% | 223,000 | 227,133 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 197,000 | 202,610 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 216,000 | 214,952 | |
Total | 1,441,242 | |||
Other Industry 0.0% | ||||
Picasso Finance Sub, Inc.(a) | ||||
06/15/2025 | 6.125% | 219,000 | 218,684 | |
Other REIT 0.0% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 83,000 | 72,803 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 304,000 | 299,279 | |
02/01/2027 | 4.250% | 169,000 | 155,891 | |
06/15/2029 | 4.750% | 510,000 | 457,218 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 169,000 | 164,744 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 239,000 | 220,208 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 64,000 | 65,759 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 138,000 | 130,138 | |
09/15/2029 | 4.000% | 129,000 | 112,617 | |
Service Properties Trust(a) | ||||
11/15/2031 | 8.625% | 120,000 | 126,909 | |
Total | 1,805,566 | |||
Packaging 0.0% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 287,000 | 281,647 | |
09/01/2029 | 4.000% | 592,000 | 480,918 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 105,000 | 97,067 | |
Ball Corp. | ||||
06/15/2029 | 6.000% | 140,000 | 140,754 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 428,000 | 371,310 | |
Clydesdale Acquisition Holdings, Inc.(a) | ||||
04/15/2029 | 6.625% | 140,000 | 139,109 | |
Sealed Air Corp.(a) | ||||
02/01/2028 | 6.125% | 38,000 | 37,920 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 388,000 | 378,430 | |
08/15/2027 | 8.500% | 54,000 | 52,633 | |
Total | 1,979,788 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 0.4% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 42,000 | 41,026 | |
AbbVie, Inc. | ||||
03/15/2034 | 5.050% | 6,590,000 | 6,621,073 | |
Amgen, Inc. | ||||
03/02/2053 | 5.650% | 11,550,000 | 11,555,864 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 130,000 | 82,984 | |
08/15/2027 | 5.750% | 170,000 | 103,940 | |
06/01/2028 | 4.875% | 216,000 | 122,791 | |
09/30/2028 | 11.000% | 75,000 | 50,524 | |
10/15/2030 | 14.000% | 14,000 | 8,117 | |
Bristol-Myers Squibb Co. | ||||
02/22/2064 | 5.650% | 12,000,000 | 12,114,232 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 261,000 | 216,275 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 56,000 | 51,196 | |
04/30/2031 | 5.125% | 385,000 | 329,580 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2063 | 5.340% | 6,125,000 | 5,901,077 | |
Total | 37,198,679 | |||
Property & Casualty 0.1% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 201,000 | 186,097 | |
10/15/2027 | 6.750% | 295,000 | 286,522 | |
04/15/2028 | 6.750% | 463,000 | 459,941 | |
11/01/2029 | 5.875% | 197,000 | 180,384 | |
01/15/2031 | 7.000% | 390,000 | 388,517 | |
AmWINS Group, Inc.(a) | ||||
02/15/2029 | 6.375% | 216,000 | 216,099 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 372,000 | 342,502 | |
02/15/2032 | 7.500% | 268,000 | 263,441 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 273,000 | 253,396 | |
HUB International Ltd.(a) | ||||
12/01/2029 | 5.625% | 269,000 | 250,114 | |
01/31/2032 | 7.375% | 285,000 | 286,182 | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 505,000 | 515,699 | |
USI, Inc.(a) | ||||
01/15/2032 | 7.500% | 116,000 | 115,711 | |
Total | 3,744,605 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.0% | ||||
CSX Corp. | ||||
03/15/2044 | 4.100% | 3,200,000 | 2,690,374 | |
Restaurants 0.0% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
01/15/2028 | 3.875% | 249,000 | 231,930 | |
10/15/2030 | 4.000% | 117,000 | 102,795 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2030 | 6.750% | 196,000 | 173,053 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 361,000 | 361,367 | |
Total | 869,145 | |||
Retailers 0.2% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 154,000 | 140,353 | |
02/15/2032 | 5.000% | 174,000 | 154,835 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 237,000 | 216,534 | |
Hanesbrands, Inc.(a) | ||||
02/15/2031 | 9.000% | 305,000 | 305,749 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 33,000 | 34,495 | |
10/01/2030 | 6.625% | 146,000 | 146,910 | |
L Brands, Inc. | ||||
06/15/2029 | 7.500% | 143,000 | 147,266 | |
LCM Investments Holdings II LLC(a) | ||||
08/01/2031 | 8.250% | 224,000 | 229,333 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 120,000 | 106,411 | |
Lowe’s Companies, Inc. | ||||
09/15/2062 | 5.800% | 14,000,000 | 13,975,672 | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 263,000 | 246,338 | |
02/15/2029 | 7.750% | 312,000 | 308,254 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 333,000 | 266,906 | |
Total | 16,279,056 | |||
Supermarkets 0.0% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 95,000 | 96,607 | |
02/15/2028 | 5.875% | 158,000 | 155,693 | |
03/15/2029 | 3.500% | 219,000 | 195,020 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 130,000 | 123,603 | |
Total | 570,923 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Technology 0.3% | ||||
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 88,000 | 88,086 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 8,400,000 | 6,564,786 | |
02/15/2051 | 3.750% | 3,814,000 | 2,851,643 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 118,000 | 112,763 | |
Central Parent LLC/CDK Global II LLC/Financing, Co., Inc.(a) | ||||
06/15/2029 | 8.000% | 44,000 | 45,325 | |
Central Parent, Inc./CDK Global, Inc.(a) | ||||
06/15/2029 | 7.250% | 203,000 | 204,338 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 160,000 | 146,085 | |
07/01/2029 | 4.875% | 466,000 | 422,474 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 586,000 | 547,075 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 70,000 | 57,051 | |
03/15/2027 | 5.000% | 150,000 | 53,424 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 549,000 | 484,885 | |
Entegris Escrow Corp.(a) | ||||
06/15/2030 | 5.950% | 489,000 | 479,528 | |
GoTo Group, Inc.(a) | ||||
05/01/2028 | 5.500% | 201,846 | 120,362 | |
05/01/2028 | 5.500% | 83,074 | 71,484 | |
GTCR W-2 Merger Sub LLC(a) | ||||
01/15/2031 | 7.500% | 451,000 | 470,322 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 180,000 | 165,582 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 176,000 | 158,012 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 200,000 | 180,929 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 91,000 | 87,292 | |
03/15/2028 | 5.250% | 159,000 | 153,163 | |
07/15/2028 | 5.000% | 189,000 | 178,759 | |
07/15/2030 | 5.250% | 227,000 | 212,447 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 409,000 | 366,527 | |
NCR Atleos Escrow Corp.(a) | ||||
04/01/2029 | 9.500% | 423,000 | 449,321 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 348,000 | 322,963 | |
04/15/2029 | 5.125% | 415,000 | 383,926 | |
10/01/2030 | 5.250% | 18,000 | 16,273 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 604,000 | 568,268 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 9,500,000 | 8,504,310 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 495,000 | 461,009 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 118,000 | 126,234 | |
07/15/2031 | 8.500% | 132,000 | 142,542 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 106,000 | 103,362 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 354,000 | 341,172 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 71,000 | 63,603 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 284,000 | 282,513 | |
UKG, Inc.(a) | ||||
02/01/2031 | 6.875% | 437,000 | 441,560 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 216,000 | 216,461 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 575,000 | 514,983 | |
Total | 27,160,842 | |||
Transportation Services 0.1% | ||||
ERAC USA Finance LLC(a) | ||||
10/15/2037 | 7.000% | 5,050,000 | 5,734,112 | |
Wireless 0.1% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 206,000 | 104,041 | |
Altice France SA(a) | ||||
02/01/2027 | 8.125% | 59,000 | 54,192 | |
01/15/2028 | 5.500% | 487,000 | 397,062 | |
07/15/2029 | 5.125% | 200,000 | 151,053 | |
T-Mobile US, Inc. | ||||
01/15/2053 | 5.650% | 7,000,000 | 6,948,670 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 165,000 | 140,433 | |
07/15/2031 | 4.750% | 213,000 | 184,145 | |
Total | 7,979,596 | |||
Wirelines 0.1% | ||||
AT&T, Inc. | ||||
09/15/2053 | 3.500% | 4,000,000 | 2,751,856 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 163,000 | 166,230 | |
03/15/2031 | 8.625% | 320,000 | 324,114 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 281,000 | 277,893 | |
10/15/2028 | 7.000% | 439,000 | 434,737 | |
Total | 3,954,830 | |||
Total Corporate Bonds & Notes (Cost $650,561,065) | 631,651,027 |
Exchange-Traded Equity Funds 1.8% | ||
Shares | Value ($) | |
International Mid Large Cap 1.8% | ||
iShares Core MSCI EAFE ETF | 2,163,578 | 155,344,900 |
Total Exchange-Traded Equity Funds (Cost $145,112,086) | 155,344,900 |
Foreign Government Obligations(h) 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Canada 0.0% | ||||
NOVA Chemicals Corp.(a) | ||||
11/15/2028 | 8.500% | 71,000 | 75,058 | |
05/15/2029 | 4.250% | 102,000 | 84,488 | |
02/15/2030 | 9.000% | 593,000 | 595,097 | |
Total | 754,643 | |||
Total Foreign Government Obligations (Cost $761,179) | 754,643 | |||
Residential Mortgage-Backed Securities - Agency 12.8% | ||||
Federal Home Loan Mortgage Corp. | ||||
07/01/2029- 09/01/2043 | 3.500% | 487,271 | 464,727 | |
10/01/2031- 10/01/2039 | 6.000% | 99,020 | 101,678 | |
06/01/2032- 07/01/2032 | 7.000% | 93,707 | 96,323 | |
12/01/2036- 01/01/2039 | 5.500% | 46,849 | 47,635 | |
03/01/2038 | 6.500% | 464 | 476 | |
10/01/2038- 05/01/2041 | 5.000% | 104,846 | 104,188 | |
05/01/2039- 10/01/2040 | 4.500% | 305,499 | 298,141 | |
12/01/2051 | 2.500% | 28,741,518 | 23,677,692 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
12-month Term SOFR + 1.703% Cap 11.242% 08/01/2036 | 5.839% | 4,007 | 4,105 | |
Federal Home Loan Mortgage Corp.(i) | ||||
01/01/2038 | 6.000% | 138,274 | 142,829 | |
05/01/2038 | 5.500% | 65,369 | 66,298 | |
11/01/2039- 06/01/2041 | 4.500% | 739,631 | 722,457 | |
05/01/2041 | 5.000% | 189,116 | 187,929 | |
01/01/2043- 06/01/2046 | 3.500% | 501,566 | 457,279 | |
Federal National Mortgage Association(i) | ||||
12/01/2025- 03/01/2046 | 3.500% | 3,610,250 | 3,363,894 | |
07/01/2027- 02/01/2031 | 3.000% | 939,805 | 897,335 | |
10/01/2043- 02/01/2044 | 4.500% | 482,543 | 468,259 | |
08/01/2044 | 4.000% | 124,588 | 117,294 | |
Federal National Mortgage Association | ||||
01/01/2026- 05/01/2027 | 3.500% | 173,319 | 169,750 | |
01/01/2029- 06/01/2044 | 4.000% | 378,971 | 366,875 | |
06/01/2031 | 7.000% | 31,751 | 32,599 | |
07/01/2032- 03/01/2037 | 6.500% | 113,909 | 117,466 | |
06/01/2037- 02/01/2038 | 5.500% | 49,378 | 50,135 | |
05/01/2040- 06/01/2044 | 4.500% | 719,601 | 700,646 | |
08/01/2043 | 3.000% | 93,099 | 82,679 | |
Federal National Mortgage Association(c) | ||||
Series 2006-M2 Class A2A | ||||
10/25/2032 | 5.271% | 133,797 | 132,838 | |
Uniform Mortgage-Backed Security TBA(g) | ||||
03/18/2039- 03/13/2054 | 3.000% | 249,550,000 | 214,675,345 | |
03/18/2039- 03/13/2054 | 3.500% | 165,550,000 | 149,161,141 | |
03/13/2054 | 2.000% | 51,775,000 | 40,677,740 | |
03/13/2054 | 2.500% | 124,975,000 | 102,668,188 | |
03/13/2054 | 4.000% | 264,300,000 | 243,149,427 | |
03/13/2054 | 4.500% | 126,175,000 | 119,428,115 | |
03/13/2054 | 5.000% | 115,450,000 | 111,950,481 | |
03/13/2054 | 5.500% | 45,000,000 | 44,512,776 | |
03/13/2054 | 6.000% | 82,225,000 | 82,567,942 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,156,466,894) | 1,141,662,682 | |||
Residential Mortgage-Backed Securities - Non-Agency 9.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
510 Asset Backed Trust(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 5,835,036 | 5,604,026 | |
Ajax Mortgage Loan Trust(a),(c) | ||||
CMO Series 2021-A Class A1 | ||||
09/25/2065 | 1.065% | 12,633,404 | 10,969,984 | |
CMO Series 2021-B Class A | ||||
06/25/2066 | 2.239% | 5,858,587 | 5,710,415 | |
Angel Oak Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A3 | ||||
05/25/2065 | 1.775% | 677,868 | 595,230 | |
CMO Series 2020-6 Class M1 | ||||
05/25/2065 | 2.805% | 2,575,000 | 2,065,092 | |
CMO Series 2020-R1 Class A1 | ||||
04/25/2053 | 0.990% | 2,613,583 | 2,399,192 | |
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 25,635,256 | 24,712,295 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2021-3A Class M1A | ||||
30-day Average SOFR + 1.000% Floor 1.000% 09/25/2031 | 6.322% | 2,380,125 | 2,379,041 | |
BRAVO Residential Funding Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
05/25/2060 | 1.449% | 818,222 | 777,183 | |
CMO Series 2020-RPL1 Class A1 | ||||
05/26/2059 | 2.500% | 2,871,515 | 2,737,167 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 6,657,378 | 6,554,642 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 4,700,254 | 4,606,973 | |
CMO Series 2021-NQM1 Class A1 | ||||
02/25/2049 | 0.941% | 6,276,551 | 5,473,903 | |
CMO Series 2021-NQM1 Class A3 | ||||
02/25/2049 | 1.332% | 2,542,556 | 2,225,258 | |
CMO Series 2021-NQM2 Class A3 | ||||
03/25/2060 | 1.435% | 1,361,231 | 1,249,742 | |
CMO Series 2022-NQM3 Class A1 | ||||
07/25/2062 | 5.108% | 5,994,143 | 5,942,265 | |
CMO Series 2023-NQM8 Class A1 | ||||
10/25/2063 | 6.394% | 4,915,356 | 4,927,065 | |
CMO Series 2024-NQM2 Class A1 | ||||
02/25/2064 | 6.285% | 9,800,000 | 9,802,708 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 2,725,000 | 2,317,627 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CHNGE Mortgage Trust(a),(c) | ||||
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 3.007% | 12,053,500 | 11,033,229 | |
CMO Series 2022-NQM1 Class A1 | ||||
06/25/2067 | 5.528% | 5,004,562 | 4,937,670 | |
CIM Trust(a),(c) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 3,126,195 | 3,074,994 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 2,944,523 | 2,915,980 | |
COLT Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-2 Class A1 | ||||
03/25/2065 | 1.853% | 20,295 | 20,129 | |
CMO Series 2021-HX1 Class M1 | ||||
10/25/2066 | 2.355% | 3,250,000 | 2,242,925 | |
CMO Series 2022-1 Class A1 | ||||
12/27/2066 | 2.284% | 13,306,821 | 11,654,254 | |
CMO Series 2022-4 Class A1 | ||||
03/25/2067 | 4.301% | 11,449,129 | 11,115,753 | |
CMO Series 2024-1 Class A1 | ||||
02/25/2069 | 5.835% | 10,590,416 | 10,561,674 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2021-2R Class A1 | ||||
07/27/2054 | 0.798% | 1,939,388 | 1,669,481 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2020-R01 Class 1M2 | ||||
30-day Average SOFR + 2.164% 01/25/2040 | 7.486% | 2,339,803 | 2,368,991 | |
CMO Series 2022-R04 Class 1M2 | ||||
30-day Average SOFR + 3.100% 03/25/2042 | 8.422% | 7,200,000 | 7,480,667 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2021-AFC1 Class A1 | ||||
03/25/2056 | 0.830% | 3,912,437 | 3,063,955 | |
CMO Series 2021-NQM1 Class A3 | ||||
05/25/2065 | 1.199% | 1,285,200 | 1,089,981 | |
CMO Series 2021-NQM1 Class M1 | ||||
05/25/2065 | 2.130% | 1,075,000 | 704,120 | |
CMO Series 2021-RPL1 Class A1 | ||||
09/27/2060 | 4.036% | 9,106,477 | 8,798,430 | |
CMO Series 2021-RPL2 Class M1 | ||||
01/25/2060 | 2.750% | 4,775,000 | 3,525,793 | |
CMO Series 2021-RPL2 Class M2 | ||||
01/25/2060 | 3.250% | 2,525,000 | 1,852,512 | |
CMO Series 2022-ATH3 Class A1 | ||||
08/25/2067 | 4.991% | 5,640,566 | 5,531,421 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSMC Trust(a),(c) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 8,648,309 | 8,158,391 | |
CMO Series 2021-RPL4 Class A1 | ||||
12/27/2060 | 1.796% | 6,551,605 | 6,276,970 | |
Subordinated CMO Series 2020-RPL3 Class A1 | ||||
03/25/2060 | 4.046% | 4,457,200 | 4,438,182 | |
Subordinated CMO Series 2020-RPL4 Class A1 | ||||
01/25/2060 | 2.000% | 3,639,398 | 3,185,502 | |
CSMC Trust(a) | ||||
CMO Series 2019-AFC1 Class A1 | ||||
07/25/2049 | 2.573% | 2,280,450 | 2,097,400 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 8.021% | 1,349,837 | 1,353,602 | |
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 04/25/2034 | 7.372% | 9,673,697 | 9,695,590 | |
Ellington Financial Mortgage Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2059 | 3.046% | 554,223 | 518,422 | |
CMO Series 2020-1 Class A1 | ||||
05/25/2065 | 2.006% | 133,640 | 128,827 | |
CMO Series 2022-2 Class A1 | ||||
04/25/2067 | 4.299% | 30,793,148 | 29,693,284 | |
Equifirst Mortgage Loan Trust(c) | ||||
CMO Series 2003-1 Class IF1 | ||||
12/25/2032 | 4.010% | 20,861 | 19,454 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-DNA1 Class M2 | ||||
30-day Average SOFR + 1.800% 01/25/2051 | 7.122% | 2,726,318 | 2,756,440 | |
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.972% | 2,209,583 | 2,218,777 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 8.222% | 7,000,000 | 7,240,840 | |
CMO Series 2022-DNA4 Class M1A | ||||
30-day Average SOFR + 2.200% 05/25/2042 | 7.522% | 13,248,406 | 13,478,528 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2022-DNA6 Class M1A | ||||
30-day Average SOFR + 2.150% 09/25/2042 | 7.472% | 2,493,578 | 2,523,317 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.722% | 16,150,000 | 16,456,004 | |
CMO Series 2022-DNA5 Class M1A | ||||
30-day Average SOFR + 2.950% 06/25/2042 | 8.272% | 9,303,247 | 9,560,223 | |
Subordinated CMO Series 2021-DNA7 Class M1 | ||||
30-day Average SOFR + 0.850% 11/25/2041 | 6.172% | 17,611,639 | 17,586,865 | |
GCAT Trust(a),(c) | ||||
CMO Series 2019-RPL1 Class A1 | ||||
10/25/2068 | 2.650% | 4,133,059 | 3,907,754 | |
CMO Series 2021-CM2 Class A1 | ||||
08/25/2066 | 2.352% | 16,199,229 | 14,646,179 | |
CMO Series 2022-NQM3 Class A1 | ||||
04/25/2067 | 4.349% | 31,848,945 | 30,893,040 | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1A | ||||
30-day Average SOFR + 1.900% Floor 1.900% 02/25/2034 | 7.245% | 188,261 | 188,390 | |
GS Mortgage-Backed Securities Trust(a),(c) | ||||
CMO Series 2020-NQM1 Class A1 | ||||
09/27/2060 | 1.382% | 1,797,892 | 1,629,648 | |
Homeward Opportunities Fund I Trust(a),(c) | ||||
CMO Series 2020-2 Class A3 | ||||
05/25/2065 | 3.196% | 3,450,000 | 3,269,902 | |
Imperial Fund Mortgage Trust(a),(c) | ||||
CMO Series 2021-NQM2 Class A3 | ||||
09/25/2056 | 1.516% | 5,240,914 | 4,244,706 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 6,605,409 | 6,452,603 | |
CMO Series 2021-GS2 Class A1 | ||||
04/25/2061 | 1.750% | 12,882,585 | 12,460,698 | |
LHOME Mortgage Trust(a),(c) | ||||
CMO Series 2024-RTL1 Class A1 | ||||
01/25/2029 | 7.017% | 4,300,000 | 4,298,674 | |
MetLife Securitization Trust(a),(c) | ||||
CMO Series 2018-1A Class A | ||||
03/25/2057 | 3.750% | 2,157,592 | 2,032,793 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MFA Trust(a),(c) | ||||
CMO Series 2020-NQM3 Class M1 | ||||
01/26/2065 | 2.654% | 2,925,000 | 2,503,997 | |
CMO Series 2021-NQM1 Class A1 | ||||
04/25/2065 | 1.153% | 3,332,590 | 2,966,351 | |
CMO Series 2022-NQM2 Class A1 | ||||
05/25/2067 | 4.000% | 29,954,173 | 28,601,523 | |
CMO Series 2023-NQM4 Class A1 | ||||
12/25/2068 | 6.105% | 2,990,562 | 2,990,095 | |
MFRA Trust(a),(c) | ||||
CMO Series 2021-INV1 Class A1 | ||||
01/25/2056 | 0.852% | 1,013,569 | 928,023 | |
CMO Series 2021-INV1 Class A2 | ||||
01/25/2056 | 1.057% | 210,505 | 192,877 | |
CMO Series 2021-INV1 Class A3 | ||||
01/25/2056 | 1.262% | 324,780 | 297,652 | |
Mill City Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.482% | 3,704,522 | 3,575,237 | |
CMO Series 2021-NMR1 Class M1 | ||||
11/25/2060 | 1.850% | 7,225,000 | 6,196,903 | |
New Residential Mortgage Loan Trust(a) | ||||
CMO Series 2016-3A Class A1 | ||||
09/25/2056 | 3.750% | 708,593 | 656,312 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 1,922,110 | 1,839,846 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 7.372% | 2,330,146 | 2,334,388 | |
OBX Trust(a),(c) | ||||
CMO Series 2023-NQM8 Class A1 | ||||
09/25/2063 | 7.045% | 9,978,605 | 10,150,675 | |
CMO Series 2023-NQM8 Class A2 | ||||
09/25/2063 | 7.248% | 8,155,600 | 8,280,636 | |
Oceanview Mortgage Loan Trust(a) | ||||
CMO Series 2020-1 Class A1A | ||||
05/28/2050 | 1.733% | 1,534,933 | 1,380,363 | |
Preston Ridge Partners Mortgage(a),(c) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 12,844,445 | 12,504,254 | |
Preston Ridge Partners Mortgage Trust(a),(c) | ||||
CMO Series 2020-6 Class A1 | ||||
11/25/2025 | 2.363% | 3,027,165 | 2,990,471 | |
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 7,157,582 | 6,964,167 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 3,837,607 | 3,757,979 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 5,977,751 | 5,769,142 | |
CMO Series 2021-9 Class A1 | ||||
10/25/2026 | 2.363% | 11,259,049 | 10,918,124 | |
PRET LLC(a),(c),(j),(k) | ||||
CMO Series 2024-NPL2 Class A1 | ||||
02/25/2054 | 7.021% | 31,800,000 | 31,800,000 | |
Pretium Mortgage Credit Partners LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
07/25/2051 | 2.487% | 12,474,337 | 12,289,866 | |
PRKCM Trust(a),(c) | ||||
CMO Series 2021-AFC2 Class A3 | ||||
11/25/2056 | 2.893% | 12,941,000 | 8,726,295 | |
CMO Series 2021-AFC2 Class M1 | ||||
11/25/2056 | 3.443% | 9,528,000 | 6,244,192 | |
Subordinated CMO Series 2021-AFC2 Class B1 | ||||
11/25/2056 | 3.701% | 8,383,000 | 5,631,678 | |
PRPM LLC(a),(c) | ||||
CMO Series 2021-RPL1 Class A1 | ||||
07/25/2051 | 1.319% | 3,334,799 | 2,978,606 | |
PRPM Trust(a),(c) | ||||
CMO Series 2023-NQM3 Class A1 | ||||
11/25/2068 | 6.221% | 1,868,025 | 1,867,055 | |
Radnor Re Ltd.(a),(b) | ||||
Subordinated CMO Series 2021-2 Class M1A | ||||
30-day Average SOFR + 1.850% Floor 1.850% 11/25/2031 | 7.172% | 663,637 | 664,075 | |
Subordinated CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 3.700% Floor 3.700% 11/25/2031 | 9.022% | 4,775,000 | 4,861,239 | |
RCO Mortgage LLC(a),(c) | ||||
CMO Series 2024-1 Class A1 | ||||
01/25/2029 | 7.021% | 4,000,000 | 3,980,678 | |
Residential Mortgage Loan Trust(a),(c) | ||||
CMO Series 2020-1 Class A3 | ||||
01/26/2060 | 2.684% | 618,597 | 593,211 | |
Starwood Mortgage Residential Trust(a),(c) | ||||
CMO Series 2019-INV1 Class A3 | ||||
09/27/2049 | 2.916% | 3,252,083 | 3,120,533 | |
CMO Series 2020-2 Class A3 | ||||
04/25/2060 | 3.000% | 3,212,459 | 3,142,963 | |
CMO Series 2020-INV1 Class A3 | ||||
11/25/2055 | 1.593% | 725,265 | 666,481 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-4 Class M1 | ||||
08/25/2056 | 2.400% | 3,475,000 | 2,389,893 | |
Toorak Mortgage Corp., Ltd.(a),(c) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 3.240% | 2,831,926 | 2,804,413 | |
Towd Point HE Trust(a),(c) | ||||
CMO Series 2021-HE1 Class M2 | ||||
02/25/2063 | 2.500% | 2,800,000 | 2,536,027 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-1 Class A1 | ||||
01/25/2058 | 3.000% | 648,189 | 630,119 | |
CMO Series 2018-6 Class A1A | ||||
03/25/2058 | 3.750% | 2,585,063 | 2,519,526 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2019-HY1 Class A1 | ||||
1-month Term SOFR + 1.114% 10/25/2048 | 6.435% | 2,240,958 | 2,275,304 | |
CMO Series 2019-HY2 Class A1 | ||||
1-month Term SOFR + 1.114% 05/25/2058 | 6.435% | 2,640,135 | 2,688,018 | |
VCAT Asset Securitization LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 21,320,576 | 20,623,856 | |
VCAT LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
12/26/2050 | 2.289% | 500,013 | 495,410 | |
Vericrest Opportunity Loan Transferee(a),(c) | ||||
CMO Series 2021-NP11 Class A1 | ||||
08/25/2051 | 1.868% | 9,567,798 | 9,062,271 | |
Vericrest Opportunity Loan Transferee XCII LLC(a),(c) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
02/27/2051 | 4.893% | 5,360,236 | 5,225,860 | |
Vericrest Opportunity Loan Transferee XCIII LLC(a),(c) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
02/27/2051 | 4.893% | 5,217,382 | 5,029,506 | |
Vericrest Opportunity Loan Transferee XCIV LLC(a),(c) | ||||
CMO Series 2021-NPL3 Class A1 | ||||
02/27/2051 | 2.240% | 6,129,291 | 5,977,303 | |
Vericrest Opportunity Loan Transferee XCIX LLC(a),(c) | ||||
CMO Series 2021-NPL8 Class A1 | ||||
04/25/2051 | 2.116% | 4,058,820 | 3,932,938 | |
Vericrest Opportunity Loan Transferee XCVI LLC(a),(c) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
03/27/2051 | 2.116% | 3,533,069 | 3,456,488 | |
Vericrest Opportunity Loan Transferee XCVII LLC(a),(c) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
04/25/2051 | 2.240% | 15,992,202 | 15,659,938 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vericrest Opportunity Loan Trust CI LLC(a),(c) | ||||
CMO Series 2021-NP10 Class A1 | ||||
05/25/2051 | 1.992% | 12,755,565 | 12,004,517 | |
Verus Securitization Trust(a),(c) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2059 | 3.000% | 2,680,474 | 2,592,461 | |
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.021% | 6,350,000 | 5,464,536 | |
CMO Series 2020-2 Class A1 | ||||
05/25/2060 | 2.226% | 315,878 | 311,197 | |
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 50,535 | 50,043 | |
CMO Series 2021-R1 Class A2 | ||||
10/25/2063 | 1.057% | 907,108 | 837,187 | |
CMO Series 2021-R1 Class A3 | ||||
10/25/2063 | 1.262% | 1,155,831 | 1,066,938 | |
CMO Series 2022-1 Class A1 | ||||
01/25/2067 | 2.724% | 21,089,062 | 18,903,417 | |
CMO Series 2022-4 Class A1 | ||||
04/25/2067 | 4.474% | 2,624,948 | 2,569,079 | |
CMO Series 2023-6 Class A2 | ||||
09/25/2068 | 6.939% | 4,036,264 | 4,070,896 | |
CMO Series 2023-8 Class A1 | ||||
12/25/2068 | 6.259% | 3,892,179 | 3,899,367 | |
CMO Series 2023-INV1 Class A1 | ||||
02/25/2068 | 5.999% | 17,955,351 | 17,884,393 | |
CMO Series 2024-1 Class A1 | ||||
01/25/2069 | 5.712% | 16,660,560 | 16,540,230 | |
Verus Securitization Trust(a) | ||||
CMO Series 2024-2 Class A1 | ||||
02/25/2069 | 6.095% | 4,850,000 | 4,852,787 | |
Visio Trust(a),(c) | ||||
CMO Series 2019-2 Class A3 | ||||
11/25/2054 | 3.076% | 1,380,143 | 1,308,737 | |
Visio Trust(a) | ||||
CMO Series 2020-1R Class A2 | ||||
11/25/2055 | 1.567% | 833,799 | 770,315 | |
CMO Series 2020-1R Class A3 | ||||
11/25/2055 | 1.873% | 948,775 | 878,200 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $839,286,563) | 797,779,829 | |||
Senior Loans 0.0% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
WR Grace Holdings LLC(b),(l) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% Floor 0.500% 09/22/2028 | 9.360% | 210,700 | 210,384 | |
Media and Entertainment 0.0% | ||||
Cengage Learning, Inc.(b),(l) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.750% Floor 1.000% 07/14/2026 | 10.326% | 347,545 | 347,330 | |
Technology 0.0% | ||||
Ascend Learning LLC(b),(l) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.926% | 320,411 | 314,624 | |
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 11.176% | 150,000 | 144,000 | |
DCert Buyer, Inc.(b),(l) | ||||
2nd Lien Term Loan | ||||
1-month Term SOFR + 7.000% 02/19/2029 | 12.326% | 77,667 | 70,566 | |
UKG, Inc.(b),(l) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.500% 02/10/2031 | 8.814% | 114,185 | 114,239 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.680% | 190,655 | 192,323 | |
Total | 835,752 | |||
Total Senior Loans (Cost $1,402,206) | 1,393,466 | |||
U.S. Treasury Obligations 0.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(i) | ||||
05/15/2047 | 3.000% | 38,600,000 | 30,120,063 | |
Total U.S. Treasury Obligations (Cost $30,405,217) | 30,120,063 |
Money Market Funds 10.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(m),(n) | 973,034,399 | 972,839,792 |
Total Money Market Funds (Cost $972,664,320) | 972,839,792 | |
Total Investments in Securities (Cost: $7,535,687,756) | 9,936,963,242 | |
Other Assets & Liabilities, Net | (1,048,788,935 ) | |
Net Assets | 8,888,174,307 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | 3,550 | 06/2024 | USD | 392,053,125 | 1,158,099 | — |
U.S. Treasury 5-Year Note | 184 | 06/2024 | USD | 19,670,750 | 3,940 | — |
U.S. Treasury Ultra Bond | 491 | 06/2024 | USD | 62,786,625 | 116,574 | — |
Total | 1,278,613 | — |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $1,682,235,938, which represents 18.93% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 29, 2024. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 29, 2024. |
(d) | Non-income producing investment. |
(e) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(f) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of February 29, 2024. |
(g) | Represents a security purchased on a when-issued basis. |
(h) | Principal and interest may not be guaranteed by a governmental entity. |
(i) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(j) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $31,800,000, which represents 0.36% of total net assets. |
(k) | Valuation based on significant unobservable inputs. |
(l) | The stated interest rate represents the weighted average interest rate at February 29, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(m) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(n) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
833,279,115 | 1,317,167,872 | (1,177,652,323 ) | 45,128 | 972,839,792 | 32,465 | 23,649,911 | 973,034,399 |
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
USD | US Dollar |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 556,642,773 | — | 556,642,773 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 275,691,582 | — | 275,691,582 |
Common Stocks | ||||
Communication Services | 617,298,640 | — | — | 617,298,640 |
Consumer Discretionary | 494,227,860 | — | — | 494,227,860 |
Consumer Staples | 312,751,024 | — | — | 312,751,024 |
Energy | 201,667,843 | — | — | 201,667,843 |
Financials | 710,581,928 | — | — | 710,581,928 |
Health Care | 631,841,149 | — | — | 631,841,149 |
Industrials | 590,548,992 | — | — | 590,548,992 |
Information Technology | 1,584,848,954 | — | — | 1,584,848,954 |
Materials | 110,600,714 | — | — | 110,600,714 |
Real Estate | 43,776,842 | — | — | 43,776,842 |
Utilities | 74,806,690 | — | — | 74,806,690 |
Total Common Stocks | 5,372,950,636 | — | — | 5,372,950,636 |
Convertible Bonds | — | 131,849 | — | 131,849 |
Corporate Bonds & Notes | — | 631,651,027 | — | 631,651,027 |
Exchange-Traded Equity Funds | 155,344,900 | — | — | 155,344,900 |
Foreign Government Obligations | — | 754,643 | — | 754,643 |
Residential Mortgage-Backed Securities - Agency | — | 1,141,662,682 | — | 1,141,662,682 |
Residential Mortgage-Backed Securities - Non-Agency | — | 765,979,829 | 31,800,000 | 797,779,829 |
Senior Loans | — | 1,393,466 | — | 1,393,466 |
U.S. Treasury Obligations | — | 30,120,063 | — | 30,120,063 |
Money Market Funds | 972,839,792 | — | — | 972,839,792 |
Total Investments in Securities | 6,501,135,328 | 3,404,027,914 | 31,800,000 | 9,936,963,242 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 1,278,613 | — | — | 1,278,613 |
Total | 6,502,413,941 | 3,404,027,914 | 31,800,000 | 9,938,241,855 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $6,563,023,436) | $8,964,123,450 |
Affiliated issuers (cost $972,664,320) | 972,839,792 |
Cash | 7,595,669 |
Cash collateral held at broker for: | |
TBA | 14,526,864 |
Receivable for: | |
Investments sold | 48,631,374 |
Investments sold on a delayed delivery basis | 26,622 |
Capital shares sold | 16,710,436 |
Dividends | 12,108,169 |
Interest | 16,349,857 |
Foreign tax reclaims | 2,426 |
Variation margin for futures contracts | 719,281 |
Prepaid expenses | 47,195 |
Deferred compensation of board members | 435,874 |
Other assets | 67,247 |
Total assets | 10,054,184,256 |
Liabilities | |
Payable for: | |
Investments purchased | 29,172,740 |
Investments purchased on a delayed delivery basis | 1,123,627,215 |
Capital shares redeemed | 11,650,251 |
Management services fees | 137,143 |
Distribution and/or service fees | 55,736 |
Transfer agent fees | 666,374 |
Compensation of chief compliance officer | 759 |
Compensation of board members | 12,874 |
Other expenses | 113,632 |
Deferred compensation of board members | 573,225 |
Total liabilities | 1,166,009,949 |
Net assets applicable to outstanding capital stock | $8,888,174,307 |
Represented by | |
Paid in capital | 6,251,967,455 |
Total distributable earnings (loss) | 2,636,206,852 |
Total - representing net assets applicable to outstanding capital stock | $8,888,174,307 |
Class A | |
Net assets | $3,650,993,608 |
Shares outstanding | 72,453,362 |
Net asset value per share | $50.39 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $53.46 |
Advisor Class | |
Net assets | $395,249,158 |
Shares outstanding | 7,764,345 |
Net asset value per share | $50.91 |
Class C | |
Net assets | $1,064,194,552 |
Shares outstanding | 21,244,682 |
Net asset value per share | $50.09 |
Institutional Class | |
Net assets | $2,449,253,868 |
Shares outstanding | 48,718,670 |
Net asset value per share | $50.27 |
Institutional 2 Class | |
Net assets | $421,863,162 |
Shares outstanding | 8,384,373 |
Net asset value per share | $50.32 |
Institutional 3 Class | |
Net assets | $761,422,498 |
Shares outstanding | 14,950,997 |
Net asset value per share | $50.93 |
Class R | |
Net assets | $145,197,461 |
Shares outstanding | 2,881,610 |
Net asset value per share | $50.39 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $34,213,668 |
Dividends — affiliated issuers | 23,649,911 |
Interest | 55,357,025 |
Interfund lending | 20,606 |
Foreign taxes withheld | (137,598 ) |
Total income | 113,103,612 |
Expenses: | |
Management services fees | 23,179,514 |
Distribution and/or service fees | |
Class A | 4,165,068 |
Class C | 5,138,369 |
Class R | 330,238 |
Transfer agent fees | |
Class A | 1,531,528 |
Advisor Class | 165,902 |
Class C | 472,212 |
Institutional Class | 1,011,501 |
Institutional 2 Class | 107,753 |
Institutional 3 Class | 23,533 |
Class R | 60,709 |
Custodian fees | 32,492 |
Printing and postage fees | 168,126 |
Registration fees | 102,978 |
Accounting services fees | 20,693 |
Legal fees | 62,124 |
Interest on collateral | 4,733 |
Compensation of chief compliance officer | 759 |
Compensation of board members | 52,377 |
Deferred compensation of board members | 18,882 |
Other | 64,195 |
Total expenses | 36,713,686 |
Expense reduction | (1,080 ) |
Total net expenses | 36,712,606 |
Net investment income | 76,391,006 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 264,894,224 |
Investments — affiliated issuers | 32,465 |
Foreign currency translations | 1,963 |
Futures contracts | (6,291,279 ) |
Net realized gain | 258,637,373 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 527,735,681 |
Investments — affiliated issuers | 45,128 |
Futures contracts | (2,619,876 ) |
Net change in unrealized appreciation (depreciation) | 525,160,933 |
Net realized and unrealized gain | 783,798,306 |
Net increase in net assets resulting from operations | $860,189,312 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $76,391,006 | $123,710,740 |
Net realized gain (loss) | 258,637,373 | (21,476,954 ) |
Net change in unrealized appreciation (depreciation) | 525,160,933 | 611,830,871 |
Net increase in net assets resulting from operations | 860,189,312 | 714,064,657 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (31,521,330 ) | (151,598,393 ) |
Advisor Class | (3,811,810 ) | (16,366,002 ) |
Class C | (6,170,543 ) | (49,203,951 ) |
Institutional Class | (23,418,641 ) | (106,371,782 ) |
Institutional 2 Class | (4,174,480 ) | (17,896,926 ) |
Institutional 3 Class | (7,577,297 ) | (32,783,519 ) |
Class R | (1,089,436 ) | (5,538,146 ) |
Total distributions to shareholders | (77,763,537 ) | (379,758,719 ) |
Increase (decrease) in net assets from capital stock activity | 135,671,887 | (207,709,778 ) |
Total increase in net assets | 918,097,662 | 126,596,160 |
Net assets at beginning of period | 7,970,076,645 | 7,843,480,485 |
Net assets at end of period | $8,888,174,307 | $7,970,076,645 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 6,380,649 | 298,358,260 | 9,889,780 | 427,053,306 |
Distributions reinvested | 657,763 | 30,121,703 | 3,433,923 | 144,182,959 |
Shares redeemed | (5,558,134 ) | (259,062,084 ) | (12,517,474 ) | (536,105,993 ) |
Net increase | 1,480,278 | 69,417,879 | 806,229 | 35,130,272 |
Advisor Class | ||||
Shares sold | 871,293 | 40,680,822 | 1,380,704 | 60,447,868 |
Distributions reinvested | 82,386 | 3,810,866 | 385,563 | 16,360,955 |
Shares redeemed | (695,044 ) | (32,973,439 ) | (1,814,698 ) | (78,332,853 ) |
Net increase (decrease) | 258,635 | 11,518,249 | (48,431 ) | (1,524,030 ) |
Class C | ||||
Shares sold | 2,212,875 | 102,455,029 | 3,071,533 | 132,829,863 |
Distributions reinvested | 131,712 | 5,997,459 | 1,145,341 | 47,683,439 |
Shares redeemed | (4,249,096 ) | (197,134,528 ) | (9,072,273 ) | (388,335,030 ) |
Net decrease | (1,904,509 ) | (88,682,040 ) | (4,855,399 ) | (207,821,728 ) |
Institutional Class | ||||
Shares sold | 6,484,826 | 302,494,499 | 8,067,723 | 348,851,453 |
Distributions reinvested | 436,217 | 19,924,343 | 2,182,350 | 91,453,065 |
Shares redeemed | (4,595,193 ) | (213,713,425 ) | (11,726,716 ) | (501,126,432 ) |
Net increase (decrease) | 2,325,850 | 108,705,417 | (1,476,643 ) | (60,821,914 ) |
Institutional 2 Class | ||||
Shares sold | 1,220,925 | 56,850,889 | 2,657,821 | 114,514,298 |
Distributions reinvested | 91,310 | 4,173,626 | 426,525 | 17,889,108 |
Shares redeemed | (1,126,840 ) | (52,078,792 ) | (2,472,914 ) | (105,318,869 ) |
Net increase | 185,395 | 8,945,723 | 611,432 | 27,084,537 |
Institutional 3 Class | ||||
Shares sold | 1,505,306 | 71,574,848 | 3,019,530 | 132,328,830 |
Distributions reinvested | 149,417 | 6,912,933 | 681,459 | 28,931,123 |
Shares redeemed | (1,199,412 ) | (56,645,619 ) | (3,862,364 ) | (169,612,515 ) |
Net increase (decrease) | 455,311 | 21,842,162 | (161,375 ) | (8,352,562 ) |
Class R | ||||
Shares sold | 225,898 | 10,610,311 | 484,049 | 20,892,199 |
Distributions reinvested | 23,350 | 1,069,749 | 129,339 | 5,427,366 |
Shares redeemed | (163,986 ) | (7,755,563 ) | (413,850 ) | (17,723,918 ) |
Net increase | 85,262 | 3,924,497 | 199,538 | 8,595,647 |
Total net increase (decrease) | 2,886,222 | 135,671,887 | (4,924,649 ) | (207,709,778 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $45.94 | 0.43 | 4.46 | 4.89 | (0.44 ) | — | (0.44 ) |
Year Ended 8/31/2023 | $43.97 | 0.71 | 3.46 | 4.17 | (0.64 ) | (1.56 ) | (2.20 ) |
Year Ended 8/31/2022 | $54.93 | 0.40 | (6.73 ) | (6.33 ) | (0.34 ) | (4.29 ) | (4.63 ) |
Year Ended 8/31/2021 | $47.73 | 0.36 | 9.19 | 9.55 | (0.37 ) | (1.98 ) | (2.35 ) |
Year Ended 8/31/2020 | $42.24 | 0.53 | 6.67 | 7.20 | (0.63 ) | (1.08 ) | (1.71 ) |
Year Ended 8/31/2019 | $42.53 | 0.63 | 1.19 | 1.82 | (0.60 ) | (1.51 ) | (2.11 ) |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $46.40 | 0.49 | 4.52 | 5.01 | (0.50 ) | — | (0.50 ) |
Year Ended 8/31/2023 | $44.39 | 0.82 | 3.49 | 4.31 | (0.74 ) | (1.56 ) | (2.30 ) |
Year Ended 8/31/2022 | $55.42 | 0.52 | (6.79 ) | (6.27 ) | (0.47 ) | (4.29 ) | (4.76 ) |
Year Ended 8/31/2021 | $48.13 | 0.49 | 9.27 | 9.76 | (0.49 ) | (1.98 ) | (2.47 ) |
Year Ended 8/31/2020 | $42.58 | 0.64 | 6.72 | 7.36 | (0.73 ) | (1.08 ) | (1.81 ) |
Year Ended 8/31/2019 | $42.86 | 0.73 | 1.21 | 1.94 | (0.71 ) | (1.51 ) | (2.22 ) |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $45.67 | 0.25 | 4.44 | 4.69 | (0.27 ) | — | (0.27 ) |
Year Ended 8/31/2023 | $43.72 | 0.38 | 3.44 | 3.82 | (0.31 ) | (1.56 ) | (1.87 ) |
Year Ended 8/31/2022 | $54.68 | 0.03 | (6.69 ) | (6.66 ) | (0.01 ) | (4.29 ) | (4.30 ) |
Year Ended 8/31/2021 | $47.56 | (0.02 ) | 9.16 | 9.14 | (0.04 ) | (1.98 ) | (2.02 ) |
Year Ended 8/31/2020 | $42.08 | 0.21 | 6.65 | 6.86 | (0.30 ) | (1.08 ) | (1.38 ) |
Year Ended 8/31/2019 | $42.38 | 0.32 | 1.19 | 1.51 | (0.30 ) | (1.51 ) | (1.81 ) |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $45.83 | 0.49 | 4.45 | 4.94 | (0.50 ) | — | (0.50 ) |
Year Ended 8/31/2023 | $43.87 | 0.81 | 3.45 | 4.26 | (0.74 ) | (1.56 ) | (2.30 ) |
Year Ended 8/31/2022 | $54.83 | 0.52 | (6.72 ) | (6.20 ) | (0.47 ) | (4.29 ) | (4.76 ) |
Year Ended 8/31/2021 | $47.65 | 0.48 | 9.17 | 9.65 | (0.49 ) | (1.98 ) | (2.47 ) |
Year Ended 8/31/2020 | $42.17 | 0.64 | 6.65 | 7.29 | (0.73 ) | (1.08 ) | (1.81 ) |
Year Ended 8/31/2019 | $42.47 | 0.73 | 1.19 | 1.92 | (0.71 ) | (1.51 ) | (2.22 ) |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $45.87 | 0.50 | 4.46 | 4.96 | (0.51 ) | — | (0.51 ) |
Year Ended 8/31/2023 | $43.91 | 0.83 | 3.45 | 4.28 | (0.76 ) | (1.56 ) | (2.32 ) |
Year Ended 8/31/2022 | $54.87 | 0.53 | (6.71 ) | (6.18 ) | (0.49 ) | (4.29 ) | (4.78 ) |
Year Ended 8/31/2021 | $47.68 | 0.50 | 9.18 | 9.68 | (0.51 ) | (1.98 ) | (2.49 ) |
Year Ended 8/31/2020 | $42.20 | 0.66 | 6.65 | 7.31 | (0.75 ) | (1.08 ) | (1.83 ) |
Year Ended 8/31/2019 | $42.50 | 0.75 | 1.19 | 1.94 | (0.73 ) | (1.51 ) | (2.24 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.39 | 10.75% | 0.93% (c) | 0.93% (c),(d) | 1.86% | 101% | $3,650,994 |
Year Ended 8/31/2023 | $45.94 | 9.99% | 0.93% (c) | 0.93% (c),(d) | 1.64% | 171% | $3,260,575 |
Year Ended 8/31/2022 | $43.97 | (12.57% ) | 0.92% (c),(e) | 0.92% (c),(d),(e) | 0.81% | 121% | $3,085,213 |
Year Ended 8/31/2021 | $54.93 | 20.72% | 0.93% (c) | 0.93% (c),(d) | 0.71% | 124% | $3,553,866 |
Year Ended 8/31/2020 | $47.73 | 17.59% | 0.95% | 0.95% (d) | 1.23% | 140% | $2,954,559 |
Year Ended 8/31/2019 | $42.24 | 4.79% | 0.95% | 0.95% | 1.55% | 119% | $2,685,001 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.91 | 10.91% | 0.68% (c) | 0.68% (c),(d) | 2.11% | 101% | $395,249 |
Year Ended 8/31/2023 | $46.40 | 10.26% | 0.68% (c) | 0.68% (c),(d) | 1.89% | 171% | $348,301 |
Year Ended 8/31/2022 | $44.39 | (12.36% ) | 0.67% (c),(e) | 0.67% (c),(d),(e) | 1.06% | 121% | $335,333 |
Year Ended 8/31/2021 | $55.42 | 21.03% | 0.68% (c) | 0.68% (c),(d) | 0.95% | 124% | $382,964 |
Year Ended 8/31/2020 | $48.13 | 17.89% | 0.70% | 0.70% (d) | 1.48% | 140% | $253,954 |
Year Ended 8/31/2019 | $42.58 | 5.04% | 0.70% | 0.70% | 1.80% | 119% | $248,877 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.09 | 10.33% | 1.68% (c) | 1.68% (c),(d) | 1.11% | 101% | $1,064,195 |
Year Ended 8/31/2023 | $45.67 | 9.18% | 1.68% (c) | 1.68% (c),(d) | 0.88% | 171% | $1,057,268 |
Year Ended 8/31/2022 | $43.72 | (13.23% ) | 1.67% (c),(e) | 1.67% (c),(d),(e) | 0.05% | 121% | $1,224,470 |
Year Ended 8/31/2021 | $54.68 | 19.82% | 1.68% (c) | 1.68% (c),(d) | (0.04% ) | 124% | $1,616,952 |
Year Ended 8/31/2020 | $47.56 | 16.73% | 1.70% | 1.70% (d) | 0.48% | 140% | $1,512,696 |
Year Ended 8/31/2019 | $42.08 | 4.00% | 1.70% | 1.70% | 0.80% | 119% | $1,443,468 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.27 | 10.89% | 0.68% (c) | 0.68% (c),(d) | 2.11% | 101% | $2,449,254 |
Year Ended 8/31/2023 | $45.83 | 10.27% | 0.68% (c) | 0.68% (c),(d) | 1.89% | 171% | $2,126,401 |
Year Ended 8/31/2022 | $43.87 | (12.36% ) | 0.67% (c),(e) | 0.67% (c),(d),(e) | 1.06% | 121% | $2,100,254 |
Year Ended 8/31/2021 | $54.83 | 21.01% | 0.68% (c) | 0.68% (c),(d) | 0.96% | 124% | $2,458,182 |
Year Ended 8/31/2020 | $47.65 | 17.90% | 0.70% | 0.70% (d) | 1.48% | 140% | $1,876,178 |
Year Ended 8/31/2019 | $42.17 | 5.04% | 0.70% | 0.70% | 1.80% | 119% | $1,672,560 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.32 | 10.92% | 0.64% (c) | 0.64% (c) | 2.15% | 101% | $421,863 |
Year Ended 8/31/2023 | $45.87 | 10.30% | 0.64% (c) | 0.64% (c) | 1.93% | 171% | $376,116 |
Year Ended 8/31/2022 | $43.91 | (12.32% ) | 0.64% (c),(e) | 0.64% (c),(e) | 1.09% | 121% | $333,148 |
Year Ended 8/31/2021 | $54.87 | 21.07% | 0.64% (c) | 0.64% (c) | 1.00% | 124% | $447,431 |
Year Ended 8/31/2020 | $47.68 | 17.95% | 0.65% | 0.65% | 1.52% | 140% | $286,454 |
Year Ended 8/31/2019 | $42.20 | 5.09% | 0.65% | 0.65% | 1.84% | 119% | $245,737 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $46.42 | 0.51 | 4.52 | 5.03 | (0.52 ) | — | (0.52 ) |
Year Ended 8/31/2023 | $44.41 | 0.86 | 3.49 | 4.35 | (0.78 ) | (1.56 ) | (2.34 ) |
Year Ended 8/31/2022 | $55.44 | 0.57 | (6.79 ) | (6.22 ) | (0.52 ) | (4.29 ) | (4.81 ) |
Year Ended 8/31/2021 | $48.15 | 0.53 | 9.27 | 9.80 | (0.53 ) | (1.98 ) | (2.51 ) |
Year Ended 8/31/2020 | $42.60 | 0.68 | 6.72 | 7.40 | (0.77 ) | (1.08 ) | (1.85 ) |
Year Ended 8/31/2019 | $42.88 | 0.78 | 1.20 | 1.98 | (0.75 ) | (1.51 ) | (2.26 ) |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $45.94 | 0.37 | 4.47 | 4.84 | (0.39 ) | — | (0.39 ) |
Year Ended 8/31/2023 | $43.97 | 0.60 | 3.46 | 4.06 | (0.53 ) | (1.56 ) | (2.09 ) |
Year Ended 8/31/2022 | $54.92 | 0.27 | (6.71 ) | (6.44 ) | (0.22 ) | (4.29 ) | (4.51 ) |
Year Ended 8/31/2021 | $47.73 | 0.23 | 9.18 | 9.41 | (0.24 ) | (1.98 ) | (2.22 ) |
Year Ended 8/31/2020 | $42.23 | 0.42 | 6.68 | 7.10 | (0.52 ) | (1.08 ) | (1.60 ) |
Year Ended 8/31/2019 | $42.53 | 0.53 | 1.18 | 1.71 | (0.50 ) | (1.51 ) | (2.01 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Ratios include interfund lending expense which is less than 0.01%. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.93 | 10.95% | 0.59% (c) | 0.59% (c) | 2.20% | 101% | $761,422 |
Year Ended 8/31/2023 | $46.42 | 10.35% | 0.60% (c) | 0.60% (c) | 1.98% | 171% | $672,955 |
Year Ended 8/31/2022 | $44.41 | (12.27% ) | 0.59% (c),(e) | 0.59% (c),(e) | 1.15% | 121% | $650,889 |
Year Ended 8/31/2021 | $55.44 | 21.13% | 0.59% (c) | 0.59% (c) | 1.05% | 124% | $723,074 |
Year Ended 8/31/2020 | $48.15 | 18.00% | 0.61% | 0.61% | 1.56% | 140% | $573,567 |
Year Ended 8/31/2019 | $42.60 | 5.14% | 0.61% | 0.61% | 1.90% | 119% | $377,342 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $50.39 | 10.61% | 1.18% (c) | 1.18% (c),(d) | 1.61% | 101% | $145,197 |
Year Ended 8/31/2023 | $45.94 | 9.72% | 1.18% (c) | 1.18% (c),(d) | 1.39% | 171% | $128,460 |
Year Ended 8/31/2022 | $43.97 | (12.78% ) | 1.17% (c),(e) | 1.17% (c),(d),(e) | 0.56% | 121% | $114,174 |
Year Ended 8/31/2021 | $54.92 | 20.40% | 1.18% (c) | 1.18% (c),(d) | 0.47% | 124% | $143,562 |
Year Ended 8/31/2020 | $47.73 | 17.32% | 1.20% | 1.20% (d) | 0.98% | 140% | $134,948 |
Year Ended 8/31/2019 | $42.23 | 4.50% | 1.20% | 1.20% | 1.30% | 119% | $127,735 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,278,613 * |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (6,291,279 ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Interest rate risk | (2,619,876 ) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 833,961,034 |
Futures contracts — short | 26,219,732 |
Effective rate (%) | |
Class A | 0.09 |
Advisor Class | 0.09 |
Class C | 0.09 |
Institutional Class | 0.09 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.09 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 1,843,120 |
Class C | — | 1.00 (b) | 28,755 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 1.03 % | 1.08 % |
Advisor Class | 0.78 | 0.83 |
Class C | 1.78 | 1.83 |
Institutional Class | 0.78 | 0.83 |
Institutional 2 Class | 0.75 | 0.80 |
Institutional 3 Class | 0.70 | 0.75 |
Class R | 1.28 | 1.33 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
7,535,688,000 | 2,525,796,000 | (123,242,000 ) | 2,402,554,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(24,438,463 ) | — | (24,438,463 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 15,850,000 | 5.86 | 8 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/98 | 15.65 | 36.88 | 15.70 | 12.32 |
Including sales charges | 9.01 | 29.00 | 14.35 | 11.66 | ||
Advisor Class | 11/08/12 | 15.79 | 37.23 | 15.99 | 12.60 | |
Class C | Excluding sales charges | 12/09/02 | 15.22 | 35.85 | 14.84 | 11.48 |
Including sales charges | 14.22 | 34.85 | 14.84 | 11.48 | ||
Institutional Class | 12/14/92 | 15.78 | 37.24 | 16.00 | 12.60 | |
Institutional 2 Class | 11/08/12 | 15.84 | 37.35 | 16.09 | 12.71 | |
Institutional 3 Class | 11/08/12 | 15.88 | 37.37 | 16.15 | 12.76 | |
Class R | 09/27/10 | 15.50 | 36.55 | 15.41 | 12.04 | |
Russell 1000 Index | 14.03 | 29.81 | 14.43 | 12.39 |
Portfolio breakdown (%) (at February 29, 2024) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 11.5 |
Consumer Discretionary | 9.2 |
Consumer Staples | 5.8 |
Energy | 3.7 |
Financials | 13.2 |
Health Care | 11.8 |
Industrials | 11.0 |
Information Technology | 29.5 |
Materials | 2.1 |
Real Estate | 0.8 |
Utilities | 1.4 |
Total | 100.0 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,156.50 | 1,020.04 | 5.20 | 4.87 | 0.97 |
Advisor Class | 1,000.00 | 1,000.00 | 1,157.90 | 1,021.28 | 3.86 | 3.62 | 0.72 |
Class C | 1,000.00 | 1,000.00 | 1,152.20 | 1,016.31 | 9.20 | 8.62 | 1.72 |
Institutional Class | 1,000.00 | 1,000.00 | 1,157.80 | 1,021.28 | 3.86 | 3.62 | 0.72 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,158.40 | 1,021.63 | 3.49 | 3.27 | 0.65 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,158.80 | 1,021.88 | 3.22 | 3.02 | 0.60 |
Class R | 1,000.00 | 1,000.00 | 1,155.00 | 1,018.80 | 6.54 | 6.12 | 1.22 |
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Communication Services 11.3% | ||
Entertainment 1.3% | ||
Endeavor Group Holdings, Inc., Class A | 3,394,302 | 81,632,963 |
Take-Two Interactive Software, Inc.(a) | 668,484 | 98,220,354 |
Total | 179,853,317 | |
Interactive Media & Services 8.6% | ||
Alphabet, Inc., Class A(a) | 1,955,069 | 270,698,854 |
Alphabet, Inc., Class C(a) | 1,710,218 | 239,054,272 |
Match Group, Inc.(a) | 1,469,803 | 52,971,700 |
Meta Platforms, Inc., Class A | 998,609 | 489,448,229 |
Pinterest, Inc., Class A(a) | 2,795,289 | 102,587,106 |
Total | 1,154,760,161 | |
Media 0.4% | ||
Comcast Corp., Class A | 1,266,769 | 54,281,052 |
Wireless Telecommunication Services 1.0% | ||
T-Mobile US, Inc. | 851,471 | 139,045,214 |
Total Communication Services | 1,527,939,744 | |
Consumer Discretionary 9.1% | ||
Automobiles 0.5% | ||
Tesla, Inc.(a) | 319,475 | 64,495,613 |
Broadline Retail 5.6% | ||
Amazon.com, Inc.(a) | 3,635,653 | 642,638,024 |
eBay, Inc. | 2,329,027 | 110,116,397 |
Total | 752,754,421 | |
Hotels, Restaurants & Leisure 0.8% | ||
Las Vegas Sands Corp. | 1,998,159 | 108,939,628 |
Textiles, Apparel & Luxury Goods 2.2% | ||
NIKE, Inc., Class B | 1,628,160 | 169,214,669 |
Tapestry, Inc. | 2,706,555 | 128,642,559 |
Total | 297,857,228 | |
Total Consumer Discretionary | 1,224,046,890 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples 5.7% | ||
Consumer Staples Distribution & Retail 3.1% | ||
Dollar Tree, Inc.(a) | 499,950 | 73,332,666 |
Sysco Corp. | 1,915,413 | 155,090,990 |
Walmart, Inc. | 3,151,959 | 184,736,317 |
Total | 413,159,973 | |
Food Products 0.7% | ||
Mondelez International, Inc., Class A | 1,284,542 | 93,861,484 |
Household Products 1.3% | ||
Procter & Gamble Co. (The) | 1,130,452 | 179,674,041 |
Personal Care Products 0.6% | ||
Coty, Inc., Class A(a) | 6,908,905 | 86,775,847 |
Total Consumer Staples | 773,471,345 | |
Energy 3.7% | ||
Oil, Gas & Consumable Fuels 3.7% | ||
Canadian Natural Resources Ltd. | 2,130,158 | 148,450,711 |
Chevron Corp. | 1,531,297 | 232,772,457 |
EOG Resources, Inc. | 1,015,880 | 116,277,625 |
Total | 497,500,793 | |
Total Energy | 497,500,793 | |
Financials 13.0% | ||
Banks 4.4% | ||
Bank of America Corp. | 5,341,553 | 184,390,410 |
JPMorgan Chase & Co. | 1,263,405 | 235,069,134 |
Wells Fargo & Co. | 3,116,734 | 173,259,243 |
Total | 592,718,787 | |
Capital Markets 2.8% | ||
BlackRock, Inc. | 253,985 | 206,068,190 |
Charles Schwab Corp. (The) | 1,431,121 | 95,570,260 |
S&P Global, Inc. | 188,895 | 80,918,840 |
Total | 382,557,290 | |
Consumer Finance 0.8% | ||
American Express Co. | 492,757 | 108,120,741 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Financial Services 4.4% | ||
Berkshire Hathaway, Inc., Class B(a) | 166,663 | 68,231,832 |
Block, Inc., Class A(a) | 1,219,446 | 96,909,374 |
MasterCard, Inc., Class A | 426,741 | 202,599,557 |
Visa, Inc., Class A | 796,978 | 225,257,862 |
Total | 592,998,625 | |
Insurance 0.6% | ||
Aon PLC, Class A | 246,763 | 77,974,640 |
Total Financials | 1,754,370,083 | |
Health Care 11.6% | ||
Biotechnology 3.2% | ||
AbbVie, Inc. | 1,351,708 | 237,968,193 |
BioMarin Pharmaceutical, Inc.(a) | 1,012,198 | 87,332,443 |
Vertex Pharmaceuticals, Inc.(a) | 251,779 | 105,933,497 |
Total | 431,234,133 | |
Health Care Equipment & Supplies 2.4% | ||
Abbott Laboratories | 927,785 | 110,072,412 |
Becton Dickinson & Co. | 519,871 | 122,455,614 |
Boston Scientific Corp.(a) | 1,426,436 | 94,444,328 |
Total | 326,972,354 | |
Health Care Providers & Services 1.9% | ||
Elevance Health, Inc. | 495,628 | 248,433,535 |
Life Sciences Tools & Services 2.1% | ||
IQVIA Holdings, Inc.(a) | 222,122 | 54,899,674 |
Thermo Fisher Scientific, Inc. | 405,619 | 231,275,841 |
Total | 286,175,515 | |
Pharmaceuticals 2.0% | ||
Eli Lilly & Co. | 233,075 | 175,663,966 |
Pfizer, Inc. | 3,600,065 | 95,617,727 |
Total | 271,281,693 | |
Total Health Care | 1,564,097,230 | |
Industrials 10.8% | ||
Aerospace & Defense 2.0% | ||
L3Harris Technologies, Inc. | 555,379 | 117,551,519 |
RTX Corp. | 1,646,994 | 147,685,952 |
Total | 265,237,471 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Air Freight & Logistics 1.2% | ||
United Parcel Service, Inc., Class B | 1,059,987 | 157,153,673 |
Electrical Equipment 1.2% | ||
Emerson Electric Co. | 1,558,995 | 166,578,616 |
Ground Transportation 2.3% | ||
Uber Technologies, Inc.(a) | 1,383,664 | 110,001,288 |
Union Pacific Corp. | 798,322 | 202,526,308 |
Total | 312,527,596 | |
Industrial Conglomerates 2.4% | ||
General Electric Co. | 943,092 | 147,961,704 |
Honeywell International, Inc. | 869,098 | 172,715,845 |
Total | 320,677,549 | |
Machinery 1.3% | ||
Parker-Hannifin Corp. | 340,248 | 182,185,791 |
Passenger Airlines 0.4% | ||
United Airlines Holdings, Inc.(a) | 1,189,736 | 54,121,091 |
Total Industrials | 1,458,481,787 | |
Information Technology 29.0% | ||
Electronic Equipment, Instruments & Components 1.0% | ||
TE Connectivity Ltd. | 943,664 | 135,472,404 |
IT Services 1.4% | ||
Accenture PLC, Class A | 327,679 | 122,807,536 |
International Business Machines Corp. | 362,449 | 67,063,938 |
Total | 189,871,474 | |
Semiconductors & Semiconductor Equipment 10.3% | ||
Advanced Micro Devices, Inc.(a) | 594,885 | 114,533,209 |
Entegris, Inc. | 663,510 | 89,149,204 |
Lam Research Corp. | 191,836 | 179,990,127 |
Marvell Technology, Inc. | 408,958 | 29,305,930 |
NVIDIA Corp. | 896,598 | 709,316,610 |
ON Semiconductor Corp.(a) | 1,146,200 | 90,458,104 |
QUALCOMM, Inc. | 1,100,429 | 173,636,692 |
Total | 1,386,389,876 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Software 9.9% | ||
Adobe, Inc.(a) | 211,868 | 118,705,403 |
Intuit, Inc. | 202,236 | 134,060,222 |
Microsoft Corp. | 2,432,219 | 1,006,063,067 |
Palo Alto Networks, Inc.(a) | 266,223 | 82,675,553 |
Total | 1,341,504,245 | |
Technology Hardware, Storage & Peripherals 6.4% | ||
Apple, Inc. | 4,781,054 | 864,175,510 |
Total Information Technology | 3,917,413,509 | |
Materials 2.0% | ||
Chemicals 0.6% | ||
Sherwin-Williams Co. (The) | 256,430 | 85,142,453 |
Containers & Packaging 0.7% | ||
Avery Dennison Corp. | 465,301 | 100,751,626 |
Metals & Mining 0.7% | ||
Newmont Corp. | 2,818,153 | 88,067,281 |
Total Materials | 273,961,360 | |
Real Estate 0.8% | ||
Specialized REITs 0.8% | ||
American Tower Corp. | 542,446 | 107,870,812 |
Total Real Estate | 107,870,812 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 1.4% | ||
Multi-Utilities 1.4% | ||
DTE Energy Co. | 809,212 | 87,678,120 |
Public Service Enterprise Group, Inc. | 1,550,631 | 96,759,375 |
Total | 184,437,495 | |
Total Utilities | 184,437,495 | |
Total Common Stocks (Cost $7,239,091,158) | 13,283,591,048 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(b),(c) | 149,500,388 | 149,470,488 |
Total Money Market Funds (Cost $149,426,078) | 149,470,488 | |
Total Investments in Securities (Cost: $7,388,517,236) | 13,433,061,536 | |
Other Assets & Liabilities, Net | 65,850,090 | |
Net Assets | 13,498,911,626 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
255,220,678 | 1,420,601,450 | (1,526,358,638 ) | 6,998 | 149,470,488 | (11,690 ) | 8,107,217 | 149,500,388 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,527,939,744 | — | — | 1,527,939,744 |
Consumer Discretionary | 1,224,046,890 | — | — | 1,224,046,890 |
Consumer Staples | 773,471,345 | — | — | 773,471,345 |
Energy | 497,500,793 | — | — | 497,500,793 |
Financials | 1,754,370,083 | — | — | 1,754,370,083 |
Health Care | 1,564,097,230 | — | — | 1,564,097,230 |
Industrials | 1,458,481,787 | — | — | 1,458,481,787 |
Information Technology | 3,917,413,509 | — | — | 3,917,413,509 |
Materials | 273,961,360 | — | — | 273,961,360 |
Real Estate | 107,870,812 | — | — | 107,870,812 |
Utilities | 184,437,495 | — | — | 184,437,495 |
Total Common Stocks | 13,283,591,048 | — | — | 13,283,591,048 |
Money Market Funds | 149,470,488 | — | — | 149,470,488 |
Total Investments in Securities | 13,433,061,536 | — | — | 13,433,061,536 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $7,239,091,158) | $13,283,591,048 |
Affiliated issuers (cost $149,426,078) | 149,470,488 |
Receivable for: | |
Investments sold | 113,938,198 |
Capital shares sold | 13,435,400 |
Dividends | 20,000,848 |
Expense reimbursement due from Investment Manager | 8,547 |
Prepaid expenses | 66,691 |
Deferred compensation of board members | 940,700 |
Other assets | 87,234 |
Total assets | 13,581,539,154 |
Liabilities | |
Payable for: | |
Investments purchased | 71,267,098 |
Capital shares redeemed | 8,821,283 |
Management services fees | 221,177 |
Distribution and/or service fees | 25,825 |
Transfer agent fees | 1,035,725 |
Compensation of chief compliance officer | 1,103 |
Compensation of board members | 18,051 |
Other expenses | 110,423 |
Deferred compensation of board members | 1,126,843 |
Total liabilities | 82,627,528 |
Net assets applicable to outstanding capital stock | $13,498,911,626 |
Represented by | |
Paid in capital | 6,864,910,222 |
Total distributable earnings (loss) | 6,634,001,404 |
Total - representing net assets applicable to outstanding capital stock | $13,498,911,626 |
Class A | |
Net assets | $2,321,677,919 |
Shares outstanding | 69,236,495 |
Net asset value per share | $33.53 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $35.58 |
Advisor Class | |
Net assets | $672,676,463 |
Shares outstanding | 19,289,121 |
Net asset value per share | $34.87 |
Class C | |
Net assets | $303,437,020 |
Shares outstanding | 10,797,715 |
Net asset value per share | $28.10 |
Institutional Class | |
Net assets | $5,777,861,990 |
Shares outstanding | 170,235,709 |
Net asset value per share | $33.94 |
Institutional 2 Class | |
Net assets | $992,203,992 |
Shares outstanding | 28,480,694 |
Net asset value per share | $34.84 |
Institutional 3 Class | |
Net assets | $3,295,261,980 |
Shares outstanding | 94,501,435 |
Net asset value per share | $34.87 |
Class R | |
Net assets | $135,792,262 |
Shares outstanding | 4,048,643 |
Net asset value per share | $33.54 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $77,556,429 |
Dividends — affiliated issuers | 8,107,217 |
Interfund lending | 1,203 |
Foreign taxes withheld | (683,172 ) |
Total income | 84,981,677 |
Expenses: | |
Management services fees | 36,211,813 |
Distribution and/or service fees | |
Class A | 2,463,106 |
Class C | 1,455,272 |
Class R | 308,893 |
Class V | 122,532 |
Transfer agent fees | |
Class A | 1,239,351 |
Advisor Class | 367,001 |
Class C | 183,084 |
Institutional Class | 3,172,707 |
Institutional 2 Class | 238,613 |
Institutional 3 Class | 88,711 |
Class R | 77,752 |
Class V | 60,586 |
Custodian fees | 27,503 |
Printing and postage fees | 198,284 |
Registration fees | 110,754 |
Accounting services fees | 15,621 |
Legal fees | 87,242 |
Compensation of chief compliance officer | 1,103 |
Compensation of board members | 73,631 |
Deferred compensation of board members | 26,155 |
Other | 88,503 |
Total expenses | 46,618,217 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,719,748 ) |
Expense reduction | (4,359 ) |
Total net expenses | 44,894,110 |
Net investment income | 40,087,567 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 711,238,854 |
Investments — affiliated issuers | (11,690 ) |
Foreign currency translations | 3,495 |
Net realized gain | 711,230,659 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,089,346,941 |
Investments — affiliated issuers | 6,998 |
Foreign currency translations | (1,532 ) |
Net change in unrealized appreciation (depreciation) | 1,089,352,407 |
Net realized and unrealized gain | 1,800,583,066 |
Net increase in net assets resulting from operations | $1,840,670,633 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $40,087,567 | $65,540,201 |
Net realized gain | 711,230,659 | 239,460,297 |
Net change in unrealized appreciation (depreciation) | 1,089,352,407 | 1,549,108,512 |
Net increase in net assets resulting from operations | 1,840,670,633 | 1,854,109,010 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (60,520,947 ) | (149,270,484 ) |
Advisor Class | (17,717,185 ) | (48,346,525 ) |
Class C | (8,917,997 ) | (35,779,204 ) |
Institutional Class | (154,639,851 ) | (403,323,637 ) |
Institutional 2 Class | (27,768,398 ) | (65,673,680 ) |
Institutional 3 Class | (93,055,538 ) | (238,634,909 ) |
Class R | (3,346,576 ) | (9,716,828 ) |
Class V | — | (15,368,822 ) |
Total distributions to shareholders | (365,966,492 ) | (966,114,089 ) |
Increase in net assets from capital stock activity | 401,098,285 | 170,026,433 |
Total increase in net assets | 1,875,802,426 | 1,058,021,354 |
Net assets at beginning of period | 11,623,109,200 | 10,565,087,846 |
Net assets at end of period | $13,498,911,626 | $11,623,109,200 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 10,587,963 | 325,823,858 | 7,129,742 | 191,743,255 |
Distributions reinvested | 1,827,261 | 54,854,367 | 5,523,577 | 137,095,179 |
Shares redeemed | (4,981,883 ) | (151,470,255 ) | (10,921,645 ) | (292,220,451 ) |
Net increase | 7,433,341 | 229,207,970 | 1,731,674 | 36,617,983 |
Advisor Class | ||||
Shares sold | 2,613,043 | 82,996,075 | 3,283,219 | 91,587,827 |
Distributions reinvested | 548,582 | 17,121,246 | 1,825,854 | 47,034,007 |
Shares redeemed | (2,307,801 ) | (72,262,254 ) | (6,466,040 ) | (179,431,587 ) |
Net increase (decrease) | 853,824 | 27,855,067 | (1,356,967 ) | (40,809,753 ) |
Class C | ||||
Shares sold | 982,628 | 25,226,818 | 1,174,269 | 26,906,304 |
Distributions reinvested | 345,319 | 8,702,052 | 1,660,206 | 34,897,527 |
Shares redeemed | (2,622,539 ) | (67,231,598 ) | (6,557,509 ) | (148,608,689 ) |
Net decrease | (1,294,592 ) | (33,302,728 ) | (3,723,034 ) | (86,804,858 ) |
Institutional Class | ||||
Shares sold | 21,271,439 | 652,339,538 | 24,966,941 | 679,174,554 |
Distributions reinvested | 4,799,197 | 145,751,615 | 15,126,986 | 379,536,090 |
Shares redeemed | (16,724,899 ) | (516,586,050 ) | (33,756,925 ) | (910,968,627 ) |
Net increase | 9,345,737 | 281,505,103 | 6,337,002 | 147,742,017 |
Institutional 2 Class | ||||
Shares sold | 4,564,516 | 145,326,156 | 5,034,882 | 135,545,234 |
Distributions reinvested | 890,086 | 27,743,970 | 2,550,154 | 65,615,470 |
Shares redeemed | (3,079,983 ) | (97,687,588 ) | (4,642,180 ) | (129,112,789 ) |
Net increase | 2,374,619 | 75,382,538 | 2,942,856 | 72,047,915 |
Institutional 3 Class | ||||
Shares sold | 8,978,488 | 282,720,218 | 15,382,535 | 427,937,880 |
Distributions reinvested | 2,446,580 | 76,333,298 | 7,428,333 | 191,279,561 |
Shares redeemed | (10,807,734 ) | (344,482,203 ) | (20,526,088 ) | (581,278,109 ) |
Net increase | 617,334 | 14,571,313 | 2,284,780 | 37,939,332 |
Class R | ||||
Shares sold | 383,957 | 11,631,231 | 522,289 | 14,600,015 |
Distributions reinvested | 110,781 | 3,328,963 | 388,765 | 9,656,926 |
Shares redeemed | (544,675 ) | (16,555,548 ) | (894,249 ) | (23,972,778 ) |
Net increase (decrease) | (49,937 ) | (1,595,354 ) | 16,805 | 284,163 |
Class V | ||||
Shares sold | 7,628 | 221,885 | 142,636 | 3,513,820 |
Distributions reinvested | — | — | 458,280 | 11,200,364 |
Shares redeemed | (6,343,929 ) | (192,747,509 ) | (440,622 ) | (11,704,550 ) |
Net increase (decrease) | (6,336,301 ) | (192,525,624 ) | 160,294 | 3,009,634 |
Total net increase | 12,944,025 | 401,098,285 | 8,393,410 | 170,026,433 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $29.86 | 0.07 | 4.50 | 4.57 | (0.11 ) | (0.79 ) | (0.90 ) |
Year Ended 8/31/2023 | $27.82 | 0.11 | 4.46 | 4.57 | (0.06 ) | (2.47 ) | (2.53 ) |
Year Ended 8/31/2022 | $36.54 | 0.10 | (4.35 ) | (4.25 ) | (0.07 ) | (4.40 ) | (4.47 ) |
Year Ended 8/31/2021 | $29.79 | 0.09 | 8.94 | 9.03 | (0.17 ) | (2.11 ) | (2.28 ) |
Year Ended 8/31/2020 | $25.48 | 0.18 | 5.65 | 5.83 | (0.23 ) | (1.29 ) | (1.52 ) |
Year Ended 8/31/2019 | $27.19 | 0.22 | 0.19 | 0.41 | (0.22 ) | (1.90 ) | (2.12 ) |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $31.05 | 0.11 | 4.68 | 4.79 | (0.18 ) | (0.79 ) | (0.97 ) |
Year Ended 8/31/2023 | $28.84 | 0.18 | 4.64 | 4.82 | (0.14 ) | (2.47 ) | (2.61 ) |
Year Ended 8/31/2022 | $37.70 | 0.19 | (4.49 ) | (4.30 ) | (0.16 ) | (4.40 ) | (4.56 ) |
Year Ended 8/31/2021 | $30.66 | 0.18 | 9.21 | 9.39 | (0.24 ) | (2.11 ) | (2.35 ) |
Year Ended 8/31/2020 | $26.19 | 0.25 | 5.80 | 6.05 | (0.29 ) | (1.29 ) | (1.58 ) |
Year Ended 8/31/2019 | $27.89 | 0.29 | 0.19 | 0.48 | (0.28 ) | (1.90 ) | (2.18 ) |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $25.15 | (0.04 ) | 3.78 | 3.74 | — | (0.79 ) | (0.79 ) |
Year Ended 8/31/2023 | $23.94 | (0.08 ) | 3.76 | 3.68 | — | (2.47 ) | (2.47 ) |
Year Ended 8/31/2022 | $32.19 | (0.12 ) | (3.73 ) | (3.85 ) | — | (4.40 ) | (4.40 ) |
Year Ended 8/31/2021 | $26.53 | (0.13 ) | 7.90 | 7.77 | — | (2.11 ) | (2.11 ) |
Year Ended 8/31/2020 | $22.84 | (0.02 ) | 5.04 | 5.02 | (0.04 ) | (1.29 ) | (1.33 ) |
Year Ended 8/31/2019 | $24.57 | 0.04 | 0.15 | 0.19 | (0.02 ) | (1.90 ) | (1.92 ) |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $30.25 | 0.11 | 4.55 | 4.66 | (0.18 ) | (0.79 ) | (0.97 ) |
Year Ended 8/31/2023 | $28.16 | 0.18 | 4.52 | 4.70 | (0.14 ) | (2.47 ) | (2.61 ) |
Year Ended 8/31/2022 | $36.92 | 0.18 | (4.38 ) | (4.20 ) | (0.16 ) | (4.40 ) | (4.56 ) |
Year Ended 8/31/2021 | $30.07 | 0.18 | 9.02 | 9.20 | (0.24 ) | (2.11 ) | (2.35 ) |
Year Ended 8/31/2020 | $25.71 | 0.24 | 5.70 | 5.94 | (0.29 ) | (1.29 ) | (1.58 ) |
Year Ended 8/31/2019 | $27.42 | 0.29 | 0.18 | 0.47 | (0.28 ) | (1.90 ) | (2.18 ) |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $31.03 | 0.12 | 4.68 | 4.80 | (0.20 ) | (0.79 ) | (0.99 ) |
Year Ended 8/31/2023 | $28.82 | 0.21 | 4.63 | 4.84 | (0.16 ) | (2.47 ) | (2.63 ) |
Year Ended 8/31/2022 | $37.68 | 0.21 | (4.49 ) | (4.28 ) | (0.18 ) | (4.40 ) | (4.58 ) |
Year Ended 8/31/2021 | $30.64 | 0.20 | 9.21 | 9.41 | (0.26 ) | (2.11 ) | (2.37 ) |
Year Ended 8/31/2020 | $26.17 | 0.27 | 5.80 | 6.07 | (0.31 ) | (1.29 ) | (1.60 ) |
Year Ended 8/31/2019 | $27.88 | 0.32 | 0.18 | 0.50 | (0.31 ) | (1.90 ) | (2.21 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $33.53 | 15.65% | 1.00% | 0.97% (c) | 0.46% | 30% | $2,321,678 |
Year Ended 8/31/2023 | $29.86 | 18.28% | 1.00% | 0.98% (c) | 0.41% | 40% | $1,845,563 |
Year Ended 8/31/2022 | $27.82 | (13.34% ) | 0.99% | 0.99% (c) | 0.32% | 49% | $1,671,377 |
Year Ended 8/31/2021 | $36.54 | 32.15% | 1.00% (d) | 1.00% (c),(d) | 0.29% | 47% | $2,061,801 |
Year Ended 8/31/2020 | $29.79 | 23.80% | 1.02% | 1.02% (c) | 0.67% | 51% | $1,648,211 |
Year Ended 8/31/2019 | $25.48 | 2.49% | 1.03% (d) | 1.03% (d) | 0.91% | 53% | $1,568,622 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $34.87 | 15.79% | 0.75% | 0.72% (c) | 0.71% | 30% | $672,676 |
Year Ended 8/31/2023 | $31.05 | 18.55% | 0.75% | 0.73% (c) | 0.66% | 40% | $572,425 |
Year Ended 8/31/2022 | $28.84 | (13.09% ) | 0.74% | 0.74% (c) | 0.57% | 49% | $570,718 |
Year Ended 8/31/2021 | $37.70 | 32.47% | 0.75% (d) | 0.75% (c),(d) | 0.54% | 47% | $704,253 |
Year Ended 8/31/2020 | $30.66 | 24.06% | 0.77% | 0.77% (c) | 0.92% | 51% | $586,655 |
Year Ended 8/31/2019 | $26.19 | 2.74% | 0.78% (d) | 0.78% (d) | 1.16% | 53% | $610,686 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $28.10 | 15.22% | 1.75% | 1.72% (c) | (0.29% ) | 30% | $303,437 |
Year Ended 8/31/2023 | $25.15 | 17.38% | 1.75% | 1.73% (c) | (0.34% ) | 40% | $304,121 |
Year Ended 8/31/2022 | $23.94 | (13.95% ) | 1.74% | 1.74% (c) | (0.44% ) | 49% | $378,576 |
Year Ended 8/31/2021 | $32.19 | 31.14% | 1.75% (d) | 1.75% (c),(d) | (0.45% ) | 47% | $552,047 |
Year Ended 8/31/2020 | $26.53 | 22.85% | 1.77% | 1.77% (c) | (0.08% ) | 51% | $548,126 |
Year Ended 8/31/2019 | $22.84 | 1.73% | 1.78% (d) | 1.78% (d) | 0.16% | 53% | $561,716 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $33.94 | 15.78% | 0.74% | 0.72% (c) | 0.71% | 30% | $5,777,862 |
Year Ended 8/31/2023 | $30.25 | 18.58% | 0.75% | 0.73% (c) | 0.66% | 40% | $4,866,117 |
Year Ended 8/31/2022 | $28.16 | (13.09% ) | 0.74% | 0.74% (c) | 0.57% | 49% | $4,351,597 |
Year Ended 8/31/2021 | $36.92 | 32.47% | 0.75% (d) | 0.75% (c),(d) | 0.54% | 47% | $5,311,382 |
Year Ended 8/31/2020 | $30.07 | 24.08% | 0.77% | 0.77% (c) | 0.92% | 51% | $4,230,127 |
Year Ended 8/31/2019 | $25.71 | 2.75% | 0.78% (d) | 0.78% (d) | 1.16% | 53% | $3,961,440 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $34.84 | 15.84% | 0.67% | 0.65% | 0.78% | 30% | $992,204 |
Year Ended 8/31/2023 | $31.03 | 18.66% | 0.68% | 0.66% | 0.73% | 40% | $810,032 |
Year Ended 8/31/2022 | $28.82 | (13.03% ) | 0.67% | 0.67% | 0.64% | 49% | $667,505 |
Year Ended 8/31/2021 | $37.68 | 32.58% | 0.68% (d) | 0.68% (d) | 0.61% | 47% | $858,820 |
Year Ended 8/31/2020 | $30.64 | 24.19% | 0.69% | 0.69% | 1.00% | 51% | $653,968 |
Year Ended 8/31/2019 | $26.17 | 2.81% | 0.68% (d) | 0.68% (d) | 1.25% | 53% | $638,213 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $31.06 | 0.13 | 4.68 | 4.81 | (0.21 ) | (0.79 ) | (1.00 ) |
Year Ended 8/31/2023 | $28.85 | 0.22 | 4.63 | 4.85 | (0.17 ) | (2.47 ) | (2.64 ) |
Year Ended 8/31/2022 | $37.72 | 0.22 | (4.49 ) | (4.27 ) | (0.20 ) | (4.40 ) | (4.60 ) |
Year Ended 8/31/2021 | $30.67 | 0.22 | 9.21 | 9.43 | (0.27 ) | (2.11 ) | (2.38 ) |
Year Ended 8/31/2020 | $26.19 | 0.28 | 5.81 | 6.09 | (0.32 ) | (1.29 ) | (1.61 ) |
Year Ended 8/31/2019 | $27.89 | 0.33 | 0.19 | 0.52 | (0.32 ) | (1.90 ) | (2.22 ) |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $29.84 | 0.03 | 4.50 | 4.53 | (0.04 ) | (0.79 ) | (0.83 ) |
Year Ended 8/31/2023 | $27.80 | 0.04 | 4.47 | 4.51 | — | (2.47 ) | (2.47 ) |
Year Ended 8/31/2022 | $36.52 | 0.02 | (4.34 ) | (4.32 ) | — | (4.40 ) | (4.40 ) |
Year Ended 8/31/2021 | $29.78 | 0.01 | 8.94 | 8.95 | (0.10 ) | (2.11 ) | (2.21 ) |
Year Ended 8/31/2020 | $25.48 | 0.11 | 5.64 | 5.75 | (0.16 ) | (1.29 ) | (1.45 ) |
Year Ended 8/31/2019 | $27.18 | 0.16 | 0.19 | 0.35 | (0.15 ) | (1.90 ) | (2.05 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $34.87 | 15.88% | 0.62% | 0.60% | 0.83% | 30% | $3,295,262 |
Year Ended 8/31/2023 | $31.06 | 18.70% | 0.63% | 0.61% | 0.78% | 40% | $2,916,211 |
Year Ended 8/31/2022 | $28.85 | (13.00% ) | 0.62% | 0.62% | 0.69% | 49% | $2,642,362 |
Year Ended 8/31/2021 | $37.72 | 32.64% | 0.63% (d) | 0.63% (d) | 0.66% | 47% | $3,338,749 |
Year Ended 8/31/2020 | $30.67 | 24.26% | 0.64% | 0.64% | 1.05% | 51% | $2,487,886 |
Year Ended 8/31/2019 | $26.19 | 2.90% | 0.64% (d) | 0.64% (d) | 1.30% | 53% | $2,123,062 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $33.54 | 15.50% | 1.25% | 1.22% (c) | 0.21% | 30% | $135,792 |
Year Ended 8/31/2023 | $29.84 | 17.99% | 1.25% | 1.23% (c) | 0.16% | 40% | $122,288 |
Year Ended 8/31/2022 | $27.80 | (13.55% ) | 1.24% | 1.24% (c) | 0.07% | 49% | $113,472 |
Year Ended 8/31/2021 | $36.52 | 31.83% | 1.25% (d) | 1.25% (c),(d) | 0.04% | 47% | $143,336 |
Year Ended 8/31/2020 | $29.78 | 23.47% | 1.27% | 1.27% (c) | 0.42% | 51% | $124,853 |
Year Ended 8/31/2019 | $25.48 | 2.24% | 1.28% (d) | 1.28% (d) | 0.66% | 53% | $124,951 |
Effective rate (%) | |
Class A | 0.13 |
Advisor Class | 0.13 |
Class C | 0.13 |
Institutional Class | 0.13 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.13 |
Class V | 0.03 (a) |
(a) | Unannualized. |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 850,619 |
Class C | — | 1.00 (b) | 4,023 |
Class V | 5.75 | 0.50 - 1.00(a) | 23 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through December 31, 2024 | |
Class A | 0.97 % |
Advisor Class | 0.72 |
Class C | 1.72 |
Institutional Class | 0.72 |
Institutional 2 Class | 0.65 |
Institutional 3 Class | 0.60 |
Class R | 1.22 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
7,388,517,000 | 6,081,502,000 | (36,957,000 ) | 6,044,545,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 3,700,000 | 5.86 | 2 |
Votes For | Votes Against | Abstentions | Broker Non-Votes |
2,400,001.433 | 170,482.441 | 670,674.578 | 0 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 09/28/07 | 3.23 | 7.33 | 0.92 | 2.12 |
Including sales charges | -2.72 | 1.17 | -0.28 | 1.52 | ||
Advisor Class | 03/19/13 | 3.40 | 7.59 | 1.16 | 2.39 | |
Class C | Excluding sales charges | 09/28/07 | 2.79 | 6.44 | 0.15 | 1.36 |
Including sales charges | 1.79 | 5.44 | 0.15 | 1.36 | ||
Institutional Class | 01/02/98 | 3.42 | 7.65 | 1.16 | 2.39 | |
Institutional 2 Class | 11/08/12 | 3.39 | 7.67 | 1.28 | 2.52 | |
Institutional 3 Class | 11/08/12 | 3.46 | 7.71 | 1.32 | 2.56 | |
Class R | 09/27/10 | 3.13 | 7.03 | 0.66 | 1.87 | |
MSCI Emerging Markets Index (Net) | 4.93 | 8.73 | 1.89 | 3.01 | ||
MSCI EAFE Index (Net) | 9.23 | 14.41 | 6.77 | 4.39 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 6.0 |
Consumer Discretionary | 12.4 |
Consumer Staples | 8.4 |
Energy | 4.1 |
Financials | 27.3 |
Health Care | 3.0 |
Industrials | 8.0 |
Information Technology | 27.1 |
Materials | 1.3 |
Real Estate | 1.3 |
Utilities | 1.1 |
Total | 100.0 |
Country breakdown (%) (at February 29, 2024) | |
Brazil | 10.3 |
China | 17.6 |
Greece | 4.9 |
Hong Kong | 3.0 |
India | 17.4 |
Indonesia | 6.5 |
Jersey | 0.2 |
Kazakhstan | 0.6 |
Mauritius | 0.3 |
Mexico | 4.8 |
Philippines | 1.2 |
Poland | 1.0 |
Russian Federation | 0.3 |
Saudi Arabia | 0.4 |
South Africa | 1.9 |
South Korea | 11.2 |
Taiwan | 15.4 |
United States(a) | 2.6 |
Virgin Islands | 0.4 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,032.30 | 1,017.80 | 7.18 | 7.12 | 1.42 |
Advisor Class | 1,000.00 | 1,000.00 | 1,034.00 | 1,019.05 | 5.92 | 5.87 | 1.17 |
Class C | 1,000.00 | 1,000.00 | 1,027.90 | 1,014.02 | 10.99 | 10.92 | 2.18 |
Institutional Class | 1,000.00 | 1,000.00 | 1,034.20 | 1,019.05 | 5.92 | 5.87 | 1.17 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,033.90 | 1,019.54 | 5.41 | 5.37 | 1.07 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,034.60 | 1,019.74 | 5.21 | 5.17 | 1.03 |
Class R | 1,000.00 | 1,000.00 | 1,031.30 | 1,016.51 | 8.48 | 8.42 | 1.68 |
Common Stocks 97.7% | ||
Issuer | Shares | Value ($) |
Brazil 10.3% | ||
Banco BTG Pactual SA | 1,586,170 | 11,649,548 |
Banco do Brasil SA | 544,656 | 6,351,453 |
Equatorial Energia SA | 491,116 | 3,372,835 |
Itaú Unibanco Holding SA, ADR | 2,253,068 | 15,365,924 |
Localiza Rent a Car SA | 752,906 | 8,004,482 |
Localiza Rent a Car SA(a) | 3,516 | 37,380 |
MercadoLibre, Inc.(a) | 11,091 | 17,693,472 |
NU Holdings Ltd., Class A(a) | 585,976 | 6,492,614 |
Petroleo Brasileiro SA, ADR | 875,352 | 14,460,815 |
PRIO SA | 1,363,963 | 12,034,242 |
Sendas Distribuidora S/A | 2,110,327 | 6,036,662 |
TOTVS SA | 899,805 | 5,609,414 |
WEG SA | 1,567,747 | 11,668,773 |
Total | 118,777,614 | |
China 17.7% | ||
Baidu, Inc. Class A(a) | 784,950 | 9,932,288 |
BYD Co., Ltd., Class H | 706,500 | 17,401,146 |
China Animal Healthcare Ltd.(a),(b),(c) | 6,354,000 | 1 |
China Resources Land Ltd. | 1,802,000 | 5,503,952 |
Eastroc Beverage Group Co., Ltd., Class A | 549,478 | 13,657,279 |
Full Truck Alliance Co., Ltd., ADR(a) | 385,794 | 2,546,240 |
Fuyao Glass Industry Group Co., Ltd., Class A | 913,186 | 5,493,472 |
Kuaishou Technology(a) | 1,518,500 | 8,574,840 |
Kweichow Moutai Co., Ltd., Class A | 34,873 | 8,195,783 |
Medlive Technology Co., Ltd. | 2,685,573 | 2,555,162 |
NetEase, Inc. | 397,405 | 8,632,666 |
New Horizon Health Ltd.(a) | 1,356,000 | 3,530,943 |
PDD Holdings, Inc., ADR(a) | 190,445 | 23,718,020 |
PetroChina Co., Ltd., Class H | 13,968,000 | 10,955,272 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 185,647 | 7,436,533 |
Shenzhou International Group Holdings Ltd. | 595,200 | 4,882,123 |
Songcheng Performance Development Co., Ltd., Class A | 4,052,572 | 6,072,044 |
Tencent Holdings Ltd. | 1,180,400 | 41,350,161 |
Trip.com Group Ltd., ADR(a) | 277,576 | 12,343,805 |
Wuliangye Yibin Co., Ltd., Class A | 294,302 | 5,800,776 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 1,538,451 | 5,324,355 |
Total | 203,906,861 | |
Greece 4.9% | ||
Eurobank Ergasias Services and Holdings SA(a) | 3,565,829 | 7,366,821 |
JUMBO SA | 385,724 | 11,272,719 |
Mytilineos SA | 145,249 | 5,651,464 |
National Bank of Greece SA(a) | 1,805,573 | 14,177,301 |
OPAP SA | 512,629 | 9,346,814 |
Piraeus Financial Holdings SA(a) | 1,938,650 | 8,564,791 |
Total | 56,379,910 | |
Hong Kong 3.0% | ||
AIA Group Ltd. | 1,956,200 | 15,769,294 |
Sands China Ltd.(a) | 4,750,400 | 13,488,023 |
Techtronic Industries Co., Ltd. | 497,264 | 5,364,596 |
Total | 34,621,913 | |
India 17.4% | ||
360 ONE WAM Ltd. | 343,768 | 2,970,475 |
APL Apollo Tubes Ltd. | 599,507 | 11,165,625 |
Astral Ltd. | 331,748 | 8,278,556 |
AU Small Finance Bank Ltd. | 760,950 | 5,216,329 |
Bajaj Finance Ltd. | 113,918 | 8,887,611 |
Cholamandalam Investment and Finance Co., Ltd. | 683,402 | 8,952,777 |
CreditAccess Grameen Ltd.(a) | 204,846 | 3,627,987 |
Eicher Motors Ltd. | 71,904 | 3,285,782 |
HDFC Bank Ltd., ADR | 213,576 | 11,426,316 |
ICICI Bank Ltd., ADR | 1,029,926 | 26,376,405 |
IndusInd Bank Ltd. | 1,079,565 | 19,177,108 |
Larsen & Toubro Ltd. | 538,371 | 22,571,906 |
Max Healthcare Institute Ltd. | 1,328,642 | 12,716,001 |
NTPC Ltd. | 2,326,876 | 9,402,577 |
Persistent Systems Ltd. | 59,778 | 6,220,688 |
Phoenix Mills Ltd. (The) | 204,072 | 6,771,365 |
Polycab India Ltd. | 132,774 | 7,600,818 |
REC Ltd. | 844,393 | 4,496,332 |
Reliance Industries Ltd. | 284,443 | 10,011,042 |
Varun Beverages Ltd. | 439,763 | 7,473,509 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
WNS Holdings Ltd., ADR(a) | 79,371 | 4,579,707 |
Total | 201,208,916 | |
Indonesia 6.5% | ||
Bank Negara Indonesia Persero Tbk PT | 19,687,400 | 7,524,218 |
PT Bank Central Asia Tbk | 44,304,200 | 27,879,131 |
PT Bank Rakyat Indonesia Persero Tbk | 89,005,829 | 34,684,147 |
PT Sumber Alfaria Trijaya Tbk | 28,837,300 | 5,046,298 |
Total | 75,133,794 | |
Jersey 0.2% | ||
Arcadium Lithium PLC(a) | 329,982 | 1,811,601 |
Kazakhstan 0.6% | ||
Kaspi.KZ JSC, GDR, Registered Shares(d) | 62,413 | 6,441,022 |
Mauritius 0.3% | ||
MakeMyTrip, Ltd.(a) | 56,584 | 3,490,667 |
Mexico 4.8% | ||
Arca Continental SAB de CV | 733,074 | 7,902,666 |
Banco del Bajio SA | 988,177 | 3,657,778 |
Corporación Inmobiliaria Vesta SAB de CV | 861,780 | 3,025,590 |
Gruma SAB de CV, Class B | 222,836 | 3,969,388 |
Grupo Aeroportuario del Centro Norte SAB de CV | 596,758 | 5,172,013 |
Grupo Aeroportuario del Pacifico SAB de CV | 311,735 | 4,609,016 |
Grupo Financiero Banorte SAB de CV, Class O | 2,132,257 | 22,055,351 |
Qualitas Controladora SAB de CV | 479,505 | 5,387,460 |
Total | 55,779,262 | |
Philippines 1.2% | ||
BDO Unibank, Inc. | 5,200,350 | 14,167,334 |
Poland 1.0% | ||
Dino Polska SA(a) | 104,615 | 12,173,178 |
Russian Federation 0.4% | ||
Detsky Mir PJSC(a),(b),(c),(e) | 5,893,953 | 0 |
Fix Price Group PLC, GDR(b),(c),(d),(e) | 2,678,663 | 4,098,354 |
Total | 4,098,354 | |
Saudi Arabia 0.4% | ||
Nahdi Medical Co. | 138,495 | 5,243,925 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
South Africa 1.9% | ||
Capitec Bank Holdings Ltd. | 94,802 | 9,988,128 |
Clicks Group Ltd. | 458,070 | 7,166,957 |
Shoprite Holdings Ltd. | 370,498 | 4,988,008 |
Total | 22,143,093 | |
South Korea 9.7% | ||
Coupang, Inc., Class A(a) | 239,484 | 4,435,244 |
Samsung Biologics Co., Ltd.(a) | 13,037 | 7,585,829 |
Samsung Electro-Mechanics Co., Ltd. | 85,101 | 8,968,037 |
Samsung Electronics Co., Ltd. | 1,097,878 | 60,595,092 |
SK Hynix, Inc. | 260,576 | 30,717,866 |
Total | 112,302,068 | |
Taiwan 15.5% | ||
Accton Technology Corp. | 300,995 | 4,953,307 |
ASMedia Technology, Inc. | 106,000 | 7,911,956 |
ASPEED Technology, Inc. | 106,000 | 9,180,975 |
Chailease Holding Co., Ltd. | 657,594 | 3,635,740 |
Chroma ATE, Inc. | 492,000 | 3,631,789 |
Delta Electronics, Inc. | 418,000 | 3,895,199 |
eMemory Technology, Inc. | 84,000 | 7,212,428 |
MediaTek, Inc. | 362,000 | 13,063,248 |
Parade Technologies Ltd. | 70,000 | 2,251,708 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 4,783,048 | 104,818,210 |
Unimicron Technology Corp. | 637,000 | 3,619,391 |
Wiwynn Corp. | 196,000 | 14,470,261 |
Total | 178,644,212 | |
United States 1.5% | ||
Freeport-McMoRan, Inc. | 64,075 | 2,422,676 |
Globant SA(a) | 26,596 | 5,935,429 |
Samsonite International SA(a) | 2,434,200 | 8,490,558 |
Total | 16,848,663 | |
Virgin Islands 0.4% | ||
BBB Foods, Inc., Class A(a) | 198,466 | 4,165,801 |
Total Common Stocks (Cost $793,075,611) | 1,127,338,188 |
Preferred Stocks 1.5% | |||
Issuer | Shares | Value ($) | |
South Korea 1.5% | |||
Samsung Electronics Co., Ltd. | 361,629 | 17,317,212 | |
Total Preferred Stocks (Cost $7,719,610) | 17,317,212 |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(f),(g) | 12,982,486 | 12,979,889 |
Total Money Market Funds (Cost $12,979,886) | 12,979,889 | |
Total Investments in Securities (Cost $813,775,107) | 1,157,635,289 | |
Other Assets & Liabilities, Net | (3,058,462 ) | |
Net Assets | $1,154,576,827 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $4,098,355, which represents 0.35% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $10,539,376, which represents 0.91% of total net assets. |
(e) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $4,098,354, which represents 0.35% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Detsky Mir PJSC | 02/08/2017-12/13/2021 | 5,893,953 | 8,677,339 | — |
Fix Price Group PLC, GDR | 03/05/2021-03/08/2021 | 2,678,663 | 26,134,618 | 4,098,354 |
34,811,957 | 4,098,354 |
(f) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(g) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
20,362,415 | 185,400,838 | (192,782,384 ) | (980 ) | 12,979,889 | 2,212 | 226,422 | 12,982,486 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Brazil | 118,777,614 | — | — | 118,777,614 |
China | 38,608,065 | 165,298,795 | 1 | 203,906,861 |
Greece | — | 56,379,910 | — | 56,379,910 |
Hong Kong | — | 34,621,913 | — | 34,621,913 |
India | 42,382,428 | 158,826,488 | — | 201,208,916 |
Indonesia | — | 75,133,794 | — | 75,133,794 |
Jersey | 1,811,601 | — | — | 1,811,601 |
Kazakhstan | — | 6,441,022 | — | 6,441,022 |
Mauritius | 3,490,667 | — | — | 3,490,667 |
Mexico | 55,779,262 | — | — | 55,779,262 |
Philippines | — | 14,167,334 | — | 14,167,334 |
Poland | — | 12,173,178 | — | 12,173,178 |
Russian Federation | — | — | 4,098,354 | 4,098,354 |
Saudi Arabia | — | 5,243,925 | — | 5,243,925 |
South Africa | — | 22,143,093 | — | 22,143,093 |
South Korea | 4,435,244 | 107,866,824 | — | 112,302,068 |
Taiwan | — | 178,644,212 | — | 178,644,212 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
United States | 8,358,105 | 8,490,558 | — | 16,848,663 |
Virgin Islands | 4,165,801 | — | — | 4,165,801 |
Total Common Stocks | 277,808,787 | 845,431,046 | 4,098,355 | 1,127,338,188 |
Preferred Stocks | ||||
South Korea | — | 17,317,212 | — | 17,317,212 |
Total Preferred Stocks | — | 17,317,212 | — | 17,317,212 |
Money Market Funds | 12,979,889 | — | — | 12,979,889 |
Total Investments in Securities | 290,788,676 | 862,748,258 | 4,098,355 | 1,157,635,289 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $800,795,221) | $1,144,655,400 |
Affiliated issuers (cost $12,979,886) | 12,979,889 |
Cash | 27,680 |
Foreign currency (cost $5,316,746) | 2,960,957 |
Receivable for: | |
Capital shares sold | 707,437 |
Dividends | 1,579,295 |
Foreign tax reclaims | 126,241 |
Expense reimbursement due from Investment Manager | 2,762 |
Prepaid expenses | 11,682 |
Deferred compensation of board members | 169,559 |
Other assets | 22,763 |
Total assets | 1,163,243,665 |
Liabilities | |
Payable for: | |
Investments purchased | 2,640,598 |
Capital shares redeemed | 1,075,628 |
Foreign capital gains taxes deferred | 4,448,398 |
Management services fees | 33,064 |
Distribution and/or service fees | 1,301 |
Transfer agent fees | 97,480 |
Compensation of chief compliance officer | 114 |
Compensation of board members | 3,249 |
Other expenses | 156,257 |
Deferred compensation of board members | 210,749 |
Total liabilities | 8,666,838 |
Net assets applicable to outstanding capital stock | $1,154,576,827 |
Represented by | |
Paid in capital | 1,075,367,317 |
Total distributable earnings (loss) | 79,209,510 |
Total - representing net assets applicable to outstanding capital stock | $1,154,576,827 |
Class A | |
Net assets | $155,000,082 |
Shares outstanding | 12,757,240 |
Net asset value per share | $12.15 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $12.89 |
Advisor Class | |
Net assets | $42,395,864 |
Shares outstanding | 3,396,976 |
Net asset value per share | $12.48 |
Class C | |
Net assets | $6,821,671 |
Shares outstanding | 616,009 |
Net asset value per share | $11.07 |
Institutional Class | |
Net assets | $447,451,926 |
Shares outstanding | 36,126,707 |
Net asset value per share | $12.39 |
Institutional 2 Class | |
Net assets | $57,490,169 |
Shares outstanding | 4,597,999 |
Net asset value per share | $12.50 |
Institutional 3 Class | |
Net assets | $441,077,918 |
Shares outstanding | 35,078,412 |
Net asset value per share | $12.57 |
Class R | |
Net assets | $4,339,197 |
Shares outstanding | 365,619 |
Net asset value per share | $11.87 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,569,140 |
Dividends — affiliated issuers | 226,422 |
Foreign taxes withheld | (1,130,089 ) |
Total income | 8,665,473 |
Expenses: | |
Management services fees | 6,135,397 |
Distribution and/or service fees | |
Class A | 196,784 |
Class C | 37,056 |
Class R | 11,138 |
Transfer agent fees | |
Class A | 116,392 |
Advisor Class | 32,085 |
Class C | 5,478 |
Institutional Class | 326,518 |
Institutional 2 Class | 21,060 |
Institutional 3 Class | 14,031 |
Class R | 3,294 |
Custodian fees | 211,527 |
Printing and postage fees | 43,035 |
Registration fees | 54,591 |
Accounting services fees | 23,893 |
Legal fees | 15,075 |
Interest on interfund lending | 16,671 |
Compensation of chief compliance officer | 114 |
Compensation of board members | 12,517 |
Deferred compensation of board members | 5,000 |
Other | 65,796 |
Total expenses | 7,347,452 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (591,330 ) |
Fees waived by transfer agent | |
Institutional 2 Class | (2,931 ) |
Institutional 3 Class | (4,683 ) |
Expense reduction | (1,380 ) |
Total net expenses | 6,747,128 |
Net investment income | 1,918,345 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 6,942,393 |
Investments — affiliated issuers | 2,212 |
Foreign currency translations | (203,648 ) |
Net realized gain | 6,740,957 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 31,009,338 |
Investments — affiliated issuers | (980 ) |
Foreign currency translations | (879,101 ) |
Foreign capital gains tax | 418,466 |
Net change in unrealized appreciation (depreciation) | 30,547,723 |
Net realized and unrealized gain | 37,288,680 |
Net increase in net assets resulting from operations | $39,207,025 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $1,918,345 | $11,031,645 |
Net realized gain (loss) | 6,740,957 | (140,879,797 ) |
Net change in unrealized appreciation (depreciation) | 30,547,723 | 120,015,280 |
Net increase (decrease) in net assets resulting from operations | 39,207,025 | (9,832,872 ) |
Decrease in net assets from capital stock activity | (102,837,850 ) | (287,565,015 ) |
Total decrease in net assets | (63,630,825 ) | (297,397,887 ) |
Net assets at beginning of period | 1,218,207,652 | 1,515,605,539 |
Net assets at end of period | $1,154,576,827 | $1,218,207,652 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 404,435 | 4,754,977 | 1,560,745 | 18,013,246 |
Shares redeemed | (1,865,020 ) | (21,904,472 ) | (4,676,741 ) | (53,749,529 ) |
Net decrease | (1,460,585 ) | (17,149,495 ) | (3,115,996 ) | (35,736,283 ) |
Advisor Class | ||||
Shares sold | 214,273 | 2,579,317 | 868,747 | 10,296,848 |
Shares redeemed | (621,413 ) | (7,495,915 ) | (2,800,578 ) | (32,663,174 ) |
Net decrease | (407,140 ) | (4,916,598 ) | (1,931,831 ) | (22,366,326 ) |
Class C | ||||
Shares sold | 18,363 | 197,381 | 60,090 | 634,324 |
Shares redeemed | (153,898 ) | (1,657,372 ) | (285,067 ) | (2,963,224 ) |
Net decrease | (135,535 ) | (1,459,991 ) | (224,977 ) | (2,328,900 ) |
Institutional Class | ||||
Shares sold | 7,904,249 | 94,702,284 | 24,485,726 | 286,031,730 |
Shares redeemed | (8,405,003 ) | (100,574,147 ) | (30,919,764 ) | (370,169,933 ) |
Net decrease | (500,754 ) | (5,871,863 ) | (6,434,038 ) | (84,138,203 ) |
Institutional 2 Class | ||||
Shares sold | 361,240 | 4,334,989 | 2,484,197 | 29,365,043 |
Shares redeemed | (3,482,269 ) | (42,394,169 ) | (9,110,145 ) | (106,525,467 ) |
Net decrease | (3,121,029 ) | (38,059,180 ) | (6,625,948 ) | (77,160,424 ) |
Institutional 3 Class | ||||
Shares sold | 6,017,294 | 72,337,654 | 14,246,765 | 167,233,276 |
Shares redeemed | (8,800,284 ) | (107,357,201 ) | (19,635,232 ) | (232,789,539 ) |
Net decrease | (2,782,990 ) | (35,019,547 ) | (5,388,467 ) | (65,556,263 ) |
Class R | ||||
Shares sold | 45,076 | 518,792 | 133,453 | 1,506,743 |
Shares redeemed | (75,955 ) | (879,968 ) | (158,918 ) | (1,785,359 ) |
Net decrease | (30,879 ) | (361,176 ) | (25,465 ) | (278,616 ) |
Total net decrease | (8,438,912 ) | (102,837,850 ) | (23,746,722 ) | (287,565,015 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Tax return of capital | Total distributions to shareholders | |
Class A | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.77 | 0.00 (c) | 0.38 | 0.38 | — | — | — | — |
Year Ended 8/31/2023 | $11.89 | 0.06 | (0.18 ) | (0.12 ) | — | — | — | — |
Year Ended 8/31/2022 | $19.06 | (0.04 ) | (6.88 ) | (6.92 ) | (0.16 ) | (0.07 ) | (0.02 ) | (0.25 ) |
Year Ended 8/31/2021 | $15.60 | (0.08 ) | 3.72 | 3.64 | (0.18 ) | — | — | (0.18 ) |
Year Ended 8/31/2020 | $12.15 | (0.04 ) | 3.51 | 3.47 | (0.02 ) | — | — | (0.02 ) |
Year Ended 8/31/2019 | $12.15 | 0.01 | (0.01 ) | 0.00 (c) | — | — | — | — |
Advisor Class | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.07 | 0.02 | 0.39 | 0.41 | — | — | — | — |
Year Ended 8/31/2023 | $12.17 | 0.08 | (0.18 ) | (0.10 ) | — | — | — | — |
Year Ended 8/31/2022 | $19.46 | 0.00 (c) | (7.02 ) | (7.02 ) | (0.18 ) | (0.07 ) | (0.02 ) | (0.27 ) |
Year Ended 8/31/2021 | $15.92 | (0.03 ) | 3.79 | 3.76 | (0.22 ) | — | — | (0.22 ) |
Year Ended 8/31/2020 | $12.39 | (0.01 ) | 3.59 | 3.58 | (0.05 ) | — | — | (0.05 ) |
Year Ended 8/31/2019 | $12.38 | 0.04 | (0.02 ) | 0.02 | (0.01 ) | — | — | (0.01 ) |
Class C | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $10.77 | (0.04 ) | 0.34 | 0.30 | — | — | — | — |
Year Ended 8/31/2023 | $10.96 | (0.03 ) | (0.16 ) | (0.19 ) | — | — | — | — |
Year Ended 8/31/2022 | $17.67 | (0.15 ) | (6.35 ) | (6.50 ) | (0.12 ) | (0.07 ) | (0.02 ) | (0.21 ) |
Year Ended 8/31/2021 | $14.50 | (0.20 ) | 3.45 | 3.25 | (0.08 ) | — | — | (0.08 ) |
Year Ended 8/31/2020 | $11.36 | (0.13 ) | 3.27 | 3.14 | — | — | — | — |
Year Ended 8/31/2019 | $11.45 | (0.08 ) | (0.01 ) | (0.09 ) | — | — | — | — |
Institutional Class | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.98 | 0.02 | 0.39 | 0.41 | — | — | — | — |
Year Ended 8/31/2023 | $12.08 | 0.10 | (0.20 ) | (0.10 ) | — | — | — | — |
Year Ended 8/31/2022 | $19.32 | 0.01 | (6.98 ) | (6.97 ) | (0.18 ) | (0.07 ) | (0.02 ) | (0.27 ) |
Year Ended 8/31/2021 | $15.80 | (0.03 ) | 3.77 | 3.74 | (0.22 ) | — | — | (0.22 ) |
Year Ended 8/31/2020 | $12.30 | (0.01 ) | 3.56 | 3.55 | (0.05 ) | — | — | (0.05 ) |
Year Ended 8/31/2019 | $12.29 | 0.05 | (0.03 ) | 0.02 | (0.01 ) | — | — | (0.01 ) |
Institutional 2 Class | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.09 | 0.03 | 0.38 | 0.41 | — | — | — | — |
Year Ended 8/31/2023 | $12.18 | 0.10 | (0.19 ) | (0.09 ) | — | — | — | — |
Year Ended 8/31/2022 | $19.46 | 0.01 | (7.02 ) | (7.01 ) | (0.18 ) | (0.07 ) | (0.02 ) | (0.27 ) |
Year Ended 8/31/2021 | $15.92 | (0.02 ) | 3.79 | 3.77 | (0.23 ) | — | — | (0.23 ) |
Year Ended 8/31/2020 | $12.38 | 0.01 | 3.60 | 3.61 | (0.07 ) | — | — | (0.07 ) |
Year Ended 8/31/2019 | $12.37 | 0.07 | (0.03 ) | 0.04 | (0.03 ) | — | — | (0.03 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.15 | 3.23% | 1.53% (d) | 1.42% (d),(e) | 0.06% | 25% | $155,000 |
Year Ended 8/31/2023 | $11.77 | (1.01% ) | 1.50% (d) | 1.44% (d),(e) | 0.53% | 44% | $167,308 |
Year Ended 8/31/2022 | $11.89 | (36.71% ) | 1.44% (d),(f) | 1.44% (d),(e),(f) | (0.27% ) | 48% | $206,162 |
Year Ended 8/31/2021 | $19.06 | 23.40% | 1.43% (d) | 1.43% (d),(e) | (0.45% ) | 16% | $356,033 |
Year Ended 8/31/2020 | $15.60 | 28.56% | 1.55% (d) | 1.54% (d),(e) | (0.29% ) | 29% | $280,741 |
Year Ended 8/31/2019 | $12.15 | 0.00% | 1.58% (d) | 1.58% (d) | 0.12% | 38% | $249,512 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.48 | 3.40% | 1.28% (d) | 1.17% (d),(e) | 0.31% | 25% | $42,396 |
Year Ended 8/31/2023 | $12.07 | (0.82% ) | 1.25% (d) | 1.19% (d),(e) | 0.72% | 44% | $45,925 |
Year Ended 8/31/2022 | $12.17 | (36.52% ) | 1.19% (d),(f) | 1.19% (d),(e),(f) | 0.03% | 48% | $69,818 |
Year Ended 8/31/2021 | $19.46 | 23.65% | 1.18% (d) | 1.18% (d),(e) | (0.17% ) | 16% | $112,719 |
Year Ended 8/31/2020 | $15.92 | 28.92% | 1.30% (d) | 1.29% (d),(e) | (0.07% ) | 29% | $43,986 |
Year Ended 8/31/2019 | $12.39 | 0.20% | 1.33% (d) | 1.33% (d) | 0.36% | 38% | $23,161 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.07 | 2.79% | 2.28% (d) | 2.18% (d),(e) | (0.68% ) | 25% | $6,822 |
Year Ended 8/31/2023 | $10.77 | (1.73% ) | 2.25% (d) | 2.19% (d),(e) | (0.24% ) | 44% | $8,091 |
Year Ended 8/31/2022 | $10.96 | (37.18% ) | 2.19% (d),(f) | 2.19% (d),(e),(f) | (1.04% ) | 48% | $10,706 |
Year Ended 8/31/2021 | $17.67 | 22.45% | 2.18% (d) | 2.18% (d),(e) | (1.19% ) | 16% | $22,680 |
Year Ended 8/31/2020 | $14.50 | 27.64% | 2.30% (d) | 2.29% (d),(e) | (1.04% ) | 29% | $15,742 |
Year Ended 8/31/2019 | $11.36 | (0.79% ) | 2.33% (d) | 2.33% (d) | (0.69% ) | 38% | $14,830 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.39 | 3.42% | 1.28% (d) | 1.17% (d),(e) | 0.30% | 25% | $447,452 |
Year Ended 8/31/2023 | $11.98 | (0.83% ) | 1.25% (d) | 1.19% (d),(e) | 0.84% | 44% | $438,829 |
Year Ended 8/31/2022 | $12.08 | (36.52% ) | 1.20% (d),(f) | 1.20% (d),(e),(f) | 0.05% | 48% | $520,117 |
Year Ended 8/31/2021 | $19.32 | 23.70% | 1.18% (d) | 1.18% (d),(e) | (0.18% ) | 16% | $547,997 |
Year Ended 8/31/2020 | $15.80 | 28.89% | 1.30% (d) | 1.29% (d),(e) | (0.04% ) | 29% | $260,558 |
Year Ended 8/31/2019 | $12.30 | 0.20% | 1.33% (d) | 1.33% (d) | 0.41% | 38% | $210,844 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.50 | 3.39% | 1.18% (d) | 1.07% (d) | 0.44% | 25% | $57,490 |
Year Ended 8/31/2023 | $12.09 | (0.74% ) | 1.15% (d) | 1.09% (d) | 0.81% | 44% | $93,313 |
Year Ended 8/31/2022 | $12.18 | (36.44% ) | 1.09% (d),(f) | 1.09% (d),(f) | 0.04% | 48% | $174,660 |
Year Ended 8/31/2021 | $19.46 | 23.77% | 1.08% (d) | 1.08% (d) | (0.09% ) | 16% | $391,145 |
Year Ended 8/31/2020 | $15.92 | 29.19% | 1.16% (d) | 1.15% (d) | 0.10% | 29% | $238,994 |
Year Ended 8/31/2019 | $12.38 | 0.36% | 1.18% (d) | 1.18% (d) | 0.55% | 38% | $161,554 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Tax return of capital | Total distributions to shareholders | |
Institutional 3 Class | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.15 | 0.03 | 0.39 | 0.42 | — | — | — | — |
Year Ended 8/31/2023 | $12.24 | 0.11 | (0.20 ) | (0.09 ) | — | — | — | — |
Year Ended 8/31/2022 | $19.55 | 0.02 | (7.05 ) | (7.03 ) | (0.19 ) | (0.07 ) | (0.02 ) | (0.28 ) |
Year Ended 8/31/2021 | $15.99 | (0.01 ) | 3.81 | 3.80 | (0.24 ) | — | — | (0.24 ) |
Year Ended 8/31/2020 | $12.44 | 0.02 | 3.60 | 3.62 | (0.07 ) | — | — | (0.07 ) |
Year Ended 8/31/2019 | $12.43 | 0.07 | (0.02 ) | 0.05 | (0.04 ) | — | — | (0.04 ) |
Class R | ||||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.51 | (0.01 ) | 0.37 | 0.36 | — | — | — | — |
Year Ended 8/31/2023 | $11.66 | 0.04 | (0.19 ) | (0.15 ) | — | — | — | — |
Year Ended 8/31/2022 | $18.72 | (0.07 ) | (6.75 ) | (6.82 ) | (0.15 ) | (0.07 ) | (0.02 ) | (0.24 ) |
Year Ended 8/31/2021 | $15.34 | (0.13 ) | 3.66 | 3.53 | (0.15 ) | — | — | (0.15 ) |
Year Ended 8/31/2020 | $11.96 | (0.07 ) | 3.45 | 3.38 | — | — | — | — |
Year Ended 8/31/2019 | $11.99 | (0.02 ) | (0.01 ) | (0.03 ) | — | — | — | — |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Rounds to zero. |
(d) | Ratios include interfund lending expense. For the periods indicated below, if interfund lending expense had been excluded, expenses would have been lower by: |
Class | 2/29/2024 | 8/31/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 |
Class A | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Advisor Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class C | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 2 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 3 Class | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class R | less than 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
(e) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $12.57 | 3.46% | 1.13% (d) | 1.03% (d) | 0.45% | 25% | $441,078 |
Year Ended 8/31/2023 | $12.15 | (0.74% ) | 1.10% (d) | 1.05% (d) | 0.91% | 44% | $460,178 |
Year Ended 8/31/2022 | $12.24 | (36.41% ) | 1.04% (d),(f) | 1.04% (d),(f) | 0.13% | 48% | $529,223 |
Year Ended 8/31/2021 | $19.55 | 23.84% | 1.03% (d) | 1.03% (d) | (0.03% ) | 16% | $920,211 |
Year Ended 8/31/2020 | $15.99 | 29.18% | 1.11% (d) | 1.10% (d) | 0.16% | 29% | $661,552 |
Year Ended 8/31/2019 | $12.44 | 0.43% | 1.13% (d) | 1.13% (d) | 0.58% | 38% | $609,791 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.87 | 3.13% | 1.78% (d) | 1.68% (d),(e) | (0.18% ) | 25% | $4,339 |
Year Ended 8/31/2023 | $11.51 | (1.29% ) | 1.75% (d) | 1.69% (d),(e) | 0.32% | 44% | $4,563 |
Year Ended 8/31/2022 | $11.66 | (36.85% ) | 1.69% (d),(f) | 1.69% (d),(e),(f) | (0.50% ) | 48% | $4,921 |
Year Ended 8/31/2021 | $18.72 | 23.04% | 1.68% (d) | 1.68% (d),(e) | (0.69% ) | 16% | $6,996 |
Year Ended 8/31/2020 | $15.34 | 28.26% | 1.80% (d) | 1.79% (d),(e) | (0.54% ) | 29% | $5,731 |
Year Ended 8/31/2019 | $11.96 | (0.25% ) | 1.83% (d) | 1.83% (d) | (0.16% ) | 38% | $7,125 |
Effective rate (%) | |
Class A | 0.15 |
Advisor Class | 0.15 |
Class C | 0.15 |
Institutional Class | 0.15 |
Institutional 2 Class | 0.05 |
Institutional 3 Class | 0.00 |
Class R | 0.15 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 21,649 |
Class C | — | 1.00 (b) | 32 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through December 31, 2024 | |
Class A | 1.43 % |
Advisor Class | 1.18 |
Class C | 2.18 |
Institutional Class | 1.18 |
Institutional 2 Class | 1.07 |
Institutional 3 Class | 1.03 |
Class R | 1.68 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
813,775,000 | 426,454,000 | (82,594,000 ) | 343,860,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(251,094,242 ) | (8,539,540 ) | (259,633,782 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 5,125,000 | 5.86 | 20 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 05/16/97 | -13.47 | -22.28 | -7.18 | 0.04 |
Including sales charges | -18.45 | -26.75 | -8.27 | -0.55 | ||
Advisor Class | 03/19/13 | -13.39 | -22.10 | -6.94 | 0.29 | |
Class C | Excluding sales charges | 05/16/97 | -13.81 | -22.87 | -7.87 | -0.71 |
Including sales charges | -14.67 | -23.64 | -7.87 | -0.71 | ||
Institutional Class | 05/16/97 | -13.38 | -22.09 | -6.96 | 0.28 | |
Institutional 2 Class | 11/08/12 | -13.36 | -22.04 | -6.87 | 0.39 | |
Institutional 3 Class* | 03/01/17 | -13.33 | -21.99 | -6.83 | 0.30 | |
MSCI China Index (Net) | -9.75 | -14.12 | -6.06 | 0.97 | ||
Hang Seng Index | -10.03 | -16.33 | -10.38 | -3.27 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 23.0 |
Consumer Discretionary | 36.0 |
Consumer Staples | 10.2 |
Energy | 2.1 |
Financials | 12.3 |
Health Care | 3.4 |
Industrials | 6.9 |
Information Technology | 2.1 |
Materials | 0.9 |
Real Estate | 3.1 |
Total | 100.0 |
Country breakdown (%) (at February 29, 2024) | |
China | 91.2 |
Hong Kong | 6.8 |
Jersey | 0.3 |
United States(a) | 1.7 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 865.30 | 1,017.50 | 6.86 | 7.42 | 1.48 |
Advisor Class | 1,000.00 | 1,000.00 | 866.10 | 1,018.75 | 5.71 | 6.17 | 1.23 |
Class C | 1,000.00 | 1,000.00 | 861.90 | 1,013.77 | 10.32 | 11.17 | 2.23 |
Institutional Class | 1,000.00 | 1,000.00 | 866.20 | 1,018.75 | 5.71 | 6.17 | 1.23 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 866.40 | 1,019.19 | 5.29 | 5.72 | 1.14 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 866.70 | 1,019.44 | 5.06 | 5.47 | 1.09 |
Common Stocks 99.3% | ||
Issuer | Shares | Value ($) |
Communication Services 22.9% | ||
Entertainment 3.0% | ||
HUYA, Inc. ADR(a) | 54,747 | 191,614 |
NetEase, Inc. | 83,500 | 1,813,836 |
Total | 2,005,450 | |
Interactive Media & Services 19.9% | ||
Autohome, Inc., ADR | 18,567 | 482,556 |
Baidu, Inc. Class A(a) | 175,826 | 2,224,797 |
Kanzhun Ltd., ADR | 51,385 | 804,175 |
Kuaishou Technology(a) | 191,100 | 1,079,126 |
Tencent Holdings Ltd. | 255,100 | 8,936,315 |
Total | 13,526,969 | |
Total Communication Services | 15,532,419 | |
Consumer Discretionary 35.8% | ||
Automobile Components 1.8% | ||
Fuyao Glass Industry Group Co., Ltd. Class H | 250,000 | 1,253,107 |
Automobiles 2.5% | ||
BYD Co., Ltd., Class H | 68,500 | 1,687,160 |
Broadline Retail 14.7% | ||
Alibaba Group Holding Ltd. | 542,168 | 4,984,521 |
JD.com, Inc., Class A | 32,002 | 361,171 |
PDD Holdings, Inc., ADR(a) | 37,176 | 4,629,899 |
Total | 9,975,591 | |
Hotels, Restaurants & Leisure 10.8% | ||
Meituan, Class B(a) | 249,170 | 2,529,616 |
Sands China Ltd.(a) | 570,400 | 1,619,562 |
Songcheng Performance Development Co., Ltd., Class A | 684,900 | 1,026,199 |
Trip.com Group Ltd., ADR(a) | 47,630 | 2,118,106 |
Total | 7,293,483 | |
Household Durables 1.8% | ||
Gree Electric Appliances, Inc., Class A | 84,930 | 460,456 |
Haier Smart Home Co., Ltd., Class H | 245,600 | 743,834 |
Total | 1,204,290 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 1.5% | ||
China Tourism Group Duty Free Corp., Ltd., Class A | 35,900 | 433,096 |
Topsports International Holdings Ltd. | 873,000 | 590,776 |
Total | 1,023,872 | |
Textiles, Apparel & Luxury Goods 2.7% | ||
Amer Sports, Inc.(a) | 22,692 | 370,334 |
Samsonite International SA(a) | 192,600 | 671,794 |
Shenzhou International Group Holdings Ltd. | 97,200 | 797,282 |
Total | 1,839,410 | |
Total Consumer Discretionary | 24,276,913 | |
Consumer Staples 10.1% | ||
Beverages 8.4% | ||
China Resources Beer Holdings Co., Ltd. | 206,000 | 887,645 |
Eastroc Beverage Group Co., Ltd., Class A | 69,420 | 1,725,435 |
Kweichow Moutai Co., Ltd., Class A | 11,000 | 2,585,198 |
Wuliangye Yibin Co., Ltd., Class A | 27,233 | 536,770 |
Total | 5,735,048 | |
Food Products 0.8% | ||
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 137,700 | 541,603 |
Personal Care Products 0.9% | ||
Proya Cosmetics Co., Ltd., Class A | 40,312 | 593,275 |
Total Consumer Staples | 6,869,926 | |
Energy 2.1% | ||
Oil, Gas & Consumable Fuels 2.1% | ||
China Petroleum & Chemical Corp., Class H | 630,000 | 347,101 |
PetroChina Co., Ltd., Class H | 1,362,000 | 1,068,233 |
Total | 1,415,334 | |
Total Energy | 1,415,334 | |
Financials 12.2% | ||
Banks 8.3% | ||
China Construction Bank Corp., Class H | 3,745,340 | 2,322,696 |
China Merchants Bank Co., Ltd., Class H | 449,500 | 1,738,226 |
Industrial & Commercial Bank of China Ltd., Class H | 3,084,000 | 1,580,898 |
Total | 5,641,820 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 3.9% | ||
AIA Group Ltd. | 253,000 | 2,039,480 |
Ping An Insurance Group Co. of China Ltd., Class H | 132,500 | 589,250 |
Total | 2,628,730 | |
Total Financials | 8,270,550 | |
Health Care 3.4% | ||
Health Care Equipment & Supplies 1.6% | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 28,100 | 1,125,612 |
Health Care Providers & Services 1.0% | ||
New Horizon Health Ltd.(a) | 257,500 | 670,515 |
Health Care Technology 0.5% | ||
Medlive Technology Co., Ltd. | 359,984 | 342,503 |
Life Sciences Tools & Services 0.3% | ||
WuXi AppTec Co., Ltd., Class H | 28,678 | 176,786 |
Pharmaceuticals —% | ||
China Animal Healthcare Ltd.(a),(b),(c) | 1,050,000 | 0 |
Total Health Care | 2,315,416 | |
Industrials 6.9% | ||
Electrical Equipment 1.3% | ||
Contemporary Amperex Technology Co., Ltd., Class A | 21,680 | 491,243 |
Sieyuan Electric Co., Ltd., Class A | 46,300 | 367,987 |
Total | 859,230 | |
Ground Transportation 1.5% | ||
Full Truck Alliance Co., Ltd., ADR(a) | 154,338 | 1,018,631 |
Machinery 3.6% | ||
Shenzhen Inovance Technology Co., Ltd., Class A | 79,175 | 694,601 |
Techtronic Industries Co., Ltd. | 61,500 | 663,476 |
Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A | 322,500 | 1,116,125 |
Total | 2,474,202 | |
Professional Services 0.5% | ||
Centre Testing International Group Co., Ltd., Class A | 168,100 | 307,162 |
Total Industrials | 4,659,225 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Information Technology 2.0% | ||
Software 1.6% | ||
Beijing Kingsoft Office Software, Inc., Class A | 17,022 | 641,506 |
Kingdee International Software Group Co., Ltd.(a) | 450,000 | 483,880 |
Total | 1,125,386 | |
Technology Hardware, Storage & Peripherals 0.4% | ||
Lenovo Group Ltd. | 244,000 | 269,554 |
Total Information Technology | 1,394,940 | |
Materials 0.8% | ||
Chemicals 0.5% | ||
Arcadium Lithium PLC(a) | 41,734 | 229,120 |
Skshu Paint Co., Ltd., Class A(a) | 28,034 | 150,244 |
Total | 379,364 | |
Construction Materials 0.3% | ||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 85,500 | 204,791 |
Total Materials | 584,155 | |
Real Estate 3.1% | ||
Real Estate Management & Development 3.1% | ||
China Resources Land Ltd. | 392,000 | 1,197,308 |
KE Holdings, Inc., ADR | 65,355 | 888,174 |
Total | 2,085,482 | |
Total Real Estate | 2,085,482 | |
Total Common Stocks (Cost $58,425,273) | 67,404,360 | |
Money Market Funds 0.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(d),(e) | 471,117 | 471,023 |
Total Money Market Funds (Cost $471,005) | 471,023 | |
Total Investments in Securities (Cost: $58,896,278) | 67,875,383 | |
Other Assets & Liabilities, Net | (26,301 ) | |
Net Assets | 67,849,082 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Valuation based on significant unobservable inputs. |
(d) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
2,247,042 | 16,910,695 | (18,686,663 ) | (51 ) | 471,023 | 314 | 36,390 | 471,117 |
ADR | American Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 1,478,345 | 14,054,074 | — | 15,532,419 |
Consumer Discretionary | 7,118,339 | 17,158,574 | — | 24,276,913 |
Consumer Staples | — | 6,869,926 | — | 6,869,926 |
Energy | — | 1,415,334 | — | 1,415,334 |
Financials | — | 8,270,550 | — | 8,270,550 |
Health Care | — | 2,315,416 | 0 * | 2,315,416 |
Industrials | 1,018,631 | 3,640,594 | — | 4,659,225 |
Information Technology | — | 1,394,940 | — | 1,394,940 |
Materials | 229,120 | 355,035 | — | 584,155 |
Real Estate | 888,174 | 1,197,308 | — | 2,085,482 |
Total Common Stocks | 10,732,609 | 56,671,751 | 0 * | 67,404,360 |
Money Market Funds | 471,023 | — | — | 471,023 |
Total Investments in Securities | 11,203,632 | 56,671,751 | 0 * | 67,875,383 |
* | Rounds to zero. |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $58,425,273) | $67,404,360 |
Affiliated issuers (cost $471,005) | 471,023 |
Receivable for: | |
Capital shares sold | 28,026 |
Dividends | 25,035 |
Expense reimbursement due from Investment Manager | 336 |
Prepaid expenses | 2,270 |
Deferred compensation of board members | 87,426 |
Other assets | 13,580 |
Total assets | 68,032,056 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 48,891 |
Management services fees | 1,755 |
Distribution and/or service fees | 198 |
Transfer agent fees | 6,961 |
Compensation of chief compliance officer | 6 |
Accounting services fees | 12,499 |
Compensation of board members | 1,446 |
Other expenses | 6,698 |
Deferred compensation of board members | 104,520 |
Total liabilities | 182,974 |
Net assets applicable to outstanding capital stock | $67,849,082 |
Represented by | |
Paid in capital | 90,455,645 |
Total distributable earnings (loss) | (22,606,563 ) |
Total - representing net assets applicable to outstanding capital stock | $67,849,082 |
Class A | |
Net assets | $25,798,630 |
Shares outstanding | 905,651 |
Net asset value per share | $28.49 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $30.23 |
Advisor Class | |
Net assets | $390,262 |
Shares outstanding | 12,103 |
Net asset value per share | $32.25 |
Class C | |
Net assets | $833,250 |
Shares outstanding | 33,215 |
Net asset value per share | $25.09 |
Institutional Class | |
Net assets | $22,804,312 |
Shares outstanding | 722,603 |
Net asset value per share | $31.56 |
Institutional 2 Class | |
Net assets | $1,473,121 |
Shares outstanding | 45,392 |
Net asset value per share | $32.45 |
Institutional 3 Class | |
Net assets | $16,549,507 |
Shares outstanding | 523,663 |
Net asset value per share | $31.60 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $296,192 |
Dividends — affiliated issuers | 36,390 |
Foreign taxes withheld | (8,307 ) |
Total income | 324,275 |
Expenses: | |
Management services fees | 368,695 |
Distribution and/or service fees | |
Class A | 36,684 |
Class C | 4,771 |
Transfer agent fees | |
Class A | 23,856 |
Advisor Class | 387 |
Class C | 775 |
Institutional Class | 20,824 |
Institutional 2 Class | 525 |
Institutional 3 Class | 616 |
Custodian fees | 13,942 |
Printing and postage fees | 9,085 |
Registration fees | 43,587 |
Accounting services fees | 15,454 |
Legal fees | 7,335 |
Interest on interfund lending | 1,236 |
Compensation of chief compliance officer | 6 |
Compensation of board members | 5,982 |
Deferred compensation of board members | 2,259 |
Other | 8,966 |
Total expenses | 564,985 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (60,650 ) |
Expense reduction | (360 ) |
Total net expenses | 503,975 |
Net investment loss | (179,700 ) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (5,228,318 ) |
Investments — affiliated issuers | 314 |
Foreign currency translations | (8,334 ) |
Net realized loss | (5,236,338 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (6,233,308 ) |
Investments — affiliated issuers | (51 ) |
Foreign currency translations | (20 ) |
Net change in unrealized appreciation (depreciation) | (6,233,379 ) |
Net realized and unrealized loss | (11,469,717 ) |
Net decrease in net assets resulting from operations | $(11,649,417 ) |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income (loss) | $(179,700 ) | $234,576 |
Net realized loss | (5,236,338 ) | (7,306,483 ) |
Net change in unrealized appreciation (depreciation) | (6,233,379 ) | (11,920,721 ) |
Net decrease in net assets resulting from operations | (11,649,417 ) | (18,992,628 ) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (152,206 ) | — |
Advisor Class | (2,741 ) | — |
Institutional Class | (165,442 ) | — |
Institutional 2 Class | (11,020 ) | — |
Institutional 3 Class | (149,233 ) | — |
Total distributions to shareholders | (480,642 ) | — |
Decrease in net assets from capital stock activity | (13,535,956 ) | (20,929,914 ) |
Total decrease in net assets | (25,666,015 ) | (39,922,542 ) |
Net assets at beginning of period | 93,515,097 | 133,437,639 |
Net assets at end of period | $67,849,082 | $93,515,097 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 20,411 | 612,108 | 90,865 | 3,061,050 |
Distributions reinvested | 4,590 | 137,192 | — | — |
Shares redeemed | (142,242 ) | (4,225,417 ) | (250,852 ) | (8,766,424 ) |
Net decrease | (117,241 ) | (3,476,117 ) | (159,987 ) | (5,705,374 ) |
Advisor Class | ||||
Shares sold | 1,037 | 34,812 | 10,351 | 442,474 |
Distributions reinvested | 81 | 2,729 | — | — |
Shares redeemed | (4,550 ) | (153,265 ) | (10,125 ) | (420,851 ) |
Net increase (decrease) | (3,432 ) | (115,724 ) | 226 | 21,623 |
Class C | ||||
Shares sold | 2,167 | 54,504 | 7,258 | 228,896 |
Shares redeemed | (7,776 ) | (202,692 ) | (18,881 ) | (598,063 ) |
Net decrease | (5,609 ) | (148,188 ) | (11,623 ) | (369,167 ) |
Institutional Class | ||||
Shares sold | 77,088 | 2,747,925 | 690,680 | 25,750,689 |
Distributions reinvested | 4,857 | 160,726 | — | — |
Shares redeemed | (105,586 ) | (3,512,274 ) | (1,469,433 ) | (56,409,794 ) |
Net decrease | (23,641 ) | (603,623 ) | (778,753 ) | (30,659,105 ) |
Institutional 2 Class | ||||
Shares sold | 7,344 | 251,528 | 3,553 | 146,078 |
Distributions reinvested | 323 | 11,006 | — | — |
Shares redeemed | (11,550 ) | (393,329 ) | (24,461 ) | (965,585 ) |
Net decrease | (3,883 ) | (130,795 ) | (20,908 ) | (819,507 ) |
Institutional 3 Class | ||||
Shares sold | 8,511 | 271,421 | 641,077 | 25,774,489 |
Distributions reinvested | 4,485 | 148,590 | — | — |
Shares redeemed | (270,487 ) | (9,481,520 ) | (229,563 ) | (9,172,873 ) |
Net increase (decrease) | (257,491 ) | (9,061,509 ) | 411,514 | 16,601,616 |
Total net decrease | (411,297 ) | (13,535,956 ) | (559,531 ) | (20,929,914 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $33.10 | (0.10 ) | (4.35 ) | (4.45 ) | (0.16 ) | — | (0.16 ) |
Year Ended 8/31/2023 | $39.01 | (0.00 )(e) | (5.91 ) | (5.91 ) | — | — | — |
Year Ended 8/31/2022 | $59.43 | (0.23 ) | (20.19 ) | (20.42 ) | — | — | — |
Year Ended 8/31/2021 | $67.81 | (0.51 ) | (4.70 ) | (5.21 ) | — | (3.17 ) | (3.17 ) |
Year Ended 8/31/2020 | $45.00 | (0.24 ) | 23.82 | 23.58 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $47.25 | 0.00 (e) | 0.20 (h) | 0.20 | — | (2.45 ) | (2.45 ) |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $37.48 | (0.07 ) | (4.94 ) | (5.01 ) | (0.22 ) | — | (0.22 ) |
Year Ended 8/31/2023 | $44.05 | 0.15 | (6.72 ) | (6.57 ) | — | — | — |
Year Ended 8/31/2022 | $66.94 | (0.16 ) | (22.73 ) | (22.89 ) | — | — | — |
Year Ended 8/31/2021 | $75.94 | (0.46 ) | (5.24 ) | (5.70 ) | — | (3.30 ) | (3.30 ) |
Year Ended 8/31/2020 | $50.19 | 0.00 (e) | 26.52 | 26.52 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $52.25 | (0.12 ) | 0.51 (h) | 0.39 | — | (2.45 ) | (2.45 ) |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $29.11 | (0.19 ) | (3.83 ) | (4.02 ) | — | — | — |
Year Ended 8/31/2023 | $34.56 | (0.25 ) | (5.20 ) | (5.45 ) | — | — | — |
Year Ended 8/31/2022 | $53.05 | (0.53 ) | (17.96 ) | (18.49 ) | — | — | — |
Year Ended 8/31/2021 | $61.16 | (0.87 ) | (4.22 ) | (5.09 ) | — | (3.02 ) | (3.02 ) |
Year Ended 8/31/2020 | $40.96 | (0.59 ) | 21.56 | 20.97 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $43.57 | (0.41 ) | 0.25 (h) | (0.16 ) | — | (2.45 ) | (2.45 ) |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $36.68 | (0.07 ) | (4.83 ) | (4.90 ) | (0.22 ) | — | (0.22 ) |
Year Ended 8/31/2023 | $43.16 | 0.14 | (6.62 ) | (6.48 ) | — | — | — |
Year Ended 8/31/2022 | $65.59 | (0.00 )(e) | (22.43 ) | (22.43 ) | — | — | — |
Year Ended 8/31/2021 | $74.47 | (0.34 ) | (5.24 ) | (5.58 ) | — | (3.30 ) | (3.30 ) |
Year Ended 8/31/2020 | $49.23 | (0.12 ) | 26.13 | 26.01 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $51.30 | 0.08 | 0.30 (h) | 0.38 | — | (2.45 ) | (2.45 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $28.49 | (13.47% ) | 1.64% (c) | 1.48% (c),(d) | (0.66% ) | 23% | $25,799 |
Year Ended 8/31/2023 | $33.10 | (15.15% ) | 1.61% (c),(f) | 1.54% (c),(d),(f),(g) | (0.01% ) | 61% | $33,863 |
Year Ended 8/31/2022 | $39.01 | (34.36% ) | 1.50% (c),(f) | 1.50% (c),(d),(f),(g) | (0.47% ) | 65% | $46,148 |
Year Ended 8/31/2021 | $59.43 | (8.26% ) | 1.44% | 1.44% (d) | (0.72% ) | 19% | $82,311 |
Year Ended 8/31/2020 | $67.81 | 53.06% | 1.50% (c) | 1.50% (c),(d) | (0.47% ) | 27% | $91,892 |
Year Ended 8/31/2019 | $45.00 | 1.28% | 1.53% (c) | 1.53% (c) | 0.00% (e) | 18% | $65,762 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $32.25 | (13.39% ) | 1.39% (c) | 1.23% (c),(d) | (0.42% ) | 23% | $390 |
Year Ended 8/31/2023 | $37.48 | (14.91% ) | 1.35% (c),(f) | 1.29% (c),(d),(f),(g) | 0.39% | 61% | $582 |
Year Ended 8/31/2022 | $44.05 | (34.19% ) | 1.24% (c),(f) | 1.24% (c),(d),(f),(g) | (0.29% ) | 65% | $674 |
Year Ended 8/31/2021 | $66.94 | (8.03% ) | 1.19% | 1.19% (d) | (0.58% ) | 19% | $1,775 |
Year Ended 8/31/2020 | $75.94 | 53.43% | 1.25% (c) | 1.25% (c),(d) | 0.01% | 27% | $3,084 |
Year Ended 8/31/2019 | $50.19 | 1.53% | 1.29% (c) | 1.29% (c) | (0.23% ) | 18% | $1,027 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $25.09 | (13.81% ) | 2.39% (c) | 2.23% (c),(d) | (1.41% ) | 23% | $833 |
Year Ended 8/31/2023 | $29.11 | (15.77% ) | 2.36% (c),(f) | 2.30% (c),(d),(f),(g) | (0.81% ) | 61% | $1,130 |
Year Ended 8/31/2022 | $34.56 | (34.85% ) | 2.25% (c),(f) | 2.25% (c),(d),(f),(g) | (1.24% ) | 65% | $1,743 |
Year Ended 8/31/2021 | $53.05 | (8.95% ) | 2.19% | 2.19% (d) | (1.38% ) | 19% | $3,667 |
Year Ended 8/31/2020 | $61.16 | 51.91% | 2.25% (c) | 2.25% (c),(d) | (1.28% ) | 27% | $2,517 |
Year Ended 8/31/2019 | $40.96 | 0.53% | 2.28% (c) | 2.28% (c) | (1.02% ) | 18% | $2,554 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $31.56 | (13.38% ) | 1.39% (c) | 1.23% (c),(d) | (0.41% ) | 23% | $22,804 |
Year Ended 8/31/2023 | $36.68 | (15.01% ) | 1.36% (c),(f) | 1.29% (c),(d),(f),(g) | 0.36% | 61% | $27,373 |
Year Ended 8/31/2022 | $43.16 | (34.20% ) | 1.25% (c),(f) | 1.25% (c),(d),(f),(g) | (0.00% )(e) | 65% | $65,817 |
Year Ended 8/31/2021 | $65.59 | (8.03% ) | 1.20% | 1.20% (d) | (0.44% ) | 19% | $72,247 |
Year Ended 8/31/2020 | $74.47 | 53.44% | 1.25% (c) | 1.25% (c),(d) | (0.22% ) | 27% | $31,844 |
Year Ended 8/31/2019 | $49.23 | 1.54% | 1.28% (c) | 1.28% (c) | 0.17% | 18% | $31,244 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $37.72 | (0.05 ) | (4.98 ) | (5.03 ) | (0.24 ) | — | (0.24 ) |
Year Ended 8/31/2023 | $44.30 | 0.09 | (6.67 ) | (6.58 ) | — | — | — |
Year Ended 8/31/2022 | $67.26 | (0.11 ) | (22.85 ) | (22.96 ) | — | — | — |
Year Ended 8/31/2021 | $76.28 | (0.19 ) | (5.49 ) | (5.68 ) | — | (3.34 ) | (3.34 ) |
Year Ended 8/31/2020 | $50.38 | (0.10 ) | 26.77 | 26.67 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $52.38 | 0.16 | 0.29 (h) | 0.45 | — | (2.45 ) | (2.45 ) |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $36.75 | (0.03 ) | (4.86 ) | (4.89 ) | (0.26 ) | — | (0.26 ) |
Year Ended 8/31/2023 | $43.14 | 0.22 | (6.61 ) | (6.39 ) | — | — | — |
Year Ended 8/31/2022 | $65.46 | (0.15 ) | (22.17 ) | (22.32 ) | — | — | — |
Year Ended 8/31/2021 | $74.32 | (0.17 ) | (5.32 ) | (5.49 ) | — | (3.37 ) | (3.37 ) |
Year Ended 8/31/2020 | $49.08 | (0.02 ) | 26.03 | 26.01 | — | (0.77 ) | (0.77 ) |
Year Ended 8/31/2019 | $51.08 | 0.20 | 0.25 (h) | 0.45 | — | (2.45 ) | (2.45 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Rounds to zero. |
(f) | Ratios include line of credit interest expense. For the periods indicated below, if line of credit interest expense had been excluded, expenses would have been lower by: |
Class | 2/29/2024 | 8/31/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 |
Class A | —% | 0.01% | less than 0.01% | —% | —% | —% |
Advisor Class | —% | 0.01% | less than 0.01% | —% | —% | —% |
Class C | —% | 0.01% | less than 0.01% | —% | —% | —% |
Institutional Class | —% | 0.01% | less than 0.01% | —% | —% | —% |
Institutional 2 Class | —% | 0.01% | less than 0.01% | —% | —% | —% |
Institutional 3 Class | —% | less than 0.01% | less than 0.01% | —% | —% | —% |
(g) | Ratios include the impact of voluntary waivers paid by the Investment Manager. If the Investment Manager had not paid these voluntary waivers, the Fund’s net expense ratio would increase by less than 0.01%. |
(h) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to timing of Fund shares sold and redeemed in relation to fluctuations in the market value of the portfolio. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $32.45 | (13.36% ) | 1.30% (c) | 1.14% (c) | (0.32% ) | 23% | $1,473 |
Year Ended 8/31/2023 | $37.72 | (14.85% ) | 1.27% (c),(f) | 1.21% (c),(f) | 0.23% | 61% | $1,859 |
Year Ended 8/31/2022 | $44.30 | (34.14% ) | 1.16% (c),(f) | 1.16% (c),(f) | (0.20% ) | 65% | $3,109 |
Year Ended 8/31/2021 | $67.26 | (7.97% ) | 1.14% | 1.14% | (0.24% ) | 19% | $7,362 |
Year Ended 8/31/2020 | $76.28 | 53.53% | 1.17% (c) | 1.17% (c) | (0.17% ) | 27% | $2,842 |
Year Ended 8/31/2019 | $50.38 | 1.65% | 1.20% (c) | 1.20% (c) | 0.32% | 18% | $3,001 |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $31.60 | (13.33% ) | 1.23% (c) | 1.09% (c) | (0.21% ) | 23% | $16,550 |
Year Ended 8/31/2023 | $36.75 | (14.81% ) | 1.20% (c),(f) | 1.13% (c),(f) | 0.54% | 61% | $28,709 |
Year Ended 8/31/2022 | $43.14 | (34.10% ) | 1.11% (c),(f) | 1.11% (c),(f) | (0.27% ) | 65% | $15,946 |
Year Ended 8/31/2021 | $65.46 | (7.93% ) | 1.08% | 1.08% | (0.22% ) | 19% | $43,992 |
Year Ended 8/31/2020 | $74.32 | 53.60% | 1.12% (c) | 1.12% (c) | (0.04% ) | 27% | $31,974 |
Year Ended 8/31/2019 | $49.08 | 1.69% | 1.14% (c) | 1.14% (c) | 0.42% | 18% | $5,391 |
Effective rate (%) | |
Class A | 0.16 |
Advisor Class | 0.16 |
Class C | 0.16 |
Institutional Class | 0.16 |
Institutional 2 Class | 0.07 |
Institutional 3 Class | 0.01 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 4,014 |
Class C | — | 1.00 (b) | 94 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 1.48 % | 1.48 % |
Advisor Class | 1.23 | 1.23 |
Class C | 2.23 | 2.23 |
Institutional Class | 1.23 | 1.23 |
Institutional 2 Class | 1.14 | 1.14 |
Institutional 3 Class | 1.08 | 1.09 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
58,896,000 | 16,014,000 | (7,035,000 ) | 8,979,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(24,050,867 ) | — | (24,050,867 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 1,900,000 | 5.86 | 4 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 15.69 | 26.41 | 11.27 | 9.57 |
Including sales charges | 9.06 | 19.13 | 9.95 | 8.93 | ||
Advisor Class | 11/08/12 | 15.81 | 26.73 | 11.54 | 9.85 | |
Class C | Excluding sales charges | 10/13/03 | 15.26 | 25.45 | 10.44 | 8.75 |
Including sales charges | 14.26 | 24.45 | 10.44 | 8.75 | ||
Institutional Class | 11/20/85 | 15.81 | 26.74 | 11.54 | 9.85 | |
Institutional 2 Class | 03/07/11 | 15.83 | 26.79 | 11.60 | 9.93 | |
Institutional 3 Class | 07/15/09 | 15.91 | 26.91 | 11.66 | 10.00 | |
Class R | 01/23/06 | 15.56 | 26.09 | 10.98 | 9.30 | |
Russell Midcap Growth Index | 16.53 | 25.03 | 11.59 | 10.88 | ||
Russell Midcap Index | 11.53 | 15.46 | 10.35 | 9.45 |
Portfolio breakdown (%) (at February 29, 2024) | |
Common Stocks | 98.7 |
Money Market Funds | 1.3 |
Total | 100.0 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 9.8 |
Consumer Discretionary | 18.1 |
Consumer Staples | 4.7 |
Energy | 4.0 |
Financials | 7.0 |
Health Care | 20.5 |
Industrials | 15.3 |
Information Technology | 19.1 |
Real Estate | 1.5 |
Total | 100.0 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,156.90 | 1,019.14 | 6.17 | 5.77 | 1.15 |
Advisor Class | 1,000.00 | 1,000.00 | 1,158.10 | 1,020.39 | 4.83 | 4.52 | 0.90 |
Class C | 1,000.00 | 1,000.00 | 1,152.60 | 1,015.42 | 10.17 | 9.52 | 1.90 |
Institutional Class | 1,000.00 | 1,000.00 | 1,158.10 | 1,020.39 | 4.83 | 4.52 | 0.90 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,158.30 | 1,020.74 | 4.45 | 4.17 | 0.83 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,159.10 | 1,020.93 | 4.24 | 3.97 | 0.79 |
Class R | 1,000.00 | 1,000.00 | 1,155.60 | 1,017.90 | 7.50 | 7.02 | 1.40 |
Common Stocks 98.9% | ||
Issuer | Shares | Value ($) |
Communication Services 9.7% | ||
Entertainment 5.2% | ||
Roblox Corp., Class A(a) | 352,977 | 14,083,782 |
Spotify Technology SA(a) | 109,600 | 28,102,536 |
Take-Two Interactive Software, Inc.(a) | 225,978 | 33,202,948 |
Warner Music Group Corp., Class A | 227,612 | 7,950,487 |
Total | 83,339,753 | |
Interactive Media & Services 2.1% | ||
Pinterest, Inc., Class A(a) | 913,969 | 33,542,662 |
Media 2.4% | ||
Trade Desk, Inc. (The), Class A(a) | 463,238 | 39,574,423 |
Total Communication Services | 156,456,838 | |
Consumer Discretionary 17.9% | ||
Hotels, Restaurants & Leisure 11.2% | ||
Cava Group, Inc.(a) | 235,920 | 13,780,087 |
Churchill Downs, Inc. | 200,555 | 24,441,638 |
Domino’s Pizza, Inc. | 91,305 | 40,936,597 |
DoorDash, Inc., Class A(a) | 182,341 | 22,714,218 |
DraftKings, Inc., Class A(a) | 409,404 | 17,735,381 |
Flutter Entertainment PLC(a) | 44,325 | 9,656,644 |
Hilton Worldwide Holdings, Inc. | 108,765 | 22,222,865 |
Royal Caribbean Cruises Ltd.(a) | 73,251 | 9,035,511 |
Wynn Resorts Ltd. | 195,578 | 20,574,806 |
Total | 181,097,747 | |
Specialty Retail 6.7% | ||
Floor & Decor Holdings, Inc., Class A(a) | 264,555 | 32,042,902 |
Ross Stores, Inc. | 223,870 | 33,347,675 |
Tractor Supply Co. | 37,739 | 9,597,782 |
Ulta Beauty, Inc.(a) | 59,558 | 32,671,137 |
Total | 107,659,496 | |
Total Consumer Discretionary | 288,757,243 | |
Consumer Staples 4.7% | ||
Beverages 0.9% | ||
Celsius Holdings, Inc.(a) | 185,601 | 15,148,754 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Consumer Staples Distribution & Retail 2.9% | ||
Casey’s General Stores, Inc. | 53,720 | 16,357,203 |
Dollar Tree, Inc.(a) | 205,019 | 30,072,187 |
Total | 46,429,390 | |
Household Products 0.9% | ||
Clorox Co. (The) | 94,281 | 14,454,220 |
Total Consumer Staples | 76,032,364 | |
Energy 3.9% | ||
Oil, Gas & Consumable Fuels 3.9% | ||
Cameco Corp. | 517,450 | 20,972,249 |
Diamondback Energy, Inc. | 49,713 | 9,073,617 |
Range Resources Corp. | 358,658 | 11,340,766 |
Targa Resources Corp. | 225,377 | 22,141,036 |
Total | 63,527,668 | |
Total Energy | 63,527,668 | |
Financials 6.9% | ||
Capital Markets 2.5% | ||
Blue Owl Capital, Inc. | 540,057 | 9,699,424 |
KKR & Co., Inc., Class A | 170,446 | 16,748,024 |
MSCI, Inc. | 25,411 | 14,254,808 |
Total | 40,702,256 | |
Financial Services 2.8% | ||
Apollo Global Management, Inc. | 407,732 | 45,584,438 |
Insurance 1.6% | ||
Kinsale Capital Group, Inc. | 48,543 | 25,056,926 |
Total Financials | 111,343,620 | |
Health Care 20.3% | ||
Biotechnology 1.0% | ||
Natera, Inc.(a) | 194,326 | 16,807,256 |
Health Care Equipment & Supplies 6.5% | ||
Align Technology, Inc.(a) | 95,108 | 28,762,561 |
DexCom, Inc.(a) | 324,380 | 37,326,407 |
IDEXX Laboratories, Inc.(a) | 59,281 | 34,100,210 |
Shockwave Medical, Inc.(a) | 16,773 | 4,375,572 |
Total | 104,564,750 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 2.6% | ||
Cencora, Inc. | 179,824 | 42,366,534 |
Health Care Technology 2.3% | ||
Veeva Systems Inc., Class A(a) | 160,973 | 36,301,021 |
Life Sciences Tools & Services 7.9% | ||
Agilent Technologies, Inc. | 172,622 | 23,711,358 |
Bio-Techne Corp. | 424,705 | 31,245,547 |
Bruker Corp. | 92,704 | 8,022,604 |
Charles River Laboratories International, Inc.(a) | 110,122 | 27,991,911 |
West Pharmaceutical Services, Inc. | 101,096 | 36,228,763 |
Total | 127,200,183 | |
Total Health Care | 327,239,744 | |
Industrials 15.1% | ||
Aerospace & Defense 5.0% | ||
HEICO Corp. | 108,046 | 20,896,096 |
Howmet Aerospace, Inc. | 419,890 | 27,943,680 |
TransDigm Group, Inc. | 26,358 | 31,042,871 |
Total | 79,882,647 | |
Building Products 1.3% | ||
Builders FirstSource, Inc.(a) | 108,222 | 21,122,770 |
Commercial Services & Supplies 1.8% | ||
RB Global, Inc. | 135,307 | 10,271,154 |
Rollins, Inc. | 439,222 | 19,356,514 |
Total | 29,627,668 | |
Electrical Equipment 1.7% | ||
AMETEK, Inc. | 150,193 | 27,061,775 |
Ground Transportation 4.1% | ||
Saia, Inc.(a) | 34,292 | 19,731,616 |
XPO, Inc.(a) | 387,656 | 46,642,770 |
Total | 66,374,386 | |
Trading Companies & Distributors 1.2% | ||
Ferguson PLC | 93,936 | 19,862,767 |
Total Industrials | 243,932,013 | |
Information Technology 18.9% | ||
Communications Equipment 1.8% | ||
Arista Networks, Inc.(a) | 103,134 | 28,623,810 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Electronic Equipment, Instruments & Components 0.5% | ||
Vontier Corp. | 170,103 | 7,314,429 |
IT Services 5.0% | ||
MongoDB, Inc.(a) | 115,093 | 51,513,325 |
Snowflake, Inc., Class A(a) | 154,345 | 29,060,076 |
Total | 80,573,401 | |
Semiconductors & Semiconductor Equipment 2.6% | ||
Lattice Semiconductor Corp.(a) | 157,816 | 12,090,284 |
Microchip Technology, Inc. | 209,485 | 17,626,068 |
Rambus, Inc.(a) | 218,105 | 12,920,540 |
Total | 42,636,892 | |
Software 9.0% | ||
Crowdstrike Holdings, Inc., Class A(a) | 120,784 | 39,152,133 |
Datadog, Inc., Class A(a) | 202,419 | 26,610,002 |
Fair Isaac Corp.(a) | 12,124 | 15,396,389 |
Gitlab, Inc., Class A(a) | 199,732 | 14,404,672 |
HubSpot, Inc.(a) | 80,423 | 49,766,557 |
Total | 145,329,753 | |
Total Information Technology | 304,478,285 | |
Real Estate 1.5% | ||
Real Estate Management & Development 1.5% | ||
CoStar Group, Inc.(a) | 271,843 | 23,658,496 |
Total Real Estate | 23,658,496 | |
Total Common Stocks (Cost $1,277,787,014) | 1,595,426,271 | |
Money Market Funds 1.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(b),(c) | 20,394,210 | 20,390,131 |
Total Money Market Funds (Cost $20,387,924) | 20,390,131 | |
Total Investments in Securities (Cost: $1,298,174,938) | 1,615,816,402 | |
Other Assets & Liabilities, Net | (3,627,973 ) | |
Net Assets | 1,612,188,429 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
52,937,961 | 371,244,033 | (403,786,985 ) | (4,878 ) | 20,390,131 | (111 ) | 1,020,777 | 20,394,210 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 156,456,838 | — | — | 156,456,838 |
Consumer Discretionary | 288,757,243 | — | — | 288,757,243 |
Consumer Staples | 76,032,364 | — | — | 76,032,364 |
Energy | 63,527,668 | — | — | 63,527,668 |
Financials | 111,343,620 | — | — | 111,343,620 |
Health Care | 327,239,744 | — | — | 327,239,744 |
Industrials | 243,932,013 | — | — | 243,932,013 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | 304,478,285 | — | — | 304,478,285 |
Real Estate | 23,658,496 | — | — | 23,658,496 |
Total Common Stocks | 1,595,426,271 | — | — | 1,595,426,271 |
Money Market Funds | 20,390,131 | — | — | 20,390,131 |
Total Investments in Securities | 1,615,816,402 | — | — | 1,615,816,402 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,277,787,014) | $1,595,426,271 |
Affiliated issuers (cost $20,387,924) | 20,390,131 |
Receivable for: | |
Investments sold | 28,707,884 |
Capital shares sold | 268,128 |
Dividends | 524,078 |
Expense reimbursement due from Investment Manager | 1,144 |
Prepaid expenses | 12,603 |
Deferred compensation of board members | 275,477 |
Other assets | 22,980 |
Total assets | 1,645,628,696 |
Liabilities | |
Payable for: | |
Investments purchased | 31,471,442 |
Capital shares redeemed | 1,419,934 |
Management services fees | 33,503 |
Distribution and/or service fees | 5,619 |
Transfer agent fees | 121,462 |
Compensation of chief compliance officer | 136 |
Compensation of board members | 3,403 |
Other expenses | 33,400 |
Deferred compensation of board members | 351,368 |
Total liabilities | 33,440,267 |
Net assets applicable to outstanding capital stock | $1,612,188,429 |
Represented by | |
Paid in capital | 1,253,387,388 |
Total distributable earnings (loss) | 358,801,041 |
Total - representing net assets applicable to outstanding capital stock | $1,612,188,429 |
Class A | |
Net assets | $789,764,765 |
Shares outstanding | 33,466,924 |
Net asset value per share | $23.60 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $25.04 |
Advisor Class | |
Net assets | $14,611,677 |
Shares outstanding | 510,192 |
Net asset value per share | $28.64 |
Class C | |
Net assets | $5,715,682 |
Shares outstanding | 372,909 |
Net asset value per share | $15.33 |
Institutional Class | |
Net assets | $693,213,549 |
Shares outstanding | 25,569,471 |
Net asset value per share | $27.11 |
Institutional 2 Class | |
Net assets | $21,486,600 |
Shares outstanding | 778,711 |
Net asset value per share | $27.59 |
Institutional 3 Class | |
Net assets | $80,960,000 |
Shares outstanding | 2,925,372 |
Net asset value per share | $27.68 |
Class R | |
Net assets | $6,436,156 |
Shares outstanding | 299,928 |
Net asset value per share | $21.46 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,190,154 |
Dividends — affiliated issuers | 1,020,777 |
Interfund lending | 878 |
Foreign taxes withheld | (44,865 ) |
Total income | 6,166,944 |
Expenses: | |
Management services fees | 5,564,055 |
Distribution and/or service fees | |
Class A | 875,117 |
Class C | 26,295 |
Class R | 13,998 |
Class V | 13,384 |
Transfer agent fees | |
Class A | 387,746 |
Advisor Class | 6,917 |
Class C | 2,914 |
Institutional Class | 341,452 |
Institutional 2 Class | 4,500 |
Institutional 3 Class | 2,132 |
Class R | 3,100 |
Class V | 5,990 |
Custodian fees | 6,997 |
Printing and postage fees | 37,070 |
Registration fees | 59,661 |
Accounting services fees | 15,454 |
Legal fees | 16,735 |
Compensation of chief compliance officer | 136 |
Compensation of board members | 13,946 |
Deferred compensation of board members | 6,319 |
Other | 16,911 |
Total expenses | 7,420,829 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (78,090 ) |
Expense reduction | (3,070 ) |
Total net expenses | 7,339,669 |
Net investment loss | (1,172,725 ) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 51,461,039 |
Investments — affiliated issuers | (111 ) |
Foreign currency translations | 5,782 |
Net realized gain | 51,466,710 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 169,478,679 |
Investments — affiliated issuers | (4,878 ) |
Net change in unrealized appreciation (depreciation) | 169,473,801 |
Net realized and unrealized gain | 220,940,511 |
Net increase in net assets resulting from operations | $219,767,786 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment loss | $(1,172,725 ) | $(6,679,651 ) |
Net realized gain | 51,466,710 | 42,912,206 |
Net change in unrealized appreciation (depreciation) | 169,473,801 | 118,490,377 |
Net increase in net assets resulting from operations | 219,767,786 | 154,722,932 |
Decrease in net assets from capital stock activity | (85,402,708 ) | (159,501,203 ) |
Total increase (decrease) in net assets | 134,365,078 | (4,778,271 ) |
Net assets at beginning of period | 1,477,823,351 | 1,482,601,622 |
Net assets at end of period | $1,612,188,429 | $1,477,823,351 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 1,461,734 | 30,257,886 | 861,326 | 16,270,427 |
Shares redeemed | (2,726,679 ) | (56,549,737 ) | (5,380,692 ) | (99,862,583 ) |
Net decrease | (1,264,945 ) | (26,291,851 ) | (4,519,366 ) | (83,592,156 ) |
Advisor Class | ||||
Shares sold | 70,575 | 1,788,354 | 164,270 | 3,742,859 |
Shares redeemed | (57,510 ) | (1,451,520 ) | (110,541 ) | (2,454,119 ) |
Net increase | 13,065 | 336,834 | 53,729 | 1,288,740 |
Class C | ||||
Shares sold | 23,650 | 316,518 | 64,522 | 801,631 |
Shares redeemed | (63,834 ) | (856,455 ) | (156,551 ) | (1,906,851 ) |
Net decrease | (40,184 ) | (539,937 ) | (92,029 ) | (1,105,220 ) |
Institutional Class | ||||
Shares sold | 549,809 | 13,428,025 | 1,341,578 | 29,343,336 |
Shares redeemed | (1,916,412 ) | (45,448,222 ) | (3,377,891 ) | (72,355,317 ) |
Net decrease | (1,366,603 ) | (32,020,197 ) | (2,036,313 ) | (43,011,981 ) |
Institutional 2 Class | ||||
Shares sold | 200,993 | 4,690,809 | 347,747 | 7,740,356 |
Shares redeemed | (266,152 ) | (6,168,408 ) | (1,143,435 ) | (25,450,585 ) |
Net decrease | (65,159 ) | (1,477,599 ) | (795,688 ) | (17,710,229 ) |
Institutional 3 Class | ||||
Shares sold | 138,101 | 3,463,040 | 553,094 | 12,636,963 |
Shares redeemed | (340,250 ) | (8,111,774 ) | (1,229,776 ) | (26,537,759 ) |
Net decrease | (202,149 ) | (4,648,734 ) | (676,682 ) | (13,900,796 ) |
Class R | ||||
Shares sold | 36,379 | 676,384 | 57,506 | 1,004,159 |
Shares redeemed | (28,362 ) | (550,576 ) | (84,771 ) | (1,397,373 ) |
Net increase (decrease) | 8,017 | 125,808 | (27,265 ) | (393,214 ) |
Class V | ||||
Shares sold | 2,548 | 49,623 | 5,398 | 96,427 |
Shares redeemed | (1,030,919 ) | (20,936,655 ) | (62,573 ) | (1,172,774 ) |
Net decrease | (1,028,371 ) | (20,887,032 ) | (57,175 ) | (1,076,347 ) |
Total net decrease | (3,946,329 ) | (85,402,708 ) | (8,150,789 ) | (159,501,203 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.40 | (0.03 ) | 3.23 | 3.20 | — | — |
Year Ended 8/31/2023 | $18.30 | (0.11 ) | 2.21 | 2.10 | — | — |
Year Ended 8/31/2022 | $31.98 | (0.18 ) | (7.46 ) | (7.64 ) | (6.04 ) | (6.04 ) |
Year Ended 8/31/2021 | $27.17 | (0.24 ) | 9.61 | 9.37 | (4.56 ) | (4.56 ) |
Year Ended 8/31/2020 | $23.44 | (0.14 ) | 6.01 | 5.87 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $28.83 | (0.07 ) | 0.09 | 0.02 | (5.41 ) | (5.41 ) |
Advisor Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $24.73 | (0.01 ) | 3.92 | 3.91 | — | — |
Year Ended 8/31/2023 | $22.13 | (0.08 ) | 2.68 | 2.60 | — | — |
Year Ended 8/31/2022 | $37.34 | (0.15 ) | (8.97 ) | (9.12 ) | (6.09 ) | (6.09 ) |
Year Ended 8/31/2021 | $31.03 | (0.19 ) | 11.12 | 10.93 | (4.62 ) | (4.62 ) |
Year Ended 8/31/2020 | $26.43 | (0.09 ) | 6.83 | 6.74 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $31.71 | (0.02 ) | 0.20 | 0.18 | (5.46 ) | (5.46 ) |
Class C | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $13.30 | (0.07 ) | 2.10 | 2.03 | — | — |
Year Ended 8/31/2023 | $12.02 | (0.16 ) | 1.44 | 1.28 | — | — |
Year Ended 8/31/2022 | $23.12 | (0.24 ) | (4.97 ) | (5.21 ) | (5.89 ) | (5.89 ) |
Year Ended 8/31/2021 | $20.72 | (0.33 ) | 7.09 | 6.76 | (4.36 ) | (4.36 ) |
Year Ended 8/31/2020 | $18.48 | (0.24 ) | 4.62 | 4.38 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $23.99 | (0.20 ) | (0.04 )(e) | (0.24 ) | (5.27 ) | (5.27 ) |
Institutional Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.41 | (0.00 )(f) | 3.70 | 3.70 | — | — |
Year Ended 8/31/2023 | $20.95 | (0.07 ) | 2.53 | 2.46 | — | — |
Year Ended 8/31/2022 | $35.68 | (0.15 ) | (8.49 ) | (8.64 ) | (6.09 ) | (6.09 ) |
Year Ended 8/31/2021 | $29.83 | (0.18 ) | 10.65 | 10.47 | (4.62 ) | (4.62 ) |
Year Ended 8/31/2020 | $25.49 | (0.08 ) | 6.56 | 6.48 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $30.80 | (0.01 ) | 0.16 | 0.15 | (5.46 ) | (5.46 ) |
Institutional 2 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.82 | 0.00 (f) | 3.77 | 3.77 | — | — |
Year Ended 8/31/2023 | $21.31 | (0.06 ) | 2.57 | 2.51 | — | — |
Year Ended 8/31/2022 | $36.18 | (0.13 ) | (8.64 ) | (8.77 ) | (6.10 ) | (6.10 ) |
Year Ended 8/31/2021 | $30.19 | (0.17 ) | 10.79 | 10.62 | (4.63 ) | (4.63 ) |
Year Ended 8/31/2020 | $25.75 | (0.07 ) | 6.65 | 6.58 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $31.06 | 0.00 (f) | 0.16 | 0.16 | (5.47 ) | (5.47 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.60 | 15.69% | 1.16% | 1.15% (c) | (0.30% ) | 89% | $789,765 |
Year Ended 8/31/2023 | $20.40 | 11.48% | 1.16% | 1.16% (c) | (0.59% ) | 152% | $708,522 |
Year Ended 8/31/2022 | $18.30 | (28.97% ) | 1.13% | 1.13% (c) | (0.81% ) | 70% | $718,493 |
Year Ended 8/31/2021 | $31.98 | 38.29% | 1.11% (d) | 1.11% (c),(d) | (0.83% ) | 82% | $1,134,636 |
Year Ended 8/31/2020 | $27.17 | 26.66% | 1.15% | 1.15% (c) | (0.58% ) | 63% | $967,087 |
Year Ended 8/31/2019 | $23.44 | 2.78% | 1.17% | 1.17% | (0.31% ) | 89% | $810,161 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $28.64 | 15.81% | 0.91% | 0.90% (c) | (0.05% ) | 89% | $14,612 |
Year Ended 8/31/2023 | $24.73 | 11.75% | 0.91% | 0.91% (c) | (0.35% ) | 152% | $12,292 |
Year Ended 8/31/2022 | $22.13 | (28.79% ) | 0.88% | 0.88% (c) | (0.56% ) | 70% | $9,813 |
Year Ended 8/31/2021 | $37.34 | 38.65% | 0.86% (d) | 0.86% (c),(d) | (0.58% ) | 82% | $13,348 |
Year Ended 8/31/2020 | $31.03 | 26.95% | 0.90% | 0.90% (c) | (0.33% ) | 63% | $8,071 |
Year Ended 8/31/2019 | $26.43 | 3.08% | 0.92% | 0.92% | (0.06% ) | 89% | $17,075 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $15.33 | 15.26% | 1.91% | 1.90% (c) | (1.04% ) | 89% | $5,716 |
Year Ended 8/31/2023 | $13.30 | 10.65% | 1.91% | 1.91% (c) | (1.34% ) | 152% | $5,494 |
Year Ended 8/31/2022 | $12.02 | (29.50% ) | 1.88% | 1.88% (c) | (1.56% ) | 70% | $6,073 |
Year Ended 8/31/2021 | $23.12 | 37.28% | 1.86% (d) | 1.86% (c),(d) | (1.57% ) | 82% | $9,886 |
Year Ended 8/31/2020 | $20.72 | 25.67% | 1.90% | 1.90% (c) | (1.32% ) | 63% | $11,759 |
Year Ended 8/31/2019 | $18.48 | 2.03% | 1.92% | 1.92% | (1.05% ) | 89% | $12,863 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $27.11 | 15.81% | 0.91% | 0.90% (c) | (0.04% ) | 89% | $693,214 |
Year Ended 8/31/2023 | $23.41 | 11.74% | 0.91% | 0.91% (c) | (0.35% ) | 152% | $630,492 |
Year Ended 8/31/2022 | $20.95 | (28.78% ) | 0.88% | 0.88% (c) | (0.56% ) | 70% | $607,008 |
Year Ended 8/31/2021 | $35.68 | 38.67% | 0.86% (d) | 0.86% (c),(d) | (0.58% ) | 82% | $965,229 |
Year Ended 8/31/2020 | $29.83 | 26.92% | 0.90% | 0.90% (c) | (0.33% ) | 63% | $748,236 |
Year Ended 8/31/2019 | $25.49 | 3.07% | 0.92% | 0.92% | (0.05% ) | 89% | $652,043 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $27.59 | 15.83% | 0.84% | 0.83% | 0.01% | 89% | $21,487 |
Year Ended 8/31/2023 | $23.82 | 11.78% | 0.86% | 0.86% | (0.28% ) | 152% | $20,097 |
Year Ended 8/31/2022 | $21.31 | (28.75% ) | 0.83% | 0.83% | (0.51% ) | 70% | $34,937 |
Year Ended 8/31/2021 | $36.18 | 38.73% | 0.82% (d) | 0.82% (d) | (0.53% ) | 82% | $49,076 |
Year Ended 8/31/2020 | $30.19 | 27.05% | 0.84% | 0.84% | (0.26% ) | 63% | $43,423 |
Year Ended 8/31/2019 | $25.75 | 3.11% | 0.84% | 0.84% | 0.02% | 89% | $46,284 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.88 | 0.01 | 3.79 | 3.80 | — | — |
Year Ended 8/31/2023 | $21.35 | (0.05 ) | 2.58 | 2.53 | — | — |
Year Ended 8/31/2022 | $36.23 | (0.12 ) | (8.65 ) | (8.77 ) | (6.11 ) | (6.11 ) |
Year Ended 8/31/2021 | $30.22 | (0.16 ) | 10.81 | 10.65 | (4.64 ) | (4.64 ) |
Year Ended 8/31/2020 | $25.77 | (0.06 ) | 6.65 | 6.59 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $31.07 | 0.02 | 0.16 | 0.18 | (5.48 ) | (5.48 ) |
Class R | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.57 | (0.05 ) | 2.94 | 2.89 | — | — |
Year Ended 8/31/2023 | $16.71 | (0.14 ) | 2.00 | 1.86 | — | — |
Year Ended 8/31/2022 | $29.74 | (0.23 ) | (6.81 ) | (7.04 ) | (5.99 ) | (5.99 ) |
Year Ended 8/31/2021 | $25.55 | (0.29 ) | 8.97 | 8.68 | (4.49 ) | (4.49 ) |
Year Ended 8/31/2020 | $22.22 | (0.18 ) | 5.65 | 5.47 | (2.14 ) | (2.14 ) |
Year Ended 8/31/2019 | $27.64 | (0.12 ) | 0.07 | (0.05 ) | (5.37 ) | (5.37 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to timing of Fund shares sold and redeemed in relation to fluctuations in the market value of the portfolio. |
(f) | Rounds to zero. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $27.68 | 15.91% | 0.80% | 0.79% | 0.06% | 89% | $80,960 |
Year Ended 8/31/2023 | $23.88 | 11.85% | 0.81% | 0.81% | (0.23% ) | 152% | $74,691 |
Year Ended 8/31/2022 | $21.35 | (28.71% ) | 0.78% | 0.78% | (0.46% ) | 70% | $81,229 |
Year Ended 8/31/2021 | $36.23 | 38.80% | 0.77% (d) | 0.77% (d) | (0.48% ) | 82% | $123,615 |
Year Ended 8/31/2020 | $30.22 | 27.07% | 0.79% | 0.79% | (0.22% ) | 63% | $95,842 |
Year Ended 8/31/2019 | $25.77 | 3.18% | 0.79% | 0.79% | 0.08% | 89% | $86,115 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.46 | 15.56% | 1.41% | 1.40% (c) | (0.55% ) | 89% | $6,436 |
Year Ended 8/31/2023 | $18.57 | 11.13% | 1.41% | 1.41% (c) | (0.84% ) | 152% | $5,422 |
Year Ended 8/31/2022 | $16.71 | (29.11% ) | 1.38% | 1.38% (c) | (1.06% ) | 70% | $5,333 |
Year Ended 8/31/2021 | $29.74 | 37.94% | 1.36% (d) | 1.36% (c),(d) | (1.08% ) | 82% | $10,376 |
Year Ended 8/31/2020 | $25.55 | 26.31% | 1.40% | 1.40% (c) | (0.82% ) | 63% | $7,717 |
Year Ended 8/31/2019 | $22.22 | 2.56% | 1.42% | 1.42% | (0.55% ) | 89% | $10,593 |
Effective rate (%) | |
Class A | 0.11 |
Advisor Class | 0.11 |
Class C | 0.11 |
Institutional Class | 0.11 |
Institutional 2 Class | 0.05 |
Institutional 3 Class | 0.01 |
Class R | 0.11 |
Class V | 0.03 (a) |
(a) | Unannualized. |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 62,202 |
Class C | — | 1.00 (b) | 20 |
Class V | 5.75 | 0.50 - 1.00(a) | — |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 1.12 % | 1.20 % |
Advisor Class | 0.87 | 0.95 |
Class C | 1.87 | 1.95 |
Institutional Class | 0.87 | 0.95 |
Institutional 2 Class | 0.82 | 0.89 |
Institutional 3 Class | 0.77 | 0.85 |
Class R | 1.37 | 1.45 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,298,175,000 | 325,874,000 | (8,233,000 ) | 317,641,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(662,659 ) | — | (662,659 ) |
Late year ordinary losses ($) | Post-October capital losses ($) |
4,542,225 | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 5,400,000 | 5.86 | 1 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/05 | 10.62 | 26.59 | 10.42 | 10.29 |
Including sales charges | 4.27 | 19.34 | 9.12 | 9.64 | ||
Advisor Class | 11/08/12 | 10.78 | 26.91 | 10.69 | 10.57 | |
Class C | Excluding sales charges | 11/01/05 | 10.25 | 25.65 | 9.59 | 9.47 |
Including sales charges | 9.25 | 24.65 | 9.59 | 9.47 | ||
Institutional Class | 10/01/96 | 10.79 | 26.95 | 10.69 | 10.57 | |
Institutional 2 Class | 02/28/13 | 10.89 | 27.10 | 10.80 | 10.73 | |
Institutional 3 Class | 07/15/09 | 10.87 | 27.20 | 10.86 | 10.75 | |
Class R | 09/27/10 | 10.52 | 26.36 | 10.15 | 10.02 | |
Russell 2000 Growth Index | 10.21 | 14.18 | 6.50 | 7.33 | ||
Russell 2000 Index | 8.97 | 10.05 | 6.89 | 7.13 |
Portfolio breakdown (%) (at February 29, 2024) | |
Common Stocks | 98.9 |
Money Market Funds | 1.1 |
Total | 100.0 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 1.1 |
Consumer Discretionary | 17.0 |
Consumer Staples | 3.4 |
Energy | 4.6 |
Financials | 3.0 |
Health Care | 22.8 |
Industrials | 24.2 |
Information Technology | 19.4 |
Materials | 4.5 |
Total | 100.0 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,106.20 | 1,018.60 | 6.60 | 6.32 | 1.26 |
Advisor Class | 1,000.00 | 1,000.00 | 1,107.80 | 1,019.84 | 5.29 | 5.07 | 1.01 |
Class C | 1,000.00 | 1,000.00 | 1,102.50 | 1,014.87 | 10.51 | 10.07 | 2.01 |
Institutional Class | 1,000.00 | 1,000.00 | 1,107.90 | 1,019.84 | 5.29 | 5.07 | 1.01 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,108.90 | 1,020.39 | 4.72 | 4.52 | 0.90 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,108.70 | 1,020.64 | 4.46 | 4.27 | 0.85 |
Class R | 1,000.00 | 1,000.00 | 1,105.20 | 1,017.35 | 7.90 | 7.57 | 1.51 |
Common Stocks 99.3% | ||
Issuer | Shares | Value ($) |
Communication Services 1.1% | ||
Entertainment 1.1% | ||
Atlanta Braves Holdings, Inc., Class C(a) | 539,880 | 21,120,106 |
Total Communication Services | 21,120,106 | |
Consumer Discretionary 16.9% | ||
Broadline Retail 1.6% | ||
Global-e Online Ltd.(a) | 364,583 | 12,348,426 |
Ollie’s Bargain Outlet Holdings, Inc.(a) | 220,840 | 17,704,743 |
Total | 30,053,169 | |
Hotels, Restaurants & Leisure 10.4% | ||
Cava Group, Inc.(a) | 696,318 | 40,671,934 |
Churchill Downs, Inc. | 245,174 | 29,879,355 |
Dave & Buster’s Entertainment, Inc.(a) | 650,466 | 40,159,771 |
Dutch Bros, Inc., Class A(a) | 777,527 | 22,649,362 |
Kura Sushi USA, Inc., Class A(a) | 346,763 | 32,952,888 |
Texas Roadhouse, Inc. | 214,844 | 32,091,248 |
Total | 198,404,558 | |
Household Durables 0.9% | ||
Installed Building Products, Inc. | 73,600 | 17,585,248 |
Specialty Retail 4.0% | ||
Boot Barn Holdings, Inc.(a) | 88,233 | 8,161,553 |
Floor & Decor Holdings, Inc., Class A(a) | 326,901 | 39,594,249 |
Valvoline, Inc.(a) | 696,389 | 29,694,027 |
Total | 77,449,829 | |
Total Consumer Discretionary | 323,492,804 | |
Consumer Staples 3.4% | ||
Beverages 1.6% | ||
Celsius Holdings, Inc.(a) | 378,017 | 30,853,748 |
Consumer Staples Distribution & Retail 1.8% | ||
Casey’s General Stores, Inc. | 45,569 | 13,875,305 |
Sprouts Farmers Market, Inc.(a) | 313,039 | 19,546,155 |
Total | 33,421,460 | |
Total Consumer Staples | 64,275,208 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 4.6% | ||
Energy Equipment & Services 1.6% | ||
ChampionX Corp. | 601,869 | 18,694,051 |
Tidewater, Inc.(a) | 173,334 | 12,138,580 |
Total | 30,832,631 | |
Oil, Gas & Consumable Fuels 3.0% | ||
Antero Resources Corp.(a) | 789,666 | 20,294,416 |
Northern Oil & Gas, Inc. | 449,235 | 16,051,167 |
Permian Resources Corp. | 975,492 | 15,178,655 |
Uranium Energy Corp.(a) | 985,718 | 6,387,453 |
Total | 57,911,691 | |
Total Energy | 88,744,322 | |
Financials 3.0% | ||
Financial Services 1.2% | ||
Flywire Corp.(a) | 789,237 | 22,406,438 |
Insurance 1.8% | ||
Oscar Health, Inc., Class A(a) | 314,696 | 5,116,957 |
RLI Corp. | 95,115 | 13,929,592 |
Skyward Specialty Insurance Group, Inc.(a) | 418,826 | 15,324,843 |
Total | 34,371,392 | |
Total Financials | 56,777,830 | |
Health Care 22.6% | ||
Biotechnology 5.4% | ||
Beam Therapeutics, Inc.(a) | 179,894 | 7,104,014 |
Immunome, Inc.(a) | 201,455 | 4,875,211 |
Natera, Inc.(a) | 774,110 | 66,952,774 |
Revolution Medicines, Inc.(a) | 218,525 | 6,442,117 |
Scholar Rock Holding Corp.(a) | 299,077 | 4,635,693 |
SpringWorks Therapeutics, Inc.(a) | 89,600 | 4,413,696 |
Syndax Pharmaceuticals, Inc.(a) | 400,420 | 9,385,845 |
Total | 103,809,350 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Equipment & Supplies 4.4% | ||
Glaukos Corp.(a) | 264,345 | 23,418,324 |
ICU Medical, Inc.(a) | 222,394 | 24,292,097 |
Inspire Medical Systems, Inc.(a) | 52,288 | 9,361,643 |
LivaNova PLC(a) | 330,815 | 18,131,970 |
Shockwave Medical, Inc.(a) | 35,113 | 9,159,928 |
Total | 84,363,962 | |
Health Care Providers & Services 4.1% | ||
Addus HomeCare Corp.(a) | 151,212 | 13,953,843 |
Chemed Corp. | 60,276 | 37,740,612 |
R1 RCM, Inc.(a) | 831,999 | 11,689,586 |
Universal Health Services, Inc., Class B | 87,894 | 14,683,572 |
Total | 78,067,613 | |
Health Care Technology 0.7% | ||
GoodRx Holdings, Inc., Class A(a) | 1,849,058 | 14,404,162 |
Life Sciences Tools & Services 6.9% | ||
10X Genomics, Inc., Class A(a) | 487,928 | 22,756,962 |
Adaptive Biotechnologies Corp.(a) | 621,882 | 2,555,935 |
Bio-Techne Corp. | 644,765 | 47,435,361 |
Bruker Corp. | 110,817 | 9,590,103 |
Caris Life Sciences, Inc.(a),(b),(c),(d) | 2,777,778 | 6,916,667 |
DNA Script(a),(b),(c),(d) | 11,675 | 2,399,882 |
MaxCyte, Inc.(a) | 898,111 | 4,131,311 |
Repligen Corp.(a) | 189,420 | 36,745,586 |
Total | 132,531,807 | |
Pharmaceuticals 1.1% | ||
EyePoint Pharmaceuticals, Inc.(a) | 441,993 | 12,026,629 |
Intra-Cellular Therapies, Inc.(a) | 126,861 | 8,819,377 |
Total | 20,846,006 | |
Total Health Care | 434,022,900 | |
Industrials 24.0% | ||
Aerospace & Defense 2.7% | ||
BWX Technologies, Inc. | 359,946 | 36,293,355 |
Kratos Defense & Security Solutions, Inc.(a) | 890,376 | 16,240,458 |
Total | 52,533,813 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Building Products 2.5% | ||
AAON, Inc. | 379,400 | 31,862,012 |
AZEK Co., Inc. (The)(a) | 100,942 | 4,856,320 |
Trex Company, Inc.(a) | 123,034 | 11,289,600 |
Total | 48,007,932 | |
Commercial Services & Supplies 2.2% | ||
ACV Auctions, Inc., Class A(a) | 581,261 | 10,317,383 |
Casella Waste Systems, Inc., Class A(a) | 353,933 | 31,889,363 |
Total | 42,206,746 | |
Electrical Equipment 1.7% | ||
Atkore, Inc. | 111,389 | 18,869,297 |
nVent Electric PLC | 213,710 | 14,386,957 |
Total | 33,256,254 | |
Ground Transportation 4.9% | ||
RXO, Inc.(a) | 539,771 | 11,615,872 |
Saia, Inc.(a) | 40,512 | 23,310,605 |
XPO, Inc.(a) | 495,573 | 59,627,343 |
Total | 94,553,820 | |
Professional Services 2.2% | ||
Exponent, Inc. | 194,971 | 15,771,204 |
MAXIMUS, Inc. | 305,399 | 25,549,681 |
Total | 41,320,885 | |
Trading Companies & Distributors 7.8% | ||
Core & Main, Inc., Class A(a) | 1,193,582 | 56,969,669 |
FTAI Aviation Ltd. | 774,527 | 43,598,125 |
SiteOne Landscape Supply, Inc.(a) | 264,437 | 44,552,345 |
Xometry, Inc., Class A(a) | 169,091 | 3,307,420 |
Total | 148,427,559 | |
Total Industrials | 460,307,009 | |
Information Technology 19.3% | ||
Communications Equipment 0.8% | ||
Harmonic, Inc.(a) | 1,142,574 | 15,001,997 |
Electronic Equipment, Instruments & Components 1.0% | ||
908 Devices, Inc.(a) | 1,493,846 | 10,979,768 |
Vontier Corp. | 199,424 | 8,575,232 |
Total | 19,555,000 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
IT Services 0.7% | ||
Couchbase, Inc.(a) | 497,368 | 13,966,094 |
Semiconductors & Semiconductor Equipment 5.6% | ||
Aehr Test Systems(a) | 698,017 | 11,356,737 |
Axcelis Technologies, Inc.(a) | 103,946 | 11,711,596 |
Impinj, Inc.(a) | 128,863 | 14,074,417 |
Lattice Semiconductor Corp.(a) | 121,984 | 9,345,194 |
Onto Innovation, Inc.(a) | 160,998 | 29,649,392 |
Rambus, Inc.(a) | 426,471 | 25,264,142 |
SiTime Corp.(a) | 57,731 | 5,340,117 |
Total | 106,741,595 | |
Software 10.4% | ||
BILL Holdings, Inc.(a) | 143,281 | 9,073,986 |
Freshworks, Inc., Class A(a) | 457,409 | 9,349,440 |
Gitlab, Inc., Class A(a) | 237,278 | 17,112,489 |
Marathon Digital Holdings, Inc.(a) | 1,051,420 | 27,231,778 |
Procore Technologies, Inc.(a) | 420,133 | 32,782,978 |
SentinelOne, Inc., Class A(a) | 187,638 | 5,285,762 |
Sprout Social, Inc., Class A(a) | 147,138 | 9,096,071 |
SPS Commerce, Inc.(a) | 72,840 | 13,487,054 |
Tenable Holdings, Inc.(a) | 507,894 | 24,460,175 |
Varonis Systems, Inc.(a) | 537,536 | 27,306,829 |
Workiva, Inc., Class A(a) | 290,871 | 25,049,811 |
Total | 200,236,373 | |
Technology Hardware, Storage & Peripherals 0.8% | ||
Super Micro Computer, Inc.(a) | 16,477 | 14,271,059 |
Total Information Technology | 369,772,118 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Materials 4.4% | ||
Chemicals 2.4% | ||
Aspen Aerogels, Inc.(a) | 866,290 | 14,882,862 |
Balchem Corp. | 196,704 | 30,919,902 |
Total | 45,802,764 | |
Construction Materials 0.9% | ||
Knife River Corp.(a) | 235,205 | 17,426,338 |
Metals & Mining 1.1% | ||
Osisko Gold Royalties Ltd. | 936,474 | 13,663,156 |
Triple Flag Precious Metals Corp. | 664,590 | 8,347,250 |
Total | 22,010,406 | |
Total Materials | 85,239,508 | |
Total Common Stocks (Cost $1,548,439,766) | 1,903,751,805 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(e),(f) | 20,839,465 | 20,835,297 |
Total Money Market Funds (Cost $20,832,998) | 20,835,297 | |
Total Investments in Securities (Cost: $1,569,272,764) | 1,924,587,102 | |
Other Assets & Liabilities, Net | (7,356,012 ) | |
Net Assets | 1,917,231,090 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $9,316,549, which represents 0.49% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $9,316,549, which represents 0.49% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Caris Life Sciences, Inc. | 05/11/2021 | 2,777,778 | 22,520,810 | 6,916,667 |
DNA Script | 10/01/2021 | 11,675 | 10,180,302 | 2,399,882 |
32,701,112 | 9,316,549 |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
100,321,662 | 570,689,284 | (650,160,425 ) | (15,224 ) | 20,835,297 | 18,698 | 1,405,186 | 20,839,465 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 21,120,106 | — | — | 21,120,106 |
Consumer Discretionary | 323,492,804 | — | — | 323,492,804 |
Consumer Staples | 64,275,208 | — | — | 64,275,208 |
Energy | 88,744,322 | — | — | 88,744,322 |
Financials | 56,777,830 | — | — | 56,777,830 |
Health Care | 424,706,351 | — | 9,316,549 | 434,022,900 |
Industrials | 460,307,009 | — | — | 460,307,009 |
Information Technology | 369,772,118 | — | — | 369,772,118 |
Materials | 85,239,508 | — | — | 85,239,508 |
Total Common Stocks | 1,894,435,256 | — | 9,316,549 | 1,903,751,805 |
Money Market Funds | 20,835,297 | — | — | 20,835,297 |
Total Investments in Securities | 1,915,270,553 | — | 9,316,549 | 1,924,587,102 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,548,439,766) | $1,903,751,805 |
Affiliated issuers (cost $20,832,998) | 20,835,297 |
Receivable for: | |
Investments sold | 28,563,378 |
Capital shares sold | 2,272,978 |
Dividends | 337,337 |
Expense reimbursement due from Investment Manager | 276 |
Prepaid expenses | 15,698 |
Deferred compensation of board members | 168,348 |
Total assets | 1,955,945,117 |
Liabilities | |
Payable for: | |
Investments purchased | 35,959,686 |
Capital shares redeemed | 2,207,356 |
Management services fees | 41,997 |
Distribution and/or service fees | 3,639 |
Transfer agent fees | 209,211 |
Compensation of chief compliance officer | 157 |
Compensation of board members | 3,649 |
Other expenses | 71,986 |
Deferred compensation of board members | 216,346 |
Total liabilities | 38,714,027 |
Net assets applicable to outstanding capital stock | $1,917,231,090 |
Represented by | |
Paid in capital | 1,950,664,172 |
Total distributable earnings (loss) | (33,433,082 ) |
Total - representing net assets applicable to outstanding capital stock | $1,917,231,090 |
Class A | |
Net assets | $394,849,794 |
Shares outstanding | 17,384,243 |
Net asset value per share | $22.71 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $24.10 |
Advisor Class | |
Net assets | $86,968,919 |
Shares outstanding | 3,218,159 |
Net asset value per share | $27.02 |
Class C | |
Net assets | $31,723,183 |
Shares outstanding | 1,980,358 |
Net asset value per share | $16.02 |
Institutional Class | |
Net assets | $951,549,281 |
Shares outstanding | 37,966,080 |
Net asset value per share | $25.06 |
Institutional 2 Class | |
Net assets | $55,613,234 |
Shares outstanding | 2,176,162 |
Net asset value per share | $25.56 |
Institutional 3 Class | |
Net assets | $388,407,472 |
Shares outstanding | 14,940,930 |
Net asset value per share | $26.00 |
Class R | |
Net assets | $8,119,207 |
Shares outstanding | 371,486 |
Net asset value per share | $21.86 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $4,901,467 |
Dividends — affiliated issuers | 1,405,186 |
Interfund lending | 1,334 |
Foreign taxes withheld | (25,266 ) |
Total income | 6,282,721 |
Expenses: | |
Management services fees | 6,817,992 |
Distribution and/or service fees | |
Class A | 428,262 |
Class C | 137,919 |
Class R | 18,735 |
Transfer agent fees | |
Class A | 286,110 |
Advisor Class | 56,327 |
Class C | 23,035 |
Institutional Class | 684,219 |
Institutional 2 Class | 13,350 |
Institutional 3 Class | 11,487 |
Class R | 6,264 |
Custodian fees | 7,697 |
Printing and postage fees | 75,667 |
Registration fees | 94,364 |
Accounting services fees | 15,454 |
Legal fees | 18,318 |
Compensation of chief compliance officer | 157 |
Compensation of board members | 15,300 |
Deferred compensation of board members | 5,955 |
Other | 18,537 |
Total expenses | 8,735,149 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (41,590 ) |
Expense reduction | (3,108 ) |
Total net expenses | 8,690,451 |
Net investment loss | (2,407,730 ) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 62,353,348 |
Investments — affiliated issuers | 18,698 |
Net realized gain | 62,372,046 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 122,495,558 |
Investments — affiliated issuers | (15,224 ) |
Net change in unrealized appreciation (depreciation) | 122,480,334 |
Net realized and unrealized gain | 184,852,380 |
Net increase in net assets resulting from operations | $182,444,650 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment loss | $(2,407,730 ) | $(8,397,354 ) |
Net realized gain (loss) | 62,372,046 | (90,251,140 ) |
Net change in unrealized appreciation (depreciation) | 122,480,334 | 339,378,098 |
Net increase in net assets resulting from operations | 182,444,650 | 240,729,604 |
Decrease in net assets from capital stock activity | (36,769,490 ) | (89,910,601 ) |
Total increase in net assets | 145,675,160 | 150,819,003 |
Net assets at beginning of period | 1,771,555,930 | 1,620,736,927 |
Net assets at end of period | $1,917,231,090 | $1,771,555,930 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 1,319,188 | 26,185,811 | 1,232,451 | 22,509,300 |
Shares redeemed | (1,622,917 ) | (32,362,512 ) | (3,414,251 ) | (61,392,155 ) |
Net decrease | (303,729 ) | (6,176,701 ) | (2,181,800 ) | (38,882,855 ) |
Advisor Class | ||||
Shares sold | 1,126,650 | 25,987,209 | 453,224 | 9,882,759 |
Shares redeemed | (404,813 ) | (9,494,830 ) | (1,016,655 ) | (21,563,984 ) |
Net increase (decrease) | 721,837 | 16,492,379 | (563,431 ) | (11,681,225 ) |
Class C | ||||
Shares sold | 200,148 | 2,817,435 | 281,286 | 3,624,056 |
Shares redeemed | (211,217 ) | (2,959,583 ) | (514,601 ) | (6,531,728 ) |
Net decrease | (11,069 ) | (142,148 ) | (233,315 ) | (2,907,672 ) |
Institutional Class | ||||
Shares sold | 7,089,788 | 153,873,053 | 15,442,801 | 309,921,778 |
Shares redeemed | (7,876,341 ) | (166,657,635 ) | (16,344,521 ) | (319,065,786 ) |
Net decrease | (786,553 ) | (12,784,582 ) | (901,720 ) | (9,144,008 ) |
Institutional 2 Class | ||||
Shares sold | 411,008 | 9,132,730 | 222,828 | 4,684,183 |
Shares redeemed | (352,280 ) | (7,931,978 ) | (894,824 ) | (17,762,474 ) |
Net increase (decrease) | 58,728 | 1,200,752 | (671,996 ) | (13,078,291 ) |
Institutional 3 Class | ||||
Shares sold | 1,834,702 | 41,666,646 | 3,537,387 | 75,015,482 |
Shares redeemed | (3,325,746 ) | (76,471,344 ) | (4,330,735 ) | (88,847,809 ) |
Net decrease | (1,491,044 ) | (34,804,698 ) | (793,348 ) | (13,832,327 ) |
Class R | ||||
Shares sold | 43,550 | 833,693 | 84,916 | 1,508,186 |
Shares redeemed | (70,985 ) | (1,388,185 ) | (106,597 ) | (1,892,409 ) |
Net decrease | (27,435 ) | (554,492 ) | (21,681 ) | (384,223 ) |
Total net decrease | (1,839,265 ) | (36,769,490 ) | (5,367,291 ) | (89,910,601 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.53 | (0.05 ) | 2.23 | 2.18 | — | — |
Year Ended 8/31/2023 | $17.66 | (0.14 ) | 3.01 | 2.87 | — | — |
Year Ended 8/31/2022 | $32.70 | (0.25 ) | (11.90 ) | (12.15 ) | (2.89 ) | (2.89 ) |
Year Ended 8/31/2021 | $25.05 | (0.31 ) | 10.14 | 9.83 | (2.18 ) | (2.18 ) |
Year Ended 8/31/2020 | $19.72 | (0.18 ) | 7.28 | 7.10 | (1.77 ) | (1.77 ) |
Year Ended 8/31/2019 | $22.05 | (0.15 ) | 1.12 | 0.97 | (3.30 ) | (3.30 ) |
Advisor Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $24.39 | (0.03 ) | 2.66 | 2.63 | — | — |
Year Ended 8/31/2023 | $20.93 | (0.11 ) | 3.57 | 3.46 | — | — |
Year Ended 8/31/2022 | $38.14 | (0.23 ) | (14.03 ) | (14.26 ) | (2.95 ) | (2.95 ) |
Year Ended 8/31/2021 | $28.90 | (0.28 ) | 11.76 | 11.48 | (2.24 ) | (2.24 ) |
Year Ended 8/31/2020 | $22.48 | (0.15 ) | 8.38 | 8.23 | (1.81 ) | (1.81 ) |
Year Ended 8/31/2019 | $24.61 | (0.11 ) | 1.33 | 1.22 | (3.35 ) | (3.35 ) |
Class C | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $14.53 | (0.09 ) | 1.58 | 1.49 | — | — |
Year Ended 8/31/2023 | $12.59 | (0.19 ) | 2.13 | 1.94 | — | — |
Year Ended 8/31/2022 | $24.22 | (0.30 ) | (8.60 ) | (8.90 ) | (2.73 ) | (2.73 ) |
Year Ended 8/31/2021 | $19.01 | (0.41 ) | 7.63 | 7.22 | (2.01 ) | (2.01 ) |
Year Ended 8/31/2020 | $15.34 | (0.25 ) | 5.54 | 5.29 | (1.62 ) | (1.62 ) |
Year Ended 8/31/2019 | $17.93 | (0.22 ) | 0.78 | 0.56 | (3.15 ) | (3.15 ) |
Institutional Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $22.62 | (0.03 ) | 2.47 | 2.44 | — | — |
Year Ended 8/31/2023 | $19.41 | (0.10 ) | 3.31 | 3.21 | — | — |
Year Ended 8/31/2022 | $35.61 | (0.21 ) | (13.04 ) | (13.25 ) | (2.95 ) | (2.95 ) |
Year Ended 8/31/2021 | $27.10 | (0.26 ) | 11.01 | 10.75 | (2.24 ) | (2.24 ) |
Year Ended 8/31/2020 | $21.20 | (0.14 ) | 7.85 | 7.71 | (1.81 ) | (1.81 ) |
Year Ended 8/31/2019 | $23.42 | (0.11 ) | 1.24 | 1.13 | (3.35 ) | (3.35 ) |
Institutional 2 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.05 | (0.02 ) | 2.53 | 2.51 | — | — |
Year Ended 8/31/2023 | $19.76 | (0.08 ) | 3.37 | 3.29 | — | — |
Year Ended 8/31/2022 | $36.17 | (0.20 ) | (13.24 ) | (13.44 ) | (2.97 ) | (2.97 ) |
Year Ended 8/31/2021 | $27.49 | (0.24 ) | 11.18 | 10.94 | (2.26 ) | (2.26 ) |
Year Ended 8/31/2020 | $21.47 | (0.13 ) | 7.98 | 7.85 | (1.83 ) | (1.83 ) |
Year Ended 8/31/2019 | $23.68 | (0.09 ) | 1.26 | 1.17 | (3.38 ) | (3.38 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $22.71 | 10.62% | 1.26% | 1.26% (c) | (0.51% ) | 70% | $394,850 |
Year Ended 8/31/2023 | $20.53 | 16.25% | 1.28% | 1.28% (c) | (0.76% ) | 118% | $363,077 |
Year Ended 8/31/2022 | $17.66 | (40.10% ) | 1.24% (d) | 1.24% (c),(d) | (1.07% ) | 56% | $350,816 |
Year Ended 8/31/2021 | $32.70 | 40.63% | 1.21% | 1.21% (c) | (1.03% ) | 50% | $665,217 |
Year Ended 8/31/2020 | $25.05 | 39.06% | 1.29% (d),(e) | 1.29% (c),(d),(e) | (0.89% ) | 76% | $414,360 |
Year Ended 8/31/2019 | $19.72 | 7.76% | 1.33% (d) | 1.33% (d) | (0.79% ) | 113% | $265,473 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $27.02 | 10.78% | 1.01% | 1.01% (c) | (0.30% ) | 70% | $86,969 |
Year Ended 8/31/2023 | $24.39 | 16.53% | 1.03% | 1.03% (c) | (0.51% ) | 118% | $60,891 |
Year Ended 8/31/2022 | $20.93 | (39.96% ) | 0.99% (d) | 0.99% (c),(d) | (0.82% ) | 56% | $64,035 |
Year Ended 8/31/2021 | $38.14 | 40.97% | 0.96% | 0.96% (c) | (0.80% ) | 50% | $183,909 |
Year Ended 8/31/2020 | $28.90 | 39.42% | 1.04% (d),(e) | 1.04% (c),(d),(e) | (0.66% ) | 76% | $83,934 |
Year Ended 8/31/2019 | $22.48 | 8.05% | 1.07% (d) | 1.07% (d) | (0.54% ) | 113% | $20,203 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $16.02 | 10.25% | 2.02% | 2.01% (c) | (1.26% ) | 70% | $31,723 |
Year Ended 8/31/2023 | $14.53 | 15.41% | 2.03% | 2.03% (c) | (1.51% ) | 118% | $28,938 |
Year Ended 8/31/2022 | $12.59 | (40.57% ) | 1.99% (d) | 1.99% (c),(d) | (1.82% ) | 56% | $28,016 |
Year Ended 8/31/2021 | $24.22 | 39.58% | 1.96% | 1.96% (c) | (1.79% ) | 50% | $50,471 |
Year Ended 8/31/2020 | $19.01 | 38.03% | 2.04% (d),(e) | 2.04% (c),(d),(e) | (1.65% ) | 76% | $20,142 |
Year Ended 8/31/2019 | $15.34 | 6.93% | 2.08% (d) | 2.08% (d) | (1.54% ) | 113% | $8,887 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $25.06 | 10.79% | 1.01% | 1.01% (c) | (0.25% ) | 70% | $951,549 |
Year Ended 8/31/2023 | $22.62 | 16.54% | 1.03% | 1.03% (c) | (0.51% ) | 118% | $876,678 |
Year Ended 8/31/2022 | $19.41 | (39.96% ) | 0.99% (d) | 0.99% (c),(d) | (0.82% ) | 56% | $769,677 |
Year Ended 8/31/2021 | $35.61 | 41.00% | 0.96% | 0.96% (c) | (0.79% ) | 50% | $1,653,559 |
Year Ended 8/31/2020 | $27.10 | 39.35% | 1.04% (d),(e) | 1.04% (c),(d),(e) | (0.65% ) | 76% | $773,636 |
Year Ended 8/31/2019 | $21.20 | 8.08% | 1.08% (d) | 1.08% (d) | (0.54% ) | 113% | $283,781 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $25.56 | 10.89% | 0.90% | 0.90% | (0.16% ) | 70% | $55,613 |
Year Ended 8/31/2023 | $23.05 | 16.65% | 0.91% | 0.91% | (0.39% ) | 118% | $48,817 |
Year Ended 8/31/2022 | $19.76 | (39.89% ) | 0.88% (d) | 0.88% (d) | (0.72% ) | 56% | $55,108 |
Year Ended 8/31/2021 | $36.17 | 41.11% | 0.88% | 0.88% | (0.72% ) | 50% | $237,521 |
Year Ended 8/31/2020 | $27.49 | 39.50% | 0.96% (d),(e) | 0.96% (d),(e) | (0.58% ) | 76% | $104,108 |
Year Ended 8/31/2019 | $21.47 | 8.16% | 0.97% (d) | 0.97% (d) | (0.45% ) | 113% | $26,190 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $23.45 | (0.01 ) | 2.56 | 2.55 | — | — |
Year Ended 8/31/2023 | $20.08 | (0.07 ) | 3.44 | 3.37 | — | — |
Year Ended 8/31/2022 | $36.71 | (0.17 ) | (13.48 ) | (13.65 ) | (2.98 ) | (2.98 ) |
Year Ended 8/31/2021 | $27.87 | (0.23 ) | 11.34 | 11.11 | (2.27 ) | (2.27 ) |
Year Ended 8/31/2020 | $21.75 | (0.12 ) | 8.08 | 7.96 | (1.84 ) | (1.84 ) |
Year Ended 8/31/2019 | $23.93 | (0.08 ) | 1.29 | 1.21 | (3.39 ) | (3.39 ) |
Class R | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.78 | (0.07 ) | 2.15 | 2.08 | — | — |
Year Ended 8/31/2023 | $17.05 | (0.18 ) | 2.91 | 2.73 | — | — |
Year Ended 8/31/2022 | $31.70 | (0.30 ) | (11.51 ) | (11.81 ) | (2.84 ) | (2.84 ) |
Year Ended 8/31/2021 | $24.35 | (0.38 ) | 9.86 | 9.48 | (2.13 ) | (2.13 ) |
Year Ended 8/31/2020 | $19.22 | (0.23 ) | 7.08 | 6.85 | (1.72 ) | (1.72 ) |
Year Ended 8/31/2019 | $21.57 | (0.19 ) | 1.09 | 0.90 | (3.25 ) | (3.25 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $26.00 | 10.87% | 0.85% | 0.85% | (0.09% ) | 70% | $388,407 |
Year Ended 8/31/2023 | $23.45 | 16.78% | 0.86% | 0.86% | (0.34% ) | 118% | $385,265 |
Year Ended 8/31/2022 | $20.08 | (39.88% ) | 0.84% (d) | 0.84% (d) | (0.66% ) | 56% | $345,912 |
Year Ended 8/31/2021 | $36.71 | 41.18% | 0.83% | 0.83% | (0.67% ) | 50% | $560,880 |
Year Ended 8/31/2020 | $27.87 | 39.55% | 0.90% (d),(e) | 0.90% (d),(e) | (0.52% ) | 76% | $163,142 |
Year Ended 8/31/2019 | $21.75 | 8.26% | 0.92% (d) | 0.92% (d) | (0.38% ) | 113% | $66,685 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.86 | 10.52% | 1.51% | 1.51% (c) | (0.75% ) | 70% | $8,119 |
Year Ended 8/31/2023 | $19.78 | 16.01% | 1.53% | 1.53% (c) | (1.01% ) | 118% | $7,889 |
Year Ended 8/31/2022 | $17.05 | (40.26% ) | 1.49% (d) | 1.49% (c),(d) | (1.32% ) | 56% | $7,173 |
Year Ended 8/31/2021 | $31.70 | 40.27% | 1.46% | 1.46% (c) | (1.30% ) | 50% | $13,968 |
Year Ended 8/31/2020 | $24.35 | 38.67% | 1.54% (d),(e) | 1.54% (c),(d),(e) | (1.16% ) | 76% | $4,674 |
Year Ended 8/31/2019 | $19.22 | 7.53% | 1.58% (d) | 1.58% (d) | (1.03% ) | 113% | $1,511 |
Effective rate (%) | |
Class A | 0.17 |
Advisor Class | 0.17 |
Class C | 0.17 |
Institutional Class | 0.17 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.17 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 127,548 |
Class C | — | 1.00 (b) | 839 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Contractual expense cap January 1, 2024 through December 31, 2024 | Voluntary expense cap prior to January 1, 2024 | |
Class A | 1.24 % | 1.28 % |
Advisor Class | 0.99 | 1.03 |
Class C | 1.99 | 2.03 |
Institutional Class | 0.99 | 1.03 |
Institutional 2 Class | 0.89 | 0.91 |
Institutional 3 Class | 0.84 | 0.86 |
Class R | 1.49 | 1.53 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,569,273,000 | 432,280,000 | (76,966,000 ) | 355,314,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(335,204,282 ) | (104,912,773 ) | (440,117,055 ) |
Late year ordinary losses ($) | Post-October capital losses ($) |
6,246,774 | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,640,000 | 5.86 | 5 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 04/21/77 | 4.94 | 7.64 | 2.29 | 2.95 |
Including sales charges | -0.03 | 2.54 | 1.31 | 2.46 | ||
Advisor Class | 11/08/12 | 5.08 | 7.93 | 2.56 | 3.21 | |
Class C | Excluding sales charges | 07/01/97 | 4.56 | 6.85 | 1.53 | 2.19 |
Including sales charges | 3.56 | 5.85 | 1.53 | 2.19 | ||
Institutional Class | 01/29/99 | 5.07 | 7.92 | 2.55 | 3.22 | |
Institutional 2 Class | 03/07/11 | 5.09 | 7.96 | 2.60 | 3.27 | |
Institutional 3 Class | 06/13/13 | 5.14 | 8.05 | 2.65 | 3.31 | |
Class R | 09/27/10 | 4.77 | 7.37 | 2.03 | 2.70 | |
Bloomberg U.S. Aggregate Bond Index | 2.35 | 3.33 | 0.56 | 1.43 | ||
ICE BofA US Cash Pay High Yield Constrained Index | 6.11 | 10.92 | 3.97 | 4.25 | ||
FTSE Non-U.S. World Government Bond (All Maturities) Index – Unhedged | 1.57 | 2.60 | -3.63 | -1.95 | ||
JPMorgan Emerging Markets Bond Index-Global | 5.66 | 8.99 | 0.84 | 2.78 |
Portfolio breakdown (%) (at February 29, 2024) | |
Asset-Backed Securities — Non-Agency | 7.4 |
Call Option Contracts Purchased | 0.1 |
Commercial Mortgage-Backed Securities - Non-Agency | 2.0 |
Common Stocks | 0.0 (a) |
Convertible Bonds | 0.1 |
Convertible Preferred Stocks | 0.0 (a) |
Corporate Bonds & Notes | 32.0 |
Foreign Government Obligations | 5.8 |
Inflation-Indexed Bonds | 0.2 |
Money Market Funds | 5.9 |
Put Option Contracts Purchased | 0.0 (a) |
Residential Mortgage-Backed Securities - Agency | 28.3 |
Residential Mortgage-Backed Securities - Non-Agency | 10.1 |
Rights | 0.0 (a) |
Senior Loans | 8.0 |
U.S. Government & Agency Obligations | 0.1 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at February 29, 2024) | |
AA rating | 35.6 |
A rating | 9.0 |
BBB rating | 15.7 |
BB rating | 16.5 |
B rating | 15.1 |
CCC rating | 2.5 |
CC rating | 0.1 |
Not rated | 5.5 |
Total | 100.0 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,049.40 | 1,020.24 | 4.74 | 4.67 | 0.93 |
Advisor Class | 1,000.00 | 1,000.00 | 1,050.80 | 1,021.48 | 3.47 | 3.42 | 0.68 |
Class C | 1,000.00 | 1,000.00 | 1,045.60 | 1,016.51 | 8.54 | 8.42 | 1.68 |
Institutional Class | 1,000.00 | 1,000.00 | 1,050.70 | 1,021.48 | 3.47 | 3.42 | 0.68 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,050.90 | 1,021.68 | 3.26 | 3.22 | 0.64 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,051.40 | 1,021.93 | 3.01 | 2.97 | 0.59 |
Class R | 1,000.00 | 1,000.00 | 1,047.70 | 1,019.00 | 6.01 | 5.92 | 1.18 |
Asset-Backed Securities — Non-Agency 8.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Affirm Asset Securitization Trust(a) | ||||
Series 2023-B Class 1A | ||||
09/15/2028 | 6.820% | 25,450,000 | 25,794,028 | |
Series 2023-B Class A | ||||
09/15/2028 | 6.820% | 15,000,000 | 15,202,767 | |
Series 2024-A Class A | ||||
02/15/2029 | 5.610% | 15,000,000 | 14,982,181 | |
ARES XLIV CLO Ltd.(a),(b) | ||||
Series 2017-44A Class DR | ||||
3-month Term SOFR + 7.132% Floor 6.870% 04/15/2034 | 12.446% | 15,000,000 | 14,423,550 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2021-5A Class E | ||||
3-month Term SOFR + 6.762% Floor 6.500% 10/23/2034 | 12.077% | 8,600,000 | 7,953,160 | |
Series 2021-6A Class E | ||||
3-month Term SOFR + 6.762% Floor 6.500% 10/21/2034 | 12.079% | 11,450,000 | 10,808,239 | |
Series 2021-7A Class E | ||||
3-month Term SOFR + 7.012% Floor 6.750% 01/22/2035 | 12.329% | 15,350,000 | 14,513,302 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2021-18A Class D | ||||
3-month Term SOFR + 6.762% Floor 6.500% 01/15/2035 | 12.076% | 13,050,000 | 12,516,294 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2021-2A Class E | ||||
3-month Term SOFR + 6.512% Floor 6.250% 07/15/2034 | 11.826% | 8,350,000 | 7,995,309 | |
CarMax Auto Owner Trust | ||||
Series 2024-1 Class A2A | ||||
03/15/2027 | 5.300% | 25,000,000 | 24,956,382 | |
Citizens Auto Receivables Trust(a) | ||||
Series 2024-1 Class A2A | ||||
10/15/2026 | 5.430% | 22,275,000 | 22,248,836 | |
CPS Auto Receivables Trust(a) | ||||
Series 2024-A Class A | ||||
09/15/2027 | 5.710% | 12,313,963 | 12,322,019 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2023-3A Class B | ||||
09/15/2027 | 6.110% | 5,100,000 | 5,112,014 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 6,427,848 | 6,393,703 | |
Subordinated Series 2022-A Class C | ||||
06/15/2029 | 2.820% | 5,644,666 | 5,591,047 | |
Madison Park Funding LXII Ltd.(a),(b) | ||||
Series 2022-62A Class AR | ||||
3-month Term SOFR + 1.850% Floor 1.850% 07/17/2036 | 7.167% | 20,250,000 | 20,353,396 | |
Madison Park Funding XXII Ltd.(a),(b) | ||||
Series 2016-22A Class DR | ||||
3-month Term SOFR + 3.762% Floor 3.500% 01/15/2033 | 9.076% | 10,900,000 | 10,901,842 | |
Netcredit Combined Receivables LLC(a),(c),(d) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 8,199,352 | 8,224,975 | |
Octagon 55 Ltd.(a),(b) | ||||
Series 2021-1A Class E | ||||
3-month Term SOFR + 6.762% Floor 6.500% 07/20/2034 | 12.079% | 9,700,000 | 9,079,472 | |
Octagon Investment Partners 48 Ltd.(a),(b) | ||||
Series 2020-3A Class ER | ||||
3-month Term SOFR + 6.962% Floor 6.700% 10/20/2034 | 12.279% | 12,750,000 | 12,330,933 | |
Pagaya AI Debt Selection Trust(a) | ||||
Subordinated Series 2021-3 Class B | ||||
05/15/2029 | 1.740% | 7,821,995 | 7,770,437 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-2 Class A | ||||
01/15/2030 | 4.970% | 2,085,303 | 2,073,618 | |
Series 2023-6 Class A | ||||
06/16/2031 | 7.128% | 22,287,524 | 22,372,944 | |
Subordinated Series 2022-1 Class B | ||||
10/15/2029 | 3.344% | 14,298,109 | 13,896,112 | |
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 13,933,610 | 14,026,384 | |
Subordinated Series 2023-6 Class B | ||||
06/16/2031 | 7.464% | 7,997,949 | 8,060,521 | |
Subordinated Series 2023-6 Class C | ||||
06/16/2031 | 8.491% | 14,996,154 | 15,222,851 | |
Pagaya AI Debt Trust(a),(e) | ||||
Subordinated Series 2023-5 Class AB | ||||
04/15/2031 | 7.277% | 13,923,387 | 13,963,292 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Prosper Marketplace Issuance Trust(a) | ||||
Subordinated Series 2023-1A Class B | ||||
07/16/2029 | 7.480% | 6,200,000 | 6,301,386 | |
Research-Driven Pagaya Motor Asset Trust(a) | ||||
Series 2023-4A Class A | ||||
03/25/2032 | 7.540% | 20,000,000 | 20,010,554 | |
SAFCO Auto Receivables Trust(a) | ||||
Series 2024-1A Class A | ||||
03/20/2028 | 6.510% | 11,862,032 | 11,838,007 | |
Santander Drive Auto Receivables Trust | ||||
Series 2024-1 Class A2 | ||||
02/16/2027 | 5.710% | 22,378,000 | 22,385,660 | |
SBNA Auto Lease Trust(a) | ||||
Series 2024-A Class A2 | ||||
01/20/2026 | 5.450% | 17,500,000 | 17,483,076 | |
Theorem Funding Trust(a) | ||||
Series 2022-3A Class A | ||||
04/15/2029 | 7.600% | 7,317,062 | 7,368,090 | |
Upstart Pass-Through Trust(a) | ||||
Series 2020-ST6 Class A | ||||
01/20/2027 | 3.000% | 1,664,312 | 1,640,975 | |
Upstart Structured Pass-Through Trust(a) | ||||
Series 2022-1A Class A | ||||
04/15/2030 | 3.400% | 10,933,129 | 10,739,153 | |
Total Asset-Backed Securities — Non-Agency (Cost $459,343,813) | 456,856,509 | |||
Commercial Mortgage-Backed Securities - Non-Agency 2.2% | ||||
BFLD Trust(a),(b) | ||||
Subordinated Series 2019-DPLO Class E | ||||
1-month Term SOFR + 2.354% Floor 2.240% 10/15/2034 | 7.672% | 6,510,000 | 6,461,172 | |
Braemar Hotels & Resorts Trust(a),(b) | ||||
Series 2018-PRME Class E | ||||
1-month Term SOFR + 2.447% Floor 2.400% 06/15/2035 | 7.833% | 6,800,000 | 6,568,639 | |
Subordinated Series 2018-PRME Class D | ||||
1-month Term SOFR + 1.847% Floor 1.925% 06/15/2035 | 7.233% | 13,700,000 | 13,409,771 | |
CLNY Trust(a),(b) | ||||
Subordinated Series 2019-IKPR Class D | ||||
1-month Term SOFR + 2.025% Floor 2.025% 11/15/2038 | 7.462% | 1,850,000 | 1,701,956 | |
Subordinated Series 2019-IKPR Class E | ||||
1-month Term SOFR + 2.835% Floor 2.721% 11/15/2038 | 8.158% | 6,940,000 | 6,110,947 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust(a),(e) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 4,000,000 | 3,700,947 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 7,525,000 | 3,991,818 | |
Subordinated Series 2014-USA Class F | ||||
09/15/2037 | 4.373% | 19,910,000 | 8,696,616 | |
Hilton USA Trust(a),(e) | ||||
Subordinated Series 2016-HHV Class F | ||||
11/05/2038 | 4.194% | 16,690,000 | 15,229,733 | |
Hilton USA Trust(a) | ||||
Subordinated Series 2016-SFP Class E | ||||
11/05/2035 | 5.519% | 11,500,000 | 1,281,274 | |
Morgan Stanley Capital I Trust(a),(e) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 15,500,000 | 12,961,063 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 17,000,000 | 16,310,852 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 12,000,000 | 11,835,926 | |
SFO Commercial Mortgage Trust(a),(b) | ||||
Series 2021-555 Class A | ||||
1-month Term SOFR + 1.264% Floor 1.150% 05/15/2038 | 6.582% | 4,850,000 | 4,655,912 | |
Wells Fargo Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2017-SMP Class D | ||||
1-month Term SOFR + 1.822% Floor 1.650% 12/15/2034 | 7.140% | 9,790,000 | 8,296,443 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $145,327,665) | 121,213,069 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Media 0.0% | ||
iHeartMedia, Inc., Class A(f) | 11,995 | 33,226 |
Total Communication Services | 33,226 | |
Consumer Discretionary 0.0% | ||
Broadline Retail 0.0% | ||
Belk, Inc.(f) | 50 | 492 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Household Durables 0.0% | ||
Serta Simmons Bedding LLC(f) | 335 | 2,617 |
Total Consumer Discretionary | 3,109 | |
Energy 0.0% | ||
Energy Equipment & Services 0.0% | ||
McDermott International Ltd.(f) | 47,856 | 6,891 |
Oil, Gas & Consumable Fuels 0.0% | ||
New Frontera Holdings(d),(f) | 14,302 | 787 |
Southcross Energy Partners LLC(d),(f) | 14,393 | 0 |
Southcross Energy Partners LLC, Class A(d),(f) | 272,263 | 10,890 |
Total | 11,677 | |
Total Energy | 18,568 | |
Financials 0.0% | ||
Financial Services 0.0% | ||
Windstream Services LLC(f) | 11,272 | 121,174 |
Total Financials | 121,174 | |
Health Care 0.0% | ||
Health Care Providers & Services 0.0% | ||
Envision Healthcare Corp.(f) | 13,525 | 136,014 |
Total Health Care | 136,014 | |
Industrials 0.0% | ||
Machinery 0.0% | ||
TNT Crane and Rigging, Inc.(f) | 23,468 | 59,409 |
Total Industrials | 59,409 | |
Information Technology 0.0% | ||
Communications Equipment 0.0% | ||
Riverbed Technology, Inc.(f) | 13,308 | 5,856 |
Software 0.0% | ||
Avaya Holdings Corp.(d),(f) | 8,492 | 50,952 |
Avaya Holdings Corp.(d),(f) | 40,919 | 245,514 |
Total | 296,466 | |
Total Information Technology | 302,322 | |
Materials 0.0% | ||
Containers & Packaging 0.0% | ||
Flint Group Packaging(c),(d),(f) | 722,943 | 1 |
Total Materials | 1 | |
Total Common Stocks (Cost $1,954,963) | 673,823 |
Convertible Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cable and Satellite 0.1% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 9,710,000 | 5,741,038 | |
Total Convertible Bonds (Cost $7,481,446) | 5,741,038 |
Convertible Preferred Stocks 0.0% | |||
Issuer | Shares | Value ($) | |
Information Technology 0.0% | |||
Communications Equipment 0.0% | |||
Riverbed Technology, Inc.(d) | 7.000% | 14,204 | 3,622 |
Total Information Technology | 3,622 | ||
Total Convertible Preferred Stocks (Cost $307,751) | 3,622 |
Corporate Bonds & Notes(g) 36.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 1.6% | ||||
BAE Systems PLC(a) | ||||
02/15/2031 | 1.900% | 12,470,000 | 10,076,495 | |
Boeing Co. (The) | ||||
08/01/2059 | 3.950% | 13,842,000 | 9,779,957 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 2,189,000 | 2,191,163 | |
Howmet Aerospace, Inc. | ||||
01/15/2029 | 3.000% | 2,386,000 | 2,138,574 | |
L3Harris Technologies, Inc. | ||||
07/31/2033 | 5.400% | 3,597,000 | 3,599,247 | |
Lockheed Martin Corp. | ||||
08/15/2034 | 4.800% | 3,742,000 | 3,662,376 | |
Northrop Grumman Corp. | ||||
06/01/2034 | 4.900% | 13,680,000 | 13,322,346 | |
Raytheon Technologies Corp. | ||||
03/15/2032 | 2.375% | 17,366,000 | 14,074,231 | |
Spirit AeroSystems, Inc.(a) | ||||
11/30/2029 | 9.375% | 963,000 | 1,041,526 | |
11/15/2030 | 9.750% | 1,961,000 | 2,101,054 | |
TransDigm, Inc.(a) | ||||
03/15/2026 | 6.250% | 9,879,000 | 9,876,023 | |
08/15/2028 | 6.750% | 3,045,000 | 3,082,694 | |
03/01/2029 | 6.375% | 4,902,000 | 4,926,461 | |
03/01/2032 | 6.625% | 5,006,000 | 5,036,913 | |
Total | 84,909,060 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.4% | ||||
Air Canada(a) | ||||
08/15/2026 | 3.875% | 2,199,000 | 2,082,041 | |
American Airlines, Inc.(a) | ||||
05/15/2029 | 8.500% | 1,001,000 | 1,052,114 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 8,307,823 | 8,232,805 | |
04/20/2029 | 5.750% | 1,525,465 | 1,491,780 | |
Hawaiian Brand Intellectual Property Ltd./Miles Loyalty Ltd.(a) | ||||
01/20/2026 | 5.750% | 3,910,249 | 3,682,241 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 4,310,000 | 4,149,591 | |
04/15/2029 | 4.625% | 2,823,000 | 2,603,521 | |
Total | 23,294,093 | |||
Automotive 0.4% | ||||
American Axle & Manufacturing, Inc. | ||||
04/01/2027 | 6.500% | 1,228,000 | 1,211,339 | |
Clarios Global LP/US Finance Co.(a) | ||||
05/15/2028 | 6.750% | 2,587,000 | 2,619,362 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 3,700,000 | 3,654,284 | |
06/16/2025 | 5.125% | 2,561,000 | 2,535,710 | |
06/10/2026 | 6.950% | 1,957,000 | 1,995,228 | |
08/17/2027 | 4.125% | 4,839,000 | 4,573,611 | |
Panther BF Aggregator 2 LP/Finance Co., Inc.(a) | ||||
05/15/2026 | 6.250% | 606,000 | 605,006 | |
05/15/2027 | 8.500% | 3,927,000 | 3,943,616 | |
ZF North America Capital, Inc.(a) | ||||
04/14/2030 | 7.125% | 1,794,000 | 1,865,193 | |
Total | 23,003,349 | |||
Banking 6.9% | ||||
Ally Financial, Inc. | ||||
05/21/2024 | 3.875% | 771,000 | 767,288 | |
Subordinated | ||||
11/20/2025 | 5.750% | 4,431,000 | 4,407,063 | |
Bank of America Corp.(h) | ||||
10/22/2030 | 2.884% | 41,540,000 | 36,606,704 | |
10/24/2031 | 1.922% | 47,155,000 | 38,051,509 | |
10/20/2032 | 2.572% | 25,420,000 | 20,858,249 | |
02/04/2033 | 2.972% | 1,580,000 | 1,326,917 | |
Subordinated | ||||
09/21/2036 | 2.482% | 1,984,000 | 1,567,019 | |
Citigroup, Inc.(h) | ||||
01/25/2033 | 3.057% | 21,931,000 | 18,426,228 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Goldman Sachs Group, Inc. (The)(h) | ||||
07/21/2032 | 2.383% | 35,197,000 | 28,640,987 | |
10/21/2032 | 2.650% | 3,816,000 | 3,146,983 | |
HSBC Holdings PLC(h) | ||||
05/24/2032 | 2.804% | 19,086,000 | 15,770,975 | |
11/22/2032 | 2.871% | 23,632,000 | 19,447,866 | |
JPMorgan Chase & Co.(h) | ||||
04/22/2032 | 2.580% | 23,491,000 | 19,640,266 | |
11/08/2032 | 2.545% | 53,838,000 | 44,348,060 | |
Morgan Stanley(h) | ||||
07/21/2032 | 2.239% | 15,569,000 | 12,552,085 | |
10/20/2032 | 2.511% | 33,888,000 | 27,754,813 | |
07/21/2034 | 5.424% | 2,656,000 | 2,643,080 | |
Subordinated | ||||
09/16/2036 | 2.484% | 2,990,000 | 2,349,663 | |
PNC Financial Services Group, Inc. (The)(h) | ||||
10/20/2034 | 6.875% | 2,639,000 | 2,860,594 | |
01/22/2035 | 5.676% | 7,897,000 | 7,915,512 | |
US Bancorp(h) | ||||
06/12/2034 | 5.836% | 4,283,000 | 4,316,191 | |
Wells Fargo & Co.(h) | ||||
10/23/2029 | 6.303% | 2,910,000 | 3,015,897 | |
10/30/2030 | 2.879% | 21,921,000 | 19,208,266 | |
07/25/2034 | 5.557% | 35,932,000 | 35,795,004 | |
Total | 371,417,219 | |||
Brokerage/Asset Managers/Exchanges 0.4% | ||||
AG Issuer LLC(a) | ||||
03/01/2028 | 6.250% | 57,000 | 55,282 | |
AG TTMT Escrow Issuer LLC(a) | ||||
09/30/2027 | 8.625% | 3,743,000 | 3,854,022 | |
Aretec Escrow Issuer 2, Inc.(a) | ||||
08/15/2030 | 10.000% | 2,803,000 | 3,052,535 | |
Aretec Escrow Issuer, Inc.(a) | ||||
04/01/2029 | 7.500% | 1,242,000 | 1,151,428 | |
Hightower Holding LLC(a) | ||||
04/15/2029 | 6.750% | 2,953,000 | 2,774,478 | |
NFP Corp.(a) | ||||
08/15/2028 | 4.875% | 2,419,000 | 2,412,407 | |
08/15/2028 | 6.875% | 6,042,000 | 6,148,196 | |
10/01/2030 | 7.500% | 2,568,000 | 2,702,446 | |
10/01/2031 | 8.500% | 1,525,000 | 1,684,302 | |
Total | 23,835,096 | |||
Building Materials 0.5% | ||||
American Builders & Contractors Supply Co., Inc.(a) | ||||
01/15/2028 | 4.000% | 3,134,000 | 2,923,518 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Beacon Roofing Supply, Inc.(a) | ||||
11/15/2026 | 4.500% | 2,420,000 | 2,335,261 | |
05/15/2029 | 4.125% | 1,447,000 | 1,302,486 | |
08/01/2030 | 6.500% | 1,520,000 | 1,528,539 | |
James Hardie International Finance DAC(a) | ||||
01/15/2028 | 5.000% | 2,465,000 | 2,376,484 | |
SRS Distribution, Inc.(a) | ||||
07/01/2028 | 4.625% | 1,658,000 | 1,545,956 | |
07/01/2029 | 6.125% | 2,178,000 | 2,031,312 | |
12/01/2029 | 6.000% | 3,593,000 | 3,344,546 | |
Standard Industries, Inc.(a) | ||||
01/15/2028 | 4.750% | 4,051,000 | 3,824,011 | |
Summit Materials LLC /Finance Corp.(a) | ||||
01/15/2031 | 7.250% | 2,023,000 | 2,096,811 | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 333,000 | 321,451 | |
White Cap Buyer LLC(a) | ||||
10/15/2028 | 6.875% | 3,283,000 | 3,208,802 | |
Total | 26,839,177 | |||
Cable and Satellite 1.5% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 2,918,000 | 2,757,939 | |
02/01/2028 | 5.000% | 2,490,000 | 2,299,864 | |
06/01/2029 | 5.375% | 1,545,000 | 1,394,400 | |
03/01/2030 | 4.750% | 2,331,000 | 1,983,254 | |
08/15/2030 | 4.500% | 3,496,000 | 2,899,949 | |
02/01/2031 | 4.250% | 866,000 | 696,291 | |
02/01/2032 | 4.750% | 2,722,000 | 2,197,444 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 9,589,000 | 7,577,091 | |
Charter Communications Operating LLC/Capital | ||||
05/01/2047 | 5.375% | 4,290,000 | 3,375,434 | |
12/01/2061 | 4.400% | 11,338,000 | 7,276,109 | |
06/30/2062 | 3.950% | 5,232,000 | 3,075,986 | |
CSC Holdings LLC(a) | ||||
01/31/2029 | 11.750% | 1,892,000 | 1,980,575 | |
12/01/2030 | 4.125% | 3,634,000 | 2,706,972 | |
12/01/2030 | 4.625% | 4,790,000 | 2,667,653 | |
02/15/2031 | 3.375% | 7,409,000 | 5,227,251 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 2,766,000 | 2,885,536 | |
Sirius XM Radio, Inc.(a) | ||||
09/01/2026 | 3.125% | 2,513,000 | 2,348,030 | |
08/01/2027 | 5.000% | 500,000 | 477,305 | |
07/15/2028 | 4.000% | 2,580,000 | 2,326,049 | |
07/01/2029 | 5.500% | 1,278,000 | 1,208,916 | |
07/01/2030 | 4.125% | 2,187,000 | 1,887,861 | |
Videotron Ltd.(a) | ||||
06/15/2029 | 3.625% | 9,266,000 | 8,365,999 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 4,644,000 | 4,006,669 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 2,170,000 | 2,034,095 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 4,250,000 | 3,637,209 | |
Ziggo Bond Co. BV(a) | ||||
02/28/2030 | 5.125% | 1,818,000 | 1,554,914 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 5,065,000 | 4,513,825 | |
Total | 83,362,620 | |||
Chemicals 1.1% | ||||
Avient Corp.(a) | ||||
08/01/2030 | 7.125% | 1,644,000 | 1,681,094 | |
Axalta Coating Systems LLC(a) | ||||
02/15/2029 | 3.375% | 1,169,000 | 1,039,286 | |
Axalta Coating Systems LLC/Dutch Holding B BV(a) | ||||
06/15/2027 | 4.750% | 1,867,000 | 1,803,215 | |
Braskem Netherlands Finance BV(a) | ||||
01/10/2028 | 4.500% | 500,000 | 441,277 | |
01/31/2030 | 4.500% | 7,000,000 | 5,722,286 | |
Cheever Escrow Issuer LLC(a) | ||||
10/01/2027 | 7.125% | 2,350,000 | 2,347,424 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 3,427,000 | 3,107,910 | |
HB Fuller Co. | ||||
10/15/2028 | 4.250% | 3,430,000 | 3,187,278 | |
Herens Holdco Sarl(a) | ||||
05/15/2028 | 4.750% | 3,315,000 | 2,901,110 | |
Illuminate Buyer LLC/Holdings IV, Inc.(a) | ||||
07/01/2028 | 9.000% | 1,575,000 | 1,559,528 | |
INEOS Finance PLC(a) | ||||
04/15/2029 | 7.500% | 3,176,000 | 3,152,204 | |
INEOS Quattro Finance 2 PLC(a) | ||||
03/15/2029 | 9.625% | 2,750,000 | 2,902,712 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 3,234,000 | 2,853,364 | |
Innophos Holdings, Inc.(a) | ||||
02/15/2028 | 9.375% | 2,255,000 | 1,883,772 | |
Iris Holdings, Inc.(a),(i) | ||||
02/15/2026 | 8.750% | 1,902,000 | 1,632,207 | |
Olympus Water US Holding Corp.(a) | ||||
10/01/2028 | 4.250% | 3,005,000 | 2,692,339 | |
11/15/2028 | 9.750% | 3,978,000 | 4,230,083 | |
10/01/2029 | 6.250% | 2,283,000 | 2,039,637 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SPCM SA(a) | ||||
03/15/2027 | 3.125% | 1,001,000 | 928,102 | |
WR Grace Holdings LLC(a) | ||||
06/15/2027 | 4.875% | 6,305,000 | 6,001,069 | |
08/15/2029 | 5.625% | 5,107,000 | 4,480,802 | |
03/01/2031 | 7.375% | 612,000 | 620,777 | |
Total | 57,207,476 | |||
Construction Machinery 0.2% | ||||
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 5,774,000 | 5,206,871 | |
Herc Holdings, Inc.(a) | ||||
07/15/2027 | 5.500% | 1,295,000 | 1,267,754 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 2,519,000 | 2,577,883 | |
03/15/2031 | 7.750% | 611,000 | 641,962 | |
United Rentals North America, Inc. | ||||
07/15/2030 | 4.000% | 897,000 | 810,769 | |
01/15/2032 | 3.750% | 997,000 | 863,144 | |
Total | 11,368,383 | |||
Consumer Cyclical Services 0.5% | ||||
APX Group, Inc.(a) | ||||
07/15/2029 | 5.750% | 685,000 | 651,003 | |
Arches Buyer, Inc.(a) | ||||
06/01/2028 | 4.250% | 4,099,000 | 3,502,358 | |
12/01/2028 | 6.125% | 3,081,000 | 2,632,871 | |
ASGN, Inc.(a) | ||||
05/15/2028 | 4.625% | 2,024,000 | 1,898,076 | |
Match Group, Inc.(a) | ||||
06/01/2028 | 4.625% | 5,557,000 | 5,223,993 | |
Uber Technologies, Inc.(a) | ||||
09/15/2027 | 7.500% | 605,000 | 619,089 | |
08/15/2029 | 4.500% | 11,011,000 | 10,368,745 | |
Total | 24,896,135 | |||
Consumer Products 0.3% | ||||
Acushnet Co.(a) | ||||
10/15/2028 | 7.375% | 1,500,000 | 1,546,808 | |
CD&R Smokey Buyer, Inc.(a) | ||||
07/15/2025 | 6.750% | 5,178,000 | 5,154,397 | |
Newell Brands, Inc. | ||||
09/15/2027 | 6.375% | 879,000 | 853,882 | |
Newell, Inc. | ||||
04/01/2026 | 5.200% | 1,093,000 | 1,061,115 | |
Scotts Miracle-Gro Co. (The) | ||||
04/01/2031 | 4.000% | 1,855,000 | 1,572,255 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Spectrum Brands, Inc.(a) | ||||
10/01/2029 | 5.000% | 2,915,000 | 2,834,168 | |
07/15/2030 | 5.500% | 751,000 | 736,004 | |
Total | 13,758,629 | |||
Diversified Manufacturing 0.8% | ||||
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 16,226,000 | 14,200,110 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 1,355,000 | 1,397,990 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 4,293,000 | 4,306,843 | |
Gates Global LLC/Co.(a) | ||||
01/15/2026 | 6.250% | 2,553,000 | 2,550,262 | |
Madison IAQ LLC(a) | ||||
06/30/2028 | 4.125% | 1,254,000 | 1,142,875 | |
06/30/2029 | 5.875% | 2,926,000 | 2,614,437 | |
Resideo Funding, Inc.(a) | ||||
09/01/2029 | 4.000% | 3,005,000 | 2,657,324 | |
Vertical Holdco GmbH(a) | ||||
07/15/2028 | 7.625% | 1,570,000 | 1,534,541 | |
Vertical US Newco, Inc.(a) | ||||
07/15/2027 | 5.250% | 1,598,000 | 1,534,658 | |
WESCO Distribution, Inc.(a) | ||||
06/15/2025 | 7.125% | 2,101,000 | 2,106,636 | |
06/15/2028 | 7.250% | 3,427,000 | 3,504,658 | |
WESCO Distribution, Inc.(a),(j) | ||||
03/15/2029 | 6.375% | 2,103,000 | 2,105,658 | |
03/15/2032 | 6.625% | 2,702,000 | 2,704,095 | |
Total | 42,360,087 | |||
Electric 1.9% | ||||
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 7,720,000 | 5,384,273 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 2,035,000 | 1,920,106 | |
Clearway Energy Operating LLC(a) | ||||
02/15/2031 | 3.750% | 8,532,000 | 7,196,374 | |
01/15/2032 | 3.750% | 4,484,000 | 3,750,443 | |
Duke Energy Corp. | ||||
09/01/2046 | 3.750% | 7,780,000 | 5,785,677 | |
Edison International | ||||
11/15/2028 | 5.250% | 8,462,000 | 8,417,504 | |
Emera US Finance LP | ||||
06/15/2046 | 4.750% | 15,730,000 | 12,791,785 | |
FirstEnergy Corp. | ||||
03/01/2050 | 3.400% | 2,732,000 | 1,826,090 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Leeward Renewable Energy Operations LLC(a) | ||||
07/01/2029 | 4.250% | 1,411,000 | 1,215,429 | |
NextEra Energy Operating Partners LP(a) | ||||
07/15/2024 | 4.250% | 2,319,000 | 2,294,164 | |
10/15/2026 | 3.875% | 603,000 | 564,321 | |
09/15/2027 | 4.500% | 8,245,000 | 7,703,092 | |
01/15/2029 | 7.250% | 2,097,000 | 2,132,871 | |
NRG Energy, Inc. | ||||
01/15/2028 | 5.750% | 1,251,000 | 1,232,238 | |
NRG Energy, Inc.(a) | ||||
02/15/2029 | 3.375% | 1,229,000 | 1,073,916 | |
06/15/2029 | 5.250% | 2,950,000 | 2,796,990 | |
02/15/2032 | 3.875% | 449,000 | 377,028 | |
Pacific Gas and Electric Co. | ||||
07/01/2050 | 4.950% | 18,875,000 | 16,030,245 | |
Pattern Energy Operations LP/Inc.(a) | ||||
08/15/2028 | 4.500% | 696,000 | 638,878 | |
PG&E Corp. | ||||
07/01/2028 | 5.000% | 1,596,000 | 1,525,017 | |
TerraForm Power Operating LLC(a) | ||||
01/15/2030 | 4.750% | 5,611,000 | 5,086,694 | |
Vistra Operations Co. LLC(a) | ||||
09/01/2026 | 5.500% | 2,613,000 | 2,573,094 | |
02/15/2027 | 5.625% | 3,311,000 | 3,229,356 | |
07/31/2027 | 5.000% | 1,280,000 | 1,227,475 | |
10/15/2031 | 7.750% | 3,834,000 | 3,967,219 | |
Total | 100,740,279 | |||
Environmental 0.2% | ||||
GFL Environmental, Inc.(a) | ||||
06/01/2025 | 4.250% | 1,809,000 | 1,777,704 | |
12/15/2026 | 5.125% | 1,425,000 | 1,394,114 | |
08/01/2028 | 4.000% | 2,000,000 | 1,831,840 | |
01/15/2031 | 6.750% | 3,195,000 | 3,268,885 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 5,139,000 | 5,037,900 | |
Total | 13,310,443 | |||
Finance Companies 0.7% | ||||
GGAM Finance Ltd.(a) | ||||
02/15/2027 | 8.000% | 2,781,000 | 2,859,394 | |
Navient Corp. | ||||
06/25/2025 | 6.750% | 878,000 | 884,427 | |
03/15/2027 | 5.000% | 2,610,000 | 2,477,209 | |
03/15/2031 | 11.500% | 2,092,000 | 2,288,616 | |
OneMain Finance Corp. | ||||
01/15/2029 | 9.000% | 963,000 | 1,011,255 | |
03/15/2030 | 7.875% | 2,502,000 | 2,545,083 | |
09/15/2030 | 4.000% | 1,882,000 | 1,586,221 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Provident Funding Associates LP/Finance Corp.(a) | ||||
06/15/2025 | 6.375% | 2,662,000 | 2,512,433 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 3,811,000 | 3,270,764 | |
Rocket Mortgage LLC/Co-Issuer, Inc.(a) | ||||
10/15/2033 | 4.000% | 19,824,000 | 16,467,086 | |
Springleaf Finance Corp. | ||||
11/15/2029 | 5.375% | 169,000 | 156,850 | |
United Wholesale Mortgage LLC(a) | ||||
04/15/2029 | 5.500% | 155,000 | 144,951 | |
Total | 36,204,289 | |||
Food and Beverage 1.3% | ||||
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 17,883,000 | 16,648,058 | |
Chobani LLC/Finance Corp., Inc.(a) | ||||
07/01/2029 | 7.625% | 726,000 | 729,764 | |
Constellation Brands, Inc. | ||||
05/01/2033 | 4.900% | 15,997,000 | 15,529,152 | |
Darling Ingredients, Inc.(a) | ||||
04/15/2027 | 5.250% | 2,845,000 | 2,787,919 | |
FAGE International SA/USA Dairy Industry, Inc.(a) | ||||
08/15/2026 | 5.625% | 5,756,000 | 5,632,253 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 893,000 | 864,866 | |
01/31/2030 | 4.125% | 2,124,000 | 1,921,521 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 2,432,000 | 2,455,299 | |
01/15/2028 | 5.625% | 3,361,000 | 3,298,358 | |
04/15/2030 | 4.625% | 1,287,000 | 1,169,070 | |
09/15/2031 | 4.500% | 2,918,000 | 2,596,191 | |
02/15/2032 | 6.250% | 1,824,000 | 1,833,148 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 3,350,000 | 3,041,175 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 4,357,000 | 3,823,512 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 2,957,000 | 2,592,270 | |
US Foods, Inc.(a) | ||||
09/15/2028 | 6.875% | 1,558,000 | 1,586,488 | |
02/15/2029 | 4.750% | 967,000 | 907,496 | |
06/01/2030 | 4.625% | 3,348,000 | 3,069,455 | |
01/15/2032 | 7.250% | 1,450,000 | 1,497,565 | |
Total | 71,983,560 | |||
Gaming 0.7% | ||||
Boyd Gaming Corp. | ||||
12/01/2027 | 4.750% | 1,260,000 | 1,212,749 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Boyd Gaming Corp.(a) | ||||
06/15/2031 | 4.750% | 2,548,000 | 2,315,824 | |
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 5,516,000 | 5,035,943 | |
02/15/2030 | 7.000% | 3,769,000 | 3,862,269 | |
02/15/2032 | 6.500% | 3,184,000 | 3,208,268 | |
Churchill Downs, Inc.(a) | ||||
01/15/2028 | 4.750% | 2,174,000 | 2,056,036 | |
05/01/2031 | 6.750% | 1,149,000 | 1,149,713 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2027 | 8.125% | 2,714,000 | 2,784,375 | |
Midwest Gaming Borrower LLC(a) | ||||
05/01/2029 | 4.875% | 4,992,000 | 4,578,600 | |
Penn National Gaming, Inc.(a) | ||||
01/15/2027 | 5.625% | 414,000 | 395,892 | |
07/01/2029 | 4.125% | 2,177,000 | 1,829,453 | |
Scientific Games Holdings LP/US FinCo, Inc.(a) | ||||
03/01/2030 | 6.625% | 4,535,000 | 4,284,486 | |
Scientific Games International, Inc.(a) | ||||
11/15/2029 | 7.250% | 2,450,000 | 2,507,132 | |
Studio City Finance Ltd.(a) | ||||
01/15/2029 | 5.000% | 4,000,000 | 3,500,562 | |
Total | 38,721,302 | |||
Health Care 1.9% | ||||
Acadia Healthcare Co., Inc.(a) | ||||
07/01/2028 | 5.500% | 2,108,000 | 2,043,520 | |
04/15/2029 | 5.000% | 1,651,000 | 1,560,573 | |
Avantor Funding, Inc.(a) | ||||
07/15/2028 | 4.625% | 1,819,000 | 1,716,506 | |
11/01/2029 | 3.875% | 4,019,000 | 3,602,870 | |
Bausch & Lomb Escrow Corp.(a) | ||||
10/01/2028 | 8.375% | 2,463,000 | 2,577,149 | |
Becton Dickinson Euro Finance SARL | ||||
08/13/2041 | 1.336% | EUR | 1,835,000 | 1,339,136 |
Catalent Pharma Solutions, Inc.(a) | ||||
02/15/2029 | 3.125% | 586,000 | 566,571 | |
04/01/2030 | 3.500% | 2,595,000 | 2,504,961 | |
Charles River Laboratories International, Inc.(a) | ||||
05/01/2028 | 4.250% | 455,000 | 426,833 | |
03/15/2029 | 3.750% | 1,124,000 | 1,017,539 | |
03/15/2031 | 4.000% | 975,000 | 859,704 | |
CHS/Community Health Systems, Inc.(a) | ||||
03/15/2027 | 5.625% | 1,609,000 | 1,471,833 | |
04/15/2029 | 6.875% | 2,712,000 | 1,744,878 | |
05/15/2030 | 5.250% | 5,131,000 | 4,095,963 | |
02/15/2031 | 4.750% | 2,397,000 | 1,824,572 | |
01/15/2032 | 10.875% | 1,005,000 | 1,024,745 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cigna Group (The) | ||||
02/15/2054 | 5.600% | 4,050,000 | 3,987,716 | |
HCA, Inc. | ||||
02/01/2029 | 5.875% | 2,135,000 | 2,172,972 | |
09/01/2030 | 3.500% | 31,379,000 | 28,050,638 | |
Indigo Merger Sub, Inc.(a) | ||||
07/15/2026 | 2.875% | 1,424,000 | 1,318,883 | |
IQVIA, Inc.(a) | ||||
10/15/2026 | 5.000% | 823,000 | 805,141 | |
05/15/2027 | 5.000% | 1,864,000 | 1,815,044 | |
05/15/2030 | 6.500% | 993,000 | 1,007,274 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 2,870,000 | 2,572,686 | |
10/01/2029 | 5.250% | 6,635,000 | 6,135,493 | |
Select Medical Corp.(a) | ||||
08/15/2026 | 6.250% | 5,184,000 | 5,173,046 | |
Star Parent, Inc.(a) | ||||
10/01/2030 | 9.000% | 4,025,000 | 4,245,143 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 917,000 | 914,955 | |
04/15/2027 | 10.000% | 799,000 | 810,017 | |
Tenet Healthcare Corp. | ||||
02/01/2027 | 6.250% | 3,617,000 | 3,608,017 | |
11/01/2027 | 5.125% | 2,981,000 | 2,919,170 | |
10/01/2028 | 6.125% | 2,640,000 | 2,609,578 | |
01/15/2030 | 4.375% | 1,759,000 | 1,610,405 | |
Tenet Healthcare Corp.(a) | ||||
05/15/2031 | 6.750% | 3,662,000 | 3,697,441 | |
Total | 101,830,972 | |||
Healthcare Insurance 0.6% | ||||
Aetna, Inc. | ||||
11/15/2042 | 4.125% | 2,786,000 | 2,225,771 | |
08/15/2047 | 3.875% | 1,833,000 | 1,362,304 | |
Centene Corp. | ||||
10/15/2030 | 3.000% | 29,371,000 | 25,084,686 | |
08/01/2031 | 2.625% | 7,507,000 | 6,143,582 | |
Total | 34,816,343 | |||
Home Construction 0.1% | ||||
Shea Homes LP/Funding Corp. | ||||
02/15/2028 | 4.750% | 3,237,000 | 3,105,751 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 1,294,000 | 1,276,322 | |
Total | 4,382,073 | |||
Independent Energy 0.8% | ||||
Baytex Energy Corp.(a) | ||||
04/30/2030 | 8.500% | 2,803,000 | 2,913,709 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Callon Petroleum Co.(a) | ||||
08/01/2028 | 8.000% | 2,180,000 | 2,276,442 | |
Civitas Resources, Inc.(a) | ||||
07/01/2028 | 8.375% | 903,000 | 944,960 | |
11/01/2030 | 8.625% | 804,000 | 861,012 | |
07/01/2031 | 8.750% | 994,000 | 1,058,075 | |
CNX Resources Corp.(a) | ||||
01/15/2029 | 6.000% | 3,110,000 | 3,000,483 | |
Colgate Energy Partners III LLC(a) | ||||
07/01/2029 | 5.875% | 6,862,000 | 6,707,592 | |
Comstock Resources, Inc.(a) | ||||
01/15/2030 | 5.875% | 130,000 | 113,675 | |
CrownRock LP/Finance, Inc.(a) | ||||
10/15/2025 | 5.625% | 2,383,000 | 2,372,662 | |
05/01/2029 | 5.000% | 2,411,000 | 2,374,088 | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
11/01/2028 | 6.250% | 2,935,000 | 2,916,552 | |
02/01/2029 | 5.750% | 3,120,000 | 3,037,524 | |
11/01/2033 | 8.375% | 1,726,000 | 1,853,859 | |
Matador Resources Co. | ||||
09/15/2026 | 5.875% | 3,620,000 | 3,584,453 | |
Matador Resources Co.(a) | ||||
04/15/2028 | 6.875% | 1,212,000 | 1,235,901 | |
Permian Resources Operating LLC(a) | ||||
01/15/2032 | 7.000% | 4,570,000 | 4,695,909 | |
Southwestern Energy Co. | ||||
02/01/2032 | 4.750% | 3,934,000 | 3,572,385 | |
Total | 43,519,281 | |||
Leisure 0.6% | ||||
Carnival Corp.(a) | ||||
03/01/2026 | 7.625% | 2,796,000 | 2,831,770 | |
08/15/2029 | 7.000% | 1,868,000 | 1,938,734 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 3,079,000 | 3,358,607 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op(a) | ||||
05/01/2025 | 5.500% | 2,418,000 | 2,410,237 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | ||||
04/15/2027 | 5.375% | 551,000 | 545,167 | |
10/01/2028 | 6.500% | 782,000 | 783,542 | |
Cinemark USA, Inc.(a) | ||||
03/15/2026 | 5.875% | 3,120,000 | 3,082,291 | |
Live Nation Entertainment, Inc.(a) | ||||
03/15/2026 | 5.625% | 639,000 | 632,613 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 1,810,000 | 1,767,373 | |
02/15/2027 | 5.875% | 1,143,000 | 1,129,358 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/31/2026 | 5.500% | 1,855,000 | 1,834,551 | |
01/15/2029 | 9.250% | 595,000 | 640,032 | |
01/15/2030 | 7.250% | 4,936,000 | 5,131,436 | |
Royal Caribbean Cruises Ltd.(a),(j) | ||||
03/15/2032 | 6.250% | 944,000 | 946,497 | |
Six Flags Entertainment Corp.(a) | ||||
05/15/2031 | 7.250% | 1,765,000 | 1,776,053 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 2,281,000 | 2,233,453 | |
07/15/2031 | 9.125% | 960,000 | 1,040,672 | |
Total | 32,082,386 | |||
Life Insurance 0.5% | ||||
Peachtree Corners Funding Trust(a) | ||||
02/15/2025 | 3.976% | 25,683,000 | 25,183,982 | |
Lodging 0.1% | ||||
Hilton Domestic Operating Co., Inc.(a) | ||||
05/01/2025 | 5.375% | 966,000 | 965,074 | |
Hilton Grand Vacations Borrower Escrow LLC(a) | ||||
01/15/2032 | 6.625% | 2,180,000 | 2,180,154 | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
08/15/2028 | 4.375% | 1,955,000 | 1,816,092 | |
Total | 4,961,320 | |||
Media and Entertainment 1.0% | ||||
Clear Channel International BV(a) | ||||
08/01/2025 | 6.625% | 2,640,000 | 2,639,112 | |
Clear Channel Outdoor Holdings, Inc.(a) | ||||
09/15/2028 | 9.000% | 1,977,000 | 2,061,840 | |
06/01/2029 | 7.500% | 5,565,000 | 4,629,695 | |
Clear Channel Worldwide Holdings, Inc.(a) | ||||
08/15/2027 | 5.125% | 1,833,000 | 1,714,310 | |
iHeartCommunications, Inc. | ||||
05/01/2026 | 6.375% | 2,975,936 | 2,487,998 | |
05/01/2027 | 8.375% | 3,042,078 | 1,808,396 | |
iHeartCommunications, Inc.(a) | ||||
08/15/2027 | 5.250% | 3,043,000 | 2,255,594 | |
Netflix, Inc. | ||||
05/15/2029 | 4.625% | EUR | 3,491,000 | 3,950,767 |
Outfront Media Capital LLC/Corp.(a) | ||||
08/15/2027 | 5.000% | 3,572,000 | 3,439,807 | |
01/15/2029 | 4.250% | 811,000 | 728,386 | |
03/15/2030 | 4.625% | 2,185,000 | 1,947,725 | |
02/15/2031 | 7.375% | 696,000 | 726,247 | |
Playtika Holding Corp.(a) | ||||
03/15/2029 | 4.250% | 5,545,000 | 4,733,965 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Roblox Corp.(a) | ||||
05/01/2030 | 3.875% | 5,315,000 | 4,654,389 | |
Univision Communications, Inc.(a) | ||||
08/15/2028 | 8.000% | 2,711,000 | 2,724,918 | |
05/01/2029 | 4.500% | 2,385,000 | 2,088,749 | |
06/30/2030 | 7.375% | 1,038,000 | 1,002,516 | |
Warnermedia Holdings, Inc. | ||||
03/15/2062 | 5.391% | 13,295,000 | 10,701,292 | |
Total | 54,295,706 | |||
Metals and Mining 0.5% | ||||
Allegheny Technologies, Inc. | ||||
10/01/2029 | 4.875% | 818,000 | 760,032 | |
10/01/2031 | 5.125% | 2,729,000 | 2,497,123 | |
Constellium SE(a) | ||||
06/15/2028 | 5.625% | 2,490,000 | 2,405,248 | |
04/15/2029 | 3.750% | 6,482,000 | 5,769,279 | |
Hudbay Minerals, Inc.(a) | ||||
04/01/2026 | 4.500% | 1,464,000 | 1,410,858 | |
04/01/2029 | 6.125% | 6,673,000 | 6,547,825 | |
Kaiser Aluminum Corp.(a) | ||||
06/01/2031 | 4.500% | 1,804,000 | 1,543,688 | |
Novelis Corp.(a) | ||||
11/15/2026 | 3.250% | 1,369,000 | 1,273,258 | |
01/30/2030 | 4.750% | 2,010,000 | 1,840,154 | |
08/15/2031 | 3.875% | 1,651,000 | 1,397,923 | |
Total | 25,445,388 | |||
Midstream 2.6% | ||||
Antero Midstream Partners LP/Finance Corp.(a) | ||||
02/01/2032 | 6.625% | 1,715,000 | 1,708,987 | |
CNX Midstream Partners LP(a) | ||||
04/15/2030 | 4.750% | 3,075,000 | 2,694,966 | |
DCP Midstream Operating LP | ||||
04/01/2044 | 5.600% | 1,252,000 | 1,195,379 | |
Delek Logistics Partners LP/Finance Corp. | ||||
05/15/2025 | 6.750% | 1,060,000 | 1,060,644 | |
Delek Logistics Partners LP/Finance Corp.(a),(j) | ||||
03/15/2029 | 8.625% | 2,929,000 | 2,932,895 | |
DT Midstream, Inc.(a) | ||||
06/15/2029 | 4.125% | 1,588,000 | 1,451,221 | |
06/15/2031 | 4.375% | 3,480,000 | 3,136,807 | |
EQM Midstream Partners LP(a) | ||||
07/01/2025 | 6.000% | 2,976,000 | 2,971,278 | |
07/01/2027 | 6.500% | 1,236,000 | 1,248,175 | |
01/15/2029 | 4.500% | 1,427,000 | 1,335,694 | |
04/01/2029 | 6.375% | 1,191,000 | 1,194,666 | |
01/15/2031 | 4.750% | 5,225,000 | 4,862,465 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
EQM Midstream Partners LP | ||||
07/15/2048 | 6.500% | 5,051,000 | 5,126,765 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2036 | 2.625% | 12,000,000 | 9,743,330 | |
09/30/2040 | 3.250% | 3,925,000 | 2,970,137 | |
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 2,912,000 | 2,950,626 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2044 | 5.400% | 7,382,000 | 6,733,025 | |
Kinder Morgan, Inc. | ||||
02/15/2046 | 5.050% | 3,954,000 | 3,438,590 | |
NuStar Logistics LP | ||||
10/01/2025 | 5.750% | 4,717,000 | 4,685,706 | |
06/01/2026 | 6.000% | 3,288,000 | 3,257,831 | |
04/28/2027 | 5.625% | 1,573,000 | 1,554,580 | |
Plains All American Pipeline LP/Finance Corp. | ||||
06/15/2044 | 4.700% | 26,497,000 | 21,914,980 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 3,318,000 | 3,093,237 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 4,429,000 | 3,974,963 | |
08/15/2031 | 4.125% | 5,940,000 | 5,214,503 | |
11/01/2033 | 3.875% | 14,638,000 | 12,282,158 | |
Venture Global LNG, Inc.(a) | ||||
02/01/2029 | 9.500% | 2,432,000 | 2,593,255 | |
06/01/2031 | 8.375% | 2,038,000 | 2,061,676 | |
02/01/2032 | 9.875% | 2,466,000 | 2,595,938 | |
Western Midstream Operating LP | ||||
01/15/2029 | 6.350% | 3,871,000 | 3,996,746 | |
Williams Companies, Inc. (The) | ||||
08/15/2028 | 5.300% | 17,155,000 | 17,263,536 | |
Total | 141,244,759 | |||
Natural Gas 0.2% | ||||
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 6,399,000 | 5,857,528 | |
05/15/2047 | 4.375% | 3,903,000 | 3,223,948 | |
Total | 9,081,476 | |||
Oil Field Services 0.2% | ||||
Kodiak Gas Services LLC(a) | ||||
02/15/2029 | 7.250% | 916,000 | 934,450 | |
Nabors Industries Ltd.(a) | ||||
01/15/2026 | 7.250% | 2,998,000 | 2,954,834 | |
01/15/2028 | 7.500% | 1,217,000 | 1,119,587 | |
Nabors Industries, Inc.(a) | ||||
05/15/2027 | 7.375% | 1,151,000 | 1,146,461 | |
01/31/2030 | 9.125% | 1,147,000 | 1,175,328 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Transocean Aquila Ltd.(a) | ||||
09/30/2028 | 8.000% | 2,564,000 | 2,611,525 | |
Transocean Titan Financing Ltd.(a) | ||||
02/01/2028 | 8.375% | 2,465,000 | 2,535,191 | |
Total | 12,477,376 | |||
Other Industry 0.0% | ||||
Booz Allen Hamilton, Inc.(a) | ||||
09/01/2028 | 3.875% | 1,358,000 | 1,261,931 | |
Williams Scotsman International, Inc.(a) | ||||
08/15/2028 | 4.625% | 1,054,000 | 989,826 | |
Total | 2,251,757 | |||
Other REIT 0.4% | ||||
Blackstone Mortgage Trust, Inc.(a) | ||||
01/15/2027 | 3.750% | 1,414,000 | 1,240,288 | |
Digital Dutch Finco BV(a) | ||||
03/15/2030 | 1.500% | EUR | 3,469,000 | 3,218,537 |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
10/01/2025 | 5.250% | 3,838,000 | 3,778,391 | |
02/01/2027 | 4.250% | 1,293,000 | 1,192,704 | |
06/15/2029 | 4.750% | 5,315,000 | 4,764,932 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
10/01/2028 | 5.875% | 1,816,000 | 1,770,266 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/Finance Co-Issuer(a) | ||||
05/15/2029 | 4.875% | 1,134,000 | 1,044,838 | |
RHP Hotel Properties LP/Finance Corp.(a) | ||||
07/15/2028 | 7.250% | 616,000 | 632,927 | |
02/15/2029 | 4.500% | 860,000 | 799,008 | |
RLJ Lodging Trust LP(a) | ||||
07/01/2026 | 3.750% | 1,102,000 | 1,039,220 | |
Service Properties Trust(a) | ||||
11/15/2031 | 8.625% | 1,493,000 | 1,578,956 | |
Total | 21,060,067 | |||
Packaging 0.3% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
06/15/2027 | 6.000% | 2,547,000 | 2,499,492 | |
09/01/2029 | 4.000% | 6,252,000 | 5,078,881 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 1,151,000 | 1,064,042 | |
Berry Global, Inc.(a) | ||||
04/15/2028 | 5.500% | 115,000 | 114,355 | |
Canpack SA/US LLC(a) | ||||
11/15/2029 | 3.875% | 3,538,000 | 3,069,384 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 3,592,000 | 3,503,400 | |
08/15/2027 | 8.500% | 1,408,000 | 1,372,363 | |
Total | 16,701,917 | |||
Pharmaceuticals 1.0% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 443,000 | 432,724 | |
AbbVie, Inc. | ||||
03/15/2034 | 5.050% | 9,960,000 | 10,006,963 | |
Amgen, Inc. | ||||
03/02/2063 | 5.750% | 9,555,000 | 9,558,878 | |
Bausch Health Companies, Inc.(a) | ||||
02/01/2027 | 6.125% | 2,070,000 | 1,321,358 | |
06/01/2028 | 4.875% | 2,868,000 | 1,630,387 | |
09/30/2028 | 11.000% | 789,000 | 531,514 | |
10/15/2030 | 14.000% | 156,000 | 90,449 | |
Bristol-Myers Squibb Co. | ||||
02/22/2064 | 5.650% | 20,426,000 | 20,620,443 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 2,730,000 | 2,262,189 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 2,600,000 | 2,394,253 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 1,722,000 | 1,574,277 | |
04/30/2031 | 5.125% | 3,779,000 | 3,235,018 | |
Total | 53,658,453 | |||
Property & Casualty 0.7% | ||||
Alliant Holdings Intermediate LLC/Co-Issuer(a) | ||||
10/15/2027 | 4.250% | 1,693,000 | 1,567,473 | |
10/15/2027 | 6.750% | 2,659,000 | 2,582,585 | |
04/15/2028 | 6.750% | 7,004,000 | 6,957,732 | |
11/01/2029 | 5.875% | 1,149,000 | 1,052,088 | |
01/15/2031 | 7.000% | 3,742,000 | 3,727,773 | |
AmWINS Group, Inc.(a) | ||||
02/15/2029 | 6.375% | 1,979,000 | 1,979,903 | |
AssuredPartners, Inc.(a) | ||||
01/15/2029 | 5.625% | 2,393,000 | 2,203,246 | |
02/15/2032 | 7.500% | 1,601,000 | 1,573,766 | |
BroadStreet Partners, Inc.(a) | ||||
04/15/2029 | 5.875% | 2,842,000 | 2,637,918 | |
GTCR AP Finance, Inc.(a) | ||||
05/15/2027 | 8.000% | 2,295,000 | 2,297,125 | |
HUB International Ltd.(a) | ||||
01/31/2032 | 7.375% | 2,658,000 | 2,669,021 | |
HUB International, Ltd.(a) | ||||
06/15/2030 | 7.250% | 7,501,000 | 7,659,911 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
USI, Inc.(a) | ||||
01/15/2032 | 7.500% | 1,437,000 | 1,433,418 | |
Total | 38,341,959 | |||
Railroads 0.2% | ||||
Norfolk Southern Corp. | ||||
08/01/2030 | 5.050% | 13,160,000 | 13,141,778 | |
Refining 0.1% | ||||
HF Sinclair Corp.(a) | ||||
04/15/2027 | 6.375% | 1,936,000 | 1,938,650 | |
02/01/2028 | 5.000% | 1,667,000 | 1,604,598 | |
Total | 3,543,248 | |||
Restaurants 0.3% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
04/15/2025 | 5.750% | 2,011,000 | 2,005,150 | |
01/15/2028 | 3.875% | 3,236,000 | 3,014,158 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 1,305,000 | 1,184,824 | |
01/15/2030 | 6.750% | 2,452,000 | 2,164,924 | |
IRB Holding Corp.(a) | ||||
06/15/2025 | 7.000% | 3,646,000 | 3,649,707 | |
Yum! Brands, Inc. | ||||
04/01/2032 | 5.375% | 2,405,000 | 2,310,251 | |
Total | 14,329,014 | |||
Retailers 0.7% | ||||
Asbury Automotive Group, Inc.(a) | ||||
11/15/2029 | 4.625% | 701,000 | 638,878 | |
02/15/2032 | 5.000% | 701,000 | 623,789 | |
Group 1 Automotive, Inc.(a) | ||||
08/15/2028 | 4.000% | 999,000 | 912,732 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 645,000 | 622,770 | |
02/15/2031 | 9.000% | 2,618,000 | 2,624,429 | |
L Brands, Inc.(a) | ||||
07/01/2025 | 9.375% | 485,000 | 506,971 | |
L Brands, Inc. | ||||
02/01/2028 | 5.250% | 1,053,000 | 1,022,809 | |
LCM Investments Holdings II LLC(a) | ||||
05/01/2029 | 4.875% | 1,142,000 | 1,026,348 | |
08/01/2031 | 8.250% | 1,104,000 | 1,130,286 | |
Lithia Motors, Inc.(a) | ||||
01/15/2031 | 4.375% | 1,325,000 | 1,174,962 | |
Lowe’s Companies, Inc. | ||||
04/01/2062 | 4.450% | 10,264,000 | 8,205,629 | |
09/15/2062 | 5.800% | 13,332,000 | 13,308,833 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PetSmart, Inc./Finance Corp.(a) | ||||
02/15/2028 | 4.750% | 2,780,000 | 2,603,877 | |
02/15/2029 | 7.750% | 2,190,000 | 2,163,704 | |
Wolverine World Wide, Inc.(a) | ||||
08/15/2029 | 4.000% | 3,198,000 | 2,563,258 | |
Total | 39,129,275 | |||
Supermarkets 0.1% | ||||
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 7.500% | 1,085,000 | 1,103,353 | |
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2026 | 3.250% | 2,743,000 | 2,608,029 | |
Total | 3,711,382 | |||
Technology 2.3% | ||||
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 2,302,000 | 2,165,919 | |
Block, Inc. | ||||
06/01/2026 | 2.750% | 1,714,000 | 1,600,348 | |
06/01/2031 | 3.500% | 1,723,000 | 1,470,499 | |
Boxer Parent Co., Inc.(a) | ||||
10/02/2025 | 7.125% | 447,000 | 447,439 | |
Broadcom, Inc.(a) | ||||
11/15/2036 | 3.187% | 18,394,000 | 14,375,319 | |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 924,000 | 882,993 | |
Central Parent LLC/CDK Global II LLC/Financing, Co., Inc.(a) | ||||
06/15/2029 | 8.000% | 534,000 | 550,084 | |
Central Parent, Inc./CDK Global, Inc.(a) | ||||
06/15/2029 | 7.250% | 1,029,000 | 1,035,784 | |
Clarivate Science Holdings Corp.(a) | ||||
07/01/2028 | 3.875% | 1,277,000 | 1,165,944 | |
07/01/2029 | 4.875% | 4,288,000 | 3,887,489 | |
Cloud Software Group, Inc.(a) | ||||
09/30/2029 | 9.000% | 4,718,000 | 4,404,604 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 1,385,000 | 1,128,793 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 4,174,000 | 3,686,537 | |
Entegris Escrow Corp.(a) | ||||
04/15/2029 | 4.750% | 2,603,000 | 2,457,811 | |
06/15/2030 | 5.950% | 3,323,000 | 3,258,632 | |
Gartner, Inc.(a) | ||||
07/01/2028 | 4.500% | 1,484,000 | 1,405,441 | |
GoTo Group, Inc.(a) | ||||
05/01/2028 | 5.500% | 2,447,038 | 1,459,187 | |
05/01/2028 | 5.500% | 1,009,842 | 868,950 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GTCR W-2 Merger Sub LLC(a) | ||||
01/15/2031 | 7.500% | 4,967,000 | 5,179,796 | |
HealthEquity, Inc.(a) | ||||
10/01/2029 | 4.500% | 2,857,000 | 2,628,147 | |
Helios Software Holdings, Inc.(a) | ||||
05/01/2028 | 4.625% | 2,367,000 | 2,125,081 | |
ION Trading Technologies Sarl(a) | ||||
05/15/2028 | 5.750% | 2,698,000 | 2,440,726 | |
Iron Mountain, Inc.(a) | ||||
09/15/2027 | 4.875% | 4,523,000 | 4,338,692 | |
09/15/2029 | 4.875% | 664,000 | 617,550 | |
07/15/2030 | 5.250% | 2,592,000 | 2,425,825 | |
Minerva Merger Sub, Inc.(a) | ||||
02/15/2030 | 6.500% | 3,990,000 | 3,575,651 | |
NCR Atleos Escrow Corp.(a) | ||||
04/01/2029 | 9.500% | 3,431,000 | 3,644,490 | |
NCR Corp.(a) | ||||
10/01/2028 | 5.000% | 3,361,000 | 3,119,193 | |
04/15/2029 | 5.125% | 3,369,000 | 3,116,740 | |
10/01/2030 | 5.250% | 1,296,000 | 1,171,688 | |
Neptune Bidco US, Inc.(a) | ||||
04/15/2029 | 9.290% | 4,430,000 | 4,167,922 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 2,210,000 | 1,978,371 | |
01/15/2033 | 5.000% | 7,610,000 | 7,353,839 | |
Picard Midco, Inc.(a) | ||||
03/31/2029 | 6.500% | 5,565,000 | 5,182,862 | |
PTC, Inc.(a) | ||||
02/15/2025 | 3.625% | 349,000 | 340,491 | |
Seagate HDD Cayman(a) | ||||
12/15/2029 | 8.250% | 1,930,000 | 2,064,669 | |
Sensata Technologies BV(a) | ||||
09/01/2030 | 5.875% | 2,018,000 | 1,967,781 | |
Shift4 Payments LLC/Finance Sub, Inc.(a) | ||||
11/01/2026 | 4.625% | 5,103,000 | 4,918,081 | |
Synaptics, Inc.(a) | ||||
06/15/2029 | 4.000% | 2,951,000 | 2,643,567 | |
UKG, Inc.(a) | ||||
02/01/2031 | 6.875% | 4,210,000 | 4,253,932 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 4,004,000 | 4,012,553 | |
ZoomInfo Technologies LLC/Finance Corp.(a) | ||||
02/01/2029 | 3.875% | 5,157,000 | 4,618,726 | |
Total | 124,138,146 | |||
Transportation Services 0.2% | ||||
ERAC USA Finance LLC(a) | ||||
05/01/2028 | 4.600% | 13,488,000 | 13,246,887 |
Corporate Bonds & Notes(g) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wireless 0.9% | ||||
Altice France Holding SA(a) | ||||
02/15/2028 | 6.000% | 3,633,000 | 1,834,861 | |
Altice France SA(a) | ||||
07/15/2029 | 5.125% | 6,765,000 | 5,109,369 | |
10/15/2029 | 5.500% | 1,316,000 | 996,794 | |
Millicom International Cellular SA(a) | ||||
03/25/2029 | 6.250% | 2,700,000 | 2,617,482 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 460,000 | 434,356 | |
02/01/2029 | 3.125% | 5,224,000 | 4,625,205 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 3,098,000 | 3,301,959 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 831,000 | 833,502 | |
T-Mobile US, Inc. | ||||
02/15/2031 | 2.875% | 23,582,000 | 20,285,858 | |
04/15/2031 | 3.500% | 2,846,000 | 2,546,775 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 931,000 | 792,382 | |
07/15/2031 | 4.750% | 3,500,000 | 3,025,855 | |
Total | 46,404,398 | |||
Wirelines 0.8% | ||||
AT&T, Inc. | ||||
12/01/2033 | 2.550% | 4,297,000 | 3,388,359 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 1,941,000 | 1,799,259 | |
Frontier Communications Holdings LLC(a) | ||||
05/15/2030 | 8.750% | 822,000 | 838,287 | |
03/15/2031 | 8.625% | 2,232,000 | 2,260,696 | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 6,276,000 | 6,206,617 | |
10/15/2028 | 7.000% | 5,063,000 | 5,013,834 | |
Verizon Communications, Inc. | ||||
03/21/2031 | 2.550% | 26,416,000 | 22,254,624 | |
Total | 41,761,676 | |||
Total Corporate Bonds & Notes (Cost $2,048,126,691) | 1,967,952,216 | |||
Foreign Government Obligations(g),(k) 6.6% | ||||
Angola 0.2% | ||||
Angolan Government International Bond(a) | ||||
11/26/2029 | 8.000% | 10,040,000 | 8,931,908 | |
Argentina 0.0% | ||||
Argentine Republic Government International Bond | ||||
07/09/2029 | 1.000% | 9,405 | 4,352 |
Foreign Government Obligations(g),(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Argentine Republic Government International Bond(h) | ||||
07/09/2030 | 0.750% | 85,626 | 39,571 | |
07/09/2035 | 1.500% | 156,873 | 58,043 | |
Total | 101,966 | |||
Brazil 0.2% | ||||
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 2,024,000 | 1,812,946 | |
01/07/2041 | 5.625% | 11,000,000 | 9,874,123 | |
Total | 11,687,069 | |||
Canada 0.3% | ||||
MEGlobal Canada ULC(a) | ||||
05/18/2025 | 5.000% | 4,950,000 | 4,892,306 | |
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 3,264,000 | 3,024,308 | |
11/15/2028 | 8.500% | 880,000 | 930,294 | |
05/15/2029 | 4.250% | 2,216,000 | 1,835,535 | |
02/15/2030 | 9.000% | 3,575,000 | 3,587,645 | |
Total | 14,270,088 | |||
Chile 0.1% | ||||
Corporación Nacional del Cobre de Chile(a) | ||||
01/26/2036 | 6.440% | 5,176,000 | 5,269,694 | |
Colombia 0.2% | ||||
Colombia Government International Bond | ||||
06/15/2045 | 5.000% | 5,000,000 | 3,591,168 | |
05/15/2049 | 5.200% | 7,147,000 | 5,181,016 | |
Total | 8,772,184 | |||
Dominican Republic 0.4% | ||||
Dominican Republic International Bond(a) | ||||
01/25/2027 | 5.950% | 4,475,000 | 4,468,334 | |
01/30/2030 | 4.500% | 2,295,000 | 2,083,355 | |
09/23/2032 | 4.875% | 500,000 | 445,436 | |
04/30/2044 | 7.450% | 7,900,000 | 8,291,646 | |
01/27/2045 | 6.850% | 4,881,000 | 4,801,199 | |
Total | 20,089,970 | |||
Egypt 0.2% | ||||
Egypt Government International Bond(a) | ||||
04/16/2030 | 5.625% | EUR | 6,600,000 | 5,818,360 |
01/31/2047 | 8.500% | 5,700,000 | 4,418,929 | |
02/21/2048 | 7.903% | 3,000,000 | 2,245,845 | |
03/01/2049 | 8.700% | 965,000 | 760,600 | |
Total | 13,243,734 | |||
India 0.6% | ||||
Export-Import Bank of India(a) | ||||
01/15/2030 | 3.250% | 6,200,000 | 5,553,665 |
Foreign Government Obligations(g),(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
India Government Bond | ||||
02/06/2033 | 7.260% | INR | 1,972,730,000 | 24,047,783 |
Indian Railway Finance Corp., Ltd.(a) | ||||
02/10/2031 | 2.800% | 7,000,000 | 5,921,230 | |
Total | 35,522,678 | |||
Indonesia 0.7% | ||||
Indonesia Asahan Aluminium PT/Mineral Industri Persero(a) | ||||
05/15/2030 | 5.450% | 5,300,000 | 5,205,952 | |
Indonesia Government International Bond | ||||
07/28/2031 | 2.150% | 4,400,000 | 3,599,802 | |
Indonesia Treasury Bond | ||||
04/15/2027 | 5.125% | IDR | 227,007,000,000 | 13,967,850 |
04/15/2039 | 8.375% | IDR | 68,305,000,000 | 4,972,986 |
PT Pertamina Persero(a) | ||||
02/09/2031 | 2.300% | 6,300,000 | 5,201,788 | |
05/30/2044 | 6.450% | 5,000,000 | 5,230,890 | |
Total | 38,179,268 | |||
Ivory Coast 0.2% | ||||
Ivory Coast Government International Bond(a) | ||||
01/30/2032 | 4.875% | EUR | 9,275,000 | 8,396,910 |
06/15/2033 | 6.125% | 3,847,000 | 3,372,343 | |
Total | 11,769,253 | |||
Kazakhstan 0.1% | ||||
KazMunayGas National Co., JSC(a) | ||||
10/24/2048 | 6.375% | 4,000,000 | 3,663,065 | |
Malaysia 0.1% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 4,800,000 | 4,393,217 | |
Mexico 1.1% | ||||
Mexico Government International Bond | ||||
04/16/2030 | 3.250% | 4,000,000 | 3,538,132 | |
05/29/2031 | 7.750% | MXN | 446,370,000 | 24,235,283 |
05/07/2036 | 6.000% | 5,257,000 | 5,241,616 | |
08/14/2041 | 4.280% | 300,000 | 238,297 | |
Petroleos Mexicanos | ||||
03/13/2027 | 6.500% | 7,689,000 | 7,164,606 | |
02/12/2028 | 5.350% | 4,594,000 | 3,989,564 | |
01/28/2031 | 5.950% | 2,235,000 | 1,738,840 | |
02/16/2032 | 6.700% | 12,449,000 | 10,032,359 | |
09/21/2047 | 6.750% | 522,000 | 331,303 | |
01/23/2050 | 7.690% | 7,750,000 | 5,335,075 | |
Total | 61,845,075 | |||
Oman 0.1% | ||||
Oman Government International Bond(a) | ||||
01/17/2048 | 6.750% | 6,506,000 | 6,540,548 |
Foreign Government Obligations(g),(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oman Sovereign Sukuk Co.(a) | ||||
06/01/2024 | 4.397% | 500,000 | 496,868 | |
Total | 7,037,416 | |||
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/19/2033 | 3.298% | 6,779,000 | 5,116,729 | |
Paraguay 0.1% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 2,000,000 | 1,935,628 | |
08/11/2044 | 6.100% | 2,939,000 | 2,790,548 | |
Total | 4,726,176 | |||
Qatar 0.4% | ||||
Qatar Government International Bond(a) | ||||
04/16/2030 | 3.750% | 2,000,000 | 1,911,458 | |
03/14/2049 | 4.817% | 15,614,000 | 14,462,853 | |
Qatar Petroleum(a) | ||||
07/12/2031 | 2.250% | 6,077,000 | 5,053,010 | |
Total | 21,427,321 | |||
Romania 0.2% | ||||
Romanian Government International Bond(a) | ||||
01/28/2050 | 3.375% | EUR | 12,000,000 | 8,753,356 |
02/14/2051 | 4.000% | 2,246,000 | 1,553,738 | |
Total | 10,307,094 | |||
Saudi Arabia 0.4% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 15,163,000 | 12,693,538 | |
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 3,000,000 | 2,692,578 | |
04/17/2049 | 5.000% | 5,000,000 | 4,442,016 | |
Total | 19,828,132 | |||
South Africa 0.2% | ||||
Republic of South Africa Government Bond | ||||
01/31/2030 | 8.000% | ZAR | 219,595,663 | 10,386,472 |
South Korea 0.4% | ||||
Korea Treasury Bond | ||||
03/10/2028 | 3.250% | KRW | 31,900,000,000 | 24,146,692 |
United Arab Emirates 0.3% | ||||
DP World Crescent Ltd.(a) | ||||
07/18/2029 | 3.875% | 5,600,000 | 5,235,126 | |
DP World Ltd.(a) | ||||
09/25/2048 | 5.625% | 6,091,000 | 5,698,661 |
Foreign Government Obligations(g),(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DP World PLC(a) | ||||
07/02/2037 | 6.850% | 3,650,000 | 3,945,726 | |
09/30/2049 | 4.700% | 2,000,000 | 1,627,042 | |
Total | 16,506,555 | |||
Total Foreign Government Obligations (Cost $383,279,006) | 357,221,756 | |||
Inflation-Indexed Bonds 0.2% | ||||
United States 0.2% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
10/15/2028 | 2.375% | 12,618,648 | 12,916,655 | |
Total Inflation-Indexed Bonds (Cost $12,959,795) | 12,916,655 | |||
Residential Mortgage-Backed Securities - Agency 32.2% | ||||
Federal Home Loan Mortgage Corp. | ||||
05/01/2052 | 3.000% | 59,007,959 | 50,949,478 | |
08/01/2052 | 4.000% | 27,324,639 | 25,463,830 | |
06/01/2053- 10/01/2053 | 5.000% | 141,728,834 | 137,990,161 | |
07/01/2053- 12/01/2053 | 5.500% | 88,077,253 | 87,556,531 | |
12/01/2053 | 6.000% | 42,355,401 | 43,079,528 | |
Federal Home Loan Mortgage Corp.(l) | ||||
12/01/2052 | 5.000% | 47,036,790 | 46,635,807 | |
Federal Home Loan Mortgage Corp.(m) | ||||
CMO Series 304 Class C69 | ||||
12/15/2042 | 4.000% | 2,199,033 | 420,621 | |
CMO Series 4147 Class CI | ||||
01/15/2041 | 3.500% | 1,191,975 | 32,255 | |
Federal Home Loan Mortgage Corp.(b),(m) | ||||
CMO Series 318 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 11/15/2043 | 0.511% | 4,222,092 | 374,917 | |
CMO Series 4620 Class AS | ||||
-1.0 x 30-day Average SOFR + 0.554% 11/15/2042 | 0.000% | 7,348,566 | 473,151 | |
CMO Series 4903 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 08/25/2049 | 0.614% | 23,177,916 | 2,320,135 | |
CMO STRIPS Series 326 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 03/15/2044 | 0.561% | 745,222 | 66,328 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(e),(m) | ||||
CMO Series 4515 Class SA | ||||
08/15/2038 | 0.009% | 3,205,834 | 138,304 | |
Federal Home Loan Mortgage Corp. REMICS(m) | ||||
CMO Series 5051 Class KI | ||||
12/25/2050 | 2.500% | 35,378,957 | 5,542,383 | |
CMO Series 5192 Class PI | ||||
10/25/2051 | 2.500% | 58,511,454 | 7,146,185 | |
CMO Series 5198 Class KI | ||||
02/25/2052 | 3.000% | 40,491,673 | 7,566,541 | |
Federal National Mortgage Association | ||||
08/01/2032- 04/01/2052 | 3.000% | 88,730,450 | 76,948,836 | |
04/01/2052 | 2.500% | 15,294,304 | 12,601,502 | |
05/01/2052- 09/01/2052 | 3.500% | 230,608,950 | 207,588,410 | |
07/01/2052 | 4.500% | 52,472,717 | 49,694,447 | |
10/01/2053 | 5.000% | 40,440,011 | 39,249,289 | |
10/01/2053 | 5.500% | 36,766,403 | 36,724,919 | |
Federal National Mortgage Association(e),(m) | ||||
CMO Series 2006-5 Class N1 | ||||
08/25/2034 | 0.000% | 2,490,410 | 25 | |
Federal National Mortgage Association(m) | ||||
CMO Series 2012-129 Class IC | ||||
01/25/2041 | 3.500% | 714,201 | 26,496 | |
CMO Series 2012-131 Class MI | ||||
01/25/2040 | 3.500% | 857,765 | 25,248 | |
CMO Series 2012-133 Class EI | ||||
07/25/2031 | 3.500% | 71,878 | 265 | |
CMO Series 2013-1 Class AI | ||||
02/25/2043 | 3.500% | 1,545,445 | 224,288 | |
Federal National Mortgage Association(b),(m) | ||||
CMO Series 2013-101 Class CS | ||||
-1.0 x 30-day Average SOFR + 5.786% Cap 5.900% 10/25/2043 | 0.464% | 5,931,256 | 528,012 | |
CMO Series 2014-93 Class ES | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 01/25/2045 | 0.714% | 9,982,924 | 1,154,635 | |
CMO Series 2016-26 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 05/25/2046 | 0.614% | 9,201,748 | 882,507 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-31 Class VS | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 06/25/2046 | 0.564% | 5,808,521 | 618,488 | |
CMO Series 2016-42 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 07/25/2046 | 0.564% | 20,911,288 | 2,430,479 | |
CMO Series 2017-47 Class SE | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 06/25/2047 | 0.664% | 6,611,772 | 956,204 | |
CMO Series 2017-56 Class SB | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 07/25/2047 | 0.714% | 22,525,734 | 2,917,486 | |
CMO Series 2018-76 Class SN | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 10/25/2048 | 0.714% | 7,340,646 | 885,175 | |
CMO Series 2019-67 Class SE | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 11/25/2049 | 0.614% | 20,441,275 | 2,724,421 | |
CMO Series 2019-8 Class SG | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 03/25/2049 | 0.564% | 20,932,433 | 1,837,560 | |
Federal National Mortgage Association REMICS(m) | ||||
CMO Series 2020-77 Class IL | ||||
11/25/2050 | 2.500% | 33,659,728 | 4,768,516 | |
Federal National Mortgage Association REMICS(b),(m) | ||||
CMO Series 2023-61 Class GS | ||||
-1.0 x 30-day Average SOFR + 5.700% Cap 5.700% 12/25/2053 | 0.378% | 160,075,660 | 7,467,978 | |
Freddie Mac REMICS(m) | ||||
CMO Series 5287 Class NI | ||||
05/25/2051 | 3.500% | 38,878,679 | 7,289,173 | |
Government National Mortgage Association | ||||
08/15/2031 | 7.000% | 11,983 | 12,124 | |
04/15/2034 | 5.000% | 75,211 | 75,243 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(m) | ||||
CMO Series 2014-190 Class AI | ||||
12/20/2038 | 3.500% | 6,289,327 | 445,776 | |
CMO Series 2020-138 Class GI | ||||
09/20/2050 | 3.000% | 33,796,836 | 5,385,103 | |
CMO Series 2020-191 Class UG | ||||
12/20/2050 | 3.500% | 38,905,594 | 6,791,785 | |
CMO Series 2021-140 Class IW | ||||
08/20/2051 | 3.500% | 46,074,835 | 8,432,755 | |
CMO Series 2021-57 Class KI | ||||
03/20/2051 | 3.500% | 42,929,331 | 6,884,263 | |
CMO Series 2021-89 Class IO | ||||
05/20/2051 | 3.000% | 48,780,127 | 7,815,913 | |
Government National Mortgage Association(b),(m) | ||||
CMO Series 2016-20 Class SQ | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 02/20/2046 | 0.666% | 9,154,578 | 880,215 | |
CMO Series 2017-129 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 08/20/2047 | 0.766% | 7,408,345 | 732,713 | |
CMO Series 2017-133 Class SM | ||||
-1.0 x 1-month Term SOFR + 6.136% Cap 6.250% 09/20/2047 | 0.816% | 8,273,958 | 773,685 | |
CMO Series 2017-141 Class ES | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 09/20/2047 | 0.766% | 11,024,133 | 1,263,907 | |
CMO Series 2018-124 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 09/20/2048 | 0.766% | 13,044,246 | 1,220,318 | |
CMO Series 2018-147 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 10/20/2048 | 0.716% | 24,992,321 | 2,594,870 | |
CMO Series 2018-155 Class ES | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 11/20/2048 | 0.666% | 10,469,410 | 923,154 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-168 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 12/20/2048 | 0.666% | 9,092,952 | 990,648 | |
CMO Series 2018-67 Class SP | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 05/20/2048 | 0.766% | 8,011,797 | 749,273 | |
CMO Series 2019-152 Class BS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.616% | 21,153,179 | 1,974,167 | |
CMO Series 2019-23 Class LS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 02/20/2049 | 0.616% | 6,149,422 | 597,465 | |
CMO Series 2019-23 Class QS | ||||
-1.0 x 1-month Term SOFR + 6.164% Cap 6.050% 02/20/2049 | 0.616% | 17,624,673 | 1,709,694 | |
CMO Series 2019-29 Class DS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 03/20/2049 | 0.616% | 14,763,172 | 1,136,679 | |
CMO Series 2019-41 Class AS | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 03/20/2049 | 0.616% | 14,425,508 | 1,396,685 | |
CMO Series 2019-5 Class SH | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 01/20/2049 | 0.716% | 9,798,847 | 959,503 | |
CMO Series 2019-59 Class JS | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 05/20/2049 | 0.716% | 9,529,904 | 909,450 | |
CMO Series 2020-101 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.766% | 56,230,198 | 6,296,517 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-61 Class SM | ||||
-1.0 x 1-month Term SOFR + 6.486% Cap 6.600% 07/20/2043 | 1.166% | 37,922,149 | 4,976,865 | |
CMO Series 2020-61 Class SW | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 08/20/2049 | 0.616% | 43,034,383 | 4,216,242 | |
CMO Series 2021-155 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.866% | 45,084,321 | 5,514,601 | |
CMO Series 2022-148 Class BS | ||||
-1.0 x 30-day Average SOFR + 5.950% Cap 5.950% 08/20/2052 | 0.626% | 27,802,057 | 2,487,522 | |
CMO Series 2022-215 Class ES | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.616% | 72,589,631 | 7,356,015 | |
CMO Series 2022-90 Class SD | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2050 | 0.616% | 41,924,887 | 4,838,308 | |
CMO Series 2022-90 Class SM | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 07/20/2050 | 0.716% | 66,690,438 | 7,227,083 | |
CMO Series 2023-17 Class SY | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 05/20/2050 | 0.616% | 65,491,262 | 6,520,395 | |
CMO Series 2023-32 Class SD | ||||
-1.0 x 30-day Average SOFR + 5.750% Cap 5.750% 02/20/2053 | 0.426% | 81,768,158 | 5,755,767 | |
CMO Series 2023-66 Class SK | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.766% | 73,893,982 | 7,851,812 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-75 Class SB | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 06/20/2050 | 0.616% | 80,615,751 | 8,483,591 | |
Government National Mortgage Association(b),(c),(d),(m) | ||||
CMO Series 2024-30 Class SN | ||||
30-day Average SOFR + 6.950% Cap 6.950% 02/20/2054 | 1.612% | 121,330,000 | 12,569,030 | |
Government National Mortgage Association TBA(j) | ||||
03/20/2054 | 3.000% | 32,000,000 | 28,051,942 | |
Uniform Mortgage-Backed Security TBA(j) | ||||
03/18/2039- 03/13/2054 | 3.000% | 59,000,000 | 51,811,738 | |
03/13/2054 | 4.000% | 175,000,000 | 160,995,648 | |
03/13/2054 | 4.500% | 148,000,000 | 140,086,079 | |
03/13/2054 | 5.000% | 62,000,000 | 60,120,657 | |
03/13/2054 | 5.500% | 132,000,000 | 130,570,808 | |
03/13/2054 | 6.000% | 152,000,000 | 152,633,959 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,819,444,338) | 1,736,320,481 | |||
Residential Mortgage-Backed Securities - Non-Agency 11.5% | ||||
510 Asset Backed Trust(a),(e) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 11,616,441 | 11,156,545 | |
BRAVO Residential Funding Trust(a),(e) | ||||
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 1.991% | 8,657,870 | 8,524,264 | |
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 12,174,429 | 11,932,815 | |
BVRT Financing Trust(a),(b),(d) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 16,947,104 | 16,947,104 | |
CMO Series 2021-CRT1 Class M4 | ||||
30-day Average SOFR + 3.614% Floor 3.500% 07/10/2032 | 8.927% | 30,077,062 | 28,939,247 | |
CAFL Issuer LLC(a),(e) | ||||
CMO Series 2021-RTL1 Class A1 | ||||
03/28/2029 | 2.239% | 9,360,000 | 8,883,868 | |
CIM Trust(a),(e) | ||||
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 8,686,181 | 8,441,148 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup Mortgage Loan Trust, Inc.(a),(e) | ||||
CMO Series 2010-6 Class 2A2 | ||||
09/25/2035 | 5.979% | 104,257 | 102,796 | |
Citigroup Mortgage Loan Trust, Inc.(a) | ||||
Subordinated CMO Series 2014-C Class B1 | ||||
02/25/2054 | 4.250% | 1,564,611 | 1,524,259 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-HRP1 Class M2 | ||||
30-day Average SOFR + 2.264% 11/25/2039 | 7.586% | 4,013,773 | 4,047,126 | |
Subordinated CMO Series 2022-R07 Class 1B2 | ||||
30-day Average SOFR + 12.000% 06/25/2042 | 17.322% | 11,850,000 | 14,231,029 | |
CSMC Trust(a),(e) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.531% | 6,618,965 | 6,950,302 | |
CTS Corp.(a) | ||||
CMO Series 2015-6R Class 3A2 | ||||
02/27/2036 | 3.750% | 1,432,166 | 1,388,848 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 10/25/2033 | 8.021% | 5,872,366 | 5,888,748 | |
Subordinated CMO Series 2020-1 Class M1B | ||||
1-month Term SOFR + 1.564% 01/25/2030 | 6.885% | 776,047 | 775,948 | |
Fannie Mae Connecticut Avenue Securities(a),(b) | ||||
Subordinated CMO Series 2021-R02 Class 2B1 | ||||
30-day Average SOFR + 3.300% 11/25/2041 | 8.622% | 9,800,000 | 10,080,193 | |
Freddie Mac STACR(b) | ||||
CMO Series 2020-CS02 Class M4 | ||||
30-day Average SOFR + 0.000% 06/25/2033 | 4.617% | 8,440,720 | 8,116,361 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 7.572% | 8,464,696 | 8,620,577 | |
CMO Series 2022-HQA1 Class M2 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 10.572% | 17,250,000 | 18,512,446 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-DNA4 Class B1 | ||||
30-day Average SOFR + 6.114% 08/25/2050 | 11.436% | 15,028,789 | 17,021,360 | |
Subordinated CMO Series 2020-DNA6 Class B1 | ||||
30-day Average SOFR + 3.000% 12/25/2050 | 8.322% | 15,400,000 | 16,382,335 | |
Subordinated CMO Series 2021-DNA1 Class B1 | ||||
30-day Average SOFR + 2.650% 01/25/2051 | 7.972% | 10,400,000 | 10,826,520 | |
Subordinated CMO Series 2021-DNA5 Class B1 | ||||
30-day Average SOFR + 3.050% 01/25/2034 | 8.372% | 15,700,000 | 16,529,579 | |
Subordinated CMO Series 2021-HQA1 Class B2 | ||||
30-day Average SOFR + 5.000% 08/25/2033 | 10.322% | 21,450,000 | 22,655,018 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2019-CS03 Class M2 | ||||
30-day Average SOFR + 0.114% 10/25/2032 | 5.436% | 3,366,498 | 3,350,550 | |
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 7.922% | 8,665,539 | 8,841,979 | |
Home Re Ltd.(a),(b) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month Term SOFR + 3.114% 10/25/2028 | 8.435% | 2,959,351 | 2,976,850 | |
LHOME Mortgage Trust(a),(e) | ||||
CMO Series 2024-RTL1 Class A1 | ||||
01/25/2029 | 7.017% | 14,150,000 | 14,145,636 | |
New York Mortgage Trust(a),(e) | ||||
CMO Series 2021-BPL1 Class A1 | ||||
05/25/2026 | 2.239% | 8,833,723 | 8,717,996 | |
NRZ Excess Spread-Collateralized Notes(a) | ||||
Series 2020-PLS1 Class A | ||||
12/25/2025 | 3.844% | 4,696,559 | 4,495,552 | |
NYMT Loan Trust(a),(e) | ||||
CMO Series 2024-BPL1 Class A1 | ||||
02/25/2029 | 7.154% | 15,200,000 | 15,118,332 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1B | ||||
30-day Average SOFR + 2.064% Floor 1.950% 07/25/2029 | 7.386% | 2,517,358 | 2,522,952 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 8.322% | 9,800,000 | 9,981,835 | |
OBX Trust(a),(e) | ||||
CMO Series 2024-NQM3 Class A1 | ||||
12/25/2063 | 6.129% | 13,000,000 | 12,984,780 | |
OSAT Trust(a),(e) | ||||
CMO Series 2021-RPL1 Class A2 | ||||
05/25/2065 | 3.967% | 6,734,000 | 6,306,221 | |
PMT Credit Risk Transfer Trust(a),(b) | ||||
Series 2019-2R Class A | ||||
1-month Term SOFR + 3.864% Floor 3.750% 05/30/2025 | 9.193% | 4,724,727 | 4,730,209 | |
PNMAC GMSR Issuer Trust(a),(b) | ||||
CMO Series 2018-GT2 Class A | ||||
1-month Term SOFR + 2.764% 08/25/2025 | 8.085% | 37,203,846 | 37,381,524 | |
Point Securitization Trust(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 17,500,482 | 16,451,499 | |
Preston Ridge Partners Mortgage(a),(e) | ||||
CMO Series 2021-4 Class A1 | ||||
04/25/2026 | 1.867% | 11,794,659 | 11,482,272 | |
Preston Ridge Partners Mortgage Trust(a),(e) | ||||
CMO Series 2021-2 Class A1 | ||||
03/25/2026 | 2.115% | 8,811,424 | 8,628,591 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 8,587,086 | 8,287,419 | |
CMO Series 2023-RCF1 Class M1 | ||||
06/25/2053 | 4.000% | 11,431,000 | 10,283,893 | |
PRET LLC(a),(e) | ||||
CMO Series 2024-NPL1 Class A1 | ||||
01/25/2054 | 7.143% | 19,198,782 | 19,031,628 | |
Pretium Mortgage Credit Partners(a),(e) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 13,743,303 | 13,585,129 | |
Pretium Mortgage Credit Partners I LLC(a),(e) | ||||
CMO Series 2021-NPL1 Class A1 | ||||
09/27/2060 | 2.240% | 5,545,871 | 5,449,072 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pretium Mortgage Credit Partners LLC(a),(e) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 8,072,767 | 7,730,962 | |
PRKCM Trust(a),(e) | ||||
CMO Series 2022-AFC1 Class A3 | ||||
04/25/2057 | 4.100% | 15,274,918 | 13,954,861 | |
PRPM LLC(a),(e) | ||||
CMO Series 2021-7 Class A2 | ||||
08/25/2026 | 3.671% | 8,788,000 | 8,497,965 | |
Radnor Re Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M2 | ||||
30-day Average SOFR + 3.150% 12/27/2033 | 8.822% | 18,984,000 | 19,118,836 | |
Toorak Mortgage Corp., Ltd.(a),(e) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 3.240% | 9,467,423 | 9,375,441 | |
Triangle Re Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M2 | ||||
1-month Term SOFR + 5.614% Floor 5.500% 10/25/2033 | 10.935% | 10,750,000 | 11,324,670 | |
Unlock HEA Trust(a) | ||||
CMO Series 2023-1 Class A | ||||
10/25/2038 | 7.000% | 13,061,157 | 12,560,705 | |
VCAT Asset Securitization LLC(a),(e) | ||||
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 16,518,645 | 15,978,843 | |
VCAT LLC(a),(e) | ||||
CMO Series 2021-NPL5 Class A1 | ||||
08/25/2051 | 1.868% | 17,520,559 | 17,054,148 | |
Vericrest Opportunity Loan Transferee(a),(e) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 5,967,531 | 5,805,869 | |
Verus Securitization Trust(a),(e) | ||||
Subordinated CMO Series 2019-INV3 Class B1 | ||||
11/25/2059 | 3.731% | 7,300,000 | 6,297,146 | |
Visio Trust(a),(e) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 4,200,000 | 3,619,727 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 3,600,000 | 3,246,372 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $606,745,740) | 617,797,900 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Entertainment 0.0% | ||
Cineworld Group PLC(f) | 31,901 | 508,418 |
Total Communication Services | 508,418 | |
Total Rights (Cost $391,321) | 508,418 |
Senior Loans 9.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.1% | ||||
Dynasty Acquisition Co., Inc.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 4.000% 08/24/2028 | 9.326% | 1,101,257 | 1,103,393 | |
Tranche B2 Term Loan | ||||
1-month Term SOFR + 4.000% 08/24/2028 | 9.326% | 471,967 | 472,883 | |
TransDigm, Inc.(b),(n) | ||||
Tranche I Term Loan | ||||
3-month Term SOFR + 3.250% 08/24/2028 | 8.598% | 3,021,863 | 3,026,698 | |
Total | 4,602,974 | |||
Airlines 0.1% | ||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 04/20/2028 | 10.329% | 2,711,314 | 2,787,149 | |
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(l),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% 06/04/2029 | 8.869% | 1,512,937 | 1,511,364 | |
Air Canada(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.750% 08/11/2028 | 8.935% | 994,950 | 995,089 | |
United Airlines, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.750% 02/22/2031 | 8.076% | 760,917 | 759,966 | |
WestJet Airlines Ltd.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 1.000% 12/11/2026 | 8.426% | 136,910 | 136,632 | |
Total | 6,190,200 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Automotive 0.1% | ||||
American Axle & Manufacturing, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/13/2029 | 8.918% | 1,543,574 | 1,542,925 | |
Clarios Global LP(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.000% 05/06/2030 | 8.326% | 2,131,379 | 2,130,718 | |
First Brands Group LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 5.000% Floor 1.000% 03/30/2027 | 10.574% | 1,708,896 | 1,711,032 | |
1st Lien Term Loan | ||||
3-month Term SOFR + 5.000% Floor 1.000% 03/30/2027 | 10.574% | 1,122,974 | 1,123,907 | |
Total | 6,508,582 | |||
Brokerage/Asset Managers/Exchanges 0.3% | ||||
AlixPartners LLP(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 02/04/2028 | 7.941% | 2,203,812 | 2,203,261 | |
Allspring Buyer LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 11/01/2028 | 8.887% | 1,307,359 | 1,304,300 | |
Aretec Group, Inc.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 4.500% 08/09/2030 | 9.926% | 1,912,254 | 1,918,718 | |
Citadel Securities LP(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.250% 07/29/2030 | 7.576% | 3,346,440 | 3,342,257 | |
Hightower Holding LLC (b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% Floor 0.750% 04/21/2028 | 9.586% | 2,243,639 | 2,240,834 | |
Russell Investments US Institutional Holdco, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 1.000% 05/30/2025 | 8.926% | 1,427,861 | 1,378,600 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
VFH Parent LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 01/13/2029 | 8.426% | 2,695,509 | 2,691,466 | |
Total | 15,079,436 | |||
Building Materials 0.4% | ||||
Cornerstone Building Brands, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 04/12/2028 | 8.668% | 1,381,648 | 1,362,264 | |
Covia Holdings LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% Floor 1.000% 07/31/2026 | 9.592% | 1,750,241 | 1,741,052 | |
CPG International LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 04/28/2029 | 7.926% | 746,222 | 745,058 | |
Foundation Building Materials(b),(l),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% 01/29/2031 | 9.313% | 330,989 | 330,575 | |
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 01/31/2028 | 8.663% | 1,000,000 | 994,840 | |
GYP Holdings III Corp. (b),(l),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.000% 05/12/2030 | 8.333% | 847,875 | 847,875 | |
Hunter Douglas Holding BV(b),(n) | ||||
Tranche B1 Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.500% 02/26/2029 | 8.824% | 2,668,410 | 2,633,401 | |
LBM Acquisition LLC(b),(l),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 12/17/2027 | 9.176% | 2,244,894 | 2,236,767 | |
Park River Holdings, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.750% 12/28/2027 | 8.843% | 1,250,748 | 1,214,914 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
QUIKRETE Holdings, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 2.625% 02/01/2027 | 8.066% | 2,165,425 | 2,164,407 | |
SRS Distribution, Inc.(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 06/02/2028 | 8.676% | 748,092 | 746,573 | |
SRS Distribution, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 06/02/2028 | 8.941% | 1,950,000 | 1,946,178 | |
Standard Building Solutions, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.250% Floor 0.500% 09/22/2028 | 7.685% | 1,992,003 | 1,990,509 | |
Summit Materials, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% 01/12/2029 | 7.852% | 1,000,000 | 1,002,080 | |
White Cap Supply Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 10/19/2027 | 9.076% | 2,339,878 | 2,341,680 | |
Total | 22,298,173 | |||
Cable and Satellite 0.2% | ||||
CSC Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% 01/18/2028 | 9.818% | 1,432,131 | 1,390,656 | |
DIRECTV Financing LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 5.000% Floor 0.750% 08/02/2027 | 10.441% | 1,052,205 | 1,050,690 | |
Iridium Satellite LLC(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.750% 09/20/2030 | 7.826% | 2,178,650 | 2,175,317 | |
Telesat Canada(b),(n) | ||||
Tranche B5 Term Loan | ||||
3-month Term SOFR + 2.750% 12/07/2026 | 8.355% | 2,179,765 | 1,290,595 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
UPC Financing Partnership(b),(l),(n) | ||||
Tranche AX Term Loan | ||||
1-month Term SOFR + 3.000% 01/31/2029 | 8.432% | 2,250,000 | 2,239,043 | |
Virgin Media Bristol LLC(b),(l),(n) | ||||
Tranche N Term Loan | ||||
1-month Term SOFR + 2.500% 01/31/2028 | 7.932% | 1,925,000 | 1,905,307 | |
Virgin Media Bristol LLC(b),(n) | ||||
Tranche Q Term Loan | ||||
1-month Term SOFR + 3.250% 01/31/2029 | 8.682% | 1,000,000 | 995,450 | |
Total | 11,047,058 | |||
Chemicals 0.4% | ||||
Ascend Performance Materials Operations LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 08/27/2026 | 10.317% | 1,159,890 | 1,125,453 | |
Axalta Coating Systems (b),(l),(n) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 12/20/2029 | 7.837% | 972,001 | 972,331 | |
Herens Holdco SARL(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.925% Floor 0.750% 07/03/2028 | 9.373% | 1,557,548 | 1,455,472 | |
Ineos Quattro Holdings UK Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.250% 04/02/2029 | 9.676% | 2,455,000 | 2,412,037 | |
Ineos US Finance LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 11/08/2027 | 9.176% | 1,670,035 | 1,667,112 | |
Term Loan | ||||
1-month Term SOFR + 3.500% 02/18/2030 | 8.926% | 649,082 | 642,728 | |
Ineos US Finance LLC(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 02/07/2031 | 9.076% | 150,000 | 149,738 | |
Innophos Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 02/05/2027 | 8.691% | 601,563 | 594,344 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Nouryon Finance BV(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% 04/03/2028 | 9.419% | 1,177,194 | 1,175,969 | |
1-month Term SOFR + 4.000% 04/03/2028 | 9.424% | 1,125,579 | 1,124,882 | |
Olympus Water US Holding Corp.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% 11/09/2028 | 9.360% | 1,750,000 | 1,746,833 | |
Tranche B4 Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 11/09/2028 | 9.566% | 775,404 | 776,373 | |
PMHC II, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 04/23/2029 | 9.723% | 1,117,752 | 1,090,568 | |
Sparta US Holdco LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.750% 08/02/2028 | 8.694% | 977,544 | 975,276 | |
Tronox Finance LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% 08/16/2028 | 8.848% | 478,290 | 477,693 | |
Windsor Holdings III LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.500% 08/01/2030 | 9.824% | 2,811,563 | 2,813,756 | |
WR Grace Holdings LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% Floor 0.500% 09/22/2028 | 9.360% | 1,243,655 | 1,241,789 | |
Total | 20,442,354 | |||
Construction Machinery 0.0% | ||||
Columbus McKinnon Corp.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 2.750% Floor 0.500% 05/14/2028 | 8.389% | 1,116,961 | 1,117,664 | |
Consumer Cyclical Services 0.6% | ||||
8th Avenue Food & Provisions, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 9.191% | 865,794 | 852,928 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Allied Universal Holdco LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 05/12/2028 | 9.176% | 2,377,816 | 2,366,806 | |
Amentum Government Services Holdings LLC(b),(n) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% 01/29/2027 | 9.441% | 949,021 | 948,233 | |
Tranche 3 1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 02/15/2029 | 9.320% | 1,637,908 | 1,637,221 | |
APX Group, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 07/10/2028 | 8.686% | 1,750,000 | 1,749,720 | |
Arches Buyer, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 8.676% | 2,959,293 | 2,829,824 | |
Argus Media Fleet US(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% 02/21/2031 | 8.566% | 370,061 | 369,599 | |
Cast & Crew LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 12/29/2028 | 9.076% | 1,371,869 | 1,371,869 | |
Conservice Midco LLC(b),(l),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% 05/13/2027 | 9.326% | 2,912,712 | 2,919,994 | |
Corporation Service Co.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 11/02/2029 | 8.076% | 2,103,772 | 2,102,467 | |
Cushman & Wakefield US Borrower LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 01/31/2030 | 8.676% | 1,000,000 | 987,920 | |
Cushman & Wakefield US Borrower LLC(b),(d),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/31/2030 | 9.326% | 806,923 | 804,906 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b),(n) | ||||
Tranche B6 Term Loan | ||||
1-month Term SOFR + 2.000% 11/09/2029 | 7.326% | 509,276 | 508,385 | |
Prime Security Services Borrower LLC(b),(l),(n) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month Term SOFR + 2.500% 10/13/2030 | 7.827% | 1,919,506 | 1,917,875 | |
Rosen Group(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.500% 02/24/2031 | 8.574% | 1,740,598 | 1,741,329 | |
Signal Parent, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.750% 04/03/2028 | 8.926% | 1,825,063 | 1,720,122 | |
Sotheby’s(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.500% Floor 0.500% 01/15/2027 | 10.076% | 2,340,813 | 2,317,990 | |
TruGreen LP(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.750% 11/02/2027 | 9.426% | 1,073,973 | 1,036,770 | |
Uber Technologies, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 2.750% 03/03/2030 | 8.135% | 2,743,458 | 2,749,329 | |
WaterBridge Midstream Operating LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 5.750% Floor 1.000% 06/22/2026 | 11.336% | 1,136,569 | 1,135,864 | |
WW International, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 04/13/2028 | 8.941% | 1,171,875 | 607,184 | |
Total | 32,676,335 | |||
Consumer Products 0.3% | ||||
Amer Sports Co.(b),(l),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.250% 02/17/2031 | 8.576% | 1,623,244 | 1,621,214 | |
Bombardier Recreational Products, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% 01/22/2031 | 8.076% | 494,894 | 494,122 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Bombardier Recreational Products, Inc.(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 12/13/2029 | 8.076% | 2,685,529 | 2,685,878 | |
Kronos Acquisition Holdings, Inc.(b),(n) | ||||
Tranche B1 Term Loan | ||||
3-month Term SOFR + 3.750% Floor 0.500% 12/22/2026 | 9.360% | 994,872 | 994,872 | |
Osmosis Buyer Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 07/31/2028 | 9.080% | 746,212 | 743,802 | |
Recess Holdings, Inc.(b),(l),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.500% Floor 1.000% 02/20/2030 | 9.843% | 1,272,164 | 1,272,164 | |
SRAM LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 05/18/2028 | 8.191% | 1,518,971 | 1,515,174 | |
SWF Holdings I Corp.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.750% 10/06/2028 | 9.441% | 1,541,438 | 1,393,552 | |
Thor Industries, Inc. (b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 2.750% 11/15/2030 | 8.071% | 945,647 | 945,647 | |
Topgolf Callaway Brands Corp.(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.100% 03/15/2030 | 8.926% | 2,374,023 | 2,373,786 | |
Weber-Stephen Products LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.750% 10/30/2027 | 8.691% | 2,399,755 | 2,170,075 | |
Total | 16,210,286 | |||
Diversified Manufacturing 0.4% | ||||
Barnes Group, Inc.(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 09/03/2030 | 8.426% | 1,944,423 | 1,945,395 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
DXP Enterprises, Inc.(b),(n) | ||||
Term Loan | ||||
6-month Term SOFR + 4.750% Floor 1.000% 10/11/2030 | 10.291% | 1,365,992 | 1,364,285 | |
EMRLD Borrower LP(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.500% 05/31/2030 | 7.833% | 814,860 | 812,619 | |
EMRLD Borrower LP(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.500% 05/31/2030 | 7.813% | 2,068,109 | 2,062,422 | |
Filtration Group Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 10/21/2028 | 8.941% | 612,287 | 612,018 | |
Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 10/21/2028 | 9.691% | 2,026,136 | 2,026,521 | |
Gates Global LLC(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.750% 03/31/2027 | 7.926% | 1,374,183 | 1,372,575 | |
Husky Injection Molding(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 5.000% 02/01/2029 | 10.335% | 1,212,239 | 1,201,026 | |
Madison IAQ LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 06/21/2028 | 8.685% | 2,642,703 | 2,631,154 | |
TK Elevator Midco GmbH(b),(n) | ||||
Tranche B1 Term Loan | ||||
6-month Term SOFR + 3.500% Floor 0.500% 07/30/2027 | 9.081% | 2,506,926 | 2,508,631 | |
Vertiv Group Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 2.500% 03/02/2027 | 7.944% | 1,431,911 | 1,433,213 | |
WEC US Holdings Ltd.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% 01/27/2031 | 8.076% | 2,613,477 | 2,603,258 | |
Total | 20,573,117 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 0.1% | ||||
Calpine Construction Finance Co. LP(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.250% 07/31/2030 | 7.576% | 728,838 | 725,763 | |
Calpine Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.000% 12/16/2027 | 7.326% | 717,949 | 716,513 | |
1-month Term SOFR + 2.000% 04/05/2031 | 7.338% | 1,350,000 | 1,340,023 | |
Carroll County Energy LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% 02/13/2026 | 8.948% | 379,404 | 372,575 | |
Constellation Renewables LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 2.500% Floor 1.000% 12/15/2027 | 8.105% | 2,609,840 | 2,595,981 | |
Generation Bridge Northeast LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.250% 08/22/2029 | 9.576% | 1,108,215 | 1,110,298 | |
Nautilus Power LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 5.250% Floor 2.000% 11/16/2026 | 10.860% | 474,876 | 400,934 | |
New Frontera Holdings LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 13.000% Floor 1.000% 07/28/2026 | 18.610% | 217,161 | 241,049 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 1.500% Floor 1.000% 07/28/2028 | 7.110% | 75,277 | 38,768 | |
Total | 7,541,904 | |||
Environmental 0.1% | ||||
Covanta Holdings Corp. (b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 11/30/2028 | 7.826% | 2,058,264 | 2,046,531 | |
Tranche C Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 11/30/2028 | 7.826% | 156,923 | 156,029 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
EnergySolutions LLC/Envirocare of Utah LLC (b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% Floor 0.500% 09/20/2030 | 9.313% | 1,351,164 | 1,354,542 | |
Total | 3,557,102 | |||
Finance Companies 0.0% | ||||
Avolon Borrower 1 LLC(b),(n) | ||||
Tranche B6 Term Loan | ||||
1-month Term SOFR + 2.000% Floor 0.500% 06/22/2028 | 7.320% | 736,571 | 736,218 | |
Food and Beverage 0.2% | ||||
Aramark Intermediate HoldCo Corp.(b),(n) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.500% 04/06/2028 | 7.941% | 1,500,000 | 1,497,195 | |
Tranche B6 Term Loan | ||||
1-month Term SOFR + 2.500% 06/22/2030 | 7.941% | 995,000 | 992,512 | |
Del Monte Foods, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 05/16/2029 | 9.676% | 1,699,797 | 1,531,636 | |
Primary Products Finance LLC(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.500% 04/01/2029 | 8.790% | 1,989,596 | 1,994,350 | |
Triton Water Holdings, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 03/31/2028 | 8.860% | 2,098,000 | 2,059,103 | |
Utz Quality Foods LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.000% 01/20/2028 | 8.441% | 810,931 | 810,534 | |
Total | 8,885,330 | |||
Gaming 0.5% | ||||
Caesars Entertainment, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 02/06/2030 | 8.663% | 2,476,178 | 2,476,524 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Tranche B1 Term Loan | ||||
3-month Term SOFR + 2.750% Floor 0.500% 02/06/2031 | 8.040% | 847,368 | 845,606 | |
Entain PLC(b),(l),(n) | ||||
Tranche B2 Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.500% 10/31/2029 | 8.948% | 2,761,960 | 2,765,412 | |
Fertitta Entertainment LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 01/27/2029 | 9.326% | 2,870,365 | 2,871,456 | |
Flutter Entertainment PLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.250% 07/22/2028 | 8.863% | 175,870 | 176,065 | |
3-month Term SOFR + 2.250% Floor 0.500% 11/25/2030 | 7.698% | 3,812,548 | 3,792,685 | |
HRNI Holdings LLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 12/11/2028 | 9.748% | 2,968,061 | 2,904,989 | |
Light and Wonder International, Inc.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 2.750% 04/14/2029 | 8.070% | 1,318,468 | 1,317,914 | |
Ontario Gaming GTA LP(b),(l),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 08/01/2030 | 9.598% | 1,650,078 | 1,647,867 | |
PCI Gaming Authority(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.500% 05/29/2026 | 7.941% | 1,188,266 | 1,187,767 | |
Penn Entertainment, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 05/03/2029 | 8.176% | 2,144,949 | 2,133,453 | |
Scientific Games Holdings LP(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 04/04/2029 | 8.580% | 2,965,593 | 2,958,179 | |
Total | 25,077,917 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Health Care 0.5% | ||||
Catalent Pharma Solutions, Inc.(b),(n) | ||||
Tranche B4 Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 02/22/2028 | 8.320% | 1,988,642 | 1,993,614 | |
CHG Healthcare Services, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 09/29/2028 | 8.691% | 763,216 | 761,407 | |
Element Materials Technology Group US Holdings, Inc./EM Midco 2 LLC(b),(n) | ||||
Tranche B 1st Lien Delayed Draw Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 07/06/2029 | 9.698% | 535,865 | 528,497 | |
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 07/06/2029 | 9.698% | 1,161,042 | 1,145,077 | |
ICON PLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 2.250% Floor 0.500% 07/03/2028 | 7.860% | 1,144,621 | 1,145,983 | |
3-month Term SOFR + 2.250% Cap 0.500% 07/03/2028 | 7.860% | 285,183 | 285,522 | |
Medline Borrower LP(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 10/23/2028 | 8.441% | 5,123,177 | 5,123,433 | |
Parexel(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 11/15/2028 | 8.691% | 2,250,000 | 2,247,188 | |
Pluto Acquisition I, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 5.500% 06/20/2028 | 5.500% | 512,904 | 511,622 | |
3-month Term SOFR + 4.000% 09/20/2028 | 9.316% | 1,911,853 | 1,577,279 | |
Select Medical Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.000% 03/06/2027 | 8.326% | 2,405,513 | 2,401,015 | |
Star Parent, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% 09/27/2030 | 9.348% | 1,542,297 | 1,522,062 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Surgery Center Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% 12/19/2030 | 8.820% | 2,822,336 | 2,825,468 | |
Upstream Newco, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% 11/20/2026 | 9.824% | 2,487,264 | 2,332,706 | |
Total | 24,400,873 | |||
Independent Energy 0.1% | ||||
Hamilton Projects Acquiror LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% Floor 1.000% 06/17/2027 | 9.941% | 2,089,709 | 2,089,375 | |
Parkway Generation LLC(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 02/18/2029 | 10.324% | 2,332,121 | 2,312,882 | |
Tranche C Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 02/18/2029 | 10.324% | 309,020 | 306,470 | |
Total | 4,708,727 | |||
Leisure 0.4% | ||||
Alterra Mountain Co.(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 08/17/2028 | 8.941% | 2,620,649 | 2,620,649 | |
Tranche B3 Term Loan | ||||
1-month Term SOFR + 3.750% 05/31/2030 | 9.176% | 428,155 | 428,155 | |
Carnival Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.750% 08/09/2027 | 8.318% | 1,603,465 | 1,603,802 | |
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.750% 10/18/2028 | 8.691% | 2,355,450 | 2,357,664 | |
Cinemark USA, Inc.(b),(l),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% Floor 0.500% 05/24/2030 | 9.098% | 2,891,364 | 2,891,972 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Crown Finance US, Inc.(b),(n) | ||||
Term Loan | ||||
6-month Term SOFR + 8.500% 07/31/2028 | 14.381% | 794,893 | 803,668 | |
Formula One Management Ltd.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 2.250% Floor 0.500% 01/15/2030 | 7.598% | 2,909,923 | 2,905,558 | |
Life Time, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.500% 01/15/2026 | 9.824% | 1,170,727 | 1,175,609 | |
Merlin Entertainment(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 11/12/2029 | 8.832% | 1,115,413 | 1,111,230 | |
NAI Entertainment Holdings LLC(b),(i),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.000% Floor 1.000% 05/08/2025 | 8.434% | 1,574,566 | 1,562,269 | |
UFC Holdings LLC(b),(n) | ||||
Tranche B3 1st Lien Term Loan | ||||
3-month Term SOFR + 2.750% Floor 0.750% 04/29/2026 | 8.336% | 3,117,984 | 3,119,449 | |
William Morris Endeavor Entertainment LLC/IMG Worldwide Holdings LLC(b),(n) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month Term SOFR + 2.750% 05/18/2025 | 8.191% | 1,300,502 | 1,298,408 | |
Total | 21,878,433 | |||
Lodging 0.1% | ||||
Hilton Grand Vacations Borrower LLC(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 08/02/2028 | 8.191% | 2,961,294 | 2,957,592 | |
Playa Resorts Holding BV(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 01/05/2029 | 8.570% | 2,414,387 | 2,412,504 | |
Travel + Leisure Co.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/14/2029 | 8.670% | 1,574,006 | 1,574,399 | |
Total | 6,944,495 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Media and Entertainment 0.6% | ||||
AppLovin Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.100% Floor 0.500% 10/25/2028 | 8.426% | 2,342,112 | 2,342,838 | |
Cengage Learning, Inc.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.750% Floor 1.000% 07/14/2026 | 10.326% | 2,938,355 | 2,936,533 | |
Clear Channel Outdoor Holdings, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.500% 08/21/2026 | 9.074% | 94,915 | 94,335 | |
CMG Media Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 3.500% 12/17/2026 | 8.948% | 1,063,209 | 889,108 | |
Creative Artists Agency LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 11/27/2028 | 8.826% | 2,914,917 | 2,915,733 | |
Cumulus Media New Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 03/31/2026 | 9.191% | 1,418,469 | 1,026,617 | |
Dotdash Meredith, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 12/01/2028 | 9.428% | 1,359,626 | 1,346,030 | |
E.W. Scripps Co. (The)(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 2.563% 05/01/2026 | 8.003% | 2,897,898 | 2,865,296 | |
Emerald X, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 5.000% 05/22/2026 | 10.426% | 1,304,622 | 1,308,862 | |
Gray Television, Inc.(b),(n) | ||||
Tranche E Term Loan | ||||
1-month Term SOFR + 2.500% 01/02/2026 | 7.943% | 1,701,415 | 1,683,874 | |
iHeartCommunications, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 05/01/2026 | 8.441% | 1,108,872 | 974,421 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Lions Gate Capital Holdings LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.250% 03/24/2025 | 7.676% | 1,451,920 | 1,448,900 | |
Nielsen Consumer, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 03/06/2028 | 9.076% | 1,965,820 | 1,899,473 | |
Playtika Holding Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 2.750% 03/13/2028 | 8.191% | 3,579,891 | 3,568,543 | |
Pug LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 02/12/2027 | 8.941% | 1,101,156 | 1,079,914 | |
Sinclair Television Group, Inc.(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 3.000% 04/01/2028 | 8.441% | 1,221,639 | 1,019,764 | |
Univision Communications, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.750% 03/15/2026 | 8.691% | 975,000 | 973,479 | |
1-month Term SOFR + 3.250% Floor 0.750% 01/31/2029 | 8.691% | 1,978,125 | 1,969,481 | |
3-month Term SOFR + 4.250% Floor 0.500% 06/24/2029 | 9.598% | 197,000 | 197,000 | |
Total | 30,540,201 | |||
Midstream 0.2% | ||||
AL GCX Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 05/17/2029 | 8.572% | 1,114,478 | 1,113,787 | |
CQP Holdco LP(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.000% Floor 0.500% 12/31/2030 | 8.348% | 3,307,527 | 3,304,649 | |
GIP III Stetson I LP/II(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.250% 10/31/2028 | 9.676% | 1,248,206 | 1,251,327 | |
ITT Holdings LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 10/11/2030 | 8.676% | 1,891,374 | 1,886,645 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Oryx Midstream Services Permian Basin LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 10/05/2028 | 8.437% | 2,010,522 | 2,007,587 | |
Traverse Midstream Partners LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% 02/16/2028 | 8.817% | 1,674,101 | 1,673,682 | |
Whitewater DBR(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.750% 02/17/2031 | 8.076% | 1,456,327 | 1,454,507 | |
Total | 12,692,184 | |||
Oil Field Services 0.0% | ||||
ChampionX Corp.(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 06/07/2029 | 8.176% | 997,500 | 999,246 | |
Lealand Finance Co. BV(b),(d),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 06/28/2024 | 8.441% | 8,649 | 4,324 | |
Lealand Finance Co. BV(b),(i),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 1.000% 06/30/2025 | 6.441% | 119,776 | 46,513 | |
MRC Global US, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 09/20/2024 | 8.447% | 1,017,223 | 1,015,107 | |
Total | 2,065,190 | |||
Other Financial Institutions 0.2% | ||||
19th Holdings Golf LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 02/07/2029 | 8.674% | 1,096,212 | 1,071,087 | |
Citco Funding LLC(b),(n) | ||||
Tranche B Term Loan | ||||
6-month Term SOFR + 3.250% Floor 0.500% 04/27/2028 | 8.422% | 822,507 | 822,852 | |
FinCo I LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.000% 06/27/2029 | 8.313% | 938,757 | 938,288 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Freeport LNG Investments LLLP(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.500% 12/21/2028 | 9.079% | 2,948,757 | 2,919,741 | |
GIP Pilot Acquisition Partners LP(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.000% 10/04/2030 | 8.327% | 2,521,472 | 2,519,379 | |
IGT Holding IV AB/IFS(b),(l),(n) | ||||
Tranche B2 Term Loan | ||||
3-month Term SOFR + 3.400% Floor 0.500% 03/31/2028 | 8.972% | 2,810,422 | 2,812,192 | |
Trans Union LLC(b),(n) | ||||
Tranche B7 Term Loan | ||||
1-month Term SOFR + 2.000% Floor 0.500% 12/01/2028 | 7.326% | 923,517 | 922,197 | |
Total | 12,005,736 | |||
Other Industry 0.1% | ||||
Artera Services LLC(b),(n) | ||||
Tranche C 1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% 02/15/2031 | 9.814% | 302,069 | 302,825 | |
Hillman Group, Inc. (The)(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 07/14/2028 | 8.191% | 1,586,187 | 1,583,633 | |
WireCo WorldGroup, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% 11/13/2028 | 9.068% | 1,145,835 | 1,144,402 | |
Total | 3,030,860 | |||
Packaging 0.2% | ||||
Charter Next Generation, Inc.(b),(l),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% 12/01/2027 | 8.817% | 3,637,368 | 3,634,858 | |
Clydesdale Acquisition Holdings, Inc.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.675% Floor 0.500% 04/13/2029 | 9.101% | 1,492,424 | 1,490,245 | |
1-month Term SOFR + 3.675% Floor 0.500% 04/13/2029 | 9.185% | 475,974 | 475,280 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Flint Group Packaging Inks North America Holdings LLC(b),(i),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 0.100% 12/30/2027 | 5.677% | 638,665 | 491,772 | |
Tranche B 2nd Lien Term Loan | ||||
3-month Term SOFR + 0.100% 12/30/2027 | 5.677% | 851,694 | 93,686 | |
Tranche B Term Loan | ||||
3-month Term SOFR + 4.250% 12/31/2026 | 9.827% | 1,271,429 | 1,174,482 | |
Mauser Packaging Solutions Holding Co.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 4.000% 08/14/2026 | 9.328% | 497,494 | 498,529 | |
Pactiv Evergreen, Inc.(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 09/24/2028 | 8.691% | 2,141,238 | 2,143,422 | |
Tosca Services LLC(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.750% 08/18/2027 | 9.074% | 970,000 | 806,720 | |
Total | 10,808,994 | |||
Pharmaceuticals 0.1% | ||||
Elanco Animal Health, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 1.750% 08/02/2027 | 7.178% | 1,128,175 | 1,113,204 | |
Jazz Pharmaceuticals PLC(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 05/05/2028 | 8.441% | 2,411,065 | 2,414,079 | |
Organon & Co.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 06/02/2028 | 8.432% | 1,439,164 | 1,440,071 | |
Sunshine Luxembourg VII SARL(b),(n) | ||||
Tranche B3 Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.750% 10/01/2026 | 8.948% | 3,097,909 | 3,100,913 | |
Total | 8,068,267 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Property & Casualty 0.2% | ||||
AssuredPartners, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 02/12/2027 | 9.076% | 778,802 | 779,191 | |
AssuredPartners, Inc.(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.500% 02/14/2031 | 8.823% | 1,250,000 | 1,249,225 | |
Asurion LLC(b),(n) | ||||
Tranche B8 Term Loan | ||||
1-month Term SOFR + 3.250% 12/23/2026 | 8.691% | 817,379 | 812,042 | |
Broadstreet Partners, Inc.(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% 01/27/2029 | 9.076% | 2,250,000 | 2,248,830 | |
Hub International Ltd.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.750% 06/20/2030 | 8.574% | 2,515,848 | 2,512,703 | |
Sedgwick Claims Management Services, Inc./Lightning Cayman Merger Sub Ltd.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% 02/24/2028 | 9.076% | 2,692,745 | 2,694,899 | |
USI, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.250% 09/27/2030 | 8.598% | 1,089,110 | 1,088,435 | |
Tranche B Term Loan | ||||
3-month Term SOFR + 3.000% 11/22/2029 | 8.348% | 1,681,924 | 1,679,822 | |
Total | 13,065,147 | |||
Restaurants 0.2% | ||||
1011778 BC ULC(b),(n) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.250% 09/20/2030 | 7.576% | 3,001,024 | 2,985,479 | |
Carrols Restaurant Group, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 04/30/2026 | 8.676% | 871,743 | 871,882 | |
Dave & Buster’s, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% 06/29/2029 | 8.625% | 967,731 | 968,486 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
IRB Holding Corp.(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.750% 12/15/2027 | 8.176% | 3,051,313 | 3,046,003 | |
Whatabrands LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 08/03/2028 | 8.691% | 3,164,066 | 3,156,757 | |
Total | 11,028,607 | |||
Retailers 0.2% | ||||
Great Outdoors Group LLC(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 03/06/2028 | 9.191% | 3,785,191 | 3,784,510 | |
Harbor Freight Tools USA, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 10/19/2027 | 8.191% | 1,925,536 | 1,910,883 | |
PetSmart LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/11/2028 | 9.176% | 1,925,266 | 1,916,448 | |
Restoration Hardware, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 10/20/2028 | 8.676% | 989,975 | 964,483 | |
Total | 8,576,324 | |||
Technology 2.1% | ||||
Adeia, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 06/08/2028 | 8.941% | 2,880,250 | 2,871,840 | |
Ascend Learning LLC(b),(l),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/11/2028 | 8.926% | 2,878,840 | 2,826,849 | |
Ascend Learning LLC(b),(n) | ||||
2nd Lien Term Loan | ||||
1-month Term SOFR + 5.750% Floor 0.500% 12/10/2029 | 11.176% | 1,753,172 | 1,683,045 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
athenahealth Group, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 02/15/2029 | 8.576% | 3,372,503 | 3,340,363 | |
Atlas CC Acquisition Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 05/25/2028 | 9.855% | 1,694,228 | 1,509,981 | |
Tranche C 1st Lien Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 05/25/2028 | 9.855% | 344,589 | 307,115 | |
Autodata(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 05/30/2026 | 8.941% | 1,354,121 | 1,349,100 | |
Avaya, Inc.(b),(i),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 8.500% Floor 1.000% 08/01/2028 | 6.826% | 1,309,441 | 1,157,454 | |
Barracuda Parent LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.500% Floor 0.500% 08/15/2029 | 9.813% | 2,739,287 | 2,689,815 | |
Boost Newco Borrower LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 01/31/2031 | 8.326% | 2,381,947 | 2,388,902 | |
Camelot US Acquisition LLC(b),(l),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% 01/31/2031 | 8.076% | 2,856,590 | 2,845,878 | |
Central Parent LLC(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.000% 07/06/2029 | 9.348% | 3,856,716 | 3,864,121 | |
Cloud Software Group, Inc.(b),(n) | ||||
Tranche A 1st Lien Term Loan | ||||
3-month Term SOFR + 4.500% 09/29/2028 | 9.948% | 1,643,883 | 1,625,390 | |
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.500% Floor 0.500% 03/30/2029 | 9.948% | 1,635,126 | 1,619,461 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Cloudera, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 10/08/2028 | 9.176% | 2,410,566 | 2,398,513 | |
Coherent Corp.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 07/02/2029 | 8.191% | 1,816,831 | 1,814,106 | |
CoreLogic, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 06/02/2028 | 8.941% | 1,947,632 | 1,890,722 | |
DCert Buyer, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% 10/16/2026 | 9.326% | 3,042,962 | 3,017,371 | |
Dun & Bradstreet Corp. (The)(b),(n) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 2.750% 01/18/2029 | 8.074% | 2,882,483 | 2,874,556 | |
Endurance International Group Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.750% 02/10/2028 | 9.422% | 2,091,436 | 2,042,141 | |
Entegris, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.500% 07/06/2029 | 7.848% | 1,023,098 | 1,024,254 | |
Everi Holdings, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 08/03/2028 | 7.941% | 1,826,739 | 1,825,478 | |
Gen Digital, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.000% Floor 0.500% 09/12/2029 | 7.426% | 1,983,191 | 1,976,865 | |
GoTo Group, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.750% 08/31/2027 | 10.183% | 2,420,033 | 1,674,373 | |
Term Loan | ||||
3-month Term SOFR + 4.750% 04/30/2028 | 10.183% | 410,371 | 391,904 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Greeneden US Holdings I, LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 12/01/2027 | 9.191% | 260,168 | 260,819 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.750% 07/18/2030 | 9.075% | 1,786,602 | 1,766,502 | |
Idemia Group SAS(b),(l),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.750% Floor 0.750% 09/30/2028 | 4.250% | 2,749,713 | 2,749,713 | |
Idera, Inc.(b),(n) | ||||
Tranche B1 1st Lien Term Loan | ||||
3-month Term SOFR + 3.750% Floor 0.750% 03/02/2028 | 9.206% | 2,700,343 | 2,682,332 | |
Informatica LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% 10/27/2028 | 8.191% | 2,235,208 | 2,235,208 | |
Ingram Micro, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.000% Floor 0.500% 06/30/2028 | 8.610% | 2,311,813 | 2,308,924 | |
ION Trading Finance Ltd.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.750% 04/01/2028 | 10.198% | 1,261,559 | 1,252,552 | |
Loyalty Ventures, Inc.(n),(o) | ||||
Tranche B Term Loan | ||||
11/03/2027 | 14.000% | 1,604,304 | 14,038 | |
Lummus Technology Holdings V LLC(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.500% 12/31/2029 | 8.941% | 2,484,333 | 2,481,575 | |
McAfee Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 03/01/2029 | 9.178% | 3,264,773 | 3,244,368 | |
Mitchell International, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 10/15/2028 | 9.191% | 2,635,864 | 2,620,576 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Mitnick Corporate Purchaser, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.500% Floor 0.500% 05/02/2029 | 9.913% | 782,180 | 742,336 | |
MKS Instruments, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.500% Floor 0.500% 08/17/2029 | 7.824% | 1,297,820 | 1,294,342 | |
Natel Engineering Co., Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 6.250% Floor 1.000% 04/30/2026 | 11.686% | 2,433,312 | 2,126,106 | |
Neptune BidCo US, Inc.(b),(n) | ||||
Tranche A 1st Lien Term Loan | ||||
3-month Term SOFR + 4.750% 10/11/2028 | 10.173% | 931,905 | 850,531 | |
Nielsen Consumer, Inc.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 6.250% Floor 0.500% 03/06/2028 | 11.576% | 806,090 | 794,805 | |
Open Text Corp.(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% 01/31/2030 | 8.176% | 2,910,288 | 2,912,121 | |
Peraton Corp.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/01/2028 | 9.176% | 3,079,158 | 3,079,158 | |
Tranche B1 2nd Lien Term Loan | ||||
3-month Term SOFR + 7.750% Floor 0.750% 02/01/2029 | 13.176% | 995,348 | 993,895 | |
Presidio Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 3.500% 01/22/2027 | 8.913% | 2,440,335 | 2,443,385 | |
Proofpoint, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 08/31/2028 | 8.691% | 1,960,000 | 1,955,649 | |
Rackspace Technology Global, Inc.(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.750% 02/15/2028 | 8.188% | 1,205,723 | 523,416 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Riverbed Technology LLC(b),(i),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.500% 07/01/2028 | 9.848% | 673,341 | 454,505 | |
Sabre GLBL, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 06/30/2028 | 9.676% | 209,158 | 176,826 | |
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/17/2027 | 8.941% | 621,744 | 520,710 | |
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 12/17/2027 | 8.941% | 974,056 | 815,772 | |
Sophia LP(b),(n) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.500% 10/07/2027 | 8.926% | 2,884,371 | 2,880,766 | |
Sovos Compliance LLC(b),(n) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% Floor 0.500% 08/11/2028 | 9.941% | 2,766,594 | 2,743,078 | |
SS&C Technologies Holdings, Inc.(b),(n) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 1.750% 04/16/2025 | 7.191% | 148,603 | 148,480 | |
Tranche B4 Term Loan | ||||
1-month Term SOFR + 1.750% 04/16/2025 | 7.191% | 140,315 | 140,198 | |
Tranche B5 Term Loan | ||||
1-month Term SOFR + 1.750% 04/16/2025 | 7.191% | 1,273,688 | 1,272,732 | |
Tempo Acquisition LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 08/31/2028 | 8.076% | 2,597,256 | 2,599,490 | |
UKG, Inc.(b),(n) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.500% 02/10/2031 | 8.814% | 1,794,864 | 1,795,707 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 5.250% Floor 0.500% 05/03/2027 | 10.680% | 751,752 | 758,330 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Verscend Holdings Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 4.000% 08/27/2025 | 9.441% | 2,442,364 | 2,440,850 | |
Verscend Tech(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.250% 02/24/2031 | 3.250% | 2,691,392 | 2,681,299 | |
Virtusa Corp.(b),(n) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/15/2029 | 9.176% | 1,691,434 | 1,688,609 | |
Total | 111,459,300 | |||
Transportation Services 0.1% | ||||
Brown Group Holding LLC(b),(n) | ||||
Tranche B2 Term Loan | ||||
3-month Term SOFR + 3.000% Floor 0.500% 07/02/2029 | 8.313% | 1,277,920 | 1,275,607 | |
First Student Bidco, Inc.(b),(l),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 3.000% Floor 0.500% 07/21/2028 | 8.610% | 1,660,663 | 1,647,510 | |
Tranche C Term Loan | ||||
3-month Term SOFR + 3.000% Floor 0.500% 07/21/2028 | 8.610% | 503,708 | 499,719 | |
First Student Bidco, Inc.(b),(n) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 4.000% Floor 0.500% 07/21/2028 | 9.448% | 749,872 | 748,800 | |
Total | 4,171,636 | |||
Wireless 0.1% | ||||
Altice France SA(b),(d),(n) | ||||
Tranche B14 Term Loan | ||||
3-month Term SOFR + 5.500% 08/15/2028 | 10.814% | 1,889,484 | 1,743,049 | |
Crown Subsea Communications Holdings, Inc.(b),(n) | ||||
Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 01/30/2031 | 10.067% | 2,471,768 | 2,481,037 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
SBA Senior Finance II LLC(b),(n) | ||||
Term Loan | ||||
1-month Term SOFR + 2.000% 01/25/2031 | 7.330% | 1,400,939 | 1,399,482 | |
Total | 5,623,568 | |||
Total Senior Loans (Cost $500,172,824) | 493,613,192 | |||
U.S. Government & Agency Obligations 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Farm Credit Banks Funding Corp. | ||||
10/20/2026 | 1.140% | 2,000,000 | 1,817,579 | |
11/30/2026 | 1.540% | 2,500,000 | 2,292,104 | |
Total U.S. Government & Agency Obligations (Cost $4,500,000) | 4,109,683 |
Call Option Contracts Purchased 0.1% | ||||
Value ($) | ||||
(Cost $4,755,000) | 4,304,475 | |||
Put Option Contracts Purchased 0.0% | ||||
(Cost $940,000) | 1,302,220 |
Money Market Funds 6.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(p),(q) | 363,968,529 | 363,895,735 |
Total Money Market Funds (Cost $363,801,243) | 363,895,735 | |
Total Investments in Securities (Cost: $6,359,531,596) | 6,144,430,792 | |
Other Assets & Liabilities, Net | (750,975,997 ) | |
Net Assets | 5,393,454,795 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
23,722,000 EUR | 25,665,662 USD | Citi | 03/26/2024 | 3,266 | — |
199,300,000 ZAR | 10,562,298 USD | HSBC | 03/26/2024 | 191,019 | — |
Total | 194,285 | — |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro-Bund | 450 | 03/2024 | EUR | 59,692,500 | — | (908,995 ) |
U.S. Treasury 5-Year Note | 6,560 | 06/2024 | USD | 701,305,000 | 1,137,819 | — |
U.S. Treasury Ultra Bond | 673 | 06/2024 | USD | 86,059,875 | 90,420 | — |
Total | 1,228,239 | (908,995 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Long Gilt | (399) | 06/2024 | GBP | (39,137,910 ) | — | (135,987 ) |
U.S. Long Bond | (2,085) | 06/2024 | USD | (248,636,250 ) | — | (347,365 ) |
U.S. Treasury 10-Year Note | (2,224) | 06/2024 | USD | (245,613,000 ) | — | (57,264 ) |
U.S. Treasury 2-Year Note | (7,143) | 06/2024 | USD | (1,462,529,250 ) | — | (1,480,572 ) |
Total | — | (2,021,188 ) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 150,000,000 | 150,000,000 | 3.75 | 11/29/2024 | 4,755,000 | 4,304,475 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
5-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | 100,000,000 | 100,000,000 | 3.90 | 08/06/2024 | 940,000 | 1,302,220 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 6.230% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/09/2026 | MXN | 580,000,000 | (2,216,128 ) | — | — | — | (2,216,128 ) |
Fixed rate of 5.985% | 28-Day MXN TIIE-Banxico | Receives Monthly, Pays Monthly | Morgan Stanley | 01/21/2026 | MXN | 211,000,000 | (847,110 ) | — | — | — | (847,110 ) |
SOFR plus 0.262% | Fixed rate of 1.781% | Receives Quarterly, Pays SemiAnnually | Morgan Stanley | 08/09/2049 | USD | 53,500,000 | 19,315,417 | — | — | 19,315,417 | — |
Total | 16,252,179 | — | — | 19,315,417 | (3,063,238 ) |
Credit default swap contracts - buy protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 11 BBB- | Citi | 11/18/2054 | 3.000 | Monthly | USD | 13,000,000 | 1,770,304 | (5,416 ) | 3,209,772 | — | — | (1,444,884 ) |
Markit CMBX North America Index, Series 12 BBB- | Citi | 08/17/2061 | 3.000 | Monthly | USD | 11,100,000 | 2,279,717 | (4,625 ) | 2,974,532 | — | — | (699,440 ) |
Markit CMBX North America Index, Series 11 BBB- | Goldman Sachs International | 11/18/2054 | 3.000 | Monthly | USD | 4,400,000 | 599,180 | (1,833 ) | 651,554 | — | — | (54,207 ) |
Markit CMBX North America Index, Series 11 BBB- | JPMorgan | 11/18/2054 | 3.000 | Monthly | USD | 4,400,000 | 599,180 | (1,833 ) | 144,050 | — | 453,297 | — |
Markit CMBX North America Index, Series 16 BBB- | Morgan Stanley | 04/17/2065 | 3.000 | Monthly | USD | 11,150,000 | 1,781,236 | (4,646 ) | 2,557,768 | — | — | (781,178 ) |
Total | 7,029,617 | (18,353 ) | 9,537,676 | — | 453,297 | (2,979,709 ) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 5.000 | Quarterly | USD | 50,490,000 | (1,669,030 ) | — | — | — | (1,669,030 ) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Citi | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 18,000,000 | (3,461,459 ) | 7,500 | — | (2,086,609 ) | — | (1,367,350 ) |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 9,500,000 | (1,826,882 ) | 3,958 | — | (1,987,713 ) | 164,789 | — |
Markit CMBX North America Index, Series 10 BBB- | JPMorgan | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 9,500,000 | (1,826,881 ) | 3,958 | — | (1,539,749 ) | — | (283,174 ) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 12.186 | USD | 8,000,000 | (1,538,426 ) | 3,333 | — | (1,514,897 ) | — | (20,196 ) |
Markit CMBX North America Index, Series 8 BBB- | Morgan Stanley | 10/17/2057 | 3.000 | Monthly | 25.177 | USD | 5,000,000 | (561,449 ) | 2,083 | — | (994,157 ) | 434,791 | — |
Total | (9,215,097 ) | 20,832 | — | (8,123,125 ) | 599,580 | (1,670,720 ) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.494% |
SOFR | Secured Overnight Financing Rate | 5.310% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $2,389,762,084, which represents 44.31% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 29, 2024. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $20,794,006, which represents 0.39% of total net assets. |
(d) | Valuation based on significant unobservable inputs. |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 29, 2024. |
(f) | Non-income producing investment. |
(g) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(h) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of February 29, 2024. |
(i) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(j) | Represents a security purchased on a when-issued basis. |
(k) | Principal and interest may not be guaranteed by a governmental entity. |
(l) | Represents a security purchased on a forward commitment basis. |
(m) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(n) | The stated interest rate represents the weighted average interest rate at February 29, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(o) | Represents a security in default. |
(p) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(q) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
284,775,725 | 1,038,340,144 | (959,239,098 ) | 18,964 | 363,895,735 | 13,831 | 9,753,415 | 363,968,529 |
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
USD | US Dollar |
ZAR | South African Rand |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 448,631,534 | 8,224,975 | 456,856,509 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 121,213,069 | — | 121,213,069 |
Common Stocks | ||||
Communication Services | 33,226 | — | — | 33,226 |
Consumer Discretionary | — | 3,109 | — | 3,109 |
Energy | — | 6,891 | 11,677 | 18,568 |
Financials | — | 121,174 | — | 121,174 |
Health Care | — | 136,014 | — | 136,014 |
Industrials | — | 59,409 | — | 59,409 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Information Technology | — | 5,856 | 296,466 | 302,322 |
Materials | — | — | 1 | 1 |
Total Common Stocks | 33,226 | 332,453 | 308,144 | 673,823 |
Convertible Bonds | — | 5,741,038 | — | 5,741,038 |
Convertible Preferred Stocks | ||||
Information Technology | — | — | 3,622 | 3,622 |
Total Convertible Preferred Stocks | — | — | 3,622 | 3,622 |
Corporate Bonds & Notes | — | 1,967,952,216 | — | 1,967,952,216 |
Foreign Government Obligations | — | 357,221,756 | — | 357,221,756 |
Inflation-Indexed Bonds | — | 12,916,655 | — | 12,916,655 |
Residential Mortgage-Backed Securities - Agency | — | 1,723,751,451 | 12,569,030 | 1,736,320,481 |
Residential Mortgage-Backed Securities - Non-Agency | — | 571,911,549 | 45,886,351 | 617,797,900 |
Rights | ||||
Communication Services | — | 508,418 | — | 508,418 |
Total Rights | — | 508,418 | — | 508,418 |
Senior Loans | — | 491,060,913 | 2,552,279 | 493,613,192 |
U.S. Government & Agency Obligations | — | 4,109,683 | — | 4,109,683 |
Call Option Contracts Purchased | — | 4,304,475 | — | 4,304,475 |
Put Option Contracts Purchased | — | 1,302,220 | — | 1,302,220 |
Money Market Funds | 363,895,735 | — | — | 363,895,735 |
Total Investments in Securities | 363,928,961 | 5,710,957,430 | 69,544,401 | 6,144,430,792 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 194,285 | — | 194,285 |
Futures Contracts | 1,228,239 | — | — | 1,228,239 |
Swap Contracts | — | 20,368,294 | — | 20,368,294 |
Liability | ||||
Futures Contracts | (2,930,183 ) | — | — | (2,930,183 ) |
Swap Contracts | — | (9,382,697 ) | — | (9,382,697 ) |
Total | 362,227,017 | 5,722,137,312 | 69,544,401 | 6,153,908,730 |
Balance as of 08/31/2023 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 02/29/2024 ($) | |
Asset-Backed Securities — Non-Agency | 12,660,753 | 49,331 | — | 63,938 | — | (4,549,047 ) | — | — | 8,224,975 |
Common Stocks | 10,891 | — | — | (346,400 ) | 72 | — | 643,581 | — | 308,144 |
Convertible Preferred Stocks | 3,622 | — | — | — | — | — | — | — | 3,622 |
Residential Mortgage-Backed Securities — Agency | — | (10,866 ) | — | 10,866 | 12,569,030 | — | — | — | 12,569,030 |
Residential Mortgage-Backed Securities — Non-Agency | 65,825,670 | — | 80,915 | 908,537 | — | (20,928,771 ) | — | — | 45,886,351 |
Senior Loans | 4,299,959 | 4,005 | (1,109,953 ) | 1,161,663 | — | (14,613 ) | 2,477,104 | (4,265,886 ) | 2,552,279 |
Total | 82,800,895 | 42,470 | (1,029,038 ) | 1,798,604 | 12,569,102 | (25,492,431 ) | 3,120,685 | (4,265,886 ) | 69,544,401 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $5,990,035,353) | $5,774,928,362 |
Affiliated issuers (cost $363,801,243) | 363,895,735 |
Option contracts purchased (cost $5,695,000) | 5,606,695 |
Cash | 6,082,737 |
Foreign currency (cost $1,473,127) | 1,471,971 |
Cash collateral held at broker for: | |
Swap contracts | 3,380,000 |
TBA | 7,352,969 |
Margin deposits on: | |
Futures contracts | 15,169,167 |
Swap contracts | 6,004,916 |
Unrealized appreciation on forward foreign currency exchange contracts | 194,285 |
Unrealized appreciation on swap contracts | 1,052,877 |
Upfront payments on swap contracts | 9,537,676 |
Receivable for: | |
Investments sold | 20,274,554 |
Investments sold on a delayed delivery basis | 3,010,767 |
Capital shares sold | 6,313,992 |
Dividends | 1,694,471 |
Interest | 41,961,583 |
Foreign tax reclaims | 69,625 |
Variation margin for futures contracts | 898,081 |
Variation margin for swap contracts | 13,581 |
Prepaid expenses | 32,404 |
Deferred compensation of board members | 398,022 |
Total assets | 6,269,344,470 |
Liabilities | |
Unrealized depreciation on swap contracts | 4,650,429 |
Upfront receipts on swap contracts | 8,123,125 |
Payable for: | |
Investments purchased | 24,050,890 |
Investments purchased on a delayed delivery basis | 830,836,405 |
Capital shares redeemed | 5,239,975 |
Variation margin for futures contracts | 1,517,939 |
Variation margin for swap contracts | 282,287 |
Foreign capital gains taxes deferred | 13,109 |
Management services fees | 81,656 |
Distribution and/or service fees | 11,208 |
Transfer agent fees | 421,228 |
Compensation of chief compliance officer | 479 |
Compensation of board members | 8,660 |
Other expenses | 112,172 |
Deferred compensation of board members | 540,113 |
Total liabilities | 875,889,675 |
Net assets applicable to outstanding capital stock | $5,393,454,795 |
Represented by | |
Paid in capital | 6,206,969,315 |
Total distributable earnings (loss) | (813,514,520 ) |
Total - representing net assets applicable to outstanding capital stock | $5,393,454,795 |
Class A | |
Net assets | $959,176,186 |
Shares outstanding | 44,495,342 |
Net asset value per share | $21.56 |
Maximum sales charge | 4.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $22.64 |
Advisor Class | |
Net assets | $256,232,724 |
Shares outstanding | 12,155,938 |
Net asset value per share | $21.08 |
Class C | |
Net assets | $163,118,620 |
Shares outstanding | 7,570,399 |
Net asset value per share | $21.55 |
Institutional Class | |
Net assets | $3,112,425,293 |
Shares outstanding | 147,441,078 |
Net asset value per share | $21.11 |
Institutional 2 Class | |
Net assets | $460,760,776 |
Shares outstanding | 21,808,102 |
Net asset value per share | $21.13 |
Institutional 3 Class | |
Net assets | $426,266,793 |
Shares outstanding | 20,264,295 |
Net asset value per share | $21.04 |
Class R | |
Net assets | $15,474,403 |
Shares outstanding | 712,053 |
Net asset value per share | $21.73 |
Net investment income | |
Income: | |
Dividends — affiliated issuers | $9,753,415 |
Interest | 158,031,854 |
Interfund lending | 569 |
Foreign taxes withheld | (196,615 ) |
Total income | 167,589,223 |
Expenses: | |
Management services fees | 14,174,961 |
Distribution and/or service fees | |
Class A | 1,166,703 |
Class C | 818,928 |
Class R | 37,357 |
Transfer agent fees | |
Class A | 452,939 |
Advisor Class | 118,148 |
Class C | 79,467 |
Institutional Class | 1,410,347 |
Institutional 2 Class | 120,356 |
Institutional 3 Class | 14,762 |
Class R | 7,252 |
Custodian fees | 81,028 |
Printing and postage fees | 145,202 |
Registration fees | 129,506 |
Accounting services fees | 26,392 |
Legal fees | 45,930 |
Interest on collateral | 217,960 |
Compensation of chief compliance officer | 479 |
Compensation of board members | 35,102 |
Deferred compensation of board members | 14,361 |
Other | 43,965 |
Total expenses | 19,141,145 |
Expense reduction | (2,799 ) |
Total net expenses | 19,138,346 |
Net investment income | 148,450,877 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (51,174,260 ) |
Investments — affiliated issuers | 13,831 |
Foreign currency translations | 573,751 |
Forward foreign currency exchange contracts | 174,603 |
Futures contracts | 3,712,508 |
Option contracts purchased | (6,859,090 ) |
Option contracts written | 894,009 |
Swap contracts | (1,714,380 ) |
Net realized loss | (54,379,028 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 143,149,338 |
Investments — affiliated issuers | 18,964 |
Foreign currency translations | 3,389 |
Forward foreign currency exchange contracts | 101,419 |
Futures contracts | 2,261,175 |
Option contracts purchased | 6,603,572 |
Swap contracts | 4,865,220 |
Foreign capital gains tax | 2,962 |
Net change in unrealized appreciation (depreciation) | 157,006,039 |
Net realized and unrealized gain | 102,627,011 |
Net increase in net assets resulting from operations | $251,077,888 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $148,450,877 | $260,245,761 |
Net realized loss | (54,379,028 ) | (362,721,909 ) |
Net change in unrealized appreciation (depreciation) | 157,006,039 | 160,451,989 |
Net increase in net assets resulting from operations | 251,077,888 | 57,975,841 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (26,278,783 ) | (45,862,924 ) |
Advisor Class | (7,308,237 ) | (12,817,501 ) |
Class C | (3,994,036 ) | (7,571,149 ) |
Institutional Class | (87,410,576 ) | (145,715,320 ) |
Institutional 2 Class | (12,922,900 ) | (19,456,428 ) |
Institutional 3 Class | (12,409,928 ) | (22,033,485 ) |
Class R | (399,433 ) | (611,037 ) |
Total distributions to shareholders | (150,723,893 ) | (254,067,844 ) |
Increase (decrease) in net assets from capital stock activity | 279,215,225 | (475,268,339 ) |
Total increase (decrease) in net assets | 379,569,220 | (671,360,342 ) |
Net assets at beginning of period | 5,013,885,575 | 5,685,245,917 |
Net assets at end of period | $5,393,454,795 | $5,013,885,575 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 3,654,776 | 77,803,942 | 6,050,412 | 128,300,745 |
Distributions reinvested | 1,162,166 | 24,602,798 | 2,026,317 | 42,791,899 |
Shares redeemed | (4,507,178 ) | (95,546,616 ) | (11,331,356 ) | (238,721,659 ) |
Net increase (decrease) | 309,764 | 6,860,124 | (3,254,627 ) | (67,629,015 ) |
Advisor Class | ||||
Shares sold | 1,771,179 | 37,057,091 | 2,858,154 | 59,545,498 |
Distributions reinvested | 351,425 | 7,277,175 | 617,619 | 12,762,540 |
Shares redeemed | (1,830,739 ) | (37,844,004 ) | (5,560,482 ) | (114,626,561 ) |
Net increase (decrease) | 291,865 | 6,490,262 | (2,084,709 ) | (42,318,523 ) |
Class C | ||||
Shares sold | 912,696 | 19,422,716 | 1,266,456 | 26,885,346 |
Distributions reinvested | 174,693 | 3,697,087 | 329,635 | 6,959,367 |
Shares redeemed | (1,617,751 ) | (34,279,094 ) | (3,331,237 ) | (70,438,172 ) |
Net decrease | (530,362 ) | (11,159,291 ) | (1,735,146 ) | (36,593,459 ) |
Institutional Class | ||||
Shares sold | 33,173,584 | 690,302,659 | 52,531,053 | 1,091,229,779 |
Distributions reinvested | 3,669,583 | 76,118,857 | 6,077,575 | 125,786,754 |
Shares redeemed | (26,239,508 ) | (543,725,708 ) | (72,656,181 ) | (1,503,828,463 ) |
Net increase (decrease) | 10,603,659 | 222,695,808 | (14,047,553 ) | (286,811,930 ) |
Institutional 2 Class | ||||
Shares sold | 4,523,685 | 93,778,237 | 7,880,443 | 163,847,060 |
Distributions reinvested | 616,336 | 12,798,611 | 932,057 | 19,305,845 |
Shares redeemed | (2,892,132 ) | (60,036,742 ) | (8,546,647 ) | (177,443,939 ) |
Net increase | 2,247,889 | 46,540,106 | 265,853 | 5,708,966 |
Institutional 3 Class | ||||
Shares sold | 2,611,207 | 54,394,572 | 5,299,189 | 109,538,540 |
Distributions reinvested | 303,335 | 6,267,650 | 554,042 | 11,428,153 |
Shares redeemed | (2,564,638 ) | (53,098,636 ) | (8,313,100 ) | (171,245,534 ) |
Net increase (decrease) | 349,904 | 7,563,586 | (2,459,869 ) | (50,278,841 ) |
Class R | ||||
Shares sold | 80,330 | 1,718,994 | 238,374 | 5,072,856 |
Distributions reinvested | 18,665 | 398,375 | 28,608 | 609,069 |
Shares redeemed | (88,610 ) | (1,892,739 ) | (141,822 ) | (3,027,462 ) |
Net increase | 10,385 | 224,630 | 125,160 | 2,654,463 |
Total net increase (decrease) | 13,283,104 | 279,215,225 | (23,190,891 ) | (475,268,339 ) |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.13 | 0.60 | 0.43 | 1.03 | (0.60 ) | — | (0.60 ) |
Year Ended 8/31/2023 | $21.84 | 1.06 | (0.74 ) | 0.32 | (1.03 ) | — | (1.03 ) |
Year Ended 8/31/2022 | $25.20 | 0.78 | (3.15 ) | (2.37 ) | (0.71 ) | (0.28 ) | (0.99 ) |
Year Ended 8/31/2021(e) | $24.32 | 0.79 | 0.86 | 1.65 | (0.77 ) | — | (0.77 ) |
Year Ended 8/31/2020(e) | $24.06 | 0.84 | 0.26 | 1.10 | (0.84 ) | — | (0.84 ) |
Year Ended 8/31/2019(e) | $23.57 | 1.00 | 0.57 | 1.57 | (0.92 ) | (0.16 ) | (1.08 ) |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.67 | 0.61 | 0.42 | 1.03 | (0.62 ) | — | (0.62 ) |
Year Ended 8/31/2023 | $21.39 | 1.09 | (0.73 ) | 0.36 | (1.08 ) | — | (1.08 ) |
Year Ended 8/31/2022 | $24.70 | 0.82 | (3.08 ) | (2.26 ) | (0.77 ) | (0.28 ) | (1.05 ) |
Year Ended 8/31/2021(e) | $23.85 | 0.83 | 0.85 | 1.68 | (0.83 ) | — | (0.83 ) |
Year Ended 8/31/2020(e) | $23.62 | 0.88 | 0.23 | 1.11 | (0.88 ) | — | (0.88 ) |
Year Ended 8/31/2019(e) | $23.16 | 1.04 | 0.54 | 1.58 | (0.96 ) | (0.16 ) | (1.12 ) |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.12 | 0.52 | 0.43 | 0.95 | (0.52 ) | — | (0.52 ) |
Year Ended 8/31/2023 | $21.83 | 0.90 | (0.74 ) | 0.16 | (0.87 ) | — | (0.87 ) |
Year Ended 8/31/2022 | $25.19 | 0.60 | (3.15 ) | (2.55 ) | (0.53 ) | (0.28 ) | (0.81 ) |
Year Ended 8/31/2021(e) | $24.31 | 0.60 | 0.86 | 1.46 | (0.58 ) | — | (0.58 ) |
Year Ended 8/31/2020(e) | $24.06 | 0.64 | 0.29 | 0.93 | (0.68 ) | — | (0.68 ) |
Year Ended 8/31/2019(e) | $23.57 | 0.80 | 0.57 | 1.37 | (0.72 ) | (0.16 ) | (0.88 ) |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.70 | 0.61 | 0.42 | 1.03 | (0.62 ) | — | (0.62 ) |
Year Ended 8/31/2023 | $21.42 | 1.09 | (0.73 ) | 0.36 | (1.08 ) | — | (1.08 ) |
Year Ended 8/31/2022 | $24.73 | 0.82 | (3.09 ) | (2.27 ) | (0.76 ) | (0.28 ) | (1.04 ) |
Year Ended 8/31/2021(e) | $23.88 | 0.84 | 0.84 | 1.68 | (0.83 ) | — | (0.83 ) |
Year Ended 8/31/2020(e) | $23.65 | 0.88 | 0.23 | 1.11 | (0.88 ) | — | (0.88 ) |
Year Ended 8/31/2019(e) | $23.18 | 1.04 | 0.55 | 1.59 | (0.96 ) | (0.16 ) | (1.12 ) |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.72 | 0.61 | 0.43 | 1.04 | (0.63 ) | — | (0.63 ) |
Year Ended 8/31/2023 | $21.44 | 1.11 | (0.74 ) | 0.37 | (1.09 ) | — | (1.09 ) |
Year Ended 8/31/2022 | $24.75 | 0.83 | (3.09 ) | (2.26 ) | (0.77 ) | (0.28 ) | (1.05 ) |
Year Ended 8/31/2021(e) | $23.90 | 0.85 | 0.83 | 1.68 | (0.83 ) | — | (0.83 ) |
Year Ended 8/31/2020(e) | $23.66 | 0.88 | 0.28 | 1.16 | (0.92 ) | — | (0.92 ) |
Year Ended 8/31/2019(e) | $23.19 | 1.04 | 0.55 | 1.59 | (0.96 ) | (0.16 ) | (1.12 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.56 | 4.94% | 0.93% (c) | 0.93% (c),(d) | 5.66% | 175% | $959,176 |
Year Ended 8/31/2023 | $21.13 | 1.56% | 0.94% (c) | 0.94% (c),(d) | 5.02% | 295% | $933,577 |
Year Ended 8/31/2022 | $21.84 | (9.64% ) | 0.92% (c) | 0.92% (c),(d) | 3.30% | 136% | $1,036,081 |
Year Ended 8/31/2021(e) | $25.20 | 6.84% | 0.92% (c) | 0.92% (c),(d) | 3.17% | 126% | $1,191,823 |
Year Ended 8/31/2020(e) | $24.32 | 4.84% | 0.93% (c) | 0.93% (c),(d) | 3.51% | 173% | $1,101,890 |
Year Ended 8/31/2019(e) | $24.06 | 6.75% | 0.95% (c) | 0.95% (c) | 4.20% | 179% | $1,101,847 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.08 | 5.08% | 0.68% (c) | 0.68% (c),(d) | 5.91% | 175% | $256,233 |
Year Ended 8/31/2023 | $20.67 | 1.80% | 0.69% (c) | 0.69% (c),(d) | 5.26% | 295% | $245,265 |
Year Ended 8/31/2022 | $21.39 | (9.40% ) | 0.67% (c) | 0.67% (c),(d) | 3.54% | 136% | $298,389 |
Year Ended 8/31/2021(e) | $24.70 | 7.16% | 0.67% (c) | 0.67% (c),(d) | 3.39% | 126% | $371,251 |
Year Ended 8/31/2020(e) | $23.85 | 5.02% | 0.68% (c) | 0.68% (c),(d) | 3.76% | 173% | $194,094 |
Year Ended 8/31/2019(e) | $23.62 | 6.96% | 0.70% (c) | 0.70% (c) | 4.42% | 179% | $285,983 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.55 | 4.56% | 1.68% (c) | 1.68% (c),(d) | 4.91% | 175% | $163,119 |
Year Ended 8/31/2023 | $21.12 | 0.81% | 1.69% (c) | 1.69% (c),(d) | 4.26% | 295% | $171,092 |
Year Ended 8/31/2022 | $21.83 | (10.31% ) | 1.67% (c) | 1.67% (c),(d) | 2.53% | 136% | $214,760 |
Year Ended 8/31/2021(e) | $25.19 | 6.01% | 1.67% (c) | 1.67% (c),(d) | 2.42% | 126% | $284,727 |
Year Ended 8/31/2020(e) | $24.31 | 4.06% | 1.69% (c) | 1.69% (c),(d) | 2.76% | 173% | $280,497 |
Year Ended 8/31/2019(e) | $24.06 | 5.97% | 1.70% (c) | 1.70% (c) | 3.45% | 179% | $282,018 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.11 | 5.07% | 0.68% (c) | 0.68% (c),(d) | 5.91% | 175% | $3,112,425 |
Year Ended 8/31/2023 | $20.70 | 1.80% | 0.69% (c) | 0.69% (c),(d) | 5.27% | 295% | $2,832,856 |
Year Ended 8/31/2022 | $21.42 | (9.39% ) | 0.67% (c) | 0.67% (c),(d) | 3.54% | 136% | $3,231,980 |
Year Ended 8/31/2021(e) | $24.73 | 7.11% | 0.67% (c) | 0.67% (c),(d) | 3.41% | 126% | $3,902,593 |
Year Ended 8/31/2020(e) | $23.88 | 5.02% | 0.68% (c) | 0.68% (c),(d) | 3.76% | 173% | $3,083,643 |
Year Ended 8/31/2019(e) | $23.65 | 6.96% | 0.70% (c) | 0.70% (c) | 4.44% | 179% | $2,843,762 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.13 | 5.09% | 0.64% (c) | 0.64% (c) | 5.94% | 175% | $460,761 |
Year Ended 8/31/2023 | $20.72 | 1.84% | 0.64% (c) | 0.64% (c) | 5.32% | 295% | $405,286 |
Year Ended 8/31/2022 | $21.44 | (9.35% ) | 0.63% (c) | 0.63% (c) | 3.60% | 136% | $413,637 |
Year Ended 8/31/2021(e) | $24.75 | 7.23% | 0.63% (c) | 0.63% (c) | 3.44% | 126% | $475,594 |
Year Ended 8/31/2020(e) | $23.90 | 5.06% | 0.64% (c) | 0.64% (c) | 3.80% | 173% | $287,777 |
Year Ended 8/31/2019(e) | $23.66 | 7.00% | 0.66% (c) | 0.66% (c) | 4.49% | 179% | $287,753 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $20.63 | 0.62 | 0.42 | 1.04 | (0.63 ) | — | (0.63 ) |
Year Ended 8/31/2023 | $21.35 | 1.11 | (0.73 ) | 0.38 | (1.10 ) | — | (1.10 ) |
Year Ended 8/31/2022 | $24.66 | 0.84 | (3.09 ) | (2.25 ) | (0.78 ) | (0.28 ) | (1.06 ) |
Year Ended 8/31/2021(e) | $23.81 | 0.86 | 0.84 | 1.70 | (0.85 ) | — | (0.85 ) |
Year Ended 8/31/2020(e) | $23.58 | 0.88 | 0.27 | 1.15 | (0.92 ) | — | (0.92 ) |
Year Ended 8/31/2019(e) | $23.12 | 1.04 | 0.58 | 1.62 | (1.00 ) | (0.16 ) | (1.16 ) |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.30 | 0.57 | 0.43 | 1.00 | (0.57 ) | — | (0.57 ) |
Year Ended 8/31/2023 | $22.01 | 1.02 | (0.76 ) | 0.26 | (0.97 ) | — | (0.97 ) |
Year Ended 8/31/2022 | $25.38 | 0.72 | (3.16 ) | (2.44 ) | (0.65 ) | (0.28 ) | (0.93 ) |
Year Ended 8/31/2021(e) | $24.49 | 0.73 | 0.86 | 1.59 | (0.70 ) | — | (0.70 ) |
Year Ended 8/31/2020(e) | $24.23 | 0.80 | 0.26 | 1.06 | (0.80 ) | — | (0.80 ) |
Year Ended 8/31/2019(e) | $23.73 | 0.92 | 0.58 | 1.50 | (0.84 ) | (0.16 ) | (1.00 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 2/29/2024 | 8/31/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 |
Class A | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Advisor Class | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | 0.01% |
Class C | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional Class | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 2 Class | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Institutional 3 Class | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
Class R | 0.01% | 0.01% | 0.01% | less than 0.01% | less than 0.01% | less than 0.01% |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.04 | 5.14% | 0.59% (c) | 0.59% (c) | 6.00% | 175% | $426,267 |
Year Ended 8/31/2023 | $20.63 | 1.89% | 0.60% (c) | 0.60% (c) | 5.36% | 295% | $410,866 |
Year Ended 8/31/2022 | $21.35 | (9.34% ) | 0.59% (c) | 0.59% (c) | 3.67% | 136% | $477,713 |
Year Ended 8/31/2021(e) | $24.66 | 7.26% | 0.59% (c) | 0.59% (c) | 3.50% | 126% | $416,355 |
Year Ended 8/31/2020(e) | $23.81 | 5.13% | 0.60% (c) | 0.60% (c) | 3.84% | 173% | $322,913 |
Year Ended 8/31/2019(e) | $23.58 | 7.08% | 0.60% (c) | 0.60% (c) | 4.55% | 179% | $192,494 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $21.73 | 4.77% | 1.18% (c) | 1.18% (c),(d) | 5.41% | 175% | $15,474 |
Year Ended 8/31/2023 | $21.30 | 1.30% | 1.19% (c) | 1.19% (c),(d) | 4.80% | 295% | $14,943 |
Year Ended 8/31/2022 | $22.01 | (9.83% ) | 1.17% (c) | 1.17% (c),(d) | 3.02% | 136% | $12,686 |
Year Ended 8/31/2021(e) | $25.38 | 6.62% | 1.17% (c) | 1.17% (c),(d) | 2.89% | 126% | $16,920 |
Year Ended 8/31/2020(e) | $24.49 | 4.38% | 1.18% (c) | 1.18% (c),(d) | 3.26% | 173% | $8,053 |
Year Ended 8/31/2019(e) | $24.23 | 6.62% | 1.20% (c) | 1.20% (c) | 3.95% | 179% | $9,287 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,052,877 * |
Credit risk | Upfront payments on swap contracts | 9,537,676 |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 194,285 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,228,239 * |
Interest rate risk | Investments, at value — Option contracts purchased | 5,606,695 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 19,315,417 * |
Total | 36,935,189 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,319,459 * |
Credit risk | Upfront receipts on swap contracts | 8,123,125 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,930,183 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 3,063,238 * |
Total | 20,436,005 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | — | (1,585,359 ) | (1,585,359 ) |
Foreign exchange risk | 174,603 | — | — | — | — | 174,603 |
Interest rate risk | — | 3,712,508 | (6,859,090 ) | 894,009 | (129,021 ) | (2,381,594 ) |
Total | 174,603 | 3,712,508 | (6,859,090 ) | 894,009 | (1,714,380 ) | (3,792,350 ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | — | 3,752,565 | 3,752,565 |
Foreign exchange risk | 101,419 | — | — | — | 101,419 |
Interest rate risk | — | 2,261,175 | 6,603,572 | 1,112,655 | 9,977,402 |
Total | 101,419 | 2,261,175 | 6,603,572 | 4,865,220 | 13,831,386 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 2,088,508,058 |
Futures contracts — short | 2,506,540,629 |
Credit default swap contracts — buy protection | 88,486,451 |
Credit default swap contracts — sell protection | 72,192,308 |
Derivative instrument | Average value ($) |
Option contracts purchased | 3,539,578 |
Option contracts written | (469,358 ) |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 272,483 | (282,194 ) |
Interest rate swap contracts | 20,242,061 | (3,453,260 ) |
Citi ($) (a) | Citi ($) (a) | Goldman Sachs International ($) | HSBC ($) | JPMorgan ($) | Morgan Stanley ($) (a) | Morgan Stanley ($) (a) | Total ($) | |
Assets | ||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 13,581 | 13,581 |
Forward foreign currency exchange contracts | 3,266 | - | - | 191,019 | - | - | - | 194,285 |
Call option contracts purchased | - | - | - | - | - | 4,304,475 | - | 4,304,475 |
Put option contracts purchased | 1,302,220 | - | - | - | - | - | - | 1,302,220 |
OTC credit default swap contracts (c) | - | 6,184,304 | 651,554 | - | 762,136 | 2,992,559 | - | 10,590,553 |
Total assets | 1,305,486 | 6,184,304 | 651,554 | 191,019 | 762,136 | 7,297,034 | 13,581 | 16,405,114 |
Liabilities | ||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | 72,393 | 72,393 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | 209,894 | 209,894 |
OTC credit default swap contracts (c) | - | 5,598,283 | 54,207 | - | 3,810,636 | 3,310,428 | - | 12,773,554 |
Total liabilities | - | 5,598,283 | 54,207 | - | 3,810,636 | 3,310,428 | 282,287 | 13,055,841 |
Total financial and derivative net assets | 1,305,486 | 586,021 | 597,347 | 191,019 | (3,048,500 ) | 3,986,606 | (268,706 ) | 3,349,273 |
Total collateral received (pledged) (d) | 1,280,000 | 459,000 | 590,000 | - | (3,048,500 ) | 3,947,000 | (268,706 ) | 2,958,794 |
Net amount (e) | 25,486 | 127,021 | 7,347 | 191,019 | - | 39,606 | - | 390,479 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
Effective rate (%) | |
Class A | 0.10 |
Advisor Class | 0.10 |
Class C | 0.10 |
Institutional Class | 0.10 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.10 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 4.75 | 0.50 - 1.00(a) | 518,345 |
Class C | — | 1.00 (b) | 6,847 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 0.93 % | 0.96 % |
Advisor Class | 0.68 | 0.71 |
Class C | 1.68 | 1.71 |
Institutional Class | 0.68 | 0.71 |
Institutional 2 Class | 0.64 | 0.67 |
Institutional 3 Class | 0.59 | 0.62 |
Class R | 1.18 | 1.21 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
6,360,946,000 | 91,808,000 | (297,430,000 ) | (205,622,000 ) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(168,577,382 ) | (372,460,544 ) | (541,037,926 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 700,000 | 5.86 | 5 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 8.65 | 14.48 | 6.47 | 4.32 |
Including sales charges | 2.38 | 7.91 | 5.21 | 3.70 | ||
Advisor Class | 03/19/13 | 8.78 | 14.77 | 6.74 | 4.58 | |
Class C | Excluding sales charges | 10/13/03 | 8.22 | 13.58 | 5.67 | 3.54 |
Including sales charges | 7.22 | 12.58 | 5.67 | 3.54 | ||
Institutional Class | 11/09/00 | 8.79 | 14.75 | 6.73 | 4.58 | |
Institutional 2 Class | 01/08/14 | 8.88 | 14.88 | 6.88 | 4.74 | |
Institutional 3 Class | 07/15/09 | 8.83 | 14.91 | 6.92 | 4.79 | |
Class R | 09/27/10 | 8.49 | 14.12 | 6.18 | 4.05 | |
MSCI ACWI ex USA Index (Net) | 7.90 | 12.51 | 5.44 | 3.96 | ||
MSCI ACWI ex USA Value Index (Net) | 7.26 | 11.83 | 4.54 | 2.89 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 6.1 |
Consumer Discretionary | 5.7 |
Consumer Staples | 7.2 |
Energy | 6.0 |
Financials | 17.9 |
Health Care | 10.3 |
Industrials | 16.7 |
Information Technology | 16.5 |
Materials | 10.6 |
Utilities | 3.0 |
Total | 100.0 |
Country breakdown (%) (at February 29, 2024) | |
Australia | 1.4 |
Canada | 8.6 |
Denmark | 2.4 |
France | 10.2 |
Germany | 11.6 |
Hong Kong | 4.0 |
Indonesia | 1.2 |
Ireland | 4.5 |
Japan | 6.2 |
Mexico | 2.0 |
Netherlands | 2.8 |
Norway | 0.9 |
Singapore | 0.9 |
South Korea | 3.8 |
Spain | 2.6 |
Sweden | 1.4 |
Switzerland | 5.0 |
Taiwan | 5.9 |
United Kingdom | 15.3 |
United States(a) | 9.3 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,086.50 | 1,018.65 | 6.48 | 6.27 | 1.25 |
Advisor Class | 1,000.00 | 1,000.00 | 1,087.80 | 1,019.89 | 5.19 | 5.02 | 1.00 |
Class C | 1,000.00 | 1,000.00 | 1,082.20 | 1,014.92 | 10.35 | 10.02 | 2.00 |
Institutional Class | 1,000.00 | 1,000.00 | 1,087.90 | 1,019.89 | 5.19 | 5.02 | 1.00 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,088.80 | 1,020.59 | 4.47 | 4.32 | 0.86 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,088.30 | 1,020.84 | 4.21 | 4.07 | 0.81 |
Class R | 1,000.00 | 1,000.00 | 1,084.90 | 1,017.40 | 7.78 | 7.52 | 1.50 |
Common Stocks 96.3% | ||
Issuer | Shares | Value ($) |
Australia 1.4% | ||
Telstra Corp., Ltd. | 3,068,570 | 7,624,519 |
Canada 8.5% | ||
Canadian National Railway Co. | 103,116 | 13,370,167 |
Manulife Financial Corp. | 486,247 | 11,540,372 |
Nutrien Ltd. | 169,317 | 8,837,944 |
Royal Bank of Canada | 54,890 | 5,330,658 |
TC Energy Corp. | 212,045 | 8,387,117 |
Total | 47,466,258 | |
Denmark 2.4% | ||
Novo Nordisk A/S | 76,733 | 9,159,287 |
Tryg AS | 194,829 | 4,143,277 |
Total | 13,302,564 | |
France 10.2% | ||
AXA SA | 370,428 | 13,187,947 |
BNP Paribas SA | 186,546 | 11,196,502 |
Capgemini SE | 17,154 | 4,172,605 |
Cie de Saint-Gobain SA | 133,221 | 10,270,095 |
Schneider Electric SE | 31,038 | 7,054,700 |
TotalEnergies SE | 166,901 | 10,638,136 |
Total | 56,519,985 | |
Germany 11.6% | ||
Adidas AG | 59,014 | 11,937,368 |
Deutsche Telekom AG, Registered Shares | 562,925 | 13,380,159 |
E.ON SE | 587,320 | 7,499,669 |
SAP SE | 72,248 | 13,538,799 |
Siemens AG, Registered Shares | 90,977 | 18,010,622 |
Total | 64,366,617 | |
Hong Kong 3.9% | ||
AIA Group Ltd. | 1,464,000 | 11,801,578 |
ASMPT Ltd. | 231,200 | 2,835,560 |
Hong Kong Exchanges and Clearing Ltd. | 238,000 | 7,330,062 |
Total | 21,967,200 | |
Indonesia 1.2% | ||
PT Bank Rakyat Indonesia Persero Tbk | 17,184,852 | 6,696,662 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 4.5% | ||
Bank of Ireland Group PLC | 940,851 | 8,216,440 |
CRH PLC | 90,324 | 7,523,115 |
Smurfit Kappa Group PLC | 219,610 | 9,403,093 |
Total | 25,142,648 | |
Japan 6.2% | ||
SMC Corp. | 24,500 | 14,787,619 |
Tokyo Electron Ltd. | 30,000 | 7,443,267 |
Toyota Motor Corp. | 507,100 | 12,214,227 |
Total | 34,445,113 | |
Mexico 2.0% | ||
Grupo Financiero Banorte SAB de CV, Class O | 1,071,789 | 11,086,225 |
Netherlands 2.8% | ||
Akzo Nobel NV | 100,448 | 7,321,567 |
Shell PLC | 262,541 | 8,248,836 |
Total | 15,570,403 | |
Norway 0.9% | ||
Equinor ASA | 192,692 | 4,747,696 |
Singapore 0.9% | ||
DBS Group Holdings Ltd. | 213,700 | 5,298,752 |
South Korea 3.8% | ||
Samsung Electronics Co., Ltd. | 380,639 | 21,008,578 |
Spain 2.6% | ||
Iberdrola SA | 722,079 | 8,293,191 |
Industria de Diseno Textil SA | 140,905 | 6,268,598 |
Total | 14,561,789 | |
Sweden 1.4% | ||
Sandvik AB | 347,957 | 7,835,045 |
Switzerland 5.0% | ||
DSM-Firmenich AG | 86,617 | 9,282,611 |
Nestlé SA, Registered Shares | 104,219 | 10,809,304 |
Novartis AG, ADR | 76,142 | 7,688,058 |
Total | 27,779,973 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Taiwan 5.8% | ||
MediaTek, Inc. | 307,000 | 11,078,500 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 975,000 | 21,366,659 |
Total | 32,445,159 | |
United Kingdom 15.2% | ||
Anglo American PLC | 444,854 | 9,585,256 |
Ashtead Group PLC | 60,512 | 4,352,313 |
BT Group PLC | 5,494,839 | 7,253,040 |
ConvaTec Group PLC | 1,754,258 | 5,459,838 |
Diageo PLC | 211,187 | 7,912,186 |
Experian PLC | 216,118 | 9,255,377 |
GSK PLC | 564,773 | 11,814,181 |
Reckitt Benckiser Group PLC | 141,098 | 8,914,985 |
RELX PLC | 106,218 | 4,651,112 |
Unilever PLC | 221,125 | 10,823,702 |
WPP PLC | 499,254 | 4,466,583 |
Total | 84,488,573 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 6.0% | ||
Linde PLC | 10,935 | 4,907,847 |
Medtronic PLC | 108,104 | 9,011,549 |
Roche Holding AG, Genusschein Shares | 46,937 | 12,272,206 |
TE Connectivity Ltd. | 48,385 | 6,946,151 |
Total | 33,137,753 | |
Total Common Stocks (Cost $467,133,890) | 535,491,512 | |
Money Market Funds 3.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(a),(b) | 18,161,767 | 18,158,135 |
Total Money Market Funds (Cost $18,157,404) | 18,158,135 | |
Total Investments in Securities (Cost $485,291,294) | 553,649,647 | |
Other Assets & Liabilities, Net | 2,262,453 | |
Net Assets | $555,912,100 |
(a) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(b) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
23,424,355 | 49,835,101 | (55,098,445 ) | (2,876 ) | 18,158,135 | 3,771 | 354,631 | 18,161,767 |
ADR | American Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 7,624,519 | — | 7,624,519 |
Canada | 47,466,258 | — | — | 47,466,258 |
Denmark | — | 13,302,564 | — | 13,302,564 |
France | — | 56,519,985 | — | 56,519,985 |
Germany | — | 64,366,617 | — | 64,366,617 |
Hong Kong | — | 21,967,200 | — | 21,967,200 |
Indonesia | — | 6,696,662 | — | 6,696,662 |
Ireland | — | 25,142,648 | — | 25,142,648 |
Japan | — | 34,445,113 | — | 34,445,113 |
Mexico | 11,086,225 | — | — | 11,086,225 |
Netherlands | — | 15,570,403 | — | 15,570,403 |
Norway | — | 4,747,696 | — | 4,747,696 |
Singapore | — | 5,298,752 | — | 5,298,752 |
South Korea | — | 21,008,578 | — | 21,008,578 |
Spain | — | 14,561,789 | — | 14,561,789 |
Sweden | — | 7,835,045 | — | 7,835,045 |
Switzerland | 7,688,058 | 20,091,915 | — | 27,779,973 |
Taiwan | — | 32,445,159 | — | 32,445,159 |
United Kingdom | — | 84,488,573 | — | 84,488,573 |
United States | 20,865,547 | 12,272,206 | — | 33,137,753 |
Total Common Stocks | 87,106,088 | 448,385,424 | — | 535,491,512 |
Money Market Funds | 18,158,135 | — | — | 18,158,135 |
Total Investments in Securities | 105,264,223 | 448,385,424 | — | 553,649,647 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $467,133,890) | $535,491,512 |
Affiliated issuers (cost $18,157,404) | 18,158,135 |
Receivable for: | |
Capital shares sold | 325,369 |
Dividends | 784,361 |
Foreign tax reclaims | 1,723,971 |
Expense reimbursement due from Investment Manager | 1,087 |
Prepaid expenses | 3,993 |
Deferred compensation of board members | 187,045 |
Other assets | 21,869 |
Total assets | 556,697,342 |
Liabilities | |
Payable for: | |
Capital shares redeemed | 498,387 |
Management services fees | 11,607 |
Distribution and/or service fees | 650 |
Transfer agent fees | 37,751 |
Compensation of chief compliance officer | 51 |
Compensation of board members | 2,097 |
Other expenses | 25,613 |
Deferred compensation of board members | 209,086 |
Total liabilities | 785,242 |
Net assets applicable to outstanding capital stock | $555,912,100 |
Represented by | |
Paid in capital | 481,377,379 |
Total distributable earnings (loss) | 74,534,721 |
Total - representing net assets applicable to outstanding capital stock | $555,912,100 |
Class A | |
Net assets | $86,830,982 |
Shares outstanding | 4,431,221 |
Net asset value per share | $19.60 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $20.80 |
Advisor Class | |
Net assets | $11,411,176 |
Shares outstanding | 576,148 |
Net asset value per share | $19.81 |
Class C | |
Net assets | $1,800,656 |
Shares outstanding | 99,809 |
Net asset value per share | $18.04 |
Institutional Class | |
Net assets | $346,219,907 |
Shares outstanding | 17,592,425 |
Net asset value per share | $19.68 |
Institutional 2 Class | |
Net assets | $31,409,652 |
Shares outstanding | 1,601,300 |
Net asset value per share | $19.62 |
Institutional 3 Class | |
Net assets | $77,656,326 |
Shares outstanding | 3,951,264 |
Net asset value per share | $19.65 |
Class R | |
Net assets | $583,401 |
Shares outstanding | 29,838 |
Net asset value per share | $19.55 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $5,574,296 |
Dividends — affiliated issuers | 354,631 |
Foreign taxes withheld | (621,001 ) |
Total income | 5,307,926 |
Expenses: | |
Management services fees | 2,054,437 |
Distribution and/or service fees | |
Class A | 102,023 |
Class C | 8,642 |
Class R | 1,371 |
Transfer agent fees | |
Class A | 95,906 |
Advisor Class | 17,972 |
Class C | 2,031 |
Institutional Class | 389,871 |
Institutional 2 Class | 9,108 |
Institutional 3 Class | 2,092 |
Class R | 644 |
Custodian fees | 37,735 |
Printing and postage fees | 21,874 |
Registration fees | 55,636 |
Accounting services fees | 18,607 |
Legal fees | 10,470 |
Interest on interfund lending | 81 |
Compensation of chief compliance officer | 51 |
Compensation of board members | 8,638 |
Deferred compensation of board members | 3,113 |
Other | 8,909 |
Total expenses | 2,849,211 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (126,413 ) |
Expense reduction | (39,763 ) |
Total net expenses | 2,683,035 |
Net investment income | 2,624,891 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,908,662 |
Investments — affiliated issuers | 3,771 |
Foreign currency translations | (47,543 ) |
Net realized gain | 7,864,890 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 34,812,292 |
Investments — affiliated issuers | (2,876 ) |
Foreign currency translations | 9,406 |
Net change in unrealized appreciation (depreciation) | 34,818,822 |
Net realized and unrealized gain | 42,683,712 |
Net increase in net assets resulting from operations | $45,308,603 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $2,624,891 | $11,409,609 |
Net realized gain | 7,864,890 | 9,417,959 |
Net change in unrealized appreciation (depreciation) | 34,818,822 | 50,187,865 |
Net increase in net assets resulting from operations | 45,308,603 | 71,015,433 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (1,842,124 ) | (1,603,226 ) |
Advisor Class | (371,070 ) | (293,645 ) |
Class C | (35,918 ) | (21,016 ) |
Institutional Class | (7,860,978 ) | (7,431,876 ) |
Institutional 2 Class | (787,338 ) | (408,931 ) |
Institutional 3 Class | (1,784,040 ) | (1,415,310 ) |
Class R | (11,810 ) | (5,006 ) |
Total distributions to shareholders | (12,693,278 ) | (11,179,010 ) |
Increase (decrease) in net assets from capital stock activity | (17,914,307 ) | 39,107,918 |
Total increase in net assets | 14,701,018 | 98,944,341 |
Net assets at beginning of period | 541,211,082 | 442,266,741 |
Net assets at end of period | $555,912,100 | $541,211,082 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 248,437 | 4,641,862 | 508,728 | 8,934,122 |
Distributions reinvested | 92,155 | 1,721,941 | 86,343 | 1,493,565 |
Shares redeemed | (273,278 ) | (5,083,728 ) | (622,930 ) | (10,991,239 ) |
Net increase (decrease) | 67,314 | 1,280,075 | (27,859 ) | (563,552 ) |
Advisor Class | ||||
Shares sold | 90,184 | 1,709,714 | 952,944 | 17,165,564 |
Distributions reinvested | 19,810 | 371,016 | 16,319 | 293,595 |
Shares redeemed | (637,311 ) | (11,745,518 ) | (153,538 ) | (2,804,765 ) |
Net increase (decrease) | (527,317 ) | (9,664,788 ) | 815,725 | 14,654,394 |
Class C | ||||
Shares sold | 16,894 | 284,294 | 23,160 | 384,562 |
Distributions reinvested | 2,083 | 35,917 | 1,310 | 21,016 |
Shares redeemed | (16,435 ) | (281,663 ) | (29,269 ) | (448,813 ) |
Net increase (decrease) | 2,542 | 38,548 | (4,799 ) | (43,235 ) |
Institutional Class | ||||
Shares sold | 375,810 | 7,103,639 | 839,836 | 14,914,305 |
Distributions reinvested | 405,485 | 7,603,186 | 414,584 | 7,179,572 |
Shares redeemed | (1,099,110 ) | (20,632,637 ) | (1,948,895 ) | (34,483,776 ) |
Net decrease | (317,815 ) | (5,925,812 ) | (694,475 ) | (12,389,899 ) |
Institutional 2 Class | ||||
Shares sold | 74,178 | 1,392,507 | 1,329,300 | 24,877,218 |
Distributions reinvested | 41,884 | 780,769 | 23,809 | 408,780 |
Shares redeemed | (399,128 ) | (7,490,998 ) | (598,488 ) | (9,781,505 ) |
Net increase (decrease) | (283,066 ) | (5,317,722 ) | 754,621 | 15,504,493 |
Institutional 3 Class | ||||
Shares sold | 243,609 | 4,555,945 | 1,501,345 | 26,894,743 |
Distributions reinvested | 95,313 | 1,783,985 | 81,037 | 1,415,256 |
Shares redeemed | (249,887 ) | (4,685,774 ) | (381,422 ) | (6,757,809 ) |
Net increase | 89,035 | 1,654,156 | 1,200,960 | 21,552,190 |
Class R | ||||
Shares sold | 1,203 | 22,218 | 22,101 | 406,037 |
Distributions reinvested | 633 | 11,810 | 282 | 5,006 |
Shares redeemed | (670 ) | (12,792 ) | (971 ) | (17,516 ) |
Net increase | 1,166 | 21,236 | 21,412 | 393,527 |
Total net increase (decrease) | (968,141 ) | (17,914,307 ) | 2,065,585 | 39,107,918 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.45 | 0.07 | 1.50 | 1.57 | (0.24 ) | (0.18 ) | (0.42 ) |
Year Ended 8/31/2023 | $16.22 | 0.37 | 2.23 | 2.60 | (0.37 ) | — | (0.37 ) |
Year Ended 8/31/2022 | $21.61 | 0.35 (e) | (3.97 ) | (3.62 ) | (0.42 ) | (1.35 ) | (1.77 ) |
Year Ended 8/31/2021 | $17.70 | 0.30 | 4.20 | 4.50 | (0.20 ) | (0.39 ) | (0.59 ) |
Year Ended 8/31/2020 | $17.88 | 0.37 | 0.07 | 0.44 | (0.42 ) | (0.20 ) | (0.62 ) |
Year Ended 8/31/2019 | $18.83 | 0.45 | (0.54 ) | (0.09 ) | (0.49 ) | (0.37 ) | (0.86 ) |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.64 | 0.09 | 1.52 | 1.61 | (0.26 ) | (0.18 ) | (0.44 ) |
Year Ended 8/31/2023 | $16.39 | 0.56 | 2.10 | 2.66 | (0.41 ) | — | (0.41 ) |
Year Ended 8/31/2022 | $21.81 | 0.45 (e) | (4.05 ) | (3.60 ) | (0.47 ) | (1.35 ) | (1.82 ) |
Year Ended 8/31/2021 | $17.86 | 0.36 | 4.23 | 4.59 | (0.25 ) | (0.39 ) | (0.64 ) |
Year Ended 8/31/2020 | $18.04 | 0.40 | 0.08 | 0.48 | (0.46 ) | (0.20 ) | (0.66 ) |
Year Ended 8/31/2019 | $18.99 | 0.51 | (0.55 ) | (0.04 ) | (0.54 ) | (0.37 ) | (0.91 ) |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $17.02 | (0.00 )(g) | 1.38 | 1.38 | (0.18 ) | (0.18 ) | (0.36 ) |
Year Ended 8/31/2023 | $14.98 | 0.21 | 2.06 | 2.27 | (0.23 ) | — | (0.23 ) |
Year Ended 8/31/2022 | $20.07 | 0.24 (e) | (3.71 ) | (3.47 ) | (0.27 ) | (1.35 ) | (1.62 ) |
Year Ended 8/31/2021 | $16.50 | 0.11 | 3.95 | 4.06 | (0.10 ) | (0.39 ) | (0.49 ) |
Year Ended 8/31/2020 | $16.70 | 0.22 | 0.06 | 0.28 | (0.28 ) | (0.20 ) | (0.48 ) |
Year Ended 8/31/2019 | $17.63 | 0.29 | (0.49 ) | (0.20 ) | (0.36 ) | (0.37 ) | (0.73 ) |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.52 | 0.09 | 1.51 | 1.60 | (0.26 ) | (0.18 ) | (0.44 ) |
Year Ended 8/31/2023 | $16.29 | 0.41 | 2.23 | 2.64 | (0.41 ) | — | (0.41 ) |
Year Ended 8/31/2022 | $21.69 | 0.40 (e) | (3.98 ) | (3.58 ) | (0.47 ) | (1.35 ) | (1.82 ) |
Year Ended 8/31/2021 | $17.76 | 0.35 | 4.22 | 4.57 | (0.25 ) | (0.39 ) | (0.64 ) |
Year Ended 8/31/2020 | $17.95 | 0.41 | 0.06 | 0.47 | (0.46 ) | (0.20 ) | (0.66 ) |
Year Ended 8/31/2019 | $18.90 | 0.50 | (0.54 ) | (0.04 ) | (0.54 ) | (0.37 ) | (0.91 ) |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.46 | 0.10 | 1.51 | 1.61 | (0.27 ) | (0.18 ) | (0.45 ) |
Year Ended 8/31/2023 | $16.24 | 0.44 | 2.21 | 2.65 | (0.43 ) | — | (0.43 ) |
Year Ended 8/31/2022 | $21.63 | 0.55 (e) | (4.09 ) | (3.54 ) | (0.50 ) | (1.35 ) | (1.85 ) |
Year Ended 8/31/2021 | $17.72 | 0.38 | 4.20 | 4.58 | (0.28 ) | (0.39 ) | (0.67 ) |
Year Ended 8/31/2020 | $17.90 | 0.44 | 0.07 | 0.51 | (0.49 ) | (0.20 ) | (0.69 ) |
Year Ended 8/31/2019 | $18.85 | 0.56 | (0.58 ) | (0.02 ) | (0.56 ) | (0.37 ) | (0.93 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.60 | 8.65% | 1.32% (c) | 1.25% (c),(d) | 0.74% | 17% | $86,831 |
Year Ended 8/31/2023 | $18.45 | 16.17% | 1.35% | 1.27% (d) | 2.07% | 31% | $80,500 |
Year Ended 8/31/2022 | $16.22 | (18.02% ) | 1.34% (c) | 1.26% (c),(d) | 1.82% | 34% | $71,242 |
Year Ended 8/31/2021 | $21.61 | 25.78% | 1.34% (c),(f) | 1.24% (c),(d),(f) | 1.51% | 28% | $82,701 |
Year Ended 8/31/2020 | $17.70 | 2.65% | 1.38% (c) | 1.24% (c),(d) | 2.09% | 91% | $71,493 |
Year Ended 8/31/2019 | $17.88 | (0.16% ) | 1.44% | 1.25% | 2.56% | 56% | $78,887 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.81 | 8.78% | 1.06% (c) | 1.00% (c),(d) | 0.92% | 17% | $11,411 |
Year Ended 8/31/2023 | $18.64 | 16.41% | 1.10% | 1.02% (d) | 3.07% | 31% | $20,567 |
Year Ended 8/31/2022 | $16.39 | (17.78% ) | 1.12% (c) | 1.02% (c),(d) | 2.50% | 34% | $4,715 |
Year Ended 8/31/2021 | $21.81 | 26.08% | 1.09% (c),(f) | 0.99% (c),(d),(f) | 1.77% | 28% | $534 |
Year Ended 8/31/2020 | $17.86 | 2.90% | 1.12% (c) | 0.98% (c),(d) | 2.16% | 91% | $293 |
Year Ended 8/31/2019 | $18.04 | 0.10% | 1.19% | 1.00% | 2.84% | 56% | $1,027 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.04 | 8.22% | 2.07% (c) | 2.00% (c),(d) | (0.02% ) | 17% | $1,801 |
Year Ended 8/31/2023 | $17.02 | 15.28% | 2.10% | 2.02% (d) | 1.29% | 31% | $1,655 |
Year Ended 8/31/2022 | $14.98 | (18.61% ) | 2.10% (c) | 2.01% (c),(d) | 1.37% | 34% | $1,529 |
Year Ended 8/31/2021 | $20.07 | 24.86% | 2.09% (c),(f) | 1.99% (c),(d),(f) | 0.62% | 28% | $864 |
Year Ended 8/31/2020 | $16.50 | 1.83% | 2.13% (c) | 1.98% (c),(d) | 1.30% | 91% | $1,100 |
Year Ended 8/31/2019 | $16.70 | (0.86% ) | 2.19% | 2.00% | 1.72% | 56% | $1,745 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.68 | 8.79% | 1.07% (c) | 1.00% (c),(d) | 0.98% | 17% | $346,220 |
Year Ended 8/31/2023 | $18.52 | 16.39% | 1.10% | 1.02% (d) | 2.30% | 31% | $331,734 |
Year Ended 8/31/2022 | $16.29 | (17.78% ) | 1.09% (c) | 1.01% (c),(d) | 2.06% | 34% | $303,028 |
Year Ended 8/31/2021 | $21.69 | 26.11% | 1.09% (c),(f) | 0.99% (c),(d),(f) | 1.76% | 28% | $374,189 |
Year Ended 8/31/2020 | $17.76 | 2.86% | 1.13% (c) | 0.99% (c),(d) | 2.34% | 91% | $325,493 |
Year Ended 8/31/2019 | $17.95 | 0.10% | 1.19% | 1.00% | 2.83% | 56% | $354,127 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.62 | 8.88% | 0.88% (c) | 0.86% (c) | 1.12% | 17% | $31,410 |
Year Ended 8/31/2023 | $18.46 | 16.56% | 0.91% | 0.88% | 2.52% | 31% | $34,789 |
Year Ended 8/31/2022 | $16.24 | (17.66% ) | 0.92% (c) | 0.88% (c) | 3.06% | 34% | $18,344 |
Year Ended 8/31/2021 | $21.63 | 26.23% | 0.91% (c),(f) | 0.86% (c),(f) | 1.88% | 28% | $1,219 |
Year Ended 8/31/2020 | $17.72 | 3.07% | 0.90% (c) | 0.86% (c) | 2.49% | 91% | $873 |
Year Ended 8/31/2019 | $17.90 | 0.23% | 0.91% | 0.87% | 3.13% | 56% | $1,337 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.50 | 0.11 | 1.50 | 1.61 | (0.28 ) | (0.18 ) | (0.46 ) |
Year Ended 8/31/2023 | $16.27 | 0.47 | 2.20 | 2.67 | (0.44 ) | — | (0.44 ) |
Year Ended 8/31/2022 | $21.67 | 0.43 (e) | (3.97 ) | (3.54 ) | (0.51 ) | (1.35 ) | (1.86 ) |
Year Ended 8/31/2021 | $17.75 | 0.39 | 4.21 | 4.60 | (0.29 ) | (0.39 ) | (0.68 ) |
Year Ended 8/31/2020 | $17.94 | 0.45 | 0.06 | 0.51 | (0.50 ) | (0.20 ) | (0.70 ) |
Year Ended 8/31/2019 | $18.89 | 0.51 | (0.52 ) | (0.01 ) | (0.57 ) | (0.37 ) | (0.94 ) |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $18.41 | 0.05 | 1.49 | 1.54 | (0.22 ) | (0.18 ) | (0.40 ) |
Year Ended 8/31/2023 | $16.19 | 0.40 | 2.14 | 2.54 | (0.32 ) | — | (0.32 ) |
Year Ended 8/31/2022 | $21.57 | 0.31 (e) | (3.97 ) | (3.66 ) | (0.37 ) | (1.35 ) | (1.72 ) |
Year Ended 8/31/2021 | $17.67 | 0.26 | 4.19 | 4.45 | (0.16 ) | (0.39 ) | (0.55 ) |
Year Ended 8/31/2020 | $17.85 | 0.32 | 0.07 | 0.39 | (0.37 ) | (0.20 ) | (0.57 ) |
Year Ended 8/31/2019 | $18.80 | 0.25 | (0.38 ) | (0.13 ) | (0.45 ) | (0.37 ) | (0.82 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | The benefits derived from expense reductions had an impact of: |
Class | 2/29/2024 | 8/31/2023 | 8/31/2022 | 8/31/2021 | 8/31/2020 | 8/31/2019 |
Class A | 0.01% | 0.01% | 0.01% | 0.01% | 0.02% | —% |
Advisor Class | 0.01% | 0.01% | 0.00% | 0.01% | 0.03% | —% |
Class C | 0.01% | 0.01% | 0.01% | 0.02% | 0.02% | —% |
Institutional Class | 0.01% | 0.01% | 0.01% | 0.01% | 0.02% | —% |
Class R | 0.01% | 0.01% | 0.01% | 0.01% | 0.02% | —% |
(e) | Net investment income per share includes European Union tax reclaims. The effect of these reclaims amounted to $0.01 per share. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
(g) | Rounds to zero. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.65 | 8.83% | 0.84% (c) | 0.81% (c) | 1.18% | 17% | $77,656 |
Year Ended 8/31/2023 | $18.50 | 16.65% | 0.86% | 0.83% | 2.65% | 31% | $71,437 |
Year Ended 8/31/2022 | $16.27 | (17.63% ) | 0.85% (c) | 0.82% (c) | 2.24% | 34% | $43,292 |
Year Ended 8/31/2021 | $21.67 | 26.30% | 0.86% (c),(f) | 0.81% (c),(f) | 1.95% | 28% | $42,318 |
Year Ended 8/31/2020 | $17.75 | 3.07% | 0.85% (c) | 0.81% (c) | 2.58% | 91% | $36,384 |
Year Ended 8/31/2019 | $17.94 | 0.29% | 0.85% | 0.81% | 2.87% | 56% | $47,630 |
Class R | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $19.55 | 8.49% | 1.57% (c) | 1.50% (c),(d) | 0.49% | 17% | $583 |
Year Ended 8/31/2023 | $18.41 | 15.85% | 1.60% | 1.52% (d) | 2.23% | 31% | $528 |
Year Ended 8/31/2022 | $16.19 | (18.22% ) | 1.59% (c) | 1.50% (c),(d) | 1.61% | 34% | $118 |
Year Ended 8/31/2021 | $21.57 | 25.48% | 1.59% (c),(f) | 1.49% (c),(d),(f) | 1.28% | 28% | $135 |
Year Ended 8/31/2020 | $17.67 | 2.37% | 1.63% (c) | 1.49% (c),(d) | 1.84% | 91% | $104 |
Year Ended 8/31/2019 | $17.85 | (0.41% ) | 1.70% | 1.50% | 1.41% | 56% | $117 |
Effective rate (%) | |
Class A | 0.24 |
Advisor Class | 0.24 |
Class C | 0.24 |
Institutional Class | 0.24 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Class R | 0.24 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 30,704 |
Class C | — | 1.00 (b) | 99 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 1.23 % | 1.27 % |
Advisor Class | 0.98 | 1.02 |
Class C | 1.98 | 2.02 |
Institutional Class | 0.98 | 1.02 |
Institutional 2 Class | 0.84 | 0.88 |
Institutional 3 Class | 0.79 | 0.83 |
Class R | 1.48 | 1.52 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
485,291,000 | 104,319,000 | (35,960,000 ) | 68,359,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 500,000 | 5.86 | 1 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Class A | Excluding sales charges | 11/01/02 | 22.32 | 57.16 | 20.92 | 19.09 |
Including sales charges | 15.28 | 48.13 | 19.49 | 18.39 | ||
Advisor Class | 11/08/12 | 22.47 | 57.55 | 21.22 | 19.39 | |
Class C | Excluding sales charges | 10/13/03 | 21.88 | 55.99 | 20.01 | 18.20 |
Including sales charges | 20.88 | 54.99 | 20.01 | 18.20 | ||
Institutional Class | 11/09/00 | 22.48 | 57.54 | 21.22 | 19.39 | |
Institutional 2 Class | 11/08/12 | 22.52 | 57.66 | 21.29 | 19.49 | |
Institutional 3 Class* | 03/01/16 | 22.54 | 57.73 | 21.35 | 19.51 | |
S&P Global 1200 Information Technology Index (Net) | 20.91 | 54.25 | 23.64 | 19.52 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 8.7 |
Consumer Discretionary | 5.1 |
Financials | 5.9 |
Health Care | 0.1 |
Industrials | 2.1 |
Information Technology | 77.7 |
Real Estate | 0.4 |
Total | 100.0 |
Equity sub-industry breakdown (%) (at February 29, 2024) | |
Information Technology | |
Application Software | 11.5 |
Communications Equipment | 1.9 |
Electronic Components | 0.6 |
Electronic Equipment & Instruments | 0.8 |
Electronic Manufacturing Services | 0.4 |
Internet Services & Infrastructure | 2.1 |
IT Consulting & Other Services | 1.3 |
Semiconductor Materials & Equipment | 8.8 |
Semiconductors | 25.0 |
Systems Software | 14.8 |
Technology Distributors | 0.4 |
Technology Hardware, Storage & Peripherals | 10.1 |
Total | 77.7 |
Country breakdown (%) (at February 29, 2024) | |
Canada | 0.6 |
China | 0.1 |
France | 0.2 |
Germany | 0.6 |
Ireland | 1.1 |
Israel | 0.1 |
Japan | 0.5 |
Netherlands | 4.0 |
Norway | 0.1 |
South Korea | 0.8 |
Taiwan | 1.7 |
United Kingdom | 0.6 |
United States(a) | 89.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Class A | 1,000.00 | 1,000.00 | 1,223.20 | 1,019.00 | 6.52 | 5.92 | 1.18 |
Advisor Class | 1,000.00 | 1,000.00 | 1,224.70 | 1,020.24 | 5.14 | 4.67 | 0.93 |
Class C | 1,000.00 | 1,000.00 | 1,218.80 | 1,015.27 | 10.65 | 9.67 | 1.93 |
Institutional Class | 1,000.00 | 1,000.00 | 1,224.80 | 1,020.24 | 5.14 | 4.67 | 0.93 |
Institutional 2 Class | 1,000.00 | 1,000.00 | 1,225.20 | 1,020.54 | 4.81 | 4.37 | 0.87 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,225.40 | 1,020.79 | 4.54 | 4.12 | 0.82 |
Common Stocks 98.4% | ||
Issuer | Shares | Value ($) |
Canada 0.6% | ||
Shopify, Inc., Class A(a) | 237,284 | 18,121,379 |
China 0.1% | ||
Alibaba Group Holding Ltd., ADR | 15,011 | 1,111,264 |
Tencent Holdings Ltd. | 36,600 | 1,282,121 |
Total | 2,393,385 | |
France 0.2% | ||
Dassault Systemes SE | 129,552 | 6,070,951 |
Germany 0.6% | ||
SAP SE, ADR | 91,229 | 17,139,192 |
Ireland 1.1% | ||
Accenture PLC, Class A | 92,550 | 34,685,889 |
Israel 0.1% | ||
Global-e Online Ltd.(a) | 86,025 | 2,913,667 |
Japan 0.5% | ||
Keyence Corp. | 33,700 | 15,793,705 |
Netherlands 4.0% | ||
ASML Holding NV | 83,297 | 79,272,089 |
NXP Semiconductors NV | 129,601 | 32,365,258 |
STMicroelectronics NV, Registered Shares | 288,020 | 13,139,472 |
Total | 124,776,819 | |
Norway 0.1% | ||
SmartCraft ASA(a) | 1,512,821 | 3,703,252 |
South Korea 0.8% | ||
Samsung Electronics Co., Ltd. | 457,633 | 25,258,101 |
Taiwan 1.7% | ||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 407,106 | 52,382,329 |
United Kingdom 0.6% | ||
RELX PLC | 281,674 | 12,338,478 |
Sage Group PLC (The) | 334,426 | 5,268,082 |
Total | 17,606,560 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
United States 88.0% | ||
Adobe, Inc.(a) | 74,778 | 41,896,618 |
Advanced Micro Devices, Inc.(a) | 295,203 | 56,835,434 |
Airbnb, Inc., Class A(a) | 52,967 | 8,340,713 |
Akamai Technologies, Inc.(a) | 50,052 | 5,551,768 |
Alphabet, Inc., Class A(a) | 804,839 | 111,438,008 |
Amazon.com, Inc.(a) | 589,363 | 104,175,804 |
Amphenol Corp., Class A | 124,984 | 13,653,252 |
Analog Devices, Inc. | 146,452 | 28,092,423 |
ANSYS, Inc.(a) | 45,358 | 15,157,283 |
Apple, Inc. | 1,376,021 | 248,715,796 |
Applied Materials, Inc. | 281,119 | 56,679,213 |
Arista Networks, Inc.(a) | 69,281 | 19,228,249 |
Atlassian Corp., Class A(a) | 70,281 | 14,577,685 |
Autodesk, Inc.(a) | 46,152 | 11,915,062 |
Automatic Data Processing, Inc. | 40,626 | 10,202,407 |
BILL Holdings, Inc.(a) | 60,227 | 3,814,176 |
Block, Inc., Class A(a) | 140,983 | 11,203,919 |
Booking Holdings, Inc.(a) | 4,391 | 15,231,633 |
Broadcom, Inc. | 116,624 | 151,668,346 |
Cadence Design Systems, Inc.(a) | 84,351 | 25,674,757 |
CDW Corp. | 51,449 | 12,667,258 |
Cisco Systems, Inc. | 422,856 | 20,453,545 |
Comcast Corp., Class A | 100,730 | 4,316,280 |
Corning, Inc. | 119,660 | 3,857,838 |
CoStar Group, Inc.(a) | 100,334 | 8,732,068 |
Crowdstrike Holdings, Inc., Class A(a) | 119,956 | 38,883,737 |
Datadog, Inc., Class A(a) | 5,396 | 709,358 |
Dell Technologies, Inc. | 10,785 | 1,020,908 |
DoorDash, Inc., Class A(a) | 25,386 | 3,162,334 |
Dynatrace, Inc.(a) | 68,474 | 3,392,887 |
Electronic Arts, Inc. | 51,242 | 7,147,234 |
Endeavor Group Holdings, Inc., Class A | 153,559 | 3,693,094 |
EPAM Systems, Inc.(a) | 12,277 | 3,737,119 |
Fidelity National Information Services, Inc. | 95,972 | 6,640,303 |
Fiserv, Inc.(a) | 80,884 | 12,073,555 |
Fortinet, Inc.(a) | 151,544 | 10,473,206 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gartner, Inc.(a) | 2,436 | 1,134,104 |
Global Payments, Inc. | 60,434 | 7,838,290 |
HP, Inc. | 141,189 | 3,999,884 |
HubSpot, Inc.(a) | 23,819 | 14,739,435 |
Intel Corp. | 321,438 | 13,837,906 |
Intuit, Inc. | 67,055 | 44,450,089 |
Keysight Technologies, Inc.(a) | 64,961 | 10,023,482 |
KLA Corp. | 29,507 | 20,132,626 |
Lam Research Corp. | 118,709 | 111,378,719 |
Marvell Technology, Inc. | 561,724 | 40,253,142 |
MasterCard, Inc., Class A | 118,097 | 56,067,732 |
Match Group, Inc.(a) | 72,944 | 2,628,902 |
Meta Platforms, Inc., Class A | 147,896 | 72,488,266 |
Microchip Technology, Inc. | 147,022 | 12,370,431 |
Micron Technology, Inc. | 182,413 | 16,528,442 |
Microsoft Corp. | 749,409 | 309,985,539 |
MongoDB, Inc.(a) | 32,461 | 14,528,894 |
Motorola Solutions, Inc. | 51,603 | 17,049,115 |
MSCI, Inc. | 13,779 | 7,729,606 |
NetApp, Inc. | 161,030 | 14,350,994 |
Netflix, Inc.(a) | 38,603 | 23,274,521 |
NVIDIA Corp. | 384,601 | 304,265,543 |
ON Semiconductor Corp.(a) | 3,713 | 293,030 |
Oracle Corp. | 273,838 | 30,582,228 |
Palo Alto Networks, Inc.(a) | 76,650 | 23,803,657 |
Paycom Software, Inc. | 25,092 | 4,576,530 |
Pure Storage, Inc., Class A(a) | 140,901 | 7,418,438 |
QUALCOMM, Inc. | 145,029 | 22,884,126 |
Salesforce, Inc.(a) | 124,521 | 38,454,575 |
SBA Communications Corp. | 24,625 | 5,152,289 |
ServiceNow, Inc.(a) | 43,303 | 33,401,336 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Shift4 Payments, Inc., Class A(a) | 48,030 | 3,949,027 |
Snowflake, Inc., Class A(a) | 74,089 | 13,949,477 |
Synopsys, Inc.(a) | 150,887 | 86,568,398 |
Take-Two Interactive Software, Inc.(a) | 35,995 | 5,288,745 |
TE Connectivity Ltd. | 75,030 | 10,771,307 |
Tesla, Inc.(a) | 69,406 | 14,011,683 |
Texas Instruments, Inc. | 89,007 | 14,893,541 |
T-Mobile US, Inc. | 73,262 | 11,963,685 |
Trade Desk, Inc. (The), Class A(a) | 113,024 | 9,655,640 |
Tyler Technologies, Inc.(a) | 17,267 | 7,548,096 |
Uber Technologies, Inc.(a) | 460,028 | 36,572,226 |
Veeva Systems Inc., Class A(a) | 14,330 | 3,231,558 |
VeriSign, Inc.(a) | 65,733 | 12,836,998 |
Visa, Inc., Class A | 259,118 | 73,237,112 |
Visteon Corp.(a) | 58,849 | 6,656,999 |
Walt Disney Co. (The) | 90,707 | 10,121,087 |
Western Digital Corp.(a) | 98,274 | 5,844,355 |
Workday, Inc., Class A(a) | 26,532 | 7,817,919 |
Zscaler, Inc.(a) | 9,885 | 2,391,873 |
Total | 2,717,944,867 | |
Total Common Stocks (Cost $829,700,318) | 3,038,790,096 | |
Money Market Funds 1.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(b),(c) | 47,352,062 | 47,342,592 |
Total Money Market Funds (Cost $47,332,606) | 47,342,592 | |
Total Investments in Securities (Cost $877,032,924) | 3,086,132,688 | |
Other Assets & Liabilities, Net | 2,820,191 | |
Net Assets | $3,088,952,879 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
36,781,231 | 96,055,599 | (85,497,750 ) | 3,512 | 47,342,592 | 2,351 | 1,204,685 | 47,352,062 |
ADR | American Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Canada | 18,121,379 | — | — | 18,121,379 |
China | 1,111,264 | 1,282,121 | — | 2,393,385 |
France | — | 6,070,951 | — | 6,070,951 |
Germany | 17,139,192 | — | — | 17,139,192 |
Ireland | 34,685,889 | — | — | 34,685,889 |
Israel | 2,913,667 | — | — | 2,913,667 |
Japan | — | 15,793,705 | — | 15,793,705 |
Netherlands | 124,776,819 | — | — | 124,776,819 |
Norway | — | 3,703,252 | — | 3,703,252 |
South Korea | — | 25,258,101 | — | 25,258,101 |
Taiwan | 52,382,329 | — | — | 52,382,329 |
United Kingdom | — | 17,606,560 | — | 17,606,560 |
United States | 2,717,944,867 | — | — | 2,717,944,867 |
Total Common Stocks | 2,969,075,406 | 69,714,690 | — | 3,038,790,096 |
Money Market Funds | 47,342,592 | — | — | 47,342,592 |
Total Investments in Securities | 3,016,417,998 | 69,714,690 | — | 3,086,132,688 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $829,700,318) | $3,038,790,096 |
Affiliated issuers (cost $47,332,606) | 47,342,592 |
Receivable for: | |
Capital shares sold | 5,200,879 |
Dividends | 1,596,035 |
Foreign tax reclaims | 34,561 |
Prepaid expenses | 16,978 |
Deferred compensation of board members | 137,051 |
Other assets | 46,827 |
Total assets | 3,093,165,019 |
Liabilities | |
Payable for: | |
Investments purchased | 1,230,414 |
Capital shares redeemed | 2,416,261 |
Management services fees | 66,290 |
Distribution and/or service fees | 10,213 |
Transfer agent fees | 248,584 |
Compensation of chief compliance officer | 238 |
Compensation of board members | 4,903 |
Other expenses | 45,210 |
Deferred compensation of board members | 190,027 |
Total liabilities | 4,212,140 |
Net assets applicable to outstanding capital stock | $3,088,952,879 |
Represented by | |
Paid in capital | 884,140,324 |
Total distributable earnings (loss) | 2,204,812,555 |
Total - representing net assets applicable to outstanding capital stock | $3,088,952,879 |
Class A | |
Net assets | $774,376,381 |
Shares outstanding | 10,418,259 |
Net asset value per share | $74.33 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $78.86 |
Advisor Class | |
Net assets | $157,168,686 |
Shares outstanding | 1,972,264 |
Net asset value per share | $79.69 |
Class C | |
Net assets | $184,640,002 |
Shares outstanding | 2,903,135 |
Net asset value per share | $63.60 |
Institutional Class | |
Net assets | $1,168,129,133 |
Shares outstanding | 14,885,759 |
Net asset value per share | $78.47 |
Institutional 2 Class | |
Net assets | $248,675,960 |
Shares outstanding | 3,092,223 |
Net asset value per share | $80.42 |
Institutional 3 Class | |
Net assets | $555,962,717 |
Shares outstanding | 6,881,253 |
Net asset value per share | $80.79 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $8,557,151 |
Dividends — affiliated issuers | 1,204,685 |
Foreign taxes withheld | (245,252 ) |
Total income | 9,516,584 |
Expenses: | |
Management services fees | 10,417,176 |
Distribution and/or service fees | |
Class A | 814,916 |
Class C | 818,545 |
Transfer agent fees | |
Class A | 352,638 |
Advisor Class | 69,008 |
Class C | 88,545 |
Institutional Class | 537,037 |
Institutional 2 Class | 59,035 |
Institutional 3 Class | 14,178 |
Custodian fees | 11,590 |
Printing and postage fees | 54,237 |
Registration fees | 66,734 |
Accounting services fees | 15,454 |
Legal fees | 24,094 |
Compensation of chief compliance officer | 238 |
Compensation of board members | 20,149 |
Deferred compensation of board members | 7,263 |
Other | 22,907 |
Total expenses | 13,393,744 |
Expense reduction | (260 ) |
Total net expenses | 13,393,484 |
Net investment loss | (3,876,900 ) |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 28,548,708 |
Investments — affiliated issuers | 2,351 |
Foreign currency translations | 5,623 |
Net realized gain | 28,556,682 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 535,232,474 |
Investments — affiliated issuers | 3,512 |
Foreign currency translations | (2,422 ) |
Net change in unrealized appreciation (depreciation) | 535,233,564 |
Net realized and unrealized gain | 563,790,246 |
Net increase in net assets resulting from operations | $559,913,346 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment loss | $(3,876,900 ) | $(4,446,686 ) |
Net realized gain | 28,556,682 | 56,846,394 |
Net change in unrealized appreciation (depreciation) | 535,233,564 | 497,130,388 |
Net increase in net assets resulting from operations | 559,913,346 | 549,530,096 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (15,693,336 ) | (15,587,900 ) |
Advisor Class | (2,905,242 ) | (2,386,035 ) |
Class C | (4,583,626 ) | (5,046,799 ) |
Institutional Class | (22,739,082 ) | (22,467,282 ) |
Institutional 2 Class | (4,680,068 ) | (4,364,437 ) |
Institutional 3 Class | (10,354,003 ) | (10,547,931 ) |
Total distributions to shareholders | (60,955,357 ) | (60,400,384 ) |
Increase (decrease) in net assets from capital stock activity | 101,574,728 | (161,139,874 ) |
Total increase in net assets | 600,532,717 | 327,989,838 |
Net assets at beginning of period | 2,488,420,162 | 2,160,430,324 |
Net assets at end of period | $3,088,952,879 | $2,488,420,162 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 1,266,770 | 83,504,426 | 1,548,809 | 81,355,344 |
Distributions reinvested | 216,823 | 14,314,634 | 311,437 | 14,017,782 |
Shares redeemed | (1,113,580 ) | (71,676,305 ) | (2,258,385 ) | (118,177,699 ) |
Net increase (decrease) | 370,013 | 26,142,755 | (398,139 ) | (22,804,573 ) |
Advisor Class | ||||
Shares sold | 530,752 | 36,287,815 | 566,466 | 31,663,955 |
Distributions reinvested | 38,129 | 2,697,265 | 47,968 | 2,304,404 |
Shares redeemed | (222,884 ) | (15,706,409 ) | (605,150 ) | (32,663,039 ) |
Net increase | 345,997 | 23,278,671 | 9,284 | 1,305,320 |
Class C | ||||
Shares sold | 267,372 | 15,001,256 | 277,908 | 12,683,420 |
Distributions reinvested | 77,786 | 4,401,123 | 122,951 | 4,797,557 |
Shares redeemed | (472,284 ) | (26,536,957 ) | (868,424 ) | (37,928,945 ) |
Net decrease | (127,126 ) | (7,134,578 ) | (467,565 ) | (20,447,968 ) |
Institutional Class | ||||
Shares sold | 1,537,140 | 106,009,123 | 2,545,848 | 139,783,376 |
Distributions reinvested | 292,182 | 20,353,409 | 421,361 | 19,938,807 |
Shares redeemed | (1,526,734 ) | (103,803,705 ) | (3,926,739 ) | (205,161,213 ) |
Net increase (decrease) | 302,588 | 22,558,827 | (959,530 ) | (45,439,030 ) |
Institutional 2 Class | ||||
Shares sold | 468,366 | 32,937,277 | 805,090 | 45,269,348 |
Distributions reinvested | 65,558 | 4,679,562 | 90,090 | 4,363,940 |
Shares redeemed | (326,912 ) | (23,126,013 ) | (865,275 ) | (47,816,036 ) |
Net increase | 207,012 | 14,490,826 | 29,905 | 1,817,252 |
Institutional 3 Class | ||||
Shares sold | 917,825 | 65,929,719 | 1,335,685 | 76,884,977 |
Distributions reinvested | 104,706 | 7,508,445 | 150,883 | 7,337,420 |
Shares redeemed | (727,881 ) | (51,199,937 ) | (3,009,027 ) | (159,793,272 ) |
Net increase (decrease) | 294,650 | 22,238,227 | (1,522,459 ) | (75,570,875 ) |
Total net increase (decrease) | 1,393,134 | 101,574,728 | (3,308,504 ) | (161,139,874 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Class A | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $62.21 | (0.14 ) | 13.83 | 13.69 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $49.88 | (0.18 ) | 14.05 | 13.87 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $68.96 | (0.31 ) | (15.91 ) | (16.22 ) | (2.86 ) | (2.86 ) |
Year Ended 8/31/2021 | $52.81 | (0.34 ) | 17.02 | 16.68 | (0.53 ) | (0.53 ) |
Year Ended 8/31/2020 | $35.69 | (0.14 ) | 17.76 | 17.62 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $36.28 | (0.05 ) | 1.10 | 1.05 | (1.64 ) | (1.64 ) |
Advisor Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $66.51 | (0.07 ) | 14.82 | 14.75 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $53.08 | (0.06 ) | 15.03 | 14.97 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $73.19 | (0.18 ) | (16.90 ) | (17.08 ) | (3.03 ) | (3.03 ) |
Year Ended 8/31/2021 | $55.95 | (0.20 ) | 18.04 | 17.84 | (0.60 ) | (0.60 ) |
Year Ended 8/31/2020 | $37.69 | (0.04 ) | 18.80 | 18.76 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $38.21 | 0.04 | 1.16 | 1.20 | (1.72 ) | (1.72 ) |
Class C | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $53.63 | (0.33 ) | 11.87 | 11.54 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $43.55 | (0.49 ) | 12.11 | 11.62 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $60.51 | (0.67 ) | (13.93 ) | (14.60 ) | (2.36 ) | (2.36 ) |
Year Ended 8/31/2021 | $46.75 | (0.69 ) | 14.98 | 14.29 | (0.53 ) | (0.53 ) |
Year Ended 8/31/2020 | $31.88 | (0.40 ) | 15.77 | 15.37 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $32.54 | (0.27 ) | 0.99 | 0.72 | (1.38 ) | (1.38 ) |
Institutional Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $65.51 | (0.07 ) | 14.60 | 14.53 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $52.31 | (0.06 ) | 14.80 | 14.74 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $72.17 | (0.17 ) | (16.66 ) | (16.83 ) | (3.03 ) | (3.03 ) |
Year Ended 8/31/2021 | $55.18 | (0.20 ) | 17.79 | 17.59 | (0.60 ) | (0.60 ) |
Year Ended 8/31/2020 | $37.17 | (0.04 ) | 18.55 | 18.51 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $37.72 | 0.03 | 1.15 | 1.18 | (1.73 ) | (1.73 ) |
Institutional 2 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $67.08 | (0.05 ) | 14.96 | 14.91 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $53.50 | (0.03 ) | 15.15 | 15.12 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $73.74 | (0.14 ) | (17.03 ) | (17.17 ) | (3.07 ) | (3.07 ) |
Year Ended 8/31/2021 | $56.36 | (0.17 ) | 18.18 | 18.01 | (0.63 ) | (0.63 ) |
Year Ended 8/31/2020 | $37.94 | (0.01 ) | 18.93 | 18.92 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $38.45 | 0.06 | 1.18 | 1.24 | (1.75 ) | (1.75 ) |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $74.33 | 22.32% | 1.18% | 1.18% (c) | (0.45% ) | 3% | $774,376 |
Year Ended 8/31/2023 | $62.21 | 28.98% | 1.19% | 1.19% (c) | (0.35% ) | 7% | $625,054 |
Year Ended 8/31/2022 | $49.88 | (24.57% ) | 1.18% | 1.18% (c) | (0.52% ) | 8% | $521,027 |
Year Ended 8/31/2021 | $68.96 | 31.80% | 1.18% | 1.18% (c) | (0.57% ) | 18% | $733,206 |
Year Ended 8/31/2020 | $52.81 | 49.88% | 1.22% | 1.22% (c) | (0.35% ) | 12% | $542,684 |
Year Ended 8/31/2019 | $35.69 | 4.08% | 1.24% | 1.24% | (0.16% ) | 40% | $333,217 |
Advisor Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $79.69 | 22.47% | 0.93% | 0.93% (c) | (0.20% ) | 3% | $157,169 |
Year Ended 8/31/2023 | $66.51 | 29.31% | 0.94% | 0.94% (c) | (0.10% ) | 7% | $108,156 |
Year Ended 8/31/2022 | $53.08 | (24.38% ) | 0.92% | 0.92% (c) | (0.27% ) | 8% | $85,831 |
Year Ended 8/31/2021 | $73.19 | 32.12% | 0.93% | 0.93% (c) | (0.32% ) | 18% | $149,110 |
Year Ended 8/31/2020 | $55.95 | 50.26% | 0.97% | 0.97% (c) | (0.10% ) | 12% | $228,489 |
Year Ended 8/31/2019 | $37.69 | 4.33% | 0.99% | 0.99% | 0.11% | 40% | $135,472 |
Class C | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $63.60 | 21.88% | 1.93% | 1.93% (c) | (1.19% ) | 3% | $184,640 |
Year Ended 8/31/2023 | $53.63 | 28.00% | 1.94% | 1.94% (c) | (1.10% ) | 7% | $162,520 |
Year Ended 8/31/2022 | $43.55 | (25.12% ) | 1.92% | 1.92% (c) | (1.27% ) | 8% | $152,317 |
Year Ended 8/31/2021 | $60.51 | 30.80% | 1.93% | 1.93% (c) | (1.32% ) | 18% | $242,186 |
Year Ended 8/31/2020 | $46.75 | 48.77% | 1.97% | 1.97% (c) | (1.10% ) | 12% | $207,808 |
Year Ended 8/31/2019 | $31.88 | 3.31% | 1.99% | 1.99% | (0.90% ) | 40% | $139,366 |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $78.47 | 22.48% | 0.93% | 0.93% (c) | (0.19% ) | 3% | $1,168,129 |
Year Ended 8/31/2023 | $65.51 | 29.30% | 0.94% | 0.94% (c) | (0.10% ) | 7% | $955,376 |
Year Ended 8/31/2022 | $52.31 | (24.38% ) | 0.92% | 0.92% (c) | (0.27% ) | 8% | $813,076 |
Year Ended 8/31/2021 | $72.17 | 32.11% | 0.93% | 0.93% (c) | (0.32% ) | 18% | $1,418,896 |
Year Ended 8/31/2020 | $55.18 | 50.29% | 0.97% | 0.97% (c) | (0.10% ) | 12% | $1,143,613 |
Year Ended 8/31/2019 | $37.17 | 4.32% | 0.99% | 0.99% | 0.09% | 40% | $693,232 |
Institutional 2 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $80.42 | 22.52% | 0.87% | 0.87% | (0.14% ) | 3% | $248,676 |
Year Ended 8/31/2023 | $67.08 | 29.36% | 0.88% | 0.88% | (0.05% ) | 7% | $193,554 |
Year Ended 8/31/2022 | $53.50 | (24.33% ) | 0.87% | 0.87% | (0.22% ) | 8% | $152,756 |
Year Ended 8/31/2021 | $73.74 | 32.20% | 0.87% | 0.87% | (0.26% ) | 18% | $237,884 |
Year Ended 8/31/2020 | $56.36 | 50.35% | 0.90% | 0.90% | (0.03% ) | 12% | $184,262 |
Year Ended 8/31/2019 | $37.94 | 4.42% | 0.92% | 0.92% | 0.17% | 40% | $130,115 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net realized gains | Total distributions to shareholders | |
Institutional 3 Class | ||||||
Six Months Ended 2/29/2024 (Unaudited) | $67.37 | (0.03 ) | 15.02 | 14.99 | (1.57 ) | (1.57 ) |
Year Ended 8/31/2023 | $53.70 | 0.00 (d) | 15.21 | 15.21 | (1.54 ) | (1.54 ) |
Year Ended 8/31/2022 | $74.00 | (0.11 ) | (17.09 ) | (17.20 ) | (3.10 ) | (3.10 ) |
Year Ended 8/31/2021 | $56.55 | (0.14 ) | 18.25 | 18.11 | (0.66 ) | (0.66 ) |
Year Ended 8/31/2020 | $38.04 | 0.01 | 19.00 | 19.01 | (0.50 ) | (0.50 ) |
Year Ended 8/31/2019 | $38.55 | 0.08 | 1.18 | 1.26 | (1.77 ) | (1.77 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(d) | Rounds to zero. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $80.79 | 22.54% | 0.82% | 0.82% | (0.09% ) | 3% | $555,963 |
Year Ended 8/31/2023 | $67.37 | 29.42% | 0.83% | 0.83% | 0.00% (d) | 7% | $443,760 |
Year Ended 8/31/2022 | $53.70 | (24.29% ) | 0.82% | 0.82% | (0.16% ) | 8% | $435,424 |
Year Ended 8/31/2021 | $74.00 | 32.27% | 0.82% | 0.82% | (0.21% ) | 18% | $446,103 |
Year Ended 8/31/2020 | $56.55 | 50.46% | 0.85% | 0.85% | 0.02% | 12% | $250,485 |
Year Ended 8/31/2019 | $38.04 | 4.47% | 0.87% | 0.87% | 0.22% | 40% | $102,746 |
Effective rate (%) | |
Class A | 0.11 |
Advisor Class | 0.11 |
Class C | 0.11 |
Institutional Class | 0.11 |
Institutional 2 Class | 0.06 |
Institutional 3 Class | 0.01 |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00(a) | 582,776 |
Class C | — | 1.00 (b) | 5,789 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Class A | 1.27 % | 1.33 % |
Advisor Class | 1.02 | 1.08 |
Class C | 2.02 | 2.08 |
Institutional Class | 1.02 | 1.08 |
Institutional 2 Class | 0.97 | 1.04 |
Institutional 3 Class | 0.92 | 0.99 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
877,033,000 | 2,235,088,000 | (25,988,000 ) | 2,209,100,000 |
Late year ordinary losses ($) | Post-October capital losses ($) |
3,474,756 | — |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | 2.71 | 3.97 | 0.82 | 1.45 | |
Institutional 3 Class* | 12/18/19 | 2.83 | 4.10 | 0.86 | 1.47 | |
Bloomberg U.S. Aggregate Bond Index | 2.35 | 3.33 | 0.56 | 1.43 |
Portfolio breakdown (%) (at February 29, 2024) | |
Asset-Backed Securities — Non-Agency | 10.0 |
Commercial Mortgage-Backed Securities - Agency | 0.7 |
Commercial Mortgage-Backed Securities - Non-Agency | 5.9 |
Common Stocks | 0.0 (a) |
Convertible Bonds | 0.0 (a) |
Convertible Preferred Stocks | 0.0 (a) |
Corporate Bonds & Notes | 27.3 |
Foreign Government Obligations | 1.4 |
Money Market Funds | 6.7 |
Municipal Bonds | 0.2 |
Residential Mortgage-Backed Securities - Agency | 25.2 |
Residential Mortgage-Backed Securities - Non-Agency | 3.5 |
Senior Loans | 0.4 |
Treasury Bills | 0.3 |
U.S. Government & Agency Obligations | 0.1 |
U.S. Treasury Obligations | 18.3 |
Total | 100.0 |
(a) | Rounds to zero. |
Quality breakdown (%) (at February 29, 2024) | |
AA rating | 63.7 |
A rating | 11.7 |
BBB rating | 16.5 |
BB rating | 3.3 |
B rating | 2.2 |
CCC rating | 0.6 |
CC rating | 0.3 |
C rating | 0.0 (a) |
Not rated | 1.7 |
Total | 100.0 |
(a) | Rounds to zero. |
Derivative breakdown (%) (at February 29, 2024)(a) | |||
Asset | Liability | Net | |
Forward foreign currency exchange contracts | 0.00 (b) | — | 0.00 (b) |
Long futures contracts | 0.04 | (0.00 )(b) | 0.04 |
Short futures contracts | — | (0.00 )(b) | (0.00 )(b) |
Swap contracts | 0.03 | (0.00 )(b) | 0.03 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Institutional Class | 1,000.00 | 1,000.00 | 1,027.10 | 1,022.43 | 2.47 | 2.46 | 0.49 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,028.30 | 1,022.58 | 2.32 | 2.31 | 0.46 |
Asset-Backed Securities — Non-Agency 10.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AB BSL CLO 4 Ltd.(a),(b) | ||||
Series 2023-4A Class A | ||||
3-month Term SOFR + 2.000% Floor 2.000% 04/20/2036 | 7.318% | 2,350,000 | 2,368,062 | |
Affirm Asset Securitization Trust(a) | ||||
Series 2022-A Class A | ||||
05/17/2027 | 4.300% | 525,000 | 520,916 | |
Series 2023-A Class A | ||||
01/18/2028 | 6.610% | 575,000 | 577,168 | |
Series 2023-B Class A | ||||
09/15/2028 | 6.820% | 2,070,000 | 2,097,982 | |
Series 2023-X1 Class A | ||||
11/15/2028 | 7.110% | 1,026,959 | 1,029,702 | |
Series 2024-A Class A | ||||
02/15/2029 | 5.610% | 1,235,000 | 1,233,533 | |
AGL CLO 11 Ltd.(a),(b) | ||||
Series 2021-11A Class AJ | ||||
3-month Term SOFR + 1.612% Floor 1.350% 04/15/2034 | 6.926% | 12,200,000 | 12,132,851 | |
AGL CLO 12 Ltd.(a),(b) | ||||
Series 2021-12A Class C | ||||
3-month Term SOFR + 2.112% Floor 1.850% 07/20/2034 | 7.429% | 1,000,000 | 992,675 | |
AIG CLO(a),(b) | ||||
Series 2021-1A Class C | ||||
3-month Term SOFR + 2.012% Floor 1.750% 04/22/2034 | 7.329% | 1,750,000 | 1,722,802 | |
AIG CLO Ltd.(a),(b) | ||||
Series 2019-2A Class AR | ||||
3-month Term SOFR + 1.362% Floor 1.100% 10/25/2033 | 6.686% | 12,500,000 | 12,516,450 | |
Series 2021-2A Class A | ||||
3-month Term SOFR + 1.432% Floor 1.170% 07/20/2034 | 6.749% | 6,950,000 | 6,956,575 | |
AIMCO CLO Ltd.(a),(b) | ||||
Series 2020-11A Class AR | ||||
3-month Term SOFR + 1.392% Floor 1.130% 10/17/2034 | 6.708% | 4,000,000 | 4,004,952 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Allegro CLO VII Ltd.(a),(b) | ||||
Series 2018-1A Class A | ||||
3-month Term SOFR + 1.362% Floor 1.100% 06/13/2031 | 6.676% | 6,599,685 | 6,600,002 | |
American Credit Acceptance Receivables Trust(a) | ||||
Subordinated Series 2022-4 Class C | ||||
02/15/2029 | 7.860% | 580,000 | 586,497 | |
Subordinated Series 2023-3 Class C | ||||
10/12/2029 | 6.440% | 2,750,000 | 2,751,893 | |
Subordinated Series 2023-4 Class B | ||||
02/14/2028 | 6.630% | 1,695,000 | 1,712,692 | |
Americredit Automobile Receivables Trust | ||||
Subordinated Series 2022-1 Class B | ||||
04/19/2027 | 2.770% | 2,175,000 | 2,087,642 | |
Subordinated Series 2023-1 Class B | ||||
03/20/2028 | 5.570% | 3,130,000 | 3,128,956 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2020-1 Class D | ||||
12/18/2025 | 1.800% | 950,000 | 935,427 | |
Series 2020-2 Class D | ||||
03/18/2026 | 2.130% | 500,000 | 487,390 | |
Series 2021-2 Class B | ||||
01/19/2027 | 0.690% | 2,380,000 | 2,309,608 | |
Series 2022-2 Class A3 | ||||
04/18/2028 | 4.380% | 2,090,000 | 2,067,628 | |
Series 2023-2 Class B | ||||
07/18/2029 | 5.840% | 4,505,000 | 4,536,976 | |
Subordinated Series 2019-3 Class D | ||||
09/18/2025 | 2.580% | 1,288,630 | 1,283,799 | |
Subordinated Series 2021-2 Class C | ||||
01/19/2027 | 1.010% | 2,905,000 | 2,727,642 | |
Subordinated Series 2021-3 Class C | ||||
08/18/2027 | 1.410% | 3,080,000 | 2,847,909 | |
AMMC CLO Ltd.(a),(b) | ||||
Series 2023-26A Class A1 | ||||
3-month Term SOFR + 1.950% Floor 1.950% 04/15/2036 | 7.264% | 2,200,000 | 2,211,121 | |
Series 2024-30A Class A1 | ||||
3-month Term SOFR + 1.680% Floor 1.680% 01/15/2037 | 1.680% | 5,250,000 | 5,249,696 | |
Anchorage Capital CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month Term SOFR + 1.512% 10/13/2030 | 6.826% | 2,632,779 | 2,633,637 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2016-8A Class AR2 | ||||
3-month Term SOFR + 1.462% Floor 1.200% 10/27/2034 | 6.781% | 11,500,000 | 11,488,040 | |
Series 2021-21A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 10/20/2034 | 7.329% | 10,000,000 | 9,940,730 | |
Apidos CLO XXIV(a),(b) | ||||
Series 2016-24A | ||||
3-month Term SOFR + 2.312% Floor 2.050% 10/20/2030 | 7.629% | 2,900,000 | 2,900,131 | |
Applebee’s Funding LLC/IHOP Funding LLC(a) | ||||
Series 2019-1A Class AII | ||||
06/07/2049 | 4.723% | 495,000 | 465,190 | |
Series 2023-1A Class A2 | ||||
03/05/2053 | 7.824% | 2,750,000 | 2,828,528 | |
Aqua Finance Trust(a) | ||||
Series 2020-AA Class A | ||||
07/17/2046 | 1.900% | 388,872 | 361,577 | |
Series 2021-A Class A | ||||
07/17/2046 | 1.540% | 1,530,491 | 1,366,181 | |
Ares LXI CLO Ltd.(a),(b) | ||||
Series 2021-61A Class A | ||||
3-month Term SOFR + 1.412% Floor 1.150% 10/20/2034 | 6.729% | 6,718,000 | 6,722,098 | |
ArrowMark Colorado Holdings(a),(b) | ||||
Series 2017-6A Class A1 | ||||
3-month Term SOFR + 1.542% 07/15/2029 | 6.856% | 397,602 | 398,726 | |
Atlas Senior Loan Fund XXI Ltd.(a),(b) | ||||
Series 2023-21A Class A1 | ||||
3-month Term SOFR + 2.200% Floor 2.200% 07/20/2035 | 7.518% | 7,500,000 | 7,586,887 | |
Auxilior Term Funding LLC(a) | ||||
Series 2023-1A Class A2 | ||||
12/15/2028 | 6.180% | 1,205,000 | 1,215,369 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2020-2A Class A | ||||
02/20/2027 | 2.020% | 1,600,000 | 1,506,015 | |
Series 2023-3A Class A | ||||
02/22/2028 | 5.440% | 9,830,000 | 9,856,215 | |
Series 2024-1A Class A | ||||
06/20/2030 | 5.360% | 6,210,000 | 6,233,007 | |
Subordinated Series 2024-1A Class B | ||||
06/20/2030 | 5.850% | 500,000 | 498,169 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bain Capital CLO Ltd.(a),(b),(c) | ||||
Series 2024-1A Class A1 | ||||
3-month Term SOFR + 1.550% Floor 1.550% 04/16/2037 | 6.800% | 3,750,000 | 3,751,279 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2019-3A Class AR | ||||
3-month Term SOFR + 1.422% Floor 1.160% 10/21/2034 | 6.739% | 17,250,000 | 17,248,827 | |
Balboa Bay Loan Funding Ltd.(a),(b) | ||||
Series 2020-1A Class AR | ||||
3-month Term SOFR + 1.382% Floor 1.120% 01/20/2032 | 6.699% | 13,716,310 | 13,740,409 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2020-2A Class AR | ||||
3-month Term SOFR + 1.272% Floor 1.010% 10/15/2033 | 6.586% | 7,424,565 | 7,433,675 | |
Series 2020-4A Class A | ||||
3-month Term SOFR + 1.482% Floor 1.220% 01/20/2032 | 6.799% | 6,500,000 | 6,509,107 | |
Battalion CLO XII Ltd.(a),(b) | ||||
Series 2018-12A Class A1 | ||||
3-month Term SOFR + 1.332% Floor 1.070% 05/17/2031 | 6.651% | 2,735,397 | 2,734,205 | |
Beacon Container Finance II LLC(a) | ||||
Series 2021-1A Class A | ||||
10/22/2046 | 2.250% | 1,840,000 | 1,619,088 | |
Benefit Street Partners CLO X Ltd.(a),(b) | ||||
Series 2016-10A Class BRR | ||||
3-month Term SOFR + 2.412% Floor 2.150% 04/20/2034 | 7.729% | 2,810,000 | 2,809,955 | |
BHG Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
10/17/2035 | 5.320% | 358,678 | 357,072 | |
BlueMountain CLO XXVIII Ltd.(a),(b) | ||||
Series 2021-28A Class C | ||||
3-month Term SOFR + 2.262% Floor 2.000% 04/15/2034 | 7.576% | 1,300,000 | 1,280,131 | |
BlueMountain CLO XXXI Ltd.(a),(b) | ||||
Series 2021-31A Class A2 | ||||
3-month Term SOFR + 1.662% Floor 1.400% 04/19/2034 | 6.971% | 3,600,000 | 3,599,935 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BlueMountain Fuji US CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A1AR | ||||
3-month Term SOFR + 1.262% 10/20/2030 | 6.579% | 9,739,581 | 9,751,269 | |
BMW Vehicle Lease Trust | ||||
Series 2023-2 Class A4 | ||||
02/25/2027 | 5.980% | 4,500,000 | 4,530,688 | |
BOF URSA Funding(a) | ||||
Series 2024-SN1 Class A3 | ||||
03/15/2028 | 5.660% | 5,800,000 | 5,803,388 | |
Bojangles Issuer LLC(a) | ||||
Series 2020-1A Class A2 | ||||
10/20/2050 | 3.832% | 1,572,000 | 1,481,303 | |
Bridgecrest Lending Auto Securitization Trust | ||||
Series 2023-1 Class A3 | ||||
11/15/2027 | 6.510% | 6,325,000 | 6,378,867 | |
Canyon Capital CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month Term SOFR + 1.362% Floor 1.100% 04/15/2032 | 6.676% | 17,500,000 | 17,503,080 | |
CARDS II Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/15/2027 | 0.931% | 2,850,000 | 2,831,920 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A1AR | ||||
3-month Term SOFR + 1.362% Floor 1.100% 10/15/2030 | 6.676% | 2,690,121 | 2,692,795 | |
Series 2014-3RA Class A1A | ||||
3-month Term SOFR + 1.312% 07/27/2031 | 6.631% | 18,581,926 | 18,584,211 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2017-2A Class A2R | ||||
3-month Term SOFR + 1.862% Floor 1.600% 07/20/2031 | 7.179% | 2,100,000 | 2,099,838 | |
Series 2019-3A Class BRR | ||||
3-month Term SOFR + 2.600% Floor 2.600% 04/20/2037 | 6.100% | 3,650,000 | 3,649,934 | |
Series 2020-1A Class BR | ||||
3-month Term SOFR + 2.262% Floor 2.000% 07/20/2034 | 7.579% | 1,250,000 | 1,246,660 | |
Carmax Auto Owner Trust | ||||
Series 2023-2 Class A3 | ||||
01/18/2028 | 5.050% | 3,835,000 | 3,818,539 | |
Series 2023-3 Class A3 | ||||
05/15/2028 | 5.280% | 1,165,000 | 1,168,022 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-3 Class B | ||||
02/15/2029 | 5.470% | 3,040,000 | 2,993,620 | |
Carvana Auto Receivables Trust | ||||
Series 2021-P4 Class A3 | ||||
01/11/2027 | 1.310% | 3,819,557 | 3,708,084 | |
Subordinated Series 2021-N4 Class C | ||||
09/11/2028 | 1.720% | 403,155 | 384,108 | |
Carvana Auto Receivables Trust(a) | ||||
Series 2023-N1 Class A | ||||
04/12/2027 | 6.360% | 1,851,449 | 1,856,050 | |
Series 2023-P1 Class A3 | ||||
12/10/2027 | 5.980% | 4,835,000 | 4,853,147 | |
Chancelight, Inc.(a),(b) | ||||
Series 2012-2 Class A | ||||
30-day Average SOFR + 0.844% Floor 0.730% 04/25/2039 | 6.166% | 185,218 | 185,108 | |
Chesapeake Funding II LLC(a) | ||||
Series 2023-1A Class A1 | ||||
05/15/2035 | 5.650% | 2,584,500 | 2,584,943 | |
CIFC Funding IV Ltd.(a),(b) | ||||
Series 2015-4A Class BR2 | ||||
3-month Term SOFR + 2.162% Floor 1.900% 04/20/2034 | 7.479% | 6,300,000 | 6,243,086 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2014-5A Class BR2 | ||||
3-month Term SOFR + 2.062% Floor 1.800% 10/17/2031 | 7.378% | 1,800,000 | 1,800,304 | |
Series 2019-6A Class A2 | ||||
3-month Term SOFR + 2.012% Floor 1.750% 01/16/2033 | 7.326% | 2,000,000 | 2,000,356 | |
CIT Education Loan Trust(a),(b) | ||||
Series 2007-1 Class B | ||||
90-day Average SOFR + 0.562% Floor 0.300% 06/25/2042 | 5.914% | 319,220 | 295,350 | |
Citizens Auto Receivables Trust(a) | ||||
Series 2024-1 Class A3 | ||||
04/17/2028 | 5.110% | 1,235,000 | 1,233,423 | |
CLI Funding VIII LLC(a) | ||||
Series 2022-1A Class A1 | ||||
01/18/2047 | 2.720% | 2,474,400 | 2,199,394 | |
Commonbond Student Loan Trust(a) | ||||
Series 2018-CGS Class B | ||||
02/25/2046 | 4.250% | 111,113 | 103,744 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-AGS Class A1 | ||||
01/25/2047 | 2.540% | 1,166,519 | 1,033,302 | |
Series 2020-AGS Class A | ||||
08/25/2050 | 1.980% | 904,135 | 770,377 | |
CQS US CLO Ltd.(a),(b) | ||||
Series 2023-3A Class A1 | ||||
3-month Term SOFR + 1.890% Floor 1.890% 01/25/2037 | 7.209% | 20,000,000 | 19,993,380 | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2022-3A Class A | ||||
10/15/2032 | 6.570% | 6,030,000 | 6,062,484 | |
Series 2023-1A Class A | ||||
03/15/2033 | 6.480% | 4,080,000 | 4,119,740 | |
Subordinated Series 2023-2A Class B | ||||
07/15/2033 | 6.610% | 1,215,000 | 1,204,117 | |
Subordinated Series 2023-3A Class C | ||||
12/15/2033 | 7.620% | 695,000 | 692,508 | |
Crown Point CLO Ltd.(a),(b) | ||||
Series 2021-11A Class A | ||||
3-month Term SOFR + 1.382% Floor 1.120% 01/17/2034 | 6.698% | 14,250,000 | 14,255,472 | |
DataBank Issuer LLC(a) | ||||
Series 2023-1 Class A2 | ||||
02/25/2053 | 5.116% | 3,400,000 | 3,151,282 | |
DB Master Finance LLC(a) | ||||
Series 2017-1A Class A2II | ||||
11/20/2047 | 4.030% | 1,175,000 | 1,119,471 | |
Series 2019-1A Class A23 | ||||
05/20/2049 | 4.352% | 1,146,000 | 1,089,964 | |
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 620,750 | 599,350 | |
Subordinated Series 2021-1A Class A23 | ||||
11/20/2051 | 2.791% | 4,301,000 | 3,584,809 | |
Dell Equipment Finance Trust(a) | ||||
Series 2023-3 Class A3 | ||||
04/23/2029 | 5.930% | 4,855,000 | 4,907,830 | |
DLLMT LLC(a) | ||||
Subordinated Series 2023-1A Class A3 | ||||
03/22/2027 | 5.340% | 4,175,000 | 4,146,170 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
Series 2018-1A Class A2I | ||||
07/25/2048 | 4.116% | 1,421,250 | 1,383,693 | |
Series 2021-1A Class A2II | ||||
04/25/2051 | 3.151% | 3,112,000 | 2,686,613 | |
Donlen Fleet Lease Funding 2 LLC(a) | ||||
Series 2021-2 Class A2 | ||||
12/11/2034 | 0.560% | 394,492 | 391,938 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Driven Brands Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
04/20/2049 | 4.641% | 1,710,000 | 1,645,709 | |
Dryden 86 CLO Ltd.(a),(b) | ||||
Series 2020-86A Class CR | ||||
3-month Term SOFR + 2.262% Floor 2.000%, Cap 2.000% 07/17/2034 | 7.664% | 3,000,000 | 2,965,299 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2019-75A Class CR2 | ||||
3-month Term SOFR + 2.062% Floor 1.800% 04/15/2034 | 7.376% | 5,000,000 | 4,857,520 | |
DT Auto Owner Trust(a) | ||||
Subordinated Series 2021-4A Class C | ||||
09/15/2027 | 1.500% | 2,550,000 | 2,465,799 | |
Subordinated Series 2022-2A Class B | ||||
01/15/2027 | 4.220% | 4,445,000 | 4,423,240 | |
Subordinated Series 2022-3A Class B | ||||
07/17/2028 | 6.740% | 3,155,000 | 3,173,890 | |
Subordinated Series 2023-2A Class B | ||||
02/15/2029 | 5.410% | 2,525,000 | 2,504,411 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month Term SOFR + 1.362% Floor 1.100% 04/15/2031 | 6.676% | 4,670,000 | 4,671,835 | |
ELFI Graduate Loan Program LLC(a) | ||||
Series 2019-A Class A | ||||
03/25/2044 | 2.540% | 646,164 | 588,084 | |
Series 2023-A Class A | ||||
02/04/2048 | 6.370% | 4,450,474 | 4,550,428 | |
ELFI Graduate Loan Program LLC(a),(d) | ||||
Subordinated Series 2019-A Class B | ||||
03/25/2044 | 2.940% | 275,404 | 240,494 | |
Ellington CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month Term SOFR + 1.962% Floor 1.700% 02/15/2029 | 7.269% | 322,638 | 322,652 | |
Elmwood CLO II Ltd.(a),(b) | ||||
Series 2019-2A Class AR | ||||
3-month Term SOFR + 1.412% Floor 1.150% 04/20/2034 | 6.729% | 27,250,000 | 27,304,282 | |
Enterprise Fleet Financing LLC(a) | ||||
Series 2022-3 Class A2 | ||||
07/20/2029 | 4.380% | 824,410 | 815,304 | |
Series 2023-2 Class A2 | ||||
04/22/2030 | 5.560% | 2,855,000 | 2,857,269 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2024-1 Class A3 | ||||
09/20/2030 | 5.160% | 1,265,000 | 1,262,312 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 166,210 | 164,595 | |
Subordinated Series 2023-1A Class B | ||||
04/15/2027 | 5.720% | 2,580,000 | 2,577,992 | |
Subordinated Series 2023-2A Class B | ||||
09/15/2027 | 5.610% | 2,450,000 | 2,444,216 | |
Subordinated Series 2024-1A Class B | ||||
08/15/2028 | 5.290% | 6,650,000 | 6,624,059 | |
SubordinatedSeries 2022-5A Class B | ||||
03/15/2027 | 5.970% | 4,890,000 | 4,891,404 | |
Flagship Credit Auto Trust(a) | ||||
Series 2022-4 Class A3 | ||||
06/15/2027 | 6.320% | 3,475,000 | 3,500,021 | |
Subordinated Series 2020-4 Class C | ||||
02/16/2027 | 1.280% | 351,879 | 345,882 | |
Subordinated Series 2021-2 Class B | ||||
06/15/2027 | 0.930% | 1,000,630 | 991,237 | |
Subordinated Series 2023-2 Class C | ||||
05/15/2029 | 5.810% | 3,240,000 | 3,216,522 | |
Flatiron CLO 21 Ltd.(a),(b) | ||||
Series 2021-1A Class C | ||||
3-month Term SOFR + 2.112% Floor 1.850% 07/19/2034 | 7.421% | 2,000,000 | 1,994,750 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2018-1 Class A | ||||
07/15/2031 | 3.190% | 7,110,000 | 6,969,541 | |
Series 2021-1 Class A | ||||
10/17/2033 | 1.370% | 3,415,000 | 3,156,780 | |
Subordinated Series 2021-2 Class C | ||||
05/15/2034 | 2.110% | 3,900,000 | 3,553,012 | |
Subordinated Series 2021-2 Class D | ||||
05/15/2034 | 2.600% | 2,300,000 | 2,088,453 | |
Subordinated Series 2023-1 Class C | ||||
08/15/2035 | 5.580% | 3,900,000 | 3,762,583 | |
Foursight Capital Automobile Receivables Trust(a) | ||||
Series 2022-1 Class A3 | ||||
12/15/2026 | 1.830% | 1,534,500 | 1,511,465 | |
Series 2022-2 Class A3 | ||||
06/15/2027 | 4.590% | 2,130,000 | 2,108,221 | |
Frontier Issuer LLC(a) | ||||
Series 2023-1 Class A2 | ||||
08/20/2053 | 6.600% | 4,475,000 | 4,472,610 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Galaxy XXII CLO Ltd.(a),(b) | ||||
Series 2016-22A Class ARR | ||||
3-month Term SOFR + 1.462% Floor 1.200% 04/16/2034 | 6.776% | 3,200,000 | 3,200,109 | |
GECU Auto Receivables Trust(a) | ||||
Series 2023-1A Class A3 | ||||
08/15/2028 | 5.630% | 2,500,000 | 2,501,813 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 159,280 | 157,378 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2021-4A Class B | ||||
04/15/2026 | 1.530% | 2,044,407 | 2,032,840 | |
GM Financial Automobile Leasing Trust | ||||
Series 2023-2 Class A3 | ||||
07/20/2026 | 5.050% | 1,790,000 | 1,782,716 | |
Subordinated Series 2022-3 Class C | ||||
08/20/2026 | 5.130% | 2,350,000 | 2,322,763 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Subordinated Series 2023-4 Class B | ||||
04/16/2029 | 6.160% | 2,800,000 | 2,859,939 | |
Goal Capital Funding Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month Term SOFR + 0.712% Floor 0.450% 08/25/2042 | 6.035% | 401,603 | 376,833 | |
GoodLeap Sustainable Home Solutions Trust(a) | ||||
Series 2021-3CS Class A | ||||
05/20/2048 | 2.100% | 2,729,955 | 2,138,427 | |
Greenwood Park CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month Term SOFR + 1.272% Floor 1.010% 04/15/2031 | 6.586% | 12,163,385 | 12,182,202 | |
Greywolf CLO III Ltd.(a),(b) | ||||
Series 2020-3RA Class A1R | ||||
3-month Term SOFR + 1.550% Floor 1.290% 04/15/2033 | 6.608% | 6,500,000 | 6,461,618 | |
Greywolf CLO VII Ltd.(a),(b) | ||||
Series 2018-2A Class A1 | ||||
3-month Term SOFR + 1.440% Floor 1.180% 10/20/2031 | 6.758% | 6,250,000 | 6,258,394 | |
Helios Issuer LLC(a) | ||||
Series 2020-AA Class A | ||||
06/20/2047 | 2.980% | 970,392 | 892,461 | |
Henderson Receivables LLC(a) | ||||
Series 2013-3A Class A | ||||
01/17/2073 | 4.080% | 1,373,849 | 1,281,354 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 1,668,091 | 1,477,196 | |
Hertz Vehicle Financing III LLC(a) | ||||
Series 2023-3A Class A | ||||
02/25/2028 | 5.940% | 4,660,000 | 4,720,523 | |
Hilton Grand Vacations Trust(a) | ||||
Subordinated Series 2022-2A Class C | ||||
01/25/2037 | 5.570% | 191,603 | 185,442 | |
HPS Loan Management Ltd.(a),(b) | ||||
Series 2010-A16 Class A1RR | ||||
3-month Term SOFR + 1.402% Floor 1.140% 04/20/2034 | 6.719% | 9,750,000 | 9,762,246 | |
Series 2021-16A Class A1 | ||||
3-month Term SOFR + 1.402% Floor 1.140% 01/23/2035 | 6.717% | 7,300,000 | 7,300,073 | |
Huntington Auto Trust(a) | ||||
Series 2024-1A Class A3 | ||||
01/16/2029 | 5.230% | 2,260,000 | 2,266,039 | |
ICG US CLO Ltd.(a),(b) | ||||
Series 2014-3A Class A1RR | ||||
3-month Term SOFR + 1.292% 04/25/2031 | 6.616% | 4,861,312 | 4,858,503 | |
JG Wentworth XLIII LLC(a) | ||||
Series 2019-1A Class A | ||||
08/17/2071 | 3.820% | 923,034 | 823,688 | |
JPMorgan Chase Bank NA(a) | ||||
Series 2021-3 Class E | ||||
02/26/2029 | 2.102% | 185,919 | 180,987 | |
Subordinated Series 2021-1 Class D | ||||
09/25/2028 | 1.174% | 85,771 | 84,700 | |
Subordinated Series 2021-2 Class D | ||||
12/26/2028 | 1.138% | 245,658 | 240,275 | |
Kayne CLO Ltd.(a),(b) | ||||
Series 2019-6A Class A2 | ||||
3-month Term SOFR + 2.112% Floor 1.850% 01/20/2033 | 7.429% | 1,500,000 | 1,499,898 | |
Kayne Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month Term SOFR + 2.012% Floor 1.750% 07/15/2031 | 7.326% | 1,820,000 | 1,805,973 | |
Series 2021-10A Class C | ||||
3-month Term SOFR + 2.012% Floor 1.750% 04/23/2034 | 7.327% | 1,600,000 | 1,575,099 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
KKR CLO Ltd.(a),(b) | ||||
Series 2032A Class A1 | ||||
3-month Term SOFR + 1.582% Floor 1.320% 01/15/2032 | 6.896% | 17,000,000 | 17,000,085 | |
LAD Auto Receivables Trust(a) | ||||
Series 2024-1A Class A4 | ||||
09/15/2028 | 5.170% | 1,015,000 | 1,010,684 | |
Subordinated Series 2023-4A Class B | ||||
10/16/2028 | 6.390% | 1,515,000 | 1,522,222 | |
Lending Funding Trust(a) | ||||
Series 2020-2A Class A | ||||
04/21/2031 | 2.320% | 700,000 | 641,098 | |
Lendmark Funding Trust(a) | ||||
Series 2021-1A Class A | ||||
11/20/2031 | 1.900% | 5,000,000 | 4,563,121 | |
Loanpal Solar Loan Ltd.(a) | ||||
Series 2020-2GF Class A | ||||
07/20/2047 | 2.750% | 1,320,256 | 1,061,614 | |
Logan CLO I Ltd.(a),(b) | ||||
Series 2021-1A Class A | ||||
3-month Term SOFR + 1.422% Floor 1.160% 07/20/2034 | 6.739% | 15,000,000 | 15,008,235 | |
M&T Equipment Notes(a) | ||||
Series 2023-1A Class A3 | ||||
07/15/2030 | 5.740% | 2,115,000 | 2,111,671 | |
Madison Park Funding LIX Ltd.(a),(b) | ||||
Series 2021-59A Class A | ||||
3-month Term SOFR + 1.402% Floor 1.140% 01/18/2034 | 6.700% | 12,500,000 | 12,512,587 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month Term SOFR + 1.412% Floor 1.150% 04/19/2033 | 6.721% | 6,500,000 | 6,509,756 | |
Series 2021-48A Class C | ||||
3-month Term SOFR + 2.262% Floor 2.000% 04/19/2033 | 7.571% | 1,520,000 | 1,518,226 | |
Madison Park Funding XXI Ltd.(a),(b) | ||||
Series 2016-21A Class AARR | ||||
3-month Term SOFR + 1.342% Floor 1.080% 10/15/2032 | 6.656% | 17,000,000 | 17,009,520 | |
Series 2016-21A Class ABRR | ||||
3-month Term SOFR + 1.662% Floor 1.400% 10/15/2032 | 6.976% | 1,750,000 | 1,749,962 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Madison Park Funding XXXVIII Ltd.(a),(b) | ||||
Series 2021-38A Class A | ||||
3-month Term SOFR + 1.382% Floor 1.120% 07/17/2034 | 6.698% | 15,000,000 | 15,022,590 | |
Magnetite XVII Ltd.(a),(b) | ||||
Series 2016-17A Class AR | ||||
3-month Term SOFR + 1.362% 07/20/2031 | 6.679% | 1,027,935 | 1,027,927 | |
Mariner Finance Issuance Trust(a) | ||||
Series 2020-AA Class A | ||||
08/21/2034 | 2.190% | 453,778 | 447,206 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class C | ||||
06/16/2031 | 1.410% | 63,844 | 63,722 | |
Series 2022-3A Class A | ||||
11/15/2032 | 5.180% | 1,275,380 | 1,272,736 | |
Massachusetts Educational Financing Authority | ||||
Series 2018-A Class A | ||||
05/25/2033 | 3.850% | 1,167,790 | 1,132,326 | |
Merchants Fleet Funding LLC(a) | ||||
Series 2023-1A Class A | ||||
05/20/2036 | 7.210% | 5,015,000 | 5,029,597 | |
Merlin Aviation Holdings DAC(a) | ||||
Series 2016-1 Class A | ||||
12/15/2032 | 4.500% | 185,737 | 162,629 | |
MF1 LLC(a),(b) | ||||
Series 2024-FL14 Class A | ||||
1-month Term SOFR + 1.737% Floor 1.737%, Cap 1.737% 03/19/2039 | 7.055% | 5,000,000 | 4,992,206 | |
MF1 Ltd.(a),(b) | ||||
Series 2021-FL6 Class D | ||||
1-month Term SOFR + 2.664% Floor 2.550% 07/16/2036 | 7.986% | 7,000,000 | 6,636,660 | |
MidOcean Credit CLO VIII(a),(b) | ||||
Series 2018-8A Class B | ||||
3-month Term SOFR + 1.912% 02/20/2031 | 7.231% | 6,600,000 | 6,601,591 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class A | ||||
10/15/2040 | 5.787% | 490,647 | 479,893 | |
Mill City Solar Loan Ltd.(a) | ||||
Series 2019-1A Class A | ||||
03/20/2043 | 4.340% | 929,730 | 848,752 | |
Series 2019-2GS Class A | ||||
07/20/2043 | 3.690% | 987,239 | 869,369 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mosaic Solar Loan Trust(a) | ||||
Series 2018-1A Class A | ||||
06/22/2043 | 4.010% | 450,867 | 413,063 | |
Series 2019-1A Class A | ||||
12/21/2043 | 4.370% | 926,274 | 858,972 | |
Series 2020-2A Class A | ||||
08/20/2046 | 1.440% | 1,682,941 | 1,390,054 | |
Series 2023-3A Class A | ||||
11/20/2053 | 5.910% | 2,605,989 | 2,609,692 | |
Series 2023-4A Class A | ||||
05/20/2053 | 6.400% | 4,010,449 | 4,108,466 | |
Series 2024-1 Class A | ||||
09/20/2049 | 5.500% | 2,600,000 | 2,588,036 | |
Subordinated Series 2018-2GS Class B | ||||
02/22/2044 | 4.740% | 577,004 | 514,022 | |
Subordinated Series 2020-2A Class B | ||||
08/20/2046 | 2.210% | 1,073,180 | 863,020 | |
Subordinated Series 2021-2A Class B | ||||
04/22/2047 | 2.090% | 868,617 | 659,620 | |
Mosaic Solar Loans LLC(a) | ||||
Series 2017-2A Class A | ||||
06/22/2043 | 3.820% | 472,544 | 433,346 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 952,780 | 871,680 | |
Series 2020-DA Class A | ||||
05/15/2069 | 1.690% | 4,708,850 | 4,251,366 | |
Series 2020-FA Class A | ||||
07/15/2069 | 1.220% | 618,593 | 560,832 | |
Series 2020-GA Class A | ||||
09/16/2069 | 1.170% | 1,150,371 | 1,035,770 | |
Series 2020-HA Class A | ||||
01/15/2069 | 1.310% | 540,188 | 493,250 | |
Series 2021-A Class A | ||||
05/15/2069 | 0.840% | 615,893 | 537,482 | |
Series 2021-BA Class A | ||||
07/15/2069 | 0.940% | 1,243,042 | 1,080,139 | |
Navistar Financial Dealer Note Master Owner Trust II(a) | ||||
Series 2023-1 Class A | ||||
08/25/2028 | 6.180% | 1,685,000 | 1,683,623 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month Term SOFR + 0.712% 08/23/2036 | 6.034% | 4,298,039 | 4,246,621 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2014-4A Class A2 | ||||
30-day Average SOFR + 1.064% Floor 0.950% 11/25/2048 | 6.386% | 3,596,344 | 3,585,670 | |
Neuberger Berman CLO XVII Ltd.(a),(b) | ||||
Series 2014-17A Class CR2 | ||||
3-month Term SOFR + 2.262% Floor 2.000% 04/22/2029 | 7.579% | 2,000,000 | 1,986,900 | |
Neuberger Berman Loan Advisers CLO Ltd.(a),(b) | ||||
Series 2019-33A Class CR | ||||
3-month Term SOFR + 2.162% Floor 1.900% 10/16/2033 | 7.476% | 2,000,000 | 1,983,782 | |
Series 2021-40A Class C | ||||
3-month Term SOFR + 2.012% Floor 1.750% 04/16/2033 | 7.326% | 4,650,000 | 4,593,107 | |
New Economy Assets Phase 1 Sponsor LLC(a) | ||||
Series 2021-1 Class A1 | ||||
10/20/2061 | 1.910% | 5,030,000 | 4,375,944 | |
Oaktree CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month Term SOFR + 1.372% Floor 1.110% 04/22/2030 | 6.689% | 9,800,000 | 9,804,096 | |
Series 2024-25 Class C | ||||
3-month Term SOFR + 2.500% Floor 2.500% 04/20/2037 | 7.800% | 1,950,000 | 1,950,335 | |
OCP CLO Ltd.(a),(b) | ||||
Series 2020-18A Class CR | ||||
3-month Term SOFR + 2.212% Floor 1.950% 07/20/2032 | 7.529% | 500,000 | 496,755 | |
Octagon 61 Ltd.(a),(b) | ||||
Series 2023-2A Class A | ||||
3-month Term SOFR + 1.850% Floor 1.850% 04/20/2036 | 7.168% | 1,550,000 | 1,557,612 | |
Octagon Investment Partners 27 Ltd.(a),(b) | ||||
Series 2016-1A Class A2R | ||||
3-month Term SOFR + 1.612% 07/15/2030 | 6.926% | 6,925,000 | 6,847,959 | |
Octagon Investment Partners 32 Ltd.(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month Term SOFR + 1.462% Floor 1.200% 07/15/2029 | 6.776% | 7,400,000 | 7,399,682 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 46 Ltd.(a),(b) | ||||
Series 2020-2A Class AR | ||||
3-month Term SOFR + 1.422% Floor 1.160% 07/15/2036 | 6.736% | 7,900,000 | 7,903,950 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2021-8A Class C | ||||
3-month Term SOFR + 2.162% Floor 1.900% 01/18/2034 | 7.460% | 1,350,000 | 1,349,318 | |
OHA Credit Partners VII Ltd.(a),(b) | ||||
Series 2012-7A Class CR3 | ||||
3-month Term SOFR + 2.062% Floor 1.800% 02/20/2034 | 7.381% | 5,000,000 | 4,977,360 | |
OneMain Direct Auto Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
09/14/2027 | 3.630% | 6,900,000 | 6,788,420 | |
Subordinated Series 2019-1A Class B | ||||
11/14/2028 | 3.950% | 1,500,000 | 1,443,329 | |
Subordinated Series 2019-1A Class D | ||||
04/14/2031 | 4.680% | 2,900,000 | 2,808,027 | |
Subordinated Series 2021-1A Class C | ||||
07/14/2028 | 1.420% | 7,367,000 | 6,727,222 | |
Subordinated Series 2021-1A Class D | ||||
11/14/2030 | 1.620% | 900,000 | 805,119 | |
Subordinated Series 2023-1A Class C | ||||
02/14/2031 | 6.140% | 3,100,000 | 2,995,057 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2020-2A Class A | ||||
09/14/2035 | 1.750% | 2,700,000 | 2,502,101 | |
Series 2022-S1 Class A | ||||
05/14/2035 | 4.130% | 7,275,000 | 7,109,108 | |
Subordinated Series 2022-2 Class D | ||||
10/14/2034 | 6.550% | 6,280,000 | 6,141,113 | |
Subordinated Series 2023-1A Class D | ||||
06/14/2038 | 7.490% | 100,000 | 102,773 | |
Subordinated Series 2023-2A Class C | ||||
09/15/2036 | 6.740% | 1,500,000 | 1,504,968 | |
Subordinated Series 2023-2A Class D | ||||
09/15/2036 | 7.520% | 1,600,000 | 1,633,789 | |
Oscar US Funding XII LLC(a) | ||||
Series 2021-1A Class A4 | ||||
04/10/2028 | 1.000% | 2,050,000 | 1,967,819 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A | ||||
3-month Term SOFR + 1.512% Floor 1.250% 10/22/2030 | 6.829% | 5,839,683 | 5,841,248 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 464,418 | 458,344 | |
Palmer Square CLO Ltd.(a),(b) | ||||
Series 2014-1A Class A1R2 | ||||
3-month Term SOFR + 1.392% Floor 1.130% 01/17/2031 | 6.708% | 4,144,861 | 4,149,715 | |
Series 2020-3A Class BR2 | ||||
3-month Term SOFR + 2.650% Floor 2.650% 11/15/2036 | 7.957% | 2,000,000 | 1,999,898 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2016-1R Class A1R | ||||
3-month Term SOFR + 1.462% Floor 1.200% 08/23/2031 | 6.784% | 7,330,014 | 7,337,843 | |
Series 2017-1A Class A1R | ||||
3-month Term SOFR + 1.502% Floor 1.240% 02/14/2034 | 6.808% | 5,000,000 | 5,000,435 | |
Series 2019-2A Class A1 | ||||
3-month Term SOFR + 1.442% Floor 1.180% 10/15/2034 | 6.756% | 15,000,000 | 15,002,235 | |
Planet Fitness Master Issuer LLC(a) | ||||
Series 2018-1A Class A2II | ||||
09/05/2048 | 4.666% | 3,818,425 | 3,729,106 | |
Post Road Equipment Finance LLC(a) | ||||
Subordinated Series 2024-1A Class A2 | ||||
11/15/2029 | 5.590% | 870,000 | 869,289 | |
Prestige Auto Receivables Trust(a) | ||||
Subordinated Series 2021-1A Class C | ||||
02/15/2028 | 1.530% | 2,525,000 | 2,400,743 | |
Subordinated Series 2023-1A Class C | ||||
02/15/2028 | 5.650% | 2,460,000 | 2,450,828 | |
Primose Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
07/30/2049 | 4.475% | 1,451,250 | 1,388,049 | |
Regional Management Issuance Trust(a) | ||||
Series 2022-1 Class A | ||||
03/15/2032 | 3.070% | 2,800,000 | 2,675,344 | |
Rockford Tower CLO Ltd.(a),(b) | ||||
Series 2021-1A Class B | ||||
3-month Term SOFR + 1.912% Floor 1.650% 07/20/2034 | 7.229% | 7,900,000 | 7,892,234 | |
Series 2021-3A Class B | ||||
3-month Term SOFR + 2.012% Floor 1.750% 10/20/2034 | 7.329% | 10,000,000 | 9,974,250 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Santander Bank Auto Credit-Linked Notes(a) | ||||
Subordinated Series 2022-A Class C | ||||
05/15/2032 | 7.375% | 494,936 | 492,457 | |
Santander Drive Auto Receivables Trust | ||||
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 188,486 | 186,680 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 1,331,689 | 1,312,653 | |
Subordinated Series 2020-4 Class D | ||||
01/15/2027 | 1.480% | 1,078,226 | 1,055,703 | |
Subordinated Series 2022-3 Class B | ||||
08/16/2027 | 4.130% | 3,710,000 | 3,662,682 | |
Subordinated Series 2022-4 Class B | ||||
11/15/2027 | 4.420% | 3,505,000 | 3,460,647 | |
Subordinated Series 2023-1 Class C | ||||
05/15/2030 | 5.090% | 810,000 | 796,989 | |
Subordinated Series 2023-3 Class C | ||||
11/15/2030 | 5.770% | 1,160,000 | 1,160,535 | |
Subordinated Series 2023-4 Class B | ||||
12/15/2028 | 5.770% | 2,410,000 | 2,426,544 | |
Subordinated Series 2023-5 Class B | ||||
12/17/2029 | 6.160% | 3,885,000 | 3,929,369 | |
Subordinated Series 2023-6 Class C | ||||
03/17/2031 | 6.400% | 600,000 | 603,121 | |
SBNA Auto Lease Trust(a) | ||||
Series 2024-A Class A3 | ||||
11/20/2026 | 5.390% | 1,825,000 | 1,824,885 | |
SCF Equipment Leasing LLC(a) | ||||
Series 2022-1A Class A3 | ||||
07/20/2029 | 2.920% | 1,800,696 | 1,767,967 | |
Series 2023-1A Class A2 | ||||
01/22/2030 | 6.560% | 2,625,000 | 2,647,160 | |
Servpro Master Issuer LLC(a) | ||||
Series 2024-1A Class A2 | ||||
01/25/2054 | 6.174% | 2,250,000 | 2,270,585 | |
SFS Auto Receivables Securitization Trust(a) | ||||
Series 2023-1A Class A3 | ||||
10/20/2028 | 5.470% | 2,915,000 | 2,927,924 | |
Shackleton VR CLO Ltd.(a),(b) | ||||
Series 2014-5RA Class A | ||||
3-month Term SOFR + 1.362% Floor 1.100% 05/07/2031 | 6.678% | 9,660,307 | 9,671,252 | |
Silver Rock CLO III(a),(b) | ||||
Series 2023-3A Class A1 | ||||
3-month Term SOFR + 1.880% Floor 1.880% 01/20/2036 | 7.217% | 19,000,000 | 19,087,685 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SLM Student Loan Trust(b) | ||||
Series 2008-2 Class B | ||||
90-day Average SOFR + 1.462% Floor 1.200% 01/25/2083 | 6.823% | 1,165,000 | 1,114,949 | |
Series 2008-3 Class B | ||||
90-day Average SOFR + 1.462% Floor 1.200% 04/26/2083 | 6.823% | 1,165,000 | 1,112,408 | |
Series 2008-4 Class B | ||||
90-day Average SOFR + 2.112% Floor 1.850% 04/25/2073 | 7.473% | 1,165,000 | 1,168,345 | |
Series 2008-5 Class B | ||||
90-day Average SOFR + 2.112% Floor 1.850% 07/25/2073 | 7.473% | 4,060,000 | 4,025,594 | |
Series 2008-6 Class A4 | ||||
90-day Average SOFR + 1.362% Floor 1.100% 07/25/2024 | 6.723% | 2,910,657 | 2,885,824 | |
Series 2008-6 Class B | ||||
90-day Average SOFR + 2.112% Floor 1.850% 07/26/2083 | 7.473% | 1,165,000 | 1,102,645 | |
Series 2008-7 Class B | ||||
90-day Average SOFR + 2.112% Floor 1.850% 07/26/2083 | 7.473% | 1,165,000 | 1,095,238 | |
Series 2012-2 Class A | ||||
30-day Average SOFR + 0.814% Floor 0.700% 01/25/2029 | 6.136% | 3,700,010 | 3,581,502 | |
Series 2012-7 Class A3 | ||||
30-day Average SOFR + 0.764% Floor 0.650% 05/26/2026 | 6.086% | 1,811,008 | 1,741,979 | |
SMB Private Education Loan Trust(a) | ||||
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 1,927,436 | 1,747,369 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 161,419 | 155,726 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2018-A Class A2B | ||||
02/25/2042 | 2.950% | 42,538 | 41,495 | |
Series 2019-A Class BFX | ||||
06/15/2048 | 4.110% | 2,500,000 | 2,215,090 | |
Subordinated Series 2018-B Class BFX | ||||
08/25/2047 | 3.830% | 2,700,000 | 2,461,591 | |
Subordinated Series 2019-B Class BFX | ||||
08/17/2048 | 3.730% | 2,500,000 | 2,168,470 | |
SoFi Professional Loan Program Trust(a) | ||||
Subordinated Series 2020-B Class BFX | ||||
05/15/2046 | 2.730% | 2,200,000 | 1,627,551 | |
Sonic Capital LLC(a) | ||||
Series 2020-1A Class A2I | ||||
01/20/2050 | 3.845% | 1,833,500 | 1,732,847 | |
Sound Point CLO II Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month Term SOFR + 1.332% Floor 1.070% 01/26/2031 | 6.656% | 4,643,408 | 4,644,360 | |
Sunnova Helios XI Issuer LLC(a) | ||||
Series 2023-A Class A | ||||
05/20/2050 | 5.300% | 4,573,221 | 4,473,296 | |
Sunnova Sol II Issuer LLC(a) | ||||
Series 2020-2A Class A | ||||
11/01/2055 | 2.730% | 2,718,339 | 2,234,987 | |
Sunnova Sol III Issuer LLC(a) | ||||
Series 2021-1 Class A | ||||
04/28/2056 | 2.580% | 2,268,101 | 1,890,488 | |
Sunrun Athena Issuer LLC(a) | ||||
Series 2018-1 Class A | ||||
04/30/2049 | 5.310% | 1,753,722 | 1,668,104 | |
Sunrun Callisto Issuer LLC(a) | ||||
Series 2019-1A Class A | ||||
06/30/2054 | 3.980% | 1,277,040 | 1,189,839 | |
Sunrun Iris Issuer LLC(a) | ||||
Series 2023-1A Class A | ||||
01/30/2059 | 5.750% | 1,730,800 | 1,646,947 | |
Symphony CLO XVIII Ltd.(a),(b) | ||||
Series 2016-18A Class A1RR | ||||
3-month Term SOFR + 1.362% Floor 1.100% 07/23/2033 | 6.677% | 6,250,000 | 6,249,963 | |
Taco Bell Funding LLC(a) | ||||
Series 2021-1A Class A2I | ||||
08/25/2051 | 1.946% | 2,456,250 | 2,217,697 | |
TCI-Flatiron CLO Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month Term SOFR + 2.012% Floor 1.750% 01/29/2032 | 7.331% | 2,300,000 | 2,293,187 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
TCW CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1RR | ||||
3-month Term SOFR + 1.442% Floor 1.180% 10/29/2034 | 6.761% | 21,750,000 | 21,756,938 | |
Series 2017-1A Class BRR | ||||
3-month Term SOFR + 1.962% Floor 1.700% 10/29/2034 | 7.281% | 6,500,000 | 6,490,029 | |
Series 2021-1A Class C | ||||
3-month Term SOFR + 2.162% Floor 1.900% 03/18/2034 | 7.479% | 3,150,000 | 3,112,055 | |
Telos CLO Ltd.(a),(b) | ||||
Series 2013-4A Class AR | ||||
3-month Term SOFR + 1.502% Floor 1.240% 01/17/2030 | 6.818% | 6,222,483 | 6,223,783 | |
Texas Debt Capital CLO Ltd.(a),(b) | ||||
Series 2023-1A Class A | ||||
3-month Term SOFR + 1.800% Floor 1.800% 04/20/2036 | 7.118% | 4,050,000 | 4,074,413 | |
Textainer Marine Containers VII Ltd.(a) | ||||
Series 2021-2A Class A | ||||
04/20/2046 | 2.230% | 3,402,667 | 3,008,080 | |
THL Credit Wind River CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month Term SOFR + 1.422% Floor 1.160% 07/20/2034 | 6.739% | 10,000,000 | 9,999,320 | |
TIAA CLO I Ltd.(a),(b) | ||||
Series 2016-1A Class AR | ||||
3-month Term SOFR + 1.462% Floor 1.200% 07/20/2031 | 6.779% | 6,098,918 | 6,106,841 | |
Tikehau US CLO III Ltd.(a),(b) | ||||
Series 2022-2A Class A1R | ||||
3-month Term SOFR + 1.870% Floor 1.870% 01/20/2036 | 7.188% | 15,000,000 | 15,152,670 | |
Tikehau US CLO IV Ltd.(a),(b) | ||||
Series 2023-1A Class A1 | ||||
3-month Term SOFR + 2.200% Floor 2.200% 07/15/2034 | 7.514% | 28,000,000 | 28,458,472 | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2020-1A Class A | ||||
05/25/2033 | 1.350% | 1,405,000 | 1,337,206 | |
Trafigura Securitisation Finance PLC(a) | ||||
Subordinated Series 2021-1A Class B | ||||
01/15/2025 | 1.780% | 1,550,000 | 1,481,888 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tralee CLO VI Ltd.(a),(b) | ||||
Series 2019-6A Class A1R | ||||
3-month Term SOFR + 1.432% Floor 1.170% 10/25/2032 | 6.756% | 25,000,000 | 24,974,350 | |
Tralee CLO VII Ltd(a),(b) | ||||
Series 2021-7A Class A1 | ||||
3-month Term SOFR + 1.582% Floor 1.320% 04/25/2034 | 6.906% | 9,250,000 | 9,257,825 | |
Trestles CLO V LTD.(a),(b) | ||||
Series 2021-5A Class B1 | ||||
3-month Term SOFR + 1.912% Floor 1.650% 10/20/2034 | 7.229% | 6,800,000 | 6,776,703 | |
Trinitas CLO VII Ltd.(a),(b) | ||||
Series 2017-7A Class A1R | ||||
3-month Term SOFR + 1.462% Floor 1.200% 01/25/2035 | 6.786% | 4,000,000 | 3,999,860 | |
Trinitas CLO XX Ltd.(a),(b) | ||||
Series 2022-20A Class A1 | ||||
3-month Term SOFR + 1.530% Floor 1.530% 07/20/2035 | 6.848% | 13,250,000 | 13,257,380 | |
Trinitas CLO XXVI Ltd.(a),(b) | ||||
Series 2023-26A Class A1 | ||||
3-month Term SOFR + 1.690% Floor 1.690% 01/20/2035 | 7.008% | 18,000,000 | 18,107,730 | |
Triton Container Finance VIII LLC(a) | ||||
Series 2021-1A Class A | ||||
03/20/2046 | 1.860% | 2,406,667 | 2,089,586 | |
United Auto Credit Securitization Trust(a) | ||||
Subordinated Series 2022-2 Class C | ||||
05/10/2027 | 5.810% | 1,995,000 | 1,981,912 | |
Upstart Securitization Trust(a) | ||||
Series 2023-1 Class A | ||||
02/20/2033 | 6.590% | 723,032 | 722,797 | |
Venture CLO Ltd.(a),(b) | ||||
Series 2017-28AA Class A1R | ||||
3-month Term SOFR + 1.472% Floor 1.210% 10/20/2034 | 6.789% | 12,500,000 | 12,500,062 | |
Venture XXVII CLO Ltd.(a),(b) | ||||
Series 2017-27A Class CR | ||||
3-month Term SOFR + 2.562% 07/20/2030 | 7.879% | 4,100,000 | 4,063,449 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Voya CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1AR | ||||
3-month Term SOFR + 1.472% Floor 1.210% 10/15/2030 | 6.786% | 4,929,505 | 4,934,016 | |
Series 2016-1A Class A1R | ||||
3-month Term SOFR + 1.332% Floor 1.070% 01/20/2031 | 6.649% | 7,659,087 | 7,660,612 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
90-day Average SOFR + 0.432% Floor 0.170% 04/25/2040 | 5.793% | 3,545,377 | 3,456,259 | |
Wellfleet CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1R | ||||
3-month Term SOFR + 1.382% Floor 1.120% 07/20/2032 | 6.699% | 15,000,000 | 14,967,990 | |
Wendy’s Funding LLC(a) | ||||
Series 2018-1A Class A2II | ||||
03/15/2048 | 3.884% | 939,969 | 885,926 | |
Series 2019-1A Class A2I | ||||
06/15/2049 | 3.783% | 3,104,944 | 2,975,171 | |
Series 2021-1A Class A2II | ||||
06/15/2051 | 2.775% | 4,987,121 | 4,177,354 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2021-2A Class C | ||||
07/15/2026 | 0.890% | 1,293,351 | 1,274,248 | |
Subordinated Series 2023-2A Class B | ||||
03/15/2028 | 6.140% | 3,550,000 | 3,548,180 | |
Subordinated Series 2023-3A Class C | ||||
09/15/2028 | 6.020% | 4,530,000 | 4,530,280 | |
Westlake Flooring Master Trust(a) | ||||
Series 2024-1A Class A | ||||
02/15/2028 | 5.430% | 855,000 | 855,442 | |
Wheels Fleet Lease Funding 1 LLC(a) | ||||
Series 2023-1A Class A | ||||
04/18/2038 | 5.800% | 5,650,000 | 5,655,851 | |
Wind River CLO Ltd.(a),(b) | ||||
Series 2016-1A Class A1R2 | ||||
3-month Term SOFR + 1.472% Floor 1.210% 10/15/2034 | 6.786% | 4,250,000 | 4,242,495 | |
World Omni Automobile Lease Securitization Trust | ||||
Series 2023-A Class A3 | ||||
09/15/2026 | 5.070% | 2,420,000 | 2,411,782 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
World Omni Select Auto Trust | ||||
Subordinated Series 2021-A Class B | ||||
08/16/2027 | 0.850% | 2,170,000 | 2,083,321 | |
York CLO-4 Ltd.(a),(b) | ||||
Series 2016-2A Class A1R | ||||
3-month Term SOFR + 1.352% 04/20/2032 | 6.669% | 9,761,649 | 9,770,611 | |
Zais CLO 7 Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month Term SOFR + 1.552% 04/15/2030 | 6.866% | 1,830,900 | 1,831,332 | |
Zais CLO 9 Ltd.(a),(b) | ||||
Series 2018-2A Class A | ||||
3-month Term SOFR + 1.462% Floor 1.200% 07/20/2031 | 6.779% | 10,311,767 | 10,313,334 | |
Zaxby’s Funding LLC(a) | ||||
Series 2021-1A Class A2 | ||||
07/30/2051 | 3.238% | 5,508,750 | 4,837,073 | |
Total Asset-Backed Securities — Non-Agency (Cost $1,353,375,672) | 1,339,820,690 | |||
Commercial Mortgage-Backed Securities - Agency 0.7% | ||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(d),(e) | ||||
CMO Series K055 Class X1 | ||||
03/25/2026 | 1.335% | 1,943,283 | 42,939 | |
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.161% | 2,298,772 | 48,063 | |
CMO Series K059 Class X1 | ||||
09/25/2026 | 0.298% | 6,862,420 | 41,218 | |
CMO Series K060 Class X1 | ||||
10/25/2026 | 0.062% | 24,855,679 | 47,166 | |
CMO Series K152 Class X1 | ||||
01/25/2031 | 0.954% | 3,953,343 | 187,167 | |
Series 20K129 Class X1 (FHLMC) | ||||
05/25/2031 | 1.032% | 12,569,900 | 685,542 | |
Series 20K141 Class X1 (FHLMC) | ||||
02/25/2032 | 0.305% | 7,248,198 | 151,575 | |
Series 20K142 Class X1 (FHLMC) | ||||
12/25/2031 | 0.297% | 17,571,344 | 355,453 | |
Series 20K143 Class X1 (FHLMC) | ||||
04/25/2055 | 0.342% | 7,937,151 | 188,915 | |
Series 20K144 Class X1 (FHLMC) | ||||
04/25/2032 | 0.326% | 10,387,097 | 242,706 | |
Series K069 Class X1 | ||||
09/25/2027 | 0.343% | 35,837,884 | 394,084 | |
Series K091 Class X1 | ||||
03/25/2029 | 0.561% | 39,071,624 | 946,702 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series K095 Class X1 | ||||
06/25/2029 | 0.950% | 74,728,198 | 3,079,198 | |
Series K106 Class X1 | ||||
01/25/2030 | 1.318% | 94,271,638 | 5,929,196 | |
Series K131 Class X1 (FHLMC) | ||||
07/25/2031 | 0.728% | 12,786,129 | 553,854 | |
Series K137 Class X1 | ||||
11/25/2031 | 0.198% | 274,439,981 | 3,330,768 | |
Series K145 Class X1 | ||||
06/25/2055 | 0.317% | 4,655,154 | 105,630 | |
Series K146 Class X1 | ||||
06/25/2032 | 0.230% | 15,762,663 | 281,029 | |
Series K147 Class X1 | ||||
06/25/2032 | 0.358% | 12,176,355 | 321,839 | |
Series K149 Class X1 (FHLMC) | ||||
08/25/2032 | 0.264% | 20,951,276 | 438,322 | |
Series K-150 Class X1 (FHLMC) | ||||
09/25/2032 | 0.310% | 26,965,944 | 649,545 | |
Series K-1515 Class X1 | ||||
02/25/2035 | 1.510% | 7,073,694 | 778,383 | |
Series K-1516 Class X1 | ||||
05/25/2035 | 1.510% | 14,608,034 | 1,714,951 | |
Series K-1517 Class X1 | ||||
07/25/2035 | 1.323% | 19,929,079 | 2,040,680 | |
Series K1521 Class X1 | ||||
08/25/2036 | 0.980% | 23,326,746 | 1,769,271 | |
Series K728 Class X1 | ||||
08/25/2024 | 0.460% | 220,977,170 | 393,803 | |
Series K729 Class X1 | ||||
10/25/2024 | 0.339% | 133,097,866 | 186,976 | |
Series K735 Class X1 | ||||
05/25/2026 | 0.958% | 12,485,820 | 204,892 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K056 Class A2 | ||||
05/25/2026 | 2.525% | 6,137,000 | 5,865,624 | |
Series K074 Class A2 | ||||
01/25/2028 | 3.600% | 8,660,000 | 8,311,885 | |
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,935,000 | 6,410,878 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(d) | ||||
Series K157 Class A3 | ||||
08/25/2033 | 3.990% | 6,145,000 | 5,575,534 | |
Series Q006 Class APT1 | ||||
07/25/2026 | 2.673% | 3,356,590 | 3,204,586 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
11/01/2031 | 3.400% | 1,500,000 | 1,340,488 | |
02/01/2033 | 3.400% | 3,942,631 | 3,572,550 | |
07/01/2033 | 3.670% | 8,000,000 | 7,310,056 | |
03/01/2035 | 2.510% | 3,000,000 | 2,429,180 | |
04/01/2040 | 2.455% | 3,495,000 | 2,469,495 | |
Federal National Mortgage Association(d),(e) | ||||
Series 2020-M43 Class X1 | ||||
08/25/2034 | 1.913% | 33,631,802 | 2,858,602 | |
Freddie Mac Multifamily Structured Pass-Through Certificates(d),(e) | ||||
Series K514 Class X1 (FHLMC) | ||||
12/25/2028 | 0.964% | 67,400,000 | 2,757,300 | |
Government National Mortgage Association(d),(e) | ||||
CMO Series 2011-38 Class IO | ||||
04/16/2053 | 0.530% | 871,126 | 6,685 | |
CMO Series 2013-162 Class IO | ||||
09/16/2046 | 0.057% | 15,990,802 | 17,158 | |
CMO Series 2014-134 Class IA | ||||
01/16/2055 | 0.145% | 11,577,410 | 50,563 | |
CMO Series 2015-101 Class IO | ||||
03/16/2052 | 0.270% | 2,818,571 | 25,943 | |
CMO Series 2015-114 | ||||
03/15/2057 | 0.351% | 1,262,512 | 17,488 | |
CMO Series 2015-120 Class IO | ||||
03/16/2057 | 0.614% | 6,482,405 | 108,806 | |
CMO Series 2015-125 Class IB | ||||
01/16/2055 | 0.944% | 6,856,255 | 146,835 | |
CMO Series 2015-125 Class IO | ||||
07/16/2055 | 0.607% | 17,653,918 | 228,115 | |
CMO Series 2015-146 Class IC | ||||
07/16/2055 | 0.186% | 5,386,046 | 28,209 | |
CMO Series 2015-171 Class IO | ||||
11/16/2055 | 0.837% | 4,501,774 | 121,415 | |
CMO Series 2015-174 Class IO | ||||
11/16/2055 | 0.414% | 5,632,245 | 103,561 | |
CMO Series 2015-21 Class IO | ||||
07/16/2056 | 0.704% | 2,958,905 | 70,909 | |
CMO Series 2015-29 Class EI | ||||
09/16/2049 | 0.701% | 4,656,674 | 65,286 | |
CMO Series 2015-41 Class IO | ||||
09/16/2056 | 0.168% | 892,196 | 5,624 | |
CMO Series 2015-6 Class IO | ||||
02/16/2051 | 0.470% | 1,980,765 | 20,423 | |
CMO Series 2015-70 Class IO | ||||
12/16/2049 | 0.566% | 5,516,382 | 91,107 | |
CMO Series 2016-39 Class IO | ||||
01/16/2056 | 0.679% | 3,493,325 | 88,338 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2022-17 Class IO | ||||
06/16/2064 | 0.802% | 6,239,495 | 367,766 | |
CMO Series 2022-4 Class IO | ||||
03/16/2064 | 0.860% | 15,366,597 | 961,679 | |
CMO Series 2022-43 Class IO | ||||
09/16/2061 | 0.740% | 12,787,921 | 695,631 | |
Series 2014-101 Class IO | ||||
04/16/2056 | 0.580% | 9,363,359 | 118,835 | |
Series 2016-152 Class IO | ||||
08/15/2058 | 0.770% | 9,384,590 | 326,139 | |
Series 2017-168 Class IO | ||||
12/16/2059 | 0.544% | 15,330,231 | 494,941 | |
Series 2018-110 Class IA | ||||
11/16/2059 | 0.640% | 19,981,235 | 703,649 | |
Series 2018-2 Class IO | ||||
12/16/2059 | 0.705% | 7,138,544 | 288,297 | |
Series 2020-108 Class IO | ||||
06/16/2062 | 0.847% | 8,797,513 | 497,539 | |
Series 2021-106 Class IO | ||||
04/16/2063 | 0.859% | 9,422,279 | 599,523 | |
Series 2021-132 Class BI | ||||
04/16/2063 | 0.923% | 12,032,399 | 785,591 | |
Series 2021-133 Class IO | ||||
07/16/2063 | 0.881% | 11,870,078 | 769,937 | |
Series 2021-144 Class IO | ||||
04/16/2063 | 0.825% | 11,914,438 | 703,222 | |
Series 2021-145 Class IO | ||||
07/16/2061 | 0.771% | 2,510,352 | 133,402 | |
Series 2021-151 Class IO | ||||
04/16/2063 | 0.917% | 10,654,736 | 725,383 | |
Series 2021-163 Class IO | ||||
03/16/2064 | 0.801% | 11,122,357 | 659,817 | |
Series 2021-186 Class IO | ||||
05/16/2063 | 0.764% | 12,410,262 | 683,546 | |
Series 2021-52 Class IO | ||||
04/16/2063 | 0.720% | 10,370,744 | 547,634 | |
Series 2022-132 Class IO | ||||
10/16/2064 | 0.538% | 10,921,208 | 496,493 | |
Series 2022-166 Class IO | ||||
04/16/2065 | 0.792% | 12,843,676 | 730,744 | |
Series 2022-92 Class EI | ||||
02/16/2064 | 0.809% | 11,103,027 | 653,735 | |
Series 2023-110 Class IO | ||||
07/16/2058 | 1.021% | 9,933,615 | 782,683 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(b) | ||||
CMO Series 2013-H08 Class FA | ||||
1-month Term SOFR + 0.464% Floor 0.350%, Cap 10.550% 03/20/2063 | 5.813% | 70,449 | 70,021 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $120,668,105) | 91,208,717 | |||
Commercial Mortgage-Backed Securities - Non-Agency 6.2% | ||||
Arbor Multifamily Mortgage Securities Trust(a) | ||||
Series 2021-MF2 Class A4 | ||||
06/15/2054 | 2.252% | 18,000,000 | 14,467,558 | |
Arbor Realty Commercial Real Estate Notes Ltd.(a),(b) | ||||
Series 2021-FL2 Class A | ||||
1-month Term SOFR + 1.214% Floor 1.100% 05/15/2036 | 6.532% | 4,027,089 | 4,017,980 | |
Series 2021-FL3 Class A | ||||
1-month Term SOFR + 1.184% Floor 1.070% 08/15/2034 | 6.502% | 5,200,000 | 5,157,452 | |
Series 2021-FL4 Class A | ||||
1-month Term SOFR + 1.464% Floor 1.350% 11/15/2036 | 6.782% | 5,000,000 | 4,973,089 | |
Series 2021-FL4 Class D | ||||
1-month Term SOFR + 3.014% Floor 2.900% 11/15/2036 | 8.332% | 3,250,000 | 3,113,291 | |
AREIT LLC(a),(b) | ||||
Series 2023-CRE8 Class A | ||||
1-month Term SOFR + 2.112% Floor 2.112% 08/17/2041 | 7.432% | 2,957,894 | 2,958,842 | |
AREIT Trust(a),(b) | ||||
Series 2022-CRE6 Class A | ||||
30-day Average SOFR + 1.250% Floor 1.250% 01/16/2037 | 6.574% | 1,269,586 | 1,256,423 | |
BAMLL Commercial Mortgage Securities Trust(a) | ||||
Series 2019-BPR Class AM | ||||
11/05/2032 | 3.287% | 6,325,000 | 6,043,116 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc.(d),(e) | ||||
Series 2019-BN18 Class XA | ||||
05/15/2062 | 0.885% | 59,160,387 | 2,128,816 | |
BANK(d),(e) | ||||
Series 2017-BNK8 Class XA | ||||
11/15/2050 | 0.710% | 26,539,493 | 559,118 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BANK(d) | ||||
Series 2021-BN37 Class A5 | ||||
11/15/2064 | 2.618% | 5,605,000 | 4,678,369 | |
Series 2022-BNK40 Class A4 | ||||
03/15/2064 | 3.507% | 2,945,000 | 2,609,880 | |
BANK(a) | ||||
Subordinated Series 2017-BNK6 Class D | ||||
07/15/2060 | 3.100% | 2,380,000 | 1,864,327 | |
BANK5(d) | ||||
Series 2023-5YR3 Class A3 | ||||
09/15/2056 | 6.724% | 2,985,000 | 3,156,721 | |
BANK5 | ||||
Series 2023-5YR4 Class A3 | ||||
12/15/2056 | 6.500% | 1,395,000 | 1,464,285 | |
BBCMS Mortgage Trust(a) | ||||
Series 2016-ETC Class A | ||||
08/14/2036 | 2.937% | 13,500,000 | 12,229,369 | |
Subordinated Series 2016-ETC Class B | ||||
08/14/2036 | 3.189% | 900,000 | 786,090 | |
Subordinated Series 2016-ETC Class C | ||||
08/14/2036 | 3.391% | 770,000 | 640,031 | |
BBCMS Mortgage Trust(d),(e) | ||||
Series 2018-C2 Class XA | ||||
12/15/2051 | 0.753% | 60,301,280 | 1,689,503 | |
BBCMS Mortgage Trust(a),(b) | ||||
Series 2020-BID Class A | ||||
1-month Term SOFR + 2.254% Floor 2.140% 10/15/2037 | 7.572% | 9,360,000 | 9,301,500 | |
BBCMS Mortgage Trust | ||||
Series 2021-C12 Class A5 | ||||
11/15/2054 | 2.689% | 5,580,000 | 4,725,965 | |
Series 2023-C20 Class A5 | ||||
07/15/2056 | 5.576% | 2,100,000 | 2,173,120 | |
BBCMS Mortgage Trust(a),(d) | ||||
Subordinated Series 2016-ETC Class D | ||||
08/14/2036 | 3.609% | 2,790,000 | 2,228,642 | |
BB-UBS Trust(a) | ||||
Series 2012-TFT Class A | ||||
06/05/2030 | 2.892% | 2,165,043 | 1,987,509 | |
BDS Ltd.(a),(b) | ||||
Series 2021-FL8 Class B | ||||
1-month Term SOFR + 1.464% Floor 1.350% 01/18/2036 | 6.784% | 1,000,000 | 994,842 | |
Benchmark Mortgage Trust(d),(e) | ||||
03/15/2053 | 1.414% | 25,263,601 | 1,210,937 | |
Series 2019-B10 Class XA | ||||
03/15/2062 | 1.194% | 26,942,394 | 1,344,037 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-B20 Class XA | ||||
10/15/2053 | 1.609% | 14,412,088 | 921,699 | |
Benchmark Mortgage Trust | ||||
Series 2021-B26 Class A4 | ||||
06/15/2054 | 2.295% | 10,600,000 | 8,839,454 | |
Series 2021-B31 Class A5 | ||||
12/15/2054 | 2.669% | 4,440,000 | 3,722,617 | |
Benchmark Mortgage Trust(d) | ||||
Series 2023-V2 Class A3 | ||||
05/15/2055 | 5.812% | 17,305,000 | 17,634,285 | |
Subordinated Series 2019-B14 Class C | ||||
12/15/2062 | 3.772% | 1,500,000 | 1,089,702 | |
BIG Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-BIG Class B | ||||
1-month Term SOFR + 1.741% Floor 1.741% 02/15/2039 | 7.059% | 2,100,000 | 2,073,108 | |
Subordinated Series 2022-BIG Class C | ||||
1-month Term SOFR + 2.340% Floor 2.340% 02/15/2039 | 7.658% | 420,000 | 409,520 | |
BLP Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2024-IND2 Class C | ||||
1-month Term SOFR + 1.891% 03/15/2041 | 7.191% | 2,500,000 | 2,497,955 | |
BMD2 Re-Remic Trust(a),(f) | ||||
Series 2019-FRR1 Class 3AB | ||||
05/25/2052 | 0.000% | 2,821,000 | 2,012,361 | |
Subordinated Series 2019-FRR1 Class 2C | ||||
05/25/2052 | 0.000% | 14,258,000 | 12,814,015 | |
BOCA Commercial Mortgage Trust(a),(b) | ||||
Series 2022-BOCA Class A | ||||
1-month Term SOFR + 1.770% Floor 1.770% 05/15/2039 | 7.087% | 1,000,000 | 1,000,443 | |
BPR Trust(a),(b) | ||||
Series 2021-NRD Class A | ||||
1-month Term SOFR + 1.525% Floor 1.525% 12/15/2038 | 6.843% | 3,045,000 | 2,957,716 | |
Series 2022-OANA Class A | ||||
1-month Term SOFR + 1.898% Floor 1.898% 04/15/2037 | 7.216% | 2,300,000 | 2,307,109 | |
BPR Trust(a),(d) | ||||
Series 2023-BRK2 Class A | ||||
11/05/2028 | 6.899% | 5,400,000 | 5,582,353 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2020-VKNG Class A | ||||
1-month Term SOFR + 1.044% Floor 1.045% 10/15/2037 | 6.362% | 5,644,954 | 5,629,078 | |
Series 2021-VOLT Class A | ||||
1-month Term SOFR + 0.814% Floor 0.700% 09/15/2036 | 6.132% | 1,280,000 | 1,265,529 | |
Series 2021-VOLT Class G | ||||
1-month Term SOFR + 2.964% Floor 2.850% 09/15/2036 | 8.282% | 3,000,000 | 2,935,186 | |
Series 2022-CSMO Class A | ||||
1-month Term SOFR + 2.115% Floor 2.115% 06/15/2027 | 7.432% | 5,918,000 | 5,940,206 | |
Series 2023-VLT2 Class A | ||||
1-month Term SOFR + 2.281% Floor 2.281% 06/15/2040 | 7.599% | 5,500,000 | 5,513,750 | |
Series 2023-VLT3 Class A | ||||
1-month Term SOFR + 1.940% Floor 1.940% 11/15/2028 | 7.258% | 5,000,000 | 5,000,003 | |
Series 2023-XL3 Class A | ||||
1-month Term SOFR + 1.761% Floor 1.761% 12/09/2040 | 7.079% | 5,000,000 | 5,034,375 | |
Subordinated Series 2021-21M Class E | ||||
1-month Term SOFR + 2.285% Floor 2.171% 10/15/2036 | 7.603% | 1,925,000 | 1,896,125 | |
Subordinated Series 2021-IRON Class E | ||||
1-month Term SOFR + 2.464% Floor 2.350% 02/15/2038 | 7.782% | 3,000,000 | 2,823,301 | |
Subordinated Series 2021-MFM1 Class D | ||||
1-month Term SOFR + 1.614% Floor 1.500% 01/15/2034 | 6.932% | 383,131 | 378,102 | |
Subordinated Series 2021-SOAR Class F | ||||
1-month Term SOFR + 2.464% Floor 2.350% 06/15/2038 | 7.782% | 15,734,910 | 15,459,483 | |
Subordinated Series 2022-CSMO Class B | ||||
1-month Term SOFR + 3.141% Floor 3.141% 06/15/2027 | 8.458% | 3,490,000 | 3,499,817 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2024-MF Class D | ||||
1-month Term SOFR + 2.690% Floor 2.690% 02/15/2039 | 7.990% | 3,000,000 | 2,999,999 | |
Subordinated Series 2024-XL4 Class C | ||||
1-month Term SOFR + 2.191% Floor 2.191% 02/15/2039 | 7.509% | 2,955,000 | 2,954,072 | |
BX Commercial Mortgage Trust(a),(d) | ||||
Subordinated Series 2020-VIV3 Class B | ||||
03/09/2044 | 3.544% | 5,780,000 | 5,060,435 | |
BX Trust(a),(b),(c) | ||||
1-month Term SOFR + 2.090% Floor 2.090% 03/15/2026 | 7.340% | 11,000,000 | 10,972,214 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,115,000 | 986,716 | |
BX Trust(a),(b) | ||||
Series 2021-ARIA Class A | ||||
1-month Term SOFR + 1.014% 10/15/2036 | 6.331% | 5,618,000 | 5,544,264 | |
Series 2021-LGCY Class D | ||||
1-month Term SOFR + 0.114% Floor 1.302% 10/15/2036 | 6.735% | 590,000 | 570,825 | |
Series 2023-DELC Class A | ||||
1-month Term SOFR + 2.690% Floor 2.690% 05/15/2038 | 8.008% | 2,000,000 | 2,017,508 | |
Subordinated Series 2022-LBA6 Class D | ||||
1-month Term SOFR + 2.000% Floor 2.000% 01/15/2039 | 7.318% | 750,000 | 740,625 | |
Subordinated Series 2022-VAMF Class E | ||||
1-month Term SOFR + 2.700% Floor 2.700% 01/15/2039 | 8.018% | 5,000,000 | 4,726,484 | |
Subordinated Series 2024-BIO Class B | ||||
1-month Term SOFR + 1.941% 02/15/2041 | 7.241% | 6,250,000 | 6,246,089 | |
BXHPP Trust(a),(b) | ||||
Series 2021-FILM Class A | ||||
1-month Term SOFR + 0.764% Floor 0.650% 08/15/2036 | 6.082% | 7,000,000 | 6,732,669 | |
CAMB Commercial Mortgage Trust(a) | ||||
Series 2021-CX2 Class A | ||||
11/10/2046 | 2.700% | 7,200,000 | 5,873,818 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cantor Commercial Real Estate Lending | ||||
Series 2019-CF1 Class A2 | ||||
05/15/2052 | 3.623% | 4,049,947 | 3,827,870 | |
Series 2019-CF3 Class A3 | ||||
01/15/2053 | 2.752% | 16,100,000 | 13,903,949 | |
Cantor Commercial Real Estate Lending(d),(e) | ||||
Series 2019-CF2 Class XA | ||||
11/15/2052 | 1.204% | 41,615,592 | 1,847,408 | |
CCUBS Commercial Mortgage Trust(d) | ||||
Subordinated Series 2017-C1 Class B | ||||
11/15/2050 | 4.159% | 1,505,000 | 1,368,701 | |
CD Mortgage Trust | ||||
Series 2016-CD1 Class A3 | ||||
08/10/2049 | 2.459% | 14,750,906 | 13,802,933 | |
Series 2017-CD6 Class A4 | ||||
11/13/2050 | 3.190% | 20,000,000 | 18,686,538 | |
CD Mortgage Trust(d),(e) | ||||
Series 2019-CD8 Class XA | ||||
08/15/2057 | 1.398% | 46,474,167 | 2,606,146 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2016-C4 Class A4 | ||||
05/10/2058 | 3.283% | 5,900,000 | 5,610,676 | |
CFCRE Commercial Mortgage Trust(d),(e) | ||||
Series 2016-C4 Class XA | ||||
05/10/2058 | 1.599% | 51,303,314 | 1,224,405 | |
CFCRE Commercial Mortgage Trust(d) | ||||
Subordinated Series 2016-C7 Class C | ||||
12/10/2054 | 4.367% | 1,250,000 | 1,083,154 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2015-GC35 Class A3 | ||||
11/10/2048 | 3.549% | 10,000,000 | 9,538,512 | |
Series 2019-C7 Class A4 | ||||
12/15/2072 | 3.102% | 3,985,000 | 3,546,099 | |
Series 2019-GC43 Class A3 | ||||
11/10/2052 | 2.782% | 10,000,000 | 8,719,849 | |
Citigroup Commercial Mortgage Trust(a),(b) | ||||
Series 2021-PRM2 Class F | ||||
1-month Term SOFR + 3.864% Floor 3.750% 10/15/2036 | 9.182% | 1,500,000 | 1,461,783 | |
Citigroup Commercial Mortgage Trust(d) | ||||
Subordinated Series 2015-GC35 Class AS | ||||
11/10/2048 | 4.072% | 1,300,000 | 1,184,894 | |
Subordinated Series 2020-GC46 Class B | ||||
02/15/2053 | 3.150% | 2,000,000 | 1,681,484 | |
Citigroup Commercial Mortgage Trust(a),(d) | ||||
Subordinated Series 2016-C2 Class E | ||||
08/10/2049 | 4.390% | 2,420,000 | 1,697,652 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2023-SMRT Class C | ||||
06/10/2028 | 6.048% | 1,000,000 | 987,122 | |
COMM Mortgage Trust(a),(d) | ||||
Subordinated Series 2013-CR10 Class E | ||||
08/10/2046 | 4.363% | 354,374 | 317,165 | |
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,513,000 | 2,325,120 | |
COMM Mortgage Trust(d) | ||||
Subordinated Series 2015-CR27 Class B | ||||
10/10/2048 | 4.337% | 2,000,000 | 1,904,760 | |
Subordinated Series 2017-COR2 Class B | ||||
09/10/2050 | 4.206% | 2,500,000 | 2,266,068 | |
Commercial Mortgage Pass-Through Certificates(a) | ||||
Series 2012-LTRT Class A2 | ||||
10/05/2030 | 3.400% | 3,002,900 | 2,761,989 | |
Commercial Mortgage Pass-Through Certificates(d) | ||||
Subordinated Series 2019-BN24 Class C | ||||
11/15/2062 | 3.517% | 1,000,000 | 791,001 | |
Commercial Mortgage Trust | ||||
Series 2014-UBS4 Class A5 | ||||
08/10/2047 | 3.694% | 5,000,000 | 4,927,851 | |
Series 2014-UBS6 Class A4 | ||||
12/10/2047 | 3.378% | 2,693,446 | 2,653,175 | |
Series 2015-DC1 Class A5 | ||||
02/10/2048 | 3.350% | 790,000 | 770,507 | |
Series 2015-LC19 Class A4 | ||||
02/10/2048 | 3.183% | 835,000 | 817,299 | |
Series 2015-PC1 Class A5 | ||||
07/10/2050 | 3.902% | 2,755,000 | 2,693,224 | |
Series 2016-COR1 Class A3 | ||||
10/10/2049 | 2.826% | 8,410,989 | 7,907,203 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 14,800,000 | 13,024,006 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2019-C18 Class A4 | ||||
12/15/2052 | 2.968% | 3,345,000 | 2,906,115 | |
CSAIL Commercial Mortgage Trust(d) | ||||
Subordinated Series 2018-C14 Class B | ||||
11/15/2051 | 4.878% | 1,000,000 | 885,068 | |
DBGS Mortgage Trust(a),(b) | ||||
Series 2018-BIOD Class E | ||||
1-month Term SOFR + 1.950% Floor 1.700% 05/15/2035 | 7.268% | 2,741,288 | 2,707,019 | |
Series 2018-BIOD Class F | ||||
1-month Term SOFR + 2.250% Floor 2.000% 05/15/2035 | 7.568% | 10,782,400 | 10,519,307 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
DBJPM Mortgage Trust(d),(e) | ||||
Series 2020-C9 Class XA | ||||
09/15/2053 | 1.704% | 46,146,007 | 2,444,114 | |
DBUBS Mortgage Trust(a) | ||||
Series 2017-BRBK Class A | ||||
10/10/2034 | 3.452% | 2,800,000 | 2,610,390 | |
DBWF Mortgage Trust(a),(d) | ||||
Series 2016-85T Class D | ||||
12/10/2036 | 3.808% | 2,000,000 | 1,383,898 | |
Series 2016-85T Class E | ||||
12/10/2036 | 3.808% | 2,000,000 | 1,277,873 | |
DC Commercial Mortgage Trust(a) | ||||
Series 2023-DC Class A | ||||
09/12/2040 | 6.314% | 7,175,000 | 7,332,633 | |
DTP Commercial Mortgage Trust(a),(d) | ||||
Series 2023-STE2 Class A | ||||
01/15/2041 | 6.038% | 2,000,000 | 1,971,141 | |
Extended Stay America Trust(a),(b) | ||||
Series 2021-ESH Class A | ||||
1-month Term SOFR + 1.194% Floor 1.080% 07/15/2038 | 6.512% | 1,830,666 | 1,828,380 | |
Series 2021-ESH Class E | ||||
1-month Term SOFR + 2.964% Floor 2.850% 07/15/2038 | 8.282% | 2,745,998 | 2,741,708 | |
FirstKey Homes Trust(a) | ||||
Series 2020-SFR1 Class A | ||||
08/17/2037 | 1.339% | 6,071,837 | 5,696,055 | |
Subordinated Series 2020-SFR2 Class E | ||||
10/19/2037 | 2.668% | 3,432,000 | 3,210,766 | |
FS Rialto(a),(b) | ||||
Series 2021-FL3 Class A | ||||
1-month Term SOFR + 1.364% Floor 1.364% 11/16/2036 | 6.684% | 4,950,086 | 4,915,851 | |
GAM Investments(a),(g) | ||||
Subordinated Series 2021-F Class A | ||||
09/27/2051 | 0.000% | 2,186,000 | 1,987,899 | |
Subordinated Series 2021-F Class D | ||||
09/27/2051 | 0.000% | 1,777,000 | 1,524,044 | |
Subordinated Series 2021-F Class E | ||||
09/27/2051 | 0.000% | 1,798,000 | 1,648,600 | |
Subordinated Series 2021-F Class G | ||||
09/27/2051 | 0.000% | 1,797,000 | 1,640,255 | |
Subordinated Series 2021-F Class H | ||||
09/27/2051 | 0.000% | 1,510,000 | 967,471 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GAM Investments(a),(d) | ||||
Subordinated Series 2021-F Class C | ||||
09/27/2051 | 1.010% | 1,778,000 | 1,582,273 | |
Subordinated Series 2021-F Class F | ||||
09/27/2051 | 2.400% | 2,364,000 | 1,797,995 | |
GAM Re-REMIC Trust(a),(g) | ||||
Series 2021-FRR1 Class 1B | ||||
07/28/2027 | 0.000% | 2,690,000 | 2,050,338 | |
Series 2021-FRR1 Class 2B | ||||
12/29/2027 | 0.000% | 4,900,000 | 3,583,994 | |
GAM Resecuritization Trust(a),(d) | ||||
Series 2022-FRR3 Class BK71 | ||||
01/29/2052 | 2.010% | 3,736,000 | 2,988,106 | |
GAM Resecuritization Trust(a),(g) | ||||
Series 2022-FRR3 Class D728 | ||||
01/29/2052 | 0.000% | 1,446,000 | 1,351,085 | |
Subordinated Series 2022-FRR3 Class BK89 | ||||
01/29/2052 | 0.000% | 2,169,000 | 1,444,374 | |
GAM Resecuritization Trust(a),(f) | ||||
Subordinated Series 2022-FRR3 Class BK61 | ||||
11/27/2049 | 0.000% | 2,543,000 | 1,958,646 | |
Subordinated Series 2022-FRR3 Class C728 | ||||
08/27/2050 | 0.000% | 1,446,000 | 1,366,653 | |
Subordinated Series 2022-FRR3 Class CK47 | ||||
05/27/2048 | 0.000% | 1,474,000 | 1,315,189 | |
Subordinated Series 2022-FRR3 Class CK61 | ||||
11/27/2049 | 0.000% | 1,784,000 | 1,310,903 | |
Subordinated Series 2022-FRR3 Class DK41 | ||||
10/27/2047 | 0.000% | 1,165,000 | 1,091,989 | |
Subordinated Series 2022-FRR3 Class DK47 | ||||
05/27/2048 | 0.000% | 1,473,000 | 1,298,540 | |
Great Wolf Trust(a),(b) | ||||
Subordinated Series 2019-WOLF Class D | ||||
1-month Term SOFR + 2.247% Floor 1.933% 12/15/2036 | 7.366% | 5,335,000 | 5,321,663 | |
Greystone Commercial Capital Trust(a),(b) | ||||
Series 2021-3 Class A | ||||
1-month Term SOFR + 2.344% Floor 2.230% 08/01/2024 | 7.664% | 8,500,000 | 8,437,005 | |
Greystone CRE Notes Ltd.(a),(b) | ||||
Series 2019-FL2 Class A | ||||
1-month Term SOFR + 1.364% Floor 1.180% 09/15/2037 | 6.682% | 2,217,755 | 2,217,744 | |
GS Mortgage Securities Corp II(a),(d) | ||||
Series 2017-375H Class A | ||||
09/10/2037 | 3.475% | 5,000,000 | 4,523,145 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-BWTR Class A | ||||
11/05/2034 | 2.954% | 3,857,000 | 2,847,728 | |
GS Mortgage Securities Corp. Trust(a),(b) | ||||
Series 2021-ARDN Class A | ||||
1-month Term SOFR + 1.364% Floor 1.250% 11/15/2036 | 6.682% | 3,000,000 | 2,948,438 | |
GS Mortgage Securities Trust(a),(d) | ||||
Series 2013-PEMB Class A | ||||
03/05/2033 | 3.550% | 1,890,000 | 1,473,992 | |
GS Mortgage Securities Trust | ||||
Series 2016-GS2 Class A3 | ||||
05/10/2049 | 2.791% | 4,386,124 | 4,156,100 | |
Series 2017-GS7 Class A3 | ||||
08/10/2050 | 3.167% | 10,000,000 | 9,364,928 | |
Series 2017-GS8 Class A3 | ||||
11/10/2050 | 3.205% | 20,000,000 | 18,638,818 | |
Series 2020-GC45 Class A5 | ||||
02/13/2053 | 2.911% | 1,810,000 | 1,593,253 | |
GS Mortgage Securities Trust(d) | ||||
Subordinated Series 2015-GC30 Class AS | ||||
05/10/2050 | 3.777% | 1,450,000 | 1,396,926 | |
Subordinated Series 2016-GS3 Class C | ||||
10/10/2049 | 3.982% | 1,500,000 | 1,331,598 | |
HGI CRE CLO Ltd.(a),(b) | ||||
Series 2022-FL3 Class A | ||||
30-day Average SOFR + 1.700% Floor 1.700% 04/20/2037 | 7.025% | 1,000,000 | 996,910 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,160,000 | 1,924,737 | |
Hudsons Bay Simon JV Trust(a) | ||||
Series 2015-HB10 Class A10 | ||||
08/05/2034 | 4.155% | 1,820,000 | 1,697,615 | |
Series 2015-HB7 Class A7 | ||||
08/05/2034 | 3.914% | 2,083,090 | 2,011,323 | |
IMT Trust(a) | ||||
Series 2017-APTS Class AFX | ||||
06/15/2034 | 3.478% | 5,410,000 | 5,356,163 | |
INTOWN Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-STAY Class D | ||||
1-month Term SOFR + 4.134% Floor 4.134% 08/15/2037 | 9.467% | 2,500,000 | 2,514,063 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2014-C26 Class A3 | ||||
01/15/2048 | 3.231% | 253,774 | 249,369 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-C30 Class A5 | ||||
07/15/2048 | 3.822% | 4,200,000 | 4,018,645 | |
JPMBB Commercial Mortgage Securities Trust(a),(d) | ||||
Subordinated Series 2014-C19 Class D | ||||
04/15/2047 | 10.086% | 874,000 | 851,353 | |
JPMBB Commercial Mortgage Securities Trust(d) | ||||
Subordinated Series 2014-C25 Class B | ||||
11/15/2047 | 4.347% | 1,470,000 | 1,341,745 | |
Subordinated Series 2015-C29 Class AS | ||||
05/15/2048 | 3.917% | 2,292,000 | 2,210,256 | |
JPMCC_17-JP6 | ||||
Series 20 17-JP6 Class A5 | ||||
07/15/2050 | 3.490% | 4,872,000 | 4,511,793 | |
JPMDB Commercial Mortgage Securities Trust | ||||
Series 2016-C4 Class A2 | ||||
12/15/2049 | 2.882% | 6,009,632 | 5,659,841 | |
Series 2019-COR6 Class A3 | ||||
11/13/2052 | 2.795% | 7,500,000 | 6,583,978 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2018-WPT Class AFX | ||||
07/05/2033 | 4.248% | 13,000,000 | 11,748,750 | |
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,110,000 | 1,883,422 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b) | ||||
Series 2021-HTL5 Class A | ||||
1-month Term SOFR + 1.229% Floor 1.115% 11/15/2038 | 6.547% | 7,080,000 | 7,004,754 | |
Series 2022-ACB Class E | ||||
30-day Average SOFR + 3.350% Floor 3.350% 03/15/2039 | 8.675% | 6,450,000 | 6,207,357 | |
Subordinated Series 2021-NYAH Class E | ||||
1-month Term SOFR + 1.954% 06/15/2038 | 7.272% | 600,000 | 501,900 | |
Subordinated Series 2021-NYAH Class H | ||||
1-month Term SOFR + 3.504% 06/15/2038 | 8.822% | 3,500,000 | 1,886,900 | |
KIND Trust(a),(b) | ||||
Series 2021-KIND Class A | ||||
1-month Term SOFR + 1.064% Floor 0.950% 08/15/2038 | 6.382% | 4,958,991 | 4,804,408 | |
KSL Commercial Mortgage Trust(a),(b) | ||||
Series 2023-HT Class A | ||||
1-month Term SOFR + 2.290% Floor 2.290% 12/15/2036 | 7.623% | 5,000,000 | 5,012,504 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ladder Capital Commercial Mortgage(a) | ||||
Series 2017-LC26 Class A4 | ||||
07/12/2050 | 3.551% | 4,500,000 | 4,206,596 | |
LAQ Mortgage Trust(a),(b) | ||||
Series 2023-LAQ Class A | ||||
1-month Term SOFR + 2.091% Floor 2.091% 03/15/2036 | 7.409% | 1,532,683 | 1,535,077 | |
Life Mortgage Trust(a),(b) | ||||
Series 2022-BMR2 Class A1 | ||||
1-month Term SOFR + 1.295% Floor 1.295% 05/15/2039 | 6.613% | 5,000,000 | 4,956,231 | |
Subordinated Series 2021-BMR Class F | ||||
1-month Term SOFR + 2.464% Floor 2.350% 03/15/2038 | 7.782% | 5,168,457 | 4,996,207 | |
LSTAR Commercial Mortgage Trust(a) | ||||
Series 2017-5 Class A4 | ||||
03/10/2050 | 3.390% | 800,000 | 777,284 | |
LSTAR Commercial Mortgage Trust(a),(d) | ||||
Subordinated Series 2016-4 Class F | ||||
03/10/2049 | 4.626% | 8,000,000 | 3,398,854 | |
Med Trust(a),(b) | ||||
Series 2021-MDLN Class A | ||||
1-month Term SOFR + 1.064% Floor 0.950% 11/15/2038 | 6.382% | 10,230,900 | 10,154,168 | |
MHP MHIL(a),(b) | ||||
Subordinated Series 2022 Class E | ||||
30-day Average SOFR + 2.611% Floor 2.611% 01/15/2027 | 7.928% | 2,734,842 | 2,656,195 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 1,575,000 | 1,262,210 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2015-C21 Class A3 | ||||
03/15/2048 | 3.077% | 407,904 | 400,471 | |
Series 2016-C29 Class ASB | ||||
05/15/2049 | 3.140% | 396,585 | 386,777 | |
Morgan Stanley Capital I Trust | ||||
Series 2016-UB11 Class A3 | ||||
08/15/2049 | 2.531% | 8,300,158 | 7,762,718 | |
Morgan Stanley Capital I Trust(d),(e) | ||||
Series 2021-L5 Class XA | ||||
05/15/2054 | 1.289% | 13,526,866 | 799,915 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MTN Commercial Mortgage Trust(a),(b) | ||||
Series 2022-LPFL Class A | ||||
1-month Term SOFR + 1.397% Floor 1.397% 03/15/2039 | 6.715% | 2,000,000 | 1,961,250 | |
NJ Trust(a),(d) | ||||
Series 2023-GSP Class A | ||||
01/06/2029 | 6.697% | 6,800,000 | 7,017,850 | |
ORL Trust(a),(b) | ||||
Series 2023-GLKS Class A | ||||
1-month Term SOFR + 2.350% Floor 2.350% 10/19/2036 | 7.668% | 5,000,000 | 5,018,764 | |
PFP Ltd.(a),(b) | ||||
Series 2023-10 Class A | ||||
1-month Term SOFR + 2.365% Floor 2.365% 09/16/2038 | 7.685% | 3,200,000 | 3,204,082 | |
Progress Residential Trust(a) | ||||
Subordinated Series 2021-SFR1 Class G | ||||
04/17/2038 | 3.861% | 3,830,000 | 3,470,203 | |
RFM Re-REMIC Trust(a),(g) | ||||
Series 2022-FRR1 Class AB55 | ||||
03/28/2049 | 0.000% | 1,150,000 | 963,087 | |
Series 2022-FRR1 Class CK55 | ||||
03/28/2049 | 0.000% | 360,000 | 295,625 | |
Series 2022-FRR1 Class CK60 | ||||
11/08/2049 | 0.000% | 450,000 | 346,690 | |
RFM Re-REMIC Trust(a),(d) | ||||
Series 2022-FRR1 Class AB60 | ||||
11/08/2049 | 2.470% | 970,000 | 830,146 | |
Series 2022-FRR1 Class AB64 | ||||
03/01/2050 | 2.314% | 1,460,000 | 1,236,867 | |
SCOTT Trust(a) | ||||
Series 2023-SFS Class A | ||||
03/15/2040 | 5.910% | 3,340,000 | 3,339,191 | |
SG Commercial Mortgage Securities Trust | ||||
Series 2016-C5 Class A4 | ||||
10/10/2048 | 3.055% | 5,120,000 | 4,772,870 | |
SMRT Commercial Mortgage Trust(a),(b) | ||||
Subordinated Series 2022-MINI Class D | ||||
1-month Term SOFR + 1.950% Floor 1.950% 01/15/2039 | 7.268% | 1,350,000 | 1,316,250 | |
SPGN TFLM Mortgage Trust(a),(b) | ||||
Series 2022 Class A | ||||
1-month Term SOFR + 1.550% Floor 1.550% 02/15/2039 | 6.868% | 5,670,000 | 5,570,737 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SREIT Trust(a),(b) | ||||
Subordinated Series 2021-PALM Class E | ||||
1-month Term SOFR + 2.024% Floor 1.910% 10/15/2034 | 7.343% | 6,275,000 | 6,102,437 | |
Starwood Retail Property Trust(a),(b) | ||||
Series 2014-STAR Class A | ||||
Prime Rate + -0.882% Floor 1.220% 11/15/2027 | 7.618% | 2,248,546 | 1,643,687 | |
THPT Mortgage Trust(a),(d),(e) | ||||
Series 2023-THL Class A | ||||
12/10/2034 | 6.994% | 5,000,000 | 5,103,030 | |
UBS Commercial Mortgage Trust | ||||
Series 2018-C10 Class A3 | ||||
05/15/2051 | 4.048% | 5,468,366 | 5,190,900 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-LC20 Class A4 | ||||
04/15/2050 | 2.925% | 1,965,000 | 1,918,225 | |
Series 2015-SG1 Class A4 | ||||
09/15/2048 | 3.789% | 9,036,083 | 8,781,607 | |
Series 2017-C39 Class A4 | ||||
09/15/2050 | 3.157% | 10,065,000 | 9,408,706 | |
Series 2018-C45 Class A3 | ||||
06/15/2051 | 3.920% | 15,968,202 | 15,029,877 | |
Series 2021-C61 Class A4 | ||||
11/15/2054 | 2.658% | 7,990,000 | 6,697,832 | |
Wells Fargo Commercial Mortgage Trust(d),(e) | ||||
Series 2021-C59 Class XA | ||||
04/15/2054 | 1.519% | 20,354,126 | 1,480,500 | |
Series 2021-C60 Class XA | ||||
08/15/2054 | 1.521% | 4,062,859 | 295,184 | |
Wells Fargo Commercial Mortgage Trust(d) | ||||
Series 2022-C62 Class A4 | ||||
04/15/2055 | 4.000% | 5,330,000 | 4,906,299 | |
Subordinated Series 2016-C35 Class C | ||||
07/15/2048 | 4.176% | 2,100,000 | 1,897,509 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2014-C24 Class A3 | ||||
11/15/2047 | 3.428% | 464,456 | 459,627 | |
WSTN Trust(a),(d) | ||||
Series 2023-MAUI Class A | ||||
07/05/2037 | 6.297% | 2,500,000 | 2,518,482 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $835,537,928) | 789,000,378 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Communication Services 0.0% | ||
Wireless Telecommunication Services 0.0% | ||
Digicel Ltd.(h),(i),(j),(k) | 59,381 | 106,886 |
Total Communication Services | 106,886 | |
Energy 0.0% | ||
Oil, Gas & Consumable Fuels 0.0% | ||
Prairie Provident Resources, Inc.(i),(k) | 1,728 | 94 |
Total Energy | 94 | |
Financials 0.0% | ||
Financial Services 0.0% | ||
Intelsat Emergence SA(i) | 88,937 | 2,437,452 |
Total Financials | 2,437,452 | |
Total Common Stocks (Cost $3,065,022) | 2,544,432 |
Convertible Bonds 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 0.1% | ||||
BBVA Bancomer SA(a),(l) | ||||
Subordinated | ||||
01/08/2039 | 8.125% | 3,000,000 | 3,110,457 | |
Lloyds Banking Group PLC(l),(m) | ||||
8.000% | 1,611,000 | 1,591,060 | ||
UBS Group AG(a),(l),(m) | ||||
9.250% | 994,000 | 1,061,710 | ||
9.250% | 325,000 | 358,880 | ||
Total | 6,122,107 | |||
Total Convertible Bonds (Cost $5,907,815) | 6,122,107 |
Convertible Preferred Stocks 0.0% | |||
Issuer | Shares | Value ($) | |
Communication Services 0.0% | |||
Wireless Telecommunication Services 0.0% | |||
Digicel Ltd.(h),(j),(k) | 6.750% | 19,144 | 191,440 |
Total Communication Services | 191,440 | ||
Total Convertible Preferred Stocks (Cost $191,440) | 191,440 |
Corporate Bonds & Notes 28.8% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.3% | ||||
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 690,000 | 623,827 | |
Boeing Co. (The) | ||||
02/01/2031 | 3.625% | 3,875,000 | 3,469,021 | |
05/01/2040 | 5.705% | 1,050,000 | 1,022,247 | |
11/01/2048 | 3.850% | 245,000 | 175,018 | |
08/01/2059 | 3.950% | 3,500,000 | 2,472,898 | |
05/01/2060 | 5.930% | 1,047,000 | 1,000,573 | |
Bombardier, Inc.(a) | ||||
04/15/2027 | 7.875% | 5,373,000 | 5,378,308 | |
02/01/2029 | 7.500% | 1,200,000 | 1,217,218 | |
Embraer Netherlands Finance BV(a) | ||||
07/28/2030 | 7.000% | 1,225,000 | 1,280,072 | |
HEICO Corp. | ||||
08/01/2028 | 5.250% | 1,749,000 | 1,760,121 | |
Huntington Ingalls Industries, Inc. | ||||
08/16/2028 | 2.043% | 7,466,000 | 6,491,194 | |
Lockheed Martin Corp. | ||||
02/15/2034 | 4.750% | 490,000 | 478,694 | |
08/15/2034 | 4.800% | 1,461,000 | 1,429,912 | |
02/15/2055 | 5.200% | 1,009,000 | 991,930 | |
11/15/2063 | 5.900% | 493,000 | 534,727 | |
02/15/2064 | 5.200% | 1,102,000 | 1,076,581 | |
Northrop Grumman Corp. | ||||
06/01/2034 | 4.900% | 1,695,000 | 1,650,686 | |
RTX Corp. | ||||
03/15/2054 | 6.400% | 3,280,000 | 3,630,839 | |
Textron, Inc. | ||||
03/01/2024 | 4.300% | 665,000 | 664,963 | |
03/01/2025 | 3.875% | 289,000 | 284,458 | |
TransDigm, Inc.(a) | ||||
12/01/2031 | 7.125% | 3,095,000 | 3,177,143 | |
United Technologies Corp. | ||||
11/16/2038 | 4.450% | 1,043,000 | 926,247 | |
06/01/2042 | 4.500% | 2,249,000 | 1,967,060 | |
Total | 41,703,737 | |||
Airlines 0.3% | ||||
American Airlines Pass-Through Trust | ||||
Series 2015-2 Class AA | ||||
09/22/2027 | 3.600% | 82,523 | 77,441 | |
Series 2016-1 Class AA | ||||
07/15/2029 | 3.575% | 504,230 | 470,235 | |
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 511,271 | 467,089 | |
Series 2017-2 Class AA | ||||
10/15/2029 | 3.350% | 1,641,340 | 1,496,685 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-1 Class AA | ||||
08/15/2033 | 3.150% | 362,528 | 317,919 | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.000% | 5,337,368 | 4,761,081 | |
06/10/2028 | 2.500% | 818,441 | 731,670 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2028 | 4.750% | 7,285,382 | 7,117,813 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 406,046 | 406,825 | |
Southwest Airlines Co. | ||||
06/15/2027 | 5.125% | 1,665,000 | 1,659,374 | |
U.S. Airways Pass-Through Trust | ||||
10/01/2024 | 5.900% | 439,782 | 439,109 | |
06/03/2025 | 4.625% | 1,763,162 | 1,729,866 | |
United Airlines Pass-Through Trust | ||||
Series 2023-1 Class A | ||||
01/15/2036 | 5.800% | 8,532,000 | 8,604,100 | |
United Airlines, Inc.(a) | ||||
04/15/2026 | 4.375% | 2,775,000 | 2,671,721 | |
04/15/2029 | 4.625% | 840,000 | 774,693 | |
United Airlines, Inc. Pass-Through Trust | ||||
10/15/2027 | 5.875% | 603,164 | 606,774 | |
Total | 32,332,395 | |||
Apartment REIT 0.1% | ||||
American Homes 4 Rent LP | ||||
07/15/2031 | 2.375% | 393,000 | 316,549 | |
04/15/2032 | 3.625% | 419,000 | 365,073 | |
02/01/2034 | 5.500% | 2,220,000 | 2,179,314 | |
07/15/2051 | 3.375% | 1,735,000 | 1,146,414 | |
04/15/2052 | 4.300% | 1,270,000 | 991,239 | |
Camden Property Trust | ||||
11/03/2026 | 5.850% | 1,326,000 | 1,352,756 | |
01/15/2034 | 4.900% | 1,613,000 | 1,547,918 | |
Invitation Homes Operating Partnership LP | ||||
11/15/2028 | 2.300% | 1,377,000 | 1,204,645 | |
08/15/2031 | 2.000% | 3,306,000 | 2,582,338 | |
04/15/2032 | 4.150% | 376,000 | 339,802 | |
08/15/2033 | 5.500% | 1,315,000 | 1,298,771 | |
01/15/2034 | 2.700% | 52,000 | 40,469 | |
Total | 13,365,288 | |||
Automotive 1.0% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2026 | 4.875% | 2,700,000 | 2,617,496 | |
American Axle & Manufacturing, Inc. | ||||
03/15/2026 | 6.250% | 562,000 | 555,531 | |
04/01/2027 | 6.500% | 600,000 | 591,859 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American Honda Finance Corp. | ||||
01/12/2028 | 4.700% | 1,414,000 | 1,406,800 | |
07/07/2028 | 5.125% | 684,000 | 689,536 | |
11/15/2028 | 5.650% | 3,738,000 | 3,843,485 | |
10/04/2030 | 5.850% | 5,406,000 | 5,625,537 | |
01/10/2034 | 4.900% | 221,000 | 215,562 | |
Aptiv PLC | ||||
12/01/2051 | 3.100% | 1,905,000 | 1,192,718 | |
BMW US Capital LLC(a) | ||||
08/11/2033 | 5.150% | 1,011,000 | 1,010,316 | |
Cummins, Inc. | ||||
02/20/2029 | 4.900% | 525,000 | 522,386 | |
02/20/2034 | 5.150% | 593,000 | 592,408 | |
02/20/2054 | 5.450% | 3,431,000 | 3,448,967 | |
Dana, Inc. | ||||
06/15/2028 | 5.625% | 800,000 | 775,032 | |
Denso Corp.(a) | ||||
09/16/2026 | 1.239% | 4,070,000 | 3,680,755 | |
Ford Motor Co. | ||||
08/19/2032 | 6.100% | 1,335,000 | 1,331,327 | |
01/15/2043 | 4.750% | 2,600,000 | 2,107,612 | |
Ford Motor Credit Co. LLC | ||||
09/08/2024 | 3.664% | 2,000,000 | 1,975,289 | |
08/04/2025 | 4.134% | 950,000 | 927,060 | |
11/13/2025 | 3.375% | 1,000,000 | 959,633 | |
03/06/2026 | 6.950% | 1,425,000 | 1,450,728 | |
05/12/2028 | 6.800% | 450,000 | 464,452 | |
11/07/2028 | 6.798% | 6,145,000 | 6,363,271 | |
05/03/2029 | 5.113% | 1,405,000 | 1,354,171 | |
General Motors Co. | ||||
10/01/2025 | 6.125% | 529,000 | 533,367 | |
04/01/2035 | 5.000% | 5,365,000 | 5,015,925 | |
04/01/2038 | 5.150% | 1,550,000 | 1,434,885 | |
10/02/2043 | 6.250% | 723,000 | 725,648 | |
04/01/2045 | 5.200% | 1,500,000 | 1,324,003 | |
General Motors Financial Co., Inc. | ||||
07/13/2025 | 4.300% | 1,060,000 | 1,042,485 | |
10/10/2025 | 6.050% | 3,385,000 | 3,411,511 | |
03/01/2026 | 5.250% | 2,260,000 | 2,252,805 | |
06/23/2028 | 5.800% | 1,850,000 | 1,876,558 | |
06/21/2030 | 3.600% | 1,710,000 | 1,533,573 | |
02/08/2031 | 5.750% | 1,683,000 | 1,678,166 | |
01/07/2034 | 6.100% | 7,910,000 | 7,990,105 | |
Harley-Davidson Financial Services, Inc.(a) | ||||
06/08/2025 | 3.350% | 1,155,000 | 1,115,735 | |
03/10/2028 | 6.500% | 4,235,000 | 4,344,447 | |
Hyundai Capital America(a) | ||||
06/26/2025 | 5.800% | 5,620,000 | 5,640,254 | |
09/21/2026 | 5.950% | 4,120,000 | 4,164,313 | |
06/26/2028 | 5.680% | 1,106,000 | 1,120,607 | |
09/21/2028 | 6.100% | 1,897,000 | 1,953,763 | |
01/16/2029 | 6.500% | 1,282,000 | 1,342,428 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/08/2031 | 5.400% | 634,000 | 634,538 | |
Hyundai Capital Services, Inc.(a) | ||||
04/24/2025 | 2.125% | 3,320,000 | 3,189,218 | |
Kia Corp.(a) | ||||
04/16/2024 | 1.000% | 1,405,000 | 1,396,916 | |
LKQ Corp. | ||||
06/15/2028 | 5.750% | 3,405,000 | 3,439,323 | |
Mercedes-Benz Finance North America LLC(a) | ||||
08/03/2028 | 5.100% | 1,570,000 | 1,574,554 | |
01/11/2034 | 5.000% | 4,870,000 | 4,771,588 | |
Nissan Motor Acceptance Co. LLC(a) | ||||
09/15/2028 | 7.050% | 2,150,000 | 2,237,724 | |
Tenneco, Inc.(a) | ||||
11/17/2028 | 8.000% | 1,825,000 | 1,663,597 | |
Toyota Motor Credit Corp. | ||||
01/13/2027 | 1.900% | 400,000 | 368,346 | |
09/20/2027 | 4.550% | 1,642,000 | 1,628,002 | |
01/05/2029 | 4.650% | 3,385,000 | 3,348,922 | |
11/20/2030 | 5.550% | 4,334,000 | 4,473,740 | |
Volkswagen Group of America Finance LLC(a) | ||||
11/16/2030 | 6.450% | 8,227,000 | 8,681,304 | |
09/12/2033 | 5.900% | 718,000 | 729,059 | |
ZF North America Capital, Inc.(a) | ||||
04/14/2030 | 7.125% | 1,500,000 | 1,559,526 | |
Total | 131,898,866 | |||
Banking 7.7% | ||||
ABN AMRO Bank NV(a),(l) | ||||
09/18/2027 | 6.339% | 6,900,000 | 7,007,286 | |
Subordinated | ||||
03/13/2037 | 3.324% | 1,441,000 | 1,144,606 | |
AIB Group PLC(a),(l) | ||||
10/14/2026 | 7.583% | 4,320,000 | 4,431,000 | |
09/13/2029 | 6.608% | 815,000 | 844,880 | |
Ally Financial, Inc.(l) | ||||
01/03/2030 | 6.848% | 3,230,000 | 3,301,175 | |
American Express Co.(l) | ||||
05/01/2026 | 4.990% | 525,000 | 521,979 | |
02/16/2028 | 5.098% | 3,976,000 | 3,960,136 | |
07/27/2029 | 5.282% | 2,265,000 | 2,277,944 | |
10/30/2031 | 6.489% | 2,055,000 | 2,188,583 | |
ANZ New Zealand International Ltd.(a) | ||||
08/14/2028 | 5.355% | 4,595,000 | 4,630,561 | |
ASB Bank Ltd.(a),(l) | ||||
Subordinated | ||||
06/17/2032 | 5.284% | 2,355,000 | 2,310,690 | |
Banco Bilbao Vizcaya Argentaria SA(l) | ||||
Subordinated | ||||
11/15/2034 | 7.883% | 2,200,000 | 2,343,485 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banco Santander SA | ||||
05/28/2025 | 2.746% | 3,000,000 | 2,894,257 | |
11/07/2033 | 6.938% | 7,400,000 | 8,067,636 | |
Bank of America Corp.(l),(m) | ||||
4.375% | 1,472,000 | 1,360,541 | ||
Bank of America Corp.(l) | ||||
03/11/2027 | 1.658% | 1,775,000 | 1,647,943 | |
07/22/2027 | 1.734% | 13,410,000 | 12,293,141 | |
04/27/2028 | 4.376% | 1,208,000 | 1,175,755 | |
03/05/2029 | 3.970% | 2,159,000 | 2,053,745 | |
06/14/2029 | 2.087% | 11,335,000 | 9,946,916 | |
07/23/2030 | 3.194% | 33,500,000 | 30,140,996 | |
02/13/2031 | 2.496% | 8,712,000 | 7,427,178 | |
04/29/2031 | 2.592% | 2,710,000 | 2,310,076 | |
07/23/2031 | 1.898% | 425,000 | 344,793 | |
10/24/2031 | 1.922% | 3,775,000 | 3,046,219 | |
03/11/2032 | 2.651% | 3,099,000 | 2,592,258 | |
04/22/2032 | 2.687% | 1,747,000 | 1,462,207 | |
07/21/2032 | 2.299% | 785,000 | 635,052 | |
10/20/2032 | 2.572% | 7,785,000 | 6,387,941 | |
02/04/2033 | 2.972% | 1,928,000 | 1,619,175 | |
04/25/2034 | 5.288% | 2,006,000 | 1,977,074 | |
09/15/2034 | 5.872% | 4,713,000 | 4,833,142 | |
01/23/2035 | 5.468% | 9,764,000 | 9,738,022 | |
Subordinated | ||||
03/08/2037 | 3.846% | 822,000 | 717,639 | |
Bank of America Corp. | ||||
Subordinated | ||||
01/22/2025 | 4.000% | 795,000 | 783,146 | |
04/21/2025 | 3.950% | 2,500,000 | 2,458,679 | |
03/03/2026 | 4.450% | 2,000,000 | 1,966,947 | |
Bank of America NA | ||||
08/18/2026 | 5.526% | 5,575,000 | 5,628,814 | |
Bank of Ireland Group PLC(a),(l) | ||||
09/16/2026 | 6.253% | 3,560,000 | 3,579,838 | |
Bank of Montreal | ||||
09/25/2028 | 5.717% | 2,900,000 | 2,973,369 | |
Bank of New York Mellon Corp. (The)(l) | ||||
04/26/2027 | 4.947% | 4,700,000 | 4,675,483 | |
10/25/2034 | 6.474% | 2,283,000 | 2,469,843 | |
Bank of New Zealand(a) | ||||
01/27/2027 | 2.285% | 2,140,000 | 1,973,265 | |
Bank of Nova Scotia (The)(l) | ||||
Subordinated | ||||
05/04/2037 | 4.588% | 585,000 | 523,617 | |
Banque Federative du Credit Mutuel SA(a) | ||||
01/26/2026 | 4.935% | 2,208,000 | 2,191,727 | |
Barclays PLC | ||||
03/16/2025 | 3.650% | 270,000 | 264,367 | |
Subordinated | ||||
05/09/2028 | 4.836% | 995,000 | 957,803 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Barclays PLC(l) | ||||
05/07/2025 | 3.932% | 4,045,000 | 4,028,739 | |
06/24/2031 | 2.645% | 3,175,000 | 2,640,052 | |
03/10/2032 | 2.667% | 12,020,000 | 9,813,635 | |
BNP Paribas SA(a),(l) | ||||
06/09/2026 | 2.219% | 2,150,000 | 2,058,479 | |
09/30/2028 | 1.904% | 3,535,000 | 3,121,163 | |
06/12/2029 | 5.335% | 1,815,000 | 1,812,868 | |
01/09/2030 | 5.176% | 9,929,000 | 9,830,254 | |
04/19/2032 | 2.871% | 3,775,000 | 3,157,715 | |
01/20/2033 | 3.132% | 7,920,000 | 6,645,591 | |
02/20/2035 | 5.738% | 4,869,000 | 4,826,283 | |
BPCE SA(a) | ||||
01/18/2027 | 5.203% | 1,320,000 | 1,317,306 | |
01/11/2028 | 3.250% | 460,000 | 426,711 | |
Subordinated | ||||
07/11/2024 | 4.625% | 4,200,000 | 4,170,294 | |
07/21/2024 | 5.150% | 3,363,000 | 3,346,835 | |
BPCE SA(a),(l) | ||||
01/18/2030 | 5.716% | 1,320,000 | 1,315,120 | |
CaixaBank SA(a),(l) | ||||
09/13/2034 | 6.840% | 3,214,000 | 3,378,696 | |
Capital One Financial Corp.(l) | ||||
10/29/2027 | 7.149% | 3,985,000 | 4,131,393 | |
11/02/2027 | 1.878% | 883,000 | 801,200 | |
06/08/2029 | 6.312% | 485,000 | 496,710 | |
02/01/2030 | 5.700% | 1,520,000 | 1,522,866 | |
Citibank NA | ||||
12/04/2026 | 5.488% | 4,855,000 | 4,895,842 | |
Citigroup, Inc.(l),(m) | ||||
4.700% | 10,225,000 | 9,820,565 | ||
5.000% | 1,100,000 | 1,086,335 | ||
Citigroup, Inc. | ||||
05/01/2026 | 3.400% | 1,300,000 | 1,250,818 | |
Subordinated | ||||
06/10/2025 | 4.400% | 4,250,000 | 4,188,156 | |
05/18/2046 | 4.750% | 395,000 | 345,491 | |
Citigroup, Inc.(l) | ||||
06/09/2027 | 1.462% | 1,785,000 | 1,635,773 | |
11/05/2030 | 2.976% | 14,780,000 | 13,038,557 | |
01/29/2031 | 2.666% | 5,550,000 | 4,758,652 | |
06/03/2031 | 2.572% | 280,000 | 236,839 | |
05/01/2032 | 2.561% | 5,505,000 | 4,531,542 | |
01/25/2033 | 3.057% | 7,760,000 | 6,519,882 | |
Subordinated | ||||
05/25/2034 | 6.174% | 4,690,000 | 4,722,188 | |
Citizens Financial Group, Inc.(l) | ||||
01/23/2030 | 5.841% | 2,125,000 | 2,099,469 | |
Subordinated | ||||
05/21/2037 | 5.641% | 5,126,000 | 4,692,550 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citizens Financial Group, Inc. | ||||
02/06/2030 | 2.500% | 1,496,000 | 1,240,066 | |
Comerica, Inc.(l) | ||||
01/30/2030 | 5.982% | 3,070,000 | 3,015,007 | |
Commonwealth Bank of Australia(a) | ||||
Subordinated | ||||
09/12/2039 | 3.743% | 435,000 | 340,817 | |
Cooperatieve Rabobank UA(a),(l) | ||||
06/24/2026 | 1.339% | 970,000 | 916,451 | |
02/24/2027 | 1.106% | 2,500,000 | 2,291,065 | |
Cooperatieve Rabobank UA | ||||
01/09/2029 | 4.800% | 6,295,000 | 6,235,327 | |
Cooperatieve Rabobank UA(a),(c),(l) | ||||
03/05/2030 | 5.447% | 3,709,000 | 3,713,416 | |
Credit Agricole SA(a),(l) | ||||
10/03/2029 | 6.316% | 6,125,000 | 6,319,479 | |
01/10/2030 | 5.335% | 2,390,000 | 2,371,128 | |
Credit Suisse AG | ||||
02/21/2025 | 3.700% | 855,000 | 838,545 | |
08/07/2026 | 1.250% | 289,000 | 262,466 | |
07/09/2027 | 5.000% | 2,861,000 | 2,833,918 | |
Credit Suisse Group AG(a),(l) | ||||
06/05/2026 | 2.193% | 3,297,000 | 3,154,126 | |
07/15/2026 | 6.373% | 2,080,000 | 2,094,565 | |
02/02/2027 | 1.305% | 4,520,000 | 4,160,009 | |
05/14/2032 | 3.091% | 6,040,000 | 5,076,864 | |
08/12/2033 | 6.537% | 369,000 | 385,209 | |
11/15/2033 | 9.016% | 8,446,000 | 10,160,445 | |
Danske Bank A/S(a),(l) | ||||
09/10/2025 | 0.976% | 5,665,000 | 5,515,751 | |
09/22/2026 | 6.259% | 4,875,000 | 4,926,726 | |
Danske Bank A/S(a),(c),(l) | ||||
03/01/2030 | 5.705% | 6,574,000 | 6,582,347 | |
Deutsche Bank AG(l) | ||||
07/13/2027 | 7.146% | 1,200,000 | 1,231,655 | |
02/08/2028 | 5.706% | 3,865,000 | 3,837,865 | |
Subordinated | ||||
01/14/2032 | 3.729% | 2,000,000 | 1,640,817 | |
Discover Bank | ||||
03/13/2026 | 4.250% | 789,000 | 766,285 | |
Discover Financial Services | ||||
11/06/2024 | 3.950% | 1,495,000 | 1,476,102 | |
Discover Financial Services(l) | ||||
11/02/2034 | 7.964% | 1,519,000 | 1,702,321 | |
DNB Bank ASA(a),(l) | ||||
09/16/2026 | 1.127% | 3,950,000 | 3,681,799 | |
Federation des Caisses Desjardins du Quebec(a) | ||||
03/14/2028 | 5.700% | 2,210,000 | 2,233,233 | |
04/26/2029 | 5.250% | 2,554,000 | 2,531,008 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fifth Third Bancorp(l) | ||||
07/27/2029 | 6.339% | 7,505,000 | 7,706,914 | |
04/25/2033 | 4.337% | 3,412,000 | 3,090,246 | |
First Horizon Bank | ||||
Subordinated | ||||
05/01/2030 | 5.750% | 1,981,000 | 1,851,828 | |
Goldman Sachs Group, Inc. (The)(l),(m) | ||||
3.650% | 2,135,000 | 1,938,433 | ||
Goldman Sachs Group, Inc. (The)(l) | ||||
09/29/2025 | 3.272% | 4,160,000 | 4,102,330 | |
08/10/2026 | 5.798% | 11,345,000 | 11,406,875 | |
03/09/2027 | 1.431% | 11,330,000 | 10,472,800 | |
02/24/2028 | 2.640% | 3,320,000 | 3,075,877 | |
04/22/2032 | 2.615% | 12,585,000 | 10,460,014 | |
07/21/2032 | 2.383% | 14,735,000 | 11,990,367 | |
Goldman Sachs Group, Inc. (The) | ||||
Subordinated | ||||
05/22/2045 | 5.150% | 2,100,000 | 2,006,853 | |
HSBC Holdings PLC(l) | ||||
11/07/2025 | 2.633% | 1,148,000 | 1,122,347 | |
03/10/2026 | 2.999% | 929,000 | 903,052 | |
06/04/2026 | 2.099% | 1,983,000 | 1,896,492 | |
05/24/2027 | 1.589% | 3,379,000 | 3,093,100 | |
08/14/2027 | 5.887% | 3,740,000 | 3,763,041 | |
09/22/2028 | 2.013% | 8,374,000 | 7,420,107 | |
08/17/2029 | 2.206% | 7,665,000 | 6,654,559 | |
05/24/2032 | 2.804% | 480,000 | 396,629 | |
Huntington Bancshares, Inc.(l) | ||||
08/21/2029 | 6.208% | 4,040,000 | 4,109,039 | |
02/02/2035 | 5.709% | 3,151,000 | 3,109,882 | |
Subordinated | ||||
08/15/2036 | 2.487% | 626,000 | 472,468 | |
Huntington National Bank (The) | ||||
01/10/2030 | 5.650% | 2,060,000 | 2,050,998 | |
Huntington National Bank (The)(l) | ||||
Subordinated | ||||
07/02/2029 | 4.125% | 1,346,000 | 1,327,571 | |
Intesa Sanpaolo SpA(a),(l) | ||||
06/20/2054 | 7.778% | 3,365,000 | 3,403,745 | |
Subordinated | ||||
06/01/2032 | 4.198% | 1,100,000 | 901,803 | |
JPMorgan Chase & Co.(l),(m) | ||||
4.000% | 4,500,000 | 4,305,709 | ||
4.600% | 7,625,000 | 7,440,799 | ||
5.000% | 1,290,000 | 1,280,571 | ||
JPMorgan Chase & Co.(l) | ||||
06/23/2025 | 0.969% | 4,760,000 | 4,687,415 | |
12/10/2025 | 1.561% | 2,540,000 | 2,462,220 | |
02/24/2026 | 2.595% | 383,000 | 372,217 | |
02/04/2027 | 1.040% | 4,299,000 | 3,961,634 | |
04/22/2027 | 1.578% | 11,910,000 | 11,008,374 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/22/2027 | 1.470% | 1,797,000 | 1,632,857 | |
02/24/2028 | 2.947% | 4,610,000 | 4,316,935 | |
01/23/2029 | 3.509% | 10,345,000 | 9,745,215 | |
04/23/2029 | 4.005% | 3,180,000 | 3,036,088 | |
06/01/2029 | 2.069% | 3,933,000 | 3,463,030 | |
12/05/2029 | 4.452% | 1,939,000 | 1,875,221 | |
01/23/2030 | 5.012% | 885,000 | 875,694 | |
10/15/2030 | 2.739% | 1,990,000 | 1,745,798 | |
02/04/2032 | 1.953% | 190,000 | 152,794 | |
04/22/2032 | 2.580% | 7,675,000 | 6,416,885 | |
11/08/2032 | 2.545% | 8,080,000 | 6,655,311 | |
01/25/2033 | 2.963% | 2,380,000 | 2,009,595 | |
06/01/2034 | 5.350% | 2,820,000 | 2,805,354 | |
10/23/2034 | 6.254% | 3,650,000 | 3,874,445 | |
01/23/2035 | 5.336% | 6,474,000 | 6,441,243 | |
11/15/2048 | 3.964% | 2,475,000 | 1,988,018 | |
JPMorgan Chase & Co. | ||||
Subordinated | ||||
09/10/2024 | 3.875% | 5,440,000 | 5,388,553 | |
JPMorgan Chase Bank NA | ||||
12/08/2026 | 5.110% | 12,365,000 | 12,378,675 | |
KeyBank NA | ||||
11/15/2027 | 5.850% | 3,050,000 | 3,008,667 | |
KeyCorp(l) | ||||
06/01/2033 | 4.789% | 1,783,000 | 1,610,272 | |
03/06/2035 | 6.401% | 3,205,000 | 3,215,181 | |
Lloyds Banking Group PLC | ||||
03/12/2024 | 3.900% | 2,600,000 | 2,598,666 | |
Subordinated | ||||
11/04/2024 | 4.500% | 5,560,000 | 5,494,144 | |
Lloyds Banking Group PLC(l) | ||||
05/11/2027 | 1.627% | 1,175,000 | 1,077,773 | |
Mizuho Financial Group, Inc.(l) | ||||
07/06/2029 | 5.778% | 4,740,000 | 4,826,176 | |
05/26/2035 | 5.579% | 1,814,000 | 1,818,540 | |
Morgan Stanley(b) | ||||
SOFR + 0.509% 01/22/2025 | 5.819% | 1,115,000 | 1,115,701 | |
Morgan Stanley(l) | ||||
05/30/2025 | 0.790% | 14,562,000 | 14,351,859 | |
07/22/2025 | 2.720% | 720,000 | 711,292 | |
10/21/2025 | 1.164% | 4,545,000 | 4,410,097 | |
04/28/2026 | 2.188% | 828,000 | 796,852 | |
05/04/2027 | 1.593% | 3,193,000 | 2,943,764 | |
07/20/2027 | 1.512% | 962,000 | 879,843 | |
01/21/2028 | 2.475% | 998,000 | 923,163 | |
07/22/2028 | 3.591% | 7,821,000 | 7,401,403 | |
10/18/2028 | 6.296% | 447,000 | 462,038 | |
01/24/2029 | 3.772% | 4,315,000 | 4,078,225 | |
04/20/2029 | 5.164% | 1,478,000 | 1,467,699 | |
07/20/2029 | 5.449% | 2,410,000 | 2,419,989 | |
01/23/2030 | 4.431% | 2,885,000 | 2,770,384 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/13/2032 | 1.794% | 985,000 | 779,944 | |
04/28/2032 | 1.928% | 1,899,000 | 1,507,420 | |
07/21/2032 | 2.239% | 9,505,000 | 7,663,149 | |
10/20/2032 | 2.511% | 1,560,000 | 1,277,665 | |
01/21/2033 | 2.943% | 3,610,000 | 3,028,343 | |
04/21/2034 | 5.250% | 5,253,000 | 5,156,151 | |
01/18/2035 | 5.466% | 4,959,000 | 4,954,002 | |
04/22/2039 | 4.457% | 299,000 | 269,929 | |
Subordinated | ||||
09/16/2036 | 2.484% | 3,240,000 | 2,546,123 | |
02/07/2039 | 5.942% | 4,833,000 | 4,760,475 | |
Morgan Stanley | ||||
01/27/2026 | 3.875% | 6,556,000 | 6,396,642 | |
07/27/2026 | 3.125% | 990,000 | 943,926 | |
Subordinated | ||||
09/08/2026 | 4.350% | 9,045,000 | 8,841,472 | |
Morgan Stanley Bank NA | ||||
10/30/2026 | 5.882% | 5,570,000 | 5,671,931 | |
National Bank of Canada(l) | ||||
06/09/2025 | 3.750% | 7,465,000 | 7,418,900 | |
National Bank of Canada | ||||
12/18/2028 | 5.600% | 3,883,000 | 3,921,256 | |
Nationwide Building Society(a),(l) | ||||
10/18/2027 | 6.557% | 3,400,000 | 3,479,965 | |
02/16/2028 | 2.972% | 2,610,000 | 2,413,952 | |
NatWest Group PLC(l) | ||||
03/01/2035 | 5.778% | 11,035,000 | 11,023,090 | |
Northern Trust Corp.(l) | ||||
Subordinated | ||||
05/08/2032 | 3.375% | 2,052,000 | 1,903,185 | |
PNC Financial Services Group, Inc. (The)(l),(m) | ||||
3.400% | 784,000 | 664,945 | ||
6.250% | 3,095,000 | 2,917,639 | ||
PNC Financial Services Group, Inc. (The)(l) | ||||
06/12/2029 | 5.582% | 7,825,000 | 7,874,635 | |
10/28/2033 | 6.037% | 3,770,000 | 3,870,224 | |
01/24/2034 | 5.068% | 1,415,000 | 1,359,491 | |
10/20/2034 | 6.875% | 3,685,000 | 3,994,425 | |
01/22/2035 | 5.676% | 498,000 | 499,167 | |
Royal Bank of Canada | ||||
02/01/2034 | 5.150% | 4,035,000 | 3,968,826 | |
Royal Bank of Scotland Group PLC(l) | ||||
03/22/2025 | 4.269% | 1,735,000 | 1,733,433 | |
01/27/2030 | 5.076% | 1,199,000 | 1,172,192 | |
Santander Holdings USA, Inc.(l) | ||||
01/09/2030 | 6.174% | 6,365,000 | 6,344,118 | |
Santander UK Group Holdings PLC(l) | ||||
03/15/2025 | 1.089% | 7,385,000 | 7,371,146 | |
08/21/2026 | 1.532% | 445,000 | 416,839 | |
06/14/2027 | 1.673% | 1,762,000 | 1,601,743 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Societe Generale SA(a) | ||||
03/28/2024 | 3.875% | 5,055,000 | 5,047,311 | |
Societe Generale SA(a),(l) | ||||
01/19/2028 | 2.797% | 4,285,000 | 3,931,241 | |
06/09/2032 | 2.889% | 480,000 | 389,156 | |
01/21/2033 | 3.337% | 2,590,000 | 2,137,919 | |
01/19/2035 | 6.066% | 7,790,000 | 7,666,683 | |
Subordinated | ||||
01/19/2055 | 7.132% | 3,460,000 | 3,364,413 | |
Standard Chartered PLC(a),(l) | ||||
02/08/2030 | 7.018% | 5,365,000 | 5,640,770 | |
01/11/2035 | 6.097% | 3,105,000 | 3,130,536 | |
State Street Corp.(l) | ||||
11/21/2029 | 5.684% | 3,128,000 | 3,197,998 | |
11/21/2034 | 6.123% | 3,923,000 | 4,055,840 | |
Sumitomo Mitsui Trust Bank Ltd.(a),(c) | ||||
03/07/2027 | 5.200% | 3,575,000 | 3,564,024 | |
SunTrust Capital III(b) | ||||
3-month Term SOFR + 0.912% 03/15/2028 | 6.296% | 783,000 | 732,289 | |
Swedbank AB(a) | ||||
09/12/2026 | 6.136% | 5,800,000 | 5,875,753 | |
Synchrony Bank | ||||
08/22/2025 | 5.400% | 3,625,000 | 3,582,789 | |
Synchrony Financial | ||||
06/13/2025 | 4.875% | 2,185,000 | 2,150,010 | |
Truist Financial Corp.(l) | ||||
03/02/2027 | 1.267% | 340,000 | 312,085 | |
10/30/2029 | 7.161% | 5,815,000 | 6,155,851 | |
01/24/2030 | 5.435% | 2,082,000 | 2,061,268 | |
01/26/2034 | 5.122% | 2,445,000 | 2,318,522 | |
06/08/2034 | 5.867% | 1,375,000 | 1,374,811 | |
01/24/2035 | 5.711% | 4,225,000 | 4,189,386 | |
Subordinated | ||||
07/28/2033 | 4.916% | 543,000 | 498,980 | |
U.S. Bancorp(l),(m) | ||||
Junior Subordinated | ||||
5.300% | 2,980,000 | 2,741,145 | ||
UBS Group AG(a),(l) | ||||
05/12/2026 | 4.488% | 980,000 | 964,306 | |
01/30/2027 | 1.364% | 1,317,000 | 1,212,491 | |
08/10/2027 | 1.494% | 460,000 | 416,657 | |
09/22/2034 | 6.301% | 628,000 | 648,407 | |
UBS Group AG(a),(b) | ||||
SOFR + 1.580% 05/12/2026 | 6.890% | 3,055,000 | 3,080,748 | |
UniCredit SpA(a),(l) | ||||
09/22/2026 | 2.569% | 5,195,000 | 4,919,059 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
US Bancorp(l) | ||||
01/23/2030 | 5.384% | 1,064,000 | 1,058,001 | |
06/12/2034 | 5.836% | 6,580,000 | 6,630,991 | |
Subordinated | ||||
07/22/2033 | 4.967% | 872,000 | 815,969 | |
Wells Fargo & Co.(l) | ||||
02/11/2026 | 2.164% | 1,306,000 | 1,263,606 | |
08/15/2026 | 4.540% | 254,000 | 250,508 | |
03/24/2028 | 3.526% | 756,000 | 716,802 | |
06/02/2028 | 2.393% | 10,530,000 | 9,604,947 | |
07/25/2028 | 4.808% | 14,890,000 | 14,626,637 | |
07/25/2029 | 5.574% | 1,360,000 | 1,369,468 | |
10/23/2029 | 6.303% | 5,615,000 | 5,819,333 | |
02/11/2031 | 2.572% | 6,775,000 | 5,779,055 | |
03/02/2033 | 3.350% | 13,410,000 | 11,505,883 | |
07/25/2033 | 4.897% | 2,740,000 | 2,621,349 | |
04/24/2034 | 5.389% | 1,930,000 | 1,898,653 | |
01/23/2035 | 5.499% | 1,017,000 | 1,010,613 | |
04/30/2041 | 3.068% | 4,650,000 | 3,436,670 | |
Westpac New Zealand Ltd.(a) | ||||
02/26/2027 | 5.132% | 1,537,000 | 1,535,829 | |
Total | 972,761,163 | |||
Brokerage/Asset Managers/Exchanges 0.3% | ||||
Ares Finance Co. IV LLC(a) | ||||
02/01/2052 | 3.650% | 1,140,000 | 795,102 | |
Blackstone Holdings Finance Co. LLC(a) | ||||
08/05/2028 | 1.625% | 454,000 | 391,862 | |
01/10/2030 | 2.500% | 189,000 | 162,233 | |
01/30/2032 | 2.000% | 1,965,000 | 1,524,444 | |
Brookfield Finance, Inc. | ||||
06/02/2026 | 4.250% | 964,000 | 946,504 | |
02/15/2052 | 3.625% | 1,591,000 | 1,134,086 | |
Cantor Fitzgerald LP(a) | ||||
12/12/2028 | 7.200% | 2,300,000 | 2,358,658 | |
Charles Schwab Corp. (The)(l),(m) | ||||
4.000% | 678,000 | 556,468 | ||
Charles Schwab Corp. (The)(l) | ||||
11/17/2029 | 6.196% | 1,186,000 | 1,224,797 | |
CI Financial Corp. | ||||
06/15/2051 | 4.100% | 684,000 | 404,130 | |
Depository Trust & Clearing Corp. (The)(a),(l),(m) | ||||
3.375% | 673,000 | 589,699 | ||
Hunt Companies, Inc.(a) | ||||
04/15/2029 | 5.250% | 2,150,000 | 1,967,979 | |
Intercontinental Exchange, Inc. | ||||
06/15/2030 | 2.100% | 2,664,000 | 2,234,970 | |
09/15/2032 | 1.850% | 3,230,000 | 2,492,780 | |
Jane Street Group/JSG Finance, Inc.(a) | ||||
11/15/2029 | 4.500% | 1,000,000 | 920,290 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Jefferies Financial Group, Inc. | ||||
07/21/2028 | 5.875% | 3,660,000 | 3,731,190 | |
Jefferies Group LLC | ||||
01/20/2043 | 6.500% | 600,000 | 624,809 | |
Nomura Holdings, Inc. | ||||
07/12/2028 | 6.070% | 7,560,000 | 7,739,610 | |
07/14/2031 | 2.608% | 1,100,000 | 903,747 | |
Stifel Financial Corp. | ||||
05/15/2030 | 4.000% | 3,755,000 | 3,393,064 | |
Total | 34,096,422 | |||
Building Materials 0.1% | ||||
Builders FirstSource, Inc.(a) | ||||
03/01/2034 | 6.375% | 1,120,000 | 1,117,386 | |
Cemex SAB de CV(a),(l),(m) | ||||
5.125% | 1,525,000 | 1,452,499 | ||
Fortune Brands Innovations, Inc. | ||||
06/01/2033 | 5.875% | 764,000 | 776,029 | |
Martin Marietta Materials, Inc. | ||||
03/15/2030 | 2.500% | 3,380,000 | 2,923,533 | |
Mohawk Industries, Inc. | ||||
09/18/2028 | 5.850% | 684,000 | 697,853 | |
Standard Industries, Inc.(a) | ||||
07/15/2030 | 4.375% | 3,295,000 | 2,939,252 | |
01/15/2031 | 3.375% | 1,530,000 | 1,267,013 | |
Summit Materials LLC /Finance Corp.(a) | ||||
01/15/2031 | 7.250% | 2,010,000 | 2,083,337 | |
Summit Materials LLC/Finance Corp.(a) | ||||
01/15/2029 | 5.250% | 500,000 | 482,659 | |
Total | 13,739,561 | |||
Cable and Satellite 0.6% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 695,000 | 524,744 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
06/01/2029 | 5.375% | 100,000 | 90,252 | |
02/01/2031 | 4.250% | 1,725,000 | 1,386,954 | |
CCO Holdings LLC/Holdings Capital Corp.(a) | ||||
01/15/2034 | 4.250% | 1,125,000 | 841,349 | |
Charter Communications Operating LLC/Capital | ||||
01/15/2029 | 2.250% | 6,666,000 | 5,623,062 | |
02/01/2034 | 6.650% | 1,511,000 | 1,513,829 | |
10/23/2035 | 6.384% | 1,775,000 | 1,714,925 | |
10/23/2045 | 6.484% | 4,170,000 | 3,808,387 | |
04/01/2048 | 5.750% | 1,360,000 | 1,130,194 | |
03/01/2050 | 4.800% | 5,842,000 | 4,220,839 | |
04/01/2051 | 3.700% | 2,305,000 | 1,395,890 | |
06/01/2052 | 3.900% | 440,000 | 276,109 | |
04/01/2053 | 5.250% | 2,265,000 | 1,757,430 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/01/2061 | 3.850% | 941,000 | 545,298 | |
12/01/2061 | 4.400% | 979,000 | 628,269 | |
Comcast Corp. | ||||
02/01/2030 | 2.650% | 723,000 | 636,323 | |
01/15/2031 | 1.950% | 1,347,000 | 1,106,155 | |
07/15/2036 | 3.200% | 423,000 | 341,546 | |
03/01/2038 | 3.900% | 447,000 | 383,572 | |
02/01/2050 | 3.450% | 1,900,000 | 1,364,456 | |
05/15/2064 | 5.500% | 3,173,000 | 3,116,273 | |
Cox Communications, Inc.(a) | ||||
09/15/2028 | 5.450% | 4,420,000 | 4,453,971 | |
06/15/2033 | 5.700% | 1,000,000 | 1,000,763 | |
12/15/2053 | 5.800% | 547,000 | 533,167 | |
CSC Holdings LLC(a) | ||||
04/15/2027 | 5.500% | 3,550,000 | 3,186,483 | |
02/01/2028 | 5.375% | 1,193,000 | 1,040,145 | |
04/01/2028 | 7.500% | 300,000 | 213,206 | |
05/15/2028 | 11.250% | 600,000 | 619,122 | |
01/31/2029 | 11.750% | 456,000 | 477,348 | |
02/01/2029 | 6.500% | 3,664,000 | 3,191,390 | |
01/15/2030 | 5.750% | 1,275,000 | 749,494 | |
12/01/2030 | 4.625% | 4,725,000 | 2,631,453 | |
DISH DBS Corp. | ||||
11/15/2024 | 5.875% | 2,000,000 | 1,889,871 | |
07/01/2026 | 7.750% | 2,039,000 | 1,282,378 | |
DISH Network Corp.(a) | ||||
11/15/2027 | 11.750% | 3,200,000 | 3,338,292 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2029 | 5.500% | 1,685,000 | 1,593,914 | |
Time Warner Cable LLC | ||||
05/01/2037 | 6.550% | 235,000 | 220,611 | |
11/15/2040 | 5.875% | 3,890,000 | 3,344,407 | |
09/01/2041 | 5.500% | 7,444,000 | 6,133,609 | |
Viasat, Inc.(a) | ||||
09/15/2025 | 5.625% | 1,425,000 | 1,383,238 | |
04/15/2027 | 5.625% | 1,675,000 | 1,572,733 | |
VZ Secured Financing BV(a) | ||||
01/15/2032 | 5.000% | 3,250,000 | 2,781,395 | |
Ziggo BV(a) | ||||
01/15/2030 | 4.875% | 500,000 | 445,590 | |
Total | 74,488,436 | |||
Chemicals 0.4% | ||||
Air Products and Chemicals, Inc. | ||||
02/08/2034 | 4.850% | 5,400,000 | 5,294,638 | |
Axalta Coating Systems Dutch Holding B BV(a) | ||||
02/15/2031 | 7.250% | 660,000 | 686,682 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 400,000 | 326,988 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cabot Corp. | ||||
07/01/2029 | 4.000% | 1,810,000 | 1,688,698 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 3,125,000 | 3,027,897 | |
06/01/2043 | 4.950% | 1,700,000 | 1,503,870 | |
Ecolab, Inc. | ||||
08/18/2055 | 2.750% | 333,000 | 206,979 | |
EverArc Escrow Sarl(a) | ||||
10/30/2029 | 5.000% | 300,000 | 255,731 | |
FMC Corp. | ||||
05/18/2026 | 5.150% | 490,000 | 483,596 | |
10/01/2029 | 3.450% | 1,005,000 | 893,013 | |
10/01/2049 | 4.500% | 340,000 | 252,707 | |
05/18/2053 | 6.375% | 2,695,000 | 2,630,540 | |
GC Treasury Center Co., Ltd.(a) | ||||
03/18/2031 | 2.980% | 750,000 | 628,143 | |
03/30/2032 | 4.400% | 950,000 | 863,517 | |
Huntsman International LLC | ||||
06/15/2031 | 2.950% | 7,375,000 | 6,077,469 | |
International Flavors & Fragrances, Inc.(a) | ||||
10/15/2027 | 1.832% | 455,000 | 400,034 | |
11/01/2030 | 2.300% | 5,075,000 | 4,158,682 | |
11/15/2040 | 3.268% | 365,000 | 255,151 | |
12/01/2050 | 3.468% | 470,000 | 308,633 | |
International Flavors & Fragrances, Inc. | ||||
06/01/2047 | 4.375% | 1,115,000 | 833,216 | |
09/26/2048 | 5.000% | 3,400,000 | 2,850,964 | |
LYB International Finance III LLC | ||||
03/01/2034 | 5.500% | 9,838,000 | 9,763,260 | |
05/01/2050 | 4.200% | 1,505,000 | 1,162,802 | |
LyondellBasell Industries NV | ||||
04/15/2024 | 5.750% | 713,000 | 712,878 | |
Mosaic Co. (The) | ||||
11/15/2043 | 5.625% | 985,000 | 943,856 | |
Nutrien Ltd. | ||||
11/07/2025 | 5.950% | 496,000 | 500,172 | |
12/01/2036 | 5.875% | 141,000 | 144,294 | |
Olin Corp. | ||||
02/01/2030 | 5.000% | 1,560,000 | 1,463,278 | |
Rain Carbon, Inc.(a) | ||||
09/01/2029 | 12.250% | 650,000 | 650,234 | |
Rain CII Carbon LLC/Corp.(a) | ||||
04/01/2025 | 7.250% | 39,000 | 38,059 | |
Sasol Financing USA LLC | ||||
03/27/2024 | 5.875% | 600,000 | 599,081 | |
Total | 49,605,062 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.3% | ||||
Caterpillar Financial Services Corp. | ||||
02/27/2029 | 4.850% | 4,185,000 | 4,188,555 | |
CNH Industrial Capital LLC | ||||
05/23/2025 | 3.950% | 2,940,000 | 2,884,495 | |
01/12/2029 | 5.500% | 5,324,000 | 5,394,690 | |
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 5,359,000 | 4,832,633 | |
John Deere Capital Corp. | ||||
01/20/2028 | 4.750% | 1,208,000 | 1,206,856 | |
07/14/2028 | 4.950% | 2,470,000 | 2,484,145 | |
01/16/2029 | 4.500% | 4,869,000 | 4,798,247 | |
06/10/2030 | 4.700% | 2,762,000 | 2,739,913 | |
Maxim Crane Works Holdings Capital LLC(a) | ||||
09/01/2028 | 11.500% | 975,000 | 1,015,818 | |
OT Merger Corp.(a) | ||||
10/15/2029 | 7.875% | 350,000 | 212,433 | |
Ritchie Bros Holdings, Inc.(a) | ||||
03/15/2028 | 6.750% | 200,000 | 204,675 | |
United Rentals North America, Inc. | ||||
01/15/2030 | 5.250% | 3,000,000 | 2,904,695 | |
02/15/2031 | 3.875% | 1,664,000 | 1,473,628 | |
Total | 34,340,783 | |||
Consumer Cyclical Services 0.1% | ||||
ADT Security Corp. (The)(a) | ||||
08/01/2029 | 4.125% | 1,645,000 | 1,491,784 | |
Allied Universal Holdco LLC/Finance Corp.(a) | ||||
07/15/2026 | 6.625% | 945,000 | 942,061 | |
06/01/2029 | 6.000% | 1,300,000 | 1,076,828 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 1,910,000 | 1,690,886 | |
06/01/2028 | 4.625% | 990,000 | 879,673 | |
CBRE Services, Inc. | ||||
04/01/2029 | 5.500% | 1,325,000 | 1,325,435 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 1,094,000 | 1,098,249 | |
Jones Lang LaSalle, Inc. | ||||
12/01/2028 | 6.875% | 979,000 | 1,029,232 | |
Match Group Holdings II LLC(a) | ||||
10/01/2031 | 3.625% | 1,785,000 | 1,510,734 | |
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 235,000 | 228,114 | |
Total | 11,272,996 | |||
Consumer Products 0.2% | ||||
Energizer Holdings, Inc.(a) | ||||
03/31/2029 | 4.375% | 1,745,000 | 1,543,207 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Estee Lauder Companies, Inc. (The) | ||||
02/14/2034 | 5.000% | 5,455,000 | 5,359,517 | |
Kenvue, Inc. | ||||
03/22/2028 | 5.050% | 705,000 | 709,418 | |
03/22/2033 | 4.900% | 1,706,000 | 1,686,748 | |
03/22/2043 | 5.100% | 566,000 | 551,406 | |
03/22/2063 | 5.200% | 1,243,000 | 1,202,047 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 235,000 | 228,145 | |
Spectrum Brands, Inc.(a) | ||||
07/15/2030 | 5.500% | 643,000 | 630,160 | |
03/15/2031 | 3.875% | 760,000 | 721,901 | |
SWF Escrow Issuer Corp.(a) | ||||
10/01/2029 | 6.500% | 950,000 | 669,232 | |
Tempur Sealy International, Inc.(a) | ||||
04/15/2029 | 4.000% | 1,500,000 | 1,345,506 | |
10/15/2031 | 3.875% | 365,000 | 303,965 | |
Unilever Capital Corp. | ||||
12/08/2033 | 5.000% | 4,385,000 | 4,392,361 | |
Whirlpool Corp. | ||||
03/01/2034 | 5.750% | 2,160,000 | 2,148,241 | |
Total | 21,491,854 | |||
Diversified Manufacturing 0.2% | ||||
Amsted Industries, Inc.(a) | ||||
05/15/2030 | 4.625% | 1,685,000 | 1,538,330 | |
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 291,000 | 254,667 | |
03/15/2034 | 5.900% | 465,000 | 485,471 | |
Chart Industries, Inc.(a) | ||||
01/01/2030 | 7.500% | 475,000 | 490,070 | |
Emerald Debt Merger Sub LLC(a) | ||||
12/15/2030 | 6.625% | 1,440,000 | 1,444,644 | |
General Electric Co.(b) | ||||
3-month Term SOFR + 0.742% 08/15/2036 | 6.049% | 5,380,000 | 5,008,897 | |
Griffon Corp. | ||||
03/01/2028 | 5.750% | 525,000 | 508,241 | |
Honeywell International, Inc.(c) | ||||
03/01/2054 | 5.250% | 8,859,000 | 8,832,592 | |
Ingersoll Rand, Inc. | ||||
08/14/2028 | 5.400% | 585,000 | 589,401 | |
08/14/2033 | 5.700% | 3,781,000 | 3,848,099 | |
Valmont Industries, Inc. | ||||
10/01/2054 | 5.250% | 2,050,000 | 1,764,494 | |
Westinghouse Air Brake Technologies Corp.(c) | ||||
03/11/2034 | 5.611% | 1,935,000 | 1,942,978 | |
Total | 26,707,884 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Electric 2.6% | ||||
AEP Texas Central Co.(a) | ||||
10/01/2025 | 3.850% | 1,828,000 | 1,769,573 | |
AEP Texas Central Co. | ||||
02/15/2033 | 6.650% | 1,385,000 | 1,471,133 | |
AEP Transmission Co. LLC | ||||
08/15/2051 | 2.750% | 1,095,000 | 680,244 | |
AES Corp. (The)(a) | ||||
07/15/2025 | 3.300% | 2,730,000 | 2,645,001 | |
AES Corp. (The) | ||||
01/15/2026 | 1.375% | 662,000 | 611,733 | |
06/01/2028 | 5.450% | 1,052,000 | 1,048,454 | |
01/15/2031 | 2.450% | 1,522,000 | 1,242,978 | |
AES Panama Generation Holdings SRL(a) | ||||
05/31/2030 | 4.375% | 982,095 | 822,398 | |
Alabama Power Co. | ||||
11/15/2033 | 5.850% | 692,000 | 724,112 | |
Ameren Corp. | ||||
02/15/2026 | 3.650% | 590,000 | 570,700 | |
01/15/2029 | 5.000% | 3,021,000 | 2,995,589 | |
American Electric Power Co., Inc. | ||||
01/15/2029 | 5.200% | 6,915,000 | 6,906,937 | |
American Electric Power Co., Inc.(l) | ||||
02/15/2062 | 3.875% | 2,855,000 | 2,544,485 | |
Junior Subordinated | ||||
08/15/2025 | 5.699% | 5,700,000 | 5,710,288 | |
American Transmission Systems, Inc.(a) | ||||
01/15/2032 | 2.650% | 2,893,000 | 2,374,985 | |
09/01/2044 | 5.000% | 749,000 | 668,683 | |
Appalachian Power Co. | ||||
03/01/2049 | 4.500% | 432,000 | 349,174 | |
Arizona Public Service Co. | ||||
12/15/2032 | 6.350% | 5,330,000 | 5,644,183 | |
08/15/2048 | 4.200% | 570,000 | 450,156 | |
Avangrid, Inc. | ||||
04/15/2025 | 3.200% | 1,614,000 | 1,570,001 | |
06/01/2029 | 3.800% | 655,000 | 610,266 | |
Black Hills Corp. | ||||
10/15/2029 | 3.050% | 488,000 | 432,724 | |
Calpine Corp.(a) | ||||
02/15/2028 | 4.500% | 2,250,000 | 2,122,967 | |
03/15/2028 | 5.125% | 575,000 | 545,533 | |
02/01/2029 | 4.625% | 2,000,000 | 1,839,540 | |
02/01/2031 | 5.000% | 4,800,000 | 4,304,370 | |
CenterPoint Energy Houston Electric LLC | ||||
03/01/2034 | 5.150% | 7,000,000 | 6,992,473 | |
Cleveland Electric Illuminating Co. (The)(a) | ||||
04/01/2028 | 3.500% | 3,293,000 | 3,064,525 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cleveland Electric Illuminating Co. (The) | ||||
12/15/2036 | 5.950% | 1,279,000 | 1,275,844 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 80,000 | 74,504 | |
CMS Energy Corp.(l) | ||||
06/01/2050 | 4.750% | 2,514,000 | 2,293,889 | |
12/01/2050 | 3.750% | 386,000 | 309,346 | |
Commonwealth Edison Co. | ||||
08/15/2047 | 3.750% | 409,000 | 312,258 | |
Consolidated Edison Co. of New York, Inc. | ||||
03/15/2034 | 5.500% | 614,000 | 627,478 | |
03/01/2035 | 5.300% | 171,000 | 169,860 | |
06/15/2046 | 3.850% | 1,310,000 | 1,028,368 | |
11/15/2053 | 5.900% | 844,000 | 885,706 | |
12/01/2056 | 4.300% | 308,000 | 251,703 | |
Dominion Energy, Inc.(l),(m) | ||||
4.350% | 198,000 | 184,858 | ||
4.650% | 5,000,000 | 4,875,514 | ||
Dominion Energy, Inc. | ||||
08/15/2026 | 2.850% | 750,000 | 707,261 | |
DTE Electric Co. | ||||
03/01/2034 | 5.200% | 1,895,000 | 1,887,985 | |
DTE Energy Co. | ||||
10/01/2026 | 2.850% | 10,155,000 | 9,569,471 | |
03/01/2029 | 5.100% | 3,033,000 | 3,009,446 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 370,000 | 317,052 | |
12/15/2041 | 4.250% | 14,000 | 11,827 | |
09/30/2042 | 4.000% | 617,000 | 502,943 | |
06/01/2045 | 3.750% | 157,000 | 121,090 | |
03/15/2046 | 3.875% | 46,000 | 35,977 | |
01/15/2053 | 5.350% | 3,972,000 | 3,869,183 | |
Duke Energy Corp.(l),(m) | ||||
4.875% | 213,000 | 210,977 | ||
Duke Energy Corp. | ||||
04/15/2024 | 3.750% | 3,373,000 | 3,364,478 | |
09/01/2026 | 2.650% | 4,710,000 | 4,432,874 | |
09/01/2046 | 3.750% | 1,416,000 | 1,053,023 | |
Duke Energy Florida LLC | ||||
12/15/2031 | 2.400% | 1,234,000 | 1,020,262 | |
11/15/2033 | 5.875% | 1,295,000 | 1,355,508 | |
Duke Energy Ohio, Inc. | ||||
06/01/2030 | 2.125% | 430,000 | 361,124 | |
06/15/2046 | 3.700% | 3,050,000 | 2,292,545 | |
Duke Energy Progress LLC | ||||
03/15/2033 | 5.250% | 1,570,000 | 1,567,405 | |
05/15/2042 | 4.100% | 1,437,000 | 1,191,168 | |
03/15/2043 | 4.100% | 475,000 | 389,640 | |
03/30/2044 | 4.375% | 770,000 | 657,635 | |
08/15/2045 | 4.200% | 329,000 | 270,469 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
10/15/2046 | 3.700% | 312,000 | 235,802 | |
09/15/2047 | 3.600% | 940,000 | 696,335 | |
Duquesne Light Holdings, Inc.(a) | ||||
10/01/2030 | 2.532% | 463,000 | 382,292 | |
Edison International | ||||
08/15/2025 | 4.700% | 5,675,000 | 5,597,160 | |
Enel Finance International NV(a) | ||||
04/06/2028 | 3.500% | 2,370,000 | 2,209,420 | |
Entergy Arkansas LLC | ||||
01/15/2033 | 5.150% | 480,000 | 479,289 | |
04/01/2049 | 4.200% | 941,000 | 767,750 | |
06/15/2051 | 2.650% | 212,000 | 127,068 | |
Entergy Corp. | ||||
09/15/2025 | 0.900% | 3,770,000 | 3,525,466 | |
06/15/2030 | 2.800% | 348,000 | 300,914 | |
06/15/2031 | 2.400% | 801,000 | 659,399 | |
Entergy Louisiana LLC | ||||
10/01/2026 | 2.400% | 2,409,000 | 2,249,410 | |
Entergy Mississippi LLC | ||||
09/01/2033 | 5.000% | 1,039,000 | 1,016,789 | |
Entergy Texas, Inc. | ||||
03/30/2029 | 4.000% | 348,000 | 332,127 | |
Evergy Kansas Central, Inc. | ||||
11/15/2033 | 5.900% | 495,000 | 514,345 | |
03/15/2053 | 5.700% | 1,315,000 | 1,312,337 | |
Evergy Metro, Inc. | ||||
06/01/2030 | 2.250% | 572,000 | 483,349 | |
Eversource Energy | ||||
08/15/2025 | 0.800% | 662,000 | 617,923 | |
08/15/2026 | 1.400% | 752,000 | 682,853 | |
03/01/2027 | 2.900% | 1,335,000 | 1,249,104 | |
07/01/2027 | 4.600% | 2,675,000 | 2,615,832 | |
03/01/2028 | 5.450% | 1,024,000 | 1,029,602 | |
02/01/2029 | 5.950% | 8,574,000 | 8,781,199 | |
05/15/2033 | 5.125% | 703,000 | 679,122 | |
01/01/2034 | 5.500% | 900,000 | 890,699 | |
Exelon Corp. | ||||
03/15/2028 | 5.150% | 1,648,000 | 1,644,467 | |
03/15/2029 | 5.150% | 1,525,000 | 1,517,713 | |
04/15/2046 | 4.450% | 1,050,000 | 878,883 | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 3,224,000 | 2,911,715 | |
Florida Power & Light Co. | ||||
05/15/2030 | 4.625% | 677,000 | 666,247 | |
12/04/2051 | 2.875% | 359,000 | 233,131 | |
Georgia Power Co. | ||||
09/15/2024 | 2.200% | 848,000 | 832,270 | |
05/16/2028 | 4.650% | 575,000 | 566,414 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Gulf Power Co. | ||||
10/01/2044 | 4.550% | 1,350,000 | 1,160,485 | |
Idaho Power Co. | ||||
04/01/2054 | 5.800% | 1,243,000 | 1,265,520 | |
Interstate Power and Light Co. | ||||
10/15/2033 | 5.700% | 2,765,000 | 2,815,107 | |
11/30/2051 | 3.100% | 3,194,000 | 2,047,498 | |
Interstate Power and Light, Co. | ||||
12/01/2024 | 3.250% | 552,000 | 542,626 | |
IPALCO Enterprises, Inc. | ||||
05/01/2030 | 4.250% | 1,590,000 | 1,463,653 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 1,600,000 | 1,598,293 | |
01/15/2026 | 4.300% | 2,000,000 | 1,951,968 | |
03/01/2032 | 2.750% | 336,000 | 277,408 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 1,985,000 | 2,052,432 | |
Kansas City Power & Light Co. | ||||
08/15/2025 | 3.650% | 665,000 | 648,774 | |
Kentucky Utilities Co. | ||||
04/15/2033 | 5.450% | 494,000 | 498,381 | |
Liberty Utilities Co.(a) | ||||
01/31/2034 | 5.869% | 2,167,000 | 2,168,463 | |
Louisville Gas and Electric Co. | ||||
04/15/2033 | 5.450% | 494,000 | 498,581 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 1,928,000 | 1,851,191 | |
Mississippi Power Co. | ||||
03/15/2042 | 4.250% | 414,000 | 345,101 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 276,687 | 263,076 | |
Monongahela Power Co.(a) | ||||
05/15/2027 | 3.550% | 617,000 | 584,488 | |
02/15/2034 | 5.850% | 1,187,000 | 1,206,882 | |
Narragansett Electric Co. (The)(a) | ||||
04/09/2030 | 3.395% | 2,179,000 | 1,977,541 | |
National Grid PLC | ||||
01/11/2034 | 5.418% | 4,603,000 | 4,488,579 | |
National Rural Utilities Cooperative Finance Corp. | ||||
11/13/2026 | 5.600% | 4,500,000 | 4,559,325 | |
03/15/2030 | 2.400% | 1,347,000 | 1,159,554 | |
02/07/2031 | 5.000% | 873,000 | 861,490 | |
04/15/2032 | 2.750% | 1,233,000 | 1,036,720 | |
12/15/2032 | 4.150% | 309,000 | 284,472 | |
01/15/2033 | 5.800% | 864,000 | 893,451 | |
National Rural Utilities Cooperative Finance Corp.(b) | ||||
3-month Term SOFR + 3.172% 04/30/2043 | 8.489% | 1,147,000 | 1,145,798 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
National Rural Utilities Cooperative Finance Corp.(l) | ||||
09/15/2053 | 7.125% | 768,000 | 794,383 | |
Subordinated | ||||
04/20/2046 | 5.250% | 1,687,000 | 1,636,463 | |
Nevada Power Co. | ||||
03/15/2054 | 6.000% | 446,000 | 465,908 | |
New England Power Co.(a) | ||||
10/06/2050 | 2.807% | 3,670,000 | 2,254,716 | |
NextEra Energy Capital Holdings, Inc. | ||||
09/01/2024 | 4.255% | 1,137,000 | 1,128,219 | |
03/01/2025 | 6.051% | 1,522,000 | 1,528,151 | |
01/15/2027 | 1.875% | 1,155,000 | 1,054,000 | |
03/15/2034 | 5.250% | 6,359,000 | 6,241,453 | |
NextEra Energy Capital Holdings, Inc.(c),(l) | ||||
09/01/2054 | 6.700% | 925,000 | 921,691 | |
NextEra Energy Capital Holdings, Inc.(l) | ||||
03/15/2082 | 3.800% | 1,497,000 | 1,333,543 | |
Niagara Mohawk Power Corp.(a) | ||||
06/27/2030 | 1.960% | 1,416,000 | 1,156,839 | |
01/17/2054 | 5.664% | 1,394,000 | 1,351,889 | |
NRG Energy, Inc.(a),(l),(m) | ||||
10.250% | 600,000 | 636,044 | ||
NRG Energy, Inc.(a) | ||||
12/02/2025 | 2.000% | 560,000 | 524,551 | |
12/02/2027 | 2.450% | 2,420,000 | 2,161,141 | |
02/15/2029 | 3.375% | 542,000 | 473,607 | |
06/15/2029 | 5.250% | 1,875,000 | 1,777,748 | |
02/15/2032 | 3.875% | 1,125,000 | 944,669 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 954,000 | 953,298 | |
NSTAR Electric Co. | ||||
08/15/2031 | 1.950% | 524,000 | 419,018 | |
Pacific Gas and Electric Co. | ||||
07/01/2030 | 4.550% | 4,855,000 | 4,566,276 | |
06/01/2031 | 3.250% | 835,000 | 715,423 | |
05/15/2034 | 5.800% | 7,450,000 | 7,438,870 | |
04/15/2042 | 4.450% | 562,000 | 452,140 | |
03/15/2045 | 4.300% | 948,000 | 739,636 | |
07/01/2050 | 4.950% | 545,000 | 462,860 | |
PacifiCorp | ||||
02/15/2034 | 5.450% | 497,000 | 490,227 | |
03/15/2051 | 3.300% | 680,000 | 445,931 | |
PECO Energy Co. | ||||
05/15/2052 | 4.600% | 2,500,000 | 2,226,031 | |
Pennsylvania Electric Co.(a) | ||||
03/30/2026 | 5.150% | 883,000 | 874,850 | |
03/15/2028 | 3.250% | 1,990,000 | 1,835,783 | |
Public Service Co. of Colorado | ||||
04/01/2053 | 5.250% | 2,815,000 | 2,665,053 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Public Service Electric and Gas Co.(c) | ||||
03/01/2034 | 5.200% | 915,000 | 916,134 | |
03/01/2054 | 5.450% | 6,995,000 | 7,015,982 | |
Public Service Electric and Gas Co. | ||||
08/01/2053 | 5.450% | 812,000 | 815,754 | |
Public Service Enterprise Group, Inc. | ||||
08/15/2025 | 0.800% | 642,000 | 601,168 | |
11/15/2027 | 5.850% | 895,000 | 916,291 | |
08/15/2030 | 1.600% | 466,000 | 374,326 | |
11/15/2031 | 2.450% | 2,062,000 | 1,676,981 | |
San Diego Gas & Electric Co. | ||||
08/15/2028 | 4.950% | 1,148,000 | 1,147,683 | |
Southern California Edison Co. | ||||
03/01/2028 | 5.300% | 3,740,000 | 3,775,936 | |
06/01/2034 | 5.200% | 6,295,000 | 6,157,965 | |
Southern California Edison Co.(c) | ||||
06/01/2029 | 5.150% | 1,145,000 | 1,145,805 | |
Southern Co. (The) | ||||
03/15/2029 | 5.500% | 9,085,000 | 9,203,883 | |
07/01/2036 | 4.250% | 595,000 | 525,433 | |
Southern Co. (The)(l) | ||||
09/15/2051 | 3.750% | 1,122,000 | 1,052,866 | |
Junior Subordinated | ||||
08/01/2027 | 5.113% | 932,000 | 929,657 | |
Southwestern Electric Power Co. | ||||
03/15/2026 | 1.650% | 1,096,000 | 1,019,340 | |
10/01/2026 | 2.750% | 6,450,000 | 6,055,167 | |
04/01/2033 | 5.300% | 700,000 | 689,843 | |
Tampa Electric Co. | ||||
05/15/2044 | 4.350% | 434,000 | 359,443 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 951,000 | 1,001,153 | |
Tucson Electric Power Co. | ||||
12/01/2048 | 4.850% | 259,000 | 229,627 | |
06/15/2050 | 4.000% | 2,690,000 | 2,058,226 | |
Virginia Electric & Power Co. | ||||
03/15/2027 | 3.500% | 1,446,000 | 1,384,018 | |
Virginia Electric and Power Co. | ||||
01/15/2034 | 5.000% | 2,560,000 | 2,488,394 | |
04/01/2053 | 5.450% | 955,000 | 934,344 | |
08/15/2053 | 5.700% | 683,000 | 690,030 | |
Vistra Corp.(a),(l),(m) | ||||
7.000% | 425,000 | 411,070 | ||
8.000% | 4,650,000 | 4,650,226 | ||
Vistra Operations Co. LLC(a) | ||||
07/15/2024 | 3.550% | 2,505,000 | 2,476,585 | |
05/13/2025 | 5.125% | 5,190,000 | 5,145,685 | |
02/15/2027 | 5.625% | 2,200,000 | 2,145,751 | |
07/31/2027 | 5.000% | 2,000,000 | 1,917,929 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/01/2029 | 4.375% | 4,535,000 | 4,142,011 | |
Vistra Operations Co., LLC(a) | ||||
01/30/2027 | 3.700% | 885,000 | 836,250 | |
WEC Energy Group, Inc. | ||||
09/27/2025 | 5.000% | 304,000 | 302,557 | |
10/01/2027 | 5.150% | 426,000 | 425,348 | |
10/15/2027 | 1.375% | 1,094,000 | 962,598 | |
12/15/2028 | 2.200% | 746,000 | 655,020 | |
Wisconsin Electric Power Co. | ||||
06/15/2028 | 1.700% | 680,000 | 597,292 | |
Wisconsin Public Service Corp. | ||||
12/01/2042 | 3.671% | 814,000 | 634,610 | |
Xcel Energy, Inc. | ||||
03/15/2034 | 5.500% | 8,185,000 | 8,046,129 | |
Total | 334,720,080 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
01/15/2031 | 6.750% | 710,000 | 726,419 | |
Republic Services, Inc. | ||||
12/15/2033 | 5.000% | 2,375,000 | 2,334,766 | |
Waste Connections, Inc. | ||||
04/01/2050 | 3.050% | 885,000 | 597,571 | |
Waste Management, Inc. | ||||
02/15/2029 | 4.875% | 425,000 | 425,654 | |
06/01/2029 | 2.000% | 330,000 | 285,639 | |
02/15/2030 | 4.625% | 673,000 | 661,872 | |
02/15/2033 | 4.625% | 831,000 | 801,685 | |
02/15/2034 | 4.875% | 1,254,000 | 1,227,167 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 760,000 | 745,049 | |
Total | 7,805,822 | |||
Finance Companies 0.9% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
10/01/2025 | 4.450% | 1,889,000 | 1,852,781 | |
10/29/2026 | 2.450% | 445,000 | 410,602 | |
10/29/2028 | 3.000% | 5,655,000 | 5,081,023 | |
01/30/2032 | 3.300% | 2,100,000 | 1,777,175 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 2,500,000 | 2,440,900 | |
07/01/2025 | 3.375% | 2,750,000 | 2,671,989 | |
01/15/2026 | 2.875% | 2,075,000 | 1,979,469 | |
12/01/2027 | 3.625% | 465,000 | 435,343 | |
03/01/2029 | 5.100% | 6,310,000 | 6,201,229 | |
Aircastle Ltd.(a) | ||||
01/26/2028 | 2.850% | 3,335,000 | 2,965,937 | |
07/18/2028 | 6.500% | 1,725,000 | 1,743,571 | |
02/15/2029 | 5.950% | 1,485,000 | 1,468,062 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ares Capital Corp. | ||||
01/15/2027 | 7.000% | 2,665,000 | 2,717,221 | |
03/01/2029 | 5.875% | 5,175,000 | 5,060,642 | |
Aviation Capital Group LLC(a) | ||||
12/15/2024 | 5.500% | 1,030,000 | 1,025,000 | |
Avolon Holdings Funding Ltd.(a) | ||||
07/01/2024 | 3.950% | 750,000 | 744,953 | |
02/15/2025 | 2.875% | 2,905,000 | 2,819,470 | |
11/18/2027 | 2.528% | 2,283,000 | 2,019,054 | |
Bain Capital Specialty Finance, Inc. | ||||
10/13/2026 | 2.550% | 3,250,000 | 2,956,559 | |
Barings BDC, Inc. | ||||
02/15/2029 | 7.000% | 2,720,000 | 2,696,798 | |
Blackstone Private Credit Fund | ||||
12/15/2026 | 2.625% | 4,470,000 | 4,037,736 | |
Blackstone Secured Lending Fund | ||||
09/30/2028 | 2.850% | 2,850,000 | 2,477,070 | |
Blue Owl Capital Corp. | ||||
03/15/2029 | 5.950% | 3,310,000 | 3,233,769 | |
Blue Owl Capital Corp. II(a) | ||||
11/15/2026 | 8.450% | 1,805,000 | 1,850,983 | |
Blue Owl Credit Income Corp. | ||||
09/16/2027 | 7.750% | 953,000 | 974,504 | |
Blue Owl Credit Income Corp.(a) | ||||
06/13/2028 | 7.950% | 3,710,000 | 3,823,103 | |
03/15/2031 | 6.650% | 2,067,000 | 1,999,194 | |
FirstCash, Inc.(a) | ||||
01/01/2030 | 5.625% | 1,500,000 | 1,421,068 | |
Freedom Mortgage Corp.(a) | ||||
10/01/2028 | 12.000% | 450,000 | 487,592 | |
FS KKR Capital Corp. | ||||
10/12/2028 | 3.125% | 1,100,000 | 949,927 | |
01/15/2029 | 7.875% | 2,630,000 | 2,718,438 | |
GATX Corp.(c) | ||||
03/15/2027 | 5.400% | 1,715,000 | 1,718,210 | |
GGAM Finance Ltd.(a) | ||||
02/15/2027 | 8.000% | 2,625,000 | 2,698,997 | |
Golub Capital BDC, Inc. | ||||
08/24/2026 | 2.500% | 4,100,000 | 3,733,829 | |
07/15/2029 | 6.000% | 1,880,000 | 1,825,196 | |
Hercules Capital, Inc. | ||||
01/20/2027 | 3.375% | 3,675,000 | 3,332,604 | |
Main Street Capital Corp. | ||||
07/14/2026 | 3.000% | 2,690,000 | 2,482,338 | |
Morgan Stanley Direct Lending Fund | ||||
02/11/2027 | 4.500% | 2,015,000 | 1,926,062 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nationstar Mortgage Holdings Inc.(a) | ||||
08/15/2028 | 5.500% | 1,050,000 | 995,451 | |
Nationstar Mortgage Holdings, Inc.(a) | ||||
12/15/2030 | 5.125% | 2,465,000 | 2,206,348 | |
11/15/2031 | 5.750% | 1,300,000 | 1,191,418 | |
Navient Corp. | ||||
03/15/2027 | 5.000% | 1,555,000 | 1,475,885 | |
New Mountain Finance Corp. | ||||
02/01/2029 | 6.875% | 1,265,000 | 1,238,168 | |
Owl Rock Capital Corp. | ||||
07/22/2025 | 3.750% | 1,075,000 | 1,035,895 | |
01/15/2026 | 4.250% | 785,000 | 755,733 | |
Owl Rock Technology Finance Corp.(a) | ||||
12/15/2025 | 4.750% | 3,965,000 | 3,779,957 | |
Sixth Street Specialty Lending, Inc. | ||||
03/01/2029 | 6.125% | 2,155,000 | 2,121,503 | |
TPG Operating Group II LP(c) | ||||
03/05/2034 | 5.875% | 5,725,000 | 5,719,447 | |
Total | 111,278,203 | |||
Food and Beverage 0.7% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 7,835,000 | 7,313,426 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2039 | 5.450% | 840,000 | 854,833 | |
B&G Foods, Inc. | ||||
04/01/2025 | 5.250% | 772,000 | 768,672 | |
09/15/2027 | 5.250% | 1,075,000 | 1,000,024 | |
Bacardi Ltd.(a) | ||||
05/15/2048 | 5.300% | 1,060,000 | 986,800 | |
Cargill Inc.(a) | ||||
11/10/2031 | 2.125% | 1,346,000 | 1,093,412 | |
Cargill, Inc.(a) | ||||
04/22/2025 | 3.500% | 2,449,000 | 2,402,154 | |
06/24/2026 | 4.500% | 2,000,000 | 1,974,533 | |
04/23/2030 | 2.125% | 750,000 | 637,171 | |
02/02/2031 | 1.700% | 826,000 | 663,657 | |
Coca-Cola Europacific Partners PLC(a) | ||||
05/03/2024 | 0.800% | 6,295,000 | 6,242,924 | |
JBS SA/Food Co./Finance, Inc. | ||||
02/01/2028 | 5.125% | 2,025,000 | 1,983,194 | |
02/02/2029 | 3.000% | 1,955,000 | 1,713,553 | |
12/01/2031 | 3.750% | 3,055,000 | 2,596,148 | |
05/15/2032 | 3.000% | 3,255,000 | 2,605,346 | |
12/01/2052 | 6.500% | 2,535,000 | 2,442,512 | |
JBS USA LUX SA/Food Co./Luxembourg SARL(a) | ||||
03/15/2034 | 6.750% | 5,335,000 | 5,493,482 | |
11/15/2053 | 7.250% | 5,480,000 | 5,744,515 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Kraft Heinz Foods Co. | ||||
10/01/2039 | 4.625% | 950,000 | 857,968 | |
02/09/2040 | 6.500% | 1,215,000 | 1,310,582 | |
06/01/2046 | 4.375% | 465,000 | 385,726 | |
Lamb Weston Holdings, Inc.(a) | ||||
01/31/2030 | 4.125% | 1,725,000 | 1,560,558 | |
Mars, Inc.(a) | ||||
04/01/2039 | 3.875% | 1,040,000 | 890,280 | |
07/16/2040 | 2.375% | 964,000 | 662,231 | |
Minerva Luxembourg SA(a) | ||||
09/13/2033 | 8.875% | 3,800,000 | 3,993,354 | |
Mondelez International, Inc. | ||||
02/20/2029 | 4.750% | 1,069,000 | 1,056,586 | |
Pilgrim’s Pride Corp. | ||||
04/15/2031 | 4.250% | 2,000,000 | 1,786,877 | |
03/01/2032 | 3.500% | 6,479,000 | 5,414,566 | |
07/01/2033 | 6.250% | 625,000 | 632,667 | |
Post Holdings, Inc.(a) | ||||
12/15/2029 | 5.500% | 2,360,000 | 2,253,581 | |
04/15/2030 | 4.625% | 2,684,000 | 2,438,061 | |
02/15/2032 | 6.250% | 930,000 | 934,664 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 1,610,000 | 1,461,580 | |
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) | ||||
03/01/2029 | 4.625% | 1,495,000 | 1,311,946 | |
Smithfield Foods, Inc.(a) | ||||
02/01/2027 | 4.250% | 2,500,000 | 2,389,831 | |
10/15/2030 | 3.000% | 2,020,000 | 1,660,336 | |
Triton Water Holdings, Inc.(a) | ||||
04/01/2029 | 6.250% | 2,300,000 | 2,016,307 | |
Tyson Foods, Inc.(c) | ||||
03/15/2029 | 5.400% | 1,153,000 | 1,153,975 | |
03/15/2034 | 5.700% | 6,669,000 | 6,666,820 | |
Total | 87,354,852 | |||
Foreign Agencies 0.0% | ||||
PT Bank Mandiri Persero Tbk(a) | ||||
04/11/2024 | 3.750% | 850,000 | 847,428 | |
Gaming 0.3% | ||||
Caesars Entertainment, Inc.(a) | ||||
10/15/2029 | 4.625% | 3,100,000 | 2,830,207 | |
02/15/2030 | 7.000% | 950,000 | 973,509 | |
CCM Merger, Inc.(a) | ||||
05/01/2026 | 6.375% | 1,225,000 | 1,211,108 | |
GLP Capital LP/Financing II, Inc. | ||||
04/15/2026 | 5.375% | 185,000 | 183,085 | |
01/15/2029 | 5.300% | 765,000 | 742,918 | |
01/15/2030 | 4.000% | 4,500,000 | 4,049,446 | |
01/15/2031 | 4.000% | 510,000 | 449,644 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/15/2032 | 3.250% | 3,018,000 | 2,503,949 | |
Golden Entertainment, Inc.(a) | ||||
04/15/2026 | 7.625% | 1,720,000 | 1,720,998 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 975,000 | 976,408 | |
01/15/2027 | 6.250% | 400,000 | 401,817 | |
Jacobs Entertainment, Inc.(a) | ||||
02/15/2029 | 6.750% | 1,675,000 | 1,595,474 | |
MGM Resorts International | ||||
05/01/2025 | 6.750% | 1,150,000 | 1,151,259 | |
09/01/2026 | 4.625% | 188,000 | 181,877 | |
04/15/2027 | 5.500% | 1,500,000 | 1,472,912 | |
10/15/2028 | 4.750% | 1,575,000 | 1,478,132 | |
Penn National Gaming, Inc.(a) | ||||
07/01/2029 | 4.125% | 2,110,000 | 1,773,150 | |
Premier Entertainment Sub LLC/Finance Corp.(a) | ||||
09/01/2031 | 5.875% | 2,575,000 | 1,823,277 | |
Sands China Ltd. | ||||
08/08/2028 | 5.400% | 1,000,000 | 972,004 | |
VICI Properties LP | ||||
02/15/2030 | 4.950% | 515,000 | 491,540 | |
05/15/2032 | 5.125% | 3,176,000 | 2,982,834 | |
05/15/2052 | 5.625% | 1,110,000 | 1,000,687 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
06/15/2025 | 4.625% | 140,000 | 137,611 | |
09/01/2026 | 4.500% | 1,915,000 | 1,850,475 | |
02/01/2027 | 5.750% | 545,000 | 542,986 | |
02/15/2027 | 3.750% | 2,000,000 | 1,881,645 | |
01/15/2028 | 4.500% | 146,000 | 138,738 | |
02/15/2029 | 3.875% | 670,000 | 610,887 | |
08/15/2030 | 4.125% | 249,000 | 223,620 | |
Wynn Macau Ltd.(a) | ||||
01/15/2026 | 5.500% | 1,625,000 | 1,578,234 | |
Wynn Resorts Finance LLC/Capital Corp.(a) | ||||
10/01/2029 | 5.125% | 1,000,000 | 944,114 | |
Total | 38,874,545 | |||
Health Care 1.3% | ||||
Abbott Laboratories | ||||
11/30/2046 | 4.900% | 205,000 | 197,612 | |
AdaptHealth LLC(a) | ||||
08/01/2028 | 6.125% | 1,620,000 | 1,490,051 | |
08/01/2029 | 4.625% | 925,000 | 770,086 | |
Barnabas Health, Inc. | ||||
07/01/2028 | 4.000% | 3,200,000 | 3,023,113 | |
Becton Dickinson and Co. | ||||
12/15/2024 | 3.734% | 44,000 | 43,337 | |
02/13/2028 | 4.693% | 1,459,000 | 1,437,595 | |
08/22/2032 | 4.298% | 2,913,000 | 2,730,277 | |
05/15/2044 | 4.875% | 1,555,000 | 1,362,632 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cardinal Health, Inc. | ||||
02/15/2034 | 5.450% | 400,000 | 400,133 | |
Catalent Pharma Solutions, Inc.(a) | ||||
02/15/2029 | 3.125% | 1,000,000 | 966,844 | |
Cencora, Inc. | ||||
02/15/2034 | 5.125% | 1,479,000 | 1,451,538 | |
Cigna Corp. | ||||
03/01/2027 | 3.400% | 2,190,000 | 2,085,463 | |
08/15/2038 | 4.800% | 429,000 | 397,863 | |
07/15/2046 | 4.800% | 2,070,000 | 1,850,127 | |
03/15/2051 | 3.400% | 1,215,000 | 844,911 | |
Cigna Group (The) | ||||
02/15/2034 | 5.250% | 1,366,000 | 1,349,297 | |
02/15/2054 | 5.600% | 5,890,000 | 5,799,419 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 3,000,000 | 2,817,918 | |
11/01/2042 | 4.350% | 120,000 | 102,350 | |
CVS Health Corp. | ||||
07/20/2025 | 3.875% | 1,002,000 | 981,657 | |
02/21/2030 | 5.125% | 3,805,000 | 3,782,226 | |
09/15/2031 | 2.125% | 903,000 | 728,687 | |
02/21/2033 | 5.250% | 328,000 | 324,761 | |
07/20/2035 | 4.875% | 720,000 | 686,735 | |
03/25/2038 | 4.780% | 8,665,000 | 7,883,122 | |
04/01/2040 | 4.125% | 1,899,000 | 1,558,990 | |
08/21/2040 | 2.700% | 996,000 | 678,051 | |
03/25/2048 | 5.050% | 1,030,000 | 920,252 | |
06/01/2053 | 5.875% | 4,125,000 | 4,110,408 | |
06/01/2063 | 6.000% | 777,000 | 778,147 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 4,630,000 | 4,071,933 | |
02/15/2031 | 3.750% | 1,900,000 | 1,558,744 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 1,347,000 | 1,173,972 | |
Duke University Health System, Inc. | ||||
06/01/2047 | 3.920% | 875,000 | 722,998 | |
Embecta Corp.(a) | ||||
02/15/2030 | 5.000% | 1,500,000 | 1,194,931 | |
Fresenius Medical Care US Finance III, Inc.(a) | ||||
12/01/2026 | 1.875% | 2,825,000 | 2,541,424 | |
GE HealthCare Technologies, Inc. | ||||
11/15/2024 | 5.550% | 5,095,000 | 5,086,654 | |
HCA, Inc. | ||||
02/01/2025 | 5.375% | 2,900,000 | 2,890,037 | |
04/15/2025 | 5.250% | 1,659,000 | 1,651,590 | |
06/15/2025 | 7.690% | 750,000 | 768,747 | |
06/15/2026 | 5.250% | 3,135,000 | 3,115,809 | |
02/15/2027 | 4.500% | 679,000 | 664,898 | |
03/15/2027 | 3.125% | 687,000 | 645,638 | |
12/01/2027 | 7.050% | 10,000 | 10,459 | |
06/15/2029 | 4.125% | 3,850,000 | 3,620,633 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/01/2030 | 3.500% | 3,874,000 | 3,463,086 | |
04/01/2031 | 5.450% | 1,279,000 | 1,273,026 | |
07/15/2031 | 2.375% | 1,580,000 | 1,284,768 | |
06/15/2039 | 5.125% | 1,357,000 | 1,261,589 | |
06/15/2047 | 5.500% | 2,515,000 | 2,344,022 | |
07/15/2051 | 3.500% | 1,697,000 | 1,145,494 | |
04/01/2054 | 6.000% | 785,000 | 779,121 | |
04/01/2064 | 6.100% | 693,000 | 684,875 | |
IQVIA, Inc. | ||||
05/15/2028 | 5.700% | 7,875,000 | 7,936,152 | |
Laboratory Corp. of America Holdings | ||||
09/01/2024 | 3.250% | 2,561,000 | 2,526,314 | |
Legacy LifePoint Health LLC(a) | ||||
02/15/2027 | 4.375% | 1,575,000 | 1,466,729 | |
Mayo Clinic | ||||
11/15/2052 | 4.128% | 750,000 | 648,443 | |
McKesson Corp. | ||||
08/15/2026 | 1.300% | 1,820,000 | 1,660,913 | |
07/15/2033 | 5.100% | 11,330,000 | 11,286,177 | |
Medtronic Global Holdings SCA | ||||
03/30/2033 | 4.500% | 1,465,000 | 1,410,546 | |
Memorial Sloan-Kettering Cancer Center | ||||
07/01/2052 | 4.125% | 1,130,000 | 960,534 | |
ModivCare Escrow Issuer, Inc.(a) | ||||
10/01/2029 | 5.000% | 2,603,000 | 1,918,961 | |
Mozart Debt Merger Sub, Inc.(a) | ||||
04/01/2029 | 3.875% | 4,630,000 | 4,150,362 | |
10/01/2029 | 5.250% | 1,875,000 | 1,733,843 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2119 | 3.954% | 305,000 | 221,326 | |
NYU Langone Hospitals | ||||
07/01/2043 | 5.750% | 705,000 | 738,144 | |
Providence Service Corp. (The)(a) | ||||
11/15/2025 | 5.875% | 350,000 | 341,767 | |
Quest Diagnostics, Inc. | ||||
06/30/2030 | 2.950% | 380,000 | 334,497 | |
06/30/2031 | 2.800% | 425,000 | 362,735 | |
11/30/2033 | 6.400% | 912,000 | 975,312 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a) | ||||
12/01/2026 | 9.750% | 2,875,000 | 2,876,772 | |
Solventum Corp.(a) | ||||
03/13/2031 | 5.450% | 1,320,000 | 1,309,734 | |
03/23/2034 | 5.600% | 1,408,000 | 1,402,730 | |
04/30/2054 | 5.900% | 632,000 | 618,837 | |
Tenet Healthcare Corp. | ||||
11/01/2027 | 5.125% | 1,450,000 | 1,419,925 | |
10/01/2028 | 6.125% | 2,725,000 | 2,693,598 | |
06/01/2029 | 4.250% | 425,000 | 390,726 | |
01/15/2030 | 4.375% | 4,100,000 | 3,753,645 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Texas Health Resources | ||||
11/15/2055 | 4.330% | 700,000 | 615,509 | |
Thermo Fisher Scientific, Inc. | ||||
01/31/2029 | 5.000% | 5,261,000 | 5,290,624 | |
08/10/2030 | 4.977% | 1,705,000 | 1,705,233 | |
08/10/2043 | 5.404% | 684,000 | 690,604 | |
Universal Health Services, Inc. | ||||
09/01/2026 | 1.650% | 2,485,000 | 2,258,911 | |
10/15/2030 | 2.650% | 2,485,000 | 2,074,286 | |
Zimmer Biomet Holdings, Inc. | ||||
12/01/2028 | 5.350% | 1,053,000 | 1,063,878 | |
Total | 160,345,817 | |||
Healthcare Insurance 0.4% | ||||
Aetna, Inc. | ||||
06/15/2036 | 6.625% | 624,000 | 679,471 | |
Aon North America, Inc.(c) | ||||
03/01/2027 | 5.125% | 1,263,000 | 1,262,489 | |
03/01/2029 | 5.150% | 2,376,000 | 2,376,350 | |
03/01/2034 | 5.450% | 1,365,000 | 1,365,742 | |
03/01/2054 | 5.750% | 7,471,000 | 7,505,923 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 4,010,000 | 3,822,375 | |
12/15/2029 | 4.625% | 850,000 | 804,928 | |
10/15/2030 | 3.000% | 7,539,000 | 6,438,781 | |
03/01/2031 | 2.500% | 1,116,000 | 914,301 | |
08/01/2031 | 2.625% | 625,000 | 511,488 | |
Elevance Health, Inc. | ||||
02/08/2026 | 4.900% | 596,000 | 591,755 | |
Health Care Service Corp., a Mutual Legal Reserve Co.(a) | ||||
06/01/2025 | 1.500% | 577,000 | 549,407 | |
Humana, Inc. | ||||
12/01/2028 | 5.750% | 3,025,000 | 3,089,588 | |
UnitedHealth Group, Inc. | ||||
02/15/2033 | 5.350% | 4,925,000 | 5,020,730 | |
08/15/2039 | 3.500% | 617,000 | 498,643 | |
05/15/2040 | 2.750% | 366,000 | 263,596 | |
05/15/2041 | 3.050% | 190,000 | 141,183 | |
07/15/2045 | 4.750% | 443,000 | 409,582 | |
10/15/2047 | 3.750% | 473,000 | 366,692 | |
05/15/2051 | 3.250% | 3,750,000 | 2,640,521 | |
02/15/2053 | 5.875% | 1,429,000 | 1,527,166 | |
04/15/2053 | 5.050% | 8,003,000 | 7,614,620 | |
04/15/2063 | 5.200% | 3,953,000 | 3,768,359 | |
Wellpoint, Inc. | ||||
08/15/2024 | 3.500% | 1,928,000 | 1,908,033 | |
Total | 54,071,723 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Healthcare REIT 0.2% | ||||
Diversified Healthcare Trust | ||||
06/15/2025 | 9.750% | 562,000 | 559,717 | |
03/01/2031 | 4.375% | 1,500,000 | 1,138,468 | |
Healthcare Realty Holdings LP | ||||
01/15/2028 | 3.625% | 435,000 | 397,959 | |
03/15/2030 | 2.400% | 1,514,000 | 1,219,715 | |
03/15/2031 | 2.050% | 400,000 | 304,444 | |
Healthcare Trust of America Holdings LP | ||||
02/15/2030 | 3.100% | 1,246,000 | 1,073,670 | |
03/15/2031 | 2.000% | 2,960,000 | 2,319,444 | |
Healthpeak OP LLC | ||||
12/15/2032 | 5.250% | 1,421,000 | 1,389,341 | |
MPT Operating Partnership LP/Finance Corp. | ||||
03/15/2031 | 3.500% | 1,850,000 | 1,239,484 | |
Omega Healthcare Investors, Inc. | ||||
01/15/2025 | 4.500% | 975,000 | 964,905 | |
Physicians Realty LP | ||||
03/15/2027 | 4.300% | 380,000 | 369,241 | |
01/15/2028 | 3.950% | 77,000 | 73,258 | |
11/01/2031 | 2.625% | 1,750,000 | 1,425,022 | |
Sabra Health Care LP | ||||
12/01/2031 | 3.200% | 574,000 | 466,214 | |
Senior Housing Properties Trust | ||||
02/15/2028 | 4.750% | 25,000 | 19,917 | |
Welltower, Inc. | ||||
01/15/2031 | 2.750% | 6,320,000 | 5,387,288 | |
06/01/2031 | 2.800% | 2,160,000 | 1,832,599 | |
Total | 20,180,686 | |||
Home Construction 0.2% | ||||
Ashton Woods USA LLC/Finance Co.(a) | ||||
01/15/2028 | 6.625% | 1,700,000 | 1,700,499 | |
Brookfield Residential Properties, Inc./US Corp.(a) | ||||
09/15/2027 | 6.250% | 1,560,000 | 1,515,809 | |
02/15/2030 | 4.875% | 2,575,000 | 2,288,374 | |
Century Communities, Inc. | ||||
06/01/2027 | 6.750% | 2,375,000 | 2,379,120 | |
Empire Communities Corp.(a) | ||||
12/15/2025 | 7.000% | 4,225,000 | 4,192,302 | |
KB Home | ||||
06/15/2031 | 4.000% | 1,075,000 | 937,076 | |
M/I Homes, Inc. | ||||
02/01/2028 | 4.950% | 650,000 | 618,462 | |
Mattamy Group Corp.(a) | ||||
03/01/2030 | 4.625% | 4,500,000 | 4,039,248 | |
MDC Holdings, Inc. | ||||
08/06/2061 | 3.966% | 3,540,000 | 2,693,323 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 2,000,000 | 1,970,200 | |
PulteGroup, Inc. | ||||
03/01/2026 | 5.500% | 737,000 | 738,385 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 2,000,000 | 1,972,677 | |
08/01/2030 | 5.125% | 1,114,000 | 1,052,046 | |
Total | 26,097,521 | |||
Independent Energy 0.7% | ||||
Aker BP ASA(a) | ||||
01/15/2030 | 3.750% | 4,800,000 | 4,349,295 | |
01/15/2031 | 4.000% | 6,640,000 | 5,995,558 | |
06/13/2033 | 6.000% | 1,250,000 | 1,270,625 | |
Antero Resources Corp.(a) | ||||
02/01/2029 | 7.625% | 600,000 | 618,149 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a) | ||||
11/01/2026 | 7.000% | 600,000 | 599,716 | |
11/01/2027 | 9.000% | 150,000 | 190,179 | |
12/31/2028 | 8.250% | 2,500,000 | 2,541,407 | |
Canadian Natural Resources Ltd. | ||||
06/30/2033 | 6.450% | 730,000 | 767,507 | |
02/15/2037 | 6.500% | 1,368,000 | 1,424,510 | |
Chesapeake Energy Corp.(a) | ||||
02/01/2026 | 5.500% | 2,000,000 | 1,982,354 | |
Civitas Resources, Inc.(a) | ||||
07/01/2028 | 8.375% | 1,275,000 | 1,334,246 | |
ConocoPhillips Co. | ||||
03/15/2042 | 3.758% | 1,928,000 | 1,561,831 | |
05/15/2053 | 5.300% | 682,000 | 667,378 | |
03/15/2054 | 5.550% | 1,356,000 | 1,371,111 | |
09/15/2063 | 5.700% | 1,370,000 | 1,399,574 | |
Continental Resources, Inc. | ||||
06/01/2024 | 3.800% | 1,683,000 | 1,673,761 | |
Crescent Energy Finance LLC(a) | ||||
05/01/2026 | 7.250% | 892,000 | 888,749 | |
02/15/2028 | 9.250% | 1,485,000 | 1,554,725 | |
Devon Energy Corp. | ||||
09/15/2024 | 5.250% | 78,000 | 77,748 | |
07/15/2041 | 5.600% | 1,875,000 | 1,766,787 | |
Diamondback Energy, Inc. | ||||
12/01/2026 | 3.250% | 1,905,000 | 1,820,817 | |
03/24/2031 | 3.125% | 3,565,000 | 3,124,807 | |
03/15/2033 | 6.250% | 265,000 | 278,498 | |
03/15/2052 | 4.250% | 1,696,000 | 1,345,705 | |
Energean Israel Finance Ltd.(a) | ||||
03/30/2026 | 4.875% | 1,321,000 | 1,238,793 | |
03/30/2028 | 5.375% | 2,518,000 | 2,258,642 | |
Hess Corp. | ||||
04/01/2027 | 4.300% | 1,902,000 | 1,852,501 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hilcorp Energy I LP/Finance Co.(a) | ||||
04/15/2030 | 6.000% | 825,000 | 802,142 | |
02/01/2031 | 6.000% | 1,560,000 | 1,507,203 | |
04/15/2032 | 6.250% | 2,350,000 | 2,284,761 | |
11/01/2033 | 8.375% | 1,455,000 | 1,562,784 | |
Lundin Energy Finance BV(a) | ||||
07/15/2026 | 2.000% | 5,128,000 | 4,723,577 | |
07/15/2031 | 3.100% | 1,575,000 | 1,330,039 | |
Occidental Petroleum Corp. | ||||
07/15/2027 | 8.500% | 213,000 | 231,046 | |
01/01/2031 | 6.125% | 600,000 | 614,630 | |
05/01/2031 | 7.500% | 556,000 | 614,193 | |
03/15/2040 | 6.200% | 1,516,000 | 1,538,797 | |
03/15/2046 | 6.600% | 633,000 | 672,496 | |
Ovintiv, Inc. | ||||
05/15/2028 | 5.650% | 5,513,000 | 5,561,480 | |
07/15/2033 | 6.250% | 543,000 | 558,304 | |
07/15/2053 | 7.100% | 596,000 | 649,602 | |
Permian Resources Operating LLC(a) | ||||
04/15/2027 | 8.000% | 1,600,000 | 1,650,562 | |
Pioneer Natural Resources Co. | ||||
03/29/2026 | 5.100% | 3,350,000 | 3,347,815 | |
Santos Finance Ltd.(a) | ||||
09/19/2033 | 6.875% | 8,790,000 | 9,197,012 | |
Southwestern Energy Co. | ||||
02/01/2029 | 5.375% | 1,675,000 | 1,620,123 | |
02/01/2032 | 4.750% | 1,550,000 | 1,407,524 | |
Var Energi ASA(a) | ||||
05/18/2027 | 5.000% | 4,995,000 | 4,870,250 | |
Total | 88,699,313 | |||
Integrated Energy 0.2% | ||||
BP Capital Markets America, Inc. | ||||
09/11/2033 | 4.893% | 605,000 | 593,440 | |
04/10/2034 | 4.989% | 3,424,000 | 3,368,897 | |
06/04/2051 | 2.939% | 1,396,000 | 917,547 | |
BP Capital Markets PLC(l),(m) | ||||
4.375% | 5,000,000 | 4,927,984 | ||
4.875% | 825,000 | 778,615 | ||
BP Capital Markets PLC(c),(l),(m) | ||||
6.450% | 2,540,000 | 2,552,339 | ||
Cenovus Energy, Inc. | ||||
06/15/2047 | 5.400% | 423,000 | 388,382 | |
02/15/2052 | 3.750% | 3,750,000 | 2,677,046 | |
Chevron Corp. | ||||
05/11/2050 | 3.078% | 1,540,000 | 1,086,390 | |
Exxon Mobil Corp. | ||||
04/15/2051 | 3.452% | 2,735,000 | 2,027,578 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Reliance Industries Ltd.(a) | ||||
01/12/2052 | 3.625% | 1,300,000 | 943,494 | |
Total | 20,261,712 | |||
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 1,450,000 | 1,432,408 | |
08/01/2028 | 4.000% | 1,000,000 | 922,419 | |
05/01/2029 | 6.000% | 325,000 | 317,152 | |
Carnival Holdings Bermuda Ltd.(a) | ||||
05/01/2028 | 10.375% | 600,000 | 654,487 | |
NCL Corp., Ltd.(a) | ||||
03/15/2026 | 5.875% | 700,000 | 683,514 | |
02/15/2027 | 5.875% | 950,000 | 938,661 | |
02/15/2029 | 7.750% | 950,000 | 973,471 | |
NCL Finance Ltd.(a) | ||||
03/15/2028 | 6.125% | 975,000 | 951,193 | |
Royal Caribbean Cruises Ltd.(a) | ||||
08/31/2026 | 5.500% | 275,000 | 271,968 | |
01/15/2029 | 9.250% | 750,000 | 806,763 | |
01/15/2030 | 7.250% | 300,000 | 311,878 | |
Viking Cruises Ltd.(a) | ||||
09/15/2027 | 5.875% | 1,575,000 | 1,542,170 | |
VOC Escrow Ltd.(a) | ||||
02/15/2028 | 5.000% | 1,725,000 | 1,651,273 | |
Total | 11,457,357 | |||
Life Insurance 0.9% | ||||
AIG Global Funding(a) | ||||
09/22/2025 | 0.900% | 3,545,000 | 3,305,318 | |
Athene Global Funding(a) | ||||
02/23/2026 | 5.684% | 3,810,000 | 3,799,968 | |
06/29/2026 | 1.608% | 2,930,000 | 2,661,528 | |
03/08/2027 | 3.205% | 1,430,000 | 1,309,293 | |
03/24/2028 | 2.500% | 1,620,000 | 1,435,220 | |
08/19/2028 | 1.985% | 4,380,000 | 3,752,139 | |
01/07/2029 | 2.717% | 320,000 | 278,589 | |
Athene Holding Ltd. | ||||
01/15/2034 | 5.875% | 4,385,000 | 4,355,053 | |
Brighthouse Financial Global Funding(a) | ||||
01/13/2025 | 1.750% | 3,210,000 | 3,094,858 | |
CNO Global Funding(a) | ||||
01/06/2029 | 2.650% | 5,235,000 | 4,532,573 | |
Corebridge Financial, Inc. | ||||
04/05/2029 | 3.850% | 422,000 | 391,413 | |
04/05/2032 | 3.900% | 3,965,000 | 3,485,804 | |
01/15/2034 | 5.750% | 484,000 | 482,959 | |
Corebridge Financial, Inc.(a) | ||||
09/15/2033 | 6.050% | 991,000 | 1,012,494 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Corebridge Financial, Inc.(l) | ||||
12/15/2052 | 6.875% | 1,687,000 | 1,685,138 | |
Equitable Financial Life Global Funding(a) | ||||
12/02/2025 | 5.500% | 4,165,000 | 4,158,175 | |
F&G Global Funding(a) | ||||
07/07/2025 | 5.150% | 4,475,000 | 4,390,274 | |
GA Global Funding Trust(a) | ||||
01/06/2027 | 2.250% | 5,780,000 | 5,252,060 | |
01/08/2029 | 5.500% | 900,000 | 888,785 | |
Great-West Lifeco US Finance 2020 LP(a) | ||||
08/12/2025 | 0.904% | 4,190,000 | 3,927,572 | |
Hill City Funding Trust(a) | ||||
08/15/2041 | 4.046% | 2,750,000 | 1,982,439 | |
Jackson National Life Global Funding(a) | ||||
01/12/2025 | 1.750% | 2,715,000 | 2,622,115 | |
04/12/2028 | 5.250% | 1,200,000 | 1,160,897 | |
Lincoln National Corp. | ||||
01/15/2031 | 3.400% | 6,000,000 | 5,252,317 | |
06/15/2040 | 7.000% | 930,000 | 1,014,062 | |
Metropolitan Life Global Funding I(a) | ||||
08/25/2029 | 4.300% | 4,965,000 | 4,746,547 | |
New York Life Global Funding(a) | ||||
08/01/2031 | 1.850% | 3,755,000 | 2,988,878 | |
01/09/2034 | 5.000% | 6,282,000 | 6,169,566 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 2,907,000 | 2,214,736 | |
Northwestern Mutual Global Funding(a) | ||||
06/01/2028 | 1.700% | 1,265,000 | 1,101,265 | |
06/12/2028 | 4.900% | 5,740,000 | 5,685,697 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
03/30/2051 | 3.450% | 372,000 | 262,441 | |
09/30/2059 | 3.625% | 132,000 | 92,551 | |
Pine Street Trust II(a) | ||||
02/15/2049 | 5.568% | 1,890,000 | 1,755,439 | |
Protective Life Global Funding(a) | ||||
01/13/2025 | 1.646% | 2,970,000 | 2,874,592 | |
Reliance Standard Life Global Funding II(a) | ||||
05/07/2025 | 2.750% | 4,340,000 | 4,181,019 | |
RGA Global Funding(a) | ||||
01/18/2029 | 2.700% | 3,655,000 | 3,216,580 | |
01/11/2031 | 5.500% | 2,610,000 | 2,574,480 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 2,791,000 | 2,535,160 | |
05/15/2047 | 4.270% | 4,785,000 | 3,937,414 | |
05/15/2050 | 3.300% | 4,490,000 | 3,136,860 | |
Total | 113,704,268 | |||
Lodging 0.1% | ||||
Hyatt Hotels Corp. | ||||
01/30/2027 | 5.750% | 2,780,000 | 2,813,285 | |
Marriott International, Inc. | ||||
05/15/2029 | 4.875% | 575,000 | 567,286 | |
10/15/2032 | 3.500% | 3,400,000 | 2,965,547 | |
05/15/2034 | 5.300% | 2,859,000 | 2,813,949 | |
Total | 9,160,067 | |||
Media and Entertainment 0.4% | ||||
Diamond Sports Group LLC/Finance Co.(a),(n) | ||||
08/15/2026 | 0.000% | 7,810,000 | 464,188 | |
08/15/2027 | 0.000% | 825,000 | 48,219 | |
Discovery Communications LLC | ||||
05/15/2049 | 5.300% | 1,063,000 | 866,965 | |
09/15/2055 | 4.000% | 1,298,000 | 859,218 | |
Fox Corp. | ||||
10/13/2033 | 6.500% | 7,975,000 | 8,375,330 | |
Gray Television, Inc.(a) | ||||
07/15/2026 | 5.875% | 900,000 | 854,250 | |
05/15/2027 | 7.000% | 1,675,000 | 1,512,997 | |
Interpublic Group of Companies, Inc. (The) | ||||
04/15/2024 | 4.200% | 333,000 | 332,165 | |
Meta Platforms, Inc. | ||||
08/15/2027 | 3.500% | 773,000 | 741,138 | |
08/15/2052 | 4.450% | 3,297,000 | 2,881,551 | |
08/15/2062 | 4.650% | 266,000 | 234,615 | |
05/15/2063 | 5.750% | 2,469,000 | 2,584,915 | |
Netflix, Inc. | ||||
11/15/2028 | 5.875% | 1,545,000 | 1,600,663 | |
Prosus NV(a) | ||||
01/19/2052 | 4.987% | 2,505,000 | 1,837,768 | |
Take-Two Interactive Software, Inc. | ||||
03/28/2028 | 4.950% | 3,645,000 | 3,614,655 | |
Univision Communications, Inc.(a) | ||||
05/01/2029 | 4.500% | 1,690,000 | 1,480,077 | |
Viacom, Inc. | ||||
03/15/2043 | 4.375% | 71,000 | 47,560 | |
09/01/2043 | 5.850% | 979,000 | 791,984 | |
ViacomCBS, Inc. | ||||
05/19/2032 | 4.200% | 449,000 | 365,918 | |
05/19/2050 | 4.950% | 469,000 | 335,955 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Warnermedia Holdings, Inc. | ||||
03/15/2027 | 3.755% | 2,401,000 | 2,272,377 | |
03/15/2032 | 4.279% | 30,000 | 26,476 | |
03/15/2042 | 5.050% | 7,354,000 | 6,172,252 | |
03/15/2052 | 5.141% | 16,521,000 | 13,414,988 | |
03/15/2062 | 5.391% | 713,000 | 573,902 | |
Total | 52,290,126 | |||
Metals and Mining 0.3% | ||||
Anglo American Capital PLC(a) | ||||
03/17/2028 | 2.250% | 530,000 | 467,053 | |
05/02/2033 | 5.500% | 1,299,000 | 1,278,164 | |
AngloGold Ashanti Holdings PLC | ||||
10/01/2030 | 3.750% | 1,800,000 | 1,557,895 | |
Arsenal AIC Parent LLC(a) | ||||
10/01/2031 | 11.500% | 735,000 | 808,515 | |
BHP Billiton Finance USA Ltd. | ||||
09/08/2030 | 5.250% | 1,162,000 | 1,171,900 | |
02/28/2033 | 4.900% | 752,000 | 741,736 | |
09/08/2033 | 5.250% | 1,395,000 | 1,400,363 | |
Cleveland-Cliffs, Inc.(a) | ||||
04/15/2030 | 6.750% | 1,470,000 | 1,459,312 | |
CSN Resources SA(a) | ||||
12/05/2030 | 8.875% | 3,275,000 | 3,352,323 | |
First Quantum Minerals Ltd.(a) | ||||
04/01/2025 | 7.500% | 1,275,000 | 1,275,000 | |
03/01/2029 | 9.375% | 630,000 | 653,243 | |
Freeport-McMoRan, Inc. | ||||
11/14/2034 | 5.400% | 5,000,000 | 4,855,333 | |
Hecla Mining Co. | ||||
02/15/2028 | 7.250% | 675,000 | 673,615 | |
Kinross Gold Corp. | ||||
07/15/2027 | 4.500% | 1,239,000 | 1,204,122 | |
Mineral Resources Ltd.(a) | ||||
10/01/2028 | 9.250% | 1,000,000 | 1,050,190 | |
Newmont Corp. | ||||
10/01/2030 | 2.250% | 10,077,000 | 8,426,854 | |
Northern Star Resources Ltd.(a) | ||||
04/11/2033 | 6.125% | 2,105,000 | 2,103,360 | |
Novelis Corp.(a) | ||||
01/30/2030 | 4.750% | 1,755,000 | 1,606,702 | |
Nucor Corp. | ||||
05/23/2027 | 4.300% | 690,000 | 674,220 | |
05/01/2028 | 3.950% | 1,500,000 | 1,449,346 | |
Southern Copper Corp. | ||||
04/23/2025 | 3.875% | 600,000 | 588,084 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Steel Dynamics, Inc. | ||||
06/15/2025 | 2.400% | 491,000 | 471,664 | |
10/15/2027 | 1.650% | 747,000 | 663,979 | |
01/15/2031 | 3.250% | 1,510,000 | 1,338,140 | |
Total | 39,271,113 | |||
Midstream 1.1% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
08/20/2026 | 5.875% | 2,300,000 | 2,229,216 | |
Antero Midstream Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.750% | 1,300,000 | 1,274,315 | |
02/01/2032 | 6.625% | 1,455,000 | 1,449,899 | |
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 42,000 | 39,369 | |
Cheniere Energy Partners LP(a) | ||||
06/30/2033 | 5.950% | 1,534,000 | 1,540,105 | |
Colonial Enterprises, Inc.(a) | ||||
05/15/2030 | 3.250% | 3,505,000 | 3,123,156 | |
Colorado Interstate Gas Co. LLC/Issuing Corp.(a) | ||||
08/15/2026 | 4.150% | 2,290,000 | 2,209,654 | |
Columbia Pipelines Holding Co. LLC(a) | ||||
08/15/2028 | 6.042% | 575,000 | 585,370 | |
Columbia Pipelines Operating Co. LLC(a) | ||||
11/15/2033 | 6.036% | 9,315,000 | 9,568,061 | |
Crestwood Midstream Partners LP/Finance Corp.(a) | ||||
05/01/2027 | 5.625% | 1,375,000 | 1,362,936 | |
DT Midstream, Inc.(a) | ||||
06/15/2031 | 4.375% | 1,795,000 | 1,617,980 | |
EIG Pearl Holdings Sarl(a) | ||||
08/31/2036 | 3.545% | 1,400,000 | 1,189,216 | |
08/31/2036 | 3.545% | 900,000 | 764,496 | |
Enbridge, Inc.(l) | ||||
07/15/2080 | 5.750% | 1,213,000 | 1,131,719 | |
01/15/2084 | 8.500% | 3,925,000 | 4,196,657 | |
Energy Transfer LP | ||||
05/15/2034 | 5.550% | 1,892,000 | 1,873,213 | |
05/15/2054 | 5.950% | 1,578,000 | 1,543,123 | |
Energy Transfer Operating LP | ||||
05/15/2050 | 5.000% | 3,140,000 | 2,707,464 | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 134,000 | 124,976 | |
06/15/2038 | 5.800% | 646,000 | 637,556 | |
10/01/2043 | 5.950% | 280,000 | 272,918 | |
03/15/2045 | 5.150% | 1,625,000 | 1,450,003 | |
06/15/2048 | 6.000% | 173,000 | 169,354 | |
EnLink Midstream LLC(a) | ||||
09/01/2030 | 6.500% | 1,520,000 | 1,558,406 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Enterprise Products Operating LLC | ||||
01/31/2034 | 4.850% | 6,520,000 | 6,349,983 | |
05/15/2046 | 4.900% | 1,400,000 | 1,278,071 | |
Enterprise Products Operating LLC(b) | ||||
3-month Term SOFR + 3.248% 08/16/2077 | 8.573% | 324,000 | 322,231 | |
Ferrellgas LP/Finance Corp.(a) | ||||
04/01/2029 | 5.875% | 325,000 | 308,692 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 726,271 | 622,972 | |
09/30/2040 | 2.940% | 419,904 | 335,134 | |
Greensaif Pipelines Bidco Sarl(a) | ||||
02/23/2038 | 6.129% | 500,000 | 506,632 | |
02/23/2042 | 6.510% | 975,000 | 996,923 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2024 | 4.250% | 482,000 | 478,050 | |
03/15/2032 | 7.750% | 635,000 | 714,587 | |
09/01/2039 | 6.500% | 1,000,000 | 1,029,670 | |
03/01/2043 | 5.000% | 531,000 | 462,547 | |
MPLX LP | ||||
12/01/2024 | 4.875% | 325,000 | 323,100 | |
06/01/2025 | 4.875% | 200,000 | 198,132 | |
03/01/2026 | 1.750% | 335,000 | 312,492 | |
03/15/2028 | 4.000% | 2,434,000 | 2,330,980 | |
03/01/2047 | 5.200% | 1,500,000 | 1,347,057 | |
NGPL PipeCo LLC(a) | ||||
08/15/2027 | 4.875% | 412,000 | 401,795 | |
Northern Natural Gas Co.(a) | ||||
10/16/2051 | 3.400% | 496,000 | 341,152 | |
ONEOK Partners LP | ||||
09/15/2043 | 6.200% | 721,000 | 735,892 | |
ONEOK, Inc. | ||||
01/15/2026 | 5.850% | 504,000 | 508,450 | |
09/01/2033 | 6.050% | 4,230,000 | 4,358,520 | |
09/15/2046 | 4.250% | 320,000 | 249,334 | |
03/15/2050 | 4.500% | 6,830,000 | 5,464,065 | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 1,807,000 | 1,782,421 | |
06/01/2042 | 5.150% | 2,185,000 | 1,928,055 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 2,435,000 | 2,277,583 | |
05/15/2030 | 4.800% | 1,500,000 | 1,389,495 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 2,472,000 | 2,454,433 | |
03/15/2028 | 4.200% | 102,000 | 98,419 | |
Southern Natural Gas Co. LLC | ||||
02/15/2031 | 7.350% | 2,910,000 | 3,079,170 | |
Sunoco Logistics Partners Operations LP | ||||
04/01/2044 | 5.300% | 1,239,000 | 1,121,959 | |
10/01/2047 | 5.400% | 3,041,000 | 2,750,170 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
01/15/2028 | 5.500% | 142,000 | 134,879 | |
Targa Resources Corp. | ||||
02/01/2033 | 4.200% | 448,000 | 403,090 | |
03/30/2034 | 6.500% | 5,670,000 | 6,019,990 | |
04/15/2052 | 4.950% | 472,000 | 403,892 | |
07/01/2052 | 6.250% | 753,000 | 762,230 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2031 | 4.875% | 1,189,000 | 1,128,300 | |
TMS Issuer Sarl(a) | ||||
08/23/2032 | 5.780% | 1,030,000 | 1,056,837 | |
TransCanada PipeLines Ltd. | ||||
03/01/2034 | 4.625% | 3,280,000 | 3,040,252 | |
03/15/2036 | 5.850% | 185,000 | 184,866 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 647,000 | 582,137 | |
03/15/2048 | 4.600% | 4,875,000 | 4,262,727 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 1,500,000 | 1,398,389 | |
Venture Global Calcasieu Pass LLC(a) | ||||
08/15/2029 | 3.875% | 750,000 | 673,114 | |
08/15/2031 | 4.125% | 3,250,000 | 2,853,053 | |
Venture Global LNG, Inc.(a) | ||||
02/01/2029 | 9.500% | 1,434,000 | 1,529,082 | |
06/01/2031 | 8.375% | 1,585,000 | 1,603,413 | |
Western Gas Partners LP | ||||
08/15/2028 | 4.750% | 768,000 | 742,502 | |
03/01/2048 | 5.300% | 2,930,000 | 2,527,151 | |
Williams Companies, Inc. (The) | ||||
01/15/2025 | 3.900% | 1,050,000 | 1,035,021 | |
09/15/2025 | 4.000% | 2,327,000 | 2,281,673 | |
03/15/2029 | 4.900% | 440,000 | 434,543 | |
03/15/2032 | 8.750% | 3,486,000 | 4,148,711 | |
Williams Companies., Inc. (The) | ||||
03/02/2026 | 5.400% | 3,250,000 | 3,257,566 | |
Williams Partners LP | ||||
03/04/2024 | 4.300% | 2,787,000 | 2,786,506 | |
03/04/2044 | 5.400% | 263,000 | 246,371 | |
Total | 132,973,623 | |||
Natural Gas 0.1% | ||||
Boston Gas Co.(a) | ||||
08/01/2027 | 3.150% | 1,472,000 | 1,365,968 | |
KeySpan Corp. | ||||
11/15/2030 | 8.000% | 670,000 | 747,933 | |
KeySpan Gas East Corp.(a) | ||||
03/06/2033 | 5.994% | 4,625,000 | 4,602,785 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NiSource, Inc. | ||||
02/15/2031 | 1.700% | 605,000 | 479,938 | |
06/30/2033 | 5.400% | 930,000 | 928,702 | |
ONE Gas, Inc. | ||||
03/11/2024 | 1.100% | 696,000 | 695,004 | |
Piedmont Natural Gas Co., Inc. | ||||
06/15/2033 | 5.400% | 455,000 | 456,348 | |
South Jersey Industries, Inc. | ||||
Junior Subordinated | ||||
04/15/2031 | 5.020% | 1,422,000 | 1,140,021 | |
Southern Co. Gas Capital Corp. | ||||
09/15/2032 | 5.150% | 5,715,000 | 5,664,143 | |
05/30/2047 | 4.400% | 443,000 | 359,499 | |
Southwest Gas Corp. | ||||
08/15/2051 | 3.180% | 2,930,000 | 1,879,961 | |
Washington Gas Light Co. | ||||
09/15/2049 | 3.650% | 587,000 | 432,605 | |
Total | 18,752,907 | |||
Office REIT 0.1% | ||||
Alexandria Real Estate Equities, Inc. | ||||
05/15/2054 | 5.625% | 6,290,000 | 6,053,305 | |
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 3,283,000 | 2,836,551 | |
02/15/2028 | 5.950% | 3,290,000 | 2,958,525 | |
04/01/2029 | 4.650% | 950,000 | 791,532 | |
01/15/2030 | 3.250% | 1,665,000 | 1,251,454 | |
Kilroy Realty LP | ||||
11/15/2033 | 2.650% | 1,710,000 | 1,245,810 | |
Piedmont Operating Partnership LP | ||||
08/15/2030 | 3.150% | 1,675,000 | 1,285,112 | |
04/01/2032 | 2.750% | 2,339,000 | 1,652,973 | |
Total | 18,075,262 | |||
Oil Field Services 0.0% | ||||
Schlumberger Holdings Corp.(a) | ||||
05/17/2028 | 3.900% | 2,053,000 | 1,966,917 | |
Schlumberger Investment SA | ||||
06/26/2030 | 2.650% | 817,000 | 717,989 | |
Total | 2,684,906 | |||
Other Financial Institutions 0.1% | ||||
Five Point Operating Co. LP/Capital Corp.(a),(l) | ||||
01/15/2028 | 10.500% | 1,973,028 | 2,017,144 | |
Greystone Commercial Capital Trust(a),(b),(h),(k) | ||||
1-month USD LIBOR + 2.270% 05/31/2025 | 7.704% | 9,200,000 | 7,912,000 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Howard Hughes Corp. (The)(a) | ||||
08/01/2028 | 5.375% | 500,000 | 471,955 | |
02/01/2031 | 4.375% | 750,000 | 640,886 | |
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 1,097,000 | 1,007,294 | |
02/01/2029 | 4.375% | 347,000 | 292,682 | |
Icahn Enterprises LP/Finance Corp.(a) | ||||
01/15/2029 | 9.750% | 978,000 | 1,022,992 | |
LeasePlan Corp NV(a) | ||||
10/24/2024 | 2.875% | 3,440,000 | 3,366,854 | |
ORIX Corp. | ||||
12/04/2024 | 3.250% | 1,560,000 | 1,531,959 | |
Total | 18,263,766 | |||
Other Industry 0.1% | ||||
Adtalem Global Education, Inc.(a) | ||||
03/01/2028 | 5.500% | 736,000 | 700,411 | |
AECOM | ||||
03/15/2027 | 5.125% | 710,000 | 695,329 | |
Gohl Capital Ltd.(a) | ||||
01/24/2027 | 4.250% | 1,050,000 | 1,006,962 | |
Massachusetts Institute of Technology | ||||
07/01/2114 | 4.678% | 758,000 | 691,307 | |
07/01/2116 | 3.885% | 1,850,000 | 1,394,179 | |
Northwestern University | ||||
12/01/2057 | 3.662% | 1,350,000 | 1,064,221 | |
President and Fellows of Harvard College | ||||
07/15/2046 | 3.150% | 3,031,000 | 2,266,764 | |
07/15/2056 | 3.300% | 2,230,000 | 1,651,703 | |
Trustees of the University of Pennsylvania (The) | ||||
09/01/2112 | 4.674% | 1,620,000 | 1,453,906 | |
University of Southern California | ||||
10/01/2039 | 3.028% | 4,525,000 | 3,575,947 | |
Total | 14,500,729 | |||
Other REIT 0.2% | ||||
American Assets Trust LP | ||||
02/01/2031 | 3.375% | 3,115,000 | 2,519,663 | |
CubeSmart LP | ||||
12/15/2028 | 2.250% | 959,000 | 834,169 | |
Extra Space Storage LP | ||||
12/15/2027 | 3.875% | 160,000 | 151,934 | |
04/01/2029 | 3.900% | 563,000 | 525,525 | |
06/15/2029 | 4.000% | 570,000 | 534,910 | |
10/15/2030 | 2.200% | 2,263,000 | 1,849,565 | |
10/15/2031 | 2.400% | 670,000 | 541,210 | |
03/15/2032 | 2.350% | 2,219,000 | 1,759,275 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Host Hotels & Resorts LP | ||||
06/15/2025 | 4.000% | 1,050,000 | 1,028,521 | |
02/01/2026 | 4.500% | 520,000 | 508,983 | |
Ladder Capital Finance Holdings LLLP/Corp.(a) | ||||
06/15/2029 | 4.750% | 1,745,000 | 1,564,404 | |
Lexington Realty Trust | ||||
10/01/2031 | 2.375% | 3,805,000 | 3,016,399 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
06/01/2025 | 7.500% | 2,150,000 | 2,161,069 | |
Prologis LP | ||||
03/15/2054 | 5.250% | 1,165,000 | 1,115,777 | |
Prologis Targeted US Logistics Fund LP(a),(c) | ||||
04/01/2029 | 5.250% | 3,172,000 | 3,155,410 | |
04/01/2034 | 5.500% | 636,000 | 631,408 | |
Rexford Industrial Realty LP | ||||
09/01/2031 | 2.150% | 3,832,000 | 3,026,304 | |
Sun Communities Operating LP | ||||
01/15/2029 | 5.500% | 963,000 | 953,836 | |
WP Carey, Inc. | ||||
04/01/2033 | 2.250% | 4,080,000 | 3,097,856 | |
XHR LP(a) | ||||
06/01/2029 | 4.875% | 1,625,000 | 1,501,219 | |
Total | 30,477,437 | |||
Other Utility 0.1% | ||||
American Water Capital Corp. | ||||
03/01/2034 | 5.150% | 915,000 | 907,397 | |
03/01/2054 | 5.450% | 8,827,000 | 8,691,133 | |
Essential Utilities, Inc. | ||||
01/15/2034 | 5.375% | 726,000 | 713,268 | |
Total | 10,311,798 | |||
Packaging 0.2% | ||||
Amcor Flexibles North America, Inc. | ||||
05/17/2025 | 4.000% | 2,085,000 | 2,044,865 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2027 | 5.250% | 3,000,000 | 2,175,295 | |
08/15/2027 | 5.250% | 325,000 | 234,459 | |
Ball Corp. | ||||
03/15/2026 | 4.875% | 600,000 | 594,216 | |
06/15/2029 | 6.000% | 1,800,000 | 1,809,698 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 1,680,000 | 1,642,061 | |
Berry Global, Inc. | ||||
01/15/2026 | 1.570% | 3,261,000 | 3,037,923 | |
01/15/2027 | 1.650% | 1,273,000 | 1,150,367 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Berry Global, Inc.(a) | ||||
04/15/2028 | 5.500% | 6,438,000 | 6,401,894 | |
01/15/2034 | 5.650% | 1,600,000 | 1,579,153 | |
Owens-Brockway Glass Container, Inc.(a) | ||||
05/15/2031 | 7.250% | 1,455,000 | 1,472,178 | |
Pactiv Evergreen Group Issuer LLC/Inc.(a) | ||||
10/15/2028 | 4.375% | 2,725,000 | 2,537,373 | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 425,000 | 396,035 | |
Sealed Air Corp.(a) | ||||
10/15/2026 | 1.573% | 857,000 | 771,188 | |
02/01/2028 | 6.125% | 225,000 | 224,527 | |
02/15/2031 | 7.250% | 895,000 | 924,825 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2027 | 8.500% | 280,000 | 272,913 | |
Total | 27,268,970 | |||
Paper 0.1% | ||||
Cascades, Inc./USA(a) | ||||
01/15/2028 | 5.375% | 1,515,000 | 1,464,764 | |
Celulosa Arauco y Constitucion SA | ||||
11/02/2027 | 3.875% | 700,000 | 656,426 | |
Celulosa Arauco y Constitucion SA(a) | ||||
04/30/2029 | 4.250% | 500,000 | 453,641 | |
Inversiones CMPC SA(a) | ||||
02/26/2034 | 6.125% | 1,500,000 | 1,516,437 | |
Packaging Corp. of America | ||||
12/01/2033 | 5.700% | 914,000 | 934,747 | |
Suzano Austria GmbH | ||||
01/15/2029 | 6.000% | 275,000 | 275,047 | |
01/15/2030 | 5.000% | 825,000 | 785,059 | |
01/15/2031 | 3.750% | 1,000,000 | 873,722 | |
Weyerhaeuser Co. | ||||
05/15/2026 | 4.750% | 481,000 | 475,262 | |
Total | 7,435,105 | |||
Pharmaceuticals 1.1% | ||||
1375209 BC Ltd.(a) | ||||
01/30/2028 | 9.000% | 2,010,000 | 1,963,377 | |
AbbVie, Inc. | ||||
11/21/2026 | 2.950% | 838,000 | 794,669 | |
11/21/2029 | 3.200% | 614,000 | 561,760 | |
03/15/2031 | 4.950% | 2,262,000 | 2,261,870 | |
03/15/2034 | 5.050% | 1,372,000 | 1,378,469 | |
03/15/2035 | 4.550% | 4,650,000 | 4,457,898 | |
05/14/2035 | 4.500% | 2,175,000 | 2,076,035 | |
05/14/2036 | 4.300% | 1,926,000 | 1,792,963 | |
11/21/2039 | 4.050% | 7,356,000 | 6,456,460 | |
10/01/2042 | 4.625% | 1,000,000 | 914,998 | |
03/15/2044 | 5.350% | 830,000 | 836,915 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/14/2045 | 4.700% | 680,000 | 627,031 | |
11/21/2049 | 4.250% | 2,155,000 | 1,855,354 | |
03/15/2054 | 5.400% | 7,804,000 | 7,923,940 | |
03/15/2064 | 5.500% | 645,000 | 652,088 | |
Amgen, Inc. | ||||
03/02/2033 | 5.250% | 2,735,000 | 2,726,872 | |
03/02/2043 | 5.600% | 8,877,000 | 8,905,875 | |
02/22/2052 | 4.200% | 345,000 | 279,444 | |
03/02/2053 | 5.650% | 643,000 | 643,326 | |
03/02/2063 | 5.750% | 1,057,000 | 1,057,429 | |
Astrazeneca Finance LLC | ||||
02/26/2031 | 4.900% | 2,262,000 | 2,256,769 | |
02/26/2034 | 5.000% | 7,990,000 | 8,019,592 | |
Bausch Health Companies, Inc.(a) | ||||
01/30/2028 | 5.000% | 1,100,000 | 492,660 | |
02/15/2029 | 5.000% | 100,000 | 44,090 | |
02/15/2029 | 6.250% | 3,475,000 | 1,596,517 | |
01/30/2030 | 5.250% | 1,200,000 | 520,830 | |
02/15/2031 | 5.250% | 1,200,000 | 519,805 | |
Bayer US Finance II LLC(a) | ||||
12/15/2028 | 4.375% | 5,945,000 | 5,535,994 | |
06/25/2038 | 4.625% | 1,515,000 | 1,242,940 | |
07/15/2044 | 4.400% | 2,799,000 | 2,103,523 | |
06/25/2048 | 4.875% | 3,505,000 | 2,766,840 | |
Bayer US Finance LLC(a) | ||||
10/08/2024 | 3.375% | 520,000 | 511,387 | |
11/21/2033 | 6.500% | 9,425,000 | 9,430,237 | |
Bristol Myers Squibb Co. | ||||
06/15/2039 | 4.125% | 304,000 | 264,933 | |
Bristol-Myers Squibb Co. | ||||
08/15/2025 | 3.875% | 74,000 | 72,656 | |
02/22/2031 | 5.100% | 5,123,000 | 5,138,732 | |
05/15/2044 | 4.625% | 555,000 | 502,362 | |
11/15/2053 | 6.250% | 853,000 | 946,467 | |
11/15/2063 | 6.400% | 1,122,000 | 1,251,452 | |
02/22/2064 | 5.650% | 956,000 | 965,101 | |
CSL Finance PLC(a) | ||||
04/27/2029 | 4.050% | 926,000 | 882,945 | |
04/27/2062 | 4.950% | 402,000 | 363,793 | |
Eli Lilly & Co. | ||||
02/09/2034 | 4.700% | 911,000 | 899,540 | |
02/09/2054 | 5.000% | 7,666,000 | 7,555,891 | |
Grifols Escrow Issuer SA(a) | ||||
10/15/2028 | 4.750% | 962,000 | 797,152 | |
Jazz Securities DAC(a) | ||||
01/15/2029 | 4.375% | 963,000 | 886,795 | |
Kevlar SpA(a) | ||||
09/01/2029 | 6.500% | 2,240,000 | 2,016,010 | |
Merck & Co., Inc. | ||||
05/17/2033 | 4.500% | 717,000 | 697,428 | |
05/17/2044 | 4.900% | 694,000 | 666,238 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mylan NV | ||||
06/15/2046 | 5.250% | 842,000 | 691,639 | |
Mylan, Inc. | ||||
04/15/2048 | 5.200% | 2,550,000 | 2,088,122 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 1,750,000 | 1,599,875 | |
04/30/2031 | 5.125% | 1,725,000 | 1,476,689 | |
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2030 | 4.650% | 793,000 | 780,153 | |
05/19/2033 | 4.750% | 3,358,000 | 3,272,227 | |
05/19/2043 | 5.110% | 653,000 | 628,016 | |
05/19/2053 | 5.300% | 1,598,000 | 1,565,101 | |
05/19/2063 | 5.340% | 4,959,000 | 4,777,705 | |
Roche Holdings, Inc.(a) | ||||
11/13/2030 | 5.489% | 2,205,000 | 2,271,643 | |
11/13/2033 | 5.593% | 495,000 | 517,158 | |
Royalty Pharma PLC | ||||
09/02/2025 | 1.200% | 385,000 | 360,497 | |
09/02/2027 | 1.750% | 489,000 | 434,727 | |
09/02/2030 | 2.200% | 2,243,000 | 1,846,278 | |
09/02/2040 | 3.300% | 1,627,000 | 1,191,867 | |
Viatris, Inc. | ||||
06/22/2030 | 2.700% | 1,117,000 | 939,600 | |
06/22/2040 | 3.850% | 5,417,000 | 3,976,360 | |
06/22/2050 | 4.000% | 1,710,000 | 1,165,168 | |
Total | 136,698,277 | |||
Property & Casualty 0.5% | ||||
Alleghany Corp. | ||||
09/15/2044 | 4.900% | 1,365,000 | 1,278,309 | |
08/15/2051 | 3.250% | 644,000 | 449,238 | |
American International Group, Inc. | ||||
04/01/2028 | 4.200% | 1,562,000 | 1,517,047 | |
06/30/2030 | 3.400% | 1,270,000 | 1,146,323 | |
03/27/2033 | 5.125% | 2,790,000 | 2,750,705 | |
Aon Corp./Global Holdings PLC | ||||
12/02/2031 | 2.600% | 4,495,000 | 3,736,931 | |
Arch Capital Finance LLC | ||||
12/15/2046 | 5.031% | 970,000 | 891,779 | |
Arthur J Gallagher & Co. | ||||
07/15/2034 | 5.450% | 916,000 | 912,652 | |
02/15/2054 | 6.750% | 223,000 | 249,719 | |
07/15/2054 | 5.750% | 656,000 | 650,347 | |
Arthur J. Gallagher & Co. | ||||
03/09/2052 | 3.050% | 6,725,000 | 4,265,175 | |
03/02/2053 | 5.750% | 667,000 | 656,684 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 3,828,000 | 3,623,177 | |
02/15/2034 | 5.125% | 1,882,000 | 1,818,366 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fairfax Financial Holdings Ltd. | ||||
03/03/2031 | 3.375% | 6,300,000 | 5,448,345 | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 800,000 | 805,852 | |
07/15/2048 | 7.200% | 1,290,000 | 1,268,702 | |
Farmers Exchange Capital II(a),(l) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 2,700,000 | 2,485,606 | |
Farmers Insurance Exchange(a) | ||||
05/01/2024 | 8.625% | 1,165,000 | 1,169,040 | |
Hartford Financial Services Group Inc. (The)(a),(b) | ||||
3-month Term SOFR + 2.387% 02/12/2047 | 7.694% | 1,501,000 | 1,296,502 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/15/2036 | 5.950% | 283,000 | 292,611 | |
Liberty Mutual Group, Inc.(a) | ||||
10/15/2050 | 3.951% | 2,080,000 | 1,560,964 | |
05/15/2060 | 3.950% | 875,000 | 626,692 | |
Markel Corp. | ||||
05/20/2049 | 5.000% | 5,095,000 | 4,616,901 | |
Marsh & McLennan Cos, Inc. | ||||
09/15/2053 | 5.700% | 1,500,000 | 1,553,553 | |
Marsh & McLennan Cos., Inc. | ||||
03/15/2054 | 5.450% | 465,000 | 462,077 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month Term SOFR + 2.552% 12/15/2024 | 7.936% | 5,725,000 | 5,743,921 | |
PartnerRe Finance B LLC(l) | ||||
10/01/2050 | 4.500% | 1,117,000 | 1,000,668 | |
Radian Group, Inc.(c) | ||||
05/15/2029 | 6.200% | 3,480,000 | 3,488,624 | |
Swiss Re Treasury US Corp.(a) | ||||
12/06/2042 | 4.250% | 662,000 | 554,409 | |
Trustage Financial Group, Inc.(a) | ||||
04/15/2032 | 4.625% | 2,135,000 | 1,837,048 | |
Willis North America, Inc. | ||||
05/15/2033 | 5.350% | 2,000,000 | 1,968,702 | |
Willis North America, Inc.(c) | ||||
03/05/2054 | 5.900% | 4,968,000 | 4,961,622 | |
WR Berkley Corp. | ||||
05/12/2050 | 4.000% | 1,480,000 | 1,139,368 | |
Total | 66,227,659 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Railroads 0.1% | ||||
Burlington Northern Santa Fe LLC | ||||
03/15/2042 | 4.400% | 75,000 | 66,656 | |
03/15/2043 | 4.450% | 505,000 | 448,534 | |
09/01/2043 | 5.150% | 691,000 | 672,796 | |
08/01/2046 | 3.900% | 1,163,000 | 936,004 | |
04/15/2054 | 5.200% | 1,391,000 | 1,359,271 | |
Canadian Pacific Railway Co. | ||||
11/15/2029 | 2.875% | 696,000 | 619,004 | |
05/01/2050 | 3.500% | 3,280,000 | 2,395,227 | |
CSX Corp. | ||||
05/30/2042 | 4.750% | 482,000 | 443,867 | |
Norfolk Southern Corp. | ||||
11/01/2029 | 2.550% | 431,000 | 378,761 | |
08/01/2030 | 5.050% | 708,000 | 707,020 | |
03/15/2034 | 5.550% | 614,000 | 629,847 | |
03/15/2064 | 5.950% | 2,032,000 | 2,140,417 | |
Union Pacific Corp. | ||||
04/15/2047 | 4.000% | 951,000 | 773,025 | |
03/20/2060 | 3.839% | 250,000 | 189,556 | |
05/20/2061 | 3.550% | 285,000 | 203,205 | |
Total | 11,963,190 | |||
Refining 0.1% | ||||
Cosan Luxembourg SA(a) | ||||
06/27/2031 | 7.250% | 1,925,000 | 1,957,386 | |
Marathon Petroleum Corp. | ||||
12/15/2026 | 5.125% | 578,000 | 577,029 | |
03/01/2041 | 6.500% | 136,000 | 144,349 | |
Phillips 66 Co. | ||||
02/15/2045 | 4.680% | 1,300,000 | 1,134,343 | |
06/15/2054 | 5.650% | 6,485,000 | 6,429,295 | |
Raizen Fuels Finance SA(a),(c) | ||||
03/05/2034 | 6.450% | 3,750,000 | 3,797,394 | |
Valero Energy Corp. | ||||
12/01/2031 | 2.800% | 3,235,000 | 2,730,378 | |
Total | 16,770,174 | |||
Restaurants 0.1% | ||||
Brinker International, Inc.(a) | ||||
10/01/2024 | 5.000% | 1,850,000 | 1,836,125 | |
Fertitta Entertainment LLC/Finance Co., Inc.(a) | ||||
01/15/2029 | 4.625% | 1,500,000 | 1,361,866 | |
McDonald’s Corp. | ||||
09/01/2049 | 3.625% | 910,000 | 679,343 | |
Starbucks Corp. | ||||
02/15/2034 | 5.000% | 3,035,000 | 2,986,761 | |
Total | 6,864,095 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Retail REIT 0.1% | ||||
Brixmor Operating Partnership LP | ||||
08/16/2031 | 2.500% | 915,000 | 743,047 | |
Kimco Realty Corp. | ||||
02/01/2033 | 4.600% | 3,780,000 | 3,543,088 | |
Kite Realty Group LP | ||||
10/01/2026 | 4.000% | 320,000 | 303,283 | |
Realty Income Corp. | ||||
08/15/2027 | 3.950% | 193,000 | 186,391 | |
02/15/2034 | 5.125% | 8,057,000 | 7,802,598 | |
Total | 12,578,407 | |||
Retailers 0.3% | ||||
Amazon.com, Inc. | ||||
08/22/2027 | 3.150% | 1,145,000 | 1,086,599 | |
05/12/2031 | 2.100% | 791,000 | 663,782 | |
05/12/2041 | 2.875% | 1,257,000 | 943,831 | |
05/12/2061 | 3.250% | 514,000 | 354,220 | |
Asbury Automotive Group, Inc. | ||||
03/01/2030 | 4.750% | 1,725,000 | 1,570,234 | |
AutoNation, Inc. | ||||
11/15/2024 | 3.500% | 2,185,000 | 2,151,311 | |
10/01/2025 | 4.500% | 2,465,000 | 2,419,807 | |
AutoZone, Inc. | ||||
04/21/2026 | 3.125% | 415,000 | 397,527 | |
11/01/2028 | 6.250% | 533,000 | 554,512 | |
01/15/2031 | 1.650% | 1,175,000 | 934,709 | |
Dick’s Sporting Goods, Inc. | ||||
01/15/2052 | 4.100% | 2,690,000 | 1,889,761 | |
Gap Inc. (The)(a) | ||||
10/01/2029 | 3.625% | 1,550,000 | 1,310,094 | |
Hanesbrands, Inc.(a) | ||||
05/15/2026 | 4.875% | 1,475,000 | 1,424,163 | |
Home Depot Inc (The) | ||||
04/15/2030 | 2.700% | 1,436,000 | 1,270,322 | |
Home Depot, Inc. (The) | ||||
04/15/2029 | 4.900% | 1,317,000 | 1,321,714 | |
Kontoor Brands, Inc.(a) | ||||
11/15/2029 | 4.125% | 475,000 | 427,585 | |
L Brands, Inc. | ||||
07/01/2036 | 6.750% | 1,495,000 | 1,472,389 | |
Lowe’s Companies, Inc. | ||||
07/01/2053 | 5.750% | 730,000 | 737,216 | |
04/01/2062 | 4.450% | 539,000 | 430,907 | |
04/01/2063 | 5.850% | 555,000 | 559,957 | |
Macy’s Retail Holdings LLC | ||||
12/15/2034 | 4.500% | 1,950,000 | 1,606,619 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 1,400,000 | 904,631 | |
O’Reilly Automotive, Inc. | ||||
11/20/2026 | 5.750% | 2,580,000 | 2,616,813 | |
Sally Holdings LLC/Capital, Inc. | ||||
12/01/2025 | 5.625% | 2,525,000 | 2,524,406 | |
03/01/2032 | 6.750% | 2,680,000 | 2,669,793 | |
Sonic Automotive Inc.(a) | ||||
11/15/2031 | 4.875% | 1,815,000 | 1,560,208 | |
Tapestry, Inc. | ||||
11/27/2033 | 7.850% | 1,485,000 | 1,606,708 | |
Tractor Supply Co. | ||||
11/01/2030 | 1.750% | 3,885,000 | 3,128,176 | |
Walmart, Inc. | ||||
04/15/2030 | 4.000% | 1,766,000 | 1,711,243 | |
Total | 40,249,237 | |||
Stranded Utility 0.0% | ||||
Empire District Bondco LLC | ||||
01/01/2037 | 5.091% | 3,300,000 | 3,279,758 | |
Supermarkets 0.0% | ||||
Ahold Finance U.S.A. LLC | ||||
05/01/2029 | 6.875% | 1,800,000 | 1,952,613 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
03/15/2029 | 3.500% | 1,770,000 | 1,576,193 | |
C&S Group Enterprises LLC(a) | ||||
12/15/2028 | 5.000% | 1,125,000 | 890,926 | |
Total | 4,419,732 | |||
Supranational 0.1% | ||||
Inter-American Development Bank | ||||
10/15/2025 | 6.800% | 2,500,000 | 2,567,024 | |
07/15/2027 | 6.750% | 4,000,000 | 4,234,797 | |
Total | 6,801,821 | |||
Technology 1.2% | ||||
Apple, Inc. | ||||
05/11/2050 | 2.650% | 5,095,000 | 3,311,251 | |
Avnet, Inc. | ||||
03/15/2028 | 6.250% | 883,000 | 898,119 | |
06/01/2032 | 5.500% | 841,000 | 807,565 | |
Black Knight InfoServ LLC(a) | ||||
09/01/2028 | 3.625% | 1,500,000 | 1,411,329 | |
Boxer Parent Co., Inc.(a) | ||||
03/01/2026 | 9.125% | 2,500,000 | 2,507,562 | |
Broadcom, Inc. | ||||
10/15/2024 | 3.625% | 320,000 | 316,022 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Broadcom, Inc.(a) | ||||
04/15/2029 | 4.000% | 2,765,000 | 2,616,397 | |
02/15/2031 | 2.450% | 2,435,000 | 2,026,792 | |
11/15/2035 | 3.137% | 4,561,000 | 3,614,964 | |
11/15/2036 | 3.187% | 8,519,000 | 6,657,788 | |
05/15/2037 | 4.926% | 4,155,000 | 3,871,476 | |
CDW LLC/Finance Corp. | ||||
05/01/2025 | 4.125% | 2,500,000 | 2,450,652 | |
12/01/2028 | 3.276% | 3,880,000 | 3,493,300 | |
Cisco Systems, Inc. | ||||
02/26/2027 | 4.800% | 1,227,000 | 1,227,284 | |
02/26/2029 | 4.850% | 1,233,000 | 1,234,973 | |
02/26/2031 | 4.950% | 1,536,000 | 1,537,300 | |
02/26/2034 | 5.050% | 1,557,000 | 1,565,058 | |
02/26/2054 | 5.300% | 3,437,000 | 3,478,013 | |
02/26/2064 | 5.350% | 1,100,000 | 1,108,083 | |
CommScope, Inc.(a) | ||||
09/01/2029 | 4.750% | 1,055,000 | 722,566 | |
Concentrix Corp. | ||||
08/02/2028 | 6.600% | 576,000 | 578,653 | |
08/02/2033 | 6.850% | 1,913,000 | 1,870,683 | |
Condor Merger Sub, Inc.(a) | ||||
02/15/2030 | 7.375% | 1,475,000 | 1,302,741 | |
Constellation Software, Inc.(a) | ||||
02/16/2029 | 5.158% | 1,313,000 | 1,307,962 | |
DXC Technology Co. | ||||
09/15/2028 | 2.375% | 5,845,000 | 5,039,190 | |
Equifax, Inc. | ||||
06/01/2028 | 5.100% | 5,695,000 | 5,660,084 | |
Everi Holdings, Inc.(a) | ||||
07/15/2029 | 5.000% | 1,350,000 | 1,338,164 | |
Fidelity National Information Services, Inc. | ||||
03/01/2041 | 3.100% | 2,890,000 | 2,080,781 | |
Fiserv, Inc. | ||||
07/01/2024 | 2.750% | 699,000 | 691,963 | |
Fiserv, Inc.(c) | ||||
03/15/2027 | 5.150% | 1,364,000 | 1,363,520 | |
03/15/2031 | 5.350% | 4,720,000 | 4,722,756 | |
Flex Ltd. | ||||
01/15/2028 | 6.000% | 2,560,000 | 2,602,146 | |
Global Payments, Inc. | ||||
11/15/2024 | 1.500% | 3,215,000 | 3,120,951 | |
03/01/2026 | 1.200% | 2,536,000 | 2,334,594 | |
08/15/2052 | 5.950% | 1,163,000 | 1,143,062 | |
GTCR W-2 Merger Sub LLC(a) | ||||
01/15/2031 | 7.500% | 375,000 | 391,066 | |
HP, Inc. | ||||
06/17/2031 | 2.650% | 909,000 | 758,519 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
IBM International Capital Pte., Ltd. | ||||
02/05/2031 | 4.750% | 1,854,000 | 1,806,717 | |
02/05/2044 | 5.250% | 1,884,000 | 1,805,249 | |
02/05/2054 | 5.300% | 1,082,000 | 1,038,412 | |
Imola Merger Corp.(a) | ||||
05/15/2029 | 4.750% | 1,680,000 | 1,557,085 | |
Intel Corp. | ||||
08/05/2027 | 3.750% | 749,000 | 721,883 | |
02/10/2030 | 5.125% | 1,202,000 | 1,211,477 | |
08/12/2041 | 2.800% | 1,687,000 | 1,195,312 | |
02/10/2053 | 5.700% | 699,000 | 706,379 | |
02/21/2054 | 5.600% | 1,555,000 | 1,554,736 | |
08/12/2061 | 3.200% | 671,000 | 431,686 | |
International Business Machines Corp. | ||||
07/27/2027 | 4.150% | 790,000 | 769,724 | |
05/15/2029 | 3.500% | 928,000 | 866,219 | |
Intuit, Inc. | ||||
09/15/2028 | 5.125% | 2,311,000 | 2,338,838 | |
09/15/2033 | 5.200% | 1,934,000 | 1,953,320 | |
09/15/2053 | 5.500% | 2,562,000 | 2,641,990 | |
KLA Corp. | ||||
02/01/2034 | 4.700% | 720,000 | 701,157 | |
07/15/2062 | 5.250% | 895,000 | 869,598 | |
Leidos, Inc. | ||||
02/15/2031 | 2.300% | 845,000 | 692,268 | |
Marvell Technology, Inc. | ||||
02/15/2029 | 5.750% | 815,000 | 830,466 | |
Micron Technology, Inc. | ||||
11/01/2029 | 6.750% | 5,040,000 | 5,348,886 | |
Microsoft Corp.(a) | ||||
09/15/2050 | 2.500% | 492,000 | 312,173 | |
Microsoft Corp. | ||||
03/17/2052 | 2.921% | 811,000 | 559,780 | |
03/17/2062 | 3.041% | 4,290,000 | 2,917,193 | |
NCR Atleos Escrow Corp.(a) | ||||
04/01/2029 | 9.500% | 1,994,000 | 2,118,075 | |
NetApp, Inc. | ||||
06/22/2025 | 1.875% | 1,845,000 | 1,759,185 | |
NXP BV/Funding LLC | ||||
03/01/2026 | 5.350% | 1,056,000 | 1,054,309 | |
NXP BV/Funding LLC/USA, Inc. | ||||
05/01/2030 | 3.400% | 342,000 | 306,155 | |
05/11/2041 | 3.250% | 720,000 | 529,115 | |
Open Text Corp.(a) | ||||
12/01/2027 | 6.900% | 650,000 | 671,383 | |
Open Text Holdings, Inc.(a) | ||||
12/01/2031 | 4.125% | 1,835,000 | 1,571,298 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp. | ||||
11/15/2027 | 3.250% | 2,409,000 | 2,258,883 | |
03/25/2028 | 2.300% | 903,000 | 808,998 | |
11/09/2029 | 6.150% | 997,000 | 1,042,450 | |
11/15/2037 | 3.800% | 2,202,000 | 1,811,139 | |
03/25/2041 | 3.650% | 739,000 | 568,335 | |
04/01/2050 | 3.600% | 1,336,000 | 940,289 | |
03/25/2051 | 3.950% | 4,511,000 | 3,362,192 | |
11/09/2052 | 6.900% | 362,000 | 408,438 | |
02/06/2053 | 5.550% | 1,855,000 | 1,775,517 | |
05/15/2055 | 4.375% | 73,000 | 57,201 | |
04/01/2060 | 3.850% | 802,000 | 557,133 | |
PayPal Holdings, Inc. | ||||
10/01/2026 | 2.650% | 964,000 | 908,996 | |
10/01/2029 | 2.850% | 204,000 | 181,916 | |
06/01/2030 | 2.300% | 1,435,000 | 1,220,694 | |
06/01/2062 | 5.250% | 2,845,000 | 2,648,335 | |
Qorvo, Inc. | ||||
12/15/2024 | 1.750% | 1,200,000 | 1,164,526 | |
QUALCOMM, Inc. | ||||
05/20/2053 | 6.000% | 2,033,000 | 2,228,721 | |
S&P Global, Inc. | ||||
03/01/2029 | 2.700% | 1,348,000 | 1,219,096 | |
08/15/2030 | 1.250% | 592,000 | 472,384 | |
03/01/2032 | 2.900% | 803,000 | 691,503 | |
Seagate HDD Cayman | ||||
12/01/2032 | 9.625% | 1,116,475 | 1,261,810 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 1,550,000 | 1,541,885 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2051 | 3.840% | 760,000 | 570,904 | |
Texas Instruments, Inc. | ||||
02/08/2054 | 5.150% | 3,200,000 | 3,170,742 | |
05/18/2063 | 5.050% | 2,056,000 | 1,966,536 | |
Verscend Escrow Corp.(a) | ||||
08/15/2026 | 9.750% | 1,325,000 | 1,327,830 | |
VMware, Inc. | ||||
08/15/2026 | 1.400% | 1,441,000 | 1,310,114 | |
Western Union Co. (The) | ||||
03/15/2026 | 1.350% | 140,000 | 128,863 | |
Total | 157,608,827 | |||
Tobacco 0.7% | ||||
Altria Group, Inc. | ||||
11/01/2028 | 6.200% | 1,116,000 | 1,158,647 | |
05/06/2030 | 3.400% | 1,280,000 | 1,151,998 | |
02/04/2041 | 3.400% | 3,910,000 | 2,809,869 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BAT Capital Corp. | ||||
08/15/2027 | 3.557% | 409,000 | 386,193 | |
03/25/2028 | 2.259% | 1,930,000 | 1,707,438 | |
02/20/2031 | 5.834% | 560,000 | 557,964 | |
03/25/2031 | 2.726% | 15,000 | 12,366 | |
02/20/2034 | 6.000% | 5,665,000 | 5,609,961 | |
08/15/2037 | 4.390% | 742,000 | 608,627 | |
09/25/2040 | 3.734% | 562,000 | 405,244 | |
08/02/2043 | 7.079% | 962,000 | 1,001,519 | |
08/15/2047 | 4.540% | 5,800,000 | 4,322,959 | |
09/06/2049 | 4.758% | 309,000 | 238,327 | |
03/16/2052 | 5.650% | 2,530,000 | 2,220,863 | |
08/02/2053 | 7.081% | 4,156,000 | 4,308,132 | |
BAT International Finance PLC | ||||
03/16/2028 | 4.448% | 8,000,000 | 7,715,958 | |
02/02/2029 | 5.931% | 2,973,000 | 3,034,829 | |
Imperial Brands Finance PLC(a) | ||||
07/26/2024 | 3.125% | 2,000,000 | 1,978,103 | |
07/21/2025 | 4.250% | 2,000,000 | 1,960,185 | |
Philip Morris International, Inc. | ||||
02/13/2029 | 4.875% | 1,516,000 | 1,489,738 | |
02/15/2030 | 5.125% | 2,435,000 | 2,423,171 | |
02/13/2031 | 5.125% | 2,355,000 | 2,317,230 | |
09/07/2033 | 5.625% | 11,270,000 | 11,374,239 | |
02/13/2034 | 5.250% | 10,141,000 | 9,908,161 | |
Reynolds American, Inc. | ||||
06/12/2025 | 4.450% | 1,325,000 | 1,304,811 | |
08/15/2035 | 5.700% | 6,525,000 | 6,232,478 | |
08/04/2041 | 7.000% | 1,127,000 | 1,167,229 | |
09/15/2043 | 6.150% | 501,000 | 483,942 | |
08/15/2045 | 5.850% | 4,626,000 | 4,192,099 | |
Vector Group Ltd.(a) | ||||
02/01/2029 | 5.750% | 3,250,000 | 2,984,812 | |
Total | 85,067,092 | |||
Transportation Services 0.3% | ||||
Element Fleet Management Corp.(a) | ||||
06/15/2025 | 3.850% | 2,795,000 | 2,719,339 | |
12/04/2028 | 6.319% | 3,515,000 | 3,605,058 | |
ERAC USA Finance LLC(a) | ||||
11/01/2025 | 3.800% | 2,500,000 | 2,433,707 | |
12/01/2026 | 3.300% | 3,435,000 | 3,269,993 | |
10/30/2034 | 5.200% | 1,080,000 | 1,071,165 | |
03/15/2042 | 5.625% | 1,689,000 | 1,712,098 | |
11/01/2046 | 4.200% | 1,041,000 | 870,894 | |
FedEx Corp. | ||||
04/01/2046 | 4.550% | 498,000 | 424,145 | |
FedEx Corp. Pass-Through Trust | ||||
Series 2020-1 Class AA | ||||
02/20/2034 | 1.875% | 599,068 | 491,644 | |
GN Bondco LLC(a) | ||||
10/15/2031 | 9.500% | 3,975,000 | 3,934,918 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
11/15/2025 | 1.200% | 842,000 | 781,930 | |
01/12/2027 | 5.350% | 1,315,000 | 1,309,561 | |
05/01/2028 | 5.550% | 1,380,000 | 1,387,502 | |
06/15/2030 | 6.200% | 2,234,000 | 2,311,409 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.(a) | ||||
06/15/2026 | 1.700% | 1,236,000 | 1,136,814 | |
Penske Truck Leasing Co., LP/Finance Corp.(a) | ||||
07/15/2025 | 4.000% | 905,000 | 884,459 | |
Ryder System, Inc. | ||||
06/01/2028 | 5.250% | 1,185,000 | 1,186,791 | |
12/01/2028 | 6.300% | 912,000 | 950,324 | |
03/15/2029 | 5.375% | 2,530,000 | 2,527,214 | |
12/01/2033 | 6.600% | 1,140,000 | 1,220,591 | |
Triton Container International Ltd.(a) | ||||
04/15/2026 | 2.050% | 617,000 | 565,487 | |
06/15/2031 | 3.150% | 558,000 | 439,480 | |
TTX Co.(a) | ||||
01/15/2025 | 3.600% | 1,620,000 | 1,595,223 | |
XPO, Inc.(a) | ||||
06/01/2028 | 6.250% | 575,000 | 576,586 | |
06/01/2031 | 7.125% | 275,000 | 281,083 | |
02/01/2032 | 7.125% | 865,000 | 878,729 | |
Total | 38,566,144 | |||
Wireless 0.7% | ||||
American Tower Corp. | ||||
03/15/2027 | 3.650% | 684,000 | 653,683 | |
04/15/2031 | 2.700% | 4,545,000 | 3,812,254 | |
09/15/2031 | 2.300% | 477,000 | 384,989 | |
03/15/2033 | 5.650% | 3,500,000 | 3,519,563 | |
07/15/2033 | 5.550% | 6,619,000 | 6,617,094 | |
Crown Castle Inc | ||||
03/01/2034 | 5.800% | 721,000 | 731,447 | |
Crown Castle International Corp. | ||||
07/15/2026 | 1.050% | 401,000 | 362,476 | |
03/15/2027 | 2.900% | 684,000 | 636,957 | |
04/01/2031 | 2.100% | 877,000 | 703,164 | |
07/15/2031 | 2.500% | 4,369,000 | 3,577,800 | |
04/01/2041 | 2.900% | 1,652,000 | 1,146,744 | |
Crown Castle, Inc. | ||||
09/01/2028 | 4.800% | 1,609,000 | 1,568,881 | |
06/01/2029 | 5.600% | 7,457,000 | 7,506,471 | |
05/01/2033 | 5.100% | 403,000 | 389,047 | |
Digicel Group Holdings Ltd.(a),(g),(h),(k) | ||||
12/31/2030 | 0.000% | 13,874 | 14,026 | |
12/31/2030 | 0.000% | 182 | 375 | |
12/31/2030 | 0.000% | 58,946 | 6 | |
12/31/2030 | 0.000% | 17,885 | 2 | |
Digicel Holdings Bermuda Ltd./International Finance Ltd.(o) | ||||
05/25/2027 | 9.000% | 3,192,592 | 3,127,835 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Digicel Midco Ltd.(o) | ||||
11/25/2028 | 10.500% | 949,478 | 760,050 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,766,000 | 1,882,266 | |
03/15/2032 | 8.750% | 3,140,000 | 3,794,417 | |
Sprint Corp. | ||||
06/15/2024 | 7.125% | 5,225,000 | 5,240,734 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
03/20/2025 | 4.738% | 1,600,937 | 1,588,402 | |
03/20/2028 | 5.152% | 7,033,750 | 6,997,077 | |
T-Mobile US, Inc. | ||||
02/15/2026 | 2.250% | 99,000 | 93,268 | |
04/15/2027 | 3.750% | 3,514,000 | 3,368,631 | |
02/01/2028 | 4.750% | 961,000 | 945,611 | |
02/15/2028 | 2.050% | 1,548,000 | 1,378,974 | |
02/15/2029 | 2.625% | 597,000 | 530,223 | |
04/15/2029 | 3.375% | 3,200,000 | 2,939,138 | |
04/15/2030 | 3.875% | 5,132,000 | 4,765,328 | |
04/15/2031 | 3.500% | 3,258,000 | 2,915,457 | |
07/15/2033 | 5.050% | 4,690,000 | 4,587,807 | |
04/15/2040 | 4.375% | 1,308,000 | 1,146,563 | |
02/15/2041 | 3.000% | 3,880,000 | 2,800,090 | |
04/15/2050 | 4.500% | 332,000 | 280,644 | |
01/15/2054 | 5.750% | 904,000 | 914,193 | |
06/15/2054 | 6.000% | 1,306,000 | 1,370,511 | |
Vmed O2 UK Financing I PLC(a) | ||||
07/15/2031 | 4.750% | 1,820,000 | 1,573,444 | |
Vodafone Group PLC | ||||
02/10/2063 | 5.750% | 266,000 | 259,720 | |
Total | 84,885,362 | |||
Wirelines 0.4% | ||||
AT&T, Inc. | ||||
02/15/2034 | 5.400% | 5,560,000 | 5,567,409 | |
05/15/2035 | 4.500% | 179,000 | 164,707 | |
08/15/2037 | 4.900% | 584,000 | 546,027 | |
06/01/2041 | 3.500% | 659,000 | 505,841 | |
09/15/2053 | 3.500% | 5,661,000 | 3,894,564 | |
09/15/2055 | 3.550% | 5,877,000 | 4,004,014 | |
12/01/2057 | 3.800% | 594,000 | 419,135 | |
09/15/2059 | 3.650% | 5,714,000 | 3,872,077 | |
Bell Telephone Co. of Canada | ||||
02/15/2054 | 5.550% | 3,205,000 | 3,153,351 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 385,000 | 362,954 | |
Frontier Communications Holdings LLC(a) | ||||
03/15/2031 | 8.625% | 2,308,000 | 2,337,673 | |
GCI LLC(a) | ||||
10/15/2028 | 4.750% | 1,735,000 | 1,556,992 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Iliad Holding SAS(a) | ||||
10/15/2026 | 6.500% | 550,000 | 543,920 | |
10/15/2028 | 7.000% | 500,000 | 495,145 | |
Level 3 Financing, Inc.(a) | ||||
03/01/2027 | 3.400% | 1,925,000 | 1,963,500 | |
09/15/2027 | 4.625% | 225,000 | 145,125 | |
07/01/2028 | 4.250% | 425,000 | 261,375 | |
05/15/2030 | 10.500% | 950,000 | 973,750 | |
Northwest Fiber LLC/Finance Sub, Inc.(a) | ||||
04/30/2027 | 4.750% | 1,118,000 | 1,078,987 | |
02/15/2028 | 6.000% | 904,000 | 868,211 | |
Qwest Corp. | ||||
09/15/2025 | 7.250% | 3,978,000 | 3,848,119 | |
Telecom Italia Capital SA | ||||
06/04/2038 | 7.721% | 1,550,000 | 1,584,610 | |
Total Play Telecomunicaciones SA de CV(a) | ||||
09/20/2028 | 6.375% | 1,270,000 | 520,352 | |
Verizon Communications, Inc. | ||||
02/15/2025 | 3.376% | 2,527,000 | 2,478,285 | |
12/03/2029 | 4.016% | 530,000 | 503,062 | |
01/20/2031 | 1.750% | 555,000 | 445,073 | |
03/21/2031 | 2.550% | 552,000 | 465,042 | |
03/15/2032 | 2.355% | 5,499,000 | 4,453,891 | |
11/01/2034 | 4.400% | 1,852,000 | 1,721,397 | |
03/22/2041 | 3.400% | 2,127,000 | 1,628,773 | |
09/15/2043 | 6.550% | 1,417,000 | 1,578,498 | |
02/23/2054 | 5.500% | 4,582,000 | 4,527,324 | |
Total | 56,469,183 | |||
Total Corporate Bonds & Notes (Cost $3,825,505,919) | 3,643,418,541 | |||
Foreign Government Obligations(p) 1.5% | ||||
Australia 0.0% | ||||
NBN Co., Ltd.(a) | ||||
05/05/2026 | 1.450% | 581,000 | 535,940 | |
01/08/2027 | 1.625% | 1,230,000 | 1,116,834 | |
01/08/2032 | 2.500% | 624,000 | 515,109 | |
10/06/2033 | 6.000% | 1,200,000 | 1,267,611 | |
Total | 3,435,494 | |||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 450,000 | 454,835 | |
Bahrain 0.0% | ||||
Bahrain Government International Bond(a) | ||||
02/12/2036 | 7.500% | 1,800,000 | 1,827,938 | |
Bermuda 0.0% | ||||
Bermuda Government International Bond(a) | ||||
08/20/2030 | 2.375% | 1,105,000 | 924,169 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Brazil 0.1% | ||||
Brazil Minas SPE via State of Minas Gerais(a) | ||||
02/15/2028 | 5.333% | 1,160,000 | 1,139,474 | |
Brazilian Government International Bond | ||||
10/20/2033 | 6.000% | 350,000 | 346,820 | |
03/15/2034 | 6.125% | 4,550,000 | 4,500,647 | |
05/13/2054 | 7.125% | 1,175,000 | 1,176,260 | |
Total | 7,163,201 | |||
Canada 0.0% | ||||
Province of British Columbia | ||||
09/01/2036 | 7.250% | 2,000,000 | 2,442,149 | |
Province of Manitoba | ||||
06/22/2026 | 2.125% | 300,000 | 282,915 | |
Province of Quebec(l) | ||||
03/02/2026 | 7.485% | 230,000 | 240,705 | |
Total | 2,965,769 | |||
Chile 0.1% | ||||
Corp. Nacional del Cobre de Chile(a) | ||||
02/02/2033 | 5.125% | 850,000 | 797,240 | |
01/08/2034 | 5.950% | 1,925,000 | 1,903,372 | |
09/08/2053 | 6.300% | 950,000 | 921,987 | |
Corporación Nacional del Cobre de Chile(a) | ||||
01/08/2034 | 5.950% | 1,800,000 | 1,779,776 | |
01/26/2036 | 6.440% | 2,150,000 | 2,188,919 | |
11/04/2044 | 4.875% | 200,000 | 164,432 | |
Empresa Nacional del Petroleo(a) | ||||
08/05/2026 | 3.750% | 750,000 | 712,772 | |
11/06/2029 | 5.250% | 450,000 | 434,889 | |
Total | 8,903,387 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
03/15/2029 | 4.500% | 750,000 | 684,295 | |
01/30/2030 | 3.000% | 315,000 | 258,452 | |
04/15/2031 | 3.125% | 200,000 | 158,161 | |
04/20/2033 | 8.000% | 200,000 | 209,645 | |
Ecopetrol SA | ||||
01/19/2029 | 8.625% | 4,080,000 | 4,325,058 | |
04/29/2030 | 6.875% | 2,000,000 | 1,945,126 | |
01/13/2033 | 8.875% | 3,764,000 | 3,956,979 | |
01/19/2036 | 8.375% | 5,870,000 | 5,886,801 | |
Total | 17,424,517 | |||
Costa Rica 0.0% | ||||
Costa Rica Government International Bond(a) | ||||
04/03/2034 | 6.550% | 250,000 | 257,521 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/27/2025 | 5.500% | 100,000 | 99,384 | |
01/27/2025 | 5.500% | 100,000 | 99,383 | |
01/29/2026 | 6.875% | 631,000 | 637,538 | |
07/19/2028 | 6.000% | 1,400,000 | 1,394,780 | |
07/19/2028 | 6.000% | 275,000 | 273,975 | |
02/22/2029 | 5.500% | 2,655,000 | 2,566,981 | |
02/22/2029 | 5.500% | 161,000 | 155,663 | |
01/30/2030 | 4.500% | 628,000 | 570,086 | |
09/23/2032 | 4.875% | 1,050,000 | 935,416 | |
Total | 6,733,206 | |||
Guatemala 0.0% | ||||
Guatemala Government Bond(a) | ||||
08/10/2029 | 5.250% | 450,000 | 434,215 | |
10/07/2033 | 3.700% | 794,000 | 650,652 | |
Total | 1,084,867 | |||
Hungary 0.0% | ||||
Hungary Government International Bond(a) | ||||
09/22/2031 | 2.125% | 1,400,000 | 1,094,392 | |
India 0.0% | ||||
Export-Import Bank of India(a) | ||||
08/05/2026 | 3.375% | 860,000 | 821,482 | |
02/01/2028 | 3.875% | 1,025,000 | 974,520 | |
01/13/2031 | 2.250% | 1,030,000 | 848,771 | |
Indian Railway Finance Corp., Ltd.(a) | ||||
01/21/2032 | 3.570% | 1,110,000 | 976,893 | |
Power Finance Corp., Ltd.(a) | ||||
12/06/2028 | 6.150% | 546,000 | 560,425 | |
Total | 4,182,091 | |||
Indonesia 0.1% | ||||
Freeport Indonesia PT(a) | ||||
04/14/2032 | 5.315% | 1,045,000 | 1,009,844 | |
Indonesia Asahan Aluminium PT/Mineral Industri Persero(a) | ||||
05/15/2030 | 5.450% | 560,000 | 550,063 | |
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 1,000,000 | 1,225,879 | |
Lembaga Pembiayaan Ekspor Indonesia(a) | ||||
04/06/2024 | 3.875% | 1,450,000 | 1,446,834 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
06/23/2030 | 2.800% | 1,000,000 | 882,773 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 1,424,000 | 1,253,134 | |
05/20/2043 | 5.625% | 250,000 | 239,477 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 5,000,000 | 4,809,991 | |
05/21/2028 | 5.450% | 850,000 | 848,453 | |
Total | 12,266,448 | |||
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
08/14/2028 | 4.250% | 2,200,000 | 2,022,836 | |
Italy 0.1% | ||||
Cassa Depositi e Prestiti SpA(a) | ||||
05/05/2026 | 5.750% | 1,200,000 | 1,189,944 | |
Republic of Italy Government International Bond | ||||
10/17/2029 | 2.875% | 1,700,000 | 1,497,683 | |
06/15/2033 | 5.375% | 8,270,000 | 8,116,333 | |
Total | 10,803,960 | |||
Japan 0.0% | ||||
Japan Bank for International Cooperation | ||||
05/23/2024 | 2.500% | 600,000 | 595,987 | |
Japan Finance Organization for Municipalities(a) | ||||
03/12/2024 | 3.000% | 400,000 | 399,681 | |
Total | 995,668 | |||
Kazakhstan 0.0% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/19/2027 | 4.750% | 300,000 | 289,990 | |
04/24/2030 | 5.375% | 962,000 | 933,708 | |
KazTransGas JSC(a) | ||||
09/26/2027 | 4.375% | 200,000 | 186,813 | |
Total | 1,410,511 | |||
Marshall Islands 0.0% | ||||
Nakilat, Inc.(a) | ||||
12/31/2033 | 6.067% | 969,251 | 996,514 | |
Mexico 0.3% | ||||
Comision Federal de Electricidad(a) | ||||
05/15/2029 | 4.688% | 3,647,000 | 3,461,068 | |
Mexico City Airport Trust(a) | ||||
10/31/2026 | 4.250% | 1,435,000 | 1,377,549 | |
04/30/2028 | 3.875% | 420,000 | 390,038 | |
10/31/2046 | 5.500% | 667,000 | 554,199 | |
07/31/2047 | 5.500% | 4,424,000 | 3,674,901 | |
Mexico Government International Bond | ||||
04/22/2029 | 4.500% | 1,500,000 | 1,442,610 | |
05/24/2031 | 2.659% | 2,068,000 | 1,712,278 | |
04/27/2032 | 4.750% | 250,000 | 235,316 | |
02/09/2035 | 6.350% | 470,000 | 481,558 | |
05/04/2053 | 6.338% | 340,000 | 332,173 | |
05/07/2054 | 6.400% | 475,000 | 468,659 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/24/2061 | 3.771% | 550,000 | 353,520 | |
04/19/2071 | 3.750% | 750,000 | 472,619 | |
Pemex Project Funding Master Trust | ||||
06/15/2038 | 6.625% | 50,000 | 34,137 | |
Petroleos Mexicanos | ||||
10/16/2025 | 6.875% | 1,060,000 | 1,044,130 | |
03/13/2027 | 6.500% | 11,947,000 | 11,132,208 | |
02/12/2028 | 5.350% | 276,000 | 239,686 | |
01/23/2029 | 6.500% | 625,000 | 547,583 | |
01/28/2031 | 5.950% | 3,025,000 | 2,353,463 | |
02/16/2032 | 6.700% | 5,923,000 | 4,773,207 | |
02/07/2033 | 10.000% | 1,375,000 | 1,335,252 | |
06/15/2035 | 6.625% | 1,470,000 | 1,088,101 | |
01/23/2046 | 5.625% | 300,000 | 172,790 | |
09/21/2047 | 6.750% | 2,662,000 | 1,689,519 | |
02/12/2048 | 6.350% | 373,000 | 228,253 | |
Total | 39,594,817 | |||
Morocco 0.0% | ||||
Morocco Government International Bond(a) | ||||
12/15/2027 | 2.375% | 1,300,000 | 1,154,679 | |
12/15/2050 | 4.000% | 350,000 | 236,274 | |
OCP SA(a) | ||||
06/23/2031 | 3.750% | 350,000 | 297,025 | |
Total | 1,687,978 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
04/06/2030 | 3.125% | 826,000 | 753,099 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
01/17/2028 | 5.625% | 600,000 | 600,943 | |
Panama 0.1% | ||||
Banco Nacional de Panama(a) | ||||
08/11/2030 | 2.500% | 875,000 | 661,648 | |
08/11/2030 | 2.500% | 600,000 | 453,701 | |
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 200,000 | 195,015 | |
01/23/2030 | 3.160% | 657,000 | 539,856 | |
03/01/2031 | 7.500% | 1,300,000 | 1,333,265 | |
09/29/2032 | 2.252% | 200,000 | 140,113 | |
01/19/2033 | 3.298% | 250,000 | 188,698 | |
01/31/2036 | 6.875% | 1,200,000 | 1,134,718 | |
03/01/2038 | 8.000% | 1,720,000 | 1,761,381 | |
Total | 6,408,395 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
04/28/2031 | 4.950% | 730,000 | 698,674 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Peru 0.1% | ||||
Corporación Financiera de Desarrollo SA(a) | ||||
09/28/2027 | 2.400% | 600,000 | 536,233 | |
Peruvian Government International Bond | ||||
01/23/2031 | 2.783% | 1,120,000 | 952,703 | |
12/01/2032 | 1.862% | 100,000 | 75,693 | |
03/14/2037 | 6.550% | 1,785,000 | 1,925,270 | |
12/01/2060 | 2.780% | 600,000 | 344,065 | |
Petroleos del Peru SA(a) | ||||
06/19/2032 | 4.750% | 2,100,000 | 1,644,328 | |
Total | 5,478,292 | |||
Philippines 0.0% | ||||
Philippine Government International Bond | ||||
05/05/2030 | 2.457% | 800,000 | 688,686 | |
01/15/2032 | 6.375% | 400,000 | 432,300 | |
10/23/2034 | 6.375% | 275,000 | 301,947 | |
Total | 1,422,933 | |||
Poland 0.0% | ||||
Republic of Poland Government International Bond | ||||
10/04/2033 | 4.875% | 790,000 | 773,484 | |
Romania 0.1% | ||||
Romanian Government International Bond(a) | ||||
02/17/2028 | 6.625% | 200,000 | 205,826 | |
02/14/2031 | 3.000% | 2,100,000 | 1,744,155 | |
01/30/2034 | 6.375% | 3,022,000 | 3,005,100 | |
05/25/2034 | 6.000% | 5,488,000 | 5,342,141 | |
Total | 10,297,222 | |||
Saudi Arabia 0.0% | ||||
Gaci First Investment Co.(a) | ||||
10/13/2032 | 5.250% | 300,000 | 300,439 | |
Saudi Government International Bond(a) | ||||
01/16/2054 | 5.750% | 1,750,000 | 1,692,708 | |
02/02/2061 | 3.450% | 575,000 | 375,729 | |
Total | 2,368,876 | |||
Serbia 0.1% | ||||
Serbia International Bond(a) | ||||
12/01/2030 | 2.125% | 6,640,000 | 5,231,616 | |
09/26/2033 | 6.500% | 2,800,000 | 2,840,088 | |
Total | 8,071,704 | |||
South Africa 0.1% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
02/11/2025 | 7.125% | 950,000 | 945,727 | |
08/10/2028 | 8.450% | 3,439,000 | 3,422,776 | |
08/10/2028 | 8.450% | 451,000 | 448,872 |
Foreign Government Obligations(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 525,000 | 472,616 | |
09/30/2029 | 4.850% | 3,275,000 | 2,940,192 | |
06/22/2030 | 5.875% | 510,000 | 472,463 | |
04/20/2032 | 5.875% | 2,300,000 | 2,072,399 | |
Total | 10,775,045 | |||
Ukraine 0.0% | ||||
Ukraine Government International Bond(a),(n) | ||||
09/01/2024 | 7.750% | 2,410,000 | 748,506 | |
02/01/2026 | 8.994% | 1,000,000 | 318,258 | |
09/01/2027 | 0.000% | 3,050,000 | 879,409 | |
11/01/2030 | 9.750% | 3,850,000 | 1,145,375 | |
Total | 3,091,548 | |||
United Arab Emirates 0.0% | ||||
DP World Ltd.(a) | ||||
07/02/2037 | 6.850% | 300,000 | 324,306 | |
Finance Department Government of Sharjah(a) | ||||
11/23/2032 | 6.500% | 202,000 | 207,591 | |
Total | 531,897 | |||
United States 0.1% | ||||
Antares Holdings LP(a) | ||||
07/15/2027 | 3.750% | 4,605,000 | 4,155,899 | |
BOC Aviation USA Corp.(a) | ||||
04/29/2024 | 1.625% | 2,015,000 | 2,001,022 | |
Total | 6,156,921 | |||
Virgin Islands 0.0% | ||||
Sinopec Group Overseas Development Ltd.(a) | ||||
04/28/2025 | 3.250% | 400,000 | 390,430 | |
04/28/2025 | 3.250% | 300,000 | 292,823 | |
Total | 683,253 | |||
Total Foreign Government Obligations (Cost $203,077,549) | 184,342,405 | |||
Municipal Bonds 0.3% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
University of California | ||||
Refunding Revenue Bonds | ||||
Taxable General | ||||
Series 2017AX | ||||
07/01/2025 | 3.063% | 5,700,000 | 5,558,748 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
University of Michigan | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2022A | ||||
04/01/2122 | 4.454% | 4,020,000 | 3,420,023 | |
University of Virginia | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2021B | ||||
11/01/2051 | 2.584% | 2,020,000 | 1,316,028 | |
Revenue Bonds | ||||
Taxable | ||||
Series 2017C | ||||
09/01/2117 | 4.179% | 725,000 | 575,965 | |
Total | 10,870,764 | |||
Hospital 0.1% | ||||
California Health Facilities Financing Authority | ||||
Refunding Revenue Bonds | ||||
Cedars-Sinai Health System | ||||
Series 2021 | ||||
08/15/2051 | 3.000% | 1,785,000 | 1,423,286 | |
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 5,525,000 | 3,760,547 | |
Total | 5,183,833 | |||
Local General Obligation 0.0% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2010 (BAM) | ||||
03/01/2036 | 5.968% | 3,100,000 | 3,290,202 | |
Sales Tax 0.0% | ||||
Puerto Rico Sales Tax Financing Corp.(q) | ||||
Revenue Bonds | ||||
Series 2019A1 | ||||
07/01/2058 | 5.000% | 2,315,000 | 2,326,570 | |
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority | ||||
Refunding Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020B-3 | ||||
08/01/2035 | 2.000% | 3,000,000 | 2,221,828 | |
Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020D-3 | ||||
11/01/2032 | 2.400% | 1,045,000 | 863,829 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New York City Transitional Finance Authority Future Tax | ||||
Secured Revenue Bonds | ||||
Build America Bonds | ||||
Series 2010 | ||||
08/01/2037 | 5.508% | 1,245,000 | 1,271,104 | |
State of Illinois | ||||
Revenue Bonds | ||||
Taxable Sales Tax | ||||
Series 2013 | ||||
06/15/2028 | 3.350% | 2,500,000 | 2,360,772 | |
Total | 6,717,533 | |||
Turnpike / Bridge / Toll Road 0.0% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
04/01/2049 | 6.263% | 1,920,000 | 2,189,925 | |
Pennsylvania Turnpike Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
12/01/2039 | 6.105% | 1,620,000 | 1,764,989 | |
Texas Private Activity Bond Surface Transportation Corp. | ||||
Revenue Bonds | ||||
Taxable North Tarrant Express Managed Lanes Project | ||||
Series 2019 | ||||
12/31/2049 | 3.922% | 875,000 | 714,599 | |
Total | 4,669,513 | |||
Total Municipal Bonds (Cost $38,731,773) | 33,058,415 | |||
Residential Mortgage-Backed Securities - Agency 26.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS | ||||
CMO Series 2011-84 Class Z | ||||
09/25/2041 | 5.250% | 1,203,690 | 1,199,103 | |
Federal Home Loan Mortgage Corp. | ||||
08/01/2024- 02/01/2025 | 8.000% | 489 | 488 | |
10/01/2028- 07/01/2032 | 7.000% | 87,160 | 89,594 | |
03/01/2031- 06/01/2052 | 3.000% | 126,473,289 | 109,290,582 | |
10/01/2031- 07/01/2037 | 6.000% | 301,750 | 311,486 | |
04/01/2033- 08/01/2053 | 5.500% | 27,489,009 | 27,299,984 | |
05/01/2033- 05/01/2052 | 3.500% | 62,041,885 | 56,185,383 | |
10/01/2039- 08/01/2053 | 5.000% | 47,099,652 | 45,709,880 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
09/01/2040- 10/01/2052 | 4.000% | 102,016,120 | 94,135,007 | |
09/01/2040- 04/01/2053 | 4.500% | 61,171,468 | 57,972,892 | |
06/01/2050- 10/01/2052 | 2.500% | 303,255,813 | 250,437,092 | |
12/01/2050- 06/01/2052 | 2.000% | 69,925,545 | 55,088,122 | |
CMO Series 2060 Class Z | ||||
05/15/2028 | 6.500% | 38,944 | 39,286 | |
CMO Series 2310 Class Z | ||||
04/15/2031 | 6.000% | 34,793 | 35,245 | |
CMO Series 2725 Class TA | ||||
12/15/2033 | 4.500% | 1,516,416 | 1,469,840 | |
CMO Series 2882 Class ZC | ||||
11/15/2034 | 6.000% | 2,446,006 | 2,512,674 | |
CMO Series 2953 Class LZ | ||||
03/15/2035 | 6.000% | 2,168,732 | 2,220,556 | |
CMO Series 3028 Class ZE | ||||
09/15/2035 | 5.500% | 156,589 | 152,632 | |
CMO Series 3032 Class PZ | ||||
09/15/2035 | 5.800% | 377,333 | 383,089 | |
CMO Series 3071 Class ZP | ||||
11/15/2035 | 5.500% | 8,221,179 | 8,200,758 | |
CMO Series 3121 Class EZ | ||||
03/15/2036 | 6.000% | 84,111 | 85,404 | |
CMO Series 3181 Class AZ | ||||
07/15/2036 | 6.500% | 26,977 | 27,968 | |
CMO Series 353 Class 300 | ||||
12/15/2046 | 3.000% | 5,148,219 | 4,471,818 | |
CMO Series 3740 Class BA | ||||
10/15/2040 | 4.000% | 1,063,791 | 998,605 | |
CMO Series 3747 Class HY | ||||
10/15/2040 | 4.500% | 2,902,872 | 2,809,487 | |
CMO Series 3753 Class KZ | ||||
11/15/2040 | 4.500% | 4,987,723 | 4,806,644 | |
CMO Series 3769 Class ZC | ||||
12/15/2040 | 4.500% | 2,503,943 | 2,415,532 | |
CMO Series 3841 Class JZ | ||||
04/15/2041 | 5.000% | 224,907 | 222,135 | |
CMO Series 3888 Class ZG | ||||
07/15/2041 | 4.000% | 489,825 | 469,378 | |
CMO Series 3926 Class NY | ||||
09/15/2041 | 4.000% | 411,870 | 388,805 | |
CMO Series 3928 Class MB | ||||
09/15/2041 | 4.500% | 1,006,417 | 970,365 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3934 Class CB | ||||
10/15/2041 | 4.000% | 2,566,341 | 2,402,376 | |
CMO Series 3982 Class TZ | ||||
01/15/2042 | 4.000% | 967,880 | 905,798 | |
CMO Series 4027 Class AB | ||||
12/15/2040 | 4.000% | 1,133,903 | 1,089,715 | |
CMO Series 4057 Class ZB | ||||
06/15/2042 | 3.500% | 5,582,929 | 5,129,307 | |
CMO Series 4057 Class ZL | ||||
06/15/2042 | 3.500% | 6,118,963 | 5,637,877 | |
CMO Series 4077 Class KM | ||||
11/15/2041 | 3.500% | 271 | 270 | |
CMO Series 4091 Class KB | ||||
08/15/2042 | 3.000% | 6,500,000 | 5,649,566 | |
CMO Series 4182 Class QN | ||||
02/15/2033 | 3.000% | 101,832 | 101,071 | |
CMO Series 4361 Class VB | ||||
02/15/2038 | 3.000% | 1,686,252 | 1,661,465 | |
CMO Series 4421 Class PB | ||||
12/15/2044 | 4.000% | 5,941,237 | 5,338,294 | |
CMO Series 4440 Class ZX | ||||
01/15/2045 | 4.000% | 12,341,524 | 11,176,492 | |
CMO Series 4463 Class ZA | ||||
04/15/2045 | 4.000% | 4,407,241 | 4,182,304 | |
CMO Series 4495 Class PA | ||||
09/15/2043 | 3.500% | 112,073 | 107,962 | |
CMO Series 4682 Class HZ | ||||
04/15/2047 | 3.500% | 2,992,569 | 2,647,669 | |
CMO Series 4771 Class HZ | ||||
03/15/2048 | 3.500% | 9,866,408 | 8,621,656 | |
CMO Series 4774 Class KA | ||||
12/15/2045 | 4.500% | 19,567 | 19,495 | |
CMO Series 4787 Class PY | ||||
05/15/2048 | 4.000% | 1,040,339 | 951,827 | |
CMO Series 4793 Class CD | ||||
06/15/2048 | 3.000% | 883,834 | 769,751 | |
CMO Series 4839 Class A | ||||
04/15/2051 | 4.000% | 2,576,801 | 2,414,912 | |
CMO Series 4941 Class CZ | ||||
11/25/2049 | 3.000% | 1,132,972 | 942,578 | |
Federal Home Loan Mortgage Corp.(b),(e) | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 11/15/2043 | 0.661% | 11,427,171 | 822,617 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-4258 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.536% Cap 6.650% 10/15/2043 | 1.211% | 2,878,717 | 397,534 | |
CMO Series 2014-4313 Class MS | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 04/15/2039 | 0.711% | 4,040,634 | 281,987 | |
CMO Series 264 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 07/15/2042 | 0.511% | 5,824,189 | 498,995 | |
CMO Series 274 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 08/15/2042 | 0.561% | 7,549,456 | 658,747 | |
CMO Series 279 Class S6 | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 09/15/2042 | 0.611% | 4,943,662 | 438,532 | |
CMO Series 299 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 01/15/2043 | 0.561% | 3,123,837 | 277,006 | |
CMO Series 300 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 01/15/2043 | 0.661% | 7,561,441 | 698,056 | |
CMO Series 326 Class S2 | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 03/15/2044 | 0.511% | 12,727,770 | 1,121,710 | |
CMO Series 336 Class 30 | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 08/15/2044 | 0.611% | 5,256,073 | 475,612 | |
CMO Series 3404 Class AS | ||||
-1.0 x 30-day Average SOFR + 5.781% Cap 5.895% 01/15/2038 | 0.456% | 1,437,870 | 91,912 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3578 Class DI | ||||
-1.0 x 30-day Average SOFR + 6.536% Cap 6.650% 04/15/2036 | 1.211% | 2,076,480 | 132,509 | |
CMO Series 3833 Class LI | ||||
-1.0 x 30-day Average SOFR + 0.286% 10/15/2040 | 0.000% | 5,153,470 | 333,681 | |
CMO Series 3892 Class SC | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 07/15/2041 | 0.511% | 3,206,958 | 221,693 | |
CMO Series 3997 Class SK | ||||
-1.0 x 30-day Average SOFR + 6.486% Cap 6.600% 11/15/2041 | 1.161% | 5,624,854 | 277,004 | |
CMO Series 4087 Class SC | ||||
-1.0 x 30-day Average SOFR + 5.436% Cap 5.550% 07/15/2042 | 0.111% | 3,915,350 | 209,773 | |
CMO Series 4281 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 12/15/2043 | 0.661% | 6,371,830 | 422,299 | |
CMO Series 4635 Class SE | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 12/15/2046 | 0.661% | 9,871,483 | 568,427 | |
CMO Series 4910 Class SG | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 09/25/2049 | 0.614% | 15,246,013 | 1,890,356 | |
CMO STRIPS Series 2012-278 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 09/15/2042 | 0.611% | 6,978,023 | 549,175 | |
CMO STRIPS Series 337 Class S1 | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 09/15/2044 | 0.611% | 4,274,909 | 397,608 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 2380 Class F | ||||
30-day Average SOFR + 0.564% Floor 0.450%, Cap 8.500% 11/15/2031 | 5.889% | 55,176 | 55,086 | |
CMO Series 2557 Class FG | ||||
30-day Average SOFR + 0.514% Floor 0.400%, Cap 8.000% 01/15/2033 | 5.839% | 133,033 | 132,734 | |
CMO Series 2962 Class PF | ||||
30-day Average SOFR + 0.364% Floor 0.250%, Cap 7.000% 03/15/2035 | 5.689% | 58,516 | 58,261 | |
CMO Series 2981 Class FU | ||||
30-day Average SOFR + 0.314% Floor 0.200%, Cap 8.000% 05/15/2030 | 5.639% | 162,848 | 161,339 | |
CMO Series 3065 Class EB | ||||
-3.0 x 30-day Average SOFR + 19.547% Cap 19.890% 11/15/2035 | 3.572% | 284,372 | 288,527 | |
CMO Series 3081 Class GC | ||||
-3.7 x 30-day Average SOFR + 23.414% Cap 23.833% 12/15/2035 | 3.890% | 453,231 | 449,320 | |
CMO Series 3085 Class FV | ||||
30-day Average SOFR + 0.814% Floor 0.700%, Cap 8.000% 08/15/2035 | 6.139% | 402,398 | 403,839 | |
CMO Series 3564 Class FC | ||||
30-day Average SOFR + 1.364% Floor 1.250%, Cap 6.500% 01/15/2037 | 6.500% | 150,805 | 150,511 | |
CMO Series 3680 Class FA | ||||
30-day Average SOFR + 1.114% Floor 1.000%, Cap 6.000% 06/15/2040 | 6.000% | 457,245 | 451,974 | |
CMO Series 3852 Class QN | ||||
-3.6 x 30-day Average SOFR + 26.796% Cap 5.500% 05/15/2041 | 5.500% | 18,309 | 17,261 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4048 Class FJ | ||||
30-day Average SOFR + 0.514% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 5.618% | 699,366 | 689,919 | |
CMO Series 5115 Class FD | ||||
30-day Average SOFR + 0.250% Floor 0.250%, Cap 4.000% 08/15/2043 | 4.000% | 6,197,749 | 5,863,256 | |
Federal Home Loan Mortgage Corp.(e) | ||||
CMO Series 303 Class C21 | ||||
01/15/2043 | 4.000% | 9,719,002 | 1,596,319 | |
CMO Series 303 Class C30 | ||||
12/15/2042 | 4.500% | 6,231,643 | 972,290 | |
CMO Series 364 Class C15 | ||||
12/15/2046 | 3.500% | 3,974,050 | 632,842 | |
CMO Series 4146 Class IA | ||||
12/15/2032 | 3.500% | 4,243,633 | 409,675 | |
CMO Series 4186 Class IB | ||||
03/15/2033 | 3.000% | 4,402,278 | 371,354 | |
CMO Series 4627 Class PI | ||||
05/15/2044 | 3.500% | 1,268,071 | 35,530 | |
CMO Series 4698 Class BI | ||||
07/15/2047 | 5.000% | 11,021,601 | 1,817,852 | |
CMO Series 5048 Class HI | ||||
01/15/2042 | 4.500% | 2,809,248 | 438,017 | |
CMO Series 5078 Class NI | ||||
06/15/2042 | 4.000% | 2,740,000 | 500,043 | |
Federal Home Loan Mortgage Corp.(d),(e) | ||||
CMO Series 351 Class 213 | ||||
02/15/2046 | 4.135% | 278,054 | 50,083 | |
CMO Series 364 Class 141 | ||||
12/15/2046 | 2.731% | 318,806 | 43,779 | |
CMO Series 364 Class 151 | ||||
12/15/2046 | 3.390% | 312,985 | 48,727 | |
CMO Series 364 Class 158 | ||||
12/15/2046 | 3.823% | 168,508 | 28,938 | |
CMO Series 364 Class 167 | ||||
12/15/2046 | 2.550% | 297,792 | 34,686 | |
CMO Series 364 Class C23 | ||||
12/15/2046 | 2.939% | 3,897,075 | 535,207 | |
CMO Series 364 Class C24 | ||||
12/15/2046 | 3.458% | 2,202,503 | 354,974 | |
CMO Series 364 Class C25 | ||||
12/15/2046 | 3.964% | 674,600 | 124,290 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 368 Class C15 | ||||
01/25/2048 | 3.253% | 4,304,339 | 534,370 | |
CMO Series 5094 Class IO | ||||
12/15/2048 | 1.482% | 13,181,302 | 890,650 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(d),(e) | ||||
CMO Series K051 Class X1 | ||||
09/25/2025 | 0.493% | 16,422,989 | 100,676 | |
CMO Series K058 Class X1 | ||||
08/25/2026 | 0.908% | 2,294,589 | 41,615 | |
CMO Series KW02 Class X1 | ||||
12/25/2026 | 0.132% | 7,598,299 | 24,095 | |
Federal Home Loan Mortgage Corp. REMICS(b),(e) | ||||
CMO Series 204236 Class IS | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 08/15/2043 | 0.561% | 10,179,011 | 842,666 | |
CMO Series 204419 Class BS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 05/15/2053 | 0.611% | 25,342,568 | 2,653,704 | |
CMO Series 204461 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 04/15/2045 | 0.761% | 5,956,159 | 576,223 | |
CMO Series 204839 Class WS | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 08/15/2056 | 0.661% | 37,298,917 | 4,533,198 | |
Federal Home Loan Mortgage Corp. REMICS(e) | ||||
CMO Series 204695 Class OI | ||||
06/15/2047 | 4.000% | 2,911,105 | 528,083 | |
CMO Series 204864 Class IU | ||||
12/15/2048 | 4.500% | 2,597,390 | 518,402 | |
CMO Series 205012 Class MI | ||||
09/25/2050 | 4.000% | 9,198,914 | 1,945,157 | |
CMO Series 205038 Class ID | ||||
11/25/2050 | 3.500% | 29,993,046 | 5,483,068 | |
CMO Series 4257 Class IK | ||||
12/15/2042 | 4.000% | 3,415,055 | 590,599 | |
CMO Series 4999 Class IA | ||||
08/25/2050 | 4.500% | 27,463,643 | 6,286,315 | |
CMO Series 5043 Class IO | ||||
11/25/2050 | 5.000% | 16,205,634 | 3,643,308 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 5058 Class NI | ||||
06/25/2050 | 3.000% | 15,043,875 | 2,577,765 | |
CMO Series 5079 Class DI | ||||
02/25/2051 | 6.500% | 9,966,399 | 1,904,479 | |
CMO Series 5088 Class IB | ||||
03/25/2051 | 2.500% | 24,783,682 | 3,935,267 | |
CMO Series 5095 Class AI | ||||
04/25/2051 | 3.500% | 21,221,933 | 3,642,208 | |
CMO Series 5113 Class MI | ||||
06/25/2051 | 3.500% | 17,674,718 | 3,428,238 | |
CMO Series 5115 Class GI | ||||
09/25/2050 | 3.000% | 10,796,231 | 2,013,564 | |
CMO Series 5148 Class EI | ||||
10/25/2051 | 3.000% | 45,599,485 | 7,789,988 | |
CMO Series 5153 Class JI | ||||
10/25/2051 | 3.500% | 8,411,290 | 1,582,160 | |
CMO Series 5217 Class PI | ||||
04/25/2052 | 3.500% | 5,560,763 | 611,221 | |
CMO Series 5223 Class IM | ||||
02/25/2042 | 5.500% | 9,742,822 | 1,686,090 | |
Federal Home Loan Mortgage Corp. REMICS | ||||
CMO Series 3843 Class JZ | ||||
04/15/2041 | 5.100% | 1,059,747 | 1,036,149 | |
CMO Series 4372 Class Z | ||||
08/15/2044 | 3.000% | 2,942,421 | 2,597,490 | |
CMO Series 4402 Class YB | ||||
10/15/2044 | 3.000% | 2,506,712 | 2,215,186 | |
CMO Series 4612 Class HZ | ||||
08/15/2046 | 2.500% | 7,224,537 | 5,704,038 | |
CMO Series 4753 Class VZ | ||||
12/15/2047 | 3.000% | 1,199,941 | 917,946 | |
CMO Series 4755 Class Z | ||||
02/15/2048 | 3.000% | 1,199,941 | 1,012,195 | |
CMO Series 5081 Class PI | ||||
03/25/2051 | 3.000% | 43,663,617 | 7,398,254 | |
CMO Series 5237 Class GA | ||||
09/25/2046 | 4.000% | 2,201,976 | 2,092,942 | |
Federal Home Loan Mortgage Corp. REMICS(d),(e) | ||||
CMO Series 5065 Class EI | ||||
11/25/2044 | 5.392% | 1,345,062 | 292,180 | |
Federal National Mortgage Association | ||||
06/01/2024 | 9.000% | 2 | 2 | |
02/01/2025- 08/01/2027 | 8.000% | 5,039 | 5,081 | |
03/01/2026- 03/01/2053 | 7.000% | 1,275,667 | 1,310,742 | |
04/01/2027- 06/01/2032 | 7.500% | 18,371 | 18,674 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
05/01/2029- 03/01/2053 | 6.000% | 20,175,728 | 20,321,989 | |
08/01/2029- 10/01/2052 | 3.000% | 288,763,555 | 248,615,679 | |
01/01/2031- 06/01/2053 | 2.500% | 277,429,732 | 230,074,357 | |
03/01/2033- 09/01/2053 | 5.500% | 106,413,192 | 105,353,976 | |
10/01/2033- 12/01/2052 | 3.500% | 99,854,615 | 89,965,781 | |
07/01/2039- 08/01/2053 | 5.000% | 142,722,106 | 138,554,206 | |
08/01/2040- 04/01/2052 | 2.000% | 304,856,884 | 241,551,644 | |
10/01/2040- 09/01/2053 | 4.500% | 128,637,212 | 121,909,323 | |
02/01/2041- 11/01/2052 | 4.000% | 104,310,349 | 97,094,305 | |
11/01/2050- 06/01/2051 | 1.500% | 40,305,491 | 30,204,962 | |
06/01/2053 | 6.500% | 3,267,538 | 3,325,099 | |
CMO Series 2003-22 Class Z | ||||
04/25/2033 | 6.000% | 76,764 | 78,128 | |
CMO Series 2003-33 Class PT | ||||
05/25/2033 | 4.500% | 3,594 | 3,479 | |
CMO Series 2007-50 Class DZ | ||||
06/25/2037 | 5.500% | 387,755 | 387,401 | |
CMO Series 2010-139 Class HA | ||||
11/25/2040 | 4.000% | 1,375,676 | 1,279,512 | |
CMO Series 2010-37 Class A1 | ||||
05/25/2035 | 5.410% | 7,427 | 7,392 | |
CMO Series 2011-18 Class ZK | ||||
03/25/2041 | 4.000% | 2,872,420 | 2,752,113 | |
CMO Series 2011-53 Class WT | ||||
06/25/2041 | 4.500% | 258,508 | 253,375 | |
CMO Series 2011-87 Class GB | ||||
09/25/2041 | 4.500% | 7,000,000 | 6,709,193 | |
CMO Series 2012-121 Class GZ | ||||
11/25/2042 | 3.500% | 9,756,708 | 8,939,560 | |
CMO Series 2012-68 Class ZA | ||||
07/25/2042 | 3.500% | 7,716,473 | 7,079,697 | |
CMO Series 2012-94 | ||||
09/25/2042 | 3.500% | 8,972,603 | 8,229,769 | |
CMO Series 2013-106 Class LA | ||||
08/25/2041 | 4.000% | 1,462,802 | 1,372,639 | |
CMO Series 2013-16 Class GD | ||||
03/25/2033 | 3.000% | 795,647 | 782,881 | |
CMO Series 2013-66 Class AP | ||||
05/25/2043 | 6.000% | 38,654 | 36,506 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-38 Class PA | ||||
06/25/2047 | 3.500% | 422,591 | 398,006 | |
CMO Series 2018-64 Class ET | ||||
09/25/2048 | 3.000% | 2,561,471 | 2,229,884 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 670,477 | 603,117 | |
CMO Series 2019-9 Class DZ | ||||
03/25/2049 | 4.000% | 3,226,938 | 2,945,253 | |
CMO Series 98-17 Class Z | ||||
04/18/2028 | 6.500% | 21,776 | 21,599 | |
Federal National Mortgage Association(r) | ||||
07/01/2051- 06/01/2062 | 2.500% | 10,371,329 | 8,470,509 | |
06/01/2056 | 4.500% | 1,706,331 | 1,628,276 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2002-59 Class HF | ||||
30-day Average SOFR + 0.464% Floor 0.350%, Cap 8.000% 08/17/2032 | 5.789% | 175 | 175 | |
CMO Series 2004-93 Class FC | ||||
30-day Average SOFR + 0.314% Floor 0.200%, Cap 8.000% 12/25/2034 | 5.636% | 204,799 | 202,956 | |
CMO Series 2006-71 Class SH | ||||
-2.6 x 30-day Average SOFR + 15.437% Cap 15.738% 05/25/2035 | 1.479% | 122,392 | 114,785 | |
CMO Series 2007-90 Class F | ||||
30-day Average SOFR + 0.604% Floor 0.490%, Cap 7.000% 09/25/2037 | 5.926% | 9,706 | 9,656 | |
CMO Series 2007-W7 Class 1A4 | ||||
-6.0 x 30-day Average SOFR + 38.493% Cap 39.180% 07/25/2037 | 6.563% | 39,381 | 46,133 | |
CMO Series 2008-15 Class AS | ||||
-5.0 x 30-day Average SOFR + 32.428% Cap 33.000% 08/25/2036 | 5.819% | 202,200 | 241,109 | |
CMO Series 2010-142 Class HS | ||||
-2.0 x 30-day Average SOFR + 9.771% Cap 10.000% 12/25/2040 | 0.000% | 452,249 | 276,829 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-150 Class FL | ||||
30-day Average SOFR + 0.664% Floor 0.550%, Cap 7.000% 10/25/2040 | 5.986% | 91,808 | 91,298 | |
CMO Series 2012-1 Class FA | ||||
30-day Average SOFR + 0.614% Floor 0.500%, Cap 6.500% 02/25/2042 | 5.936% | 696,194 | 680,954 | |
CMO Series 2012-115 Class MT | ||||
-3.0 x 30-day Average SOFR + 13.157% Cap 4.500% 10/25/2042 | 0.000% | 310,600 | 197,033 | |
CMO Series 2016-32 Class GT | ||||
-4.5 x 30-day Average SOFR + 17.485% Cap 4.500% 01/25/2043 | 0.000% | 32,299 | 19,960 | |
Federal National Mortgage Association(b),(e) | ||||
CMO Series 2004-29 Class PS | ||||
-1.0 x 30-day Average SOFR + 7.486% Cap 7.600% 05/25/2034 | 2.164% | 947,503 | 99,387 | |
CMO Series 2006-43 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.476% Cap 6.590% 06/25/2036 | 1.154% | 683,220 | 62,276 | |
CMO Series 2009-100 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 12/25/2039 | 0.764% | 2,225,846 | 211,483 | |
CMO Series 2009-87 Class NS | ||||
-1.0 x 30-day Average SOFR + 6.136% Cap 6.250% 11/25/2039 | 0.814% | 3,347,830 | 227,417 | |
CMO Series 2010-131 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.486% Cap 6.600% 11/25/2040 | 1.164% | 2,906,371 | 305,412 | |
CMO Series 2010-21 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.136% Cap 6.250% 03/25/2040 | 0.814% | 5,157,507 | 320,815 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-57 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.336% Cap 6.450% 06/25/2040 | 1.014% | 1,286,486 | 110,086 | |
CMO Series 2011-131 Class ST | ||||
-1.0 x 30-day Average SOFR + 6.426% Cap 6.540% 12/25/2041 | 1.104% | 16,426,406 | 1,976,138 | |
CMO Series 2011-47 Class GS | ||||
-1.0 x 30-day Average SOFR + 5.816% Cap 5.930% 06/25/2041 | 0.494% | 4,264,379 | 301,178 | |
CMO Series 2012-17 Class MS | ||||
-1.0 x 30-day Average SOFR + 6.586% Cap 6.700% 03/25/2027 | 1.264% | 727,158 | 9,622 | |
CMO Series 2013-10 Class SJ | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 02/25/2043 | 0.714% | 3,743,557 | 329,457 | |
CMO Series 2013-124 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.836% Cap 5.950% 12/25/2043 | 0.514% | 10,701,597 | 952,346 | |
CMO Series 2013-19 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 10/25/2041 | 0.764% | 3,384,676 | 208,358 | |
CMO Series 2013-34 Class SC | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 04/25/2043 | 0.714% | 10,538,719 | 1,115,253 | |
CMO Series 2014-40 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.586% Cap 6.700% 07/25/2044 | 1.264% | 2,698,848 | 410,853 | |
CMO Series 2014-52 Class SL | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 09/25/2044 | 0.664% | 4,478,989 | 502,337 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-81 Class SD | ||||
-1.0 x 30-day Average SOFR + 6.586% Cap 6.700% 01/25/2037 | 1.264% | 2,891,154 | 197,268 | |
CMO Series 2016-19 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 04/25/2046 | 0.664% | 3,985,431 | 224,365 | |
CMO Series 2016-32 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 10/25/2034 | 0.664% | 1,796,984 | 125,981 | |
CMO Series 2016-60 Class QS | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 09/25/2046 | 0.664% | 5,175,751 | 398,639 | |
CMO Series 2016-60 Class SD | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 09/25/2046 | 0.664% | 17,802,636 | 1,281,076 | |
CMO Series 2016-60 Class SE | ||||
-1.0 x 30-day Average SOFR + 6.136% Cap 6.250% 09/25/2046 | 0.814% | 5,074,738 | 350,717 | |
CMO Series 2016-82 Class SG | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 11/25/2046 | 0.664% | 7,168,489 | 479,364 | |
CMO Series 2016-88 Class BS | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 12/25/2046 | 0.664% | 12,234,124 | 991,491 | |
CMO Series 2016-93 Class SL | ||||
-1.0 x 30-day Average SOFR + 6.536% Cap 6.650% 12/25/2046 | 1.214% | 3,146,464 | 230,292 | |
CMO Series 2017-26 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 04/25/2047 | 0.714% | 4,795,732 | 281,479 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-57 Class SD | ||||
-1.0 x 30-day Average SOFR + 3.836% Cap 2.750% 08/25/2047 | 0.000% | 5,628,175 | 147,735 | |
CMO Series 2018-43 Class SE | ||||
-1.0 x 30-day Average SOFR + 6.136% Cap 6.250% 09/25/2038 | 0.814% | 3,881,593 | 305,258 | |
CMO Series 2018-61 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 08/25/2048 | 0.764% | 2,828,322 | 221,386 | |
CMO Series 2019-35 Class SH | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 07/25/2049 | 0.714% | 11,790,583 | 746,015 | |
CMO Series 2019-39 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 08/25/2049 | 0.664% | 10,737,892 | 738,594 | |
Federal National Mortgage Association(e) | ||||
CMO Series 2013-16 Class MI | ||||
03/25/2043 | 4.000% | 3,429,818 | 340,992 | |
CMO Series 2013-23 Class AI | ||||
03/25/2043 | 5.000% | 4,375,272 | 732,627 | |
CMO Series 2013-35 Class IB | ||||
04/25/2033 | 3.000% | 4,955,521 | 442,780 | |
CMO Series 2013-41 Class HI | ||||
02/25/2033 | 3.000% | 5,479,258 | 332,029 | |
CMO Series 2015-54 Class GI | ||||
07/25/2045 | 5.500% | 21,726,126 | 3,506,755 | |
CMO Series 2020-42 Class AI | ||||
06/25/2050 | 2.500% | 17,922,938 | 1,913,673 | |
CMO Series 2020-72 Class LI | ||||
12/25/2040 | 5.000% | 4,952,337 | 979,393 | |
CMO Series 20434 Class C24 | ||||
06/25/2053 | 4.500% | 31,452,871 | 6,953,280 | |
CMO Series 385 Class 8 | ||||
12/25/2037 | 5.500% | 1,714,299 | 332,866 | |
CMO Series 426 Class C58 | ||||
03/25/2052 | 3.000% | 36,330,070 | 6,004,674 | |
CMO Series 427 Class C17 | ||||
01/25/2035 | 3.000% | 10,631,726 | 1,026,449 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 427 Class C57 | ||||
02/25/2032 | 2.500% | 60,814,237 | 3,887,702 | |
Federal National Mortgage Association(d),(e) | ||||
CMO Series 2021-24 Class IO | ||||
03/25/2059 | 1.126% | 8,034,363 | 465,302 | |
Federal National Mortgage Association REMICS | ||||
CMO Series 2010-136 Class CY | ||||
12/25/2040 | 4.000% | 1,553,702 | 1,465,011 | |
CMO Series 2012-105 Class Z | ||||
10/25/2042 | 3.500% | 2,568,760 | 2,353,103 | |
CMO Series 2013-18 Class ZA | ||||
03/25/2043 | 3.000% | 3,371,657 | 2,995,786 | |
CMO Series 2013-70 Class JZ | ||||
07/25/2043 | 3.000% | 13,628,121 | 11,678,800 | |
CMO Series 2018-11 Class BX | ||||
12/25/2047 | 4.000% | 8,493,243 | 7,766,368 | |
CMO Series 2019-70 Class CB | ||||
12/25/2049 | 3.500% | 2,601,979 | 2,316,131 | |
CMO Series 2020-46 Class JG | ||||
07/25/2050 | 2.000% | 2,025,357 | 1,626,687 | |
Federal National Mortgage Association REMICS(e) | ||||
CMO Series 2013-10 Class GI | ||||
02/25/2033 | 3.000% | 7,118,311 | 576,276 | |
CMO Series 2017-54 Class ID | ||||
07/25/2047 | 4.000% | 2,419,047 | 439,754 | |
CMO Series 2020-47 Class DI | ||||
07/25/2050 | 4.000% | 45,446,685 | 8,914,126 | |
CMO Series 2020-74 Class HI | ||||
10/25/2050 | 5.500% | 4,768,855 | 905,984 | |
CMO Series 2020-99 Class IB | ||||
05/25/2050 | 3.500% | 10,213,500 | 1,814,039 | |
CMO Series 2021-1 Class IB | ||||
02/25/2061 | 3.500% | 13,343,779 | 2,364,360 | |
CMO Series 2021-74 Class LI | ||||
11/25/2051 | 3.500% | 21,566,836 | 4,132,299 | |
CMO Series 2021-94 Class AI | ||||
01/25/2052 | 3.000% | 26,505,862 | 4,421,048 | |
CMO Series 2022-38 Class IH | ||||
07/25/2052 | 4.500% | 2,777,777 | 648,953 | |
CMO Series 2022-5 Class LI | ||||
02/25/2052 | 3.000% | 28,797,951 | 3,633,106 | |
Federal National Mortgage Association REMICS(b),(e) | ||||
CMO Series 2013-136 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.786% Cap 5.900% 01/25/2044 | 0.464% | 9,663,644 | 812,799 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-14 Class DS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 03/25/2047 | 0.614% | 8,472,435 | 896,937 | |
CMO Series 2017-38 Class S | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 05/25/2047 | 0.664% | 15,134,316 | 1,535,936 | |
CMO Series 2018-45 Class SM | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 06/25/2048 | 0.764% | 10,884,401 | 1,253,904 | |
CMO Series 2019-25 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 06/25/2049 | 0.614% | 37,608,412 | 3,722,759 | |
CMO Series 3908 Class XS | ||||
-1.0 x 30-day Average SOFR + 6.336% Cap 6.450% 06/15/2039 | 1.011% | 8,235,796 | 747,674 | |
Government National Mortgage Association | ||||
05/15/2040- 05/20/2053 | 5.000% | 6,079,420 | 5,973,203 | |
05/20/2041- 05/20/2053 | 4.500% | 11,471,813 | 10,927,500 | |
02/15/2042- 08/20/2052 | 4.000% | 16,151,187 | 14,895,711 | |
03/20/2046- 05/20/2050 | 3.500% | 32,482,549 | 29,694,113 | |
12/20/2046- 06/20/2052 | 3.000% | 96,501,958 | 84,676,839 | |
03/20/2051- 04/20/2052 | 2.500% | 33,021,628 | 27,960,266 | |
01/20/2053- 04/20/2053 | 5.500% | 42,421,474 | 42,171,160 | |
CMO Series 2005-45 Class ZA | ||||
06/16/2035 | 6.000% | 1,680,972 | 1,703,394 | |
CMO Series 2009-104 Class YD | ||||
11/20/2039 | 5.000% | 1,247,012 | 1,246,022 | |
CMO Series 2009-55 Class LX | ||||
07/20/2039 | 5.000% | 1,543,764 | 1,538,690 | |
CMO Series 2009-67 Class DB | ||||
08/20/2039 | 5.000% | 1,694,987 | 1,689,571 | |
CMO Series 2010-108 Class WL | ||||
04/16/2040 | 4.000% | 1,720,117 | 1,649,629 | |
CMO Series 2010-120 Class AY | ||||
09/20/2040 | 4.000% | 1,581,451 | 1,506,239 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-135 Class PE | ||||
10/16/2040 | 4.000% | 3,584,257 | 3,442,016 | |
CMO Series 2014-3 Class EP | ||||
02/16/2043 | 2.750% | 4,599,343 | 4,250,725 | |
CMO Series 2016-111 Class PB | ||||
08/20/2046 | 2.500% | 1,097,000 | 783,502 | |
CMO Series 2018-1 Class LZ | ||||
01/20/2048 | 3.000% | 4,443,255 | 3,399,618 | |
CMO Series 2018-115 Class DE | ||||
08/20/2048 | 3.500% | 1,471,362 | 1,305,696 | |
CMO Series 2018-147 Class BZ | ||||
10/20/2048 | 3.500% | 4,133,389 | 3,786,856 | |
CMO Series 2018-53 Class AL | ||||
11/20/2045 | 3.500% | 733,755 | 695,155 | |
CMO Series 2019-110 Class PI | ||||
09/20/2049 | 3.500% | 21,326,988 | 3,747,551 | |
Government National Mortgage Association(b) | ||||
1-year CMT + 1.137% 03/20/2066 | 6.395% | 62,491 | 62,588 | |
1-year CMT + 0.739% 04/20/2066 | 5.996% | 178,794 | 178,579 | |
CMO Series 2006-37 Class AS | ||||
-6.0 x 1-month Term SOFR + 38.973% Cap 39.660% 07/20/2036 | 7.054% | 465,832 | 572,643 | |
CMO Series 2010-H03 Class FA | ||||
1-month Term SOFR + 0.664% Floor 0.550%, Cap 10.690% 03/20/2060 | 6.020% | 201,963 | 201,392 | |
CMO Series 2010-H26 Class LF | ||||
1-month Term SOFR + 0.464% Floor 0.350%, Cap 13.898% 08/20/2058 | 5.813% | 78,196 | 77,802 | |
CMO Series 2011-114 Class KF | ||||
1-month Term SOFR + 0.564% Floor 0.450%, Cap 6.500% 03/20/2041 | 5.884% | 29,210 | 29,179 | |
CMO Series 2012-H20 Class BA | ||||
1-month Term SOFR + 0.814% Floor 0.700%, Cap 10.500% 09/20/2062 | 6.023% | 33,430 | 32,984 | |
CMO Series 2012-H21 Class CF | ||||
1-month Term SOFR + 0.814% Floor 0.700% 05/20/2061 | 6.163% | 1,690 | 1,676 | |
CMO Series 2012-H21 Class DF | ||||
1-month Term SOFR + 0.764% Floor 0.650% 05/20/2061 | 6.113% | 1,506 | 1,493 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2012-H25 Class FA | ||||
1-month Term SOFR + 0.814% Floor 0.700% 12/20/2061 | 6.163% | 26,421 | 26,115 | |
CMO Series 2013-115 Class EF | ||||
1-month Term SOFR + 0.364% Floor 0.250%, Cap 6.500% 04/16/2028 | 5.686% | 11,300 | 11,301 | |
CMO Series 2013-H02 Class FD | ||||
1-month Term SOFR + 0.454% Floor 0.340%, Cap 10.500% 12/20/2062 | 5.803% | 66,828 | 66,381 | |
CMO Series 2013-H05 Class FB | ||||
1-month Term SOFR + 0.514% Floor 0.400% 02/20/2062 | 5.843% | 1,901 | 1,866 | |
CMO Series 2013-H08 Class BF | ||||
1-month Term SOFR + 0.514% Floor 0.400%, Cap 10.000% 03/20/2063 | 5.863% | 550,370 | 545,185 | |
CMO Series 2013-H14 Class FD | ||||
1-month Term SOFR + 0.584% Floor 0.470%, Cap 11.000% 06/20/2063 | 5.933% | 291,036 | 289,753 | |
CMO Series 2013-H17 Class FA | ||||
1-month Term SOFR + 0.664% Floor 0.550%, Cap 11.000% 07/20/2063 | 6.013% | 56,679 | 56,544 | |
CMO Series 2013-H18 Class EA | ||||
1-month Term SOFR + 0.614% Floor 0.500%, Cap 10.190% 07/20/2063 | 5.963% | 50,288 | 50,139 | |
CMO Series 2013-H19 Class FC | ||||
1-month Term SOFR + 0.714% Floor 0.600%, Cap 11.000% 08/20/2063 | 6.063% | 371,103 | 370,366 | |
CMO Series 2015-H26 Class FC | ||||
1-month Term SOFR + 0.714% Floor 0.600%, Cap 11.000% 08/20/2065 | 6.063% | 34,924 | 34,856 | |
CMO Series 2017-H03 Class FB | ||||
1-month Term SOFR + 0.764% Floor 0.650%, Cap 15.000% 06/20/2066 | 6.113% | 823,556 | 822,477 | |
CMO Series 2018-H04 Class FM | ||||
1-month Term SOFR + 0.414% Floor 0.300%, Cap 11.000% 03/20/2068 | 5.763% | 1,310,229 | 1,300,194 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-H01 Class FL | ||||
1-month Term SOFR + 0.564% Floor 0.450%, Cap 11.000% 12/20/2068 | 5.913% | 288,213 | 287,379 | |
CMO Series 2019-H10 Class FM | ||||
1-month Term SOFR + 0.514% Floor 0.400%, Cap 11.000% 05/20/2069 | 5.863% | 1,127,737 | 1,121,138 | |
CMO Series 2020-H13 Class FM | ||||
1-month Term SOFR + 0.514% Floor 0.400%, Cap 11.000% 08/20/2070 | 5.863% | 1,702,439 | 1,679,537 | |
CMO Series 2022-201 Class FB | ||||
30-day Average SOFR + 1.250% Floor 1.250%, Cap 6.500% 11/20/2052 | 6.500% | 3,417,647 | 3,413,555 | |
CMO Series 2022-H01 Class FE | ||||
1-month Term SOFR + 0.614% Floor 0.500%, Cap 99.000% 01/20/2072 | 5.824% | 10,126,124 | 10,041,094 | |
CMO Series 2022-H09 Class EF | ||||
30-day Average SOFR + 0.450% Floor 0.450%, Cap 11.000% 04/20/2072 | 5.774% | 4,191,421 | 4,163,337 | |
CMO Series 2022-H09 Class GF | ||||
30-day Average SOFR + 0.700% Floor 0.700% 04/20/2072 | 6.024% | 2,982,778 | 2,945,251 | |
CMO Series 2022-H22 Class FE | ||||
30-day Average SOFR + 1.040% Floor 1.040%, Cap 7.500% 09/20/2072 | 6.364% | 2,446,137 | 2,427,051 | |
Government National Mortgage Association(b),(e) | ||||
CMO Series 2010-31 Class ES | ||||
-1.0 x 1-month Term SOFR + 4.886% Cap 5.000% 03/20/2040 | 0.000% | 6,306,658 | 352,232 | |
CMO Series 2011-13 Class S | ||||
-1.0 x 1-month Term SOFR + 5.836% Cap 5.950% 01/16/2041 | 0.514% | 4,144,250 | 279,446 | |
CMO Series 2011-30 Class SB | ||||
-1.0 x 1-month Term SOFR + 6.486% Cap 6.600% 02/20/2041 | 1.166% | 2,008,297 | 168,440 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-155 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.586% Cap 5.700% 10/20/2045 | 0.266% | 2,690,176 | 243,045 | |
CMO Series 2017-93 Class CS | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 06/20/2047 | 0.766% | 8,314,814 | 969,694 | |
CMO Series 2019-123 Class SP | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 10/20/2049 | 0.666% | 11,300,575 | 780,536 | |
CMO Series 2019-13 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 01/20/2049 | 0.666% | 8,731,541 | 867,317 | |
CMO Series 2019-30 Class SH | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 03/20/2049 | 0.616% | 12,422,511 | 1,170,598 | |
CMO Series 2019-6 Class SJ | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 01/20/2049 | 0.666% | 7,283,071 | 513,043 | |
CMO Series 2019-86 Class SG | ||||
-1.0 x 1-month Term SOFR + 5.486% Cap 5.600% 07/20/2049 | 0.166% | 3,472,498 | 183,902 | |
Government National Mortgage Association(d) | ||||
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 6.189% | 1,295 | 978 | |
CMO Series 2017-H04 Class DA | ||||
12/20/2066 | 4.335% | 383 | 374 | |
Series 2003-72 Class Z | ||||
11/16/2045 | 5.416% | 250,410 | 247,597 | |
Government National Mortgage Association(e) | ||||
CMO Series 2013-3 Class IT | ||||
01/20/2043 | 5.000% | 2,965,093 | 599,026 | |
CMO Series 2016-88 Class PI | ||||
07/20/2046 | 4.000% | 5,497,340 | 959,646 | |
CMO Series 2016-89 Class HI | ||||
07/20/2046 | 3.500% | 2,125,207 | 362,077 | |
CMO Series 2017-101 Class AI | ||||
07/20/2047 | 4.000% | 3,682,987 | 640,150 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-52 Class AI | ||||
04/20/2047 | 6.000% | 2,698,520 | 425,838 | |
CMO Series 2017-68 Class TI | ||||
05/20/2047 | 5.500% | 1,097,596 | 168,037 | |
CMO Series 2017-88 Class JI | ||||
09/20/2046 | 5.500% | 1,749,899 | 318,242 | |
CMO Series 2019-99 Class AI | ||||
08/16/2049 | 4.000% | 5,043,183 | 1,066,546 | |
CMO Series 2020-129 Class GI | ||||
09/20/2050 | 3.000% | 26,134,402 | 4,171,294 | |
CMO Series 2020-134 Class AI | ||||
09/20/2050 | 3.000% | 9,281,510 | 1,478,419 | |
CMO Series 2020-34 Class IO | ||||
12/20/2039 | 5.000% | 7,959,454 | 1,531,470 | |
CMO Series 2021-7 Class BI | ||||
01/20/2051 | 2.000% | 41,189,708 | 4,796,179 | |
Government National Mortgage Association(d),(e) | ||||
CMO Series 2014-150 Class IO | ||||
07/16/2056 | 0.404% | 9,830,224 | 161,113 | |
CMO Series 2014-H05 Class AI | ||||
02/20/2064 | 1.421% | 4,163,671 | 151,062 | |
CMO Series 2014-H14 Class BI | ||||
06/20/2064 | 1.636% | 4,593,765 | 134,239 | |
CMO Series 2014-H15 Class HI | ||||
05/20/2064 | 1.426% | 2,654,559 | 93,239 | |
CMO Series 2014-H20 Class HI | ||||
10/20/2064 | 1.292% | 937,971 | 54,797 | |
CMO Series 2015-163 Class IO | ||||
12/16/2057 | 0.737% | 1,571,642 | 48,143 | |
CMO Series 2015-189 Class IG | ||||
01/16/2057 | 0.620% | 6,309,047 | 150,280 | |
CMO Series 2015-30 Class IO | ||||
07/16/2056 | 0.690% | 2,459,009 | 74,289 | |
CMO Series 2015-32 Class IO | ||||
09/16/2049 | 0.577% | 3,660,667 | 64,568 | |
CMO Series 2015-73 Class IO | ||||
11/16/2055 | 0.430% | 1,302,395 | 16,291 | |
CMO Series 2015-9 Class IO | ||||
02/16/2049 | 0.518% | 6,567,491 | 98,367 | |
CMO Series 2015-H22 Class BI | ||||
09/20/2065 | 1.770% | 1,527,717 | 52,506 | |
CMO Series 2016-72 Class IO | ||||
12/16/2055 | 0.765% | 6,584,862 | 173,142 | |
CMO Series 2020-171 Class IO | ||||
10/16/2060 | 0.957% | 5,967,954 | 391,703 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-32 Class IA | ||||
03/16/2047 | 3.981% | 9,406,624 | 1,438,395 | |
CMO Series 2021-33 Class IO | ||||
10/16/2062 | 0.841% | 7,768,364 | 467,276 | |
CMO Series 2021-40 Class IO | ||||
02/16/2063 | 0.824% | 6,821,109 | 407,239 | |
CMO Series 2021-H03 Class IO | ||||
04/20/2070 | 0.000% | 12,251,178 | 35,470 | |
CMO Series 2021-H08 Class IA | ||||
01/20/2068 | 0.008% | 1,684,471 | 7,726 | |
Government National Mortgage Association TBA(c) | ||||
03/20/2054 | 2.500% | 35,325,000 | 29,894,680 | |
03/20/2054 | 4.500% | 58,175,000 | 55,550,562 | |
03/20/2054 | 5.000% | 54,440,000 | 53,171,752 | |
03/20/2054 | 5.500% | 37,775,000 | 37,522,675 | |
04/18/2054 | 2.000% | 20,000,000 | 16,292,962 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-2 Class MV (FHLMC) | ||||
11/25/2057 | 3.500% | 3,887,139 | 3,523,679 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
03/13/2054 | 2.000% | 85,900,000 | 67,488,515 | |
03/13/2054 | 2.500% | 17,350,000 | 14,253,195 | |
03/13/2054 | 3.000% | 51,300,000 | 43,872,630 | |
03/13/2054 | 3.500% | 87,700,000 | 78,014,562 | |
03/13/2054- 04/11/2054 | 4.000% | 141,300,000 | 130,008,275 | |
03/13/2054 | 4.500% | 73,875,000 | 69,924,723 | |
03/13/2054 | 5.000% | 3,875,000 | 3,757,541 | |
03/13/2054- 04/11/2054 | 5.500% | 43,350,000 | 42,881,797 | |
04/11/2054 | 6.000% | 17,701,000 | 17,772,061 | |
04/11/2054 | 6.500% | 3,690,000 | 3,752,213 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $3,548,683,822) | 3,363,310,115 | |||
Residential Mortgage-Backed Securities - Non-Agency(s) 3.6% | ||||
ACE Securities Corp. Home Equity Loan Trust(b) | ||||
CMO Series 2006-OP1 Class A2D | ||||
1-month Term SOFR + 0.594% Floor 0.240% 04/25/2036 | 5.915% | 7,109,895 | 6,340,481 | |
Ajax Mortgage Loan Trust(a),(d) | ||||
CMO Series 2019-F Class A1 | ||||
07/25/2059 | 2.860% | 4,009,866 | 3,765,541 | |
Angel Oak Mortgage Trust(a),(d) | ||||
CMO Series 2022-6 Class A1 | ||||
07/25/2067 | 4.300% | 16,371,910 | 15,782,462 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2022-1 Class A3 | ||||
12/25/2056 | 3.650% | 1,000,000 | 772,081 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banc of America Funding Trust | ||||
CMO Series 2006-3 Class 4A14 | ||||
03/25/2036 | 6.000% | 319,347 | 251,017 | |
CMO Series 2006-3 Class 5A3 | ||||
03/25/2036 | 5.500% | 292,935 | 252,221 | |
Banc of America Funding Trust(t) | ||||
CMO Series 2006-D Class 3A1 | ||||
05/20/2036 | 4.423% | 612,355 | 526,780 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2007-C Class 7A1 | ||||
1-month Term SOFR + 0.534% Floor 0.420% 05/20/2047 | 5.854% | 1,344,553 | 1,199,917 | |
Bayview MSR Opportunity Master Fund Trust(a),(b) | ||||
CMO Series 2022-2 Class AF | ||||
30-day Average SOFR + 0.850% 12/25/2051 | 6.172% | 2,151,380 | 1,990,233 | |
Bayview MSR Opportunity Master Fund Trust(a),(d) | ||||
Subordinated CMO Series 2021-5 Class B1 | ||||
11/25/2051 | 3.484% | 948,863 | 792,655 | |
Subordinated CMO Series 2022-2 Class B3A | ||||
12/25/2051 | 3.401% | 1,432,877 | 1,141,671 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M2 | ||||
1-month Term SOFR + 2.814% Floor 2.700% 03/25/2029 | 8.135% | 1,319,414 | 1,327,381 | |
CMO Series 2021-3A Class M1C | ||||
30-day Average SOFR + 1.550% Floor 1.550% 09/25/2031 | 6.872% | 2,200,000 | 2,166,546 | |
CMO Series 2022-1 Class M1C | ||||
30-day Average SOFR + 3.700% Floor 3.700% 01/26/2032 | 9.021% | 2,500,000 | 2,540,959 | |
BRAVO Residential Funding Trust(a),(d) | ||||
CMO Series 2021-B Class A1 | ||||
04/01/2069 | 2.115% | 7,760,299 | 7,606,288 | |
Carrington Mortgage Loan Trust(b) | ||||
CMO Series 2006-NC3 Class A3 | ||||
1-month Term SOFR + 0.264% Floor 0.150%, Cap 12.500% 08/25/2036 | 5.735% | 1,218,561 | 1,155,441 | |
CMO Series 2006-NC3 Class A4 | ||||
1-month Term SOFR + 0.354% Floor 0.240%, Cap 12.500% 08/25/2036 | 5.915% | 9,300,000 | 7,427,486 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chase Mortgage Finance Corp.(a),(d) | ||||
Subordinated CMO Series 2019-1 Class B2 | ||||
03/25/2050 | 3.890% | 907,446 | 787,681 | |
Subordinated Series 2016-SH1 Class M2 | ||||
04/25/2045 | 3.750% | 182,820 | 164,653 | |
CIM Group(a),(d) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 5,585,222 | 4,843,807 | |
CIM Trust(a),(d) | ||||
CMO Series 2019-J2 Class B1 | ||||
10/25/2049 | 3.768% | 804,259 | 705,291 | |
CMO Series 2019-R5 Class M2 | ||||
09/25/2059 | 3.250% | 1,100,000 | 967,092 | |
CMO Series 2020-R6 Class A1A | ||||
12/25/2060 | 2.250% | 3,682,386 | 3,191,288 | |
CMO Series 2021-NR2 Class A1 | ||||
07/25/2059 | 2.568% | 3,987,044 | 3,948,395 | |
CMO Series 2021-R3 Class A1 | ||||
06/25/2057 | 1.951% | 4,773,904 | 4,185,097 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 6,975,114 | 6,134,221 | |
CMO Series 2022-I1 Class A1 | ||||
02/25/2067 | 4.350% | 5,405,290 | 5,235,523 | |
CMO Series 2023-NR2 Class A1 | ||||
06/25/2062 | 6.000% | 5,540,130 | 5,373,679 | |
CMO Series 2023-R1 Class A1A | ||||
04/25/2062 | 5.400% | 11,870,206 | 11,332,915 | |
CMO Series 2023-R3 Class A1A | ||||
01/25/2063 | 4.500% | 10,210,409 | 9,378,730 | |
Citicorp Mortgage Securities Trust | ||||
CMO Series 2007-8 Class 1A3 | ||||
09/25/2037 | 6.000% | 178,011 | 172,307 | |
Citigroup Mortgage Loan Trust(a),(d) | ||||
CMO Series 2022-A Class A1 | ||||
09/25/2062 | 6.170% | 2,140,006 | 2,122,026 | |
Citigroup Mortgage Loan Trust, Inc.(a),(d) | ||||
Subordinated CMO Series 2021-J2 Class B3W | ||||
07/25/2051 | 2.769% | 462,333 | 364,363 | |
Connecticut Avenue Securities(a),(b) | ||||
CMO Series 2023-R07 Class 2M2 | ||||
30-day Average SOFR + 3.250% 09/25/2043 | 8.572% | 1,000,000 | 1,049,510 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-R01 Class 2M2 | ||||
30-day Average SOFR + 2.564% 07/25/2031 | 7.886% | 65,235 | 65,396 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-R02 Class 2M2 | ||||
30-day Average SOFR + 2.114% 01/25/2040 | 7.436% | 195,671 | 197,773 | |
CMO Series 2020-SBT1 Class 1M2 | ||||
30-day Average SOFR + 3.764% 02/25/2040 | 9.086% | 1,500,000 | 1,578,640 | |
CMO Series 2020-SBT1 Class 2M2 | ||||
30-day Average SOFR + 3.764% 02/25/2040 | 9.086% | 3,500,000 | 3,678,618 | |
CMO Series 2022-R07 Class 1M2 | ||||
30-day Average SOFR + 4.650% 06/25/2042 | 9.972% | 2,700,000 | 2,939,298 | |
CMO Series 2023-R01 Class 1M2 | ||||
30-day Average SOFR + 3.750% 12/25/2042 | 9.072% | 3,750,000 | 4,008,111 | |
Subordinated CMO Series 2019-R05 Class 1B1 | ||||
30-day Average SOFR + 4.214% 07/25/2039 | 9.536% | 1,459,870 | 1,518,265 | |
Subordinated CMO Series 2020-R02 Class 2B1 | ||||
30-day Average SOFR + 3.114% 01/25/2040 | 8.436% | 5,250,000 | 5,349,084 | |
Subordinated CMO Series 2022-R02 Class 2B1 | ||||
30-day Average SOFR + 4.500% 01/25/2042 | 9.822% | 1,000,000 | 1,046,669 | |
Subordinated CMO Series 2022-R04 Class 1B1 | ||||
30-day Average SOFR + 5.250% 03/25/2042 | 10.572% | 750,000 | 809,827 | |
Countrywide Home Loan Mortgage Pass-Through Trust(d) | ||||
CMO Series 2007-HY5 Class 1A1 | ||||
09/25/2047 | 4.754% | 289,230 | 214,389 | |
Credit Suisse Mortgage Capital Trust(a),(d) | ||||
CMO Series 2021-RP11 Class PT | ||||
10/25/2061 | 3.758% | 7,426,859 | 5,893,099 | |
Credit Suisse Mortgage Trust(a),(d) | ||||
CMO Series 2022-ATH2 Class A1 | ||||
05/25/2067 | 4.547% | 6,267,981 | 5,936,034 | |
CMO Series 2022-ATH3 Class A3 | ||||
08/25/2067 | 6.567% | 1,332,151 | 1,316,983 | |
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 3,718,204 | 3,670,543 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit-Based Asset Servicing & Securitization LLC(d) | ||||
CMO Series 2007-CB1 Class AF3 | ||||
01/25/2037 | 5.737% | 3,339,323 | 1,008,060 | |
CSMC Trust(a),(d) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 4,812,283 | 4,539,672 | |
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.531% | 3,151,888 | 3,309,668 | |
CMO Series 2020-RPL6 Class A1 | ||||
03/25/2059 | 3.385% | 2,350,936 | 2,342,015 | |
CMO Series 2021-NQM6 Class A1 | ||||
07/25/2066 | 1.174% | 7,494,131 | 6,085,829 | |
CMO Series 2022-RPL4 Class A1 | ||||
04/25/2062 | 3.904% | 2,498,873 | 2,332,983 | |
CSMCM Trust(a) | ||||
CMO Series 2021-RP11 Class CERT | ||||
10/27/2061 | 3.778% | 307,032 | 227,147 | |
CSMCM Trust Certificates(a),(d) | ||||
CMO Series 2018-RPL4 Class CERT | ||||
07/25/2050 | 3.735% | 1,384,136 | 1,234,727 | |
Deephaven Residential Mortgage Trust(a),(d) | ||||
CMO Series 2021-4 Class M1 | ||||
11/25/2066 | 3.257% | 2,000,000 | 1,427,047 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
CMO Series 2015-1A Class A2II | ||||
10/25/2045 | 4.474% | 1,855,000 | 1,816,048 | |
Downey Savings & Loan Association Mortgage Loan Trust(b) | ||||
CMO Series 2005-AR6 Class 2A1A | ||||
1-month Term SOFR + 0.694% Floor 0.290%, Cap 11.000% 10/19/2045 | 6.014% | 1,091,295 | 910,228 | |
CMO Series 2006-AR2 Class 2A1A | ||||
1-month Term SOFR + 0.314% Floor 0.200% 10/19/2036 | 5.834% | 1,786,694 | 1,168,875 | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2006-FF18 Class A2D | ||||
1-month Term SOFR + 0.324% Floor 0.210% 12/25/2037 | 5.855% | 1,169,512 | 1,036,686 | |
CMO Series 2007-FF2 Class A2B | ||||
1-month Term SOFR + 0.214% Floor 0.100% 03/25/2037 | 5.635% | 3,157,630 | 1,507,477 | |
First Horizon Mortgage Pass-Through Trust(d) | ||||
CMO Series 2007-AR1 Class 1A1 | ||||
05/25/2037 | 4.726% | 197,253 | 84,015 | |
Flagstar Mortgage Trust(a),(d) | ||||
Subordinated CMO Series 2018-5 Class B3 | ||||
09/25/2048 | 4.455% | 878,895 | 800,418 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2019-2 Class B1 | ||||
12/25/2049 | 4.007% | 849,536 | 749,313 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
12/25/2049 | 4.007% | 908,595 | 798,301 | |
Subordinated CMO Series 2021-12 Class B2 | ||||
11/25/2051 | 2.982% | 1,232,687 | 961,297 | |
Freddie Mac STACR Remic Trust(a),(b) | ||||
CMO Series 2022-DNA2 Class M2 | ||||
30-day Average SOFR + 3.750% 02/25/2042 | 9.072% | 4,500,000 | 4,695,480 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2021-DNA5 Class M2 | ||||
30-day Average SOFR + 1.650% 01/25/2034 | 6.972% | 937,580 | 941,481 | |
CMO Series 2021-DNA6 Class M2 | ||||
30-day Average SOFR + 1.500% 10/25/2041 | 6.822% | 2,161,000 | 2,155,597 | |
CMO Series 2021-HQA1 Class B1 | ||||
30-day Average SOFR + 3.000% 08/25/2033 | 8.322% | 6,500,000 | 6,889,656 | |
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 7.572% | 10,151,388 | 10,338,331 | |
CMO Series 2021-HQA3 Class M2 | ||||
30-day Average SOFR + 2.100% 09/25/2041 | 7.422% | 2,410,000 | 2,435,680 | |
CMO Series 2021-HQA4 Class M2 | ||||
30-day Average SOFR + 2.350% 12/25/2041 | 7.672% | 3,000,000 | 3,046,438 | |
CMO Series 2022-DNA1 Class M2 | ||||
30-day Average SOFR + 2.500% 01/25/2042 | 7.822% | 4,875,000 | 4,923,689 | |
CMO Series 2022-DNA3 Class M1B | ||||
30-day Average SOFR + 2.900% 04/25/2042 | 8.222% | 4,140,000 | 4,282,440 | |
CMO Series 2022-HQA3 Class M2 | ||||
30-day Average SOFR + 5.350% 08/25/2042 | 10.672% | 1,500,000 | 1,617,840 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2021-DNA3 Class B1 | ||||
30-day Average SOFR + 3.500% 10/25/2033 | 8.822% | 2,025,000 | 2,223,144 | |
Subordinated CMO Series 2021-DNA6 Class B1 | ||||
30-day Average SOFR + 3.400% 10/25/2041 | 8.722% | 2,000,000 | 2,059,612 | |
Subordinated CMO Series 2021-DNA7 Class M2 | ||||
30-day Average SOFR + 1.800% 11/25/2041 | 7.122% | 960,000 | 966,894 | |
Subordinated CMO Series 2021-HQA3 Class B1 | ||||
30-day Average SOFR + 3.350% 09/25/2041 | 8.672% | 620,000 | 634,700 | |
Subordinated CMO Series 2022-DNA6 Class M2 | ||||
30-day Average SOFR + 5.750% 09/25/2042 | 11.072% | 6,000,000 | 6,702,787 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 7.922% | 3,851,106 | 3,929,519 | |
CMO Series 2022-DNA2 Class M1B | ||||
30-day Average SOFR + 2.400% 02/25/2042 | 7.722% | 5,000,000 | 5,094,738 | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 9.322% | 1,805,000 | 1,993,918 | |
Subordinated CMO Series 2021-DNA7 Class B1 | ||||
30-day Average SOFR + 3.650% 11/25/2041 | 8.972% | 710,000 | 730,963 | |
Subordinated CMO Series 2022-DNA2 Class B1 | ||||
30-day Average SOFR + 4.750% 02/25/2042 | 10.072% | 2,000,000 | 2,093,215 | |
Galton Funding Mortgage Trust(a),(d) | ||||
CMO Series 2019-1 Class B1 | ||||
02/25/2059 | 4.250% | 1,570,369 | 1,447,248 | |
CMO Series 2019-1 Class B2 | ||||
02/25/2059 | 4.500% | 881,881 | 818,981 | |
Subordinated CMO Series 2018-2 Class B2 | ||||
10/25/2058 | 4.750% | 463,308 | 441,888 | |
GCAT LLC(a),(d) | ||||
CMO Series 2021-1 Class A1 | ||||
11/25/2049 | 2.487% | 5,299,849 | 5,042,416 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Genworth Mortgage Insurance Corp.(a),(b) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 8.245% | 1,000,000 | 1,009,164 | |
GS Mortgage-Backed Securities Corp. Trust(a),(d) | ||||
CMO Series 2019-PJ3 Class A1 | ||||
03/25/2050 | 3.500% | 16,611 | 15,052 | |
GS Mortgage-Backed Securities Trust(a),(d) | ||||
CMO Series 2021-PJ10 Class A8 | ||||
03/25/2052 | 2.500% | 805,293 | 694,552 | |
CMO Series 2023-PJ4 Class A3 | ||||
01/25/2054 | 6.000% | 2,310,079 | 2,290,047 | |
Subordinated CMO Series 2021-GR3 Class B3 | ||||
04/25/2052 | 3.382% | 977,304 | 781,516 | |
GSAMP Trust(b) | ||||
CMO Series 2004-OPT Class M1 | ||||
1-month Term SOFR + 0.984% Floor 0.580% 11/25/2034 | 6.305% | 817,325 | 762,048 | |
GSR Mortgage Loan Trust(d) | ||||
CMO Series 2006-AR2 Class 2A1 | ||||
04/25/2036 | 4.276% | 917,342 | 596,326 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month Term SOFR + 0.314% Floor 0.200% 11/19/2036 | 5.634% | 5,353,941 | 4,205,671 | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2006-OPT1 Class M1 | ||||
1-month Term SOFR + 0.654% Floor 0.360% 12/25/2035 | 5.975% | 25,009 | 24,954 | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2007-S1 Class A1 | ||||
1-month Term SOFR + 0.674% Floor 0.280%, Cap 11.500% 04/25/2047 | 5.995% | 2,243,596 | 2,115,887 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2007-CH5 Class A5 | ||||
1-month Term SOFR + 0.374% Floor 0.260% 06/25/2037 | 5.695% | 133,576 | 133,359 | |
JPMorgan Mortgage Trust(a),(d) | ||||
CMO Series 2018-5 Class A13 | ||||
10/25/2048 | 3.500% | 865,399 | 735,519 | |
CMO Series 2018-6 Class 1A10 | ||||
12/25/2048 | 3.500% | 131,504 | 115,007 | |
CMO Series 2019-1 Class A3 | ||||
05/25/2049 | 4.000% | 224,139 | 205,790 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-2 Class A3 | ||||
08/25/2049 | 4.000% | 71,601 | 66,307 | |
CMO Series 2019-5 Class A3 | ||||
11/25/2049 | 4.000% | 176,843 | 161,975 | |
CMO Series 2019-8 Class A15 | ||||
03/25/2050 | 3.500% | 134,060 | 117,624 | |
CMO Series 2019-HYB1 Class B1 | ||||
10/25/2049 | 4.892% | 935,162 | 882,648 | |
CMO Series 2019-INV2 Class A3 | ||||
02/25/2050 | 3.500% | 124,177 | 109,117 | |
CMO Series 2019-LTV3 Class B3 | ||||
03/25/2050 | 4.379% | 1,550,574 | 1,407,727 | |
CMO Series 2020-1 Class A15 | ||||
06/25/2050 | 3.500% | 412,866 | 359,178 | |
CMO Series 2020-2 Class A15 | ||||
07/25/2050 | 3.500% | 261,267 | 228,191 | |
CMO Series 2020-5 Class A15 | ||||
12/25/2050 | 3.000% | 193,513 | 162,244 | |
CMO Series 2020-5 Class B1 | ||||
12/25/2050 | 3.572% | 919,387 | 783,591 | |
CMO Series 2021-13 Class A3 | ||||
04/25/2052 | 2.500% | 9,552,411 | 7,607,227 | |
CMO Series 2024-1 Class A9 | ||||
06/25/2054 | 6.000% | 1,482,152 | 1,454,478 | |
Subordinated CMO Series 2017-1 Class B4 | ||||
01/25/2047 | 3.452% | 386,961 | 338,575 | |
Subordinated CMO Series 2017-3 Class B1 | ||||
08/25/2047 | 3.763% | 1,160,675 | 1,050,719 | |
Subordinated CMO Series 2017-6 Class B2 | ||||
12/25/2048 | 3.779% | 503,558 | 442,367 | |
Subordinated CMO Series 2018-8 Class B1 | ||||
01/25/2049 | 4.041% | 1,051,857 | 937,573 | |
Subordinated CMO Series 2018-8 Class B2 | ||||
01/25/2049 | 4.041% | 876,548 | 778,576 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
08/25/2049 | 4.456% | 2,070,775 | 1,891,768 | |
Subordinated CMO Series 2019-6 Class B1 | ||||
12/25/2049 | 4.245% | 909,516 | 823,387 | |
Subordinated CMO Series 2019-8 Class B3A | ||||
03/25/2050 | 3.425% | 1,824,390 | 1,508,531 | |
Subordinated CMO Series 2019-LTV1 Class B2 | ||||
06/25/2049 | 4.595% | 1,364,883 | 1,286,991 | |
Subordinated CMO Series 2019-LTV2 Class B2 | ||||
12/25/2049 | 4.701% | 1,056,001 | 1,006,917 | |
Subordinated CMO Series 2019-LTV2 Class B3 | ||||
12/25/2049 | 4.701% | 880,001 | 828,259 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-8 Class B2 | ||||
03/25/2051 | 3.515% | 1,821,482 | 1,546,652 | |
Subordinated CMO Series 2021-14 Class B2 | ||||
05/25/2052 | 3.158% | 1,426,680 | 1,136,155 | |
Subordinated CMO Series 2023-10 Class B3 | ||||
05/25/2054 | 6.534% | 996,464 | 982,023 | |
Subordinated CMO Series 2023-8 Class B3 | ||||
02/25/2054 | 6.356% | 1,988,192 | 1,949,976 | |
JPMorgan Mortgage Trust(a),(b) | ||||
CMO Series 2018-7FRB Class A1 | ||||
1-month Term SOFR + 0.864% 04/25/2046 | 6.200% | 456,093 | 431,553 | |
CMO Series 2023-HE2 Class A1 | ||||
30-day Average SOFR + 1.700% 03/25/2054 | 7.024% | 537,547 | 540,692 | |
CMO Series 2023-HE3 Class A1 | ||||
30-day Average SOFR + 1.600% 05/25/2054 | 6.945% | 592,915 | 595,118 | |
JPMorgan Trust(a),(d) | ||||
Subordinated CMO Series 2015-3 Class B3 | ||||
05/25/2045 | 3.598% | 377,621 | 346,054 | |
Legacy Mortgage Asset Trust(a),(d) | ||||
CMO Series 2019-PR1 Class A1 | ||||
09/25/2059 | 7.858% | 5,434,066 | 5,416,030 | |
CMO Series 2020-GS1 Class A1 | ||||
10/25/2059 | 6.882% | 2,748,443 | 2,748,658 | |
CMO Series 2020-GS2 Class A1 | ||||
03/25/2060 | 2.750% | 9,972,624 | 9,964,843 | |
CMO Series 2020-SL1 Class A | ||||
01/25/2060 | 2.734% | 103,850 | 103,779 | |
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 905,382 | 884,437 | |
CMO Series 2021-SL1 Class A | ||||
09/25/2060 | 1.991% | 441,102 | 439,343 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 221,433 | 212,978 | |
Lehman XS Trust(b) | ||||
CMO Series 2005-5N Class 3A1A | ||||
1-month Term SOFR + 0.414% Floor 0.300% 11/25/2035 | 6.035% | 261,985 | 256,836 | |
CMO Series 2006-2N Class 1A1 | ||||
1-month Term SOFR + 0.634% Floor 0.260% 02/25/2046 | 5.955% | 1,059,191 | 902,706 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
loanDepot GMSR Master Trust(a),(b) | ||||
Series 2018-GT1 Class A | ||||
1-month Term SOFR + 2.914% Floor 2.800% 10/16/2025 | 7.116% | 1,300,000 | 1,244,973 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A | ||||
1-month Term SOFR + 0.414% Floor 0.150% 11/25/2036 | 5.735% | 3,383,732 | 2,374,269 | |
CMO Series 2006-11 Class 2A2 | ||||
1-month Term SOFR + 0.214% Floor 0.100% 12/25/2036 | 5.635% | 28,908,760 | 10,096,228 | |
MASTR Alternative Loan Trust | ||||
CMO Series 2004-12 Class 4A1 | ||||
12/25/2034 | 5.500% | 328,782 | 316,629 | |
Mello Mortgage Capital Acceptance Trust(a),(d) | ||||
Subordinated CMO Series 2021-INV1 Class B3 | ||||
06/25/2051 | 2.964% | 1,911,224 | 1,483,355 | |
Merrill Lynch First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2007-1 Class A2D | ||||
1-month Term SOFR + 0.454% Floor 0.340% 04/25/2037 | 5.775% | 15,413,073 | 6,003,495 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-5 Class A1 | ||||
1-month Term SOFR + 0.634% Floor 0.260%, Cap 11.500% 12/25/2035 | 5.955% | 395,103 | 378,859 | |
New Residential Mortgage Loan Trust(a),(b) | ||||
CMO Series 2018-4A Class A1S | ||||
1-month Term SOFR + 0.864% Floor 0.750% 01/25/2048 | 6.185% | 775,826 | 761,648 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 7.372% | 404,186 | 404,922 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 8.322% | 2,250,000 | 2,291,748 | |
Oaktown Re VII Ltd.(a),(b) | ||||
CMO Series 2021-2 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 04/25/2034 | 8.245% | 2,200,000 | 2,218,271 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-2 Class M1C | ||||
30-day Average SOFR + 3.350% Floor 3.350% 04/25/2034 | 8.695% | 2,000,000 | 2,028,865 | |
OBX Trust(a),(d) | ||||
CMO Series 2019-EXP1 Class 1A3 | ||||
01/25/2059 | 4.000% | 37,467 | 35,945 | |
CMO Series 2019-INV2 Class A25 | ||||
05/27/2049 | 4.000% | 84,320 | 76,816 | |
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-4 Class M2 | ||||
1-month Term SOFR + 0.864% Floor 0.500% 11/25/2035 | 6.185% | 11,526,000 | 11,064,710 | |
Preston Ridge Partners Mortgage Trust(a),(d) | ||||
CMO Series 2022-4 Class A1 | ||||
08/25/2027 | 5.000% | 2,839,985 | 2,826,233 | |
Pretium Mortgage Credit Partners LLC(a),(d) | ||||
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 5,319,979 | 5,094,728 | |
CMO Series 2022-RN2 Class A1 | ||||
06/25/2052 | 5.000% | 7,644,096 | 7,434,665 | |
CMO Series 2022-RN2 Class A2 | ||||
06/25/2052 | 6.500% | 13,780,000 | 13,070,749 | |
Radnor RE Ltd.(a),(b) | ||||
CMO Series 2021-1 Class M1C | ||||
30-day Average SOFR + 2.700% Floor 2.700% 12/27/2033 | 7.322% | 3,000,000 | 3,026,474 | |
RALI Trust(d) | ||||
CMO Series 2005-QA4 Class A41 | ||||
04/25/2035 | 4.342% | 6,716 | 6,647 | |
RALI Trust(d),(e) | ||||
CMO Series 2006-QS18 Class 1AV | ||||
12/25/2036 | 0.473% | 18,218,644 | 305,729 | |
CMO Series 2007-QS1 Class 2AV | ||||
01/25/2037 | 0.156% | 19,904,081 | 98,324 | |
Rathlin Residential(a),(b) | ||||
CMO Series 2021-1A Class A | ||||
1-month EURIBOR + 2.000% 09/27/2075 | 5.851% | EUR | 1,950,391 | 2,069,792 |
RCKT Mortgage Trust(a),(d) | ||||
Subordinated CMO Series 2019-1 Class B4 | ||||
09/25/2049 | 3.838% | 3,514,678 | 2,921,170 | |
RFMSI Trust(d) | ||||
CMO Series 2005-SA5 Class 1A | ||||
11/25/2035 | 4.033% | 589,679 | 346,043 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-SA4 Class 2A1 | ||||
11/25/2036 | 5.554% | 137,254 | 116,973 | |
Seasoned Credit Risk Transfer Trust(d) | ||||
CMO Series 2017-3SC Class HT (FHLMC) | ||||
07/25/2056 | 3.250% | 16,469,828 | 14,186,219 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2017-4 Class M45T | ||||
06/25/2057 | 4.500% | 2,230,620 | 2,151,721 | |
CMO Series 2018-2 Class HT (FHLMC) | ||||
11/25/2057 | 3.000% | 256,980 | 220,138 | |
CMO Series 2018-3 Class HT (FHLMC) | ||||
08/25/2057 | 3.000% | 352,181 | 299,426 | |
CMO Series 2018-4 Class HT (FHLMC) | ||||
03/25/2058 | 3.000% | 235,853 | 200,854 | |
CMO Series 2019-1 Class HT (FHLMC) | ||||
07/25/2058 | 3.000% | 941,371 | 804,116 | |
CMO Series 2019-2 Class HT (FHLMC) | ||||
08/25/2058 | 3.000% | 173,913 | 149,107 | |
CMO Series 2019-3 Class HT (FHLMC) | ||||
10/25/2058 | 3.000% | 69,866 | 59,642 | |
Sequoia Mortgage Trust(a),(d) | ||||
CMO Series 2019-4 Class A19 | ||||
11/25/2049 | 3.500% | 137,604 | 119,131 | |
CMO Series 2019-CH2 Class A1 | ||||
08/25/2049 | 4.500% | 21,400 | 20,957 | |
CMO Series 2021-5 Class A19 | ||||
07/25/2051 | 2.500% | 645,919 | 505,507 | |
Subordinated CMO Series 2018-6 Class B1 | ||||
07/25/2048 | 4.162% | 1,072,727 | 980,748 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
06/25/2049 | 4.259% | 1,729,573 | 1,568,608 | |
Subordinated CMO Series 2020-3 Class B2 | ||||
04/25/2050 | 3.320% | 967,011 | 816,600 | |
Subordinated CMO Series 2023-3 Class B3 | ||||
09/25/2053 | 6.237% | 1,361,635 | 1,335,308 | |
Starwood Mortgage Residential Trust(a),(d) | ||||
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 5,339,536 | 4,322,820 | |
Structured Adjustable Rate Mortgage Loan Trust(d) | ||||
CMO Series 2004-20 Class 1A2 | ||||
01/25/2035 | 5.351% | 320,155 | 290,895 | |
CMO Series 2006-5 Class 1A1 | ||||
06/25/2036 | 4.532% | 587,151 | 522,544 | |
Texas Capital Bank NA(a),(b) | ||||
CMO Series 2021 Class NOTE | ||||
3-month USD LIBOR + 4.500% 09/30/2024 | 10.092% | 5,338,182 | 5,308,865 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(d) | ||||
CMO Series 2022-INV2 Class A1 | ||||
06/25/2057 | 4.350% | 5,565,209 | 5,402,073 | |
Towd Point HE Trust(a) | ||||
CMO Series 2023-1 Class A1A | ||||
02/25/2063 | 6.875% | 890,699 | 888,653 | |
Verus Securitization Trust(a),(d) | ||||
CMO Series 2022-INV1 Class A3 | ||||
08/25/2067 | 5.830% | 1,725,165 | 1,718,339 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A3 | ||||
1-month Term SOFR + 0.264% Floor 0.150% 01/25/2037 | 5.585% | 3,198,891 | 1,475,616 | |
WaMu Mortgage Pass-Through Certificates Trust(d) | ||||
CMO Series 2003-AR8 Class A | ||||
08/25/2033 | 5.552% | 177,825 | 168,946 | |
CMO Series 2004-AR4 Class A6 | ||||
06/25/2034 | 5.050% | 1,470,751 | 1,366,550 | |
CMO Series 2004-AR7 Class A6 | ||||
07/25/2034 | 4.947% | 671,801 | 620,576 | |
CMO Series 2007-HY1 Class 3A3 | ||||
02/25/2037 | 4.175% | 2,101,368 | 1,719,550 | |
CMO Series 2007-HY3 Class 1A1 | ||||
03/25/2037 | 3.516% | 379,404 | 295,678 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR11 Class A1A | ||||
1-month Term SOFR + 0.754% Floor 0.320%, Cap 10.500% 08/25/2045 | 6.075% | 521,103 | 501,921 | |
CMO Series 2005-AR17 Class A1A1 | ||||
1-month Term SOFR + 0.654% Floor 0.270%, Cap 10.500% 12/25/2045 | 5.975% | 1,797,922 | 1,670,581 | |
CMO Series 2005-AR2 Class 2A1A | ||||
1-month Term SOFR + 0.734% Floor 0.310%, Cap 10.500% 01/25/2045 | 6.055% | 450,500 | 438,690 | |
CMO Series 2005-AR9 Class A1A | ||||
1-month Term SOFR + 0.754% Floor 0.320%, Cap 10.500% 07/25/2045 | 6.075% | 414,809 | 399,110 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 6.029% | 1,060,902 | 936,732 | |
CMO Series 2006-AR5 Class A12A | ||||
1-year MTA + 0.980% Floor 0.980% 06/25/2046 | 6.069% | 320,882 | 282,047 |
Residential Mortgage-Backed Securities - Non-Agency(s) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-OC2 Class A3 | ||||
1-month Term SOFR + 0.734% Floor 0.310% 06/25/2037 | 6.055% | 1,611,909 | 1,490,072 | |
Wells Fargo Mortgage-Backed Securities Trust(a),(d) | ||||
CMO Series 2019-1 Class A1 | ||||
11/25/2048 | 3.932% | 34,281 | 31,990 | |
Subordinated CMO Series 2018-1 Class B3 | ||||
07/25/2047 | 3.658% | 1,034,837 | 878,157 | |
Subordinated CMO Series 2020-1 Class B3 | ||||
12/25/2049 | 3.379% | 1,850,419 | 1,563,690 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $485,507,401) | 461,252,060 | |||
Senior Loans 0.4% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(u) | ||||
Tranche I Term Loan | ||||
3-month Term SOFR + 3.250% 08/24/2028 | 8.598% | 693,421 | 694,531 | |
Automotive 0.0% | ||||
First Brands Group LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 5.000% Floor 1.000% 03/30/2027 | 10.574% | 187,035 | 187,269 | |
Tenneco, Inc.(b),(u) | ||||
Tranche A 1st Lien Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.500% 11/17/2028 | 10.169% | 1,386,499 | 1,294,643 | |
Total | 1,481,912 | |||
Brokerage/Asset Managers/Exchanges 0.0% | ||||
Deerfield Dakota Holding LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.750% Floor 1.000% 04/09/2027 | 9.098% | 712,738 | 703,630 | |
Hudson River Trading LLC(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 03/20/2028 | 8.441% | 1,145,016 | 1,136,611 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Jane Street Group LLC(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% 01/26/2028 | 7.941% | 593,492 | 591,901 | |
Total | 2,432,142 | |||
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC(b),(u) | ||||
Tranche B2 Term Loan | ||||
3-month Term SOFR + 1.750% 02/01/2027 | 7.076% | 239,975 | 238,962 | |
CSC Holdings LLC(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 2.500% 04/15/2027 | 7.932% | 3,090,394 | 2,886,150 | |
1-month Term SOFR + 4.500% 01/18/2028 | 9.818% | 1,917,900 | 1,862,358 | |
Virgin Media Bristol LLC(b),(u) | ||||
Tranche N Term Loan | ||||
1-month Term SOFR + 2.500% 01/31/2028 | 7.932% | 1,250,000 | 1,237,212 | |
Tranche Y Term Loan | ||||
6-month Term SOFR + 3.250% 03/31/2031 | 8.790% | 350,000 | 347,246 | |
Total | 6,571,928 | |||
Chemicals 0.0% | ||||
Chemours Co. (The)(b),(u) | ||||
Tranche B3 Term Loan | ||||
1-month Term SOFR + 3.500% 08/18/2028 | 8.826% | 653,146 | 640,083 | |
Consumer Cyclical Services 0.0% | ||||
8th Avenue Food & Provisions, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% 10/01/2025 | 9.191% | 63,953 | 63,002 | |
Amentum Government Services Holdings LLC(b),(u) | ||||
Tranche 1 1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% 01/29/2027 | 9.441% | 307,305 | 307,050 | |
Arches Buyer, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 12/06/2027 | 8.676% | 255,462 | 244,285 | |
Match Group, Inc.(b),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 1.750% 02/13/2027 | 7.270% | 108,063 | 107,658 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Pre-Paid Legal Services, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 12/15/2028 | 9.191% | 260,107 | 259,402 | |
Spin Holdco, Inc.(b),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% Floor 0.750% 03/04/2028 | 9.625% | 721,849 | 654,306 | |
TruGreen LP(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.750% 11/02/2027 | 9.426% | 284,584 | 274,726 | |
Total | 1,910,429 | |||
Consumer Products 0.0% | ||||
Osmosis Buyer Ltd.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.500% 07/31/2028 | 9.080% | 339,387 | 338,291 | |
Diversified Manufacturing 0.0% | ||||
Filtration Group Corp.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 10/21/2028 | 9.691% | 186,794 | 186,829 | |
Environmental 0.0% | ||||
Patriot Container Corp./Wastequip(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 1.000% 03/20/2025 | 9.176% | 126,072 | 122,014 | |
Finance Companies 0.0% | ||||
Avolon Borrower 1 LLC(b),(u) | ||||
Tranche B6 Term Loan | ||||
1-month Term SOFR + 2.000% Floor 0.500% 06/22/2028 | 7.320% | 572,699 | 572,424 | |
Food and Beverage 0.0% | ||||
City Brewing Co. LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.750% 04/05/2028 | 9.078% | 488,038 | 367,493 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
H-Food Holdings LLC/Hearthside Food Solutions LLC(b),(r),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 3.688% 05/23/2025 | 9.292% | 192,966 | 141,795 | |
Naked Juice LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 01/24/2029 | 8.698% | 1,541,168 | 1,449,468 | |
2nd Lien Term Loan | ||||
3-month Term SOFR + 6.000% Floor 0.500% 01/24/2030 | 11.448% | 251,405 | 201,989 | |
Triton Water Holdings, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.250% Floor 0.500% 03/31/2028 | 8.860% | 268,653 | 263,672 | |
Total | 2,424,417 | |||
Gaming 0.0% | ||||
Churchill Downs, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.000% 03/17/2028 | 7.426% | 99,235 | 99,111 | |
Health Care 0.0% | ||||
Avantor Funding, Inc.(b),(u) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.250% Floor 0.500% 11/08/2027 | 7.676% | 408,107 | 408,315 | |
Bausch & Lomb Corp.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 05/10/2027 | 8.671% | 216,817 | 214,547 | |
Bausch & Lomb Corp. (b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 4.000% Floor 0.500% 09/29/2028 | 9.326% | 443,558 | 441,894 | |
Gainwell Acquisition Corp.(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month Term SOFR + 4.000% Floor 0.750% 10/01/2027 | 9.448% | 734,848 | 698,106 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
ICON PLC(b),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 2.250% Floor 0.500% 07/03/2028 | 7.860% | 452,849 | 453,388 | |
3-month Term SOFR + 2.250% Cap 0.500% 07/03/2028 | 7.860% | 112,827 | 112,962 | |
Medline Borrower LP(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 10/23/2028 | 8.441% | 491,250 | 491,274 | |
Star Parent, Inc.(b),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 4.000% 09/27/2030 | 9.348% | 362,893 | 358,132 | |
Total | 3,178,618 | |||
Leisure 0.0% | ||||
William Morris Endeavor Entertainment LLC/IMG Worldwide Holdings LLC(b),(u) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month Term SOFR + 2.750% 05/18/2025 | 8.191% | 534,490 | 533,630 | |
Media and Entertainment 0.0% | ||||
Diamond Sports Group LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 8.000% Floor 1.000% 05/25/2026 | 12.775% | 147,325 | 142,169 | |
Diamond Sports Group LLC(n),(u) | ||||
2nd Lien Term Loan | ||||
08/24/2026 | 10.670% | 4,770,042 | 265,358 | |
Magnite, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 4.500% 02/06/2031 | 9.787% | 148,779 | 148,407 | |
MH Sub I LLC/Micro Holding Corp.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 05/03/2028 | 9.576% | 275,269 | 270,520 | |
Research Now Group LLC(b),(r),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 5.500% Floor 1.000% 12/20/2024 | 11.068% | 288,805 | 164,763 | |
Total | 991,217 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Financial Institutions 0.0% | ||||
Trans Union LLC(b),(u) | ||||
Tranche B7 Term Loan | ||||
1-month Term SOFR + 2.000% Floor 0.500% 12/01/2028 | 7.326% | 322,833 | 322,372 | |
Other Industry 0.0% | ||||
Adtalem Global Education, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.500% Floor 0.750% 08/12/2028 | 9.470% | 363,956 | 364,639 | |
Artera Services LLC(b),(r),(u) | ||||
Tranche C 1st Lien Term Loan | ||||
1-month Term SOFR + 4.500% 02/15/2031 | 9.814% | 369,824 | 370,749 | |
Total | 735,388 | |||
Packaging 0.0% | ||||
Berry Global, Inc. (b),(u) | ||||
Tranche AA Term Loan | ||||
1-month Term SOFR + 1.750% 07/01/2029 | 7.182% | 2,218,887 | 2,213,340 | |
Paper 0.0% | ||||
Mativ Holdings, Inc.(b),(u) | ||||
Delayed Draw Term Loan | ||||
1-month Term SOFR + 2.500% 05/06/2027 | 7.930% | 164,515 | 161,225 | |
Pharmaceuticals 0.1% | ||||
Elanco Animal Health, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 1.750% 08/02/2027 | 7.178% | 1,841,137 | 1,816,705 | |
Grifols Worldwide Operations Ltd.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.000% 11/15/2027 | 7.426% | 1,350,020 | 1,322,682 | |
Jazz Pharmaceuticals PLC(b),(u) | ||||
Tranche B1 Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 05/05/2028 | 8.441% | 1,193,786 | 1,195,278 | |
Organon & Co.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% Floor 0.500% 06/02/2028 | 8.432% | 3,008,899 | 3,010,794 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunshine Luxembourg VII SARL(b),(u) | ||||
Tranche B3 Term Loan | ||||
3-month Term SOFR + 3.500% Floor 0.750% 10/01/2026 | 8.948% | 498,718 | 499,202 | |
Total | 7,844,661 | |||
Property & Casualty 0.0% | ||||
Acrisure LLC(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.500% 02/15/2027 | 8.941% | 898,615 | 896,090 | |
AmWINS Group, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 2.250% Floor 0.750% 02/19/2028 | 7.691% | 1,626,237 | 1,618,236 | |
Total | 2,514,326 | |||
Railroads 0.0% | ||||
Genesee & Wyoming, Inc.(b),(u) | ||||
Term Loan | ||||
3-month Term SOFR + 2.000% 12/30/2026 | 7.448% | 90,330 | 90,319 | |
Restaurants 0.0% | ||||
1011778 BC ULC(b),(u) | ||||
Tranche B5 Term Loan | ||||
1-month Term SOFR + 2.250% 09/20/2030 | 7.576% | 404,488 | 402,393 | |
KFC Holding Co./Yum! Brands(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 1.750% 03/15/2028 | 7.184% | 363,514 | 362,918 | |
Whatabrands LLC(b),(r),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 08/03/2028 | 8.691% | 360,210 | 359,377 | |
Total | 1,124,688 | |||
Retailers 0.1% | ||||
Great Outdoors Group LLC(b),(u) | ||||
Tranche B2 Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 03/06/2028 | 9.191% | 1,463,263 | 1,462,999 | |
Hanesbrands, Inc.(b),(r),(u) | ||||
Tranche A Term Loan | ||||
1-month Term SOFR + 1.500% 11/19/2026 | 7.926% | 405,625 | 397,513 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Michaels Companies, Inc. (The)(b),(u) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 4.250% Floor 0.750% 04/15/2028 | 9.860% | 1,950,000 | 1,593,930 | |
Total | 3,454,442 | |||
Technology 0.1% | ||||
athenahealth Group, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 02/15/2029 | 8.576% | 1,393,858 | 1,380,575 | |
Central Parent LLC(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.000% 07/06/2029 | 9.348% | 328,373 | 329,003 | |
Coherent Corp.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.750% Floor 0.500% 07/02/2029 | 8.191% | 127,458 | 127,266 | |
CommScope, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.250% 04/06/2026 | 8.691% | 1,035,514 | 932,252 | |
DTI Holdco, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 4.750% Floor 0.750% 04/26/2029 | 10.063% | 86,861 | 86,608 | |
EagleView Technology Corp.(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 3.500% 08/14/2025 | 9.111% | 815,209 | 793,134 | |
Entegris, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
3-month Term SOFR + 2.500% 07/06/2029 | 7.848% | 50,259 | 50,316 | |
Gen Digital, Inc.(b),(u) | ||||
Tranche A Term Loan | ||||
1-month Term SOFR + 1.750% 09/10/2027 | 7.176% | 589,994 | 586,307 | |
Open Text Corp.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 1.750% 05/30/2025 | 7.176% | 342,309 | 342,309 | |
1-month Term SOFR + 2.750% 01/31/2030 | 8.176% | 339,242 | 339,456 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Oracle Corp.(b),(k),(u) | ||||
Tranche 1 Term Loan | ||||
1-month Term SOFR + 1.600% 08/16/2027 | 7.026% | 1,730,353 | 1,726,027 | |
Peraton Corp.(b),(u) | ||||
Tranche B 1st Lien Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 02/01/2028 | 9.176% | 830,439 | 830,439 | |
Proofpoint, Inc.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 3.250% Floor 0.500% 08/31/2028 | 8.691% | 158,233 | 157,881 | |
Renaissance Holding Corp.(b),(u) | ||||
1st Lien Term Loan | ||||
1-month Term SOFR + 4.250% Floor 0.500% 04/05/2030 | 9.576% | 325,792 | 324,671 | |
Total | 8,006,244 | |||
Wireless 0.0% | ||||
Digicel International Finance Ltd.(b),(u) | ||||
1st Lien Term Loan | ||||
3-month Term SOFR + 6.750% 05/25/2027 | 12.070% | 2,622,219 | 2,484,553 | |
SBA Senior Finance II LLC(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 2.000% 01/25/2031 | 7.330% | 704,025 | 703,293 | |
Total | 3,187,846 | |||
Wirelines 0.0% | ||||
Frontier Communications Holdings LLC(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 3.750% Floor 0.750% 10/08/2027 | 9.191% | 207,731 | 206,396 | |
Level 3 Financing, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 1.750% 03/01/2027 | 7.191% | 420,000 | 412,301 | |
Lumen Technologies, Inc.(b),(h),(k),(r),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 6.000% 06/01/2028 | 73,900 | 73,900 | ||
Lumen Technologies, Inc.(b),(u) | ||||
Tranche B Term Loan | ||||
1-month Term SOFR + 2.250% 03/16/2027 | 7.691% | 149,520 | 108,355 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Zayo Group Holdings, Inc.(b),(u) | ||||
Term Loan | ||||
1-month Term SOFR + 3.000% 03/09/2027 | 8.441% | 1,613,487 | 1,448,508 | |
1-month Term SOFR + 4.325% Floor 0.500% 03/09/2027 | 9.651% | 301,954 | 271,853 | |
Total | 2,521,313 | |||
Total Senior Loans (Cost $56,047,223) | 54,353,740 | |||
Treasury Bills 0.3% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 0.3% | ||||
U.S. Treasury Bills | ||||
03/05/2024 | 5.330% | 38,000,000 | 37,972,282 | |
U.S. Treasury Bills(v) | ||||
06/04/2024 | 5.310% | 3,200,000 | 3,155,927 | |
Total | 41,128,209 | |||
Total Treasury Bills (Cost $41,133,998) | 41,128,209 | |||
U.S. Government & Agency Obligations 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association(g) | ||||
STRIPS | ||||
05/15/2030 | 0.000% | 295,000 | 222,098 | |
Residual Funding Corp.(g) | ||||
STRIPS | ||||
01/15/2030 | 0.000% | 9,066,000 | 6,912,586 | |
04/15/2030 | 0.000% | 425,000 | 319,611 | |
Resolution Funding Corp.(g) | ||||
STRIPS | ||||
04/15/2030 | 0.000% | 2,965,000 | 2,237,272 | |
Tennessee Valley Authority Principal STRIP(g) | ||||
09/15/2024 | 0.000% | 445,000 | 431,686 | |
Total U.S. Government & Agency Obligations (Cost $10,874,479) | 10,123,253 | |||
U.S. Treasury Obligations 19.3% | ||||
U.S. Treasury | ||||
09/30/2024 | 2.125% | 20,000,000 | 19,642,969 | |
04/30/2025 | 0.375% | 3,400,000 | 3,225,351 | |
10/31/2025 | 5.000% | 31,215,000 | 31,336,934 | |
12/15/2025 | 4.000% | 17,195,000 | 16,985,436 | |
12/31/2025 | 4.250% | 25,265,000 | 25,069,591 | |
01/31/2026 | 4.250% | 63,342,000 | 62,871,884 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/28/2026 | 4.625% | 91,920,000 | 91,912,819 | |
01/15/2027 | 4.000% | 11,020,000 | 10,890,859 | |
02/15/2027 | 4.125% | 151,150,600 | 149,898,884 | |
04/30/2028 | 3.500% | 14,775,000 | 14,317,898 | |
05/31/2028 | 3.625% | 22,975,000 | 22,366,522 | |
07/31/2028 | 4.125% | 25,670,000 | 25,489,508 | |
08/31/2028 | 4.375% | 23,200,000 | 23,274,313 | |
09/30/2028 | 4.625% | 21,485,000 | 21,775,383 | |
10/31/2028 | 4.875% | 55,345,000 | 56,698,358 | |
11/30/2028 | 4.375% | 16,900,000 | 16,972,617 | |
01/31/2029 | 4.000% | 293,656,100 | 290,260,701 | |
02/28/2029 | 4.250% | 307,588,400 | 307,612,432 | |
12/31/2029 | 3.875% | 120,350,000 | 117,877,184 | |
01/31/2031 | 4.000% | 12,390,400 | 12,190,992 | |
02/28/2031 | 4.250% | 39,500,000 | 39,456,797 | |
11/15/2033 | 4.500% | 38,795,000 | 39,534,530 | |
02/15/2034 | 4.000% | 118,482,100 | 116,167,996 | |
11/15/2040 | 1.375% | 28,825,000 | 18,299,371 | |
08/15/2041 | 1.750% | 80,675,000 | 53,737,113 | |
02/15/2042 | 2.375% | 30,190,000 | 22,194,367 | |
05/15/2042 | 3.250% | 52,060,000 | 43,795,475 | |
11/15/2042 | 2.750% | 32,165,000 | 24,927,875 | |
05/15/2043 | 3.875% | 19,435,000 | 17,773,915 | |
08/15/2043 | 4.375% | 29,925,000 | 29,307,797 | |
11/15/2043 | 4.750% | 188,291,300 | 193,822,357 | |
02/15/2044 | 4.500% | 58,880,000 | 58,880,000 | |
08/15/2047 | 2.750% | 31,325,000 | 23,288,180 | |
02/15/2049 | 3.000% | 17,810,000 | 13,802,750 | |
08/15/2049 | 2.250% | 7,360,000 | 4,876,000 | |
05/15/2050 | 1.250% | 6,315,000 | 3,207,823 | |
11/15/2050 | 1.625% | 31,720,000 | 17,817,719 | |
11/15/2052 | 4.000% | 10,000,000 | 9,367,187 | |
05/15/2053 | 3.625% | 44,370,000 | 38,844,548 | |
08/15/2053 | 4.125% | 31,460,000 | 30,142,612 | |
11/15/2053 | 4.750% | 45,434,800 | 48,373,864 | |
02/15/2054 | 4.250% | 149,955,000 | 147,190,205 | |
U.S. Treasury(v) | ||||
05/15/2041 | 2.250% | 57,200,000 | 41,764,937 | |
11/15/2041 | 2.000% | 68,115,000 | 47,148,352 | |
08/15/2043 | 3.625% | 4,995,000 | 4,403,405 | |
U.S. Treasury(g) | ||||
STRIPS | ||||
05/15/2039 | 0.000% | 3,695,000 | 1,844,613 | |
02/15/2040 | 0.000% | 5,735,000 | 2,745,183 | |
05/15/2040 | 0.000% | 980,000 | 462,169 | |
08/15/2040 | 0.000% | 1,905,000 | 885,304 | |
11/15/2040 | 0.000% | 3,590,000 | 1,642,986 | |
02/15/2041 | 0.000% | 8,725,000 | 3,949,767 | |
05/15/2041 | 0.000% | 7,485,000 | 3,341,351 | |
08/15/2041 | 0.000% | 4,455,000 | 1,965,421 | |
11/15/2041 | 0.000% | 4,400,000 | 1,918,125 | |
05/15/2042 | 0.000% | 5,400,000 | 2,292,469 | |
08/15/2042 | 0.000% | 5,510,000 | 2,313,985 | |
11/15/2043 | 0.000% | 6,314,000 | 2,498,963 | |
02/15/2044 | 0.000% | 980,000 | 383,042 | |
08/15/2044 | 0.000% | 1,255,000 | 480,724 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2045 | 0.000% | 8,770,000 | 3,414,819 | |
02/15/2045 | 0.000% | 695,000 | 260,381 | |
08/15/2048 | 0.000% | 1,910,000 | 620,004 | |
02/15/2049 | 0.000% | 2,000,000 | 636,953 | |
U.S. Treasury(g),(v) | ||||
STRIPS | ||||
05/15/2043 | 0.000% | 17,045,000 | 6,907,886 | |
Total U.S. Treasury Obligations (Cost $2,557,139,026) | 2,447,359,955 |
Money Market Funds 7.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(w),(x) | 894,168,272 | 893,989,438 |
Total Money Market Funds (Cost $893,984,967) | 893,989,438 | |
Total Investments in Securities (Cost: $13,979,432,139) | 13,361,223,895 | |
Other Assets & Liabilities, Net | (709,277,486 ) | |
Net Assets | 12,651,946,409 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
361,524 USD | 334,380 EUR | Morgan Stanley | 04/12/2024 | 471 | — |
559,251 EUR | 607,910 USD | Standard Chartered | 04/12/2024 | 2,473 | — |
142 USD | 131 EUR | Standard Chartered | 04/12/2024 | — | — |
Total | 2,944 | — |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 567 | 06/2024 | USD | 67,614,750 | 691,876 | — |
U.S. Long Bond | 176 | 06/2024 | USD | 20,988,000 | 113,748 | — |
U.S. Long Bond | 55 | 06/2024 | USD | 6,558,750 | 51,040 | — |
U.S. Treasury 10-Year Note | 1,799 | 06/2024 | USD | 198,677,063 | 246,105 | — |
U.S. Treasury 2-Year Note | 3,596 | 06/2024 | USD | 736,281,000 | 390,238 | — |
U.S. Treasury 2-Year Note | 1,071 | 06/2024 | USD | 219,287,250 | 216,561 | — |
U.S. Treasury 2-Year Note | 2,132 | 06/2024 | USD | 436,527,000 | — | (158,430 ) |
U.S. Treasury 5-Year Note | 2,066 | 06/2024 | USD | 220,868,313 | 74,897 | — |
U.S. Treasury 5-Year Note | 899 | 06/2024 | USD | 96,108,719 | 56,919 | — |
U.S. Treasury 5-Year Note | 293 | 06/2024 | USD | 31,323,531 | 6,304 | — |
U.S. Treasury 5-Year Note | 195 | 06/2024 | USD | 20,846,719 | — | (18,554 ) |
U.S. Treasury 5-Year Note | 591 | 06/2024 | USD | 63,181,594 | — | (105,799 ) |
U.S. Treasury Ultra 10-Year Note | 598 | 06/2024 | USD | 68,274,781 | 354,936 | — |
U.S. Treasury Ultra 10-Year Note | 470 | 06/2024 | USD | 53,660,781 | 105,676 | — |
U.S. Treasury Ultra 10-Year Note | 13 | 06/2024 | USD | 1,484,234 | 3,030 | — |
U.S. Treasury Ultra 10-Year Note | 2 | 06/2024 | USD | 228,344 | 449 | — |
U.S. Treasury Ultra Bond | 1,072 | 06/2024 | USD | 137,082,000 | 1,431,023 | — |
U.S. Treasury Ultra Bond | 964 | 06/2024 | USD | 123,271,500 | 934,078 | — |
U.S. Treasury Ultra Bond | 409 | 06/2024 | USD | 52,300,875 | 465,681 | — |
Total | 5,142,561 | (282,783 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (784) | 06/2024 | USD | (86,583,000 ) | — | (14,414 ) |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
SOFR | Fixed rate of 3.520% | Receives Annually, Pays Annually | Citi | 12/20/2053 | USD | 15,356,000 | 371,653 | — | — | 371,653 | — |
Fixed rate of 5.384% | SOFR | Receives Annually, Pays Annually | JPMorgan | 08/31/2024 | USD | 427,680,000 | (43,439 ) | — | — | — | (43,439 ) |
Fixed rate of 4.946% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/08/2025 | USD | 33,920,000 | (143,890 ) | — | — | — | (143,890 ) |
Fixed rate of 5.088% | SOFR | Receives Annually, Pays Annually | JPMorgan | 03/10/2025 | USD | 107,139,000 | (155,298 ) | — | — | — | (155,298 ) |
SOFR | Fixed rate of 4.805% | Receives Annually, Pays Annually | JPMorgan | 08/31/2025 | USD | 167,010,000 | 498,888 | — | — | 498,888 | — |
Total | 527,914 | — | — | 870,541 | (342,627 ) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 41 | JPMorgan | 12/20/2028 | 5.000 | Quarterly | 3.381 | USD | 114,741,000 | 3,546,642 | — | — | 3,546,642 | — |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
SOFR | Secured Overnight Financing Rate | 5.310% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $3,214,899,296, which represents 25.41% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of February 29, 2024. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of February 29, 2024. |
(e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(f) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(g) | Zero coupon bond. |
(h) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $8,298,635, which represents 0.07% of total net assets. |
(i) | Non-income producing investment. |
(j) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $298,326, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Digicel Ltd. | 01/29/2024 | 59,381 | 34,843 | 106,886 |
Digicel Ltd. | 01/29/2024 | 19,144 | 191,440 | 191,440 |
226,283 | 298,326 |
(k) | Valuation based on significant unobservable inputs. |
(l) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of February 29, 2024. |
(m) | Perpetual security with no specified maturity date. |
(n) | Represents a security in default. |
(o) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(p) | Principal and interest may not be guaranteed by a governmental entity. |
(q) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At February 29, 2024, the total value of these securities amounted to $2,326,570, which represents 0.02% of total net assets. |
(r) | Represents a security purchased on a forward commitment basis. |
(s) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(t) | Represents a variable rate security where the coupon adjusts periodically through an auction process. |
(u) | The stated interest rate represents the weighted average interest rate at February 29, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(v) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(w) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(x) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
1,015,009,456 | 4,133,401,958 | (4,254,364,661 ) | (57,315 ) | 893,989,438 | 205,786 | 26,574,854 | 894,168,272 |
BAM | Build America Mutual Assurance Co. |
BIG | Bond Investors Guarantee |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
EUR | Euro |
USD | US Dollar |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities — Non-Agency | — | 1,339,820,690 | — | 1,339,820,690 |
Commercial Mortgage-Backed Securities - Agency | — | 91,208,717 | — | 91,208,717 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 789,000,378 | — | 789,000,378 |
Common Stocks | ||||
Communication Services | — | — | 106,886 | 106,886 |
Energy | — | — | 94 | 94 |
Financials | — | 2,437,452 | — | 2,437,452 |
Total Common Stocks | — | 2,437,452 | 106,980 | 2,544,432 |
Convertible Bonds | — | 6,122,107 | — | 6,122,107 |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Convertible Preferred Stocks | ||||
Communication Services | — | — | 191,440 | 191,440 |
Total Convertible Preferred Stocks | — | — | 191,440 | 191,440 |
Corporate Bonds & Notes | — | 3,635,492,132 | 7,926,409 | 3,643,418,541 |
Foreign Government Obligations | — | 184,342,405 | — | 184,342,405 |
Municipal Bonds | — | 33,058,415 | — | 33,058,415 |
Residential Mortgage-Backed Securities - Agency | — | 3,363,310,115 | — | 3,363,310,115 |
Residential Mortgage-Backed Securities - Non-Agency | — | 461,252,060 | — | 461,252,060 |
Senior Loans | — | 52,553,813 | 1,799,927 | 54,353,740 |
Treasury Bills | — | 41,128,209 | — | 41,128,209 |
U.S. Government & Agency Obligations | — | 10,123,253 | — | 10,123,253 |
U.S. Treasury Obligations | — | 2,447,359,955 | — | 2,447,359,955 |
Money Market Funds | 893,989,438 | — | — | 893,989,438 |
Total Investments in Securities | 893,989,438 | 12,457,209,701 | 10,024,756 | 13,361,223,895 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 2,944 | — | 2,944 |
Futures Contracts | 5,142,561 | — | — | 5,142,561 |
Swap Contracts | — | 4,417,183 | — | 4,417,183 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | — | — | — |
Futures Contracts | (297,197 ) | — | — | (297,197 ) |
Swap Contracts | — | (342,627 ) | — | (342,627 ) |
Total | 898,834,802 | 12,461,287,201 | 10,024,756 | 13,370,146,759 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $13,085,447,172) | $12,467,234,457 |
Affiliated issuers (cost $893,984,967) | 893,989,438 |
Cash | 166,270 |
Foreign currency (cost $294,668) | 291,810 |
Cash collateral held at broker for: | |
TBA | 3,912,062 |
Margin deposits on: | |
Futures contracts | 21,721,738 |
Swap contracts | 1,704,136 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,944 |
Receivable for: | |
Investments sold | 107,435,526 |
Investments sold on a delayed delivery basis | 192,398,981 |
Capital shares sold | 66,144,948 |
Dividends | 3,851,766 |
Interest | 83,002,376 |
Foreign tax reclaims | 310,235 |
Variation margin for futures contracts | 2,823,488 |
Variation margin for swap contracts | 278,936 |
Prepaid expenses | 57,820 |
Deferred compensation of board members | 521,789 |
Other assets | 68,857 |
Total assets | 13,845,917,577 |
Liabilities | |
Cash collateral due to broker for: | |
TBA | 295,273 |
Payable for: | |
Investments purchased | 156,176,990 |
Investments purchased on a delayed delivery basis | 971,520,077 |
Capital shares redeemed | 18,633,906 |
Distributions to shareholders | 45,845,816 |
Variation margin for futures contracts | 111,026 |
Variation margin for swap contracts | 77,272 |
Management services fees | 150,676 |
Transfer agent fees | 318,587 |
Compensation of chief compliance officer | 1,087 |
Compensation of board members | 17,619 |
Other expenses | 130,965 |
Deferred compensation of board members | 691,874 |
Total liabilities | 1,193,971,168 |
Net assets applicable to outstanding capital stock | $12,651,946,409 |
Represented by | |
Paid in capital | 14,491,051,576 |
Total distributable earnings (loss) | (1,839,105,167 ) |
Total - representing net assets applicable to outstanding capital stock | $12,651,946,409 |
Institutional Class | |
Net assets | $12,651,938,019 |
Shares outstanding | 1,478,943,842 |
Net asset value per share | $8.55 |
Institutional 3 Class | |
Net assets | $8,390 |
Shares outstanding | 978 |
Net asset value per share | $8.58 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $166,579 |
Dividends — affiliated issuers | 26,574,854 |
Interest | 262,708,450 |
Interfund lending | 2,815 |
Total income | 289,452,698 |
Expenses: | |
Management services fees | 25,766,840 |
Transfer agent fees | |
Institutional Class | 2,290,384 |
Institutional 3 Class | 1 |
Custodian fees | 85,553 |
Printing and postage fees | 146,460 |
Registration fees | 98,444 |
Accounting services fees | 25,931 |
Legal fees | 85,727 |
Interest on collateral | 58,174 |
Compensation of chief compliance officer | 1,087 |
Compensation of board members | 72,328 |
Deferred compensation of board members | 24,992 |
Other | 83,007 |
Total expenses | 28,738,928 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (134,002 ) |
Total net expenses | 28,604,926 |
Net investment income | 260,847,772 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (117,785,611 ) |
Investments — affiliated issuers | 205,786 |
Foreign currency translations | 30,262 |
Forward foreign currency exchange contracts | 5,517 |
Futures contracts | (12,860,818 ) |
Swap contracts | 3,938,397 |
Net realized loss | (126,466,467 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 212,873,990 |
Investments — affiliated issuers | (57,315 ) |
Foreign currency translations | (15,025 ) |
Forward sale commitments | (8,281 ) |
Forward foreign currency exchange contracts | (1,239 ) |
Futures contracts | (7,959,381 ) |
Swap contracts | 3,334,261 |
Net change in unrealized appreciation (depreciation) | 208,167,010 |
Net realized and unrealized gain | 81,700,543 |
Net increase in net assets resulting from operations | $342,548,315 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $260,847,772 | $406,781,105 |
Net realized loss | (126,466,467 ) | (536,967,173 ) |
Net change in unrealized appreciation (depreciation) | 208,167,010 | 27,678,024 |
Net increase (decrease) in net assets resulting from operations | 342,548,315 | (102,508,044 ) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (272,585,059 ) | (411,107,260 ) |
Institutional 3 Class | (193 ) | (333 ) |
Total distributions to shareholders | (272,585,252 ) | (411,107,593 ) |
Increase in net assets from capital stock activity | 1,263,501,580 | 1,183,203,035 |
Total increase in net assets | 1,333,464,643 | 669,587,398 |
Net assets at beginning of period | 11,318,481,766 | 10,648,894,368 |
Net assets at end of period | $12,651,946,409 | $11,318,481,766 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Shares sold | 235,723,326 | 1,988,241,736 | 302,000,638 | 2,599,700,537 |
Distributions reinvested | 32,210,821 | 272,585,059 | 47,701,668 | 411,107,260 |
Shares redeemed | (118,165,627 ) | (997,325,215 ) | (211,931,844 ) | (1,827,604,762 ) |
Net increase | 149,768,520 | 1,263,501,580 | 137,770,462 | 1,183,203,035 |
Total net increase | 149,768,520 | 1,263,501,580 | 137,770,462 | 1,183,203,035 |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $8.52 | 0.19 | 0.04 | 0.23 | (0.20 ) | — | (0.20 ) |
Year Ended 8/31/2023 | $8.94 | 0.34 | (0.42 ) | (0.08 ) | (0.34 ) | — | (0.34 ) |
Year Ended 8/31/2022 | $10.46 | 0.21 | (1.49 ) | (1.28 ) | (0.20 ) | (0.04 ) | (0.24 ) |
Year Ended 8/31/2021 | $10.76 | 0.19 | (0.05 ) | 0.14 | (0.20 ) | (0.24 ) | (0.44 ) |
Year Ended 8/31/2020 | $10.38 | 0.27 | 0.42 | 0.69 | (0.28 ) | (0.03 ) | (0.31 ) |
Year Ended 8/31/2019 | $9.80 | 0.30 | 0.59 | 0.89 | (0.31 ) | — | (0.31 ) |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $8.54 | 0.19 | 0.05 | 0.24 | (0.20 ) | — | (0.20 ) |
Year Ended 8/31/2023 | $8.96 | 0.34 | (0.42 ) | (0.08 ) | (0.34 ) | — | (0.34 ) |
Year Ended 8/31/2022 | $10.47 | 0.21 | (1.48 ) | (1.27 ) | (0.20 ) | (0.04 ) | (0.24 ) |
Year Ended 8/31/2021 | $10.77 | 0.20 | (0.06 ) | 0.14 | (0.20 ) | (0.24 ) | (0.44 ) |
Year Ended 8/31/2020(e) | $10.23 | 0.19 | 0.53 | 0.72 | (0.18 ) | — | (0.18 ) |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense which is less than 0.01%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $8.55 | 2.71% | 0.49% (c) | 0.49% (c) | 4.47% | 120% | $12,651,938 |
Year Ended 8/31/2023 | $8.52 | (0.87% ) | 0.50% (c) | 0.49% (c) | 3.90% | 290% | $11,318,473 |
Year Ended 8/31/2022 | $8.94 | (12.40% ) | 0.50% (c) | 0.49% (c) | 2.15% | 284% | $10,648,886 |
Year Ended 8/31/2021 | $10.46 | 1.36% | 0.50% (c) | 0.49% (c) | 1.86% | 232% | $10,863,358 |
Year Ended 8/31/2020 | $10.76 | 6.77% | 0.51% | 0.49% | 2.59% | 184% | $9,404,198 |
Year Ended 8/31/2019 | $10.38 | 9.33% | 0.52% (d) | 0.52% (d) | 3.05% | 219% | $8,398,508 |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $8.58 | 2.83% | 0.46% (c) | 0.46% (c) | 4.50% | 120% | $8 |
Year Ended 8/31/2023 | $8.54 | (0.86% ) | 0.46% (c) | 0.46% (c) | 3.92% | 290% | $8 |
Year Ended 8/31/2022 | $8.96 | (12.28% ) | 0.46% (c) | 0.46% (c) | 2.16% | 284% | $9 |
Year Ended 8/31/2021 | $10.47 | 1.37% | 0.47% (c) | 0.45% (c) | 1.89% | 232% | $10 |
Year Ended 8/31/2020(e) | $10.77 | 7.11% | 0.48% | 0.46% | 2.53% | 184% | $11 |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 3,546,642 * |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 2,944 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 5,142,561 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 870,541 * |
Total | 9,562,688 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 297,197 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 342,627 * |
Total | 639,824 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 3,899,342 | 3,899,342 |
Equity risk | — | 28,327 | — | 28,327 |
Foreign exchange risk | 5,517 | — | — | 5,517 |
Interest rate risk | — | (12,889,145 ) | 39,055 | (12,850,090 ) |
Total | 5,517 | (12,860,818 ) | 3,938,397 | (8,916,904 ) |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | — | 2,681,427 | 2,681,427 |
Foreign exchange risk | (1,239 ) | — | — | (1,239 ) |
Interest rate risk | — | (7,959,381 ) | 652,834 | (7,306,547 ) |
Total | (1,239 ) | (7,959,381 ) | 3,334,261 | (4,626,359 ) |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 2,451,458,043 |
Futures contracts — short | 145,200,839 |
Credit default swap contracts — buy protection | 907,418 |
Credit default swap contracts — sell protection | 107,283,387 |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 3,037 | (3,915 ) |
Interest rate swap contracts | 1,441,173 | (639,523 ) |
Citi ($) | JPMorgan ($) | Morgan Stanley ($) | Standard Chartered ($) | Total ($) | |
Assets | |||||
Centrally cleared credit default swap contracts (a) | - | 164,516 | - | - | 164,516 |
Centrally cleared interest rate swap contracts (a) | - | 114,420 | - | - | 114,420 |
Forward foreign currency exchange contracts | - | - | 471 | 2,473 | 2,944 |
Total assets | - | 278,936 | 471 | 2,473 | 281,880 |
Liabilities | |||||
Centrally cleared interest rate swap contracts (a) | 77,272 | - | - | - | 77,272 |
Total financial and derivative net assets | (77,272 ) | 278,936 | 471 | 2,473 | 204,608 |
Total collateral received (pledged) (b) | (77,272 ) | - | - | - | (77,272 ) |
Net amount (c) | - | 278,936 | 471 | 2,473 | 281,880 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Effective rate (%) | |
Institutional Class | 0.04 |
Institutional 3 Class | 0.02 |
Fee rate(s) contractual through December 31, 2024 | |
Institutional Class | 0.49 % |
Institutional 3 Class | 0.47 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
13,979,432,000 | 82,591,000 | (691,876,000 ) | (609,285,000 ) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(607,003,484 ) | (441,001,658 ) | (1,048,005,142 ) |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 2,162,500 | 5.86 | 8 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | 10 Years | ||
Institutional Class* | 01/03/17 | 8.13 | 8.57 | 7.70 | 7.20 | |
Institutional 3 Class* | 12/18/19 | 8.19 | 8.77 | 7.86 | 7.28 | |
Russell 2000 Index | 8.97 | 10.05 | 6.89 | 7.13 |
Portfolio breakdown (%) (at February 29, 2024) | |
Common Stocks | 99.1 |
Money Market Funds | 0.9 |
Total | 100.0 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 0.8 |
Consumer Discretionary | 10.7 |
Consumer Staples | 3.2 |
Energy | 5.9 |
Financials | 15.1 |
Health Care | 13.8 |
Industrials | 24.6 |
Information Technology | 17.7 |
Materials | 3.3 |
Real Estate | 3.5 |
Utilities | 1.4 |
Total | 100.0 |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Institutional Class | 1,000.00 | 1,000.00 | 1,081.30 | 1,019.94 | 5.12 | 4.97 | 0.99 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,081.90 | 1,020.84 | 4.19 | 4.07 | 0.81 |
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Communication Services 0.8% | ||
Diversified Telecommunication Services 0.0% | ||
ATN International, Inc. | 4,443 | 149,018 |
Bandwidth, Inc., Class A(a) | 31,286 | 642,615 |
Total | 791,633 | |
Entertainment 0.1% | ||
Madison Square Garden Entertainment Corp.(a) | 10,804 | 415,846 |
Playstudios, Inc.(a) | 34,339 | 81,384 |
Playtika Holding Corp.(a) | 34,981 | 259,209 |
Roku, Inc.(a) | 2,795 | 176,588 |
Total | 933,027 | |
Interactive Media & Services 0.1% | ||
DHI Group, Inc.(a) | 9,618 | 27,219 |
Outbrain, Inc.(a) | 27,828 | 102,407 |
TrueCar, Inc.(a) | 37,014 | 128,808 |
Vimeo, Inc.(a) | 158,348 | 758,487 |
Total | 1,016,921 | |
Media 0.6% | ||
Cardlytics, Inc.(a) | 21,377 | 177,215 |
Clear Channel Outdoor Holdings, Inc.(a) | 534,341 | 919,066 |
Emerald Holding, Inc.(a) | 54,700 | 293,192 |
Entravision Communications Corp., Class A | 89,100 | 343,035 |
PubMatic, Inc., Class A(a) | 61,352 | 1,284,711 |
Scholastic Corp. | 48,897 | 1,928,498 |
Stagwell, Inc.(a) | 416,323 | 2,223,165 |
TEGNA, Inc. | 105,000 | 1,471,050 |
WideOpenWest, Inc.(a) | 53,025 | 212,100 |
Total | 8,852,032 | |
Total Communication Services | 11,593,613 | |
Consumer Discretionary 10.6% | ||
Automobile Components 2.1% | ||
Adient PLC(a) | 133,412 | 4,528,003 |
American Axle & Manufacturing Holdings, Inc.(a) | 39,511 | 273,416 |
Atmus Filtration Technologies, Inc.(a) | 64,800 | 1,546,776 |
Cooper-Standard Holding, Inc.(a) | 6,741 | 94,778 |
Dana, Inc. | 240,135 | 3,001,688 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Fox Factory Holding Corp.(a) | 83,945 | 4,246,778 |
Goodyear Tire & Rubber Co. (The)(a) | 512,689 | 6,090,745 |
LCI Industries | 20,389 | 2,568,606 |
Modine Manufacturing Co.(a) | 49,937 | 4,479,848 |
Phinia, Inc. | 62,653 | 2,143,986 |
Stoneridge, Inc.(a) | 25,070 | 440,480 |
Visteon Corp.(a) | 29,079 | 3,289,417 |
Total | 32,704,521 | |
Automobiles 0.1% | ||
Winnebago Industries, Inc. | 27,170 | 1,948,904 |
Broadline Retail 0.2% | ||
1stdibs.com, Inc.(a) | 20,423 | 105,178 |
ContextLogic, Inc., Class A(a) | 25,251 | 164,132 |
Global-e Online Ltd.(a) | 80,082 | 2,712,377 |
Total | 2,981,687 | |
Diversified Consumer Services 0.5% | ||
2U, Inc.(a) | 30,750 | 13,856 |
Adtalem Global Education, Inc.(a) | 25,400 | 1,257,300 |
American Public Education, Inc.(a) | 19,120 | 199,804 |
Bright Horizons Family Solutions, Inc.(a) | 33,229 | 3,816,683 |
Chegg, Inc.(a) | 98,396 | 879,660 |
Graham Holdings Co., Class B | 1,100 | 772,563 |
Universal Technical Institute, Inc.(a) | 32,879 | 494,500 |
Total | 7,434,366 | |
Hotels, Restaurants & Leisure 2.5% | ||
Accel Entertainment, Inc.(a) | 108,900 | 1,233,837 |
Bloomin’ Brands, Inc. | 42,700 | 1,160,586 |
Boyd Gaming Corp. | 67,339 | 4,453,128 |
Brinker International, Inc.(a) | 23,400 | 1,084,356 |
Cava Group, Inc.(a) | 21,364 | 1,247,872 |
Dave & Buster’s Entertainment, Inc.(a) | 15,300 | 944,622 |
Denny’s Corp.(a) | 77,700 | 717,171 |
Dine Brands Global, Inc. | 23,900 | 1,159,389 |
El Pollo Loco Holdings, Inc.(a) | 81,800 | 741,108 |
Everi Holdings, Inc.(a) | 104,900 | 1,244,114 |
Hilton Grand Vacations, Inc.(a) | 26,900 | 1,207,272 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Life Time Group Holdings, Inc.(a) | 200,153 | 2,750,102 |
Marriott Vacations Worldwide Corp. | 32,348 | 3,014,510 |
Monarch Casino & Resort, Inc. | 16,400 | 1,153,740 |
Papa John’s International, Inc. | 44,482 | 3,197,811 |
Planet Fitness, Inc., Class A(a) | 31,834 | 1,975,300 |
Six Flags Entertainment Corp.(a) | 120,512 | 3,053,774 |
Texas Roadhouse, Inc. | 28,776 | 4,298,271 |
Travel + Leisure Co. | 31,100 | 1,389,859 |
United Parks & Resorts, Inc.(a) | 30,000 | 1,540,500 |
Total | 37,567,322 | |
Household Durables 1.9% | ||
Century Communities, Inc. | 9,700 | 837,013 |
GoPro, Inc., Class A(a) | 481,120 | 1,125,821 |
Green Brick Partners, Inc.(a) | 15,400 | 900,900 |
Helen of Troy Ltd.(a) | 11,621 | 1,452,625 |
Hooker Furnishings Corp. | 9,966 | 244,267 |
iRobot Corp.(a) | 33,550 | 382,805 |
KB Home | 98,581 | 6,548,736 |
Landsea Homes Corp.(a) | 49,818 | 678,521 |
La-Z-Boy, Inc. | 30,400 | 1,154,896 |
Leggett & Platt, Inc. | 48,500 | 990,370 |
M/I Homes, Inc.(a) | 9,508 | 1,207,421 |
Meritage Homes Corp. | 11,435 | 1,802,842 |
Sonos, Inc.(a) | 206,260 | 3,910,690 |
Taylor Morrison Home Corp., Class A(a) | 63,567 | 3,598,528 |
Tri Pointe Homes, Inc.(a) | 99,996 | 3,537,858 |
Universal Electronics, Inc.(a) | 15,725 | 138,223 |
Worthington Enterprises, Inc. | 7,900 | 490,748 |
Total | 29,002,264 | |
Leisure Products 0.3% | ||
Funko, Inc., Class A(a) | 60,931 | 428,954 |
JAKKS Pacific, Inc.(a) | 24,233 | 850,821 |
Johnson Outdoors, Inc., Class A | 20,800 | 955,968 |
Latham Group, Inc.(a) | 45,050 | 152,719 |
Vista Outdoor, Inc.(a) | 47,500 | 1,482,000 |
Total | 3,870,462 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Specialty Retail 2.6% | ||
1-800-Flowers.com, Inc., Class A(a) | 12,295 | 128,114 |
Aaron’s Co., Inc. (The) | 210,451 | 1,630,995 |
Advance Auto Parts, Inc. | 12,500 | 844,250 |
Asbury Automotive Group, Inc.(a) | 4,700 | 981,501 |
Burlington Stores, Inc.(a) | 9,370 | 1,921,787 |
Designer Brands, Inc. | 96,700 | 1,021,152 |
Floor & Decor Holdings, Inc., Class A(a) | 28,476 | 3,449,013 |
Foot Locker, Inc. | 162,986 | 5,611,608 |
Genesco, Inc.(a) | 62,986 | 2,010,513 |
Group 1 Automotive, Inc. | 5,500 | 1,488,575 |
Haverty Furniture Companies, Inc. | 35,900 | 1,231,370 |
Hibbett, Inc. | 14,500 | 1,188,275 |
Lands’ End, Inc.(a) | 38,974 | 379,217 |
Leslie’s, Inc.(a) | 148,800 | 1,175,520 |
Lithia Motors, Inc., Class A | 12,679 | 3,791,782 |
LL Flooring Holdings, Inc.(a) | 165,472 | 354,110 |
MarineMax, Inc.(a) | 33,000 | 1,095,600 |
OneWater Marine, Inc., Class A(a) | 40,200 | 1,045,602 |
PetMed Express, Inc. | 117,451 | 594,302 |
Revolve Group, Inc.(a) | 21,400 | 469,302 |
Signet Jewelers Ltd. | 11,400 | 1,160,064 |
Sleep Number Corp.(a) | 73,899 | 1,220,812 |
Sonic Automotive, Inc., Class A | 80,823 | 4,243,208 |
Tilly’s, Inc.(a) | 26,219 | 201,624 |
Upbound Group, Inc. | 22,400 | 756,224 |
Zumiez, Inc.(a) | 91,907 | 1,619,401 |
Total | 39,613,921 | |
Textiles, Apparel & Luxury Goods 0.4% | ||
Carter’s, Inc. | 8,600 | 696,170 |
G-III Apparel Group Ltd.(a) | 34,100 | 1,134,507 |
Hanesbrands, Inc.(a) | 185,300 | 1,000,620 |
Kontoor Brands, Inc. | 11,200 | 662,032 |
Movado Group, Inc. | 31,692 | 909,877 |
Oxford Industries, Inc. | 4,600 | 466,394 |
Steven Madden Ltd. | 20,600 | 882,092 |
Superior Group of Cos, Inc. | 6,260 | 89,956 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Unifi, Inc.(a) | 22,527 | 132,459 |
Vera Bradley, Inc.(a) | 44,202 | 344,776 |
Total | 6,318,883 | |
Total Consumer Discretionary | 161,442,330 | |
Consumer Staples 3.2% | ||
Beverages 0.1% | ||
Duckhorn Portfolio, Inc. (The)(a) | 175,000 | 1,664,250 |
Consumer Staples Distribution & Retail 0.9% | ||
Andersons, Inc. (The) | 77,171 | 4,266,013 |
Grocery Outlet Holding Corp.(a) | 75,018 | 1,934,714 |
Performance Food Group, Inc.(a) | 25,333 | 1,944,814 |
SpartanNash Co. | 63,685 | 1,341,843 |
The Chefs’ Warehouse(a) | 100,383 | 3,815,558 |
Total | 13,302,942 | |
Food Products 0.6% | ||
B&G Foods, Inc. | 113,200 | 1,307,460 |
Cal-Maine Foods, Inc. | 7,000 | 402,430 |
Dole PLC | 49,029 | 579,033 |
Freshpet, Inc.(a) | 49,781 | 5,626,746 |
Hain Celestial Group, Inc. (The)(a) | 61,600 | 616,000 |
WK Kellogg Co. | 56,600 | 828,624 |
Total | 9,360,293 | |
Household Products 0.5% | ||
Central Garden & Pet Co.(a) | 17,500 | 767,725 |
Energizer Holdings, Inc. | 37,800 | 1,079,190 |
WD-40 Co. | 21,940 | 5,888,477 |
Total | 7,735,392 | |
Personal Care Products 1.0% | ||
BellRing Brands, Inc.(a) | 43,724 | 2,490,082 |
Edgewell Personal Care Co. | 33,200 | 1,267,908 |
elf Beauty, Inc.(a) | 36,376 | 7,585,487 |
Herbalife Ltd.(a) | 167,400 | 1,478,142 |
Medifast, Inc. | 35,600 | 1,427,204 |
Nature’s Sunshine Products, Inc.(a) | 17,201 | 305,318 |
Nu Skin Enterprises, Inc., Class A | 35,300 | 441,250 |
Total | 14,995,391 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tobacco 0.1% | ||
Vector Group Ltd. | 183,486 | 2,047,704 |
Total Consumer Staples | 49,105,972 | |
Energy 5.8% | ||
Energy Equipment & Services 1.7% | ||
Atlas Energy Solutions, Inc. | 16,116 | 303,948 |
Cactus, Inc., Class A | 132,946 | 6,102,221 |
Core Laboratories, Inc. | 46,200 | 691,614 |
Dril-Quip, Inc.(a) | 51,200 | 1,157,120 |
Expro Group Holdings NV(a) | 80,949 | 1,448,178 |
Forum Energy Technologies, Inc.(a) | 19,400 | 388,194 |
Helix Energy Solutions Group, Inc.(a) | 132,118 | 1,189,062 |
Kodiak Gas Services, Inc. | 76,724 | 1,956,462 |
Liberty Energy, Inc., Class A | 50,500 | 1,079,690 |
National Energy Services Reunited Corp.(a) | 151,800 | 1,165,065 |
Newpark Resources, Inc.(a) | 178,403 | 1,147,131 |
Oil States International, Inc.(a) | 166,435 | 897,085 |
Precision Drilling Corp.(a) | 24,700 | 1,469,403 |
ProFrac Holding Corp., Class A(a) | 49,800 | 407,364 |
ProPetro Holding Corp.(a) | 129,500 | 958,300 |
Select Energy Services, Inc., Class A | 50,900 | 434,686 |
Solaris Oilfield Infrastructure, Inc., Class A | 131,900 | 1,117,193 |
TechnipFMC PLC | 198,893 | 4,313,989 |
Total | 26,226,705 | |
Oil, Gas & Consumable Fuels 4.1% | ||
Baytex Energy Corp. | 447,888 | 1,428,763 |
Berry Corp. | 397,728 | 2,803,982 |
California Resources Corp. | 68,726 | 3,585,435 |
Callon Petroleum Co.(a) | 47,200 | 1,470,752 |
Centrus Energy Corp. Class A(a) | 8,914 | 363,602 |
Chord Energy Corp. | 9,747 | 1,583,400 |
CNX Resources Corp.(a) | 127,009 | 2,660,839 |
CONSOL Energy, Inc. | 12,780 | 1,096,780 |
Crescent Energy Co., Class A | 127,600 | 1,426,568 |
CVR Energy, Inc. | 60,035 | 1,991,961 |
Delek U.S. Holdings, Inc. | 80,343 | 2,049,550 |
DHT Holdings, Inc. | 78,630 | 850,777 |
Equitrans Midstream Corp. | 134,400 | 1,436,736 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Excelerate Energy, Inc., Class A | 10,544 | 165,541 |
Gulfport Energy Corp.(a) | 28,654 | 4,068,581 |
Kinetik Holdings, Inc. | 24,800 | 875,936 |
Kosmos Energy Ltd.(a) | 229,400 | 1,408,516 |
Matador Resources Co. | 61,372 | 3,875,642 |
Northern Oil & Gas, Inc. | 40,100 | 1,432,773 |
Par Pacific Holdings, Inc.(a) | 103,453 | 3,736,722 |
PBF Energy, Inc., Class A | 76,819 | 3,587,447 |
REX American Resources Corp.(a) | 18,289 | 804,350 |
Scorpio Tankers, Inc. | 64,676 | 4,341,700 |
SilverBow Resources, Inc.(a) | 56,500 | 1,604,035 |
SM Energy Co. | 74,683 | 3,268,875 |
Talos Energy, Inc.(a) | 113,500 | 1,497,065 |
Teekay Tankers Ltd., Class A | 46,902 | 2,571,168 |
VAALCO Energy, Inc. | 272,900 | 1,217,134 |
Vertex Energy, Inc.(a) | 340,700 | 459,945 |
Vital Energy, Inc.(a) | 33,800 | 1,701,154 |
World Kinect Corp. | 138,191 | 3,366,333 |
Total | 62,732,062 | |
Total Energy | 88,958,767 | |
Financials 14.9% | ||
Banks 7.8% | ||
1st Source Corp. | 8,000 | 398,240 |
Amalgamated Financial Corp. | 13,543 | 312,572 |
Amerant Bancorp, Inc. | 8,950 | 189,651 |
Arrow Financial Corp. | 14,200 | 340,516 |
Associated Banc-Corp. | 68,708 | 1,431,875 |
Banc of California, Inc. | 111,015 | 1,624,149 |
Bank of Marin Bancorp | 36,300 | 602,943 |
BankUnited, Inc. | 166,685 | 4,470,492 |
Bankwell Financial Group, Inc. | 4,273 | 108,833 |
Baycom Corp. | 25,608 | 512,672 |
BCB Bancorp, Inc. | 44,941 | 471,431 |
Berkshire Hills Bancorp, Inc. | 101,857 | 2,188,907 |
BOK Financial Corp. | 9,000 | 765,090 |
Bridgewater Bancshares, Inc.(a) | 38,000 | 450,300 |
Brookline Bancorp, Inc. | 122,800 | 1,199,756 |
Byline Bancorp, Inc. | 23,649 | 492,845 |
Cambridge Bancorp | 16,600 | 1,050,116 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Camden National Corp. | 22,200 | 705,516 |
Capital Bancorp, Inc. | 9,061 | 186,566 |
Capital City Bank Group, Inc. | 12,054 | 341,731 |
Capitol Federal Financial, Inc. | 116,000 | 671,640 |
Cathay General Bancorp | 17,100 | 667,755 |
Central Pacific Financial Corp. | 91,651 | 1,710,208 |
Civista Bancshares, Inc. | 19,700 | 295,894 |
CNB Financial Corp. | 20,900 | 417,791 |
Columbia Banking System, Inc. | 40,700 | 736,670 |
Community Trust Bancorp, Inc. | 39,912 | 1,586,901 |
ConnectOne Bancorp, Inc. | 94,566 | 1,871,461 |
CrossFirst Bankshares, Inc.(a) | 34,900 | 449,163 |
Cullen/Frost Bankers, Inc. | 8,388 | 910,182 |
Customers Bancorp, Inc.(a) | 70,025 | 3,803,058 |
Dime Community Bancshares, Inc. | 48,900 | 916,386 |
Eagle Bancorp, Inc. | 50,600 | 1,205,292 |
East West Bancorp, Inc. | 6,728 | 490,202 |
Eastern Bankshares, Inc. | 117,871 | 1,522,893 |
Enterprise Financial Services Corp. | 18,000 | 718,560 |
Equity Bancshares, Inc., Class A | 2,325 | 74,005 |
FB Financial Corp. | 54,349 | 1,936,998 |
Financial Institutions, Inc. | 40,680 | 746,885 |
First BanCorp | 267,380 | 4,540,112 |
First Busey Corp. | 15,400 | 355,124 |
First Business Financial Services, Inc. | 10,742 | 378,978 |
First Financial Bankshares, Inc. | 30,711 | 950,198 |
First Financial Corp. | 38,743 | 1,442,402 |
First Foundation, Inc. | 273,366 | 2,167,792 |
First Hawaiian, Inc. | 68,700 | 1,439,952 |
First Horizon Corp. | 25,212 | 355,489 |
First Internet Bancorp | 36,561 | 1,139,606 |
First Interstate Bancsystem, Inc. | 12,900 | 339,528 |
First Merchants Corp. | 10,431 | 346,309 |
First Mid Bancshares, Inc. | 11,300 | 342,390 |
First of Long Island Corp. (The) | 61,800 | 688,452 |
Five Star Bancorp | 3,894 | 92,405 |
Flushing Financial Corp. | 72,700 | 933,468 |
FS Bancorp, Inc. | 12,915 | 430,974 |
Great Southern Bancorp, Inc. | 11,845 | 617,598 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Guaranty Bancshares, Inc. | 7,604 | 218,691 |
Hancock Whitney Corp. | 21,321 | 929,596 |
Hanmi Financial Corp. | 117,061 | 1,768,792 |
HarborOne Bancorp, Inc. | 57,229 | 582,591 |
HBT Financial, Inc. | 3,754 | 71,551 |
Heartland Financial U.S.A., Inc. | 19,900 | 676,600 |
Heritage Commerce Corp. | 77,600 | 643,304 |
Heritage Financial Corp. | 35,800 | 656,930 |
Hilltop Holdings, Inc. | 138,440 | 4,275,027 |
Home Bancorp, Inc. | 12,928 | 475,104 |
HomeTrust Bancshares, Inc. | 15,517 | 407,321 |
Hope Bancorp, Inc. | 119,300 | 1,308,721 |
Horizon Bancorp, Inc. | 79,100 | 952,364 |
Independent Bank Corp. | 66,555 | 1,627,270 |
Independent Bank Group, Inc. | 7,400 | 323,602 |
Investar Holding Corp. | 15,700 | 250,415 |
Kearny Financial Corp. | 132,218 | 840,907 |
Lakeland Bancorp, Inc. | 88,700 | 1,036,016 |
Live Oak Bancshares, Inc. | 18,079 | 718,098 |
Luther Burbank Corp.(a) | 41,400 | 378,810 |
Macatawa Bank Corp. | 20,442 | 200,332 |
Mercantile Bank Corp. | 17,943 | 661,020 |
Metropolitan Bank Holding Corp.(a) | 28,914 | 1,133,718 |
Midland States Bancorp, Inc. | 22,807 | 555,350 |
MidWestOne Financial Group, Inc. | 16,100 | 369,012 |
MVB Financial Corp. | 2,646 | 56,651 |
Northeast Bank | 7,600 | 405,764 |
Northeast Community Bancorp, Inc. | 25,700 | 400,663 |
Northfield Bancorp, Inc. | 91,427 | 923,413 |
Northrim BanCorp, Inc. | 14,200 | 706,166 |
OceanFirst Financial Corp. | 106,145 | 1,613,404 |
OFG Bancorp | 52,827 | 1,913,394 |
Origin Bancorp, Inc. | 7,280 | 217,235 |
Pacific Premier Bancorp, Inc. | 26,400 | 603,504 |
Parke Bancorp, Inc. | 14,400 | 248,400 |
PCB Bancorp | 23,900 | 385,985 |
Peapack-Gladstone Financial Corp. | 47,762 | 1,157,273 |
Pinnacle Financial Partners, Inc. | 22,588 | 1,868,479 |
Popular, Inc. | 19,100 | 1,598,288 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Preferred Bank | 27,768 | 1,995,131 |
Premier Financial Corp. | 48,300 | 936,054 |
Primis Financial Corp. | 57,481 | 709,890 |
Provident Bancorp, Inc.(a) | 13,439 | 133,852 |
Provident Financial Services, Inc. | 93,700 | 1,412,996 |
QCR Holdings, Inc. | 21,754 | 1,239,978 |
RBB Bancorp | 35,512 | 611,517 |
Sandy Spring Bancorp, Inc. | 65,000 | 1,428,700 |
Shore Bancshares, Inc. | 25,947 | 294,758 |
Sierra Bancorp | 29,451 | 548,083 |
Simmons First National Corp., Class A | 62,000 | 1,190,400 |
SmartFinancial, Inc. | 3,849 | 82,831 |
South Plains Financial, Inc. | 9,520 | 253,994 |
Southern First Bancshares, Inc.(a) | 11,654 | 383,999 |
Southside Bancshares, Inc. | 5,089 | 145,851 |
Synovus Financial Corp. | 38,800 | 1,472,072 |
Territorial Bancorp, Inc. | 12,700 | 115,062 |
Texas Capital Bancshares, Inc.(a) | 63,500 | 3,724,275 |
Third Coast Bancshares, Inc.(a) | 8,769 | 168,102 |
Tompkins Financial Corp. | 13,500 | 650,160 |
Towne Bank | 54,475 | 1,476,817 |
TrustCo Bank Corp. | 29,460 | 803,963 |
Trustmark Corp. | 19,793 | 531,640 |
UMB Financial Corp. | 43,314 | 3,534,856 |
Univest Corporation of Pennsylvania | 54,500 | 1,091,090 |
Valley National Bancorp | 98,100 | 803,439 |
Veritex Holdings, Inc. | 70,462 | 1,383,169 |
WaFd, Inc. | 49,344 | 1,344,131 |
Washington Trust Bancorp, Inc. | 37,200 | 957,528 |
Zions Bancorp | 36,400 | 1,435,252 |
Total | 119,156,273 | |
Capital Markets 1.2% | ||
Diamond Hill Investment Group, Inc. | 4,300 | 622,124 |
Donnelley Financial Solutions, Inc.(a) | 26,932 | 1,738,730 |
Evercore, Inc., Class A | 26,152 | 4,892,516 |
Federated Hermes, Inc., Class B | 40,000 | 1,409,200 |
Hamilton Lane, Inc., Class A | 16,866 | 1,937,060 |
Janus Henderson Group PLC | 49,600 | 1,545,536 |
Perella Weinberg Partners | 66,400 | 907,024 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Robinhood Markets, Inc., Class A(a) | 21,870 | 356,700 |
StoneX Group, Inc.(a) | 30,075 | 2,082,994 |
TPG, Inc. | 15,485 | 686,760 |
Virtu Financial, Inc. Class A | 77,500 | 1,398,875 |
Virtus Investment Partners, Inc. | 6,700 | 1,556,544 |
Total | 19,134,063 | |
Consumer Finance 1.1% | ||
Bread Financial Holdings, Inc. | 38,800 | 1,485,264 |
Ezcorp, Inc., Class A(a) | 149,122 | 1,564,290 |
Green Dot Corp., Class A(a) | 142,468 | 1,169,662 |
LendingClub Corp.(a) | 295,012 | 2,392,547 |
LendingTree, Inc.(a) | 21,704 | 858,827 |
Navient Corp. | 257,719 | 4,190,511 |
Oportun Financial Corp.(a) | 48,625 | 188,179 |
PROG Holdings, Inc.(a) | 61,325 | 1,893,103 |
Regional Management Corp. | 6,724 | 157,342 |
SLM Corp. | 133,641 | 2,783,742 |
Total | 16,683,467 | |
Financial Services 1.9% | ||
AvidXchange Holdings, Inc.(a) | 244,189 | 3,245,272 |
Banco Latinoamericano de Comercio Exterior SA, Class E | 5,793 | 162,030 |
Corebridge Financial, Inc. | 40,200 | 998,166 |
Enact Holdings, Inc. | 72,313 | 2,004,516 |
Essent Group Ltd. | 30,700 | 1,644,599 |
Euronet Worldwide, Inc.(a) | 4,800 | 525,312 |
Jackson Financial, Inc., Class A | 92,351 | 5,083,922 |
Merchants Bancorp | 34,845 | 1,493,457 |
MGIC Investment Corp. | 61,800 | 1,229,202 |
Mr. Cooper Group, Inc.(a) | 17,400 | 1,240,272 |
NCR Atleos Corp.(a) | 26,550 | 577,728 |
NMI Holdings, Inc., Class A(a) | 51,800 | 1,558,144 |
Ocwen Financial Corp.(a) | 4,592 | 119,759 |
Paysafe Ltd.(a) | 97,722 | 1,407,197 |
PennyMac Financial Services, Inc. | 28,090 | 2,385,684 |
Radian Group, Inc. | 56,500 | 1,646,410 |
Remitly Global, Inc.(a) | 184,150 | 3,797,173 |
Total | 29,118,843 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Insurance 2.6% | ||
Ambac Financial Group, Inc.(a) | 69,400 | 1,135,384 |
Assured Guaranty Ltd. | 15,500 | 1,419,800 |
Axis Capital Holdings Ltd. | 22,500 | 1,407,825 |
Brighthouse Financial, Inc.(a) | 31,902 | 1,485,038 |
CNO Financial Group, Inc. | 163,239 | 4,356,849 |
Donegal Group, Inc., Class A | 8,101 | 113,414 |
Employers Holdings, Inc. | 66,338 | 3,032,310 |
Enstar Group Ltd.(a) | 5,500 | 1,693,670 |
Fidelis Insurance Holdings Ltd.(a) | 90,887 | 1,359,670 |
Hanover Insurance Group, Inc. (The) | 9,728 | 1,278,940 |
Horace Mann Educators Corp. | 42,425 | 1,535,361 |
James River Group Holdings Ltd. | 79,941 | 798,611 |
Kemper Corp. | 26,000 | 1,490,580 |
Lincoln National Corp. | 30,600 | 842,724 |
Mercury General Corp. | 62,650 | 3,050,428 |
ProAssurance Corp. | 143,910 | 1,774,410 |
Reinsurance Group of America, Inc. | 19,346 | 3,421,340 |
RLI Corp. | 2,082 | 304,909 |
Safety Insurance Group, Inc. | 16,503 | 1,355,886 |
Selectquote, Inc.(a) | 18,170 | 35,250 |
SiriusPoint Ltd.(a) | 61,000 | 748,470 |
Skyward Specialty Insurance Group, Inc.(a) | 53,523 | 1,958,407 |
Stewart Information Services Corp. | 26,900 | 1,694,162 |
United Fire Group, Inc. | 22,723 | 529,219 |
Universal Insurance Holdings, Inc. | 46,434 | 937,502 |
White Mountains Insurance Group Ltd. | 820 | 1,447,661 |
Total | 39,207,820 | |
Mortgage Real Estate Investment Trusts (REITS) 0.3% | ||
Apollo Commercial Real Estate Finance, Inc. | 68,500 | 767,885 |
Ares Commercial Real Estate Corp. | 68,500 | 516,490 |
BrightSpire Capital, Inc. | 105,400 | 728,314 |
Granite Point Mortgage Trust, Inc. | 244,468 | 1,158,778 |
Great Ajax Corp. | 97,242 | 393,830 |
TPG RE Finance Trust, Inc. | 116,700 | 872,916 |
Total | 4,438,213 | |
Total Financials | 227,738,679 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care 13.7% | ||
Biotechnology 5.6% | ||
2seventy bio, Inc.(a) | 43,331 | 225,321 |
Aadi Bioscience, Inc.(a) | 17,761 | 34,989 |
ACELYRIN, Inc.(a) | 115,385 | 975,003 |
Agios Pharmaceuticals, Inc.(a) | 70,025 | 2,263,208 |
Alector, Inc.(a) | 103,038 | 718,175 |
Allogene Therapeutics, Inc.(a) | 172,121 | 845,114 |
Amicus Therapeutics, Inc.(a) | 375,202 | 4,810,090 |
Anika Therapeutics, Inc.(a) | 9,491 | 230,442 |
Apellis Pharmaceuticals, Inc.(a) | 33,643 | 2,084,857 |
Arrowhead Pharmaceuticals, Inc.(a) | 92,258 | 2,961,482 |
Blueprint Medicines Corp.(a) | 51,047 | 4,773,915 |
CareDx, Inc.(a) | 186,593 | 1,985,350 |
Century Therapeutics, Inc.(a) | 7,793 | 28,600 |
Clementia Pharmaceuticals, Inc.(a),(b),(c),(d) | 134,864 | 0 |
Cytokinetics, Inc.(a) | 13,131 | 948,583 |
Deciphera Pharmaceuticals, Inc.(a) | 25,290 | 422,090 |
Design Therapeutics, Inc.(a) | 53,015 | 147,382 |
Editas Medicine, Inc.(a) | 26,410 | 265,685 |
Enanta Pharmaceuticals, Inc.(a) | 17,679 | 254,047 |
Exelixis, Inc.(a) | 125,282 | 2,743,676 |
Fate Therapeutics, Inc.(a) | 236,948 | 1,679,961 |
FibroGen, Inc.(a) | 283,932 | 485,524 |
Gossamer Bio, Inc.(a) | 24,561 | 34,631 |
Halozyme Therapeutics, Inc.(a) | 115,092 | 4,581,813 |
Ironwood Pharmaceuticals, Inc.(a) | 213,569 | 2,013,956 |
iTeos Therapeutics, Inc.(a) | 77,454 | 829,532 |
Kodiak Sciences, Inc.(a) | 33,510 | 201,395 |
Kyverna Therapeutics, Inc.(a) | 36,583 | 993,960 |
Lyell Immunopharma, Inc.(a) | 225,549 | 658,603 |
MacroGenics, Inc.(a) | 33,432 | 599,770 |
Mersana Therapeutics, Inc.(a) | 37,370 | 203,293 |
Natera, Inc.(a) | 70,861 | 6,128,768 |
Nurix Therapeutics, Inc.(a) | 93,152 | 1,150,427 |
Organogenesis Holdings, Inc.(a) | 48,872 | 174,473 |
PMV Pharmaceuticals, Inc.(a) | 138,965 | 257,085 |
Poseida Therapeutics, Inc.(a) | 131,502 | 520,748 |
PTC Therapeutics, Inc.(a) | 68,268 | 1,924,475 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
REGENXBIO, Inc.(a) | 189,439 | 3,303,816 |
Relay Therapeutics, Inc.(a) | 441,281 | 4,421,636 |
Revolution Medicines, Inc.(a) | 136,017 | 4,009,781 |
Sage Therapeutics, Inc.(a) | 60,617 | 1,302,053 |
Sangamo Therapeutics, Inc.(a) | 6,474 | 7,510 |
Stoke Therapeutics, Inc.(a) | 2,854 | 22,090 |
Sutro Biopharma, Inc.(a) | 149,005 | 731,615 |
Travere Therapeutics, Inc.(a) | 9,373 | 70,860 |
Twist Bioscience Corp.(a) | 117,607 | 4,620,779 |
Vanda Pharmaceuticals, Inc.(a) | 243,986 | 1,090,617 |
Vaxcyte, Inc.(a) | 54,028 | 3,988,347 |
Vericel Corp.(a) | 155,659 | 7,110,503 |
Verve Therapeutics, Inc.(a) | 74,732 | 1,274,181 |
Viking Therapeutics, Inc.(a) | 31,146 | 2,399,799 |
Vir Biotechnology, Inc.(a) | 36,009 | 404,741 |
Zymeworks, Inc.(a) | 132,326 | 1,589,235 |
Total | 85,503,986 | |
Health Care Equipment & Supplies 3.2% | ||
Alphatec Holdings, Inc.(a) | 129,945 | 1,745,161 |
Angiodynamics, Inc.(a) | 128,566 | 705,827 |
Cutera, Inc.(a) | 29,932 | 67,048 |
Embecta Corp. | 69,747 | 995,987 |
Establishment Labs Holdings, Inc.(a) | 57,077 | 2,607,277 |
Inari Medical, Inc.(a) | 60,448 | 2,787,862 |
Inmode Ltd.(a) | 66,100 | 1,454,200 |
Inogen, Inc.(a) | 73,287 | 487,359 |
iRhythm Technologies, Inc.(a) | 39,814 | 4,723,931 |
LeMaitre Vascular, Inc. | 133,291 | 9,330,370 |
Merit Medical Systems, Inc.(a) | 124,862 | 9,514,485 |
Neogen Corp.(a) | 413,458 | 7,107,343 |
OraSure Technologies, Inc.(a) | 21,561 | 155,131 |
Orthofix Medical, Inc.(a) | 107,485 | 1,403,754 |
Outset Medical, Inc.(a) | 169,332 | 533,396 |
Shockwave Medical, Inc.(a) | 9,221 | 2,405,482 |
Utah Medical Products, Inc. | 4,600 | 322,828 |
Zimvie, Inc.(a) | 64,036 | 1,085,410 |
Zynex, Inc.(a) | 55,300 | 749,868 |
Total | 48,182,719 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Health Care Providers & Services 0.8% | ||
Acadia Healthcare Co., Inc.(a) | 38,258 | 3,192,630 |
Accolade, Inc.(a) | 219,019 | 2,244,945 |
Addus HomeCare Corp.(a) | 3,722 | 343,466 |
Castle Biosciences, Inc.(a) | 57,848 | 1,044,735 |
National Research Corp., Class A | 51,228 | 2,065,513 |
Progyny, Inc.(a) | 71,421 | 2,608,295 |
Select Medical Holdings Corp. | 30,100 | 819,623 |
Total | 12,319,207 | |
Health Care Technology 1.3% | ||
American Well Corp., Class A(a) | 360,826 | 389,692 |
Definitive Healthcare Corp.(a) | 303,675 | 2,890,986 |
Evolent Health, Inc., Class A(a) | 171,435 | 5,813,361 |
Health Catalyst, Inc.(a) | 203,978 | 1,697,097 |
HealthStream, Inc. | 11,791 | 321,658 |
Simulations Plus, Inc. | 153,289 | 6,361,494 |
TruBridge, Inc.(a) | 121,486 | 1,076,366 |
Veradigm, Inc.(a) | 197,329 | 1,182,987 |
Total | 19,733,641 | |
Life Sciences Tools & Services 2.0% | ||
Azenta, Inc.(a) | 86,981 | 5,666,812 |
Codexis, Inc.(a) | 84,693 | 393,823 |
MaxCyte, Inc.(a) | 143,945 | 662,147 |
Mesa Laboratories, Inc. | 39,149 | 4,274,679 |
Personalis, Inc.(a) | 21,748 | 33,710 |
Repligen Corp.(a) | 38,565 | 7,481,224 |
Seer, Inc.(a) | 81,211 | 147,804 |
Stevanato Group SpA | 339,120 | 11,241,828 |
Total | 29,902,027 | |
Pharmaceuticals 0.8% | ||
Amneal Pharmaceuticals, Inc.(a) | 8,064 | 44,513 |
Arvinas, Inc.(a) | 67,640 | 3,110,087 |
Atea Pharmaceuticals, Inc.(a) | 87,838 | 378,582 |
Athira Pharma, Inc.(a) | 17,769 | 68,411 |
Intra-Cellular Therapies, Inc.(a) | 65,605 | 4,560,860 |
Nektar Therapeutics(a) | 219,719 | 156,001 |
NGM Biopharmaceuticals, Inc.(a) | 14,185 | 21,561 |
Nuvation Bio, Inc.(a) | 95,459 | 178,508 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Phibro Animal Health Corp., Class A | 68,852 | 890,256 |
Revance Therapeutics, Inc.(a) | 162,368 | 1,159,308 |
SIGA Technologies, Inc. | 131,058 | 682,812 |
Theravance Biopharma, Inc.(a) | 109,987 | 1,041,577 |
WaVe Life Sciences Ltd.(a) | 25,994 | 125,031 |
Zevra Therapeutics, Inc.(a) | 12,510 | 84,317 |
Total | 12,501,824 | |
Total Health Care | 208,143,404 | |
Industrials 24.4% | ||
Aerospace & Defense 0.7% | ||
AerSale Corp.(a) | 91,600 | 809,744 |
Astronics Corp.(a) | 7,452 | 142,855 |
Hexcel Corp. | 65,321 | 4,863,802 |
Mercury Systems, Inc.(a) | 72,628 | 2,169,398 |
Moog, Inc., Class A | 5,300 | 794,735 |
National Presto Industries, Inc. | 9,900 | 765,567 |
V2X, Inc.(a) | 25,300 | 974,050 |
Total | 10,520,151 | |
Air Freight & Logistics 0.0% | ||
Radiant Logistics, Inc.(a) | 16,390 | 95,062 |
Building Products 4.6% | ||
AAON, Inc. | 255,204 | 21,432,032 |
Armstrong World Industries, Inc. | 9,500 | 1,145,795 |
AZZ, Inc. | 19,900 | 1,448,720 |
CSW Industrials, Inc. | 32,270 | 7,434,685 |
Insteel Industries, Inc. | 58,129 | 2,116,477 |
Janus International Group, Inc.(a) | 27,400 | 393,190 |
JELD-WEN Holding, Inc.(a) | 40,500 | 737,100 |
Resideo Technologies, Inc.(a) | 39,300 | 877,569 |
Simpson Manufacturing Co., Inc. | 120,045 | 25,050,990 |
Trex Company, Inc.(a) | 103,960 | 9,539,370 |
Total | 70,175,928 | |
Commercial Services & Supplies 2.9% | ||
ABM Industries, Inc. | 31,900 | 1,317,789 |
ACCO Brands Corp. | 1,110 | 6,194 |
ACV Auctions, Inc., Class A(a) | 172,676 | 3,064,999 |
Brady Corp., Class A | 20,900 | 1,218,052 |
BrightView Holdings, Inc.(a) | 64,753 | 563,999 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Brink’s Co. (The) | 13,700 | 1,134,771 |
Casella Waste Systems, Inc., Class A(a) | 249,517 | 22,481,482 |
Ennis, Inc. | 34,000 | 690,880 |
Enviri Corp.(a) | 122,127 | 959,918 |
Healthcare Services Group, Inc.(a) | 87,900 | 1,121,604 |
Interface, Inc. | 166,486 | 2,617,160 |
MSA Safety, Inc. | 30,810 | 5,673,661 |
Quad/Graphics, Inc. | 51,583 | 308,982 |
Steelcase, Inc., Class A | 181,299 | 2,491,048 |
Unifirst Corp. | 2,200 | 371,184 |
Total | 44,021,723 | |
Construction & Engineering 2.0% | ||
Argan, Inc. | 21,965 | 1,029,280 |
Comfort Systems U.S.A., Inc. | 24,212 | 7,402,335 |
Construction Partners, Inc., Class A(a) | 258,209 | 12,414,689 |
Fluor Corp.(a) | 55,591 | 2,045,749 |
Limbach Holdings, Inc.(a) | 8,315 | 409,431 |
MasTec, Inc.(a) | 25,173 | 1,899,554 |
Matrix Service Co.(a) | 23,589 | 278,350 |
Primoris Services Corp. | 13,600 | 537,336 |
Tutor Perini Corp.(a) | 230,342 | 2,609,775 |
Valmont Industries, Inc. | 12,309 | 2,608,646 |
Total | 31,235,145 | |
Electrical Equipment 1.0% | ||
Bloom Energy Corp., Class A(a) | 185,694 | 1,628,536 |
NEXTracker, Inc., Class A(a) | 87,419 | 4,916,445 |
Powell Industries, Inc. | 25,281 | 4,683,052 |
Preformed Line Products Co. | 3,000 | 412,440 |
Shoals Technologies Group, Inc., Class A(a) | 143,238 | 1,837,744 |
Thermon(a) | 43,500 | 1,187,115 |
Vicor Corp.(a) | 28,802 | 1,072,586 |
Total | 15,737,918 | |
Ground Transportation 0.6% | ||
ArcBest Corp. | 27,610 | 3,944,365 |
Covenant Logistics Group, Inc., Class A | 17,556 | 854,626 |
Heartland Express, Inc. | 87,500 | 1,118,250 |
Marten Transport Ltd. | 36,600 | 689,910 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
PAM Transportation Services, Inc.(a) | 16,700 | 309,284 |
Saia, Inc.(a) | 2,932 | 1,687,073 |
Total | 8,603,508 | |
Machinery 5.9% | ||
AGCO Corp. | 15,171 | 1,664,259 |
Albany International Corp., Class A | 8,000 | 750,960 |
Astec Industries, Inc. | 37,464 | 1,521,038 |
Barnes Group, Inc. | 61,691 | 2,155,483 |
Blue Bird Corp.(a) | 5,400 | 182,736 |
Chart Industries, Inc.(a) | 19,186 | 2,740,912 |
Columbus McKinnon Corp. | 28,600 | 1,194,622 |
Douglas Dynamics, Inc. | 82,410 | 2,068,491 |
Enerpac Tool Group Corp. | 26,100 | 879,831 |
Esab Corp. | 19,640 | 1,946,717 |
ESCO Technologies, Inc. | 70,697 | 7,203,317 |
Federal Signal Corp. | 92,205 | 7,552,511 |
Flowserve Corp. | 34,000 | 1,438,880 |
Gates Industrial Corp. PLC(a) | 99,900 | 1,470,528 |
Greenbrier Companies, Inc. (The) | 60,684 | 3,140,397 |
Helios Technologies, Inc. | 137,231 | 6,058,749 |
Hillenbrand, Inc. | 30,300 | 1,440,765 |
Hillman Solutions Corp.(a) | 504,300 | 4,911,882 |
ITT, Inc. | 39,482 | 4,980,259 |
John Bean Technologies Corp. | 83,817 | 8,505,749 |
Kennametal, Inc. | 12,900 | 325,596 |
Lindsay Corp. | 5,800 | 691,998 |
Luxfer Holdings PLC, ADR | 8,820 | 87,494 |
Manitowoc Co., Inc. (The)(a) | 87,904 | 1,225,382 |
Microvast Holdings, Inc.(a) | 499,772 | 429,954 |
Miller Industries, Inc. | 9,300 | 418,593 |
Mueller Industries, Inc. | 25,500 | 1,310,190 |
Mueller Water Products, Inc., Class A | 80,200 | 1,247,110 |
Omega Flex, Inc. | 20,724 | 1,443,427 |
Proto Labs, Inc.(a) | 43,607 | 1,588,603 |
RBC Bearings, Inc.(a) | 40,232 | 10,976,497 |
REV Group, Inc. | 92,162 | 1,902,224 |
Tennant Co. | 4,200 | 475,398 |
Terex Corp. | 24,022 | 1,377,662 |
Titan International, Inc.(a) | 102,195 | 1,304,008 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Trinity Industries, Inc. | 51,912 | 1,317,527 |
Wabash National Corp. | 46,000 | 1,254,880 |
Total | 89,184,629 | |
Passenger Airlines 0.1% | ||
Alaska Air Group, Inc.(a) | 31,400 | 1,174,046 |
JetBlue Airways Corp.(a) | 74,000 | 479,520 |
Total | 1,653,566 | |
Professional Services 3.0% | ||
Barrett Business Services, Inc. | 6,089 | 742,797 |
Concentrix Corp. | 15,300 | 1,108,485 |
Conduent, Inc.(a) | 305,888 | 1,052,255 |
ExlService Holdings, Inc.(a) | 106,676 | 3,319,757 |
Exponent, Inc. | 155,776 | 12,600,721 |
Heidrick & Struggles International, Inc. | 65,427 | 2,224,518 |
KBR, Inc. | 39,565 | 2,375,087 |
Kelly Services, Inc., Class A | 33,869 | 830,806 |
Kforce, Inc. | 17,700 | 1,232,628 |
Korn/Ferry International | 24,000 | 1,527,840 |
ManpowerGroup, Inc. | 20,500 | 1,479,280 |
MAXIMUS, Inc. | 18,200 | 1,522,612 |
Mistras Group, Inc.(a) | 16,675 | 144,239 |
Paycor HCM, Inc.(a) | 391,474 | 8,267,931 |
Resources Connection, Inc. | 139,601 | 1,930,682 |
Robert Half, Inc. | 7,996 | 642,878 |
Sterling Check Corp.(a) | 13,614 | 213,331 |
TrueBlue, Inc.(a) | 200,957 | 2,361,245 |
TTEC Holdings, Inc. | 54,700 | 954,515 |
Verra Mobility Corp.(a) | 35,600 | 769,672 |
Total | 45,301,279 | |
Trading Companies & Distributors 3.6% | ||
Air Lease Corp. | 63,311 | 2,538,771 |
Applied Industrial Technologies, Inc. | 40,394 | 7,670,417 |
Boise Cascade Co. | 38,992 | 5,299,403 |
DNOW, Inc.(a) | 139,255 | 1,970,458 |
FTAI Aviation Ltd. | 57,288 | 3,224,742 |
Global Industrial Co. | 16,558 | 726,068 |
GMS, Inc.(a) | 21,937 | 1,959,193 |
MRC Global, Inc.(a) | 39,700 | 457,741 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Rush Enterprises, Inc., Class A | 117,169 | 5,706,106 |
SiteOne Landscape Supply, Inc.(a) | 84,284 | 14,200,168 |
Titan Machinery, Inc.(a) | 43,000 | 1,084,890 |
Transcat, Inc.(a) | 51,888 | 5,456,542 |
WESCO International, Inc. | 28,163 | 4,210,087 |
Total | 54,504,586 | |
Total Industrials | 371,033,495 | |
Information Technology 17.5% | ||
Communications Equipment 0.8% | ||
ADTRAN Holdings, Inc. | 218,419 | 1,242,804 |
Aviat Networks, Inc.(a) | 12,600 | 447,174 |
Ciena Corp.(a) | 31,419 | 1,790,255 |
Digi International, Inc.(a) | 244,445 | 7,225,794 |
DZS, Inc.(a) | 11,804 | 17,352 |
NETGEAR, Inc.(a) | 92,019 | 1,379,365 |
Ribbon Communications, Inc.(a) | 135,584 | 405,396 |
Total | 12,508,140 | |
Electronic Equipment, Instruments & Components 2.7% | ||
Avnet, Inc. | 30,500 | 1,420,995 |
Belden, Inc. | 17,200 | 1,465,096 |
Benchmark Electronics, Inc. | 12,400 | 380,804 |
Coherent Corp.(a) | 11,800 | 701,864 |
Crane NXT Co. | 26,000 | 1,518,920 |
Daktronics, Inc.(a) | 2,444 | 21,214 |
ePlus, Inc.(a) | 15,800 | 1,301,762 |
Fabrinet(a) | 4,214 | 908,412 |
FARO Technologies, Inc.(a) | 52,856 | 1,183,446 |
IPG Photonics Corp.(a) | 15,300 | 1,321,155 |
Iteris, Inc.(a) | 16,888 | 88,155 |
Itron, Inc.(a) | 20,300 | 1,881,404 |
Kimball Electronics, Inc.(a) | 47,400 | 1,066,974 |
Littelfuse, Inc. | 12,437 | 2,962,991 |
Methode Electronics, Inc. | 71,300 | 1,518,690 |
Novanta, Inc.(a) | 75,874 | 13,121,650 |
OSI Systems, Inc.(a) | 5,800 | 760,844 |
Plexus Corp.(a) | 13,976 | 1,319,334 |
Sanmina Corp.(a) | 23,200 | 1,466,240 |
Scansource, Inc.(a) | 36,024 | 1,557,317 |
TTM Technologies, Inc.(a) | 99,300 | 1,474,605 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Vishay Intertechnology, Inc. | 62,800 | 1,365,900 |
Vontier Corp. | 34,800 | 1,496,400 |
Total | 40,304,172 | |
IT Services 0.8% | ||
Brightcove, Inc.(a) | 10,010 | 22,172 |
DigitalOcean Holdings, Inc.(a) | 68,553 | 2,599,530 |
DXC Technology Co.(a) | 82,136 | 1,795,493 |
Edgio, Inc.(a) | 64,100 | 14,371 |
Globant SA(a) | 11,363 | 2,535,881 |
Kyndryl Holdings, Inc.(a) | 42,593 | 935,768 |
Rackspace Technology, Inc.(a) | 286,189 | 603,859 |
Squarespace, Inc., Class A(a) | 96,640 | 3,216,179 |
Unisys Corp.(a) | 145,735 | 756,365 |
Total | 12,479,618 | |
Semiconductors & Semiconductor Equipment 2.0% | ||
Allegro MicroSystems, Inc.(a) | 151,912 | 4,783,709 |
Alpha & Omega Semiconductor Ltd.(a) | 43,589 | 954,599 |
Axcelis Technologies, Inc.(a) | 8,182 | 921,866 |
Cirrus Logic, Inc.(a) | 13,200 | 1,212,024 |
Credo Technology Group Holding Ltd.(a) | 116,377 | 2,506,761 |
Diodes, Inc.(a) | 21,500 | 1,461,570 |
MACOM Technology Solutions Holdings, Inc.(a) | 17,173 | 1,516,891 |
MKS Instruments, Inc. | 21,655 | 2,658,368 |
NVE Corp. | 9,500 | 794,105 |
Onto Innovation, Inc.(a) | 22,221 | 4,092,219 |
Photronics, Inc.(a) | 36,000 | 1,036,440 |
Rambus, Inc.(a) | 78,885 | 4,673,147 |
Semtech Corp.(a) | 53,700 | 1,138,440 |
SMART Global Holdings, Inc.(a) | 86,408 | 1,837,898 |
Total | 29,588,037 | |
Software 10.3% | ||
ACI Worldwide, Inc.(a) | 52,200 | 1,717,902 |
Adeia, Inc. | 135,135 | 1,532,431 |
Altair Engineering, Inc., Class A(a) | 151,103 | 12,855,843 |
American Software, Inc., Class A | 26,275 | 294,805 |
Appfolio, Inc., Class A(a) | 7,621 | 1,844,968 |
Blackline, Inc.(a) | 146,326 | 8,301,074 |
Box, Inc., Class A(a) | 110,946 | 2,861,297 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Clear Secure, Inc., Class A | 100,612 | 1,936,781 |
Clearwater Analytics Holdings, Inc., Class A(a) | 378,680 | 6,520,870 |
Confluent, Inc., Class A(a) | 145,522 | 4,928,830 |
CS Disco, Inc.(a) | 38,053 | 253,433 |
CyberArk Software Ltd.(a) | 16,264 | 4,289,793 |
Descartes Systems Group, Inc. (The)(a) | 181,000 | 15,687,270 |
Digital Turbine, Inc.(a) | 82,595 | 261,826 |
Dropbox, Inc., Class A(a) | 105,366 | 2,523,516 |
Elastic NV(a) | 22,010 | 2,945,158 |
Envestnet, Inc.(a) | 30,722 | 1,583,105 |
Five9, Inc.(a) | 26,995 | 1,646,695 |
Freshworks, Inc., Class A(a) | 149,322 | 3,052,142 |
Gitlab, Inc., Class A(a) | 35,539 | 2,563,073 |
Guidewire Software, Inc.(a) | 11,803 | 1,408,570 |
HashiCorp, Inc., Class A(a) | 129,437 | 3,374,422 |
JFrog Ltd.(a) | 77,018 | 3,449,636 |
Klaviyo, Inc.(a) | 51,370 | 1,361,305 |
MeridianLink, Inc.(a) | 53,340 | 1,011,326 |
Model N, Inc.(a) | 260,900 | 6,407,704 |
Nutanix, Inc., Class A(a) | 73,005 | 4,610,996 |
ON24, Inc. | 53,463 | 375,310 |
PowerSchool Holdings, Inc., Class A(a) | 69,430 | 1,450,393 |
PROS Holdings, Inc.(a) | 219,040 | 7,830,680 |
Q2 Holdings, Inc.(a) | 123,670 | 5,717,264 |
SecureWorks Corp., Class A(a) | 7,127 | 47,038 |
SentinelOne, Inc., Class A(a) | 156,105 | 4,397,478 |
Smartsheet, Inc., Class A(a) | 83,623 | 3,529,727 |
SolarWinds Corp.(a) | 118,855 | 1,419,129 |
SPS Commerce, Inc.(a) | 70,855 | 13,119,512 |
Upland Software, Inc.(a) | 104,040 | 304,837 |
Vertex, Inc.(a) | 309,652 | 10,398,114 |
Workiva, Inc., Class A(a) | 96,914 | 8,346,234 |
Xperi, Inc.(a) | 108,764 | 1,192,053 |
Total | 157,352,540 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Technology Hardware, Storage & Peripherals 0.9% | ||
CPI Card Group, Inc.(a) | 20,300 | 383,670 |
Super Micro Computer, Inc.(a) | 15,655 | 13,559,109 |
Turtle Beach Corp.(a) | 32,233 | 344,248 |
Total | 14,287,027 | |
Total Information Technology | 266,519,534 | |
Materials 3.3% | ||
Chemicals 1.5% | ||
AdvanSix, Inc. | 40,200 | 1,124,796 |
Alto Ingredients, Inc.(a) | 386,500 | 850,300 |
American Vanguard Corp. | 37,402 | 400,949 |
Balchem Corp. | 66,172 | 10,401,577 |
Cabot Corp. | 9,700 | 824,015 |
Core Molding Technologies, Inc.(a) | 44,800 | 822,976 |
Ecovyst, Inc.(a) | 321,919 | 3,106,518 |
Huntsman Corp. | 28,811 | 737,562 |
Ingevity Corp.(a) | 30,700 | 1,402,376 |
Innospec, Inc. | 8,600 | 1,068,722 |
Minerals Technologies, Inc. | 19,900 | 1,439,964 |
Origin Materials, Inc.(a) | 293,199 | 174,043 |
Rayonier Advanced Materials, Inc.(a) | 137,113 | 464,813 |
Trinseo PLC | 120,248 | 541,116 |
Valhi, Inc. | 3,217 | 43,848 |
Total | 23,403,575 | |
Construction Materials 0.3% | ||
Eagle Materials, Inc. | 10,456 | 2,651,119 |
Knife River Corp.(a) | 26,094 | 1,933,304 |
Total | 4,584,423 | |
Containers & Packaging 0.2% | ||
Myers Industries, Inc. | 39,900 | 767,277 |
Ranpak Holdings Corp.(a) | 117,016 | 555,826 |
Silgan Holdings, Inc. | 17,300 | 759,643 |
TriMas Corp. | 43,200 | 1,015,200 |
Total | 3,097,946 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Metals & Mining 1.0% | ||
Compass Minerals International, Inc. | 43,700 | 996,360 |
Haynes International, Inc. | 7,000 | 416,010 |
Kaiser Aluminum Corp. | 22,747 | 1,649,612 |
Olympic Steel, Inc. | 25,502 | 1,734,646 |
Radius Recycling, Inc., Class A | 48,526 | 958,874 |
Ryerson Holding Corp. | 67,380 | 2,127,860 |
SunCoke Energy, Inc. | 176,775 | 1,893,260 |
Tredegar Corp. | 210,613 | 916,167 |
Warrior Met Coal, Inc. | 75,317 | 4,290,810 |
Total | 14,983,599 | |
Paper & Forest Products 0.3% | ||
Clearwater Paper Corp.(a) | 10,071 | 395,690 |
Louisiana-Pacific Corp. | 19,356 | 1,431,763 |
Mercer International, Inc. | 87,200 | 800,496 |
Sylvamo Corp. | 16,900 | 1,020,929 |
Total | 3,648,878 | |
Total Materials | 49,718,421 | |
Real Estate 3.5% | ||
Diversified REITs 0.1% | ||
Armada Hoffler Properties, Inc. | 20,455 | 208,232 |
Empire State Realty Trust, Inc., Class A | 142,900 | 1,424,713 |
Total | 1,632,945 | |
Health Care REITs 0.0% | ||
CareTrust REIT, Inc. | 25,045 | 565,015 |
Hotel & Resort REITs 1.1% | ||
Chatham Lodging Trust | 50,394 | 514,019 |
Park Hotels & Resorts, Inc. | 123,443 | 2,049,154 |
Pebblebrook Hotel Trust | 108,423 | 1,717,420 |
RLJ Lodging Trust | 412,632 | 4,897,942 |
Sunstone Hotel Investors, Inc. | 355,263 | 3,975,393 |
Xenia Hotels & Resorts, Inc. | 237,764 | 3,647,300 |
Total | 16,801,228 | |
Industrial REITs 0.2% | ||
Plymouth Industrial REIT, Inc. | 4,218 | 90,982 |
Terreno Realty Corp. | 54,237 | 3,487,439 |
Total | 3,578,421 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Office REITs 0.3% | ||
Easterly Government Properties, Inc. | 51,533 | 608,089 |
Equity Commonwealth(a) | 211,470 | 3,981,980 |
Orion Office REIT, Inc. | 157,878 | 554,152 |
Total | 5,144,221 | |
Real Estate Management & Development 1.5% | ||
Compass, Inc.(a) | 192,374 | 759,877 |
Cushman & Wakefield PLC(a) | 123,700 | 1,235,763 |
Douglas Elliman, Inc. | 155,332 | 285,811 |
FirstService Corp. | 76,700 | 12,650,131 |
Forestar Group, Inc.(a) | 45,639 | 1,538,947 |
Howard Hughes Holdings, Inc.(a) | 11,032 | 842,845 |
Newmark Group, Inc., Class A | 166,170 | 1,792,974 |
Opendoor Technologies, Inc.(a) | 219,545 | 676,199 |
RE/MAX Holdings, Inc., Class A | 78,053 | 665,792 |
RMR Group, Inc. (The), Class A | 14,584 | 356,871 |
Seritage Growth Properties, Class A(a) | 147,600 | 1,391,868 |
Total | 22,197,078 | |
Retail REITs 0.1% | ||
Alexander’s, Inc. | 4,900 | 1,083,145 |
Specialized REITs 0.2% | ||
CubeSmart | 53,976 | 2,353,893 |
Total Real Estate | 53,355,946 | |
Utilities 1.4% | ||
Electric Utilities 0.6% | ||
Allete, Inc. | 26,100 | 1,478,304 |
NRG Energy, Inc. | 63,025 | 3,486,543 |
Otter Tail Corp. | 17,300 | 1,564,958 |
PNM Resources, Inc. | 37,800 | 1,380,078 |
Portland General Electric Co. | 35,900 | 1,442,103 |
Total | 9,351,986 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Gas Utilities 0.4% | ||
Northwest Natural Holding Co. | 50,247 | 1,846,075 |
ONE Gas, Inc. | 24,700 | 1,472,120 |
Southwest Gas Holdings, Inc. | 24,900 | 1,696,935 |
Spire, Inc. | 24,700 | 1,465,204 |
Total | 6,480,334 | |
Independent Power and Renewable Electricity Producers 0.1% | ||
Vistra Corp. | 29,899 | 1,630,691 |
Multi-Utilities 0.3% | ||
Avista Corp. | 44,300 | 1,470,760 |
Black Hills Corp. | 28,500 | 1,482,855 |
Northwestern Energy Group, Inc. | 30,300 | 1,451,976 |
Total | 4,405,591 | |
Total Utilities | 21,868,602 | |
Total Common Stocks (Cost $1,386,434,750) | 1,509,478,763 | |
Money Market Funds 0.9% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(e),(f) | 13,591,474 | 13,588,756 |
Total Money Market Funds (Cost $13,588,756) | 13,588,756 | |
Total Investments in Securities (Cost: $1,400,023,506) | 1,523,067,519 | |
Other Assets & Liabilities, Net | (560,966 ) | |
Net Assets | 1,522,506,553 |
(a) | Non-income producing investment. |
(b) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(c) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Clementia Pharmaceuticals, Inc. | 04/23/2019 | 134,864 | — | — |
(d) | Valuation based on significant unobservable inputs. |
(e) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(f) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
23,214,851 | 332,482,083 | (342,107,321 ) | (857 ) | 13,588,756 | 6,823 | 779,070 | 13,591,474 |
ADR | American Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Communication Services | 11,593,613 | — | — | 11,593,613 |
Consumer Discretionary | 161,442,330 | — | — | 161,442,330 |
Consumer Staples | 49,105,972 | — | — | 49,105,972 |
Energy | 87,793,702 | 1,165,065 | — | 88,958,767 |
Financials | 227,738,679 | — | — | 227,738,679 |
Health Care | 206,960,417 | 1,182,987 | 0 * | 208,143,404 |
Industrials | 371,033,495 | — | — | 371,033,495 |
Information Technology | 266,519,534 | — | — | 266,519,534 |
Materials | 49,718,421 | — | — | 49,718,421 |
Real Estate | 53,355,946 | — | — | 53,355,946 |
Utilities | 21,868,602 | — | — | 21,868,602 |
Total Common Stocks | 1,507,130,711 | 2,348,052 | 0 * | 1,509,478,763 |
Money Market Funds | 13,588,756 | — | — | 13,588,756 |
Total Investments in Securities | 1,520,719,467 | 2,348,052 | 0 * | 1,523,067,519 |
* | Rounds to zero. |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,386,434,750) | $1,509,478,763 |
Affiliated issuers (cost $13,588,756) | 13,588,756 |
Receivable for: | |
Investments sold | 5,368,734 |
Capital shares sold | 2,426,968 |
Dividends | 1,034,987 |
Foreign tax reclaims | 2,735 |
Expense reimbursement due from Investment Manager | 6,161 |
Prepaid expenses | 9,768 |
Deferred compensation of board members | 137,216 |
Other assets | 23,821 |
Total assets | 1,532,077,909 |
Liabilities | |
Due to custodian | 1,853 |
Payable for: | |
Investments purchased | 6,955,122 |
Capital shares redeemed | 1,940,458 |
Management services fees | 33,839 |
Transfer agent fees | 342,361 |
Compensation of chief compliance officer | 132 |
Compensation of board members | 3,298 |
Other expenses | 121,673 |
Deferred compensation of board members | 172,620 |
Total liabilities | 9,571,356 |
Net assets applicable to outstanding capital stock | $1,522,506,553 |
Represented by | |
Paid in capital | 1,416,617,760 |
Total distributable earnings (loss) | 105,888,793 |
Total - representing net assets applicable to outstanding capital stock | $1,522,506,553 |
Institutional Class | |
Net assets | $1,522,503,985 |
Shares outstanding | 96,287,751 |
Net asset value per share | $15.81 |
Institutional 3 Class | |
Net assets | $2,568 |
Shares outstanding | 163 |
Net asset value per share(a) | $15.79 |
(a) | Net asset value per share rounds to this amount due to fractional shares outstanding. |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $9,222,646 |
Dividends — affiliated issuers | 779,070 |
Foreign taxes withheld | (23,904 ) |
Total income | 9,977,812 |
Expenses: | |
Management services fees | 5,780,725 |
Transfer agent fees | |
Institutional Class | 2,147,756 |
Institutional 3 Class | 1 |
Custodian fees | 35,650 |
Printing and postage fees | 143,716 |
Registration fees | 34,502 |
Accounting services fees | 27,920 |
Legal fees | 16,361 |
Interest on interfund lending | 32 |
Compensation of chief compliance officer | 132 |
Compensation of board members | 13,645 |
Deferred compensation of board members | 4,928 |
Other | 14,536 |
Total expenses | 8,219,904 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (1,293,965 ) |
Total net expenses | 6,925,939 |
Net investment income | 3,051,873 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,387,163 |
Investments — affiliated issuers | 6,823 |
Net realized gain | 7,393,986 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 110,575,369 |
Investments — affiliated issuers | (857 ) |
Net change in unrealized appreciation (depreciation) | 110,574,512 |
Net realized and unrealized gain | 117,968,498 |
Net increase in net assets resulting from operations | $121,020,371 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $3,051,873 | $7,249,655 |
Net realized gain | 7,393,986 | 19,800,344 |
Net change in unrealized appreciation (depreciation) | 110,574,512 | 7,110,259 |
Net increase in net assets resulting from operations | 121,020,371 | 34,160,258 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (30,894,816 ) | (116,769,104 ) |
Institutional 3 Class | (56 ) | (235 ) |
Total distributions to shareholders | (30,894,872 ) | (116,769,339 ) |
Increase in net assets from capital stock activity | 42,221,449 | 187,664,754 |
Total increase in net assets | 132,346,948 | 105,055,673 |
Net assets at beginning of period | 1,390,159,605 | 1,285,103,932 |
Net assets at end of period | $1,522,506,553 | $1,390,159,605 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Shares sold | 13,063,421 | 188,851,455 | 46,047,183 | 694,404,386 |
Distributions reinvested | 2,129,208 | 30,894,816 | 8,364,549 | 116,769,104 |
Shares redeemed | (11,927,231 ) | (177,524,822 ) | (44,014,091 ) | (623,508,736 ) |
Net increase | 3,265,398 | 42,221,449 | 10,397,641 | 187,664,754 |
Total net increase | 3,265,398 | 42,221,449 | 10,397,641 | 187,664,754 |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $14.94 | 0.03 | 1.16 | 1.19 | (0.10 ) | (0.22 ) | (0.32 ) |
Year Ended 8/31/2023 | $15.55 | 0.07 | 0.74 | 0.81 | (0.05 ) | (1.37 ) | (1.42 ) |
Year Ended 8/31/2022 | $21.62 | 0.02 | (2.85 ) | (2.83 ) | (0.01 ) | (3.23 ) | (3.24 ) |
Year Ended 8/31/2021 | $14.76 | 0.00 (d) | 6.92 | 6.92 | (0.06 ) | — | (0.06 ) |
Year Ended 8/31/2020 | $14.39 | 0.04 | 0.80 | 0.84 | (0.05 ) | (0.42 ) | (0.47 ) |
Year Ended 8/31/2019 | $17.75 | 0.03 | (2.37 ) | (2.34 ) | (0.02 ) | (1.00 ) | (1.02 ) |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $14.94 | 0.05 | 1.14 | 1.19 | (0.12 ) | (0.22 ) | (0.34 ) |
Year Ended 8/31/2023 | $15.55 | 0.10 | 0.74 | 0.84 | (0.08 ) | (1.37 ) | (1.45 ) |
Year Ended 8/31/2022 | $21.58 | 0.05 | (2.83 ) | (2.78 ) | (0.02 ) | (3.23 ) | (3.25 ) |
Year Ended 8/31/2021 | $14.73 | 0.03 | 6.90 | 6.93 | (0.08 ) | — | (0.08 ) |
Year Ended 8/31/2020(e) | $15.37 | 0.04 | (0.68 )(f) | (0.64 ) | — | — | — |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Rounds to zero. |
(e) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
(f) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to timing of Fund shares sold and redeemed in relation to fluctuations in the market value of the portfolio. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $15.81 | 8.13% | 1.17% (c) | 0.99% (c) | 0.44% | 44% | $1,522,504 |
Year Ended 8/31/2023 | $14.94 | 5.83% | 1.17% (c) | 0.99% (c) | 0.51% | 74% | $1,390,157 |
Year Ended 8/31/2022 | $15.55 | (15.57% ) | 1.17% (c) | 0.99% (c) | 0.13% | 59% | $1,285,101 |
Year Ended 8/31/2021 | $21.62 | 46.94% | 1.13% | 0.99% | 0.01% | 59% | $1,483,609 |
Year Ended 8/31/2020 | $14.76 | 5.76% | 1.09% | 0.99% | 0.26% | 83% | $1,167,589 |
Year Ended 8/31/2019 | $14.39 | (12.85% ) | 1.06% | 1.05% | 0.22% | 97% | $1,664,350 |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $15.79 | 8.19% | 0.84% (c) | 0.81% (c) | 0.63% | 44% | $3 |
Year Ended 8/31/2023 | $14.94 | 6.05% | 0.89% (c) | 0.81% (c) | 0.67% | 74% | $2 |
Year Ended 8/31/2022 | $15.55 | (15.33% ) | 0.84% (c) | 0.81% (c) | 0.30% | 59% | $3 |
Year Ended 8/31/2021 | $21.58 | 47.18% | 0.86% | 0.81% | 0.16% | 59% | $4 |
Year Ended 8/31/2020(e) | $14.73 | (4.16% ) | 0.86% | 0.81% | 0.38% | 83% | $2 |
Effective rate (%) | |
Institutional Class | 0.31 |
Institutional 3 Class | 0.02 |
Fee rate(s) contractual through December 31, 2024 | |
Institutional Class | 0.99 % |
Institutional 3 Class | 0.81 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,400,024,000 | 229,363,000 | (106,319,000 ) | 123,044,000 |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Borrower | 200,000 | 5.85 | 1 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | ||||||
Inception | 6 Months cumulative | 1 Year | 5 Years | Life | ||
Institutional Class | 05/17/18 | 8.76 | 15.33 | 7.75 | 5.39 | |
Institutional 3 Class* | 12/18/19 | 8.79 | 15.55 | 7.89 | 5.50 | |
MSCI EAFE Index (Net) | 9.23 | 14.41 | 6.77 | 4.48 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 4.8 |
Consumer Discretionary | 12.2 |
Consumer Staples | 7.8 |
Energy | 6.5 |
Financials | 16.3 |
Health Care | 8.4 |
Industrials | 17.5 |
Information Technology | 17.9 |
Materials | 5.3 |
Real Estate | 0.5 |
Utilities | 2.8 |
Total | 100.0 |
Country breakdown (%) (at February 29, 2024) | |
Australia | 0.0 (a) |
Austria | 0.2 |
Belgium | 0.7 |
Brazil | 2.2 |
Canada | 2.7 |
China | 2.7 |
Denmark | 2.6 |
Finland | 0.6 |
France | 8.9 |
Germany | 11.9 |
Hong Kong | 1.3 |
India | 1.2 |
Ireland | 3.1 |
Israel | 0.5 |
Italy | 3.6 |
Japan | 16.0 |
Luxembourg | 0.1 |
Netherlands | 9.0 |
New Zealand | 0.0 (a) |
Norway | 0.3 |
Panama | 0.3 |
Portugal | 0.0 (a) |
Russian Federation | 0.0 (a) |
Singapore | 0.5 |
South Africa | 0.3 |
South Korea | 3.0 |
Spain | 2.4 |
Sweden | 1.9 |
Switzerland | 3.6 |
Taiwan | 1.6 |
Turkey | 0.1 |
United Kingdom | 15.5 |
United States(b) | 3.2 |
Total | 100.0 |
(a) | Rounds to zero. |
(b) | Includes investments in Money Market Funds and Exchange-Traded Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Institutional Class | 1,000.00 | 1,000.00 | 1,087.60 | 1,019.99 | 5.09 | 4.92 | 0.98 |
Institutional 3 Class | 1,000.00 | 1,000.00 | 1,087.90 | 1,020.84 | 4.20 | 4.07 | 0.81 |
Common Stocks 98.0% | ||
Issuer | Shares | Value ($) |
Australia 0.0% | ||
Aurizon Holdings Ltd. | 25,745 | 63,807 |
Wesfarmers Ltd. | 17,607 | 764,210 |
Total | 828,017 | |
Austria 0.2% | ||
Erste Group Bank AG | 14,525 | 580,756 |
Erste Group Bank AG | 1,942 | 77,652 |
OMV AG | 63,123 | 2,781,577 |
Wienerberger AG | 40,580 | 1,418,067 |
Total | 4,858,052 | |
Belgium 0.7% | ||
Anheuser-Busch InBev SA/NV | 250,315 | 15,129,180 |
Proximus SADP | 143,898 | 1,204,563 |
UCB SA | 834 | 96,227 |
Total | 16,429,970 | |
Brazil 1.9% | ||
Banco Bradesco SA, ADR | 1,250,874 | 3,477,430 |
MercadoLibre, Inc.(a) | 20,432 | 32,595,169 |
Petroleo Brasileiro SA, ADR | 342,230 | 5,653,640 |
Petroleo Brasileiro SA, ADR | 252,230 | 4,078,559 |
Total | 45,804,798 | |
Canada 2.7% | ||
AbCellera Biologics, Inc.(a) | 289,836 | 1,463,672 |
Alimentation Couche-Tard, Inc. | 159,545 | 9,894,929 |
Canadian Pacific Kansas City Ltd. | 144,613 | 12,278,492 |
Constellation Software, Inc. | 5,242 | 14,594,054 |
Lumine Group, Inc.(a),(b) | 299,902 | 8,308,820 |
Shopify, Inc., Class A(a) | 108,715 | 8,302,564 |
Topicus.com, Inc.(a) | 110,186 | 9,986,279 |
Total | 64,828,810 | |
China 2.7% | ||
3SBio, Inc. | 167,000 | 110,184 |
Agricultural Bank of China Ltd., Class H | 3,074,000 | 1,261,095 |
Alibaba Group Holding Ltd. | 508,532 | 4,675,282 |
Bank of Chongqing Co., Ltd., Class H | 176,500 | 95,242 |
China Communications Services Corp., Ltd., Class H | 290,000 | 123,186 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
China Construction Bank Corp., Class H | 2,032,000 | 1,260,157 |
China Merchants Bank Co., Ltd., Class H | 945,500 | 3,656,268 |
China Minsheng Banking Corp. Ltd., Class H | 553,500 | 194,801 |
Industrial & Commercial Bank of China Ltd., Class H | 805,000 | 412,653 |
Kingboard Chemical Holdings Ltd. | 84,000 | 164,763 |
Kweichow Moutai Co., Ltd., Class A | 29,000 | 6,815,522 |
Li Ning Co., Ltd. | 192,000 | 475,029 |
Meituan, Class B(a) | 301,770 | 3,063,620 |
NetEase, Inc. | 59,300 | 1,288,150 |
PDD Holdings, Inc., ADR(a) | 9,094 | 1,132,567 |
Pharmaron Beijing Co., Ltd., Class H(b) | 47,300 | 63,171 |
Ping An Insurance Group Co. of China Ltd., Class H | 930,000 | 4,135,867 |
Pop Mart International Group, Ltd.(b) | 32,200 | 80,274 |
Postal Savings Bank of China Co., Ltd. | 788,000 | 413,995 |
Sany Heavy Equipment International Holdings Co., Ltd. | 77,000 | 59,542 |
Shenzhen Expressway Corp., Ltd., Class H | 162,000 | 142,467 |
Silergy Corp. | 381,000 | 5,027,334 |
SITC International Holdings Co., Ltd. | 42,000 | 69,158 |
Tencent Holdings Ltd. | 527,300 | 18,471,654 |
Tencent Music Entertainment Group, ADR(a) | 904,826 | 9,473,528 |
WuXi AppTec Co., Ltd., Class H | 2,300 | 14,178 |
Total | 62,679,687 | |
Denmark 2.6% | ||
Ambu A/S(a) | 232,944 | 4,075,923 |
AP Moller - Maersk A/S, Class A | 736 | 999,762 |
AP Moller - Maersk A/S, Class B | 223 | 316,469 |
Demant A/S(a) | 172,340 | 8,640,608 |
DSV A/S | 68,105 | 10,927,484 |
Novo Nordisk A/S | 125,512 | 14,981,826 |
Novo Nordisk A/S, ADR | 15,727 | 1,883,623 |
Novozymes AS, Class B | 273,254 | 15,413,685 |
Pandora A/S | 25,014 | 4,045,271 |
Total | 61,284,651 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Finland 0.6% | ||
KONE OYJ, Class B | 166,546 | 8,154,330 |
Nokia OYJ | 359,372 | 1,266,821 |
Nordea Bank Abp | 374,826 | 4,562,925 |
TietoEVRY Oyj | 21,059 | 491,578 |
Wartsila OYJ | 23,753 | 367,715 |
Total | 14,843,369 | |
France 8.9% | ||
Air Liquide SA | 58,637 | 11,918,135 |
Alstom SA | 1,361,253 | 18,194,067 |
AXA SA | 372,795 | 13,272,217 |
BNP Paribas SA | 189,285 | 11,360,897 |
Carrefour SA | 496,485 | 8,341,626 |
Christian Dior SE | 198 | 171,407 |
Danone SA | 448,490 | 28,618,768 |
Dassault Systemes SE | 343,262 | 16,085,638 |
Edenred SE | 220,629 | 10,917,524 |
Engie SA | 663,892 | 10,653,075 |
Kering SA | 59,950 | 27,614,652 |
LVMH Moet Hennessy Louis Vuitton SE | 9,324 | 8,510,347 |
Nexans SA | 46,809 | 4,824,341 |
Orange SA | 407,986 | 4,676,731 |
Sanofi SA | 141,304 | 13,468,338 |
Sanofi SA, ADR | 688 | 32,921 |
Sartorius Stedim Biotech | 24,631 | 6,779,645 |
Societe Generale SA | 33,655 | 817,334 |
TotalEnergies SE | 21,153 | 1,348,275 |
Valeo SE | 274,127 | 3,163,442 |
VINCI SA | 64,965 | 8,324,756 |
Total | 209,094,136 | |
Germany 11.5% | ||
Allianz SE, Registered Shares | 103,553 | 28,441,398 |
Bayer AG, Registered Shares | 191,553 | 5,787,614 |
Bayerische Motoren Werke AG | 139,061 | 16,449,270 |
Beiersdorf AG | 16,006 | 2,294,318 |
BioNTech SE, ADR(a) | 41,271 | 3,671,468 |
Continental AG | 5,345 | 428,751 |
Deutsche Bank AG, Registered Shares | 64,172 | 859,438 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Deutsche Bank AG, Registered Shares | 16,798 | 225,597 |
Deutsche Boerse AG | 77,524 | 16,229,449 |
Deutsche Telekom AG, Registered Shares | 1,091,469 | 25,943,117 |
DHL Group | 87,791 | 4,076,492 |
E.ON SE | 301,974 | 3,855,998 |
Evonik Industries AG | 8,710 | 160,780 |
Fresenius SE & Co. KGaA | 54,215 | 1,518,301 |
Henkel AG & Co. KGaA | 37,852 | 2,553,753 |
Infineon Technologies AG | 319,905 | 11,486,382 |
Mercedes-Benz Group AG, Registered Shares | 222,246 | 17,709,649 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares | 22,622 | 10,532,200 |
Rational AG | 12,787 | 10,522,184 |
RWE AG | 298,560 | 10,000,972 |
SAP SE | 355,276 | 66,576,379 |
SAP SE, ADR | 29,325 | 5,509,288 |
Scout24 SE | 234,373 | 17,042,374 |
Siemens AG, Registered Shares | 42,813 | 8,475,645 |
TeamViewer SE(a) | 58,302 | 922,296 |
Volkswagen AG | 403 | 63,425 |
Total | 271,336,538 | |
Hong Kong 1.3% | ||
AIA Group Ltd. | 2,194,000 | 17,686,244 |
ASMPT Ltd. | 116,500 | 1,428,818 |
BYD Electronic International Co., Ltd. | 564,000 | 2,129,590 |
China Taiping Insurance Holdings Co., Ltd. | 275,000 | 238,926 |
CK Hutchison Holdings Ltd. | 245,500 | 1,240,041 |
Hua Hong Semiconductor Ltd.(a) | 223,000 | 477,941 |
Jardine Matheson Holdings Ltd. | 33,100 | 1,389,695 |
Lenovo Group Ltd. | 528,000 | 583,297 |
Link REIT (The) | 998,100 | 4,949,187 |
Techtronic Industries Co., Ltd. | 79,500 | 857,664 |
WH Group Ltd. | 350,000 | 210,335 |
Xinyi Glass Holdings Ltd. | 64,000 | 65,054 |
Total | 31,256,792 | |
India 1.2% | ||
HDFC Bank Ltd., ADR | 239,314 | 12,803,299 |
Reliance Industries Ltd., GDR(b) | 219,300 | 15,617,915 |
Total | 28,421,214 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Ireland 3.1% | ||
CRH PLC | 256,246 | 21,342,813 |
CRH PLC | 12,845 | 1,082,962 |
Kingspan Group PLC | 194,757 | 17,611,678 |
Ryanair Holdings PLC, ADR | 235,433 | 32,548,612 |
Total | 72,586,065 | |
Israel 0.5% | ||
Bank Hapoalim BM | 51,361 | 491,974 |
Bank Leumi Le-Israel BM | 80,660 | 676,307 |
Bezeq Israeli Telecommunication Corp., Ltd. | 92,275 | 124,614 |
Check Point Software Technologies Ltd.(a) | 28,507 | 4,573,093 |
CyberArk Software Ltd.(a) | 1,756 | 463,163 |
Israel Chemicals Ltd. | 11,323 | 60,140 |
Israel Discount Bank Ltd. | 51,355 | 267,940 |
Mizrahi Tefahot Bank Ltd. | 7,805 | 308,926 |
Monday.com Ltd.(a) | 17,900 | 3,991,879 |
NiCE Ltd.(a) | 2,297 | 561,975 |
Wix.com Ltd.(a) | 2,541 | 356,197 |
Total | 11,876,208 | |
Italy 3.6% | ||
Assicurazioni Generali SpA | 305,562 | 7,247,636 |
Azimut Holding SpA | 101,498 | 2,910,929 |
Banca Generali SpA | 10,937 | 404,346 |
Banca Mediolanum SpA | 21,469 | 231,076 |
Banco BPM SpA | 51,003 | 296,930 |
Buzzi Unicem SpA | 6,093 | 205,884 |
Enel SpA | 2,887,361 | 18,372,432 |
ENI SpA | 727,056 | 11,195,531 |
ENI SpA, ADR | 76,442 | 2,350,592 |
FinecoBank Banca Fineco SpA | 642,850 | 8,905,748 |
Intesa Sanpaolo SpA | 1,012,972 | 3,225,718 |
Leonardo-Finmeccanica SpA | 16,872 | 360,726 |
Mediobanca Banca di Credito Finanziario SpA | 23,525 | 320,459 |
Poste Italiane SpA | 25,199 | 295,568 |
Technoprobe SpA(a) | 547,342 | 5,505,772 |
UniCredit SpA | 683,541 | 22,894,952 |
Total | 84,724,299 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Japan 16.0% | ||
AGC, Inc. | 43,000 | 1,537,633 |
Air Water, Inc. | 1,100 | 15,871 |
Aisin Corp. | 6,300 | 237,921 |
Alfresa Holdings Corp. | 20,900 | 311,683 |
Astellas Pharma, Inc. | 166,000 | 1,814,173 |
Awa Bank Ltd. (The) | 2,300 | 41,621 |
Brother Industries Ltd. | 33,000 | 553,681 |
Canon, Inc. | 255,700 | 7,477,902 |
Chubu Electric Power Co., Inc. | 282,500 | 3,516,069 |
Dai Nippon Toryo Co., Ltd. | 6,400 | 49,192 |
Dai-ichi Life Holdings, Inc. | 238,900 | 5,438,361 |
Daiwa Securities Group, Inc. | 89,100 | 656,907 |
Denso Corp. | 582,392 | 10,713,289 |
Disco Corp. | 13,600 | 4,432,067 |
Dowa Holdings | 39,000 | 1,362,722 |
East Japan Railway Co. | 39,400 | 2,330,964 |
Electric Power Development Co., Ltd. | 176,800 | 2,903,960 |
ENEOS Holdings, Inc. | 137,100 | 591,530 |
FANUC Corp. | 933,050 | 27,197,837 |
Fast Retailing Co., Ltd. | 7,600 | 2,201,339 |
FCC Co., Ltd. | 28,300 | 400,561 |
FUJIFILM Holdings Corp. | 90,600 | 5,770,924 |
Fujitsu Ltd. | 34,200 | 5,344,528 |
Furukawa Electric Co., Ltd. | 47,800 | 947,399 |
Hitachi Ltd. | 46,000 | 3,897,145 |
Hokkaido Electric Power Co., Inc. | 43,200 | 197,566 |
Honda Motor Co., Ltd. | 1,406,700 | 16,715,196 |
Hyakujushi Bank Ltd. (The) | 22,200 | 417,117 |
Idemitsu Kosan Co., Ltd. | 45,000 | 284,559 |
Iida Group Holdings Co., Ltd. | 37,900 | 489,058 |
Inpex Corp. | 1,039,000 | 13,848,533 |
ITOCHU ENEX Co., Ltd. | 41,600 | 424,795 |
Japan Electronic Materials Corp. | 25,600 | 431,961 |
Japan Exchange Group, Inc. | 31,600 | 827,338 |
Japan Petroleum Exploration Co., Ltd. | 4,700 | 190,869 |
Japan Post Holdings Co., Ltd. | 302,300 | 2,917,553 |
Japan Post Insurance Co., Ltd. | 78,800 | 1,452,301 |
JFE Holdings, Inc. | 57,100 | 936,458 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Kansai Electric Power Co., Inc. (The) | 32,200 | 411,802 |
Kawasaki Kisen Kaisha Ltd. | 5,800 | 276,840 |
KDDI Corp. | 72,000 | 2,176,689 |
Keyence Corp. | 17,500 | 8,201,479 |
Kirin Holdings Co., Ltd. | 214,600 | 2,983,399 |
Kissei Pharmaceutical Co., Ltd. | 4,300 | 97,532 |
Konica Minolta, Inc.(a) | 18,800 | 62,072 |
Kyocera Corp. | 227,800 | 3,361,987 |
Kyocera Corp., ADR | 32,350 | 475,060 |
Lasertec Corp. | 15,600 | 4,185,762 |
Mazda Motor Corp. | 28,200 | 327,473 |
Mebuki Financial Group, Inc. | 14,400 | 45,018 |
Megmilk Snow Brand Co., Ltd. | 37,500 | 562,401 |
Mitsubishi Corp. | 199,600 | 4,281,328 |
Mitsubishi Electric Corp. | 466,100 | 7,424,036 |
Mitsubishi Logisnext Co., Ltd. | 50,800 | 561,131 |
Mitsubishi Motors Corp. | 128,900 | 398,080 |
Mitsubishi Pencil Co., Ltd. | 28,900 | 458,318 |
Mitsui & Co., Ltd. | 151,300 | 6,645,482 |
Mitsui Mining & Smelting Co., Ltd. | 56,400 | 1,662,847 |
Mitsui OSK Lines Ltd. | 14,600 | 499,991 |
Mixi, Inc. | 29,500 | 486,075 |
MonotaRO Co., Ltd | 546,080 | 5,223,204 |
MS&AD Insurance Group Holdings, Inc. | 135,500 | 6,771,241 |
Murata Manufacturing Co., Ltd. | 778,500 | 15,688,331 |
NEC Corp. | 16,600 | 1,120,454 |
NGK Insulators Ltd. | 66,800 | 872,352 |
Nidec Corp. | 110,544 | 4,195,005 |
Nihon M&A Center Holdings, Inc. | 1,048,900 | 7,034,583 |
Nintendo Co., Ltd. | 179,150 | 10,010,952 |
Nippon Steel Corp. | 133,000 | 3,300,483 |
Nissan Motor Co., Ltd. | 102,900 | 405,392 |
Nomura Holdings, Inc. | 205,800 | 1,171,757 |
Obic Co., Ltd. | 3,200 | 501,133 |
OKUMA Corp. | 2,900 | 136,411 |
Okumura Corp. | 48,500 | 1,648,913 |
Ono Pharmaceutical Co., Ltd. | 9,500 | 157,316 |
ORIX Corp. | 125,400 | 2,634,722 |
Osaka Gas Co., Ltd. | 86,300 | 1,722,255 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Otsuka Corp. | 1,900 | 83,546 |
Otsuka Holdings Co., Ltd. | 16,500 | 669,513 |
Panasonic Holdings Corp. | 444,600 | 4,203,085 |
Press Kogyo Co., Ltd. | 149,800 | 673,735 |
Recruit Holdings Co., Ltd. | 165,800 | 6,687,683 |
Renesas Electronics Corp. | 4,800 | 79,311 |
Ricoh Co., Ltd. | 104,200 | 867,874 |
Ryohin Keikaku Co., Ltd. | 75,500 | 1,192,992 |
San-Ai Obbli Co., Ltd. | 38,500 | 505,127 |
Sanshin Electronics Co., Ltd. | 4,100 | 64,222 |
SCSK Corp. | 37,900 | 699,052 |
Sega Sammy Holdings, Inc. | 53,200 | 667,878 |
Seikitokyu Kogyo Co., Ltd. | 91,700 | 1,199,393 |
Seiko Epson Corp. | 176,800 | 2,861,969 |
Sekisui Chemical Co., Ltd. | 3,500 | 49,348 |
Seven & I Holdings Co., Ltd. | 900,000 | 13,412,654 |
Shikoku Electric Power Co., Inc. | 86,700 | 629,882 |
Shimadzu Corp. | 4,000 | 109,273 |
Shimano, Inc. | 47,833 | 6,624,943 |
Shiseido Co., Ltd. | 214,947 | 5,843,776 |
SMC Corp. | 18,388 | 11,098,560 |
Socionext, Inc. | 5,000 | 128,921 |
Sojitz Corp. | 139,600 | 3,545,338 |
Sompo Holdings, Inc. | 77,500 | 4,543,503 |
Sony Group Corp. | 180,623 | 15,560,344 |
Stanley Electric Co., Ltd. | 12,300 | 210,863 |
Starzen Co., Ltd. | 2,300 | 43,335 |
Subaru Corp. | 121,800 | 2,755,823 |
Sumco Corp. | 329,500 | 5,171,122 |
Sumiseki Holdings, Inc. | 74,400 | 1,381,105 |
Sumitomo Corp. | 25,800 | 605,679 |
Sumitomo Forestry Co., Ltd. | 2,600 | 74,205 |
Suntory Beverage & Food Ltd. | 44,100 | 1,448,125 |
Suzuken Co., Ltd. | 64,600 | 1,923,216 |
Suzuki Motor Corp. | 2,400 | 105,649 |
SWCC Corp. | 8,700 | 195,274 |
Takara Standard Co., Ltd. | 1,400 | 17,232 |
Takeda Pharmaceutical Co., Ltd. | 454,200 | 13,283,626 |
Terumo Corp. | 9,000 | 350,655 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Tokai Rika Co., Ltd. | 4,600 | 75,438 |
Tokio Marine Holdings, Inc. | 121,100 | 3,538,137 |
Tokyo Electric Power Co. Holdings, Inc.(a) | 419,600 | 2,269,951 |
Tokyo Electron Ltd. | 66,700 | 16,548,864 |
Tokyo Gas Co., Ltd. | 160,200 | 3,506,489 |
Tokyo Steel Manufacturing Co., Ltd. | 157,300 | 1,753,953 |
Toyoda Gosei Co., Ltd. | 3,600 | 74,251 |
Toyota Tsusho Corp. | 10,600 | 686,705 |
Trend Micro, Inc. | 10,900 | 541,691 |
Tsubakimoto Chain Co. | 6,200 | 202,168 |
Wakita & Co., Ltd. | 14,000 | 143,614 |
Yamaichi Electronics Co., Ltd. | 6,800 | 102,855 |
Yamato Kogyo Co., Ltd. | 1,700 | 94,879 |
Yamazen Corp. | 131,800 | 1,116,878 |
Yokogawa Electric Corp. | 8,800 | 186,277 |
Yuasa Trading Co., Ltd. | 14,000 | 469,423 |
Total | 377,937,293 | |
Luxembourg 0.1% | ||
ArcelorMittal SA | 14,513 | 379,472 |
ArcelorMittal, Registered Shares | 104,800 | 2,733,184 |
Total | 3,112,656 | |
Netherlands 9.0% | ||
Adyen NV(a) | 9,090 | 14,382,550 |
Akzo Nobel NV | 226,465 | 16,506,837 |
ArcelorMittal SA | 208,073 | 5,427,669 |
ASML Holding NV | 43,871 | 41,633,663 |
ASML Holding NV | 7,986 | 7,600,117 |
EXOR NV | 87,265 | 9,426,033 |
Heineken NV | 29,823 | 2,755,386 |
IMCD NV | 74,909 | 11,428,075 |
ING Groep NV | 1,106,464 | 15,226,998 |
Koninklijke Philips NV | 877,121 | 17,671,596 |
Prosus NV | 120,660 | 3,524,239 |
Shell PLC | 447,210 | 13,832,133 |
Shell PLC | 831,359 | 26,120,659 |
Stellantis NV | 301,972 | 7,895,864 |
Stellantis NV | 119,590 | 3,128,428 |
Stellantis NV | 361,296 | 9,487,633 |
STMicroelectronics NV | 56,377 | 2,559,928 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
STMicroelectronics NV | 86,653 | 3,935,834 |
Wolters Kluwer NV, ADR | 2,199 | 347,277 |
Total | 212,890,919 | |
New Zealand 0.0% | ||
Xero Ltd.(a) | 999 | 83,086 |
Norway 0.3% | ||
Aker Carbon Capture ASA(a) | 3,549,096 | 2,706,504 |
Equinor ASA | 52,687 | 1,298,143 |
Equinor ASA, ADR | 96,750 | 2,381,985 |
Kongsberg Gruppen ASA | 3,661 | 233,322 |
Total | 6,619,954 | |
Panama 0.3% | ||
Copa Holdings SA, Class A | 60,443 | 5,891,379 |
Portugal 0.0% | ||
Galp Energia SGPS SA | 18,782 | 295,548 |
Russian Federation —% | ||
Gazprom PJSC(a),(c),(d),(e),(f) | 1,247,200 | 0 |
Lukoil PJSC(c),(d),(e),(f) | 31,251 | — |
MMC Norilsk Nickel PJSC(c),(d),(f) | 20,201 | — |
MMC Norilsk Nickel PJSC, ADR(a),(c),(d),(f) | 5 | — |
Rosneft Oil Co. PJSC(c),(d),(e),(f) | 563,548 | 0 |
Sberbank of Russia PJSC(c),(d),(e),(f),(g) | 436,630 | — |
Total | 0 | |
Singapore 0.5% | ||
Genting Singapore Ltd. | 251,800 | 170,401 |
United Overseas Bank Ltd. | 397,100 | 8,263,100 |
Yangzijiang Shipbuilding Holdings Ltd. | 1,939,500 | 2,527,340 |
Total | 10,960,841 | |
South Africa 0.3% | ||
Discovery Ltd. | 1,143,241 | 8,108,008 |
South Korea 3.0% | ||
Coupang, Inc., Class A(a) | 386,920 | 7,165,758 |
Hana Financial Group, Inc. | 44,584 | 1,896,955 |
Samsung Electronics Co., Ltd. | 601,392 | 33,192,580 |
Samsung Electronics Co., Ltd. GDR | 17,341 | 23,613,853 |
SK Hynix, Inc. | 41,192 | 4,855,898 |
Total | 70,725,044 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Spain 2.4% | ||
Aena SME SA | 67,340 | 12,793,907 |
Amadeus IT Group SA, Class A | 319,749 | 18,915,996 |
Banco Bilbao Vizcaya Argentaria SA | 282,661 | 2,819,344 |
Banco Bilbao Vizcaya Argentaria SA, ADR | 37,847 | 376,578 |
Banco Santander SA | 780,667 | 3,253,420 |
Banco Santander SA, ADR | 86,717 | 356,407 |
CaixaBank SA | 781,597 | 3,535,707 |
Iberdrola SA | 702,692 | 8,070,528 |
Mapfre SA | 150,458 | 319,409 |
Repsol SA | 317,486 | 5,043,289 |
Repsol SA, ADR | 4,279 | 67,929 |
Total | 55,552,514 | |
Sweden 1.9% | ||
ASSA ABLOY AB, Class B | 181,891 | 5,191,989 |
Atlas Copco AB, Class B | 1,251,138 | 18,731,206 |
Epiroc AB, Class B | 663,535 | 10,949,077 |
Essity AB, Class B | 117,642 | 2,742,949 |
H & M Hennes & Mauritz AB | 191,402 | 2,599,056 |
Industrivarden AB, Class A | 5,530 | 188,785 |
Investor AB, Class B | 15,912 | 400,334 |
MIPS AB | 81,084 | 2,481,467 |
Swedbank AB, Class A | 39,473 | 868,125 |
Telia Co. AB | 92,388 | 219,865 |
Total | 44,372,853 | |
Switzerland 3.6% | ||
ABB Ltd. | 27,929 | 1,288,709 |
ABB Ltd., ADR | 2,538 | 116,900 |
Cie Financiere Richemont SA, Class A, Registered Shares | 121,906 | 19,404,658 |
Holcim AG, Registered Shares(a) | 74,513 | 6,081,717 |
Julius Baer Group Ltd. | 97,704 | 5,233,935 |
Logitech International SA | 34,321 | 3,014,070 |
Logitech International SA | 50,704 | 4,486,616 |
Nestlé SA, Registered Shares | 98,247 | 10,189,905 |
Novartis AG, ADR | 36,045 | 3,639,464 |
Novartis AG, Registered Shares | 125,640 | 12,676,771 |
Swatch Group AG (The), Registered Shares | 8,846 | 404,125 |
Swiss Re AG | 116,463 | 14,056,451 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Temenos AG, Registered Shares | 2,935 | 220,876 |
Wizz Air Holdings PLC(a) | 100,392 | 2,715,434 |
Zurich Insurance Group AG | 4,463 | 2,374,452 |
Total | 85,904,083 | |
Taiwan 1.6% | ||
Sea Ltd. ADR(a) | 93,308 | 4,527,304 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,568,400 | 34,370,736 |
Total | 38,898,040 | |
Turkey 0.1% | ||
Turkiye Garanti Bankasi AS | 619,004 | 1,250,633 |
Turkiye Is Bankasi AS | 4,218,497 | 1,495,973 |
Total | 2,746,606 | |
United Kingdom 15.5% | ||
Anglo American PLC | 218,682 | 4,711,935 |
ARM Holdings PLC, ADR(a) | 20,598 | 2,905,142 |
AstraZeneca PLC | 158,423 | 19,969,776 |
B&M European Value Retail SA | 226,384 | 1,505,741 |
Barclays Bank PLC | 11,845,005 | 24,756,138 |
Barclays Bank PLC, ADR | 236,383 | 2,009,255 |
Bellway PLC | 19,437 | 662,959 |
BP PLC | 4,856,314 | 28,215,532 |
BP PLC, ADR | 232,996 | 8,152,530 |
British American Tobacco PLC | 414,225 | 12,307,217 |
BT Group PLC | 242,957 | 320,697 |
Compass Group PLC | 311,338 | 8,542,687 |
Croda International PLC | 29,066 | 1,752,302 |
Diageo PLC | 545,378 | 20,432,755 |
Experian PLC | 326,313 | 13,974,541 |
GSK PLC | 1,081,595 | 22,625,301 |
IG Group Holdings PLC | 260,655 | 2,300,778 |
Kingfisher PLC | 1,521,233 | 4,511,364 |
Legal & General Group PLC | 2,825,282 | 8,662,451 |
NatWest Group PLC | 2,253,245 | 6,812,920 |
Oxford Nanopore Technologies PLC(a) | 973,427 | 1,634,247 |
Prudential PLC | 2,049,880 | 20,197,155 |
Reckitt Benckiser Group PLC | 332,217 | 20,990,444 |
RELX PLC | 233,229 | 10,216,388 |
RELX PLC | 298,673 | 13,078,401 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
RELX PLC, ADR | 50,574 | 2,221,210 |
Rio Tinto PLC | 400,077 | 25,665,088 |
Rolls-Royce Holdings PLC(a) | 10,241,923 | 47,802,191 |
Segro PLC | 566,064 | 6,054,336 |
Unilever PLC | 297,003 | 14,503,929 |
Vodafone Group PLC | 4,132,412 | 3,629,949 |
Vodafone Group PLC, ADR | 478,441 | 4,277,262 |
Total | 365,402,621 | |
United States 1.9% | ||
Roche Holding AG, Genusschein Shares | 138,250 | 36,147,017 |
Spotify Technology SA(a) | 32,699 | 8,384,351 |
Total | 44,531,368 | |
Total Common Stocks (Cost $1,928,852,246) | 2,314,885,419 | |
Exchange-Traded Equity Funds 0.2% | ||
Shares | Value ($) | |
United States 0.2% | ||
iShares MSCI EAFE ETF | 26,934 | 2,080,651 |
iShares MSCI Eurozone ETF | 18,580 | 911,349 |
Vanguard FTSE Developed Markets ETF | 14,032 | 683,078 |
Total | 3,675,078 | |
Total Exchange-Traded Equity Funds (Cost $3,412,892) | 3,675,078 |
Preferred Stocks 0.7% | |||
Issuer | Shares | Value ($) | |
Brazil 0.3% | |||
Petroleo Brasileiro SA | 783,100 | 6,310,673 | |
Germany 0.4% | |||
BMW AG | 2,878 | 315,526 | |
Volkswagen AG | 67,423 | 9,156,095 | |
Total | 9,471,621 | ||
Total Preferred Stocks (Cost $13,780,664) | 15,782,294 |
Warrants —% | ||
Issuer | Shares | Value ($) |
Canada —% | ||
Constellation Software, Inc.(a),(c),(f) | 5,743 | 0 |
Total Warrants (Cost $—) | 0 | |
Money Market Funds 1.1% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(h),(i) | 26,639,486 | 26,634,158 |
Total Money Market Funds (Cost $26,631,238) | 26,634,158 | |
Total Investments in Securities (Cost $1,972,677,040) | 2,360,976,949 | |
Other Assets & Liabilities, Net | 116,033 | |
Net Assets | $2,361,092,982 |
(a) | Non-income producing investment. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $24,070,180, which represents 1.02% of total net assets. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At February 29, 2024, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets. |
(d) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At February 29, 2024, the total market value of these securities amounted to $0, which represents less than 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Gazprom PJSC | 11/11/2020-06/10/2021 | 1,247,200 | 3,820,620 | — |
Lukoil PJSC | 03/30/2020-12/29/2021 | 31,251 | 2,094,074 | — |
MMC Norilsk Nickel PJSC | 08/07/2019-11/22/2021 | 20,201 | 4,978,804 | — |
MMC Norilsk Nickel PJSC, ADR | 08/07/2019-11/22/2021 | 5 | 123 | — |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Rosneft Oil Co. PJSC | 03/31/2020-03/16/2021 | 563,548 | 3,458,257 | — |
Sberbank of Russia PJSC | 03/29/2021-04/08/2021 | 436,630 | 1,642,454 | — |
15,994,332 | — |
(e) | As a result of sanctions and restricted cross-border payments, certain income and/or principal has not been recognized by the Fund. The Fund will continue to monitor the net realizable value and record the income when it is considered collectible. |
(f) | Valuation based on significant unobservable inputs. |
(g) | On May 25, 2022, the Office of Foreign Assets Control (OFAC) license permitting the holding of the Sberbank position expired, and the position is now considered blocked property. As such the security has been segregated on the Fund’s books and records and cannot be sold or transferred at this time. |
(h) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(i) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
35,781,258 | 193,614,559 | (202,757,885 ) | (3,774 ) | 26,634,158 | 9,918 | 827,386 | 26,639,486 |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 828,017 | — | 828,017 |
Austria | — | 4,858,052 | — | 4,858,052 |
Belgium | — | 16,429,970 | — | 16,429,970 |
Brazil | 45,804,798 | — | — | 45,804,798 |
Canada | 64,828,810 | — | — | 64,828,810 |
China | 10,606,095 | 52,073,592 | — | 62,679,687 |
Denmark | 1,883,623 | 59,401,028 | — | 61,284,651 |
Finland | — | 14,843,369 | — | 14,843,369 |
France | 32,921 | 209,061,215 | — | 209,094,136 |
Germany | 9,406,353 | 261,930,185 | — | 271,336,538 |
Hong Kong | — | 31,256,792 | — | 31,256,792 |
India | 12,803,299 | 15,617,915 | — | 28,421,214 |
Ireland | 33,631,574 | 38,954,491 | — | 72,586,065 |
Israel | 9,384,332 | 2,491,876 | — | 11,876,208 |
Italy | 2,350,592 | 82,373,707 | — | 84,724,299 |
Japan | — | 377,937,293 | — | 377,937,293 |
Luxembourg | 2,733,184 | 379,472 | — | 3,112,656 |
Netherlands | 17,087,750 | 195,803,169 | — | 212,890,919 |
New Zealand | — | 83,086 | — | 83,086 |
Norway | 2,381,985 | 4,237,969 | — | 6,619,954 |
Panama | 5,891,379 | — | — | 5,891,379 |
Portugal | — | 295,548 | — | 295,548 |
Russian Federation | — | — | 0 * | 0 * |
Singapore | — | 10,960,841 | — | 10,960,841 |
South Africa | — | 8,108,008 | — | 8,108,008 |
South Korea | 7,165,758 | 63,559,286 | — | 70,725,044 |
Spain | 732,985 | 54,819,529 | — | 55,552,514 |
Sweden | — | 44,372,853 | — | 44,372,853 |
Switzerland | 6,653,534 | 79,250,549 | — | 85,904,083 |
Taiwan | 4,527,304 | 34,370,736 | — | 38,898,040 |
Turkey | — | 2,746,606 | — | 2,746,606 |
United Kingdom | 19,565,399 | 345,837,222 | — | 365,402,621 |
United States | 8,384,351 | 36,147,017 | — | 44,531,368 |
Total Common Stocks | 265,856,026 | 2,049,029,393 | 0 * | 2,314,885,419 |
Exchange-Traded Equity Funds | 3,675,078 | — | — | 3,675,078 |
Preferred Stocks | ||||
Brazil | 6,310,673 | — | — | 6,310,673 |
Germany | — | 9,471,621 | — | 9,471,621 |
Total Preferred Stocks | 6,310,673 | 9,471,621 | — | 15,782,294 |
Warrants | ||||
Canada | — | — | 0 * | 0 * |
Total Warrants | — | — | 0 * | 0 * |
Money Market Funds | 26,634,158 | — | — | 26,634,158 |
Total Investments in Securities | 302,475,935 | 2,058,501,014 | 0 * | 2,360,976,949 |
* | Rounds to zero. |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $1,946,045,802) | $2,334,342,791 |
Affiliated issuers (cost $26,631,238) | 26,634,158 |
Cash | 8,095 |
Foreign currency (cost $411,041) | 411,261 |
Receivable for: | |
Investments sold | 15,783,122 |
Capital shares sold | 3,737,683 |
Dividends | 4,475,445 |
Foreign tax reclaims | 9,152,259 |
Expense reimbursement due from Investment Manager | 977 |
Prepaid expenses | 13,941 |
Deferred compensation of board members | 62,176 |
Total assets | 2,394,621,908 |
Liabilities | |
Payable for: | |
Investments purchased | 29,984,938 |
Capital shares redeemed | 2,997,148 |
Management services fees | 50,466 |
Transfer agent fees | 264,778 |
Compensation of chief compliance officer | 215 |
Compensation of board members | 4,697 |
Other expenses | 114,912 |
Deferred compensation of board members | 111,772 |
Total liabilities | 33,528,926 |
Net assets applicable to outstanding capital stock | $2,361,092,982 |
Represented by | |
Paid in capital | 2,066,244,513 |
Total distributable earnings (loss) | 294,848,469 |
Total - representing net assets applicable to outstanding capital stock | $2,361,092,982 |
Institutional Class | |
Net assets | $2,361,089,999 |
Shares outstanding | 197,652,340 |
Net asset value per share | $11.95 |
Institutional 3 Class | |
Net assets | $2,983 |
Shares outstanding | 249 |
Net asset value per share | $11.98 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $18,461,141 |
Dividends — affiliated issuers | 827,386 |
European Union tax reclaim | 1,156,635 |
Foreign taxes withheld | (1,458,551 ) |
Total income | 18,986,611 |
Expenses: | |
Management services fees | 8,873,579 |
Transfer agent fees | |
Institutional Class | 1,768,539 |
Institutional 3 Class | 1 |
Custodian fees | 166,458 |
Printing and postage fees | 119,651 |
Registration fees | 39,187 |
Accounting services fees | 36,857 |
Legal fees | 22,584 |
Compensation of chief compliance officer | 215 |
Compensation of board members | 18,914 |
Deferred compensation of board members | 6,877 |
Other | 69,912 |
Total expenses | 11,122,774 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (119,559 ) |
Total net expenses | 11,003,215 |
Net investment income | 7,983,396 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 45,669,514 |
Investments — affiliated issuers | 9,918 |
Foreign currency translations | 132,790 |
Net realized gain | 45,812,222 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 133,245,884 |
Investments — affiliated issuers | (3,774 ) |
Foreign currency translations | (1,279 ) |
Net change in unrealized appreciation (depreciation) | 133,240,831 |
Net realized and unrealized gain | 179,053,053 |
Net increase in net assets resulting from operations | $187,036,449 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $7,983,396 | $47,970,010 |
Net realized gain (loss) | 45,812,222 | (39,608,688 ) |
Net change in unrealized appreciation (depreciation) | 133,240,831 | 472,653,097 |
Net increase in net assets resulting from operations | 187,036,449 | 481,014,419 |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Institutional Class | (50,531,449 ) | (53,998,519 ) |
Institutional 3 Class | (70 ) | (64 ) |
Total distributions to shareholders | (50,531,519 ) | (53,998,583 ) |
Decrease in net assets from capital stock activity | (129,180,629 ) | (310,005,226 ) |
Total increase in net assets | 7,324,301 | 117,010,610 |
Net assets at beginning of period | 2,353,768,681 | 2,236,758,071 |
Net assets at end of period | $2,361,092,982 | $2,353,768,681 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Institutional Class | ||||
Shares sold | 18,149,678 | 205,112,924 | 31,488,200 | 333,842,940 |
Distributions reinvested | 4,386,410 | 50,531,449 | 5,526,972 | 53,998,519 |
Shares redeemed | (34,280,729 ) | (384,825,002 ) | (66,536,731 ) | (697,846,685 ) |
Net decrease | (11,744,641 ) | (129,180,629 ) | (29,521,559 ) | (310,005,226 ) |
Total net decrease | (11,744,641 ) | (129,180,629 ) | (29,521,559 ) | (310,005,226 ) |
Net asset value, beginning of period | Net investment income | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Distributions from net realized gains | Total distributions to shareholders | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.24 | 0.04 (c) | 0.93 | 0.97 | (0.26 ) | — | (0.26 ) |
Year Ended 8/31/2023 | $9.36 | 0.22 | 1.90 | 2.12 | (0.24 ) | — | (0.24 ) |
Year Ended 8/31/2022 | $12.67 | 0.24 | (3.17 ) | (2.93 ) | (0.14 ) | (0.24 ) | (0.38 ) |
Year Ended 8/31/2021 | $10.02 | 0.15 | 2.65 | 2.80 | (0.15 ) | — | (0.15 ) |
Year Ended 8/31/2020 | $9.06 | 0.11 | 1.10 | 1.21 | (0.25 ) | — | (0.25 ) |
Year Ended 8/31/2019 | $9.67 | 0.23 | (0.77 ) | (0.54 ) | (0.07 ) | — | (0.07 ) |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.28 | 0.05 (c) | 0.93 | 0.98 | (0.28 ) | — | (0.28 ) |
Year Ended 8/31/2023 | $9.39 | 0.24 | 1.91 | 2.15 | (0.26 ) | — | (0.26 ) |
Year Ended 8/31/2022 | $12.69 | 0.26 | (3.16 ) | (2.90 ) | (0.16 ) | (0.24 ) | (0.40 ) |
Year Ended 8/31/2021 | $10.05 | 0.17 | 2.63 | 2.80 | (0.16 ) | — | (0.16 ) |
Year Ended 8/31/2020(f) | $10.04 | 0.10 | (0.09 )(g) | 0.01 | — | — | — |
Notes to Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Net investment income per share includes European Union tax reclaims which amounted to $0.01 per share. Excluding this amount, the ratio of net investment income to average net assets would have been lower by 0.10%. |
(d) | Ratios include interfund lending expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date. |
(g) | Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to timing of Fund shares sold and redeemed in relation to fluctuations in the market value of the portfolio. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Institutional Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.95 | 8.76% | 0.99% | 0.98% | 0.71% (c) | 19% | $2,361,090 |
Year Ended 8/31/2023 | $11.24 | 23.04% | 0.99% (d) | 0.98% (d) | 2.09% | 43% | $2,353,766 |
Year Ended 8/31/2022 | $9.36 | (23.66% ) | 0.96% (d) | 0.96% (d) | 2.20% | 59% | $2,236,756 |
Year Ended 8/31/2021 | $12.67 | 28.10% | 0.99% (d) | 0.99% (d) | 1.24% | 82% | $2,531,606 |
Year Ended 8/31/2020 | $10.02 | 13.34% | 1.00% (d),(e) | 0.98% (d),(e) | 1.22% | 89% | $2,045,267 |
Year Ended 8/31/2019 | $9.06 | (5.53% ) | 1.02% (d) | 1.02% (d) | 2.54% | 63% | $1,901,132 |
Institutional 3 Class | |||||||
Six Months Ended 2/29/2024 (Unaudited) | $11.98 | 8.79% | 0.81% | 0.81% | 0.88% (c) | 19% | $3 |
Year Ended 8/31/2023 | $11.28 | 23.28% | 0.83% (d) | 0.83% (d) | 2.28% | 43% | $3 |
Year Ended 8/31/2022 | $9.39 | (23.42% ) | 0.80% (d) | 0.80% (d) | 2.34% | 59% | $2 |
Year Ended 8/31/2021 | $12.69 | 28.07% | 0.83% (d) | 0.81% (d) | 1.43% | 82% | $3 |
Year Ended 8/31/2020(f) | $10.05 | 0.10% | 0.86% (d) | 0.84% (d) | 1.57% | 89% | $3 |
Effective rate (%) | |
Institutional Class | 0.16 |
Institutional 3 Class | 0.02 |
January 1, 2024 through December 31, 2024 | Prior to January 1, 2024 | |
Institutional Class | 0.96 % | 0.99 % |
Institutional 3 Class | 0.83 | 0.85 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
1,972,677,000 | 518,716,000 | (130,416,000 ) | 388,300,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(61,670,453 ) | (20,119,269 ) | (81,789,722 ) |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Overseas SMA Completion Portfolio | 09/12/19 | 4.93 | 7.17 | 4.98 | |
MSCI EAFE Value Index (Net) | 7.42 | 12.12 | 6.13 |
Equity sector breakdown (%) (at February 29, 2024) | |
Communication Services | 4.4 |
Consumer Discretionary | 11.5 |
Consumer Staples | 7.8 |
Energy | 5.1 |
Financials | 27.0 |
Health Care | 2.3 |
Industrials | 19.2 |
Information Technology | 11.9 |
Materials | 7.5 |
Utilities | 3.3 |
Total | 100.0 |
Country breakdown (%) (at February 29, 2024) | |
Australia | 4.9 |
China | 1.8 |
Finland | 2.6 |
France | 3.1 |
Germany | 4.6 |
Greece | 3.6 |
Ireland | 0.3 |
Israel | 4.1 |
Japan | 38.6 |
Netherlands | 5.6 |
Norway | 2.8 |
Singapore | 6.4 |
South Korea | 1.8 |
Spain | 0.4 |
Taiwan | 2.7 |
United Kingdom | 16.1 |
United States(a) | 0.6 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds. |
September 1, 2023 — February 29, 2024 | |||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | ||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | |
Overseas SMA Completion Portfolio | 1,000.00 | 1,000.00 | 1,049.30 | 1,024.86 | 0.00 | 0.00 | 0.00 |
Common Stocks 99.1% | ||
Issuer | Shares | Value ($) |
Australia 4.9% | ||
Northern Star Resources Ltd. | 29,323 | 243,753 |
China 1.7% | ||
Guangdong Investment Ltd. | 148,000 | 87,826 |
Finland 2.6% | ||
UPM-Kymmene OYJ | 3,893 | 130,297 |
France 3.0% | ||
Eiffage SA | 1,401 | 152,566 |
Germany 4.5% | ||
Duerr AG | 3,521 | 77,911 |
E.ON SE | 5,895 | 75,275 |
KION Group AG | 1,448 | 73,162 |
Total | 226,348 | |
Greece 3.6% | ||
Piraeus Financial Holdings SA(a) | 40,286 | 177,980 |
Ireland 0.3% | ||
Amarin Corp. PLC, ADR(a) | 759 | 812 |
Bank of Ireland Group PLC | 1,603 | 13,999 |
Total | 14,811 | |
Israel 4.1% | ||
Bank Hapoalim BM | 13,148 | 125,942 |
Bezeq Israeli Telecommunication Corp., Ltd. | 57,481 | 77,626 |
Total | 203,568 | |
Japan 38.3% | ||
Dai-ichi Life Holdings, Inc. | 7,700 | 175,284 |
Daiwabo Holdings Co., Ltd. | 10,300 | 180,582 |
Kinden Corp. | 5,800 | 98,886 |
Kusuri no Aoki Holdings Co., Ltd. | 1,700 | 35,678 |
Macnica Holdings, Inc. | 3,900 | 215,877 |
MatsukiyoCocokara & Co. | 8,500 | 140,957 |
Mebuki Financial Group, Inc. | 49,000 | 153,186 |
Sankyo Co., Ltd. | 21,500 | 245,608 |
Sanwa Holdings Corp. | 4,400 | 78,099 |
Shimamura Co., Ltd. | 4,000 | 212,971 |
Ship Healthcare Holdings, Inc. | 5,800 | 84,229 |
Sundrug Co., Ltd. | 2,300 | 71,805 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Takuma Co., Ltd. | 4,100 | 53,337 |
TOPPAN Holdings, Inc. | 7,100 | 169,218 |
Total | 1,915,717 | |
Netherlands 5.6% | ||
ASR Nederland NV | 6,021 | 277,898 |
Norway 2.7% | ||
Leroy Seafood Group ASA | 31,156 | 137,574 |
Singapore 6.3% | ||
BW LPG Ltd. | 10,880 | 125,586 |
Venture Corp., Ltd. | 18,300 | 190,729 |
Total | 316,315 | |
South Korea 1.8% | ||
Hyundai Home Shopping Network Corp. | 554 | 19,491 |
Youngone Corp. | 2,153 | 71,097 |
Total | 90,588 | |
Spain 0.4% | ||
Tecnicas Reunidas SA(a) | 2,293 | 19,439 |
Taiwan 2.7% | ||
Fubon Financial Holding Co., Ltd. | 61,705 | 132,846 |
United Kingdom 16.0% | ||
BT Group PLC | 106,378 | 140,416 |
Crest Nicholson Holdings PLC | 7,990 | 21,382 |
DCC PLC | 3,477 | 247,120 |
Diversified Energy Co. PLC | 7,494 | 88,645 |
John Wood Group PLC(a) | 10,288 | 19,216 |
Just Group PLC | 122,899 | 130,367 |
TP Icap Group PLC | 67,436 | 152,287 |
Total | 799,433 | |
United States 0.6% | ||
Insmed, Inc.(a) | 839 | 23,257 |
Sage Therapeutics, Inc.(a) | 277 | 5,950 |
Total | 29,207 | |
Total Common Stocks (Cost $4,585,957) | 4,956,166 | |
Money Market Funds 0.0% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(b),(c) | 69 | 69 |
Total Money Market Funds (Cost $69) | 69 | |
Total Investments in Securities (Cost $4,586,026) | 4,956,235 | |
Other Assets & Liabilities, Net | 43,329 | |
Net Assets | $4,999,564 |
(a) | Non-income producing investment. |
(b) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(c) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
106,880 | 1,212,136 | (1,318,927 ) | (20 ) | 69 | 57 | 2,611 | 69 |
ADR | American Depositary Receipt |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Common Stocks | ||||
Australia | — | 243,753 | — | 243,753 |
China | — | 87,826 | — | 87,826 |
Finland | — | 130,297 | — | 130,297 |
France | — | 152,566 | — | 152,566 |
Germany | — | 226,348 | — | 226,348 |
Greece | — | 177,980 | — | 177,980 |
Ireland | 812 | 13,999 | — | 14,811 |
Israel | — | 203,568 | — | 203,568 |
Japan | — | 1,915,717 | — | 1,915,717 |
Netherlands | — | 277,898 | — | 277,898 |
Norway | — | 137,574 | — | 137,574 |
Singapore | — | 316,315 | — | 316,315 |
South Korea | — | 90,588 | — | 90,588 |
Spain | — | 19,439 | — | 19,439 |
Taiwan | — | 132,846 | — | 132,846 |
United Kingdom | — | 799,433 | — | 799,433 |
United States | 29,207 | — | — | 29,207 |
Total Common Stocks | 30,019 | 4,926,147 | — | 4,956,166 |
Money Market Funds | 69 | — | — | 69 |
Total Investments in Securities | 30,088 | 4,926,147 | — | 4,956,235 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $4,585,957) | $4,956,166 |
Affiliated issuers (cost $69) | 69 |
Receivable for: | |
Investments sold | 127,937 |
Dividends | 11,091 |
Foreign tax reclaims | 8,754 |
Expense reimbursement due from Investment Manager | 318 |
Prepaid expenses | 1,212 |
Deferred compensation of board members | 8,645 |
Total assets | 5,114,192 |
Liabilities | |
Due to custodian | 14,510 |
Payable for: | |
Investments purchased | 46,651 |
Capital shares redeemed | 6,958 |
Transfer agent fees | 8 |
Accounting services fees | 12,499 |
State registration fees | 6,353 |
Compensation of board members | 1,321 |
Other expenses | 2,738 |
Deferred compensation of board members | 23,590 |
Total liabilities | 114,628 |
Net assets applicable to outstanding capital stock | $4,999,564 |
Represented by | |
Paid in capital | 5,609,692 |
Total distributable earnings (loss) | (610,128 ) |
Total - representing net assets applicable to outstanding capital stock | $4,999,564 |
Shares outstanding | 405,802 |
Net asset value per share | 12.32 |
Net investment income | |
Income: | |
Dividends — unaffiliated issuers | $93,965 |
Dividends — affiliated issuers | 2,611 |
Foreign taxes withheld | (10,755 ) |
Total income | 85,821 |
Expenses: | |
Transfer agent fees | 185 |
Custodian fees | 7,290 |
Printing and postage fees | 3,943 |
Registration fees | 15,436 |
Accounting services fees | 15,454 |
Legal fees | 6,781 |
Compensation of chief compliance officer | 1 |
Compensation of board members | 5,511 |
Deferred compensation of board members | 2,039 |
Other | 2,400 |
Total expenses | 59,040 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (59,040 ) |
Total net expenses | — |
Net investment income | 85,821 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (232,364 ) |
Investments — affiliated issuers | 57 |
Foreign currency translations | (1,780 ) |
Futures contracts | 1,652 |
Net realized loss | (232,435 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 268,910 |
Investments — affiliated issuers | (20 ) |
Foreign currency translations | 47 |
Net change in unrealized appreciation (depreciation) | 268,937 |
Net realized and unrealized gain | 36,502 |
Net increase in net assets resulting from operations | $122,323 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $85,821 | $234,209 |
Net realized loss | (232,435 ) | (207,629 ) |
Net change in unrealized appreciation (depreciation) | 268,937 | 750,726 |
Net increase in net assets resulting from operations | 122,323 | 777,306 |
Distributions to shareholders | ||
Net investment income and net realized gains | (273,092 ) | (201,999 ) |
Total distributions to shareholders | (273,092 ) | (201,999 ) |
Increase (decrease) in net assets from capital stock activity | (1,554,662 ) | 1,206,675 |
Total increase (decrease) in net assets | (1,705,431 ) | 1,781,982 |
Net assets at beginning of period | 6,704,995 | 4,923,013 |
Net assets at end of period | $4,999,564 | $6,704,995 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Shares sold | 68,808 | 849,210 | 166,199 | 2,044,621 |
Distributions reinvested | 21,830 | 273,092 | 17,519 | 201,999 |
Shares redeemed | (224,558 ) | (2,676,964 ) | (89,677 ) | (1,039,945 ) |
Total net increase (decrease) | (133,920 ) | (1,554,662 ) | 94,041 | 1,206,675 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020(a) | ||
Per share data | |||||
Net asset value, beginning of period | $12.42 | $11.05 | $15.65 | $12.14 | $12.00 |
Income from investment operations: | |||||
Net investment income | 0.19 | 0.51 | 0.45 | 0.41 | 0.31 |
Net realized and unrealized gain (loss) | 0.43 | 1.31 | (4.10 ) | 3.30 | 0.01 |
Total from investment operations | 0.62 | 1.82 | (3.65 ) | 3.71 | 0.32 |
Less distributions to shareholders from: | |||||
Net investment income | (0.72 ) | (0.45 ) | (0.51 ) | (0.19 ) | (0.18 ) |
Net realized gains | — | — | (0.44 ) | (0.01 ) | — |
Total distributions to shareholders | (0.72 ) | (0.45 ) | (0.95 ) | (0.20 ) | (0.18 ) |
Net asset value, end of period | $12.32 | $12.42 | $11.05 | $15.65 | $12.14 |
Total return | 4.93 % | 16.82 % | (24.44 %) | 30.77 % | 2.57 % |
Ratios to average net assets | |||||
Total gross expenses(b) | 2.12 % | 2.15 %(c) | 1.60 %(d),(e) | 1.73 % | 5.92 % |
Total net expenses(b),(f) | 0.00 % | 0.00 %(c),(g) | 0.00 %(d),(e) | 0.00 %(g) | 0.00 %(g) |
Net investment income | 3.08 % | 4.29 % | 3.39 % | 2.81 % | 2.79 % |
Supplemental data | |||||
Portfolio turnover | 21 % | 33 % | 53 % | 33 % | 47 % |
Net assets, end of period (in thousands) | $5,000 | $6,705 | $4,923 | $8,022 | $2,296 |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on September 12, 2019. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Ratios include interfund lending expense which is less than 0.01%. |
(d) | Ratios include interest on collateral expense which is less than 0.01%. |
(e) | Ratios include line of credit interest expense which is less than 0.01%. |
(f) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(g) | Rounds to zero. |
Amount of realized gain (loss) on derivatives recognized in income | |
Risk exposure category | Futures contracts ($) |
Equity risk | 1,652 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 64,910 |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
4,586,000 | 808,000 | (438,000 ) | 370,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(379,916 ) | (311,082 ) | (690,998 ) |
columbiathreadneedleus.com/investment-products/managed-accounts/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Average annual total returns (%) (for the period ended February 29, 2024) | |||||
Inception | 6 Months cumulative | 1 Year | Life | ||
Multisector Bond SMA Completion Portfolio | 10/29/19 | 7.11 | 12.07 | 4.64 | |
Bloomberg U.S. Aggregate Bond Index | 2.35 | 3.33 | -0.91 |
Portfolio breakdown (%) (at February 29, 2024) | |
Corporate Bonds & Notes | 16.0 |
Money Market Funds(a) | 37.8 |
Residential Mortgage-Backed Securities - Agency | 46.2 |
Total | 100.0 |
(a) | Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Portfolio of Investments and the derivative instruments discussion in Note 2 to the Notes to Financial Statements. |
Quality breakdown (%) (at February 29, 2024) | |
AA rating | 90.0 |
A rating | 10.0 |
Total | 100.0 |
Derivative breakdown (%) (at February 29, 2024)(a) | |||
Asset | Liability | Net | |
Long futures contracts | 0.04 | — | 0.04 |
Short futures contracts | — | (0.02 ) | (0.02 ) |
Swap contracts | 4.66 | — | 4.66 |
September 1, 2023 — February 29, 2024 | ||||||||||
Account value at the beginning of the period ($) | Account value at the end of the period ($) | Expenses paid during the period ($) | Fund’s annualized expense ratio (%) | Effective expenses paid during the period ($) | Fund’s effective annualized expense ratio (%) | |||||
Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual | Actual | Hypothetical | Actual | |
Multisector Bond SMA Completion Portfolio | 1,000.00 | 1,000.00 | 1,071.10 | 1,024.91 | (0.05 ) | (0.05 ) | (0.01 ) | 0.00 | 0.00 | 0.00 |
Corporate Bonds & Notes 27.5% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 5.3% | ||||
Bank of America Corp.(a) | ||||
09/15/2029 | 5.819% | 130,000 | 132,524 | |
Life Insurance 5.8% | ||||
Metropolitan Life Global Funding I(b) | ||||
08/25/2025 | 4.050% | 150,000 | 147,448 | |
Pharmaceuticals 5.5% | ||||
Pfizer Investment Enterprises Pte., Ltd. | ||||
05/19/2026 | 4.450% | 140,000 | 138,192 | |
Retailers 5.1% | ||||
Amazon.com, Inc. | ||||
12/01/2025 | 4.600% | 130,000 | 129,400 | |
Technology 5.8% | ||||
Microsoft Corp. | ||||
11/03/2025 | 3.125% | 150,000 | 145,804 | |
Total Corporate Bonds & Notes (Cost $693,026) | 693,368 | |||
Residential Mortgage-Backed Securities - Agency 79.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(c) | ||||
03/13/2054 | 3.500% | 400,000 | 355,824 | |
03/13/2054 | 4.000% | 750,000 | 689,981 | |
03/13/2054 | 4.500% | 500,000 | 473,264 | |
03/13/2054 | 5.000% | 500,000 | 484,844 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $2,026,624) | 2,003,913 |
Money Market Funds 64.8% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.557%(d),(e) | 1,637,471 | 1,637,144 |
Total Money Market Funds (Cost $1,636,601) | 1,637,144 | |
Total Investments in Securities (Cost: $4,356,251) | 4,334,425 | |
Other Assets & Liabilities, Net | (1,809,622 ) | |
Net Assets | 2,524,803 |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 5-Year Note | 6 | 06/2024 | USD | 641,438 | 1,044 | — |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury Ultra Bond | (4) | 06/2024 | USD | (511,500 ) | — | (540 ) |
Cleared credit default swap contracts - sell protection | ||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX Emerging Markets Index, Series 40 | Morgan Stanley | 12/20/2028 | 1.000 | Quarterly | 1.664 | USD | 1,000,000 | 18,165 | — | — | 18,165 | — |
Markit CDX North America Investment Grade Index, Series 41 | Morgan Stanley | 12/20/2028 | 5.000 | Quarterly | 3.381 | USD | 1,485,000 | 99,487 | — | — | 99,487 | — |
Total | 117,652 | — | — | 117,652 | — |
(a) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of February 29, 2024. |
(b) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At February 29, 2024, the total value of these securities amounted to $147,448, which represents 5.84% of total net assets. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | The rate shown is the seven-day current annualized yield at February 29, 2024. |
(e) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended February 29, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.557% | ||||||||
1,158,101 | 1,536,981 | (1,058,088 ) | 150 | 1,637,144 | (11 ) | 45,897 | 1,637,471 |
TBA | To Be Announced |
USD | US Dollar |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Corporate Bonds & Notes | — | 693,368 | — | 693,368 |
Residential Mortgage-Backed Securities - Agency | — | 2,003,913 | — | 2,003,913 |
Money Market Funds | 1,637,144 | — | — | 1,637,144 |
Total Investments in Securities | 1,637,144 | 2,697,281 | — | 4,334,425 |
Investments in Derivatives | ||||
Asset | ||||
Futures Contracts | 1,044 | — | — | 1,044 |
Swap Contracts | — | 117,652 | — | 117,652 |
Liability | ||||
Futures Contracts | (540 ) | — | — | (540 ) |
Total | 1,637,648 | 2,814,933 | — | 4,452,581 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $2,719,650) | $2,697,281 |
Affiliated issuers (cost $1,636,601) | 1,637,144 |
Margin deposits on: | |
Futures contracts | 23,840 |
Swap contracts | 226,214 |
Receivable for: | |
Dividends | 6,977 |
Interest | 11,436 |
Variation margin for futures contracts | 469 |
Variation margin for swap contracts | 3,086 |
Expense reimbursement due from Investment Manager | 352 |
Prepaid expenses | 1,179 |
Deferred compensation of board members | 7,284 |
Total assets | 4,615,262 |
Liabilities | |
Payable for: | |
Investments purchased on a delayed delivery basis | 2,029,675 |
Variation margin for futures contracts | 4,691 |
Transfer agent fees | 7 |
Compensation of board members | 1,024 |
Other expenses | 32,788 |
Deferred compensation of board members | 22,274 |
Total liabilities | 2,090,459 |
Net assets applicable to outstanding capital stock | $2,524,803 |
Represented by | |
Paid in capital | 3,709,881 |
Total distributable earnings (loss) | (1,185,078 ) |
Total - representing net assets applicable to outstanding capital stock | $2,524,803 |
Shares outstanding | 193,641 |
Net asset value per share | 13.04 |
Net investment income | |
Income: | |
Dividends — affiliated issuers | $45,897 |
Interest | 17,005 |
Total income | 62,902 |
Expenses: | |
Transfer agent fees | 42 |
Custodian fees | 9,098 |
Printing and postage fees | 3,849 |
Registration fees | 15,061 |
Accounting services fees | 20,693 |
Legal fees | 6,448 |
Compensation of board members | 5,504 |
Deferred compensation of board members | 2,036 |
Other | 2,380 |
Total expenses | 65,111 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (65,196 ) |
Total net expenses | (85 ) |
Net investment income | 62,987 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (254 ) |
Investments — affiliated issuers | (11 ) |
Futures contracts | (889 ) |
Swap contracts | 84,462 |
Net realized gain | 83,308 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | (9,991 ) |
Investments — affiliated issuers | 150 |
Futures contracts | 151 |
Swap contracts | 29,810 |
Net change in unrealized appreciation (depreciation) | 20,120 |
Net realized and unrealized gain | 103,428 |
Net increase in net assets resulting from operations | $166,415 |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, 2023 | |
Operations | ||
Net investment income | $62,987 | $104,755 |
Net realized gain (loss) | 83,308 | (52,449 ) |
Net change in unrealized appreciation (depreciation) | 20,120 | 239,074 |
Net increase in net assets resulting from operations | 166,415 | 291,380 |
Distributions to shareholders | ||
Net investment income and net realized gains | (63,830 ) | (100,230 ) |
Total distributions to shareholders | (63,830 ) | (100,230 ) |
Increase (decrease) in net assets from capital stock activity | 63,830 | (839,714 ) |
Total increase (decrease) in net assets | 166,415 | (648,564 ) |
Net assets at beginning of period | 2,358,388 | 3,006,952 |
Net assets at end of period | $2,524,803 | $2,358,388 |
Six Months Ended | Year Ended | |||
February 29, 2024 (Unaudited) | August 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Distributions reinvested | 5,039 | 63,830 | 8,197 | 100,230 |
Shares redeemed | — | — | (79,245 ) | (939,944 ) |
Total net increase (decrease) | 5,039 | 63,830 | (71,048 ) | (839,714 ) |
Six Months Ended February 29, 2024 (Unaudited) | Year Ended August 31, | ||||
2023 | 2022 | 2021 | 2020(a) | ||
Per share data | |||||
Net asset value, beginning of period | $12.50 | $11.58 | $12.72 | $11.73 | $12.00 |
Income from investment operations: | |||||
Net investment income | 0.33 | 0.52 | 0.21 | 0.05 | 0.12 |
Net realized and unrealized gain (loss) | 0.54 | 0.92 | (0.99 ) | 0.99 | (0.26 ) |
Total from investment operations | 0.87 | 1.44 | (0.78 ) | 1.04 | (0.14 ) |
Less distributions to shareholders from: | |||||
Net investment income | (0.33 ) | (0.52 ) | (0.27 ) | (0.05 ) | (0.13 ) |
Net realized gains | — | — | (0.09 ) | — | — |
Total distributions to shareholders | (0.33 ) | (0.52 ) | (0.36 ) | (0.05 ) | (0.13 ) |
Net asset value, end of period | $13.04 | $12.50 | $11.58 | $12.72 | $11.73 |
Total return | 7.11 % | 12.58 % | (6.21 %) | 8.91 % | (1.16 %) |
Ratios to average net assets | |||||
Total gross expenses(b) | 5.40 % | 5.56 % | 0.62 %(c) | 3.72 %(c) | 5.21 % |
Total net expenses(b),(d) | (0.01 )%(e) | (0.01 )%(e) | 0.00 %(c) | 0.00 %(c),(f) | 0.00 % |
Net investment income | 5.23 % | 4.30 % | 1.66 % | 0.37 % | 1.28 % |
Supplemental data | |||||
Portfolio turnover | 520 % | 1,205 % | 372 % | 15 % | 0 % |
Net assets, end of period (in thousands) | $2,525 | $2,358 | $3,007 | $22,280 | $2,054 |
Notes to Financial Highlights | |
(a) | The Fund commenced operations on October 29, 2019. Per share data and total return reflect activity from that date. |
(b) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 8/31/2022 | 8/31/2021 |
No Class | 0.01% | less than 0.01% |
(d) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(e) | Total net expenses include the impact of an expense reimbursement by the Investment Manager of indirect expenses related to investments in underlying funds. Had indirect expenses been incurred directly, the total net expense ratio would have been 0.00%. |
(f) | Rounds to zero. |
Asset derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 117,652 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,044 * |
Total | 118,696 |
Liability derivatives | ||
Risk exposure category | Statement of assets and liabilities location | Fair value ($) |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 540 * |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 84,462 | 84,462 |
Interest rate risk | (889 ) | — | (889 ) |
Total | (889 ) | 84,462 | 83,573 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | |||
Risk exposure category | Futures contracts ($) | Swap contracts ($) | Total ($) |
Credit risk | — | 29,810 | 29,810 |
Interest rate risk | 151 | — | 151 |
Total | 151 | 29,810 | 29,961 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 1,706,438 |
Futures contracts — short | 702,695 |
Credit default swap contracts — sell protection | 2,490,687 |
Morgan Stanley ($) | |
Assets | |
Centrally cleared credit default swap contracts (a) | 3,086 |
Total financial and derivative net assets | 3,086 |
Total collateral received (pledged) (b) | - |
Net amount (c) | 3,086 |
(a) | Centrally cleared swaps are included within payable/receivable for variation margin in the Statement of Assets and Liabilities. |
(b) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(c) | Represents the net amount due from/(to) counterparties in the event of default. |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized appreciation ($) |
4,356,000 | 121,000 | (24,000 ) | 97,000 |
No expiration short-term ($) | No expiration long-term ($) | Total ($) |
(1,355,932 ) | (4,900 ) | (1,360,832 ) |
columbiathreadneedleus.com/investment-products/managed-accounts/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
(a) | The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. |
(b) | There was no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR: Not applicable for semiannual reports.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | Columbia Funds Series Trust I |
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By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | April 22, 2024 |
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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 (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer |
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Date | April 22, 2024 |
By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, Treasurer, |
| Chief Accounting Officer, Principal Financial Officer and Senior Vice President |
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Date | April 22, 2024 |