Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Intermediate Duration Portfolio
June 30, 2024 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - TREASURIES – 36.9% | ||||||||||||
United States – 36.9% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 202,544 | $ | 101,081,865 | ||||||||
1.75%, 08/15/2041 | 46,935 | 31,167,773 | ||||||||||
2.00%, 11/15/2041 | 9,057 | 6,249,606 | ||||||||||
2.25%, 08/15/2046 | 12,530 | 8,395,100 | ||||||||||
2.375%, 02/15/2042 | 11,433 | 8,358,668 | ||||||||||
2.375%, 11/15/2049 | 2,885 | 1,927,541 | ||||||||||
2.50%, 02/15/2045 | 1,916 | 1,372,934 | ||||||||||
2.50%, 05/15/2046 | 23,956 | 16,918,925 | ||||||||||
3.00%, 05/15/2045 | 23,139 | 18,066,497 | ||||||||||
3.00%, 08/15/2048 | 28,274 | 21,576,444 | ||||||||||
3.00%, 02/15/2049 | 26,971 | 20,548,759 | ||||||||||
3.25%, 05/15/2042 | 11,593 | 9,683,611 | ||||||||||
3.375%, 08/15/2042 | 19,569 | 16,596,619 | ||||||||||
3.375%, 05/15/2044 | 5,710 | 4,776,354 | ||||||||||
3.50%, 02/15/2039 | 4,254 | 3,838,570 | ||||||||||
3.625%, 05/15/2053 | 27,235 | 23,324,053 | ||||||||||
3.75%, 11/15/2043 | 10,205 | 9,056,938 | ||||||||||
3.875%, 02/15/2043 | 12,073 | 10,955,975 | ||||||||||
3.875%, 05/15/2043 | 19,718 | 17,865,904 | ||||||||||
4.00%, 11/15/2042 | 33,530 | 31,030,967 | ||||||||||
4.125%, 08/15/2053 | 30,804 | 28,869,499 | ||||||||||
4.25%, 02/15/2054 | 4,634 | 4,439,855 | ||||||||||
4.375%, 02/15/2038 | 14,232 | 14,245,543 | ||||||||||
4.375%, 11/15/2039 | 47,210 | 46,841,172 | ||||||||||
4.375%, 08/15/2043 | 19,182 | 18,594,842 | ||||||||||
4.50%, 02/15/2036 | 4,048 | 4,128,552 | ||||||||||
4.50%, 02/15/2044 | 20,030 | 19,735,317 | ||||||||||
4.625%, 05/15/2054 | 12,011 | 12,251,118 | ||||||||||
4.75%, 02/15/2037 | 4,156 | 4,322,240 | ||||||||||
4.75%, 11/15/2043 | 17,479 | 17,784,883 | ||||||||||
4.75%, 11/15/2053 | 24,746 | 25,740,123 | ||||||||||
U.S. Treasury Notes | 19,229 | 18,153,189 | ||||||||||
3.50%, 04/30/2028 | 16,210 | 15,685,901 | ||||||||||
3.625%, 03/31/2028 | 28,384 | 27,603,537 | ||||||||||
3.75%, 12/31/2028 | 80,830 | 78,821,977 | ||||||||||
3.875%, 11/30/2027(b) | 102,699 | 100,773,688 | ||||||||||
3.875%, 12/31/2027(a) | 75,973 | 74,548,702 | ||||||||||
4.00%, 02/29/2028 | 13,956 | 13,749,136 | ||||||||||
4.00%, 01/31/2029 | 73,672 | 72,590,041 | ||||||||||
4.00%, 02/15/2034 | 48,407 | 47,106,062 | ||||||||||
4.125%, 09/30/2027 | 20,692 | 20,465,483 | ||||||||||
4.125%, 03/31/2029 | 8,646 | 8,565,043 | ||||||||||
4.125%, 08/31/2030 | 25,659 | 25,362,713 | ||||||||||
4.125%, 11/15/2032 | 18,170 | 17,897,549 | ||||||||||
4.25%, 02/28/2029 | 15,011 | 14,954,709 | ||||||||||
4.375%, 08/31/2028 | 13,427 | 13,418,308 | ||||||||||
4.375%, 11/30/2028 | 47,131 | 47,152,993 | ||||||||||
4.50%, 05/31/2029 | 36,587 | 36,861,402 | ||||||||||
4.50%, 11/15/2033 | 17,484 | 17,682,921 | ||||||||||
4.625%, 04/30/2029 | 59,634 | 60,361,194 | ||||||||||
4.875%, 05/31/2026 | 40,677 | 40,759,625 | ||||||||||
4.875%, 10/31/2028 | 106,793 | 108,862,216 | ||||||||||
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| |||||||||||
Total Governments - Treasuries | 1,421,122,636 | |||||||||||
|
|
1
Principal Amount (000) | U.S. $ Value | |||||||||||
CORPORATES - INVESTMENT GRADE – 22.3% | ||||||||||||
Industrial – 10.9% | ||||||||||||
Basic – 0.3% | ||||||||||||
Freeport Indonesia PT | U.S.$ | 904 | $ | 884,889 | ||||||||
Glencore Funding LLC | 7,164 | 7,151,177 | ||||||||||
6.50%, 10/06/2033(c) | 2,016 | 2,105,934 | ||||||||||
Nexa Resources SA | 2,053 | 2,072,709 | ||||||||||
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| |||||||||||
12,214,709 | ||||||||||||
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| |||||||||||
Capital Goods – 0.8% | ||||||||||||
Boeing Co. (The) | 1,193 | 1,092,549 | ||||||||||
3.625%, 02/01/2031 | 1,417 | 1,240,102 | ||||||||||
5.15%, 05/01/2030 | 1,240 | 1,190,474 | ||||||||||
6.298%, 05/01/2029(c) | 2,015 | 2,043,271 | ||||||||||
6.528%, 05/01/2034(c) | 2,879 | 2,947,376 | ||||||||||
CNH Industrial Capital LLC | 5,776 | 5,754,629 | ||||||||||
Embraer Netherlands Finance BV | 4,960 | 4,913,500 | ||||||||||
Flowserve Corp. | 4,669 | 3,831,428 | ||||||||||
Regal Rexnord Corp. | 6,295 | 6,322,698 | ||||||||||
Trane Technologies Financing Ltd. | 1,849 | 1,860,926 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 1,117 | 1,089,522 | ||||||||||
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32,286,475 | ||||||||||||
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| |||||||||||
Communications - Media – 0.8% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3,490 | 2,985,311 | ||||||||||
6.10%, 06/01/2029 | 6,455 | 6,478,690 | ||||||||||
6.15%, 11/10/2026 | 935 | 943,742 | ||||||||||
Discovery Communications LLC | 1,999 | 1,551,904 | ||||||||||
5.30%, 05/15/2049 | 857 | 672,771 | ||||||||||
Fox Corp. | 2,656 | 2,783,329 | ||||||||||
Meta Platforms, Inc. | 3,350 | 3,366,314 | ||||||||||
Prosus NV | 3,921 | 3,249,529 | ||||||||||
3.257%, 01/19/2027(c) | 1,724 | 1,609,440 | ||||||||||
3.68%, 01/21/2030(c) | 462 | 409,881 | ||||||||||
4.027%, 08/03/2050(c) | 3,458 | 2,362,246 |
2
Principal Amount (000) | U.S. $ Value | |||||||||||
Tencent Holdings Ltd. | U.S.$ | 4,830 | $ | 3,145,924 | ||||||||
Time Warner Cable LLC | 2,370 | 1,738,537 | ||||||||||
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| |||||||||||
31,297,618 | ||||||||||||
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| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
AT&T, Inc. | 1,872,846 | |||||||||||
5.40%, 02/15/2034 | 2,869 | 2,869,086 | ||||||||||
T-Mobile USA, Inc. | 1,696 | 1,585,540 | ||||||||||
|
| |||||||||||
6,327,472 | ||||||||||||
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| |||||||||||
Consumer Cyclical - Automotive – 1.6% | ||||||||||||
Cummins, Inc. | 9,058 | 9,070,772 | ||||||||||
Ford Motor Co. | 6,003 | 4,966,762 | ||||||||||
Ford Motor Credit Co., LLC | 902 | 847,366 | ||||||||||
6.125%, 03/08/2034 | 3,932 | 3,895,472 | ||||||||||
General Motors Co. | 1,152 | 1,157,864 | ||||||||||
General Motors Financial Co., Inc. | 9,151 | 9,174,518 | ||||||||||
Harley-Davidson Financial Services, Inc. | 7,064 | 6,626,809 | ||||||||||
5.95%, 06/11/2029(c) | 1,511 | 1,505,591 | ||||||||||
Hyundai Capital America | 2,195 | 2,185,693 | ||||||||||
5.275%, 06/24/2027(c) | 293 | 291,734 | ||||||||||
5.30%, 03/19/2027(c) | 2,599 | 2,592,970 | ||||||||||
6.10%, 09/21/2028(c) | 4,320 | 4,434,782 | ||||||||||
Mercedes-Benz Finance North America LLC | 5,380 | 5,336,691 | ||||||||||
Nissan Motor Co., Ltd. | 8,330 | 7,955,150 | ||||||||||
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| |||||||||||
60,042,174 | ||||||||||||
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Consumer Cyclical - Entertainment – 0.2% | ||||||||||||
Hasbro, Inc. | 2,322 | 2,317,658 | ||||||||||
Royal Caribbean Cruises Ltd. | 4,339 | 4,579,814 | ||||||||||
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| |||||||||||
6,897,472 | ||||||||||||
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Consumer Cyclical - Other – 0.4% | ||||||||||||
Las Vegas Sands Corp. | 8,570 | 7,833,237 | ||||||||||
Marriott International, Inc./MD | 1,998 | 1,960,857 | ||||||||||
MDC Holdings, Inc. | 3,776 | 3,969,520 | ||||||||||
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| |||||||||||
13,763,614 | ||||||||||||
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|
3
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Cyclical - Restaurants – 0.2% | ||||||||||||
Starbucks Corp. | U.S.$ | 9,151 | $ | 9,103,781 | ||||||||
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| |||||||||||
Consumer Cyclical - Retailers – 0.2% | ||||||||||||
Ross Stores, Inc. | 7,988 | 7,878,964 | ||||||||||
Tapestry, Inc. | 115 | 120,051 | ||||||||||
|
| |||||||||||
7,999,015 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.9% | ||||||||||||
Altria Group, Inc. | 7,300 | 6,600,222 | ||||||||||
BAT Capital Corp. | 8,570 | 7,677,092 | ||||||||||
Bayer US Finance LLC | 1,087 | 1,098,337 | ||||||||||
Cargill, Inc. | 3,643 | 3,635,605 | ||||||||||
Cencosud SA | 1,905 | 1,912,739 | ||||||||||
CVS Health Corp. | 6,753 | 6,733,889 | ||||||||||
General Mills, Inc. | 2,460 | 2,429,717 | ||||||||||
Imperial Brands Finance PLC | 7,441 | 7,295,603 | ||||||||||
JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL | 3,892 | 4,116,724 | ||||||||||
Ochsner LSU Health System of North Louisiana | 5,660 | 4,017,355 | ||||||||||
Philip Morris International, Inc. | 2,541 | 2,522,044 | ||||||||||
5.00%, 11/17/2025 | 4,607 | 4,583,965 | ||||||||||
5.375%, 02/15/2033 | 8,162 | 8,106,988 | ||||||||||
5.625%, 11/17/2029 | 829 | 846,583 | ||||||||||
Pilgrim’s Pride Corp. | 6,561 | 6,969,225 | ||||||||||
Tyson Foods, Inc. | 3,052 | 3,038,297 | ||||||||||
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71,584,385 | ||||||||||||
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Energy – 1.5% | ||||||||||||
BP Capital Markets America, Inc. | 5,587 | 3,550,930 | ||||||||||
Continental Resources, Inc./OK | 6,461 | 5,221,393 | ||||||||||
5.75%, 01/15/2031(c) | 2,866 | 2,818,453 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
Devon Energy Corp. | U.S.$ | 4,914 | $ | 4,572,575 | ||||||||
Energy Transfer LP | 9,646 | 9,567,964 | ||||||||||
EQT Corp. | 1,958 | 1,976,268 | ||||||||||
ONEOK, Inc. | 1,323 | 1,362,439 | ||||||||||
Ovintiv, Inc. | 1,563 | 1,611,078 | ||||||||||
6.50%, 02/01/2038 | 697 | 715,547 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 9,697 | 9,605,848 | ||||||||||
Suncor Energy, Inc. | 5,543 | 5,915,323 | ||||||||||
Var Energi ASA | 5,044 | 5,300,992 | ||||||||||
8.00%, 11/15/2032(c) | 4,495 | 5,015,970 | ||||||||||
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57,234,780 | ||||||||||||
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Other Industrial – 0.2% | ||||||||||||
LKQ Corp. | 4,277 | 4,318,915 | ||||||||||
6.25%, 06/15/2033 | 2,528 | 2,598,278 | ||||||||||
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6,917,193 | ||||||||||||
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Services – 0.4% | ||||||||||||
Alibaba Group Holding Ltd. | 9,680 | 7,991,130 | ||||||||||
Booking Holdings, Inc. | EUR | 3,033 | 3,423,498 | |||||||||
Expedia Group, Inc. | U.S.$ | 211 | 211,542 | |||||||||
Global Payments, Inc. | 3,208 | 2,884,217 | ||||||||||
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14,510,387 | ||||||||||||
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Technology – 1.5% | ||||||||||||
Apple, Inc. | 5,020 | 4,060,377 | ||||||||||
Broadcom, Inc. | 1,202 | 962,345 | ||||||||||
3.187%, 11/15/2036(c) | 8,430 | 6,667,456 | ||||||||||
4.926%, 05/15/2037(c) | 4,241 | 3,987,516 | ||||||||||
Entegris, Inc. | 5,311 | 5,073,970 | ||||||||||
Fiserv, Inc. | 9,632 | 8,907,288 | ||||||||||
Honeywell International, Inc. | EUR | 5,113 | 5,591,856 | |||||||||
Infor, Inc. | U.S.$ | 2,719 | 2,605,101 | |||||||||
Kyndryl Holdings, Inc. | 9,627 | 8,875,613 |
5
Principal Amount (000) | U.S. $ Value | |||||||||||
NXP BV/NXP Funding LLC | U.S.$ | 4,119 | $ | 4,171,888 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 3,313 | 2,999,325 | ||||||||||
TSMC Arizona Corp. | 2,710 | 2,621,144 | ||||||||||
Western Digital Corp. | 1,351 | 1,170,709 | ||||||||||
3.10%, 02/01/2032 | 408 | 331,826 | ||||||||||
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58,026,414 | ||||||||||||
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Transportation - Airlines – 0.1% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 1,696 | 1,676,532 | ||||||||||
4.75%, 10/20/2028(c) | 3,940 | 3,841,894 | ||||||||||
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5,518,426 | ||||||||||||
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Transportation - Railroads – 0.0% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 400 | 364,087 | ||||||||||
5.875%, 07/05/2034(c) | 958 | 945,145 | ||||||||||
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| |||||||||||
1,309,232 | ||||||||||||
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Transportation - Services – 0.6% | ||||||||||||
ENA Master Trust | 1,235 | 867,201 | ||||||||||
ERAC USA Finance LLC | 2,517 | 2,478,213 | ||||||||||
4.90%, 05/01/2033(c) | 5,812 | 5,655,599 | ||||||||||
Ryder System, Inc. | 7,365 | 7,394,755 | ||||||||||
TTX Co. | 8,329 | 8,339,661 | ||||||||||
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24,735,429 | ||||||||||||
|
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419,768,576 | ||||||||||||
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Financial Institutions – 10.3% | ||||||||||||
Banking – 8.0% | ||||||||||||
AIB Group PLC | 1,569 | 1,619,004 | ||||||||||
7.583%, 10/14/2026(c) | 8,806 | 8,997,618 | ||||||||||
Ally Financial, Inc. | 4,741 | 4,923,434 | ||||||||||
American Express Co. | 9,109 | 9,069,649 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 3,200 | 3,211,136 | ||||||||||
7.883%, 11/15/2034 | 800 | 872,112 | ||||||||||
Banco de Credito del Peru SA | 5,996 | 5,786,140 | ||||||||||
Banco Santander SA | 3,200 | 3,083,584 | ||||||||||
6.35%, 03/14/2034 | 3,000 | 3,008,160 | ||||||||||
6.921%, 08/08/2033 | 3,200 | 3,344,768 | ||||||||||
9.625%, 05/21/2033(d) | 4,400 | 4,890,776 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
Bank of America Corp. | U.S.$ | 1,935 | $ | 1,636,255 | ||||||||
2.972%, 02/04/2033 | 10,774 | 9,120,837 | ||||||||||
Bank of Ireland Group PLC | 1,428 | 1,419,917 | ||||||||||
6.253%, 09/16/2026(c) | 2,285 | 2,295,374 | ||||||||||
Barclays PLC | 1,648 | 1,576,345 | ||||||||||
5.674%, 03/12/2028 | 736 | 736,994 | ||||||||||
6.224%, 05/09/2034 | 3,451 | 3,537,033 | ||||||||||
7.119%, 06/27/2034 | 1,360 | 1,445,680 | ||||||||||
BNP Paribas SA | 2,660 | 2,471,433 | ||||||||||
4.625%, 02/25/2031(c) (d) | 943 | 755,635 | ||||||||||
5.497%, 05/20/2030(c) | 6,651 | 6,625,460 | ||||||||||
7.375%, 08/19/2025(c) (d) | 3,060 | 3,054,155 | ||||||||||
BPCE SA | 8,900 | 8,922,072 | ||||||||||
CaixaBank SA | 2,782 | 2,791,264 | ||||||||||
6.684%, 09/13/2027(c) | 5,127 | 5,221,029 | ||||||||||
Capital One Financial Corp. | 1,883 | 1,875,148 | ||||||||||
6.377%, 06/08/2034 | 5,768 | 5,922,813 | ||||||||||
Citigroup, Inc. | 6,477 | 5,397,219 | ||||||||||
4.075%, 04/23/2029 | 5,373 | 5,149,322 | ||||||||||
Series W | 3,243 | 3,110,329 | ||||||||||
Cooperatieve Rabobank UA | 7,918 | 7,950,464 | ||||||||||
Credit Agricole SA | 7,161 | 7,206,329 | ||||||||||
Deutsche Bank AG/New York NY | 4,221 | 4,006,109 | ||||||||||
2.552%, 01/07/2028 | 604 | 558,283 | ||||||||||
3.961%, 11/26/2025 | 1,336 | 1,324,590 | ||||||||||
6.119%, 07/14/2026 | 4,678 | 4,683,707 | ||||||||||
7.146%, 07/13/2027 | 1,492 | 1,528,211 | ||||||||||
Discover Bank | 2,264 | 2,257,661 | ||||||||||
Goldman Sachs Group, Inc. (The) | 10,017 | 8,420,190 | ||||||||||
2.65%, 10/21/2032 | 701 | 582,973 | ||||||||||
Series P | 1,153 | 1,155,479 | ||||||||||
Series V | 3,016 | 2,822,011 | ||||||||||
HSBC Holdings PLC | 2,559 | 2,142,855 | ||||||||||
2.848%, 06/04/2031 | 7,601 | 6,564,528 | ||||||||||
7.399%, 11/13/2034 | 2,575 | 2,793,308 | ||||||||||
8.113%, 11/03/2033 | 6,645 | 7,511,508 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
ING Groep NV | U.S.$ | 6,267 | $ | 6,334,370 | ||||||||
Intesa Sanpaolo SpA | 4,756 | 5,098,527 | ||||||||||
JPMorgan Chase & Co. | 12,789 | 10,902,111 | ||||||||||
KBC Group NV | 1,666 | 1,677,862 | ||||||||||
Lloyds Banking Group PLC | 366 | 349,603 | ||||||||||
5.462%, 01/05/2028 | 656 | 654,760 | ||||||||||
7.50%, 09/27/2025(d) | 5,358 | 5,361,108 | ||||||||||
7.953%, 11/15/2033 | 2,446 | 2,747,103 | ||||||||||
Mizuho Financial Group, Inc. | 2,363 | 2,359,834 | ||||||||||
Morgan Stanley | EUR | 3,196 | 3,177,928 | |||||||||
Morgan Stanley Bank NA | U.S.$ | 6,454 | 6,498,533 | |||||||||
Nationwide Building Society | 5,154 | 4,829,195 | ||||||||||
NatWest Group PLC | 669 | 560,328 | ||||||||||
6.475%, 06/01/2034 | 537 | 545,603 | ||||||||||
8.125%, 11/10/2033(d) | 1,358 | 1,375,070 | ||||||||||
PNC Financial Services Group, Inc. (The) | 1,677 | 1,683,876 | ||||||||||
Santander Holdings USA, Inc. | 1,399 | 1,289,150 | ||||||||||
6.174%, 01/09/2030 | 819 | 826,011 | ||||||||||
6.499%, 03/09/2029 | 331 | 336,948 | ||||||||||
6.565%, 06/12/2029 | 50 | 51,172 | ||||||||||
Santander UK Group Holdings PLC | 7,481 | 7,577,654 | ||||||||||
Skandinaviska Enskilda Banken AB | 1,913 | 1,912,426 | ||||||||||
Societe Generale SA | 4,567 | 4,214,473 | ||||||||||
5.519%, 01/19/2028(c) | 4,676 | 4,622,694 | ||||||||||
Standard Chartered PLC | 3,723 | 3,669,352 | ||||||||||
6.187%, 07/06/2027(c) | 3,042 | 3,068,192 | ||||||||||
7.101% (CME Term SOFR 3 Month + 1.51%), 01/30/2027(c) (d) (e) | 300 | 283,983 | ||||||||||
Swedbank AB | 400 | 398,008 | ||||||||||
UBS Group AG | 9,944 | 8,486,011 | ||||||||||
4.194%, 04/01/2031(c) | 2,852 | 2,660,374 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
6.373%, 07/15/2026(c) | U.S.$ | 6,080 | $ | 6,110,765 | ||||||||
7.00%, 02/19/2025(c) (d) | 408 | 406,980 | ||||||||||
9.25%, 11/13/2028(c) (d) | 1,113 | 1,195,306 | ||||||||||
9.25%, 11/13/2033(c) (d) | 1,022 | 1,144,487 | ||||||||||
UniCredit SpA | 271 | 252,615 | ||||||||||
2.569%, 09/22/2026(c) | 6,253 | 6,000,004 | ||||||||||
3.127%, 06/03/2032(c) | 1,858 | 1,576,290 | ||||||||||
Wells Fargo & Co. | 12,130 | 10,530,053 | ||||||||||
3.584%, 05/22/2028 | 2,117 | 2,016,083 | ||||||||||
Series BB | 2,664 | 2,550,993 | ||||||||||
|
| |||||||||||
308,714,736 | ||||||||||||
|
| |||||||||||
Brokerage – 0.2% | ||||||||||||
Charles Schwab Corp. (The) | 7,570 | 7,087,034 | ||||||||||
|
| |||||||||||
Finance – 0.6% | ||||||||||||
Aircastle Ltd. | 9,438 | 8,532,046 | ||||||||||
4.25%, 06/15/2026 | 530 | 516,623 | ||||||||||
5.25%, 08/11/2025(c) | 2,686 | 2,665,103 | ||||||||||
Aviation Capital Group LLC | 4,547 | 4,278,772 | ||||||||||
1.95%, 09/20/2026(c) | 1,485 | 1,368,324 | ||||||||||
3.50%, 11/01/2027(c) | 1,123 | 1,050,982 | ||||||||||
4.125%, 08/01/2025(c) | 35 | 34,356 | ||||||||||
4.875%, 10/01/2025(c) | 1,447 | 1,427,711 | ||||||||||
5.50%, 12/15/2024(c) | 2,808 | 2,800,503 | ||||||||||
6.375%, 07/15/2030(c) | 258 | 266,728 | ||||||||||
|
| |||||||||||
22,941,148 | ||||||||||||
|
| |||||||||||
Insurance – 0.9% | ||||||||||||
Athene Global Funding | 3,079 | 2,681,901 | ||||||||||
2.55%, 11/19/2030(c) | 606 | 505,556 | ||||||||||
2.717%, 01/07/2029(c) | 1,145 | 1,016,382 | ||||||||||
5.583%, 01/09/2029(c) | 541 | 543,104 | ||||||||||
5.62%, 05/08/2026(c) | 5,842 | 5,845,856 | ||||||||||
Humana, Inc. | 2,538 | 2,524,066 | ||||||||||
MetLife Capital Trust IV | 5,200 | 5,580,380 | ||||||||||
Principal Life Global Funding II | 6,566 | 6,526,801 | ||||||||||
Prudential Financial, Inc. | 615 | 608,715 | ||||||||||
Swiss Re Finance Luxembourg SA | 1,600 | 1,539,696 | ||||||||||
Swiss Re Subordinated Finance PLC | 8,000 | 7,887,920 | ||||||||||
|
| |||||||||||
35,260,377 | ||||||||||||
|
|
9
Principal Amount (000) | U.S. $ Value | |||||||||||
Other Finance – 0.1% | ||||||||||||
GPS Blue Financing DAC | U.S.$ | 4,889 | $ | 4,665,964 | ||||||||
|
| |||||||||||
REITs – 0.5% | ||||||||||||
American Tower Corp. | 1,515 | 1,269,055 | ||||||||||
3.65%, 03/15/2027 | 1,936 | 1,853,972 | ||||||||||
5.20%, 02/15/2029 | 3,698 | 3,684,207 | ||||||||||
Crown Castle, Inc. | 1,920 | 1,936,454 | ||||||||||
5.80%, 03/01/2034 | 2,053 | 2,073,448 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 4,575 | 3,839,477 | ||||||||||
4.00%, 01/15/2031 | 1,790 | 1,605,272 | ||||||||||
Trust Fibra Uno | 996 | 967,793 | ||||||||||
|
| |||||||||||
17,229,678 | ||||||||||||
|
| |||||||||||
395,898,937 | ||||||||||||
|
| |||||||||||
Utility – 1.1% | ||||||||||||
Electric – 1.1% | ||||||||||||
AES Panama Generation Holdings SRL | 1,612 | 1,395,792 | ||||||||||
Alexander Funding Trust II | 1,615 | 1,707,184 | ||||||||||
American Electric Power Co., Inc. | 3,588 | 3,575,047 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 3,641 | 2,802,878 | ||||||||||
Electricite de France SA | 1,420 | 1,546,082 | ||||||||||
Enel Finance International NV | 9,669 | 9,420,120 | ||||||||||
Engie Energia Chile SA | 3,834 | 3,346,363 | ||||||||||
6.375%, 04/17/2034(c) | 2,080 | 2,108,600 | ||||||||||
NextEra Energy Capital Holdings, Inc. | 1,217 | 1,219,982 | ||||||||||
Niagara Mohawk Power Corp. | 3,243 | 3,148,531 | ||||||||||
NRG Energy, Inc. | 542 | 511,415 | ||||||||||
7.00%, 03/15/2033(c) | 5,900 | 6,221,963 | ||||||||||
Pacific Gas and Electric Co. | 1,713 | 1,716,752 | ||||||||||
Vistra Operations Co., LLC | 4,313 | 4,604,602 | ||||||||||
|
| |||||||||||
43,325,311 | ||||||||||||
|
|
10
Principal Amount (000) | U.S. $ Value | |||||||||||
Other Utility – 0.0% | ||||||||||||
American Water Capital Corp. | U.S.$ | 1,654 | $ | 1,369,065 | ||||||||
|
| |||||||||||
44,694,376 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 860,361,889 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 20.9% | ||||||||||||
Agency Fixed Rate 30-Year – 20.5% | ||||||||||||
Federal Home Loan Mortgage Corp. | 5,346 | 4,804,760 | ||||||||||
3.50%, 10/01/2049 | 5,256 | 4,721,206 | ||||||||||
3.50%, 11/01/2049 | 1,995 | 1,791,840 | ||||||||||
Series 2020 | 4,348 | 3,915,012 | ||||||||||
Series 2022 | 23,966 | 18,953,657 | ||||||||||
2.50%, 04/01/2052 | 28,942 | 23,928,848 | ||||||||||
3.00%, 03/01/2052 | 15,596 | 13,440,456 | ||||||||||
3.00%, 05/01/2052 | 22,389 | 19,070,774 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 0 | ** | 441 | |||||||||
Series 2007 | 407 | 413,217 | ||||||||||
Series 2016 | 4,075 | 3,870,339 | ||||||||||
Series 2017 | 2,875 | 2,728,336 | ||||||||||
Series 2018 | 2,083 | 1,942,769 | ||||||||||
4.50%, 10/01/2048 | 3,367 | 3,239,496 | ||||||||||
4.50%, 11/01/2048 | 3,702 | 3,562,022 | ||||||||||
5.00%, 09/01/2048 | 1,194 | 1,179,087 | ||||||||||
5.00%, 11/01/2048 | 1,483 | 1,464,045 | ||||||||||
Federal National Mortgage Association | 1 | 788 | ||||||||||
Series 2003 | 353 | 357,511 | ||||||||||
5.50%, 07/01/2033 | 773 | 783,126 | ||||||||||
5.50%, 11/01/2033 | 0 | ** | 76 | |||||||||
Series 2004 | 183 | 185,951 | ||||||||||
5.50%, 05/01/2034 | 170 | 171,993 | ||||||||||
5.50%, 11/01/2034 | 654 | 663,502 | ||||||||||
6.50%, 08/01/2034 | 1 | 855 | ||||||||||
Series 2005 | 898 | 910,800 | ||||||||||
Series 2006 | 165 | 167,556 |
11
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2007 | U.S.$ | 310 | $ | 314,902 | ||||||||
Series 2008 | 2 | 2,352 | ||||||||||
Series 2010 | 1,826 | 1,733,960 | ||||||||||
Series 2012 | 1,140 | 1,050,490 | ||||||||||
3.50%, 11/01/2042 | 12,354 | 11,376,438 | ||||||||||
3.50%, 01/01/2043 | 2,055 | 1,889,649 | ||||||||||
Series 2013 | 7,209 | 6,626,903 | ||||||||||
4.00%, 10/01/2043 | 5,633 | 5,319,371 | ||||||||||
Series 2015 | 2,317 | 2,033,429 | ||||||||||
3.00%, 08/01/2045 | 4,094 | 3,593,757 | ||||||||||
Series 2018 | 2,801 | 2,518,058 | ||||||||||
3.50%, 05/01/2048 | 1,200 | 1,083,053 | ||||||||||
4.50%, 09/01/2048 | 5,231 | 5,026,545 | ||||||||||
Series 2019 | 1,737 | 1,561,256 | ||||||||||
3.50%, 09/01/2049 | 2,058 | 1,849,216 | ||||||||||
3.50%, 10/01/2049 | 5,487 | 4,927,831 | ||||||||||
3.50%, 11/01/2049 | 4,410 | 3,958,104 | ||||||||||
Series 2020 | 4,141 | 3,721,421 | ||||||||||
Series 2021 | 25,707 | 20,177,544 | ||||||||||
2.00%, 12/01/2051 | 45,616 | 35,761,594 | ||||||||||
2.50%, 01/01/2052 | 7,891 | 6,527,421 | ||||||||||
Series 2022 | 12,381 | 9,706,429 | ||||||||||
2.50%, 03/01/2052 | 17,408 | 14,394,880 | ||||||||||
2.50%, 04/01/2052 | 18,446 | 15,238,269 | ||||||||||
2.50%, 05/01/2052 | 23,930 | 19,770,363 | ||||||||||
3.00%, 02/01/2052 | 18,600 | 16,030,006 | ||||||||||
3.00%, 03/01/2052 | 24,069 | 20,742,668 | ||||||||||
Government National Mortgage Association | 1,159 | 1,023,338 | ||||||||||
3.00%, 05/20/2046 | 1,075 | 949,632 | ||||||||||
3.00%, 12/20/2046 | 311 | 274,777 | ||||||||||
Series 2023 | 18,426 | 18,283,846 | ||||||||||
5.50%, 07/20/2053 | 9,668 | 9,596,597 | ||||||||||
Series 2024 | 11,411 | 9,950,028 | ||||||||||
4.00%, 07/15/2054, TBA | 4,157 | 3,841,182 | ||||||||||
4.50%, 07/15/2054, TBA | 58,866 | 55,956,307 | ||||||||||
5.00%, 07/15/2054, TBA | 48,025 | 46,759,191 | ||||||||||
5.50%, 07/15/2054, TBA | 13,531 | 13,424,779 | ||||||||||
Uniform Mortgage-Backed Security | 54,968 | 42,990,990 | ||||||||||
2.50%, 07/15/2054, TBA | 69,193 | 56,511,224 | ||||||||||
3.00%, 07/15/2054, TBA | 16,763 | 14,264,418 | ||||||||||
4.00%, 07/15/2054, TBA | 9,401 | 8,600,015 | ||||||||||
4.50%, 07/15/2054, TBA | 8,559 | 8,067,859 |
12
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 07/15/2054, TBA | U.S.$ | 8,405 | $ | 8,122,970 | ||||||||
5.50%, 07/15/2054, TBA | 70,489 | 69,522,786 | ||||||||||
6.00%, 07/15/2054, TBA | 67,485 | 67,675,013 | ||||||||||
6.50%, 07/15/2054, TBA | 25,913 | 26,372,038 | ||||||||||
|
| |||||||||||
791,391,362 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.4% | ||||||||||||
Federal National Mortgage Association | 4 | 4,146 | ||||||||||
Series 2016 | 10 | 9,532 | ||||||||||
2.50%, 04/01/2031 | 6 | 6,107 | ||||||||||
2.50%, 05/01/2031 | 29 | 27,153 | ||||||||||
2.50%, 07/01/2031 | 941 | 883,285 | ||||||||||
2.50%, 08/01/2031 | 326 | 306,326 | ||||||||||
2.50%, 09/01/2031 | 180 | 168,604 | ||||||||||
2.50%, 10/01/2031 | 1,041 | 976,898 | ||||||||||
2.50%, 11/01/2031 | 7,135 | 6,688,323 | ||||||||||
2.50%, 12/01/2031 | 2,768 | 2,592,834 | ||||||||||
2.50%, 01/01/2032 | 382 | 357,061 | ||||||||||
Series 2017 | 1,797 | 1,683,375 | ||||||||||
2.50%, 02/01/2032 | 99 | 92,425 | ||||||||||
|
| |||||||||||
13,796,069 | ||||||||||||
|
| |||||||||||
Other Agency Fixed Rate Programs – 0.0% | ||||||||||||
Federal National Mortgage Association | 128 | 125,723 | ||||||||||
4.50%, 08/01/2029 | 36 | 35,022 | ||||||||||
4.50%, 10/01/2029 | 7 | 6,608 | ||||||||||
|
| |||||||||||
167,353 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. | 0 | ** | 139 | |||||||||
Series 2007 | 0 | ** | 324 | |||||||||
|
| |||||||||||
463 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 805,355,247 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 6.6% | ||||||||||||
Risk Share Floating Rate – 6.2% | ||||||||||||
Bellemeade Re Ltd. | 7,199 | 7,199,143 | ||||||||||
Series 2022-1, Class M1B | 3,969 | 3,997,551 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-2, Class M1A | U.S.$ | 7,387 | $ | 7,575,415 | ||||||||
Connecticut Avenue Securities Trust | 3,513 | 3,537,564 | ||||||||||
Series 2022-R01, Class 1M2 | 9,352 | 9,463,480 | ||||||||||
Series 2022-R02, Class 2M1 | 3,777 | 3,778,260 | ||||||||||
Series 2022-R03, Class 1M2 | 6,435 | 6,773,653 | ||||||||||
Series 2022-R04, Class 1M2 | 1,747 | 1,819,698 | ||||||||||
Series 2022-R05, Class 2M2 | 5,001 | 5,177,612 | ||||||||||
Series 2022-R06, Class 1M1 | 6,173 | 6,345,477 | ||||||||||
Series 2022-R07, Class 1M1 | 6,417 | 6,632,832 | ||||||||||
Series 2022-R08, Class 1M1 | 5,208 | 5,356,425 | ||||||||||
Series 2023-R01, Class 1M1 | 4,167 | 4,290,225 | ||||||||||
Series 2023-R02, Class 1M1 | 3,019 | 3,095,754 | ||||||||||
Series 2023-R03, Class 2M1 | 7,745 | 7,924,986 | ||||||||||
Series 2023-R04, Class 1M1 | 6,438 | 6,615,428 | ||||||||||
Series 2023-R05, Class 1M1 | 5,882 | 5,955,194 | ||||||||||
Series 2023-R06, Class 1M1 | 5,716 | 5,769,029 | ||||||||||
Series 2024-R02, Class 1M1 | 3,444 | 3,446,204 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2024-R03, Class 2M1 | U.S.$ | 6,131 | $ | 6,141,696 | ||||||||
Series 2024-R04, Class 1M1 | 6,283 | 6,287,221 | ||||||||||
Eagle Re Ltd. | 1,055 | 1,057,106 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 258 | 258,989 | ||||||||||
Series 2016-HQA3, Class M3 | 897 | 935,475 | ||||||||||
Series 2021-DNA5, Class M2 | 1,530 | 1,540,245 | ||||||||||
Series 2021-DNA6, Class M2 | 9,778 | 9,827,075 | ||||||||||
Series 2021-DNA7, Class M2 | 9,563 | 9,661,819 | ||||||||||
Series 2021-HQA3, Class M1 | 2,249 | 2,243,851 | ||||||||||
Series 2021-HQA4, Class M1 | 3,402 | 3,397,539 | ||||||||||
Series 2021-HQA4, Class M2 | 6,126 | 6,201,822 | ||||||||||
Series 2022-DNA1, Class M1A | 2,657 | 2,657,005 | ||||||||||
Series 2022-DNA1, Class M1B | 4,940 | 4,995,582 | ||||||||||
Series 2022-DNA2, Class M1B | 7,072 | 7,248,914 | ||||||||||
Series 2022-DNA3, Class M1B | 2,957 | 3,073,555 | ||||||||||
Series 2022-DNA4, Class M1B | 5,585 | 5,863,034 | ||||||||||
Series 2022-DNA5, Class M1B | 9,989 | 10,835,580 |
15
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-DNA7, Class M1A | U.S.$ | 5,570 | $ | 5,668,382 | ||||||||
Series 2022-HQA1, Class M1B | 1,664 | 1,749,066 | ||||||||||
Series 2023-DNA1, Class M1A | 3,598 | 3,662,677 | ||||||||||
Series 2023-DNA2, Class M1A | 11,602 | 11,872,372 | ||||||||||
Series 2023-HQA1, Class M1A | 4,520 | 4,588,435 | ||||||||||
Series 2023-HQA2, Class M1A | 4,380 | 4,418,182 | ||||||||||
Series 2024-HQA1, Class M1 | 7,399 | 7,424,074 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 766 | 806,139 | ||||||||||
Series 2016-C02, Class 1M2 | 165 | 170,481 | ||||||||||
Series 2021-R02, Class 2M2 | 4,242 | 4,273,590 | ||||||||||
JPMorgan Madison Avenue Securities Trust | 177 | 184,404 | ||||||||||
Oaktown Re VII Ltd. | 2,304 | 2,306,108 | ||||||||||
PMT Credit Risk Transfer Trust | 2,318 | 2,319,217 | ||||||||||
Series 2019-3R, Class A | 171 | 170,815 | ||||||||||
Series 2020-1R, Class A | 721 | 717,845 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 855 | 882,221 | ||||||||||
Series 2015-WF1, Class 2M2 | 215 | 223,904 | ||||||||||
|
| |||||||||||
238,418,350 | ||||||||||||
|
|
16
Principal Amount (000) | U.S. $ Value | |||||||||||
Agency Fixed Rate – 0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | U.S.$ | 8,672 | $ | 1,632,279 | ||||||||
Series 5040, Class AI | 6,277 | 1,066,578 | ||||||||||
Series 5043, Class IO | 12,618 | 2,821,650 | ||||||||||
Federal National Mortgage Association Grantor Trust | 1,208 | 1,166,789 | ||||||||||
Federal National Mortgage Association REMICs | 5,371 | 802,543 | ||||||||||
|
| |||||||||||
7,489,839 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.1% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 6,065 | 599,487 | ||||||||||
Series 4585, Class DS | 3,979 | 396,642 | ||||||||||
Series 4693, Class SL | 2,552 | 327,239 | ||||||||||
Series 4954, Class SL | 1,796 | 185,019 | ||||||||||
Series 4981, Class HS | 15,283 | 1,332,911 | ||||||||||
Federal National Mortgage Association REMICs | 4,809 | 600,544 | ||||||||||
Series 2016-106, Class ES | 2,756 | 309,698 | ||||||||||
Series 2017-62, Class AS | 3,476 | 387,074 | ||||||||||
Series 2017-97, Class SW | 5,049 | 590,526 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Government National Mortgage Association | U.S.$ | 4,276 | $ | 504,685 | ||||||||
Series 2017-134, Class MS | 4,910 | 594,651 | ||||||||||
Series 2017-43, Class ST | 5,794 | 660,331 | ||||||||||
|
| |||||||||||
6,488,807 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.1% | ||||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 3,580 | 1,132,694 | ||||||||||
HomeBanc Mortgage Trust | 525 | 396,332 | ||||||||||
JPMorgan Chase Bank, NA | 646 | 646,894 | ||||||||||
|
| |||||||||||
2,175,920 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.0% | ||||||||||||
Alternative Loan Trust | 257 | 174,273 | ||||||||||
Series 2006-24CB, Class A16 | 1,912 | 1,005,236 | ||||||||||
Series 2006-J1, Class 1A13 | 435 | 293,144 | ||||||||||
CHL Mortgage Pass-Through Trust | 593 | 253,142 | ||||||||||
|
| |||||||||||
1,725,795 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 256,298,711 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 5.2% | ||||||||||||
Autos - Fixed Rate – 2.7% | ||||||||||||
ACM Auto Trust | 3,622 | 3,635,274 | ||||||||||
American Credit Acceptance Receivables Trust | 8,592 | 8,607,483 | ||||||||||
Americredit Automobile Receivables Trust | 2,844 | 2,844,483 |
18
Principal Amount (000) | U.S. $ Value | |||||||||||
Arivo Acceptance Auto Loan Receivables Trust | U.S.$ | 1,247 | $ | 1,248,275 | ||||||||
Avis Budget Rental Car Funding AESOP LLC | 4,800 | 4,796,171 | ||||||||||
Series 2023-5A, Class B | 3,817 | 3,844,555 | ||||||||||
Carvana Auto Receivables Trust | 619 | 582,652 | ||||||||||
Series 2021-N4, Class D | 1,729 | 1,668,334 | ||||||||||
Series 2021-P4, Class D | 4,063 | 3,676,977 | ||||||||||
CPS Auto Receivables Trust | 4,552 | 4,430,299 | ||||||||||
Series 2022-A, Class C | 4,721 | 4,654,250 | ||||||||||
Series 2023-A, Class A | 377 | 377,297 | ||||||||||
Series 2024-C, Class A | 4,440 | 4,439,738 | ||||||||||
DT Auto Owner Trust | 1,247 | 1,246,775 | ||||||||||
FHF Trust | 561 | 549,645 | ||||||||||
Series 2023-1A, Class A2 | 2,347 | 2,361,510 | ||||||||||
Flagship Credit Auto Trust | 3,224 | 3,221,721 | ||||||||||
Ford Credit Auto Owner Trust | 5,650 | 5,242,497 | ||||||||||
LAD Auto Receivables Trust | 171 | 170,730 | ||||||||||
Series 2022-1A, Class A | 1,937 | 1,930,746 | ||||||||||
Lendbuzz Securitization Trust | 5,154 | 5,194,264 | ||||||||||
Series 2023-2A, Class A2 | 3,368 | 3,396,320 | ||||||||||
Series 2024-2A, Class A1 | 1,814 | 1,814,176 | ||||||||||
Lobel Automobile Receivables Trust | 544 | 544,535 |
19
Principal Amount (000) | U.S. $ Value | |||||||||||
Prestige Auto Receivables Trust | U.S.$ | 2,173 | $ | 2,172,816 | ||||||||
Research-Driven Pagaya Motor Asset Trust VII | 2,492 | 2,478,830 | ||||||||||
Research-Driven Pagaya Motor Trust | 3,527 | 3,544,198 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 1,559 | 1,551,077 | ||||||||||
Series 2022-C, Class B | 1,993 | 1,995,260 | ||||||||||
Santander Bank NA - SBCLN | 490 | 486,193 | ||||||||||
Santander Drive Auto Receivables Trust | 4,065 | 4,068,242 | ||||||||||
Tesla Auto Lease Trust | 3,017 | 3,009,113 | ||||||||||
Tricolor Auto Securitization Trust | 3,889 | 3,890,932 | ||||||||||
United Auto Credit Securitization Trust | 1,227 | 1,227,359 | ||||||||||
Westlake Automobile Receivables Trust | 2,523 | 2,522,514 | ||||||||||
Series 2023-P1, Class C | 2,202 | 2,209,677 | ||||||||||
World Omni Select Auto Trust | 3,315 | 3,316,012 | ||||||||||
|
| |||||||||||
102,950,930 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 2.3% | ||||||||||||
AB Issuer LLC | 8,277 | 7,324,014 | ||||||||||
Affirm Asset Securitization Trust | 16 | 16,237 | ||||||||||
Series 2021-Z2, Class A | 230 | 226,303 | ||||||||||
Series 2022-X1, Class A | 130 | 128,640 | ||||||||||
Series 2024-X1, Class A | 5,090 | 5,096,081 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
Amur Equipment Finance Receivables XI LLC | U.S.$ | 1,484 | $ | 1,480,238 | ||||||||
Atalaya Equipment Leasing Trust | 1,613 | 1,596,389 | ||||||||||
BHG Securitization Trust | 406 | 401,139 | ||||||||||
Cajun Global LLC | 848 | 771,618 | ||||||||||
College Ave Student Loans LLC | 1,770 | 1,559,665 | ||||||||||
Dext ABS LLC | 493 | 480,910 | ||||||||||
Diamond Infrastructure Funding LLC | 3,651 | 3,296,947 | ||||||||||
Diamond Issuer LLC | 7,711 | 6,952,538 | ||||||||||
GCI Funding I LLC | 1,998 | 1,772,572 | ||||||||||
Hardee’s Funding LLC | 3,158 | 3,012,262 | ||||||||||
Series 2020-1A, Class A2 | 2,558 | 2,324,993 | ||||||||||
Kubota Credit Owner Trust | 3,038 | 3,035,157 | ||||||||||
Marlette Funding Trust | 3,186 | 3,187,051 | ||||||||||
MVW LLC | 1,812 | 1,674,384 | ||||||||||
Neighborly Issuer LLC | 5,399 | 4,747,230 | ||||||||||
Series 2023-1A, Class A2 | 6,551 | 6,601,390 | ||||||||||
Nelnet Student Loan Trust | 2,008 | 1,662,658 | ||||||||||
Series 2021-CA, Class B | 3,421 | 2,779,562 | ||||||||||
Series 2021-DA, Class B | 3,096 | 2,577,649 |
21
Principal Amount (000) | U.S. $ Value | |||||||||||
NMEF Funding LLC | U.S.$ | 1,392 | $ | 1,394,676 | ||||||||
Pagaya AI Debt Grantor Trust | 5,418 | 5,422,125 | ||||||||||
Pagaya AI Debt Trust | 4,290 | 4,294,043 | ||||||||||
Series 2024-3, Class A | 6,195 | 6,198,033 | ||||||||||
Prosper Marketplace Issuance Trust | 7,520 | 7,525,918 | ||||||||||
|
| |||||||||||
87,540,422 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.2% | ||||||||||||
Brex Commercial Charge Card Master Trust | 6,026 | 6,018,903 | ||||||||||
Mission Lane Credit Card Master Trust | 4,135 | 4,130,889 | ||||||||||
|
| |||||||||||
10,149,792 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates | 2 | 2,090 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 200,643,234 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.5% | ||||||||||||
Non-Agency Floating Rate CMBS – 1.4% | ||||||||||||
AREIT Trust | 10,145 | 10,062,777 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 10,570 | 10,540,189 | ||||||||||
BBCMS Mortgage Trust | 7,708 | 7,701,601 | ||||||||||
BFLD Trust | 11,683 | 11,682,998 |
22
Principal Amount (000) | U.S. $ Value | |||||||||||
BX Commercial Mortgage Trust | U.S.$ | 1,772 | $ | 1,723,482 | ||||||||
Series 2019-IMC, Class E | 6,595 | 6,431,396 | ||||||||||
CLNY Trust | 2,751 | 2,607,084 | ||||||||||
Federal Home Loan Mortgage Corp. | 622 | 618,377 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 2,335 | 2,174,378 | ||||||||||
|
| |||||||||||
53,542,282 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.1% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 2,805 | 2,247,237 | ||||||||||
Barclays Commercial Mortgage Trust | 3,523 | 3,174,157 | ||||||||||
Commercial Mortgage Trust | 3,938 | 2,226,107 | ||||||||||
GS Mortgage Securities Trust | 333 | 158,391 | ||||||||||
GSF | 3,422 | 3,284,829 | ||||||||||
Series 2021-1, Class A2 | 9,371 | 8,960,538 | ||||||||||
Series 2021-1, Class AS | 249 | 232,144 | ||||||||||
HFX Funding Issuer | 6,860 | 6,776,689 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 2,527 | 1,812,903 | ||||||||||
Series 2014-C21, Class B | 1,857 | 1,792,105 | ||||||||||
Series 2015-C27, Class AS | 3,415 | 3,194,303 |
23
Principal Amount (000) | U.S. $ Value | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | U.S.$ | 3,000 | $ | 2,578,015 | ||||||||
LB-UBS Commercial Mortgage Trust | 817 | 312,142 | ||||||||||
LSTAR Commercial Mortgage Trust | 1,056 | 1,027,345 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 2,906 | 2,801,499 | ||||||||||
Series 2019-C51, Class B | 1,269 | 1,066,195 | ||||||||||
|
| |||||||||||
41,644,599 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 95,186,881 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.8% | ||||||||||||
CLO - Floating Rate – 1.8% | ||||||||||||
AGL CLO 10 Ltd. | 3,427 | 3,429,149 | ||||||||||
Balboa Bay Loan Funding Ltd. | 6,496 | 6,500,697 | ||||||||||
Elevation CLO Ltd. | 4,500 | 4,450,990 | ||||||||||
Elmwood CLO IX Ltd. | 5,900 | 5,908,815 | ||||||||||
Elmwood CLO XII Ltd. | 2,100 | 2,100,874 | ||||||||||
Flatiron CLO 21 Ltd. | 4,290 | 4,298,438 | ||||||||||
Golub Capital Partners 48 LP | 644 | 644,362 | ||||||||||
Kings Park CLO Ltd. | 8,477 | 8,483,962 |
24
Principal Amount (000) | U.S. $ Value | |||||||||||
Palmer Square CLO Ltd. | U.S.$ | 730 | $ | 730,407 | ||||||||
Pikes Peak CLO 8 | 7,300 | 7,303,993 | ||||||||||
Rad CLO 14 Ltd. | 829 | 829,314 | ||||||||||
Regatta XIX Funding Ltd. | 5,153 | 5,156,667 | ||||||||||
Regatta XX Funding Ltd. | 11,084 | 11,093,933 | ||||||||||
Rockford Tower CLO Ltd. | 5,449 | 5,453,606 | ||||||||||
Series 2021-3A, Class D | 3,200 | 3,205,530 | ||||||||||
Sixth Street CLO XVII Ltd. | 1,089 | 1,090,080 | ||||||||||
TICP CLO XV Ltd. | 250 | 250,215 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 70,931,032 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 1.2% | ||||||||||||
United States – 1.2% | ||||||||||||
U.S. Treasury Inflation Index | 50,220 | 46,131,389 | ||||||||||
|
| |||||||||||
AGENCIES – 0.9% | ||||||||||||
Agency Debentures – 0.9% | ||||||||||||
Federal Home Loan Banks | 27,220 | 26,812,517 | ||||||||||
4.75%, 12/08/2028 | 8,990 | 9,077,742 | ||||||||||
|
| |||||||||||
Total Agencies | 35,890,259 | |||||||||||
|
|
25
Principal Amount (000) | U.S. $ Value | |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.7% | ||||||||||||
Industrial – 0.6% | ||||||||||||
Communications - Media – 0.1% | ||||||||||||
DISH DBS Corp. | U.S.$ | 3,890 | $ | 2,676,631 | ||||||||
VZ Vendor Financing II BV | EUR | 2,093 | 1,934,145 | |||||||||
|
| |||||||||||
4,610,776 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.0% | ||||||||||||
Altice France SA | 1,024 | 762,383 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Caesars Entertainment, Inc. | U.S.$ | 1,793 | 1,832,141 | |||||||||
Hilton Domestic Operating Co., Inc. | 2,297 | 2,298,539 | ||||||||||
6.125%, 04/01/2032(c) | 1,315 | 1,320,615 | ||||||||||
|
| |||||||||||
5,451,295 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 3,900 | 3,505,554 | ||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | EUR | 1,420 | 1,429,231 | |||||||||
|
| |||||||||||
4,934,785 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
Sunoco LP | U.S.$ | 1,508 | 1,546,077 | |||||||||
7.25%, 05/01/2032(c) | 2,057 | 2,126,671 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | 342 | 320,317 | ||||||||||
|
| |||||||||||
3,993,065 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Odebrecht Holdco Finance Ltd. | 3,418 | 4,273 | ||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
APCOA Parking Holdings GmbH | EUR | 2,174 | 2,274,231 | |||||||||
Block, Inc. | U.S.$ | 3,002 | 3,042,707 | |||||||||
|
| |||||||||||
5,316,938 | ||||||||||||
|
| |||||||||||
25,073,515 | ||||||||||||
|
|
26
Principal Amount (000) | U.S. $ Value | |||||||||||
Utility – 0.1% |
| |||||||||||
Electric – 0.1% |
| |||||||||||
Vistra Corp. | U.S.$ | 2,589 | $ | 2,564,844 | ||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 27,638,359 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.6% |
| |||||||||||
Industrial – 0.5% |
| |||||||||||
Basic – 0.2% |
| |||||||||||
Braskem Netherlands Finance BV | 2,591 | 2,356,190 | ||||||||||
4.50%, 01/31/2030(c) | 1,724 | 1,459,366 | ||||||||||
CSN Resources SA | 1,862 | 1,461,670 | ||||||||||
Volcan Cia Minera SAA | 761 | 590,013 | ||||||||||
|
| |||||||||||
5,867,239 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
Globo Comunicacao e Participacoes SA | 6,552 | 5,810,805 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% |
| |||||||||||
Wynn Macau Ltd. | 2,862 | 2,678,832 | ||||||||||
|
| |||||||||||
Energy – 0.1% |
| |||||||||||
Ecopetrol SA | 4,800 | 5,052,480 | ||||||||||
Oleoducto Central SA | 319 | 295,713 | ||||||||||
|
| |||||||||||
5,348,193 | ||||||||||||
|
| |||||||||||
19,705,069 | ||||||||||||
|
| |||||||||||
Utility – 0.1% |
| |||||||||||
Electric – 0.0% |
| |||||||||||
Terraform Global Operating LP | 565 | 557,440 | ||||||||||
|
| |||||||||||
Other Utility – 0.1% |
| |||||||||||
Aegea Finance SARL | 1,888 | 1,834,759 | ||||||||||
|
| |||||||||||
2,392,199 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.0% |
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
OEC Finance Ltd. | 2,731 | 166,572 | ||||||||||
7.125%, 12/26/2046(c) (i) (j) (k) | 821 | 48,006 | ||||||||||
|
| |||||||||||
214,578 | ||||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 22,311,846 | |||||||||||
|
|
27
Principal Amount (000) | U.S. $ Value | |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.6% |
| |||||||||||
United States – 0.6% |
| |||||||||||
State Board of Administration Finance Corp. (Florida Hurricane Catastrophe Fund) | U.S.$ | 6,821 | $ | 6,189,316 | ||||||||
State of California | 8,520 | 10,102,389 | ||||||||||
University of California | 7,960 | 5,441,707 | ||||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds | 21,733,412 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.4% |
| |||||||||||
Quasi-Sovereign Bonds – 0.4% |
| |||||||||||
Chile – 0.2% |
| |||||||||||
Corp. Nacional del Cobre de Chile | 7,339 | 7,545,410 | ||||||||||
|
| |||||||||||
Hungary – 0.1% |
| |||||||||||
Magyar Export-Import Bank Zrt | 4,878 | 4,894,768 | ||||||||||
|
| |||||||||||
Mexico – 0.1% |
| |||||||||||
Comision Federal de Electricidad | 1,800 | 1,679,625 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 14,119,803 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.1% |
| |||||||||||
Dominican Republic – 0.1% |
| |||||||||||
Dominican Republic International Bond | 3,827 | 3,432,341 | ||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% |
| |||||||||||
Colombia – 0.1% |
| |||||||||||
Colombia Government International Bond | 2,490 | 1,962,120 | ||||||||||
|
|
28
Company | Shares | U.S. $ Value | ||||||||||
COMMON STOCKS – 0.0% |
| |||||||||||
Financials – 0.0% |
| |||||||||||
Insurance – 0.0% |
| |||||||||||
Mt Logan Re Ltd. Special Investment, | 1,463 | $ | 497,230 | |||||||||
Mt Logan Re Ltd. Special Investment, | 2,136 | 1,153,564 | ||||||||||
|
| |||||||||||
Total Common Stocks | 1,650,794 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
SHORT-TERM INVESTMENTS – 9.2% |
| |||||||||||
U.S. Treasury Bills – 9.2% |
| |||||||||||
United States – 9.2% | ||||||||||||
U.S. Treasury Bill | U.S.$ | 114,912 | 114,512,023 | |||||||||
Zero Coupon, 08/01/2024 | 10,066 | 10,020,424 | ||||||||||
Zero Coupon, 08/06/2024 | 9,735 | 9,684,035 | ||||||||||
Zero Coupon, 08/08/2024 | 28,506 | 28,348,282 | ||||||||||
Zero Coupon, 09/05/2024 | 87,506 | 86,669,766 | ||||||||||
Zero Coupon, 09/12/2024 | 35,156 | 34,782,507 | ||||||||||
Zero Coupon, 10/15/2024 | 14,168 | 13,949,942 | ||||||||||
Zero Coupon, 10/24/2024 | 57,174 | 56,224,080 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| 354,191,059 | ||||||||||
|
| |||||||||||
Total Investments – 110.0% | 4,238,961,012 | |||||||||||
Other assets less liabilities – (10.0)% | (383,621,059 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 3,855,339,953 | ||||||||||
|
|
FUTURES
Description | Number of | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
U.S. 10 Yr Ultra Futures | 500 | September 2024 | $ | 56,765,625 | $ | 550,061 | ||||||||||||||
U.S. Long Bond (CBT) Futures | 134 | September 2024 | 15,853,875 | 393,298 | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 392 | September 2024 | 80,053,750 | 195,494 | ||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 3,574 | September 2024 | 380,910,219 | 1,995,923 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 101 | September 2024 | 12,659,719 | 306,785 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 3,441,561 | |||||||||||||||||||
|
|
29
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 17,570 | USD | 18,917 | 08/08/2024 | $ | 67,801 |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 19,060 | 12/13/2029 | 1.537% | 1 Day SOFR | Annual | $ | 2,707,569 | $ | 1,546,397 | $ | 1,161,172 |
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2024 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 5.00% | USD | 17 | $ | (2,306 | ) | $ | (2,504 | ) | $ | 198 | ||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 71 | (9,459 | ) | (8,361 | ) | (1,098 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 110 | (14,662 | ) | (13,420 | ) | (1,242 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 57 | (7,627 | ) | (6,200 | ) | (1,427 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 106 | (14,070 | ) | (12,580 | ) | (1,490 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 102 | (13,538 | ) | (11,961 | ) | (1,577 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 86 | (11,469 | ) | (9,810 | ) | (1,659 | ) |
30
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2024 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 5.00% | USD | 100 | $ | (13,302 | ) | $ | (11,378 | ) | $ | (1,924 | ) | |||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 61 | (8,159 | ) | (5,594 | ) | (2,565 | ) | |||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 0 | *** | (59 | ) | (50 | ) | (9 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 612 | (81,292 | ) | (44,441 | ) | (36,851 | ) | |||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 66 | (8,750 | ) | (8,959 | ) | 209 | ||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 55 | (7,331 | ) | (6,187 | ) | (1,144 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 154 | (20,397 | ) | (16,118 | ) | (4,279 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 1,476 | (195,987 | ) | (151,127 | ) | (44,860 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 2,042 | (271,131 | ) | (131,130 | ) | (140,001 | ) | |||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 889 | (118,066 | ) | (56,126 | ) | (61,940 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (797,605 | ) | $ | (495,946 | ) | $ | (301,659 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Principal amount less than 500. |
*** | Notional amount less than 500. |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At June 30, 2024, the aggregate market value of these securities amounted to $975,957,109 or 25.3% of net assets. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2024. |
(f) | IO - Interest Only. |
31
(g) | Inverse interest only security. |
(h) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.51% of net assets as of June 30, 2024, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
GSF | 02/25/2021-08/03/2023 | $ | 3,308,666 | $ | 3,284,829 | 0.09% | ||||||
GSF | 02/25/2021-09/06/2022 | 9,505,064 | 8,960,538 | 0.23% | ||||||||
GSF | 02/25/2021-04/01/2021 | 251,996 | 232,144 | 0.01% | ||||||||
HFX Funding Issuer | 11/19/2020 | 7,254,438 | 6,776,689 | 0.18% |
(i) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2024. |
(j) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2024. |
(k) | Fair valued by the Adviser. |
(l) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(m) | Non-income producing security. |
(n) | As of June 30, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $30,147,047 and gross unrealized depreciation of investments was $(213,405,758), resulting in net unrealized depreciation of $(183,258,711). |
Currency Abbreviations:
EUR – Euro
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
OTC – Over-the-Counter
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
RFUCCT1Y – Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year
SOFR – Secured Overnight Financing Rate
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
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Sanford C. Bernstein Fund, Inc.
Intermediate Duration Portfolio
June 30, 2024 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
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Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of June 30, 2024:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments - Treasuries | $ | — | $ | 1,421,122,636 | $ | — | $ | 1,421,122,636 | ||||||||
Corporates - Investment Grade | — | 860,361,889 | — | 860,361,889 | ||||||||||||
Mortgage Pass-Throughs | — | 805,355,247 | — | 805,355,247 | ||||||||||||
Collateralized Mortgage Obligations | — | 256,298,711 | — | 256,298,711 | ||||||||||||
Asset-Backed Securities | — | 200,643,234 | — | 200,643,234 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 95,186,881 | — | 95,186,881 | ||||||||||||
Collateralized Loan Obligations | — | 70,931,032 | — | 70,931,032 | ||||||||||||
Inflation-Linked Securities | — | 46,131,389 | — | 46,131,389 | ||||||||||||
Agencies | — | 35,890,259 | — | 35,890,259 | ||||||||||||
Corporates - Non-Investment Grade | — | 27,638,359 | — | 27,638,359 | ||||||||||||
Emerging Markets - Corporate Bonds | — | 22,311,846 | — | 22,311,846 | ||||||||||||
Local Governments - US Municipal Bonds | — | 21,733,412 | — | 21,733,412 | ||||||||||||
Quasi-Sovereigns | — | 14,119,803 | — | 14,119,803 | ||||||||||||
Emerging Markets - Sovereigns | — | 3,432,341 | — | 3,432,341 | ||||||||||||
Governments - Sovereign Bonds | — | 1,962,120 | — | 1,962,120 | ||||||||||||
Common Stocks | — | — | 1,650,794 | 1,650,794 | ||||||||||||
Short-Term Investments | — | 354,191,059 | — | 354,191,059 | ||||||||||||
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Total Investments in Securities | — | 4,237,310,218 | 1,650,794 | 4,238,961,012 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 3,441,561 | — | — | 3,441,561 | ||||||||||||
Forward Currency Exchange Contracts | — | 67,801 | — | 67,801 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 2,707,569 | — | 2,707,569 | ||||||||||||
Liabilities: | ||||||||||||||||
Credit Default Swaps | — | (797,605 | ) | — | (797,605 | ) | ||||||||||
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Total | $ | 3,441,561 | $ | 4,239,287,983 | $ | 1,650,794 | $ | 4,244,380,338 | ||||||||
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(a) | Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
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