Principal Amount | Value | ||
U.S. Dollar Denominated Bonds & Notes–44.28% | |||
Aerospace & Defense–0.73% | |||
Boeing Co. (The), | |||
6.26%, 05/01/2027(b) | $110,000 | $112,770 | |
5.88%, 02/15/2040 | 183,000 | 179,907 | |
3.90%, 05/01/2049 | 470,000 | 336,899 | |
5.93%, 05/01/2060 | 200,000 | 189,303 | |
Lockheed Martin Corp., | |||
4.75%, 02/15/2034 | 520,000 | 516,657 | |
5.70%, 11/15/2054 | 215,000 | 230,208 | |
5.90%, 11/15/2063 | 200,000 | 219,683 | |
1,785,427 | |||
Agricultural & Farm Machinery–0.52% | |||
John Deere Capital Corp., | |||
1.70%, 01/11/2027 | 200,000 | 189,414 | |
1.75%, 03/09/2027 | 470,000 | 443,703 | |
4.95%, 07/14/2028 | 100,000 | 101,788 | |
5.05%, 06/12/2034 | 520,000 | 530,676 | |
1,265,581 | |||
Air Freight & Logistics–0.60% | |||
FedEx Corp., | |||
4.55%, 04/01/2046 | 500,000 | 434,469 | |
5.25%, 05/15/2050 | 500,000 | 481,065 | |
United Parcel Service, Inc., 5.60%, 05/22/2064 | 520,000 | 538,478 | |
1,454,012 | |||
Apparel Retail–0.17% | |||
Ross Stores, Inc., 1.88%, 04/15/2031 | 200,000 | 167,753 | |
TJX Cos., Inc. (The), 3.88%, 04/15/2030 | 250,000 | 241,872 | |
409,625 | |||
Apparel, Accessories & Luxury Goods–0.27% | |||
Tapestry, Inc., | |||
4.13%, 07/15/2027 | 449,000 | 440,769 | |
3.05%, 03/15/2032 | 240,000 | 207,400 | |
648,169 | |||
Asset Management & Custody Banks–0.21% | |||
Affiliated Managers Group, Inc., 5.50%, 08/20/2034 | 504,000 | 506,458 | |
Automobile Manufacturers–1.24% | |||
American Honda Finance Corp., 3.50%, 02/15/2028 | 100,000 | 97,008 | |
Ford Motor Co., | |||
7.45%, 07/16/2031 | 200,000 | 219,554 | |
4.75%, 01/15/2043 | 216,000 | 180,280 | |
Ford Motor Credit Co. LLC, | |||
3.38%, 11/13/2025 | 260,000 | 255,607 | |
4.27%, 01/09/2027 | 200,000 | 196,441 | |
6.80%, 11/07/2028 | 230,000 | 240,810 | |
Principal Amount | Value | ||
Automobile Manufacturers–(continued) | |||
General Motors Co., | |||
6.60%, 04/01/2036 | $100,000 | $108,172 | |
5.15%, 04/01/2038 | 98,000 | 93,015 | |
6.75%, 04/01/2046 | 259,000 | 282,841 | |
5.95%, 04/01/2049 | 94,000 | 94,028 | |
Toyota Motor Corp. (Japan), 1.34%, 03/25/2026 | 400,000 | 384,010 | |
Toyota Motor Credit Corp., | |||
1.13%, 06/18/2026 | 227,000 | 216,099 | |
4.55%, 05/17/2030 | 150,000 | 149,261 | |
5.55%, 11/20/2030 | 299,000 | 311,550 | |
4.80%, 01/05/2034 | 200,000 | 198,829 | |
3,027,505 | |||
Biotechnology–0.64% | |||
AbbVie, Inc., | |||
3.20%, 11/21/2029 | 520,000 | 487,692 | |
5.50%, 03/15/2064 | 200,000 | 203,725 | |
Amgen, Inc., | |||
2.60%, 08/19/2026 | 500,000 | 483,493 | |
2.20%, 02/21/2027 | 117,000 | 111,205 | |
Gilead Sciences, Inc., 1.20%, 10/01/2027 | 310,000 | 283,441 | |
1,569,556 | |||
Broadcasting–0.54% | |||
Discovery Communications LLC, | |||
3.95%, 03/20/2028 | 200,000 | 191,313 | |
4.13%, 05/15/2029 | 289,000 | 273,290 | |
Paramount Global, | |||
2.90%, 01/15/2027 | 252,000 | 241,548 | |
4.20%, 06/01/2029 | 400,000 | 381,150 | |
4.20%, 05/19/2032 | 250,000 | 225,076 | |
1,312,377 | |||
Broadline Retail–0.73% | |||
Alibaba Group Holding Ltd. (China), | |||
2.13%, 02/09/2031 | 525,000 | 451,549 | |
4.50%, 11/28/2034 | 570,000 | 542,150 | |
4.00%, 12/06/2037 | 400,000 | 354,146 | |
2.70%, 02/09/2041 | 300,000 | 213,314 | |
3.15%, 02/09/2051 | 300,000 | 206,007 | |
1,767,166 | |||
Building Products–0.03% | |||
Owens Corning, 7.00%, 12/01/2036 | 62,000 | 71,278 | |
Cable & Satellite–1.14% | |||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., | |||
4.20%, 03/15/2028 | 375,000 | 364,612 | |
5.05%, 03/30/2029 | 419,000 | 415,314 | |
4.40%, 04/01/2033 | 520,000 | 475,764 | |
6.48%, 10/23/2045 | 95,000 | 93,461 | |
5.13%, 07/01/2049 | 50,000 | 41,066 | |
Principal Amount | Value | ||
Cable & Satellite–(continued) | |||
Comcast Corp., | |||
3.95%, 10/15/2025 | $186,000 | $185,180 | |
6.55%, 07/01/2039 | 400,000 | 449,397 | |
2.99%, 11/01/2063 | 294,000 | 178,561 | |
Time Warner Cable Enterprises LLC, 8.38%, 07/15/2033 | 35,000 | 40,208 | |
Time Warner Cable LLC, | |||
7.30%, 07/01/2038 | 106,000 | 111,726 | |
5.50%, 09/01/2041 | 105,000 | 92,517 | |
4.50%, 09/15/2042 | 420,000 | 328,480 | |
2,776,286 | |||
Communications Equipment–0.10% | |||
Nokia OYJ (Finland), 4.38%, 06/12/2027 | 250,000 | 245,856 | |
Computer & Electronics Retail–0.06% | |||
Booz Allen Hamilton, Inc., 5.95%, 08/04/2033 | 80,000 | 83,241 | |
Dell International LLC/EMC Corp., | |||
8.10%, 07/15/2036 | 29,000 | 35,193 | |
8.35%, 07/15/2046 | 15,000 | 19,912 | |
138,346 | |||
Construction Machinery & Heavy Transportation Equipment– 0.30% | |||
Cummins, Inc., 5.45%, 02/20/2054 | 500,000 | 513,235 | |
Wabtec Corp., 5.61%, 03/11/2034 | 212,000 | 219,386 | |
732,621 | |||
Consumer Finance–0.18% | |||
Ally Financial, Inc., 8.00%, 11/01/2031 | 218,000 | 245,148 | |
Capital One Financial Corp., 3.75%, 03/09/2027 | 200,000 | 195,597 | |
440,745 | |||
Consumer Staples Merchandise Retail–0.18% | |||
Walmart, Inc., | |||
3.95%, 09/09/2027 | 190,000 | 188,756 | |
4.10%, 04/15/2033 | 260,000 | 253,480 | |
442,236 | |||
Data Processing & Outsourced Services–0.33% | |||
Concentrix Corp., 6.65%, 08/02/2026 | 800,000 | 815,675 | |
Distillers & Vintners–0.13% | |||
Diageo Capital PLC (United Kingdom), 3.88%, 05/18/2028 | 330,000 | 324,435 | |
Diversified Banks–8.83% | |||
Australia and New Zealand Banking Group Ltd. (Australia), 3.70%, 11/16/2025 | 400,000 | 396,680 | |
Banco Santander S.A. (Spain), | |||
4.25%, 04/11/2027 | 400,000 | 394,329 | |
5.29%, 08/18/2027 | 200,000 | 201,759 | |
4.18%, 03/24/2028(c) | 200,000 | 196,479 | |
3.31%, 06/27/2029 | 400,000 | 375,258 | |
2.96%, 03/25/2031 | 200,000 | 177,916 | |
6.94%, 11/07/2033 | 400,000 | 447,681 | |
Principal Amount | Value | ||
Diversified Banks–(continued) | |||
Bank of America Corp., | |||
4.45%, 03/03/2026 | $430,000 | $428,297 | |
3.50%, 04/19/2026 | 300,000 | 295,679 | |
4.27%, 07/23/2029(c) | 100,000 | 98,311 | |
2.50%, 02/13/2031(c) | 200,000 | 178,199 | |
2.59%, 04/29/2031(c) | 500,000 | 446,298 | |
2.69%, 04/22/2032(c) | 400,000 | 350,369 | |
5.29%, 04/25/2034(c) | 203,000 | 206,219 | |
Bank of America N.A., 5.53%, 08/18/2026 | 250,000 | 254,138 | |
Bank of Montreal (Canada), Series H, 4.70%, 09/14/2027 | 480,000 | 481,591 | |
Barclays PLC (United Kingdom), | |||
4.38%, 01/12/2026 | 200,000 | 199,056 | |
7.39%, 11/02/2028(c) | 350,000 | 372,520 | |
5.75%, 08/09/2033(c) | 260,000 | 266,048 | |
7.44%, 11/02/2033(c) | 200,000 | 225,754 | |
6.22%, 05/09/2034(c) | 400,000 | 421,667 | |
6.69%, 09/13/2034(c) | 300,000 | 326,265 | |
3.33%, 11/24/2042(c) | 700,000 | 529,475 | |
Citigroup, Inc., | |||
5.61%, 09/29/2026(c) | 200,000 | 201,240 | |
3.20%, 10/21/2026 | 275,000 | 267,569 | |
3.67%, 07/24/2028(c) | 100,000 | 97,132 | |
4.41%, 03/31/2031(c) | 450,000 | 438,582 | |
8.13%, 07/15/2039 | 200,000 | 254,442 | |
Cooperatieve Rabobank U.A. (Netherlands), 5.25%, 05/24/2041 | 125,000 | 127,488 | |
HSBC Holdings PLC (United Kingdom), | |||
7.39%, 11/03/2028(c) | 200,000 | 213,148 | |
4.58%, 06/19/2029(c) | 365,000 | 360,234 | |
3.97%, 05/22/2030(c) | 450,000 | 430,125 | |
2.80%, 05/24/2032(c) | 275,000 | 237,548 | |
5.40%, 08/11/2033(c) | 400,000 | 403,723 | |
6.33%, 03/09/2044(c) | 280,000 | 306,569 | |
ING Groep N.V. (Netherlands), 4.05%, 04/09/2029 | 250,000 | 242,950 | |
JPMorgan Chase & Co., | |||
4.13%, 12/15/2026 | 125,000 | 123,893 | |
5.72%, 09/14/2033(c) | 475,000 | 492,435 | |
6.25%, 10/23/2034(c) | 600,000 | 648,857 | |
JPMorgan Chase Bank N.A., 5.11%, 12/08/2026 | 283,000 | 286,458 | |
Lloyds Banking Group PLC (United Kingdom), 4.98%, 08/11/2033(c) | 200,000 | 197,070 | |
Mitsubishi UFJ Financial Group, Inc. (Japan), | |||
3.96%, 03/02/2028 | 225,000 | 221,556 | |
4.05%, 09/11/2028 | 225,000 | 221,829 | |
National Australia Bank Ltd. (Australia), | |||
3.38%, 01/14/2026 | 300,000 | 296,191 | |
2.50%, 07/12/2026 | 770,000 | 747,467 | |
NatWest Group PLC (United Kingdom), | |||
4.80%, 04/05/2026 | 200,000 | 200,103 | |
5.52%, 09/30/2028(c) | 650,000 | 660,100 | |
5.78%, 03/01/2035(c) | 300,000 | 308,663 | |
Royal Bank of Canada (Canada), 4.24%, 08/03/2027 | 260,000 | 258,332 | |
Sumitomo Mitsui Financial Group, Inc. (Japan), 2.14%, 09/23/2030 | 450,000 | 385,931 | |
Principal Amount | Value | ||
Diversified Banks–(continued) | |||
Toronto-Dominion Bank (The) (Canada), | |||
5.53%, 07/17/2026 | $200,000 | $202,598 | |
1.25%, 09/10/2026 | 100,000 | 94,284 | |
4.69%, 09/15/2027 | 250,000 | 250,448 | |
U.S. Bancorp, | |||
Series W, 3.10%, 04/27/2026 | 410,000 | 401,886 | |
1.38%, 07/22/2030 | 200,000 | 167,439 | |
2.49%, 11/03/2036(c) | 600,000 | 497,480 | |
UBS AG (Switzerland), | |||
1.25%, 08/07/2026 | 350,000 | 331,164 | |
5.65%, 09/11/2028 | 200,000 | 206,923 | |
Wells Fargo & Co., | |||
4.10%, 06/03/2026 | 200,000 | 198,095 | |
3.58%, 05/22/2028(c) | 120,000 | 116,571 | |
5.57%, 07/25/2029(c) | 400,000 | 410,152 | |
2.88%, 10/30/2030(c) | 350,000 | 319,927 | |
2.57%, 02/11/2031(c) | 520,000 | 464,582 | |
3.07%, 04/30/2041(c) | 325,000 | 247,338 | |
5.01%, 04/04/2051(c) | 390,000 | 370,852 | |
4.61%, 04/25/2053(c) | 221,000 | 197,302 | |
Westpac Banking Corp. (Australia), | |||
2.85%, 05/13/2026 | 451,000 | 440,943 | |
2.70%, 08/19/2026 | 400,000 | 388,794 | |
3.35%, 03/08/2027 | 300,000 | 293,729 | |
21,500,130 | |||
Diversified Capital Markets–0.17% | |||
UBS Group AG (Switzerland), 4.55%, 04/17/2026 | 425,000 | 424,401 | |
Diversified Chemicals–0.23% | |||
Celanese US Holdings LLC, | |||
6.60%, 11/15/2028 | 200,000 | 207,169 | |
6.33%, 07/15/2029 | 200,000 | 206,789 | |
6.38%, 07/15/2032 | 100,000 | 104,270 | |
Dow Chemical Co. (The), 9.40%, 05/15/2039 | 32,000 | 43,508 | |
561,736 | |||
Diversified Financial Services–0.38% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland), 3.30%, 01/30/2032 | 150,000 | 133,142 | |
BlackRock Funding, Inc., 5.35%, 01/08/2055 | 520,000 | 529,665 | |
Transatlantic Holdings, Inc., 8.00%, 11/30/2039 | 200,000 | 253,891 | |
916,698 | |||
Diversified Metals & Mining–0.04% | |||
BHP Billiton Finance (USA) Ltd. (Australia), 5.25%, 09/08/2033 | 100,000 | 102,644 | |
Diversified REITs–0.04% | |||
VICI Properties L.P., 4.95%, 02/15/2030 | 96,000 | 94,989 | |
Diversified Support Services–0.10% | |||
Cintas Corp. No. 2, 3.70%, 04/01/2027 | 250,000 | 245,585 | |
Principal Amount | Value | ||
Electric Utilities–4.22% | |||
AEP Texas, Inc., | |||
3.95%, 06/01/2028(b) | $806,000 | $784,862 | |
4.70%, 05/15/2032 | 260,000 | 254,779 | |
Appalachian Power Co., 7.00%, 04/01/2038 | 250,000 | 286,651 | |
Arizona Public Service Co., 2.60%, 08/15/2029 | 300,000 | 274,854 | |
Berkshire Hathaway Energy Co., 3.70%, 07/15/2030 | 200,000 | 191,119 | |
Consolidated Edison Co. of New York, Inc., | |||
4.50%, 05/15/2058 | 200,000 | 171,134 | |
3.70%, 11/15/2059 | 200,000 | 148,604 | |
Duke Energy Indiana LLC, 6.45%, 04/01/2039 | 96,000 | 107,577 | |
Edison International, | |||
5.75%, 06/15/2027 | 150,000 | 153,274 | |
4.13%, 03/15/2028 | 228,000 | 223,308 | |
Entergy Louisiana LLC, 4.00%, 03/15/2033 | 400,000 | 374,743 | |
Eversource Energy, Series M, 3.30%, 01/15/2028 | 120,000 | 114,976 | |
MidAmerican Energy Co., 3.65%, 04/15/2029 | 180,000 | 173,330 | |
National Rural Utilities Cooperative Finance Corp., | |||
8.00%, 03/01/2032 | 148,000 | 176,495 | |
5.25%, 04/20/2046(c) | 12,000 | 11,939 | |
NextEra Energy Capital Holdings, Inc., | |||
3.50%, 04/01/2029 | 250,000 | 238,456 | |
2.25%, 06/01/2030 | 200,000 | 175,661 | |
5.65%, 05/01/2079(c) | 235,000 | 233,811 | |
Ohio Power Co., 5.00%, 06/01/2033 | 400,000 | 397,753 | |
Pacific Gas and Electric Co., | |||
4.20%, 03/01/2029 | 200,000 | 194,710 | |
4.55%, 07/01/2030 | 450,000 | 440,339 | |
2.50%, 02/01/2031 | 500,000 | 433,281 | |
4.20%, 06/01/2041 | 400,000 | 335,860 | |
4.95%, 07/01/2050 | 500,000 | 448,649 | |
PacifiCorp, | |||
3.50%, 06/15/2029 | 300,000 | 285,080 | |
6.00%, 01/15/2039 | 200,000 | 212,050 | |
5.50%, 05/15/2054 | 400,000 | 394,956 | |
5.80%, 01/15/2055 | 310,000 | 318,694 | |
Progress Energy, Inc., 7.75%, 03/01/2031 | 150,000 | 172,092 | |
Public Service Co. of Colorado, 5.25%, 04/01/2053 | 320,000 | 314,543 | |
Southern California Edison Co., 6.65%, 04/01/2029 | 500,000 | 533,956 | |
Southwestern Electric Power Co., | |||
Series N, 1.65%, 03/15/2026 | 250,000 | 239,914 | |
5.30%, 04/01/2033 | 289,000 | 292,793 | |
Union Electric Co., 8.45%, 03/15/2039 | 400,000 | 530,519 | |
Xcel Energy, Inc., | |||
4.60%, 06/01/2032 | 434,000 | 422,253 | |
5.45%, 08/15/2033 | 200,000 | 203,602 | |
10,266,617 | |||
Electrical Components & Equipment–0.13% | |||
Regal Rexnord Corp., 6.30%, 02/15/2030 | 300,000 | 313,019 | |
Principal Amount | Value | ||
Environmental & Facilities Services–0.26% | |||
Waste Management, Inc., | |||
0.75%, 11/15/2025 | $205,000 | $197,728 | |
1.50%, 03/15/2031 | 520,000 | 431,681 | |
629,409 | |||
Gas Utilities–0.18% | |||
Southwest Gas Corp., 4.05%, 03/15/2032 | 475,000 | 448,654 | |
Health Care Distributors–0.10% | |||
McKesson Corp., 1.30%, 08/15/2026 | 250,000 | 237,146 | |
Health Care Equipment–0.16% | |||
Abbott Laboratories, 3.75%, 11/30/2026 | 394,000 | 389,780 | |
Health Care Facilities–0.44% | |||
Ascension Health, Series B, 2.53%, 11/15/2029 | 225,000 | 205,848 | |
HCA, Inc., | |||
3.63%, 03/15/2032 | 429,000 | 386,950 | |
5.50%, 06/01/2033 | 200,000 | 202,042 | |
5.25%, 06/15/2049 | 300,000 | 275,454 | |
1,070,294 | |||
Health Care REITs–0.11% | |||
Healthpeak OP LLC, 2.88%, 01/15/2031 | 300,000 | 269,600 | |
Health Care Services–0.65% | |||
CHRISTUS Health, Series C, 4.34%, 07/01/2028 | 430,000 | 425,068 | |
Cigna Group (The), | |||
4.50%, 02/25/2026 | 131,000 | 130,800 | |
4.38%, 10/15/2028 | 187,000 | 185,316 | |
CVS Health Corp., 5.55%, 06/01/2031 | 400,000 | 406,627 | |
Dignity Health, 5.27%, 11/01/2064 | 248,000 | 238,471 | |
Sutter Health, Series 20-A, 2.29%, 08/15/2030 | 218,000 | 191,678 | |
1,577,960 | |||
Health Care Supplies–0.22% | |||
Solventum Corp., 5.90%, 04/30/2054(b) | 520,000 | 532,567 | |
Hotels, Resorts & Cruise Lines–0.09% | |||
Booking Holdings, Inc., 4.63%, 04/13/2030 | 225,000 | 225,565 | |
Industrial Gases–0.20% | |||
Linde, Inc., 3.20%, 01/30/2026 | 500,000 | 493,132 | |
Industrial Machinery & Supplies & Components–0.43% | |||
nVent Finance S.a.r.l. (United Kingdom), 4.55%, 04/15/2028 | 280,000 | 278,310 | |
Parker-Hannifin Corp., 3.25%, 03/01/2027 | 300,000 | 291,642 | |
Stanley Black & Decker, Inc., | |||
4.25%, 11/15/2028 | 331,000 | 326,043 | |
2.30%, 03/15/2030 | 162,000 | 142,406 | |
1,038,401 | |||
Insurance Brokers–0.04% | |||
Aon Corp., 8.21%, 01/01/2027 | 100,000 | 105,667 | |
Principal Amount | Value | ||
Integrated Oil & Gas–0.71% | |||
BP Capital Markets PLC, 3.72%, 11/28/2028 | $325,000 | $314,958 | |
Exxon Mobil Corp., 3.48%, 03/19/2030 | 450,000 | 429,034 | |
Occidental Petroleum Corp., 7.95%, 06/15/2039 | 200,000 | 234,705 | |
Shell International Finance B.V., | |||
6.38%, 12/15/2038 | 450,000 | 508,109 | |
5.50%, 03/25/2040 | 225,000 | 234,105 | |
1,720,911 | |||
Integrated Telecommunication Services–0.29% | |||
British Telecommunications PLC (United Kingdom), 9.63%, 12/15/2030 | 250,000 | 307,665 | |
Koninklijke KPN N.V. (Netherlands), 8.38%, 10/01/2030 | 175,000 | 205,487 | |
Verizon Communications, Inc., 2.36%, 03/15/2032 | 220,000 | 185,707 | |
698,859 | |||
Interactive Media & Services–0.40% | |||
Baidu, Inc. (China), | |||
4.38%, 03/29/2028 | 300,000 | 297,196 | |
4.88%, 11/14/2028 | 200,000 | 201,401 | |
3.43%, 04/07/2030(d) | 500,000 | 468,566 | |
967,163 | |||
Investment Banking & Brokerage–1.66% | |||
Brookfield Finance, Inc. (Canada), | |||
3.90%, 01/25/2028 | 440,000 | 430,879 | |
6.35%, 01/05/2034 | 200,000 | 215,789 | |
Charles Schwab Corp. (The), | |||
3.20%, 03/02/2027 | 90,000 | 87,446 | |
6.20%, 11/17/2029(c) | 300,000 | 316,027 | |
Goldman Sachs Group, Inc. (The), | |||
3.50%, 11/16/2026 | 301,000 | 294,349 | |
3.85%, 01/26/2027 | 220,000 | 216,316 | |
3.81%, 04/23/2029(c) | 200,000 | 193,745 | |
3.80%, 03/15/2030 | 400,000 | 380,759 | |
Morgan Stanley, | |||
3.88%, 01/27/2026 | 415,000 | 411,453 | |
6.25%, 08/09/2026 | 475,000 | 487,508 | |
Nomura Holdings, Inc. (Japan), | |||
1.65%, 07/14/2026 | 290,000 | 275,318 | |
2.33%, 01/22/2027 | 200,000 | 189,608 | |
2.71%, 01/22/2029 | 260,000 | 237,933 | |
2.68%, 07/16/2030 | 340,000 | 299,495 | |
4,036,625 | |||
IT Consulting & Other Services–0.53% | |||
International Business Machines Corp., | |||
4.40%, 07/27/2032 | 275,000 | 269,001 | |
7.13%, 12/01/2096(d) | 383,000 | 503,131 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/2028 | 575,000 | 529,316 | |
1,301,448 | |||
Leisure Products–0.27% | |||
Brunswick Corp., 5.10%, 04/01/2052 | 250,000 | 206,779 | |
Principal Amount | Value | ||
Leisure Products–(continued) | |||
Hasbro, Inc., | |||
6.35%, 03/15/2040 | $300,000 | $316,827 | |
5.10%, 05/15/2044 | 147,000 | 134,093 | |
657,699 | |||
Life & Health Insurance–1.32% | |||
Brighthouse Financial, Inc., | |||
5.63%, 05/15/2030 | 200,000 | 207,054 | |
4.70%, 06/22/2047 | 236,000 | 193,198 | |
Jackson National Life Global Funding, 5.55%, 07/02/2027(b) | 333,000 | 338,651 | |
Lincoln National Corp., 3.05%, 01/15/2030 | 300,000 | 274,607 | |
Manulife Financial Corp. (Canada), 4.15%, 03/04/2026 | 135,000 | 134,340 | |
MetLife, Inc., | |||
4.55%, 03/23/2030 | 500,000 | 500,420 | |
Series D, 5.88%(c)(e) | 100,000 | 100,735 | |
Principal Financial Group, Inc., | |||
3.70%, 05/15/2029 | 350,000 | 336,546 | |
2.13%, 06/15/2030 | 275,000 | 240,868 | |
Prudential Financial, Inc., 6.00%, 09/01/2052(c) | 275,000 | 278,674 | |
Prudential Funding (Asia) PLC (Hong Kong), 3.13%, 04/14/2030 | 200,000 | 184,002 | |
Reliance Standard Life Global Funding II, 2.75%, 01/21/2027(b) | 441,000 | 418,030 | |
3,207,125 | |||
Life Sciences Tools & Services–0.31% | |||
Illumina, Inc., 2.55%, 03/23/2031 | 221,000 | 190,704 | |
Revvity, Inc., 3.30%, 09/15/2029 | 200,000 | 186,503 | |
Thermo Fisher Scientific, Inc., 5.00%, 12/05/2026 | 383,000 | 386,830 | |
764,037 | |||
Managed Health Care–0.45% | |||
UnitedHealth Group, Inc., | |||
5.25%, 02/15/2028 | 225,000 | 230,328 | |
6.05%, 02/15/2063 | 350,000 | 381,392 | |
5.20%, 04/15/2063 | 200,000 | 192,559 | |
5.50%, 04/15/2064 | 300,000 | 301,201 | |
1,105,480 | |||
Movies & Entertainment–0.23% | |||
Warnermedia Holdings, Inc., | |||
3.76%, 03/15/2027 | 250,000 | 242,170 | |
4.05%, 03/15/2029 | 200,000 | 189,259 | |
4.28%, 03/15/2032 | 153,000 | 138,123 | |
569,552 | |||
Multi-Family Residential REITs–0.15% | |||
Mid-America Apartments L.P., | |||
3.60%, 06/01/2027 | 100,000 | 97,987 | |
5.00%, 03/15/2034 | 260,000 | 260,945 | |
358,932 | |||
Multi-line Insurance–0.08% | |||
American International Group, Inc., Series A-9, 5.75%, 04/01/2048(c) | 20,000 | 19,933 | |
Principal Amount | Value | ||
Multi-line Insurance–(continued) | |||
AXA S.A. (France), 8.60%, 12/15/2030 | $150,000 | $180,048 | |
199,981 | |||
Multi-Sector Holdings–0.08% | |||
Berkshire Hathaway, Inc., 3.13%, 03/15/2026 | 194,000 | 190,919 | |
Multi-Utilities–0.33% | |||
Black Hills Corp., 4.35%, 05/01/2033 | 91,000 | 85,776 | |
National Grid PLC (United Kingdom), 5.42%, 01/11/2034 | 400,000 | 407,976 | |
Puget Sound Energy, Inc., 5.80%, 03/15/2040 | 300,000 | 314,815 | |
808,567 | |||
Office REITs–0.28% | |||
Boston Properties L.P., 3.40%, 06/21/2029 | 400,000 | 370,549 | |
Cousins Properties L.P., 5.88%, 10/01/2034 | 300,000 | 306,300 | |
676,849 | |||
Office Services & Supplies–0.19% | |||
CDW LLC/CDW Finance Corp., | |||
3.28%, 12/01/2028 | 275,000 | 256,432 | |
3.57%, 12/01/2031 | 240,000 | 215,237 | |
471,669 | |||
Oil & Gas Exploration & Production–0.52% | |||
Conoco Funding Co., 7.25%, 10/15/2031 | 200,000 | 229,229 | |
ConocoPhillips Co., 6.95%, 04/15/2029 | 200,000 | 219,561 | |
EQT Corp., | |||
5.00%, 01/15/2029 | 207,000 | 206,625 | |
7.00%, 02/01/2030 | 350,000 | 378,217 | |
Pioneer Natural Resources Co., 1.90%, 08/15/2030 | 260,000 | 224,273 | |
1,257,905 | |||
Oil & Gas Storage & Transportation–0.88% | |||
Cheniere Energy Partners L.P., 4.00%, 03/01/2031 | 350,000 | 328,967 | |
Energy Transfer L.P., 5.00%, 05/15/2050 | 470,000 | 419,657 | |
Enterprise Products Operating LLC, 4.15%, 10/16/2028 | 250,000 | 246,253 | |
Kinder Morgan Energy Partners L.P., 6.95%, 01/15/2038 | 131,000 | 147,346 | |
ONEOK, Inc., 7.15%, 01/15/2051 | 325,000 | 372,535 | |
Plains All American Pipeline L.P./PAA Finance Corp., 6.65%, 01/15/2037 | 100,000 | 108,559 | |
Tennessee Gas Pipeline Co. LLC, 7.00%, 03/15/2027(f) | 300,000 | 314,910 | |
Western Midstream Operating L.P., 6.35%, 01/15/2029 | 200,000 | 208,554 | |
2,146,781 | |||
Other Specialized REITs–0.16% | |||
EPR Properties, 3.60%, 11/15/2031 | 112,000 | 99,000 | |
Principal Amount | Value | ||
Other Specialized REITs–(continued) | |||
GLP Capital L.P./GLP Financing II, Inc., | |||
5.30%, 01/15/2029 | $200,000 | $200,286 | |
3.25%, 01/15/2032 | 114,000 | 99,661 | |
398,947 | |||
Packaged Foods & Meats–0.17% | |||
JBS USA Holding Lux S.a.r.l./JBS USA Food Co./JBS Lux Co. S.a.r.l., | |||
5.13%, 02/01/2028 | 200,000 | 200,598 | |
3.00%, 02/02/2029 | 225,000 | 207,561 | |
408,159 | |||
Paper & Plastic Packaging Products & Materials–0.08% | |||
Berry Global, Inc., 5.50%, 04/15/2028 | 187,000 | 190,162 | |
Paper Products–0.18% | |||
Georgia-Pacific LLC, 8.88%, 05/15/2031 | 200,000 | 246,512 | |
Suzano Austria GmbH (Brazil), 6.00%, 01/15/2029 | 200,000 | 203,760 | |
450,272 | |||
Passenger Airlines–0.53% | |||
American Airlines Pass-Through Trust, Series 2021-1, Class A, 2.88%, 07/11/2034 | 424,058 | 373,777 | |
Southwest Airlines Co., 5.13%, 06/15/2027 | 284,000 | 286,492 | |
United Airlines Pass-Through Trust, | |||
Series 2020-1, Class A, 5.88%, 10/15/2027 | 330,282 | 338,568 | |
5.80%, 07/15/2037 | 283,520 | 294,235 | |
1,293,072 | |||
Personal Care Products–0.19% | |||
Conopco, Inc., Series E, 7.25%, 12/15/2026 | 225,000 | 237,121 | |
Estee Lauder Cos., Inc. (The), 2.60%, 04/15/2030 | 240,000 | 215,812 | |
452,933 | |||
Pharmaceuticals–1.47% | |||
AstraZeneca Finance LLC (United Kingdom), 4.88%, 03/03/2033 | 250,000 | 252,717 | |
Bristol-Myers Squibb Co., | |||
3.40%, 07/26/2029 | 250,000 | 238,105 | |
6.40%, 11/15/2063 | 400,000 | 455,108 | |
5.65%, 02/22/2064 | 300,000 | 307,050 | |
Johnson & Johnson, | |||
1.30%, 09/01/2030 | 125,000 | 106,222 | |
4.95%, 06/01/2034 | 260,000 | 267,161 | |
Mylan, Inc., 4.55%, 04/15/2028 | 225,000 | 221,988 | |
Novartis Capital Corp. (Switzerland), 3.10%, 05/17/2027 | 450,000 | 437,591 | |
Pfizer Investment Enterprises Pte. Ltd., | |||
4.45%, 05/19/2026 | 210,000 | 209,884 | |
4.75%, 05/19/2033 | 200,000 | 197,969 | |
5.34%, 05/19/2063 | 350,000 | 340,078 | |
Pharmacia LLC, 6.60%, 12/01/2028 | 175,000 | 187,977 | |
Viatris, Inc., 2.70%, 06/22/2030 | 400,000 | 351,087 | |
3,572,937 | |||
Principal Amount | Value | ||
Property & Casualty Insurance–0.25% | |||
Allstate Corp. (The), | |||
3.28%, 12/15/2026 | $190,000 | $185,400 | |
5.35%, 06/01/2033 | 225,000 | 231,762 | |
Stewart Information Services Corp., 3.60%, 11/15/2031 | 225,000 | 195,755 | |
612,917 | |||
Rail Transportation–0.32% | |||
Canadian Pacific Railway Co. (Canada), 6.13%, 09/15/2115 | 200,000 | 214,637 | |
Norfolk Southern Corp., 4.10%, 05/15/2121 | 450,000 | 332,979 | |
Union Pacific Corp., 3.80%, 04/06/2071 | 300,000 | 219,819 | |
767,435 | |||
Regional Banks–0.59% | |||
M&T Bank Corp., 7.41%, 10/30/2029(c) | 200,000 | 215,815 | |
Truist Bank, | |||
4.05%, 11/03/2025 | 10,000 | 9,947 | |
3.30%, 05/15/2026 | 365,000 | 357,428 | |
Truist Financial Corp., | |||
4.87%, 01/26/2029(c) | 200,000 | 200,064 | |
4.92%, 07/28/2033(c) | 450,000 | 434,666 | |
5.87%, 06/08/2034(c) | 200,000 | 208,472 | |
1,426,392 | |||
Reinsurance–0.04% | |||
Enstar Group Ltd., 3.10%, 09/01/2031 | 110,000 | 94,595 | |
Research & Consulting Services–0.11% | |||
Jacobs Engineering Group, Inc., 5.90%, 03/01/2033 | 250,000 | 257,481 | |
Retail REITs–0.46% | |||
Realty Income Corp., | |||
3.95%, 08/15/2027 | 250,000 | 246,768 | |
2.20%, 06/15/2028 | 200,000 | 184,262 | |
2.85%, 12/15/2032 | 200,000 | 172,469 | |
Simon Property Group L.P., | |||
2.25%, 01/15/2032 | 290,000 | 246,329 | |
6.75%, 02/01/2040 | 244,000 | 277,939 | |
1,127,767 | |||
Semiconductors–1.06% | |||
Foundry JV Holdco LLC, 6.15%, 01/25/2032(b) | 455,000 | 466,624 | |
Intel Corp., | |||
2.60%, 05/19/2026 | 30,000 | 29,097 | |
3.15%, 05/11/2027 | 260,000 | 251,100 | |
2.45%, 11/15/2029 | 275,000 | 245,719 | |
5.20%, 02/10/2033(d) | 475,000 | 475,185 | |
4.95%, 03/25/2060 | 460,000 | 388,939 | |
5.05%, 08/05/2062 | 400,000 | 339,979 | |
Marvell Technology, Inc., 2.95%, 04/15/2031 | 200,000 | 178,085 | |
TSMC Arizona Corp. (Taiwan), 2.50%, 10/25/2031 | 250,000 | 218,002 | |
2,592,730 | |||
Principal Amount | Value | ||
Soft Drinks & Non-alcoholic Beverages–0.32% | |||
Coca-Cola Consolidated, Inc., 5.45%, 06/01/2034 | $520,000 | $535,031 | |
PepsiCo, Inc., 3.90%, 07/18/2032 | 260,000 | 248,461 | |
783,492 | |||
Steel–0.21% | |||
ArcelorMittal S.A. (Luxembourg), | |||
7.00%, 10/15/2039 | 27,000 | 29,857 | |
6.75%, 03/01/2041 | 225,000 | 241,573 | |
Nucor Corp., 6.40%, 12/01/2037 | 219,000 | 244,308 | |
515,738 | |||
Systems Software–0.17% | |||
Microsoft Corp., 3.13%, 11/03/2025 | 425,000 | 419,990 | |
Technology Distributors–0.11% | |||
Avnet, Inc., 6.25%, 03/15/2028 | 250,000 | 258,931 | |
Technology Hardware, Storage & Peripherals–0.35% | |||
Apple, Inc., | |||
3.35%, 02/09/2027 | 500,000 | 490,382 | |
1.20%, 02/08/2028 | 150,000 | 136,382 | |
Hewlett Packard Enterprise Co., 6.35%, 10/15/2045 | 220,000 | 237,219 | |
863,983 | |||
Telecom Tower REITs–0.29% | |||
Crown Castle, Inc., | |||
3.30%, 07/01/2030 | 450,000 | 412,829 | |
2.25%, 01/15/2031 | 350,000 | 297,853 | |
710,682 | |||
Tobacco–2.47% | |||
Altria Group, Inc., | |||
3.40%, 05/06/2030 | 460,000 | 428,014 | |
2.45%, 02/04/2032 | 800,000 | 671,697 | |
3.88%, 09/16/2046 | 225,000 | 173,001 | |
B.A.T Capital Corp. (United Kingdom), | |||
3.56%, 08/15/2027 | 108,000 | 104,885 | |
2.26%, 03/25/2028 | 350,000 | 323,067 | |
2.73%, 03/25/2031 | 170,000 | 149,610 | |
4.74%, 03/16/2032 | 415,000 | 406,104 | |
B.A.T. International Finance PLC (United Kingdom), 4.45%, 03/16/2028 | 265,000 | 262,907 | |
Philip Morris International, Inc., | |||
5.13%, 02/15/2030 | 480,000 | 488,866 | |
2.10%, 05/01/2030 | 250,000 | 219,130 | |
1.75%, 11/01/2030 | 300,000 | 253,497 | |
5.13%, 02/13/2031 | 260,000 | 264,458 | |
5.75%, 11/17/2032 | 300,000 | 314,731 | |
5.38%, 02/15/2033 | 163,000 | 166,813 | |
5.25%, 02/13/2034 | 300,000 | 304,627 | |
6.38%, 05/16/2038 | 280,000 | 311,068 | |
4.50%, 03/20/2042 | 418,000 | 377,253 | |
Reynolds American, Inc. (United Kingdom), | |||
5.70%, 08/15/2035 | 256,000 | 263,226 | |
5.85%, 08/15/2045 | 545,000 | 539,349 | |
6,022,303 | |||
Principal Amount | Value | ||
Transaction & Payment Processing Services–0.55% | |||
Global Payments, Inc., | |||
2.90%, 11/15/2031 | $250,000 | $218,323 | |
5.40%, 08/15/2032 | 200,000 | 203,218 | |
PayPal Holdings, Inc., | |||
2.65%, 10/01/2026 | 275,000 | 266,186 | |
5.25%, 06/01/2062 | 400,000 | 388,130 | |
Western Union Co. (The), 6.20%, 11/17/2036 | 250,000 | 258,500 | |
1,334,357 | |||
Water Utilities–0.32% | |||
American Water Capital Corp., | |||
3.45%, 06/01/2029 | 520,000 | 494,476 | |
4.45%, 06/01/2032 | 297,000 | 291,302 | |
785,778 | |||
Wireless Telecommunication Services–0.08% | |||
America Movil S.A.B. de C.V. (Mexico), 6.13%, 03/30/2040 | 171,000 | 182,561 | |
Total U.S. Dollar Denominated Bonds & Notes (Cost $108,961,163) | 107,841,464 | ||
U.S. Treasury Securities–41.79% | |||
U.S. Treasury Bills–0.24% | |||
4.44% - 4.78%, 01/30/2025(g) | 590,000 | 585,701 | |
U.S. Treasury Bonds–6.98% | |||
6.13%, 08/15/2029 | 3,000,000 | 3,259,688 | |
2.00%, 11/15/2041 | 1,000,000 | 708,262 | |
3.38%, 08/15/2042 | 725,600 | 629,968 | |
4.38%, 08/15/2043 | 1,021,200 | 1,010,489 | |
3.75%, 11/15/2043 | 2,100,000 | 1,900,910 | |
3.38%, 05/15/2044 | 1,500,000 | 1,279,336 | |
3.00%, 11/15/2045 | 2,000,000 | 1,588,438 | |
3.00%, 08/15/2048 | 1,000,000 | 777,246 | |
2.38%, 11/15/2049 | 1,687,600 | 1,148,194 | |
2.00%, 02/15/2050 | 1,400,000 | 872,156 | |
1.25%, 05/15/2050 | 1,926,000 | 985,232 | |
4.13%, 08/15/2053 | 2,323,100 | 2,217,063 | |
4.63%, 05/15/2054 | 600,000 | 623,906 | |
17,000,888 | |||
U.S. Treasury Notes–34.57% | |||
5.00%, 09/30/2025 | 5,720,000 | 5,746,559 | |
4.25%, 12/31/2025 | 2,300,000 | 2,297,754 | |
4.63%, 02/28/2026 | 8,100,000 | 8,130,059 | |
0.75%, 03/31/2026 | 3,500,000 | 3,341,611 | |
4.88%, 05/31/2026 | 9,800,000 | 9,885,750 | |
1.50%, 08/15/2026 | 7,180,000 | 6,862,509 | |
4.25%, 03/15/2027 | 3,534,000 | 3,541,316 | |
3.88%, 11/30/2027 | 7,000,000 | 6,953,242 | |
3.88%, 12/31/2027 | 1,500,000 | 1,490,010 | |
3.63%, 05/31/2028 | 3,000,000 | 2,952,422 | |
1.38% - 4.88%, 10/31/2028 | 7,848,300 | 7,557,934 | |
3.75%, 12/31/2028 | 1,800,000 | 1,775,637 | |
4.00%, 01/31/2029 | 800,000 | 796,578 | |
4.25%, 02/28/2029 | 2,500,000 | 2,513,525 | |
4.00%, 10/31/2029 | 2,100,000 | 2,091,059 | |
4.88%, 10/31/2030 | 2,711,300 | 2,817,740 | |
1.38%, 11/15/2031 | 7,894,000 | 6,584,552 | |
4.13%, 11/15/2032 | 500,000 | 499,385 | |
Principal Amount | Value | ||
U.S. Treasury Notes–(continued) | |||
3.88%, 08/15/2033 | $7,182,500 | $7,021,876 | |
4.38%, 05/15/2034 | 1,300,000 | 1,317,976 | |
84,177,494 | |||
Total U.S. Treasury Securities (Cost $102,338,989) | 101,764,083 | ||
U.S. Government Sponsored Agency Mortgage-Backed Securities–24.91% | |||
Collateralized Mortgage Obligations–0.09% | |||
Fannie Mae REMICs, | |||
IO, 3.50%, 08/25/2035(h) | 167,438 | 18,175 | |
5.50%, 07/25/2046(h) | 44,610 | 5,275 | |
4.00%, 08/25/2047(h) | 36,660 | 7,499 | |
1.05% (5.90% - (30 Day Average SOFR + 0.11%)), 09/25/2047(h)(i) | 464,797 | 45,532 | |
Freddie Mac Multifamily Structured Pass-Through Ctfs., | |||
Series K734, Class X1, IO, 0.77%, 02/25/2026(j) | 2,860,022 | 14,719 | |
Series K735, Class X1, IO, 1.09%, 05/25/2026(j) | 2,939,087 | 28,221 | |
Series K093, Class X1, IO, 1.08%, 05/25/2029(j) | 2,439,163 | 83,127 | |
Freddie Mac REMICs, IO, 1.18% (6.10% - (30 Day Average SOFR + 0.11%)), 01/15/2044(h)(i) | 100,616 | 9,406 | |
Freddie Mac STRIPS, IO, 3.00%, 12/15/2027(h) | 19,504 | 586 | |
212,540 | |||
Federal Home Loan Mortgage Corp. (FHLMC)–2.59% | |||
4.50%, 09/01/2049 to 05/01/2053 | 1,598,502 | 1,537,728 | |
3.00%, 01/01/2050 to 05/01/2050 | 2,137,353 | 1,902,672 | |
2.50%, 07/01/2050 to 08/01/2050 | 2,275,918 | 1,942,689 | |
5.50%, 05/01/2054 | 929,183 | 932,508 | |
6,315,597 | |||
Federal National Mortgage Association (FNMA)–10.79% | |||
TBA, 2.50%, 12/01/2039(k) | 950,000 | 874,920 | |
3.00%, 12/01/2039(k) | 3,750,000 | 3,529,756 | |
3.50%, 12/01/2039(k) | 750,000 | 718,459 | |
4.50%, 12/01/2053(k) | 3,300,000 | 3,169,087 | |
5.00%, 12/01/2053(k) | 1,860,000 | 1,825,302 | |
4.50%, 06/01/2049 to 07/01/2053 | 1,034,694 | 995,965 | |
3.00%, 10/01/2049 to 11/01/2051 | 1,727,593 | 1,525,139 | |
2.50%, 03/01/2050 to 08/01/2051 | 1,549,158 | 1,316,299 | |
2.00%, 03/01/2051 to 08/01/2051 | 2,220,539 | 1,784,916 | |
3.50%, 06/01/2052 | 1,273,668 | 1,157,062 | |
4.00%, 06/01/2052 | 878,089 | 824,862 | |
5.50%, 08/01/2053 to 02/01/2054 | 2,658,129 | 2,670,317 | |
Principal Amount | Value | ||
Federal National Mortgage Association (FNMA)–(continued) | |||
6.00%, 08/01/2053 to 09/01/2053 | $4,197,224 | $4,273,396 | |
5.00%, 09/01/2053 to 04/01/2054 | 1,631,102 | 1,608,248 | |
26,273,728 | |||
Government National Mortgage Association (GNMA)–0.99% | |||
TBA, 5.00%, 12/19/2024(k) | 600,000 | 591,377 | |
5.50%, 12/19/2024(k) | 1,000,000 | 1,001,029 | |
3.00%, 12/01/2054(k) | 600,000 | 531,791 | |
4.50%, 12/01/2054(k) | 250,000 | 241,256 | |
IO, 1.48% (6.20% - (1 mo. Term SOFR + 0.11%)), 10/16/2047(h)(i) | 241,022 | 32,239 | |
2,397,692 | |||
Uniform Mortgage-Backed Securities–10.45% | |||
TBA, 2.00%, 12/01/2039 to 12/01/2054(k) | 8,132,000 | 6,590,603 | |
2.50%, 12/01/2054(k) | 4,250,000 | 3,557,264 | |
3.00%, 12/01/2054(k) | 2,992,000 | 2,608,385 | |
3.50%, 12/01/2054(k) | 6,375,000 | 5,779,158 | |
4.00%, 12/01/2054(k) | 3,825,000 | 3,577,615 | |
5.50%, 12/01/2054(k) | 1,730,000 | 1,728,147 | |
6.00%, 12/01/2054(k) | 1,600,000 | 1,618,975 | |
25,460,147 | |||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $61,974,705) | 60,659,704 | ||
Asset-Backed Securities–2.03% | |||
Angel Oak Mortgage Trust, Series 2024-10, Class A1, 5.35%, 10/25/2069(b) | 988,786 | 986,964 | |
Banc of America Mortgage Trust, Series 2007-1, Class 1A24, 6.00%, 03/25/2037 | 10,976 | 9,351 | |
Bank, Series 2019-BNK16, Class XA, IO, 1.10%, 02/15/2052(j) | 2,203,410 | 66,945 | |
BBCMS Mortgage Trust, Series 2024- C28, Class A4, 5.12%, 09/15/2057 | 760,000 | 771,729 | |
BMO Mortgage Trust, Series 2024-5C5, Class A2, 5.46%, 02/15/2057 | 1,500,000 | 1,528,572 | |
Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA, IO, 1.13%, 10/12/2050(j) | 4,882,250 | 108,082 | |
Ellington Financial Mortgage Trust, Series 2024-INV2, Class A1, 5.04%, 10/25/2069(b)(l) | 467,070 | 462,572 | |
Provident Funding Mortgage Trust, Series 2024-1, Class A3, 5.50%, 12/25/2054(b)(l) | 991,147 | 988,156 | |
WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR14, Class 1A4, 4.92%, 12/25/2035(l) | 15,263 | 14,136 | |
Total Asset-Backed Securities (Cost $4,947,897) | 4,936,507 | ||
Shares | |||
Exchange-Traded Funds–0.39% | |||
iShares MBS ETF (Cost $937,790)(d) | 10,000 | 939,300 | |
Shares | Value | ||
Money Market Funds–0.89% | |||
Invesco Government & Agency Portfolio, Institutional Class, 4.57%(m)(n) | 762,027 | $762,027 | |
Invesco Treasury Portfolio, Institutional Class, 4.53%(m)(n) | 1,415,188 | 1,415,188 | |
Total Money Market Funds (Cost $2,177,215) | 2,177,215 | ||
TOTAL INVESTMENTS IN SECURITIES (excluding investments purchased with cash collateral from securities on loan)-114.29% (Cost $281,337,759) | 278,318,273 | ||
Investments Purchased with Cash Collateral from Securities on Loan | |||
Money Market Funds–0.90% | |||
Invesco Private Government Fund, 4.63%(m)(n)(o) | 616,866 | 616,866 | |
Shares | Value | ||
Money Market Funds–(continued) | |||
Invesco Private Prime Fund, 4.71%(m)(n)(o) | 1,584,529 | $1,585,004 | |
Total Investments Purchased with Cash Collateral from Securities on Loan (Cost $2,201,870) | 2,201,870 | ||
TOTAL INVESTMENTS IN SECURITIES–115.19% (Cost $283,539,629) | 280,520,143 | ||
OTHER ASSETS LESS LIABILITIES—(15.19)% | (36,982,212 ) | ||
NET ASSETS–100.00% | $243,537,931 | ||
Ctfs. | – Certificates |
ETF | – Exchange-Traded Fund |
IO | – Interest Only |
REIT | – Real Estate Investment Trust |
REMICs | – Real Estate Mortgage Investment Conduits |
SOFR | – Secured Overnight Financing Rate |
STRIPS | – Separately Traded Registered Interest and Principal Security |
TBA | – To Be Announced |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at November 30, 2024 was $5,091,196, which represented 2.09% of the Fund’s Net Assets. |
(c) | Security issued at a fixed rate for a specific period of time, after which it will convert to a variable rate. |
(d) | All or a portion of this security was out on loan at November 30, 2024. |
(e) | Perpetual bond with no specified maturity date. |
(f) | Security has an irrevocable call by the issuer or mandatory put by the holder. Maturity date reflects such call or put. |
(g) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. |
(h) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. |
(i) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on November 30, 2024. |
(j) | Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on November 30, 2024. |
(k) | Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. |
(l) | Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on November 30, 2024. |
(m) | Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the nine months ended November 30, 2024. |
Value February 29, 2024 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value November 30, 2024 | Dividend Income | |
Investments in Affiliated Money Market Funds: | |||||||
Invesco Government & Agency Portfolio, Institutional Class | $1,058,428 | $19,652,244 | $(19,948,645) | $- | $- | $762,027 | $30,035 |
Invesco Liquid Assets Portfolio, Institutional Class | 756,527 | 9,264,839 | (10,021,261) | (40) | (65) | - | 12,785 |
Invesco Treasury Portfolio, Institutional Class | 1,209,633 | 28,478,892 | (28,273,337) | - | - | 1,415,188 | 42,985 |
Value February 29, 2024 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value November 30, 2024 | Dividend Income | |
Investments Purchased with Cash Collateral from Securities on Loan: | |||||||
Invesco Private Government Fund | $632,716 | $11,063,857 | $(11,079,707) | $- | $- | $616,866 | $30,040* |
Invesco Private Prime Fund | 1,627,464 | 20,735,585 | (20,777,813) | 259 | (491) | 1,585,004 | 82,036* |
Total | $5,284,768 | $89,195,417 | $(90,100,763) | $219 | $(556) | $4,379,085 | $197,881 |
* | Represents the income earned on the investment of cash collateral. Does not include rebates and fees paid to lending agent or premiums received from borrowers, if any. |
(n) | The rate shown is the 7-day SEC standardized yield as of November 30, 2024. |
(o) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. |
Open Futures Contracts(a) | |||||
Long Futures Contracts | Number of Contracts | Expiration Month | Notional Value | Value | Unrealized Appreciation (Depreciation) |
Interest Rate Risk | |||||
U.S. Treasury Long Bonds | 42 | March-2025 | $5,019,000 | $117,118 | $117,118 |
U.S. Treasury Ultra Bonds | 16 | March-2025 | 2,035,000 | 63,152 | 63,152 |
Subtotal—Long Futures Contracts | 180,270 | 180,270 | |||
Short Futures Contracts | |||||
Interest Rate Risk | |||||
U.S. Treasury 2 Year Notes | 78 | March-2025 | (16,076,531 ) | (46,470 ) | (46,470 ) |
U.S. Treasury 5 Year Notes | 45 | March-2025 | (4,842,070 ) | (29,896 ) | (29,896 ) |
U.S. Treasury 10 Year Notes | 76 | March-2025 | (8,450,250 ) | (105,259 ) | (105,259 ) |
U.S. Treasury 10 Year Ultra Notes | 27 | March-2025 | (3,099,516 ) | (55,324 ) | (55,324 ) |
Subtotal—Short Futures Contracts | (236,949 ) | (236,949 ) | |||
Total Futures Contracts | $(56,679 ) | $(56,679 ) | |||
(a) | Futures contracts collateralized by $39,623 cash held with Merrill Lynch International, the futures commission merchant. |
Level 1 | Level 2 | Level 3 | Total | |
U.S. Dollar Denominated Bonds & Notes | $— | $107,841,464 | $— | $107,841,464 |
U.S. Treasury Securities | — | 101,764,083 | — | 101,764,083 |
U.S. Government Sponsored Agency Mortgage-Backed Securities | — | 60,659,704 | — | 60,659,704 |
Asset-Backed Securities | — | 4,936,507 | — | 4,936,507 |
Exchange-Traded Funds | 939,300 | — | — | 939,300 |
Money Market Funds | 2,177,215 | 2,201,870 | — | 4,379,085 |
3,116,515 | 277,403,628 | — | 280,520,143 | |
Other Investments - Assets* | ||||
Futures Contracts | 180,270 | — | — | 180,270 |
Other Investments - Liabilities* | ||||
Futures Contracts | (236,949 ) | — | — | (236,949 ) |
(56,679 ) | — | — | (56,679 ) | |
Total Investments | $3,059,836 | $277,403,628 | $— | $280,463,464 |
* | Unrealized appreciation (depreciation). |
