UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06241
Loomis Sayles Funds II
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2139
Date of fiscal year end: September 30
Date of reporting period: March 31, 2024
Item 1. Reports to Stockholders.
(a) | The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Loomis Sayles Core Plus Bond Fund |
Loomis Sayles Global Allocation Fund |
Loomis Sayles Growth Fund |
Loomis Sayles Intermediate Duration Bond Fund |
Loomis Sayles Limited Term Government and Agency Fund |
Managers |
Ian Anderson |
Peter W. Palfrey, CFA® |
Richard G. Raczkowski |
Barath W. Sankaran, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFRX |
Class C | NECRX |
Class N | NERNX |
Class Y | NERYX |
Investment Goal
Average Annual Total Returns —March 31, 20241 | ||||||
6 Months | 1 Year | 5 Years | 10 Years | Expense Ratios2 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 6.93 % | 1.86 % | 1.17 % | 1.97 % | 0.50 % | 0.49 % |
Class A | ||||||
NAV | 6.77 | 1.62 | 0.91 | 1.71 | 0.75 | 0.74 |
With 4.25% Maximum Sales Charge | 2.19 | -2.71 | 0.03 | 1.27 | ||
Class C | ||||||
NAV | 6.36 | 0.85 | 0.15 | 1.09 | 1.50 | 1.49 |
With CDSC3 | 5.36 | -0.13 | 0.15 | 1.09 | ||
Class N | ||||||
NAV | 6.98 | 1.96 | 1.26 | 2.06 | 0.40 | 0.40 |
Comparative Performance | ||||||
Bloomberg U.S. Aggregate Bond Index4 | 5.99 | 1.70 | 0.36 | 1.54 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
4 | Bloomberg U.S. Aggregate Bond Index is a broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC- registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
Managers |
Matthew J. Eagan, CFA® |
Eileen N. Riley, CFA® |
David W. Rolley, CFA® |
Lee M. Rosenbaum |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LGMAX |
Class C | LGMCX |
Class N | LGMNX |
Class Y | LSWWX |
Investment Goal
Average Annual Total Returns —March 31, 20241 | |||||||
6 Months | 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios2 | ||
Gross | Net | ||||||
Class Y | |||||||
NAV | 19.94 % | 22.30 % | 8.55 % | 7.96 % | — % | 0.92 % | 0.92 % |
Class A | |||||||
NAV | 19.79 | 22.01 | 8.28 | 7.69 | — | 1.17 | 1.17 |
With 5.75% Maximum Sales Charge | 12.90 | 15.02 | 7.01 | 7.05 | — | ||
Class C | |||||||
NAV | 19.36 | 21.12 | 7.48 | 7.04 | — | 1.92 | 1.92 |
With CDSC3 | 18.36 | 20.12 | 7.48 | 7.04 | — | ||
Class N (Inception 2/1/17) | |||||||
NAV | 19.97 | 22.44 | 8.65 | — | 9.42 | 0.82 | 0.82 |
Comparative Performance | |||||||
MSCI All Country World Index (Net)4 | 20.14 | 23.22 | 10.92 | 8.66 | 10.56 | ||
Blended Index5 | 14.28 | 13.71 | 6.18 | 5.29 | 6.53 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
4 | MSCI All Country World Index (Net) is an unmanaged index that captures large and mid-cap representation across developed markets and emerging markets countries. |
5 | Blended Index is an unmanaged, blended index composed of the following weights: 60% MSCI All Country World Index (Net) and 40% Bloomberg Global Aggregate Bond Index. The Bloomberg Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The four major components of this index are the U.S. Aggregate, the Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. |
Managers |
Aziz V. Hamzaogullari, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LGRRX |
Class C | LGRCX |
Class N | LGRNX |
Class Y | LSGRX |
Investment Goal
Average Annual Total Returns —March 31, 20241 | ||||||
6 Months | 1 Year | 5 Years | 10 Years | Expense Ratios2 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 28.22 % | 40.15 % | 16.95 % | 15.55 % | 0.67 % | 0.67 % |
Class A | ||||||
NAV | 28.02 | 39.80 | 16.65 | 15.25 | 0.92 | 0.92 |
With 5.75% Maximum Sales Charge | 20.69 | 31.79 | 15.27 | 14.57 | ||
Class C | ||||||
NAV | 27.49 | 38.68 | 15.77 | 14.56 | 1.67 | 1.67 |
With CDSC3 | 26.49 | 37.68 | 15.77 | 14.56 | ||
Class N | ||||||
NAV | 28.20 | 40.24 | 17.04 | 15.63 | 0.58 | 0.58 |
Comparative Performance | ||||||
S&P 500® Index4 | 23.48 | 29.88 | 15.05 | 12.96 | ||
Russell 1000® Growth Index5 | 27.19 | 39.00 | 18.52 | 15.98 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
4 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the S&P 500® Index. The S&P 500® Index is a broad-based securities market index that represents the overall market applicable to the Fund. S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
5 | Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. The Fund will retain the Russell 1000® Growth Index as its additional benchmark for performance comparison. |
Managers |
Daniel Conklin, CFA® |
Christopher T. Harms |
Clifton V. Rowe, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LSDRX |
Class C | LSCDX |
Class N | LSDNX |
Class Y | LSDIX |
Investment Goal
Average Annual Total Returns —March 31, 20241,2 | |||||||
6 Months | 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | ||||||
Class Y | |||||||
NAV | 5.02 % | 3.84 % | 1.55 % | 1.96 % | — % | 0.46 % | 0.40 % |
Class A | |||||||
NAV | 4.87 | 3.54 | 1.27 | 1.69 | — | 0.71 | 0.65 |
With 4.25% Maximum Sales Charge | 0.38 | -0.87 | 0.40 | 1.25 | — | ||
Class C (Inception 8/31/16) | |||||||
NAV | 4.49 | 2.79 | 0.53 | 1.07 | — | 1.46 | 1.40 |
With CDSC4 | 3.49 | 1.79 | 0.53 | 1.07 | — | ||
Class N (Inception 2/1/19) | |||||||
NAV | 4.93 | 3.89 | 1.58 | — | 1.91 | 0.39 | 0.35 |
Comparative Performance | |||||||
Bloomberg U.S. Aggregate Bond Index5 | 5.99 | 1.70 | 0.36 | 1.54 | 0.76 | ||
Bloomberg U.S. Intermediate Government/Credit Bond Index6 | 4.40 | 2.69 | 1.09 | 1.61 | 1.37 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | As of August 31, 2016, the Fund's Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
5 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Bloomberg U.S. Aggregate Bond Index. The Bloomberg U.S. Aggregate Bond Index is a broad-based securities market index that represents the overall market applicable to the Fund. The Bloomberg U.S. Aggregate Bond Index covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
6 | Bloomberg U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range within the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. The Fund will retain the Bloomberg U.S. Intermediate Government/Credit Bond Index as its additional benchmark for performance comparison. |
Managers |
Daniel Conklin, CFA® |
Christopher T. Harms |
Clifton V. Rowe, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFLX |
Class C | NECLX |
Class N | LGANX |
Class Y | NELYX |
Investment Goal
Average Annual Total Returns —March 31, 20241 | |||||||
6 Months | 1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios2 | ||
Gross | Net | ||||||
Class Y | |||||||
NAV | 3.53 % | 3.71 % | 1.19 % | 1.20 % | — % | 0.53 % | 0.45 % |
Class A | |||||||
NAV | 3.31 | 3.45 | 0.92 | 0.94 | — | 0.77 | 0.70 |
With 2.25% Maximum Sales Charge | 1.02 | 1.10 | 0.46 | 0.71 | — | ||
Class C | |||||||
NAV | 2.93 | 2.68 | 0.15 | 0.33 | — | 1.53 | 1.45 |
With CDSC3 | 1.93 | 1.68 | 0.15 | 0.33 | — | ||
Class N (Inception 2/1/17) | |||||||
NAV | 3.46 | 3.76 | 1.24 | — | 1.37 | 0.43 | 0.40 |
Comparative Performance | |||||||
Bloomberg U.S. Aggregate Bond Index4 | 5.99 | 1.70 | 0.36 | 1.54 | 1.14 | ||
Bloomberg U.S. 1-5 Year Government Bond Index5 | 3.15 | 2.44 | 0.93 | 1.10 | 1.10 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
4 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Bloomberg U.S. Aggregate Bond Index. The Bloomberg U.S. Aggregate Bond Index is a broad-based securities market index that represents the overall market applicable to the Fund. The Bloomberg U.S. Aggregate Bond Index covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
5 | Bloomberg U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg U.S. Government Index, which is comprised of the Bloomberg U.S. Treasury and U.S. Agency Indices. The Bloomberg U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg U.S. Government Index is a component of the Bloomberg U.S. Government/Credit Index and the Bloomberg U.S. Aggregate Bond Index. The Fund will retain the Bloomberg U.S. 1-5 Year Government Bond Index as its additional benchmark for performance comparison. |
Loomis Sayles Core Plus Bond Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Class A | |||
Actual | $1,000.00 | $1,067.70 | $3.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.30 | $3.74 |
Class C | |||
Actual | $1,000.00 | $1,063.60 | $7.69 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.55 | $7.52 |
Class N | |||
Actual | $1,000.00 | $1,069.80 | $2.07 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.00 | $2.02 |
Class Y | |||
Actual | $1,000.00 | $1,069.30 | $2.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.55 | $2.48 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.74%, 1.49%, 0.40% and 0.49% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Loomis Sayles Global Allocation Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Class A | |||
Actual | $1,000.00 | $1,197.90 | $6.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.15 | $5.91 |
Class C | |||
Actual | $1,000.00 | $1,193.60 | $10.47 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.45 | $9.62 |
Class N | |||
Actual | $1,000.00 | $1,199.70 | $4.56 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.85 | $4.19 |
Class Y | |||
Actual | $1,000.00 | $1,199.40 | $5.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.40 | $4.65 |
* | Expenses are equal to the Fund's annualized expense ratio: 1.17%, 1.91%, 0.83% and 0.92% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Loomis Sayles Growth Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Class A | |||
Actual | $1,000.00 | $1,280.20 | $5.19 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.45 | $4.60 |
Class C | |||
Actual | $1,000.00 | $1,274.90 | $9.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.70 | $8.37 |
Class N | |||
Actual | $1,000.00 | $1,282.00 | $3.25 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.15 | $2.88 |
Class Y | |||
Actual | $1,000.00 | $1,282.20 | $3.77 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.70 | $3.34 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.91%, 1.66%, 0.57% and 0.66% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Loomis Sayles Intermediate Duration Bond Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Class A | |||
Actual | $1,000.00 | $1,048.70 | $3.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.75 | $3.29 |
Class C | |||
Actual | $1,000.00 | $1,044.90 | $7.16 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $7.06 |
Class N | |||
Actual | $1,000.00 | $1,049.30 | $1.79 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.25 | $1.77 |
Class Y | |||
Actual | $1,000.00 | $1,050.20 | $2.05 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.00 | $2.02 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40%, 0.35% and 0.40% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Loomis Sayles Limited Term Government And Agency Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Class A | |||
Actual | $1,000.00 | $1,033.10 | $3.56 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.50 | $3.54 |
Class C | |||
Actual | $1,000.00 | $1,029.30 | $7.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.75 | $7.31 |
Class N | |||
Actual | $1,000.00 | $1,034.60 | $2.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.00 | $2.02 |
Class Y | |||
Actual | $1,000.00 | $1,035.30 | $2.29 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.75 | $2.28 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.70%, 1.45%, 0.40% and 0.45% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 88.6% of Net Assets | ||
Non-Convertible Bonds — 88.5% | ||
ABS Car Loan — 2.1% | ||
$4,420,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.800%, 12/18/2028 | $4,463,307 |
2,206,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025(a) | 2,192,884 |
7,064,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) | 6,666,822 |
8,160,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) | 7,828,032 |
1,840,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A, 5.200%, 10/20/2027(a) | 1,836,416 |
3,245,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class A, 6.020%, 2/20/2030(a) | 3,349,330 |
4,224,254 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) | 4,234,227 |
9,895,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 9,938,173 |
7,300,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) | 7,379,053 |
2,020,000 | DT Auto Owner Trust, Series 2023-1A, Class C, 5.550%, 10/16/2028(a) | 2,011,562 |
672,631 | Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026 | 667,930 |
4,320,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class C, 5.820%, 2/15/2028 | 4,314,492 |
4,805,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class C, 6.430%, 4/15/2027 | 4,896,026 |
3,455,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class B, 3.340%, 7/15/2031(a) | 3,383,991 |
7,240,000 | Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.850%, 8/15/2035(a) | 7,209,918 |
4,950,000 | GM Financial Automobile Leasing Trust, Series 2023-1, Class B, 5.510%, 1/20/2027 | 4,923,349 |
12,845,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class A, 5.570%, 9/25/2029(a) | 12,938,171 |
9,874,000 | Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/26/2025(a) | 9,640,246 |
9,930,000 | NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.740%, 3/15/2028(a) | 10,023,402 |
10,730,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029(a) | 10,716,330 |
915,883 | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class B, 6.451%, 12/15/2032(a) | 918,150 |
581,020 | Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C, 6.986%, 12/15/2032(a) | 583,258 |
1,418,949 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 | 1,413,530 |
19,695,000 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027 | 19,390,614 |
6,865,000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.850%, 9/15/2027(a) | 6,804,574 |
1,295,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class B, 5.410%, 1/18/2028(a) | 1,291,649 |
4,910,000 | Westlake Automobile Receivables Trust, Series 2023-2A, Class C, 6.290%, 3/15/2028(a) | 4,956,542 |
153,971,978 | ||
ABS Home Equity — 0.4% | ||
2,211,984 | CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052(a) | 2,161,281 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$9,671 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c) | $9,436 |
880,547 | OBX Trust, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048(a)(c) | 811,290 |
2,963,430 | Progress Residential Trust, Series 2023-SFR1, Class A, 4.300%, 3/17/2040(a) | 2,863,362 |
6,214,413 | PRPM LLC, Series 2024-1, Class A1, 6.959%, 2/25/2029(a)(c) | 6,197,255 |
69,654 | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047(a)(c) | 65,057 |
319,015 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048(a)(c) | 293,970 |
215,269 | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048(a)(c) | 208,607 |
3,660,000 | Toorak Mortgage Trust, Series 2024-RRTL1, Class A1, 6.597%, 2/25/2039(a)(c) | 3,657,328 |
1,220,110 | Towd Point Mortgage Trust, Series 2015-1, Class A5, 4.534%, 10/25/2053(a)(c) | 1,208,675 |
1,912,002 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055(a)(c) | 1,885,240 |
5,101,352 | Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055(a)(c) | 4,697,340 |
3,662,152 | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058(a)(c) | 3,521,926 |
27,580,767 | ||
ABS Other — 1.6% | ||
2,230,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 2,243,479 |
6,018,683 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046(a) | 5,338,758 |
11,764,212 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051(a) | 10,377,365 |
570,689 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 568,452 |
7,910,400 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052(a) | 7,334,396 |
13,310,400 | Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052(a) | 11,579,216 |
5,863,596 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) | 5,211,119 |
8,475,997 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(c) | 7,529,355 |
13,500,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30 day USD SOFR Average + 0.760%, 6.079%, 6/16/2036(a)(c) | 13,392,459 |
3,025,000 | SCF Equipment Leasing LLC, Series 2023-1A, Class A2, 6.560%, 1/22/2030(a) | 3,055,059 |
2,785,984 | Textainer Marine Containers VII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045(a) | 2,528,656 |
15,890,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 15,897,627 |
15,765,919 | Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.000%, 10/15/2048(a) | 16,512,783 |
13,900,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 13,894,315 |
115,463,039 | ||
ABS Student Loan — 0.5% | ||
2,616,759 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 2,415,226 |
Principal Amount (‡) | Description | Value (†) |
ABS Student Loan — continued | ||
$7,592,854 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) | $6,671,834 |
8,025,437 | Navient Private Education Refi Loan Trust, Series 2023-A, Class A, 5.510%, 10/15/2071(a) | 8,065,179 |
2,778,781 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053(a) | 2,451,125 |
6,674,813 | SMB Private Education Loan Trust, Series 2021-C, Class A2, 1 mo. USD SOFR + 0.914%, 6.240%, 1/15/2053(a)(c) | 6,610,839 |
7,852,199 | SMB Private Education Loan Trust, Series 2023-A, Class A1A, 5.380%, 1/15/2053(a) | 7,862,854 |
1,834,650 | SoFi Professional Loan Program LLC, Series 2020-A, Class A2FX, 2.540%, 5/15/2046(a) | 1,723,809 |
35,800,866 | ||
ABS Whole Business — 0.3% | ||
7,125,200 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048(a) | 6,931,275 |
4,689,300 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 4,377,708 |
11,867,800 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051(a) | 10,528,519 |
21,837,502 | ||
Aerospace & Defense — 0.2% | ||
15,199,000 | Boeing Co., 5.705%, 5/01/2040 | 14,547,593 |
Agency Commercial Mortgage-Backed Securities — 0.5% | ||
6,026,450 | Federal Home Loan Mortgage Corp., 3.350%, 8/01/2037 | 5,231,131 |
3,586,531 | Federal Home Loan Mortgage Corp., 3.450%, 5/01/2037 | 3,158,378 |
1,238,268 | Federal Home Loan Mortgage Corp., 3.700%, 5/01/2037 | 1,121,710 |
8,591,744 | Federal Home Loan Mortgage Corp., 3.750%, 5/01/2037 | 7,684,659 |
2,075,130 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 | 1,900,240 |
2,077,127 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 | 1,878,971 |
7,013,000 | Federal National Mortgage Association, 3.850%, 9/01/2037 | 6,325,327 |
160,000 | Federal National Mortgage Association, 3.940%, 9/01/2032 | 151,413 |
6,572,870 | Federal National Mortgage Association, 4.240%, 7/01/2038 | 6,158,131 |
33,609,960 | ||
Airlines — 0.7% | ||
4,405,584 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026(a) | 4,375,581 |
5,620,467 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(a) | 5,524,668 |
1,351,518 | Continental Airlines Pass-Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026 | 1,334,380 |
14,751,433 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028(a) | 14,427,743 |
2,733,296 | United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 2,684,725 |
Principal Amount (‡) | Description | Value (†) |
Airlines — continued | ||
$14,440,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 | $14,647,936 |
2,266,000 | United Airlines, Inc., 4.375%, 4/15/2026(a) | 2,190,629 |
4,293,000 | United Airlines, Inc., 4.625%, 4/15/2029(a) | 3,992,491 |
49,178,153 | ||
Apartment REITs — 0.0% | ||
1,715,000 | American Homes 4 Rent LP, 3.375%, 7/15/2051 | 1,141,868 |
Automotive — 1.9% | ||
3,200,000 | Ford Motor Credit Co. LLC, 4.271%, 1/09/2027 | 3,078,278 |
9,430,000 | Ford Motor Credit Co. LLC, 6.800%, 5/12/2028 | 9,796,720 |
5,315,000 | Ford Motor Credit Co. LLC, 6.950%, 3/06/2026 | 5,416,282 |
5,450,000 | Ford Motor Credit Co. LLC, 7.122%, 11/07/2033 | 5,863,716 |
17,142,000 | General Motors Co., 5.000%, 4/01/2035 | 16,245,895 |
1,000,000 | General Motors Financial Co., Inc., 2.350%, 1/08/2031 | 825,729 |
5,067,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | 4,942,830 |
7,442,000 | Goodyear Tire & Rubber Co., 5.625%, 4/30/2033 | 6,796,675 |
6,206,000 | Hyundai Capital America, 2.375%, 10/15/2027(a) | 5,626,364 |
10,356,000 | Hyundai Capital America, 2.650%, 2/10/2025(a) | 10,094,140 |
7,453,000 | Hyundai Capital America, 3.000%, 2/10/2027(a) | 6,997,002 |
11,455,000 | Hyundai Capital America, 6.100%, 9/21/2028(a) | 11,800,979 |
1,725,000 | Lear Corp., 3.550%, 1/15/2052 | 1,202,084 |
12,381,000 | Lear Corp., 5.250%, 5/15/2049 | 11,297,390 |
4,550,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 4,756,036 |
3,075,000 | Phinia, Inc., 6.750%, 4/15/2029(a) | 3,104,652 |
33,235,000 | Volkswagen Group of America Finance LLC, 6.450%, 11/16/2030(a) | 35,312,082 |
143,156,854 | ||
Banking — 6.9% | ||
4,075,000 | AIB Group PLC, (fixed rate to 3/28/2034, variable rate thereafter), 5.871%, 3/28/2035(a) | 4,086,420 |
10,051,000 | Banco Santander Chile, 2.700%, 1/10/2025(a) | 9,816,797 |
11,000,000 | Banco Santander SA, 1.849%, 3/25/2026 | 10,275,269 |
3,800,000 | Banco Santander SA, 2.958%, 3/25/2031 | 3,274,349 |
4,000,000 | Bank of America Corp., (fixed rate to 11/10/2027, variable rate thereafter), 6.204%, 11/10/2028 | 4,137,823 |
26,146,000 | Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025 | 26,068,338 |
5,475,000 | Bank of America Corp., (fixed rate to 4/24/2027, variable rate thereafter), 3.705%, 4/24/2028 | 5,238,503 |
16,280,000 | Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 | 16,230,502 |
24,210,000 | Bank of America Corp., MTN, (fixed rate to 4/23/2026, variable rate thereafter), 3.559%, 4/23/2027 | 23,360,795 |
18,664,000 | Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042 | 14,393,507 |
950,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 979,828 |
7,864,000 | BBVA Bancomer SA, 1.875%, 9/18/2025(a) | 7,466,054 |
13,513,000 | BNP Paribas SA, (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027(a) | 12,560,883 |
26,613,000 | BNP Paribas SA, (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025(a) | 26,099,378 |
23,750,000 | Capital One Financial Corp., (fixed rate to 6/08/2033, variable rate thereafter), 6.377%, 6/08/2034 | 24,664,708 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$1,154,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | $1,148,946 |
10,085,000 | Credit Agricole SA, (fixed rate to 1/10/2034, variable rate thereafter), 6.251%, 1/10/2035(a) | 10,250,652 |
9,038,000 | Deutsche Bank AG, 1.686%, 3/19/2026 | 8,461,170 |
8,585,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 7,091,271 |
6,737,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 5,674,143 |
1,750,000 | Deutsche Bank AG, (fixed rate to 11/10/2032, variable rate thereafter), 7.079%, 2/10/2034 | 1,799,751 |
10,680,000 | Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026 | 10,071,357 |
12,486,000 | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 13,641,421 |
6,320,000 | Goldman Sachs Group, Inc., (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028 | 6,047,037 |
1,326,000 | HSBC Holdings PLC, 4.950%, 3/31/2030 | 1,316,702 |
13,610,000 | HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025 | 13,505,249 |
9,610,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 10,387,449 |
4,740,000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032(a) | 3,961,455 |
24,590,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 21,776,289 |
14,076,000 | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 | 12,304,644 |
14,145,000 | Macquarie Bank Ltd., 3.231%, 3/21/2025(a) | 13,860,324 |
10,590,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 7/20/2031, variable rate thereafter), 2.309%, 7/20/2032 | 8,804,346 |
13,321,000 | Morgan Stanley, 3.591%, 7/22/2028(c) | 12,656,364 |
1,500,000 | Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 | 1,496,343 |
10,135,000 | Morgan Stanley, MTN, (fixed rate to 4/20/2028, variable rate thereafter), 5.164%, 4/20/2029 | 10,126,820 |
5,600,000 | PNC Financial Services Group, Inc., (fixed rate to 1/24/2033, variable rate thereafter), 5.068%, 1/24/2034 | 5,424,732 |
11,465,000 | Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028 | 10,419,528 |
24,503,000 | Societe Generale SA, 2.625%, 1/22/2025(a) | 23,879,353 |
13,420,000 | Societe Generale SA, (fixed rate to 1/19/2054, variable rate thereafter), 7.132%, 1/19/2055(a) | 13,397,312 |
18,840,000 | Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033(a) | 15,934,495 |
22,346,000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026(a) | 21,776,252 |
660,000 | Standard Chartered PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.866%, 3/15/2033(a) | 628,780 |
5,660,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 5,388,026 |
10,888,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | 9,872,650 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$6,655,000 | Truist Financial Corp., MTN, (fixed rate to 6/08/2033, variable rate thereafter), 5.867%, 6/08/2034 | $6,736,596 |
5,040,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 6,115,264 |
690,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(a) | 694,838 |
7,695,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 7,926,389 |
15,845,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027(a) | 14,624,403 |
505,853,505 | ||
Building Materials — 0.4% | ||
15,155,000 | American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029(a) | 13,620,556 |
8,962,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 7,940,414 |
9,128,000 | Mohawk Industries, Inc., 3.625%, 5/15/2030 | 8,412,274 |
29,973,244 | ||
Cable Satellite — 0.6% | ||
17,010,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 12,840,066 |
21,060,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063 | 16,515,955 |
5,285,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 3,909,877 |
783,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 651,802 |
2,245,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 1,944,666 |
7,162,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 | 6,770,003 |
1,707,000 | Time Warner Cable LLC, 6.750%, 6/15/2039 | 1,625,867 |
44,258,236 | ||
Chemicals — 1.1% | ||
1,610,000 | Alpek SAB de CV, 3.250%, 2/25/2031(a) | 1,378,649 |
21,698,000 | Braskem America Finance Co., 7.125%, 7/22/2041(a) | 19,576,387 |
1,873,000 | Celanese U.S. Holdings LLC, 6.050%, 3/15/2025 | 1,876,604 |
4,145,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 4,298,159 |
6,640,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 6,888,428 |
4,410,000 | Nutrien Ltd., 5.800%, 3/27/2053 | 4,502,592 |
8,271,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044(a) | 7,525,556 |
9,466,000 | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042(a) | 9,476,990 |
3,830,000 | Sociedad Quimica y Minera de Chile SA, 3.500%, 9/10/2051(a) | 2,602,370 |
9,154,000 | Sociedad Quimica y Minera de Chile SA, 4.250%, 1/22/2050(a) | 7,033,110 |
13,835,000 | Sociedad Quimica y Minera de Chile SA, 6.500%, 11/07/2033(a) | 14,458,128 |
79,616,973 | ||
Collateralized Mortgage Obligations — 1.0% | ||
31,857,418 | Federal Home Loan Mortgage Corp., Series 406, Class F15, 30 day USD SOFR Average + 1.450%, 6.770%, 10/25/2053(c) | 32,339,448 |
30,435,000 | Federal Home Loan Mortgage Corp., Series 5365, Class LY, REMICS, 6.500%, 12/25/2053 | 31,358,002 |
7,850,000 | Federal National Mortgage Association, Series 2023-51, Class L, REMICS, 6.500%, 11/25/2053 | 8,088,475 |
Principal Amount (‡) | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$122,090 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 10/20/2060(c) | $121,742 |
75,385 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.964%, 8/20/2062(c) | 75,252 |
469 | Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(b) | 407 |
8,634 | Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(b) | 7,533 |
7,103 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(b) | 6,194 |
86,819 | Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(b) | 74,602 |
2,733,646 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 2,634,430 |
6,609 | Government National Mortgage Association, Series 2015-H13, Class FL, 1 mo. USD SOFR + 0.394%, 5.724%, 5/20/2063(b)(c) | 6,258 |
74,712,343 | ||
Consumer Cyclical Services — 0.0% | ||
1,791,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 1,798,831 |
Consumer Products — 0.1% | ||
2,157,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(a) | 1,826,719 |
1,425,000 | Natura &Co. Luxembourg Holdings SARL, 6.000%, 4/19/2029(a) | 1,385,456 |
2,738,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028(a) | 2,500,460 |
5,712,635 | ||
Electric — 1.1% | ||
3,587,000 | AES Corp., 3.300%, 7/15/2025(a) | 3,474,839 |
1,609,000 | AES Corp., 3.950%, 7/15/2030(a) | 1,463,370 |
10,104,000 | Calpine Corp., 5.000%, 2/01/2031(a) | 9,268,373 |
6,110,000 | CenterPoint Energy, Inc., SOFR Index + 0.650%, 6.004%, 5/13/2024(c) | 6,110,733 |
13,354,000 | Clearway Energy Operating LLC, 3.750%, 2/15/2031(a) | 11,461,605 |
19,884,788 | Cometa Energia SA de CV, 6.375%, 4/24/2035(a) | 20,046,670 |
2,415,000 | DPL, Inc., 4.350%, 4/15/2029 | 2,211,650 |
852,000 | Edison International, 4.950%, 4/15/2025 | 845,142 |
2,811,000 | Enel Americas SA, 4.000%, 10/25/2026 | 2,700,204 |
1,348,000 | Enel Generacion Chile SA, 4.250%, 4/15/2024 | 1,344,640 |
4,316,000 | Entergy Corp., 2.800%, 6/15/2030 | 3,771,428 |
750,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 697,810 |
10,966,000 | National Rural Utilities Cooperative Finance Corp., 3 mo. USD SOFR + 3.172%, 8.489%, 4/30/2043(c) | 10,938,617 |
3,509,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028(a) | 3,270,897 |
7,133,000 | Transelec SA, 4.250%, 1/14/2025(a) | 7,040,308 |
84,646,286 | ||
Finance Companies — 2.0% | ||
6,365,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 5,759,183 |
7,145,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.100%, 1/19/2029 | 7,102,798 |
18,150,000 | Air Lease Corp., GMTN, 3.750%, 6/01/2026 | 17,505,412 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$20,287,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | $18,210,430 |
22,772,000 | Ares Capital Corp., 2.150%, 7/15/2026 | 20,969,136 |
15,425,000 | Avolon Holdings Funding Ltd., 2.750%, 2/21/2028(a) | 13,801,512 |
4,262,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 3,892,763 |
13,397,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 12,621,452 |
10,958,000 | Blue Owl Technology Finance Corp., 3.750%, 6/17/2026(a) | 10,147,340 |
18,679,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 17,725,835 |
2,730,000 | Main Street Capital Corp., 6.950%, 3/01/2029 | 2,773,091 |
8,000,000 | Navient Corp., 5.000%, 3/15/2027 | 7,664,337 |
6,564,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 5,718,552 |
1,655,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 1,401,935 |
145,293,776 | ||
Financial Other — 0.1% | ||
4,763,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 4,060,899 |
Food & Beverage — 0.7% | ||
14,008,000 | BRF SA, 5.750%, 9/21/2050(a) | 11,108,624 |
2,032,000 | Gruma SAB de CV, 4.875%, 12/01/2024(a) | 2,015,206 |
24,100,000 | JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL, 7.250%, 11/15/2053(a) | 25,902,102 |
11,530,000 | Minerva Luxembourg SA, 4.375%, 3/18/2031(a) | 9,639,599 |
3,534,000 | Post Holdings, Inc., 4.500%, 9/15/2031(a) | 3,178,805 |
1,599,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030(a) | 1,323,744 |
53,168,080 | ||
Gaming — 0.2% | ||
4,340,000 | Caesars Entertainment, Inc., 6.500%, 2/15/2032(a) | 4,378,218 |
11,765,000 | MGM Resorts International, 6.500%, 4/15/2032 | 11,726,103 |
16,104,321 | ||
Government Owned - No Guarantee — 1.0% | ||
6,872,000 | Antares Holdings LP, 3.950%, 7/15/2026(a) | 6,452,602 |
2,585,000 | Ascot Group Ltd., 4.250%, 12/15/2030(a) | 2,125,613 |
8,635,000 | Ecopetrol SA, 8.375%, 1/19/2036 | 8,716,333 |
3,903,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050(a) | 2,347,363 |
8,230,000 | Freeport Indonesia PT, 5.315%, 4/14/2032(a) | 8,033,468 |
7,985,000 | OCP SA, 3.750%, 6/23/2031(a) | 6,795,235 |
11,538,000 | Saudi Arabian Oil Co., 3.500%, 11/24/2070(a) | 7,502,238 |
10,070,000 | Tennessee Valley Authority, 4.250%, 9/15/2065 | 8,779,109 |
7,669,000 | Tennessee Valley Authority, 4.625%, 9/15/2060 | 7,265,757 |
5,427,000 | Tennessee Valley Authority, 4.875%, 1/15/2048 | 5,466,807 |
9,290,000 | Tennessee Valley Authority, 5.250%, 9/15/2039 | 9,731,551 |
73,216,076 | ||
Health Insurance — 0.1% | ||
7,364,000 | Centene Corp., 3.375%, 2/15/2030 | 6,516,637 |
Healthcare — 0.1% | ||
12,395,000 | HCA, Inc., 4.625%, 3/15/2052 | 10,359,301 |
Home Construction — 0.2% | ||
4,801,000 | Forestar Group, Inc., 3.850%, 5/15/2026(a) | 4,584,912 |
8,905,000 | NVR, Inc., 3.000%, 5/15/2030 | 7,907,777 |
12,492,689 | ||
Independent Energy — 0.5% | ||
10,350,000 | Baytex Energy Corp., 7.375%, 3/15/2032(a) | 10,455,661 |
8,952,000 | Devon Energy Corp., 4.500%, 1/15/2030 | 8,628,454 |
Principal Amount (‡) | Description | Value (†) |
Independent Energy — continued | ||
$1,765,000 | EQT Corp., 3.125%, 5/15/2026(a) | $1,672,735 |
4,696,000 | EQT Corp., 3.900%, 10/01/2027 | 4,463,708 |
601,000 | EQT Corp., 5.000%, 1/15/2029 | 588,743 |
9,078,204 | Leviathan Bond Ltd., 6.125%, 6/30/2025 | 8,938,490 |
4,320,000 | Pan American Energy LLC, 9.125%, 4/30/2027(a) | 4,513,709 |
39,261,500 | ||
Industrial Other — 0.0% | ||
3,408,000 | Georgetown University, Series A, 5.215%, 10/01/2118 | 3,218,243 |
Life Insurance — 0.2% | ||
14,171,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 14,222,649 |
2,327,000 | OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050(a) | 1,639,116 |
15,861,765 | ||
Lodging — 0.1% | ||
6,397,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 5,507,829 |
Media Entertainment — 0.6% | ||
54,020,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 2,047,168 |
5,553,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029(a) | 5,030,898 |
12,303,000 | Prosus NV, 3.680%, 1/21/2030(a) | 10,799,405 |
13,750,000 | Prosus NV, 3.832%, 2/08/2051(a) | 8,463,064 |
20,770,000 | Warnermedia Holdings, Inc., 5.391%, 3/15/2062 | 17,236,553 |
43,577,088 | ||
Metals & Mining — 0.9% | ||
1,835,000 | Anglo American Capital PLC, 2.250%, 3/17/2028(a) | 1,630,812 |
3,620,000 | Anglo American Capital PLC, 3.875%, 3/16/2029(a) | 3,386,632 |
3,322,000 | Anglo American Capital PLC, 3.950%, 9/10/2050(a) | 2,497,657 |
7,696,000 | Anglo American Capital PLC, 5.625%, 4/01/2030(a) | 7,798,605 |
9,977,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031(a) | 8,914,109 |
14,428,000 | Fresnillo PLC, 4.250%, 10/02/2050(a) | 10,816,095 |
25,662,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 21,786,781 |
5,290,000 | POSCO, 5.625%, 1/17/2026(a) | 5,302,216 |
3,555,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029(a) | 3,218,708 |
65,351,615 | ||
Midstream — 0.6% | ||
568,000 | Energy Transfer LP, 5.150%, 2/01/2043 | 507,406 |
1,500,000 | Energy Transfer LP, 5.300%, 4/15/2047 | 1,363,758 |
125,000 | Energy Transfer LP, 5.400%, 10/01/2047 | 115,358 |
4,900,000 | Energy Transfer LP, 5.950%, 10/01/2043 | 4,841,213 |
8,548,000 | Energy Transfer LP, 6.500%, 2/01/2042 | 9,065,562 |
1,338,000 | Energy Transfer LP, 6.625%, 10/15/2036 | 1,416,163 |
8,045,000 | EQM Midstream Partners LP, 6.375%, 4/01/2029(a) | 8,104,087 |
2,445,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(a) | 2,466,624 |
2,014,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025(a) | 1,919,905 |
982,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a) | 921,717 |
Principal Amount (‡) | Description | Value (†) |
Midstream — continued | ||
$14,215,000 | Sempra Global, 3.250%, 1/15/2032(a) | $11,733,251 |
930,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027 | 940,278 |
43,395,322 | ||
Mortgage Related — 24.9% | ||
45,683,412 | Federal Home Loan Mortgage Corp., 1.500%, with various maturities from 2050 to 2051(d) | 33,601,084 |
110,199,783 | Federal Home Loan Mortgage Corp., 2.000%, with various maturities from 2050 to 2052(d) | 86,783,093 |
40,773,386 | Federal Home Loan Mortgage Corp., 2.500%, with various maturities from 2050 to 2051(d) | 33,746,964 |
29,186,774 | Federal Home Loan Mortgage Corp., 3.000%, with various maturities from 2042 to 2051(d) | 25,352,860 |
5,740,291 | Federal Home Loan Mortgage Corp., 3.500%, with various maturities from 2043 to 2050(d) | 5,227,633 |
58,284,714 | Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2044 to 2052(d) | 54,067,012 |
23,884,110 | Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2041 to 2052(d) | 22,803,800 |
11,541,652 | Federal Home Loan Mortgage Corp., 5.000%, with various maturities in 2048(d) | 11,449,330 |
28,973,669 | Federal Home Loan Mortgage Corp., 5.500%, with various maturities in 2053(d) | 29,072,391 |
37,231,805 | Federal Home Loan Mortgage Corp., 6.000%, with various maturities from 2035 to 2054(d) | 38,214,518 |
54,817,812 | Federal Home Loan Mortgage Corp., 6.500%, with various maturities from 2053 to 2054(d) | 56,670,670 |
20,980,960 | Federal Home Loan Mortgage Corp., 7.000%, with various maturities from 2053 to 2054(d) | 21,901,223 |
6,968,436 | Federal Home Loan Mortgage Corp., 7.500%, 1/01/2054 | 7,314,091 |
248,101 | Federal Home Loan Mortgage Corp., 8.000%, 2/01/2054 | 259,933 |
4,677,897 | Federal National Mortgage Association, 1.500%, 9/01/2051 | 3,528,646 |
331,600,499 | Federal National Mortgage Association, 2.000%, with various maturities from 2037 to 2052(d) | 267,763,844 |
712,856,362 | Federal National Mortgage Association, 2.500%, with various maturities from 2045 to 2062(d) | 571,987,408 |
140,008,769 | Federal National Mortgage Association, 3.000%, with various maturities from 2045 to 2063(d) | 118,187,843 |
163,782,766 | Federal National Mortgage Association, 3.500%, with various maturities from 2045 to 2063(d) | 144,093,512 |
36,389,652 | Federal National Mortgage Association, 4.000%, with various maturities from 2041 to 2052(d) | 33,954,581 |
17,112,672 | Federal National Mortgage Association, 4.500%, with various maturities from 2043 to 2053(d) | 16,447,010 |
11,280,621 | Federal National Mortgage Association, 5.000%, with various maturities from 2048 to 2053(d) | 11,159,298 |
7,940,616 | Federal National Mortgage Association, 5.500%, with various maturities from 2050 to 2053(d) | 8,011,823 |
Principal Amount (‡) | Description | Value (†) |
Mortgage Related — continued | ||
$53,630,879 | Federal National Mortgage Association, 6.000%, with various maturities from 2034 to 2053(d) | $54,995,648 |
22,851,591 | Federal National Mortgage Association, 6.500%, with various maturities from 2029 to 2054(d) | 23,622,832 |
14,756,070 | Federal National Mortgage Association, 7.000%, with various maturities from 2030 to 2054(d) | 15,365,761 |
7,393 | Federal National Mortgage Association, 7.500%, with various maturities from 2024 to 2032(d) | 7,484 |
336,871 | Federal National Mortgage Association, 8.000%, 1/01/2054 | 354,190 |
4,578 | Government National Mortgage Association, 3.659%, 7/20/2063(c) | 4,454 |
932 | Government National Mortgage Association, 3.890%, 12/20/2062(c) | 885 |
734,489 | Government National Mortgage Association, 4.348%, 6/20/2064(c) | 721,108 |
5,178,364 | Government National Mortgage Association, 4.388%, 12/20/2066(c) | 5,048,741 |
17,455 | Government National Mortgage Association, 4.390%, 11/20/2062(c) | 16,747 |
3,505,146 | Government National Mortgage Association, 4.394%, with various maturities in 2066(c)(d) | 3,424,513 |
858,786 | Government National Mortgage Association, 4.398%, 2/20/2066(c) | 836,828 |
2,353 | Government National Mortgage Association, 4.422%, 5/20/2063(c) | 2,300 |
2,170,602 | Government National Mortgage Association, 4.432%, 11/20/2066(c) | 2,122,700 |
1,569,787 | Government National Mortgage Association, 4.481%, 9/20/2066(c) | 1,537,354 |
197,919 | Government National Mortgage Association, 4.483%, 1/20/2064(c) | 196,022 |
2,286,895 | Government National Mortgage Association, 4.497%, 6/20/2066(c) | 2,241,150 |
1,754,765 | Government National Mortgage Association, 4.503%, 12/20/2064(c) | 1,729,554 |
2,803,857 | Government National Mortgage Association, 4.519%, with various maturities from 2063 to 2064(c)(d) | 2,758,554 |
2,134,124 | Government National Mortgage Association, 4.575%, 2/20/2065(c) | 2,105,718 |
646,985 | Government National Mortgage Association, 4.583%, 1/20/2065(c) | 638,072 |
3,352,598 | Government National Mortgage Association, 4.587%, with various maturities from 2065 to 2066(c)(d) | 3,282,473 |
969,907 | Government National Mortgage Association, 4.593%, 3/20/2065(c) | 955,999 |
570,663 | Government National Mortgage Association, 4.595%, 6/20/2064(c) | 558,301 |
1,016,930 | Government National Mortgage Association, 4.604%, 4/20/2066(c) | 998,099 |
2,163,346 | Government National Mortgage Association, 4.609%, 3/20/2066(c) | 2,113,365 |
1,336,342 | Government National Mortgage Association, 4.613%, 12/20/2064(c) | 1,318,181 |
4,098,996 | Government National Mortgage Association, 4.656%, 12/20/2066(c) | 4,007,232 |
Principal Amount (‡) | Description | Value (†) |
Mortgage Related — continued | ||
$2,743 | Government National Mortgage Association, 4.657%, 5/20/2063(c) | $2,695 |
3,544 | Government National Mortgage Association, 4.677%, 8/20/2061(c) | 3,495 |
1,778,919 | Government National Mortgage Association, 4.690%, 1/20/2065(c) | 1,750,820 |
1,106,781 | Government National Mortgage Association, 4.700%, with various maturities from 2062 to 2066(c)(d) | 1,082,348 |
866,147 | Government National Mortgage Association, 4.752%, 1/20/2064(c) | 855,385 |
70,427 | Government National Mortgage Association, 5.500%, 4/15/2038 | 72,356 |
11,246 | Government National Mortgage Association, 6.000%, with various maturities from 2029 to 2038(d) | 11,484 |
13,674 | Government National Mortgage Association, 6.500%, with various maturities from 2029 to 2032(d) | 14,018 |
7,259 | Government National Mortgage Association, 7.000%, 9/15/2025 | 7,242 |
1,176 | Government National Mortgage Association, 7.500%, with various maturities from 2025 to 2030(d) | 1,185 |
84,951,000 | Uniform Mortgage-Backed Security, TBA, 2.500%, 4/01/2054(e) | 70,208,630 |
13,407,000 | Uniform Mortgage-Backed Security, TBA, 3.000%, 4/01/2054(e) | 11,532,851 |
11,592,000 | Uniform Mortgage-Backed Security, TBA, 3.500%, 4/01/2054(e) | 10,373,418 |
1,828,478,759 | ||
Natural Gas — 0.0% | ||
2,701,000 | Boston Gas Co., 3.001%, 8/01/2029(a) | 2,387,700 |
Non-Agency Commercial Mortgage-Backed Securities — 1.8% | ||
22,085,000 | AOA Mortgage Trust, Series 2021-1177, Class A, 1 mo. USD SOFR + 0.989%, 6.315%, 10/15/2038(a)(c) | 21,478,632 |
1,531,640 | BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052 | 1,455,124 |
3,409,380 | BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062 | 3,024,749 |
12,696,152 | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 | 11,374,363 |
6,138,240 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 5,491,846 |
7,135,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(c) | 6,743,727 |
14,179,842 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | 12,639,046 |
7,070,071 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 | 6,200,915 |
8,877,514 | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053 | 7,776,645 |
698,971 | Commercial Mortgage Trust, Series 2010-C1, Class D, 5.793%, 7/10/2046(a)(c) | 644,604 |
2,112,208 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037(a) | 1,851,580 |
11,367,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | 10,059,795 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$8,025,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) | $8,203,460 |
7,400,900 | Extended Stay America Trust, Series 2021-ESH, Class A, 1 mo. USD SOFR + 1.194%, 6.520%, 7/15/2038(a)(c) | 7,398,575 |
1,357,670 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.690%, 7/15/2038(a)(c) | 1,355,973 |
5,627,003 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.152%, 8/10/2044(a)(c) | 4,137,153 |
6,596,065 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 5,827,579 |
8,330,022 | Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.390%, 11/15/2038(a)(c) | 8,309,197 |
4,982,141 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 4.979%, 6/15/2044(a)(c) | 4,192,431 |
5,245,978 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047 | 4,978,477 |
133,143,871 | ||
Other REITs — 0.0% | ||
3,790,000 | EPR Properties, 3.600%, 11/15/2031 | 3,167,530 |
Paper — 0.1% | ||
11,175,000 | Klabin Austria GmbH, 7.000%, 4/03/2049(a) | 11,306,049 |
Pharmaceuticals — 0.4% | ||
12,370,000 | Amgen, Inc., 5.750%, 3/02/2063 | 12,616,775 |
10,284,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 9,614,422 |
7,588,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 7,622,450 |
1,903,000 | Viatris, Inc., 4.000%, 6/22/2050 | 1,311,014 |
31,164,661 | ||
Property & Casualty Insurance — 0.3% | ||
17,395,000 | Ardonagh Finco Ltd., 7.750%, 2/15/2031(a) | 17,316,479 |
5,865,000 | Liberty Mutual Group, Inc., 3.950%, 5/15/2060(a) | 4,254,313 |
21,570,792 | ||
Refining — 0.4% | ||
6,720,000 | Raizen Fuels Finance SA, 6.450%, 3/05/2034(a) | 6,887,798 |
4,475,000 | Raizen Fuels Finance SA, 6.950%, 3/05/2054(a) | 4,603,030 |
1,000,000 | Thaioil Treasury Center Co. Ltd., 3.750%, 6/18/2050(a) | 716,765 |
19,664,000 | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043(a) | 17,129,114 |
29,336,707 | ||
Retailers — 0.4% | ||
3,081,000 | Alibaba Group Holding Ltd., 3.250%, 2/09/2061 | 1,964,622 |
12,355,000 | Dick's Sporting Goods, Inc., 4.100%, 1/15/2052 | 8,954,486 |
8,985,000 | Falabella SA, 3.375%, 1/15/2032(a) | 7,088,445 |
6,632,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(a) | 5,940,460 |
4,582,000 | MercadoLibre, Inc., 3.125%, 1/14/2031 | 3,836,225 |
27,784,238 | ||
Sovereigns — 0.4% | ||
4,185,000 | Panama Government International Bonds, 6.853%, 3/28/2054 | 3,795,274 |
Principal Amount (‡) | Description | Value (†) |
Sovereigns — continued | ||
$9,670,000 | Panama Government International Bonds, 8.000%, 3/01/2038 | $10,130,388 |
14,320,000 | Republic of South Africa Government International Bonds, 7.300%, 4/20/2052 | 12,414,294 |
26,339,956 | ||
Technology — 1.4% | ||
3,175,000 | Baidu, Inc., 2.375%, 10/09/2030 | 2,689,384 |
4,515,000 | Baidu, Inc., 3.075%, 4/07/2025 | 4,404,699 |
5,890,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 4,758,539 |
11,954,000 | Corning, Inc., 5.450%, 11/15/2079 | 11,319,249 |
2,133,000 | Equifax, Inc., 2.600%, 12/15/2025 | 2,036,454 |
4,324,000 | Equifax, Inc., 7.000%, 7/01/2037 | 4,791,549 |
15,011,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 16,017,534 |
12,714,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(a) | 11,471,050 |
5,460,000 | Jabil, Inc., 3.000%, 1/15/2031 | 4,674,221 |
2,250,000 | Jabil, Inc., 5.450%, 2/01/2029 | 2,261,315 |
14,161,000 | Oracle Corp., 4.100%, 3/25/2061 | 10,633,988 |
3,513,000 | Sabre Global, Inc., 8.625%, 6/01/2027(a) | 3,082,735 |
39,000 | Science Applications International Corp., 4.875%, 4/01/2028(a) | 37,240 |
4,204,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 3,636,469 |
13,563,000 | Tencent Holdings Ltd., 3.290%, 6/03/2060(a) | 8,742,062 |
13,307,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(a) | 11,996,165 |
102,552,653 | ||
Tobacco — 0.3% | ||
26,019,000 | BAT Capital Corp., 2.789%, 9/06/2024 | 25,690,412 |
Treasuries — 30.3% | ||
375,158(f ) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2033, (BRL) | 71,140,285 |
6,961,647(g ) | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) | 38,727,184 |
12,930,849(g ) | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) | 75,428,202 |
154,795,000 | U.S. Treasury Bonds, 1.750%, 8/15/2041 | 104,462,438 |
241,735,000 | U.S. Treasury Bonds, 2.000%, 11/15/2041 | 169,592,211 |
71,990,000 | U.S. Treasury Bonds, 2.375%, 2/15/2042 | 53,545,374 |
46,925,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 39,888,083 |
86,885,000 | U.S. Treasury Bonds, 3.375%, 8/15/2042 | 75,046,919 |
33,895,000 | U.S. Treasury Bonds, 3.625%, 2/15/2053 | 29,764,047 |
15,860,000 | U.S. Treasury Bonds, 3.875%, 2/15/2043 | 14,661,207 |
72,190,000 | U.S. Treasury Bonds, 3.875%, 5/15/2043 | 66,626,294 |
172,935,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 166,206,748 |
32,345,000 | U.S. Treasury Bonds, 4.250%, 2/15/2054 | 31,809,286 |
15,520,000 | U.S. Treasury Bonds, 4.750%, 11/15/2043 | 16,099,575 |
1,575,000 | U.S. Treasury Bonds, 4.750%, 11/15/2053 | 1,681,313 |
15,485,000 | U.S. Treasury Notes, 2.750%, 7/31/2027 | 14,705,911 |
45,850,000 | U.S. Treasury Notes, 2.750%, 8/15/2032 | 41,123,510 |
1,135,000 | U.S. Treasury Notes, 2.875%, 5/15/2032 | 1,030,500 |
99,910,000 | U.S. Treasury Notes, 3.125%, 8/31/2029 | 94,586,670 |
160,115,000 | U.S. Treasury Notes, 3.375%, 5/15/2033 | 149,995,232 |
41,465,000 | U.S. Treasury Notes, 3.500%, 1/31/2028 | 40,251,825 |
25,800,000 | U.S. Treasury Notes, 3.500%, 4/30/2028 | 25,027,008 |
21,635,000 | U.S. Treasury Notes, 3.500%, 1/31/2030 | 20,818,617 |
127,735,000 | U.S. Treasury Notes, 3.500%, 2/15/2033 | 120,974,026 |
31,760,000 | U.S. Treasury Notes, 3.625%, 3/31/2028 | 30,961,038 |
12,305,000 | U.S. Treasury Notes, 3.625%, 3/31/2030 | 11,910,855 |
9,895,000 | U.S. Treasury Notes, 3.750%, 12/31/2028 | 9,683,958 |
3,655,000 | U.S. Treasury Notes, 3.750%, 6/30/2030 | 3,558,200 |
14,275,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 14,044,146 |
Principal Amount (‡) | Description | Value (†) |
Treasuries — continued | ||
$33,275,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | $32,738,181 |
30,770,000 | U.S. Treasury Notes, 3.875%, 11/30/2029 | 30,214,698 |
32,370,000 | U.S. Treasury Notes, 3.875%, 8/15/2033 | 31,510,172 |
189,365,000 | U.S. Treasury Notes, 4.000%, 2/15/2034 | 186,228,642 |
10,050,000 | U.S. Treasury Notes, 4.125%, 9/30/2027 | 9,971,877 |
19,250,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 | 19,097,353 |
95,010,000 | U.S. Treasury Notes, 4.125%, 3/31/2029 | 94,601,753 |
2,210,000 | U.S. Treasury Notes, 4.125%, 3/31/2031 | 2,197,569 |
109,640,000 | U.S. Treasury Notes, 4.125%, 11/15/2032 | 108,890,508 |
44,835,000 | U.S. Treasury Notes, 4.500%, 11/15/2033 | 45,829,777 |
4,273,057,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 108,767,068 |
213,447,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU)(a) | 5,577,847 |
93,095,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU) | 2,432,780 |
596,940,000 | Uruguay Government International Bonds, 9.750%, 7/20/2033, (UYU) | 16,638,167 |
2,228,047,054 | ||
Wireless — 0.8% | ||
17,567,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025(a) | 17,279,891 |
983,000 | Crown Castle, Inc., 4.150%, 7/01/2050 | 785,564 |
3,360,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(a) | 2,675,921 |
13,869,000 | Kenbourne Invest SA, 4.700%, 1/22/2028(a) | 5,090,894 |
5,452,000 | Millicom International Cellular SA, 4.500%, 4/27/2031(a) | 4,674,526 |
14,210,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 12,540,405 |
16,530,000 | Sitios Latinoamerica SAB de CV, 5.375%, 4/04/2032(a) | 15,410,423 |
58,457,624 | ||
Wirelines — 0.3% | ||
7,956,000 | AT&T, Inc., 3.500%, 9/15/2053 | 5,613,137 |
2,905,000 | AT&T, Inc., 3.550%, 9/15/2055 | 2,031,250 |
1,863,000 | AT&T, Inc., 3.650%, 6/01/2051 | 1,367,697 |
11,891,000 | AT&T, Inc., 3.650%, 9/15/2059 | 8,278,655 |
7,539,000 | AT&T, Inc., 3.800%, 12/01/2057 | 5,458,401 |
22,749,140 | ||
Total Non-Convertible Bonds (Identified Cost $7,016,703,871) | 6,512,422,920 | |
Municipals — 0.1% | ||
Virginia — 0.1% | ||
12,785,000 | University of Virginia, 3.227%, 9/01/2119 (Identified Cost $12,785,000) | 7,940,675 |
Total Bonds and Notes (Identified Cost $7,029,488,871) | 6,520,363,595 | |
Collateralized Loan Obligations — 4.8% | ||
2,390,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.782%, 9.096%, 10/15/2034(a)(c) | 2,379,694 |
2,135,000 | 37 Capital CLO 4 Ltd., Series 2023-2A, Class B, 3 mo. USD SOFR + 2.750%, 8.117%, 1/15/2034(a)(c) | 2,147,133 |
1,000,000 | 37 Capital CLO II Ltd., Series 2022-1A, Class C1, 3 mo. USD SOFR + 3.350%, 8.664%, 7/15/2034(a)(c) | 1,001,680 |
1,815,000 | 720 East CLO IV Ltd., Series 2024-1A, Class C, 3 mo. USD SOFR + 2.400%, 7.695%, 4/15/2037(a)(c) | 1,813,628 |
Principal Amount (‡) | Description | Value (†) |
$6,520,000 | AGL CLO 30 Ltd., Series 2024-30A, Class B, 3 mo. USD SOFR + 2.050%, 7.379%, 4/21/2037(a)(c) | $6,525,073 |
1,000,000 | AIMCO CLO 14 Ltd., Series 2021-14A, Class B, 3 mo. USD SOFR + 1.612%, 6.929%, 4/20/2034(a)(c) | 992,319 |
1,575,000 | Allegro CLO XII Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.279%, 1/21/2032(a)(c) | 1,575,083 |
4,275,000 | AMMC CLO 26 Ltd., Series 2023-26A, Class D, 3 mo. USD SOFR + 5.750%, 11.064%, 4/15/2036(a)(c) | 4,380,203 |
5,120,000 | Anchorage Capital CLO 13 LLC, Series 2019-13A, Class B1R, 3 mo. USD SOFR + 2.062%, 7.376%, 4/15/2034(a)(c) | 5,119,933 |
750,000 | Anchorage Capital CLO 19 Ltd., Series 2021-19A, Class B1, 3 mo. USD SOFR + 2.112%, 7.426%, 10/15/2034(a)(c) | 748,004 |
940,000 | Anchorage Capital CLO 28 Ltd., Series 2024-28A, Class B, 3 mo. USD SOFR + 2.250%, 7.535%, 4/20/2037(a)(c) | 940,004 |
400,000 | ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD SOFR + 1.762%, 7.076%, 10/15/2030(a)(c) | 400,021 |
745,000 | Atrium IX, Series 9A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.099%, 5/28/2030(a)(c) | 745,039 |
1,405,000 | Atrium XIII, Series 13A, Class B, 3 mo. USD SOFR + 1.762%, 7.077%, 11/21/2030(a)(c) | 1,405,398 |
1,650,000 | Atrium XV, Series 15A, Class B, 3 mo. USD SOFR + 2.012%, 7.327%, 1/23/2031(a)(c) | 1,650,873 |
2,000,000 | Atrium XV, Series 15A, Class D, 3 mo. USD SOFR + 3.262%, 8.577%, 1/23/2031(a)(c) | 1,997,593 |
5,775,000 | Bain Capital CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.325%, 4/16/2037(a)(c) | 5,771,535 |
1,165,000 | Bain Capital Credit CLO Ltd., Series 2019-1A, Class CR, 3 mo. USD SOFR + 2.412%, 7.721%, 4/19/2034(a)(c) | 1,165,253 |
845,000 | Bain Capital Credit CLO Ltd., Series 2020-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.260%, 4/18/2033(a)(c) | 845,179 |
1,750,000 | Bain Capital Credit CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.512%, 8.829%, 1/22/2035(a)(c) | 1,750,063 |
565,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.250%, 7.564%, 4/16/2036(a)(c) | 567,089 |
2,250,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 3 mo. USD SOFR + 4.900%, 10.214%, 4/16/2036(a)(c) | 2,281,590 |
4,165,000 | Balboa Bay Loan Funding Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.779%, 7/20/2034(a)(c) | 4,172,467 |
3,420,000 | Balboa Bay Loan Funding Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.550%, 7.868%, 4/20/2035(a)(c) | 3,419,737 |
6,000,000 | Balboa Bay Loan Funding Ltd., Series 2023-1A, Class BR, 3 mo. USD SOFR + 2.050%, 7.868%, 4/20/2036(a)(c) | 6,001,074 |
1,400,000 | Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.812%, 7.126%, 7/15/2032(a)(c) | 1,399,930 |
Principal Amount (‡) | Description | Value (†) |
$1,065,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class BR2, 3 mo. USD SOFR + 2.262%, 7.560%, 7/18/2030(a)(c) | $1,065,007 |
5,000,000 | Battalion CLO X Ltd., Series 2016-10A, Class A1R2, 3 mo. USD SOFR + 1.432%, 6.750%, 1/25/2035(a)(c) | 5,000,270 |
400,000 | Battalion CLO XIX Ltd., Series 2021-19A, Class D, 3 mo. USD SOFR + 3.512%, 8.826%, 4/15/2034(a)(c) | 389,968 |
1,675,000 | Betony CLO 2 Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.862%, 7.179%, 4/30/2031(a)(c) | 1,675,137 |
1,865,000 | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3 mo. USD SOFR + 2.012%, 7.336%, 7/25/2034(a)(c) | 1,865,261 |
6,805,000 | Bryant Park Funding Ltd., Series 2024-22A, Class A1, 3 mo. USD SOFR + 1.620%, 6.933%, 4/15/2037(a)(c) | 6,807,293 |
2,400,000 | Buttermilk Park CLO Ltd., Series 2018-1A, Class C, 3 mo. USD SOFR + 2.362%, 7.676%, 10/15/2031(a)(c) | 2,400,043 |
500,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.276%, 7/15/2031(a)(c) | 500,045 |
1,990,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD SOFR + 1.962%, 7.276%, 10/15/2034(a)(c) | 1,985,615 |
545,000 | Carlyle Global Market Strategies CLO Ltd., Series 2015-5A, Class A2RR, 3 mo. USD SOFR + 1.912%, 7.229%, 1/20/2032(a)(c) | 545,243 |
3,515,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.529%, 7/20/2032(a)(c) | 3,502,132 |
525,000 | Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3 mo. USD SOFR + 1.912%, 7.228%, 7/17/2034(a)(c) | 525,071 |
6,970,000 | CIFC Funding Ltd., Series 2017-1A, Class BRR, 3 mo. USD SOFR + 2.050%, 7.330%, 4/21/2037(a)(c) | 6,968,982 |
325,000 | CIFC Funding Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.662%, 6.960%, 4/18/2031(a)(c) | 325,201 |
2,935,000 | CIFC Funding Ltd., Series 2020-1A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 7/15/2036(a)(c) | 2,935,370 |
4,500,000 | CIFC Funding Ltd., Series 2020-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.679%, 10/20/2034(a)(c) | 4,500,648 |
7,190,000 | CIFC Funding Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.262%, 8.577%, 1/23/2035(a)(c) | 7,173,521 |
4,210,000 | Clover CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD SOFR + 1.382%, 6.699%, 4/20/2032(a)(c) | 4,213,806 |
725,000 | Clover CLO Ltd., Series 2019-1A, Class BR, 3 mo. USD SOFR + 1.850%, 7.148%, 4/18/2035(a)(c) | 724,706 |
7,655,000 | Crown City CLO III, Series 2021-1A, Class A1A, 3 mo. USD SOFR + 1.432%, 6.749%, 7/20/2034(a)(c) | 7,655,903 |
5,450,000 | Dryden 78 CLO Ltd., Series 2020-78A, Class A, 3 mo. USD SOFR + 1.442%, 6.758%, 4/17/2033(a)(c) | 5,451,106 |
Principal Amount (‡) | Description | Value (†) |
$7,000,000 | Elmwood CLO 26 Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.292%, 4/18/2037(a)(c) | $7,003,542 |
4,520,000 | Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3 mo. USD SOFR + 1.422%, 6.739%, 10/20/2034(a)(c) | 4,523,874 |
2,700,000 | Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3 mo. USD SOFR + 1.502%, 6.816%, 4/15/2033(a)(c) | 2,701,912 |
1,750,000 | Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3 mo. USD SOFR + 3.912%, 9.226%, 10/15/2034(a)(c) | 1,749,977 |
2,945,000 | Generate CLO 13 Ltd., Series 2023-13A, Class A1, 3 mo. USD SOFR + 1.800%, 7.130%, 1/20/2037(a)(c) | 2,964,949 |
7,000,000 | Generate CLO 7 Ltd., Series 7A, Class A1R, 3 mo. USD SOFR + 1.620%, 6.919%, 4/22/2037(a)(c) | 7,006,447 |
500,000 | Generate CLO 9 Ltd., Series 9A, Class A, 3 mo. USD SOFR + 1.462%, 6.779%, 10/20/2034(a)(c) | 500,217 |
1,875,000 | GoldenTree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class BR, 3 mo. USD SOFR + 1.662%, 6.979%, 11/20/2030(a)(c) | 1,875,174 |
1,000,000 | GoldenTree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class C, 3 mo. USD SOFR + 2.062%, 7.379%, 11/28/2030(a)(c) | 1,000,079 |
1,875,000 | GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class BR2, 3 mo. USD SOFR + 1.612%, 6.910%, 1/18/2031(a)(c) | 1,868,664 |
6,030,000 | Golub Capital Partners CLO 72 B Ltd., Series 2024-72A, Class B, 3 mo. USD SOFR + 2.100%, 7.396%, 4/25/2037(a)(c) | 6,032,056 |
1,518,000 | Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.890%, 7.214%, 4/26/2031(a)(c) | 1,519,820 |
1,750,000 | HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A, 3 mo. USD SOFR + 1.712%, 7.029%, 11/30/2032(a)(c) | 1,750,101 |
2,575,000 | Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 3 mo. USD SOFR + 2.062%, 7.381%, 4/28/2031(a)(c) | 2,582,668 |
5,000,000 | Invesco U.S. CLO Ltd., Series 2023-2A, Class D, 3 mo. USD SOFR + 4.950%, 10.268%, 4/21/2036(a)(c) | 5,052,935 |
1,610,000 | KKR CLO 22 Ltd., Series 22A, Class B, 3 mo. USD SOFR + 1.862%, 7.179%, 7/20/2031(a)(c) | 1,610,753 |
1,190,000 | Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3 mo. USD SOFR + 1.637%, 6.953%, 1/17/2030(a)(c) | 1,188,862 |
3,000,000 | Madison Park Funding LXVII Ltd., Series 2024-67A, Class B, 3 mo. USD SOFR + 2.050%, 7.027%, 4/25/2037(a)(c) | 3,001,545 |
680,000 | Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, 3 mo. USD SOFR + 1.862%, 7.176%, 1/15/2033(a)(c) | 678,916 |
475,000 | Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, 3 mo. USD SOFR + 2.162%, 7.479%, 4/20/2032(a)(c) | 475,000 |
835,000 | Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B, 3 mo. USD SOFR + 1.912%, 7.228%, 7/17/2034(a)(c) | 835,117 |
Principal Amount (‡) | Description | Value (†) |
$649,288 | Magnetite XVIII Ltd., Series 2016-18A, Class AR2, 3 mo. USD SOFR + 1.142%, 6.449%, 11/15/2028(a)(c) | $649,256 |
1,250,000 | Magnetite XXI Ltd., Series 2019-21A, Class BR, 3 mo. USD SOFR + 1.612%, 6.929%, 4/20/2034(a)(c) | 1,248,256 |
3,595,000 | Milos CLO Ltd., Series 2017-1A, Class BR, 3 mo. USD SOFR + 1.812%, 7.129%, 10/20/2030(a)(c) | 3,594,975 |
465,000 | MP CLO VIII Ltd., Series 2015-2A, Class ARR, 3 mo. USD SOFR + 1.462%, 6.781%, 4/28/2034(a)(c) | 463,854 |
3,990,000 | Nassau Ltd., Series 2022-1A, Class CR, 3 mo. USD SOFR + 2.700%, 8.024%, 1/15/2031(a)(c) | 3,989,693 |
1,345,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class BR2, 3 mo. USD SOFR + 1.762%, 7.081%, 1/28/2030(a)(c) | 1,344,609 |
650,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD SOFR + 2.162%, 7.481%, 1/28/2030(a)(c) | 646,690 |
3,410,000 | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class B, 3 mo. USD SOFR + 1.662%, 6.976%, 4/16/2033(a)(c) | 3,398,177 |
2,745,000 | NYACK Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.062%, 8.379%, 10/20/2034(a)(c) | 2,744,816 |
3,230,000 | Octagon Investment Partners 31 Ltd., Series 2017-1A, Class B1RR, 3 mo. USD SOFR + 1.500%, 6.819%, 7/20/2030(a)(c) | 3,230,136 |
4,385,000 | Octagon Investment Partners 32 Ltd., Series 2017-1A, Class CR, 3 mo. USD SOFR + 2.312%, 7.626%, 7/15/2029(a)(c) | 4,384,816 |
7,000,000 | Octagon Investment Partners 49 Ltd., Series 2020-5A, Class CR, 3 mo. USD SOFR + 2.400%, 7.691%, 4/15/2037(a)(c) | 6,997,550 |
4,000,000 | OHA Credit Funding 10 Ltd., Series 2021-10A, Class A, 3 mo. USD SOFR + 1.392%, 6.690%, 1/18/2036(a)(c) | 4,001,684 |
4,375,000 | OHA Credit Funding 12 Ltd., Series 2022-12A, Class CR2, 3 mo. USD SOFR + 2.400%, 7.229%, 4/23/2037(a)(c) | 4,375,000 |
1,000,000 | OHA Credit Funding 16 Ltd., Series 2023-16A, Class B, 3 mo. USD SOFR + 2.250%, 7.606%, 10/20/2036(a)(c) | 1,008,202 |
4,355,000 | OHA Credit Funding 17 Ltd., Series 2024-17A, Class B1, 3 mo. USD SOFR + 1.900%, 7.213%, 4/20/2037(a)(c) | 4,350,845 |
1,750,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD SOFR + 1.912%, 7.229%, 7/02/2035(a)(c) | 1,751,799 |
8,880,000 | OHA Credit Funding 8 Ltd., Series 2021-8A, Class B1, 3 mo. USD SOFR + 1.762%, 7.060%, 1/18/2034(a)(c) | 8,877,780 |
1,280,000 | OHA Credit Partners XI Ltd., Series 2015-11A, Class BR, 3 mo. USD SOFR + 1.912%, 7.229%, 1/20/2032(a)(c) | 1,280,114 |
6,005,000 | OHA Credit Partners XV Ltd., Series 2017-15A, Class CR, 3 mo. USD SOFR + 2.350%, 7.676%, 4/20/2037(a)(c) | 6,008,063 |
470,000 | OZLM Funding IV Ltd., Series 2013-4A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.279%, 10/22/2030(a)(c) | 469,371 |
Principal Amount (‡) | Description | Value (†) |
$260,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD SOFR + 2.212%, 7.529%, 7/20/2030(a)(c) | $259,661 |
250,000 | Palmer Square CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD SOFR + 1.962%, 7.268%, 11/14/2034(a)(c) | 250,474 |
4,445,000 | Palmer Square CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.000%, 7.305%, 4/15/2037(a)(c) | 4,445,876 |
1,250,000 | Palmer Square Loan Funding Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.379%, 4/20/2029(a)(c) | 1,250,975 |
3,500,000 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 3 mo. USD SOFR + 1.662%, 6.979%, 7/20/2029(a)(c) | 3,500,766 |
1,500,000 | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A2, 3 mo. USD SOFR + 1.662%, 6.976%, 10/15/2029(a)(c) | 1,500,984 |
1,000,000 | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A2, 3 mo. USD SOFR + 1.900%, 7.214%, 10/15/2030(a)(c) | 1,000,494 |
1,585,000 | Palmer Square Loan Funding Ltd., Series 2022-4A, Class A2, 3 mo. USD SOFR + 2.300%, 7.619%, 7/24/2031(a)(c) | 1,585,057 |
3,510,000 | Peebles Park CLO Ltd., Series 2024-1A, Class B1, 3 mo. USD SOFR + 2.000%, 7.304%, 4/21/2037(a)(c) | 3,510,590 |
2,320,000 | Point Au Roche Park CLO Ltd., Series 2021-1A, Class B1, 3 mo. USD SOFR + 1.862%, 7.179%, 7/20/2034(a)(c) | 2,320,274 |
1,450,000 | Post CLO Ltd., Series 2021-1A, Class A, 3 mo. USD SOFR + 1.462%, 6.776%, 10/15/2034(a)(c) | 1,450,682 |
5,670,000 | Post CLO Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 2.012%, 7.326%, 10/15/2034(a)(c) | 5,670,272 |
1,245,000 | Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 7.218%, 4/20/2035(a)(c) | 1,241,520 |
5,385,000 | Post CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.100%, 7.372%, 4/20/2037(a)(c) | 5,383,110 |
3,730,000 | PPM CLO 5 Ltd., Series 2021-5A, Class B, 3 mo. USD SOFR + 1.962%, 7.260%, 10/18/2034(a)(c) | 3,711,569 |
1,460,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 6.979%, 4/20/2034(a)(c) | 1,446,606 |
2,555,000 | Reese Park CLO Ltd., Series 2020-1A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 10/15/2034(a)(c) | 2,555,335 |
750,000 | Regatta IX Funding Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.378%, 4/17/2030(a)(c) | 753,043 |
3,250,000 | Riserva CLO Ltd., Series 2016-3A, Class DRR, 3 mo. USD SOFR + 3.512%, 8.810%, 1/18/2034(a)(c) | 3,236,931 |
1,495,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, 3 mo. USD SOFR + 1.912%, 7.229%, 4/20/2034(a)(c) | 1,485,123 |
2,765,000 | Rockford Tower CLO Ltd., Series 2021-2A, Class B, 3 mo. USD SOFR + 2.012%, 7.329%, 7/20/2034(a)(c) | 2,764,873 |
2,605,000 | Rockland Park CLO Ltd., Series 2021-1A, Class B, 3 mo. USD SOFR + 1.912%, 7.229%, 4/20/2034(a)(c) | 2,605,487 |
2,750,000 | RR 26 Ltd., Series 2023-26A, Class A1, 3 mo. USD SOFR + 1.780%, 7.094%, 4/15/2038(a)(c) | 2,769,351 |
Principal Amount (‡) | Description | Value (†) |
$7,045,000 | RR 28 Ltd., Series 2024-28RA, Class A2R, 3 mo. USD SOFR + 2.050%, 7.341%, 4/15/2037(a)(c) | $7,044,704 |
3,000,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.738%, 4/17/2034(a)(c) | 2,999,865 |
1,000,000 | Signal Peak CLO 12 Ltd., Series 2022-12A, Class B1, 3 mo. USD SOFR + 2.600%, 7.898%, 7/18/2034(a)(c) | 1,002,708 |
7,000,000 | Silver Point CLO 4 Ltd., Series 2024-4A, Class A1, 3 mo. USD SOFR + 1.630%, 6.887%, 4/15/2037(a)(c) | 7,003,598 |
5,410,000 | Sixth Street CLO XXIV Ltd., Series 2024-24A, Class A, 3 mo. USD SOFR + 1.520%, 8.579%, 4/23/2037(a)(c) | 5,413,673 |
2,060,000 | Sycamore Tree CLO Ltd., Series 2023-2A, Class CR, 3 mo. USD SOFR + 2.750%, 8.073%, 1/20/2037(a)(c) | 2,066,950 |
3,500,000 | TICP CLO V Ltd., Series 2016-5A, Class CR, 3 mo. USD SOFR + 2.462%, 7.778%, 7/17/2031(a)(c) | 3,499,772 |
1,880,000 | TICP CLO XII Ltd., Series 2018-12A, Class BR, 3 mo. USD SOFR + 1.912%, 7.226%, 7/15/2034(a)(c) | 1,880,218 |
5,000,000 | Trestles CLO IV Ltd., Series 2021-4A, Class A, 3 mo. USD SOFR + 1.432%, 6.749%, 7/21/2034(a)(c) | 5,000,520 |
1,000,000 | Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, 3 mo. USD SOFR + 1.442%, 6.759%, 7/20/2034(a)(c) | 998,995 |
500,000 | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 3 mo. USD SOFR + 1.432%, 6.749%, 1/20/2035(a)(c) | 499,451 |
1,000,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD SOFR + 1.362%, 6.676%, 4/15/2032(a)(c) | 1,000,340 |
3,250,000 | Wellfleet CLO X Ltd., Series 2019-XA, Class BR, 3 mo. USD SOFR + 2.462%, 7.779%, 7/20/2032(a)(c) | 3,195,514 |
2,280,000 | Wellington Management CLO 1 Ltd., Series 2023-1A, Class C, 3 mo. USD SOFR + 3.100%, 8.418%, 10/20/2036(a)(c) | 2,280,401 |
3,500,000 | Wellington Management CLO 2 Ltd., Series 2024-2A, Class B, 3 mo. USD SOFR + 2.000%, 7.314%, 4/20/2037(a)(c) | 3,500,588 |
250,000 | Wind River CLO Ltd., Series 2021-3A, Class A, 3 mo. USD SOFR + 1.412%, 6.729%, 7/20/2033(a)(c) | 250,042 |
Total Collateralized Loan Obligations (Identified Cost $347,266,874) | 350,480,609 | |
Short-Term Investments — 10.9% | ||
301,324,990 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $301,442,172 on 4/01/2024 collateralized by $309,034,000 U.S. Treasury Note, 3.625% due 5/15/2026 valued at $307,351,532 including accrued interest (Note 2 of Notes to Financial Statements) | 301,324,990 |
12,130,000 | Federal Home Loan Bank Discount Notes, 5.170%, 4/04/2024(h) | 12,117,782 |
85,305,000 | Federal Home Loan Bank Discount Notes, 5.180%, 4/08/2024(h) | 85,169,981 |
Principal Amount (‡) | Description | Value (†) |
$60,345,000 | Federal Home Loan Bank Discount Notes, 5.180%, 4/10/2024(h) | $60,188,707 |
58,815,000 | Federal Home Loan Bank Discount Notes, 5.180%, 4/15/2024(h) | 58,662,669 |
133,260,000 | Federal National Mortgage Association Discount Notes, 5.230%, 4/01/2024(h) | 133,183,301 |
20,000,000 | U.S. Treasury Bills, 5.021%–5.025%, 7/18/2024(h)(i)(j) | 19,690,220 |
73,255,000 | U.S. Treasury Bills, 5.133%–5.148%, 5/30/2024(h)(j) | 72,623,201 |
29,620,000 | U.S. Treasury Bills, 5.141%–5.157%, 7/11/2024(h)(j) | 29,192,448 |
27,485,000 | U.S. Treasury Bills, 5.193%–5.206%, 4/16/2024(h)(j) | 27,424,653 |
Total Short-Term Investments (Identified Cost $799,846,911) | 799,577,952 | |
Total Investments — 104.3% (Identified Cost $8,176,602,656) | 7,670,422,156 | |
Other assets less liabilities — (4.3)% | (314,396,235 ) | |
Net Assets — 100.0% | $7,356,025,921 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to $1,666,400,852 or 22.7% of net assets. |
(b) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(c) | Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(d) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(e) | When-issued/delayed delivery. |
(f) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(i) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(j) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
REMICS | Real Estate Mortgage Investment Conduits |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
BRL | Brazilian Real |
MXN | Mexican Peso |
UYU | Uruguayan Peso |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 6/18/2024 | 2,751 | $302,830,396 | $304,802,203 | $1,971,807 |
CBOT 2 Year U.S. Treasury Notes Futures | 6/28/2024 | 2,405 | 491,881,698 | 491,784,924 | (96,774 ) |
CME Ultra Long Term U.S. Treasury Bond Futures | 6/18/2024 | 365 | 45,961,954 | 47,085,000 | 1,123,046 |
Ultra 10-Year U.S. Treasury Notes Futures | 6/18/2024 | 2,204 | 250,473,362 | 252,599,063 | 2,125,701 |
Total | $5,123,780 |
Treasuries | 30.3 % |
Mortgage Related | 24.9 |
Banking | 6.9 |
ABS Car Loan | 2.1 |
Finance Companies | 2.0 |
Other Investments, less than 2% each | 22.4 |
Collateralized Loan Obligations | 4.8 |
Short-Term Investments | 10.9 |
Total Investments | 104.3 |
Other assets less liabilities (including futures contracts) | (4.3 ) |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 67.4% of Net Assets | ||
France — 2.4% | ||
62,281 | LVMH Moet Hennessy Louis Vuitton SE | $56,040,197 |
134,558 | Vinci SA | 17,267,636 |
73,307,833 | ||
Japan — 1.6% | ||
1,778,761 | Nomura Research Institute Ltd. | 50,247,739 |
Netherlands — 2.3% | ||
73,802 | ASML Holding NV | 71,548,160 |
Sweden — 2.5% | ||
4,418,011 | Atlas Copco AB, Class A | 74,613,804 |
Taiwan — 1.9% | ||
2,391,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 57,279,273 |
United Kingdom — 2.0% | ||
864,177 | Halma PLC | 25,804,635 |
285,274 | London Stock Exchange Group PLC | 34,134,187 |
59,938,822 | ||
United States — 54.7% | ||
160,513 | Accenture PLC, Class A | 55,635,411 |
58,932 | Adobe, Inc.(a) | 29,737,087 |
435,395 | Airbnb, Inc., Class A(a) | 71,822,759 |
577,687 | Alphabet, Inc., Class A(a) | 87,190,299 |
582,764 | Amazon.com, Inc.(a) | 105,118,970 |
66,683 | BlackRock, Inc. | 55,593,617 |
81,151 | Costco Wholesale Corp. | 59,453,657 |
156,605 | Cummins, Inc. | 46,143,663 |
223,241 | Danaher Corp. | 55,747,742 |
177,123 | Diamondback Energy, Inc. | 35,100,465 |
84,540 | Goldman Sachs Group, Inc. | 35,311,513 |
177,436 | Home Depot, Inc. | 68,064,450 |
191,696 | IQVIA Holdings, Inc.(a) | 48,478,001 |
263,570 | JPMorgan Chase & Co. | 52,793,071 |
185,732 | Linde PLC | 86,239,082 |
176,947 | Mastercard, Inc., Class A | 85,212,367 |
47,221 | Mettler-Toledo International, Inc.(a) | 62,864,845 |
461,618 | NIKE, Inc., Class B | 43,382,860 |
88,050 | NVIDIA Corp. | 79,558,458 |
58,427 | O'Reilly Automotive, Inc.(a) | 65,957,072 |
101,087 | Parker-Hannifin Corp. | 56,183,144 |
106,062 | Roper Technologies, Inc. | 59,483,812 |
224,957 | S&P Global, Inc. | 95,707,956 |
225,590 | Salesforce, Inc. | 67,943,196 |
138,234 | Schneider Electric SE | 31,251,443 |
154,333 | Texas Instruments, Inc. | 26,886,352 |
81,635 | Trane Technologies PLC | 24,506,827 |
128,323 | UnitedHealth Group, Inc. | 63,481,388 |
71,766 | Veralto Corp. | 6,362,774 |
1,661,212,281 | ||
Total Common Stocks (Identified Cost $1,475,366,831) | 2,048,147,912 |
Principal Amount (‡) | ||
Bonds and Notes — 28.7% | ||
Non-Convertible Bonds — 26.9% | ||
Australia — 1.4% | ||
$2,990,000 | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 | 2,691,638 |
Principal Amount (‡) | Description | Value (†) |
Australia — continued | ||
5,325,000 | Australia Government Bonds, Series 164, 0.500%, 9/21/2026, (AUD) | $3,216,919 |
5,540,000 | Australia Government Bonds, Series 166, 3.000%, 11/21/2033, (AUD) | 3,332,138 |
670,000 | GAIF Bond Issuer Pty. Ltd., 3.400%, 9/30/2026(b) | 638,392 |
16,470,000 | Glencore Funding LLC, 6.500%, 10/06/2033(b) | 17,617,048 |
5,000,000 | Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033(b) | 4,158,591 |
4,000,000 | Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027(b) | 3,629,369 |
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD) | 6,169,324 |
95,000 | Sydney Airport Finance Co. Pty. Ltd., 3.375%, 4/30/2025(b) | 92,691 |
41,546,110 | ||
Belgium — 0.1% | ||
2,745,000 | Anheuser-Busch InBev SA, EMTN, 2.000%, 1/23/2035, (EUR) | 2,596,309 |
Brazil — 0.8% | ||
1,035,000 | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 | 929,211 |
1,785,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 | 1,534,876 |
2,600,000 | Brazil Government International Bonds, 6.000%, 10/20/2033 | 2,573,691 |
25,149 (c) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2035, (BRL) | 4,701,141 |
53,329 (c) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2031, (BRL) | 10,214,650 |
650,000 | Centrais Eletricas Brasileiras SA, 4.625%, 2/04/2030(b) | 594,945 |
835,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(b) | 874,372 |
575,000 | Raizen Fuels Finance SA, 5.300%, 1/20/2027(b) | 571,403 |
2,515,000 | Suzano Austria GmbH, 2.500%, 9/15/2028 | 2,219,701 |
1,185,000 | Suzano Austria GmbH, 3.125%, 1/15/2032 | 984,420 |
550,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 486,193 |
25,684,603 | ||
Canada — 1.3% | ||
1,235,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(b) | 1,100,387 |
315,977 | Air Canada Pass-Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029(b) | 293,098 |
642,968 | Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031(b) | 579,931 |
505,000 | Antares Holdings LP, 3.750%, 7/15/2027(b) | 460,807 |
1,210,000 | Antares Holdings LP, 3.950%, 7/15/2026(b) | 1,136,154 |
305,000 | Antares Holdings LP, 7.950%, 8/11/2028(b) | 316,946 |
2,835,000 | Bell Telephone Co. of Canada or Bell Canada, MTN, 3.600%, 9/29/2027, (CAD) | 2,025,783 |
1,735,000 | Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.340%, 1/30/2032 | 1,410,054 |
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028 | 977,332 |
2,715,000 | Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) | 1,961,783 |
7,275,000 | Canada Government Bonds, 0.500%, 9/01/2025, (CAD) | 5,094,353 |
Principal Amount (‡) | Description | Value (†) |
Canada — continued | ||
800,000 | CPPIB Capital, Inc., 0.375%, 6/20/2024, (EUR)(b) | $856,693 |
4,695,000 | Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD) | 3,198,305 |
4,770,000 | Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) | 3,241,684 |
2,965,000 | Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD) | 2,130,847 |
4,670,000 | Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD) | 3,221,957 |
2,350,000 | Province of Quebec, 4.500%, 9/08/2033 | 2,325,544 |
2,960,000 | Rogers Communications, Inc., 3.300%, 12/10/2029, (CAD) | 2,028,722 |
2,735,000 | Toronto-Dominion Bank, 1.950%, 1/12/2027 | 2,528,153 |
1,675,000 | Toronto-Dominion Bank, MTN, 1.150%, 6/12/2025 | 1,595,465 |
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027(b) | 1,546,512 |
38,030,510 | ||
Chile — 0.6% | ||
575,000 | Antofagasta PLC, 2.375%, 10/14/2030 | 479,985 |
975,000 | Antofagasta PLC, 5.625%, 5/13/2032 | 977,845 |
2,525,000 | Banco Santander Chile, 3.177%, 10/26/2031(b) | 2,203,012 |
950,000 | Celulosa Arauco y Constitucion SA, 4.500%, 8/01/2024 | 945,057 |
1,005,000 | Chile Government International Bonds, 2.550%, 1/27/2032 | 848,099 |
2,580,000 | Colbun SA, 3.150%, 3/06/2030 | 2,267,484 |
1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029(b) | 1,740,137 |
275,000 | Corp. Nacional del Cobre de Chile, 6.300%, 9/08/2053(b) | 274,282 |
595,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(b) | 473,861 |
1,980,000 | Empresa Nacional del Petroleo, 3.450%, 9/16/2031(b) | 1,689,593 |
525,000 | Enel Chile SA, 4.875%, 6/12/2028 | 512,010 |
2,690,000 | Engie Energia Chile SA, 3.400%, 1/28/2030 | 2,327,280 |
870,000 | Sociedad Quimica y Minera de Chile SA, 6.500%, 11/07/2033(b) | 909,185 |
1,120,000 | Transelec SA, 4.250%, 1/14/2025(b) | 1,105,446 |
16,753,276 | ||
China — 0.0% | ||
625,000 | Tencent Holdings Ltd., 2.880%, 4/22/2031(b) | 544,102 |
Colombia — 0.5% | ||
1,395,000 | Colombia Government International Bonds, 3.125%, 4/15/2031 | 1,113,101 |
575,000 | Colombia Government International Bonds, 3.875%, 4/25/2027 | 540,216 |
1,280,000 | Colombia Government International Bonds, 7.500%, 2/02/2034 | 1,307,395 |
7,073,300,000 | Colombia TES, Series B, 6.250%, 11/26/2025, (COP) | 1,778,500 |
29,559,900,000 | Colombia TES, Series B, 7.500%, 8/26/2026, (COP) | 7,380,036 |
2,536,000 | Ecopetrol SA, 5.875%, 5/28/2045 | 1,893,838 |
1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029(b) | 1,126,136 |
15,139,222 |
Principal Amount (‡) | Description | Value (†) |
Czech — 0.0% | ||
1,525,000 | CEZ AS, EMTN, 0.875%, 12/02/2026, (EUR) | $1,517,782 |
Czech Republic — 0.0% | ||
1,120,000 | CEZ AS, EMTN, 3.000%, 6/05/2028, (EUR) | 1,170,339 |
Denmark — 0.2% | ||
2,135,000 | Danske Bank AS, EMTN, (fixed rate to 6/21/2029, variable rate thereafter), 4.750%, 6/21/2030, (EUR) | 2,411,362 |
2,055,000 | Orsted AS, EMTN, 2.125%, 5/17/2027, (GBP) | 2,378,844 |
4,790,206 | ||
Dominican Republic — 0.2% | ||
2,160,000 | Dominican Republic International Bonds, 4.500%, 1/30/2030(b) | 1,965,443 |
1,155,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032(b) | 1,034,044 |
590,000 | Dominican Republic International Bonds, 5.950%, 1/25/2027(b) | 588,206 |
995,000 | Dominican Republic International Bonds, 6.000%, 7/19/2028(b) | 989,140 |
425,000 | Dominican Republic International Bonds, 8.625%, 4/20/2027(b) | 441,682 |
5,018,515 | ||
Ecuador — 0.1% | ||
4,275,000 | Ecuador Government International Bonds, 6.000%, 7/31/2030 | 2,893,695 |
France — 0.2% | ||
205,000 | BNP Paribas SA, 4.375%, 5/12/2026(b) | 199,469 |
1,190,000 | BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(b) | 1,190,085 |
890,000 | BNP Paribas SA, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026(b) | 855,738 |
1,410,000 | Electricite de France SA, 4.875%, 9/21/2038(b) | 1,260,490 |
1,400,000 | Engie SA, 1.250%, 10/24/2041, (EUR) | 999,168 |
1,015,000 | Societe Generale SA, 4.750%, 11/24/2025(b) | 995,353 |
1,485,000 | Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(b) | 1,493,843 |
6,994,146 | ||
Germany — 0.3% | ||
1,635,000 | Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 | 1,501,224 |
870,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 718,626 |
2,255,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 1,899,242 |
3,220,000 | Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) | 3,234,114 |
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026(b) | 1,362,635 |
250,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 259,418 |
265,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(b) | 279,257 |
9,254,516 | ||
Guatemala — 0.0% | ||
1,050,000 | CT Trust, 5.125%, 2/03/2032(b) | 930,268 |
India — 0.3% | ||
2,940,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031 | 2,583,519 |
2,790,000 | Export-Import Bank of India, 2.250%, 1/13/2031(b) | 2,305,902 |
Principal Amount (‡) | Description | Value (†) |
India — continued | ||
$1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030(b) | $1,143,975 |
2,400,000 | Shriram Finance Ltd., 4.150%, 7/18/2025(b) | 2,324,160 |
8,357,556 | ||
Indonesia — 0.2% | ||
50,092,000,000 | Indonesia Treasury Bonds, Series FR75, 7.500%, 5/15/2038, (IDR) | 3,338,993 |
43,840,000,000 | Indonesia Treasury Bonds, Series FR82, 7.000%, 9/15/2030, (IDR) | 2,818,313 |
6,157,306 | ||
Ireland — 0.3% | ||
3,245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 2,783,095 |
2,325,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(b) | 2,423,730 |
3,710,000 | Ireland Government Bonds, Zero Coupon, 0.029%, 10/18/2031, (EUR)(d) | 3,299,484 |
8,506,309 | ||
Israel — 1.1% | ||
1,405,000 | Israel Electric Corp. Ltd., GMTN, 3.750%, 2/22/2032 | 1,185,528 |
320,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027 | 309,241 |
345,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030 | 319,219 |
2,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 2,675,864 |
4,570,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 4,272,453 |
17,791,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 12,265,162 |
2,700,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 2,613,802 |
510,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 490,101 |
4,415,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 4,739,101 |
3,170,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 3,476,853 |
32,347,324 | ||
Italy — 0.6% | ||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026(b) | 198,261 |
2,225,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 2,308,701 |
3,305,000 | Italy Buoni Poliennali Del Tesoro, Series 10Y, 2.000%, 2/01/2028, (EUR) | 3,424,686 |
6,965,000 | Italy Buoni Poliennali Del Tesoro, Series 11Y, 1.350%, 4/01/2030, (EUR) | 6,737,673 |
2,370,000 | Italy Buoni Poliennali Del Tesoro, Series 7Y, 2.500%, 11/15/2025, (EUR) | 2,526,448 |
830,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034(b) | 853,019 |
1,460,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032(b) | 1,426,084 |
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 187,811 |
545,000 | UniCredit SpA, EMTN, (fixed rate to 7/22/2026, variable rate thereafter), 2.200%, 7/22/2027, (EUR) | 565,976 |
18,228,659 |
Principal Amount (‡) | Description | Value (†) |
Japan — 0.8% | ||
1,058,370,600 (e) | Japan Government CPI-Linked Bonds, Series 23, 0.100%, 3/10/2028, (JPY) | $7,341,076 |
693,300,000 | Japan Government Ten Year Bonds, Series 371, 0.400%, 6/20/2033, (JPY) | 4,478,604 |
2,375,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 | 2,202,644 |
2,020,000 | Mizuho Financial Group, Inc., 2.564%, 9/13/2031 | 1,653,590 |
2,000,000 | Nomura Holdings, Inc., 1.851%, 7/16/2025 | 1,905,139 |
2,385,000 | Nomura Holdings, Inc., 2.710%, 1/22/2029 | 2,118,944 |
1,200,000 | Sumitomo Mitsui Financial Group, Inc., 5.766%, 1/13/2033 | 1,250,365 |
1,780,000 | Toyota Motor Corp., 5.123%, 7/13/2033 | 1,878,232 |
22,828,594 | ||
Korea — 0.8% | ||
1,060,000 | Kia Corp., 2.750%, 2/14/2027(b) | 988,047 |
1,515,000 | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025(b) | 1,456,425 |
2,400,000 | Korea National Oil Corp., 2.125%, 4/18/2027(b) | 2,200,235 |
4,500,000,000 | Korea Treasury Bonds, Series 2509, 1.125%, 9/10/2025, (KRW) | 3,237,101 |
4,450,000,000 | Korea Treasury Bonds, Series 2809, 3.500%, 9/10/2028, (KRW) | 3,326,059 |
13,130,550,000 | Korea Treasury Bonds, Series 3012, 1.500%, 12/10/2030, (KRW) | 8,674,473 |
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026(b) | 744,718 |
2,765,000 | SK Hynix, Inc., 2.375%, 1/19/2031(b) | 2,273,162 |
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028(b) | 205,792 |
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027(b) | 145,816 |
23,251,828 | ||
Luxembourg — 0.2% | ||
920,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 953,755 |
1,905,000 | Blackstone Property Partners Europe Holdings SARL, EMTN, 1.625%, 4/20/2030, (EUR) | 1,710,345 |
280,000 | Logicor Financing SARL, EMTN, 0.875%, 1/14/2031, (EUR) | 240,059 |
1,490,000 | Logicor Financing SARL, EMTN, 1.625%, 1/17/2030, (EUR) | 1,388,932 |
955,000 | Logicor Financing SARL, EMTN, 2.000%, 1/17/2034, (EUR) | 806,263 |
5,099,354 | ||
Mexico — 1.6% | ||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 | 622,972 |
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) | 790,049 |
860,000 | America Movil SAB de CV, 2.875%, 5/07/2030 | 760,461 |
730,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(b) | 727,199 |
1,950,000 | Cemex SAB de CV, 3.875%, 7/11/2031(b) | 1,727,718 |
1,990,000 | Cemex SAB de CV, 5.200%, 9/17/2030(b) | 1,923,539 |
855,000 | Cemex SAB de CV, 5.450%, 11/19/2029 | 842,098 |
810,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(b)(f) | 782,819 |
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030 | 1,576,175 |
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 378,965 |
Principal Amount (‡) | Description | Value (†) |
Mexico — continued | ||
$1,515,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031 | $1,283,023 |
840,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(b) | 711,379 |
1,707,184 (g) | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) | 9,496,952 |
724,558 (g) | Mexico Bonos, Series M 20, 7.500%, 6/03/2027, (MXN) | 4,118,717 |
1,402,466 (g) | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) | 8,180,862 |
637,836 (g) | Mexico Bonos, Series M 30, 8.500%, 11/18/2038, (MXN) | 3,564,200 |
2,665,000 | Mexico Government International Bonds, 3.250%, 4/16/2030 | 2,372,043 |
1,880,000 | Mexico Government International Bonds, 3.500%, 2/12/2034 | 1,563,627 |
196,000 | Mexico Government International Bonds, 4.000%, 3/15/2115, (EUR) | 166,294 |
810,000 | Mexico Government International Bonds, 4.875%, 5/19/2033 | 766,969 |
750,000 | Mexico Government International Bonds, 6.000%, 5/07/2036 | 751,542 |
350,000 | Mexico Government International Bonds, 6.338%, 5/04/2053 | 345,309 |
1,850,000 | Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026(b) | 1,694,100 |
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | 1,175,205 |
835,000 | Sigma Alimentos SA de CV, 4.125%, 5/02/2026 | 808,065 |
2,090,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | 2,039,124 |
49,169,406 | ||
Netherlands — 0.1% | ||
870,000 | Cooperatieve Rabobank UA, 4.375%, 8/04/2025 | 855,010 |
1,725,000 | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026(b) | 1,638,017 |
1,800,000 | Netherlands Government Bonds, Zero Coupon, 2.523%, 1/15/2029, (EUR)(d) | 1,725,016 |
4,218,043 | ||
New Zealand — 0.5% | ||
4,200,000 | Fonterra Co.-operative Group Ltd., MTN, 3.750%, 6/16/2026, (AUD) | 2,692,270 |
700,000 | Fonterra Co.-operative Group Ltd., MTN, 4.000%, 11/02/2027, (AUD) | 445,696 |
3,575,000 | New Zealand Government Bonds, Series 429, 3.000%, 4/20/2029, (NZD) | 2,004,313 |
10,700,000 | New Zealand Government Bonds, Series 524, 0.500%, 5/15/2024, (NZD) | 6,356,265 |
6,310,000 | New Zealand Government Bonds, Series 531, 1.500%, 5/15/2031, (NZD) | 3,096,152 |
14,594,696 | ||
Norway — 0.6% | ||
3,660,000 | DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027(b) | 3,370,182 |
2,790,000 | Equinor ASA, 3.625%, 4/06/2040 | 2,324,534 |
16,500,000 | Norway Government Bonds, Series 478, 1.500%, 2/19/2026, (NOK) | 1,455,301 |
41,750,000 | Norway Government Bonds, Series 479, 1.750%, 2/17/2027, (NOK) | 3,646,419 |
Principal Amount (‡) | Description | Value (†) |
Norway — continued | ||
36,610,000 | Norway Government Bonds, Series 480, 2.000%, 4/26/2028, (NOK) | $3,172,878 |
46,500,000 | Norway Government Bonds, Series 482, 1.375%, 8/19/2030, (NOK) | 3,764,031 |
455,000 | Var Energi ASA, 8.000%, 11/15/2032(b) | 509,309 |
18,242,654 | ||
Paraguay — 0.1% | ||
1,420,000 | Paraguay Government International Bonds, 4.950%, 4/28/2031(b) | 1,366,046 |
615,000 | Paraguay Government International Bonds, 5.000%, 4/15/2026(b) | 606,390 |
1,972,436 | ||
Peru — 0.1% | ||
3,220,000 | Corp. Financiera de Desarrollo SA, 2.400%, 9/28/2027(b) | 2,874,816 |
1,050,000 | Transportadora de Gas del Peru SA, 4.250%, 4/30/2028(b) | 1,021,235 |
3,896,051 | ||
Poland — 0.3% | ||
26,400,000 | Republic of Poland Government Bonds, Series 1030, 1.250%, 10/25/2030, (PLN) | 5,150,297 |
12,970,000 | Republic of Poland Government Bonds, Series 725, 3.250%, 7/25/2025, (PLN) | 3,168,443 |
8,318,740 | ||
Portugal — 0.1% | ||
3,590,000 | EDP Finance BV, 1.710%, 1/24/2028(b) | 3,162,503 |
Qatar — 0.1% | ||
1,770,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031(b) | 1,518,851 |
1,600,000 | QatarEnergy, 2.250%, 7/12/2031(b) | 1,339,216 |
2,858,067 | ||
Romania — 0.0% | ||
1,100,000 | Romania Government International Bonds, 2.000%, 4/14/2033, (EUR)(b) | 909,374 |
Singapore — 0.2% | ||
10,055,000 | Singapore Government Bonds, 2.125%, 6/01/2026, (SGD) | 7,254,300 |
South Africa — 0.5% | ||
1,400,000 | Anglo American Capital PLC, 2.625%, 9/10/2030(b) | 1,191,792 |
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030(b) | 1,418,665 |
116,835,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 4,917,680 |
39,185,000 | Republic of South Africa Government Bonds, Series R213, 7.000%, 2/28/2031, (ZAR) | 1,666,087 |
7,585,000 | Republic of South Africa Government International Bonds, 5.750%, 9/30/2049 | 5,492,511 |
14,686,735 | ||
Spain — 0.4% | ||
800,000 | Banco Santander SA, 6.938%, 11/07/2033 | 883,633 |
2,000,000 | Banco Santander SA, (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027 | 1,824,211 |
1,260,000 | CaixaBank SA, (fixed rate to 1/18/2028, variable rate thereafter), 6.208%, 1/18/2029(b) | 1,285,478 |
1,000,000 | CaixaBank SA, EMTN, (fixed rate to 11/23/2027, variable rate thereafter), 6.250%, 2/23/2033, (EUR) | 1,141,643 |
Principal Amount (‡) | Description | Value (†) |
Spain — continued | ||
3,700,000 | Cellnex Telecom SA, EMTN, 1.750%, 10/23/2030, (EUR) | $3,551,735 |
700,000 | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) | 704,903 |
2,525,000 | Spain Government Bonds, 1.950%, 7/30/2030, (EUR) | 2,581,648 |
11,973,251 | ||
Supranationals — 0.3% | ||
10,030,000 | International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD) | 6,918,038 |
16,750,000 | Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK) | 1,497,464 |
8,415,502 | ||
Sweden — 0.1% | ||
1,200,000 | Swedbank AB, 6.136%, 9/12/2026(b) | 1,215,963 |
2,560,000 | Sweden Government Bonds, Series 1058, 2.500%, 5/12/2025, (SEK) | 237,326 |
38,000,000 | Sweden Government Bonds, Series 1062, 0.125%, 5/12/2031, (SEK) | 3,038,965 |
4,492,254 | ||
Switzerland — 0.2% | ||
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027 | 1,280,719 |
325,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(b) | 394,337 |
2,960,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(b) | 2,517,683 |
750,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(b) | 790,223 |
340,000 | Willow No. 2 Ireland PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045 | 329,367 |
5,312,329 | ||
Taiwan — 0.1% | ||
1,925,000 | TSMC Arizona Corp., 2.500%, 10/25/2031 | 1,645,082 |
Tanzania — 0.0% | ||
985,000 | HTA Group Ltd., 7.000%, 12/18/2025(b) | 979,602 |
Trinidad And Tobago — 0.0% | ||
415,000 | Trinidad Generation UnLtd, 5.250%, 11/04/2027(b) | 405,145 |
Turkey — 0.3% | ||
1,010,000 | Aydem Yenilenebilir Enerji AS, 7.750%, 2/02/2027(b) | 971,513 |
1,120,000 | TC Ziraat Bankasi AS, 5.375%, 3/02/2026(b) | 1,089,200 |
1,685,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 | 1,678,917 |
1,415,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | 1,355,004 |
3,480,000 | Turkiye Government International Bonds, 5.250%, 3/13/2030 | 3,140,700 |
680,000 | Turkiye Government International Bonds, 7.625%, 4/26/2029 | 692,240 |
8,927,574 | ||
United Arab Emirates — 0.0% | ||
1,295,000 | Abu Dhabi Government International Bonds, 3.125%, 4/16/2030(b) | 1,190,582 |
United Kingdom — 0.4% | ||
200,000 | BAE Systems PLC, 5.250%, 3/26/2031(b) | 200,966 |
Principal Amount (‡) | Description | Value (†) |
United Kingdom — continued | ||
$1,695,000 | BAE Systems PLC, 5.300%, 3/26/2034(b) | $1,703,085 |
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029(b) | 1,268,886 |
1,420,000 | Diageo Capital PLC, 2.125%, 4/29/2032 | 1,158,891 |
65,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(b) | 66,028 |
135,000 | Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(b) | 137,407 |
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030(b) | 1,290,986 |
955,000 | Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028 | 877,617 |
1,455,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(b) | 1,221,898 |
2,200,000 | Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026(b) | 2,160,715 |
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) | 267,786 |
235,000 | U.K. Gilts, 0.250%, 1/31/2025, (GBP) | 286,017 |
2,065,000 | U.K. Gilts, 3.250%, 1/31/2033, (GBP) | 2,485,820 |
13,126,102 | ||
United States — 10.8% | ||
165,000 | AES Corp., 3.950%, 7/15/2030(b) | 150,066 |
315,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(b)(f) | 300,045 |
1,915,000 | Albemarle Corp., 5.050%, 6/01/2032 | 1,836,747 |
370,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(f) | 317,214 |
821,973 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 790,574 |
210,761 | American Airlines Pass-Through Trust, Series 2017-1, Class B, 4.950%, 8/15/2026 | 207,741 |
279,667 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 271,231 |
3,975,000 | Apple, Inc., 2.513%, 8/19/2024, (CAD) | 2,906,617 |
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | 258,571 |
2,330,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 1,943,267 |
290,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 267,619 |
425,000 | Ashland, Inc., 3.375%, 9/01/2031(b) | 359,590 |
800,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 707,254 |
2,865,000 | Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD) | 1,975,032 |
1,370,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 1,095,771 |
10,000 | Bausch & Lomb Corp., 8.375%, 10/01/2028(b) | 10,347 |
11,400,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 6,221,023 |
930,000 | Beazer Homes USA, Inc., 7.250%, 10/15/2029 | 942,080 |
500,000 | Block, Inc., 3.500%, 6/01/2031 | 435,172 |
4,840,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 4,694,648 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$1,550,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | $1,376,237 |
2,585,000 | Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(b) | 2,485,615 |
636,000 | Boeing Co., 3.625%, 2/01/2031 | 559,741 |
644,000 | Boeing Co., 5.705%, 5/01/2040 | 616,399 |
1,005,000 | Boeing Co., 5.805%, 5/01/2050 | 950,858 |
1,400,000 | Boost Newco Borrower LLC, 7.500%, 1/15/2031(b) | 1,465,538 |
875,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.196%, 12/15/2038(b)(h) | 752,363 |
3,120,000 | Broadcom, Inc., 2.450%, 2/15/2031(b) | 2,630,224 |
5,205,000 | Broadcom, Inc., 2.600%, 2/15/2033(b) | 4,227,297 |
690,000 | Broadcom, Inc., 3.187%, 11/15/2036(b) | 549,138 |
5,095,000 | Broadcom, Inc., 3.419%, 4/15/2033(b) | 4,416,853 |
4,670,000 | Broadcom, Inc., 3.469%, 4/15/2034(b) | 4,001,765 |
2,485,000 | Broadcom, Inc., 4.150%, 4/15/2032(b) | 2,305,431 |
695,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 687,866 |
150,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 156,448 |
10,570,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 8,603,346 |
6,265,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 4,729,160 |
1,575,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(b) | 1,285,395 |
370,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 383,672 |
270,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 280,102 |
195,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 207,914 |
2,385,000 | Centene Corp., 2.500%, 3/01/2031 | 1,961,716 |
1,480,000 | Centene Corp., 3.000%, 10/15/2030 | 1,268,947 |
1,075,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 648,563 |
895,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 793,163 |
4,945,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 3,228,981 |
265,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(b) | 284,551 |
2,570,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 992,637 |
1,440,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 1,040,227 |
2,663,000 | Continental Resources, Inc., 2.875%, 4/01/2032(b) | 2,170,325 |
4,662,000 | Continental Resources, Inc., 5.750%, 1/15/2031(b) | 4,634,231 |
13,550,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 9,209,846 |
2,400,000 | CSC Holdings LLC, 4.125%, 12/01/2030(b) | 1,716,120 |
2,395,000 | CSC Holdings LLC, 4.500%, 11/15/2031(b) | 1,695,581 |
20,310,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 10,313,706 |
1,850,000 | CSC Holdings LLC, 5.000%, 11/15/2031(b) | 935,235 |
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028(b) | 511,773 |
495,000 | CSC Holdings LLC, 5.750%, 1/15/2030(b) | 262,040 |
1,115,000 | CSC Holdings LLC, 6.500%, 2/01/2029(b) | 944,751 |
940,000 | DH Europe Finance II SARL, 0.750%, 9/18/2031, (EUR) | 851,619 |
50,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 52,064 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$8,000 | Dillard's, Inc., 7.750%, 7/15/2026 | $8,314 |
355,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 335,843 |
3,550,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,480,664 |
4,115,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 3,240,186 |
795,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 546,368 |
1,960,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,312,312 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 82,279 |
575,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 500,411 |
280,000 | EPR Properties, 3.600%, 11/15/2031 | 234,013 |
1,230,000 | EQT Corp., 3.625%, 5/15/2031(b) | 1,082,535 |
230,000 | EQT Corp., 5.000%, 1/15/2029 | 225,309 |
115,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 113,930 |
2,570,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 2,242,751 |
2,710,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2,603,690 |
4,795,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 4,736,822 |
390,000 | Gartner, Inc., 3.625%, 6/15/2029(b) | 353,099 |
85,000 | Gartner, Inc., 3.750%, 10/01/2030(b) | 76,087 |
570,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 482,790 |
760,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 796,428 |
460,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 387,241 |
105,000 | Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 | 106,573 |
960,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 882,151 |
475,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 425,284 |
470,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 438,323 |
360,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 322,629 |
1,395,000 | Hyundai Capital America, 6.375%, 4/08/2030(b) | 1,465,558 |
7,770,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 6,624,645 |
195,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 194,102 |
3,555,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,212,799 |
390,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 386,841 |
1,840,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(b) | 1,339,144 |
1,055,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 1,082,259 |
1,310,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 1,229,028 |
795,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031 | 687,376 |
730,000 | JELD-WEN, Inc., 4.875%, 12/15/2027(b) | 698,471 |
1,135,000 | John Deere Capital Corp., MTN, 0.450%, 6/07/2024 | 1,124,586 |
1,440,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 1,450,610 |
525,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(b) | 538,948 |
210,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 218,380 |
1,300,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(b) | 1,172,886 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$120,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(b) | $107,487 |
995,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 910,179 |
155,000 | Matador Resources Co., 6.875%, 4/15/2028(b) | 158,577 |
580,000 | Medline Borrower LP/Medline Co-Issuer, Inc., 6.250%, 4/01/2029(b) | 582,597 |
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) | 624,114 |
6,240,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 6,457,175 |
655,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 570,325 |
435,000 | Molina Healthcare, Inc., 4.375%, 6/15/2028(b) | 408,912 |
1,415,000 | Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 | 1,119,102 |
345,000 | MSCI, Inc., 3.250%, 8/15/2033(b) | 284,222 |
420,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 411,014 |
520,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 471,786 |
1,095,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(b) | 1,048,004 |
4,600,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 4,540,894 |
615,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(b) | 606,685 |
715,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(b) | 756,602 |
1,960,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 1,935,532 |
2,020,000 | Netflix, Inc., 4.875%, 6/15/2030(b) | 2,005,868 |
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(b) | 22,284 |
70,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 64,981 |
85,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 75,826 |
215,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 184,007 |
290,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 272,662 |
860,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 868,991 |
1,705,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 1,735,939 |
115,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(b) | 120,454 |
400,000 | Ovintiv, Inc., 6.250%, 7/15/2033 | 415,879 |
1,000,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 1,060,790 |
45,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 46,880 |
230,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 240,099 |
30,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 32,522 |
115,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 126,006 |
130,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 146,656 |
1,265,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 1,072,113 |
315,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 283,954 |
480,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 | 440,491 |
690,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 632,256 |
745,000 | Post Holdings, Inc., 4.500%, 9/15/2031(b) | 670,122 |
2,165,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) | 2,090,764 |
1,450,000 | Prologis Euro Finance LLC, 1.875%, 1/05/2029, (EUR) | 1,453,590 |
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) | 407,061 |
1,310,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 1,296,127 |
430,000 | Realty Income Corp., 5.125%, 7/06/2034, (EUR) | 506,125 |
1,100,000 | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) | 1,119,508 |
7,695,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 7,109,587 |
6,794,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 6,111,513 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$2,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | $2,284,846 |
7,011,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | 6,107,978 |
4,510,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 3,820,380 |
2,945,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 2,842,053 |
3,280,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 3,241,965 |
400,000 | Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(b) | 403,184 |
1,425,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 1,257,570 |
435,000 | Sensata Technologies BV, 4.000%, 4/15/2029(b) | 397,193 |
105,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 90,825 |
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | 149,159 |
315,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 289,976 |
255,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 209,408 |
875,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 912,863 |
265,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 238,442 |
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 157,952 |
245,000 | Thermo Fisher Scientific Finance I BV, 2.000%, 10/18/2051, (EUR) | 190,278 |
100,000 | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) | 82,114 |
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 66,583 |
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 70,758 |
2,805,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,627,675 |
400,000 | TopBuild Corp., 4.125%, 2/15/2032(b) | 354,077 |
405,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 410,345 |
4,075,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 3,747,099 |
530,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 483,921 |
240,000 | TriNet Group, Inc., 3.500%, 3/01/2029(b) | 215,254 |
204,749 | U.S. Airways Pass-Through Trust, Series 2012-2, Class A, 4.625%, 12/03/2026 | 201,356 |
12,440,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 8,182,702 |
5,210,000 | U.S. Treasury Bonds, 3.625%, 5/15/2053 | 4,577,473 |
9,980,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 9,591,716 |
5,036,037 | U.S. Treasury Inflation-Indexed Notes, 1.375%, 7/15/2033(i) | 4,832,978 |
5,000,000 | U.S. Treasury Notes, 4.250%, 1/31/2026 | 4,960,547 |
21,415,000 | U.S. Treasury Notes, 4.625%, 2/28/2026 | 21,397,433 |
13,115,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 12,443,745 |
8,655,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(b) | 8,690,399 |
1,555,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(b) | 1,592,332 |
140,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(b) | 141,685 |
645,000 | UKG, Inc., 6.875%, 2/01/2031(b) | 657,079 |
247,917 | United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 237,063 |
1,090,000 | United Rentals North America, Inc., 6.125%, 3/15/2034(b) | 1,091,355 |
895,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 760,394 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$1,130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | $1,004,796 |
175,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(b) | 176,061 |
3,095,000 | Verizon Communications, Inc., 2.500%, 5/16/2030, (CAD) | 2,025,008 |
895,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(b) | 860,513 |
285,000 | Viper Energy, Inc., 7.375%, 11/01/2031(b) | 296,279 |
1,945,000 | VMware LLC, 2.200%, 8/15/2031 | 1,582,813 |
1,270,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 1,134,413 |
130,000 | Western Digital Corp., 2.850%, 2/01/2029 | 113,106 |
90,000 | Western Digital Corp., 3.100%, 2/01/2032 | 72,467 |
360,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 335,890 |
475,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 424,899 |
470,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 412,357 |
150,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 137,867 |
115,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 101,701 |
640,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 656,202 |
1,250,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 1,153,523 |
328,424,024 | ||
Uruguay — 0.1% | ||
1,415,000 | Uruguay Government International Bonds, 4.375%, 1/23/2031 | 1,383,379 |
86,955,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 2,213,366 |
3,596,745 | ||
Total Non-Convertible Bonds (Identified Cost $893,156,372) | 815,411,726 | |
Convertible Bonds — 1.8% | ||
United States — 1.8% | ||
12,590,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 12,417,517 |
1,595,000 | Carnival Corp., 5.750%, 12/01/2027 | 2,400,475 |
23,580,000 | DISH Network Corp., 3.375%, 8/15/2026 | 14,678,550 |
6,285,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(j) | 4,588,050 |
320,000 | Etsy, Inc., 0.125%, 9/01/2027 | 267,808 |
745,000 | Etsy, Inc., 0.250%, 6/15/2028 | 586,687 |
350,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 330,803 |
345,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029 | 420,038 |
6,890,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 6,972,680 |
1,025,000 | Splunk, Inc., 1.125%, 6/15/2027 | 1,022,232 |
655,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(j) | 601,290 |
11,550,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 9,730,875 |
1,018,000 | Uber Technologies, Inc., Zero Coupon, 1.368%-5.582%, 12/15/2025(j) | 1,142,705 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$410,000 | Unity Software, Inc., Zero Coupon, 7.197%-7.334%, 11/15/2026(j) | $347,475 |
120,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 147,825 |
Total Convertible Bonds (Identified Cost $69,079,035) | 55,655,010 | |
Municipals — 0.0% | ||
United States — 0.0% | ||
120,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%-, 6/01/2046 (Identified cost $119,990) | 103,434 |
Total Bonds and Notes (Identified Cost $962,355,397) | 871,170,170 | |
Senior Loans — 0.3% | ||
Canada — 0.0% | ||
583,538 | 1011778 B.C. Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.580%, 9/20/2030(h)(k) | 582,954 |
United States — 0.3% | ||
2,406,228 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.695%, 10/18/2028(h)(k) | 2,406,733 |
1,353,766 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.319%, 8/08/2027(h)(k) | 1,354,619 |
320,000 | Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 1 mo. USD SOFR + 4.000%, 9.313%, 1/29/2031(h)(k) | 321,120 |
341,000 | GTCR W Merger Sub LLC, USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.309%, 1/31/2031(h)(k) | 341,924 |
1,010,000 | Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.077%, 1/17/2031(h)(k) | 1,011,576 |
269,325 | HUB International Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.250%, 8.574%, 6/20/2030(h)(k) | 269,374 |
100,000 | Light & Wonder International, Inc., 2024 Term Loan, 1 mo. USD SOFR + 2.750%, 8.075%, 4/14/2029(h)(k) | 100,097 |
1,081,191 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.309%, 9/27/2030(h)(k) | 1,073,893 |
845,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.827%, 1/12/2029(h)(k) | 848,591 |
94,763 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 3.250%, 8.598%, 2/28/2031(h)(k) | 95,202 |
163,611 | TransDigm, Inc., 2024 Term Loan I, 8/24/2028(l) | 164,123 |
595,000 | Truist Insurance Holdings LLC, 1st Lien Term Loan, 3/24/2031(l) | 594,006 |
445,879 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.079%, 3/03/2030(h)(k) | 447,600 |
9,028,858 | ||
Total Senior Loans (Identified Cost $9,555,233) | 9,611,812 |
Shares | Description | Value (†) |
Preferred Stocks — 0.0% | ||
United States — 0.0% | ||
24,376 | El Paso Energy Capital Trust I, 4.750%, 3/31/2028 (Identified Cost $1,125,845) | $1,169,073 |
Principal Amount (‡) | ||
Short-Term Investments — 0.7% | ||
$11,213,758 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $11,218,119 on 4/01/2024 collateralized by $12,330,300 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $11,438,084 including accrued interest (Note 2 of Notes to Financial Statements) | 11,213,758 |
8,960,000 | U.S. Treasury Bills, 4.970%, 8/01/2024(m) | 8,803,046 |
Total Short-Term Investments (Identified Cost $20,022,847) | 20,016,804 | |
Total Investments — 97.1% (Identified Cost $2,468,426,153) | 2,950,115,771 | |
Other assets less liabilities — 2.9% | 88,575,419 | |
Net Assets — 100.0% | $3,038,691,190 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | Non-income producing security. |
(b) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to $299,405,756 or 9.9% of net assets. |
(c) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(e) | Amount shown represents principal amount including inflation adjustments. |
(f) | Perpetual bond with no specified maturity date. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(i) | Treasury Inflation Protected Security (TIPS). |
(j) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(k) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 1.00%, to which the spread is added. |
(l) | Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(m) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
CPI | Consumer Price Index |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 6/18/2024 | GBP | B | 12,366,000 | $15,872,936 | $15,614,051 | $(258,885 ) |
Bank of America N.A. | 6/18/2024 | JPY | B | 5,864,309,000 | 40,525,400 | 39,198,093 | (1,327,307 ) |
Bank of America N.A. | 6/18/2024 | KRW | S | 19,047,379,000 | 14,547,091 | 14,207,424 | 339,667 |
Bank of America N.A. | 6/18/2024 | MXN | S | 256,059,000 | 15,065,662 | 15,217,114 | (151,452 ) |
Bank of America N.A. | 6/18/2024 | MXN | S | 80,826,000 | 4,803,923 | 4,803,340 | 583 |
HSBC Bank USA N.A. | 6/18/2024 | AUD | S | 13,800,000 | 9,143,190 | 9,012,027 | 131,163 |
HSBC Bank USA N.A. | 6/18/2024 | CAD | B | 6,613,000 | 4,876,988 | 4,887,451 | 10,463 |
HSBC Bank USA N.A. | 6/18/2024 | CAD | S | 39,142,000 | 29,072,117 | 28,928,567 | 143,550 |
Morgan Stanley Capital Services LLC | 6/18/2024 | EUR | B | 89,752,000 | 98,092,025 | 97,126,244 | (965,781 ) |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Morgan Stanley Capital Services LLC | 6/18/2024 | NZD | S | 6,003,000 | $3,660,808 | $3,586,695 | $74,113 |
UBS AG | 6/18/2024 | COP | S | 30,469,789,000 | 7,677,911 | 7,784,070 | (106,159 ) |
UBS AG | 6/20/2024 | IDR | S | 100,000,000,000 | 6,405,740 | 6,293,765 | 111,975 |
Total | $(1,998,070 ) |
Counterparty | Settlement Date | Deliver/Units of Currency | Receive/Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | ||
Morgan Stanley Capital Services LLC | 6/18/2024 | NOK | 30,959,000 | EUR | 2,721,504 | $2,945,109 | $88,266 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 6/18/2024 | 557 | $61,314,625 | $61,713,860 | $399,235 |
CBOT 2 Year U.S. Treasury Notes Futures | 6/28/2024 | 9 | 1,842,209 | 1,840,359 | (1,850 ) |
CBOT U.S. Long Bond Futures | 6/18/2024 | 816 | 97,481,967 | 98,277,000 | 795,033 |
CME Ultra Long Term U.S. Treasury Bond Futures | 6/18/2024 | 212 | 27,053,138 | 27,348,000 | 294,862 |
Total | $1,487,280 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 5 Year U.S. Treasury Notes Futures | 6/28/2024 | 470 | $50,562,434 | $50,297,344 | $265,090 |
Ultra 10-Year U.S. Treasury Notes Futures | 6/18/2024 | 651 | 74,442,116 | 74,610,703 | (168,587 ) |
Total | $96,503 |
Semiconductors & Semiconductor Equipment | 7.7 % |
Treasuries | 7.5 |
Capital Markets | 7.3 |
Machinery | 5.8 |
Life Sciences Tools & Services | 5.5 |
Software | 5.2 |
Specialty Retail | 4.4 |
Broadline Retail | 3.5 |
IT Services | 3.4 |
Textiles, Apparel & Luxury Goods | 3.2 |
Chemicals | 3.1 |
Interactive Media & Services | 2.9 |
Financial Services | 2.8 |
Cable Satellite | 2.7 |
Hotels, Restaurants & Leisure | 2.4 |
Banking | 2.3 |
Health Care Providers & Services | 2.1 |
Consumer Staples Distribution & Retail | 2.0 |
Other Investments, less than 2% each | 22.6 |
Short-Term Investments | 0.7 |
Total Investments | 97.1 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 2.9 |
Net Assets | 100.0 % |
United States Dollar | 75.3 % |
Euro | 7.2 |
Swedish Krona | 2.6 |
British Pound | 2.2 |
Other, less than 2% each | 9.8 |
Total Investments | 97.1 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 2.9 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 95.7% of Net Assets | ||
Aerospace & Defense — 4.8% | ||
3,396,753 | Boeing Co.(a) | $655,539,361 |
Air Freight & Logistics — 1.4% | ||
1,520,478 | Expeditors International of Washington, Inc. | 184,844,510 |
Automobiles — 4.7% | ||
3,598,490 | Tesla, Inc.(a) | 632,578,557 |
Beverages — 2.8% | ||
6,338,451 | Monster Beverage Corp.(a) | 375,743,375 |
Biotechnology — 4.6% | ||
299,985 | Regeneron Pharmaceuticals, Inc.(a) | 288,732,563 |
806,609 | Vertex Pharmaceuticals, Inc.(a) | 337,170,628 |
625,903,191 | ||
Broadline Retail — 6.4% | ||
1,259,364 | Alibaba Group Holding Ltd., ADR | 91,127,579 |
4,352,171 | Amazon.com, Inc.(a) | 785,044,605 |
876,172,184 | ||
Capital Markets — 2.5% | ||
400,624 | FactSet Research Systems, Inc. | 182,039,539 |
2,282,120 | SEI Investments Co. | 164,084,428 |
346,123,967 | ||
Entertainment — 8.3% | ||
1,079,726 | Netflix, Inc.(a) | 655,749,991 |
3,864,252 | Walt Disney Co. | 472,829,875 |
1,128,579,866 | ||
Financial Services — 7.3% | ||
1,932,920 | Block, Inc.(a) | 163,486,374 |
1,752,987 | PayPal Holdings, Inc.(a) | 117,432,599 |
2,548,394 | Visa, Inc., Class A | 711,205,797 |
992,124,770 | ||
Health Care Equipment & Supplies — 1.4% | ||
464,196 | Intuitive Surgical, Inc.(a) | 185,255,982 |
Hotels, Restaurants & Leisure — 2.9% | ||
2,146,372 | Starbucks Corp. | 196,156,937 |
1,231,232 | Yum China Holdings, Inc. | 48,990,721 |
1,052,256 | Yum! Brands, Inc. | 145,895,295 |
391,042,953 | ||
Interactive Media & Services — 13.5% | ||
3,698,473 | Alphabet, Inc., Class A(a) | 558,210,530 |
1,630,334 | Alphabet, Inc., Class C(a) | 248,234,655 |
2,127,741 | Meta Platforms, Inc., Class A | 1,033,188,475 |
1,839,633,660 | ||
IT Services — 1.8% | ||
3,204,521 | Shopify, Inc., Class A(a) | 247,292,886 |
Life Sciences Tools & Services — 2.5% | ||
1,129,811 | Illumina, Inc.(a) | 155,145,647 |
313,658 | Thermo Fisher Scientific, Inc. | 182,301,166 |
337,446,813 | ||
Machinery — 0.6% | ||
187,498 | Deere & Co. | 77,012,929 |
Pharmaceuticals — 4.0% | ||
1,520,581 | Novartis AG, ADR | 147,085,800 |
2,285,799 | Novo Nordisk AS, ADR | 293,496,592 |
3,459,020 | Roche Holding AG, ADR | 110,411,918 |
550,994,310 |
Shares | Description | Value (†) |
Semiconductors & Semiconductor Equipment — 9.4% | ||
1,139,293 | NVIDIA Corp. | $1,029,419,583 |
1,471,862 | QUALCOMM, Inc. | 249,186,237 |
1,278,605,820 | ||
Software — 16.8% | ||
1,533,394 | Autodesk, Inc.(a) | 399,326,465 |
1,636,595 | Microsoft Corp. | 688,548,248 |
4,610,193 | Oracle Corp. | 579,086,343 |
1,539,482 | Salesforce, Inc. | 463,661,189 |
534,272 | Workday, Inc., Class A(a) | 145,722,688 |
2,276,344,933 | ||
Total Common Stocks (Identified Cost $6,224,911,478) | 13,001,240,067 | |
Affiliated Exchange-Traded Funds — 1.0% | ||
4,284,398 | Natixis Loomis Sayles Focused Growth ETF (Identified Cost $133,847,928) | 137,355,657 |
Principal Amount | ||
Short-Term Investments — 2.4% | ||
$323,090,591 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $323,216,237 on 04/01/2024 collateralized by $222,875,600 U.S. Treasury Inflation Indexed Note, 0.125% due 04/15/2026 valued at $251,133,215; $78,374,000 U.S. Treasury Note, 3.750% due 04/15/2026 valued at $78,419,270 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $323,090,591) | 323,090,591 |
Total Investments — 99.1% (Identified Cost $6,681,849,997) | 13,461,686,315 | |
Other assets less liabilities — 0.9% | 119,173,503 | |
Net Assets — 100.0% | $13,580,859,818 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
ETF | Exchange-Traded Fund |
Software | 16.8 % |
Interactive Media & Services | 13.5 |
Semiconductors & Semiconductor Equipment | 9.4 |
Entertainment | 8.3 |
Financial Services | 7.3 |
Broadline Retail | 6.4 |
Aerospace & Defense | 4.8 |
Automobiles | 4.7 |
Biotechnology | 4.6 |
Pharmaceuticals | 4.0 |
Hotels, Restaurants & Leisure | 2.9 |
Beverages | 2.8 |
Capital Markets | 2.5 |
Life Sciences Tools & Services | 2.5 |
Other Investments, less than 2% each | 5.2 |
Short-Term Investments | 2.4 |
Affiliated Exchange-Traded Funds | 1.0 |
Total Investments | 99.1 |
Other assets less liabilities | 0.9 |
Net Assets | 100.0 % |
Principal Amount | Description | Value (†) |
Bonds and Notes — 97.8% of Net Assets | ||
ABS Car Loan — 9.3% | ||
$255,000 | Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.070%, 4/15/2027 | $254,167 |
80,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 80,762 |
420,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class C, 6.440%, 10/12/2029(a) | 423,637 |
250,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class B, 6.630%, 2/14/2028(a) | 252,908 |
215,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 | 209,287 |
520,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 482,671 |
335,000 | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028 | 331,913 |
870,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028 | 876,518 |
1,210,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A, 5.440%, 2/22/2028(a) | 1,217,013 |
1,185,000 | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class A3, 6.510%, 11/15/2027 | 1,192,981 |
1,055,000 | CarMax Auto Owner Trust, Series 2023-2, Class A3, 5.050%, 1/18/2028 | 1,051,765 |
170,000 | CarMax Auto Owner Trust, Series 2023-3, Class A3, 5.280%, 5/15/2028 | 170,384 |
66,179 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 62,706 |
299,521 | Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 | 291,074 |
471,124 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027(a) | 472,237 |
675,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 677,945 |
160,000 | Citizens Auto Receivables Trust, Series 2024-1, Class A3, 5.110%, 4/17/2028(a) | 160,207 |
845,000 | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class A, 6.570%, 10/15/2032(a) | 850,153 |
710,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033(a) | 717,689 |
465,000 | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B, 6.610%, 7/15/2033(a) | 469,736 |
130,000 | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C, 7.620%, 12/15/2033(a) | 133,846 |
235,000 | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A, 5.680%, 3/15/2034(a) | 235,838 |
410,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027(a) | 398,889 |
630,000 | DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028(a) | 633,011 |
345,000 | DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029(a) | 343,128 |
680,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 | 679,662 |
360,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.720%, 4/15/2027 | 359,532 |
380,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class B, 5.610%, 9/15/2027 | 378,582 |
355,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class A3, 6.320%, 3/15/2027 | 357,450 |
126,382 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027(a) | 125,334 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$490,000 | Flagship Credit Auto Trust, Series 2022-4, Class A3, 6.320%, 6/15/2027(a) | $492,952 |
430,000 | Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.010%, 8/16/2027(a) | 427,100 |
450,000 | Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029(a) | 449,392 |
595,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031(a) | 584,073 |
570,000 | Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033(a) | 527,914 |
226,999 | Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026(a) | 224,033 |
340,000 | Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A3, 4.590%, 6/15/2027(a) | 337,362 |
380,000 | GECU Auto Receivables Trust, Series 2023-1A, Class A3, 5.630%, 8/15/2028(a) | 380,968 |
224,344 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026(a) | 223,459 |
160,000 | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class A3, 5.400%, 9/15/2027(a) | 159,760 |
280,000 | GM Financial Automobile Leasing Trust, Series 2023-2, Class A3, 5.050%, 7/20/2026 | 278,946 |
630,000 | GM Financial Revolving Receivables Trust, Series 2024-1, Class A, 4.980%, 12/11/2036(a) | 633,400 |
265,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A3, 5.690%, 8/15/2028 | 267,687 |
215,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A4, 5.780%, 4/15/2031 | 219,537 |
715,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) | 726,034 |
260,000 | Huntington Auto Trust, Series 2024-1A, Class A3, 5.230%, 1/16/2029(a) | 260,259 |
225,000 | LAD Auto Receivables Trust, Series 2023-4A, Class B, 6.390%, 10/16/2028(a) | 228,835 |
115,000 | LAD Auto Receivables Trust, Series 2024-1A, Class A4, 5.170%, 9/15/2028(a) | 114,171 |
250,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.180%, 8/25/2028(a) | 252,077 |
430,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028(a) | 412,441 |
340,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028(a) | 338,097 |
560,000 | Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027 | 553,687 |
115,000 | Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.090%, 5/15/2030 | 113,690 |
170,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.770%, 11/15/2030 | 171,273 |
540,000 | Santander Drive Auto Receivables Trust, Series 2023-4, Class B, 5.770%, 12/15/2028 | 543,757 |
590,000 | Santander Drive Auto Receivables Trust, Series 2023-5, Class B, 6.160%, 12/17/2029 | 603,110 |
215,000 | SBNA Auto Lease Trust, Series 2024-A, Class A3, 5.390%, 11/20/2026(a) | 215,036 |
145,000 | SBNA Auto Receivables Trust, Series 2024-A, Class B, 5.290%, 9/17/2029(a) | 144,810 |
420,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028(a) | 421,870 |
440,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) | 419,861 |
370,000 | Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3, 5.160%, 4/17/2028 | 370,191 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$320,000 | United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027(a) | $319,138 |
90,000 | VStrong Auto Receivables Trust, Series 2024-A, Class B, 5.770%, 7/15/2030(a) | 90,219 |
695,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class C, 6.020%, 9/15/2028(a) | 700,058 |
95,000 | Westlake Flooring Master Trust, Series 2024-1A, Class A, 5.430%, 2/15/2028(a) | 95,244 |
380,000 | World Omni Automobile Lease Securitization Trust, Series 2023-A, Class A3, 5.070%, 9/15/2026 | 378,827 |
360,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 | 346,200 |
26,916,493 | ||
ABS Credit Card — 0.3% | ||
720,000 | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.050%, 7/15/2027(a) | 719,783 |
230,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 231,898 |
951,681 | ||
ABS Home Equity — 0.0% | ||
1,457 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c) | 1,422 |
ABS Other — 3.9% | ||
125,000 | Affirm Asset Securitization Trust, Series 2022-A, Class A, 4.300%, 5/17/2027(a) | 124,224 |
105,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 105,635 |
320,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 324,800 |
140,851 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | 141,571 |
150,000 | Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.610%, 2/15/2029(a) | 149,922 |
251,179 | Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046(a) | 224,555 |
170,000 | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.180%, 12/15/2028(a) | 170,842 |
46,889 | BHG Securitization Trust, Series 2022-C, Class A, 5.320%, 10/17/2035(a) | 46,730 |
155,000 | BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) | 155,545 |
7,091 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) | 7,073 |
347,879 | Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035(a) | 348,251 |
500,000 | Daimler Trucks Retail Trust, Series 2023-1, Class A4, 5.930%, 12/16/2030 | 505,632 |
735,000 | Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.930%, 4/23/2029(a) | 743,039 |
645,000 | DLLMT LLC, Series 2023-1A, Class A3, 5.340%, 3/22/2027(a) | 640,871 |
39,017 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 38,865 |
120,723 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) | 119,435 |
423,322 | Enterprise Fleet Financing LLC, Series 2023-2, Class A2, 5.560%, 4/22/2030(a) | 423,737 |
150,000 | Enterprise Fleet Financing LLC, Series 2024-1, Class A3, 5.160%, 9/20/2030(a) | 149,679 |
630,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 635,681 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$69,406 | Hilton Grand Vacations Trust, Series 2022-2A, Class C, 5.570%, 1/25/2037(a) | $68,123 |
455,000 | M&T Equipment Notes, Series 2023-1A, Class A3, 5.740%, 7/15/2030(a) | 456,352 |
19,725 | Marlette Funding Trust, Series 2022-3A, Class A, 5.180%, 11/15/2032(a) | 19,693 |
760,000 | Merchants Fleet Funding LLC, Series 2023-1A, Class A, 7.210%, 5/20/2036(a) | 764,948 |
43,472 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) | 40,741 |
150,000 | MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) | 150,581 |
1,135,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035(a) | 1,113,242 |
100,000 | Post Road Equipment Finance LLC, Series 2024-1A, Class A2, 5.590%, 11/15/2029(a) | 99,817 |
263,334 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029(a) | 258,754 |
1,165,000 | SCF Equipment Leasing LLC, Series 2023-1A, Class A2, 6.560%, 1/22/2030(a) | 1,176,577 |
315,000 | SEB Funding LLC, Series 2024-1A, Class A2, 7.386%, 4/30/2054(a) | 318,215 |
50,258 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) | 48,163 |
885,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 885,425 |
795,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 794,675 |
11,251,393 | ||
ABS Student Loan — 0.1% | ||
79,872 | Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033 | 74,860 |
43,818 | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069(a) | 39,510 |
52,208 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 48,187 |
162,557 | ||
ABS Whole Business — 0.2% | ||
505,575 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048(a) | 494,505 |
Aerospace & Defense — 0.5% | ||
475,000 | BAE Systems PLC, 5.125%, 3/26/2029(a) | 476,748 |
1,015,000 | L3Harris Technologies, Inc., 5.250%, 6/01/2031 | 1,013,118 |
1,489,866 | ||
Agency Commercial Mortgage-Backed Securities — 0.5% | ||
701,647 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024 | 688,882 |
911,498 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 871,194 |
1,560,076 | ||
Apartment REITs — 0.1% | ||
225,000 | Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031 | 178,783 |
Automotive — 3.5% | ||
730,000 | American Honda Finance Corp., 4.900%, 3/13/2029 | 727,932 |
605,000 | BMW U.S. Capital LLC, 4.900%, 4/02/2029(a) | 604,486 |
Principal Amount | Description | Value (†) |
Automotive — continued | ||
$735,000 | Daimler Truck Finance North America LLC, 5.200%, 1/17/2025(a) | $732,381 |
665,000 | Denso Corp., 1.239%, 9/16/2026(a) | 602,593 |
730,000 | Ford Motor Credit Co. LLC, 6.798%, 11/07/2028 | 761,955 |
270,000 | General Motors Financial Co., Inc., 6.050%, 10/10/2025 | 271,999 |
785,000 | General Motors Financial Co., Inc., 6.100%, 1/07/2034 | 806,032 |
180,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025(a) | 174,598 |
570,000 | Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028(a) | 585,041 |
255,000 | Hyundai Capital America, 5.950%, 9/21/2026(a) | 257,964 |
240,000 | Kia Corp., 1.000%, 4/16/2024(a) | 239,546 |
495,000 | LKQ Corp., 5.750%, 6/15/2028 | 503,753 |
420,000 | Magna International, Inc., 5.050%, 3/14/2029 | 419,781 |
285,000 | Mercedes-Benz Finance North America LLC, 5.000%, 1/11/2034(a) | 282,603 |
150,000 | Mercedes-Benz Finance North America LLC, 5.100%, 8/03/2028(a) | 150,556 |
315,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 329,264 |
740,000 | PACCAR Financial Corp., MTN, 4.600%, 1/31/2029 | 735,066 |
445,000 | Toyota Motor Credit Corp., MTN, 4.650%, 1/05/2029 | 442,276 |
370,000 | Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026 | 370,394 |
965,000 | Volkswagen Group of America Finance LLC, 5.250%, 3/22/2029(a) | 965,683 |
9,963,903 | ||
Banking — 13.5% | ||
800,000 | ABN AMRO Bank NV, (fixed rate to 9/18/2026, variable rate thereafter), 6.339%, 9/18/2027(a) | 813,727 |
200,000 | AIB Group PLC, (fixed rate to 3/28/2034, variable rate thereafter), 5.871%, 3/28/2035(a) | 200,560 |
200,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 208,493 |
700,000 | AIB Group PLC, (fixed rate to 10/14/2025, variable rate thereafter), 7.583%, 10/14/2026(a) | 718,216 |
360,000 | Ally Financial, Inc., (fixed rate to 1/03/2029, variable rate thereafter), 6.848%, 1/03/2030 | 370,500 |
215,000 | Ally Financial, Inc., 7.100%, 11/15/2027 | 224,646 |
325,000 | ANZ New Zealand International Ltd., 5.355%, 8/14/2028(a) | 328,656 |
355,000 | ASB Bank Ltd., (fixed rate to 6/17/2027, variable rate thereafter), 5.284%, 6/17/2032(a) | 349,476 |
1,000,000 | Banco Bilbao Vizcaya Argentaria SA, 5.381%, 3/13/2029 | 1,008,883 |
1,000,000 | Banco Santander SA, (fixed rate to 3/14/2029, variable rate thereafter), 5.538%, 3/14/2030 | 1,000,100 |
840,000 | Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026 | 821,577 |
675,000 | Bank of America Corp., (fixed rate to 1/23/2034, variable rate thereafter), 5.468%, 1/23/2035 | 679,400 |
710,000 | Bank of Ireland Group PLC, (fixed rate to 3/20/2029, variable rate thereafter), 5.601%, 3/20/2030(a) | 709,304 |
315,000 | Bank of Ireland Group PLC, (fixed rate to 9/16/2025, variable rate thereafter), 6.253%, 9/16/2026(a) | 316,814 |
570,000 | Bank of New York Mellon Corp., (fixed rate to 4/26/2026, variable rate thereafter), 4.947%, 4/26/2027 | 567,398 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$370,000 | Bank of New York Mellon Corp., MTN, (fixed rate to 3/14/2029, variable rate thereafter), 4.975%, 3/14/2030 | $370,318 |
250,000 | Bank of New Zealand, 2.285%, 1/27/2027(a) | 231,421 |
565,000 | BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(a) | 565,040 |
435,000 | BNP Paribas SA, (fixed rate to 2/20/2034, variable rate thereafter), 5.738%, 2/20/2035(a) | 437,906 |
465,000 | CaixaBank SA, (fixed rate to 6/15/2034, variable rate thereafter), 6.037%, 6/15/2035(a) | 469,141 |
605,000 | Capital One Financial Corp., (fixed rate to 10/29/2026, variable rate thereafter), 7.149%, 10/29/2027 | 629,630 |
1,265,000 | Citibank NA, 5.488%, 12/04/2026 | 1,278,526 |
530,000 | Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037 | 494,712 |
365,000 | Comerica, Inc., (fixed rate to 1/30/2029, variable rate thereafter), 5.982%, 1/30/2030 | 360,611 |
485,000 | Credit Agricole SA, 5.365%, 3/11/2034(a) | 486,416 |
485,000 | Credit Agricole SA, (fixed rate to 10/03/2028, variable rate thereafter), 6.316%, 10/03/2029(a) | 502,809 |
335,000 | Credit Suisse AG, 5.000%, 7/09/2027 | 331,947 |
800,000 | Danske Bank AS, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025(a) | 782,202 |
595,000 | Danske Bank AS, (fixed rate to 3/01/2029, variable rate thereafter), 5.705%, 3/01/2030(a) | 598,802 |
445,000 | Deutsche Bank AG, (fixed rate to 2/08/2027, variable rate thereafter), 5.706%, 2/08/2028 | 444,354 |
590,000 | DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026(a) | 553,114 |
720,000 | Federation des Caisses Desjardins du Quebec, 5.700%, 3/14/2028(a) | 731,275 |
1,650,000 | Goldman Sachs Group, Inc., (fixed rate to 8/10/2025, variable rate thereafter), 5.798%, 8/10/2026 | 1,655,348 |
430,000 | HSBC Holdings PLC, (fixed rate to 8/14/2026, variable rate thereafter), 5.887%, 8/14/2027 | 433,761 |
520,000 | HSBC USA, Inc., 3.750%, 5/24/2024 | 518,814 |
525,000 | HSBC USA, Inc., 5.625%, 3/17/2025 | 525,950 |
290,000 | Huntington Bancshares, Inc., (fixed rate to 8/21/2028, variable rate thereafter), 6.208%, 8/21/2029 | 296,818 |
290,000 | Huntington National Bank, 5.650%, 1/10/2030 | 291,619 |
245,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 264,821 |
550,000 | JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029 | 487,879 |
1,685,000 | JPMorgan Chase Bank NA, 5.110%, 12/08/2026 | 1,689,838 |
435,000 | KeyBank NA, 5.850%, 11/15/2027 | 431,404 |
1,110,000 | Morgan Stanley, (fixed rate to 7/20/2028, variable rate thereafter), 5.449%, 7/20/2029 | 1,119,734 |
820,000 | Morgan Stanley Bank NA, 5.882%, 10/30/2026 | 835,808 |
925,000 | National Australia Bank Ltd., 4.900%, 6/13/2028 | 926,844 |
1,130,000 | National Bank of Canada, (fixed rate to 6/09/2024, variable rate thereafter), 3.750%, 6/09/2025 | 1,125,017 |
410,000 | National Bank of Canada, 5.600%, 12/18/2028 | 416,791 |
495,000 | Nationwide Building Society, (fixed rate to 10/18/2026, variable rate thereafter), 6.557%, 10/18/2027(a) | 507,831 |
565,000 | NatWest Group PLC, MTN, (fixed rate to 3/01/2034, variable rate thereafter), 5.778%, 3/01/2035 | 572,872 |
935,000 | NatWest Markets PLC, 1.600%, 9/29/2026(a) | 854,871 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$210,000 | Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 | $195,742 |
375,000 | Santander Holdings USA, Inc., (fixed rate to 1/09/2029, variable rate thereafter), 6.174%, 1/09/2030 | 378,380 |
220,000 | Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(a) | 221,310 |
415,000 | Standard Chartered PLC, (fixed rate to 2/08/2029, variable rate thereafter), 7.018%, 2/08/2030(a) | 439,178 |
885,000 | State Street Corp., 4.993%, 3/18/2027 | 886,714 |
400,000 | Sumitomo Mitsui Trust Bank Ltd., 5.200%, 3/07/2027(a) | 400,331 |
835,000 | Swedbank AB, 5.407%, 3/14/2029(a) | 834,985 |
325,000 | Swedbank AB, 6.136%, 9/12/2026(a) | 329,323 |
560,000 | Synchrony Bank, 5.400%, 8/22/2025 | 554,949 |
285,000 | Synchrony Financial, 4.875%, 6/13/2025 | 280,760 |
1,445,000 | Toronto-Dominion Bank, GMTN, 4.994%, 4/05/2029 | 1,445,087 |
630,000 | Truist Financial Corp., MTN, (fixed rate to 1/26/2033, variable rate thereafter), 5.122%, 1/26/2034 | 606,393 |
525,000 | Truist Financial Corp., MTN, (fixed rate to 10/30/2028, variable rate thereafter), 7.161%, 10/30/2029 | 559,861 |
585,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026(a) | 557,164 |
655,000 | Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026 | 642,855 |
38,875,026 | ||
Brokerage — 0.5% | ||
310,000 | Cantor Fitzgerald LP, 7.200%, 12/12/2028(a) | 320,701 |
285,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 290,124 |
350,000 | Lseg U.S. Fin Corp., 5.297%, 3/28/2034(a) | 352,208 |
430,000 | TPG Operating Group II LP, 5.875%, 3/05/2034 | 436,076 |
1,399,109 | ||
Chemicals — 0.4% | ||
240,000 | Cabot Corp., 4.000%, 7/01/2029 | 226,531 |
1,015,000 | LYB International Finance III LLC, 5.500%, 3/01/2034 | 1,016,877 |
1,243,408 | ||
Collateralized Mortgage Obligations — 0.6% | ||
79,239 | Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.963%, 7/20/2064(c) | 79,136 |
72,154 | Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.944%, 7/20/2064(c) | 72,057 |
174 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(b) | 156 |
80,828 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 77,894 |
238,110 | Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 6.364%, 2/20/2066(c) | 237,879 |
748,443 | Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(c) | 710,230 |
128,440 | Government National Mortgage Association, Series 2019-H01, Class FL, 1 mo. USD SOFR + 0.564%, 5.894%, 12/20/2068(c) | 128,386 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$175,008 | Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%, 5.844%, 10/20/2068(c) | $174,751 |
380,631 | Government National Mortgage Association, Series 2019-H10, Class FM, 1 mo. USD SOFR + 0.514%, 5.844%, 5/20/2069(c) | 379,515 |
1,860,004 | ||
Construction Machinery — 0.7% | ||
475,000 | Caterpillar Financial Services Corp., 4.850%, 2/27/2029 | 477,725 |
480,000 | CNH Industrial Capital LLC, 5.500%, 1/12/2029 | 486,877 |
1,010,000 | John Deere Capital Corp., MTN, 4.900%, 3/07/2031 | 1,010,275 |
1,974,877 | ||
Consumer Cyclical Services — 0.1% | ||
150,000 | CBRE Services, Inc., 5.500%, 4/01/2029 | 150,906 |
165,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 165,721 |
316,627 | ||
Consumer Products — 0.4% | ||
165,000 | Brunswick Corp., 5.850%, 3/18/2029 | 166,792 |
620,000 | Estee Lauder Cos., Inc., 5.000%, 2/14/2034 | 615,051 |
245,000 | Whirlpool Corp., 5.750%, 3/01/2034 | 245,779 |
1,027,622 | ||
Diversified Manufacturing — 0.2% | ||
510,000 | Honeywell International, Inc., 5.000%, 3/01/2035 | 511,915 |
Electric — 4.2% | ||
435,000 | AES Corp., 3.300%, 7/15/2025(a) | 421,398 |
425,000 | Ameren Corp., 5.000%, 1/15/2029 | 422,675 |
365,000 | American Electric Power Co., Inc., 5.200%, 1/15/2029 | 365,858 |
565,000 | American Electric Power Co., Inc., 5.699%, 8/15/2025 | 566,156 |
340,000 | Appalachian Power Co., 5.650%, 4/01/2034 | 343,143 |
120,000 | Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 | 112,661 |
745,000 | DTE Energy Co., 4.220%, 11/01/2024 | 738,123 |
740,000 | Edison International, 4.700%, 8/15/2025 | 730,911 |
310,000 | Entergy Corp., 0.900%, 9/15/2025 | 290,576 |
710,000 | Entergy Louisiana LLC, 5.350%, 3/15/2034 | 712,654 |
665,000 | Eversource Energy, 5.950%, 2/01/2029 | 686,186 |
750,000 | Liberty Utilities Co., 5.577%, 1/31/2029(a) | 754,046 |
370,000 | National Grid PLC, 5.418%, 1/11/2034 | 367,394 |
685,000 | National Rural Utilities Cooperative Finance Corp., MTN, 5.600%, 11/13/2026 | 694,016 |
141,000 | National Rural Utilities Cooperative Finance Corp., 3 mo. USD SOFR + 3.172%, 8.489%, 4/30/2043(c) | 140,648 |
865,000 | NextEra Energy Capital Holdings, Inc., 5.250%, 3/15/2034 | 863,087 |
345,000 | Public Service Enterprise Group, Inc., 5.200%, 4/01/2029 | 345,265 |
215,000 | Southern California Edison Co., 5.150%, 6/01/2029 | 215,883 |
290,000 | Southern California Edison Co., 5.200%, 6/01/2034 | 287,093 |
675,000 | Southern Co., 5.500%, 3/15/2029 | 687,830 |
730,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025(a) | 724,459 |
830,000 | WEC Energy Group, Inc., 4.750%, 1/09/2026 | 822,339 |
725,000 | Xcel Energy, Inc., 5.500%, 3/15/2034 | 720,931 |
12,013,332 | ||
Finance Companies — 3.2% | ||
365,000 | Air Lease Corp., 5.100%, 3/01/2029 | 362,579 |
555,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | 498,190 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$170,000 | Aircastle Ltd., 5.950%, 2/15/2029(a) | $170,067 |
190,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 193,811 |
360,000 | Ares Capital Corp., 7.000%, 1/15/2027 | 370,346 |
265,000 | ARES Capital Corp., 5.875%, 3/01/2029 | 264,207 |
545,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 | 500,172 |
310,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 282,851 |
490,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 | 432,019 |
260,000 | Blue Owl Capital Corp., 3.750%, 7/22/2025 | 252,218 |
45,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 43,649 |
295,000 | Blue Owl Capital Corp., 5.950%, 3/15/2029 | 293,339 |
265,000 | Blue Owl Capital Corp. II, 8.450%, 11/15/2026(a) | 272,945 |
490,000 | Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a) | 508,362 |
355,000 | Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(a) | 341,351 |
575,000 | Blue Owl Technology Finance Corp. II, 6.750%, 4/04/2029(a) | 567,867 |
145,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 126,673 |
295,000 | FS KKR Capital Corp., 7.875%, 1/15/2029 | 308,315 |
190,000 | GATX Corp., 5.400%, 3/15/2027 | 191,300 |
275,000 | Goldman Sachs BDC, Inc., 6.375%, 3/11/2027 | 277,050 |
480,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 441,015 |
220,000 | Golub Capital BDC, Inc., 6.000%, 7/15/2029 | 216,066 |
465,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 427,029 |
185,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(a) | 187,927 |
370,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 344,771 |
150,000 | New Mountain Finance Corp., 6.875%, 2/01/2029 | 148,419 |
330,000 | Sixth Street Lending Partners, 6.500%, 3/11/2029(a) | 329,804 |
285,000 | Sixth Street Specialty Lending, Inc., 6.125%, 3/01/2029 | 283,352 |
520,000 | USAA Capital Corp., 3.375%, 5/01/2025(a) | 510,080 |
9,145,774 | ||
Financial Other — 0.2% | ||
470,000 | LeasePlan Corp. NV, 2.875%, 10/24/2024(a) | 462,341 |
185,000 | ORIX Corp., 3.250%, 12/04/2024 | 182,165 |
644,506 | ||
Food & Beverage — 2.4% | ||
630,000 | Anheuser-Busch InBev Worldwide, Inc., 5.000%, 6/15/2034 | 633,748 |
695,000 | Bimbo Bakeries USA, Inc., 6.050%, 1/15/2029(a) | 719,130 |
280,000 | Cargill, Inc., 4.500%, 6/24/2026(a) | 277,645 |
1,135,000 | Conagra Brands, Inc., 5.300%, 10/01/2026 | 1,136,816 |
615,000 | Constellation Brands, Inc., 4.800%, 1/15/2029 | 609,606 |
1,005,000 | Keurig Dr Pepper, Inc., Series 10, 5.200%, 3/15/2031 | 1,007,397 |
1,450,000 | Nestle Capital Corp., 4.650%, 3/12/2029(a) | 1,444,560 |
915,000 | Pernod Ricard International Finance LLC, 1.250%, 4/01/2028(a) | 794,147 |
320,000 | Tyson Foods, Inc., 5.700%, 3/15/2034 | 324,221 |
6,947,270 | ||
Government Owned - No Guarantee — 0.4% | ||
800,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 729,991 |
350,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024(a) | 348,888 |
1,078,879 | ||
Health Care REITs — 0.1% | ||
235,000 | Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 | 232,414 |
Principal Amount | Description | Value (†) |
Health Insurance — 0.5% | ||
$780,000 | Humana, Inc., 5.375%, 4/15/2031 | $780,420 |
645,000 | Humana, Inc., 5.750%, 12/01/2028 | 660,956 |
1,441,376 | ||
Healthcare — 0.7% | ||
1,030,000 | Cigna Group, 5.250%, 2/15/2034 | 1,028,537 |
755,000 | GE HealthCare Technologies, Inc., 5.550%, 11/15/2024 | 754,013 |
320,000 | IQVIA, Inc., 5.700%, 5/15/2028 | 324,438 |
2,106,988 | ||
Hybrid ARMs — 0.0% | ||
24,296 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.500%, 6.111%, 5/01/2036(c) | 24,985 |
12,645 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.225%, 6.149%, 1/01/2035(c) | 12,934 |
37,919 | ||
Independent Energy — 0.2% | ||
460,000 | Pioneer Natural Resources Co., 5.100%, 3/29/2026 | 459,420 |
Industrial Other — 0.0% | ||
50,000 | CIMIC Finance USA Pty. Ltd., 7.000%, 3/25/2034(a) | 51,340 |
Life Insurance — 4.0% | ||
290,000 | Athene Global Funding, 2.500%, 3/24/2028(a) | 258,670 |
520,000 | Athene Holding Ltd., 6.250%, 4/01/2054 | 527,739 |
780,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025(a) | 753,878 |
835,000 | CNO Global Funding, 2.650%, 1/06/2029(a) | 727,101 |
670,000 | Corebridge Global Funding, 5.750%, 7/02/2026(a) | 670,677 |
155,000 | F&G Annuities & Life, Inc., 7.400%, 1/13/2028 | 160,962 |
875,000 | F&G Global Funding, 5.150%, 7/07/2025(a) | 861,540 |
995,000 | GA Global Funding Trust, 2.250%, 1/06/2027(a) | 910,474 |
665,000 | Great-West Lifeco U.S. Finance 2020 LP, 0.904%, 8/12/2025(a) | 626,168 |
1,370,000 | Guardian Life Global Funding, 1.100%, 6/23/2025(a) | 1,303,253 |
300,000 | Jackson National Life Global Funding, 1.750%, 1/12/2025(a) | 290,967 |
155,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025(a) | 151,071 |
385,000 | Lincoln National Corp., 5.852%, 3/15/2034 | 380,057 |
650,000 | Mutual of Omaha Cos. Global Funding, 5.450%, 12/12/2028(a) | 662,395 |
400,000 | New York Life Global Funding, 5.000%, 1/09/2034(a) | 395,729 |
840,000 | Northwestern Mutual Global Funding, 4.900%, 6/12/2028(a) | 834,868 |
370,000 | Protective Life Global Funding, 4.714%, 7/06/2027(a) | 366,009 |
655,000 | Reliance Standard Life Global Funding II, 2.750%, 5/07/2025(a) | 633,656 |
415,000 | Reliance Standard Life Global Funding II, 5.243%, 2/02/2026(a) | 410,742 |
570,000 | RGA Global Funding, 2.700%, 1/18/2029(a) | 507,983 |
11,433,939 | ||
Lodging — 0.3% | ||
400,000 | Hyatt Hotels Corp., 5.750%, 1/30/2027 | 406,224 |
360,000 | Marriott International, Inc., 5.550%, 10/15/2028 | 367,599 |
773,823 | ||
Media Entertainment — 0.7% | ||
805,000 | Fox Corp., 6.500%, 10/13/2033 | 852,642 |
Principal Amount | Description | Value (†) |
Media Entertainment — continued | ||
$550,000 | Prosus NV, 4.193%, 1/19/2032(a) | $477,572 |
835,000 | Take-Two Interactive Software, Inc., 4.950%, 3/28/2028 | 831,790 |
2,162,004 | ||
Metals & Mining — 0.5% | ||
1,010,000 | Glencore Funding LLC, 5.634%, 4/04/2034(a) | 1,012,699 |
475,000 | Newmont Corp./ Newcrest Finance Pty Ltd., 5.350%, 3/15/2034(a) | 478,029 |
1,490,728 | ||
Midstream — 0.2% | ||
600,000 | Williams Cos., Inc., 5.400%, 3/02/2026 | 601,541 |
Mortgage Related — 0.6% | ||
404 | Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 | 393 |
3 | Federal Home Loan Mortgage Corp., 8.000%, 7/01/2025 | 3 |
10,058 | Government National Mortgage Association, 3.890%, with various maturities in 2062(c)(d) | 9,600 |
13,325 | Government National Mortgage Association, 4.015%, 4/20/2063(c) | 12,847 |
13,608 | Government National Mortgage Association, 4.102%, 6/20/2066(c) | 13,028 |
37,585 | Government National Mortgage Association, 4.349%, 9/20/2066(c) | 36,454 |
35,724 | Government National Mortgage Association, 4.369%, 11/20/2066(c) | 34,699 |
1,111 | Government National Mortgage Association, 4.371%, 11/20/2064(c) | 1,080 |
114,132 | Government National Mortgage Association, 4.394%, 10/20/2066(c) | 111,146 |
52,877 | Government National Mortgage Association, 4.411%, 10/20/2066(c) | 51,414 |
52,404 | Government National Mortgage Association, 4.453%, 11/20/2066(c) | 50,939 |
111,093 | Government National Mortgage Association, 4.481%, 9/20/2066(c) | 108,798 |
32,478 | Government National Mortgage Association, 4.485%, 8/20/2066(c) | 31,675 |
45,861 | Government National Mortgage Association, 4.578%, 10/20/2066(c) | 44,889 |
253,307 | Government National Mortgage Association, 4.585%, 7/20/2067(c) | 246,620 |
631,419 | Government National Mortgage Association, 4.639%, 4/20/2067(c) | 617,008 |
377,135 | Government National Mortgage Association, 4.700%, with various maturities from 2064 to 2067(c)(d) | 369,776 |
1,740,369 | ||
Natural Gas — 0.2% | ||
410,000 | NiSource, Inc., 5.350%, 4/01/2034 | 407,779 |
155,000 | Sempra, 5.400%, 8/01/2026 | 155,448 |
563,227 | ||
Non-Agency Commercial Mortgage-Backed Securities — 6.1% | ||
270,000 | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 235,268 |
870,000 | BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(c) | 732,531 |
635,000 | BANK, Series 2023-5YR3, Class A3, 6.724%, 9/15/2056(c) | 673,628 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$385,000 | BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 | $405,647 |
660,000 | BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.581%, 10/15/2037(a)(c) | 656,700 |
865,000 | BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054 | 736,969 |
173,715 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) | 161,225 |
285,000 | Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053 | 249,893 |
520,000 | Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(c) | 531,634 |
520,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(c) | 491,484 |
360,000 | BPR Trust, Series 2022-OANA, Class A, 1 mo. USD SOFR + 1.898%, 7.223%, 4/15/2037(a)(c) | 361,802 |
491,600 | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048 | 473,739 |
361,996 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058 | 346,167 |
992,138 | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049 | 943,375 |
540,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | 481,323 |
403,490 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 375,007 |
280,000 | Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 | 278,600 |
280,000 | Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048 | 274,208 |
520,299 | Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049 | 500,706 |
795,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | 703,575 |
24,255 | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048 | 23,885 |
470,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052 | 411,292 |
335,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class A, 6.314%, 9/12/2040(a) | 342,450 |
365,000 | GS Mortgage Securities Corp. II, Series 2023-SHIP, Class A, 4.322%, 9/10/2038(a)(c) | 353,363 |
605,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 459,551 |
440,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033(a)(c) | 355,737 |
245,000 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 216,456 |
180,000 | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034(a) | 168,400 |
282,664 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 274,601 |
575,000 | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052 | 517,403 |
776,275 | Med Trust, Series 2021-MDLN, Class A, 1 mo. USD SOFR + 1.064%, 6.390%, 11/15/2038(a)(c) | 774,334 |
129,604 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048 | 126,350 |
550,000 | Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053 | 483,506 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$845,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061(a) | $740,001 |
465,000 | SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/15/2040(a) | 467,655 |
980,000 | SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.875%, 2/15/2039(a)(c) | 963,248 |
201,109 | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059 | 192,391 |
490,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053 | 406,370 |
825,000 | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4, 4.000%, 4/15/2055(c) | 763,908 |
17,654,382 | ||
Office REITs — 0.2% | ||
485,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 | 448,015 |
Other REITs — 0.1% | ||
260,000 | Prologis Targeted U.S. Logistics Fund LP, 5.250%, 4/01/2029(a) | 259,254 |
Packaging — 0.1% | ||
335,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 | 328,917 |
Paper — 0.2% | ||
570,000 | Smurfit Kappa Treasury ULC, 5.438%, 4/03/2034(a) | 571,112 |
Pharmaceuticals — 0.6% | ||
770,000 | Astrazeneca Finance LLC, 4.850%, 2/26/2029 | 772,172 |
715,000 | Bayer U.S. Finance LLC, 6.500%, 11/21/2033(a) | 727,518 |
195,000 | Bristol-Myers Squibb Co., 5.100%, 2/22/2031 | 196,886 |
1,696,576 | ||
Property & Casualty Insurance — 0.9% | ||
1,015,000 | Aon North America, Inc., 5.450%, 3/01/2034 | 1,026,716 |
65,000 | CNA Financial Corp., 5.125%, 2/15/2034 | 63,241 |
390,000 | Radian Group, Inc., 6.200%, 5/15/2029 | 395,786 |
395,000 | SiriusPoint Ltd., 7.000%, 4/05/2029 | 394,944 |
240,000 | Trustage Financial Group, Inc., 4.625%, 4/15/2032(a) | 208,854 |
430,000 | Willis North America, Inc., 5.900%, 3/05/2054 | 435,305 |
2,524,846 | ||
Refining — 0.4% | ||
1,005,000 | Phillips 66 Co., 5.250%, 6/15/2031 | 1,018,399 |
Restaurants — 0.1% | ||
350,000 | Starbucks Corp., 5.000%, 2/15/2034 | 346,935 |
Retail REITs — 0.1% | ||
370,000 | Realty Income Corp., 5.125%, 2/15/2034 | 363,073 |
Retailers — 0.8% | ||
345,000 | AutoNation, Inc., 3.500%, 11/15/2024 | 340,501 |
290,000 | AutoNation, Inc., 4.500%, 10/01/2025 | 285,539 |
525,000 | AutoZone, Inc., 5.050%, 7/15/2026 | 525,820 |
375,000 | O'Reilly Automotive, Inc., 5.750%, 11/20/2026 | 381,171 |
670,000 | Tapestry, Inc., 7.700%, 11/27/2030 | 714,497 |
2,247,528 | ||
Technology — 1.3% | ||
305,000 | Avnet, Inc., 6.250%, 3/15/2028 | 312,430 |
440,000 | Broadcom, Inc., 4.000%, 4/15/2029(a) | 419,137 |
570,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 519,977 |
330,000 | Equifax, Inc., 5.100%, 6/01/2028 | 330,567 |
265,000 | Fiserv, Inc., 5.350%, 3/15/2031 | 268,090 |
355,000 | Flex Ltd., 6.000%, 1/15/2028 | 361,089 |
525,000 | Global Payments, Inc., 1.500%, 11/15/2024 | 511,643 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$490,000 | Microchip Technology, Inc., 5.050%, 3/15/2029 | $490,074 |
350,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 375,676 |
200,000 | Qorvo, Inc., 1.750%, 12/15/2024 | 194,085 |
3,782,768 | ||
Tobacco — 0.9% | ||
550,000 | Altria Group, Inc., 6.200%, 11/01/2028 | 573,249 |
475,000 | BAT Capital Corp., 5.834%, 2/20/2031 | 479,077 |
1,215,000 | Philip Morris International, Inc., 5.125%, 2/13/2031 | 1,207,035 |
430,000 | Philip Morris International, Inc., 5.500%, 9/07/2030 | 438,235 |
2,697,596 | ||
Transportation Services — 0.7% | ||
275,000 | Element Fleet Management Corp., 3.850%, 6/15/2025(a) | 268,496 |
440,000 | Element Fleet Management Corp., 6.319%, 12/04/2028(a) | 454,604 |
175,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025(a) | 171,370 |
130,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.350%, 1/12/2027(a) | 130,094 |
450,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.350%, 3/30/2029(a) | 450,308 |
565,000 | Ryder System, Inc., MTN, 5.375%, 3/15/2029 | 569,689 |
2,044,561 | ||
Treasuries — 31.7% | ||
3,635,000 | U.S. Treasury Notes, 2.750%, 7/31/2027 | 3,452,114 |
5,200,000 | U.S. Treasury Notes, 3.250%, 6/30/2027 | 5,021,656 |
6,850,000 | U.S. Treasury Notes, 3.625%, 3/31/2028 | 6,677,680 |
11,070,000 | U.S. Treasury Notes, 3.625%, 5/31/2028 | 10,789,358 |
17,710,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 17,423,596 |
1,105,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 1,087,173 |
5,925,000 | U.S. Treasury Notes, 4.000%, 1/31/2029 | 5,863,899 |
13,855,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 13,768,406 |
7,200,000 | U.S. Treasury Notes, 4.250%, 2/28/2029 | 7,209,563 |
9,155,000 | U.S. Treasury Notes, 4.375%, 11/30/2028 | 9,203,278 |
1,990,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 1,986,502 |
3,335,000 | U.S. Treasury Notes, 4.875%, 11/30/2025 | 3,339,820 |
5,510,000 | U.S. Treasury Notes, 5.000%, 10/31/2025 | 5,525,497 |
91,348,542 | ||
Wireless — 0.2% | ||
520,000 | T-Mobile USA, Inc., 4.850%, 1/15/2029 | 516,148 |
Wirelines — 0.2% | ||
715,000 | Bell Telephone Co. of Canada or Bell Canada, 5.200%, 2/15/2034 | 708,625 |
Total Bonds and Notes (Identified Cost $285,859,430) | 281,661,393 | |
Principal Amount | Description | Value (†) |
Short-Term Investments — 2.3% | ||
$6,662,223 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $6,664,814 on 4/01/2024 collateralized by $7,325,600 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $6,795,522 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,662,223) | $6,662,223 |
Total Investments — 100.1% (Identified Cost $292,521,653) | 288,323,616 | |
Other assets less liabilities — (0.1)% | (322,075 ) | |
Net Assets — 100.0% | $288,001,541 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to $82,255,529 or 28.6% of net assets. |
(b) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(c) | Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(d) | The Fund’s investment in mortgage related securities of Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 5 Year U.S. Treasury Notes Futures | 6/28/2024 | 64 | $6,828,435 | $6,849,000 | $20,565 |
Ultra 10-Year U.S. Treasury Notes Futures | 6/18/2024 | 107 | 12,138,710 | 12,263,203 | 124,493 |
Total | $145,058 |
Treasuries | 31.7 % |
Banking | 13.5 |
ABS Car Loan | 9.3 |
Non-Agency Commercial Mortgage-Backed Securities | 6.1 |
Electric | 4.2 |
Life Insurance | 4.0 |
ABS Other | 3.9 |
Automotive | 3.5 |
Finance Companies | 3.2 |
Food & Beverage | 2.4 |
Other Investments, less than 2% each | 16.0 |
Short-Term Investments | 2.3 |
Total Investments | 100.1 |
Other assets less liabilities (including futures contracts) | (0.1 ) |
Net Assets | 100.0 % |
Principal Amount | Description | Value (†) |
Bonds and Notes — 94.6% of Net Assets | ||
ABS Car Loan — 1.9% | ||
$3,220,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) | $3,089,003 |
1,461,379 | Carvana Auto Receivables Trust, Series 2021-N2, Class A2, 0.970%, 3/10/2028 | 1,394,924 |
437,935 | Exeter Automobile Receivables Trust, Series 2022-5A, Class A3, 5.430%, 4/15/2026 | 437,864 |
655,000 | GM Financial Revolving Receivables Trust, Series 2021-1, Class A, 1.170%, 6/12/2034(a) | 597,393 |
1,555,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) | 1,578,997 |
1,260,000 | NextGear Floorplan Master Owner Trust, Series 2024-1A, Class A2, 5.120%, 3/15/2029(a) | 1,258,889 |
620,000 | PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028(a) | 610,880 |
765,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) | 729,985 |
4,365,000 | Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.820%, 4/25/2035(a) | 4,222,211 |
13,920,146 | ||
ABS Other — 0.6% | ||
810,000 | BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) | 812,850 |
24,355 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032(a) | 24,294 |
110,427 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034(a) | 109,995 |
452,710 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) | 447,881 |
247,167 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) | 231,641 |
775,000 | MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) | 778,002 |
347,397 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) | 332,915 |
474,823 | Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038(a) | 461,892 |
1,110,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 1,110,533 |
4,310,003 | ||
ABS Student Loan — 0.8% | ||
1,225,422 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068(a) | 1,146,740 |
384,876 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069(a) | 351,239 |
1,350,987 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) | 1,187,110 |
3,203,186 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) | 2,764,888 |
693,017 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.340%, 3/17/2053(a) | 622,495 |
6,072,472 | ||
Agency Commercial Mortgage-Backed Securities — 26.2% | ||
2,580,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027 | 2,477,248 |
18,877,975 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K139, Class A1, 2.209%, 10/25/2031 | 17,051,739 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$11,380,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, 2.050%, 11/25/2028(b) | $10,171,319 |
7,855,681 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026 | 7,461,567 |
2,124,509 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F100, Class AS, 30 day USD SOFR Average + 0.180%, 5.500%, 1/25/2028(b) | 2,101,376 |
5,084,629 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F121, Class AS, 30 day USD SOFR Average + 0.180%, 5.500%, 8/25/2028(b) | 5,037,149 |
12,456,790 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF123, Class AS, 30 day USD SOFR Average + 0.200%, 5.520%, 9/25/2028(b) | 12,324,051 |
1,239,233 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF53, Class A, 30 day USD SOFR Average + 0.504%, 5.825%, 10/25/2025(b) | 1,235,406 |
5,148,214 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF72, Class A, 30 day USD SOFR Average + 0.614%, 5.935%, 10/25/2026(b) | 5,136,845 |
707,393 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF74, Class AS, 1 mo. USD SOFR Historical Calendar Day Compounded + 0.530%, 5.850%, 1/25/2027(b) | 705,821 |
4,980,730 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AL, 30 day USD SOFR Average + 0.814%, 6.135%, 2/25/2027(b) | 4,992,151 |
6,550,937 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AS, 30 day USD SOFR Average + 0.900%, 6.220%, 2/25/2027(b) | 6,610,839 |
17,368,194 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AL, 30 day USD SOFR Average + 0.914%, 6.235%, 3/25/2030(b) | 17,490,516 |
17,368,194 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AS, 30 day USD SOFR Average + 1.000%, 6.320%, 3/25/2030(b) | 17,639,853 |
2,801,455 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AL, 30 day USD SOFR Average + 0.584%, 5.905%, 5/25/2030(b) | 2,797,105 |
2,585,071 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AS, 30 day USD SOFR Average + 0.580%, 5.900%, 5/25/2030(b) | 2,588,930 |
3,838,266 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AL, 30 day USD SOFR Average + 0.554%, 5.875%, 6/25/2030(b) | 3,825,452 |
2,156,574 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AS, 30 day USD SOFR Average + 0.510%, 5.830%, 6/25/2030(b) | 2,149,971 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$806,229 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.795%, 6/25/2027(b) | $803,324 |
604,672 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.720%, 6/25/2027(b) | 600,976 |
470,675 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AL, 30 day USD SOFR Average + 0.414%, 5.735%, 7/25/2030(b) | 467,401 |
395,965 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AS, 30 day USD SOFR Average + 0.320%, 5.640%, 7/25/2030(b) | 392,909 |
128,034 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AL, 30 day USD SOFR Average + 0.414%, 5.735%, 8/25/2030(b) | 127,101 |
341,309 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AS, 30 day USD SOFR Average + 0.330%, 5.650%, 8/25/2030(b) | 338,014 |
509,165 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AL, 30 day USD SOFR Average + 0.404%, 5.725%, 8/25/2027(b) | 507,736 |
454,670 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AS, 30 day USD SOFR Average + 0.320%, 5.640%, 8/25/2027(b) | 451,603 |
377,159 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AL, 30 day USD SOFR Average + 0.394%, 5.715%, 10/25/2027(b) | 375,175 |
452,835 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AS, 30 day USD SOFR Average + 0.310%, 5.630%, 10/25/2027(b) | 448,235 |
2,444,646 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF97, Class AS, 30 day USD SOFR Average + 0.250%, 5.570%, 12/25/2030(b) | 2,409,797 |
6,185,735 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025 | 6,067,211 |
8,074,466 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026 | 7,861,471 |
5,988,735 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 5,723,932 |
7,165,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, 2.333%, 11/25/2030 | 6,311,979 |
16,300,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ42, Class A2, 4.118%, 11/25/2032 | 15,732,287 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$8,515,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS12, Class A, 30 day USD SOFR Average + 0.764%, 6.085%, 8/25/2029(b) | $8,530,572 |
2,855,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AL, 30 day USD SOFR Average + 0.454%, 5.775%, 4/25/2030(b) | 2,843,646 |
3,140,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AS, 30 day USD SOFR Average + 0.370%, 5.690%, 4/25/2030(b) | 3,116,481 |
403,546 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q008, Class A, 30 day USD SOFR Average + 0.504%, 5.825%, 10/25/2045(b) | 402,224 |
3,909,804 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q016, Class APT1, 1.242%, 5/25/2051(b) | 3,631,625 |
5,200,000 | Federal National Mortgage Association, 3.580%, 1/01/2026 | 5,070,852 |
700,247 | Federal National Mortgage Association, Series 2020-M5, Class FA, 30 day USD SOFR Average + 0.574%, 5.895%, 1/25/2027(b) | 698,329 |
68,320 | Government National Mortgage Association, Series 2003-72, Class Z, 5.417%, 11/16/2045(b) | 67,533 |
194,777,751 | ||
Collateralized Mortgage Obligations — 9.5% | ||
36,685 | Federal Home Loan Mortgage Corp., Series 2131, Class ZB, REMICS, 6.000%, 3/15/2029(c) | 35,115 |
341,070 | Federal Home Loan Mortgage Corp., Series 2978, Class JG, REMICS, 5.500%, 5/15/2035(c) | 343,386 |
523,673 | Federal Home Loan Mortgage Corp., Series 3036, Class NE, REMICS, 5.000%, 9/15/2035(c) | 520,329 |
185,098 | Federal Home Loan Mortgage Corp., Series 3412, Class AY, REMICS, 5.500%, 2/15/2038(c) | 186,312 |
496,011 | Federal Home Loan Mortgage Corp., Series 3561, Class W, REMICS, 2.580%, 6/15/2048(b)(d) | 446,337 |
362,054 | Federal Home Loan Mortgage Corp., Series 3620, Class AT, REMICS, 3.979%, 12/15/2036(b)(d) | 357,028 |
98,978 | Federal Home Loan Mortgage Corp., Series 4212, Class FW, REMICS, 0.000%, 6/15/2043(b)(c) | 86,488 |
4,446 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-60, Class 2A1, 4.123%, 3/25/2044(b)(c) | 3,737 |
224,553 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-62, Class 1A1, 1 yr. MTA + 1.200%, 6.289%, 10/25/2044(b)(c) | 201,402 |
32 | Federal National Mortgage Association, Series 1994-42, Class FD, REMICS, 10 yr. CMT - 0.500%, 3.800%, 4/25/2024(b)(c) | 31 |
4,954 | Federal National Mortgage Association, Series 2002-W10, Class A7, REMICS, 4.591%, 8/25/2042(b)(c) | 4,508 |
456,591 | Federal National Mortgage Association, Series 2003-48, Class GH, REMICS, 5.500%, 6/25/2033(c) | 457,544 |
258,260 | Federal National Mortgage Association, Series 2007-73, Class A1, REMICS, 30 day USD SOFR Average + 0.174%, 5.692%, 7/25/2037(b)(c) | 248,830 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$470,414 | Federal National Mortgage Association, Series 2008-86, Class LA, REMICS, 3.507%, 8/25/2038(b) | $449,669 |
969,206 | Federal National Mortgage Association, Series 2012-56, Class FK, REMICS, 30 day USD SOFR Average + 0.564%, 5.885%, 6/25/2042(b)(c) | 943,085 |
1,107,689 | Federal National Mortgage Association, Series 2012-58, Class KF, REMICS, 30 day USD SOFR Average + 0.664%, 5.985%, 6/25/2042(b) | 1,094,985 |
2,616,090 | Federal National Mortgage Association, Series 2012-83, Class LF, REMICS, 30 day USD SOFR Average + 0.624%, 5.945%, 8/25/2042(b) | 2,580,768 |
1,840,298 | Federal National Mortgage Association, Series 2013-67, Class NF, REMICS, 30 day USD SOFR Average + 1.114%, 5.000%, 7/25/2043(b) | 1,723,695 |
2,918,375 | Federal National Mortgage Association, Series 2015-4, Class BF, REMICS, 30 day USD SOFR Average + 0.514%, 5.835%, 2/25/2045(b) | 2,861,007 |
3,989,044 | Federal National Mortgage Association, Series 2020-35, Class FA, REMICS, 30 day USD SOFR Average + 0.614%, 5.943%, 6/25/2050(b) | 3,880,251 |
808,175 | Government National Mortgage Association, Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%, 5.643%, 2/20/2035(b)(c) | 795,066 |
622,622 | Government National Mortgage Association, Series 2007-59, Class FM, 1 mo. USD SOFR + 0.634%, 5.963%, 10/20/2037(b)(c) | 616,109 |
97,600 | Government National Mortgage Association, Series 2009-H01, Class FA, 1 mo. USD SOFR + 1.264%, 6.593%, 11/20/2059(b)(c) | 96,753 |
323,383 | Government National Mortgage Association, Series 2010-H20, Class AF, 1 mo. USD SOFR + 0.444%, 5.774%, 10/20/2060(b) | 322,271 |
291,331 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 10/20/2060(b) | 290,500 |
211,323 | Government National Mortgage Association, Series 2010-H27, Class FA, 1 mo. USD SOFR + 0.494%, 5.824%, 12/20/2060(b) | 210,759 |
10,757 | Government National Mortgage Association, Series 2011-H08, Class FA, 1 mo. USD SOFR + 0.714%, 6.044%, 2/20/2061(b)(c) | 10,650 |
1,756,745 | Government National Mortgage Association, Series 2012-18, Class FM, 1 mo. USD SOFR + 0.364%, 5.693%, 9/20/2038(b) | 1,750,577 |
87 | Government National Mortgage Association, Series 2012-H15, Class FA, 1 mo. USD SOFR + 0.564%, 5.500%, 5/20/2062(b)(c) | 84 |
151,472 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.964%, 8/20/2062(b) | 151,205 |
8,935 | Government National Mortgage Association, Series 2012-H29, Class HF, 1 mo. USD SOFR + 0.614%, 5.944%, 10/20/2062(b)(c) | 8,589 |
10,704 | Government National Mortgage Association, Series 2013-H02, Class GF, 1 mo. USD SOFR + 0.614%, 5.944%, 12/20/2062(b)(c) | 10,345 |
412,900 | Government National Mortgage Association, Series 2013-H08, Class FA, 1 mo. USD SOFR + 0.464%, 5.794%, 3/20/2063(b)(c) | 407,422 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$503,076 | Government National Mortgage Association, Series 2013-H10, Class FA, 1 mo. USD SOFR + 0.514%, 5.844%, 3/20/2063(b) | $501,858 |
67,887 | Government National Mortgage Association, Series 2013-H14, Class FG, 1 mo. USD SOFR + 0.584%, 5.914%, 5/20/2063(b)(c) | 67,092 |
2,385,426 | Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.963%, 7/20/2064(b) | 2,382,335 |
2,144,293 | Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.944%, 7/20/2064(b) | 2,141,381 |
1,316,292 | Government National Mortgage Association, Series 2015-H04, Class FL, 1 mo. USD SOFR + 0.584%, 5.933%, 2/20/2065(b) | 1,314,284 |
4,662 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c) | 4,183 |
191,488 | Government National Mortgage Association, Series 2015-H10, Class FC, 1 mo. USD SOFR + 0.594%, 5.924%, 4/20/2065(b) | 191,207 |
1,366,091 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 1,316,510 |
1,693 | Government National Mortgage Association, Series 2015-H11, Class FA, 1 mo. USD SOFR + 0.364%, 5.694%, 4/20/2065(b)(c) | 1,627 |
931,787 | Government National Mortgage Association, Series 2015-H12, Class FL, 1 mo. USD SOFR + 0.344%, 5.674%, 5/20/2065(b) | 927,832 |
18,950 | Government National Mortgage Association, Series 2015-H19, Class FH, 1 mo. USD SOFR + 0.414%, 5.744%, 7/20/2065(b)(c) | 18,158 |
1,406 | Government National Mortgage Association, Series 2015-H29, Class FA, 1 mo. USD SOFR + 0.814%, 6.144%, 10/20/2065(b)(c) | 1,356 |
2,394 | Government National Mortgage Association, Series 2015-H30, Class FA, 1 mo. USD SOFR + 0.794%, 6.124%, 8/20/2061(b)(c) | 2,306 |
2,608,701 | Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 6.364%, 2/20/2066(b) | 2,606,171 |
600,794 | Government National Mortgage Association, Series 2016-H20, Class FB, 1 mo. USD SOFR + 0.664%, 5.994%, 9/20/2066(b) | 600,395 |
1,904,233 | Government National Mortgage Association, Series 2017-H05, Class FC, 1 mo. USD SOFR + 0.864%, 6.194%, 2/20/2067(b) | 1,895,958 |
1,850 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%, 5.644%, 10/20/2064(b)(c) | 1,791 |
3,889,894 | Government National Mortgage Association, Series 2018-H11, Class FJ, 1yr. USD SOFR + 0.795%, 5.027%, 6/20/2068(b) | 3,860,215 |
61,481 | Government National Mortgage Association, Series 2018-H14, Class FG, 1 mo. USD SOFR + 0.464%, 5.794%, 9/20/2068(b) | 61,264 |
6,044,109 | Government National Mortgage Association, Series 2018-H16, Class FA, 1 mo. USD SOFR + 0.534%, 5.864%, 9/20/2068(b) | 5,956,803 |
5,748,926 | Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068 | 5,278,046 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$476,934 | Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.250%, 8/20/2069(b) | $476,293 |
1,495,952 | Government National Mortgage Association, Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%, 5.840%, 4/20/2048(b) | 1,442,105 |
2,894,449 | Government National Mortgage Association, Series 2020-53, Class NF, 1 mo. USD SOFR + 0.564%, 5.890%, 5/20/2046(b) | 2,715,031 |
1,082,841 | Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.300%, 1/20/2070(b) | 1,077,717 |
3,109,012 | Government National Mortgage Association, Series 2020-H02, Class FG, 1 mo. USD SOFR + 0.714%, 6.044%, 1/20/2070(b) | 3,109,017 |
3,476,853 | Government National Mortgage Association, Series 2020-H04, Class FP, 1 mo. USD SOFR + 0.614%, 5.944%, 6/20/2069(b) | 3,470,439 |
5,501,938 | Government National Mortgage Association, Series 2020-H07, Class FL, 1 mo. USD SOFR + 0.764%, 6.094%, 4/20/2070(b) | 5,489,691 |
2,873,195 | Government National Mortgage Association, Series 2020-H10, Class FD, 1 mo. USD SOFR + 0.514%, 5.844%, 5/20/2070(b) | 2,862,220 |
70,868,122 | ||
Hybrid ARMs — 2.0% | ||
53,887 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.686%, 5.217%, 3/01/2038(b) | 53,333 |
463,503 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.896%, 5.276%, 9/01/2041(b) | 459,924 |
65,503 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.772%, 5.476%, 11/01/2038(b) | 65,002 |
127,193 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.731%, 5.623%, 4/01/2037(b) | 127,711 |
206,445 | Federal Home Loan Mortgage Corp., 6 mo. RFUCC Treasury + 1.770%, 5.643%, 6/01/2037(b) | 203,171 |
244,549 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.245%, 5.842%, 3/01/2036(b) | 250,422 |
35,450 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.750%, 5.875%, 12/01/2037(b) | 35,373 |
975,614 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.840%, 5.938%, 1/01/2046(b) | 999,921 |
73,417 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.703%, 5.942%, 11/01/2038(b) | 73,175 |
402,234 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.765%, 6.015%, 9/01/2035(b) | 404,281 |
138,632 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.903%, 6.050%, 4/01/2037(b) | 138,859 |
955,446 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.249%, 6.054%, 3/01/2037(b) | 978,088 |
126,667 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.937%, 6.094%, 12/01/2034(b) | 126,243 |
171,574 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.220%, 6.153%, 7/01/2033(b) | 170,343 |
597,443 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.260%, 6.226%, 2/01/2036(b) | 606,838 |
66,237 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.207%, 6.227%, 9/01/2038(b) | 65,661 |
216,573 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.248%, 6.228%, 9/01/2038(b) | 221,242 |
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$55,411 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.165%, 6.290%, 4/01/2036(b) | $54,966 |
396,021 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.286%, 6.384%, 2/01/2036(b) | 398,653 |
63,602 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.250%, 6.498%, 2/01/2035(b) | 65,054 |
27,792 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.565%, 4.315%, 4/01/2037(b) | 27,828 |
82,985 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 4.636%, 3/01/2034(b) | 84,972 |
331,194 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.810%, 4.824%, 3/01/2037(b) | 332,286 |
202,860 | Federal National Mortgage Association, 1 yr. CMT + 2.131%, 4.857%, 6/01/2036(b) | 203,230 |
41,443 | Federal National Mortgage Association, 1 yr. CMT + 2.211%, 5.211%, 4/01/2033(b) | 41,592 |
15,984 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.807%, 5.314%, 7/01/2041(b) | 15,932 |
439,655 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.706%, 5.338%, 9/01/2037(b) | 450,712 |
359,537 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.558%, 5.603%, 7/01/2035(b) | 362,935 |
509,668 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.550%, 5.638%, 4/01/2037(b) | 520,184 |
65,553 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.514%, 5.764%, 8/01/2035(b) | 64,668 |
79,290 | Federal National Mortgage Association, 1 yr. CMT + 2.196%, 5.770%, 4/01/2034(b) | 78,504 |
823,763 | Federal National Mortgage Association, 1 yr. CMT + 2.216%, 5.808%, 10/01/2034(b) | 844,582 |
645,311 | Federal National Mortgage Association, 1 yr. CMT + 2.177%, 5.820%, 12/01/2040(b) | 660,588 |
330,784 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.585%, 5.840%, 9/01/2037(b) | 330,063 |
104,640 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.676%, 5.847%, 11/01/2036(b) | 105,423 |
71,616 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.732%, 5.855%, 11/01/2035(b) | 73,341 |
146,951 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.616%, 5.866%, 8/01/2038(b) | 145,942 |
102,462 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.670%, 5.920%, 10/01/2033(b) | 102,430 |
210,457 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.681%, 5.931%, 7/01/2038(b) | 209,335 |
48,393 | Federal National Mortgage Association, 1 yr. CMT + 2.145%, 5.934%, 9/01/2036(b) | 48,378 |
133,248 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 5.944%, 6/01/2033(b) | 133,215 |
85,783 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.713%, 5.963%, 8/01/2034(b) | 84,531 |
265,833 | Federal National Mortgage Association, 1 yr. CMT + 2.270%, 6.020%, 6/01/2037(b) | 269,460 |
663,220 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 10/01/2041(b) | 680,161 |
108,481 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 12/01/2041(b) | 108,331 |
239,529 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 2.063%, 6.054%, 7/01/2037(b) | 243,721 |
33,721 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.728%, 6.074%, 1/01/2037(b) | 33,794 |
98,889 | Federal National Mortgage Association, 1 yr. CMT + 2.146%, 6.088%, 9/01/2034(b) | 100,610 |
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$622,772 | Federal National Mortgage Association, 1 yr. CMT + 2.229%, 6.150%, 4/01/2034(b) | $632,413 |
166,931 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.734%, 6.188%, 2/01/2037(b) | 167,346 |
714,007 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.219%, 11/01/2033(b) | 731,545 |
56,862 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 2.473%, 6.223%, 6/01/2035(b) | 56,566 |
124,133 | Federal National Mortgage Association, 1 yr. CMT + 2.223%, 6.223%, 8/01/2035(b) | 123,366 |
47,730 | Federal National Mortgage Association, 1 yr. CMT + 2.440%, 6.266%, 8/01/2033(b) | 47,693 |
96,047 | Federal National Mortgage Association, 1 yr. CMT + 2.500%, 6.278%, 8/01/2036(b) | 99,451 |
274,359 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.310%, 1/01/2036(b) | 276,035 |
81,871 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 6.351%, 10/01/2033(b) | 81,418 |
453,896 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.820%, 6.445%, 2/01/2047(b) | 456,723 |
126,888 | Federal National Mortgage Association, 1 yr. CMT + 2.486%, 6.611%, 5/01/2035(b) | 128,854 |
19,245 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.460%, 7.057%, 2/01/2037(b) | 19,510 |
186,282 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.545%, 7.366%, 7/01/2035(b) | 188,614 |
14,864,542 | ||
Mortgage Related — 0.8% | ||
8,244 | Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 | 8,026 |
90,215 | Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2024 to 2042(e) | 85,778 |
15,339 | Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2025 to 2034(e) | 15,027 |
94,335 | Federal Home Loan Mortgage Corp., 6.500%, 12/01/2034 | 97,169 |
15 | Federal Home Loan Mortgage Corp., 7.500%, 6/01/2026 | 15 |
59,634 | Federal National Mortgage Association, 3.000%, 3/01/2042 | 53,612 |
466,183 | Federal National Mortgage Association, 5.000%, with various maturities from 2037 to 2038(e) | 468,623 |
134,944 | Federal National Mortgage Association, 5.500%, 3/01/2033 | 137,745 |
120,972 | Federal National Mortgage Association, 6.500%, with various maturities from 2032 to 2037(e) | 125,341 |
21,579 | Federal National Mortgage Association, 7.500%, with various maturities from 2030 to 2032(e) | 21,642 |
107,078 | Government National Mortgage Association, 4.140%, with various maturities from 2061 to 2063(b)(e) | 103,406 |
16,841 | Government National Mortgage Association, 4.303%, 1/20/2064(b) | 16,526 |
13,976 | Government National Mortgage Association, 4.390%, 12/20/2062(b) | 13,690 |
1,716,345 | Government National Mortgage Association, 4.468%, 10/20/2065(b) | 1,681,773 |
140,260 | Government National Mortgage Association, 4.475%, 11/20/2063(b) | 137,942 |
520,356 | Government National Mortgage Association, 4.551%, 2/20/2066(b) | 511,330 |
Principal Amount | Description | Value (†) |
Mortgage Related — continued | ||
$1,731 | Government National Mortgage Association, 4.573%, 8/20/2062(b) | $1,686 |
53,612 | Government National Mortgage Association, 4.630%, with various maturities from 2062 to 2063(b)(e) | 53,291 |
6,554 | Government National Mortgage Association, 4.645%, 2/20/2062(b) | 6,312 |
9,722 | Government National Mortgage Association, 4.677%, 8/20/2061(b) | 9,587 |
111,468 | Government National Mortgage Association, 4.700%, with various maturities from 2061 to 2064(b)(e) | 110,255 |
1,465 | Government National Mortgage Association, 4.783%, 4/20/2061(b) | 1,434 |
4,062 | Government National Mortgage Association, 6.000%, 12/15/2031 | 4,226 |
17,437 | Government National Mortgage Association, 6.500%, 5/15/2031 | 18,030 |
12,770 | Government National Mortgage Association, 7.000%, 10/15/2028 | 12,827 |
635,539 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.762%, 7.245%, 2/20/2061(b) | 644,139 |
516,483 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.890%, 7.341%, 2/20/2063(b) | 526,652 |
392,424 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.153%, 7.604%, 3/20/2063(b) | 402,314 |
454,298 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.220%, 7.670%, 6/20/2065(b) | 464,435 |
326,214 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.167%, 7.694%, 5/20/2065(b) | 333,478 |
241,178 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.315%, 7.767%, 2/20/2063(b) | 246,508 |
6,312,819 | ||
Non-Agency Commercial Mortgage-Backed Securities — 3.6% | ||
1,595,000 | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 1,389,822 |
855,000 | BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 | 900,852 |
3,895,000 | BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.581%, 10/15/2037(a)(b) | 3,875,525 |
1,825,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.851%, 12/15/2038(a)(b) | 1,724,920 |
4,650,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.325%, 5/15/2039(a)(b) | 4,670,344 |
1,745,000 | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, 3.839%, 12/10/2054 | 1,661,098 |
987,986 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 918,242 |
1,408,399 | Commercial Mortgage Pass-Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049 | 1,383,876 |
2,570,000 | DROP Mortgage Trust, Series 2021-FILE, Class A, 1 mo. USD SOFR + 1.264%, 6.590%, 10/15/2043(a)(b) | 2,471,369 |
2,070,217 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 2,011,158 |
3,295,000 | SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.875%, 2/15/2039(a)(b) | 3,238,674 |
2,995,449 | Starwood Retail Property Trust, Series 2014-STAR, Class A, Prime + 0.000%, 8.500%, 11/15/2027(a)(b) | 2,189,270 |
26,435,150 | ||
Treasuries — 49.2% | ||
4,010,000 | U.S. Treasury Notes, 0.375%, 9/30/2027 | 3,497,315 |
Principal Amount | Description | Value (†) |
Treasuries — continued | ||
$3,620,000 | U.S. Treasury Notes, 2.750%, 4/30/2027 | $3,447,202 |
71,120,000 | U.S. Treasury Notes, 2.750%, 2/15/2028 | 67,136,169 |
13,575,000 | U.S. Treasury Notes, 3.750%, 12/31/2028 | 13,285,471 |
26,990,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 26,553,521 |
10,465,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 10,296,170 |
12,315,000 | U.S. Treasury Notes, 4.000%, 2/29/2028 | 12,171,165 |
42,930,000 | U.S. Treasury Notes, 4.000%, 6/30/2028 | 42,453,745 |
4,080,000 | U.S. Treasury Notes, 4.000%, 1/31/2029 | 4,037,925 |
5,270,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 | 5,228,210 |
7,645,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 7,597,219 |
4,860,000 | U.S. Treasury Notes, 4.125%, 3/31/2029 | 4,839,117 |
3,850,000 | U.S. Treasury Notes, 4.250%, 12/31/2025 | 3,818,268 |
12,050,000 | U.S. Treasury Notes, 4.250%, 1/31/2026 | 11,954,918 |
13,620,000 | U.S. Treasury Notes, 4.375%, 8/31/2028 | 13,675,863 |
44,880,000 | U.S. Treasury Notes, 4.500%, 3/31/2026 | 44,767,800 |
15,490,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 15,433,728 |
20,570,000 | U.S. Treasury Notes, 4.625%, 3/15/2026 | 20,552,323 |
5,565,000 | U.S. Treasury Notes, 4.625%, 11/15/2026 | 5,583,043 |
18,775,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 18,741,997 |
18,230,000 | U.S. Treasury Notes, 4.875%, 10/31/2028 | 18,687,886 |
3,710,000 | U.S. Treasury Notes, 5.000%, 8/31/2025 | 3,717,536 |
9,130,000 | U.S. Treasury Notes, 5.000%, 10/31/2025 | 9,155,678 |
366,632,269 | ||
Total Bonds and Notes (Identified Cost $721,868,388) | 704,193,274 | |
Short-Term Investments — 13.8% | ||
18,141,275 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $18,148,330 on 4/01/2024 collateralized by $19,149,800 U.S. Treasury Note, 2.375% due 4/30/2026 valued at $18,504,152 including accrued interest (Note 2 of Notes to Financial Statements) | 18,141,275 |
20,250,000 | Federal Home Loan Bank Discount Notes, 5.180%, 4/10/2024(f) | 20,212,121 |
52,900,000 | Federal National Mortgage Association Discount Notes, 5.230%, 4/01/2024(f) | 52,869,553 |
11,850,000 | U.S. Treasury Bills, 5.248%, 4/09/2024(f) | 11,836,197 |
Total Short-Term Investments (Identified Cost $103,101,233) | 103,059,146 | |
Total Investments — 108.4% (Identified Cost $824,969,621) | 807,252,420 | |
Other assets less liabilities — (8.4)% | (62,437,135 ) | |
Net Assets — 100.0% | $744,815,285 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to $43,569,335 or 5.8% of net assets. |
(b) | Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(d) | Interest only security. Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(e) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
CMT | Constant Maturity Treasury |
MTA | Monthly Treasury Average Interest |
REMICS | Real Estate Mortgage Investment Conduits |
SOFR | Secured Overnight Financing Rate |
Treasuries | 49.2 % |
Agency Commercial Mortgage-Backed Securities | 26.2 |
Collateralized Mortgage Obligations | 9.5 |
Non-Agency Commercial Mortgage-Backed Securities | 3.6 |
Hybrid ARMs | 2.0 |
Other Investments, less than 2% each | 4.1 |
Short-Term Investments | 13.8 |
Total Investments | 108.4 |
Other assets less liabilities | (8.4 ) |
Net Assets | 100.0 % |
Core Plus Bond Fund | Global Allocation Fund | Growth Fund | |
ASSETS | |||
Unaffiliated investments at cost | $8,176,602,656 | $2,468,426,153 | $6,548,002,069 |
Affiliated investments at cost | — | — | 133,847,928 |
Net unrealized appreciation (depreciation) on unaffiliated investments | (506,180,500 ) | 481,689,618 | 6,776,328,589 |
Net unrealized appreciation on affiliated investments | — | — | 3,507,729 |
Investments at value | 7,670,422,156 | 2,950,115,771 | 13,461,686,315 |
Cash | 285,510 | 4,126,641 | 1,731 |
Due from brokers (Note 2) | 194,799 | 1,791,847 | — |
Foreign currency at value (identified cost $145, $6,043,454 and $0, respectively) | 144 | 5,985,795 | — |
Receivable for Fund shares sold | 37,023,244 | 2,283,877 | 23,387,454 |
Receivable for securities sold | 215,937,918 | 71,829,950 | 99,591,012 |
Receivable for when-issued/delayed delivery securities sold (Note 2) | 148,651,536 | — | — |
Collateral received for open forward foreign currency contracts (Notes 2 and 4) | — | 370,000 | — |
Dividends and interest receivable | 58,085,299 | 11,530,934 | 9,745,790 |
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | 899,780 | — |
Tax reclaims receivable | 399 | 357,345 | 10,152,626 |
Receivable for variation margin on futures contracts (Note 2) | — | 302,927 | — |
Prepaid expenses (Note 9) | 1,608 | 950 | 2,214 |
TOTAL ASSETS | 8,130,602,613 | 3,049,595,817 | 13,604,567,142 |
LIABILITIES | |||
Payable for securities purchased | 500,099,081 | 943,362 | — |
Payable for when-issued/delayed delivery securities purchased (Note 2) | 242,353,793 | — | — |
Payable for Fund shares redeemed | 28,089,253 | 4,010,973 | 15,864,289 |
Payable for variation margin on futures contracts (Note 2) | 513,733 | — | — |
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | 2,809,584 | — |
Foreign taxes payable (Note 2) | — | 69,110 | — |
Due to brokers (Note 2) | — | 370,000 | — |
Management fees payable (Note 6) | 1,965,219 | 1,933,684 | 5,726,023 |
Deferred Trustees’ fees (Note 6) | 839,424 | 373,485 | 826,204 |
Administrative fees payable (Note 6) | 276,361 | 116,839 | 519,283 |
Payable to distributor (Note 6d) | 63,208 | 50,430 | 132,880 |
Audit and tax services fees payable | 35,133 | 35,204 | 24,888 |
Other accounts payable and accrued expenses | 341,487 | 191,956 | 613,757 |
TOTAL LIABILITIES | 774,576,692 | 10,904,627 | 23,707,324 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — |
NET ASSETS | $7,356,025,921 | $3,038,691,190 | $13,580,859,818 |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $8,496,649,197 | $2,481,532,618 | $6,164,207,353 |
Accumulated earnings (loss) | (1,140,623,276 ) | 557,158,572 | 7,416,652,465 |
NET ASSETS | $7,356,025,921 | $3,038,691,190 | $13,580,859,818 |
Core Plus Bond Fund | Global Allocation Fund | Growth Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||
Class A shares: | |||
Net assets | $397,872,526 | $557,823,211 | $1,072,872,589 |
Shares of beneficial interest | 34,773,049 | 22,546,406 | 45,708,395 |
Net asset value and redemption price per share | $11.44 | $24.74 | $23.47 |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $11.95 | $26.25 | $24.90 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | |||
Net assets | $28,346,112 | $258,846,093 | $103,197,490 |
Shares of beneficial interest | 2,474,770 | 10,941,840 | 5,271,943 |
Net asset value and offering price per share | $11.45 | $23.66 | $19.57 |
Class N shares: | |||
Net assets | $2,144,244,621 | $282,247,745 | $801,388,959 |
Shares of beneficial interest | 185,510,519 | 11,249,132 | 30,616,813 |
Net asset value, offering and redemption price per share | $11.56 | $25.09 | $26.17 |
Class Y shares: | |||
Net assets | $4,785,562,662 | $1,939,774,141 | $11,603,400,780 |
Shares of beneficial interest | 414,307,961 | 77,372,981 | 444,468,010 |
Net asset value, offering and redemption price per share | $11.55 | $25.07 | $26.11 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
ASSETS | ||
Unaffiliated investments at cost | $292,521,653 | $824,969,621 |
Net unrealized depreciation on unaffiliated investments | (4,198,037 ) | (17,717,201 ) |
Investments at value | 288,323,616 | 807,252,420 |
Cash | 19,215 | 68 |
Due from brokers (Note 2) | 590,000 | — |
Receivable for Fund shares sold | 125,030 | 1,265,419 |
Receivable for securities sold | 3,465,274 | 20,274,276 |
Dividends and interest receivable | 2,456,272 | 3,787,524 |
Tax reclaims receivable | 1,334 | — |
Prepaid expenses (Note 9) | 504 | 577 |
TOTAL ASSETS | 294,981,245 | 832,580,284 |
LIABILITIES | ||
Payable for securities purchased | 6,150,474 | 85,276,081 |
Payable for Fund shares redeemed | 552,332 | 1,121,209 |
Payable for variation margin on futures contracts (Note 2) | 5,806 | — |
Distributions payable | — | 648,682 |
Management fees payable (Note 6) | 44,662 | 139,686 |
Deferred Trustees’ fees (Note 6) | 136,474 | 394,554 |
Administrative fees payable (Note 6) | 10,985 | 28,249 |
Payable to distributor (Note 6d) | 6,151 | 12,542 |
Audit and tax services fees payable | 33,229 | 35,611 |
Other accounts payable and accrued expenses | 39,591 | 108,385 |
TOTAL LIABILITIES | 6,979,704 | 87,764,999 |
COMMITMENTS AND CONTINGENCIES(a) | — | — |
NET ASSETS | $288,001,541 | $744,815,285 |
NET ASSETS CONSIST OF: | ||
Paid-in capital | $325,467,491 | $830,505,616 |
Accumulated loss | (37,465,950 ) | (85,690,331 ) |
NET ASSETS | $288,001,541 | $744,815,285 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||
Class A shares: | ||
Net assets | $3,792,199 | $207,507,720 |
Shares of beneficial interest | 402,614 | 19,371,189 |
Net asset value and redemption price per share | $9.42 | $10.71 |
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $9.84 | $10.96 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||
Net assets | $703,122 | $7,764,284 |
Shares of beneficial interest | 74,397 | 726,666 |
Net asset value and offering price per share | $9.45 | $10.68 |
Class N shares: | ||
Net assets | $57,500,095 | $49,915,422 |
Shares of beneficial interest | 6,108,702 | 4,646,139 |
Net asset value, offering and redemption price per share | $9.41 | $10.74 |
Class Y shares: | ||
Net assets | $226,006,125 | $479,627,859 |
Shares of beneficial interest | 24,003,651 | 44,632,196 |
Net asset value, offering and redemption price per share | $9.42 | $10.75 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Core Plus Bond Fund | Global Allocation Fund | Growth Fund | |
INVESTMENT INCOME | |||
Interest | $156,916,153 | $21,794,440 | $4,342,405 |
Dividends | — | 12,164,978 | 36,682,166 |
Less net foreign taxes withheld | — | (389,208 ) | (1,941,715 ) |
156,916,153 | 33,570,210 | 39,082,856 | |
Expenses | |||
Management fees (Note 6) | 11,159,564 | 10,666,514 | 30,696,951 |
Service and distribution fees (Note 6) | 630,321 | 1,939,123 | 1,649,578 |
Administrative fees (Note 6) | 1,591,166 | 658,147 | 2,817,052 |
Trustees' fees and expenses (Note 6) | 211,733 | 95,204 | 315,355 |
Transfer agent fees and expenses (Notes 6, 7 and 8) | 2,688,420 | 1,188,492 | 5,571,439 |
Audit and tax services fees | 29,289 | 30,915 | 23,091 |
Custodian fees and expenses | 107,502 | 97,147 | 149,205 |
Legal fees | 95,708 | 35,346 | 159,703 |
Registration fees | 131,271 | 75,757 | 116,682 |
Shareholder reporting expenses | 176,527 | 94,878 | 342,339 |
Miscellaneous expenses | 122,291 | 64,417 | 248,360 |
Total expenses | 16,943,792 | 14,945,940 | 42,089,755 |
Less waiver and/or expense reimbursement (Note 6) | (241,843 ) | — | (60,409 ) |
Less expense offset (Note 8) | (55,963 ) | (8,892 ) | (239,817 ) |
Net expenses | 16,645,986 | 14,937,048 | 41,789,529 |
Net investment income (loss) | 140,270,167 | 18,633,162 | (2,706,673 ) |
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | |||
Net realized gain (loss) on: | |||
Unaffiliated investments | (35,226,185 ) | 89,554,475 | 769,921,599 |
Futures contracts | (1,882,112 ) | 244,761 | — |
Forward foreign currency contracts (Note 2e) | — | (1,487,659 ) | — |
Foreign currency transactions (Note 2d) | (247,146 ) | 72,114 | — |
Net change in unrealized appreciation (depreciation) on: | |||
Unaffiliated investments | 323,399,947 | 407,604,768 | 2,280,188,294 |
Affiliated investments | — | — | 3,507,729 |
Futures contracts | 30,225,998 | 4,687,337 | — |
Forward foreign currency contracts (Note 2e) | — | (323,787 ) | — |
Foreign currency translations (Note 2d) | 268,130 | 116,571 | 38,443 |
Net realized and unrealized gain on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | 316,538,632 | 500,468,580 | 3,053,656,065 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $456,808,799 | $519,101,742 | $3,050,949,392 |
Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
INVESTMENT INCOME | ||
Interest | $7,170,474 | $16,032,348 |
Less net foreign taxes withheld | (6 ) | — |
7,170,468 | 16,032,348 | |
Expenses | ||
Management fees (Note 6) | 396,724 | 1,189,854 |
Service and distribution fees (Note 6) | 9,915 | 297,626 |
Administrative fees (Note 6) | 72,954 | 172,610 |
Trustees' fees and expenses (Note 6) | 25,668 | 57,331 |
Transfer agent fees and expenses (Notes 6, 7 and 8) | 110,066 | 358,880 |
Audit and tax services fees | 28,768 | 31,043 |
Custodian fees and expenses | 12,382 | 18,356 |
Legal fees | 4,778 | 9,724 |
Registration fees | 55,318 | 81,182 |
Shareholder reporting expenses | 18,961 | 36,132 |
Miscellaneous expenses | 23,591 | 27,281 |
Total expenses | 759,125 | 2,280,019 |
Less waiver and/or expense reimbursement (Note 6) | (127,477 ) | (275,190 ) |
Less expense offset (Note 8) | (893 ) | (28,044 ) |
Net expenses | 630,755 | 1,976,785 |
Net investment income | 6,539,713 | 14,055,563 |
Net realized and unrealized gain (loss) on Investments and Futures contracts | ||
Net realized gain (loss) on: | ||
Unaffiliated investments | (1,183,719 ) | 624,225 |
Futures contracts | (266,078 ) | — |
Net change in unrealized appreciation (depreciation) on: | ||
Unaffiliated investments | 10,280,451 | 10,612,408 |
Futures contracts | 640,643 | — |
Net realized and unrealized gain on Investments and Futures contracts | 9,471,297 | 11,236,633 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $16,011,010 | $25,292,196 |
Core Plus Bond Fund | Global Allocation Fund | |||
Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $140,270,167 | $230,602,339 | $18,633,162 | $34,175,709 |
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | (37,355,443 ) | (259,997,860 ) | 88,383,691 | 103,329,063 |
Net change in unrealized appreciation on investments, futures contracts, forward foreign currency contracts and foreign currency translations | 353,894,075 | 70,468,730 | 412,084,889 | 369,524,598 |
Net increase in net assets resulting from operations | 456,808,799 | 41,073,209 | 519,101,742 | 507,029,370 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (7,718,286 ) | (14,223,494 ) | (19,252,001 ) | (46,037,953 ) |
Class C | (470,006 ) | (1,000,231 ) | (9,934,162 ) | (28,653,920 ) |
Class N | (43,688,164 ) | (75,521,129 ) | (11,641,729 ) | (23,349,603 ) |
Class Y | (94,227,164 ) | (146,856,134 ) | (71,141,366 ) | (167,186,118 ) |
Total distributions | (146,103,620 ) | (237,600,988 ) | (111,969,258 ) | (265,227,594 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) | 332,311,588 | 998,143,455 | (64,753,878 ) | (506,795,479 ) |
Net increase (decrease) in net assets | 643,016,767 | 801,615,676 | 342,378,606 | (264,993,703 ) |
NET ASSETS | ||||
Beginning of the period | 6,713,009,154 | 5,911,393,478 | 2,696,312,584 | 2,961,306,287 |
End of the period | $7,356,025,921 | $6,713,009,154 | $3,038,691,190 | $2,696,312,584 |
Growth Fund | Intermediate Duration Bond Fund | |||
Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | |
FROM OPERATIONS: | ||||
Net investment income (loss) | $(2,706,673 ) | $(19,364,839 ) | $6,539,713 | $10,815,532 |
Net realized gain (loss) on investments and futures contracts | 769,921,599 | 623,787,240 | (1,449,797 ) | (11,692,886 ) |
Net change in unrealized appreciation on investments, futures contracts and foreign currency translations | 2,283,734,466 | 2,716,623,774 | 10,921,094 | 8,549,222 |
Net increase in net assets resulting from operations | 3,050,949,392 | 3,321,046,175 | 16,011,010 | 7,671,868 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (61,797,811 ) | (87,496,281 ) | (97,313 ) | (458,681 ) |
Class C | (6,693,261 ) | (11,157,335 ) | (11,124 ) | (16,463 ) |
Class N | (42,231,293 ) | (94,252,383 ) | (1,183,516 ) | (924,081 ) |
Class Y | (605,668,194 ) | (1,021,376,434 ) | (5,313,680 ) | (9,622,358 ) |
Total distributions | (716,390,559 ) | (1,214,282,433 ) | (6,605,633 ) | (11,021,583 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) | 446,160,809 | (794,319,290 ) | (66,518,648 ) | 55,500,864 |
Net increase (decrease) in net assets | 2,780,719,642 | 1,312,444,452 | (57,113,271 ) | 52,151,149 |
NET ASSETS | ||||
Beginning of the period | 10,800,140,176 | 9,487,695,724 | 345,114,812 | 292,963,663 |
End of the period | $13,580,859,818 | $10,800,140,176 | $288,001,541 | $345,114,812 |
Limited Term Government and Agency Fund | ||
Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | |
FROM OPERATIONS: | ||
Net investment income | $14,055,563 | $22,918,860 |
Net realized gain (loss) on investments | 624,225 | (11,880,518 ) |
Net change in unrealized appreciation on investments | 10,612,408 | 7,382,057 |
Net increase in net assets resulting from operations | 25,292,196 | 18,420,399 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||
Class A | (4,061,867 ) | (7,482,280 ) |
Class C | (122,714 ) | (275,385 ) |
Class N | (994,561 ) | (1,508,048 ) |
Class Y | (10,078,688 ) | (15,806,812 ) |
Total distributions | (15,257,830 ) | (25,072,525 ) |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) | (14,972,455 ) | (15,089,643 ) |
Net decrease in net assets | (4,938,089 ) | (21,741,769 ) |
NET ASSETS | ||
Beginning of the period | 749,753,374 | 771,495,143 |
End of the period | $744,815,285 | $749,753,374 |
Core Plus Bond Fund—Class A | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.93 | $11.20 | $13.59 | $14.08 | $13.25 | $12.53 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.21 | 0.38 | 0.26 | 0.21 | 0.26 | 0.34 |
Net realized and unrealized gain (loss) | 0.52 | (0.25 ) | (2.30 ) | (0.13 ) | 0.86 | 0.70 |
Total from Investment Operations | 0.73 | 0.13 | (2.04 ) | 0.08 | 1.12 | 1.04 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.22 ) | (0.40 ) | (0.32 ) | (0.29 ) | (0.29 ) | (0.32 ) |
Net realized capital gains | — | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.22 ) | (0.40 ) | (0.35 ) | (0.57 ) | (0.29 ) | (0.32 ) |
Net asset value, end of the period | $11.44 | $10.93 | $11.20 | $13.59 | $14.08 | $13.25 |
Total return(b) | 6.77 %(c)(d) | 1.04 %(c) | (15.24 )%(c) | 0.53 % | 8.60 % | 8.39 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $397,873 | $376,624 | $428,825 | $747,497 | $617,609 | $558,291 |
Net expenses | 0.74 %(e)(f) | 0.74 %(e) | 0.73 %(e)(g) | 0.71 % | 0.72 %(h) | 0.73 % |
Gross expenses | 0.75 %(f) | 0.75 % | 0.74 % | 0.71 % | 0.72 % | 0.73 % |
Net investment income | 3.79 %(f) | 3.33 % | 2.08 % | 1.51 % | 1.88 % | 2.63 % |
Portfolio turnover rate | 92 % | 168 % | 280 % | 266 % | 359 %(i) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. |
(h) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(i) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class C | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.94 | $11.21 | $13.60 | $14.09 | $13.25 | $12.53 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.17 | 0.30 | 0.17 | 0.10 | 0.15 | 0.24 |
Net realized and unrealized gain (loss) | 0.52 | (0.26 ) | (2.30 ) | (0.13 ) | 0.88 | 0.70 |
Total from Investment Operations | 0.69 | 0.04 | (2.13 ) | (0.03 ) | 1.03 | 0.94 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.18 ) | (0.31 ) | (0.23 ) | (0.18 ) | (0.19 ) | (0.22 ) |
Net realized capital gains | — | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.18 ) | (0.31 ) | (0.26 ) | (0.46 ) | (0.19 ) | (0.22 ) |
Net asset value, end of the period | $11.45 | $10.94 | $11.21 | $13.60 | $14.09 | $13.25 |
Total return(b) | 6.36 %(c)(d) | 0.26 %(c) | (15.88 )%(c) | (0.24 )% | 7.83 % | 7.57 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $28,346 | $30,402 | $48,679 | $95,755 | $132,590 | $160,201 |
Net expenses | 1.49 %(e)(f) | 1.49 %(e) | 1.48 %(e)(g) | 1.46 % | 1.47 %(h) | 1.48 % |
Gross expenses | 1.50 %(f) | 1.50 % | 1.49 % | 1.46 % | 1.47 % | 1.48 % |
Net investment income | 3.03 %(f) | 2.57 % | 1.33 % | 0.75 % | 1.13 % | 1.88 % |
Portfolio turnover rate | 92 % | 168 % | 280 % | 266 % | 359 %(i) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. |
(h) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(i) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.04 | $11.31 | $13.72 | $14.21 | $13.37 | $12.63 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.23 | 0.43 | 0.31 | 0.26 | 0.30 | 0.38 |
Net realized and unrealized gain (loss) | 0.53 | (0.26 ) | (2.32 ) | (0.14 ) | 0.88 | 0.72 |
Total from Investment Operations | 0.76 | 0.17 | (2.01 ) | 0.12 | 1.18 | 1.10 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.24 ) | (0.44 ) | (0.37 ) | (0.33 ) | (0.34 ) | (0.36 ) |
Net realized capital gains | — | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.24 ) | (0.44 ) | (0.40 ) | (0.61 ) | (0.34 ) | (0.36 ) |
Net asset value, end of the period | $11.56 | $11.04 | $11.31 | $13.72 | $14.21 | $13.37 |
Total return | 6.98 %(b) | 1.37 % | (14.94 )% | 0.86 % | 8.95 % | 8.85 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $2,144,245 | $2,015,457 | $1,890,793 | $2,563,736 | $2,682,487 | $2,610,699 |
Net expenses | 0.40 %(c) | 0.40 % | 0.38 %(d) | 0.38 % | 0.38 %(e) | 0.39 % |
Gross expenses | 0.40 %(c) | 0.40 % | 0.38 % | 0.38 % | 0.38 % | 0.39 % |
Net investment income | 4.13 %(c) | 3.69 % | 2.47 % | 1.84 % | 2.21 % | 2.96 % |
Portfolio turnover rate | 92 % | 168 % | 280 % | 266 % | 359 %(f) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
(d) | Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. |
(e) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(f) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Core Plus Bond Fund—Class Y | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.03 | $11.30 | $13.71 | $14.20 | $13.36 | $12.63 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.23 | 0.42 | 0.30 | 0.24 | 0.29 | 0.37 |
Net realized and unrealized gain (loss) | 0.53 | (0.26 ) | (2.32 ) | (0.13 ) | 0.88 | 0.71 |
Total from Investment Operations | 0.76 | 0.16 | (2.02 ) | 0.11 | 1.17 | 1.08 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.24 ) | (0.43 ) | (0.36 ) | (0.32 ) | (0.33 ) | (0.35 ) |
Net realized capital gains | — | — | (0.03 ) | (0.28 ) | — | — |
Total Distributions | (0.24 ) | (0.43 ) | (0.39 ) | (0.60 ) | (0.33 ) | (0.35 ) |
Net asset value, end of the period | $11.55 | $11.03 | $11.30 | $13.71 | $14.20 | $13.36 |
Total return | 6.93 %(b)(c) | 1.28 %(b) | (15.03 )%(b) | 0.78 % | 8.87 % | 8.67 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $4,785,563 | $4,290,526 | $3,543,096 | $5,442,563 | $5,846,057 | $4,163,785 |
Net expenses | 0.49 %(d)(e) | 0.49 %(d) | 0.48 %(d)(f) | 0.46 % | 0.47 %(g) | 0.48 % |
Gross expenses | 0.50 %(e) | 0.50 % | 0.49 % | 0.46 % | 0.47 % | 0.48 % |
Net investment income | 4.04 %(e) | 3.60 % | 2.35 % | 1.76 % | 2.11 % | 2.87 % |
Portfolio turnover rate | 92 % | 168 % | 280 % | 266 % | 359 %(h) | 297 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. |
(g) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio. |
Global Allocation Fund—Class A | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.45 | $19.94 | $28.86 | $26.23 | $23.76 | $23.10 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.14 | 0.23 | 0.13 | 0.06 | 0.10 | 0.19 |
Net realized and unrealized gain (loss) | 4.04 | 3.31 | (6.89 ) | 4.18 | 3.05 | 1.38 |
Total from Investment Operations | 4.18 | 3.54 | (6.76 ) | 4.24 | 3.15 | 1.57 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.04 ) | — | — | (0.13 ) | (0.12 ) | (0.16 ) |
Net realized capital gains | (0.85 ) | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (0.89 ) | (2.03 ) | (2.16 ) | (1.61 ) | (0.68 ) | (0.91 ) |
Net asset value, end of the period | $24.74 | $21.45 | $19.94 | $28.86 | $26.23 | $23.76 |
Total return(b) | 19.79 %(c) | 18.67 % | (25.59 )% | 16.73 % | 13.41 % | 7.66 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $557,823 | $474,968 | $482,031 | $737,469 | $632,479 | $453,009 |
Net expenses | 1.17 %(d) | 1.17 % | 1.14 % | 1.13 % | 1.15 % | 1.16 % |
Gross expenses | 1.17 %(d) | 1.17 % | 1.14 % | 1.13 % | 1.15 % | 1.16 % |
Net investment income | 1.18 %(d) | 1.09 % | 0.52 % | 0.23 % | 0.42 % | 0.83 % |
Portfolio turnover rate | 9 % | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
Global Allocation Fund—Class C | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $20.59 | $19.34 | $28.26 | $25.78 | $23.43 | $22.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.05 | 0.07 | (0.06 ) | (0.14 ) | (0.08 ) | 0.02 |
Net realized and unrealized gain (loss) | 3.87 | 3.21 | (6.70 ) | 4.10 | 2.99 | 1.38 |
Total from Investment Operations | 3.92 | 3.28 | (6.76 ) | 3.96 | 2.91 | 1.40 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | — | — | — | — | (0.00 )(b) |
Net realized capital gains | (0.85 ) | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (0.85 ) | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Net asset value, end of the period | $23.66 | $20.59 | $19.34 | $28.26 | $25.78 | $23.43 |
Total return(c) | 19.36 %(d) | 17.84 % | (26.16 )% | 15.85 % | 12.55 % | 6.85 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $258,846 | $256,487 | $302,501 | $503,073 | $483,814 | $480,479 |
Net expenses | 1.91 %(e) | 1.92 % | 1.89 % | 1.88 % | 1.90 % | 1.91 % |
Gross expenses | 1.92 %(e)(f) | 1.92 % | 1.89 % | 1.88 % | 1.90 % | 1.91 % |
Net investment income (loss) | 0.43 %(e) | 0.33 % | (0.23 )% | (0.52 )% | (0.33 )% | 0.08 % |
Portfolio turnover rate | 9 % | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.91%. See Note 8 of Notes to Financial Statements. |
Global Allocation Fund—Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.78 | $20.14 | $29.09 | $26.42 | $23.92 | $23.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.18 | 0.31 | 0.22 | 0.15 | 0.18 | 0.27 |
Net realized and unrealized gain (loss) | 4.09 | 3.36 | (6.96 ) | 4.21 | 3.07 | 1.38 |
Total from Investment Operations | 4.27 | 3.67 | (6.74 ) | 4.36 | 3.25 | 1.65 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.11 ) | — | (0.05 ) | (0.21 ) | (0.19 ) | (0.23 ) |
Net realized capital gains | (0.85 ) | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (0.96 ) | (2.03 ) | (2.21 ) | (1.69 ) | (0.75 ) | (0.98 ) |
Net asset value, end of the period | $25.09 | $21.78 | $20.14 | $29.09 | $26.42 | $23.92 |
Total return | 19.97 %(b) | 19.16 % | (25.36 )% | 17.10 % | 13.78 % | 8.04 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $282,248 | $266,298 | $243,862 | $350,222 | $264,338 | $202,692 |
Net expenses | 0.83 %(c) | 0.82 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Gross expenses | 0.83 %(c) | 0.82 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Net investment income | 1.51 %(c) | 1.43 % | 0.87 % | 0.55 % | 0.76 % | 1.20 % |
Portfolio turnover rate | 9 % | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
Global Allocation Fund—Class Y | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.75 | $20.14 | $29.09 | $26.42 | $23.92 | $23.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.17 | 0.29 | 0.20 | 0.13 | 0.16 | 0.24 |
Net realized and unrealized gain (loss) | 4.09 | 3.35 | (6.96 ) | 4.21 | 3.07 | 1.40 |
Total from Investment Operations | 4.26 | 3.64 | (6.76 ) | 4.34 | 3.23 | 1.64 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.09 ) | — | (0.03 ) | (0.19 ) | (0.17 ) | (0.22 ) |
Net realized capital gains | (0.85 ) | (2.03 ) | (2.16 ) | (1.48 ) | (0.56 ) | (0.75 ) |
Total Distributions | (0.94 ) | (2.03 ) | (2.19 ) | (1.67 ) | (0.73 ) | (0.97 ) |
Net asset value, end of the period | $25.07 | $21.75 | $20.14 | $29.09 | $26.42 | $23.92 |
Total return | 19.94 %(b) | 19.00 % | (25.41 )% | 17.02 % | 13.70 % | 7.95 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $1,939,774 | $1,698,560 | $1,932,913 | $3,286,680 | $2,660,927 | $1,938,124 |
Net expenses | 0.92 %(c) | 0.92 % | 0.89 % | 0.88 % | 0.90 % | 0.91 % |
Gross expenses | 0.92 %(c) | 0.92 % | 0.89 % | 0.88 % | 0.90 % | 0.91 % |
Net investment income | 1.43 %(c) | 1.33 % | 0.77 % | 0.48 % | 0.67 % | 1.08 % |
Portfolio turnover rate | 9 % | 19 % | 35 % | 45 % | 37 % | 27 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
Growth Fund—Class A | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $19.58 | $16.45 | $23.85 | $20.72 | $16.02 | $16.05 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | (0.03 ) | (0.08 ) | (0.06 ) | (0.05 ) | 0.01 | 0.05 |
Net realized and unrealized gain (loss) | 5.32 | 5.89 | (6.10 ) | 4.17 | 5.14 | 0.71 |
Total from Investment Operations | 5.29 | 5.81 | (6.16 ) | 4.12 | 5.15 | 0.76 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | — | — | — | (0.05 ) | (0.05 ) |
Net realized capital gains | (1.40 ) | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (1.40 ) | (2.68 ) | (1.24 ) | (0.99 ) | (0.45 ) | (0.79 ) |
Net asset value, end of the period | $23.47 | $19.58 | $16.45 | $23.85 | $20.72 | $16.02 |
Total return(b) | 28.02 %(c) | 40.67 % | (27.48 )% | 20.43 % | 32.80 % | 5.81 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $1,072,873 | $798,843 | $1,164,116 | $1,740,523 | $1,477,915 | $1,250,030 |
Net expenses | 0.91 %(d) | 0.92 % | 0.90 % | 0.89 % | 0.90 % | 0.91 % |
Gross expenses | 0.95 %(d)(e) | 0.92 % | 0.90 % | 0.89 % | 0.90 % | 0.91 % |
Net investment income (loss) | (0.27 )%(d) | (0.43 )% | (0.30 )% | (0.22 )% | 0.04 % | 0.35 % |
Portfolio turnover rate | 6 % | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.91%. See Note 8 of Notes to Financial Statements. |
Growth Fund—Class C | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $16.60 | $14.42 | $21.21 | $18.66 | $14.53 | $14.68 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.09 ) | (0.18 ) | (0.20 ) | (0.20 ) | (0.11 ) | (0.06 ) |
Net realized and unrealized gain (loss) | 4.46 | 5.04 | (5.35 ) | 3.74 | 4.64 | 0.65 |
Total from Investment Operations | 4.37 | 4.86 | (5.55 ) | 3.54 | 4.53 | 0.59 |
LESS DISTRIBUTIONS FROM: | ||||||
Net realized capital gains | (1.40 ) | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Net asset value, end of the period | $19.57 | $16.60 | $14.42 | $21.21 | $18.66 | $14.53 |
Total return(b) | 27.49 %(c) | 39.68 % | (28.05 )% | 19.55 % | 31.76 % | 5.05 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $103,197 | $78,116 | $65,977 | $127,003 | $128,764 | $120,493 |
Net expenses | 1.66 %(d) | 1.67 % | 1.65 % | 1.63 % | 1.65 % | 1.66 % |
Gross expenses | 1.66 %(d) | 1.67 % | 1.65 % | 1.63 % | 1.65 % | 1.66 % |
Net investment loss | (1.02 )%(d) | (1.18 )% | (1.05 )% | (0.97 )% | (0.71 )% | (0.39 )% |
Portfolio turnover rate | 6 % | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
Growth Fund—Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.66 | $17.87 | $25.73 | $22.26 | $17.17 | $17.15 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.01 | (0.02 ) | 0.01 | 0.02 | 0.07 | 0.11 |
Net realized and unrealized gain (loss) | 5.90 | 6.49 | (6.63 ) | 4.49 | 5.53 | 0.76 |
Total from Investment Operations | 5.91 | 6.47 | (6.62 ) | 4.51 | 5.60 | 0.87 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | — | — | (0.05 ) | (0.11 ) | (0.11 ) |
Net realized capital gains | (1.40 ) | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (1.40 ) | (2.68 ) | (1.24 ) | (1.04 ) | (0.51 ) | (0.85 ) |
Net asset value, end of the period | $26.17 | $21.66 | $17.87 | $25.73 | $22.26 | $17.17 |
Total return | 28.20 %(b) | 41.19 % | (27.25 )% | 20.80 % | 33.26 % | 6.14 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $801,389 | $718,311 | $663,001 | $806,186 | $579,571 | $442,787 |
Net expenses | 0.57 %(c) | 0.58 % | 0.57 % | 0.56 % | 0.57 % | 0.56 % |
Gross expenses | 0.57 %(c) | 0.58 % | 0.57 % | 0.56 % | 0.57 % | 0.56 % |
Net investment income (loss) | 0.06 %(c) | (0.08 )% | 0.04 % | 0.09 % | 0.38 % | 0.69 % |
Portfolio turnover rate | 6 % | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Computed on an annualized basis for periods less than one year. |
Growth Fund—Class Y | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.61 | $17.86 | $25.73 | $22.26 | $17.17 | $17.14 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | (0.00 )(b) | (0.03 ) | (0.01 ) | 0.01 | 0.05 | 0.10 |
Net realized and unrealized gain (loss) | 5.90 | 6.46 | (6.62 ) | 4.48 | 5.53 | 0.77 |
Total from Investment Operations | 5.90 | 6.43 | (6.63 ) | 4.49 | 5.58 | 0.87 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | — | — | (0.03 ) | (0.09 ) | (0.10 ) |
Net realized capital gains | (1.40 ) | (2.68 ) | (1.24 ) | (0.99 ) | (0.40 ) | (0.74 ) |
Total Distributions | (1.40 ) | (2.68 ) | (1.24 ) | (1.02 ) | (0.49 ) | (0.84 ) |
Net asset value, end of the period | $26.11 | $21.61 | $17.86 | $25.73 | $22.26 | $17.17 |
Total return | 28.22 %(c) | 40.97 % | (27.29 )% | 20.72 % | 33.15 % | 6.09 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $11,603,401 | $9,204,871 | $7,594,603 | $11,094,922 | $9,313,775 | $7,017,707 |
Net expenses | 0.66 %(d) | 0.67 % | 0.65 % | 0.64 % | 0.65 % | 0.66 % |
Gross expenses | 0.66 %(d) | 0.67 % | 0.65 % | 0.64 % | 0.65 % | 0.66 % |
Net investment income (loss) | (0.02 )%(d) | (0.17 )% | (0.05 )% | 0.02 % | 0.27 % | 0.60 % |
Portfolio turnover rate | 6 % | 13 % | 20 % | 9 % | 19 % | 7 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
Intermediate Duration Bond Fund—Class A | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 | $9.97 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.18 | 0.29 | 0.15 | 0.11 | 0.19 | 0.25 |
Net realized and unrealized gain (loss) | 0.26 | (0.06 ) | (1.30 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.44 | 0.23 | (1.15 ) | (0.00 )(b) | 0.73 | 0.80 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.18 ) | (0.30 ) | (0.15 ) | (0.12 ) | (0.20 ) | (0.26 ) |
Net realized capital gains | — | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.18 ) | (0.30 ) | (0.20 ) | (0.41 ) | (0.25 ) | (0.26 ) |
Net asset value, end of the period | $9.42 | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 |
Total return(c)(d) | 4.87 %(e) | 2.53 % | (10.98 )% | (0.06 )% | 7.06 % | 8.11 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $3,792 | $7,150 | $18,077 | $20,942 | $19,962 | $21,415 |
Net expenses(f) | 0.65 %(g) | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Gross expenses | 0.74 %(g)(h) | 0.71 % | 0.68 % | 0.70 % | 0.72 % | 0.72 % |
Net investment income | 3.85 %(g) | 3.12 % | 1.49 % | 1.03 % | 1.78 % | 2.42 % |
Portfolio turnover rate | 64 % | 138 % | 144 % | 100 % | 123 % | 135 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.73%. See Note 8 of Notes to Financial Statements. |
Intermediate Duration Bond Fund—Class C | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.19 | $9.27 | $10.62 | $11.02 | $10.54 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.15 | 0.24 | 0.06 | 0.03 | 0.11 | 0.17 |
Net realized and unrealized gain (loss) | 0.26 | (0.08 ) | (1.29 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.41 | 0.16 | (1.23 ) | (0.08 ) | 0.65 | 0.72 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.15 ) | (0.24 ) | (0.07 ) | (0.03 ) | (0.12 ) | (0.18 ) |
Net realized capital gains | — | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.15 ) | (0.24 ) | (0.12 ) | (0.32 ) | (0.17 ) | (0.18 ) |
Net asset value, end of the period | $9.45 | $9.19 | $9.27 | $10.62 | $11.02 | $10.54 |
Total return(b)(c) | 4.49 %(d) | 1.69 % | (11.65 )% | (0.76 )% | 6.27 % | 7.28 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $703 | $698 | $174 | $315 | $668 | $467 |
Net expenses(e) | 1.40 %(f) | 1.40 % | 1.40 % | 1.40 % | 1.40 % | 1.40 % |
Gross expenses | 1.49 %(f) | 1.46 % | 1.43 % | 1.45 % | 1.46 % | 1.48 % |
Net investment income | 3.14 %(f) | 2.53 % | 0.60 % | 0.30 % | 1.00 % | 1.64 % |
Portfolio turnover rate | 64 % | 138 % | 144 % | 100 % | 123 % | 135 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
Intermediate Duration Bond Fund—Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Period Ended September 30, 2019* | |
Net asset value, beginning of the period | $9.16 | $9.22 | $10.57 | $10.98 | $10.50 | $10.07 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.20 | 0.33 | 0.18 | 0.14 | 0.22 | 0.17 |
Net realized and unrealized gain (loss) | 0.25 | (0.06 ) | (1.30 ) | (0.11 ) | 0.54 | 0.45 |
Total from Investment Operations | 0.45 | 0.27 | (1.12 ) | 0.03 | 0.76 | 0.62 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.20 ) | (0.33 ) | (0.18 ) | (0.15 ) | (0.23 ) | (0.19 ) |
Net realized capital gains | — | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.20 ) | (0.33 ) | (0.23 ) | (0.44 ) | (0.28 ) | (0.19 ) |
Net asset value, end of the period | $9.41 | $9.16 | $9.22 | $10.57 | $10.98 | $10.50 |
Total return(b) | 4.93 %(c) | 2.97 % | (10.73 )% | 0.25 % | 7.39 % | 6.19 %(c) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $57,500 | $55,983 | $19,294 | $20,094 | $3,307 | $3,546 |
Net expenses(d) | 0.35 %(e) | 0.35 % | 0.35 % | 0.35 % | 0.35 % | 0.35 %(e) |
Gross expenses | 0.41 %(e) | 0.39 % | 0.37 % | 0.38 % | 0.43 % | 0.42 %(e) |
Net investment income | 4.18 %(e) | 3.60 % | 1.80 % | 1.32 % | 2.09 % | 2.54 %(e) |
Portfolio turnover rate | 64 % | 138 % | 144 % | 100 % | 123 % | 135 %(f) |
* | From commencement of Class operations on February 1, 2019 through September 30, 2019. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Represents the Fund’s portfolio turnover rate for year ended September 30, 2019. |
Intermediate Duration Bond Fund—Class Y | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 | $9.97 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.19 | 0.32 | 0.17 | 0.14 | 0.21 | 0.27 |
Net realized and unrealized gain (loss) | 0.27 | (0.06 ) | (1.29 ) | (0.11 ) | 0.54 | 0.55 |
Total from Investment Operations | 0.46 | 0.26 | (1.12 ) | 0.03 | 0.75 | 0.82 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.20 ) | (0.33 ) | (0.18 ) | (0.15 ) | (0.22 ) | (0.28 ) |
Net realized capital gains | — | — | (0.05 ) | (0.29 ) | (0.05 ) | — |
Total Distributions | (0.20 ) | (0.33 ) | (0.23 ) | (0.44 ) | (0.27 ) | (0.28 ) |
Net asset value, end of the period | $9.42 | $9.16 | $9.23 | $10.58 | $10.99 | $10.51 |
Total return(b) | 5.02 %(c) | 2.81 % | (10.76 )% | 0.20 % | 7.33 % | 8.38 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $226,006 | $281,284 | $255,418 | $340,326 | $293,577 | $215,752 |
Net expenses(d) | 0.40 %(e) | 0.40 % | 0.40 % | 0.40 % | 0.40 % | 0.40 % |
Gross expenses | 0.49 %(e) | 0.46 % | 0.44 % | 0.45 % | 0.47 % | 0.48 % |
Net investment income | 4.12 %(e) | 3.47 % | 1.70 % | 1.28 % | 2.01 % | 2.67 % |
Portfolio turnover rate | 64 % | 138 % | 144 % | 100 % | 123 % | 135 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Limited Term Government and Agency Fund—Class A | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.57 | $10.65 | $11.40 | $11.54 | $11.34 | $11.09 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.19 | 0.32 | 0.07 | 0.04 | 0.11 | 0.15 |
Net realized and unrealized gain (loss) | 0.16 | (0.04 ) | (0.72 ) | (0.11 ) | 0.25 | 0.34 |
Total from Investment Operations | 0.35 | 0.28 | (0.65 ) | (0.07 ) | 0.36 | 0.49 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.21 ) | (0.36 ) | (0.10 ) | (0.07 ) | (0.16 ) | (0.24 ) |
Net asset value, end of the period | $10.71 | $10.57 | $10.65 | $11.40 | $11.54 | $11.34 |
Total return(b) | 3.31 %(c)(d) | 2.64 %(c) | (5.75 )%(c) | (0.58 )%(c) | 3.19 % | 4.42 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $207,508 | $209,032 | $246,532 | $287,244 | $296,217 | $308,186 |
Net expenses | 0.70 %(e)(f) (g) | 0.69 %(e)(h) | 0.69 %(e)(h) | 0.73 %(e)(h) (i) | 0.78 %(j) | 0.80 % |
Gross expenses | 0.79 %(f)(g) (k) | 0.77 %(h) | 0.72 %(h) | 0.73 %(h) | 0.78 % | 0.80 % |
Net investment income | 3.57 %(g) | 3.04 % | 0.65 % | 0.36 % | 0.93 % | 1.31 % |
Portfolio turnover rate | 115 % | 267 % | 203 % | 247 % | 319 %(l) | 527 %(l) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Includes refund of prior year service fee of less than 0.01%.See Note 6b of Notes to Financial Statements. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes refund of prior year service fee of 0.01%. |
(i) | Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%. |
(j) | Effective July 1, 2020, the expense limit decreased from 0.80% to 0.75%. |
(k) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 0.77%. See Note 8 of Notes to Financial Statements. |
(l) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class C | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.54 | $10.62 | $11.38 | $11.54 | $11.35 | $11.10 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.15 | 0.24 | (0.02 ) | (0.05 ) | 0.02 | 0.06 |
Net realized and unrealized gain (loss) | 0.16 | (0.04 ) | (0.71 ) | (0.11 ) | 0.24 | 0.34 |
Total from Investment Operations | 0.31 | 0.20 | (0.73 ) | (0.16 ) | 0.26 | 0.40 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.17 ) | (0.28 ) | (0.03 ) | (0.00 )(b) | (0.07 ) | (0.15 ) |
Net asset value, end of the period | $10.68 | $10.54 | $10.62 | $11.38 | $11.54 | $11.35 |
Total return(c) | 2.93 %(d)(e) | 1.86 %(d) | (6.43 )%(d) | (1.35 )%(d) | 2.34 % | 3.64 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $7,764 | $8,510 | $14,145 | $24,922 | $19,628 | $22,142 |
Net expenses | 1.45 %(f)(g) | 1.45 %(f) | 1.45 %(f) | 1.48 %(f)(h) | 1.53 %(i) | 1.55 % |
Gross expenses | 1.53 %(g)(j) | 1.53 % | 1.48 % | 1.49 % | 1.53 % | 1.55 % |
Net investment income (loss) | 2.81 %(g) | 2.24 % | (0.16 )% | (0.40 )% | 0.18 % | 0.57 % |
Portfolio turnover rate | 115 % | 267 % | 203 % | 247 % | 319 %(k) | 527 %(k) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.50% to 1.45%. |
(i) | Effective July 1, 2020, the expense limit decreased from 1.55% to 1.50%. |
(j) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.52%. See Note 8 of Notes to Financial Statements. |
(k) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.60 | $10.68 | $11.43 | $11.57 | $11.37 | $11.12 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.21 | 0.37 | 0.11 | 0.08 | 0.14 | 0.19 |
Net realized and unrealized gain (loss) | 0.15 | (0.06 ) | (0.73 ) | (0.11 ) | 0.26 | 0.33 |
Total from Investment Operations | 0.36 | 0.31 | (0.62 ) | (0.03 ) | 0.40 | 0.52 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.22 ) | (0.39 ) | (0.13 ) | (0.11 ) | (0.20 ) | (0.27 ) |
Net asset value, end of the period | $10.74 | $10.60 | $10.68 | $11.43 | $11.57 | $11.37 |
Total return(b) | 3.46 %(c) | 2.94 % | (5.45 )% | (0.25 )% | 3.53 % | 4.77 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $49,915 | $45,716 | $19,656 | $12,972 | $11,035 | $5,272 |
Net expenses(d) | 0.40 %(e) | 0.40 % | 0.39 % | 0.40 %(f) | 0.45 %(g) | 0.46 % |
Gross expenses | 0.44 %(e) | 0.43 % | 0.40 % | 0.41 % | 0.46 % | 0.48 % |
Net investment income | 3.87 %(e) | 3.44 % | 1.03 % | 0.68 % | 1.20 % | 1.65 % |
Portfolio turnover rate | 115 % | 267 % | 203 % | 247 % | 319 %(h) | 527 %(h) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2021, the expense limit decreased from 0.45% to 0.40% |
(g) | Effective July 1, 2020, the expense limit decreased from 0.50% to 0.45%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Limited Term Government and Agency Fund—Class Y | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.60 | $10.69 | $11.43 | $11.57 | $11.38 | $11.13 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.20 | 0.35 | 0.10 | 0.07 | 0.13 | 0.17 |
Net realized and unrealized gain (loss) | 0.17 | (0.05 ) | (0.72 ) | (0.11 ) | 0.25 | 0.34 |
Total from Investment Operations | 0.37 | 0.30 | (0.62 ) | (0.04 ) | 0.38 | 0.51 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.22 ) | (0.39 ) | (0.12 ) | (0.10 ) | (0.19 ) | (0.26 ) |
Net asset value, end of the period | $10.75 | $10.60 | $10.69 | $11.43 | $11.57 | $11.38 |
Total return | 3.53 %(b)(c) | 2.79 %(b) | (5.42 )%(b) | (0.33 )%(b) | 3.35 % | 4.67 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $479,628 | $486,496 | $491,162 | $707,904 | $691,616 | $457,248 |
Net expenses | 0.45 %(d)(e) | 0.45 %(d) | 0.45 %(d) | 0.48 %(d)(f) | 0.53 %(g) | 0.55 % |
Gross expenses | 0.53 %(e) | 0.53 % | 0.48 % | 0.49 % | 0.53 % | 0.55 % |
Net investment income | 3.81 %(e) | 3.30 % | 0.87 % | 0.61 % | 1.11 % | 1.55 % |
Portfolio turnover rate | 115 % | 267 % | 203 % | 247 % | 319 %(h) | 527 %(h) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2021, the expense limit decreased from 0.50% to 0.45%. |
(g) | Effective July 1, 2020, the expense limit decreased from 0.55% to 0.50%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 is due to changes in volume of U.S. Treasury securities related to certain trading strategies. |
Loomis Sayles Core Plus Bond Fund ("Core Plus Bond Fund")
Loomis Sayles Intermediate Duration Bond Fund (“Intermediate Duration Bond Fund”)
Loomis Sayles Global Allocation Fund (“Global Allocation Fund”)
Loomis Sayles Growth Fund (“Growth Fund”)
Loomis Sayles Limited Term Government and Agency Fund (“Limited Term Government and Agency Fund”)
2023 Distributions | |||
Fund | Ordinary Income | Long-Term Capital Gains | Total |
Core Plus Bond Fund | $237,600,988 | $ — | $237,600,988 |
Global Allocation Fund | — | 265,227,594 | 265,227,594 |
Growth Fund | 1,801,992 | 1,212,480,441 | 1,214,282,433 |
Intermediate Duration Bond Fund | 11,021,583 | — | 11,021,583 |
Limited Term Government and Agency Fund | 25,072,525 | — | 25,072,525 |
Core Plus Bond Fund | Global Allocation Fund | Growth Fund | Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
Capital loss carryforward: | |||||
Short-term: | |||||
No expiration date | $(263,274,882 ) | $ — | $ — | $(19,689,910 ) | $(10,097,977 ) |
Long-term: | |||||
No expiration date | (335,593,277 ) | — | — | (12,535,488 ) | (56,235,014 ) |
Total capital loss carryforward | $(598,868,159 ) | $ — | $ — | $(32,225,398 ) | $(66,332,991 ) |
Late-year ordinary and post-October capital loss deferrals* | $ — | $(2,253,183 ) | $(15,598,809 ) | $ — | $ — |
* | Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Global Allocation Fund is deferring currency losses and Growth Fund is deferring net operating losses. |
Core Plus Bond Fund | Global Allocation Fund | Growth Fund | Intermediate Duration Bond Fund | Limited Term Government and Agency Fund | |
Federal tax cost | $8,192,186,963 | $2,472,773,312 | $6,681,849,997 | $292,636,597 | $825,302,243 |
Gross tax appreciation | $47,606,379 | $593,344,556 | $7,182,992,968 | $1,425,882 | $1,024,941 |
Gross tax depreciation | (564,247,406 ) | (116,328,118 ) | (403,156,650 ) | (5,593,805 ) | (19,074,764 ) |
Net tax appreciation (depreciation) | $(516,641,027 ) | $477,016,438 | $6,779,836,318 | $(4,167,923 ) | $(18,049,823 ) |
Core Plus Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
ABS Home Equity | $ — | $27,571,331 | $9,436 | $27,580,767 |
Collateralized Mortgage Obligations | — | 74,617,349 | 94,994 | 74,712,343 |
All Other Non-Convertible Bonds(a) | — | 6,410,129,810 | — | 6,410,129,810 |
Total Non-Convertible Bonds | — | 6,512,318,490 | 104,430 | 6,512,422,920 |
Municipals(a) | — | 7,940,675 | — | 7,940,675 |
Total Bonds and Notes | — | 6,520,259,165 | 104,430 | 6,520,363,595 |
Collateralized Loan Obligations | — | 350,480,609 | — | 350,480,609 |
Short-Term Investments | — | 799,577,952 | — | 799,577,952 |
Total Investments | — | 7,670,317,726 | 104,430 | 7,670,422,156 |
Futures Contracts (unrealized appreciation) | 5,220,554 | — | — | 5,220,554 |
Total | $5,220,554 | $7,670,317,726 | $104,430 | $7,675,642,710 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(96,774 ) | $ — | $ — | $(96,774 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Global Allocation Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
France | $ — | $73,307,833 | $ — | $73,307,833 |
Japan | — | 50,247,739 | — | 50,247,739 |
Netherlands | — | 71,548,160 | — | 71,548,160 |
Sweden | — | 74,613,804 | — | 74,613,804 |
Taiwan | — | 57,279,273 | — | 57,279,273 |
United Kingdom | — | 59,938,822 | — | 59,938,822 |
United States | 1,629,960,838 | 31,251,443 | — | 1,661,212,281 |
Total Common Stocks | 1,629,960,838 | 418,187,074 | — | 2,048,147,912 |
Bonds and Notes(a) | — | 871,170,170 | — | 871,170,170 |
Senior Loans(a) | — | 9,611,812 | — | 9,611,812 |
Preferred Stocks(a) | 1,169,073 | — | — | 1,169,073 |
Short-Term Investments | — | 20,016,804 | — | 20,016,804 |
Total Investments | 1,631,129,911 | 1,318,985,860 | — | 2,950,115,771 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 899,780 | — | 899,780 |
Futures Contracts (unrealized appreciation) | 1,754,220 | — | — | 1,754,220 |
Total | $1,632,884,131 | $1,319,885,640 | $ — | $2,952,769,771 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Contracts (unrealized depreciation) | $ — | $(2,809,584 ) | $ — | $(2,809,584 ) |
Futures Contracts (unrealized depreciation) | (170,437 ) | — | — | (170,437 ) |
Total | $(170,437 ) | $(2,809,584 ) | $ — | $(2,980,021 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $13,001,240,067 | $ — | $ — | $13,001,240,067 |
Affiliated Exchange-Traded Funds | 137,355,657 | — | — | 137,355,657 |
Short-Term Investments | — | 323,090,591 | — | 323,090,591 |
Total Investments | $13,138,595,724 | $323,090,591 | $— | $13,461,686,315 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Intermediate Duration Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
ABS Home Equity | $ — | $ — | $1,422 | $1,422 |
Collateralized Mortgage Obligations | — | 1,859,848 | 156 | 1,860,004 |
All Other Bonds and Notes(a) | — | 279,799,967 | — | 279,799,967 |
Total Bonds and Notes | — | 281,659,815 | 1,578 | 281,661,393 |
Short-Term Investments | — | 6,662,223 | — | 6,662,223 |
Total Investments | — | 288,322,038 | 1,578 | 288,323,616 |
Futures Contracts (unrealized appreciation) | 145,058 | — | — | 145,058 |
Total | $145,058 | $288,322,038 | $1,578 | $288,468,674 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Limited Term Government and Agency Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $ — | $65,795,824 | $5,072,298 | $70,868,122 |
All Other Bonds and Notes(a) | — | 633,325,152 | — | 633,325,152 |
Total Bonds and Notes | — | 699,120,976 | 5,072,298 | 704,193,274 |
Short-Term Investments | — | 103,059,146 | — | 103,059,146 |
Total Investments | $— | $802,180,122 | $5,072,298 | $807,252,420 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Core Plus Bond Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
ABS Home Equity | $ — | $ — | $ — | $(68 ) | $ — | $(526 ) | $10,030 | $ — | $9,436 | $(68 ) |
Collateralized Mortgage Obligations | 96,178 | — | 1 | (1,861 ) | 1,209 | (533 ) | — | — | 94,994 | (1,909 ) |
Total | $96,178 | $ — | $1 | $(1,929 ) | $1,209 | $(1,059 ) | $10,030 | $ — | $104,430 | $(1,977 ) |
Intermediate Duration Bond Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024 |
Bonds and Notes | ||||||||||
ABS Home Equity | $ — | $ — | $ — | $(10 ) | $ — | $(79 ) | $1,511 | $ — | $1,422 | $(10 ) |
Collateralized Mortgage Obligations | 166 | — | — | 3 | — | (13 ) | — | — | 156 | 2 |
Total | $166 | $ — | $ — | $(7 ) | $ — | $(92 ) | $1,511 | $ — | $1,578 | $(8 ) |
Limited Term Government and Agency Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $5,429,401 | $ — | $(18,102 ) | $110,707 | $6,482 | $(471,395 ) | $15,205 | $ — | $5,072,298 | $77,427 |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $5,220,554 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(96,774 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(1,882,112 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $30,225,998 |
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts1 | Total |
Over-the-counter asset derivatives | |||
Foreign exchange contracts | $899,780 | $ — | $899,780 |
Exchange-traded asset derivatives | |||
Interest rate contracts | — | 1,754,220 | 1,754,220 |
Total asset derivatives | $899,780 | $1,754,220 | $2,654,000 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts1 | Total |
Over-the-counter liability derivatives | |||
Foreign exchange contracts | $(2,809,584 ) | $ — | $(2,809,584 ) |
Exchange-traded liability derivatives | |||
Interest rate contracts | — | (170,437 ) | (170,437 ) |
Total liability derivatives | $(2,809,584 ) | $(170,437 ) | $(2,980,021 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $ — | $244,761 |
Foreign exchange contracts | (1,487,659 ) | — |
Total | $(1,487,659 ) | $244,761 |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $ — | $4,687,337 |
Foreign exchange contracts | (323,787 ) | — |
Total | $(323,787 ) | $4,687,337 |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $145,058 |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(266,078 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $640,643 |
Core Plus Bond Fund | Futures |
Average Notional Amount Outstanding | 15.36 % |
Highest Notional Amount Outstanding | 20.40 % |
Lowest Notional Amount Outstanding | 9.50 % |
Notional Amount Outstanding as of March 31, 2024 | 14.90 % |
Global Allocation Fund | Forwards | Futures |
Average Notional Amount Outstanding | 8.65 % | 9.13 % |
Highest Notional Amount Outstanding | 9.39 % | 11.38 % |
Lowest Notional Amount Outstanding | 8.23 % | 7.07 % |
Notional Amount Outstanding as of March 31, 2024 | 8.31 % | 10.34 % |
Intermediate Duration Bond Fund | Futures |
Average Notional Amount Outstanding | 6.56 % |
Highest Notional Amount Outstanding | 7.36 % |
Lowest Notional Amount Outstanding | 6.33 % |
Notional Amount Outstanding as of March 31, 2024 | 6.64 % |
Global Allocation Fund | |||||
Counterparty | Gross Amounts of Assets | Offset Amount | Net Asset Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $340,250 | $(340,250 ) | $ — | $ — | $ — |
HSBC Bank USA N.A. | 285,176 | — | 285,176 | (285,176 ) | — |
Global Allocation Fund | |||||
Counterparty | Gross Amounts of Assets | Offset Amount | Net Asset Balance | Collateral (Received)/ Pledged | Net Amount |
Morgan Stanley Capital Services LLC | $162,379 | $(162,379 ) | $ — | $ — | $ — |
UBS AG | 111,975 | (106,159 ) | 5,816 | — | 5,816 |
$899,780 | $(608,788 ) | $290,992 | $(285,176 ) | $5,816 |
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(1,737,644 ) | $340,250 | $(1,397,394 ) | $1,250,000 | $(147,394 ) |
Morgan Stanley Capital Services LLC | (965,781 ) | 162,379 | (803,402 ) | 541,847 | (261,555 ) |
UBS AG | (106,159 ) | 106,159 | — | — | — |
$(2,809,584 ) | $608,788 | $(2,200,796 ) | $1,791,847 | $(408,949 ) |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Core Plus Bond Fund | $5,612,098,067 | $5,706,984,368 | $538,992,580 | $297,039,152 |
Global Allocation Fund | 36,020,601 | 32,287,538 | 214,881,017 | 437,745,874 |
Growth Fund | — | — | 677,942,748 | 1,191,461,250 |
Intermediate Duration Bond Fund | 45,095,592 | 87,007,044 | 153,945,432 | 176,491,868 |
Limited Term Government and Agency Fund | 814,291,885 | 853,844,652 | 4,837,349 | 7,697,980 |
Percentage of Average Daily Net Assets | ||||||
Fund | First $100 million | Next $400 million | Next $500 million | Next $1 billion | Next $2 billion | Over $4 billion |
Core Plus Bond Fund | 0.2000 % | 0.1875 % | 0.1875 % | 0.1875 % | 0.1500 % | 0.1500 % |
Global Allocation Fund | 0.7500 % | 0.7500 % | 0.7500 % | 0.7500 % | 0.7300 % | 0.7000 % |
Growth Fund | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % | 0.5000 % |
Intermediate Duration Bond Fund | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % | 0.2500 % |
Limited Term Government and Agency Fund | 0.3250 % | 0.3250 % | 0.3000 % | 0.2500 % | 0.2500 % | 0.2500 % |
Percentage of Average Daily Net Assets | |||
Fund | First $100 million | Next $1.9 billion | Over $2 billion |
Core Plus Bond Fund | 0.2000 % | 0.1875 % | 0.1500 % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Class A | Class C | Class N | Class Y |
Core Plus Bond Fund | 0.74 % | 1.49 % | 0.44 % | 0.49 % |
Global Allocation Fund | 1.20 % | 1.95 % | 0.90 % | 0.95 % |
Growth Fund | 1.00 % | 1.75 % | 0.70 % | 0.75 % |
Intermediate Duration Bond Fund | 0.65 % | 1.40 % | 0.35 % | 0.40 % |
Limited Term Government and Agency Fund | 0.70 % | 1.45 % | 0.40 % | 0.45 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Voluntary Waivers of Management Fees2 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | ||||
Core Plus Bond Fund | $5,579,782 | $ — | $ — | $5,579,782 | 0.16 % | 0.16 % |
Global Allocation Fund | 10,666,514 | — | — | 10,666,514 | 0.74 % | 0.74 % |
Growth Fund | 30,696,951 | — | 60,409 | 30,636,542 | 0.50 % | 0.50 % |
Intermediate Duration Bond Fund | 396,724 | 126,170 | — | 270,554 | 0.25 % | 0.17 % |
Limited Term Government and Agency Fund | 1,189,854 | 273,899 | — | 915,955 | 0.32 % | 0.24 % |
1 | Waiver/expense reimbursements are subject to possible recovery until September 30, 2025. |
2 | Voluntary management fee waivers are not subject to recovery under the expense limitation agreement described above. |
Reimbursement | |||||
Class A | Class C | Class N | Class Y | Total | |
Core Plus Bond Fund | $18,810 | $1,379 | $ — | $221,654 | $241,843 |
Service Fees | Distribution Fees | |||
Fund | Class A | Class C | Class C | |
Core Plus Bond Fund | $483,816 | $36,626 | $109,879 | |
Global Allocation Fund | 640,216 | 324,727 | 974,180 | |
Growth Fund | 1,201,047 | 112,133 | 336,398 | |
Intermediate Duration Bond Fund | 6,448 | 867 | 2,600 | |
Limited Term Government and Agency Fund | 258,461 | 9,791 | 29,374 |
Fund | Administrative Fees |
Core Plus Bond Fund | $1,591,166 |
Global Allocation Fund | 658,147 |
Growth Fund | 2,817,052 |
Intermediate Duration Bond Fund | 72,954 |
Limited Term Government and Agency Fund | 172,610 |
Fund | Sub-Transfer Agent Fees |
Core Plus Bond Fund | $2,488,287 |
Global Allocation Fund | 1,131,583 |
Growth Fund | 4,953,006 |
Intermediate Duration Bond Fund | 102,448 |
Limited Term Government and Agency Fund | 230,858 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
Core Plus Bond Fund | $63,208 |
Global Allocation Fund | 50,430 |
Growth Fund | 132,880 |
Intermediate Duration Bond Fund | 6,151 |
Limited Term Government and Agency Fund | 12,542 |
Fund | Commissions |
Core Plus Bond Fund | $34,410 |
Global Allocation Fund | 40,663 |
Growth Fund | 392,482 |
Intermediate Duration Bond Fund | 1,083 |
Limited Term Government and Agency Fund | 26,483 |
Percentage of Net Assets | |
Core Plus Bond Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.18 % |
Global Allocation Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.65 % |
Growth Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.83 % |
Loomis Sayles Funded Pension Plan and Trust | 0.14 % |
0.97 % | |
Limited Term Government and Agency Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.32 % |
Loomis Sayles Distribution and Trust | 0.68 % |
Natixis Sustainable Future 2015 Fund | 0.09 % |
Natixis Sustainable Future 2020 Fund | 0.08 % |
Natixis Sustainable Future 2025 Fund | 0.13 % |
Natixis Sustainable Future 2030 Fund | 0.15 % |
Natixis Sustainable Future 2035 Fund | 0.13 % |
Natixis Sustainable Future 2040 Fund | 0.09 % |
Natixis Sustainable Future 2045 Fund | 0.05 % |
1.72 % |
Reimbursement of Transfer Agency Expenses | |
Fund | Class N |
Intermediate Duration Bond Fund | $1,307 |
Limited Term Government and Agency Fund | 1,291 |
Growth Fund | ||||||||
Fund | Beginning Value | Purchase Cost(1) | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Ending Value | Shares as of March 31, 2024 | Distribution Received(2) |
Natixis Loomis Sayles Focused Growth ETF | $ — | $133,847,928 | $ — | $ — | $3,507,729 | $137,355,657 | 4,284,398 | $ — |
(1) | Purchase cost includes dividend reinvested, if any. |
(2) | Distributions received includes distributions from net investment income and from capital gains, if any. |
Transfer Agent Fees and Expenses | ||||
Fund | Class A | Class C | Class N | Class Y |
Core Plus Bond Fund | $206,529 | $15,656 | $21,301 | $2,388,971 |
Global Allocation Fund | 233,524 | 118,573 | 3,870 | 823,633 |
Growth Fund | 443,492 | 41,384 | 7,868 | 4,838,878 |
Intermediate Duration Bond Fund | 2,113 | 288 | 1,307 | 105,465 |
Limited Term Government and Agency Fund | 97,693 | 3,660 | 1,291 | 228,192 |
Fund | Number of 5% Account Holders | Percentage of Ownership |
Core Plus Bond Fund | 1 | 5.32 % |
Growth Fund | 1 | 12.07 % |
Intermediate Duration Bond Fund | 6 | 72.95 % |
Limited Term Government and Agency Fund | 1 | 7.74 % |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Core Plus Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 4,981,836 | $56,257,976 | 11,357,305 | $130,223,433 |
Issued in connection with the reinvestment of distributions | 474,080 | 5,345,278 | 869,581 | 9,938,436 |
Redeemed | (5,144,868 ) | (57,766,488 ) | (16,060,576 ) | (184,384,945 ) |
Net change | 311,048 | $3,836,766 | (3,833,690 ) | $(44,223,076 ) |
Class C | ||||
Issued from the sale of shares | 241,487 | $2,722,444 | 357,507 | $4,114,433 |
Issued in connection with the reinvestment of distributions | 36,579 | 412,722 | 76,079 | 870,566 |
Redeemed | (582,267 ) | (6,548,086 ) | (1,998,166 ) | (22,822,620 ) |
Net change | (304,201 ) | $(3,412,920 ) | (1,564,580 ) | $(17,837,621 ) |
Class N | ||||
Issued from the sale of shares | 29,725,935 | $339,826,270 | 66,972,306 | $777,684,789 |
Issued in connection with the reinvestment of distributions | 3,611,738 | 41,120,074 | 6,158,589 | 71,024,752 |
Redeemed | (30,426,918 ) | (341,901,679 ) | (57,778,078 ) | (669,470,666 ) |
Net change | 2,910,755 | $39,044,665 | 15,352,817 | $179,238,875 |
Class Y | ||||
Issued from the sale of shares | 80,600,743 | $917,954,540 | 175,407,125 | $2,034,481,891 |
Issued in connection with the reinvestment of distributions | 6,816,656 | 77,568,860 | 10,358,184 | 119,421,605 |
Redeemed | (62,083,937 ) | (702,680,323 ) | (110,384,583 ) | (1,272,938,219 ) |
Net change | 25,333,462 | $292,843,077 | 75,380,726 | $880,965,277 |
Increase from capital share transactions | 28,251,064 | $332,311,588 | 85,335,273 | $998,143,455 |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Global Allocation Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 2,111,141 | $48,837,151 | 3,389,851 | $71,361,898 |
Issued in connection with the reinvestment of distributions | 568,298 | 13,014,029 | 1,584,011 | 31,205,007 |
Redeemed | (2,274,197 ) | (52,065,300 ) | (7,011,580 ) | (149,010,976 ) |
Net change | 405,242 | $9,785,880 | (2,037,718 ) | $(46,444,071 ) |
Class C | ||||
Issued from the sale of shares | 276,330 | $6,122,674 | 777,798 | $15,680,854 |
Issued in connection with the reinvestment of distributions | 385,460 | 8,457,002 | 1,249,698 | 23,769,266 |
Redeemed | (2,176,631 ) | (48,279,435 ) | (5,208,741 ) | (106,549,675 ) |
Net change | (1,514,841 ) | $(33,699,759 ) | (3,181,245 ) | $(67,099,555 ) |
Class N | ||||
Issued from the sale of shares | 1,035,921 | $24,129,135 | 1,581,514 | $33,910,780 |
Issued in connection with the reinvestment of distributions | 412,093 | 9,560,563 | 960,857 | 19,169,099 |
Redeemed | (2,427,725 ) | (58,903,602 ) | (2,419,236 ) | (52,220,251 ) |
Net change | (979,711 ) | $(25,213,904 ) | 123,135 | $859,628 |
Class Y | ||||
Issued from the sale of shares | 6,460,054 | $151,497,293 | 11,651,567 | $249,069,549 |
Issued in connection with the reinvestment of distributions | 2,491,406 | 57,775,714 | 6,812,550 | 135,842,251 |
Redeemed | (9,672,154 ) | (224,899,102 ) | (36,342,744 ) | (779,023,281 ) |
Net change | (720,694 ) | $(15,626,095 ) | (17,878,627 ) | $(394,111,481 ) |
Decrease from capital share transactions | (2,810,004 ) | $(64,753,878 ) | (22,974,455 ) | $(506,795,479 ) |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Growth Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 9,247,946 | $188,066,551 | 25,307,103 | $429,030,222 |
Issued in connection with the reinvestment of distributions | 1,793,483 | 36,891,954 | 3,080,126 | 45,431,858 |
Redeemed | (6,131,674 ) | (130,396,546 ) | (58,359,545 ) | (987,390,432 ) |
Net change | 4,909,755 | $94,561,959 | (29,972,316 ) | $(512,928,352 ) |
Class C | ||||
Issued from the sale of shares | 1,243,002 | $22,248,493 | 1,427,876 | $22,531,190 |
Issued in connection with the reinvestment of distributions | 283,961 | 4,881,292 | 596,956 | 7,503,741 |
Redeemed | (961,962 ) | (17,173,220 ) | (1,891,889 ) | (28,339,214 ) |
Net change | 565,001 | $9,956,565 | 132,943 | $1,695,717 |
Class N | ||||
Issued from the sale of shares | 5,148,209 | $123,012,187 | 9,723,730 | $196,959,490 |
Issued in connection with the reinvestment of distributions | 1,035,470 | 23,732,974 | 3,273,160 | 53,254,325 |
Redeemed | (8,736,611 ) | (200,073,433 ) | (16,922,957 ) | (345,813,738 ) |
Net change | (2,552,932 ) | $(53,328,272 ) | (3,926,067 ) | $(95,599,923 ) |
Class Y | ||||
Issued from the sale of shares | 67,376,719 | $1,592,044,239 | 145,614,231 | $2,904,813,412 |
Issued in connection with the reinvestment of distributions | 21,411,762 | 489,686,993 | 50,233,839 | 816,299,889 |
Redeemed | (70,248,947 ) | (1,686,760,675 ) | (185,161,203 ) | (3,717,011,614 ) |
Redeemed in-kind (Note 13) | — | — | (10,072,998 ) | (191,588,419 ) |
Net change | 18,539,534 | $394,970,557 | 613,869 | $(187,486,732 ) |
Increase (decrease) from capital share transactions | 21,461,358 | $446,160,809 | (33,151,571 ) | $(794,319,290 ) |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Intermediate Duration Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 36,656 | $343,101 | 162,767 | $1,527,536 |
Issued in connection with the reinvestment of distributions | 6,939 | 64,562 | 42,793 | 399,890 |
Redeemed | (421,294 ) | (3,963,100 ) | (1,383,949 ) | (12,973,971 ) |
Net change | (377,699 ) | $(3,555,437 ) | (1,178,389 ) | $(11,046,545 ) |
Class C | ||||
Issued from the sale of shares | 4,772 | $45,000 | 86,200 | $813,282 |
Issued in connection with the reinvestment of distributions | 1,186 | 11,124 | 1,755 | 16,435 |
Redeemed | (7,531 ) | (70,971 ) | (30,766 ) | (292,234 ) |
Net change | (1,573 ) | $(14,847 ) | 57,189 | $537,483 |
Class N | ||||
Issued from the sale of shares | 369,987 | $3,476,297 | 4,504,771 | $41,858,306 |
Issued in connection with the reinvestment of distributions | 126,691 | 1,183,516 | 99,571 | 924,081 |
Redeemed | (502,947 ) | (4,664,389 ) | (581,767 ) | (5,430,564 ) |
Net change | (6,269 ) | $(4,576 ) | 4,022,575 | $37,351,823 |
Class Y | ||||
Issued from the sale of shares | 1,540,494 | $14,346,715 | 10,622,669 | $99,573,320 |
Issued in connection with the reinvestment of distributions | 567,962 | 5,304,208 | 1,030,869 | 9,604,346 |
Redeemed | (8,818,828 ) | (82,594,711 ) | (8,626,109 ) | (80,519,563 ) |
Net change | (6,710,372 ) | $(62,943,788 ) | 3,027,429 | $28,658,103 |
Increase (decrease) from capital share transactions | (7,095,913 ) | $(66,518,648 ) | 5,928,804 | $55,500,864 |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Limited Term Government and Agency Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 1,367,326 | $14,604,607 | 2,652,652 | $28,284,400 |
Issued in connection with the reinvestment of distributions | 326,931 | 3,493,996 | 607,403 | 6,478,043 |
Redeemed | (2,101,890 ) | (22,425,441 ) | (6,626,486 ) | (70,703,766 ) |
Net change | (407,633 ) | $(4,326,838 ) | (3,366,431 ) | $(35,941,323 ) |
Class C | ||||
Issued from the sale of shares | 142,241 | $1,518,653 | 216,846 | $2,300,977 |
Issued in connection with the reinvestment of distributions | 9,447 | 100,665 | 22,066 | 234,758 |
Redeemed | (232,252 ) | (2,467,563 ) | (762,968 ) | (8,118,114 ) |
Net change | (80,564 ) | $(848,245 ) | (524,056 ) | $(5,582,379 ) |
Class N | ||||
Issued from the sale of shares | 610,651 | $6,540,791 | 3,011,128 | $32,301,122 |
Issued in connection with the reinvestment of distributions | 92,781 | 994,555 | 140,941 | 1,507,954 |
Redeemed | (370,430 ) | (3,955,668 ) | (679,452 ) | (7,286,871 ) |
Net change | 333,002 | $3,579,678 | 2,472,617 | $26,522,205 |
Class Y | ||||
Issued from the sale of shares | 11,150,222 | $119,482,818 | 27,925,195 | $299,329,524 |
Issued in connection with the reinvestment of distributions | 646,992 | 6,936,355 | 1,144,373 | 12,243,193 |
Redeemed | (13,052,159 ) | (139,796,223 ) | (29,148,521 ) | (311,660,863 ) |
Net change | (1,254,945 ) | $(13,377,050 ) | (78,953 ) | $(88,146 ) |
Decrease from capital share transactions | (1,410,140 ) | $(14,972,455 ) | (1,496,823 ) | $(15,089,643 ) |
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 5/31/255647318.2.1LSIF58SA-0324
Loomis Sayles Small Cap Growth Fund |
Loomis Sayles Small Cap Value Fund |
Loomis Sayles Small/Mid Cap Growth Fund |
Managers |
Mark F. Burns, CFA® |
John J. Slavik, CFA® |
Symbols | |
Institutional Class | LSSIX |
Retail Class | LCGRX |
Class N | LSSNX |
Investment Objective
Average Annual Total Returns —March 31, 20241 | ||||||
6 Months | 1 Year | 5 Years | 10 Years | Expense Ratios2 | ||
Gross | Net | |||||
Institutional Class | 15.48 % | 14.46 % | 8.35 % | 8.83 % | 0.94 % | 0.94 % |
Retail Class | 15.39 | 14.22 | 8.09 | 8.56 | 1.19 | 1.19 |
Class N | 15.58 | 14.58 | 8.48 | 8.96 | 0.83 | 0.83 |
Comparative Performance | ||||||
Russell 3000® Index3 | 23.30 | 29.29 | 14.34 | 12.33 | ||
Russell 2000® Growth Index4 | 21.30 | 20.35 | 7.38 | 7.89 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based securities market index that represents the overall market applicable to the Fund. It is an unmanaged index that measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | Russell 2000® Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values. The Fund will retain the Russell 2000® Growth Index as its additional benchmark for performance comparison. |
Managers |
Joseph R. Gatz, CFA® |
Jeffrey Schwartz, CFA® |
Symbols | |
Institutional Class | LSSCX |
Retail Class | LSCRX |
Admin Class | LSVAX |
Class N | LSCNX |
Investment Objective
Average Annual Total Returns —March 31, 20241 | ||||||
6 Months | 1 Year | 5 Years | 10 Years | Expense Ratios2 | ||
Gross | Net | |||||
Institutional Class | 20.20 % | 25.55 % | 10.59 % | 8.28 % | 0.96 % | 0.90 % |
Retail Class | 20.02 | 25.26 | 10.32 | 8.01 | 1.21 | 1.15 |
Admin Class | 19.90 | 24.96 | 10.04 | 7.74 | 1.46 | 1.40 |
Class N | 20.26 | 25.67 | 10.65 | 8.34 | 0.87 | 0.85 |
Comparative Performance | ||||||
Russell 3000® Index3 | 23.30 | 29.29 | 14.34 | 12.33 | ||
Russell 2000® Value Index4 | 18.60 | 18.75 | 8.17 | 6.87 | ||
Russell 2000® Index5 | 19.94 | 19.71 | 8.10 | 7.58 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based securities market index that represents the overall market applicable to the Fund. It is an unmanaged index that measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. The Fund will retain the Russell 2000® Value Index as an additional benchmark for performance comparison. |
5 | Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe. The Fund will retain the Russell 2000® Index as an additional benchmark for performance comparison. |
Managers |
Mark F. Burns, CFA® |
John J. Slavik, CFA® |
Symbols | |
Institutional Class | LSMIX |
Class N | LSMNX |
Investment Objective
Average Annual Total Returns —March 31, 20241 | |||||||
6 Months | 1 Year | 5 Years | Life of Institutional Class | Life of Class N | Expense Ratios2 | ||
Gross | Net | ||||||
Institutional Class (Inception 6/30/15) | 17.57 % | 11.95 % | 7.99 % | 9.10 % | — % | 0.93 % | 0.85 % |
Class N (Inception 10/1/19) | 17.55 | 11.94 | — | — | 8.59 | 0.92 | 0.83 |
Comparative Performance | |||||||
Russell 3000® Index3 | 23.30 | 29.29 | 14.34 | 12.63 | 15.02 | ||
Russell 2500™ Growth Index4 | 22.17 | 21.12 | 9.39 | 9.25 | 10.66 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 1/31/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
3 | Effective February 1, 2024, the Fund's primary broad-based performance index changed to the Russell 3000® Index. The Russell 3000® Index is a broad-based securities market index that represents the overall market applicable to the Fund. It is an unmanaged index that measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. |
4 | Russell 2500™ Growth Index is an unmanaged index that measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500™ Index companies with higher price-to-book ratios and higher forecasted growth values. The Fund will retain the Russell 2500™ Growth Index as its additional benchmark for performance comparison. |
Loomis Sayles Small Cap Growth Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Institutional Class | |||
Actual | $1,000.00 | $1,154.80 | $5.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.30 | $4.75 |
Retail Class | |||
Actual | $1,000.00 | $1,153.90 | $6.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.05 | $6.01 |
Class N | |||
Actual | $1,000.00 | $1,155.80 | $4.47 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.85 | $4.19 |
* | Expenses are equal to the Fund's annualized expense ratio: 0.94%, 1.19% and 0.83% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Loomis Sayles Small Cap Value Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Institutional Class | |||
Actual | $1,000.00 | $1,202.00 | $4.95 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.50 | $4.55 |
Retail Class | |||
Actual | $1,000.00 | $1,200.20 | $6.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.25 | $5.81 |
Admin Class | |||
Actual | $1,000.00 | $1,199.00 | $7.70 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $7.06 |
Class N | |||
Actual | $1,000.00 | $1,202.60 | $4.68 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.75 | $4.29 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.85% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half -year 183, divided by 366 (to reflect the half -year period). |
Loomis Sayles Small/Mid Cap Growth Fund | Beginning Account Value 10/1/2023 | Ending Account Value 3/31/2024 | Expenses Paid During Period* 10/1/2023 – 3/31/2024 |
Institutional Class | |||
Actual | $1,000.00 | $1,175.70 | $4.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.75 | $4.29 |
Class N | |||
Actual | $1,000.00 | $1,175.50 | $4.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.85 | $4.19 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.85% and 0.83% for Institutional Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (183), divided by 366 (to reflect the half–year period). |
Shares | Description | Value (†) |
Common Stocks— 97.0% of Net Assets | ||
Aerospace & Defense — 4.0% | ||
397,219 | AAR Corp.(a) | $23,781,502 |
363,985 | Cadre Holdings, Inc. | 13,176,257 |
392,199 | Hexcel Corp. | 28,571,697 |
1,587,025 | Kratos Defense & Security Solutions, Inc.(a) | 29,169,519 |
94,698,975 | ||
Automobile Components — 3.8% | ||
164,752 | Dorman Products, Inc.(a) | 15,880,445 |
347,203 | Gentherm, Inc.(a) | 19,991,949 |
231,674 | Modine Manufacturing Co.(a) | 22,053,048 |
258,795 | Patrick Industries, Inc. | 30,918,239 |
88,843,681 | ||
Banks — 0.7% | ||
518,978 | Bancorp, Inc.(a) | 17,365,004 |
Beverages — 0.5% | ||
516,094 | Vita Coco Co., Inc.(a) | 12,608,176 |
Biotechnology — 3.3% | ||
11,043 | Immunocore Holdings PLC, ADR(a) | 717,795 |
507,174 | Insmed, Inc.(a) | 13,759,631 |
644,126 | Vericel Corp.(a) | 33,507,434 |
557,744 | Xencor, Inc.(a) | 12,342,875 |
399,772 | Xenon Pharmaceuticals, Inc.(a) | 17,210,184 |
77,537,919 | ||
Building Products — 1.9% | ||
876,945 | AZEK Co., Inc.(a) | 44,040,178 |
Capital Markets — 3.6% | ||
296,219 | Hamilton Lane, Inc., Class A | 33,401,655 |
110,460 | Piper Sandler Cos. | 21,925,205 |
305,289 | PJT Partners, Inc., Class A | 28,776,541 |
84,103,401 | ||
Commercial Services & Supplies — 3.0% | ||
1,499,799 | ACV Auctions, Inc., Class A(a) | 28,151,227 |
422,138 | Casella Waste Systems, Inc., Class A(a) | 41,736,784 |
69,888,011 | ||
Communications Equipment — 0.1% | ||
79,706 | Calix, Inc.(a) | 2,643,051 |
Construction & Engineering — 3.1% | ||
323,780 | Arcosa, Inc. | 27,799,751 |
415,094 | Construction Partners, Inc., Class A(a) | 23,307,528 |
192,666 | Sterling Infrastructure, Inc.(a) | 21,252,986 |
72,360,265 | ||
Diversified Consumer Services — 0.8% | ||
145,292 | Grand Canyon Education, Inc.(a) | 19,790,223 |
Electronic Equipment, Instruments & Components — 3.6% | ||
241,008 | Advanced Energy Industries, Inc. | 24,577,996 |
Shares | Description | Value (†) |
Electronic Equipment, Instruments & Components — continued | ||
336,900 | Itron, Inc.(a) | $31,169,988 |
161,318 | Novanta, Inc.(a) | 28,193,547 |
83,941,531 | ||
Energy Equipment & Services — 5.1% | ||
602,388 | Cactus, Inc., Class A | 30,173,615 |
451,373 | Noble Corp. PLC | 21,887,077 |
829,219 | Oceaneering International, Inc.(a) | 19,403,724 |
405,055 | Weatherford International PLC(a) | 46,751,448 |
118,215,864 | ||
Financial Services — 1.4% | ||
794,349 | EVERTEC, Inc. | 31,694,525 |
Food Products — 0.8% | ||
532,835 | Simply Good Foods Co.(a) | 18,132,375 |
Ground Transportation — 0.4% | ||
532,736 | Marten Transport Ltd. | 9,844,961 |
Health Care Equipment & Supplies — 7.0% | ||
470,745 | AtriCure, Inc.(a) | 14,320,063 |
272,532 | Axonics, Inc.(a) | 18,796,532 |
247,348 | Glaukos Corp.(a) | 23,322,443 |
111,390 | Integer Holdings Corp.(a) | 12,996,985 |
178,129 | iRhythm Technologies, Inc.(a) | 20,662,964 |
325,717 | LivaNova PLC(a) | 18,220,609 |
434,378 | Merit Medical Systems, Inc.(a) | 32,904,134 |
468,808 | PROCEPT BioRobotics Corp.(a) | 23,168,491 |
164,392,221 | ||
Health Care Providers & Services — 6.8% | ||
285,740 | Acadia Healthcare Co., Inc.(a) | 22,636,323 |
208,163 | Ensign Group, Inc. | 25,899,641 |
293,929 | HealthEquity, Inc.(a) | 23,993,424 |
1,002,336 | Option Care Health, Inc.(a) | 33,618,349 |
668,694 | Progyny, Inc.(a) | 25,510,676 |
575,665 | RadNet, Inc.(a) | 28,011,859 |
159,670,272 | ||
Health Care Technology — 1.0% | ||
741,604 | Evolent Health, Inc., Class A(a) | 24,317,195 |
Hotels, Restaurants & Leisure — 3.4% | ||
473,400 | First Watch Restaurant Group, Inc.(a) | 11,655,108 |
1,303,838 | Life Time Group Holdings, Inc.(a) | 20,235,566 |
240,480 | Papa John's International, Inc. | 16,015,968 |
197,651 | Texas Roadhouse, Inc. | 30,531,150 |
78,437,792 | ||
Household Durables — 1.2% | ||
108,200 | Installed Building Products, Inc. | 27,994,586 |
Insurance — 3.2% | ||
864,617 | BRP Group, Inc., Class A(a) | 25,022,016 |
364,110 | Goosehead Insurance, Inc., Class A(a) | 24,257,008 |
47,902 | Kinsale Capital Group, Inc. | 25,136,096 |
74,415,120 |
Shares | Description | Value (†) |
IT Services — 0.6% | ||
521,465 | Couchbase, Inc.(a) | $13,719,744 |
Life Sciences Tools & Services — 1.6% | ||
92,458 | Medpace Holdings, Inc.(a) | 37,366,901 |
Machinery — 3.5% | ||
311,893 | Albany International Corp., Class A | 29,165,114 |
232,291 | ESCO Technologies, Inc. | 24,866,752 |
103,465 | RBC Bearings, Inc.(a) | 27,971,763 |
82,003,629 | ||
Metals & Mining — 1.2% | ||
532,472 | ATI, Inc.(a) | 27,246,592 |
Oil, Gas & Consumable Fuels — 1.0% | ||
883,902 | Magnolia Oil & Gas Corp., Class A | 22,937,257 |
Personal Care Products — 3.8% | ||
562,235 | BellRing Brands, Inc.(a) | 33,188,732 |
143,971 | elf Beauty, Inc.(a) | 28,222,635 |
197,068 | Inter Parfums, Inc. | 27,690,025 |
89,101,392 | ||
Pharmaceuticals — 1.6% | ||
162,906 | Axsome Therapeutics, Inc.(a) | 12,999,899 |
709,992 | Supernus Pharmaceuticals, Inc.(a) | 24,217,827 |
37,217,726 | ||
Professional Services — 3.5% | ||
96,069 | FTI Consulting, Inc.(a) | 20,202,350 |
201,735 | Huron Consulting Group, Inc.(a) | 19,491,636 |
151,808 | ICF International, Inc. | 22,866,839 |
308,370 | KBR, Inc. | 19,630,834 |
82,191,659 | ||
Semiconductors & Semiconductor Equipment — 5.6% | ||
471,449 | MACOM Technology Solutions Holdings, Inc.(a) | 45,089,382 |
200,238 | Onto Innovation, Inc.(a) | 36,259,097 |
370,484 | Rambus, Inc.(a) | 22,899,616 |
188,087 | Silicon Laboratories, Inc.(a) | 27,031,864 |
131,279,959 | ||
Software — 8.6% | ||
251,487 | Agilysys, Inc.(a) | 21,190,295 |
900,544 | Clearwater Analytics Holdings, Inc., Class A(a) | 15,930,623 |
645,650 | Intapp, Inc.(a) | 22,145,795 |
263,015 | JFrog Ltd.(a) | 11,630,523 |
223,258 | Procore Technologies, Inc.(a) | 18,345,110 |
531,679 | Tenable Holdings, Inc.(a) | 26,280,893 |
779,027 | Varonis Systems, Inc.(a) | 36,746,704 |
890,418 | Vertex, Inc., Class A(a) | 28,279,676 |
237,134 | Workiva, Inc.(a) | 20,108,963 |
200,658,582 | ||
Specialty Retail — 1.0% | ||
246,732 | Boot Barn Holdings, Inc.(a) | 23,476,550 |
Shares | Description | Value (†) |
Technology Hardware, Storage & Peripherals — 1.4% | ||
633,472 | Pure Storage, Inc., Class A(a) | $32,934,209 |
Textiles, Apparel & Luxury Goods — 1.6% | ||
201,383 | Columbia Sportswear Co. | 16,348,272 |
192,666 | Oxford Industries, Inc. | 21,655,658 |
38,003,930 | ||
Trading Companies & Distributors — 3.3% | ||
190,552 | Applied Industrial Technologies, Inc. | 37,643,548 |
97,566 | McGrath RentCorp | 12,036,717 |
157,179 | SiteOne Landscape Supply, Inc.(a) | 27,435,595 |
77,115,860 | ||
Total Common Stocks (Identified Cost $1,736,746,751) | 2,270,189,316 |
Principal Amount | ||
Short-Term Investments — 2.2% | ||
$51,288,592 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $51,308,538 on 4/01/2024 collateralized by $56,395,100 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $52,314,371 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $51,288,592) | 51,288,592 |
Total Investments — 99.2% (Identified Cost $1,788,035,343) | 2,321,477,908 | |
Other assets less liabilities — 0.8% | 19,888,031 | |
Net Assets — 100.0% | $2,341,365,939 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Software | 8.6 % |
Health Care Equipment & Supplies | 7.0 |
Health Care Providers & Services | 6.8 |
Semiconductors & Semiconductor Equipment | 5.6 |
Energy Equipment & Services | 5.1 |
Aerospace & Defense | 4.0 |
Personal Care Products | 3.8 |
Automobile Components | 3.8 |
Capital Markets | 3.6 |
Electronic Equipment, Instruments & Components | 3.6 |
Professional Services | 3.5 |
Machinery | 3.5 |
Hotels, Restaurants & Leisure | 3.4 |
Biotechnology | 3.3 |
Trading Companies & Distributors | 3.3 |
Insurance | 3.2 |
Construction & Engineering | 3.1 |
Commercial Services & Supplies | 3.0 |
Other Investments, less than 2% each | 18.8 |
Short-Term Investments | 2.2 |
Total Investments | 99.2 |
Other assets less liabilities | 0.8 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks— 97.7% of Net Assets | ||
Aerospace & Defense — 3.7% | ||
124,789 | Leonardo DRS, Inc.(a) | $2,756,589 |
68,033 | Mercury Systems, Inc.(a) | 2,006,974 |
44,777 | Moog, Inc., Class A | 7,148,648 |
63,034 | V2X, Inc.(a) | 2,944,318 |
14,856,529 | ||
Automobile Components — 0.6% | ||
258,075 | Garrett Motion, Inc.(a) | 2,565,265 |
Banks — 10.0% | ||
84,723 | Ameris Bancorp | 4,098,899 |
116,137 | Cadence Bank | 3,367,973 |
185,456 | Home BancShares, Inc. | 4,556,654 |
170,405 | Hope Bancorp, Inc. | 1,961,362 |
49,165 | Pinnacle Financial Partners, Inc. | 4,222,290 |
56,156 | Popular, Inc. | 4,946,782 |
64,991 | Prosperity Bancshares, Inc. | 4,275,108 |
51,458 | SouthState Corp. | 4,375,474 |
53,141 | Wintrust Financial Corp. | 5,547,389 |
65,775 | WSFS Financial Corp. | 2,969,083 |
40,321,014 | ||
Biotechnology — 1.6% | ||
98,104 | Alkermes PLC(a) | 2,655,675 |
15,919 | United Therapeutics Corp.(a) | 3,656,913 |
6,312,588 | ||
Building Products — 4.4% | ||
7,650 | CSW Industrials, Inc. | 1,794,690 |
61,572 | Griffon Corp. | 4,515,691 |
220,927 | Janus International Group, Inc.(a) | 3,342,626 |
91,808 | Quanex Building Products Corp. | 3,528,181 |
38,611 | UFP Industries, Inc. | 4,749,539 |
17,930,727 | ||
Capital Markets — 0.9% | ||
49,001 | Stifel Financial Corp. | 3,830,408 |
Chemicals — 2.9% | ||
28,774 | Ashland, Inc. | 2,801,724 |
44,884 | Cabot Corp. | 4,138,305 |
276,487 | Ecovyst, Inc.(a) | 3,082,830 |
20,976 | Hawkins, Inc. | 1,610,957 |
11,633,816 | ||
Commercial Services & Supplies — 2.7% | ||
101,333 | CECO Environmental Corp.(a) | 2,332,686 |
16,490 | Clean Harbors, Inc.(a) | 3,319,602 |
106,116 | Vestis Corp. | 2,044,855 |
40,250 | VSE Corp. | 3,220,000 |
10,917,143 | ||
Communications Equipment — 0.5% | ||
227,920 | Viavi Solutions, Inc.(a) | 2,071,793 |
Shares | Description | Value (†) |
Construction & Engineering — 2.0% | ||
51,340 | Arcosa, Inc. | $4,408,052 |
142,949 | MDU Resources Group, Inc. | 3,602,315 |
8,010,367 | ||
Construction Materials — 1.3% | ||
63,526 | Knife River Corp.(a) | 5,150,688 |
Consumer Staples Distribution & Retail — 1.0% | ||
70,452 | Andersons, Inc. | 4,041,831 |
Electric Utilities — 0.7% | ||
45,865 | ALLETE, Inc. | 2,735,389 |
Electrical Equipment — 0.9% | ||
18,927 | Atkore, Inc. | 3,602,944 |
Electronic Equipment, Instruments & Components — 6.1% | ||
45,371 | Bel Fuse, Inc., Class B | 2,736,325 |
55,889 | Crane NXT Co. | 3,459,529 |
12,075 | Littelfuse, Inc. | 2,926,376 |
37,938 | TD SYNNEX Corp. | 4,290,788 |
228,750 | TTM Technologies, Inc.(a) | 3,579,938 |
171,600 | Vontier Corp. | 7,783,776 |
24,776,732 | ||
Energy Equipment & Services — 7.0% | ||
87,086 | ChampionX Corp. | 3,125,516 |
260,008 | Newpark Resources, Inc.(a) | 1,877,258 |
115,215 | Noble Corp. PLC | 5,586,775 |
69,275 | Tidewater, Inc.(a) | 6,373,300 |
97,816 | Weatherford International PLC(a) | 11,289,923 |
28,252,772 | ||
Entertainment — 0.7% | ||
74,161 | Atlanta Braves Holdings, Inc., Class C(a) | 2,896,729 |
Financial Services — 4.4% | ||
32,125 | Euronet Worldwide, Inc.(a) | 3,531,501 |
31,679 | Federal Agricultural Mortgage Corp., Class C | 6,236,962 |
126,486 | International Money Express, Inc.(a) | 2,887,675 |
81,672 | NCR Atleos Corp.(a) | 1,613,022 |
14,658 | WEX, Inc.(a) | 3,481,715 |
17,750,875 | ||
Food Products — 1.7% | ||
9,459 | J & J Snack Foods Corp. | 1,367,393 |
158,257 | Nomad Foods Ltd. | 3,095,507 |
23,859 | Post Holdings, Inc.(a) | 2,535,734 |
6,998,634 | ||
Health Care Equipment & Supplies — 2.7% | ||
28,246 | CONMED Corp. | 2,261,940 |
12,738 | Embecta Corp. | 169,033 |
6,912 | Haemonetics Corp.(a) | 589,939 |
84,197 | Inmode Ltd.(a) | 1,819,497 |
Shares | Description | Value (†) |
Health Care Equipment & Supplies — continued | ||
40,386 | Lantheus Holdings, Inc.(a) | $2,513,625 |
14,166 | UFP Technologies, Inc.(a) | 3,572,665 |
10,926,699 | ||
Health Care Providers & Services — 2.2% | ||
98,648 | Option Care Health, Inc.(a) | 3,308,654 |
51,970 | Tenet Healthcare Corp.(a) | 5,462,567 |
8,771,221 | ||
Hotels, Restaurants & Leisure — 0.8% | ||
26,776 | Churchill Downs, Inc. | 3,313,530 |
Household Durables — 1.8% | ||
52,267 | KB Home | 3,704,685 |
43,031 | Skyline Champion Corp.(a) | 3,658,065 |
7,362,750 | ||
Household Products — 0.8% | ||
35,774 | Spectrum Brands Holdings, Inc. | 3,184,244 |
Independent Power & Renewable Electricity Producers — 0.7% | ||
29,878 | Talen Energy Corp.(a) | 2,818,989 |
Industrial REITs — 1.0% | ||
102,993 | STAG Industrial, Inc. | 3,959,051 |
Insurance — 2.2% | ||
71,461 | Employers Holdings, Inc. | 3,243,615 |
8,691 | Enstar Group Ltd.(a) | 2,700,815 |
50,561 | Kemper Corp. | 3,130,737 |
9,075,167 | ||
Leisure Products — 0.9% | ||
37,804 | Brunswick Corp. | 3,648,842 |
Machinery — 5.1% | ||
34,339 | Albany International Corp., Class A | 3,211,040 |
43,703 | Allison Transmission Holdings, Inc. | 3,546,935 |
96,992 | Atmus Filtration Technologies, Inc.(a) | 3,127,992 |
63,693 | Columbus McKinnon Corp. | 2,842,618 |
17,256 | Kadant, Inc. | 5,661,694 |
71,656 | Wabash National Corp. | 2,145,381 |
20,535,660 | ||
Marine Transportation — 0.8% | ||
158,430 | Genco Shipping & Trading Ltd. | 3,220,882 |
Media — 1.0% | ||
4,078 | Cable One, Inc. | 1,725,524 |
57,261 | John Wiley & Sons, Inc., Class A | 2,183,362 |
3,908,886 | ||
Office REITs — 0.9% | ||
141,608 | Equity Commonwealth(a) | 2,673,559 |
80,083 | Postal Realty Trust, Inc., Class A | 1,146,789 |
3,820,348 | ||
Oil, Gas & Consumable Fuels — 5.3% | ||
125,565 | Antero Resources Corp.(a) | 3,641,385 |
Shares | Description | Value (†) |
Oil, Gas & Consumable Fuels — continued | ||
65,283 | California Resources Corp. | $3,597,093 |
95,682 | Delek U.S. Holdings, Inc. | 2,941,265 |
62,035 | International Seaways, Inc. | 3,300,262 |
336,716 | Kosmos Energy Ltd.(a) | 2,006,827 |
147,692 | Northern Oil & Gas, Inc. | 5,860,419 |
21,347,251 | ||
Personal Care Products — 0.9% | ||
64,437 | BellRing Brands, Inc.(a) | 3,803,716 |
Pharmaceuticals — 2.4% | ||
47,156 | ANI Pharmaceuticals, Inc.(a) | 3,259,894 |
96,485 | Pacira BioSciences, Inc.(a) | 2,819,292 |
101,850 | Supernus Pharmaceuticals, Inc.(a) | 3,474,103 |
9,553,289 | ||
Professional Services — 2.2% | ||
397,228 | Alight, Inc., Class A(a) | 3,912,696 |
29,290 | Concentrix Corp. | 1,939,584 |
48,683 | Korn Ferry | 3,201,394 |
9,053,674 | ||
Real Estate Management & Development — 0.9% | ||
30,143 | Colliers International Group, Inc. | 3,684,379 |
Retail REITs — 0.6% | ||
44,145 | Agree Realty Corp. | 2,521,562 |
Semiconductors & Semiconductor Equipment — 2.7% | ||
32,013 | MKS Instruments, Inc. | 4,257,729 |
52,761 | Rambus, Inc.(a) | 3,261,157 |
126,243 | Semtech Corp.(a) | 3,470,420 |
10,989,306 | ||
Software — 0.5% | ||
71,068 | HashiCorp, Inc., Class A(a) | 1,915,283 |
Specialty Retail — 1.3% | ||
44,824 | Academy Sports & Outdoors, Inc. | 3,027,413 |
24,379 | Boot Barn Holdings, Inc.(a) | 2,319,662 |
5,347,075 | ||
Textiles, Apparel & Luxury Goods — 1.3% | ||
35,459 | Crocs, Inc.(a) | 5,099,004 |
Trading Companies & Distributors — 4.3% | ||
83,269 | Alta Equipment Group, Inc. | 1,078,334 |
45,892 | Beacon Roofing Supply, Inc.(a) | 4,498,334 |
206,308 | Custom Truck One Source, Inc.(a) | 1,200,713 |
24,504 | Herc Holdings, Inc. | 4,124,023 |
27,382 | McGrath RentCorp | 3,378,117 |
237,804 | MRC Global, Inc.(a) | 2,989,196 |
17,268,717 | ||
Water Utilities — 0.3% | ||
146,605 | Pure Cycle Corp.(a) | 1,392,747 |
Shares | Description | Value (†) |
Wireless Telecommunication Services — 1.0% | ||
105,234 | U.S. Cellular Corp.(a) | $3,841,041 |
Total Common Stocks (Identified Cost $258,586,346) | 395,019,557 |
Principal Amount | ||
Short-Term Investments — 2.3% | ||
$9,211,778 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $9,215,361 on 4/01/2024 collateralized by $9,390,600 U.S. Treasury Note, 3.750% due 4/15/2026 valued at $9,396,024 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,211,778) | 9,211,778 |
Total Investments — 100.0% (Identified Cost $267,798,124) | 404,231,335 | |
Other assets less liabilities — (0.0)% | (182,091 ) | |
Net Assets — 100.0% | $404,049,244 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Banks | 10.0 % |
Energy Equipment & Services | 7.0 |
Electronic Equipment, Instruments & Components | 6.1 |
Oil, Gas & Consumable Fuels | 5.3 |
Machinery | 5.1 |
Building Products | 4.4 |
Financial Services | 4.4 |
Trading Companies & Distributors | 4.3 |
Aerospace & Defense | 3.7 |
Chemicals | 2.9 |
Semiconductors & Semiconductor Equipment | 2.7 |
Health Care Equipment & Supplies | 2.7 |
Commercial Services & Supplies | 2.7 |
Pharmaceuticals | 2.4 |
Insurance | 2.2 |
Professional Services | 2.2 |
Health Care Providers & Services | 2.2 |
Construction & Engineering | 2.0 |
Other Investments, less than 2% each | 25.4 |
Short-Term Investments | 2.3 |
Total Investments | 100.0 |
Other assets less liabilities | (0.0 )* |
Net Assets | 100.0 % |
* | Less than 0.1% |
Shares | Description | Value (†) |
Common Stocks— 96.6% of Net Assets | ||
Aerospace & Defense — 6.0% | ||
8,364 | Axon Enterprise, Inc.(a) | $2,616,928 |
17,595 | BWX Technologies, Inc. | 1,805,599 |
9,489 | HEICO Corp. | 1,812,399 |
25,430 | Hexcel Corp. | 1,852,576 |
8,087,502 | ||
Automobile Components — 1.4% | ||
53,177 | Gentex Corp. | 1,920,753 |
Banks — 1.1% | ||
26,595 | Axos Financial, Inc.(a) | 1,437,194 |
Biotechnology — 7.5% | ||
21,621 | Exact Sciences Corp.(a) | 1,493,146 |
35,569 | Insmed, Inc.(a) | 964,987 |
30,079 | Natera, Inc.(a) | 2,751,026 |
14,585 | Neurocrine Biosciences, Inc.(a) | 2,011,563 |
112,739 | Roivant Sciences Ltd.(a) | 1,188,269 |
7,686 | United Therapeutics Corp.(a) | 1,765,628 |
10,174,619 | ||
Building Products — 2.0% | ||
54,465 | AZEK Co., Inc.(a) | 2,735,232 |
Capital Markets — 4.0% | ||
19,750 | Hamilton Lane, Inc., Class A | 2,227,010 |
38,131 | Jefferies Financial Group, Inc. | 1,681,577 |
41,832 | StepStone Group, Inc., Class A | 1,495,076 |
5,403,663 | ||
Commercial Services & Supplies — 3.3% | ||
22,380 | Cimpress PLC(a) | 1,980,854 |
13,487 | Tetra Tech, Inc. | 2,491,184 |
4,472,038 | ||
Communications Equipment — 1.0% | ||
28,493 | Ciena Corp.(a) | 1,408,979 |
Construction Materials — 1.0% | ||
16,714 | Knife River Corp.(a) | 1,355,171 |
Consumer Staples Distribution & Retail — 3.8% | ||
19,480 | BJ's Wholesale Club Holdings, Inc.(a) | 1,473,662 |
5,829 | Casey's General Stores, Inc. | 1,856,245 |
23,627 | Performance Food Group Co.(a) | 1,763,519 |
5,093,426 | ||
Diversified Consumer Services — 0.9% | ||
87,391 | Laureate Education, Inc. | 1,273,287 |
Electronic Equipment, Instruments & Components — 3.5% | ||
17,839 | Advanced Energy Industries, Inc. | 1,819,221 |
9,665 | IPG Photonics Corp.(a) | 876,519 |
30,838 | Trimble, Inc.(a) | 1,984,734 |
4,680,474 |
Shares | Description | Value (†) |
Energy Equipment & Services — 2.6% | ||
52,310 | ChampionX Corp. | $1,877,406 |
85,317 | NOV, Inc. | 1,665,388 |
3,542,794 | ||
Financial Services — 2.3% | ||
39,066 | Remitly Global, Inc.(a) | 810,229 |
9,475 | WEX, Inc.(a) | 2,250,597 |
3,060,826 | ||
Food Products — 2.2% | ||
13,867 | Freshpet, Inc.(a) | 1,606,631 |
41,249 | Simply Good Foods Co.(a) | 1,403,703 |
3,010,334 | ||
Health Care Equipment & Supplies — 7.0% | ||
11,766 | Axonics, Inc.(a) | 811,501 |
9,516 | Integer Holdings Corp.(a) | 1,110,327 |
20,184 | LivaNova PLC(a) | 1,129,093 |
20,902 | Merit Medical Systems, Inc.(a) | 1,583,326 |
5,503 | Penumbra, Inc.(a) | 1,228,160 |
31,272 | PROCEPT BioRobotics Corp.(a) | 1,545,462 |
6,276 | Shockwave Medical, Inc.(a) | 2,043,654 |
9,451,523 | ||
Health Care Providers & Services — 3.5% | ||
19,818 | Acadia Healthcare Co., Inc.(a) | 1,569,982 |
24,413 | HealthEquity, Inc.(a) | 1,992,833 |
58,843 | Privia Health Group, Inc.(a) | 1,152,734 |
4,715,549 | ||
Health Care Technology — 1.2% | ||
48,013 | Evolent Health, Inc., Class A(a) | 1,574,346 |
Hotels, Restaurants & Leisure — 4.6% | ||
13,596 | Churchill Downs, Inc. | 1,682,505 |
24,142 | Light & Wonder, Inc.(a) | 2,464,657 |
13,081 | Texas Roadhouse, Inc. | 2,020,622 |
6,167,784 | ||
Insurance — 2.6% | ||
3,619 | Kinsale Capital Group, Inc. | 1,899,034 |
8,445 | Reinsurance Group of America, Inc. | 1,628,872 |
3,527,906 | ||
Interactive Media & Services — 0.6% | ||
19,818 | Yelp, Inc.(a) | 780,829 |
IT Services — 1.9% | ||
8,038 | Globant SA(a) | 1,622,872 |
7,171 | Wix.com Ltd.(a) | 985,869 |
2,608,741 | ||
Machinery — 4.5% | ||
11,359 | Ingersoll Rand, Inc. | 1,078,537 |
12,661 | ITT, Inc. | 1,722,276 |
9,123 | Middleby Corp.(a) | 1,466,887 |
6,751 | RBC Bearings, Inc.(a) | 1,825,133 |
6,092,833 |
Shares | Description | Value (†) |
Metals & Mining — 1.5% | ||
40,910 | ATI, Inc.(a) | $2,093,365 |
Oil, Gas & Consumable Fuels — 3.8% | ||
9,109 | Chord Energy Corp. | 1,623,588 |
68,603 | Magnolia Oil & Gas Corp., Class A | 1,780,248 |
24,982 | Matador Resources Co. | 1,668,048 |
5,071,884 | ||
Professional Services — 3.4% | ||
6,357 | FTI Consulting, Inc.(a) | 1,336,814 |
26,072 | KBR, Inc. | 1,659,743 |
19,353 | Parsons Corp.(a) | 1,605,331 |
4,601,888 | ||
Semiconductors & Semiconductor Equipment — 5.1% | ||
2,318 | Monolithic Power Systems, Inc. | 1,570,259 |
13,691 | Nova Ltd.(a) | 2,428,510 |
20,468 | Power Integrations, Inc. | 1,464,485 |
10,112 | Silicon Laboratories, Inc.(a) | 1,453,297 |
6,916,551 | ||
Software — 6.3% | ||
73,646 | Clearwater Analytics Holdings, Inc., Class A(a) | 1,302,798 |
10,275 | CyberArk Software Ltd.(a) | 2,729,348 |
57,976 | PowerSchool Holdings, Inc., Class A(a) | 1,234,309 |
4,460 | Tyler Technologies, Inc.(a) | 1,895,545 |
16,049 | Workiva, Inc.(a) | 1,360,955 |
8,522,955 | ||
Specialty Retail — 1.9% | ||
8,472 | Five Below, Inc.(a) | 1,536,651 |
23,098 | Valvoline, Inc.(a) | 1,029,478 |
2,566,129 | ||
Technology Hardware, Storage & Peripherals — 1.7% | ||
44,163 | Pure Storage, Inc., Class A(a) | 2,296,034 |
Textiles, Apparel & Luxury Goods — 3.0% | ||
14,545 | Columbia Sportswear Co. | 1,180,763 |
1,206 | Deckers Outdoor Corp.(a) | 1,135,160 |
29,469 | Skechers USA, Inc., Class A(a) | 1,805,271 |
4,121,194 | ||
Trading Companies & Distributors — 1.4% | ||
10,844 | SiteOne Landscape Supply, Inc.(a) | 1,892,820 |
Total Common Stocks (Identified Cost $107,806,457) | 130,658,623 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 3.0% | ||
$4,085,835 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $4,087,424 on 4/01/2024 collateralized by $4,492,700 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $4,167,610 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,085,835) | $4,085,835 |
Total Investments — 99.6% (Identified Cost $111,892,292) | 134,744,458 | |
Other assets less liabilities — 0.4% | 496,413 | |
Net Assets — 100.0% | $135,240,871 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
Biotechnology | 7.5 % |
Health Care Equipment & Supplies | 7.0 |
Software | 6.3 |
Aerospace & Defense | 6.0 |
Semiconductors & Semiconductor Equipment | 5.1 |
Hotels, Restaurants & Leisure | 4.6 |
Machinery | 4.5 |
Capital Markets | 4.0 |
Consumer Staples Distribution & Retail | 3.8 |
Oil, Gas & Consumable Fuels | 3.8 |
Health Care Providers & Services | 3.5 |
Electronic Equipment, Instruments & Components | 3.5 |
Professional Services | 3.4 |
Commercial Services & Supplies | 3.3 |
Textiles, Apparel & Luxury Goods | 3.0 |
Energy Equipment & Services | 2.6 |
Insurance | 2.6 |
Financial Services | 2.3 |
Food Products | 2.2 |
Building Products | 2.0 |
Other Investments, less than 2% each | 15.6 |
Short-Term Investments | 3.0 |
Total Investments | 99.6 |
Other assets less liabilities | 0.4 |
Net Assets | 100.0 % |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
ASSETS | |||
Investments at cost | $1,788,035,343 | $267,798,124 | $111,892,292 |
Net unrealized appreciation | 533,442,565 | 136,433,211 | 22,852,166 |
Investments at value | 2,321,477,908 | 404,231,335 | 134,744,458 |
Cash | 179,794 | 124 | — |
Receivable for Fund shares sold | 21,632,489 | 323,438 | 2,908 |
Receivable for securities sold | 24,881,577 | 753,719 | 634,781 |
Dividends and interest receivable | 542,427 | 279,000 | 21,270 |
Prepaid expenses (Note 8) | 852 | 513 | 477 |
TOTAL ASSETS | 2,368,715,047 | 405,588,129 | 135,403,894 |
LIABILITIES | |||
Payable for securities purchased | 4,245,058 | 911,867 | — |
Payable for Fund shares redeemed | 21,084,768 | 44,398 | — |
Management fees payable (Note 5) | 1,470,419 | 223,711 | 71,849 |
Deferred Trustees’ fees (Note 5) | 290,937 | 267,061 | 40,736 |
Administrative fees payable (Note 5) | 88,020 | 14,826 | 5,119 |
Payable to distributor (Note 5d) | 14,460 | 3,100 | 354 |
Audit and tax services fees payable | 26,111 | 26,718 | 26,022 |
Other accounts payable and accrued expenses | 129,335 | 47,204 | 18,943 |
TOTAL LIABILITIES | 27,349,108 | 1,538,885 | 163,023 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — |
NET ASSETS | $2,341,365,939 | $404,049,244 | $135,240,871 |
NET ASSETS CONSIST OF: | |||
Paid-in capital | $1,797,368,599 | $253,784,344 | $136,587,789 |
Accumulated earnings (loss) | 543,997,340 | 150,264,900 | (1,346,918 ) |
NET ASSETS | $2,341,365,939 | $404,049,244 | $135,240,871 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | |||
Institutional Class: | |||
Net assets | $973,151,532 | $221,642,499 | $119,394,619 |
Shares of beneficial interest | 34,777,632 | 9,162,382 | 9,438,870 |
Net asset value, offering and redemption price per share | $27.98 | $24.19 | $12.65 |
Retail Class: | |||
Net assets | $62,325,182 | $79,883,373 | $— |
Shares of beneficial interest | 2,581,071 | 3,423,648 | — |
Net asset value, offering and redemption price per share | $24.15 | $23.33 | $— |
Admin Class shares: | |||
Net assets | $— | $5,455,461 | $— |
Shares of beneficial interest | — | 260,584 | — |
Net asset value, offering and redemption price per share | $— | $20.94 | $— |
Class N shares: | |||
Net assets | $1,305,889,225 | $97,067,911 | $15,846,252 |
Shares of beneficial interest | 45,835,355 | 4,011,277 | 1,251,820 |
Net asset value, offering and redemption price per share | $28.49 | $24.20 | $12.66 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
INVESTMENT INCOME | |||
Dividends | $4,300,949 | $2,223,667 | $364,413 |
Interest | 822,644 | 166,150 | 59,597 |
Less net foreign taxes withheld | — | (7,642 ) | — |
5,123,593 | 2,382,175 | 424,010 | |
Expenses | |||
Management fees (Note 5) | 8,244,463 | 1,352,911 | 530,262 |
Service and distribution fees (Note 5) | 76,862 | 102,604 | — |
Administrative fees (Note 5) | 504,682 | 82,800 | 32,486 |
Trustees' fees and expenses (Note 5) | 74,658 | 38,494 | 13,804 |
Transfer agent fees and expenses (Notes 5, 6 and 7) | 613,083 | 128,215 | 16,027 |
Audit and tax services fees | 22,307 | 22,677 | 22,368 |
Custodian fees and expenses | 32,535 | 6,103 | 4,978 |
Legal fees | 31,266 | 4,201 | 1,982 |
Registration fees | 71,800 | 57,944 | 15,841 |
Shareholder reporting expenses | 78,100 | 32,360 | 7,355 |
Miscellaneous expenses | 48,613 | 20,476 | 18,061 |
Total expenses | 9,798,369 | 1,848,785 | 663,164 |
Less waiver and/or expense reimbursement (Note 5) | — | (142,114 ) | (62,990 ) |
Less expense offset (Note 7) | (2,316 ) | (956 ) | (77 ) |
Net expenses | 9,796,053 | 1,705,715 | 600,097 |
Net investment income (loss) | (4,672,460 ) | 676,460 | (176,087 ) |
Net realized and unrealized gain on Investments | |||
Net realized gain on: | |||
Investments | 26,411,491 | 14,365,290 | 636,997 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 298,079,523 | 53,477,621 | 22,684,325 |
Net realized and unrealized gain on Investments | 324,491,014 | 67,842,911 | 23,321,322 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $319,818,554 | $68,519,371 | $23,145,235 |
Small Cap Growth Fund | Small Cap Value Fund | |||
Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | |
FROM OPERATIONS: | ||||
Net investment income (loss) | $(4,672,460 ) | $(9,973,759 ) | $676,460 | $1,185,832 |
Net realized gain on investments | 26,411,491 | 57,412,374 | 14,365,290 | 64,347,797 |
Net change in unrealized appreciation on investments | 298,079,523 | 183,966,249 | 53,477,621 | 17,381,687 |
Net increase in net assets resulting from operations | 319,818,554 | 231,404,864 | 68,519,371 | 82,915,316 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Institutional Class | (22,893,991 ) | (26,863,859 ) | (35,182,366 ) | (33,629,482 ) |
Retail Class | (1,695,109 ) | (2,219,963 ) | (13,625,525 ) | (7,869,701 ) |
Admin Class | — | — | (971,716 ) | (890,318 ) |
Class N | (27,043,660 ) | (32,585,425 ) | (15,330,776 ) | (8,423,867 ) |
Total distributions | (51,632,760 ) | (61,669,247 ) | (65,110,383 ) | (50,813,368 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (119,141,177 ) | 45,491,029 | 58,497,141 | (111,660,807 ) |
Net increase (decrease) in net assets | 149,044,617 | 215,226,646 | 61,906,129 | (79,558,859 ) |
NET ASSETS | ||||
Beginning of the period | 2,192,321,322 | 1,977,094,676 | 342,143,115 | 421,701,974 |
End of the period | $2,341,365,939 | $2,192,321,322 | $404,049,244 | $342,143,115 |
Small/Mid Cap Growth Fund | ||
Six Months Ended March 31,2024 (Unaudited) | Year Ended September 30,2023 | |
FROM OPERATIONS: | ||
Net investment loss | $(176,087 ) | $(543,546 ) |
Net realized gain (loss) on investments | 636,997 | (14,132,539 ) |
Net change in unrealized appreciation on investments | 22,684,325 | 23,117,663 |
Net increase in net assets resulting from operations | 23,145,235 | 8,441,578 |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (31,437,964 ) | (18,288,186 ) |
Net decrease in net assets | (8,292,729 ) | (9,846,608 ) |
NET ASSETS | ||
Beginning of the period | 143,533,600 | 153,380,208 |
End of the period | $135,240,871 | $143,533,600 |
Small Cap Growth Fund – Institutional Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $24.79 | $22.88 | $36.57 | $28.51 | $26.30 | $31.55 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.06 ) | (0.12 ) | (0.15 )(b) | (0.26 ) | (0.17 ) | (0.16 ) |
Net realized and unrealized gain (loss) | 3.86 | 2.75 | (7.06 ) | 8.94 | 4.73 | (2.51 ) |
Total from Investment Operations | 3.80 | 2.63 | (7.21 ) | 8.68 | 4.56 | (2.67 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net realized capital gains | (0.61 ) | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $27.98 | $24.79 | $22.88 | $36.57 | $28.51 | $26.30 |
Total return | 15.48 %(c) | 11.64 % | (24.77 )%(b) | 30.53 % | 17.98 % | (6.88 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $973,152 | $974,539 | $883,458 | $1,299,777 | $1,037,625 | $908,616 |
Net expenses | 0.94 %(d) | 0.94 % | 0.93 % | 0.92 % | 0.94 % | 0.95 % |
Gross expenses | 0.94 %(d) | 0.94 % | 0.93 % | 0.92 % | 0.94 % | 0.95 % |
Net investment loss | (0.48 )%(d) | (0.50 )% | (0.51 )%(b) | (0.72 )% | (0.66 )% | (0.62 )% |
Portfolio turnover rate | 20 % | 37 % | 34 % | 52 % | 52 % | 67 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.16), total return would have been (24.83%) and the ratio of net investment loss to average net assets would have been (0.56%). |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
Small Cap Growth Fund – Retail Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.49 | $19.98 | $32.79 | $25.67 | $23.95 | $29.09 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.08 ) | (0.16 ) | (0.19 )(b) | (0.30 ) | (0.21 ) | (0.21 ) |
Net realized and unrealized gain (loss) | 3.35 | 2.39 | (6.14 ) | 8.04 | 4.28 | (2.35 ) |
Total from Investment Operations | 3.27 | 2.23 | (6.33 ) | 7.74 | 4.07 | (2.56 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net realized capital gains | (0.61 ) | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $24.15 | $21.49 | $19.98 | $32.79 | $25.67 | $23.95 |
Total return | 15.39 %(c) | 11.32 % | (24.94 )%(b) | 30.20 % | 17.67 % | (7.11 )%(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $62,325 | $62,965 | $62,909 | $105,027 | $98,205 | $95,635 |
Net expenses | 1.19 %(e) | 1.19 % | 1.18 % | 1.17 % | 1.19 % | 1.19 %(f) |
Gross expenses | 1.20 %(e)(g) | 1.19 % | 1.18 % | 1.17 % | 1.19 % | 1.20 % |
Net investment loss | (0.73 )%(e) | (0.75 )% | (0.76 )%(b) | (0.92 )% | (0.91 )% | (0.86 )% |
Portfolio turnover rate | 20 % | 37 % | 34 % | 52 % | 52 % | 67 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.21), total return would have been (25.01%) and the ratio of net investment loss to average net assets would have been (0.81%). |
(c) | Periods less than one year are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Includes transfer agent fees and expenses before expense offset. Without this expense offset the ratio of gross expenses would have been 1.19%. See Note 7 of Notes to Financial Statements. |
Small Cap Growth Fund– Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $25.21 | $23.23 | $37.01 | $28.81 | $26.53 | $31.76 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.05 ) | (0.10 ) | (0.11 )(b) | (0.22 ) | (0.14 ) | (0.13 ) |
Net realized and unrealized gain (loss) | 3.94 | 2.80 | (7.19 ) | 9.04 | 4.77 | (2.52 ) |
Total from Investment Operations | 3.89 | 2.70 | (7.30 ) | 8.82 | 4.63 | (2.65 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net realized capital gains | (0.61 ) | (0.72 ) | (6.48 ) | (0.62 ) | (2.35 ) | (2.58 ) |
Net asset value, end of the period | $28.49 | $25.21 | $23.23 | $37.01 | $28.81 | $26.53 |
Total return | 15.58 %(c) | 11.77 % | (24.69 )%(b) | 30.66 % | 18.09 % | (6.76 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $1,305,889 | $1,154,817 | $1,030,728 | $1,475,139 | $1,066,067 | $629,914 |
Net expenses | 0.83 %(d) | 0.83 % | 0.82 % | 0.82 % | 0.82 % | 0.82 % |
Gross expenses | 0.83 %(d) | 0.83 % | 0.82 % | 0.82 % | 0.82 % | 0.82 % |
Net investment loss | (0.36 )%(d) | (0.38 )% | (0.39 )%(b) | (0.62 )% | (0.54 )% | (0.49 )% |
Portfolio turnover rate | 20 % | 37 % | 34 % | 52 % | 52 % | 67 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.13), total return would have been (24.71%) and the ratio of net investment loss to average net assets would have been (0.44%). |
(c) | Periods less than one year are not annualized. |
(d) | Computed on an annualized basis for periods less than one year. |
Small Cap Value Fund – Institutional Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $24.17 | $22.57 | $32.05 | $22.34 | $28.66 | $35.27 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.05 | 0.08 | 0.13 | 0.04 | 0.12 | 0.10 |
Net realized and unrealized gain (loss) | 4.48 | 4.37 | (4.18 ) | 11.79 | (4.03 ) | (2.49 ) |
Total from Investment Operations | 4.53 | 4.45 | (4.05 ) | 11.83 | (3.91 ) | (2.39 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.05 ) | (0.13 ) | (0.05 ) | (0.13 ) | (0.12 ) | (0.08 ) |
Net realized capital gains | (4.46 ) | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (4.51 ) | (2.85 ) | (5.43 ) | (2.12 ) | (2.41 ) | (4.22 ) |
Net asset value, end of the period | $24.19 | $24.17 | $22.57 | $32.05 | $22.34 | $28.66 |
Total return(b) | 20.20 %(c) | 20.73 % | (16.18 )% | 55.05 % | (15.31 )% | (4.11 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $221,642 | $201,632 | $276,020 | $378,856 | $295,006 | $433,360 |
Net expenses(d) | 0.90 %(e) | 0.90 % | 0.90 % | 0.90 % | 0.90 % | 0.90 % |
Gross expenses | 0.99 %(e) | 0.96 % | 0.93 % | 0.94 % | 0.95 % | 0.93 % |
Net investment income | 0.41 %(e) | 0.34 % | 0.48 % | 0.12 % | 0.48 % | 0.36 % |
Portfolio turnover rate | 14 % | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Small Cap Value Fund – Retail Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $23.44 | $21.95 | $31.33 | $21.87 | $28.11 | $34.66 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.02 | 0.02 | 0.06 | (0.04 ) | 0.05 | 0.03 |
Net realized and unrealized gain (loss) | 4.33 | 4.26 | (4.06 ) | 11.55 | (3.96 ) | (2.44 ) |
Total from Investment Operations | 4.35 | 4.28 | (4.00 ) | 11.51 | (3.91 ) | (2.41 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | (0.07 ) | — | (0.06 ) | (0.04 ) | — |
Net realized capital gains | (4.46 ) | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (4.46 ) | (2.79 ) | (5.38 ) | (2.05 ) | (2.33 ) | (4.14 ) |
Net asset value, end of the period | $23.33 | $23.44 | $21.95 | $31.33 | $21.87 | $28.11 |
Total return(b) | 20.02 %(c) | 20.47 % | (16.40 )% | 54.69 % | (15.56 )% | (4.33 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $79,883 | $68,979 | $63,738 | $92,036 | $83,163 | $134,434 |
Net expenses(d) | 1.15 %(e) | 1.15 % | 1.15 % | 1.15 % | 1.15 % | 1.15 % |
Gross expenses | 1.24 %(e) | 1.21 % | 1.18 % | 1.19 % | 1.20 % | 1.18 % |
Net investment income (loss) | 0.17 %(e) | 0.09 % | 0.23 % | (0.12 )% | 0.23 % | 0.10 % |
Portfolio turnover rate | 14 % | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Small Cap Value Fund– Admin Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $21.47 | $20.31 | $29.44 | $20.65 | $26.68 | $33.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.01 ) | (0.03 ) | (0.01 ) | (0.10 ) | (0.01 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 3.94 | 3.92 | (3.74 ) | 10.88 | (3.73 ) | (2.39 ) |
Total from Investment Operations | 3.93 | 3.89 | (3.75 ) | 10.78 | (3.74 ) | (2.43 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | (0.01 ) | — | — | — | — |
Net realized capital gains | (4.46 ) | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (4.46 ) | (2.73 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Net asset value, end of the period | $20.94 | $21.47 | $20.31 | $29.44 | $20.65 | $26.68 |
Total return(b) | 19.90 %(c) | 20.18 % | (16.63 )% | 54.29 % | (15.74 )% | (4.60 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $5,455 | $5,812 | $6,776 | $9,440 | $7,662 | $13,357 |
Net expenses(d) | 1.40 %(e) | 1.40 % | 1.40 % | 1.40 % | 1.40 % | 1.40 % |
Gross expenses | 1.49 %(e) | 1.46 % | 1.43 % | 1.43 % | 1.45 % | 1.43 % |
Net investment loss | (0.09 )%(e) | (0.16 )% | (0.02 )% | (0.38 )% | (0.03 )% | (0.15 )% |
Portfolio turnover rate | 14 % | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Small Cap Value Fund– Class N | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $24.18 | $22.58 | $32.07 | $22.35 | $28.68 | $35.31 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.06 | 0.10 | 0.15 | 0.05 | 0.13 | 0.12 |
Net realized and unrealized gain (loss) | 4.49 | 4.37 | (4.19 ) | 11.80 | (4.03 ) | (2.50 ) |
Total from Investment Operations | 4.55 | 4.47 | (4.04 ) | 11.85 | (3.90 ) | (2.38 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.07 ) | (0.15 ) | (0.07 ) | (0.14 ) | (0.14 ) | (0.11 ) |
Net realized capital gains | (4.46 ) | (2.72 ) | (5.38 ) | (1.99 ) | (2.29 ) | (4.14 ) |
Total Distributions | (4.53 ) | (2.87 ) | (5.45 ) | (2.13 ) | (2.43 ) | (4.25 ) |
Net asset value, end of the period | $24.20 | $24.18 | $22.58 | $32.07 | $22.35 | $28.68 |
Total return | 20.26 %(b)(c) | 20.80 %(b) | (16.16 )% | 55.15 % | (15.28 )% | (4.07 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $97,068 | $65,720 | $75,168 | $112,310 | $92,818 | $141,821 |
Net expenses | 0.85 %(d)(e) | 0.85 %(d) | 0.84 % | 0.85 % | 0.85 % | 0.83 % |
Gross expenses | 0.90 %(e) | 0.87 % | 0.84 % | 0.85 % | 0.85 % | 0.83 % |
Net investment income | 0.50 %(e) | 0.40 % | 0.53 % | 0.17 % | 0.53 % | 0.43 % |
Portfolio turnover rate | 14 % | 26 % | 28 % | 23 % | 23 % | 24 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Small/Mid Cap Growth Fund – Institutional Class | ||||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.76 | $10.34 | $15.25 | $11.81 | $10.03 | $15.49 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.01 ) | (0.04 ) | (0.06 ) | (0.02 )(b) | (0.04 ) | (0.04 ) |
Net realized and unrealized gain (loss) | 1.90 | 0.46 | (3.37 ) | 3.56 | 2.06 | (1.55 )(c) |
Total from Investment Operations | 1.89 | 0.42 | (3.43 ) | 3.54 | 2.02 | (1.59 ) |
LESS DISTRIBUTIONS FROM: | ||||||
Net realized capital gains | — | — | (1.48 ) | (0.10 ) | (0.24 ) | (3.87 ) |
Net asset value, end of the period | $12.65 | $10.76 | $10.34 | $15.25 | $11.81 | $10.03 |
Total return(d) | 17.57 %(e) | 4.06 % | (25.43 )% | 30.00 %(b) | 20.38 % | (3.27 )% |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $119,395 | $118,499 | $106,566 | $70,526 | $52,170 | $34,312 |
Net expenses(f) | 0.85 %(g) | 0.85 % | 0.84 %(h) | 0.84 %(h) | 0.84 % | 0.85 % |
Gross expenses | 0.94 %(g) | 0.93 % | 0.91 % | 0.99 % | 1.21 % | 1.30 % |
Net investment loss | (0.25 )%(g) | (0.37 )% | (0.45 )% | (0.14 )%(b) | (0.34 )% | (0.35 )% |
Portfolio turnover rate | 26 % | 63 % | 50 % | 50 % | 60 % | 67 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 29.49% and the ratio of net investment loss to average net assets would have been (0.52%). |
(c) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
(h) | Includes additional voluntary waiver of advisory fee of 0.01%. |
Small/Mid Cap Growth Fund– Class N | |||||
Six Months Ended March 31, 2024 (Unaudited) | Year Ended September 30, 2023 | Year Ended September 30, 2022 | Year Ended September 30, 2021 | Period Ended September 30, 2020* | |
Net asset value, beginning of the period | $10.77 | $10.35 | $15.26 | $11.81 | $9.89 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.01 ) | (0.04 ) | (0.05 ) | (0.01 )(b) | (0.04 ) |
Net realized and unrealized gain (loss) | 1.90 | 0.46 | (3.38 ) | 3.56 | 2.20 |
Total from Investment Operations | 1.89 | 0.42 | (3.43 ) | 3.55 | 2.16 |
LESS DISTRIBUTIONS FROM: | |||||
Net realized capital gains | — | — | (1.48 ) | (0.10 ) | (0.24 ) |
Net asset value, end of the period | $12.66 | $10.77 | $10.35 | $15.26 | $11.81 |
Total return(c) | 17.55 %(d) | 4.06 % | (25.41 )% | 30.08 %(b) | 22.08 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $15,846 | $25,035 | $46,814 | $9,260 | $1 |
Net expenses(e) | 0.83 %(f) | 0.83 % | 0.83 % | 0.83 % | 0.83 %(f) |
Gross expenses | 0.92 %(f) | 0.92 % | 0.91 % | 1.00 % | 107.49 %(f) |
Net investment loss | (0.22 )%(f) | (0.37 )% | (0.44 )% | (0.08 )%(b) | (0.34 )%(f) |
Portfolio turnover rate | 26 % | 63 % | 50 % | 50 % | 60 %(g) |
* | Class operations commenced on October 1, 2019. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.07), total return would have been 29.66% and the ratio of net investment loss to average net assets would have been (0.50%). |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | Represents the Fund’s portfolio turnover rate for the year ended September 30, 2020. |
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
2023 Distributions | |||
Fund | Ordinary Income | Long-Term Capital Gains | Total |
Small Cap Growth Fund | $ — | $61,669,247 | $61,669,247 |
Small Cap Value Fund | 2,223,346 | 48,590,022 | 50,813,368 |
Small/Mid Cap Growth Fund | — | — | — |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
Capital loss carryforward: | |||
Short-term: | |||
No expiration date | $ — | $ — | $(23,696,151 ) |
Late-year ordinary and post-October capital loss deferrals* | $(7,358,605 ) | $ — | $(392,335 ) |
* | Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses. |
Small Cap Growth Fund | Small Cap Value Fund | Small/Mid Cap Growth Fund | |
Federal tax cost | $1,788,035,343 | $267,798,124 | $111,892,292 |
Gross tax appreciation | $582,209,966 | $142,569,744 | $25,103,836 |
Gross tax depreciation | (48,767,401 ) | (6,136,533 ) | (2,251,670 ) |
Net tax appreciation | $533,442,565 | $136,433,211 | $22,852,166 |
Small Cap Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $2,270,189,316 | $ — | $ — | $2,270,189,316 |
Short-Term Investments | — | 51,288,592 | — | 51,288,592 |
Total Investments | $2,270,189,316 | $51,288,592 | $— | $2,321,477,908 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small Cap Value Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $395,019,557 | $ — | $ — | $395,019,557 |
Short-Term Investments | — | 9,211,778 | — | 9,211,778 |
Total Investments | $395,019,557 | $9,211,778 | $— | $404,231,335 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small/Mid Cap Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $130,658,623 | $ — | $ — | $130,658,623 |
Short-Term Investments | — | 4,085,835 | — | 4,085,835 |
Total Investments | $130,658,623 | $4,085,835 | $— | $134,744,458 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Fund | Purchases | Sales |
Small Cap Growth Fund | $426,612,730 | $595,321,516 |
Small Cap Value Fund | 48,620,064 | 59,713,505 |
Small/Mid Cap Growth Fund | 35,581,884 | 66,831,828 |
Fund | Percentage of Average Daily Net Assets |
Small Cap Growth Fund | 0.75% |
Small Cap Value Fund | 0.75% |
Small/Mid Cap Growth Fund | 0.75% |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Small Cap Growth Fund | 0.95 % | 1.20 % | — % | 0.90 % |
Small Cap Value Fund | 0.90 % | 1.15 % | 1.40 % | 0.85 % |
Small/Mid Cap Growth Fund | 0.85 % | — % | — % | 0.83 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
Small Cap Growth Fund | $8,244,463 | $ — | $8,244,463 | 0.75 % | 0.75 % |
Small Cap Value Fund | 1,352,911 | 142,114 | 1,210,797 | 0.75 % | 0.67 % |
Small/Mid Cap Growth Fund | 530,262 | 61,922 | 468,340 | 0.75 % | 0.66 % |
1 | Waiver/expense reimbursements are subject to possible recovery until September 30, 2025. |
Service Fees | Distribution Fees | |||
Fund | Admin Class | Retail Class | Admin Class | |
Small Cap Growth Fund | $ — | $76,862 | $ — | |
Small Cap Value Fund | 6,360 | 89,884 | 6,360 |
Natixis Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts of $10 million, which is reevaluated on an annual basis.
Fund | Administrative Fees |
Small Cap Growth Fund | $504,682 |
Small Cap Value Fund | 82,800 |
Small/Mid Cap Growth Fund | 32,486 |
Fund | Sub-Transfer Agent Fees |
Small Cap Growth Fund | $576,171 |
Small Cap Value Fund | 114,958 |
Small/Mid Cap Growth Fund | 12,828 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
Small Cap Growth Fund | $14,460 |
Small Cap Value Fund | 3,100 |
Small/Mid Cap Growth Fund | 354 |
Fund | Pension Plan | Retirement Plan | Non-Qualified Retirement Plans | Total Affiliated Ownership |
Small Cap Growth Fund | 0.12% | 1.18% | —% | 1.30% |
Small Cap Value Fund | 0.72% | 7.19% | 8.48% | 16.39% |
Transfer Agent Fees and Expenses | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Small Cap Growth Fund | $560,142 | $35,811 | $ — | $14,814 |
Small Cap Value Fund | 90,722 | 32,486 | 2,308 | 1,743 |
Small/Mid Cap Growth Fund | 14,882 | — | — | 1,068 |
Fund | Number of 5% Non-Affiliated Account Holders | Percentage of Non-Affiliated Ownership | Percentage of Affiliated Ownership (Note 5f) | Total Percentage of Ownership |
Small Cap Value Fund | 4 | 25.00 % | 16.39 % | 41.39 % |
Small/Mid Cap Growth Fund | 6 | 64.11 % | — | 64.11 % |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Small Cap Growth Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 2,792,865 | $71,596,252 | 10,078,079 | $253,544,183 |
Issued in connection with the reinvestment of distributions | 792,963 | 21,005,595 | 1,053,561 | 25,137,956 |
Redeemed | (8,124,673 ) | (209,585,627 ) | (10,430,137 ) | (261,851,616 ) |
Net change | (4,538,845 ) | $(116,983,780 ) | 701,503 | $16,830,523 |
Retail Class | ||||
Issued from the sale of shares | 96,214 | $2,146,427 | 441,299 | $9,585,279 |
Issued in connection with the reinvestment of distributions | 73,575 | 1,682,653 | 106,298 | 2,203,548 |
Redeemed | (518,252 ) | (11,554,540 ) | (767,180 ) | (16,756,037 ) |
Net change | (348,463 ) | $(7,725,460 ) | (219,583 ) | $(4,967,210 ) |
Class N | ||||
Issued from the sale of shares | 5,083,228 | $134,895,379 | 9,639,101 | $247,068,462 |
Issued in connection with the reinvestment of distributions | 987,983 | 26,636,020 | 1,325,324 | 32,139,099 |
Redeemed | (6,037,415 ) | (155,963,336 ) | (9,524,898 ) | (245,579,845 ) |
Net change | 33,796 | $5,568,063 | 1,439,527 | $33,627,716 |
Increase (decrease) from capital share transactions | (4,853,512 ) | $(119,141,177 ) | 1,921,447 | $45,491,029 |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Small Cap Value Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 1,333,883 | $31,057,863 | 1,324,531 | $31,971,280 |
Issued in connection with the reinvestment of distributions | 1,537,741 | 34,614,545 | 1,479,594 | 33,157,704 |
Redeemed | (2,051,676 ) | (47,746,171 ) | (6,693,582 ) | (160,024,024 ) |
Net change | 819,948 | $17,926,237 | (3,889,457 ) | $(94,895,040 ) |
Retail Class | ||||
Issued from the sale of shares | 505,721 | $11,618,898 | 142,091 | $3,321,439 |
Issued in connection with the reinvestment of distributions | 626,606 | 13,609,887 | 360,879 | 7,859,942 |
Redeemed | (651,778 ) | (14,124,659 ) | (463,598 ) | (10,809,533 ) |
Net change | 480,549 | $11,104,126 | 39,372 | $371,848 |
Admin Class | ||||
Issued from the sale of shares | 2,699 | $55,607 | 18,912 | $402,032 |
Issued in connection with the reinvestment of distributions | 49,832 | 971,716 | 44,560 | 890,318 |
Redeemed | (62,707 ) | (1,337,701 ) | (126,310 ) | (2,691,370 ) |
Net change | (10,176 ) | $(310,378 ) | (62,838 ) | $(1,399,020 ) |
Class N | ||||
Issued from the sale of shares | 881,974 | $20,695,440 | 214,302 | $5,164,913 |
Issued in connection with the reinvestment of distributions | 681,065 | 15,330,776 | 375,730 | 8,423,867 |
Redeemed | (269,216 ) | (6,249,060 ) | (1,201,179 ) | (29,327,375 ) |
Net change | 1,293,823 | $29,777,156 | (611,147 ) | $(15,738,595 ) |
Increase (decrease) from capital share transactions | 2,584,144 | $58,497,141 | (4,524,070 ) | $(111,660,807 ) |
Six Months Ended March 31, 2024 | Year Ended September 30, 2023 | |||
Small/Mid Cap Growth Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 1,165,107 | $13,239,209 | 1,806,894 | $20,331,352 |
Redeemed | (2,741,669 ) | (32,012,160 ) | (1,093,292 ) | (12,121,065 ) |
Net change | (1,576,562 ) | $(18,772,951 ) | 713,602 | $8,210,287 |
Class N | ||||
Issued from the sale of shares | 368,918 | $4,145,053 | 1,539,241 | $16,805,054 |
Redeemed | (1,442,677 ) | (16,810,066 ) | (281,892 ) | (3,176,860 ) |
Redeemed in-kind (Note 12) | — | — | (3,453,242 ) | (40,126,667 ) |
Net change | (1,073,759 ) | $(12,665,013 ) | (2,195,893 ) | $(26,498,473 ) |
Decrease from capital share transactions | (2,650,321 ) | $(31,437,964 ) | (1,482,291 ) | $(18,288,186 ) |
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.Please note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 21, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 21, 2024 | |
By: | /s/ Matthew J. Block | |
Name: | Matthew J. Block | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | May 21, 2024 |