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
811-06740
Legg Mason Partners Institutional Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code:
877-6LM-FUND/656-3863
Date of fiscal year end: December 31
Date of reporting period: June 30, 2024
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
Western Asset SMASh Series Core Plus Completion Fund | ||
Single Classtrue | ||
Semi-Annual Shareholder Report | June 30, 2024 | ||
You can find additional information about the Fund at https://www.franklintempleton.com/regulatory-fund-documents. You can also request this information by contacting us at 877-6LM-FUND/656-3863.
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment*,† |
Single Class1 | $0 | 0.00% |
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. |
† | Annualized. |
1 | Does not reflect the effect of fees and expenses associated with a separately managed account, nor a management fee or other operating expenses of the Fund. |
Total Net Assets | $2,266,183,902 |
Total Number of Portfolio Holdings* | 421 |
Portfolio Turnover Rate | 103% |
* | Does not include derivatives, except purchased options, if any. |
* | Does not include derivatives, except purchased options, if any. |
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND? | |
Additional information is available on https://www.franklintempleton.com/regulatory-fund-documents, including its: | |
• prospectus • proxy voting information • financial information • holdings • tax information |
Western Asset SMASh Series Core Plus Completion Fund | PAGE 1 | 7938-STSR-0824 |
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. |
(a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR. |
(b) | Not applicable. |
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
SMASh Series Core Plus Completion Fund
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Security | Rate | Maturity Date | Face Amount† | Value | |
Mortgage-Backed Securities — 43.7% | |||||
FHLMC — 1.3% | |||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.000% | 10/1/41 | 9,560,219 | $8,026,705 | |
Federal Home Loan Mortgage Corp. (FHLMC) | 2.500% | 7/1/50- 4/1/52 | 13,782,517 | 11,471,186 | |
Federal Home Loan Mortgage Corp. (FHLMC) | 4.500% | 1/1/51- 11/1/52 | 5,293,321 | 5,017,981 | |
Federal Home Loan Mortgage Corp. (FHLMC) | 3.000% | 11/1/51 | 528,227 | 452,009 | |
Federal Home Loan Mortgage Corp. (FHLMC) | 3.500% | 5/1/52 | 2,550,299 | 2,259,682 | |
Federal Home Loan Mortgage Corp. (FHLMC) | 4.000% | 2/1/53 | 2,874,372 | 2,665,547 | |
Total FHLMC | 29,893,110 | ||||
FNMA — 21.1% | |||||
Federal National Mortgage Association (FNMA) | 2.000% | 9/1/41- 3/1/52 | 74,502,231 | 60,118,336 | |
Federal National Mortgage Association (FNMA) | 3.000% | 11/1/50- 3/1/52 | 7,546,644 | 6,502,473 | |
Federal National Mortgage Association (FNMA) | 2.500% | 8/1/51- 2/1/52 | 1,532,606 | 1,264,157 | |
Federal National Mortgage Association (FNMA) | 4.500% | 11/1/52 | 2,068,775 | 1,953,827 | |
Federal National Mortgage Association (FNMA) | 5.500% | 9/1/53 | 1,033,886 | 1,022,984 | |
Federal National Mortgage Association (FNMA) | 2.000% | 7/1/54 | 111,100,000 | 86,909,712 (a) | |
Federal National Mortgage Association (FNMA) | 2.500% | 7/1/54 | 92,800,000 | 75,787,874 (a) | |
Federal National Mortgage Association (FNMA) | 3.000% | 7/1/54 | 11,700,000 | 9,954,141 (a) | |
Federal National Mortgage Association (FNMA) | 3.500% | 7/1/54 | 22,600,000 | 20,004,531 (a) | |
Federal National Mortgage Association (FNMA) | 4.000% | 7/1/54 | 11,600,000 | 10,615,359 (a) | |
Federal National Mortgage Association (FNMA) | 4.500% | 7/1/54 | 1,300,000 | 1,225,707 (a) | |
Federal National Mortgage Association (FNMA) | 5.500% | 7/1/54 | 2,100,000 | 2,071,371 (a) |
1
Security | Rate | Maturity Date | Face Amount† | Value | |
FNMA — continued | |||||
Federal National Mortgage Association (FNMA) | 6.000% | 7/1/54 | 96,600,000 | $96,883,008 (a) | |
Federal National Mortgage Association (FNMA) | 6.500% | 7/1/54 | 102,000,000 | 103,824,844 (a) | |
Total FNMA | 478,138,324 | ||||
GNMA — 21.3% | |||||
Government National Mortgage Association (GNMA) II | 3.500% | 4/20/45- 10/20/48 | 713,198 | 650,426 | |
Government National Mortgage Association (GNMA) II | 4.500% | 6/20/48- 9/20/52 | 11,346,055 | 10,911,379 | |
Government National Mortgage Association (GNMA) II | 2.000% | 2/20/51 | 10,785,684 | 8,738,189 | |
Government National Mortgage Association (GNMA) II | 2.500% | 6/20/51- 12/20/51 | 89,049,331 | 74,069,833 | |
Government National Mortgage Association (GNMA) II | 3.000% | 3/20/52 | 21,399,057 | 18,686,901 | |
Government National Mortgage Association (GNMA) II | 5.000% | 9/20/52 | 810,650 | 799,972 | |
Government National Mortgage Association (GNMA) II | 2.000% | 7/20/54 | 56,500,000 | 45,734,102 (a) | |
Government National Mortgage Association (GNMA) II | 3.000% | 7/20/54 | 35,900,000 | 31,283,485 (a) | |
Government National Mortgage Association (GNMA) II | 3.500% | 7/20/54 | 58,800,000 | 52,800,562 (a) | |
Government National Mortgage Association (GNMA) II | 4.000% | 7/20/54 | 13,100,000 | 12,106,754 (a) | |
Government National Mortgage Association (GNMA) II | 4.500% | 7/20/54 | 25,900,000 | 24,625,095 (a) | |
Government National Mortgage Association (GNMA) II | 5.000% | 7/20/54 | 44,000,000 | 42,847,743 (a) | |
Government National Mortgage Association (GNMA) II | 5.500% | 7/20/54 | 103,700,000 | 102,896,910 (a) | |
Government National Mortgage Association (GNMA) II | 6.000% | 7/20/54 | 51,200,000 | 51,420,634 (a) | |
Government National Mortgage Association (GNMA) II | 6.500% | 7/20/54 | 5,500,000 | 5,579,227 (a) | |
Total GNMA | 483,151,212 | ||||
Total Mortgage-Backed Securities (Cost — $1,000,920,876) | 991,182,646 |
2
Security | Rate | Maturity Date | Face Amount† | Value | |
Corporate Bonds & Notes — 30.1% | |||||
Communication Services — 3.7% | |||||
Diversified Telecommunication Services — 0.0%†† | |||||
Altice Financing SA, Senior Secured Notes | 5.750% | 8/15/29 | 1,720,000 | $1,251,613 (b) | |
Entertainment — 0.2% | |||||
Netflix Inc., Senior Notes | 5.875% | 2/15/25 | 2,845,000 | 2,850,016 | |
Warnermedia Holdings Inc., Senior Notes | 6.412% | 3/15/26 | 1,200,000 | 1,200,074 | |
Total Entertainment | 4,050,090 | ||||
Media — 1.5% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.750% | 2/1/32 | 5,350,000 | 4,385,371 (b) | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500% | 5/1/32 | 8,260,000 | 6,658,357 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500% | 6/1/33 | 2,220,000 | 1,749,113 (b) | |
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908% | 7/23/25 | 24,000 | 23,776 | |
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 6.550% | 6/1/34 | 580,000 | 580,536 | |
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 6.484% | 10/23/45 | 2,000,000 | 1,828,570 | |
DISH DBS Corp., Senior Notes | 5.875% | 11/15/24 | 5,100,000 | 4,846,953 | |
DISH DBS Corp., Senior Notes | 7.750% | 7/1/26 | 1,220,000 | 758,560 | |
DISH DBS Corp., Senior Notes | 5.125% | 6/1/29 | 3,150,000 | 1,250,804 | |
DISH DBS Corp., Senior Secured Notes | 5.250% | 12/1/26 | 2,260,000 | 1,786,908 (b) | |
DISH DBS Corp., Senior Secured Notes | 5.750% | 12/1/28 | 420,000 | 291,979 (b) | |
Fox Corp., Senior Notes | 6.500% | 10/13/33 | 1,300,000 | 1,362,331 | |
Fox Corp., Senior Notes | 5.476% | 1/25/39 | 2,000,000 | 1,908,048 | |
Time Warner Cable LLC, Senior Secured Notes | 7.300% | 7/1/38 | 2,500,000 | 2,531,858 | |
Virgin Media Secured Finance PLC, Senior Secured Notes | 5.500% | 5/15/29 | 3,300,000 | 3,019,354 (b) | |
Total Media | 32,982,518 | ||||
Wireless Telecommunication Services — 2.0% | |||||
CSC Holdings LLC, Senior Notes | 6.500% | 2/1/29 | 5,500,000 | 4,019,220 (b) | |
CSC Holdings LLC, Senior Notes | 4.125% | 12/1/30 | 650,000 | 420,764 (b) | |
CSC Holdings LLC, Senior Notes | 3.375% | 2/15/31 | 1,150,000 | 718,842 (b) |
3
Security | Rate | Maturity Date | Face Amount† | Value | |
Wireless Telecommunication Services — continued | |||||
CSC Holdings LLC, Senior Notes | 4.500% | 11/15/31 | 18,090,000 | $11,688,052 (b) | |
Rogers Communications Inc., Senior Notes | 5.300% | 2/15/34 | 1,320,000 | 1,295,738 | |
Sprint Capital Corp., Senior Notes | 8.750% | 3/15/32 | 5,490,000 | 6,608,298 | |
Sprint LLC, Senior Notes | 7.625% | 2/15/25 | 1,973,000 | 1,986,987 | |
T-Mobile USA Inc., Senior Notes | 2.250% | 2/15/26 | 1,350,000 | 1,283,076 | |
T-Mobile USA Inc., Senior Notes | 2.625% | 2/15/29 | 4,230,000 | 3,792,314 | |
T-Mobile USA Inc., Senior Notes | 3.375% | 4/15/29 | 3,880,000 | 3,586,123 | |
T-Mobile USA Inc., Senior Notes | 3.500% | 4/15/31 | 9,200,000 | 8,276,147 | |
T-Mobile USA Inc., Senior Notes | 5.150% | 4/15/34 | 900,000 | 884,913 | |
T-Mobile USA Inc., Senior Notes | 3.000% | 2/15/41 | 1,000,000 | 715,975 | |
Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.750% | 7/15/31 | 730,000 | 616,660 (b) | |
Total Wireless Telecommunication Services | 45,893,109 | ||||
Total Communication Services | 84,177,330 | ||||
Consumer Discretionary — 5.7% | |||||
Automobile Components — 0.3% | |||||
ZF North America Capital Inc., Senior Notes | 6.875% | 4/23/32 | 6,360,000 | 6,579,293 (b) | |
Automobiles — 3.2% | |||||
Ford Motor Co., Senior Notes | 3.250% | 2/12/32 | 150,000 | 124,042 | |
Ford Motor Co., Senior Notes | 6.100% | 8/19/32 | 4,770,000 | 4,766,437 | |
Ford Motor Credit Co. LLC, Senior Notes | 5.125% | 6/16/25 | 200,000 | 198,553 | |
Ford Motor Credit Co. LLC, Senior Notes | 3.375% | 11/13/25 | 5,580,000 | 5,402,601 | |
Ford Motor Credit Co. LLC, Senior Notes | 4.950% | 5/28/27 | 2,750,000 | 2,685,640 | |
Ford Motor Credit Co. LLC, Senior Notes | 3.815% | 11/2/27 | 250,000 | 234,638 | |
Ford Motor Credit Co. LLC, Senior Notes | 7.350% | 11/4/27 | 10,000,000 | 10,424,713 | |
Ford Motor Credit Co. LLC, Senior Notes | 2.900% | 2/16/28 | 2,130,000 | 1,927,400 | |
Ford Motor Credit Co. LLC, Senior Notes | 2.900% | 2/10/29 | 200,000 | 176,425 | |
Ford Motor Credit Co. LLC, Senior Notes | 7.350% | 3/6/30 | 22,230,000 | 23,538,238 | |
Ford Motor Credit Co. LLC, Senior Notes | 4.000% | 11/13/30 | 12,260,000 | 10,951,767 | |
Ford Motor Credit Co. LLC, Senior Notes | 3.625% | 6/17/31 | 13,420,000 | 11,576,370 | |
Total Automobiles | 72,006,824 | ||||
Broadline Retail — 0.7% | |||||
Prosus NV, Senior Notes | 3.061% | 7/13/31 | 19,380,000 | 16,055,001 (b) | |
Diversified Consumer Services — 0.0%†† | |||||
Service Corp. International, Senior Notes | 7.500% | 4/1/27 | 1,370,000 | 1,422,453 |
4
Security | Rate | Maturity Date | Face Amount† | Value | |
Hotels, Restaurants & Leisure — 1.4% | |||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 3.875% | 1/15/28 | 460,000 | $431,232 (b) | |
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 3.500% | 2/15/29 | 1,960,000 | 1,781,069 (b) | |
Caesars Entertainment Inc., Senior Secured Notes | 7.000% | 2/15/30 | 1,240,000 | 1,267,659 (b) | |
Caesars Entertainment Inc., Senior Secured Notes | 6.500% | 2/15/32 | 940,000 | 945,225 (b) | |
GLP Capital LP/GLP Financing II Inc., Senior Notes | 5.375% | 4/15/26 | 310,000 | 307,703 | |
Hilton Domestic Operating Co. Inc., Senior Notes | 6.125% | 4/1/32 | 2,550,000 | 2,563,964 (b) | |
Las Vegas Sands Corp., Senior Notes | 6.000% | 8/15/29 | 650,000 | 653,578 | |
Melco Resorts Finance Ltd., Senior Notes | 7.625% | 4/17/32 | 3,430,000 | 3,406,539 (b) | |
NCL Corp. Ltd., Senior Secured Notes | 8.125% | 1/15/29 | 4,380,000 | 4,592,506 (b) | |
Royal Caribbean Cruises Ltd., Senior Notes | 6.250% | 3/15/32 | 1,070,000 | 1,079,658 (b) | |
VOC Escrow Ltd., Senior Secured Notes | 5.000% | 2/15/28 | 3,540,000 | 3,433,839 (b) | |
Wynn Macau Ltd., Senior Notes | 5.625% | 8/26/28 | 7,740,000 | 7,263,951 (b) | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | 7.125% | 2/15/31 | 3,080,000 | 3,195,820 (b) | |
Total Hotels, Restaurants & Leisure | 30,922,743 | ||||
Household Durables — 0.1% | |||||
MDC Holdings Inc., Senior Notes | 6.000% | 1/15/43 | 1,650,000 | 1,737,476 | |
Total Consumer Discretionary | 128,723,790 | ||||
Consumer Staples — 1.1% | |||||
Food Products — 0.1% | |||||
Kraft Heinz Foods Co., Senior Notes | 4.250% | 3/1/31 | 1,360,000 | 1,290,410 | |
Kraft Heinz Foods Co., Senior Notes | 5.000% | 6/4/42 | 890,000 | 805,488 | |
Kraft Heinz Foods Co., Senior Notes | 4.375% | 6/1/46 | 910,000 | 740,835 | |
Total Food Products | 2,836,733 | ||||
Personal Care Products — 0.1% | |||||
Kenvue Inc., Senior Notes | 4.900% | 3/22/33 | 1,720,000 | 1,701,676 | |
Tobacco — 0.9% | |||||
Altria Group Inc., Senior Notes | 5.800% | 2/14/39 | 5,000,000 | 5,007,588 | |
Altria Group Inc., Senior Notes | 5.950% | 2/14/49 | 7,500,000 | 7,360,831 | |
Altria Group Inc., Senior Notes | 6.200% | 2/14/59 | 792,000 | 787,685 | |
BAT Capital Corp., Senior Notes | 3.734% | 9/25/40 | 3,500,000 | 2,595,018 | |
BAT Capital Corp., Senior Notes | 7.081% | 8/2/53 | 2,509,000 | 2,669,903 |
5
Security | Rate | Maturity Date | Face Amount† | Value | |
Tobacco — continued | |||||
Philip Morris International Inc., Senior Notes | 4.875% | 2/13/29 | 670,000 | $662,786 | |
Philip Morris International Inc., Senior Notes | 5.125% | 2/13/31 | 160,000 | 158,347 | |
Philip Morris International Inc., Senior Notes | 5.250% | 2/13/34 | 510,000 | 500,531 | |
Total Tobacco | 19,742,689 | ||||
Total Consumer Staples | 24,281,098 | ||||
Energy — 6.6% | |||||
Oil, Gas & Consumable Fuels — 6.6% | |||||
Apache Corp., Senior Notes | 5.100% | 9/1/40 | 3,778,000 | 3,226,661 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 7.250% | 7/15/32 | 2,170,000 | 2,232,492 (b) | |
Cameron LNG LLC, Senior Secured Notes | 3.302% | 1/15/35 | 4,820,000 | 3,970,790 (b) | |
Cheniere Energy Inc., Senior Notes | 4.625% | 10/15/28 | 3,160,000 | 3,069,030 | |
Cheniere Energy Partners LP, Senior Notes | 3.250% | 1/31/32 | 7,030,000 | 6,004,814 | |
Columbia Pipelines Operating Co. LLC, Senior Notes | 6.036% | 11/15/33 | 3,830,000 | 3,915,759 (b) | |
Columbia Pipelines Operating Co. LLC, Senior Notes | 6.544% | 11/15/53 | 100,000 | 105,463 (b) | |
Continental Resources Inc., Senior Notes | 4.375% | 1/15/28 | 10,830,000 | 10,417,237 | |
Devon Energy Corp., Senior Notes | 5.250% | 10/15/27 | 170,000 | 169,572 | |
Devon Energy Corp., Senior Notes | 5.875% | 6/15/28 | 720,000 | 722,514 | |
Devon Energy Corp., Senior Notes | 5.000% | 6/15/45 | 1,250,000 | 1,066,344 | |
Ecopetrol SA, Senior Notes | 4.625% | 11/2/31 | 21,540,000 | 17,644,400 | |
Ecopetrol SA, Senior Notes | 5.875% | 5/28/45 | 1,170,000 | 839,482 | |
Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%) | 6.500% | 11/15/26 | 3,170,000 | 3,134,656 (c)(d) | |
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) | 6.750% | 5/15/25 | 600,000 | 599,215 (c)(d) | |
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) | 7.125% | 5/15/30 | 8,010,000 | 7,954,250 (c)(d) | |
Enterprise Products Operating LLC, Senior Notes | 6.650% | 10/15/34 | 920,000 | 1,009,848 |
6
Security | Rate | Maturity Date | Face Amount† | Value | |
Oil, Gas & Consumable Fuels — continued | |||||
EQT Corp., Senior Notes | 3.900% | 10/1/27 | 2,520,000 | $2,410,484 | |
EQT Corp., Senior Notes | 5.000% | 1/15/29 | 180,000 | 176,766 | |
KazMunayGas National Co. JSC, Senior Notes | 5.375% | 4/24/30 | 500,000 | 488,150 (b) | |
KazMunayGas National Co. JSC, Senior Notes | 6.375% | 10/24/48 | 2,850,000 | 2,687,611 (b) | |
Kinder Morgan Inc., Senior Notes | 7.750% | 1/15/32 | 300,000 | 338,720 | |
Kinder Morgan Inc., Senior Notes | 5.550% | 6/1/45 | 1,370,000 | 1,278,958 | |
Occidental Petroleum Corp., Senior Notes | 6.200% | 3/15/40 | 11,829,000 | 11,859,448 | |
Occidental Petroleum Corp., Senior Notes | 6.600% | 3/15/46 | 5,000,000 | 5,219,290 | |
ONEOK Inc., Senior Notes | 5.550% | 11/1/26 | 1,670,000 | 1,677,324 | |
ONEOK Inc., Senior Notes | 5.650% | 11/1/28 | 2,630,000 | 2,670,479 | |
ONEOK Inc., Senior Notes | 5.800% | 11/1/30 | 900,000 | 921,764 | |
Petrobras Global Finance BV, Senior Notes | 5.500% | 6/10/51 | 7,380,000 | 5,867,025 | |
Range Resources Corp., Senior Notes | 8.250% | 1/15/29 | 1,780,000 | 1,846,011 | |
Range Resources Corp., Senior Notes | 4.750% | 2/15/30 | 1,910,000 | 1,793,442 (b) | |
Southwestern Energy Co., Senior Notes | 5.375% | 3/15/30 | 1,510,000 | 1,459,722 | |
Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 7,580,000 | 6,977,767 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 6.875% | 1/15/29 | 830,000 | 851,668 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 4.875% | 2/1/31 | 3,590,000 | 3,428,013 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 4.000% | 1/15/32 | 560,000 | 504,875 | |
Venture Global Calcasieu Pass LLC, Senior Secured Notes | 3.875% | 11/1/33 | 4,040,000 | 3,446,147 (b) | |
Western Midstream Operating LP, Senior Notes | 5.300% | 3/1/48 | 25,640,000 | 22,158,542 | |
Western Midstream Operating LP, Senior Notes | 5.500% | 8/15/48 | 2,000,000 | 1,739,966 | |
Williams Cos. Inc., Senior Notes | 7.500% | 1/15/31 | 152,000 | 168,203 | |
Williams Cos. Inc., Senior Notes | 5.750% | 6/24/44 | 2,930,000 | 2,871,916 | |
Total Energy | 148,924,818 |
7
Security | Rate | Maturity Date | Face Amount† | Value | |
Financials — 1.6% | |||||
Banks — 0.9% | |||||
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) | 4.588% | 5/4/37 | 3,620,000 | $3,262,034 (d) | |
BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%) | 5.125% | 1/13/29 | 4,910,000 | 4,869,405 (b)(d) | |
BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) | 5.894% | 12/5/34 | 3,080,000 | 3,156,652 (b)(d) | |
Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) | 3.758% | 4/6/33 | 750,000 | 664,636 (b)(d) | |
PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + 1.841%) | 5.582% | 6/12/29 | 2,350,000 | 2,376,385 (d) | |
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) | 5.812% | 6/12/26 | 750,000 | 750,911 (d) | |
Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | 6.047% | 6/8/27 | 1,410,000 | 1,420,531 (d) | |
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | 5.775% | 6/12/29 | 1,310,000 | 1,330,186 (d) | |
US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | 5.836% | 6/12/34 | 240,000 | 243,451 (d) | |
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%) | 5.013% | 4/4/51 | 1,000,000 | 911,546 (d) | |
Wells Fargo & Co., Subordinated Notes | 4.750% | 12/7/46 | 2,000,000 | 1,695,250 | |
Total Banks | 20,680,987 | ||||
Capital Markets — 0.4% | |||||
Charles Schwab Corp., Senior Notes | 5.875% | 8/24/26 | 3,020,000 | 3,055,590 | |
Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) | 6.136% | 8/24/34 | 590,000 | 614,622 (d) | |
UBS AG/Stamford CT, Senior Notes | 7.500% | 2/15/28 | 2,270,000 | 2,429,669 | |
UBS AG, Senior Notes | 4.750% | 8/9/24 | 1,170,000 | 1,168,572 | |
UBS Group AG, Junior Subordinated Notes (7.750% to 4/12/31 then USD 5 year SOFR ICE Swap Rate + 4.160%) | 7.750% | 4/12/31 | 730,000 | 746,459 (b)(c)(d) | |
UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) | 9.016% | 11/15/33 | 890,000 | 1,073,305 (b)(d) | |
Total Capital Markets | 9,088,217 |
8
Security | Rate | Maturity Date | Face Amount† | Value | |
Financial Services — 0.2% | |||||
Jane Street Group/JSG Finance Inc., Senior Secured Notes | 7.125% | 4/30/31 | 3,020,000 | $3,099,363 (b) | |
Insurance — 0.1% | |||||
Aon North America Inc., Senior Notes | 5.450% | 3/1/34 | 2,710,000 | 2,699,130 | |
Total Financials | 35,567,697 | ||||
Health Care — 4.9% | |||||
Biotechnology — 0.1% | |||||
AbbVie Inc., Senior Notes | 4.800% | 3/15/29 | 1,520,000 | 1,514,440 | |
AbbVie Inc., Senior Notes | 4.950% | 3/15/31 | 660,000 | 658,503 | |
AbbVie Inc., Senior Notes | 5.050% | 3/15/34 | 920,000 | 917,657 | |
Total Biotechnology | 3,090,600 | ||||
Health Care Equipment & Supplies — 0.5% | |||||
Medline Borrower LP/Medline Co-Issuer Inc., Senior Secured Notes | 6.250% | 4/1/29 | 3,500,000 | 3,543,988 (b) | |
Solventum Corp., Senior Notes | 5.400% | 3/1/29 | 1,590,000 | 1,585,471 (b) | |
Solventum Corp., Senior Notes | 5.450% | 3/13/31 | 1,610,000 | 1,590,222 (b) | |
Solventum Corp., Senior Notes | 5.600% | 3/23/34 | 2,060,000 | 2,024,148 (b) | |
Solventum Corp., Senior Notes | 5.900% | 4/30/54 | 1,690,000 | 1,616,549 (b) | |
Total Health Care Equipment & Supplies | 10,360,378 | ||||
Health Care Providers & Services — 0.6% | |||||
Fresenius Medical Care U.S. Finance II Inc., Senior Notes | 4.750% | 10/15/24 | 5,070,000 | 5,042,119 (b) | |
HCA Inc., Senior Notes | 3.500% | 9/1/30 | 7,660,000 | 6,911,679 | |
HCA Inc., Senior Notes | 5.500% | 6/15/47 | 190,000 | 175,830 | |
HCA Inc., Senior Notes | 7.500% | 11/15/95 | 10,000 | 10,791 | |
LifePoint Health Inc., Senior Secured Notes | 9.875% | 8/15/30 | 580,000 | 619,251 (b) | |
LifePoint Health Inc., Senior Secured Notes | 11.000% | 10/15/30 | 840,000 | 926,535 (b) | |
Total Health Care Providers & Services | 13,686,205 | ||||
Pharmaceuticals — 3.7% | |||||
Bausch Health Americas Inc., Senior Notes | 9.250% | 4/1/26 | 540,000 | 489,815 (b) | |
Bausch Health Americas Inc., Senior Notes | 8.500% | 1/31/27 | 830,000 | 578,166 (b) | |
Bausch Health Cos. Inc., Senior Notes | 6.250% | 2/15/29 | 5,160,000 | 2,644,500 (b) | |
Bausch Health Cos. Inc., Senior Notes | 7.250% | 5/30/29 | 280,000 | 146,150 (b) | |
Bausch Health Cos. Inc., Senior Notes | 5.250% | 1/30/30 | 2,160,000 | 1,014,617 (b) | |
Bausch Health Cos. Inc., Senior Secured Notes | 5.500% | 11/1/25 | 350,000 | 326,359 (b) |
9
Security | Rate | Maturity Date | Face Amount† | Value | |
Pharmaceuticals — continued | |||||
Bristol-Myers Squibb Co., Senior Notes | 5.100% | 2/22/31 | 820,000 | $823,368 | |
Bristol-Myers Squibb Co., Senior Notes | 5.200% | 2/22/34 | 2,250,000 | 2,246,254 | |
Bristol-Myers Squibb Co., Senior Notes | 5.550% | 2/22/54 | 460,000 | 453,832 | |
Bristol-Myers Squibb Co., Senior Notes | 5.650% | 2/22/64 | 330,000 | 322,614 | |
Eli Lilly & Co., Senior Notes | 4.700% | 2/9/34 | 2,070,000 | 2,030,459 | |
Eli Lilly & Co., Senior Notes | 5.000% | 2/9/54 | 240,000 | 229,368 | |
Eli Lilly & Co., Senior Notes | 5.100% | 2/9/64 | 1,680,000 | 1,606,065 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 7.125% | 1/31/25 | 3,920,000 | 3,933,308 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150% | 10/1/26 | 35,960,000 | 33,777,494 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 4.750% | 5/9/27 | 30,410,000 | 29,342,849 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 5.125% | 5/9/29 | 4,690,000 | 4,515,619 | |
Total Pharmaceuticals | 84,480,837 | ||||
Total Health Care | 111,618,020 | ||||
Industrials — 3.0% | |||||
Aerospace & Defense — 0.6% | |||||
Boeing Co., Senior Notes | 5.705% | 5/1/40 | 1,000,000 | 922,489 | |
Lockheed Martin Corp., Senior Notes | 5.200% | 2/15/64 | 450,000 | 425,847 | |
RTX Corp., Senior Notes | 6.000% | 3/15/31 | 1,150,000 | 1,198,398 | |
RTX Corp., Senior Notes | 4.500% | 6/1/42 | 2,580,000 | 2,236,332 | |
RTX Corp., Senior Notes | 3.030% | 3/15/52 | 1,310,000 | 835,935 | |
TransDigm Inc., Senior Secured Notes | 6.375% | 3/1/29 | 1,550,000 | 1,559,754 (b) | |
TransDigm Inc., Senior Secured Notes | 7.125% | 12/1/31 | 3,990,000 | 4,116,192 (b) | |
TransDigm Inc., Senior Secured Notes | 6.625% | 3/1/32 | 1,700,000 | 1,719,226 (b) | |
Total Aerospace & Defense | 13,014,173 | ||||
Building Products — 0.1% | |||||
Builders FirstSource Inc., Senior Notes | 4.250% | 2/1/32 | 1,070,000 | 946,760 (b) | |
Commercial Services & Supplies — 0.2% | |||||
CoreCivic Inc., Senior Notes | 4.750% | 10/15/27 | 210,000 | 197,642 | |
GFL Environmental Inc., Senior Secured Notes | 6.750% | 1/15/31 | 3,030,000 | 3,094,945 (b) | |
Waste Connections Inc., Senior Notes | 5.000% | 3/1/34 | 1,230,000 | 1,202,850 | |
Total Commercial Services & Supplies | 4,495,437 | ||||
Industrial Conglomerates — 0.1% | |||||
Honeywell International Inc., Senior Notes | 5.000% | 3/1/35 | 2,030,000 | 2,013,342 |
10
Security | Rate | Maturity Date | Face Amount† | Value | |
Passenger Airlines — 1.2% | |||||
American Airlines Inc., Senior Secured Notes | 8.500% | 5/15/29 | 980,000 | $1,018,800 (b) | |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.500% | 10/20/25 | 2,965,500 | 2,930,143 (b) | |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750% | 10/20/28 | 5,390,000 | 5,251,459 (b) | |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500% | 6/20/27 | 4,602,000 | 4,614,844 (b) | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 4,907,999 | 3,586,711 (b) | |
United Airlines Inc., Senior Secured Notes | 4.375% | 4/15/26 | 4,390,000 | 4,245,865 (b) | |
United Airlines Inc., Senior Secured Notes | 4.625% | 4/15/29 | 6,756,000 | 6,297,437 (b) | |
Total Passenger Airlines | 27,945,259 | ||||
Trading Companies & Distributors — 0.8% | |||||
Air Lease Corp., Senior Notes | 5.300% | 2/1/28 | 1,000,000 | 998,322 | |
United Rentals North America Inc., Senior Notes | 4.875% | 1/15/28 | 13,060,000 | 12,669,216 | |
United Rentals North America Inc., Senior Notes | 5.250% | 1/15/30 | 100,000 | 96,991 | |
United Rentals North America Inc., Senior Notes | 3.875% | 2/15/31 | 1,620,000 | 1,446,759 | |
United Rentals North America Inc., Senior Notes | 3.750% | 1/15/32 | 4,220,000 | 3,675,543 | |
Total Trading Companies & Distributors | 18,886,831 | ||||
Total Industrials | 67,301,802 | ||||
Information Technology — 0.2% | |||||
Communications Equipment — 0.1% | |||||
CommScope Inc., Senior Secured Notes | 4.750% | 9/1/29 | 1,980,000 | 1,375,724 (b) | |
CommScope Technologies LLC, Senior Notes | 5.000% | 3/15/27 | 2,000,000 | 830,932 (b) | |
Total Communications Equipment | 2,206,656 | ||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||
Intel Corp., Senior Notes | 5.125% | 2/10/30 | 1,000,000 | 1,004,569 | |
Micron Technology Inc., Senior Notes | 5.875% | 2/9/33 | 600,000 | 613,231 | |
Total Semiconductors & Semiconductor Equipment | 1,617,800 | ||||
Software — 0.0%†† | |||||
Oracle Corp., Senior Notes | 3.600% | 4/1/50 | 2,220,000 | 1,555,169 | |
Total Information Technology | 5,379,625 |
11
Security | Rate | Maturity Date | Face Amount† | Value | |
Materials — 3.1% | |||||
Chemicals — 1.9% | |||||
OCP SA, Senior Notes | 4.500% | 10/22/25 | 1,180,000 | $1,158,595 (b) | |
OCP SA, Senior Notes | 3.750% | 6/23/31 | 4,000,000 | 3,456,494 (b) | |
OCP SA, Senior Notes | 6.750% | 5/2/34 | 15,590,000 | 16,017,556 (b) | |
OCP SA, Senior Notes | 5.125% | 6/23/51 | 4,630,000 | 3,490,418 (b) | |
OCP SA, Senior Notes | 7.500% | 5/2/54 | 2,200,000 | 2,246,909 (b) | |
Orbia Advance Corp. SAB de CV, Senior Notes | 1.875% | 5/11/26 | 10,430,000 | 9,731,764 (b) | |
Orbia Advance Corp. SAB de CV, Senior Notes | 2.875% | 5/11/31 | 9,900,000 | 8,196,898 (b) | |
Total Chemicals | 44,298,634 | ||||
Containers & Packaging — 0.0%†† | |||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Notes | 4.000% | 9/1/29 | 500,000 | 423,685 (b) | |
Metals & Mining — 0.7% | |||||
ArcelorMittal SA, Senior Notes | 7.000% | 10/15/39 | 2,000,000 | 2,150,736 | |
First Quantum Minerals Ltd., Secured Notes | 9.375% | 3/1/29 | 1,310,000 | 1,370,424 (b) | |
Freeport-McMoRan Inc., Senior Notes | 4.625% | 8/1/30 | 2,030,000 | 1,955,573 | |
Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 7,950,000 | 7,556,906 | |
Teck Resources Ltd., Senior Notes | 6.000% | 8/15/40 | 240,000 | 236,774 | |
Vale Canada Ltd., Senior Notes | 7.200% | 9/15/32 | 1,254,000 | 1,332,375 | |
Vale Overseas Ltd., Senior Notes | 6.875% | 11/21/36 | 1,368,000 | 1,468,910 | |
Total Metals & Mining | 16,071,698 | ||||
Paper & Forest Products — 0.5% | |||||
Suzano Austria GmbH, Senior Notes | 3.750% | 1/15/31 | 12,180,000 | 10,619,835 | |
Total Materials | 71,413,852 | ||||
Real Estate — 0.2% | |||||
Diversified REITs — 0.1% | |||||
VICI Properties LP/VICI Note Co. Inc., Senior Notes | 4.500% | 1/15/28 | 1,225,000 | 1,179,663 (b) | |
Hotel & Resort REITs — 0.1% | |||||
Service Properties Trust, Senior Notes | 8.375% | 6/15/29 | 2,670,000 | 2,626,909 | |
Total Real Estate | 3,806,572 | ||||
Total Corporate Bonds & Notes (Cost — $737,698,235) | 681,194,604 |
12
Security | Rate | Maturity Date | Face Amount† | Value | |
Sovereign Bonds — 19.4% | |||||
Angola — 0.2% | |||||
Angolan Government International Bond, Senior Notes | 9.125% | 11/26/49 | 4,770,000 | $3,923,593 (e) | |
Argentina — 0.4% | |||||
Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | 730,361 | 419,958 | |
Argentine Republic Government International Bond, Senior Notes, Step bond (0.750% to 7/9/27 then 1.750%) | 0.750% | 7/9/30 | 7,287,114 | 4,120,936 | |
Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%) | 6.375% | 9/1/37 | 8,673,109 | 3,599,340 (b) | |
Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%) | 6.375% | 9/1/37 | 1,747,426 | 725,182 (e) | |
Total Argentina | 8,865,416 | ||||
Bahamas — 0.0%†† | |||||
Bahamas Government International Bond, Senior Notes | 6.000% | 11/21/28 | 690,000 | 606,337 (e) | |
Brazil — 2.0% | |||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/27 | 130,000,000 BRL | 22,337,536 | |
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/33 | 143,857,000 BRL | 22,749,073 | |
Total Brazil | 45,086,609 | ||||
Colombia — 0.3% | |||||
Colombia Government International Bond, Senior Notes | 4.125% | 2/22/42 | 8,600,000 | 5,623,937 | |
Colombia Government International Bond, Senior Notes | 5.625% | 2/26/44 | 500,000 | 384,490 | |
Total Colombia | 6,008,427 | ||||
Egypt — 0.3% | |||||
Egypt Government International Bond, Senior Notes | 7.053% | 1/15/32 | 8,440,000 | 6,764,028 (e) | |
Ghana — 0.1% | |||||
Ghana Government International Bond, Senior Notes | 10.750% | 10/14/30 | 2,830,000 | 1,921,189 (e) | |
Ivory Coast — 0.1% | |||||
Ivory Coast Government International Bond, Senior Notes | 6.125% | 6/15/33 | 4,090,000 | 3,636,266 (e) |
13
Security | Rate | Maturity Date | Face Amount† | Value | |
Jamaica — 0.3% | |||||
Jamaica Government International Bond, Senior Notes | 9.625% | 11/3/30 | 991,000,000 JMD | $6,771,763 | |
Kenya — 0.6% | |||||
Republic of Kenya Government International Bond, Senior Notes | 7.250% | 2/28/28 | 910,000 | 828,696 (b) | |
Republic of Kenya Government International Bond, Senior Notes | 9.750% | 2/16/31 | 3,860,000 | 3,707,819 (b) | |
Republic of Kenya Government International Bond, Senior Notes | 6.300% | 1/23/34 | 11,470,000 | 8,601,910 (b) | |
Total Kenya | 13,138,425 | ||||
Mexico — 12.9% | |||||
Mexican Bonos, Bonds | 8.000% | 11/7/47 | 3,200,030,000 MXN | 142,950,998 | |
Mexican Bonos, Senior Notes | 7.750% | 11/23/34 | 1,718,650,000 MXN | 80,912,295 | |
Mexican Bonos, Senior Notes | 7.750% | 11/13/42 | 1,579,171,500 MXN | 69,603,527 | |
Total Mexico | 293,466,820 | ||||
Nigeria — 0.2% | |||||
Nigeria Government International Bond, Senior Notes | 7.143% | 2/23/30 | 4,970,000 | 4,326,447 (b) | |
Paraguay — 0.1% | |||||
Paraguay Government International Bond, Senior Notes | 3.849% | 6/28/33 | 3,470,000 | 3,024,672 (b) | |
Sri Lanka — 0.1% | |||||
Sri Lanka Government International Bond, Senior Notes | 7.550% | 3/28/30 | 4,030,000 | 2,340,528 *(e)(f) | |
Supranational — 1.7% | |||||
Inter-American Development Bank, Senior Notes | 7.350% | 10/6/30 | 3,106,000,000 INR | 37,700,350 | |
Ukraine — 0.1% | |||||
Ukraine Government International Bond, Senior Notes | 7.253% | 3/15/35 | 7,490,000 | 2,174,647 *(e)(f) | |
Total Sovereign Bonds (Cost — $484,466,259) | 439,755,517 | ||||
Collateralized Mortgage Obligations(g) — 17.3% | |||||
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%) | 5.820% | 6/25/47 | 2,631,032 | 2,137,424 (d) | |
AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%) | 6.318% | 10/15/38 | 8,235,000 | 7,745,061 (b)(d) | |
Banc of America Funding Corp., 2015-R3 1A2 | 7.489% | 3/27/36 | 25,723,442 | 20,102,705 (b)(d) | |
Banc of America Funding Trust, 2014-R2 2A2 (1 mo. Term SOFR + 0.324%) | 5.668% | 5/26/37 | 7,788,213 | 6,729,551 (b)(d) |
14
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
Banc of America Funding Trust, 2015-R2 9A2 | 4.929% | 3/27/36 | 10,664,411 | $8,619,525 (b)(d) | |
Barclays Commercial Mortgage Trust, 2019-C5 A4 | 3.063% | 11/15/52 | 25,110,000 | 22,583,178 | |
BCAP LLC Trust, 2013-RR3 4A2 (1 mo. Term SOFR + 0.274%) | 3.891% | 11/26/36 | 1,693,511 | 1,664,345 (b)(d) | |
BCAP LLC Trust, 2014-RR5 1A2 (1 mo. Term SOFR + 0.339%) | 5.009% | 1/26/36 | 17,869,639 | 16,441,399 (b)(d) | |
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%) | 8.275% | 4/15/34 | 3,210,000 | 3,125,225 (b)(d) | |
BX Commercial Mortgage Trust, 2020- VIVA E | 3.667% | 3/11/44 | 6,847,863 | 5,608,859 (b)(d) | |
BX Commercial Mortgage Trust, 2021- 21M A (1 mo. Term SOFR + 0.844%) | 6.173% | 10/15/36 | 8,578,164 | 8,464,264 (b)(d) | |
BX Commercial Mortgage Trust, 2021- ACNT A (1 mo. Term SOFR + 0.964%) | 6.293% | 11/15/38 | 7,337,933 | 7,256,760 (b)(d) | |
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%) | 9.333% | 10/15/38 | 7,039,082 | 6,885,193 (b)(d) | |
BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) | 6.079% | 10/15/26 | 22,979,828 | 22,694,795 (b)(d) | |
Citigroup Commercial Mortgage Trust, 2019-C7 A4 | 3.102% | 12/15/72 | 15,000,000 | 13,464,303 | |
Commercial Mortgage Trust, 2014-CR20 B | 4.239% | 11/10/47 | 720,000 | 703,675 (d) | |
CSMC Trust, 2014-USA E | 4.373% | 9/15/37 | 530,000 | 308,632 (b) | |
CSMC Trust, 2017-CHOP G (PRIME + 2.294%) | 10.794% | 7/15/32 | 7,606,000 | 7,033,487 (b)(d) | |
Deutsche Mortgage Securities Inc., 2006- PR1 5AS2, IO | 3.074% | 4/15/36 | 2,037,736 | 290,934 (b)(d) | |
ELP Commercial Mortgage Trust, 2021- ELP D (1 mo. Term SOFR + 1.634%) | 6.963% | 11/15/38 | 15,881,514 | 15,649,011 (b)(d) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 B1 (30 Day Average SOFR + 3.500%) | 8.835% | 10/25/33 | 3,980,000 | 4,486,199 (b)(d) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) | 8.385% | 1/25/34 | 11,170,000 | 11,951,473 (b)(d) |
15
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | 17.200% | 5/25/43 | 16,949,693 | $20,665,913 (b)(d) | |
Federal National Mortgage Association (FNMA) — CAS, 2019-R03 1B1 (30 Day Average SOFR + 4.214%) | 9.550% | 9/25/31 | 9,742,622 | 10,407,737 (b)(d) | |
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%) | 8.435% | 10/25/41 | 8,870,000 | 9,141,176 (b)(d) | |
Federal National Mortgage Association (FNMA) — CAS, 2022-R01 1B1 (30 Day Average SOFR + 3.150%) | 8.485% | 12/25/41 | 2,700,000 | 2,796,419 (b)(d) | |
Government National Mortgage Association (GNMA), 2014-157 IO, IO | 0.188% | 5/16/55 | 2,141,809 | 13,471 (d) | |
GS Mortgage Securities Corp., 2014-2R 3B (1 mo. USD LIBOR + 0.610%) | 6.061% | 11/26/37 | 12,838,021 | 11,559,730 (b) | |
GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. Term SOFR + 4.747%) | 10.076% | 11/15/32 | 10,000,000 | 9,861,680 (b)(d) | |
Hilton USA Trust, 2016-HHV D | 4.333% | 11/5/38 | 2,800,000 | 2,647,407 (b)(d) | |
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. Term SOFR + 0.654%) | 6.000% | 11/25/36 | 17,182,337 | 14,038,059 (d) | |
JPMBB Commercial Mortgage Securities Trust, 2014-C25 C | 4.579% | 11/15/47 | 3,940,000 | 3,189,786 (d) | |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX | 4.844% | 1/16/37 | 19,395,000 | 5,193,622 (b)(d) | |
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. Term SOFR + 3.504%) | 9.083% | 6/15/38 | 7,960,000 | 4,695,435 (b)(d) | |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFX | 4.625% | 1/16/37 | 39,120,000 | 12,717,912 (b) | |
KIND Trust, 2021-KIND D (1 mo. Term SOFR + 2.414%) | 7.744% | 8/15/38 | 18,646,870 | 18,021,383 (b)(d) | |
KIND Trust, 2021-KIND XCP, IO | 0.000% | 8/15/38 | 78,050,000 | 82 (b)(d) | |
MIC Trust, 2023-MIC A | 8.732% | 12/5/38 | 4,740,000 | 5,100,589 (b)(d) | |
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34 B | 4.111% | 11/15/52 | 6,250,000 | 5,530,000 (d) | |
MRCD Mortgage Trust, 2019-PARK A | 2.718% | 12/15/36 | 7,980,000 | 6,957,323 (b) | |
NYO Commercial Mortgage Trust, 2021- 1290 C (1 mo. Term SOFR + 2.109%) | 7.438% | 11/15/38 | 9,150,000 | 8,593,060 (b)(d) |
16
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR + 3.864%) | 9.210% | 5/30/25 | 9,168,901 | $9,180,562 (b)(d) | |
PMT Credit Risk Transfer Trust, 2019-3R A (30 Day Average SOFR + 3.814%) | 9.149% | 11/27/31 | 2,962,276 | 2,964,251 (b)(d) | |
Prime Mortgage Trust, 2006-DR1 2A1 | 5.500% | 5/25/35 | 678,048 | 613,794 (b) | |
RBSSP Resecuritization Trust, 2013-4 1A2 (1 mo. Term SOFR + 1.614%) | 6.937% | 12/26/37 | 15,213,111 | 11,874,259 (b)(d) | |
Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. Term SOFR + 0.664%, 6.000% floor) | 6.000% | 5/25/37 | 4,058,601 | 2,937,488 (d) | |
SFO Commercial Mortgage Trust, 2021- 555 D (1 mo. Term SOFR + 2.514%) | 7.843% | 5/15/38 | 7,960,000 | 7,304,341 (b)(d) | |
Soho Trust, 2021-SOHO C | 2.786% | 8/10/38 | 15,108,500 | 9,413,830 (b)(d) | |
TBW Mortgage-Backed Pass-Through Certificates, 2006-3 4A3, IO (-1.000 x 1 mo. Term SOFR + 6.986%) | 1.640% | 7/25/36 | 18,871,894 | 820,607 (d) | |
WFRBS Commercial Mortgage Trust, 2014-C24 C | 4.290% | 11/15/47 | 1,630,000 | 1,491,956 (d) | |
WFRBS Commercial Mortgage Trust, 2014-C24 AS | 3.931% | 11/15/47 | 1,270,000 | 1,243,533 | |
Total Collateralized Mortgage Obligations (Cost — $454,208,202) | 392,921,403 | ||||
Senior Loans — 8.4% | |||||
Communication Services — 0.9% | |||||
Entertainment — 0.3% | |||||
UFC Holdings LLC, Term Loan B3 (3 mo. Term SOFR + 3.012%) | 8.336% | 4/29/26 | 7,121,120 | 7,145,403 (d)(h)(i) | |
Media — 0.6% | |||||
Nexstar Media Inc., Term Loan B4 (1 mo. Term SOFR + 2.614%) | 7.958% | 9/18/26 | 4,679,655 | 4,696,338 (d)(h)(i)(j) | |
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. Term SOFR + 2.614%) | 7.943% | 1/31/28 | 7,846,685 | 7,517,203 (d)(h)(i) | |
Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. Term SOFR + 3.364%) | 8.693% | 1/31/29 | 1,910,000 | 1,829,484 (d)(h)(i) | |
Total Media | 14,043,025 | ||||
Total Communication Services | 21,188,428 | ||||
Consumer Discretionary — 1.3% | |||||
Automobile Components — 0.1% | |||||
Clarios Global LP, 2024 Refinancing Term Loan Facility (1 mo. Term SOFR + 3.000%) | 8.344% | 5/6/30 | 2,812,950 | 2,823,063 (d)(h)(i) |
17
Security | Rate | Maturity Date | Face Amount† | Value | |
Hotels, Restaurants & Leisure — 0.9% | |||||
Alterra Mountain Co., Term Loan B4 (1 mo. Term SOFR + 3.250%) | 8.594% | 8/17/28 | 4,571,848 | $4,592,810 (d)(h)(i) | |
Caesars Entertainment Inc., Term Loan B (3 mo. Term SOFR + 2.750%) | 8.097% | 2/6/30 | 729,575 | 730,998 (d)(h)(i) | |
Entain Holdings Gibraltar Ltd., USD Term Loan Facility B (3 mo. Term SOFR + 2.600%) | 7.864% | 3/29/27 | 1,297,177 | 1,300,770 (d)(h)(i) | |
PCI Gaming Authority, Term Loan Facility B (1 mo. Term SOFR + 2.614%) | 7.958% | 5/29/26 | 4,707,822 | 4,705,468 (d)(h)(i) | |
Scientific Games International Inc., Term Loan B1 (1 mo. Term SOFR + 2.750%) | 8.080% | 4/14/29 | 8,796,673 | 8,811,627 (d)(h)(i) | |
Total Hotels, Restaurants & Leisure | 20,141,673 | ||||
Specialty Retail — 0.3% | |||||
Harbor Freight Tools USA Inc., Initial Term Loan | — | 6/11/31 | 7,510,000 | 7,497,646 (j) | |
Total Consumer Discretionary | 30,462,382 | ||||
Consumer Staples — 0.2% | |||||
Beverages — 0.2% | |||||
Triton Water Holdings Inc., First Lien Initial Term Loan (3 mo. Term SOFR + 3.512%) | 8.846% | 3/31/28 | 4,036,735 | 4,042,790 (d)(h)(i) | |
Financials — 1.8% | |||||
Capital Markets — 0.4% | |||||
First Eagle Holdings Inc., Term Loan B2 (3 mo. Term SOFR + 3.000%) | 8.330- 8.334% | 3/5/29 | 2,093,672 | 2,087,130 (d)(h)(i) | |
Focus Financial Partners LLC, Term Loan B7 (1 mo. Term SOFR + 2.750%) | 8.094% | 6/30/28 | 7,546,092 | 7,547,186 (d)(h)(i) | |
Total Capital Markets | 9,634,316 | ||||
Financial Services — 0.9% | |||||
Citadel Securities LP, 2024 Term Loan B (1 mo. Term SOFR + 2.250%) | 7.594% | 7/29/30 | 8,039,561 | 8,071,720 (d)(h)(i) | |
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (3 mo. Term SOFR + 3.750%) | 9.085% | 4/9/27 | 6,130,848 | 6,135,385 (d)(h)(i) | |
Setanta Aircraft Leasing DAC, Term Loan B (3 mo. Term SOFR + 1.750%) | 7.085% | 11/6/28 | 2,500,000 | 2,516,925 (d)(h)(i) | |
Trans Union LLC, 2024 Refinancing Term Loan B8 (1 mo. Term SOFR + 1.750%) | 7.094% | 6/5/31 | 2,947,262 | 2,945,788 (d)(h)(i) | |
Total Financial Services | 19,669,818 |
18
Security | Rate | Maturity Date | Face Amount† | Value | |
Insurance — 0.5% | |||||
AmWINS Group Inc., Term Loan (1 mo. Term SOFR + 2.364%) | 7.708% | 2/19/28 | 1,102,573 | $1,103,003 (d)(h)(i) | |
Asurion LLC, New Term Loan B8 (1 mo. Term SOFR + 3.364%) | 8.708% | 12/23/26 | 5,916,250 | 5,875,161 (d)(h)(i) | |
Asurion LLC, New Term Loan B9 (1 mo. Term SOFR + 3.364%) | 8.708% | 7/31/27 | 2,998,118 | 2,951,752 (d)(h)(i) | |
Asurion LLC, New Term Loan B11 (1 mo. Term SOFR + 4.350%) | 9.694% | 8/21/28 | 619,221 | 615,419 (d)(h)(i) | |
Total Insurance | 10,545,335 | ||||
Total Financials | 39,849,469 | ||||
Health Care — 1.9% | |||||
Health Care Providers & Services — 1.0% | |||||
Grifols Worldwide Operations USA Inc., Dollar Term Loan B (1 mo. Term SOFR + 2.100%) | 7.444% | 11/15/27 | 4,192,195 | 4,129,312 (d)(h)(i) | |
Phoenix Guarantor Inc., Term Loan B4 (1 mo. Term SOFR + 3.250%) | 8.594% | 2/21/31 | 10,593,460 | 10,578,947 (d)(h)(i) | |
Sotera Health Holdings LLC, 2024 Refinancing Term Loan (1 mo. Term SOFR + 3.250%) | 8.594% | 5/30/31 | 7,590,000 | 7,586,850 (d)(h)(i) | |
Total Health Care Providers & Services | 22,295,109 | ||||
Health Care Technology — 0.4% | |||||
AthenaHealth Group Inc., Initial Term Loan (1 mo. Term SOFR + 3.250%) | 8.594% | 2/15/29 | 9,483,613 | 9,464,361 (d)(h)(i) | |
Pharmaceuticals — 0.5% | |||||
Gainwell Acquisition Corp., Term Loan B (3 mo. Term SOFR + 4.100%) | 9.435% | 10/1/27 | 6,824,373 | 6,625,306 (d)(h)(i) | |
Jazz Financing Lux Sarl, Dollar Term Loan Facility B1 (1 mo. Term SOFR + 3.114%) | 8.458% | 5/5/28 | 4,229,904 | 4,237,835 (d)(h)(i) | |
Total Pharmaceuticals | 10,863,141 | ||||
Total Health Care | 42,622,611 | ||||
Industrials — 1.3% | |||||
Building Products — 0.2% | |||||
Quikrete Holdings Inc., 2029 Term Loan B (1 mo. Term SOFR + 2.250%) | 7.594% | 3/19/29 | 4,053,311 | 4,060,668 (d)(h)(i) | |
Commercial Services & Supplies — 1.0% | |||||
Ali Group North America Corp., Initial Term Loan B (1 mo. Term SOFR + 2.114%) | 7.458% | 7/30/29 | 2,925,598 | 2,940,489 (d)(h)(i) | |
Allied Universal Holdco LLC, USD Term Loan (1 mo. Term SOFR + 3.850%) | 9.194% | 5/12/28 | 9,600,992 | 9,574,926 (d)(h)(i) |
19
Security | Rate | Maturity Date | Face Amount† | Value | |
Commercial Services & Supplies — continued | |||||
APi Group DE Inc., 2021 Repricing Term Loan B (1 mo. Term SOFR + 2.000%) | 7.344% | 1/3/29 | 2,570,608 | $2,572,446 (d)(h)(i) | |
Garda World Security Corp., Fourth Additional Term Loan (3 mo. Term SOFR + 4.250%) | 9.594% | 2/1/29 | 2,956,843 | 2,979,020 (d)(h)(i) | |
GFL Environmental Inc., 2023 Term Loan (3 mo. Term SOFR + 2.500%) | 7.826% | 5/31/27 | 3,285,787 | 3,296,317 (d)(h)(i) | |
Total Commercial Services & Supplies | 21,363,198 | ||||
Construction & Engineering — 0.1% | |||||
Brown Group Holding LLC, Initial Term Loan (1 mo. Term SOFR + 2.850%) | 8.194% | 6/7/28 | 2,981,950 | 2,984,007 (d)(h)(i) | |
Passenger Airlines — 0.0%†† | |||||
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) | 9.075% | 10/20/27 | 819,916 | 840,738 (d)(h)(i) | |
Total Industrials | 29,248,611 | ||||
Information Technology — 0.9% | |||||
Electronic Equipment, Instruments & Components — 0.2% | |||||
Coherent Corp., Term Loan B1 (1 mo. Term SOFR + 2.500%) | 7.844% | 7/2/29 | 6,104,749 | 6,116,959 (d)(h)(i) | |
Software — 0.7% | |||||
Avolon TLB Borrower 1 US LLC, Term Loan B6 (1 mo. Term SOFR + 2.000%) | 7.339% | 6/22/28 | 2,377,734 | 2,383,679 (d)(h)(i) | |
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%) | 9.344% | 10/16/26 | 9,519,207 | 9,299,075 (d)(h)(i) | |
Peraton Corp., First Lien Term Loan B (1 mo. Term SOFR + 3.850%) | 9.194% | 2/1/28 | 3,730,508 | 3,735,450 (d)(h)(i) | |
Total Software | 15,418,204 | ||||
Total Information Technology | 21,535,163 | ||||
Materials — 0.1% | |||||
Paper & Forest Products — 0.1% | |||||
Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. Term SOFR + 1.850%) | 7.194% | 9/7/27 | 2,112,592 | 2,116,553 (d)(h)(i) | |
Total Senior Loans (Cost — $190,598,354) | 191,066,007 | ||||
U.S. Government & Agency Obligations — 7.3% | |||||
U.S. Government Obligations — 7.3% | |||||
U.S. Treasury Bonds | 4.375% | 8/15/43 | 36,610,000 | 35,348,671 (k) | |
U.S. Treasury Bonds | 4.750% | 11/15/43 | 37,820,000 | 38,334,116 (k) | |
U.S. Treasury Bonds | 4.500% | 2/15/44 | 4,360,000 | 4,278,250 | |
U.S. Treasury Bonds | 3.625% | 5/15/53 | 2,500,000 | 2,127,832 |
20
Security | Rate | Maturity Date | Face Amount† | Value | |
U.S. Government Obligations — continued | |||||
U.S. Treasury Bonds | 4.125% | 8/15/53 | 6,003,000 | $5,591,466 | |
U.S. Treasury Bonds | 4.250% | 2/15/54 | 21,710,000 | 20,677,079 (l) | |
U.S. Treasury Notes | 4.625% | 4/30/29 | 210,000 | 212,445 | |
U.S. Treasury Notes | 4.500% | 5/31/29 | 290,000 | 292,016 | |
U.S. Treasury Notes | 4.250% | 2/28/31 | 58,830,000 | 58,491,038 (m) | |
Total U.S. Government & Agency Obligations (Cost — $165,922,893) | 165,352,913 | ||||
Asset-Backed Securities — 2.8% | |||||
Accredited Mortgage Loan Trust, 2006-2 M1 (1 mo. Term SOFR + 0.384%) | 5.730% | 9/25/36 | 16,246,000 | 15,218,778 (d) | |
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. Term SOFR + 0.714%) | 6.060% | 7/25/36 | 24,851,044 | 21,841,692 (b)(d) | |
CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. Term SOFR + 1.614%) | 6.960% | 10/25/37 | 7,412,484 | 7,421,577 (b)(d) | |
Fremont Home Loan Trust, 2006-B 1A (1 mo. Term SOFR + 0.414%) | 5.760% | 8/25/36 | 14,364,030 | 5,598,229 (d) | |
GSAMP Trust, 2005-SEA1 M2 (1 mo. Term SOFR + 1.464%) | 6.810% | 1/25/35 | 1,810,757 | 1,884,962 (b)(d) | |
Home Equity Asset Trust, 2005-6 M5 (1 mo. Term SOFR + 1.059%) | 6.405% | 12/25/35 | 2,980,000 | 2,781,881 (d) | |
KREF Ltd., 2021-FL2 D (1 mo. Term SOFR + 2.314%) | 7.643% | 2/15/39 | 3,130,000 | 2,784,140 (b)(d) | |
Morgan Stanley ABS Capital Inc. Trust, 2004-HE7 M1 (1 mo. Term SOFR + 1.014%) | 6.360% | 8/25/34 | 5,059,864 | 5,012,395 (d) | |
Total Asset-Backed Securities (Cost — $69,449,968) | 62,543,654 | ||||
U.S. Treasury Inflation Protected Securities — 1.0% | |||||
U.S. Treasury Bonds, Inflation Indexed | 1.500% | 2/15/53 | 1,286,880 | 1,082,283 | |
U.S. Treasury Notes, Inflation Indexed | 1.125% | 1/15/33 | 23,757,408 | 21,990,878 | |
Total U.S. Treasury Inflation Protected Securities (Cost — $24,720,491) | 23,073,161 | ||||
Non-U.S. Treasury Inflation Protected Securities — 0.3% | |||||
Uruguay — 0.3% | |||||
Uruguay Government International Bond, Senior Notes | 3.875% | 7/2/40 | 221,688,107 UYU | 5,980,189 | |
Uruguay Government International Bond, Senior Notes | 3.400% | 5/16/45 | 17,692,297 UYU | 450,605 | |
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $6,156,669) | 6,430,794 |
21
Security | Expiration Date | Contracts | Notional Amount† | Value | |
Purchased Options — 0.3% | |||||
Exchange-Traded Purchased Options — 0.1% | |||||
3-Month SOFR Futures, Put @ $95.500 (Cost — $1,005,372) | 12/13/24 | 1,070 | 2,675,000 | $1,190,375 | |
Counterparty | |||||
OTC Purchased Options — 0.2% | |||||
Interest rate swaption, Put @ 425.000 bps , 425.000 bps payments made by the Fund annually, payments received by the Fund on Daily SOFR Compound annually, maturing on 12/3/44 | JPMorgan Chase & Co. | 11/29/24 | 59,130,000 | 59,130,000 | 858,955 |
U.S. Dollar/Mexican Peso, Call @ 17.226MXN | Goldman Sachs Group Inc. | 7/9/24 | 57,350,000 | 57,350,000 | 3,551,378 |
Total OTC Purchased Options (Cost — $1,776,720) | 4,410,333 | ||||
Total Purchased Options (Cost — $2,782,092) | 5,600,708 | ||||
Total Investments before Short-Term Investments (Cost — $3,136,924,039) | 2,959,121,407 | ||||
Rate | Maturity Date | Face Amount† | |||
Short-Term Investments — 3.1% | |||||
U.S. Treasury Bills — 1.6% | |||||
U.S. Treasury Bills | 5.410% | 9/12/24 | 19,240,000 | 19,036,135 (n) | |
U.S. Treasury Bills | 5.399% | 10/29/24 | 16,860,000 | 16,569,429 (n)(o) | |
Total U.S. Treasury Bills (Cost — $35,604,884) | 35,605,564 | ||||
Shares | |||||
Overnight Deposits — 1.5% | |||||
BNY Mellon Cash Reserve Fund (Cost — $35,336,909) | 2.200% | 35,336,909 | 35,336,909 (p) | ||
Total Short-Term Investments (Cost — $70,941,793) | 70,942,473 | ||||
Total Investments — 133.7% (Cost — $3,207,865,832) | 3,030,063,880 | ||||
Liabilities in Excess of Other Assets — (33.7)% | (763,879,978 ) | ||||
Total Net Assets — 100.0% | $2,266,183,902 |
22
† | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | This security is traded on a to-be-announced (“TBA”) basis. At June 30, 2024, the Fund held TBA securities with a total cost of $778,663,670. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(c) | Security has no maturity date. The date shown represents the next call date. |
(d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(f) | The coupon payment on this security is currently in default as of June 30, 2024. |
(g) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(h) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(i) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(j) | All or a portion of this loan has not settled as of June 30, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
(k) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
(l) | All or a portion of this security is held at the broker as collateral for OTC derivatives. |
(m) | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options. |
(n) | Rate shown represents yield-to-maturity. |
(o) | Securities traded on a when-issued or delayed delivery basis. |
(p) | Rate shown is one-day yield as of the end of the reporting period. |
23
Abbreviation(s) used in this schedule: | ||
bps | — | basis point spread (100 basis points = 1.00%) |
BRL | — | Brazilian Real |
CAS | — | Connecticut Avenue Securities |
ICE | — | Intercontinental Exchange |
INR | — | Indian Rupee |
IO | — | Interest Only |
JMD | — | Jamaican Dollar |
JSC | — | Joint Stock Company |
LIBOR | — | London Interbank Offered Rate |
MXN | — | Mexican Peso |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
USD | — | United States Dollar |
UYU | — | Uruguayan Peso |
Exchange-Traded Written Options | ||||||
Security | Expiration Date | Strike Price | Contracts | Notional Amount | Value | |
3-Month SOFR Futures, Call | 12/13/24 | $97.125 | 2,149 | $5,372,500 | $(94,019 ) | |
3-Month SOFR Futures, Put | 12/13/24 | 95.000 | 1,070 | 2,675,000 | (287,562 ) | |
Total Exchange-Traded Written Options (Premiums received — $1,606,203) | (381,581 ) |
OTC Written Options | ||||||
Counterparty | ||||||
Interest rate swaption, Put, payments made by the Fund on Daily SOFR Compound annually, 445.000bps payments received by the Fund annually, maturing on 12/3/29 | JPMorgan Chase & Co. | 11/29/24 | 445.000 bps | 181,930,000 | 181,930,000 | (759,296 ) |
U.S. Dollar/Australian Dollar, Put | Goldman Sachs Group Inc. | 7/9/24 | $0.679 | 57,350,000 | 57,350,000 | (48,947 ) |
U.S. Dollar/Mexican Peso, Call | Citibank N.A. | 7/9/24 | 17.359 MXN | 22,965,000 | 22,965,000 | (1,257,681 ) |
Total OTC Written Options (Premiums received — $2,178,339) | (2,065,924 ) | |||||
Total Written Options (Premiums received — $3,784,542) | $(2,447,505 ) |
24
Abbreviation(s) used in this schedule: | ||
bps | — | basis point spread (100 basis points = 1.00%) |
MXN | — | Mexican Peso |
SOFR | — | Secured Overnight Financing Rate |
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | |
Contracts to Buy: | |||||
3-Month SOFR | 1,754 | 3/25 | $419,201,857 | $417,210,825 | $(1,991,032 ) |
3-Month SOFR | 415 | 6/25 | 99,261,622 | 99,013,813 | (247,809 ) |
3-Month SOFR | 6,378 | 3/26 | 1,531,474,141 | 1,531,198,350 | (275,791 ) |
Australian Dollar | 221 | 9/24 | 14,853,078 | 14,769,430 | (83,648 ) |
U.S. Treasury 5-Year Notes | 2,298 | 9/24 | 244,526,842 | 244,916,543 | 389,701 |
U.S. Treasury Long- Term Bonds | 3,187 | 9/24 | 372,946,391 | 377,061,938 | 4,115,547 |
U.S. Treasury Ultra Long-Term Bonds | 1,566 | 9/24 | 194,452,268 | 196,288,312 | 1,836,044 |
United Kingdom Long Gilt Bonds | 1,069 | 9/24 | 130,891,001 | 131,848,575 | 957,574 |
4,700,586 | |||||
Contracts to Sell: | |||||
Japanese 10-Year Bonds | 138 | 9/24 | 122,856,670 | 122,535,148 | 321,522 |
U.S. Treasury 2-Year Notes | 3,355 | 9/24 | 684,472,989 | 685,153,907 | (680,918 ) |
U.S. Treasury 10-Year Notes | 10,401 | 9/24 | 1,132,589,067 | 1,143,947,536 | (11,358,469 ) |
U.S. Treasury Ultra 10-Year Notes | 1,628 | 9/24 | 183,522,743 | 184,828,875 | (1,306,132 ) |
(13,023,997 ) | |||||
Net unrealized depreciation on open futures contracts | $(8,323,411 ) |
Abbreviation(s) used in this table: | ||
SOFR | — | Secured Overnight Financing Rate |
25
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
BRL | 15,700,000 | USD | 2,915,457 | Citibank N.A. | 7/2/24 | $(108,097 ) |
BRL | 16,030,000 | USD | 2,981,545 | Citibank N.A. | 7/2/24 | (115,177 ) |
BRL | 16,800,000 | USD | 3,022,181 | Citibank N.A. | 7/2/24 | (18,127 ) |
BRL | 31,340,000 | USD | 5,832,262 | Citibank N.A. | 7/2/24 | (228,271 ) |
BRL | 44,570,000 | USD | 8,398,608 | Citibank N.A. | 7/2/24 | (428,924 ) |
USD | 2,824,300 | BRL | 15,700,000 | Citibank N.A. | 7/2/24 | 16,940 |
USD | 2,883,664 | BRL | 16,030,000 | Citibank N.A. | 7/2/24 | 17,296 |
USD | 3,276,610 | BRL | 16,800,000 | Citibank N.A. | 7/2/24 | 272,556 |
USD | 5,637,806 | BRL | 31,340,000 | Citibank N.A. | 7/2/24 | 33,815 |
USD | 8,017,773 | BRL | 44,570,000 | Citibank N.A. | 7/2/24 | 48,090 |
BRL | 50,327,050 | USD | 9,053,419 | Goldman Sachs Group Inc. | 7/2/24 | (54,301 ) |
BRL | 59,320,000 | USD | 11,333,155 | Goldman Sachs Group Inc. | 7/2/24 | (725,984 ) |
BRL | 147,427,595 | USD | 26,521,001 | Goldman Sachs Group Inc. | 7/2/24 | (159,070 ) |
USD | 9,343,529 | BRL | 50,327,050 | Goldman Sachs Group Inc. | 7/2/24 | 344,411 |
USD | 10,671,176 | BRL | 59,320,000 | Goldman Sachs Group Inc. | 7/2/24 | 64,005 |
USD | 27,013,760 | BRL | 147,427,595 | Goldman Sachs Group Inc. | 7/2/24 | 651,829 |
BRL | 47,594,645 | USD | 9,046,348 | Morgan Stanley & Co. Inc. | 7/2/24 | (535,819 ) |
USD | 8,561,882 | BRL | 47,594,645 | Morgan Stanley & Co. Inc. | 7/2/24 | 51,353 |
USD | 9,370,000 | MXN | 162,650,082 | Citibank N.A. | 7/11/24 | 497,322 |
INR | 157,540,000 | USD | 1,884,004 | Citibank N.A. | 7/18/24 | 4,084 |
INR | 522,260,000 | USD | 6,246,259 | Citibank N.A. | 7/18/24 | 12,931 |
CHF | 7,950,000 | USD | 8,721,370 | Bank of America N.A. | 7/19/24 | 150,169 |
EUR | 7,620,000 | USD | 8,118,607 | Bank of America N.A. | 7/19/24 | 50,305 |
EUR | 8,040,000 | USD | 8,614,868 | Bank of America N.A. | 7/19/24 | 4,299 |
EUR | 8,650,000 | USD | 9,243,205 | Bank of America N.A. | 7/19/24 | 29,903 |
EUR | 8,710,000 | USD | 9,288,936 | Bank of America N.A. | 7/19/24 | 48,494 |
EUR | 11,670,000 | USD | 12,459,662 | Bank of America N.A. | 7/19/24 | 50,994 |
MXN | 122,250,000 | USD | 7,003,666 | Bank of America N.A. | 7/19/24 | (343,447 ) |
MXN | 332,270,000 | USD | 18,521,516 | Bank of America N.A. | 7/19/24 | (419,340 ) |
USD | 7,436,226 | CHF | 6,670,000 | Bank of America N.A. | 7/19/24 | (6,939 ) |
USD | 7,950,000 | CHF | 7,245,352 | Bank of America N.A. | 7/19/24 | (135,210 ) |
USD | 7,950,000 | CHF | 7,237,879 | Bank of America N.A. | 7/19/24 | (126,871 ) |
USD | 4,571,695 | EUR | 4,250,000 | Bank of America N.A. | 7/19/24 | 15,544 |
USD | 4,572,027 | EUR | 4,250,000 | Bank of America N.A. | 7/19/24 | 15,875 |
USD | 4,578,219 | EUR | 4,250,000 | Bank of America N.A. | 7/19/24 | 22,067 |
USD | 9,147,437 | EUR | 8,510,000 | Bank of America N.A. | 7/19/24 | 24,414 |
USD | 9,161,228 | EUR | 8,510,000 | Bank of America N.A. | 7/19/24 | 38,204 |
USD | 11,016,603 | EUR | 10,180,000 | Bank of America N.A. | 7/19/24 | 103,279 |
26
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 81,188,590 | EUR | 75,976,027 | Bank of America N.A. | 7/19/24 | $(260,421 ) |
CAD | 4,550,000 | USD | 3,308,862 | BNP Paribas SA | 7/19/24 | 18,690 |
CAD | 23,240,000 | USD | 16,899,299 | BNP Paribas SA | 7/19/24 | 96,814 |
JPY | 1,206,374,576 | USD | 7,842,850 | BNP Paribas SA | 7/19/24 | (320,066 ) |
JPY | 17,627,667,755 | USD | 117,908,072 | BNP Paribas SA | 7/19/24 | (7,984,394 ) |
NOK | 98,220,000 | USD | 8,954,173 | BNP Paribas SA | 7/19/24 | 250,205 |
NOK | 381,290,549 | USD | 34,965,422 | BNP Paribas SA | 7/19/24 | 766,022 |
USD | 4,665,492 | CAD | 6,360,000 | BNP Paribas SA | 7/19/24 | 14,232 |
USD | 22,055,564 | CAD | 30,050,000 | BNP Paribas SA | 7/19/24 | 79,093 |
USD | 8,584,119 | CHF | 7,750,000 | BNP Paribas SA | 7/19/24 | (64,237 ) |
USD | 8,596,623 | CHF | 7,760,000 | BNP Paribas SA | 7/19/24 | (62,892 ) |
USD | 8,980,540 | CHF | 8,040,000 | BNP Paribas SA | 7/19/24 | 8,568 |
USD | 1,271,713 | NOK | 13,530,000 | BNP Paribas SA | 7/19/24 | 3,791 |
USD | 2,184,856 | NOK | 23,320,000 | BNP Paribas SA | 7/19/24 | (504 ) |
USD | 2,663,149 | NOK | 28,760,000 | BNP Paribas SA | 7/19/24 | (32,004 ) |
USD | 2,734,893 | NOK | 29,100,000 | BNP Paribas SA | 7/19/24 | 7,878 |
USD | 2,929,942 | NOK | 31,240,000 | BNP Paribas SA | 7/19/24 | 2,384 |
USD | 4,097,150 | NOK | 43,640,000 | BNP Paribas SA | 7/19/24 | 7,565 |
AUD | 181,735,723 | USD | 118,757,752 | Citibank N.A. | 7/19/24 | 2,548,593 |
EUR | 4,180,000 | USD | 4,513,280 | Citibank N.A. | 7/19/24 | (32,171 ) |
GBP | 610,000 | USD | 751,755 | Citibank N.A. | 7/19/24 | 19,444 |
GBP | 8,190,000 | USD | 10,141,431 | Citibank N.A. | 7/19/24 | 212,864 |
GBP | 8,200,000 | USD | 10,184,771 | Citibank N.A. | 7/19/24 | 182,167 |
INR | 1,625,339,626 | USD | 19,458,620 | Citibank N.A. | 7/19/24 | 20,167 |
USD | 2,634,896 | AUD | 3,940,000 | Citibank N.A. | 7/19/24 | 4,995 |
USD | 4,933,219 | AUD | 7,420,000 | Citibank N.A. | 7/19/24 | (19,539 ) |
USD | 2,815,414 | GBP | 2,258,000 | Citibank N.A. | 7/19/24 | (39,286 ) |
USD | 4,940,789 | GBP | 3,950,000 | Citibank N.A. | 7/19/24 | (53,041 ) |
USD | 4,947,338 | GBP | 3,950,000 | Citibank N.A. | 7/19/24 | (46,492 ) |
USD | 9,871,360 | GBP | 7,900,000 | Citibank N.A. | 7/19/24 | (116,300 ) |
USD | 71,662,382 | GBP | 57,123,439 | Citibank N.A. | 7/19/24 | (556,538 ) |
USD | 472,428 | JPY | 72,700,000 | Citibank N.A. | 7/19/24 | 19,081 |
USD | 5,085,775 | JPY | 788,400,000 | Citibank N.A. | 7/19/24 | 169,423 |
CHF | 7,500,000 | USD | 8,224,992 | Goldman Sachs Group Inc. | 7/19/24 | 144,385 |
CHF | 7,510,000 | USD | 8,270,652 | Goldman Sachs Group Inc. | 7/19/24 | 109,884 |
MXN | 160,754,000 | USD | 9,258,835 | Goldman Sachs Group Inc. | 7/19/24 | (500,906 ) |
USD | 13,564,080 | CAD | 18,621,244 | Goldman Sachs Group Inc. | 7/19/24 | (54,197 ) |
USD | 15,530,553 | CAD | 21,130,000 | Goldman Sachs Group Inc. | 7/19/24 | 77,547 |
USD | 3,845,810 | CHF | 3,440,000 | Goldman Sachs Group Inc. | 7/19/24 | 7,056 |
27
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 4,962,104 | CHF | 4,450,000 | Goldman Sachs Group Inc. | 7/19/24 | $(3,726 ) |
USD | 8,235,993 | CHF | 7,500,000 | Goldman Sachs Group Inc. | 7/19/24 | (133,384 ) |
USD | 9,341,032 | CHF | 8,450,000 | Goldman Sachs Group Inc. | 7/19/24 | (88,466 ) |
USD | 17,558,664 | CHF | 15,710,000 | Goldman Sachs Group Inc. | 7/19/24 | 27,610 |
USD | 18,138,624 | CHF | 16,240,000 | Goldman Sachs Group Inc. | 7/19/24 | 16,134 |
USD | 7,141,980 | GBP | 5,620,000 | Goldman Sachs Group Inc. | 7/19/24 | 36,835 |
USD | 4,436,320 | JPY | 674,770,000 | Goldman Sachs Group Inc. | 7/19/24 | 228,548 |
USD | 2,039,679 | NOK | 21,860,000 | Goldman Sachs Group Inc. | 7/19/24 | (8,862 ) |
USD | 2,724,521 | NOK | 29,140,000 | Goldman Sachs Group Inc. | 7/19/24 | (6,242 ) |
USD | 3,955,752 | NOK | 42,720,000 | Goldman Sachs Group Inc. | 7/19/24 | (47,618 ) |
USD | 4,972,068 | NOK | 53,650,000 | Goldman Sachs Group Inc. | 7/19/24 | (55,573 ) |
USD | 15,045,737 | NOK | 162,550,000 | Goldman Sachs Group Inc. | 7/19/24 | (187,125 ) |
MXN | 112,030,000 | USD | 6,238,793 | JPMorgan Chase & Co. | 7/19/24 | (135,363 ) |
MXN | 142,030,000 | USD | 8,018,649 | JPMorgan Chase & Co. | 7/19/24 | (280,809 ) |
MXN | 250,194,000 | USD | 13,473,747 | JPMorgan Chase & Co. | 7/19/24 | 156,902 |
USD | 14,122,652 | AUD | 21,100,000 | JPMorgan Chase & Co. | 7/19/24 | 38,663 |
USD | 19,786,054 | CNH | 142,914,666 | JPMorgan Chase & Co. | 7/19/24 | 174,849 |
USD | 34,632,243 | CNH | 250,523,979 | JPMorgan Chase & Co. | 7/19/24 | 254,546 |
USD | 44,939,450 | CNH | 325,820,000 | JPMorgan Chase & Co. | 7/19/24 | 229,394 |
USD | 37,381,570 | MXN | 623,973,172 | JPMorgan Chase & Co. | 7/19/24 | 3,387,313 |
USD | 77,924,602 | MXN | 1,294,990,000 | JPMorgan Chase & Co. | 7/19/24 | 7,373,133 |
BRL | 137,054,793 | USD | 26,581,097 | Morgan Stanley & Co. Inc. | 7/19/24 | (2,125,293 ) |
BRL | 218,191,943 | USD | 42,709,040 | Morgan Stanley & Co. Inc. | 7/19/24 | (3,775,272 ) |
CAD | 15,320,000 | USD | 11,115,618 | Morgan Stanley & Co. Inc. | 7/19/24 | 88,360 |
CAD | 15,330,000 | USD | 11,138,929 | Morgan Stanley & Co. Inc. | 7/19/24 | 72,362 |
CAD | 16,090,000 | USD | 11,681,044 | Morgan Stanley & Co. Inc. | 7/19/24 | 86,058 |
CAD | 32,142,640 | USD | 23,507,767 | Morgan Stanley & Co. Inc. | 7/19/24 | (886 ) |
MXN | 66,660,000 | USD | 3,810,253 | Morgan Stanley & Co. Inc. | 7/19/24 | (178,595 ) |
USD | 338,110 | CAD | 460,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 1,698 |
USD | 4,429,793 | CAD | 6,020,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 27,185 |
USD | 9,709,632 | CAD | 13,210,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 48,761 |
USD | 9,800,858 | CAD | 13,330,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 52,227 |
USD | 12,949,826 | CAD | 17,600,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 78,416 |
USD | 269,055 | JPY | 41,629,001 | Morgan Stanley & Co. Inc. | 7/19/24 | 9,462 |
USD | 503,736 | JPY | 80,085,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 4,337 |
USD | 4,245,990 | JPY | 644,740,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 225,481 |
USD | 5,231,489 | JPY | 792,270,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 291,004 |
USD | 8,163,288 | JPY | 1,249,510,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 371,518 |
USD | 16,617,223 | JPY | 2,561,030,000 | Morgan Stanley & Co. Inc. | 7/19/24 | 646,997 |
28
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 5,534,308 | MXN | 93,884,000 | Morgan Stanley & Co. Inc. | 7/19/24 | $419,478 |
BRL | 147,427,595 | USD | 26,922,743 | Goldman Sachs Group Inc. | 8/2/24 | (659,866 ) |
Net unrealized appreciation on open forward foreign currency contracts | $450,653 |
Abbreviation(s) used in this table: | ||
AUD | — | Australian Dollar |
BRL | — | Brazilian Real |
CAD | — | Canadian Dollar |
CHF | — | Swiss Franc |
CNH | — | Chinese Offshore Yuan |
EUR | — | Euro |
GBP | — | British Pound |
INR | — | Indian Rupee |
JPY | — | Japanese Yen |
MXN | — | Mexican Peso |
NOK | — | Norwegian Krone |
USD | — | United States Dollar |
OTC INTEREST RATE SWAPS | |||||||
Swap Counterparty | Notional Amount | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Market Value | Upfront Premiums Paid (Received) | Unrealized Depreciation |
Citibank N.A. | 785,610,000BRL | 1/2/29 | BRL-CDI** | 10.269%** | $(8,044,990) | — | $(8,044,990) |
CENTRALLY CLEARED INTEREST RATE SWAPS | |||||||
Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
1,482,510,000MXN | 7/18/29 | 28-Day MXN TIIE - Banxico every 28 days | 7.450% every 28 days | $(6,826,689) | $313,394 | $(7,140,083) | |
1,560,270,000MXN | 7/20/29 | 28-Day MXN TIIE - Banxico every 28 days | 7.440% every 28 days | (7,223,907) | 400,452 | (7,624,359) | |
303,432,000 | 2/28/31 | 3.870% annually | Daily SOFR Compound annually | 1,839,953 | (765,551) | 2,605,504 |
29
CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d) | |||||||
Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |
258,173,000 | 4/30/31 | 4.200% annually | Daily SOFR Compound annually | $(4,133,928) | $(3,238,372) | $(895,556) | |
99,521,000 | 2/15/48 | 2.600% annually | Daily SOFR Compound annually | 18,817,866 | 8,130,585 | 10,687,281 | |
100,795,000 | 2/15/48 | 3.050% annually | Daily SOFR Compound annually | 12,088,917 | 2,516,705 | 9,572,212 | |
248,784,000 | 5/15/48 | 3.150% annually | Daily SOFR Compound annually | 25,970,475 | 28,171,342 | (2,200,867) | |
Total | $40,532,687 | $35,528,555 | $5,004,132 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES — SELL PROTECTION1 | |||||||
Reference Entity | Notional Amount2 | Termination Date | Implied Credit Spread at June 30, 20243 | Periodic Payments Received by the Fund† | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation |
Apache Corp., 4.375%, due 10/15/28 | $2,716,000 | 12/20/28 | 1.013% | 1.000% quarterly | $(1,381) | $(49,489) | $48,108 |
Apache Corp., 4.875%, due 11/15/27 | 3,629,000 | 12/20/26 | 0.555% | 1.000% quarterly | 37,791 | (58,545) | 96,336 |
Total | $6,345,000 | $36,410 | $(108,034) | $144,444 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1 | ||||||
Reference Entity | Notional Amount2 | Termination Date | Periodic Payments Received by the Fund† | Market Value4 | Upfront Premiums Paid (Received) | Unrealized Depreciation |
Markit CDX.NA.IG.42 Index | $641,249,000 | 6/20/29 | 1.000% quarterly | $13,123,470 | $13,347,004 | $(223,534) |
30
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION5 | ||||||
Reference Entity | Notional Amount2 | Termination Date | Periodic Payments Made by the Fund† | Market Value4 | Upfront Premiums Paid (Received) | Unrealized Appreciation |
Markit CDX.NA.HY.42 Index | $111,928,200 | 6/20/29 | 5.000% quarterly | $(6,987,721) | $(7,479,929) | $492,208 |
OTC TOTAL RETURN SWAPS | |||||||
Swap Counterparty | Notional Amount | Termination Date | Periodic Payments Made by the Fund† | Periodic Payments Received by the Fund‡ | Market Value | Upfront Premiums Paid (Received) | Unrealized Depreciation |
JPMorgan Chase & Co. | $87,593,000 | 8/1/24 | Daily SOFR Compound + 1.100% quarterly | JPEIFNTR quarterly^^ | $(1,493,941) | — | $(1,493,941) |
31
1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 | Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
4 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
5 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
† | Percentage shown is an annual percentage rate. |
‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
** | One time payment made at termination date. |
Reference Index | Reference Rate |
28-Day MXN TIIE - Banxico | 11.245% |
BRL-CDI | 10.400% |
Daily SOFR Compound | 5.330% |
32
Abbreviation(s) used in this table: | ||
BRL | — | Brazilian Real |
BRL-CDI | — | Brazilian Cetip InterBank Deposit Rate |
JPEIFNTR | — | Western Asset Management Emerging Markets Frontier Custom Basket |
MXN | — | Mexican Peso |
SOFR | — | Secured Overnight Financing Rate |
TIIE | — | Tasa de Intere’s Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate) |
Security | Face Amount | Market Value | Weight |
Angolan Government International Bond, 9.125% due 11/26/49 | 12,070,000 | $9,901,172 | 6.42% |
Argentine Republic Government International Bond, 4.250% due 1/9/38 | 14,110,000 | 6,476,490 | 4.20% |
Argentine Republic Government International Bond, 3.500% due 7/9/41 | 8,080,000 | 3,167,360 | 2.05% |
Benin Government International Bond, 7.960% due 2/13/38 | 4,860,000 | 4,510,688 | 2.92% |
Bahamas Government International Bond, 8.950% due 10/15/32 | 5,730,000 | 5,352,178 | 3.47% |
Ivory Coast Government International Bond, 7.625% due 1/30/33 | 11,990,000 | 11,615,313 | 7.53% |
Costa Rica Government International Bond, 6.550% due 4/3/34 | 5,350,000 | 5,472,047 | 3.55% |
Dominican Republic International Bond, 4.500% due 1/30/30 | 12,940,000 | 11,791,575 | 7.64% |
Ecuador Government International Bond, 3.500% due 7/31/35 | 9,150,000 | 4,560,703 | 2.95% |
Egypt Government International Bond, 5.800% due 9/30/27 | 5,270,000 | 4,736,413 | 3.07% |
Egypt Government International Bond, 7.903% due 2/21/48 | 4,170,000 | 2,926,819 | 1.90% |
Ethiopia International Bond, 6.625% due 12/11/25 | 10,970,000 | 7,862,862 | 5.10% |
Ghana Government International Bond, 10.750% due 10/14/30 | 7,070,000 | 4,767,831 | 3.09% |
Ghana Government International Bond, 7.625% due 5/16/29 | 3,200,000 | 1,586,822 | 1.03% |
Republic of Guatemala Government International Bond, 5.375% due 4/24/32 | 4,940,000 | 4,685,281 | 3.04% |
Jordan Government International Bond, 7.500% due 1/13/29 | 4,710,000 | 4,592,250 | 2.98% |
Republic of Kenya Government International Bond, 6.300% due 1/23/34 | 12,750,000 | 9,518,672 | 6.17% |
Sri Lanka Government International Bond, 6.125% due 6/3/25 | 2,770,000 | 1,611,021 | 1.04% |
Sri Lanka Government International Bond, 6.825% due 7/18/26 | 2,780,000 | 1,544,736 | 1.00% |
Sri Lanka Government International Bond, 6.850% due 11/3/25 | 2,780,000 | 1,608,651 | 1.04% |
Mozambique International Bond, 9.000% due 9/15/31 | 5,550,000 | 4,592,625 | 2.98% |
Nigeria Government International Bond, due 7.375% due 9/28/33 | 11,310,000 | 9,242,391 | 5.99% |
Paraguay Government International Bond, 6.100% due 8/11/44 | 5,750,000 | 5,496,641 | 3.56% |
Senegal Government International Bond, 6.250% due 5/23/33 | 3,780,000 | 3,161,025 | 2.05% |
33
Security | Face Amount | Market Value | Weight |
Senegal Government International Bond, 6.750% due 3/13/48 | 3,230,000 | $2,319,140 | 1.50% |
El Salvador Government International Bond, 7.125% due 1/20/50 | 6,190,000 | 3,920,978 | 2.54% |
Ukraine Government International Bond, 7.750% due 9/1/28 | 10,190,000 | 2,822,135 | 1.83% |
Ukraine Government International Bond, 7.750% due 9/1/29 | 10,260,000 | 2,836,391 | 1.84% |
Republic of Uzbekistan International Bond, 3.900% due 10/19/31 | 3,810,000 | 3,100,388 | 2.01% |
Petroleos de Venezuela International Bond, 0.000% due 4/12/27 | 34,000,000 | 3,975,619 | 2.58% |
Zambia Government International Bond, 0.500% due 12/31/53 | 3,525,852 | 1,723,260 | 1.12% |
Zambia Government International Bond, 5.750% due 6/30/33 | 3,755,675 | 2,794,451 | 1.81% |
TOTAL | $154,273,928 | 100.00% |
34
Assets: | |
Investments, at value (Cost — $3,207,865,832) | $3,030,063,880 |
Foreign currency, at value (Cost — $19,301,233) | 19,318,736 |
Receivable for securities sold | 111,465,395 |
Deposits with brokers for centrally cleared swap contracts | 32,928,143 |
Interest receivable | 22,661,474 |
Unrealized appreciation on forward foreign currency contracts | 21,686,298 |
Foreign currency collateral for open futures contracts and exchange-traded options, at value (Cost — $7,721,766) | 8,082,282 |
Deposits with brokers for OTC derivatives | 2,030,000 |
Receivable for Fund shares sold | 633,412 |
Deposits with brokers for TBA securities | 290,000 |
Deposits with brokers for open futures contracts and exchange-traded options | 66,410 |
Receivable from investment manager | 44,371 |
Principal paydown receivable | 32,037 |
Total Assets | 3,249,302,438 |
Liabilities: | |
Payable for securities purchased | 916,322,883 |
Payable to brokers — net variation margin on centrally cleared swap contracts | 27,050,217 |
Unrealized depreciation on forward foreign currency contracts | 21,235,645 |
OTC swaps, at value (premiums received — $0) | 9,538,931 |
Payable to brokers — net variation margin on open futures contracts | 3,093,424 |
Written options, at value (premiums received — $3,784,542) | 2,447,505 |
Payable for Fund shares repurchased | 2,265,933 |
Payable for open OTC swap contracts | 941,983 |
Trustees’ fees payable | 13,455 |
Accrued expenses | 208,560 |
Total Liabilities | 983,118,536 |
Total Net Assets | $2,266,183,902 |
Net Assets: | |
Par value (Note 5) | $3,841 |
Paid-in capital in excess of par value | 3,678,039,421 |
Total distributable earnings (loss) | (1,411,859,360 ) |
Total Net Assets | $2,266,183,902 |
Shares Outstanding | 384,111,876 |
Net Asset Value | $5.90 |
35
Investment Income: | |
Interest | $79,503,837 |
Less: Foreign taxes withheld | (52,744 ) |
Total Investment Income | 79,451,093 |
Expenses: | |
Fund accounting fees | 73,143 |
Custody fees | 47,288 |
Legal fees | 35,522 |
Registration fees | 32,813 |
Trustees’ fees | 29,214 |
Audit and tax fees | 26,850 |
Shareholder reports | 16,685 |
Commitment fees (Note 6) | 10,753 |
Commodity pool reports | 5,968 |
Transfer agent fees (Note 2) | 4,301 |
Interest expense | 3,579 |
Miscellaneous expenses | 11,172 |
Total Expenses | 297,288 |
Less: Fee waivers and/or expense reimbursements (Note 2) | (297,288 ) |
Net Expenses | — |
Net Investment Income | 79,451,093 |
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4): | |
Net Realized Gain (Loss) From: | |
Investment transactions | (35,269,880 )† |
Futures contracts | 21,534,216 |
Written options | 5,415,039 |
Swap contracts | 119,211,577 |
Forward foreign currency contracts | (7,683,184 ) |
Foreign currency transactions | (2,851,652 ) |
Net Realized Gain | 100,356,116 |
Change in Net Unrealized Appreciation (Depreciation) From: | |
Investments | (66,540,870 )‡ |
Futures contracts | (126,438,548 ) |
Written options | 1,603,035 |
Swap contracts | (80,045,227 ) |
Forward foreign currency contracts | (2,464,382 ) |
Foreign currencies | (1,665,191 ) |
Change in Net Unrealized Appreciation (Depreciation) | (275,551,183 ) |
Net Loss on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | (175,195,067 ) |
Decrease in Net Assets From Operations | $(95,743,974 ) |
† | Net of foreign capital gains tax of $49,631. |
‡ | Net of change in accrued foreign capital gains tax of $(54,281). |
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For the Six Months Ended June 30, 2024 (unaudited) and the Year Ended December 31, 2023 | 2024 | 2023 |
Operations: | ||
Net investment income | $79,451,093 | $168,177,926 |
Net realized gain (loss) | 100,356,116 | (219,319,039 ) |
Change in net unrealized appreciation (depreciation) | (275,551,183 ) | 225,416,841 |
Increase (Decrease) in Net Assets From Operations | (95,743,974 ) | 174,275,728 |
Distributions to Shareholders From (Note 1): | ||
Total distributable earnings | (61,295,207 ) | (161,121,402 ) |
Decrease in Net Assets From Distributions to Shareholders | (61,295,207 ) | (161,121,402 ) |
Fund Share Transactions (Note 5): | ||
Net proceeds from sale of shares | 327,266,924 | 671,991,654 |
Cost of shares repurchased | (353,452,513 ) | (837,006,747 ) |
Decrease in Net Assets From Fund Share Transactions | (26,185,589 ) | (165,015,093 ) |
Decrease in Net Assets | (183,224,770 ) | (151,860,767 ) |
Net Assets: | ||
Beginning of period | 2,449,408,672 | 2,601,269,439 |
End of period | $2,266,183,902 | $2,449,408,672 |
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For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted: | |||||||
20241,2 | 20231 | 20221,3 | 20221,4 | 20211,4 | 20201,5 | 20191,4 | |
Net asset value, beginning of period | $6.30 | $6.25 | $8.07 | $9.08 | $9.27 | $8.91 | $9.18 |
Income (loss) from operations: | |||||||
Net investment income | 0.20 | 0.40 | 0.27 | 0.36 | 0.33 | 0.45 | 0.44 |
Net realized and unrealized gain (loss) | (0.44 ) | 0.04 | (2.04 ) | (0.80 ) | (0.44 ) | 0.69 | (0.31 ) |
Total income (loss) from operations | (0.24) | 0.44 | (1.77) | (0.44) | (0.11) | 1.14 | 0.13 |
Less distributions from: | |||||||
Net investment income | (0.16 ) | (0.39 ) | (0.04 ) | (0.45 ) | (0.06 ) | (0.64 ) | (0.40 ) |
Net realized gains | — | — | — | (0.12 ) | (0.02 ) | (0.14 ) | — |
Return of capital | — | — | (0.01 ) | — | — | — | — |
Total distributions | (0.16 ) | (0.39 ) | (0.05 ) | (0.57 ) | (0.08 ) | (0.78 ) | (0.40 ) |
Net asset value, end of period | $5.90 | $6.30 | $6.25 | $8.07 | $9.08 | $9.27 | $8.91 |
Total return6 | (4.05 )% | 7.38 % | (22.01 )% | (5.37 )% | (1.08 )% | 13.16 % | 1.44 % |
Net assets, end of period (millions) | $2,266 | $2,449 | $2,601 | $3,632 | $3,435 | $2,404 | $1,845 |
Ratios to average net assets: | |||||||
Gross expenses7 | 0.03 %8 | 0.02 % | 0.04 %8 | 0.03 % | 0.04 % | 0.04 % | 0.04 % |
Net expenses9,10 | 0.00 8 | 0.00 | 0.00 8 | 0.00 | 0.00 | 0.00 | 0.00 |
Net investment income | 6.70 8 | 6.47 | 4.76 8 | 3.96 | 3.74 | 4.88 | 5.09 |
Portfolio turnover rate | 103 %11 | 189 %11 | 53 % | 150 %11 | 69 % | 31 % | 37 % |
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1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2024 (unaudited). |
3 | For the period March 1, 2022 through December 31, 2022. |
4 | For the year ended February 28. |
5 | For the year ended February 29. |
6 | Performance figures do not reflect the effect of fees and expenses associated with a separately managed account, nor a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadvisers. All operating expenses of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement between the Fund and the manager. If such fees were included, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
7 | Gross expenses do not include management fees paid to the manager and subadvisers. Management fees are paid directly or indirectly by the separately managed account sponsor. |
8 | Annualized. |
9 | The Fund’s manager has entered into an expense reimbursement arrangement with the Fund, pursuant to which the Fund’s manager has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This arrangement cannot be terminated prior to December 31, 2025 without the Board of Trustees’ consent. |
10 | Reflects fee waivers and/or expense reimbursements. |
11 | Including mortgage dollar roll transactions. If mortgage dollar roll transactions had been excluded, the portfolio turnover rates for the respective years/periods presented would have been 42%, 96% and 106%. |
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ASSETS | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Long-Term Investments†: | ||||
Mortgage-Backed Securities | — | $991,182,646 | — | $991,182,646 |
Corporate Bonds & Notes | — | 681,194,604 | — | 681,194,604 |
Sovereign Bonds | — | 439,755,517 | — | 439,755,517 |
Collateralized Mortgage Obligations | — | 392,921,403 | — | 392,921,403 |
Senior Loans | — | 191,066,007 | — | 191,066,007 |
U.S. Government & Agency Obligations | — | 165,352,913 | — | 165,352,913 |
Asset-Backed Securities | — | 62,543,654 | — | 62,543,654 |
U.S. Treasury Inflation Protected Securities | — | 23,073,161 | — | 23,073,161 |
Non-U.S. Treasury Inflation Protected Securities | — | 6,430,794 | — | 6,430,794 |
Purchased Options: | ||||
Exchange-Traded Purchased Options | $1,190,375 | — | — | 1,190,375 |
OTC Purchased Options | — | 4,410,333 | — | 4,410,333 |
Total Long-Term Investments | 1,190,375 | 2,957,931,032 | — | 2,959,121,407 |
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ASSETS (cont’d) | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Short-Term Investments†: | ||||
U.S. Treasury Bills | — | $35,605,564 | — | $35,605,564 |
Overnight Deposits | — | 35,336,909 | — | 35,336,909 |
Total Short-Term Investments | — | 70,942,473 | — | 70,942,473 |
Total Investments | $1,190,375 | $3,028,873,505 | — | $3,030,063,880 |
Other Financial Instruments: | ||||
Futures Contracts†† | $7,620,388 | — | — | $7,620,388 |
Forward Foreign Currency Contracts†† | — | $21,686,298 | — | 21,686,298 |
Centrally Cleared Interest Rate Swaps†† | — | 22,864,997 | — | 22,864,997 |
Centrally Cleared Credit Default Swaps on Corporate Issues — Sell Protection†† | — | 144,444 | — | 144,444 |
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection†† | — | 492,208 | — | 492,208 |
Total Other Financial Instruments | $7,620,388 | $45,187,947 | — | $52,808,335 |
Total | $8,810,763 | $3,074,061,452 | — | $3,082,872,215 |
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LIABILITIES | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Other Financial Instruments: | ||||
Written Options: | ||||
Exchange-Traded Written Options | $381,581 | — | — | $381,581 |
OTC Written Options | — | $2,065,924 | — | 2,065,924 |
Futures Contracts†† | 15,943,799 | — | — | 15,943,799 |
Forward Foreign Currency Contracts†† | — | 21,235,645 | — | 21,235,645 |
OTC Interest Rate Swaps | — | 8,044,990 | — | 8,044,990 |
Centrally Cleared Interest Rate Swaps†† | — | 17,860,865 | — | 17,860,865 |
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection†† | — | 223,534 | — | 223,534 |
OTC Total Return Swaps | — | 1,493,941 | — | 1,493,941 |
Total | $16,325,380 | $50,924,899 | — | $67,250,279 |
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
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Investments | U.S. Government & Agency Obligations | |
Purchases | $199,334,222 | $3,134,526,853 |
Sales | 279,430,936 | 2,600,076,627 |
Cost/Premiums Paid (Received) | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Securities | $3,207,865,832 | $23,740,469 | $(201,542,421) | $(177,801,952) |
Written options | (3,784,542) | 2,103,381 | (766,344) | 1,337,037 |
Futures contracts | — | 7,620,388 | (15,943,799) | (8,323,411) |
Forward foreign currency contracts | — | 21,686,298 | (21,235,645) | 450,653 |
Swap contracts | 41,287,596 | 23,501,649 | (27,623,330) | (4,121,681) |
ASSET DERIVATIVES1 | ||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |
Purchased options2 | $2,049,330 | $3,551,378 | — | $5,600,708 |
Futures contracts3 | 7,620,388 | — | — | 7,620,388 |
Forward foreign currency contracts | — | 21,686,298 | — | 21,686,298 |
Centrally cleared swap contracts4 | 22,864,997 | — | $636,652 | 23,501,649 |
Total | $32,534,715 | $25,237,676 | $636,652 | $58,409,043 |
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LIABILITY DERIVATIVES1 | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Market Risk | Total | |
Written options | $1,140,877 | $1,306,628 | — | — | $2,447,505 |
Futures contracts3 | 15,860,151 | 83,648 | — | — | 15,943,799 |
Forward foreign currency contracts | — | 21,235,645 | — | — | 21,235,645 |
OTC swap contracts5 | 8,044,990 | — | — | $1,493,941 | 9,538,931 |
Centrally cleared swap contracts4 | 17,860,865 | — | $223,534 | — | 18,084,399 |
Total | $42,906,883 | $22,625,921 | $223,534 | $1,493,941 | $67,250,279 |
1 | Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized depreciation. |
2 | Market value of purchased options is reported in Investments at value in the Statement of Assets and Liabilities. |
3 | Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
4 | Includes cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
5 | Values include premiums paid (received) on swap contracts which are shown separately in the Statement of Assets and Liabilities. |
AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Market Risk | Total | |
Purchased options1 | $(2,796,468 ) | $(3,147,937 ) | — | — | $(5,944,405 ) |
Futures contracts | 24,924,599 | (3,390,383 ) | — | — | 21,534,216 |
Written options | 3,562,976 | 1,852,063 | — | — | 5,415,039 |
Swap contracts | 117,066,932 | — | $3,086,628 | $(941,983 ) | 119,211,577 |
Forward foreign currency contracts | — | (7,683,184 ) | — | — | (7,683,184 ) |
Total | $142,758,039 | $(12,369,441 ) | $3,086,628 | $(941,983 ) | $132,533,243 |
1 | Net realized gain (loss) from purchased options is reported in Net Realized Gain (Loss) From Investment transactions in the Statement of Operations. |
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CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Market Risk | Total | |
Purchased options1 | $435,485 | $3,473,180 | — | — | $3,908,665 |
Futures contracts | (117,650,613 ) | (8,787,935 ) | — | — | (126,438,548 ) |
Written options | 1,624,719 | (21,684 ) | — | — | 1,603,035 |
Swap contracts | (77,961,234 ) | — | $(590,052 ) | $(1,493,941 ) | (80,045,227 ) |
Forward foreign currency contracts | — | (2,464,382 ) | — | — | (2,464,382 ) |
Total | $(193,551,643 ) | $(7,800,821 ) | $(590,052 ) | $(1,493,941 ) | $(203,436,457 ) |
1 | The change in net unrealized appreciation (depreciation) from purchased options is reported in the Change in Net Unrealized Appreciation (Depreciation) From Investments in the Statement of Operations. |
Average Market Value | |
Purchased options | $4,719,672 |
Written options | 3,025,242 |
Futures contracts (to buy) | 3,966,975,795 |
Futures contracts (to sell) | 3,346,249,006 |
Forward foreign currency contracts (to buy) | 605,869,507 |
Forward foreign currency contracts (to sell) | 643,120,336 |
Average Notional Balance | |
Interest rate swap contracts | $1,488,633,252 |
Credit default swap contracts (buy protection) | 117,863,114 |
Credit default swap contracts (sell protection) | 839,085,100 |
Total return swap contracts | 37,539,857 |
Counterparty | Gross Assets Subject to Master Agreements1 | Gross Liabilities Subject to Master Agreements1 | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received)2,3 | Net Amount4,5 |
Bank of America N.A. | $553,547 | $(1,292,228) | $(738,681) | — | $(738,681) |
BNP Paribas SA | 1,255,242 | (8,464,097) | (7,208,855) | — | (7,208,855) |
Citibank N.A. | 4,079,768 | (11,064,634) | (6,984,866) | $9,477,341 | 2,492,475 |
Goldman Sachs Group Inc. | 5,259,622 | (2,734,267) | 2,525,355 | (2,748,789) | (223,434) |
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Counterparty (cont’d) | Gross Assets Subject to Master Agreements1 | Gross Liabilities Subject to Master Agreements1 | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received)2,3 | Net Amount4,5 |
JPMorgan Chase & Co. | $12,473,755 | $(2,669,409) | $9,804,346 | $1,870,270 | $11,674,616 |
Morgan Stanley & Co. Inc. | 2,474,697 | (6,615,865) | (4,141,168) | 5,470,360 | 1,329,192 |
Total | $26,096,631 | $(32,840,500) | $(6,743,869) | $14,069,182 | $7,325,313 |
1 | Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities. |
2 | Gross amounts are not offset in the Statement of Assets and Liabilities. |
3 | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
4 | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
5 | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |
Shares sold | 53,841,113 | 108,023,682 |
Shares repurchased | (58,328,222 ) | (135,907,438 ) |
Net decrease | (4,487,109 ) | (27,883,756 ) |
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Chairman
Services, LLC
3344 Quality Drive
Rancho Cordova, CA 95670-7313
public accounting firm
Baltimore, MD
Legg Mason Funds
620 Eighth Avenue, 47th Floor
New York, NY 10018
Your Privacy Is Our Priority
https://www.franklintempleton.com/help/privacy-policy or contact us for a copy at (800) 632-2301.
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) Not applicable. | |
Exhibit 99.CODE ETH | |
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.CERT | |
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.906CERT |
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, there unto duly authorized.
Legg Mason Partners Institutional Trust
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | August 20, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | August 20, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | August 20, 2024 |