Putnam Dynamic Asset Allocation Balanced Fund | ||||||
The fund's portfolio | ||||||
6/30/22 (Unaudited) |
COMMON STOCKS (65.7%)(a) | ||||||
Shares | Value | |||||
Basic materials (2.8%) | ||||||
AdvanSix, Inc. | 6,107 | $204,218 | ||||
Alcoa Corp. | 12,200 | 556,076 | ||||
American Vanguard Corp. | 3,904 | 87,254 | ||||
Andersons, Inc. (The) | 2,692 | 88,809 | ||||
Anglo American PLC (London Exchange) (United Kingdom) | 82,475 | 2,948,655 | ||||
Archer-Daniels-Midland Co. | 8,300 | 644,080 | ||||
Arkema SA (France) | 4,110 | 365,757 | ||||
Atkore, Inc.(NON) | 5,003 | 415,299 | ||||
Avery Dennison Corp. | 4,300 | 696,041 | ||||
Balchem Corp. | 644 | 83,553 | ||||
BHP Group, Ltd. (ASE Exchange) (Australia) | 67,586 | 1,924,364 | ||||
BHP Group, Ltd. (London Exchange) (Australia) | 6,766 | 189,187 | ||||
BlueScope Steel, Ltd. (Australia) | 40,841 | 448,229 | ||||
Boise Cascade Co. | 6,065 | 360,807 | ||||
Brenntag SE (Germany) | 5,033 | 327,536 | ||||
Celanese Corp. | 5,321 | 625,803 | ||||
CF Industries Holdings, Inc. | 37,600 | 3,223,448 | ||||
Codexis, Inc.(NON) | 15,916 | 166,481 | ||||
Compagnie de Saint-Gobain (France) | 29,936 | 1,284,503 | ||||
Constellium SE (France)(NON) | 26,729 | 353,090 | ||||
Corteva, Inc. | 152,681 | 8,266,149 | ||||
Covestro AG (Germany) | 11,168 | 385,982 | ||||
CRH PLC (Ireland) | 121,674 | 4,207,773 | ||||
Dow, Inc. | 12,896 | 665,563 | ||||
DuPont de Nemours, Inc. | 56,500 | 3,140,270 | ||||
Eastman Chemical Co. | 23,857 | 2,141,643 | ||||
Eiffage SA (France) | 10,999 | 989,887 | ||||
Freeport-McMoRan, Inc. (Indonesia) | 133,885 | 3,917,475 | ||||
Frontdoor, Inc.(NON) | 32,100 | 772,968 | ||||
Glencore PLC (United Kingdom) | 95,722 | 518,641 | ||||
Innospec, Inc. | 2,629 | 251,832 | ||||
Intrepid Potash, Inc.(NON) | 2,318 | 104,982 | ||||
James Hardie Industries PLC (CDI) (Australia) | 36,352 | 797,172 | ||||
Linde PLC | 7,269 | 2,086,827 | ||||
LyondellBasell Industries NV Class A | 7,100 | 620,966 | ||||
Materion Corp. | 1,080 | 79,628 | ||||
Minerals Technologies, Inc. | 2,876 | 176,414 | ||||
Misumi Group, Inc. (Japan) | 5,400 | 113,827 | ||||
Mueller Industries, Inc. | 6,539 | 348,463 | ||||
Nitto Denko Corp. (Japan) | 13,900 | 899,484 | ||||
NV5 Global, Inc.(NON) | 642 | 74,947 | ||||
Olin Corp. | 16,400 | 758,992 | ||||
Orion Engineered Carbons SA (Luxembourg) | 5,141 | 79,840 | ||||
PotlatchDeltic Corp.(R) | 8,874 | 392,142 | ||||
PPG Industries, Inc. | 16,980 | 1,941,493 | ||||
Rio Tinto PLC (United Kingdom) | 29,680 | 1,776,305 | ||||
Rio Tinto, Ltd. (Australia) | 16,528 | 1,171,648 | ||||
Sensient Technologies Corp. | 1,060 | 85,394 | ||||
Sherwin-Williams Co. (The) | 14,818 | 3,317,899 | ||||
Shin-Etsu Chemical Co., Ltd. (Japan) | 11,500 | 1,296,801 | ||||
Simpson Manufacturing Co., Inc. | 1,606 | 161,580 | ||||
South32, Ltd. (Australia) | 127,801 | 347,566 | ||||
Standex International Corp. | 1,287 | 109,112 | ||||
Stepan Co. | 910 | 92,229 | ||||
Sterling Construction Co., Inc.(NON) | 4,227 | 92,656 | ||||
Toyo Suisan Kaisha, Ltd. (Japan) | 11,100 | 432,776 | ||||
Tronox Holdings PLC Class A (United Kingdom) | 23,865 | 400,932 | ||||
UFP Industries, Inc. | 6,782 | 462,125 | ||||
Vat Group AG (Switzerland) | 665 | 158,544 | ||||
WestRock Co. | 18,625 | 742,020 | ||||
Weyerhaeuser Co.(R) | 84,693 | 2,805,032 | ||||
62,179,169 | ||||||
Capital goods (3.7%) | ||||||
A.O. Smith Corp. | 12,500 | 683,500 | ||||
Acuity Brands, Inc. | 4,200 | 646,968 | ||||
Aerojet Rocketdyne Holdings, Inc.(NON) | 11,348 | 460,729 | ||||
AGCO Corp. | 5,800 | 572,460 | ||||
Albany International Corp. Class A | 1,111 | 87,536 | ||||
Allegion PLC (Ireland) | 6,600 | 646,140 | ||||
Allison Transmission Holdings, Inc. | 20,800 | 799,760 | ||||
Altra Industrial Motion Corp. | 11,204 | 394,941 | ||||
American Axle & Manufacturing Holdings, Inc.(NON) | 23,241 | 175,005 | ||||
Axon Enterprise, Inc.(NON) | 7,536 | 702,129 | ||||
Ball Corp. | 7,082 | 487,029 | ||||
Barnes Group, Inc. | 2,266 | 70,563 | ||||
Belden, Inc. | 1,362 | 72,554 | ||||
CAE, Inc. (Canada)(NON) | 38,110 | 939,131 | ||||
Carrier Global Corp. | 20,361 | 726,073 | ||||
Casella Waste Systems, Inc. Class A(NON) | 1,109 | 80,602 | ||||
Caterpillar, Inc. | 3,400 | 607,784 | ||||
Clean Harbors, Inc.(NON) | 8,000 | 701,360 | ||||
Crown Holdings, Inc. | 7,402 | 682,242 | ||||
CTS Corp. | 2,586 | 88,053 | ||||
Cummins, Inc. | 3,912 | 757,089 | ||||
Dassault Aviation SA (France) | 2,798 | 436,599 | ||||
Deere & Co. | 10,556 | 3,161,205 | ||||
Dover Corp. | 5,800 | 703,656 | ||||
Eaton Corp. PLC | 22,916 | 2,887,187 | ||||
Emerson Electric Co. | 15,200 | 1,209,008 | ||||
Encore Wire Corp. | 1,588 | 165,025 | ||||
ESCO Technologies, Inc. | 1,350 | 92,300 | ||||
Fortive Corp. | 72,240 | 3,928,411 | ||||
Franklin Electric Co., Inc. | 1,023 | 74,945 | ||||
Fuji Electric Co., Ltd. (Japan) | 10,500 | 434,920 | ||||
GEA Group AG (Germany) | 18,587 | 640,640 | ||||
General Dynamics Corp. | 36,200 | 8,009,250 | ||||
Gentherm, Inc.(NON) | 1,225 | 76,452 | ||||
GrafTech International, Ltd. | 9,894 | 69,951 | ||||
HEICO Corp. | 5,909 | 774,788 | ||||
Hillenbrand, Inc. | 9,338 | 382,484 | ||||
Honeywell International, Inc. | 29,567 | 5,139,040 | ||||
Johnson Controls International PLC | 154,806 | 7,412,112 | ||||
Kaman Corp. | 2,345 | 73,281 | ||||
Komatsu, Ltd. (Japan) | 18,100 | 401,274 | ||||
Legrand SA (France) | 7,463 | 551,057 | ||||
LKQ Corp. | 14,700 | 721,623 | ||||
Lockheed Martin Corp. | 12,200 | 5,245,512 | ||||
Moog, Inc. Class A | 3,407 | 270,482 | ||||
MRC Global, Inc.(NON) | 12,906 | 128,544 | ||||
MYR Group, Inc.(NON) | 1,048 | 92,360 | ||||
National Presto Industries, Inc. | 1,096 | 71,941 | ||||
Nordson Corp. | 5,900 | 1,194,396 | ||||
Northrop Grumman Corp. | 14,703 | 7,036,415 | ||||
O-I Glass, Inc.(NON) | 23,267 | 325,738 | ||||
Otis Worldwide Corp. | 10,700 | 756,169 | ||||
Parker Hannifin Corp. | 2,804 | 689,924 | ||||
Raytheon Technologies Corp. | 48,243 | 4,636,635 | ||||
Republic Services, Inc. | 26,800 | 3,507,316 | ||||
Rheinmetall AG (Germany) | 7,209 | 1,664,294 | ||||
Ryerson Holding Corp. | 7,349 | 156,460 | ||||
Schneider Electric SE (France) | 12,418 | 1,469,218 | ||||
Shyft Group, Inc. (The) | 3,946 | 73,356 | ||||
Spirax_Sarco engineering PLC (United Kingdom) | 5,427 | 652,569 | ||||
Standard Motor Products, Inc. | 2,023 | 91,015 | ||||
Sturm Ruger & Co., Inc. | 3,678 | 234,105 | ||||
Terex Corp. | 12,280 | 336,104 | ||||
Textron, Inc. | 30,600 | 1,868,742 | ||||
Titan International, Inc.(NON) | 8,472 | 127,927 | ||||
Titan Machinery, Inc.(NON) | 3,776 | 84,620 | ||||
Toshiba Corp. (Japan) | 4,100 | 166,653 | ||||
Vinci SA (France) | 308 | 27,422 | ||||
Waste Connections, Inc. | 16,094 | 1,995,012 | ||||
Waste Management, Inc. | 4,800 | 734,304 | ||||
Watts Water Technologies, Inc. Class A | 605 | 74,318 | ||||
Zurn Water Solutions Corp. | 15,162 | 413,013 | ||||
81,851,420 | ||||||
Communication services (1.8%) | ||||||
American Tower Corp.(R) | 30,194 | 7,717,285 | ||||
AT&T, Inc. | 319,904 | 6,705,188 | ||||
Cambium Networks Corp.(NON) | 5,231 | 76,634 | ||||
Charter Communications, Inc. Class A(NON) | 5,667 | 2,655,160 | ||||
Cogeco Communications, Inc. (Canada) | 12,041 | 814,489 | ||||
Comcast Corp. Class A | 112,890 | 4,429,804 | ||||
Crown Castle International Corp.(R) | 4,200 | 707,196 | ||||
Deutsche Telekom AG (Germany) | 68,684 | 1,363,684 | ||||
EchoStar Corp. Class A(NON) | 10,387 | 200,469 | ||||
KDDI Corp. (Japan) | 60,400 | 1,909,313 | ||||
Koninklijke KPN NV (Netherlands) | 305,616 | 1,089,239 | ||||
Liberty Latin America, Ltd. Class C (Chile)(NON) | 39,629 | 308,710 | ||||
Nippon Telegraph & Telephone Corp. (Japan) | 53,000 | 1,521,875 | ||||
SK Telecom Co., Ltd. (South Korea) | 21,985 | 880,484 | ||||
T-Mobile US, Inc.(NON) | 14,760 | 1,985,810 | ||||
Telstra Corp., Ltd. (Australia) | 554,049 | 1,472,365 | ||||
Verizon Communications, Inc. | 110,710 | 5,618,533 | ||||
39,456,238 | ||||||
Communications equipment (0.1%) | ||||||
arista Networks, Inc.(NON) | 7,400 | 693,676 | ||||
Ciena Corp.(NON) | 15,596 | 712,737 | ||||
Telefonaktiebolaget LM Ericsson Class B (Sweden) | 210,100 | 1,566,444 | ||||
Viavi Solutions, Inc.(NON) | 5,849 | 77,382 | ||||
3,050,239 | ||||||
Computers (4.8%) | ||||||
A10 Networks, Inc. | 25,698 | 369,537 | ||||
Agilysys, Inc.(NON) | 2,337 | 110,470 | ||||
Altair Engineering, Inc. Class A(NON) | 1,448 | 76,020 | ||||
Apple, Inc. | 518,790 | 70,928,969 | ||||
Avid Technology, Inc.(NON) | 13,951 | 362,028 | ||||
Cisco Systems, Inc./Delaware | 163,300 | 6,963,112 | ||||
CommVault Systems, Inc.(NON) | 6,937 | 436,337 | ||||
Crowdstrike Holdings, Inc. Class A(NON) | 6,088 | 1,026,193 | ||||
Dropbox, Inc. Class A(NON) | 36,923 | 775,014 | ||||
Duck Creek Technologies, Inc.(NON) | 19,530 | 290,021 | ||||
Extreme Networks, Inc.(NON) | 41,015 | 365,854 | ||||
Fortinet, Inc.(NON) | 13,000 | 735,540 | ||||
Loyalty Ventures, Inc.(NON) | 22,529 | 80,429 | ||||
MSCI, Inc. | 4,621 | 1,904,545 | ||||
N-Able, Inc.(NON) | 7,887 | 70,983 | ||||
NetApp, Inc. | 10,900 | 711,116 | ||||
NetScout Systems, Inc.(NON) | 3,087 | 104,495 | ||||
Nutanix, Inc. Class A(NON) | 48,700 | 712,481 | ||||
OneSpan, Inc.(NON) | 5,632 | 67,021 | ||||
Pure Storage, Inc. Class A(NON) | 119,300 | 3,067,203 | ||||
Qualys, Inc.(NON) | 3,818 | 481,603 | ||||
ServiceNow, Inc.(NON) | 8,060 | 3,832,691 | ||||
Snowflake, Inc. Class A(NON) | 27,783 | 3,863,504 | ||||
SolarWinds Corp. | 6,397 | 65,569 | ||||
Sprout Social, Inc. Class A(NON) | 6,876 | 399,289 | ||||
SS&C Technologies Holdings, Inc. | 12,123 | 703,983 | ||||
Super Micro Computer, Inc.(NON) | 9,716 | 392,041 | ||||
Synopsys, Inc.(NON) | 23,200 | 7,045,840 | ||||
Xperi Holding Corp. | 18,801 | 271,298 | ||||
106,213,186 | ||||||
Conglomerates (0.4%) | ||||||
3M Co. | 5,528 | 715,378 | ||||
AMETEK, Inc. | 35,501 | 3,901,205 | ||||
General Electric Co. | 14,622 | 930,983 | ||||
Marubeni Corp. (Japan) | 148,600 | 1,340,554 | ||||
Mitsubishi Corp. (Japan) | 85,000 | 2,529,076 | ||||
SPX Corp.(NON) | 3,771 | 199,260 | ||||
9,616,456 | ||||||
Consumer cyclicals (9.3%) | ||||||
Abercrombie & Fitch Co. Class A(NON) | 12,682 | 214,579 | ||||
Amazon.com, Inc.(NON) | 314,825 | 33,437,563 | ||||
Aramark | 47,163 | 1,444,603 | ||||
Aristocrat Leisure, Ltd. (Australia) | 37,815 | 897,380 | ||||
Arrowhead Pharmaceuticals, Inc.(NON) | 10,681 | 376,078 | ||||
Automatic Data Processing, Inc. | 3,500 | 735,140 | ||||
Autonation, Inc.(NON) | 6,300 | 704,088 | ||||
AutoZone, Inc.(NON) | 3,200 | 6,877,184 | ||||
Beazer Homes USA, Inc.(NON) | 8,453 | 102,028 | ||||
Berkeley Group Holdings PLC (The) (United Kingdom) | 7,638 | 346,248 | ||||
BJ's Wholesale Club Holdings, Inc.(NON) | 44,761 | 2,789,506 | ||||
Bluegreen Vacations Holding Corp. | 2,641 | 65,919 | ||||
BlueLinx Holdings, Inc.(NON) | 2,194 | 146,581 | ||||
Bollore SA (France) | 31,554 | 146,156 | ||||
Booking Holdings, Inc.(NON) | 6,377 | 11,153,309 | ||||
Booz Allen Hamilton Holding Corp. | 14,733 | 1,331,274 | ||||
Boyd Gaming Corp. | 12,800 | 636,800 | ||||
Brambles, Ltd. (Australia) | 79,040 | 584,310 | ||||
Buckle, Inc. (The) | 2,427 | 67,204 | ||||
Caleres, Inc. | 12,254 | 321,545 | ||||
Choice Hotels International, Inc. | 5,800 | 647,454 | ||||
Chow Tai Fook Jewellery Group, Ltd. (Hong Kong) | 205,200 | 385,986 | ||||
Churchill Downs, Inc. | 3,600 | 689,508 | ||||
Cie Financiere Richemont SA Class A (Switzerland) | 4,380 | 466,377 | ||||
Cintas Corp. | 2,255 | 842,310 | ||||
CK Hutchison Holdings, Ltd. (Hong Kong) | 385,000 | 2,602,877 | ||||
CoStar Group, Inc.(NON) | 12,600 | 761,166 | ||||
CRA International, Inc. | 1,003 | 89,588 | ||||
Crocs, Inc.(NON) | 1,385 | 67,408 | ||||
Daiwa House Industry Co., Ltd. (Japan) | 43,700 | 1,018,421 | ||||
Dillard's, Inc. Class A | 1,547 | 341,222 | ||||
Entravision Communications Corp. Class A | 14,397 | 65,650 | ||||
Expedia Group, Inc.(NON) | 5,739 | 544,229 | ||||
FactSet Research Systems, Inc. | 2,035 | 782,600 | ||||
FleetCor Technologies, Inc.(NON) | 3,115 | 654,493 | ||||
Flutter Entertainment PLC (Ireland)(NON) | 7,671 | 769,817 | ||||
Foot Locker, Inc. | 2,490 | 62,873 | ||||
Ford Motor Co. | 383,542 | 4,268,822 | ||||
Gartner, Inc.(NON) | 16,700 | 4,038,561 | ||||
General Motors Co.(NON) | 86,186 | 2,737,267 | ||||
Genuine Parts Co. | 14,200 | 1,888,600 | ||||
GMS, Inc.(NON) | 4,557 | 202,787 | ||||
Golden Entertainment, Inc.(NON) | 3,795 | 150,092 | ||||
Goodyear Tire & Rubber Co. (The)(NON) | 11,626 | 124,514 | ||||
Group 1 Automotive, Inc. | 514 | 87,277 | ||||
Hackett Group, Inc. (The) | 5,111 | 96,956 | ||||
Hermes International (France) | 1,216 | 1,359,686 | ||||
Hilton Worldwide Holdings, Inc. | 19,771 | 2,203,280 | ||||
Home Depot, Inc. (The) | 12,066 | 3,309,342 | ||||
ICF International, Inc. | 817 | 77,615 | ||||
iHeartMedia, Inc. Class A(NON) | 11,903 | 93,915 | ||||
Industria de Diseno Textil SA (Spain) | 39,733 | 898,969 | ||||
InterContinental Hotels Group PLC (United Kingdom) | 17,275 | 914,756 | ||||
International Game Technology PLC | 18,010 | 334,266 | ||||
Interpublic Group of Cos., Inc. (The) | 24,600 | 677,238 | ||||
JD Sports Fashion PLC (United Kingdom) | 637,489 | 895,522 | ||||
John Wiley & Sons, Inc. Class A | 1,518 | 72,500 | ||||
Kontoor Brands, Inc. | 2,151 | 71,779 | ||||
La Francaise des Jeux SAEM (France) | 11,573 | 400,464 | ||||
Laureate Education, Inc. | 34,133 | 394,919 | ||||
Live Nation Entertainment, Inc.(NON) | 30,100 | 2,485,658 | ||||
LiveRamp Holdings, Inc.(NON) | 11,330 | 292,427 | ||||
Lowe's Cos., Inc. | 3,999 | 698,505 | ||||
Lululemon Athletica, Inc. (Canada)(NON) | 10,233 | 2,789,618 | ||||
LVMH Moet Hennessy Louis Vuitton SA (France) | 5,180 | 3,157,690 | ||||
MarineMax, Inc.(NON) | 1,943 | 70,181 | ||||
Marriott International, Inc./MD Class A | 4,200 | 571,242 | ||||
Masonite International Corp.(NON) | 1,327 | 101,953 | ||||
Mastercard, Inc. Class A | 23,772 | 7,499,591 | ||||
MasterCraft Boat Holdings, Inc.(NON) | 3,360 | 70,728 | ||||
Medifast, Inc. | 460 | 83,035 | ||||
Modine Manufacturing Co.(NON) | 9,187 | 96,739 | ||||
Moncler SpA (Italy) | 31,245 | 1,340,179 | ||||
Movado Group, Inc. | 2,268 | 70,149 | ||||
Murphy USA, Inc. | 334 | 77,779 | ||||
NeoGames SA (Israel)(NON) | 2,635 | 35,335 | ||||
Network International Holdings PLC (United Arab Emirates)(NON) | 420,269 | 965,889 | ||||
New York Times Co. (The) Class A | 22,383 | 624,486 | ||||
News Corp. Class A | 44,315 | 690,428 | ||||
Nike, Inc. Class B | 37,006 | 3,782,013 | ||||
Nintendo Co., Ltd. (Japan) | 4,300 | 1,859,699 | ||||
O'Reilly Automotive, Inc.(NON) | 18,293 | 11,556,785 | ||||
Oxford Industries, Inc. | 1,027 | 91,136 | ||||
Pandora A/S (Denmark) | 11,003 | 692,188 | ||||
PayPal Holdings, Inc.(NON) | 8,900 | 621,576 | ||||
Penske Automotive Group, Inc. | 6,400 | 670,016 | ||||
Pitney Bowes, Inc. | 48,833 | 176,775 | ||||
Porsche Automobil Holding SE (Preference) (Germany) | 4,837 | 319,951 | ||||
PROG Holdings, Inc.(NON) | 4,060 | 66,990 | ||||
Publicis Groupe SA (France) | 21,722 | 1,062,148 | ||||
PulteGroup, Inc. | 73,489 | 2,912,369 | ||||
QuinStreet, Inc.(NON) | 8,972 | 90,258 | ||||
RE/MAX Holdings, Inc. Class A | 3,156 | 77,385 | ||||
Red Rock Resorts, Inc. Class A | 10,735 | 358,120 | ||||
Rivian Automotive, Inc. Class A(NON) | 25,400 | 653,796 | ||||
Sabre Corp.(NON) | 11,151 | 65,010 | ||||
Scholastic Corp. | 2,150 | 77,336 | ||||
Signet Jewelers, Ltd. | 7,080 | 378,497 | ||||
Skyline Champion Corp.(NON) | 7,642 | 362,384 | ||||
Smith & Wesson Brands, Inc. | 25,981 | 341,131 | ||||
Sofina SA (Belgium) | 607 | 124,041 | ||||
Sonos, Inc.(NON) | 4,297 | 77,518 | ||||
Sony Group Corp. (Japan) | 47,700 | 3,900,586 | ||||
SP Plus Corp.(NON) | 2,339 | 71,854 | ||||
Stellantis NV (Italy) | 128,069 | 1,581,261 | ||||
Steven Madden, Ltd. | 2,198 | 70,798 | ||||
Tapestry, Inc. | 22,300 | 680,596 | ||||
Target Corp. | 20,821 | 2,940,549 | ||||
Terminix Global Holdings, Inc.(NON) | 18,300 | 743,895 | ||||
Tesla, Inc.(NON) | 20,273 | 13,652,244 | ||||
Thomson Reuters Corp. (Canada) | 18,833 | 1,963,331 | ||||
TJX Cos., Inc. (The) | 12,500 | 698,125 | ||||
Toll Brothers, Inc. | 16,955 | 756,193 | ||||
Toyota Motor Corp. (Japan) | 16,800 | 260,024 | ||||
Travel + Leisure Co. | 14,065 | 546,003 | ||||
TRI Pointe Homes, Inc.(NON) | 19,547 | 329,758 | ||||
TuSimple Holdings, Inc. Class A(NON) | 45,943 | 332,168 | ||||
United Rentals, Inc.(NON) | 7,163 | 1,739,964 | ||||
Universal Electronics, Inc.(NON) | 1,455 | 37,204 | ||||
Universal Music Group NV (Netherlands) | 230,388 | 4,619,619 | ||||
Vail Resorts, Inc. | 3,379 | 736,791 | ||||
Vectrus, Inc.(NON) | 1,229 | 41,122 | ||||
Vista Outdoor, Inc.(NON) | 10,294 | 287,203 | ||||
Visteon Corp.(NON) | 4,119 | 426,646 | ||||
Volkswagen AG (Preference) (Germany) | 11,522 | 1,538,530 | ||||
Volvo AB Class B (Sweden) | 31,002 | 479,982 | ||||
Walmart, Inc. | 128,691 | 15,646,252 | ||||
Walt Disney Co. (The)(NON) | 7,140 | 674,016 | ||||
Warby Parker, Inc. Class A(NON) | 5,698 | 64,159 | ||||
Warner Bros Discovery, Inc.(NON) | 45,690 | 613,160 | ||||
Wesfarmers, Ltd. (Australia) | 40,842 | 1,181,493 | ||||
World Fuel Services Corp. | 9,598 | 196,375 | ||||
Worldline SA/France (France)(NON) | 34,679 | 1,285,775 | ||||
Wyndham Hotels & Resorts, Inc. | 16,100 | 1,058,092 | ||||
205,761,103 | ||||||
Consumer staples (5.0%) | ||||||
ACCO Brands Corp. | 14,465 | 94,456 | ||||
Airbnb, Inc. Class A(NON) | 12,323 | 1,097,733 | ||||
Asahi Group Holdings, Ltd. (Japan) | 64,200 | 2,103,250 | ||||
Bloomin' Brands, Inc. | 4,849 | 80,590 | ||||
Cargurus, Inc.(NON) | 12,621 | 271,225 | ||||
Cars.com, Inc.(NON) | 9,864 | 93,018 | ||||
ChannelAdvisor Corp.(NON) | 5,507 | 80,292 | ||||
Chipotle Mexican Grill, Inc.(NON) | 1,874 | 2,449,805 | ||||
Coca-Cola Co. (The) | 178,784 | 11,247,301 | ||||
Coca-Cola Consolidated, Inc. | 782 | 440,970 | ||||
Coca-Cola Europacific Partners PLC (United Kingdom) | 48,693 | 2,513,046 | ||||
Coca-Cola HBC AG (Italy) | 22,738 | 504,311 | ||||
Coles Group, Ltd. (Australia) | 108,862 | 1,338,279 | ||||
Colgate-Palmolive Co. | 9,782 | 783,929 | ||||
Copart, Inc.(NON) | 6,800 | 738,888 | ||||
CoreCivic, Inc.(NON) | 18,991 | 210,990 | ||||
Costco Wholesale Corp. | 14,242 | 6,825,905 | ||||
Diageo PLC (United Kingdom) | 104,654 | 4,497,693 | ||||
DoorDash, Inc. Class A(NON) | 11,000 | 705,870 | ||||
Estee Lauder Cos., Inc. (The) Class A | 11,746 | 2,991,354 | ||||
Ferguson PLC (United Kingdom) | 12,251 | 1,370,220 | ||||
FIGS, Inc. Class A(NON) | 8,839 | 80,523 | ||||
G-III Apparel Group, Ltd.(NON) | 3,268 | 66,112 | ||||
Hain Celestial Group, Inc. (The)(NON) | 8,180 | 194,193 | ||||
Heidrick & Struggles International, Inc. | 2,813 | 91,029 | ||||
Herc Holdings, Inc. | 771 | 69,506 | ||||
Hershey Co. (The) | 16,066 | 3,456,761 | ||||
Hostess Brands, Inc.(NON) | 21,439 | 454,721 | ||||
Imperial Brands PLC (United Kingdom) | 68,236 | 1,525,050 | ||||
Ingles Markets, Inc. Class A | 1,978 | 171,592 | ||||
ITOCHU Corp. (Japan) | 57,800 | 1,562,150 | ||||
Itron, Inc.(NON) | 8,305 | 410,516 | ||||
Jeronimo Martins SGPS SA (Portugal) | 102,109 | 2,219,286 | ||||
John B. Sanfilippo & Son, Inc. | 1,077 | 78,072 | ||||
Keurig Dr Pepper, Inc. | 100,746 | 3,565,401 | ||||
Kforce, Inc. | 2,693 | 165,189 | ||||
Koninklijke Ahold Delhaize NV (Netherlands) | 58,656 | 1,528,108 | ||||
Korn Ferry | 7,910 | 458,938 | ||||
Kraft Heinz Co. (The) | 21,000 | 800,940 | ||||
L'Oreal SA (France) | 6,479 | 2,235,838 | ||||
ManpowerGroup, Inc. | 10,400 | 794,664 | ||||
McDonald's Corp. | 3,000 | 740,640 | ||||
McDonald's Holdings Co. (Japan), Ltd. (Japan) | 19,200 | 699,057 | ||||
Mondelez International, Inc. Class A | 12,300 | 763,707 | ||||
Nestle SA (Switzerland) | 15,816 | 1,846,263 | ||||
Netflix, Inc.(NON) | 1,879 | 328,581 | ||||
Nissin Food Products Co., Ltd. (Japan) | 6,500 | 448,887 | ||||
PepsiCo, Inc. | 12,200 | 2,033,252 | ||||
Perdoceo Education Corp.(NON) | 18,649 | 219,685 | ||||
Philip Morris International, Inc. | 93,800 | 9,261,812 | ||||
Primo Water Corp. | 19,498 | 260,883 | ||||
Procter & Gamble Co. (The) | 138,229 | 19,875,948 | ||||
Recruit Holdings Co., Ltd. (Japan) | 24,900 | 733,163 | ||||
Resideo Technologies, Inc.(NON) | 3,445 | 66,902 | ||||
Resources Connection, Inc. | 4,488 | 91,421 | ||||
Sally Beauty Holdings, Inc.(NON) | 25,252 | 301,004 | ||||
ScanSource, Inc.(NON) | 3,660 | 113,972 | ||||
Simply Good Foods Co. (The)(NON) | 7,842 | 296,192 | ||||
SpartanNash Co. | 3,936 | 118,749 | ||||
Starbucks Corp. | 8,800 | 672,232 | ||||
TriNet Group, Inc.(NON) | 5,478 | 425,202 | ||||
Tyson Foods, Inc. Class A | 8,820 | 759,049 | ||||
Uber Technologies, Inc.(NON) | 133,850 | 2,738,571 | ||||
Udemy, Inc.(NON) | 7,265 | 74,176 | ||||
Ulta Beauty, Inc.(NON) | 13,200 | 5,088,336 | ||||
United Natural Foods, Inc.(NON) | 9,831 | 387,341 | ||||
USANA Health Sciences, Inc.(NON) | 1,039 | 75,182 | ||||
Vector Group, Ltd. | 20,385 | 214,043 | ||||
Veritiv Corp.(NON) | 2,715 | 294,713 | ||||
Yakult Honsha Co., Ltd. (Japan) | 29,900 | 1,725,509 | ||||
111,022,186 | ||||||
Electronics (2.6%) | ||||||
Advanced Micro Devices, Inc.(NON) | 24,184 | 1,849,351 | ||||
Agilent Technologies, Inc. | 23,600 | 2,802,972 | ||||
Alpha & Omega Semiconductor, Ltd.(NON) | 8,987 | 299,627 | ||||
Ambarella, Inc.(NON) | 1,034 | 67,686 | ||||
CEVA, Inc.(NON) | 3,423 | 114,876 | ||||
Garmin, Ltd. | 10,700 | 1,051,275 | ||||
Hoya Corp. (Japan) | 38,100 | 3,253,158 | ||||
Intel Corp. | 17,356 | 649,288 | ||||
Knowles Corp.(NON) | 14,934 | 258,806 | ||||
Marvell Technology, Inc. | 36,399 | 1,584,448 | ||||
Minebea Mitsumi, Inc. (Japan) | 56,900 | 968,743 | ||||
Monolithic Power Systems, Inc. | 1,928 | 740,429 | ||||
Murata Manufacturing Co., Ltd. (Japan) | 26,000 | 1,417,276 | ||||
NVIDIA Corp. | 117,629 | 17,831,381 | ||||
NXP Semiconductors NV | 8,424 | 1,247,005 | ||||
Qualcomm, Inc. | 109,827 | 14,029,301 | ||||
Rambus, Inc.(NON) | 19,028 | 408,912 | ||||
Sartorius AG (Preference) (Germany) | 1,872 | 654,052 | ||||
Semtech Corp.(NON) | 8,072 | 443,718 | ||||
Shimadzu Corp. (Japan) | 28,000 | 885,318 | ||||
Silergy Corp. (China) | 1,000 | 80,549 | ||||
STMicroelectronics NV (France) | 33,496 | 1,053,064 | ||||
Synaptics, Inc.(NON) | 2,142 | 252,863 | ||||
Texas Instruments, Inc. | 9,569 | 1,470,277 | ||||
Thales SA (France) | 25,843 | 3,169,968 | ||||
Vishay Intertechnology, Inc. | 4,502 | 80,226 | ||||
Vontier Corp. | 55,936 | 1,285,969 | ||||
57,950,538 | ||||||
Energy (2.9%) | ||||||
APA Corp. | 15,906 | 555,119 | ||||
BP PLC (United Kingdom) | 473,157 | 2,236,508 | ||||
California Resources Corp. | 10,980 | 422,730 | ||||
Cheniere Energy, Inc. | 28,600 | 3,804,658 | ||||
Chevron Corp. | 34,800 | 5,038,344 | ||||
ConocoPhillips | 51,078 | 4,587,315 | ||||
DCC PLC (Ireland) | 12,678 | 786,771 | ||||
Denbury, Inc.(NON) | 6,682 | 400,853 | ||||
Enterprise Products Partners LP | 67,839 | 1,653,236 | ||||
EOG Resources, Inc. | 9,904 | 1,093,798 | ||||
Equinor ASA (Norway) | 50,658 | 1,761,769 | ||||
Exxon Mobil Corp. | 142,809 | 12,230,163 | ||||
Fluence Energy, Inc.(NON) | 7,904 | 74,930 | ||||
Golar LNG, Ltd. (Norway)(NON) | 8,109 | 184,480 | ||||
Halliburton Co. | 18,600 | 583,296 | ||||
Marathon Oil Corp. | 185,707 | 4,174,693 | ||||
Marathon Petroleum Corp. | 25,215 | 2,072,925 | ||||
NOW, Inc.(NON) | 38,390 | 375,454 | ||||
Oasis Petroleum, Inc. | 6,088 | 740,605 | ||||
Occidental Petroleum Corp. | 13,700 | 806,656 | ||||
Oceaneering International, Inc.(NON) | 24,449 | 261,115 | ||||
Orsted AS (Denmark) | 2,922 | 305,434 | ||||
PBF Energy, Inc. Class A(NON) | 11,767 | 341,478 | ||||
Phillips 66 | 9,600 | 787,104 | ||||
Schlumberger, Ltd. | 16,300 | 582,888 | ||||
Shell PLC (London Exchange) (United Kingdom) | 226,029 | 5,871,598 | ||||
Shell PLC (Euronext Amsterdan Exchange) (United Kingdom) | 144,151 | 3,753,161 | ||||
Shoals Technologies Group, Inc. Class A(NON) | 23,544 | 388,005 | ||||
SM Energy Co. | 13,449 | 459,821 | ||||
SunCoke Energy, Inc. | 16,522 | 112,515 | ||||
Talos Energy, Inc.(NON) | 23,289 | 360,281 | ||||
Targa Resources Corp. | 42,400 | 2,530,008 | ||||
Valero Energy Corp. | 36,475 | 3,876,563 | ||||
Warrior Met Coal, Inc. | 12,476 | 381,890 | ||||
63,596,164 | ||||||
Financials (9.7%) | ||||||
3i Group PLC (United Kingdom) | 16,322 | 220,245 | ||||
AIA Group, Ltd. (Hong Kong) | 216,800 | 2,349,855 | ||||
Alexander & Baldwin, Inc.(R) | 11,405 | 204,720 | ||||
Alleghany Corp.(NON) | 900 | 749,790 | ||||
Allianz SE (Germany) | 2,366 | 451,557 | ||||
Allstate Corp. (The) | 6,000 | 760,380 | ||||
Ally Financial, Inc. | 85,700 | 2,871,807 | ||||
American Campus Communities, Inc.(R) | 15,036 | 969,371 | ||||
American Equity Investment Life Holding Co. | 2,825 | 103,310 | ||||
American Financial Group, Inc. | 5,454 | 757,070 | ||||
American International Group, Inc. | 63,816 | 3,262,912 | ||||
Ameriprise Financial, Inc. | 17,800 | 4,230,704 | ||||
Ameris Bancorp | 2,095 | 84,177 | ||||
AMERISAFE, Inc. | 1,742 | 90,601 | ||||
Apartment Income REIT Corp.(R) | 17,832 | 741,811 | ||||
Apollo Global Management, Inc. | 33,952 | 1,645,993 | ||||
Apple Hospitality REIT, Inc.(R) | 11,907 | 174,676 | ||||
Arch Capital Group, Ltd.(NON) | 8,800 | 400,312 | ||||
Argo Group International Holdings, Ltd. (Bermuda) | 2,997 | 110,469 | ||||
Armada Hoffler Properties, Inc.(R) | 5,653 | 72,585 | ||||
Associated Banc-Corp. | 4,144 | 75,669 | ||||
Assured Guaranty, Ltd. | 56,699 | 3,163,237 | ||||
Atlantic Union Bankshares Corp. | 4,733 | 160,543 | ||||
AvalonBay Communities, Inc.(R) | 3,800 | 738,150 | ||||
Aviva PLC (United Kingdom) | 179,786 | 878,259 | ||||
AXA SA (France) | 124,404 | 2,823,796 | ||||
Axis Capital Holdings, Ltd. | 14,400 | 822,096 | ||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 355,850 | 1,614,900 | ||||
Banco Santander SA (Spain) | 667,176 | 1,879,361 | ||||
Bank Leumi Le-Israel BM (Israel) | 165,881 | 1,474,572 | ||||
Bank of America Corp. | 205,993 | 6,412,562 | ||||
Bank of Ireland Group PLC (Ireland) | 367,349 | 2,322,099 | ||||
Banner Corp. | 3,137 | 176,331 | ||||
Berkshire Hathaway, Inc. Class B(NON) | 6,189 | 1,689,721 | ||||
BGC Partners, Inc. Class A | 59,136 | 199,288 | ||||
Blackstone, Inc. | 6,496 | 592,630 | ||||
Blucora, Inc.(NON) | 5,615 | 103,653 | ||||
BNP Paribas SA (France) | 38,709 | 1,840,236 | ||||
BOC Hong Kong Holdings, Ltd. (Hong Kong) | 199,500 | 788,156 | ||||
Boston Properties, Inc.(R) | 22,249 | 1,979,716 | ||||
BrightSpire Capital, Inc.(R) | 9,578 | 72,314 | ||||
Brixmor Property Group, Inc.(R) | 32,407 | 654,945 | ||||
Brookline Bancorp, Inc. | 5,309 | 70,663 | ||||
BRT Apartments Corp.(R) | 2,208 | 47,450 | ||||
Camden Property Trust(R) | 6,100 | 820,328 | ||||
Capital One Financial Corp. | 21,453 | 2,235,188 | ||||
Carlyle Group, Inc. (The) | 21,771 | 689,270 | ||||
Cathay General Bancorp | 10,352 | 405,281 | ||||
CBRE Group, Inc. Class A(NON) | 37,900 | 2,789,819 | ||||
Central Pacific Financial Corp. | 3,384 | 72,587 | ||||
Charles Schwab Corp. (The) | 94,747 | 5,986,115 | ||||
Chubb, Ltd. | 4,036 | 793,397 | ||||
Citigroup, Inc. | 267,225 | 12,289,677 | ||||
City Office REIT, Inc. (Canada)(R) | 6,022 | 77,985 | ||||
CK Asset Holdings, Ltd. (Hong Kong) | 190,659 | 1,348,521 | ||||
CNO Financial Group, Inc. | 20,488 | 370,628 | ||||
Commonwealth Bank of Australia (Australia) | 1,007 | 62,822 | ||||
ConnectOne Bancorp, Inc. | 2,773 | 67,800 | ||||
Corporate Office Properties Trust(R) | 3,389 | 88,758 | ||||
CubeSmart(R) | 52,200 | 2,229,984 | ||||
Cushman & Wakefield PLC(NON) | 22,409 | 341,513 | ||||
Customers Bancorp, Inc.(NON) | 7,374 | 249,979 | ||||
Dai-ichi Life Holdings, Inc. (Japan) | 50,700 | 937,920 | ||||
DBS Group Holdings, Ltd. (Singapore) | 183,100 | 3,911,616 | ||||
Deutsche Boerse AG (Germany) | 17,572 | 2,938,967 | ||||
Dexus (Australia)(R) | 73,302 | 449,299 | ||||
Discover Financial Services | 7,492 | 708,593 | ||||
Duke Realty Corp.(R) | 14,500 | 796,775 | ||||
Eagle Bancorp, Inc. | 2,328 | 110,370 | ||||
East West Bancorp, Inc. | 28,600 | 1,853,280 | ||||
Employers Holdings, Inc. | 2,328 | 97,520 | ||||
Encore Capital Group, Inc.(NON) | 2,434 | 140,612 | ||||
Enova International, Inc.(NON) | 2,461 | 70,926 | ||||
Enterprise Financial Services Corp. | 3,633 | 150,770 | ||||
Equitable Holdings, Inc. | 121,465 | 3,166,593 | ||||
Equity Lifestyle Properties, Inc.(R) | 10,600 | 746,982 | ||||
Essent Group, Ltd. | 12,384 | 481,738 | ||||
Essential Properties Realty Trust, Inc.(R) | 20,138 | 432,766 | ||||
Essex Property Trust, Inc.(R) | 2,800 | 732,228 | ||||
Everest Re Group, Ltd. | 2,800 | 784,784 | ||||
Exor NV (Netherlands) | 8,851 | 551,701 | ||||
Extra Space Storage, Inc.(R) | 4,200 | 714,504 | ||||
Fifth Third Bancorp | 19,500 | 655,200 | ||||
First BanCorp/Puerto Rico (Puerto Rico) | 32,683 | 421,938 | ||||
First Bancshares, Inc. (The) | 1,704 | 48,734 | ||||
First Busey Corp. | 3,898 | 89,069 | ||||
First Commonwealth Financial Corp. | 6,049 | 81,178 | ||||
First Financial Corp./IN | 2,032 | 90,424 | ||||
First Foundation, Inc. | 3,588 | 73,482 | ||||
First Industrial Realty Trust, Inc.(R) | 14,807 | 703,036 | ||||
Flagstar Bancorp, Inc. | 10,806 | 383,073 | ||||
Four Corners Property Trust, Inc.(R) | 2,671 | 71,022 | ||||
Fulton Financial Corp. | 16,438 | 237,529 | ||||
Gaming and Leisure Properties, Inc.(R) | 80,779 | 3,704,525 | ||||
Genworth Financial, Inc. Class A(NON) | 109,962 | 388,166 | ||||
Gjensidige Forsikring ASA (Norway) | 16,447 | 333,125 | ||||
Goldman Sachs Group, Inc. (The) | 41,572 | 12,347,715 | ||||
Goodman Group (Australia)(R) | 110,558 | 1,361,418 | ||||
Granite Point Mortgage Trust, Inc.(R) | 7,665 | 73,354 | ||||
Great Southern Bancorp, Inc. | 1,265 | 74,078 | ||||
Hana Financial Group, Inc. (South Korea) | 45,815 | 1,388,494 | ||||
Hancock Whitney Corp. | 10,455 | 463,470 | ||||
Hanmi Financial Corp. | 5,042 | 113,142 | ||||
Hilltop Holdings, Inc. | 7,694 | 205,122 | ||||
HomeStreet, Inc. | 2,145 | 74,367 | ||||
Hope Bancorp, Inc. | 20,867 | 288,799 | ||||
Horace Mann Educators Corp. | 8,064 | 309,496 | ||||
Horizon Bancorp, Inc./IN | 4,433 | 77,223 | ||||
Iida Group Holdings Co., Ltd. (Japan) | 20,500 | 315,629 | ||||
Independent Bank Corp./MI | 2,210 | 42,609 | ||||
Industrial Logistics Properties Trust(R) | 5,504 | 77,496 | ||||
International Bancshares Corp. | 2,172 | 87,054 | ||||
International Money Express, Inc.(NON) | 9,405 | 192,520 | ||||
Investor AB Class B (Sweden) | 58,840 | 967,346 | ||||
Invitation Homes, Inc.(R) | 20,500 | 729,390 | ||||
Israel Discount Bank, Ltd. Class A (Israel) | 114,538 | 595,488 | ||||
iStar, Inc.(R) | 7,345 | 100,700 | ||||
Japan Exchange Group, Inc. (Japan) | 73,900 | 1,066,452 | ||||
Japan Post Holdings Co., Ltd. (Japan) | 231,900 | 1,656,355 | ||||
Jones Lang LaSalle, Inc.(NON) | 4,100 | 716,926 | ||||
JPMorgan Chase & Co. | 146,385 | 16,484,415 | ||||
Kennedy-Wilson Holdings, Inc. | 4,931 | 93,393 | ||||
KeyCorp | 32,133 | 553,652 | ||||
Lamar Advertising Co. Class A(R) | 8,000 | 703,760 | ||||
Lemonade, Inc.(NON) | 18,993 | 346,812 | ||||
Life Storage, Inc.(R) | 18,100 | 2,021,046 | ||||
Lloyds Banking Group PLC (United Kingdom) | 466,763 | 240,402 | ||||
London Stock Exchange Group PLC (United Kingdom) | 27,887 | 2,590,824 | ||||
Marcus & Millichap, Inc. | 6,223 | 230,189 | ||||
Marsh & McLennan Cos., Inc. | 5,566 | 864,122 | ||||
Meta Financial Group, Inc. | 6,783 | 262,299 | ||||
MetLife, Inc. | 126,700 | 7,955,493 | ||||
MFA Financial, Inc.(R) | 6,460 | 69,445 | ||||
MGIC Investment Corp. | 59,159 | 745,403 | ||||
Midland States Bancorp, Inc. | 2,238 | 53,802 | ||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 488,700 | 2,627,195 | ||||
Mizrahi Tefahot Bank, Ltd. (Israel) | 4,181 | 138,251 | ||||
Mr. Cooper Group, Inc.(NON) | 10,197 | 374,638 | ||||
National Australia Bank, Ltd. (Australia) | 3,836 | 72,523 | ||||
National Bank Holdings Corp. Class A | 3,043 | 116,456 | ||||
National Health Investors, Inc.(R) | 1,679 | 101,764 | ||||
Navient Corp. | 28,704 | 401,569 | ||||
NBT Bancorp, Inc. | 3,955 | 148,668 | ||||
New Residential Investment Corp.(R) | 68,028 | 634,021 | ||||
New York Mortgage Trust, Inc.(R) | 27,321 | 75,406 | ||||
Nicolet Bankshares, Inc.(NON) | 440 | 31,830 | ||||
NN Group NV (Netherlands) | 3,107 | 141,114 | ||||
Nomura Real Estate Holdings, Inc. (Japan) | 18,600 | 455,815 | ||||
OceanFirst Financial Corp. | 6,194 | 118,491 | ||||
OFG Bancorp (Puerto Rico) | 5,467 | 138,862 | ||||
Old Republic International Corp. | 31,393 | 701,947 | ||||
OneMain Holdings, Inc. | 17,442 | 651,982 | ||||
Orion Office REIT, Inc.(R) | 17,978 | 197,039 | ||||
Outfront Media, Inc.(R) | 24,521 | 415,631 | ||||
Partners Group Holding AG (Switzerland) | 1,366 | 1,230,852 | ||||
Peapack-Gladstone Financial Corp. | 1,662 | 49,361 | ||||
PennyMac Financial Services, Inc. | 7,415 | 324,110 | ||||
Peoples Bancorp, Inc./OH | 1,326 | 35,272 | ||||
Piedmont Office Realty Trust, Inc. Class A(R) | 16,667 | 218,671 | ||||
Piper Sandler Cos. | 734 | 83,206 | ||||
PNC Financial Services Group, Inc. (The) | 29,385 | 4,636,071 | ||||
Popular, Inc. (Puerto Rico) | 9,316 | 716,680 | ||||
Preferred Bank/Los Angeles CA | 1,387 | 94,344 | ||||
ProAssurance Corp. | 4,428 | 104,634 | ||||
Prologis, Inc.(R) | 6,050 | 711,783 | ||||
Prudential PLC (United Kingdom) | 131,307 | 1,623,975 | ||||
Public Storage(R) | 2,900 | 906,743 | ||||
QCR Holdings, Inc. | 1,457 | 78,663 | ||||
Radian Group, Inc. | 4,396 | 86,381 | ||||
Realogy Holdings Corp.(NON) | 23,590 | 231,890 | ||||
Redwood Trust, Inc.(R) | 25,303 | 195,086 | ||||
Reinsurance Group of America, Inc. | 7,327 | 859,384 | ||||
Retail Opportunity Investments Corp.(R) | 20,113 | 317,383 | ||||
RPT Realty(R) | 11,609 | 114,116 | ||||
S&T Bancorp, Inc. | 2,825 | 77,490 | ||||
Safety Insurance Group, Inc. | 710 | 68,941 | ||||
Sculptor Capital Management, Inc. | 7,137 | 59,594 | ||||
Selective Insurance Group, Inc. | 1,182 | 102,763 | ||||
Simon Property Group, Inc.(R) | 6,987 | 663,206 | ||||
SITE Centers Corp.(R) | 5,904 | 79,527 | ||||
SLM Corp. | 39,400 | 628,036 | ||||
STAG Industrial, Inc.(R) | 16,118 | 497,724 | ||||
Starwood Property Trust, Inc.(R) | 34,067 | 711,660 | ||||
State Street Corp. | 20,173 | 1,243,665 | ||||
Stewart Information Services Corp. | 3,898 | 193,926 | ||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 26,100 | 775,613 | ||||
Sumitomo Realty & Development Co., Ltd. (Japan) | 9,000 | 237,670 | ||||
Sunstone Hotel Investors, Inc.(NON)(R) | 39,796 | 394,776 | ||||
SVB Financial Group(NON) | 1,625 | 641,859 | ||||
Synchrony Financial | 99,067 | 2,736,231 | ||||
Terreno Realty Corp.(R) | 1,196 | 66,653 | ||||
TPG RE Finance Trust, Inc.(R) | 9,190 | 82,802 | ||||
UBS Group AG (Switzerland) | 118,365 | 1,908,173 | ||||
UMB Financial Corp. | 4,194 | 361,103 | ||||
United Fire Group, Inc. | 2,406 | 82,357 | ||||
United Overseas Bank, Ltd. (Singapore) | 78,400 | 1,481,322 | ||||
Universal Insurance Holdings, Inc. | 6,772 | 88,239 | ||||
Univest Financial Corp. | 1,878 | 47,776 | ||||
Unum Group | 35,073 | 1,193,183 | ||||
Urban Edge Properties(R) | 5,175 | 78,712 | ||||
Virtu Financial, Inc. Class A | 31,300 | 732,733 | ||||
Virtus Investment Partners, Inc. | 1,137 | 194,450 | ||||
Visa, Inc. Class A | 36,140 | 7,115,605 | ||||
W.R. Berkley Corp. | 13,741 | 937,961 | ||||
Washington Federal, Inc. | 5,872 | 176,277 | ||||
Wells Fargo & Co. | 131,448 | 5,148,818 | ||||
WesBanco, Inc. | 5,439 | 172,471 | ||||
Wintrust Financial Corp. | 4,400 | 352,660 | ||||
Zurich Insurance Group AG (Switzerland) | 1,415 | 615,417 | ||||
215,461,689 | ||||||
Government (—%) | ||||||
Poste Italiane SpA (Italy) | 25,893 | 241,823 | ||||
241,823 | ||||||
Health care (9.8%) | ||||||
Abbott Laboratories | 117,365 | 12,751,707 | ||||
AbbVie, Inc. | 76,496 | 11,716,127 | ||||
ABIOMED, Inc.(NON) | 2,877 | 712,086 | ||||
Adaptive Biotechnologies Corp.(NON) | 43,080 | 348,517 | ||||
Agenus, Inc.(NON) | 106,664 | 206,928 | ||||
Alector, Inc.(NON) | 21,862 | 222,118 | ||||
Alkermes PLC(NON) | 17,102 | 509,469 | ||||
Allscripts Healthcare Solutions, Inc.(NON) | 26,145 | 387,730 | ||||
AmerisourceBergen Corp. | 5,862 | 829,356 | ||||
Amgen, Inc. | 3,026 | 736,226 | ||||
AMN Healthcare Services, Inc.(NON) | 4,546 | 498,742 | ||||
AngioDynamics, Inc.(NON) | 4,088 | 79,103 | ||||
Arvinas, Inc.(NON) | 886 | 37,292 | ||||
AstraZeneca PLC (United Kingdom) | 49,734 | 6,538,450 | ||||
AstraZeneca PLC ADR (United Kingdom) | 65,325 | 4,316,023 | ||||
AtriCure, Inc.(NON) | 2,313 | 94,509 | ||||
Avanos Medical, Inc.(NON) | 6,662 | 182,139 | ||||
Bio-Rad Laboratories, Inc. Class A(NON) | 1,646 | 814,770 | ||||
BioCryst Pharmaceuticals, Inc.(NON) | 8,392 | 88,787 | ||||
Biohaven Pharmaceutical Holding Co., Ltd.(NON) | 4,439 | 646,807 | ||||
Boston Scientific Corp.(NON) | 19,260 | 717,820 | ||||
Bristol-Myers Squibb Co. | 98,272 | 7,566,944 | ||||
Brookdale Senior Living, Inc.(NON) | 17,748 | 80,576 | ||||
Cara Therapeutics, Inc.(NON) | 9,081 | 82,910 | ||||
Cardinal Health, Inc. | 14,384 | 751,852 | ||||
Chugai Pharmaceutical Co., Ltd. (Japan) | 33,900 | 866,989 | ||||
Cigna Corp. | 15,273 | 4,024,741 | ||||
Computer Programs and Systems, Inc.(NON) | 3,119 | 99,714 | ||||
Corcept Therapeutics, Inc.(NON) | 4,171 | 99,186 | ||||
Crinetics Pharmaceuticals, Inc.(NON) | 4,740 | 88,401 | ||||
CVS Health Corp. | 44,314 | 4,106,135 | ||||
Danaher Corp. | 28,284 | 7,170,560 | ||||
DexCom, Inc.(NON) | 28,115 | 2,095,411 | ||||
Eagle Pharmaceuticals, Inc./DE(NON) | 1,788 | 79,441 | ||||
Edwards Lifesciences Corp.(NON) | 37,221 | 3,539,345 | ||||
Elevance Health, Inc. | 9,598 | 4,631,803 | ||||
Eli Lilly and Co. | 39,692 | 12,869,337 | ||||
Enanta Pharmaceuticals, Inc.(NON) | 8,622 | 407,562 | ||||
Euroapi SA (France)(NON) | 1,075 | 16,959 | ||||
Eurofins Scientific (Luxembourg) | 6,093 | 479,398 | ||||
Exelixis, Inc.(NON) | 41,000 | 853,620 | ||||
FibroGen, Inc.(NON) | 23,529 | 248,466 | ||||
Fisher & Paykel Healthcare Corp., Ltd. (New Zealand) | 13,251 | 165,353 | ||||
Fulgent Genetics, Inc.(NON) | 6,989 | 381,110 | ||||
Getinge AB Class B (Sweden) | 20,486 | 473,412 | ||||
Glaukos Corp.(NON) | 2,263 | 102,785 | ||||
GlaxoSmithKline PLC (United Kingdom) | 76,794 | 1,650,507 | ||||
HCA Healthcare, Inc. | 11,888 | 1,997,897 | ||||
Hologic, Inc.(NON) | 23,500 | 1,628,550 | ||||
Humana, Inc. | 1,800 | 842,526 | ||||
ICON PLC (Ireland)(NON) | 4,735 | 1,026,075 | ||||
IDEXX Laboratories, Inc.(NON) | 5,128 | 1,798,543 | ||||
IGM Biosciences, Inc.(NON) | 4,208 | 75,870 | ||||
Illumina, Inc.(NON) | 3,437 | 633,645 | ||||
ImmunityBio, Inc.(NON) | 35,174 | 130,847 | ||||
ImmunoGen, Inc.(NON) | 42,076 | 189,342 | ||||
Inari Medical, Inc.(NON) | 1,173 | 79,752 | ||||
Incyte Corp.(NON) | 10,021 | 761,295 | ||||
Inspire Medical Systems, Inc.(NON) | 2,399 | 438,225 | ||||
Integer Holdings Corp.(NON) | 1,123 | 79,351 | ||||
Intercept Pharmaceuticals, Inc.(NON) | 5,799 | 80,084 | ||||
Intuitive Surgical, Inc.(NON) | 12,269 | 2,462,511 | ||||
Ipsen SA (France) | 6,815 | 643,117 | ||||
IQVIA Holdings, Inc.(NON) | 23,734 | 5,150,041 | ||||
iTeos Therapeutics, Inc.(NON) | 7,128 | 146,837 | ||||
IVERIC bio, Inc.(NON) | 3,140 | 30,207 | ||||
Johnson & Johnson | 31,401 | 5,573,992 | ||||
Laboratory Corp. of America Holdings | 5,200 | 1,218,672 | ||||
Lantheus Holdings, Inc.(NON) | 7,617 | 502,951 | ||||
LivaNova PLC (United Kingdom)(NON) | 7,169 | 447,847 | ||||
Lonza Group AG (Switzerland) | 6,387 | 3,405,418 | ||||
McKesson Corp. | 18,494 | 6,032,927 | ||||
Medpace Holdings, Inc.(NON) | 575 | 86,060 | ||||
Medtronic PLC | 47,600 | 4,272,100 | ||||
Merck & Co., Inc. | 207,087 | 18,880,122 | ||||
Merck KGaA (Germany) | 21,097 | 3,559,484 | ||||
Meridian Bioscience, Inc.(NON) | 10,263 | 312,200 | ||||
Moderna, Inc.(NON) | 5,500 | 785,675 | ||||
Molina Healthcare, Inc.(NON) | 7,500 | 2,097,075 | ||||
NextGen Healthcare, Inc.(NON) | 11,521 | 200,926 | ||||
NGM Biopharmaceuticals, Inc.(NON) | 7,583 | 97,214 | ||||
Novartis AG (Switzerland) | 38,231 | 3,237,811 | ||||
Novo Nordisk A/S Class B (Denmark) | 29,570 | 3,279,653 | ||||
Ono Pharmaceutical Co., Ltd. (Japan) | 11,900 | 305,394 | ||||
Option Care Health, Inc.(NON) | 16,686 | 463,704 | ||||
Orthofix Medical, Inc. (Netherlands)(NON) | 3,290 | 77,447 | ||||
Pfizer, Inc. | 108,690 | 5,698,617 | ||||
Prothena Corp. PLC (Ireland)(NON) | 2,715 | 73,712 | ||||
RAPT Therapeutics, Inc.(NON) | 4,045 | 73,821 | ||||
Regeneron Pharmaceuticals, Inc.(NON) | 9,406 | 5,560,168 | ||||
Relay Therapeutics, Inc.(NON) | 12,304 | 206,092 | ||||
Roche Holding AG (Switzerland) | 11,377 | 3,796,306 | ||||
Sabra Health Care REIT, Inc.(R) | 19,991 | 279,274 | ||||
Sage Therapeutics, Inc.(NON) | 2,075 | 67,023 | ||||
Sanofi (France) | 37,848 | 3,821,115 | ||||
Sartorius Stedim Biotech (France) | 1,830 | 573,982 | ||||
Select Medical Holdings Corp. | 13,792 | 325,767 | ||||
Service Corp. International | 11,400 | 787,968 | ||||
Sonic Healthcare, Ltd. (Australia) | 60,523 | 1,379,026 | ||||
STAAR Surgical Co.(NON) | 6,268 | 444,589 | ||||
Theravance Biopharma, Inc. (Cayman Islands)(NON) | 20,842 | 188,829 | ||||
Thermo Fisher Scientific, Inc. | 8,044 | 4,370,144 | ||||
Travere Therapeutics, Inc.(NON) | 10,136 | 245,595 | ||||
UnitedHealth Group, Inc. | 21,930 | 11,263,906 | ||||
Vanda Pharmaceuticals, Inc.(NON) | 7,809 | 85,118 | ||||
Vertex Pharmaceuticals, Inc.(NON) | 35,400 | 9,975,366 | ||||
Veru, Inc.(NON) | 5,934 | 67,054 | ||||
Vir Biotechnology, Inc.(NON) | 15,863 | 404,031 | ||||
Xencor, Inc.(NON) | 4,830 | 132,197 | ||||
ZimVie, Inc.(NON)US | 1,888 | 30,227 | ||||
218,248,537 | ||||||
Semiconductor (0.3%) | ||||||
Applied Materials, Inc. | 6,700 | 609,566 | ||||
ASML Holding NV (Netherlands) | 2,385 | 1,139,334 | ||||
Axcelis Technologies, Inc.(NON) | 7,168 | 393,093 | ||||
KLA Corp. | 2,488 | 793,871 | ||||
Lam Research Corp. | 1,500 | 639,225 | ||||
MaxLinear, Inc. Class A(NON) | 8,690 | 295,286 | ||||
Renesas Electronics Corp. (Japan)(NON) | 185,700 | 1,687,560 | ||||
Tokyo Electron, Ltd. (Japan) | 1,400 | 457,105 | ||||
6,015,040 | ||||||
Software (5.1%) | ||||||
Adobe, Inc.(NON) | 28,688 | 10,501,529 | ||||
American Software, Inc./GA Class A | 4,561 | 73,706 | ||||
Appian Corp.(NON) | 2,995 | 141,843 | ||||
Atlassian Corp PLC Class A (Australia)(NON) | 20,600 | 3,860,440 | ||||
Autodesk, Inc.(NON) | 4,300 | 739,428 | ||||
Blackbaud, Inc.(NON) | 1,410 | 81,879 | ||||
Cadence Design Systems, Inc.(NON) | 69,033 | 10,357,021 | ||||
Domo, Inc. Class B(NON) | 12,413 | 345,081 | ||||
Donnelley Financial Solutions, Inc.(NON) | 3,240 | 94,900 | ||||
Electronic Arts, Inc. | 5,500 | 669,075 | ||||
Intuit, Inc. | 32,166 | 12,398,064 | ||||
Manhattan Associates, Inc.(NON) | 9,100 | 1,042,860 | ||||
Microsoft Corp. | 262,190 | 67,338,257 | ||||
NTT Data Corp. (Japan) | 40,700 | 562,745 | ||||
Oracle Corp. | 33,480 | 2,339,248 | ||||
Playtika Holding Corp. (Israel)(NON) | 55,000 | 728,200 | ||||
Sage Group PLC (The) (United Kingdom) | 119,957 | 926,958 | ||||
Skillz, Inc.(NON) | 49,991 | 61,989 | ||||
Square Enix Holdings Co., Ltd. (Japan) | 21,000 | 930,203 | ||||
Wix.com, Ltd. (Israel)(NON) (IL) | 6,600 | 432,630 | ||||
Workday, Inc. Class A(NON) | 4,800 | 669,984 | ||||
114,296,040 | ||||||
Technology services (4.4%) | ||||||
Accenture PLC Class A | 59,403 | 16,493,243 | ||||
Alphabet, Inc. Class A(NON) | 14,302 | 31,167,777 | ||||
Alphabet, Inc. Class C(NON) | 6,747 | 14,758,725 | ||||
Capgemini SE (France) | 16,126 | 2,762,181 | ||||
CSG Systems International, Inc. | 5,704 | 340,415 | ||||
DocuSign, Inc.(NON) | 9,400 | 539,372 | ||||
DXC Technology Co.(NON) | 26,900 | 815,339 | ||||
eBay, Inc. | 16,166 | 673,637 | ||||
Fidelity National Information Services, Inc. | 34,630 | 3,174,532 | ||||
GoDaddy, Inc. Class A(NON) | 11,700 | 813,852 | ||||
HealthStream, Inc.(NON) | 3,915 | 84,995 | ||||
Meta Platforms, Inc. Class A(NON) | 65,320 | 10,532,850 | ||||
Nomura Research Institute, Ltd. (Japan) | 40,100 | 1,066,930 | ||||
Palo Alto Networks, Inc.(NON) | 12,332 | 6,091,268 | ||||
Pinterest, Inc. Class A(NON) | 155,100 | 2,816,616 | ||||
Roku, Inc.(NON) | 8,206 | 674,041 | ||||
salesforce.com, Inc.(NON) | 9,999 | 1,650,235 | ||||
SCSK Corp. (Japan) | 16,200 | 274,139 | ||||
Spotify Technology SA (Sweden)(NON) | 7,100 | 666,193 | ||||
Vimeo, Inc.(NON) | 10,444 | 62,873 | ||||
Zebra Technologies Corp. Class A(NON) | 4,320 | 1,269,864 | ||||
Ziff Davis, Inc.(NON) | 963 | 71,772 | ||||
96,800,849 | ||||||
Transportation (1.1%) | ||||||
A.P. Moeller-Maersck A/S Class B (Denmark) | 313 | 730,071 | ||||
ArcBest Corp. | 2,765 | 194,573 | ||||
Arlo Technologies, Inc.(NON) | 10,452 | 65,534 | ||||
Covenant Logistics Group, Inc. | 3,003 | 75,345 | ||||
CSX Corp. | 205,700 | 5,977,642 | ||||
Deutsche Post AG (Germany) | 66,347 | 2,484,943 | ||||
Dorian LPG, Ltd. | 8,469 | 128,729 | ||||
Hub Group, Inc. Class A(NON) | 3,657 | 259,428 | ||||
Matson, Inc. | 5,529 | 402,954 | ||||
Nippon Yusen KK (Japan) | 15,900 | 1,086,328 | ||||
Safe Bulkers, Inc. (Monaco) | 25,615 | 97,849 | ||||
SFL Corp., Ltd. (Norway) | 22,586 | 214,341 | ||||
SG Holdings Co., Ltd. (Japan) | 9,300 | 156,896 | ||||
Southwest Airlines Co.(NON) | 77,173 | 2,787,489 | ||||
Union Pacific Corp. | 40,722 | 8,685,189 | ||||
Yamato Holdings Co., Ltd. (Japan) | 28,900 | 462,213 | ||||
23,809,524 | ||||||
Utilities and power (1.9%) | ||||||
AES Corp. (The) | 143,900 | 3,023,339 | ||||
ALLETE, Inc. | 4,133 | 242,938 | ||||
Ameren Corp. | 26,497 | 2,394,268 | ||||
American Electric Power Co., Inc. | 88,047 | 8,447,229 | ||||
Avista Corp. | 1,705 | 74,185 | ||||
Black Hills Corp. | 4,958 | 360,794 | ||||
California Water Service Group | 4,236 | 235,310 | ||||
Chesapeake Utilities Corp. | 2,099 | 271,925 | ||||
Constellation Energy Corp. | 40,456 | 2,316,511 | ||||
DTE Energy Co. | 5,902 | 748,079 | ||||
Duke Energy Corp. | 8,262 | 885,769 | ||||
E.ON SE (Germany) | 163,615 | 1,373,054 | ||||
Edison International | 11,516 | 728,272 | ||||
Enel SpA (Italy) | 113,249 | 619,506 | ||||
Eni SpA (Italy) | 10,315 | 122,451 | ||||
Eversource Energy | 8,800 | 743,336 | ||||
Exelon Corp. | 90,360 | 4,095,115 | ||||
FirstEnergy Corp. | 18,400 | 706,376 | ||||
Fortum OYJ (Finland) | 22,665 | 340,007 | ||||
Kinder Morgan, Inc. | 35,000 | 586,600 | ||||
New Jersey Resources Corp. | 2,725 | 121,344 | ||||
NiSource, Inc. | 24,300 | 716,607 | ||||
Northwest Natural Holding Co. | 4,894 | 259,871 | ||||
NRG Energy, Inc. | 125,996 | 4,809,267 | ||||
Osaka Gas Co., Ltd. (Japan) | 29,300 | 560,604 | ||||
Otter Tail Corp. | 2,308 | 154,936 | ||||
PNM Resources, Inc. | 10,085 | 481,861 | ||||
Portland General Electric Co. | 7,614 | 367,985 | ||||
PPL Corp. | 15,300 | 415,089 | ||||
Public Service Enterprise Group, Inc. | 11,300 | 715,064 | ||||
RWE AG (Germany) | 12,448 | 457,614 | ||||
SJW Group | 2,395 | 149,472 | ||||
Southern Co. (The) | 10,036 | 715,667 | ||||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 13,140 | 16,425 | ||||
Tokyo Gas Co., Ltd. (Japan) | 51,600 | 1,067,521 | ||||
Unitil Corp. | 1,619 | 95,068 | ||||
Vistra Corp. | 37,700 | 861,445 | ||||
WEC Energy Group, Inc. | 7,400 | 744,736 | ||||
Xcel Energy, Inc. | 12,387 | 876,465 | ||||
41,902,105 | ||||||
Total common stocks (cost $1,267,791,875) | $1,457,472,306 |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (20.2%)(a) | ||||||
Principal amount | Value | |||||
U.S. Government Guaranteed Mortgage Obligations (2.3%) | ||||||
Government National Mortgage Association Pass-Through Certificates | ||||||
6.00%, with due dates from 12/20/48 to 4/20/49 | $749,376 | $815,338 | ||||
5.00%, 5/20/49 | 25,409 | 26,230 | ||||
4.70%, with due dates from 5/20/67 to 8/20/67 | 111,155 | 112,937 | ||||
4.645%, 6/20/67 | 54,099 | 55,003 | ||||
4.50%, with due dates from 5/15/47 to 3/20/67 | 441,812 | 453,888 | ||||
3.00%, TBA, 7/1/52 | 21,000,000 | 19,786,750 | ||||
3.00%, with due dates from 8/20/49 to 4/20/51 | 30,983,820 | 29,413,054 | ||||
50,663,200 | ||||||
U.S. Government Agency Mortgage Obligations (17.9%) | ||||||
Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||||||
4.00%, 9/1/45 | 161,125 | 162,055 | ||||
3.00%, with due dates from 2/1/47 to 1/1/48 | 10,538,185 | 9,942,515 | ||||
2.50%, with due dates from 8/1/50 to 8/1/51 | 8,031,004 | 7,251,955 | ||||
Federal National Mortgage Association Pass-Through Certificates | ||||||
4.50%, 5/1/49 | 6,968 | 7,057 | ||||
4.00%, 1/1/57 | 800,856 | 802,903 | ||||
4.00%, with due dates from 6/1/48 to 4/1/49 | 8,708,374 | 8,679,697 | ||||
3.50%, 6/1/56 | 1,457,125 | 1,411,816 | ||||
3.50%, with due dates from 4/1/52 to 5/1/52 | 5,978,600 | 5,789,426 | ||||
3.00%, with due dates from 4/1/46 to 11/1/48 | 13,155,265 | 12,460,544 | ||||
2.50%, with due dates from 7/1/50 to 8/1/51 | 40,738,508 | 36,840,704 | ||||
Uniform Mortgage-Backed Securities | ||||||
6.00%, TBA, 8/1/52 | 5,000,000 | 5,215,375 | ||||
5.50%, TBA, 8/1/52 | 9,000,000 | 9,248,648 | ||||
5.00%, TBA, 8/1/52 | 38,000,000 | 38,651,632 | ||||
5.00%, TBA, 7/1/52 | 23,000,000 | 23,463,588 | ||||
4.50%, TBA, 8/1/52 | 35,000,000 | 35,053,326 | ||||
4.50%, TBA, 7/1/52 | 24,000,000 | 24,088,128 | ||||
4.00%, TBA, 8/1/52 | 16,000,000 | 15,743,117 | ||||
4.00%, TBA, 7/1/52 | 20,000,000 | 19,715,616 | ||||
3.50%, TBA, 8/1/52 | 49,000,000 | 47,039,980 | ||||
3.00%, TBA, 8/1/52 | 27,000,000 | 25,097,326 | ||||
2.50%, TBA, 8/1/52 | 41,000,000 | 36,800,682 | ||||
2.50%, TBA, 7/1/37 | 37,000,000 | 35,320,529 | ||||
398,786,619 | ||||||
Total U.S. government and agency mortgage obligations (cost $457,271,057) | $449,449,819 |
U.S. TREASURY OBLIGATIONS (—%)(a) | ||||||
Principal amount | Value | |||||
U.S. Treasury Bonds 4.25%, 11/15/40(i) | $116,000 | $131,634 | ||||
U.S. Treasury Notes 1.375%, 8/31/26(i) | 203,000 | 190,652 | ||||
Total U.S. treasury obligations (cost $322,286) | $322,286 |
CORPORATE BONDS AND NOTES (14.8%)(a) | ||||||
Principal amount | Value | |||||
Basic materials (0.9%) | ||||||
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) | $400,000 | $403,500 | ||||
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 180,000 | 146,947 | ||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 80,000 | 72,122 | ||||
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 | 210,000 | 170,776 | ||||
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 | 222,000 | 206,004 | ||||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 205,000 | 179,314 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 110,000 | 98,175 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 | 110,000 | 83,729 | ||||
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 | 185,000 | 161,413 | ||||
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 | 355,000 | 344,655 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 350,000 | 301,036 | ||||
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 1,494,000 | 1,344,600 | ||||
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 85,000 | 69,621 | ||||
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 | 125,000 | 105,250 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 | 360,000 | 325,800 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 | 95,000 | 88,113 | ||||
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (France) | 250,000 | 232,500 | ||||
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 | 125,000 | 90,273 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) | 460,000 | 434,912 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) | 390,000 | 359,190 | ||||
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) | 155,000 | 143,806 | ||||
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) | 265,000 | 247,501 | ||||
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) | 210,000 | 194,261 | ||||
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 | 505,000 | 502,475 | ||||
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 | 340,000 | 326,928 | ||||
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 716,000 | 583,270 | ||||
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | 150,000 | 127,133 | ||||
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29 | 155,000 | 130,153 | ||||
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) | 490,000 | 407,092 | ||||
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31 | 270,000 | 224,175 | ||||
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 474,000 | 446,954 | ||||
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 | 220,000 | 182,600 | ||||
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada)(PIK) | 145,000 | 127,600 | ||||
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | 215,000 | 177,977 | ||||
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 525,000 | 512,977 | ||||
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | 105,000 | 76,499 | ||||
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | 185,000 | 152,043 | ||||
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 1.832%, 10/15/27 | 75,000 | 64,614 | ||||
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 170,000 | 114,571 | |||
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | $220,000 | 173,336 | ||||
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 | 320,000 | 269,600 | ||||
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 | 75,000 | 73,500 | ||||
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 | 60,000 | 57,300 | ||||
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 235,000 | 226,519 | ||||
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 190,000 | 162,190 | ||||
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 650,000 | 550,875 | ||||
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 | 50,000 | 38,510 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 210,000 | 174,548 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 | 100,000 | 84,527 | ||||
Nufarm Australia, Ltd./Nufarm Americas, Inc. 144A sr. unsec. notes 5.00%, 1/27/30 (Australia) | 50,000 | 42,250 | ||||
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) | 143,000 | 142,079 | ||||
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) | 727,000 | 670,855 | ||||
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | 233,000 | 226,341 | ||||
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29 | 260,000 | 180,657 | ||||
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 | 310,000 | 218,527 | ||||
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 | 355,000 | 294,693 | ||||
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 130,000 | 102,725 | ||||
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 570,000 | 543,254 | ||||
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 | 375,000 | 346,875 | ||||
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, 2/15/26 (Canada) | 210,000 | 178,734 | ||||
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 | 275,000 | 199,076 | ||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) | 275,000 | 196,653 | ||||
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 | 380,000 | 305,558 | ||||
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 | 260,000 | 241,979 | ||||
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 | 837,000 | 583,948 | ||||
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 418,000 | 296,467 | ||||
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 | 1,002,000 | 975,451 | ||||
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 690,000 | 821,968 | ||||
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 | 154,000 | 183,857 | ||||
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) | 39,000 | 45,112 | ||||
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 | 120,000 | 116,257 | ||||
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 | 1,351,000 | 1,175,694 | ||||
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 270,000 | 198,788 | ||||
20,059,262 | ||||||
Capital goods (0.8%) | ||||||
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 | 120,000 | 96,173 | ||||
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 | 350,000 | 320,138 | ||||
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | 170,000 | 159,800 | ||||
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 170,000 | 144,925 | ||||
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Luxembourg)(PIK) | 200,000 | 148,352 | ||||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29 | 225,000 | 180,563 | ||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 245,000 | 207,566 | ||||
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 296,000 | 259,086 | ||||
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | 994,000 | 886,369 | ||||
Boeing Co. (The) sr. unsec. bonds 5.93%, 5/1/60 | 665,000 | 605,429 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 265,000 | 220,589 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) | 200,000 | 164,896 | ||||
Bombardier, Inc. 144A sr. unsec. notes 6.00%, 2/15/28 (Canada) | 90,000 | 67,446 | ||||
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 144,000 | 142,625 | ||||
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 | 335,000 | 272,596 | ||||
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | 150,000 | 153,227 | ||||
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22 | 245,000 | 244,034 | ||||
GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada) | 140,000 | 119,700 | ||||
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | 60,000 | 50,175 | ||||
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) | 50,000 | 41,250 | ||||
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 235,000 | 224,730 | ||||
Granite US Holdings Corp. 144A company guaranty sr. unsec. notes 11.00%, 10/1/27 | 275,000 | 258,500 | ||||
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 275,000 | 237,923 | ||||
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 | 315,000 | 288,247 | ||||
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 740,000 | 612,897 | ||||
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) | 360,000 | 349,200 | ||||
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 | 515,000 | 464,465 | ||||
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 | 284,000 | 281,993 | ||||
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31 | 145,000 | 115,714 | ||||
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 491,000 | 481,114 | ||||
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 | 368,000 | 361,417 | ||||
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 | 75,000 | 61,946 | ||||
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 450,000 | 344,844 | ||||
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 | 470,000 | 321,950 | ||||
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 1,165,000 | 1,107,358 | ||||
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 263,000 | 259,887 | ||||
OT Merger Corp. 144A sr. unsec. notes 7.875%, 10/15/29 | 345,000 | 198,150 | ||||
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30 | 320,000 | 276,435 | ||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 195,000 | 188,463 | ||||
Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40 | 135,000 | 131,857 | ||||
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 | 1,015,000 | 1,001,674 | ||||
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 200,000 | 170,183 | ||||
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 | 520,000 | 440,700 | ||||
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 740,000 | 613,364 | ||||
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 | 340,000 | 327,250 | ||||
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | 145,000 | 123,250 | ||||
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) | 140,000 | 128,688 | ||||
TK Elevator Holdco GmbH 144A company guaranty sr. unsec. notes 7.625%, 7/15/28 (Germany) | 200,000 | 179,500 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 | 180,000 | 168,300 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 | 310,000 | 262,998 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | 235,000 | 191,299 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 | 205,000 | 165,029 | ||||
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 545,000 | 525,244 | ||||
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 | 375,000 | 304,470 | ||||
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 | 92,000 | 82,005 | ||||
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 | 585,000 | 549,099 | ||||
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 330,000 | 293,139 | ||||
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 | 240,000 | 237,360 | ||||
16,815,581 | ||||||
Communication services (1.7%) | ||||||
Altice France Holding SA 144A company guaranty sr. sub. notes 10.50%, 5/15/27 (Luxembourg) | 255,000 | 213,981 | ||||
Altice France Holding SA 144A company guaranty sr. unsec. notes 6.00%, 2/15/28 (Luxembourg) | 400,000 | 283,916 | ||||
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) | 200,000 | 158,500 | ||||
Altice France SA 144A company guaranty sr. notes 5.125%, 7/15/29 (France) | 200,000 | 151,000 | ||||
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31(R) | 776,000 | 638,610 | ||||
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) | 445,000 | 380,976 | ||||
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) | 990,000 | 905,367 | ||||
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27(R) | 788,000 | 738,749 | ||||
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 | 2,179,000 | 1,632,594 | ||||
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 2,977,000 | 2,415,043 | ||||
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 1,125,000 | 1,041,262 | ||||
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | 586,000 | 584,545 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 | 165,000 | 133,601 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 | 168,000 | 163,919 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 1,680,000 | 1,501,651 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 | 860,000 | 735,515 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 | 115,000 | 95,482 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 | 160,000 | 130,400 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 3.75%, 2/15/28 | 380,000 | 350,914 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 | 465,000 | 382,075 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 760,000 | 738,849 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 | 730,000 | 578,423 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 250,000 | 250,580 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 | 345,000 | 233,460 | ||||
Comcast Corp. company guaranty sr. unsec. bonds 2.987%, 11/1/63 | 199,000 | 135,270 | ||||
Comcast Corp. company guaranty sr. unsec. bonds 2.887%, 11/1/51 | 109,000 | 78,314 | ||||
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | 593,000 | 471,246 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 4.049%, 11/1/52 | 174,000 | 152,063 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | 329,000 | 286,889 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 | 1,144,000 | 991,063 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | 885,000 | 824,959 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 | 23,000 | 26,843 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 | 945,000 | 936,950 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 | 60,000 | 58,403 | ||||
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 84,000 | 72,660 | ||||
Cox Communications, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 10/1/50 | 393,000 | 260,195 | ||||
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 591,000 | 560,754 | ||||
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) | 530,000 | 500,042 | ||||
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) | 697,000 | 660,092 | ||||
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) | 670,000 | 647,073 | ||||
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 675,000 | 631,125 | ||||
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) | 435,000 | 536,322 | ||||
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 | 100,000 | 85,307 | ||||
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 | 135,000 | 105,233 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 | 165,000 | 139,013 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 | 235,000 | 142,795 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 | 210,000 | 155,486 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 115,000 | 90,142 | ||||
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 400,000 | 300,428 | ||||
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) | 266,000 | 236,298 | ||||
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26(R) | 1,835,000 | 1,705,341 | ||||
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 | 155,000 | 139,361 | ||||
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 | 385,000 | 316,663 | ||||
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 430,000 | 347,763 | ||||
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 385,000 | 308,481 | ||||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 1,087,000 | 1,143,003 | ||||
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | 255,000 | 268,675 | ||||
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31 | 1,315,000 | 1,067,276 | ||||
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 126,000 | 117,591 | ||||
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 1,318,000 | 1,269,128 | ||||
T-Mobile USA, Inc. company guaranty sr. notes 2.55%, 2/15/31 | 277,000 | 233,080 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 | 155,000 | 128,686 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 15,000 | 14,833 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 | 110,000 | 92,597 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 | 245,000 | 237,456 | ||||
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 | 400,000 | 451,806 | ||||
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) | 1,130,000 | 963,453 | ||||
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 | 1,017,000 | 798,774 | ||||
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31 | 508,000 | 434,344 | ||||
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 | 815,000 | 783,594 | ||||
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 2,323,000 | 2,310,349 | ||||
Verizon Communications, Inc. sr. unsec. unsub. notes 4.125%, 3/16/27 | 360,000 | 359,130 | ||||
VZ Secured Financing BV 144A sr. notes 5.00%, 1/15/32 (Netherlands) | 510,000 | 423,300 | ||||
37,439,061 | ||||||
Conglomerates (—%) | ||||||
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 5.159%, perpetual maturity | 217,000 | 190,135 | ||||
190,135 | ||||||
Consumer cyclicals (1.9%) | ||||||
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 | 295,000 | 239,412 | ||||
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 540,000 | 502,875 | ||||
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) | 328,000 | 282,576 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. unsec. notes 6.00%, 6/1/29 | 345,000 | 250,529 | ||||
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 1,555,000 | 1,511,885 | ||||
Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 | 246,000 | 210,737 | ||||
AMC Entertainment Holdings, Inc. 144A company guaranty notes 10.00%, 6/15/26(PIK) | 280,000 | 185,906 | ||||
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29 | 120,000 | 101,400 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 270,000 | 231,258 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 | 225,000 | 180,000 | ||||
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 | 25,000 | 20,438 | ||||
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 | 65,000 | 53,706 | ||||
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 | 320,000 | 246,818 | ||||
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 125,000 | 99,988 | ||||
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity | 255,000 | 233,325 | ||||
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 | 29,000 | 29,419 | ||||
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 240,000 | 207,298 | ||||
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) | 150,000 | 92,250 | ||||
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 | 355,000 | 266,250 | ||||
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 | 820,000 | 653,425 | ||||
BMW Finance NV 144A company guaranty sr. unsec. notes 2.85%, 8/14/29 (Netherlands) | 536,000 | 484,633 | ||||
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 570,000 | 566,741 | ||||
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 | 120,000 | 108,600 | ||||
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 290,000 | 245,056 | ||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) | 110,000 | 91,184 | ||||
Caesars Entertainment, Inc. 144A sr. notes 6.25%, 7/1/25 | 500,000 | 481,865 | ||||
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 | 85,000 | 66,088 | ||||
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26 | 240,000 | 185,890 | ||||
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 330,000 | 238,352 | ||||
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 | 190,000 | 154,518 | ||||
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 | 310,000 | 283,650 | ||||
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 | 320,000 | 296,000 | ||||
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 | 50,000 | 50,482 | ||||
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26 | 245,000 | 218,462 | ||||
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 255,000 | 204,931 | ||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 | 385,000 | 325,067 | ||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 | 170,000 | 123,687 | ||||
Clear Channel Outdoor Holdings, Inc. 144A sr. unsec. notes 7.50%, 6/1/29 | 440,000 | 316,386 | ||||
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 | 1,230,000 | 1,062,561 | ||||
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 | 300,000 | 75,000 | ||||
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 | 510,000 | 507,489 | ||||
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 | 1,680,000 | 1,618,944 | ||||
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 | 315,000 | 167,738 | ||||
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 | 195,000 | 116,046 | ||||
Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31 | 595,000 | 461,125 | ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 | 715,000 | 682,768 | ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.113%, 5/3/29 | 220,000 | 197,224 | ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 | 240,000 | 215,260 | ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 | 315,000 | 255,230 | ||||
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 | 315,000 | 251,772 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 240,000 | 204,300 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | 60,000 | 51,982 | ||||
General Motors Co. sr. unsec. bonds 5.95%, 4/1/49 | 245,000 | 227,510 | ||||
General Motors Co. sr. unsec. bonds 5.20%, 4/1/45 | 95,000 | 79,795 | ||||
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 | 1,347,000 | 1,286,292 | ||||
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 | 110,000 | 108,415 | ||||
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32 | 353,000 | 283,725 | ||||
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 | 288,000 | 253,607 | ||||
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 72,000 | 63,904 | ||||
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 | 630,000 | 504,775 | ||||
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 172,000 | 157,307 | ||||
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 150,000 | 146,837 | ||||
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 | 190,000 | 179,006 | ||||
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 | 763,000 | 759,947 | ||||
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 467,807 | 371,907 | ||||
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 | 1,421,000 | 1,404,075 | ||||
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 | 95,000 | 91,200 | ||||
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | 115,000 | 89,700 | ||||
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 285,000 | 225,150 | ||||
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 | 170,000 | 109,448 | ||||
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 792,000 | 768,929 | ||||
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | 325,000 | 265,688 | ||||
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 | 225,000 | 213,750 | ||||
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 120,000 | 118,010 | ||||
Macy's Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32 | 120,000 | 100,200 | ||||
Macy's Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 5.875%, 3/15/30 | 30,000 | 25,171 | ||||
Magallanes, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 | 1,924,000 | 1,714,788 | ||||
Magallanes, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27 | 695,000 | 651,048 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 90,000 | 81,450 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 285,000 | 226,852 | ||||
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) | 55,000 | 40,195 | ||||
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 215,000 | 193,198 | ||||
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 | 100,000 | 91,743 | ||||
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 345,000 | 295,416 | ||||
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 360,000 | 291,600 | ||||
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 | 85,000 | 68,405 | ||||
Moody's Corp. sr. unsec. bonds 2.55%, 8/18/60 | 435,000 | 271,069 | ||||
Moody's Corp. sr. unsec. notes 2.00%, 8/19/31 | 1,030,000 | 839,988 | ||||
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 | 110,000 | 94,050 | ||||
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 | 85,000 | 65,025 | ||||
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 | 280,000 | 234,500 | ||||
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 | 154,000 | 136,368 | ||||
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 220,000 | 189,963 | ||||
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) | 170,000 | 166,175 | ||||
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 | 170,000 | 157,879 | ||||
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 | 255,000 | 230,363 | ||||
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 870,000 | 844,635 | ||||
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 | 205,000 | 192,678 | ||||
Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26 | 152,000 | 148,276 | ||||
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | 376,000 | 346,194 | ||||
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 265,000 | 232,538 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 | 120,000 | 98,850 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 325,000 | 271,894 | ||||
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 | 315,000 | 355,556 | ||||
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 | 70,000 | 61,250 | ||||
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29 | 200,000 | 151,664 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 | 95,000 | 70,538 | ||||
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 | 105,000 | 92,789 | ||||
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 200,000 | 158,309 | ||||
S&P Global, Inc. 144A company guaranty sr. unsec. notes 4.75%, 8/1/28 | 86,000 | 87,377 | ||||
S&P Global, Inc. 144A sr. unsec. unsub. notes 2.45%, 3/1/27 | 95,000 | 88,795 | ||||
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 | 290,000 | 279,430 | ||||
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 | 170,000 | 144,500 | ||||
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 375,000 | 351,679 | ||||
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 | 110,000 | 103,227 | ||||
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 | 500,000 | 410,115 | ||||
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 | 120,000 | 91,228 | ||||
Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29 | 130,000 | 108,945 | ||||
Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31 | 215,000 | 171,473 | ||||
Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27 | 115,000 | 100,678 | ||||
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 | 200,000 | 176,998 | ||||
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 | 145,000 | 115,009 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 1,220,000 | 971,425 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 | 235,000 | 203,275 | ||||
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 1,020,000 | 943,500 | ||||
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 | 225,000 | 201,375 | ||||
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 | 240,000 | 242,959 | ||||
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 | 210,000 | 166,688 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 180,000 | 155,653 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 3/15/31 | 220,000 | 177,273 | ||||
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 | 90,000 | 66,386 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 160,000 | 142,809 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 20,000 | 17,100 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 | 305,000 | 238,663 | ||||
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | 135,000 | 105,300 | ||||
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 325,000 | 274,498 | ||||
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31 | 445,000 | 352,894 | ||||
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 400,000 | 348,732 | ||||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 205,000 | 188,552 | ||||
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 | 790,000 | 624,108 | ||||
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 | 265,000 | 236,046 | ||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 | 130,000 | 126,502 | ||||
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 | 325,000 | 309,436 | ||||
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 | 120,000 | 100,443 | ||||
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 70,000 | 68,425 | ||||
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 | 315,000 | 269,719 | ||||
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 | 345,000 | 259,613 | ||||
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 | 382,000 | 528,013 | ||||
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 | 245,000 | 212,885 | ||||
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 | 190,000 | 152,000 | ||||
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 295,000 | 252,665 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 370,000 | 291,412 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 | 70,000 | 68,128 | ||||
43,334,051 | ||||||
Consumer staples (0.9%) | ||||||
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | 160,000 | 128,400 | ||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) | 230,000 | 201,089 | ||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) | 265,000 | 229,225 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 160,000 | 137,254 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 310,000 | 276,929 | ||||
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 | 200,000 | 198,946 | ||||
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49 | 525,000 | 536,193 | ||||
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.60%, 4/15/48 | 1,199,000 | 1,076,453 | ||||
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29 | 629,000 | 639,922 | ||||
Ashtead Capital, Inc. 144A bonds 4.25%, 11/1/29 | 255,000 | 224,400 | ||||
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31 | 280,000 | 217,624 | ||||
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 1,000,000 | 929,574 | ||||
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 | 140,000 | 104,542 | ||||
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 | 260,000 | 219,224 | ||||
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 | 23,964 | 24,809 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 | 210,000 | 181,072 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | 390,000 | 457,405 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 462,000 | 463,423 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 | 465,000 | 458,662 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 | 143,000 | 135,314 | ||||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 | 105,000 | 80,325 | ||||
GSK Consumer Healthcare Capital US, LLC 144A company guaranty sr. unsec. unsub. bonds 3.625%, 3/24/32 | 715,000 | 657,681 | ||||
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | 240,000 | 219,096 | ||||
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 | 120,000 | 117,462 | ||||
JDE Peet's NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands) | 730,000 | 627,865 | ||||
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31 | 975,000 | 800,822 | ||||
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 | 194,000 | 185,319 | ||||
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 140,000 | 134,638 | ||||
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 5.00%, 7/15/35 | 177,000 | 171,342 | ||||
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 | 205,000 | 193,130 | ||||
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 | 882,000 | 852,939 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 | 170,000 | 159,989 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 355,000 | 308,850 | ||||
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 | 111,000 | 102,894 | ||||
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 | 100,000 | 78,750 | ||||
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | 50,000 | 41,755 | ||||
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 943,000 | 854,924 | ||||
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 | 155,000 | 125,094 | ||||
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. notes 2.125%, 9/19/22 (Netherlands) | 585,000 | 583,679 | ||||
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24 | 1,545,000 | 1,478,546 | ||||
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 | EUR | 725,000 | 683,240 | |||
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | $320,000 | 301,136 | ||||
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 848,000 | 829,098 | ||||
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | 845,000 | 814,166 | ||||
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 | 135,000 | 132,980 | ||||
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 | 325,000 | 309,567 | ||||
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29 | 415,000 | 328,888 | ||||
Rite Aid Corp. 144A company guaranty sr. notes 8.00%, 11/15/26 | 99,000 | 76,973 | ||||
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25 | 307,000 | 248,670 | ||||
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 | 265,000 | 256,525 | ||||
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 | 80,000 | 73,808 | ||||
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 | 120,000 | 100,800 | ||||
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 180,000 | 163,350 | ||||
18,934,761 | ||||||
Energy (1.1%) | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 | 130,000 | 129,856 | ||||
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 | 94,000 | 99,405 | ||||
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 | 109,000 | 110,882 | ||||
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 250,000 | 211,095 | ||||
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 | 255,000 | 232,050 | ||||
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 | 695,000 | 674,043 | ||||
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 | 77,000 | 75,298 | ||||
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) | 875,000 | 837,699 | ||||
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 | 110,000 | 116,600 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 | 220,000 | 211,332 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 350,000 | 322,049 | ||||
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 190,000 | 203,063 | ||||
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 370,000 | 351,365 | ||||
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 | 360,000 | 324,741 | ||||
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 219,000 | 219,807 | ||||
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 | 175,000 | 148,803 | ||||
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32 | 185,000 | 145,225 | ||||
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 | 240,000 | 206,400 | ||||
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29 | 205,000 | 183,563 | ||||
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 | 175,000 | 138,031 | ||||
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 | 1,043,000 | 980,420 | ||||
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 | 320,000 | 321,104 | ||||
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 | 190,000 | 183,719 | ||||
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 | 820,000 | 640,354 | ||||
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 | 115,000 | 109,969 | ||||
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 | 305,000 | 290,131 | ||||
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 | 170,000 | 200,976 | ||||
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 | 120,000 | 141,600 | ||||
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | 390,000 | 380,499 | ||||
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 385,000 | 363,808 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 771,000 | 734,493 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 | 125,000 | 125,613 | ||||
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23 | 57,000 | 57,211 | ||||
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 | 365,000 | 334,803 | ||||
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 | 915,000 | 911,403 | ||||
EQT Corp. sr. unsec. notes 7.50%, 2/1/30 | 165,000 | 177,109 | ||||
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | 25,000 | 24,202 | ||||
Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) | 235,000 | 243,631 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 | 125,000 | 112,188 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 215,000 | 192,963 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 95,000 | 79,559 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 270,000 | 257,175 | ||||
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.25%, 4/15/32 | 160,000 | 138,400 | ||||
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 6.00%, 4/15/30 | 145,000 | 126,875 | ||||
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 385,000 | 329,729 | ||||
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 235,000 | 223,865 | ||||
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 | 205,000 | 180,785 | ||||
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 | 73,000 | 72,635 | ||||
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 | 150,000 | 133,028 | ||||
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 145,000 | 134,125 | ||||
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 | 155,000 | 159,650 | ||||
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 | 60,000 | 60,806 | ||||
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 705,000 | 694,425 | ||||
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 | 460,000 | 506,193 | ||||
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 605,000 | 620,125 | ||||
Occidental Petroleum Corp. sr. unsec. sub. notes 5.875%, 9/1/25 | 80,000 | 79,652 | ||||
Ovintiv, Inc. company guaranty sr. unsec. bonds 6.50%, 8/15/34 | 80,000 | 83,499 | ||||
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 | 205,000 | 225,363 | ||||
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 | 75,000 | 78,686 | ||||
Ovintiv, Inc. company guaranty sr. unsec. unsub. notes 8.125%, 9/15/30 | 65,000 | 74,668 | ||||
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) | 200,000 | 200,186 | ||||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 97,000 | 99,061 | ||||
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 162,000 | 150,443 | ||||
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 1,628,000 | 1,241,350 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 415,000 | 388,025 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) | 55,000 | 49,225 | ||||
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 | 250,000 | 249,893 | ||||
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 385,000 | 350,338 | ||||
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 | 260,000 | 250,057 | ||||
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 155,000 | 158,075 | ||||
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 156,000 | 156,377 | ||||
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) | 1,240,000 | 1,197,086 | ||||
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 100,000 | 93,500 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 195,000 | 183,956 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 205,000 | 188,540 | ||||
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 | 545,000 | 465,716 | ||||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 240,000 | 220,800 | ||||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 535,000 | 496,266 | ||||
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 | 425,000 | 404,219 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 | 200,000 | 166,000 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 270,000 | 229,500 | ||||
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) | 355,000 | 315,950 | ||||
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) | 113,775 | 104,104 | ||||
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 | 201,563 | 177,375 | ||||
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 | 190,000 | 178,340 | ||||
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 | 230,000 | 209,231 | ||||
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 | 115,000 | 102,063 | ||||
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33 | 130,000 | 106,275 | ||||
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 70,000 | 66,907 | ||||
23,925,604 | ||||||
Financials (4.1%) | ||||||
ABN AMRO Bank NV 144A unsec. sub. FRB 3.324%, 3/13/37 (Netherlands) | 600,000 | 480,662 | ||||
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) | 200,000 | 199,036 | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 2,225,000 | 1,781,094 | ||||
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 215,000 | 187,629 | ||||
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28 | 290,000 | 232,483 | ||||
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 528,000 | 488,258 | ||||
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 1,412,000 | 1,189,516 | ||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 | 330,000 | 292,835 | ||||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 1,447,000 | 1,608,579 | ||||
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 | 520,000 | 499,353 | ||||
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 | 95,000 | 77,798 | ||||
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 | 1,010,000 | 843,020 | ||||
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 504,000 | 462,843 | ||||
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 | 280,000 | 238,616 | ||||
Athene Global Funding 144A notes 1.985%, 8/19/28 | 905,000 | 751,374 | ||||
Australia & New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) | 365,000 | 292,879 | ||||
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) | 200,000 | 196,500 | ||||
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) | 400,000 | 383,620 | ||||
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain) | 1,400,000 | 1,107,264 | ||||
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 600,000 | 600,248 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 320,000 | 314,800 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | 30,000 | 29,711 | ||||
Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27 | 2,720,000 | 2,417,797 | ||||
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 | 720,000 | 608,489 | ||||
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 2,270,000 | 1,962,073 | ||||
Bank of America Corp. unsec. sub. FRN (ICE LIBOR USD 3 Month + 0.76%), 2.589%, 9/15/26 | 125,000 | 118,444 | ||||
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 1,722,000 | 1,859,743 | ||||
Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 | 555,000 | 539,380 | ||||
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 | 860,000 | 619,111 | ||||
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 190,000 | 177,396 | ||||
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31 | 270,000 | 211,391 | ||||
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) | 375,000 | 295,168 | ||||
BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) | 200,000 | 195,693 | ||||
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 432,000 | 424,747 | ||||
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R) | 390,000 | 393,693 | ||||
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 | 1,934,000 | 1,475,126 | ||||
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | 661,000 | 548,630 | ||||
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 | 3,154,000 | 2,982,851 | ||||
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 | 721,000 | 693,208 | ||||
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 445,000 | 397,312 | ||||
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 520,000 | 509,252 | ||||
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 | 400,000 | 400,506 | ||||
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 | 705,000 | 702,232 | ||||
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 210,000 | 203,609 | ||||
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 195,000 | 198,008 | ||||
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 | 250,000 | 187,500 | ||||
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 | 165,000 | 103,950 | ||||
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) | 1,285,000 | 1,224,107 | ||||
Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) | 246,000 | 229,716 | ||||
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 | 470,000 | 434,341 | ||||
Credit Agricole SA 144A unsec. sub. FRN 4.00%, 1/10/33 (France) | 250,000 | 227,886 | ||||
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) | 431,000 | 392,210 | ||||
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) | 342,000 | 307,327 | ||||
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 1,375,000 | 1,249,489 | ||||
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | 600,000 | 571,196 | ||||
Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany) | 1,745,000 | 1,564,794 | ||||
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) | 384,000 | 372,688 | ||||
DNB Bank ASA 144A sr. unsec. notes 2.15%, 12/2/22 (Norway) | 1,435,000 | 1,432,751 | ||||
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 125,000 | 137,736 | ||||
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 1,124,000 | 1,116,910 | ||||
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | 245,000 | 244,351 | ||||
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 1,137,000 | 1,184,715 | ||||
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 | 445,000 | 446,849 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 | 218,000 | 183,487 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 185,000 | 159,592 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 | 125,000 | 92,644 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32(R) | 360,000 | 288,529 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 | 195,000 | 191,235 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 148,000 | 144,836 | ||||
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) | 70,000 | 64,225 | ||||
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) | 135,000 | 113,400 | ||||
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 | 327,000 | 253,425 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 1,454,000 | 1,397,574 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 | 2,755,000 | 2,663,256 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 | 386,000 | 329,217 | ||||
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 | 164,000 | 181,922 | ||||
Goldman Sachs Group, Inc. (The) unsec. sub. notes 5.95%, 1/15/27 | 220,000 | 230,402 | ||||
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 | 410,000 | 385,564 | ||||
HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29 | 70,000 | 57,824 | ||||
Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36 | 781,000 | 611,261 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 215,000 | 201,274 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 | 280,000 | 248,035 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 | 115,000 | 92,938 | ||||
Intercontinental Exchange, Inc. company guaranty sr. unsec. unsub. notes 3.10%, 9/15/27 | 182,000 | 172,314 | ||||
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 633,000 | 464,218 | ||||
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 | 317,000 | 247,586 | ||||
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 | 110,000 | 110,275 | ||||
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | 810,000 | 605,431 | ||||
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26(R) | 195,000 | 182,742 | ||||
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) | 320,000 | 301,231 | ||||
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) | 805,000 | 743,466 | ||||
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 218,000 | 203,568 | ||||
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | 1,256,000 | 1,060,718 | ||||
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 2.411%, 5/15/47 | 784,000 | 595,860 | ||||
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity | 149,000 | 122,031 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 2,716,000 | 2,301,260 | ||||
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 | 3,080,000 | 2,956,823 | ||||
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 | 136,000 | 134,778 | ||||
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23 | 1,432,000 | 1,432,040 | ||||
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 | 340,000 | 324,480 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) | 280,000 | 215,440 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25(R) | 65,000 | 58,825 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) | 330,000 | 265,650 | ||||
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom) | 445,000 | 435,983 | ||||
Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49 | 425,000 | 416,600 | ||||
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 | 467,000 | 461,543 | ||||
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 | 300,000 | 323,361 | ||||
Metropolitan Life Global Funding I 144A sr. notes 3.00%, 1/10/23 | 130,000 | 129,924 | ||||
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) | 575,000 | 563,139 | ||||
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29 | 3,065,000 | 2,908,211 | ||||
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 | 965,000 | 875,661 | ||||
Morgan Stanley sr. unsec. unsub. notes Ser. GMTN, 3.125%, 1/23/23 | 2,511,000 | 2,510,135 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 | 345,000 | 264,167 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 | 195,000 | 156,417 | ||||
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 | 305,000 | 276,392 | ||||
New York Life Global Funding 144A notes 1.10%, 5/5/23 | 2,200,000 | 2,156,653 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 105,000 | 97,044 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 120,000 | 107,251 | ||||
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 315,000 | 255,263 | ||||
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31 | 155,000 | 115,595 | ||||
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 | 230,000 | 200,389 | ||||
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 | 355,000 | 313,179 | ||||
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 1,490,000 | 1,438,995 | ||||
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) | 254,000 | 219,807 | ||||
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) | 106,000 | 96,716 | ||||
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 | 285,000 | 256,500 | ||||
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 | 160,000 | 151,693 | ||||
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 615,000 | 620,155 | ||||
Santander UK Group Holdings PLC 144A unsec. sub. notes 4.75%, 9/15/25 (United Kingdom) | 635,000 | 625,507 | ||||
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) | 241,000 | 242,690 | ||||
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25(R) | 80,000 | 73,300 | ||||
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | 690,000 | 534,750 | ||||
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan) | 1,420,000 | 1,372,613 | ||||
Svenska Handelsbanken AB 144A sr. unsec. notes 0.625%, 6/30/23 (Sweden) | 290,000 | 281,724 | ||||
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 | 385,000 | 356,021 | ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.90%, 12/1/22 (Canada) | 1,792,000 | 1,785,364 | ||||
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) | 965,000 | 930,135 | ||||
Truist Bank unsec. sub. FRN Ser. BKNT, 2.636%, 9/17/29 | 540,000 | 513,511 | ||||
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 | 275,000 | 246,098 | ||||
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 4.125%, 4/15/26 (Switzerland) | 395,000 | 388,738 | ||||
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) | 581,000 | 563,138 | ||||
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 1,305,000 | 1,063,404 | ||||
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25 | 235,000 | 226,775 | ||||
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) | 702,000 | 670,038 | ||||
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) | 263,000 | 231,328 | ||||
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity | 203,000 | 197,925 | ||||
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | 173,000 | 148,996 | ||||
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33 | 3,960,000 | 3,514,363 | ||||
Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) | 160,000 | 154,843 | ||||
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | 82,000 | 73,396 | ||||
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 379,000 | 274,194 | ||||
91,829,493 | ||||||
Health care (1.3%) | ||||||
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 | 640,000 | 634,877 | ||||
Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25 | 260,000 | 170,300 | ||||
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 552,000 | 516,231 | ||||
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | 794,000 | 750,938 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 | 185,000 | 157,250 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 | 170,000 | 90,474 | ||||
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 | 340,000 | 266,064 | ||||
Becton Dickinson and Co. sr. unsec. notes 3.70%, 6/6/27 | 166,000 | 160,415 | ||||
Becton Dickinson and Co. sr. unsec. sub. bonds 1.957%, 2/11/31 | 1,050,000 | 847,538 | ||||
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 | 975,000 | 975,140 | ||||
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 2/20/23 | 1,350,000 | 1,356,964 | ||||
Bristol-Myers Squibb Co. sr. unsec. notes 3.25%, 8/15/22 | 888,000 | 888,859 | ||||
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24 | 1,115,000 | 1,104,354 | ||||
Bristol-Myers Squibb Co. sr. unsec. notes 1.45%, 11/13/30 | 520,000 | 427,202 | ||||
Bristol-Myers Squibb Co. sr. unsec. sub. notes 3.40%, 7/26/29 | 128,000 | 123,556 | ||||
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 | 215,000 | 178,181 | ||||
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 595,000 | 551,863 | ||||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 | 110,000 | 94,050 | ||||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 105,000 | 90,956 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 | 115,000 | 104,729 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 | 25,000 | 20,500 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 | 90,000 | 76,163 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 | 165,000 | 96,725 | ||||
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 | 310,000 | 199,950 | ||||
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 | 340,000 | 258,366 | ||||
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 | 528,000 | 529,147 | ||||
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 | 2,299,000 | 2,176,131 | ||||
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 | 263,566 | 252,655 | ||||
DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) | 355,000 | 284,384 | ||||
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 | 260,000 | 247,494 | ||||
HCA, Inc. company guaranty sr. bonds 3.50%, 7/15/51 | 885,000 | 604,398 | ||||
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 | 116,000 | 111,523 | ||||
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 | 242,000 | 220,652 | ||||
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 245,000 | 242,938 | ||||
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 115,000 | 97,832 | ||||
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 415,000 | 369,149 | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg) | 239,000 | 180,445 | ||||
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 | 44,000 | 43,725 | ||||
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 | 865,000 | 756,794 | ||||
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 | 277,000 | 273,690 | ||||
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 | 355,000 | 295,214 | ||||
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 | 125,000 | 106,464 | ||||
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29 | 190,000 | 156,047 | ||||
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 | 1,430,000 | 1,330,005 | ||||
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 | 70,000 | 60,025 | ||||
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 | 240,000 | 212,400 | ||||
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 | 90,000 | 81,900 | ||||
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 | 265,000 | 216,373 | ||||
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 | 670,000 | 655,408 | ||||
Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) | 1,210,000 | 1,117,529 | ||||
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 320,000 | 301,501 | ||||
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 177,000 | 166,380 | ||||
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 190,000 | 155,563 | ||||
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 220,000 | 187,825 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 | 58,000 | 55,664 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 | 485,000 | 436,500 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 | 1,375,000 | 1,265,000 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 | 190,000 | 160,020 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 | 300,000 | 276,774 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 285,000 | 280,631 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) | 390,000 | 321,263 | ||||
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42 | 550,000 | 493,024 | ||||
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 | 1,625,000 | 1,614,728 | ||||
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23 | 545,000 | 543,292 | ||||
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 | 641,000 | 553,722 | ||||
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 730,000 | 706,686 | ||||
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 275,000 | 230,226 | ||||
28,512,766 | ||||||
Technology (1.0%) | ||||||
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 | 355,000 | 294,296 | ||||
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 | 680,000 | 441,806 | ||||
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | 670,000 | 634,404 | ||||
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 | 1,680,000 | 1,637,923 | ||||
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61 | 275,000 | 197,395 | ||||
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 | 565,000 | 560,923 | ||||
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 493,000 | 487,612 | ||||
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 600,000 | 552,298 | ||||
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 525,000 | 427,458 | ||||
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 | 150,000 | 122,342 | ||||
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 | 65,000 | 62,241 | ||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 783,000 | 753,399 | ||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 | 1,550,000 | 1,434,692 | ||||
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | 305,000 | 279,445 | ||||
Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 411,000 | 368,479 | ||||
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 | 115,000 | 87,420 | ||||
Central Parent, Inc./Central Merger Sub, Inc. 144A sr. notes 7.25%, 6/15/29 | 170,000 | 163,625 | ||||
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 | 405,000 | 332,505 | ||||
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 100,000 | 92,103 | ||||
CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27 | 165,000 | 130,433 | ||||
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 415,000 | 358,975 | ||||
Google, LLC sr. unsec. notes 3.375%, 2/25/24 | 720,000 | 724,027 | ||||
IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22 | 850,000 | 849,142 | ||||
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 480,000 | 401,597 | ||||
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 | 360,000 | 360,193 | ||||
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 | 1,818,000 | 1,434,064 | ||||
Microsoft Corp. sr. unsec. unsub. bonds 2.525%, 6/1/50 | 85,000 | 62,605 | ||||
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 | 2,165,000 | 2,080,724 | ||||
Microsoft Corp. sr. unsec. unsub. notes 3.30%, 2/6/27 | 120,000 | 119,211 | ||||
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 85,000 | 62,432 | ||||
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 440,000 | 327,898 | ||||
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 | 1,705,000 | 1,264,323 | ||||
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 | 215,000 | 195,815 | ||||
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22 | 1,651,000 | 1,648,175 | ||||
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 545,000 | 397,850 | ||||
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 665,000 | 486,229 | ||||
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 665,000 | 502,878 | ||||
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 665,000 | 532,971 | ||||
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 720,000 | 563,417 | ||||
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 | 95,000 | 89,370 | ||||
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 170,000 | 141,950 | ||||
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 120,000 | 98,732 | ||||
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 295,000 | 248,007 | ||||
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 | 200,000 | 187,146 | ||||
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 755,000 | 632,420 | ||||
22,830,950 | ||||||
Transportation (0.2%) | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 | 230,000 | 196,365 | ||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 | 230,000 | 211,321 | ||||
Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada) | 1,315,000 | 1,190,044 | ||||
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 | 480,000 | 421,486 | ||||
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 | 360,000 | 340,048 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | 254,000 | 240,940 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 255,000 | 249,968 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 | 450,000 | 448,341 | ||||
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 | 90,000 | 76,344 | ||||
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 | 90,000 | 79,305 | ||||
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 | 685,000 | 627,407 | ||||
4,081,569 | ||||||
Utilities and power (0.9%) | ||||||
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | 320,000 | 282,214 | ||||
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 515,000 | 414,198 | ||||
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 1,130,000 | 1,100,728 | ||||
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 195,000 | 165,155 | ||||
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 | 123,000 | 104,065 | ||||
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 | 110,000 | 78,100 | ||||
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 60,000 | 52,484 | ||||
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 180,000 | 151,582 | ||||
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 48,000 | 45,600 | ||||
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 350,000 | 317,757 | ||||
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 50,000 | 40,422 | ||||
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 | 25,000 | 20,807 | ||||
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36 | 133,000 | 148,860 | ||||
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 275,000 | 242,251 | ||||
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 | 835,000 | 695,690 | ||||
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 | 980,000 | 925,665 | ||||
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39 | 210,000 | 238,293 | ||||
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 860,000 | 821,180 | ||||
Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23 | 308,000 | 308,375 | ||||
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) | 815,000 | 713,685 | ||||
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 592,000 | 584,410 | ||||
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 | 1,410,000 | 1,270,718 | ||||
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 | 86,000 | 87,291 | ||||
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 | 113,000 | 107,404 | ||||
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 1,550,000 | 1,141,407 | ||||
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | 417,000 | 365,074 | ||||
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | 1,680,000 | 1,412,944 | ||||
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | 265,000 | 246,038 | ||||
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 | 300,000 | 300,304 | ||||
Kinder Morgan, Inc./DE company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 | 107,000 | 124,844 | ||||
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 | 15,000 | 14,691 | ||||
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | 160,000 | 143,312 | ||||
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 535,000 | 525,168 | ||||
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 | 835,000 | 663,226 | ||||
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 100,000 | 89,250 | ||||
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) | 450,000 | 449,299 | ||||
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 | 175,000 | 185,288 | ||||
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 | 760,000 | 652,361 | ||||
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 | 110,000 | 99,940 | ||||
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | 115,000 | 96,401 | ||||
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 | 370,000 | 331,219 | ||||
Pacific Gas and Electric Co. sr. notes 1.367%, 3/10/23 | 2,180,000 | 2,146,535 | ||||
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 | 160,000 | 171,092 | ||||
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity | 100,000 | 90,750 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 526,000 | 476,359 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 421,000 | 406,351 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 | 295,000 | 278,579 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 | 155,000 | 140,912 | ||||
19,468,278 | ||||||
Total corporate bonds and notes (cost $367,297,413) | $327,421,511 |
MORTGAGE-BACKED SECURITIES (5.1%)(a) | ||||||
Principal amount | Value | |||||
Agency collateralized mortgage obligations (1.7%) | ||||||
Federal Home Loan Mortgage Corporation | ||||||
REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 20.465%, 4/15/37 | $41,240 | $64,334 | ||||
REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 18.942%, 11/15/35 | 25,028 | 38,043 | ||||
REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 13.562%, 6/15/34 | 17,943 | 19,378 | ||||
REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51 | 3,896,790 | 815,747 | ||||
REMICs Ser. 5170, Class CI, IO, 5.50%, 5/25/44 | 5,158,668 | 1,032,456 | ||||
REMICs Ser. 5117, Class CI, IO, 5.00%, 6/25/51 | 9,302,367 | 1,660,193 | ||||
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.726%, 4/15/44 | 6,036,012 | 723,468 | ||||
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 5,540,696 | 1,167,263 | ||||
REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49 | 6,688,056 | 1,450,682 | ||||
REMICs Ser. 5162, Class HI, IO, 4.00%, 11/25/51 | 8,647,798 | 1,566,038 | ||||
REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51 | 6,660,687 | 1,248,346 | ||||
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 | 11,661,115 | 2,225,174 | ||||
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 | 5,106,407 | 1,163,527 | ||||
REMICs Ser. 5080, Class DI, IO, 4.00%, 3/25/51 | 10,218,723 | 1,950,025 | ||||
REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50 | 5,568,196 | 1,083,014 | ||||
REMICs Ser. 5174, Class NI, IO, 3.50%, 12/25/51 | 7,433,303 | 1,307,893 | ||||
REMICs Ser. 5152, Class IE, IO, 3.50%, 10/25/51 | 8,200,653 | 1,442,604 | ||||
REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51 | 5,757,830 | 1,031,812 | ||||
REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50 | 4,103,036 | 738,098 | ||||
REMICs Ser. 5167, IO, 3.00%, 11/25/51 | 8,481,841 | 1,319,011 | ||||
REMICs Ser. 5127, Class AI, IO, 3.00%, 6/25/51 | 9,385,533 | 1,556,511 | ||||
REMICs Ser. 5094, Class AI, IO, 3.00%, 4/25/41 | 10,720,488 | 1,418,406 | ||||
REMICs Ser. 3391, PO, zero %, 4/15/37 | 3,080 | 2,710 | ||||
REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 | 4,600 | 4,048 | ||||
Federal National Mortgage Association | ||||||
REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 30.159%, 7/25/36 | 13,255 | 24,522 | ||||
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 18.247%, 6/25/37 | 32,102 | 50,721 | ||||
REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 15.09%, 12/25/35 | 20,897 | 28,212 | ||||
REMICs IFB Ser. 17-69, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 4.526%, 9/25/47 | 5,838,978 | 842,166 | ||||
REMICs IFB Ser. 19-43, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 4.476%, 8/25/49 | 4,641,373 | 674,405 | ||||
REMICs Ser. 21-67, Class DI, IO, 4.00%, 10/25/51 | 9,220,662 | 1,990,963 | ||||
REMICs Ser. 21-28, Class GI, IO, 4.00%, 5/25/51 | 6,274,807 | 1,280,005 | ||||
REMICs Ser. 20-67, Class JI, IO, 4.00%, 9/25/50 | 6,692,713 | 1,262,827 | ||||
REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51 | 4,796,584 | 832,111 | ||||
REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51 | 9,029,824 | 1,119,649 | ||||
REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41 | 8,880,065 | 1,012,327 | ||||
REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49 | 7,301,202 | 1,067,867 | ||||
REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 | 10,831 | 9,748 | ||||
REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37 | 687 | 611 | ||||
REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 | 1,013 | 892 | ||||
REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 | 2,304 | 2,002 | ||||
Government National Mortgage Association | ||||||
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 170,920 | 36,214 | ||||
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 33,921 | 6,408 | ||||
IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 4.455%, 6/20/49 | 40,465 | 3,896 | ||||
Ser. 13-14, IO, 3.50%, 12/20/42 | 307,206 | 35,233 | ||||
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 | 8,189,961 | 1,262,728 | ||||
Ser. 20-138, Class AI, IO, 3.00%, 9/20/50 | 4,067,051 | 607,065 | ||||
Ser. 16-H16, Class EI, IO, 2.718%, 6/20/66(WAC) | 2,260,361 | 112,114 | ||||
FRB Ser. 16-H16, Class LI, IO, 2.167%, 7/20/66(WAC) | 15,842,552 | 721,222 | ||||
Ser. 15-H26, Class EI, IO, 1.733%, 10/20/65(WAC) | 1,780,174 | 84,380 | ||||
Ser. 15-H25, Class BI, IO, 1.379%, 10/20/65(WAC) | 3,100,407 | 133,938 | ||||
38,231,007 | ||||||
Commercial mortgage-backed securities (1.7%) | ||||||
Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 1.084%, 5/15/53(WAC) | 5,250,100 | 294,277 | ||||
AREIT CRE Trust 144A FRB Ser. 21-CRE5, Class A, 2.603%, 11/17/38 (Cayman Islands) | 559,520 | 542,735 | ||||
AREIT Trust 144A FRB Ser. 20-CRE4, Class C, 3.996%, 4/15/37 | 607,000 | 610,339 | ||||
AREIT, LLC 144A FRB Ser. 22-CRE7, Class A, 3.242%, 6/17/39 | 930,000 | 927,675 | ||||
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49(WAC) | 94,982 | 1 | ||||
BANK FRB Ser. 17-BNK8, Class B, 4.06%, 11/15/50(WAC) | 501,000 | 467,532 | ||||
Barclays Commercial Mortgage Trust FRB Ser. 19-C4, Class XA, IO, 1.706%, 8/15/52(WAC) | 11,004,488 | 876,692 | ||||
BBCMS Mortgage Trust FRB Ser. 21-C9, Class XA, IO, 1.757%, 2/15/54(WAC) | 5,241,185 | 525,544 | ||||
Benchmark Mortgage Trust Ser. 19-B11, Class AS, 3.784%, 5/15/52 | 437,000 | 410,863 | ||||
BXMT, Ltd. 144A FRB Ser. 21-FL4, Class A, 2.374%, 5/15/38 (Cayman Islands) | 827,000 | 812,091 | ||||
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50(WAC) | 169,000 | 164,371 | ||||
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.249%, 12/15/47(WAC) | 141,073 | 143,909 | ||||
Citigroup Commercial Mortgage Trust 144A | ||||||
FRB Ser. 14-GC19, Class D, 5.26%, 3/10/47(WAC) | 402,000 | 387,973 | ||||
FRB Ser. 12-GC8, Class XA, IO, 1.475%, 9/10/45(WAC) | 1,402,819 | 14 | ||||
FRB Ser. 06-C5, Class XC, IO, 0.599%, 10/15/49(WAC) | 3,406,317 | 32 | ||||
COMM Mortgage Trust | ||||||
FRB Ser. 13-CR13, Class C, 5.041%, 11/10/46(WAC) | 976,000 | 955,643 | ||||
FRB Ser. 14-CR17, Class C, 4.943%, 5/10/47(WAC) | 392,000 | 379,740 | ||||
FRB Ser. 14-CR18, Class C, 4.906%, 7/15/47(WAC) | 346,000 | 329,524 | ||||
Ser. 13-CR11, Class AM, 4.715%, 8/10/50(WAC) | 411,000 | 412,829 | ||||
FRB Ser. 14-UBS6, Class C, 4.588%, 12/10/47(WAC) | 500,000 | 479,974 | ||||
FRB Ser. 15-LC21, Class B, 4.477%, 7/10/48(WAC) | 476,000 | 451,338 | ||||
FRB Ser. 15-LC19, Class C, 4.366%, 2/10/48(WAC) | 855,000 | 821,223 | ||||
FRB Ser. 14-CR18, Class XA, IO, 1.148%, 7/15/47(WAC) | 1,982,693 | 31,108 | ||||
FRB Ser. 14-CR19, Class XA, IO, 1.093%, 8/10/47(WAC) | 5,178,975 | 80,361 | ||||
FRB Ser. 13-CR11, Class XA, IO, 1.069%, 8/10/50(WAC) | 5,587,775 | 43,836 | ||||
FRB Ser. 14-UBS6, Class XA, IO, 1.001%, 12/10/47(WAC) | 5,535,357 | 88,228 | ||||
FRB Ser. 14-LC17, Class XA, IO, 0.822%, 10/10/47(WAC) | 4,292,123 | 52,797 | ||||
COMM Mortgage Trust 144A | ||||||
FRB Ser. 10-C1, Class D, 5.985%, 7/10/46(WAC) | 899,031 | 835,598 | ||||
FRB Ser. 13-CR13, Class D, 5.041%, 11/10/46(WAC) | 537,000 | 502,131 | ||||
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.048%, 1/15/49(WAC) | 3,042,837 | 1 | ||||
CSAIL Commercial Mortgage Trust | ||||||
FRB Ser. 15-C1, Class C, 4.402%, 4/15/50(WAC) | 1,318,000 | 1,173,130 | ||||
Ser. 16-C7, Class AS, 3.958%, 11/15/49(WAC) | 388,000 | 374,145 | ||||
Ser. 15-C2, Class AS, 3.849%, 6/15/57(WAC) | 442,000 | 424,628 | ||||
Ser. 15-C1, Class AS, 3.791%, 4/15/50(WAC) | 1,138,000 | 1,111,676 | ||||
Ser. 19-C17, Class AS, 3.278%, 9/15/52 | 389,000 | 352,234 | ||||
FRB Ser. 20-C19, Class XA, IO, 1.232%, 3/15/53(WAC) | 10,554,849 | 698,826 | ||||
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.902%, 4/15/50(WAC) | 501,000 | 362,109 | ||||
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.598%, 12/15/49(WAC) | 1,264,000 | 1,001,509 | ||||
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.549%, 8/10/44(WAC) | 1,402,642 | 1,338,542 | ||||
GS Mortgage Securities Corp., II FRB Ser. 13-GC10, Class XA, IO, 1.606%, 2/10/46(WAC) | 3,593,693 | 16,449 | ||||
GS Mortgage Securities Trust | ||||||
FRB Ser. 14-GC18, Class C, 5.226%, 1/10/47(WAC) | 560,000 | 411,128 | ||||
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47(WAC) | 767,000 | 743,111 | ||||
FRB Ser. 13-GC12, Class XA, IO, 1.52%, 6/10/46(WAC) | 2,100,698 | 13,426 | ||||
FRB Ser. 14-GC22, Class XA, IO, 1.096%, 6/10/47(WAC) | 4,247,604 | 51,225 | ||||
FRB Ser. 14-GC24, Class XA, IO, 0.843%, 9/10/47(WAC) | 8,663,900 | 109,165 | ||||
GS Mortgage Securities Trust 144A | ||||||
FRB Ser. 10-C1, Class D, 6.566%, 8/10/43(WAC) | 630,000 | 468,301 | ||||
FRB Ser. 13-GC14, Class B, 4.878%, 8/10/46(WAC) | 436,000 | 433,086 | ||||
Ser. 12-GCJ9, Class C, 4.448%, 11/10/45(WAC) | 650,000 | 644,869 | ||||
JPMBB Commercial Mortgage Securities Trust | ||||||
FRB Ser. 14-C22, Class C, 4.702%, 9/15/47(WAC) | 370,000 | 342,195 | ||||
FRB Ser. 13-C12, Class B, 4.232%, 7/15/45(WAC) | 435,000 | 430,166 | ||||
FRB Ser. 13-C12, Class C, 4.232%, 7/15/45(WAC) | 755,000 | 735,813 | ||||
Ser. 16-C1, Class AS, 3.97%, 3/17/49 | 423,000 | 410,520 | ||||
FRB Ser. 15-C33, Class XA, IO, 1.057%, 12/15/48(WAC) | 5,370,035 | 137,687 | ||||
FRB Ser. 14-C25, Class XA, IO, 0.967%, 11/15/47(WAC) | 6,354,708 | 99,979 | ||||
FRB Ser. 14-C19, Class XA, IO, 0.796%, 4/15/47(WAC) | 4,524,363 | 37,575 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||
FRB Ser. 13-C16, Class C, 5.17%, 12/15/46(WAC) | 591,000 | 580,888 | ||||
Ser. 13-LC11, Class AS, 3.216%, 4/15/46 | 731,000 | 721,246 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||||||
FRB Ser. 12-C6, Class E, 5.114%, 5/15/45(WAC) | 695,000 | 514,787 | ||||
FRB Ser. 12-C8, Class D, 4.982%, 10/15/45(WAC) | 544,000 | 535,720 | ||||
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 7.004%, 12/15/49(WAC) | 18,514 | — | ||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||
FRB Ser. 14-C14, Class C, 5.212%, 2/15/47(WAC) | 560,000 | 555,516 | ||||
FRB Ser. 14-C17, Class C, 4.638%, 8/15/47(WAC) | 1,106,000 | 1,050,136 | ||||
Ser. 14-C15, Class B, 4.565%, 4/15/47(WAC) | 306,000 | 303,645 | ||||
FRB Ser. 15-C24, Class B, 4.482%, 5/15/48(WAC) | 375,000 | 367,052 | ||||
FRB Ser. 14-C17, Class XA, IO, 1.187%, 8/15/47(WAC) | 2,838,389 | 39,153 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||||||
FRB Ser. 12-C6, Class D, 4.737%, 11/15/45(WAC) | 491,000 | 485,902 | ||||
FRB Ser. 13-C9, Class D, 4.243%, 5/15/46(WAC) | 441,000 | 399,828 | ||||
Morgan Stanley Capital I Trust FRB Ser. 16-BNK2, Class C, 4.02%, 11/15/49(WAC) | 1,406,000 | 1,272,512 | ||||
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.254%, 7/15/49(WAC) | 324,000 | 324,194 | ||||
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M7, 3.324%, 10/15/49 | 45,866 | 45,793 | ||||
PFP, Ltd. 144A REMICs FRB Ser. 21-8, Class AS, 2.759%, 8/9/37 (Cayman Islands) | 463,000 | 448,522 | ||||
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) | 417,718 | 4 | ||||
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C4, Class XA, IO, 1.687%, 12/10/45(WAC) | 2,105,721 | 3,642 | ||||
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 2.712%, 6/16/36 | 205,701 | 198,502 | ||||
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.357%, 11/15/48(WAC) | 715,695 | 303 | ||||
Wells Fargo Commercial Mortgage Trust | ||||||
FRB Ser. 13-LC12, Class C, 4.434%, 7/15/46(WAC) | 501,000 | 452,898 | ||||
FRB Ser. 14-LC16, Class XA, IO, 1.247%, 8/15/50(WAC) | 9,460,839 | 148,861 | ||||
FRB Ser. 16-LC25, Class XA, IO, 0.976%, 12/15/59(WAC) | 10,320,182 | 300,286 | ||||
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.434%, 7/15/46(WAC) | 412,000 | 241,477 | ||||
WF-RBS Commercial Mortgage Trust | ||||||
Ser. 13-C18, Class AS, 4.387%, 12/15/46(WAC) | 1,270,000 | 1,266,038 | ||||
FRB Ser. 13-C11, Class C, 4.315%, 3/15/45(WAC) | 1,149,000 | 1,135,382 | ||||
Ser. 13-C11, Class AS, 3.311%, 3/15/45 | 455,000 | 451,727 | ||||
FRB Ser. 14-C22, Class XA, IO, 0.937%, 9/15/57(WAC) | 22,663,991 | 201,891 | ||||
FRB Ser. 13-C14, Class XA, IO, 0.787%, 6/15/46(WAC) | 10,253,632 | 39,372 | ||||
WF-RBS Commercial Mortgage Trust 144A | ||||||
FRB Ser. 11-C3, Class D, 5.415%, 3/15/44(WAC) | 788,814 | 357,175 | ||||
Ser. 11-C4, Class E, 5.026%, 6/15/44(WAC) | 138,000 | 101,877 | ||||
FRB Ser. 12-C9, Class D, 4.981%, 11/15/45(WAC) | 546,000 | 534,549 | ||||
FRB Ser. 13-C15, Class D, 4.67%, 8/15/46(WAC) | 599,000 | 355,362 | ||||
FRB Ser. 12-C9, Class XA, IO, 1.977%, 11/15/45(WAC) | 2,756,183 | 128 | ||||
FRB Ser. 12-C10, Class XA, IO, 1.614%, 12/15/45(WAC) | 3,905,661 | 5,796 | ||||
36,990,037 | ||||||
Residential mortgage-backed securities (non-agency) (1.7%) | ||||||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 1.814%, 5/25/47 | 1,199,126 | 678,299 | ||||
Arroyo Mortgage Trust 144A | ||||||
Ser. 19-1, Class A3, 4.027%, 1/25/49(WAC) | 127,111 | 122,651 | ||||
Ser. 19-3, Class A3, 3.416%, 10/25/48(WAC) | 174,062 | 167,400 | ||||
Banc of America Funding Trust FRB Ser. 05-B, Class 3M1, (ICE LIBOR USD 1 Month + 0.68%), 2.287%, 4/20/35 | 103,394 | 103,168 | ||||
BankUnited Trust FRB Ser. 05-1, Class 1A1, (ICE LIBOR USD 1 Month + 0.60%), 2.224%, 9/25/45 | 118,775 | 112,426 | ||||
Bear Stearns Asset Backed Securities I Trust FRB Ser. 05-HE8, Class M3, (ICE LIBOR USD 1 Month + 1.95%), 3.574%, 8/25/35 | 238,374 | 228,529 | ||||
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 4.124%, 10/25/29 (Bermuda) | 502,000 | 494,595 | ||||
BRAVO Residential Funding Trust 144A | ||||||
FRB Ser. 21-HE3, Class A2, (US 30 Day Average SOFR + 1.00%), 1.926%, 8/25/69 | 760,620 | 739,387 | ||||
Ser. 21-C, Class A1, 1.62%, 3/1/61 | 479,799 | 440,563 | ||||
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55(WAC) | 500,000 | 464,056 | ||||
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB7, Class M2, 2.679%, 10/27/31(WAC) | 1,666,000 | 1,598,697 | ||||
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 2.792%, 5/25/35(WAC) | 189,390 | 186,461 | ||||
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65(WAC) | 24,909 | 24,515 | ||||
Countrywide Alternative Loan Trust | ||||||
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 2.272%, 11/20/35 | 197,791 | 177,362 | ||||
FRB Ser. 06-24CB, Class A19, (ICE LIBOR USD 1 Month + 0.50%), 2.124%, 8/25/36 | 390,648 | 198,997 | ||||
FRB Ser. 05-65CB, Class 2A1, (ICE LIBOR USD 1 Month + 0.43%), 2.049%, 12/25/35 | 917,179 | 660,104 | ||||
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 2.004%, 8/25/46 | 842,061 | 733,228 | ||||
FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 1.792%, 2/20/47 | 482,762 | 372,893 | ||||
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 1.416%, 6/25/46 | 515,298 | 455,553 | ||||
CSMC Trust 144A | ||||||
Ser. 21-RPL7, Class A1, 1.926%, 7/27/61(WAC) | 298,385 | 276,603 | ||||
Ser. 21-RPL4, Class A1, 1.796%, 12/27/60(WAC) | 303,962 | 283,825 | ||||
Eagle Re, Ltd. 144A | ||||||
FRB Ser. 18-1, Class M2, (ICE LIBOR USD 1 Month + 3.00%), 4.624%, 11/25/28 | 190,000 | 184,875 | ||||
FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 3.324%, 11/25/28 (Bermuda) | 357,894 | 353,606 | ||||
Federal Home Loan Mortgage Corporation | ||||||
Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, (ICE LIBOR USD 1 Month + 6.35%), 7.974%, 9/25/28 | 781,898 | 834,999 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M3, (ICE LIBOR USD 1 Month + 5.55%), 7.174%, 7/25/28 | 1,043,574 | 1,092,578 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (ICE LIBOR USD 1 Month + 5.15%), 6.774%, 11/25/28 | 677,425 | 707,116 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 6.624%, 12/25/28 | 585,773 | 610,655 | ||||
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 6.324%, 4/25/28 | 493,691 | 509,781 | ||||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (ICE LIBOR USD 1 Month + 4.65%), 6.274%, 10/25/28 | 1,947,533 | 2,012,742 | ||||
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 5.174%, 8/25/29 | 498,217 | 504,444 | ||||
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2, (ICE LIBOR USD 1 Month + 3.45%), 5.074%, 10/25/29 | 350,571 | 354,122 | ||||
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (ICE LIBOR USD 1 Month + 2.30%), 3.924%, 9/25/30 | 299,963 | 297,880 | ||||
Federal Home Loan Mortgage Corporation 144A | ||||||
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 4.024%, 2/25/47 | 207,000 | 203,532 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 3.729%, 6/25/42 | 90,000 | 90,000 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 3.524%, 1/25/50 | 81,915 | 80,938 | ||||
Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 3.226%, 8/25/33 | 691,000 | 653,196 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 2.776%, 1/25/42 | 281,000 | 252,510 | ||||
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 2.624%, 2/25/47 | 2,360,820 | 2,302,189 | ||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 2.226%, 2/25/42 | 377,954 | 367,560 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 1.776%, 9/25/41 | 137,000 | 129,438 | ||||
Federal National Mortgage Association | ||||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 8.574%, 8/25/28 | 664,537 | 703,614 | ||||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 8.374%, 8/25/28 | 846,623 | 896,060 | ||||
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 7.624%, 9/25/28 | 610,900 | 634,439 | ||||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 7.524%, 10/25/28 | 42,890 | 44,283 | ||||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 7.324%, 4/25/28 | 974,439 | 1,017,315 | ||||
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 7.174%, 4/25/28 | 908,137 | 944,560 | ||||
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 6.624%, 11/25/24 | 13,174 | 13,325 | ||||
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 6.524%, 11/25/24 | 138,808 | 143,270 | ||||
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 6.074%, 1/25/29 | 1,031,834 | 1,075,161 | ||||
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (ICE LIBOR USD 1 Month + 4.35%), 5.974%, 5/25/29 | 622,544 | 649,624 | ||||
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 5.924%, 2/25/25 | 60,927 | 62,226 | ||||
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 5.874%, 4/25/29 | 426,395 | 444,827 | ||||
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 5.874%, 1/25/29 | 1,183,185 | 1,210,348 | ||||
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 5.624%, 5/25/25 | 30,518 | 31,056 | ||||
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 5.274%, 9/25/29 | 95,000 | 97,203 | ||||
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 5.174%, 7/25/29 | 504,653 | 518,304 | ||||
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 4.524%, 7/25/24 | 96,577 | 96,812 | ||||
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (ICE LIBOR USD 1 Month + 2.60%), 4.224%, 5/25/24 | 129,951 | 129,870 | ||||
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 2.874%, 7/25/29 | 128,998 | 128,676 | ||||
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (ICE LIBOR USD 1 Month + 0.65%), 2.274%, 1/25/31 | 93,036 | 91,408 | ||||
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (ICE LIBOR USD 1 Month + 0.60%), 2.224%, 11/25/29 | 131,505 | 129,203 | ||||
Federal National Mortgage Association 144A | ||||||
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.926%, 4/25/42 | 901,000 | 901,000 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 3.774%, 11/25/39 | 104,297 | 101,338 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2M2, (ICE LIBOR USD 1 Month + 2.10%), 3.724%, 9/25/39 | 82,891 | 82,580 | ||||
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 3.674%, 1/25/40 | 322,164 | 315,850 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 2.126%, 1/25/42 | 198,225 | 193,641 | ||||
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 1.826%, 11/25/41 | 120,102 | 115,202 | ||||
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 1.676%, 10/25/41 | 68,123 | 66,845 | ||||
FWD Securitization Trust 144A Ser. 19-INV1, Class A3, 3.11%, 6/25/49(WAC) | 703,948 | 679,567 | ||||
Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26 | 430,026 | 399,765 | ||||
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.60%), 3.224%, 10/25/28 (Bermuda) | 64,373 | 64,203 | ||||
Legacy Mortgage Asset Trust 144A | ||||||
Ser. 20-GS5, Class A1, 3.25%, 6/25/60 | 335,320 | 333,656 | ||||
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59 | 498,487 | 497,042 | ||||
FRB Ser. 20-GS1, Class A1, 2.882%, 10/25/59 | 445,514 | 436,604 | ||||
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (ICE LIBOR USD 1 Month + 0.80%), 2.424%, 2/25/34 | 492,887 | 475,472 | ||||
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.82%, 2/25/35(WAC) | 94,622 | 90,849 | ||||
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (ICE LIBOR USD 1 Month + 0.83%), 2.449%, 8/25/34 | 195,851 | 188,106 | ||||
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 1.831%, 8/26/47(WAC) | 129,186 | 127,275 | ||||
New Residential Mortgage Loan Trust 144A FRB Ser. 18-4A, Class A1M, (ICE LIBOR USD 1 Month + 0.90%), 2.524%, 1/25/48 | 281,274 | 277,644 | ||||
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M1, (ICE LIBOR USD 1 Month + 1.55%), 3.174%, 7/25/28 (Bermuda) | 42,343 | 42,189 | ||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 2.674%, 10/25/34 | 394,478 | 388,407 | ||||
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60(WAC) | 886,000 | 867,312 | ||||
Starwood Mortgage Residential Trust 144A Ser. 20-3, Class A3, 2.591%, 4/25/65(WAC) | 757,000 | 676,534 | ||||
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 2.474%, 5/25/47 | 490,066 | 408,403 | ||||
Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A1, 2.24%, 6/25/24 | 260,000 | 247,134 | ||||
Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56(WAC) | 282,000 | 267,510 | ||||
Triangle Re, Ltd. 144A | ||||||
FRB Ser. 19-1, Class M2, (ICE LIBOR USD 1 Month + 2.90%), 4.524%, 11/26/29 | 55,513 | 55,609 | ||||
FRB Ser. 21-2, Class M1A, (ICE LIBOR USD 1 Month + 2.05%), 3.674%, 10/25/33 (Bermuda) | 526,232 | 497,835 | ||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||
FRB Ser. 07-HY2, Class 1A1, 3.196%, 12/25/36(WAC) | 354,441 | 309,352 | ||||
FRB Ser. 05-AR12, Class 1A8, 2.851%, 10/25/35(WAC) | 427,056 | 389,216 | ||||
FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 2.584%, 7/25/45 | 175,188 | 162,031 | ||||
FRB Ser. 05-AR11, Class A1B3, (ICE LIBOR USD 1 Month + 0.80%), 2.424%, 8/25/45 | 142,393 | 137,286 | ||||
38,918,514 | ||||||
Total mortgage-backed securities (cost $118,083,166) | $114,139,558 |
COLLATERALIZED LOAN OBLIGATIONS (1.4%)(a) | ||||||
Principal amount | Value | |||||
522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 2.254%, 4/23/34 (Cayman Islands) | $331,000 | $318,750 | ||||
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 2.144%, 4/15/34 (Cayman Islands) | 841,000 | 811,518 | ||||
AGL CLO 13, Ltd. 144A FRB Ser. 21-13A, Class A1, (ICE LIBOR USD 3 Month + 1.16%), 2.223%, 10/20/34 (Cayman Islands) | 938,000 | 905,062 | ||||
AGL CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME TERM SOFR 3 Month + 1.33%), 1.574%, 1/21/35 (Cayman Islands) | 554,000 | 527,225 | ||||
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 2.263%, 7/20/34 (Cayman Islands) | 1,011,000 | 986,409 | ||||
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 2.236%, 4/22/34 | 448,000 | 431,048 | ||||
Aimco CLO 14, Ltd. 144A FRB Ser. 21-14A, Class A, (ICE LIBOR USD 3 Month + 0.99%), 2.053%, 4/20/34 (Cayman Islands) | 461,000 | 440,189 | ||||
Allegany Park CLO, Ltd. 144A FRB Ser. 22-1A, Class AR, (CME TERM SOFR 3 Month + 1.30%), 2.151%, 1/20/35 (Cayman Islands) | 700,000 | 674,096 | ||||
Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 2.334%, 10/25/32 (Cayman Islands) | 400,000 | 390,840 | ||||
Apidos CLO XXXV 144A FRB Ser. 21-35A, Class A, (ICE LIBOR USD 3 Month + 1.05%), 2.113%, 4/20/34 (Cayman Islands) | 250,000 | 241,088 | ||||
Ares LX CLO, Ltd. 144A FRB Ser. 21-60A, Class A, (ICE LIBOR USD 3 Month + 1.12%), 2.164%, 7/18/34 (Cayman Islands) | 354,000 | 341,528 | ||||
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 2.114%, 4/15/34 (Cayman Islands) | 750,000 | 721,902 | ||||
Ballyrock CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) | 500,000 | 482,453 | ||||
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (ICE LIBOR USD 3 Month + 1.09%), 2.153%, 4/20/31 | 570,500 | 559,470 | ||||
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 2.386%, 11/22/34 (Cayman Islands) | 754,000 | 721,769 | ||||
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 2.214%, 10/15/34 (Cayman Islands) | 518,000 | 500,085 | ||||
Carlyle C17 CLO, Ltd. 144A FRB Ser. C17A, Class A1AR, (ICE LIBOR USD 3 Month + 1.03%), 2.316%, 4/30/31 | 381,000 | 373,747 | ||||
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-1A, Class A1R2, (ICE LIBOR USD 3 Month + 0.97%), 2.014%, 4/17/31 (Cayman Islands) | 1,096,666 | 1,071,051 | ||||
Carlyle Global Market Strategies CLO, Ltd. 144A FRB Ser. 18-3RA, Class A1A, (ICE LIBOR USD 3 Month + 1.05%), 2.275%, 7/27/31 (Cayman Islands) | 391,774 | 383,164 | ||||
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 2.173%, 4/20/32 (Cayman Islands) | 871,000 | 847,717 | ||||
Cent CLO 21, Ltd. 144A FRB Ser. 21-21A, Class A1R3, (ICE LIBOR USD 3 Month + 0.97%), 2.195%, 7/27/30 (Cayman Islands) | 1,150,000 | 1,130,146 | ||||
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 2.233%, 10/20/34 | 978,000 | 939,939 | ||||
Elevation CLO, Ltd. 144A FRB Ser. 17-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/29 | 719,513 | 710,162 | ||||
Elmwood CLO II, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 2.213%, 4/20/34 | 400,000 | 387,578 | ||||
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (ICE LIBOR USD 3 Month + 1.24%), 2.284%, 4/15/33 (Cayman Islands) | 700,000 | 681,518 | ||||
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) | 430,000 | 415,474 | ||||
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (ICE LIBOR USD 3 Month + 1.20%), 2.244%, 4/16/34 (Cayman Islands) | 581,000 | 558,626 | ||||
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/31 (Cayman Islands) | 498,107 | 489,468 | ||||
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 2.244%, 7/15/34 (Cayman Islands) | 350,000 | 340,729 | ||||
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (ICE LIBOR USD 3 Month + 1.35%), 2.413%, 1/20/33 (Cayman Islands) | 1,025,000 | 996,850 | ||||
HPS Loan Management, Ltd. 144A FRB Ser. 18-2016, Class A2R, (ICE LIBOR USD 3 Month + 1.70%), 2.744%, 7/19/30 (Cayman Islands) | 627,000 | 599,260 | ||||
LCM XXI LP 144A FRB Ser. 21A, Class AR, (ICE LIBOR USD 3 Month + 0.88%), 1.943%, 4/20/28 (Cayman Islands) | 404,932 | 401,602 | ||||
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 2.364%, 4/15/32 (Cayman Islands) | 545,000 | 530,088 | ||||
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 2.334%, 1/15/35 (Cayman Islands) | 250,000 | 240,439 | ||||
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) | 307,000 | 297,341 | ||||
Neuberger Berman Loan Advisers CLO 47, Ltd. 144A FRB Ser. 22-47A, Class A, (CME TERM SOFR 3 Month + 1.30%), 1.548%, 4/14/35 (Cayman Islands) | 373,000 | 358,597 | ||||
Octagon Investment Partners 29, Ltd. 144A FRB Ser. 20-1A, Class AR, (ICE LIBOR USD 3 Month + 1.18%), 2.364%, 1/24/33 (Cayman Islands) | 258,000 | 250,514 | ||||
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (ICE LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) | 250,000 | 240,382 | ||||
Octagon Investment Partners 54, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 2.164%, 7/15/34 (Cayman Islands) | 250,000 | 239,984 | ||||
Octagon Investment Partners XXI, Ltd. 144A FRB Ser. 21-1A, Class AAR3, (ICE LIBOR USD 3 Month + 1.00%), 2.411%, 2/14/31 (Cayman Islands) | 350,000 | 341,212 | ||||
Palmer Square CLO, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 2.561%, 11/14/34 (Cayman Islands) | 400,000 | 387,111 | ||||
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.15%), 2.194%, 7/15/34 (Cayman Islands) | 550,000 | 531,570 | ||||
Palmer Square Loan Funding, Ltd. 144A FRB Ser. 22-2A, Class A2, (CME TERM SOFR 3 Month + 1.90%), 2.988%, 10/15/30 (Cayman Islands) | 1,192,000 | 1,158,874 | ||||
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 3.411%, 5/15/32 (Cayman Islands) | 1,178,000 | 1,128,184 | ||||
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 2.063%, 10/20/31 (Cayman Islands) | 500,000 | 488,243 | ||||
Regatta XVIII Funding, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.10%), 2.144%, 1/15/34 | 623,000 | 597,241 | ||||
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.16%), 2.204%, 10/15/34 (Cayman Islands) | 334,000 | 319,614 | ||||
Regatta XXIII Funding, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.15%), 2.213%, 1/20/35 (Cayman Islands) | 360,000 | 343,983 | ||||
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 2.233%, 7/20/34 (Cayman Islands) | 971,000 | 944,396 | ||||
RR, 14, Ltd. 144A FRB Ser. 21-14A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 2.164%, 4/15/36 (Cayman Islands) | 1,164,000 | 1,125,668 | ||||
Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 2.214%, 7/15/34 (Cayman Islands) | 508,000 | 487,917 | ||||
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 2.233%, 7/20/34 (Cayman Islands) | 1,008,000 | 970,049 | ||||
Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 2.763%, 1/20/29 (Cayman Islands) | 600,000 | 575,806 | ||||
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 2.534%, 7/15/32 | 900,000 | 879,290 | ||||
Total collateralized loan obligations (cost $32,644,991) | $31,816,966 |
COMMODITY LINKED NOTES (1.1%)(a)(CLN) | ||||||
Principal amount | Value | |||||
Goldman Sachs International 144A notes zero %, 7/24/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) | $11,056,000 | $9,883,393 | ||||
Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) | 12,786,000 | 14,517,956 | ||||
Total commodity Linked Notes (cost $23,842,000) | $24,401,349 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.8%)(a) | ||||||
Principal amount | Value | |||||
Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) | $1,286,000 | $1,077,066 | ||||
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 1,170,000 | 1,019,363 | ||||
Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) | 517,000 | 453,179 | ||||
Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia) | 750,000 | 642,083 | ||||
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) | 1,300,000 | 1,018,875 | ||||
Cote d'lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d'lvoire) | 550,000 | 512,188 | ||||
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 238,000 | 181,178 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 940,000 | 956,450 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) | 278,000 | 257,845 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 262,000 | 249,883 | ||||
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) | 670,000 | 557,312 | ||||
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) | 2,270,000 | 2,295,538 | ||||
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 990,000 | 988,753 | ||||
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 400,000 | 402,988 | ||||
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | 880,000 | 730,400 | ||||
Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan) | 520,000 | 537,395 | ||||
Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama) | 750,000 | 637,500 | ||||
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 505,000 | 464,600 | ||||
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 245,000 | 234,588 | ||||
Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay) | 200,000 | 163,000 | ||||
Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania) | 1,110,000 | 977,586 | ||||
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) | 1,065,000 | 821,381 | ||||
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | 287,000 | 262,608 | ||||
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) | 2,324,000 | 1,912,602 | ||||
Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay) | 300,000 | 301,215 | ||||
Total foreign government and agency bonds and notes (cost $19,729,225) | $17,655,576 |
ASSET-BACKED SECURITIES (0.4%)(a) | ||||||
Principal amount | Value | |||||
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $826,000 | $823,935 | ||||
Mello Warehouse Securitization Trust 144A | ||||||
FRB Ser. 20-2, Class A, (ICE LIBOR USD 1 Month + 0.80%), 2.424%, 11/25/53 | 225,600 | 225,600 | ||||
FRB Ser. 21-2, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.374%, 4/25/55 | 891,000 | 891,000 | ||||
FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.70%), 1.368%, 2/25/55 | 388,000 | 388,000 | ||||
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 21-S1, Class A1, (ICE LIBOR USD 1 Month + 0.50%), 1.70%, 9/10/22 | 710,000 | 710,000 | ||||
MRA Issuance Trust 144A FRB Ser. 20-2, Class A2, (ICE LIBOR USD 1 Month + 1.45%), 2.262%, 8/15/22 | 783,000 | 783,000 | ||||
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.374%, 5/25/55 | 602,000 | 590,996 | ||||
Station Place Securitization Trust 144A | ||||||
FRB Ser. 22-3, Class A1, (CME TERM SOFR 1 Month + 1.25%), 2.755%, 5/29/23 | 1,264,000 | 1,264,000 | ||||
FRB Ser. 22-2, Class A1, (CME TERM SOFR 1 Month + 0.93%), 2.435%, 5/25/23 | 1,264,000 | 1,264,000 | ||||
FRB Ser. 21-10, Class A, (ICE LIBOR USD 1 Month + 0.75%), 2.383%, 8/8/22 | 999,000 | 999,000 | ||||
FRB Ser. 21-14, Class A1, (ICE LIBOR USD 1 Month + 0.70%), 2.333%, 12/8/22 | 377,000 | 377,000 | ||||
FRB Ser. 21-16, Class A1, (ICE LIBOR USD 1 Month + 0.62%), 2.253%, 11/7/22 | 1,095,000 | 1,095,000 | ||||
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 2.224%, 1/25/46 | 450,304 | 448,985 | ||||
Total asset-backed securities (cost $9,867,083) | $9,860,516 |
SENIOR LOANS (0.3%)(a)(c) | ||||||
Principal amount | Value | |||||
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 4/1/28 | $173,250 | $160,833 | ||||
AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 4.20%, 4/22/26 | 216,892 | 182,190 | ||||
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.813%, 4/20/28 | 105,000 | 99,975 | ||||
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 5.275%, 10/19/27 | 192,081 | 176,475 | ||||
Arches Buyer, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 12/6/27 | 184,401 | 167,805 | ||||
Ascend Learning, LLC bank term loan FRN (ICE LIBOR USD 1 Month + 5.75%), 7.402%, 11/18/29 | 160,000 | 146,400 | ||||
Asurion, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.25%), 6.916%, 1/30/29 | 140,000 | 118,300 | ||||
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 7/31/27 | 118,922 | 107,327 | ||||
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.406%, 6/21/24 | 463,436 | 399,329 | ||||
BWAY Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 3.326%, 4/3/24 | 204,967 | 192,370 | ||||
Clarios Global LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 4/30/26 | 169,042 | 157,420 | ||||
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (ICE LIBOR USD 3 Month + 3.75%), 5.416%, 11/23/27 | 365,251 | 319,748 | ||||
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.75%), 6.00%, 6/4/28 | 282,150 | 264,516 | ||||
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 6.666%, 7/22/27 | 223,800 | 205,431 | ||||
Epicor Software Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 7.75%), 9.416%, 7/30/28 | 120,000 | 116,160 | ||||
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 5.25%, 10/2/25 | 492,500 | 457,104 | ||||
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 12/1/27 | 187,625 | 178,900 | ||||
HUB International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 4.348%, 4/25/25 | 34,736 | 32,876 | ||||
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 4.916%, 5/1/26 | 151,572 | 140,773 | ||||
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.15%), 4.238%, 12/15/27 | 83,725 | 78,423 | ||||
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26 | 143,188 | 120,635 | ||||
MajorDrive Holdings IV, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 5.625%, 6/1/28 | 281,865 | 252,356 | ||||
One Call Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 5.50%), 6.25%, 4/22/27 | 132,640 | 105,449 | ||||
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 4.25%), 5.916%, 12/17/28 | 412,925 | 371,633 | ||||
PetSmart, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 4.50%, 1/29/28 | 190,000 | 178,315 | ||||
Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 5.666%, 6/3/28 | 183,139 | 168,749 | ||||
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 6.75%, 8/31/29 | 145,000 | 138,475 | ||||
Quorum Health Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 6.50%), 7.50%, 4/29/25 | 347,945 | 231,964 | ||||
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 9.688%, 2/28/26 | 170,000 | 110,500 | ||||
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 5.916%, 11/28/25 | 118,800 | 110,088 | ||||
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.25%, 10/1/25 | 173,640 | 163,926 | ||||
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.00%), 5.877%, 3/28/25 | 379,389 | 347,061 | ||||
TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 4.019%, 7/31/27 | 118,804 | 111,009 | ||||
UKG, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 5.25%), 6.212%, 5/3/27 | 150,000 | 138,000 | ||||
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 5.392%, 4/21/28 | 222,188 | 205,941 | ||||
Vertiv Group Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 3.87%, 3/2/27 | 397,601 | 368,775 | ||||
Total senior loans (cost $7,561,115) | $6,825,231 |
CONVERTIBLE PREFERRED STOCKS (0.1%)(a) | ||||||
Shares | Value | |||||
Danaher Corp. 5.00% cv. pfd. | 1,047 | $1,398,269 | ||||
T-Mobile US, Inc. 144A 5.25% cv. pfd.(NON) | 1,670 | 1,914,822 | ||||
Total convertible preferred stocks (cost $2,758,320) | $3,313,091 |
CONVERTIBLE BONDS AND NOTES (—%)(a) | ||||||
Principal amount | Value | |||||
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | $125,000 | $84,438 | ||||
Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24 | 280,000 | 254,800 | ||||
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 | 106,000 | 101,031 | ||||
Total convertible bonds and notes (cost $443,304) | $440,269 |
WARRANTS (—%)(a)(NON) | ||||||
Expiration date | Strike Price | Warrants | Value | |||
Occidental Petroleum Corp. | 8/3/27 | $22.00 | 1,342 | $49,614 | ||
Total warrants (cost $6,647) | $49,614 |
SHORT-TERM INVESTMENTS (4.8%)(a) | ||||||
Principal amount/ shares | Value | |||||
Putnam Short Term Investment Fund Class P 1.36%(AFF) | Shares | 76,302,286 | $76,302,286 | |||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.43%(P) | Shares | 1,198,000 | 1,198,000 | |||
U.S. Treasury Bills 1.163%, 7/14/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | $1,800,000 | 1,799,306 | ||||
U.S. Treasury Bills 1.133%, 8/4/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 3,600,000 | 3,595,980 | ||||
U.S. Treasury Bills 1.121%, 8/2/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 2,700,000 | 2,697,246 | ||||
U.S. Treasury Bills 1.152%, 7/28/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 11,700,000 | 11,690,544 | ||||
U.S. Treasury Bills 0.967%, 7/19/22(SEGSF) | 132,000 | 131,932 | ||||
U.S. Treasury Bills 1.236%, 7/21/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 4,400,000 | 4,397,518 | ||||
U.S. Treasury Bills 0.797%, 7/12/22(SEG)(SEGSF)(SEGCCS)(SEGTBA) | 1,900,000 | 1,899,442 | ||||
U.S. Treasury Bills 0.859%, 7/5/22(SEG) | 3,034,000 | 3,033,711 | ||||
Total short-term investments (cost $106,745,357) | $106,745,965 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $2,414,363,839) | $2,549,914,057 |
FORWARD CURRENCY CONTRACTS at 6/30/22 (aggregate face value $70,242,214) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | |||||||
British Pound | Sell | 9/21/22 | $2,984,775 | $3,078,713 | $93,938 | ||
Canadian Dollar | Sell | 7/20/22 | 185,677 | 191,389 | 5,712 | ||
Euro | Sell | 9/21/22 | 11,594,870 | 11,884,118 | 289,248 | ||
Citibank, N.A. | |||||||
Danish Krone | Sell | 9/21/22 | 1,118,663 | 1,143,618 | 24,955 | ||
HSBC Bank USA, National Association | |||||||
British Pound | Sell | 9/21/22 | 8,880,690 | 9,154,504 | 273,814 | ||
JPMorgan Chase Bank N.A. | |||||||
Canadian Dollar | Sell | 7/20/22 | 993,953 | 1,024,568 | 30,615 | ||
Norwegian Krone | Sell | 9/21/22 | 636,183 | 663,226 | 27,043 | ||
Singapore Dollar | Buy | 8/17/22 | 1,751,581 | 1,757,199 | (5,618) | ||
South Korean Won | Sell | 8/17/22 | 4,722,242 | 4,855,742 | 133,500 | ||
Swedish Krona | Buy | 9/21/22 | 3,135,913 | 3,281,755 | (145,842) | ||
NatWest Markets PLC | |||||||
Australian Dollar | Buy | 7/20/22 | 5,587,304 | 6,191,226 | (603,922) | ||
Euro | Sell | 9/21/22 | 1,876,364 | 1,923,547 | 47,183 | ||
Japanese Yen | Buy | 8/17/22 | 668,208 | 699,251 | (31,043) | ||
Swiss Franc | Buy | 9/21/22 | 507,184 | 505,361 | 1,823 | ||
State Street Bank and Trust Co. | |||||||
Chinese Yuan (Offshore) | Sell | 8/17/22 | 1,578,613 | 1,568,676 | (9,937) | ||
Japanese Yen | Buy | 8/17/22 | 6,279,386 | 6,571,464 | (292,078) | ||
Swiss Franc | Buy | 9/21/22 | 7,526,555 | 7,499,764 | 26,791 | ||
UBS AG | |||||||
Canadian Dollar | Sell | 7/20/22 | 5,453,925 | 5,615,262 | 161,337 | ||
Hong Kong Dollar | Buy | 8/17/22 | 2,631,620 | 2,632,831 | (1,211) | ||
Unrealized appreciation | 1,115,959 | ||||||
Unrealized (depreciation) | (1,089,651) | ||||||
Total | $26,308 | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
FUTURES CONTRACTS OUTSTANDING at 6/30/22 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
MSCI EAFE Index (Short) | 236 | $21,786,151 | $21,907,880 | Sep-22 | $37,296 | |
Russell 2000 Index E-Mini (Long) | 97 | 8,283,752 | 8,283,800 | Sep-22 | (446,181) | |
S&P 500 Index E-Mini (Short) | 1,068 | 202,139,292 | 202,359,300 | Sep-22 | 1,825,316 | |
U.S. Treasury Bond 30 yr (Long) | 195 | 27,031,875 | 27,031,875 | Sep-22 | (441,970) | |
U.S. Treasury Bond Ultra 30 yr (Long) | 337 | 52,013,844 | 52,013,844 | Sep-22 | (1,271,930) | |
U.S. Treasury Note 2 yr (Long) | 445 | 93,456,954 | 93,456,954 | Sep-22 | (518,360) | |
U.S. Treasury Note 5 yr (Long) | 936 | 105,066,000 | 105,066,000 | Sep-22 | (1,049,006) | |
U.S. Treasury Note 10 yr (Long) | 397 | 47,056,906 | 47,056,907 | Sep-22 | (652,221) | |
U.S. Treasury Note Ultra 10 yr (Short) | 10 | 1,273,750 | 1,273,750 | Sep-22 | 21,384 | |
Unrealized appreciation | 1,883,996 | |||||
Unrealized (depreciation) | (4,379,668) | |||||
Total | $(2,495,672) |
TBA SALE COMMITMENTS OUTSTANDING at 6/30/22 (proceeds receivable $139,477,051) (Unaudited) | |||||
Agency | Principal amount | Settlement date | Value | ||
Uniform Mortgage-Backed Securities, 5.00%, 7/1/52 | $23,000,000 | 7/14/22 | $23,463,588 | ||
Uniform Mortgage-Backed Securities, 4.50%, 8/1/52 | 11,000,000 | 8/11/22 | 11,016,760 | ||
Uniform Mortgage-Backed Securities, 4.50%, 7/1/52 | 24,000,000 | 7/14/22 | 24,088,128 | ||
Uniform Mortgage-Backed Securities, 4.00%, 8/1/52 | 7,000,000 | 8/11/22 | 6,887,614 | ||
Uniform Mortgage-Backed Securities, 4.00%, 7/1/52 | 20,000,000 | 7/14/22 | 19,715,616 | ||
Uniform Mortgage-Backed Securities, 3.00%, 8/1/52 | 13,000,000 | 8/11/22 | 12,083,898 | ||
Uniform Mortgage-Backed Securities, 2.50%, 8/1/52 | 23,000,000 | 8/11/22 | 20,644,285 | ||
Uniform Mortgage-Backed Securities, 2.00%, 8/1/52 | 27,000,000 | 8/11/22 | 23,400,983 | ||
Total | $141,300,872 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited) | |||||||||||
Notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |||||
$68,281,000 | $434,267 | (E) | $(140,687) | 9/21/24 | Secured Overnight Financing Rate — Annually | 3.40% — Annually | $293,580 | ||||
149,331,000 | 949,745 | (E) | 310,247 | 9/21/24 | 3.40% — Annually | Secured Overnight Financing Rate — Annually | (639,498) | ||||
68,363,000 | 1,512,190 | (E) | 773,944 | 9/21/27 | 3.30% — Annually | Secured Overnight Financing Rate — Annually | (790,281) | ||||
28,707,000 | 950,202 | (E) | (452,780) | 9/21/32 | Secured Overnight Financing Rate — Annually | 3.20% — Annually | 497,421 | ||||
15,256,000 | 504,974 | (E) | 240,007 | 9/21/32 | 3.20% — Annually | Secured Overnight Financing Rate — Annually | (264,967) | ||||
15,208,000 | 1,395,030 | (E) | (911,311) | 9/21/52 | Secured Overnight Financing Rate — Annually | 3.10% — Annually | 483,719 | ||||
3,754,000 | 9,299 | (128) | 7/5/52 | Secured Overnight Financing Rate — Annually | 2.657% — Annually | 9,171 | |||||
Total | $(180,708) | $(410,855) | |||||||||
(E) | Extended effective date. |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/22 (Unaudited) | |||||||||||
Swap counterparty/ notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |||||
Barclays Bank PLC | |||||||||||
$66,809,883 | $66,809,883 | $— | 7/30/23 | (Secured Overnight Financing Rate plus 0.40%) — Monthly | A basket (BCPUDEAL) of common stocks — Monthly* | $— | |||||
66,747,933 | 66,747,933 | — | 6/30/23 | Secured Overnight Financing Rate plus 0.25% — Monthly | A basket (BCPUDEAS) of common stocks — Monthly* | — | |||||
Goldman Sachs International | |||||||||||
86,841,309 | 87,462,345 | — | 12/15/25 | (Secured Overnight Financing Rate plus 0.40%) — Monthly | A basket (GSGLPWDL) of common stocks — Monthly* | 653,532 | |||||
86,984,014 | 87,860,014 | — | 12/15/25 | Secured Overnight Financing Rate minus 0.25% — Monthly | A basket (GSGLPWDS) of common stocks — Monthly* | (987,844) | |||||
35,859 | 36,090 | — | 12/15/25 | (Secured Overnight Financing Rate plus 0.40%) — Monthly | Evraz PLC — Monthly | 211 | |||||
Upfront premium received | — | Unrealized appreciation | 653,743 | ||||||||
Upfront premium (paid) | — | Unrealized (depreciation) | (987,844) | ||||||||
Total | $— | Total | $(334,101) | ||||||||
* | The 50 largest components, and any individual component greater than 1% of basket value, are shown below. |
A BASKET (BCPUDEAL) OF COMMON STOCKS | |||||
Common stocks | Sector | Shares | Value | Percentage value | |
Textron, Inc. | Capital goods | 13,966 | $852,907 | 1.28% | |
General Dynamics Corp. | Capital goods | 3,815 | 844,168 | 1.26% | |
Gartner, Inc. | Consumer cyclicals | 3,485 | 842,660 | 1.26% | |
Palo Alto Networks, Inc. | Technology | 1,701 | 840,359 | 1.26% | |
Apartment Income REIT Corp. | Financials | 20,133 | 837,512 | 1.25% | |
MGIC Investment Corp. | Financials | 66,405 | 836,698 | 1.25% | |
Constellation Energy Corp. | Utilities and power | 14,599 | 835,950 | 1.25% | |
Bio-Rad Laboratories, Inc. Class A | Health care | 1,687 | 835,056 | 1.25% | |
Allison Transmission Holdings, Inc. | Capital goods | 21,705 | 834,543 | 1.25% | |
Cadence Design Systems, Inc. | Technology | 5,544 | 831,776 | 1.24% | |
Virtu Financial, Inc. Class A | Financials | 35,521 | 831,538 | 1.24% | |
Wintrust Financial Corp. | Financials | 10,375 | 831,522 | 1.24% | |
AbbVie, Inc. | Health care | 5,428 | 831,427 | 1.24% | |
Molina Healthcare, Inc. | Health care | 2,973 | 831,190 | 1.24% | |
Synopsys, Inc. | Technology | 2,734 | 830,202 | 1.24% | |
Pure Storage, Inc. Class A | Technology | 32,280 | 829,924 | 1.24% | |
O'Reilly Automotive, Inc. | Consumer cyclicals | 1,313 | 829,484 | 1.24% | |
Unum Group | Financials | 24,337 | 827,946 | 1.24% | |
Hologic, Inc. | Health care | 11,894 | 824,225 | 1.23% | |
Ulta Beauty, Inc. | Consumer staples | 2,136 | 823,526 | 1.23% | |
Toll Brothers, Inc. | Consumer cyclicals | 18,390 | 820,205 | 1.23% | |
Manhattan Associates, Inc. | Technology | 7,148 | 819,217 | 1.23% | |
STORE Capital Corp. | Financials | 31,361 | 817,885 | 1.22% | |
East West Bancorp, Inc. | Financials | 12,595 | 816,151 | 1.22% | |
American International Group, Inc. | Financials | 15,817 | 808,708 | 1.21% | |
Live Nation Entertainment, Inc. | Consumer cyclicals | 9,764 | 806,343 | 1.21% | |
CF Industries Holdings, Inc. | Basic materials | 9,397 | 805,591 | 1.21% | |
Autonation, Inc. | Consumer cyclicals | 7,177 | 802,125 | 1.20% | |
Procore Technologies, Inc. | Technology | 17,652 | 801,204 | 1.20% | |
Uber Technologies, Inc. | Consumer staples | 38,971 | 797,340 | 1.19% | |
penske Automotive Group, Inc. | Consumer cyclicals | 7,603 | 795,948 | 1.19% | |
Monolithic Power Systems, Inc. | Technology | 2,061 | 791,502 | 1.18% | |
ManpowerGroup, Inc. | Consumer staples | 10,357 | 791,405 | 1.18% | |
Boyd Gaming Corp. | Consumer cyclicals | 15,793 | 785,702 | 1.18% | |
ON Semiconductor Corp. | Technology | 15,296 | 769,518 | 1.15% | |
NRG Energy, Inc. | Utilities and power | 20,160 | 769,499 | 1.15% | |
Targa Resources Corp. | Energy | 12,887 | 768,973 | 1.15% | |
RingCentral, Inc. Class A | Technology | 14,700 | 768,207 | 1.15% | |
WestRock Co. | Basic materials | 19,141 | 762,583 | 1.14% | |
Wyndham Hotels & Resorts, Inc. | Consumer cyclicals | 11,583 | 761,265 | 1.14% | |
Valero Energy Corp. | Energy | 7,162 | 761,191 | 1.14% | |
PVH Corp. | Consumer cyclicals | 13,097 | 745,203 | 1.12% | |
Nordstrom, Inc. | Consumer cyclicals | 35,119 | 742,057 | 1.11% | |
Booking Holdings, Inc. | Consumer cyclicals | 413 | 723,189 | 1.08% | |
Johnson Controls International PLC | Capital goods | 14,984 | 717,433 | 1.07% | |
Travel + Leisure Co. | Consumer cyclicals | 18,160 | 704,964 | 1.06% | |
Albertsons Cos., Inc. Class A | Consumer staples | 26,371 | 704,645 | 1.05% | |
Freeport-McMoRan, Inc. (Indonesia) | Basic materials | 23,751 | 694,941 | 1.04% | |
Apollo Global Management, Inc. | Financials | 14,171 | 686,993 | 1.03% | |
Expedia Group, Inc. | Consumer cyclicals | 7,176 | 680,546 | 1.02% | |
Wix.com, Ltd. (Israel) | Technology | 11,492 | 753,271 | 1.01% | |
Teradata Corp. | Technology | 20,321 | 752,089 | 1.01% | |
Pinterest, Inc. Class A | Technology | 41,145 | 747,199 | 1.00% |
A BASKET (BCPUDEAS) OF COMMON STOCKS | |||||
Common stocks | Sector | Shares | Value | Percentage value | |
BWX Technologies, Inc. | Capital goods | 15,650 | $862,150 | 1.29% | |
Erie Indemnity Co. Class A | Financials | 4,473 | 859,632 | 1.29% | |
NextEra Energy, Inc. | Utilities and power | 11,020 | 853,637 | 1.28% | |
Digital Realty Trust, Inc. | Financials | 6,574 | 853,519 | 1.28% | |
Catalent, Inc. | Health care | 7,891 | 846,591 | 1.27% | |
Liberty Broadband Corp. Class C | Communication services | 7,301 | 844,333 | 1.26% | |
New York Community Bancorp, Inc. | Financials | 92,446 | 844,032 | 1.26% | |
Ball Corp. | Capital goods | 12,254 | 842,726 | 1.26% | |
Kemper Corp. | Financials | 17,551 | 840,711 | 1.26% | |
Equifax, Inc. | Consumer cyclicals | 4,594 | 839,610 | 1.26% | |
Domino's Pizza, Inc. | Consumer staples | 2,153 | 839,064 | 1.26% | |
Berkshire Hathaway, Inc. Class B | Financials | 3,063 | 836,219 | 1.25% | |
Commerce Bancshares, Inc./MO | Financials | 12,735 | 836,055 | 1.25% | |
RPM International, Inc. | Basic materials | 10,565 | 831,656 | 1.25% | |
Tyler Technologties, Inc. | Technology | 2,498 | 830,534 | 1.24% | |
Broadridge Financial Solutions, Inc. | Financials | 5,821 | 829,782 | 1.24% | |
Welltower, Inc. | Financials | 10,063 | 828,699 | 1.24% | |
Air Products & Chemicals, Inc. | Basic materials | 3,445 | 828,493 | 1.24% | |
Becton Dickinson and Co. | Health care | 3,359 | 828,077 | 1.24% | |
Cooper Cos., Inc. (The) | Health care | 2,636 | 825,377 | 1.24% | |
NortonLifeLock, Inc. | Technology | 37,559 | 824,797 | 1.24% | |
T Rowe Price Group, Inc. | Financials | 7,252 | 823,878 | 1.23% | |
Stanley Black & Decker, Inc. | Consumer cyclicals | 7,841 | 822,217 | 1.23% | |
Wolfspeed, Inc. | Technology | 12,933 | 820,623 | 1.23% | |
Pool Corp. | Consumer staples | 2,335 | 820,074 | 1.23% | |
Ross Stores, Inc. | Consumer cyclicals | 11,664 | 819,131 | 1.23% | |
Organon & Co. | Health care | 24,228 | 817,704 | 1.23% | |
Take-Two Interactive Software, Inc. | Technology | 6,672 | 817,503 | 1.22% | |
TD SYNNEX Corp. | Technology | 8,962 | 816,454 | 1.22% | |
VF Corp. | Consumer cyclicals | 18,445 | 814,700 | 1.22% | |
Royal Caribbean Cruises, Ltd. | Consumer cyclicals | 23,252 | 811,739 | 1.22% | |
CarMax, Inc. | Consumer cyclicals | 8,951 | 809,922 | 1.21% | |
Texas Instruments, Inc. | Technology | 5,265 | 809,041 | 1.21% | |
Five Below, Inc. | Consumer cyclicals | 7,127 | 808,389 | 1.21% | |
Wynn Resorts, Ltd. | Consumer cyclicals | 14,080 | 802,297 | 1.20% | |
Viasat, Inc. | Communication services | 25,751 | 788,755 | 1.18% | |
Ceridian HCM Holding, Inc. | Technology | 16,532 | 778,309 | 1.17% | |
Floor & Decor Holdings, Inc. Class A | Consumer cyclicals | 12,337 | 776,732 | 1.16% | |
Universal Health Services, Inc. Class B | Health care | 7,469 | 752,186 | 1.13% | |
Param,ount Global Class B | Consumer cyclicals | 30,363 | 749,349 | 1.12% | |
Pioneer Natural Resources Co. | Energy | 3,348 | 746,905 | 1.12% | |
NCR Corp. | Technology | 23,442 | 729,283 | 1.09% | |
Scotts Miracle-Gro Co. (The) | Consumer cyclicals | 9,184 | 725,462 | 1.09% | |
Shift4 Payments, Inc. Class A | Consumer cyclicals | 21,752 | 719,115 | 1.08% | |
Boston Beer Co., Inc. Class A | Consumer staples | 2,315 | 701,515 | 1.05% | |
New Fortress Energy, Inc. | Energy | 17,652 | 698,489 | 1.05% | |
Polaris, Inc. | Consumer cyclicals | 6,988 | 693,775 | 1.04% | |
Exact Sciences Corp. | Health care | 17,489 | 688,886 | 1.03% | |
Thor Industries, Inc. | Consumer cyclicals | 8,899 | 665,017 | 1.00% | |
Norwegian Cruise Line Holdings, Ltd. | Consumer cyclicals | 58,134 | 646,455 | 0.97% |
A BASKET (GSGLPWDL) OF COMMON STOCKS | |||||
Common stocks | Sector | Shares | Value | Percentage value | |
FactSet Research Systems, Inc. | Consumer cyclicals | 1,628 | $625,998 | 0.72% | |
Keysight Technologies, Inc. | Technology | 4,208 | 580,040 | 0.66% | |
PepsiCo, Inc. | Consumer staples | 3,458 | 576,273 | 0.66% | |
Weyerhaeuser Co. | Basic materials | 17,210 | 569,996 | 0.65% | |
Eiffage SA (France) | Basic materials | 6,251 | 561,271 | 0.64% | |
Nitto Denko Corp. (Japan) | Basic materials | 8,652 | 559,153 | 0.64% | |
Merck & Co., Inc. | Health care | 6,076 | 553,911 | 0.63% | |
Hershey Co. (The) | Consumer staples | 2,551 | 548,849 | 0.63% | |
Exxon Mobil Corp. | Energy | 6,357 | 544,396 | 0.62% | |
Diageo PLC (United Kingdom) | Consumer staples | 12,647 | 542,247 | 0.62% | |
Moncler SpA (Italy) | Consumer cyclicals | 12,012 | 513,993 | 0.59% | |
ConocoPhillips | Energy | 5,631 | 505,717 | 0.58% | |
Colgate-Palmolive Co. | Consumer staples | 6,302 | 505,038 | 0.58% | |
SEI Investments Co. | Financials | 9,323 | 503,614 | 0.58% | |
GlaxoSmithKline PLC (United Kingdom) | Health care | 23,226 | 498,020 | 0.57% | |
Camden Property Trust | Financials | 3,684 | 495,422 | 0.57% | |
Hartford Financial Services Group, Inc. (The) | Financials | 7,503 | 490,926 | 0.56% | |
Osaka Gas Co., Ltd. (Japan) | Utilities and power | 25,683 | 490,762 | 0.56% | |
Dai Nippon Printing Co., Ltd. (Japan) | Consumer cyclicals | 22,772 | 490,452 | 0.56% | |
Exor NV (Netherlands) | Financials | 7,544 | 469,107 | 0.54% | |
Aristocrat Leisure, Ltd. (Australia) | Consumer cyclicals | 19,399 | 458,611 | 0.52% | |
MSCI, Inc. | Technology | 1,109 | 457,111 | 0.52% | |
Tokyo Gas Co., Ltd. (Japan) | Utilities and power | 22,034 | 455,253 | 0.52% | |
W.R. Berkley Corp. | Financials | 6,665 | 454,955 | 0.52% | |
Agilent Technologies, Inc. | Technology | 3,797 | 451,008 | 0.52% | |
Toppan, Inc. (Japan) | Consumer cyclicals | 26,728 | 446,002 | 0.51% | |
Lockheed Martin Corp. | Capital goods | 1,016 | 436,812 | 0.50% | |
Rheinmetall AG (Germany) | Capital goods | 1,890 | 435,235 | 0.50% | |
Baloise Holding AG (Switzerland) | Financials | 2,657 | 432,692 | 0.49% | |
Power Assets Holdings, Ltd. (Hong Kong) | Utilities and power | 67,955 | 427,376 | 0.49% | |
Marubeni Corp. (Japan) | Conglomerates | 46,426 | 418,279 | 0.48% | |
Repsol SA (Spain) | Energy | 28,344 | 416,328 | 0.48% | |
KDDI Corp. (Japan) | Communication services | 13,069 | 412,585 | 0.47% | |
Telefonica SA (Spain) | Communication services | 79,908 | 406,169 | 0.46% | |
WH Group, Ltd. (Hong Kong) | Consumer staples | 525,761 | 406,032 | 0.46% | |
Avery Dennison Corp. | Basic materials | 2,491 | 403,160 | 0.46% | |
AT&T, Inc. | Communication services | 19,163 | 401,651 | 0.46% | |
Fortive Corp. | Capital goods | 7,171 | 389,968 | 0.45% | |
Airbnb, Inc. Class A | Consumer staples | 4,355 | 387,983 | 0.44% | |
Cummins, Inc. | Capital goods | 1,962 | 379,784 | 0.43% | |
Synopsys, Inc. | Technology | 1,237 | 375,790 | 0.43% | |
Pentair PLC | Capital goods | 8,188 | 374,745 | 0.43% | |
Accenture PLC Class A | Technology | 1,340 | 372,113 | 0.43% | |
Edenred (France) | Consumer cyclicals | 7,881 | 370,536 | 0.42% | |
Kirin Holdings Co., Ltd. (Japan) | Consumer staples | 23,547 | 370,475 | 0.42% | |
Chevron Corp. | Energy | 2,554 | 369,709 | 0.42% | |
Qualcomm, Inc. | Technology | 2,883 | 368,249 | 0.42% | |
American Financial Group, Inc. | Financials | 2,640 | 366,424 | 0.42% | |
Fairfax Financial Holdings, Ltd. (Canada) | Financials | 690 | 364,638 | 0.42% | |
Cadence Design Systems, Inc. | Technology | 2,427 | 364,083 | 0.42% |
A BASKET (GSGLPWDS) OF COMMON STOCKS | |||||
Common stocks | Sector | Shares | Value | Percentage value | |
Rollins, Inc. | Consumer cyclicals | 17,755 | $620,003 | 0.71% | |
Moody's Corp. | Consumer cyclicals | 2,218 | 603,321 | 0.69% | |
Realty Income Corp. | Financials | 8,759 | 597,882 | 0.68% | |
Cooper Cos., Inc. (The) | Health care | 1,899 | 594,459 | 0.68% | |
Visa, Inc. Class A | Financials | 2,974 | 585,466 | 0.67% | |
Broadridge Financial Solutions, Inc. | Financials | 4,058 | 578,516 | 0.66% | |
Allianz SE (Germany) | Financials | 2,956 | 564,237 | 0.64% | |
Alexandria Real Estate Equities, Inc. | Financials | 3,867 | 560,823 | 0.64% | |
AXA SA (France) | Financials | 24,181 | 548,869 | 0.62% | |
Prudential Financial, Inc. | Financials | 5,654 | 540,945 | 0.62% | |
Welltower, Inc. | Financials | 6,325 | 520,824 | 0.59% | |
Air Liquide SA (France) | Basic materials | 3,725 | 500,066 | 0.57% | |
Toyota Motor Corp. (Japan) | Consumer cyclicals | 32,114 | 497,052 | 0.57% | |
Heineken NV (Netherlands) | Consumer staples | 5,424 | 494,558 | 0.56% | |
Ingersoll Rand, Inc. | Capital goods | 11,751 | 494,498 | 0.56% | |
VF Corp. | Consumer cyclicals | 11,163 | 493,079 | 0.56% | |
S&P Global, Inc. | Consumer cyclicals | 1,436 | 483,883 | 0.55% | |
STERIS PLC | Health care | 2,341 | 482,674 | 0.55% | |
Enbridge, Inc. (Canada) | Utilities and power | 11,003 | 464,662 | 0.53% | |
Orange SA (France) | Communication services | 38,898 | 457,359 | 0.52% | |
Aeon Co., Ltd. (Japan) | Consumer cyclicals | 25,731 | 446,425 | 0.51% | |
SoftBank Corp. (Japan) | Communication services | 40,009 | 444,237 | 0.51% | |
Berkshire Hathaway, Inc. Class B | Financials | 1,610 | 439,644 | 0.50% | |
Assicurazioni Generali SpA (Italy) | Financials | 27,465 | 438,201 | 0.50% | |
Tower Semiconductor, Ltd. (Israel) | Technology | 9,486 | 438,041 | 0.50% | |
Digital Realty Trust, Inc. | Financials | 3,321 | 431,112 | 0.49% | |
Atmos Energy Corp. | Utilities and power | 3,827 | 429,012 | 0.49% | |
REA Group, Ltd. (Australia) | Technology | 5,472 | 422,375 | 0.48% | |
Pioneer Natural Resources Co. | Energy | 1,862 | 415,361 | 0.47% | |
Molson Coors Beverage Co. Class B | Consumer staples | 7,602 | 414,400 | 0.47% | |
Bouygues SA (France) | Conglomerates | 13,451 | 413,868 | 0.47% | |
BHP Group, Ltd. (ASE Exchange) (Australia) | Basic materials | 14,385 | 409,579 | 0.47% | |
Henderson Land Development Co., Ltd. (Hong Kong) | Financials | 109,263 | 409,380 | 0.47% | |
Takeda Pharmaceutical Co., Ltd. (Japan) | Health care | 14,431 | 406,099 | 0.46% | |
Equifax, Inc. | Consumer cyclicals | 2,220 | 405,845 | 0.46% | |
Catalent, Inc. | Health care | 3,751 | 402,485 | 0.46% | |
Elanco Animal Health, Inc. | Health care | 20,323 | 398,947 | 0.45% | |
TransCanada Corp. (Canada) | Energy | 7,683 | 397,982 | 0.45% | |
Otsuka Holdings Company, Ltd. (Japan) | Health care | 11,203 | 397,823 | 0.45% | |
Hess Corp. | Energy | 3,754 | 397,657 | 0.45% | |
Koei Tecmo Holdings Co., Ltd. (Japan) | Technology | 12,309 | 397,363 | 0.45% | |
Imperial Brands PLC (United Kingdom) | Consumer staples | 17,652 | 394,518 | 0.45% | |
Naturgy Energy Group SA (Spain) | Utilities and power | 13,675 | 393,669 | 0.45% | |
BNP Paribas SA (France) | Financials | 8,064 | 383,345 | 0.44% | |
J Sainsbury PLC (United Kingdom) | Consumer staples | 154,014 | 382,461 | 0.44% | |
T Rowe Price Group, Inc. | Financials | 3,337 | 379,094 | 0.43% | |
Enel SpA (Italy) | Utilities and power | 69,062 | 377,787 | 0.43% | |
Kubota Corp. (Japan) | Capital goods | 25,219 | 376,760 | 0.43% | |
CGI Group, Inc. Class A (Canada) | Technology | 4,664 | 371,565 | 0.42% | |
Saputo, Inc. (Canada) | Consumer staples | 16,989 | 370,474 | 0.42% |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/22 (Unaudited) | |||||||||||
Swap counterparty/ referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | ||||
Bank of America N.A. | |||||||||||
CMBX NA BBB-.6 Index | B+/P | $1,504 | $19,760 | $4,396 | 5/11/63 | 300 bp — Monthly | $(2,883) | ||||
CMBX NA BBB-.6 Index | B+/P | 2,953 | 44,011 | 9,792 | 5/11/63 | 300 bp — Monthly | (6,817) | ||||
CMBX NA BBB-.6 Index | B+/P | 6,050 | 88,022 | 19,584 | 5/11/63 | 300 bp — Monthly | (13,490) | ||||
Barclays Bank PLC | |||||||||||
CMBX NA BBB-.6 Index | B+/P | 8,647 | 70,058 | 15,587 | 5/11/63 | 300 bp — Monthly | (6,905) | ||||
Citigroup Global Markets, Inc. | |||||||||||
CMBX NA BB.11 Index | BB-/P | 46,895 | 83,000 | 16,260 | 11/18/54 | 500 bp — Monthly | 30,704 | ||||
CMBX NA BB.6 Index | CCC+/P | 48,200 | 309,045 | 120,064 | 5/11/63 | 500 bp — Monthly | (71,607) | ||||
CMBX NA BB.7 Index | B/P | 31,284 | 613,000 | 193,402 | 1/17/47 | 500 bp — Monthly | (161,607) | ||||
CMBX NA BB.9 Index | B/P | 1,629 | 8,000 | 2,342 | 9/17/58 | 500 bp — Monthly | (706) | ||||
CMBX NA BB.9 Index | B/P | 13,274 | 65,000 | 19,026 | 9/17/58 | 500 bp — Monthly | (5,697) | ||||
CMBX NA BBB-.10 Index | BB+/P | 4,963 | 40,000 | 6,972 | 11/17/59 | 300 bp — Monthly | (1,989) | ||||
CMBX NA BBB-.10 Index | BB+/P | 5,782 | 53,000 | 9,238 | 11/17/59 | 300 bp — Monthly | (3,429) | ||||
CMBX NA BBB-.12 Index | BBB-/P | 1,126 | 27,000 | 4,860 | 8/17/61 | 300 bp — Monthly | (3,720) | ||||
CMBX NA BBB-.12 Index | BBB-/P | 10,725 | 182,000 | 32,760 | 8/17/61 | 300 bp — Monthly | (21,944) | ||||
Credit Suisse International | |||||||||||
CMBX NA BB.7 Index | B/P | 15,516 | 116,000 | 36,598 | 1/17/47 | 500 bp — Monthly | (20,985) | ||||
CMBX NA BBB-.7 Index | BB-/P | 51,063 | 646,000 | 120,737 | 1/17/47 | 300 bp — Monthly | (69,352) | ||||
Goldman Sachs International | |||||||||||
CMBX NA A.14 Index | A-/P | (141) | 8,000 | 512 | 12/16/72 | 200 bp — Monthly | (650) | ||||
CMBX NA A.14 Index | A-/P | (492) | 29,000 | 1,856 | 12/16/72 | 200 bp — Monthly | (2,338) | ||||
CMBX NA A.14 Index | A-/P | (1,222) | 72,000 | 4,608 | 12/16/72 | 200 bp — Monthly | (5,806) | ||||
CMBX NA A.6 Index | BBB+/P | (31) | 40,800 | 4,015 | 5/11/63 | 200 bp — Monthly | (4,031) | ||||
CMBX NA BBB-.14 Index | BBB-/P | 225 | 5,000 | 1,043 | 12/16/72 | 300 bp — Monthly | (816) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 89 | 1,000 | 219 | 11/18/64 | 300 bp — Monthly | (129) | ||||
CMBX NA BBB-.15 Index | BBB-/P | 92 | 1,000 | 219 | 11/18/64 | 300 bp — Monthly | (126) | ||||
CMBX NA BBB-.6 Index | B+/P | 34,128 | 407,775 | 90,727 | 5/11/63 | 300 bp — Monthly | (56,395) | ||||
CMBX NA BBB-.7 Index | BB-/P | 418 | 6,000 | 1,121 | 1/17/47 | 300 bp — Monthly | (700) | ||||
JPMorgan Securities LLC | |||||||||||
CMBX NA A.13 Index | A-/P | (646) | 123,000 | 7,503 | 12/16/72 | 200 bp — Monthly | (8,108) | ||||
CMBX NA A.14 Index | A-/P | (229) | 39,000 | 2,496 | 12/16/72 | 200 bp — Monthly | (2,712) | ||||
CMBX NA A.14 Index | A-/P | (946) | 143,000 | 9,152 | 12/16/72 | 200 bp — Monthly | (10,051) | ||||
CMBX NA A.7 Index | BBB+/P | 9,165 | 209,000 | 11,077 | 1/17/47 | 200 bp — Monthly | (1,842) | ||||
CMBX NA BB.10 Index | B+/P | 4,975 | 62,000 | 20,169 | 5/11/63 | 500 bp — Monthly | (15,142) | ||||
CMBX NA BBB-.12 Index | BBB-/P | 1,081 | 9,000 | 1,620 | 8/17/61 | 300 bp — Monthly | (534) | ||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA A.13 Index | A-/P | (567) | 38,000 | 2,318 | 12/16/72 | 200 bp — Monthly | (2,872) | ||||
CMBX NA A.13 Index | A-/P | (384) | 46,000 | 2,806 | 12/16/72 | 200 bp — Monthly | (3,175) | ||||
CMBX NA A.13 Index | A-/P | (912) | 152,000 | 9,272 | 12/16/72 | 200 bp — Monthly | (10,133) | ||||
CMBX NA A.14 Index | A-/P | (176) | 14,000 | 896 | 12/16/72 | 200 bp — Monthly | (1,068) | ||||
CMBX NA A.14 Index | A-/P | (245) | 22,000 | 1,408 | 12/16/72 | 200 bp — Monthly | (1,646) | ||||
CMBX NA A.14 Index | A-/P | (460) | 31,000 | 1,984 | 12/16/72 | 200 bp — Monthly | (2,434) | ||||
CMBX NA A.14 Index | A-/P | (483) | 31,000 | 1,984 | 12/16/72 | 200 bp — Monthly | (2,457) | ||||
CMBX NA A.14 Index | A-/P | (483) | 31,000 | 1,984 | 12/16/72 | 200 bp — Monthly | (2,457) | ||||
CMBX NA A.14 Index | A-/P | (200) | 34,000 | 2,176 | 12/16/72 | 200 bp — Monthly | (2,365) | ||||
CMBX NA A.14 Index | A-/P | (648) | 46,000 | 2,944 | 12/16/72 | 200 bp — Monthly | (3,577) | ||||
CMBX NA A.14 Index | A-/P | (960) | 60,000 | 3,840 | 12/16/72 | 200 bp — Monthly | (4,780) | ||||
CMBX NA A.6 Index | BBB+/P | 5,769 | 52,000 | 5,117 | 5/11/63 | 200 bp — Monthly | 670 | ||||
CMBX NA BB.6 Index | CCC+/P | 24,066 | 90,138 | 35,019 | 5/11/63 | 500 bp — Monthly | (10,877) | ||||
CMBX NA BB.6 Index | CCC+/P | 48,543 | 181,196 | 70,395 | 5/11/63 | 500 bp — Monthly | (21,701) | ||||
CMBX NA BBB-.12 Index | BBB-/P | 4,420 | 75,000 | 13,500 | 8/17/61 | 300 bp — Monthly | (9,043) | ||||
CMBX NA BBB-.12 Index | BBB-/P | 4,637 | 108,000 | 19,440 | 8/17/61 | 300 bp — Monthly | (14,749) | ||||
Upfront premium received | 387,219 | Unrealized appreciation | 31,374 | ||||||||
Upfront premium (paid) | (9,225) | Unrealized (depreciation) | (593,845) | ||||||||
Total | $377,994 | Total | $(562,471) | ||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||||
*** | Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2022. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications. |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 6/30/22 (Unaudited) | |||||||||||
Swap counterparty/ referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | |||||
Citigroup Global Markets, Inc. | |||||||||||
CMBX NA A.6 Index | $(6,063) | $58,400 | $5,747 | 5/11/63 | (200 bp) — Monthly | $(337) | |||||
CMBX NA A.6 Index | (1,263) | 10,400 | 1,023 | 5/11/63 | (200 bp) — Monthly | (244) | |||||
CMBX NA A.6 Index | (575) | 5,600 | 551 | 5/11/63 | (200 bp) — Monthly | (26) | |||||
CMBX NA A.6 Index | (324) | 3,200 | 315 | 5/11/63 | (200 bp) — Monthly | (10) | |||||
CMBX NA A.6 Index | (164) | 1,600 | 157 | 5/11/63 | (200 bp) — Monthly | (7) | |||||
CMBX NA A.6 Index | (164) | 1,600 | 157 | 5/11/63 | (200 bp) — Monthly | (7) | |||||
CMBX NA A.6 Index | (81) | 800 | 79 | 5/11/63 | (200 bp) — Monthly | (2) | |||||
CMBX NA A.7 Index | (1,550) | 209,000 | 11,077 | 1/17/47 | (200 bp) — Monthly | 9,458 | |||||
CMBX NA BB.10 Index | (47,738) | 198,000 | 64,409 | 11/17/59 | (500 bp) — Monthly | 16,506 | |||||
CMBX NA BB.10 Index | (18,615) | 73,000 | 23,747 | 11/17/59 | (500 bp) — Monthly | 5,071 | |||||
CMBX NA BB.10 Index | (7,410) | 71,000 | 23,096 | 11/17/59 | (500 bp) — Monthly | 15,627 | |||||
CMBX NA BB.10 Index | (6,360) | 58,000 | 18,867 | 11/17/59 | (500 bp) — Monthly | 12,459 | |||||
CMBX NA BB.11 Index | (2,131) | 31,000 | 6,073 | 11/18/54 | (500 bp) — Monthly | 3,916 | |||||
CMBX NA BB.11 Index | (4,016) | 31,000 | 6,073 | 11/18/54 | (500 bp) — Monthly | 2,031 | |||||
CMBX NA BB.11 Index | (1,089) | 21,000 | 4,114 | 11/18/54 | (500 bp) — Monthly | 3,007 | |||||
CMBX NA BB.8 Index | (8,940) | 69,575 | 25,833 | 10/17/57 | (500 bp) — Monthly | 16,835 | |||||
CMBX NA BB.8 Index | (21,707) | 60,878 | 22,604 | 10/17/57 | (500 bp) — Monthly | 846 | |||||
CMBX NA BB.9 Index | (1,290) | 32,000 | 9,366 | 9/17/58 | (500 bp) — Monthly | 8,050 | |||||
CMBX NA BB.9 Index | (387) | 6,000 | 1,756 | 9/17/58 | (500 bp) — Monthly | 1,364 | |||||
CMBX NA BBB-.10 Index | (39,326) | 132,000 | 23,008 | 11/17/59 | (300 bp) — Monthly | (16,384) | |||||
CMBX NA BBB-.10 Index | (8,120) | 33,000 | 5,752 | 11/17/59 | (300 bp) — Monthly | (2,385) | |||||
CMBX NA BBB-.10 Index | (5,010) | 21,000 | 3,660 | 11/17/59 | (300 bp) — Monthly | (1,360) | |||||
CMBX NA BBB-.12 Index | (109,446) | 347,000 | 62,460 | 8/17/61 | (300 bp) — Monthly | (47,160) | |||||
CMBX NA BBB-.12 Index | (28,391) | 85,000 | 15,300 | 8/17/61 | (300 bp) — Monthly | (13,134) | |||||
CMBX NA BBB-.12 Index | (10,605) | 47,000 | 8,460 | 8/17/61 | (300 bp) — Monthly | (2,169) | |||||
CMBX NA BBB-.12 Index | (11,630) | 33,000 | 5,940 | 8/17/61 | (300 bp) — Monthly | (5,706) | |||||
CMBX NA BBB-.12 Index | (10,897) | 31,000 | 5,580 | 8/17/61 | (300 bp) — Monthly | (5,332) | |||||
CMBX NA BBB-.12 Index | (3,615) | 19,000 | 3,420 | 8/17/61 | (300 bp) — Monthly | (204) | |||||
CMBX NA BBB-.12 Index | (1,694) | 10,000 | 1,800 | 8/17/61 | (300 bp) — Monthly | 101 | |||||
CMBX NA BBB-.14 Index | (199) | 1,000 | 209 | 12/16/72 | (300 bp) — Monthly | 9 | |||||
CMBX NA BBB-.14 Index | (112) | 1,000 | 209 | 12/16/72 | (300 bp) — Monthly | 96 | |||||
CMBX NA BBB-.14 Index | (112) | 1,000 | 209 | 12/16/72 | (300 bp) — Monthly | 96 | |||||
CMBX NA BBB-.6 Index | (5,463) | 19,760 | 4,396 | 5/11/63 | (300 bp) — Monthly | (1,076) | |||||
CMBX NA BBB-.6 Index | (4,189) | 15,269 | 3,397 | 5/11/63 | (300 bp) — Monthly | (800) | |||||
CMBX NA BBB-.8 Index | (28,438) | 182,000 | 31,431 | 10/17/57 | (300 bp) — Monthly | 2,903 | |||||
CMBX NA BBB-.8 Index | (15,648) | 99,000 | 17,097 | 10/17/57 | (300 bp) — Monthly | 1,399 | |||||
CMBX NA BBB-.8 Index | (15,710) | 99,000 | 17,097 | 10/17/57 | (300 bp) — Monthly | 1,337 | |||||
CMBX NA BBB-.8 Index | (11,582) | 87,000 | 15,025 | 10/17/57 | (300 bp) — Monthly | 3,400 | |||||
CMBX NA BBB-.8 Index | (11,100) | 80,000 | 13,816 | 10/17/57 | (300 bp) — Monthly | 2,676 | |||||
CMBX NA BBB-.8 Index | (6,011) | 42,000 | 7,253 | 10/17/57 | (300 bp) — Monthly | 1,221 | |||||
CMBX NA BBB-.8 Index | (5,550) | 40,000 | 6,908 | 10/17/57 | (300 bp) — Monthly | 1,338 | |||||
CMBX NA BBB-.9 Index | (9,700) | 41,000 | 7,027 | 9/17/58 | (300 bp) — Monthly | (2,693) | |||||
Credit Suisse International | |||||||||||
CMBX NA BB.10 Index | (19,613) | 147,000 | 47,819 | 11/17/59 | (500 bp) — Monthly | 28,083 | |||||
CMBX NA BB.10 Index | (17,362) | 146,000 | 47,494 | 11/17/59 | (500 bp) — Monthly | 30,010 | |||||
CMBX NA BB.10 Index | (9,571) | 77,000 | 25,048 | 11/17/59 | (500 bp) — Monthly | 15,413 | |||||
CMBX NA BB.7 Index | (9,143) | 476,444 | 185,098 | 5/11/63 | (500 bp) — Monthly | 175,558 | |||||
CMBX NA BB.7 Index | (28,039) | 152,000 | 47,956 | 1/17/47 | (500 bp) — Monthly | 19,791 | |||||
CMBX NA BB.8 Index | (9,988) | 55,080 | 20,451 | 10/17/57 | (500 bp) — Monthly | 10,418 | |||||
Goldman Sachs International | |||||||||||
CMBX NA A.6 Index | (96) | 800 | 79 | 5/11/63 | (200 bp) — Monthly | (18) | |||||
CMBX NA BB.10 Index | (4,525) | 20,000 | 6,506 | 11/17/59 | (500 bp) — Monthly | 1,964 | |||||
CMBX NA BB.6 Index | (9,821) | 88,298 | 34,304 | 5/11/63 | (500 bp) — Monthly | 24,410 | |||||
CMBX NA BB.6 Index | (146) | 920 | 357 | 5/11/63 | (500 bp) — Monthly | 210 | |||||
CMBX NA BB.7 Index | (87,717) | 432,000 | 136,296 | 1/17/47 | (500 bp) — Monthly | 48,219 | |||||
CMBX NA BB.7 Index | (12,780) | 78,000 | 24,609 | 1/17/47 | (500 bp) — Monthly | 11,764 | |||||
CMBX NA BB.8 Index | (39,788) | 104,362 | 38,750 | 10/17/57 | (500 bp) — Monthly | (1,125) | |||||
CMBX NA BB.8 Index | (28,436) | 76,339 | 28,345 | 10/17/57 | (500 bp) — Monthly | (155) | |||||
CMBX NA BB.8 Index | (20,756) | 58,945 | 21,886 | 10/17/57 | (500 bp) — Monthly | 1,081 | |||||
CMBX NA BB.8 Index | (18,578) | 51,215 | 19,016 | 10/17/57 | (500 bp) — Monthly | 396 | |||||
CMBX NA BB.8 Index | (18,610) | 51,215 | 19,016 | 10/17/57 | (500 bp) — Monthly | 364 | |||||
CMBX NA BB.8 Index | (4,758) | 40,585 | 15,069 | 10/17/57 | (500 bp) — Monthly | 10,277 | |||||
CMBX NA BBB-.8 Index | (6,598) | 51,000 | 8,808 | 10/17/57 | (300 bp) — Monthly | 2,184 | |||||
JPMorgan Securities LLC | |||||||||||
CMBX NA BB.11 Index | (8,237) | 14,716 | 5,717 | 5/11/63 | (500 bp) — Monthly | (2,532) | |||||
CMBX NA BB.17 Index | (93,524) | 191,000 | 60,261 | 1/17/47 | (500 bp) — Monthly | (33,423) | |||||
CMBX NA BB.8 Index | (4,956) | 9,663 | 3,588 | 10/17/57 | (500 bp) — Monthly | (1,376) | |||||
CMBX NA BBB-.10 Index | (69,478) | 551,000 | 96,039 | 11/17/59 | (300 bp) — Monthly | 26,286 | |||||
CMBX NA BBB-.14 Index | (61) | 1,000 | 209 | 12/16/72 | (300 bp) — Monthly | 147 | |||||
CMBX NA BBB-.6 Index | (40,141) | 161,673 | 35,971 | 5/11/63 | (300 bp) — Monthly | (4,251) | |||||
CMBX NA BBB-.7 Index | (116,208) | 495,000 | 92,516 | 1/17/47 | (300 bp) — Monthly | (23,940) | |||||
CMBX NA BBB-.8 Index | (15,401) | 111,000 | 19,170 | 10/17/57 | (300 bp) — Monthly | 3,713 | |||||
Merrill Lynch International | |||||||||||
CMBX NA BB.10 Index | (8,080) | 142,000 | 46,193 | 11/17/59 | (500 bp) — Monthly | 37,995 | |||||
CMBX NA BBB-.10 Index | (18,634) | 86,000 | 14,990 | 11/17/59 | (300 bp) — Monthly | (3,687) | |||||
CMBX NA BBB-.7 Index | (5,409) | 66,000 | 12,335 | 1/17/47 | (300 bp) — Monthly | 6,894 | |||||
CMBX NA BBB-.9 Index | (5,557) | 30,000 | 5,142 | 9/17/58 | (300 bp) — Monthly | (430) | |||||
Morgan Stanley & Co. International PLC | |||||||||||
CMBX NA A.6 Index | (1,062) | 8,800 | 866 | 5/11/63 | (200 bp) — Monthly | (199) | |||||
CMBX NA A.6 Index | (168) | 1,600 | 157 | 5/11/63 | (200 bp) — Monthly | (11) | |||||
CMBX NA BB.10 Index | (23,389) | 77,000 | 25,048 | 11/17/59 | (500 bp) — Monthly | 1,595 | |||||
CMBX NA BB.10 Index | (7,446) | 71,000 | 23,096 | 11/17/59 | (500 bp) — Monthly | 15,591 | |||||
CMBX NA BB.10 Index | (13,856) | 59,000 | 19,193 | 11/17/59 | (500 bp) — Monthly | 5,287 | |||||
CMBX NA BB.7 Index | (6,171) | 32,000 | 10,096 | 1/17/47 | (500 bp) — Monthly | 3,899 | |||||
CMBX NA BB.7 Index | (402) | 2,000 | 631 | 1/17/47 | (500 bp) — Monthly | 227 | |||||
CMBX NA BB.8 Index | (25,704) | 67,642 | 25,115 | 10/17/57 | (500 bp) — Monthly | (645) | |||||
CMBX NA BB.8 Index | (14,814) | 40,585 | 15,069 | 10/17/57 | (500 bp) — Monthly | 222 | |||||
CMBX NA BB.8 Index | (10,053) | 28,023 | 10,405 | 10/17/57 | (500 bp) — Monthly | 328 | |||||
CMBX NA BB.8 Index | (7,407) | 20,293 | 7,535 | 10/17/57 | (500 bp) — Monthly | 111 | |||||
CMBX NA BB.8 Index | (3,986) | 10,629 | 3,947 | 10/17/57 | (500 bp) — Monthly | (48) | |||||
CMBX NA BB.9 Index | (1,353) | 22,000 | 6,439 | 9/17/58 | (500 bp) — Monthly | 5,068 | |||||
CMBX NA BB.9 Index | (851) | 14,000 | 4,098 | 9/17/58 | (500 bp) — Monthly | 3,235 | |||||
CMBX NA BB.9 Index | (526) | 7,000 | 2,049 | 9/17/58 | (500 bp) — Monthly | 1,517 | |||||
CMBX NA BB.9 Index | (428) | 5,000 | 1,464 | 9/17/58 | (500 bp) — Monthly | 1,032 | |||||
CMBX NA BB.9 Index | (453) | 3,000 | 878 | 9/17/58 | (500 bp) — Monthly | 423 | |||||
CMBX NA BBB-.10 Index | (12,175) | 96,000 | 16,733 | 11/17/59 | (300 bp) — Monthly | 4,510 | |||||
CMBX NA BBB-.10 Index | (8,392) | 80,000 | 13,944 | 11/17/59 | (300 bp) — Monthly | 5,512 | |||||
CMBX NA BBB-.10 Index | (6,408) | 74,000 | 12,898 | 11/17/59 | (300 bp) — Monthly | 6,453 | |||||
CMBX NA BBB-.10 Index | (12,677) | 52,000 | 9,064 | 11/17/59 | (300 bp) — Monthly | (3,640) | |||||
CMBX NA BBB-.10 Index | (7,589) | 35,000 | 6,101 | 11/17/59 | (300 bp) — Monthly | (1,506) | |||||
CMBX NA BBB-.10 Index | (6,704) | 31,000 | 5,403 | 11/17/59 | (300 bp) — Monthly | (1,316) | |||||
CMBX NA BBB-.10 Index | (6,386) | 27,000 | 4,706 | 11/17/59 | (300 bp) — Monthly | (1,693) | |||||
CMBX NA BBB-.10 Index | (2,755) | 12,000 | 2,092 | 11/17/59 | (300 bp) — Monthly | (670) | |||||
CMBX NA BBB-.12 Index | (6,260) | 30,000 | 5,400 | 8/17/61 | (300 bp) — Monthly | (875) | |||||
CMBX NA BBB-.12 Index | (4,985) | 15,000 | 2,700 | 8/17/61 | (300 bp) — Monthly | (2,293) | |||||
CMBX NA BBB-.14 Index | (62) | 1,000 | 209 | 12/16/72 | (300 bp) — Monthly | 146 | |||||
CMBX NA BBB-.6 Index | (116,885) | 432,924 | 96,322 | 5/11/63 | (300 bp) — Monthly | (20,779) | |||||
CMBX NA BBB-.7 Index | (6,827) | 67,000 | 12,522 | 1/17/47 | (300 bp) — Monthly | 5,662 | |||||
CMBX NA BBB-.8 Index | (14,372) | 105,000 | 18,134 | 10/17/57 | (300 bp) — Monthly | 3,709 | |||||
CMBX NA BBB-.8 Index | (11,799) | 93,000 | 16,061 | 10/17/57 | (300 bp) — Monthly | 4,215 | |||||
CMBX NA BBB-.8 Index | (11,828) | 93,000 | 16,061 | 10/17/57 | (300 bp) — Monthly | 4,186 | |||||
CMBX NA BBB-.8 Index | (11,200) | 80,000 | 13,816 | 10/17/57 | (300 bp) — Monthly | 2,576 | |||||
CMBX NA BBB-.8 Index | (12,240) | 79,000 | 13,643 | 10/17/57 | (300 bp) — Monthly | 1,364 | |||||
CMBX NA BBB-.8 Index | (9,629) | 71,000 | 12,262 | 10/17/57 | (300 bp) — Monthly | 2,597 | |||||
CMBX NA BBB-.8 Index | (9,674) | 71,000 | 12,262 | 10/17/57 | (300 bp) — Monthly | 2,552 | |||||
CMBX NA BBB-.8 Index | (7,063) | 50,000 | 8,635 | 10/17/57 | (300 bp) — Monthly | 1,548 | |||||
CMBX NA BBB-.8 Index | (7,013) | 49,000 | 8,462 | 10/17/57 | (300 bp) — Monthly | 4,127 | |||||
Upfront premium received | — | Unrealized appreciation | 652,615 | ||||||||
Upfront premium (paid) | (1,615,418) | Unrealized (depreciation) | (203,648) | ||||||||
Total | $(1,615,418) | Total | $448,967 | ||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. |
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 6/30/22 (Unaudited) | |||||||||||
Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | ||||
CDX NA HY Series 38 Index | B+/P | $(400,642) | $7,410,150 | $214,153 | 6/20/27 | 500 bp — Quarterly | $(604,504) | ||||
CDX NA IG Series 38 Index | BBB+/P | (1,098,308) | 77,800,000 | 20,228 | 6/20/27 | 100 bp — Quarterly | (1,096,924) | ||||
Total | $(1,498,950) | $(1,701,428) | |||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||||
*** | Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2022. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications. |
Key to holding's currency abbreviations | ||||||
EUR | Euro | |||||
USD / $ | United States Dollar | |||||
Key to holding's abbreviations | ||||||
ADR | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. | |||||
DAC | Designated Activity Company | |||||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | |||||
IO | Interest Only | |||||
LIBOR | London Interbank Offered Rate | |||||
PO | Principal Only | |||||
SOFR | Secured Overnight Financing Rate | |||||
TBA | To Be Announced Commitments | |||||
Notes to the fund's portfolio | ||||||
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2021 through June 30, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
(a) | Percentages indicated are based on net assets of $2,219,802,713. | |||||
(NON) | This security is non-income-producing. | |||||
(PIK) | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | |||||
(AFF) | Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
Name of affiliate | Fair value as of 9/30/21 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 6/30/22 | |
Short-term investments | ||||||
Putnam Cash Collateral Pool, LLC*# | $19,155,555 | $54,983,115 | $74,138,670 | $4,928 | $— | |
Putnam Short Term Investment Fund** | 90,503,040 | 557,109,928 | 571,310,682 | 189,760 | 76,302,286 | |
Total Short-term investments | $109,658,595 | $612,093,043 | $645,449,352 | $194,688 | $76,302,286 | |
* The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund receives cash collateral, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC and there were no realized or unrealized gains or losses during the period. | ||||||
# At the close of the reporting period, the fund did not have any securities on loan. | ||||||
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
(SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $19,990,649. | |||||
(SEGSF) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $2,656,750. | |||||
(SEGTBA) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $996,379. | |||||
(SEGCCS) | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,782,364. | |||||
(c) | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | |||||
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | ||||||
(i) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | |||||
(P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | |||||
(R) | Real Estate Investment Trust. | |||||
(WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
At the close of the reporting period, the fund maintained liquid assets totaling $372,873,065 to cover certain derivative contracts and delayed delivery securities. | ||||||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | ||||||
Debt obligations are considered secured unless otherwise indicated. | ||||||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | ||||||
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash. | ||||||
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | ||||||
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. | ||||||
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. | ||||||
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | ||||||
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | ||||||
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries. | ||||||
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes. | ||||||
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. | ||||||
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | ||||||
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | ||||||
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | ||||||
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | ||||||
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | ||||||
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | ||||||
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund had a net liability position of $962,713 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,656,750 and may include amounts related to unsettled agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
Valuation inputs | ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Basic materials | $62,179,169 | $— | $— | |
Capital goods | 81,851,420 | — | — | |
Communication services | 39,456,238 | — | — | |
Conglomerates | 9,616,456 | — | — | |
Consumer cyclicals | 205,761,103 | — | — | |
Consumer staples | 111,022,186 | — | — | |
Energy | 63,596,164 | — | — | |
Financials | 215,461,689 | — | — | |
Government | 241,823 | — | — | |
Health care | 218,248,537 | — | — | |
Technology | 384,325,892 | — | — | |
Transportation | 23,809,524 | — | — | |
Utilities and power | 41,885,680 | 16,425 | — | |
Total common stocks | 1,457,455,881 | 16,425 | — | |
Asset-backed securities | — | 9,860,516 | — | |
Collateralized loan obligations | — | 31,816,966 | — | |
Commodity linked notes | — | 24,401,349 | — | |
Convertible bonds and notes | — | 440,269 | — | |
Convertible preferred stocks | — | 3,313,091 | — | |
Corporate bonds and notes | — | 327,421,511 | — | |
Foreign government and agency bonds and notes | — | 17,655,576 | — | |
Mortgage-backed securities | — | 114,139,558 | — | |
Senior loans | — | 6,825,231 | — | |
U.S. government and agency mortgage obligations | — | 449,449,819 | — | |
U.S. treasury obligations | — | 322,286 | — | |
Warrants | 49,614 | — | — | |
Short-term investments | 1,198,000 | 105,547,965 | — | |
Totals by level | $1,458,703,495 | $1,091,210,562 | $— | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $26,308 | $— | |
Futures contracts | (2,495,672) | — | — | |
TBA sale commitments | — | (141,300,872) | — | |
Interest rate swap contracts | — | (230,147) | — | |
Total return swap contracts | — | (334,101) | — | |
Credit default contracts | — | 921,442 | — | |
Totals by level | $(2,495,672) | $(140,917,370) | $— | |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | ||||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
Futures contracts (number of contracts) | 5,000 | |||
Forward currency contracts (contract amount) | $818,400,000 | |||
Centrally cleared interest rate swap contracts (notional) | $318,500,000 | |||
OTC total return swap contracts (notional) | $246,400,000 | |||
Centrally cleared total return swap contracts (notional) | $123,900,000 | |||
OTC credit default contracts (notional) | $14,600,000 | |||
Centrally cleared credit default contracts (notional) | $104,300,000 | |||
Warrants (number of warrants) | 1,000 | |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |