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THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the
List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS
NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR
SALES LITERATURE WITH THE GENERAL PUBLIC. The list is
submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus. The list has been
created from the books and records of the Fund. Holdings are
available 60 days after the fund’s fiscal quarter, using a trade date
accounting convention, by contacting the appropriate service center.
The list is subject to change without notice. The list is for
informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2025.
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — 33.4%
|
||
|
Angola — 0.0% ^
|
||
|
Azule Energy Finance plc 8.13%, 1/23/2030 (a)
|
700
|
709
|
|
Argentina — 0.0% ^
|
||
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Pampa Energia SA 7.95%, 9/10/2031 (b)
|
383
|
390
|
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Transportadora de Gas del Sur SA 8.50%, 7/24/2031 (b)
|
365
|
381
|
|
YPF Energia Electrica SA 7.88%, 10/16/2032 (a)
|
400
|
390
|
|
YPF SA
|
|
|
|
8.50%, 6/27/2029 (b)
|
373
|
381
|
|
8.25%, 1/17/2034 (a)
|
1,000
|
1,003
|
|
|
|
2,545
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Australia — 0.0% ^
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||
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Australia & New Zealand Banking Group Ltd. (SOFR + 0.56%), 4.93%, 3/18/2026 (a) (c)
|
262
|
263
|
|
Glencore Funding LLC
|
|
|
|
2.50%, 9/1/2030 (a)
|
40
|
35
|
|
2.63%, 9/23/2031 (a)
|
844
|
715
|
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Scentre Group Trust 1, REIT
|
|
|
|
3.50%, 2/12/2025 (a)
|
71
|
71
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|
3.25%, 10/28/2025 (a)
|
51
|
50
|
|
|
|
1,134
|
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Austria — 0.0% ^
|
||
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ams-OSRAM AG 12.25%, 3/30/2029 (a)
|
2,265
|
2,248
|
|
Bahrain — 0.0% ^
|
||
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Bapco Energies BSC Closed 7.50%, 10/25/2027 (b)
|
1,150
|
1,182
|
|
Brazil — 0.1%
|
||
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Braskem Netherlands Finance BV
|
|
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|
7.25%, 2/13/2033 (a)
|
1,287
|
1,207
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8.00%, 10/15/2034 (a)
|
975
|
943
|
|
Centrais Eletricas Brasileiras SA 6.50%, 1/11/2035 (a)
|
900
|
853
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CSN Resources SA 4.63%, 6/10/2031 (a)
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900
|
704
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FS Luxembourg Sarl 8.88%, 2/12/2031 (b)
|
700
|
713
|
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Guara Norte SARL 5.20%, 6/15/2034 (a)
|
276
|
256
|
|
LD Celulose International GmbH 7.95%, 1/26/2032 (a)
|
600
|
612
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Minerva Luxembourg SA 8.88%, 9/13/2033 (a)
|
1,478
|
1,556
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MV24 Capital BV 6.75%, 6/1/2034 (a)
|
512
|
487
|
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Petrobras Global Finance BV 6.85%, 6/5/2115
|
300
|
269
|
|
Vale Overseas Ltd. 3.75%, 7/8/2030
|
12
|
11
|
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Yinson Boronia Production BV 8.95%, 7/31/2042 (a)
|
938
|
975
|
|
|
|
8,586
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Canada — 1.7%
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|
1011778 BC ULC
|
|
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|
3.88%, 1/15/2028 (a)
|
2,020
|
1,928
|
|
3.50%, 2/15/2029 (a)
|
936
|
864
|
|
4.00%, 10/15/2030 (a)
|
2,890
|
2,617
|
|
ATS Corp. 4.13%, 12/15/2028 (a)
|
1,150
|
1,075
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Bank of Montreal
|
|
|
|
3.70%, 6/7/2025
|
318
|
317
|
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INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Canada — continued
|
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|
5.72%, 9/25/2028
|
23
|
24
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.01%), 7.30%, 11/26/2084 (c) (d)
|
4,575
|
4,658
|
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Bank of Nova Scotia (The)
|
|
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (c) (d) (e) (f)
|
647
|
645
|
|
5.45%, 6/12/2025
|
310
|
311
|
|
5.65%, 2/1/2034
|
886
|
906
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.63%, 10/27/2082 (c) (d)
|
4,250
|
4,481
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Baytex Energy Corp.
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8.50%, 4/30/2030 (a)
|
5,005
|
5,156
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7.38%, 3/15/2032 (a)
|
2,378
|
2,344
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Bombardier, Inc.
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7.88%, 4/15/2027 (a)
|
2,582
|
2,591
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7.50%, 2/1/2029 (a)
|
275
|
286
|
|
8.75%, 11/15/2030 (a)
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1,478
|
1,591
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7.25%, 7/1/2031 (a)
|
3,545
|
3,660
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7.00%, 6/1/2032 (a) (g)
|
1,659
|
1,692
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Canadian Imperial Bank of Commerce
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3.95%, 8/4/2025
|
319
|
318
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|
5.26%, 4/8/2029
|
1,257
|
1,271
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Emera US Finance LP 2.64%, 6/15/2031
|
16
|
14
|
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Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (c)
|
7,892
|
7,965
|
|
Enbridge, Inc.
|
|
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Series 16-A, (3-MONTH CME TERM SOFR + 4.15%), 6.00%, 1/15/2077 (c)
|
1,924
|
1,910
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Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%),
5.75%, 7/15/2080 (c)
|
10,157
|
9,889
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.42%), 7.63%, 1/15/2083 (c)
|
4,061
|
4,256
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.43%), 8.50%, 1/15/2084 (c)
|
575
|
637
|
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Federation des Caisses Desjardins du Quebec
|
|
|
|
4.40%, 8/23/2025 (a)
|
317
|
317
|
|
5.70%, 3/14/2028 (a)
|
266
|
272
|
|
5.25%, 4/26/2029 (a) (g)
|
1,252
|
1,263
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Garda World Security Corp.
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4.63%, 2/15/2027 (a)
|
3,271
|
3,206
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|
7.75%, 2/15/2028 (a)
|
1,627
|
1,687
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8.38%, 11/15/2032 (a)
|
1,402
|
1,448
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MEG Energy Corp. 5.88%, 2/1/2029 (a)
|
1,213
|
1,194
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Northriver Midstream Finance LP 6.75%, 7/15/2032 (a)
|
1,512
|
1,548
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NOVA Chemicals Corp.
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|
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|
5.00%, 5/1/2025 (a)
|
4,110
|
4,086
|
|
5.25%, 6/1/2027 (a)
|
5,626
|
5,528
|
|
8.50%, 11/15/2028 (a)
|
2,969
|
3,153
|
|
9.00%, 2/15/2030 (a)
|
3,114
|
3,322
|
|
Precision Drilling Corp.
|
|
|
|
7.13%, 1/15/2026 (a)
|
2,003
|
2,008
|
|
6.88%, 1/15/2029 (a)
|
168
|
169
|
|
Ritchie Bros Holdings, Inc.
|
|
|
|
6.75%, 3/15/2028 (a)
|
1,467
|
1,503
|
|
7.75%, 3/15/2031 (a)
|
1,024
|
1,078
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Canada — continued
|
||
|
Rogers Communications, Inc.
|
|
|
|
3.80%, 3/15/2032
|
790
|
709
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082 (a) (c)
|
5,421
|
5,311
|
|
Royal Bank of Canada
|
|
|
|
5.20%, 7/20/2026
|
177
|
179
|
|
(SOFRINDX + 0.46%), 4.84%, 8/3/2026 (c)
|
457
|
457
|
|
(SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c)
|
970
|
953
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.89%), 7.50%, 5/2/2084 (c) (d)
|
9,026
|
9,345
|
|
Superior Plus LP 4.50%, 3/15/2029 (a)
|
1,621
|
1,493
|
|
Toronto-Dominion Bank (The)
|
|
|
|
1.20%, 6/3/2026
|
261
|
250
|
|
4.99%, 4/5/2029
|
854
|
855
|
|
4.46%, 6/8/2032
|
1,093
|
1,038
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.13%, 10/31/2082 (c) (d)
|
11,793
|
12,322
|
|
Transcanada Trust
|
|
|
|
Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (c)
|
2,598
|
2,560
|
|
(SOFR + 4.42%), 5.50%, 9/15/2079 (c)
|
7,546
|
7,230
|
|
Wrangler Holdco Corp. 6.63%, 4/1/2032 (a)
|
1,138
|
1,164
|
|
|
|
137,054
|
|
Colombia — 0.0% ^
|
||
|
Ecopetrol SA
|
|
|
|
8.63%, 1/19/2029
|
600
|
635
|
|
7.75%, 2/1/2032
|
1,330
|
1,303
|
|
8.38%, 1/19/2036
|
439
|
426
|
|
7.38%, 9/18/2043
|
412
|
355
|
|
5.88%, 5/28/2045
|
350
|
245
|
|
EnfraGen Energia Sur SA 5.38%, 12/30/2030 (b)
|
950
|
821
|
|
|
|
3,785
|
|
Denmark — 0.0% ^
|
||
|
Danske Bank A/S (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%),
5.71%, 3/1/2030 (a) (c)
|
274
|
279
|
|
Finland — 0.1%
|
||
|
Amer Sports Co. 6.75%, 2/16/2031 (a) (g)
|
4,350
|
4,469
|
|
Nordea Bank Abp
|
|
|
|
4.75%, 9/22/2025 (a)
|
317
|
318
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (a) (c) (d) (e) (f)
|
4,887
|
4,915
|
|
1.50%, 9/30/2026 (a)
|
578
|
549
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 6.30%, 9/25/2031 (a) (c) (d) (e) (f)
|
1,280
|
1,231
|
|
|
|
11,482
|
|
France — 0.7%
|
||
|
Altice France SA
|
|
|
|
8.13%, 2/1/2027 (a)
|
3,019
|
2,535
|
|
5.50%, 1/15/2028 (a)
|
370
|
299
|
|
5.13%, 7/15/2029 (a)
|
3,800
|
3,024
|
|
5.50%, 10/15/2029 (a)
|
2,932
|
2,333
|
|
Banque Federative du Credit Mutuel SA 1.00%, 2/4/2025 (a)
|
326
|
326
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
France — continued
|
||
|
BNP Paribas SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 9.25%, 11/17/2027 (a) (c) (d) (e) (f)
|
4,121
|
4,413
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.90%), 7.75%, 8/16/2029 (a) (c) (d) (e) (f)
|
9,268
|
9,586
|
|
(SOFR + 1.59%), 5.50%, 5/20/2030 (a) (c)
|
880
|
886
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.54%), 7.38%, 9/10/2034 (a) (c) (d) (e) (f)
|
2,110
|
2,113
|
|
BPCE SA
|
|
|
|
4.50%, 3/15/2025 (a)
|
851
|
850
|
|
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c)
|
1,791
|
1,752
|
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (a) (c)
|
518
|
531
|
|
Credit Agricole SA
|
|
|
|
4.13%, 1/10/2027 (a)
|
482
|
475
|
|
5.13%, 3/11/2027 (a)
|
476
|
480
|
|
5.30%, 7/12/2028 (a)
|
357
|
361
|
|
(SOFR + 1.69%), 5.34%, 1/10/2030 (a) (c)
|
620
|
623
|
|
(USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 3.60%), 6.70%, 9/23/2034 (a) (c) (d) (e) (f)
|
12,770
|
12,312
|
|
Societe Generale SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c)
|
604
|
611
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (a) (c) (d) (e) (f)
|
5,786
|
6,076
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (c)
|
1,091
|
1,040
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.52%, 1/19/2028 (a) (c)
|
897
|
901
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.79%), 8.13%, 11/21/2029 (a) (c) (d) (e) (f)
|
3,500
|
3,489
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (a) (c) (d) (e) (f)
|
5,432
|
4,777
|
|
|
|
59,793
|
|
Georgia — 0.0% ^
|
||
|
Georgian Railway JSC 4.00%, 6/17/2028 (b)
|
700
|
613
|
|
Germany — 0.1%
|
||
|
Allianz SE (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%),
5.60%, 9/3/2054 (a) (c)
|
2,200
|
2,179
|
|
BMW US Capital LLC
|
|
|
|
(SOFRINDX + 0.55%), 4.92%, 4/2/2026 (a) (c)
|
240
|
240
|
|
4.60%, 8/13/2027 (a)
|
250
|
249
|
|
Deutsche Bank AG (SOFR + 1.87%), 2.13%, 11/24/2026 (c)
|
1,250
|
1,222
|
|
Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (h)
|
878
|
1,022
|
|
EMD Finance LLC 3.25%, 3/19/2025 (a)
|
76
|
76
|
|
IHO Verwaltungs GmbH
|
|
|
|
7.75% (Cash), 11/15/2030 (a) (i)
|
1,816
|
1,821
|
|
8.00% (Cash), 11/15/2032 (a) (i)
|
722
|
721
|
|
Mercedes-Benz Finance North America LLC 4.90%, 11/15/2027 (a)
|
250
|
250
|
|
Volkswagen Group of America Finance LLC (SOFR + 0.83%), 5.20%, 3/20/2026 (a) (c)
|
200
|
200
|
|
|
|
7,980
|
|
Guatemala — 0.0% ^
|
||
|
Energuate Trust 5.88%, 5/3/2027 (b)
|
1,147
|
1,128
|
|
Ireland — 0.0% ^
|
||
|
AerCap Ireland Capital DAC
|
|
|
|
6.45%, 4/15/2027
|
499
|
515
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.72%), 6.95%, 3/10/2055 (c)
|
1,247
|
1,278
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Ireland — continued
|
||
|
AIB Group plc (SOFR + 3.46%), 7.58%, 10/14/2026 (a) (c)
|
621
|
632
|
|
Bank of Ireland Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 1
Year + 2.65%), 6.25%, 9/16/2026 (a) (c)
|
464
|
468
|
|
EndoDesign 0.00%, 10/15/2024 ‡ (j)
|
925
|
—
|
|
|
|
2,893
|
|
Israel — 0.0% ^
|
||
|
Energean Israel Finance Ltd.
|
|
|
|
5.38%, 3/30/2028 (b)
|
220
|
211
|
|
8.50%, 9/30/2033 (b)
|
480
|
494
|
|
Leviathan Bond Ltd. 6.50%, 6/30/2027 (b)
|
720
|
711
|
|
|
|
1,416
|
|
Italy — 0.1%
|
||
|
Intesa Sanpaolo SpA 7.00%, 11/21/2025 (a)
|
323
|
328
|
|
Optics Bidco SpA
|
|
|
|
Series 2033, 6.38%, 11/15/2033 (a) (g)
|
856
|
846
|
|
Series 2034, 6.00%, 9/30/2034 (a)
|
4,233
|
4,059
|
|
Series 2038, 7.72%, 6/4/2038 (a)
|
488
|
512
|
|
Telecom Italia Capital SA
|
|
|
|
6.38%, 11/15/2033
|
144
|
142
|
|
6.00%, 9/30/2034
|
273
|
260
|
|
7.72%, 6/4/2038
|
237
|
245
|
|
|
|
6,392
|
|
Jamaica — 0.0% ^
|
||
|
Kingston Airport Revenue Finance Ltd. 6.75%, 12/15/2036 (a)
|
1,299
|
1,290
|
|
Japan — 0.0% ^
|
||
|
Mitsubishi HC Capital, Inc. 3.64%, 4/13/2025 (a)
|
200
|
199
|
|
Mitsubishi UFJ Financial Group, Inc.
|
|
|
|
2.19%, 2/25/2025
|
269
|
269
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (c) (g)
|
206
|
205
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c)
|
264
|
252
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (c)
|
663
|
629
|
|
Mizuho Financial Group, Inc.
|
|
|
|
(3-MONTH CME TERM SOFR + 1.09%), 2.23%, 5/25/2026 (c)
|
252
|
250
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c)
|
268
|
256
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.38%, 7/10/2030 (c)
|
267
|
270
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 5.59%, 7/10/2035 (c)
|
420
|
424
|
|
Sumitomo Mitsui Financial Group, Inc. 5.32%, 7/9/2029
|
377
|
382
|
|
|
|
3,136
|
|
Luxembourg — 0.4%
|
||
|
Altice Financing SA 5.75%, 8/15/2029 (a)
|
4,106
|
3,211
|
|
Altice France Holding SA 10.50%, 5/15/2027 (a)
|
4,564
|
1,393
|
|
GCB144A Endo 0.00%, 4/1/2029 ‡
|
2,045
|
—
|
|
INEOS Finance plc
|
|
|
|
6.75%, 5/15/2028 (a)
|
1,877
|
1,892
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Luxembourg — continued
|
||
|
7.50%, 4/15/2029 (a)
|
5,618
|
5,729
|
|
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a)
|
20,281
|
18,323
|
|
|
|
30,548
|
|
Mexico — 0.3%
|
||
|
Braskem Idesa SAPI 7.45%, 11/15/2029 (b)
|
1,450
|
1,213
|
|
FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple 7.25%, 1/31/2041 (a)
|
690
|
669
|
|
Petroleos Mexicanos
|
|
|
|
6.49%, 1/23/2027
|
470
|
454
|
|
5.35%, 2/12/2028
|
1,900
|
1,732
|
|
6.50%, 1/23/2029 (g)
|
1,220
|
1,132
|
|
5.95%, 1/28/2031
|
1,460
|
1,223
|
|
6.70%, 2/16/2032
|
1,767
|
1,532
|
|
10.00%, 2/7/2033 (g)
|
3,275
|
3,370
|
|
10.00%, 2/7/2033
|
600
|
617
|
|
6.38%, 1/23/2045
|
900
|
597
|
|
5.63%, 1/23/2046
|
1,999
|
1,237
|
|
6.75%, 9/21/2047
|
850
|
582
|
|
6.35%, 2/12/2048
|
500
|
329
|
|
7.69%, 1/23/2050
|
7,872
|
5,873
|
|
6.95%, 1/28/2060
|
2,900
|
1,990
|
|
|
|
22,550
|
|
Morocco — 0.1%
|
||
|
OCP SA
|
|
|
|
3.75%, 6/23/2031 (b)
|
950
|
828
|
|
6.88%, 4/25/2044 (b)
|
1,030
|
994
|
|
5.13%, 6/23/2051 (b)
|
1,000
|
756
|
|
7.50%, 5/2/2054 (a)
|
1,430
|
1,446
|
|
|
|
4,024
|
|
Netherlands — 0.3%
|
||
|
Cooperatieve Rabobank UA
|
|
|
|
4.38%, 8/4/2025
|
354
|
353
|
|
3.75%, 7/21/2026
|
374
|
367
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (a) (c)
|
530
|
504
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (a) (c)
|
552
|
562
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.12%), 5.45%, 3/5/2030 (a) (c)
|
552
|
559
|
|
ING Groep NV
|
|
|
|
4.63%, 1/6/2026 (a)
|
250
|
250
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%), 5.75%, 11/16/2026 (c) (d) (e) (f)
|
8,357
|
8,322
|
|
3.95%, 3/29/2027
|
729
|
717
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (c) (d) (e) (f)
|
4,730
|
4,358
|
|
(USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 4.36%), 8.00%, 5/16/2030 (b) (c) (d) (e) (f)
|
1,000
|
1,051
|
|
Trivium Packaging Finance BV
|
|
|
|
5.50%, 8/15/2026 (a) (h)
|
2,341
|
2,329
|
|
8.50%, 8/15/2027 (a) (h)
|
2,586
|
2,588
|
|
|
|
21,960
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Norway — 0.0% ^
|
||
|
DNB Bank ASA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) (c)
|
669
|
654
|
|
(SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (c)
|
338
|
341
|
|
|
|
995
|
|
Paraguay — 0.0% ^
|
||
|
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034 (a)
|
333
|
255
|
|
Peru — 0.0% ^
|
||
|
Petroleos del Peru SA
|
|
|
|
4.75%, 6/19/2032 (a)
|
1,400
|
1,059
|
|
5.63%, 6/19/2047 (b)
|
600
|
379
|
|
|
|
1,438
|
|
South Africa — 0.1%
|
||
|
Eskom Holdings SOC Ltd.
|
|
|
|
7.13%, 2/11/2025 (b)
|
1,150
|
1,149
|
|
8.45%, 8/10/2028 (b)
|
1,200
|
1,245
|
|
Transnet SOC Ltd. 8.25%, 2/6/2028 (a)
|
1,600
|
1,629
|
|
|
|
4,023
|
|
Spain — 0.4%
|
||
|
Banco Bilbao Vizcaya Argentaria SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (c)
|
1,400
|
1,408
|
|
5.38%, 3/13/2029
|
400
|
405
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (c) (d) (e) (f)
|
10,409
|
11,352
|
|
Banco Santander SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.55%, 3/14/2028 (c)
|
400
|
404
|
|
5.44%, 7/15/2031
|
1,200
|
1,208
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (c) (d) (e) (f)
|
9,800
|
11,276
|
|
6.94%, 11/7/2033
|
1,400
|
1,537
|
|
Grifols SA 4.75%, 10/15/2028 (a) (g)
|
3,309
|
3,061
|
|
|
|
30,651
|
|
Sweden — 0.1%
|
||
|
Skandinaviska Enskilda Banken AB
|
|
|
|
1.40%, 11/19/2025 (a)
|
336
|
328
|
|
5.38%, 3/5/2029 (a)
|
1,218
|
1,234
|
|
Svenska Handelsbanken AB
|
|
|
|
5.50%, 6/15/2028 (a)
|
856
|
873
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (b) (c) (d) (e) (f)
|
2,800
|
2,527
|
|
|
|
4,962
|
|
Switzerland — 0.3%
|
||
|
UBS Group AG
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.86%), 5.13%, 7/29/2026 (b) (c) (d) (e) (f)
|
1,356
|
1,341
|
|
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (a) (c)
|
500
|
483
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.40%), 4.88%, 2/12/2027 (a) (c) (d) (e) (f)
|
1,661
|
1,612
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (a) (c) (d) (e) (f)
|
2,264
|
2,469
|
|
(USD SOFR Spread-Adjusted ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (c)
|
288
|
293
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Switzerland — continued
|
||
|
(SOFR + 3.92%), 6.54%, 8/12/2033 (a) (c)
|
2,387
|
2,539
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (a) (c) (d) (e) (f)
|
8,905
|
10,285
|
|
VistaJet Malta Finance plc 9.50%, 6/1/2028 (a)
|
2,210
|
2,274
|
|
|
|
21,296
|
|
Turkey — 0.0% ^
|
||
|
TC Ziraat Bankasi A/S
|
|
|
|
8.00%, 1/16/2029 (b)
|
1,400
|
1,444
|
|
7.25%, 2/4/2030 (a)
|
1,095
|
1,092
|
|
Turkiye Varlik Fonu Yonetimi A/S 8.25%, 2/14/2029 (b)
|
600
|
624
|
|
|
|
3,160
|
|
United Kingdom — 0.9%
|
||
|
180 Medical, Inc. 3.88%, 10/15/2029 (a)
|
2,570
|
2,378
|
|
Barclays plc
|
|
|
|
3.65%, 3/16/2025
|
322
|
322
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.43%), 8.00%, 3/15/2029 (c) (d) (e) (f)
|
2,749
|
2,865
|
|
(USD SOFR Spread-Adjusted ICE Swap Rate 5 Year + 5.78%), 9.63%, 12/15/2029 (c) (d) (e) (f)
|
1,500
|
1,670
|
|
(SOFR + 1.74%), 5.69%, 3/12/2030 (c)
|
221
|
225
|
|
BAT Capital Corp. 5.83%, 2/20/2031
|
835
|
860
|
|
HSBC Holdings plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.86%), 8.00%, 3/7/2028 (c) (d) (e) (f)
|
8,840
|
9,304
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
663
|
614
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (f)
|
6,541
|
5,813
|
|
(SOFR + 1.52%), 5.73%, 5/17/2032 (c)
|
1,232
|
1,251
|
|
(SOFR + 1.19%), 2.80%, 5/24/2032 (c)
|
1,201
|
1,031
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 6.95%, 3/11/2034 (c) (d) (e) (f)
|
3,700
|
3,706
|
|
INEOS Quattro Finance 2 plc 9.63%, 3/15/2029 (a)
|
1,867
|
1,957
|
|
Lloyds Banking Group plc
|
|
|
|
4.45%, 5/8/2025
|
400
|
400
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.82%), 6.75%, 6/27/2026 (c) (d) (e) (f)
|
5,231
|
5,276
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (c)
|
645
|
644
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c)
|
318
|
321
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.15%), 6.75%, 9/27/2031 (c) (d) (e) (f)
|
2,000
|
1,925
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (c)
|
2,100
|
2,106
|
|
Mead Johnson Nutrition Co. 4.13%, 11/15/2025
|
111
|
111
|
|
Nationwide Building Society
|
|
|
|
1.00%, 8/28/2025 (a)
|
333
|
326
|
|
5.13%, 7/29/2029 (a)
|
663
|
665
|
|
NatWest Group plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f)
|
6,017
|
6,009
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (c) (d) (e) (f)
|
3,952
|
4,200
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (c)
|
3,080
|
3,110
|
|
Santander UK Group Holdings plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c)
|
300
|
294
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (c)
|
1,127
|
1,143
|
|
Standard Chartered plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (c)
|
244
|
244
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United Kingdom — continued
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.17%, 1/9/2027 (a) (c) (g)
|
492
|
497
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.98%), 7.75%, 8/15/2027 (a) (c) (d) (e) (f)
|
3,866
|
4,001
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.57%), 7.88%, 3/8/2030 (a) (c) (d) (e) (f)
|
2,500
|
2,585
|
|
Virgin Media Secured Finance plc 5.50%, 5/15/2029 (a)
|
4,520
|
4,328
|
|
Vodafone Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
2.77%), 4.13%, 6/4/2081 (c)
|
6,106
|
5,484
|
|
|
|
75,665
|
|
United States — 27.7%
|
||
|
AbbVie, Inc. 4.05%, 11/21/2039
|
37
|
32
|
|
Acadia Healthcare Co., Inc.
|
|
|
|
5.50%, 7/1/2028 (a)
|
3,249
|
3,178
|
|
5.00%, 4/15/2029 (a) (g)
|
2,430
|
2,311
|
|
ACCO Brands Corp. 4.25%, 3/15/2029 (a) (g)
|
5,180
|
4,787
|
|
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a)
|
4,030
|
4,031
|
|
Acushnet Co. 7.38%, 10/15/2028 (a)
|
1,028
|
1,068
|
|
Adient Global Holdings Ltd.
|
|
|
|
4.88%, 8/15/2026 (a)
|
2,276
|
2,273
|
|
7.00%, 4/15/2028 (a)
|
3,226
|
3,269
|
|
8.25%, 4/15/2031 (a) (g)
|
6,149
|
6,377
|
|
7.50%, 2/15/2033 (a)
|
2,262
|
2,292
|
|
ADT Security Corp. (The)
|
|
|
|
4.13%, 8/1/2029 (a)
|
4,280
|
4,021
|
|
4.88%, 7/15/2032 (a)
|
6,428
|
5,981
|
|
Aethon United BR LP 7.50%, 10/1/2029 (a)
|
1,847
|
1,894
|
|
Air Lease Corp.
|
|
|
|
3.75%, 6/1/2026
|
15
|
15
|
|
5.85%, 12/15/2027
|
232
|
238
|
|
Albertsons Cos., Inc.
|
|
|
|
3.25%, 3/15/2026 (a)
|
4,172
|
4,094
|
|
4.63%, 1/15/2027 (a)
|
7,830
|
7,691
|
|
5.88%, 2/15/2028 (a)
|
3,301
|
3,296
|
|
3.50%, 3/15/2029 (a)
|
6,048
|
5,564
|
|
4.88%, 2/15/2030 (a)
|
884
|
850
|
|
Alcoa Nederland Holding BV
|
|
|
|
5.50%, 12/15/2027 (a)
|
4,080
|
4,061
|
|
7.13%, 3/15/2031 (a)
|
4,466
|
4,632
|
|
Alexandria Real Estate Equities, Inc., REIT
|
|
|
|
2.75%, 12/15/2029
|
18
|
16
|
|
2.95%, 3/15/2034
|
7
|
6
|
|
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a)
|
4,340
|
4,142
|
|
Allison Transmission, Inc.
|
|
|
|
4.75%, 10/1/2027 (a)
|
3,507
|
3,444
|
|
5.88%, 6/1/2029 (a)
|
8,589
|
8,611
|
|
3.75%, 1/30/2031 (a)
|
1,315
|
1,173
|
|
Allstate Corp. (The) (3-MONTH SOFR + 2.12%), 6.50%, 5/15/2057 (c)
|
2,669
|
2,678
|
|
Ally Financial, Inc.
|
|
|
|
5.75%, 11/20/2025
|
2,990
|
3,003
|
|
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%),
4.70%, 5/15/2028 (c) (e) (f)
|
5,049
|
4,587
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Altria Group, Inc. 4.80%, 2/14/2029
|
18
|
18
|
|
American Airlines, Inc.
|
|
|
|
5.50%, 4/20/2026 (a)
|
6,747
|
6,743
|
|
5.75%, 4/20/2029 (a)
|
10,303
|
10,277
|
|
American Axle & Manufacturing, Inc.
|
|
|
|
6.50%, 4/1/2027
|
4,510
|
4,512
|
|
6.88%, 7/1/2028
|
5,403
|
5,371
|
|
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (a)
|
3,615
|
3,487
|
|
American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.68%), 3.88%, 2/15/2062 (c)
|
2,949
|
2,798
|
|
American Express Co.
|
|
|
|
3.95%, 8/1/2025
|
102
|
102
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (c) (e) (f)
|
6,137
|
5,917
|
|
(SOFR + 0.93%), 5.04%, 7/26/2028 (c)
|
209
|
210
|
|
American Honda Finance Corp. (SOFR + 0.50%), 4.86%, 10/10/2025 (c)
|
169
|
169
|
|
American Tower Corp., REIT
|
|
|
|
1.45%, 9/15/2026
|
22
|
21
|
|
1.50%, 1/31/2028
|
74
|
67
|
|
5.00%, 1/31/2030
|
955
|
951
|
|
2.10%, 6/15/2030
|
27
|
23
|
|
AmeriGas Partners LP
|
|
|
|
5.50%, 5/20/2025
|
984
|
982
|
|
5.88%, 8/20/2026
|
2,830
|
2,810
|
|
5.75%, 5/20/2027
|
1,214
|
1,156
|
|
9.38%, 6/1/2028 (a) (g)
|
2,065
|
2,048
|
|
Amkor Technology, Inc. 6.63%, 9/15/2027 (a)
|
3,941
|
3,949
|
|
ANGI Group LLC 3.88%, 8/15/2028 (a)
|
1,433
|
1,290
|
|
Antero Midstream Partners LP
|
|
|
|
5.75%, 3/1/2027 (a)
|
776
|
776
|
|
5.75%, 1/15/2028 (a)
|
4,175
|
4,160
|
|
5.38%, 6/15/2029 (a)
|
4,452
|
4,353
|
|
Antero Resources Corp.
|
|
|
|
8.38%, 7/15/2026 (a)
|
2,242
|
2,287
|
|
7.63%, 2/1/2029 (a)
|
1,744
|
1,789
|
|
5.38%, 3/1/2030 (a)
|
1,432
|
1,401
|
|
Anywhere Real Estate Group LLC 5.25%, 4/15/2030 (a)
|
5,203
|
4,029
|
|
APi Group DE, Inc.
|
|
|
|
4.13%, 7/15/2029 (a)
|
2,586
|
2,402
|
|
4.75%, 10/15/2029 (a)
|
2,037
|
1,933
|
|
Aramark Services, Inc. 5.00%, 2/1/2028 (a)
|
4,810
|
4,715
|
|
Arches Buyer, Inc.
|
|
|
|
4.25%, 6/1/2028 (a)
|
1,775
|
1,658
|
|
6.13%, 12/1/2028 (a)
|
649
|
588
|
|
Archrock Partners LP
|
|
|
|
6.88%, 4/1/2027 (a)
|
635
|
635
|
|
6.25%, 4/1/2028 (a)
|
2,766
|
2,780
|
|
6.63%, 9/1/2032 (a)
|
1,719
|
1,743
|
|
Ardagh Metal Packaging Finance USA LLC 6.00%, 6/15/2027 (a)
|
687
|
683
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Ardagh Packaging Finance plc
|
|
|
|
4.13%, 8/15/2026 (a)
|
3,785
|
3,331
|
|
5.25%, 8/15/2027 (a)
|
8,915
|
4,928
|
|
Asbury Automotive Group, Inc.
|
|
|
|
4.50%, 3/1/2028
|
422
|
409
|
|
4.63%, 11/15/2029 (a)
|
5,584
|
5,306
|
|
4.75%, 3/1/2030
|
430
|
408
|
|
5.00%, 2/15/2032 (a) (g)
|
1,004
|
939
|
|
Ascent Resources Utica Holdings LLC
|
|
|
|
8.25%, 12/31/2028 (a)
|
2,712
|
2,768
|
|
5.88%, 6/30/2029 (a)
|
1,122
|
1,104
|
|
6.63%, 10/15/2032 (a)
|
1,487
|
1,499
|
|
ASGN, Inc. 4.63%, 5/15/2028 (a)
|
638
|
614
|
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a)
|
280
|
271
|
|
Athene Global Funding 4.86%, 8/27/2026 (a)
|
212
|
212
|
|
ATI, Inc.
|
|
|
|
5.88%, 12/1/2027
|
1,861
|
1,854
|
|
4.88%, 10/1/2029
|
1,655
|
1,583
|
|
7.25%, 8/15/2030
|
1,915
|
1,984
|
|
5.13%, 10/1/2031
|
1,240
|
1,174
|
|
Avantor Funding, Inc. 4.63%, 7/15/2028 (a)
|
7,346
|
7,102
|
|
Avient Corp. 7.13%, 8/1/2030 (a)
|
1,175
|
1,206
|
|
Avis Budget Car Rental LLC
|
|
|
|
5.75%, 7/15/2027 (a)
|
4,568
|
4,497
|
|
4.75%, 4/1/2028 (a) (g)
|
8,130
|
7,700
|
|
5.38%, 3/1/2029 (a)
|
530
|
505
|
|
8.25%, 1/15/2030 (a)
|
3,976
|
4,106
|
|
Axalta Coating Systems Dutch Holding B BV 7.25%, 2/15/2031 (a)
|
832
|
866
|
|
Axalta Coating Systems LLC
|
|
|
|
4.75%, 6/15/2027 (a)
|
4,833
|
4,741
|
|
3.38%, 2/15/2029 (a)
|
4,680
|
4,302
|
|
Bank of America Corp.
|
|
|
|
Series AA, (3-MONTH CME TERM SOFR + 4.16%), 6.10%, 3/17/2025 (c) (e) (f)
|
2,053
|
2,050
|
|
Series DD, (3-MONTH CME TERM SOFR + 4.81%), 6.30%, 3/10/2026 (c) (e) (f)
|
4,459
|
4,513
|
|
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%),
4.38%, 1/27/2027 (c) (e) (f)
|
2,627
|
2,549
|
|
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%),
6.13%, 4/27/2027 (c) (e) (f)
|
2,778
|
2,809
|
|
Series FF, (3-MONTH CME TERM SOFR + 3.19%), 5.88%, 3/15/2028 (c) (e) (f)
|
4,378
|
4,390
|
|
(3-MONTH CME TERM SOFR + 1.44%), 3.19%, 7/23/2030 (c)
|
464
|
430
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (c)
|
694
|
590
|
|
(SOFR + 1.83%), 4.57%, 4/27/2033 (c)
|
950
|
909
|
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (c)
|
673
|
675
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (c)
|
3,252
|
2,676
|
|
Bank of New York Mellon Corp. (The)
|
|
|
|
(SOFR + 0.62%), 4.96%, 4/25/2025 (c)
|
251
|
251
|
|
Series F, (3-MONTH CME TERM SOFR + 3.39%), 4.63%, 9/20/2026 (c) (e) (f)
|
7,637
|
7,534
|
|
(SOFRINDX + 2.07%), 5.83%, 10/25/2033 (c)
|
22
|
23
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Bath & Body Works, Inc.
|
|
|
|
5.25%, 2/1/2028
|
50
|
50
|
|
6.88%, 11/1/2035
|
997
|
1,029
|
|
6.75%, 7/1/2036
|
2,162
|
2,208
|
|
Bausch + Lomb Corp. 8.38%, 10/1/2028 (a)
|
745
|
780
|
|
Bausch Health Americas, Inc. 8.50%, 1/31/2027 (a)
|
4,737
|
4,050
|
|
Bausch Health Cos., Inc.
|
|
|
|
5.50%, 11/1/2025 (a)
|
13,516
|
13,263
|
|
5.75%, 8/15/2027 (a)
|
965
|
844
|
|
5.00%, 1/30/2028 (a)
|
2,375
|
1,622
|
|
4.88%, 6/1/2028 (a)
|
4,374
|
3,544
|
|
5.00%, 2/15/2029 (a)
|
4,668
|
2,744
|
|
6.25%, 2/15/2029 (a)
|
2,065
|
1,277
|
|
5.25%, 1/30/2030 (a)
|
8,398
|
4,451
|
|
5.25%, 2/15/2031 (a)
|
3,262
|
1,713
|
|
Baxter International, Inc. 2.54%, 2/1/2032 (g)
|
490
|
412
|
|
Big River Steel LLC 6.63%, 1/31/2029 (a)
|
3,183
|
3,207
|
|
Biogen, Inc. 4.05%, 9/15/2025
|
150
|
149
|
|
Block, Inc.
|
|
|
|
2.75%, 6/1/2026
|
1,985
|
1,934
|
|
3.50%, 6/1/2031
|
766
|
682
|
|
6.50%, 5/15/2032 (a)
|
4,941
|
5,050
|
|
Blue Racer Midstream LLC
|
|
|
|
6.63%, 7/15/2026 (a)
|
1,675
|
1,674
|
|
7.00%, 7/15/2029 (a)
|
1,417
|
1,456
|
|
7.25%, 7/15/2032 (a)
|
1,040
|
1,088
|
|
Boise Cascade Co. 4.88%, 7/1/2030 (a)
|
852
|
808
|
|
Boyd Gaming Corp. 4.75%, 6/15/2031 (a)
|
983
|
917
|
|
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
3,600
|
3,422
|
|
BP Capital Markets plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (c) (e) (f)
|
2,196
|
2,115
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (c) (e) (f)
|
1,918
|
1,958
|
|
Brink's Co. (The)
|
|
|
|
4.63%, 10/15/2027 (a)
|
3,980
|
3,886
|
|
6.50%, 6/15/2029 (a)
|
1,087
|
1,108
|
|
Broadcom, Inc.
|
|
|
|
4.30%, 11/15/2032
|
32
|
30
|
|
2.60%, 2/15/2033 (a)
|
445
|
367
|
|
Buckeye Partners LP
|
|
|
|
4.13%, 3/1/2025 (a)
|
2,427
|
2,427
|
|
3.95%, 12/1/2026
|
240
|
233
|
|
4.50%, 3/1/2028 (a)
|
5,175
|
4,983
|
|
6.75%, 2/1/2030 (a)
|
994
|
1,011
|
|
Builders FirstSource, Inc.
|
|
|
|
5.00%, 3/1/2030 (a)
|
1,160
|
1,111
|
|
4.25%, 2/1/2032 (a)
|
3,138
|
2,830
|
|
6.38%, 6/15/2032 (a)
|
3,510
|
3,555
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
6.38%, 3/1/2034 (a)
|
2,310
|
2,323
|
|
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025
|
170
|
167
|
|
BWX Technologies, Inc.
|
|
|
|
4.13%, 6/30/2028 (a)
|
2,624
|
2,488
|
|
4.13%, 4/15/2029 (a)
|
4,624
|
4,352
|
|
Caesars Entertainment, Inc.
|
|
|
|
8.13%, 7/1/2027 (a)
|
27
|
27
|
|
4.63%, 10/15/2029 (a) (g)
|
2,525
|
2,384
|
|
7.00%, 2/15/2030 (a)
|
2,040
|
2,103
|
|
6.50%, 2/15/2032 (a)
|
6,328
|
6,407
|
|
California Resources Corp. 7.13%, 2/1/2026 (a)
|
2,132
|
2,133
|
|
Calpine Corp.
|
|
|
|
4.63%, 2/1/2029 (a)
|
1,117
|
1,066
|
|
5.00%, 2/1/2031 (a)
|
2,357
|
2,251
|
|
Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant
Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (c)
(e) (f)
|
5,396
|
5,205
|
|
Cardinal Health, Inc. 4.70%, 11/15/2026
|
62
|
62
|
|
Carnival Corp.
|
|
|
|
5.75%, 3/1/2027 (a)
|
4,414
|
4,423
|
|
4.00%, 8/1/2028 (a)
|
3,156
|
3,012
|
|
6.00%, 5/1/2029 (a)
|
2,183
|
2,187
|
|
7.00%, 8/15/2029 (a)
|
1,239
|
1,299
|
|
6.13%, 2/15/2033 (a) (k)
|
4,243
|
4,254
|
|
Carnival Holdings Bermuda Ltd. 10.38%, 5/1/2028 (a)
|
14,477
|
15,407
|
|
Carpenter Technology Corp.
|
|
|
|
6.38%, 7/15/2028
|
1,466
|
1,473
|
|
7.63%, 3/15/2030
|
870
|
898
|
|
CCO Holdings LLC
|
|
|
|
5.13%, 5/1/2027 (a)
|
4,309
|
4,229
|
|
5.00%, 2/1/2028 (a)
|
17,291
|
16,831
|
|
5.38%, 6/1/2029 (a)
|
9,455
|
9,138
|
|
4.75%, 3/1/2030 (a)
|
34,146
|
31,628
|
|
4.50%, 8/15/2030 (a)
|
16,927
|
15,400
|
|
4.25%, 2/1/2031 (a)
|
16,121
|
14,301
|
|
4.75%, 2/1/2032 (a)
|
50
|
44
|
|
4.50%, 5/1/2032
|
1,400
|
1,214
|
|
CD&R Smokey Buyer, Inc. 9.50%, 10/15/2029 (a) (g)
|
3,398
|
3,384
|
|
Cedar Fair LP
|
|
|
|
5.38%, 4/15/2027
|
2,150
|
2,141
|
|
5.25%, 7/15/2029
|
2,230
|
2,150
|
|
Cencora, Inc. 2.70%, 3/15/2031
|
535
|
468
|
|
Central Garden & Pet Co.
|
|
|
|
5.13%, 2/1/2028
|
6,555
|
6,431
|
|
4.13%, 10/15/2030 (g)
|
3,579
|
3,254
|
|
Charles Schwab Corp. (The)
|
|
|
|
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%),
5.38%, 6/1/2025 (c) (e) (f)
|
1,012
|
1,008
|
|
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%),
4.00%, 6/1/2026 (c) (e) (f)
|
1,182
|
1,154
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%),
4.00%, 12/1/2030 (c) (e) (f)
|
10,584
|
9,394
|
|
Chart Industries, Inc.
|
|
|
|
7.50%, 1/1/2030 (a)
|
5,783
|
6,042
|
|
9.50%, 1/1/2031 (a)
|
611
|
659
|
|
Charter Communications Operating LLC 6.65%, 2/1/2034
|
610
|
628
|
|
Chemours Co. (The)
|
|
|
|
5.75%, 11/15/2028 (a)
|
9,029
|
8,566
|
|
8.00%, 1/15/2033 (a)
|
1,590
|
1,577
|
|
Cheniere Energy Partners LP
|
|
|
|
4.50%, 10/1/2029
|
4,325
|
4,193
|
|
4.00%, 3/1/2031
|
1,000
|
926
|
|
3.25%, 1/31/2032
|
37
|
32
|
|
Chevron Phillips Chemical Co. LLC 3.40%, 12/1/2026 (a)
|
155
|
151
|
|
Chord Energy Corp. 6.38%, 6/1/2026 (a)
|
6,102
|
6,104
|
|
Ciena Corp. 4.00%, 1/31/2030 (a)
|
2,329
|
2,150
|
|
Cigna Group (The) 3.25%, 4/15/2025
|
250
|
249
|
|
Cinemark USA, Inc.
|
|
|
|
5.25%, 7/15/2028 (a)
|
2,165
|
2,122
|
|
7.00%, 8/1/2032 (a)
|
995
|
1,022
|
|
Citibank NA 4.93%, 8/6/2026
|
250
|
251
|
|
Citigroup, Inc.
|
|
|
|
Series P, (3-MONTH CME TERM SOFR + 4.17%), 5.95%, 5/15/2025 (c) (e) (f)
|
1,480
|
1,479
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%),
4.00%, 12/10/2025 (c) (e) (f)
|
4,652
|
4,585
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%),
3.88%, 2/18/2026 (c) (e) (f)
|
7,615
|
7,457
|
|
Series T, (3-MONTH CME TERM SOFR + 4.78%), 6.25%, 8/15/2026 (c) (e) (f)
|
4,682
|
4,729
|
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (c) (e) (f)
|
4,928
|
5,057
|
|
Series EE, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.57%),
6.75%, 2/15/2030 (c) (e) (f)
|
1,880
|
1,893
|
|
(SOFR + 2.11%), 2.57%, 6/3/2031 (c)
|
972
|
854
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (c)
|
464
|
390
|
|
(SOFR + 1.35%), 3.06%, 1/25/2033 (c)
|
850
|
735
|
|
(SOFR + 1.94%), 3.79%, 3/17/2033 (c)
|
913
|
824
|
|
Series DD, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 2.76%),
7.00%, 8/15/2034 (c) (e) (f)
|
6,264
|
6,527
|
|
Civitas Resources, Inc.
|
|
|
|
8.38%, 7/1/2028 (a)
|
4,442
|
4,646
|
|
8.63%, 11/1/2030 (a)
|
2,721
|
2,884
|
|
8.75%, 7/1/2031 (a)
|
2,840
|
2,995
|
|
Clarios Global LP
|
|
|
|
6.25%, 5/15/2026 (a)
|
3,644
|
3,643
|
|
8.50%, 5/15/2027 (a)
|
3,430
|
3,447
|
|
6.75%, 5/15/2028 (a)
|
2,747
|
2,798
|
|
6.75%, 2/15/2030 (a) (g)
|
1,449
|
1,472
|
|
Clarivate Science Holdings Corp.
|
|
|
|
3.88%, 7/1/2028 (a)
|
2,541
|
2,394
|
|
4.88%, 7/1/2029 (a)
|
2,948
|
2,763
|
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
|
5.13%, 8/15/2027 (a)
|
8,196
|
7,984
|
|
9.00%, 9/15/2028 (a)
|
3,827
|
4,023
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
7.50%, 6/1/2029 (a)
|
12,828
|
11,421
|
|
Cleveland-Cliffs, Inc.
|
|
|
|
4.63%, 3/1/2029 (a) (g)
|
3,278
|
3,055
|
|
6.88%, 11/1/2029 (a)
|
2,609
|
2,617
|
|
6.75%, 4/15/2030 (a)
|
2,747
|
2,734
|
|
4.88%, 3/1/2031 (a)
|
1,772
|
1,605
|
|
Clydesdale Acquisition Holdings, Inc. 6.63%, 4/15/2029 (a)
|
147
|
148
|
|
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%),
4.75%, 6/1/2050 (c)
|
3,823
|
3,625
|
|
CNX Midstream Partners LP 4.75%, 4/15/2030 (a)
|
828
|
763
|
|
CNX Resources Corp. 7.38%, 1/15/2031 (a)
|
2,491
|
2,556
|
|
Coherent Corp. 5.00%, 12/15/2029 (a)
|
9,100
|
8,758
|
|
Coinbase Global, Inc.
|
|
|
|
3.38%, 10/1/2028 (a)
|
1,628
|
1,472
|
|
3.63%, 10/1/2031 (a)
|
1,795
|
1,553
|
|
Columbia Pipelines Operating Co. LLC 5.93%, 8/15/2030 (a)
|
540
|
557
|
|
CommScope LLC
|
|
|
|
6.00%, 3/1/2026 (a)
|
5,095
|
5,095
|
|
8.25%, 3/1/2027 (a)
|
10,030
|
9,574
|
|
4.75%, 9/1/2029 (a)
|
4,840
|
4,308
|
|
Community Health Systems, Inc.
|
|
|
|
5.63%, 3/15/2027 (a)
|
1,098
|
1,066
|
|
6.00%, 1/15/2029 (a)
|
3,295
|
3,003
|
|
6.13%, 4/1/2030 (a)
|
540
|
354
|
|
5.25%, 5/15/2030 (a)
|
8,907
|
7,594
|
|
4.75%, 2/15/2031 (a)
|
2,958
|
2,414
|
|
10.88%, 1/15/2032 (a)
|
2,999
|
3,089
|
|
Comstock Resources, Inc.
|
|
|
|
6.75%, 3/1/2029 (a)
|
8,561
|
8,402
|
|
5.88%, 1/15/2030 (a)
|
2,507
|
2,373
|
|
Concentra Escrow Issuer Corp. 6.88%, 7/15/2032 (a)
|
1,101
|
1,138
|
|
Conduent Business Services LLC 6.00%, 11/1/2029 (a)
|
4,650
|
4,466
|
|
Cooper-Standard Automotive, Inc.
|
|
|
|
13.50% (Cash), 3/31/2027 (a) (i)
|
13,330
|
13,966
|
|
5.63% (Cash), 5/15/2027 (a) (g) (i)
|
8,013
|
6,842
|
|
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.85%), 6.88%, 12/15/2052 (c)
|
3,996
|
4,110
|
|
CoreCivic, Inc. 8.25%, 4/15/2029
|
4,255
|
4,500
|
|
Coty, Inc.
|
|
|
|
5.00%, 4/15/2026 (a)
|
775
|
773
|
|
4.75%, 1/15/2029 (a)
|
880
|
848
|
|
Crescent Energy Finance LLC
|
|
|
|
9.25%, 2/15/2028 (a)
|
7,190
|
7,532
|
|
7.63%, 4/1/2032 (a)
|
3,128
|
3,150
|
|
7.38%, 1/15/2033 (a)
|
1,955
|
1,952
|
|
Crown Castle, Inc., REIT
|
|
|
|
3.65%, 9/1/2027
|
55
|
53
|
|
4.90%, 9/1/2029
|
1,035
|
1,029
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
CSC Holdings LLC
|
|
|
|
5.38%, 2/1/2028 (a)
|
3,222
|
2,833
|
|
11.25%, 5/15/2028 (a)
|
1,567
|
1,554
|
|
6.50%, 2/1/2029 (a)
|
10,417
|
8,880
|
|
3.38%, 2/15/2031 (a)
|
1,735
|
1,261
|
|
4.50%, 11/15/2031 (a)
|
2,518
|
1,898
|
|
Dana, Inc. 5.63%, 6/15/2028
|
3,036
|
3,015
|
|
DaVita, Inc.
|
|
|
|
4.63%, 6/1/2030 (a)
|
9,025
|
8,397
|
|
3.75%, 2/15/2031 (a) (g)
|
6,536
|
5,752
|
|
6.88%, 9/1/2032 (a)
|
1,691
|
1,715
|
|
Diamond Foreign Asset Co. 8.50%, 10/1/2030 (a)
|
2,452
|
2,556
|
|
Diebold Nixdorf, Inc. 7.75%, 3/31/2030 (a)
|
894
|
925
|
|
Directv Financing LLC 5.88%, 8/15/2027 (a)
|
4,425
|
4,382
|
|
Discovery Communications LLC 3.63%, 5/15/2030
|
42
|
38
|
|
DISH DBS Corp.
|
|
|
|
7.75%, 7/1/2026
|
10,126
|
8,853
|
|
5.25%, 12/1/2026 (a)
|
10,065
|
9,302
|
|
5.75%, 12/1/2028 (a)
|
2,450
|
2,123
|
|
DISH Network Corp. 11.75%, 11/15/2027 (a)
|
10,305
|
10,881
|
|
DOC DR LLC, REIT
|
|
|
|
3.95%, 1/15/2028
|
13
|
13
|
|
2.63%, 11/1/2031
|
4
|
3
|
|
Dominion Energy, Inc.
|
|
|
|
3.90%, 10/1/2025
|
150
|
149
|
|
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%),
4.35%, 1/15/2027 (c) (e) (f)
|
3,390
|
3,291
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (c)
|
1,144
|
1,210
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (c)
|
1,754
|
1,828
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.21%), 6.63%, 5/15/2055 (c)
|
2,345
|
2,368
|
|
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a)
|
2,736
|
2,230
|
|
DT Midstream, Inc.
|
|
|
|
4.13%, 6/15/2029 (a)
|
4,705
|
4,448
|
|
4.38%, 6/15/2031 (a)
|
1,677
|
1,551
|
|
Duke Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
2.59%), 6.45%, 9/1/2054 (c)
|
4,343
|
4,356
|
|
Dycom Industries, Inc. 4.50%, 4/15/2029 (a)
|
5,847
|
5,507
|
|
EchoStar Corp.
|
|
|
|
10.75%, 11/30/2029
|
5,220
|
5,627
|
|
6.75% (PIK), 11/30/2030 (i)
|
2,742
|
2,499
|
|
Edgewell Personal Care Co.
|
|
|
|
5.50%, 6/1/2028 (a)
|
3,152
|
3,108
|
|
4.13%, 4/1/2029 (a)
|
2,842
|
2,660
|
|
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (h)
|
2,365
|
2,431
|
|
Embarq LLC 8.00%, 6/1/2036 (g)
|
4,000
|
2,240
|
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
1,421
|
1,198
|
|
EMRLD Borrower LP
|
|
|
|
6.63%, 12/15/2030 (a)
|
9,085
|
9,189
|
|
6.75%, 7/15/2031 (a)
|
1,429
|
1,453
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Encino Acquisition Partners Holdings LLC
|
|
|
|
8.50%, 5/1/2028 (a)
|
6,339
|
6,512
|
|
8.75%, 5/1/2031 (a)
|
2,280
|
2,424
|
|
Encompass Health Corp.
|
|
|
|
5.75%, 9/15/2025
|
1,338
|
1,336
|
|
4.75%, 2/1/2030
|
2,690
|
2,588
|
|
4.63%, 4/1/2031
|
3,595
|
3,365
|
|
Endo Finance Holdings, Inc. 8.50%, 4/15/2031 (a) (g)
|
945
|
1,011
|
|
Energizer Holdings, Inc.
|
|
|
|
6.50%, 12/31/2027 (a)
|
1,513
|
1,534
|
|
4.75%, 6/15/2028 (a)
|
6,415
|
6,162
|
|
4.38%, 3/31/2029 (a)
|
7,839
|
7,329
|
|
Energy Transfer LP
|
|
|
|
4.75%, 1/15/2026
|
200
|
200
|
|
7.38%, 2/1/2031 (a)
|
995
|
1,043
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.02%), 8.00%, 5/15/2054 (c)
|
636
|
671
|
|
EnLink Midstream Partners LP
|
|
|
|
4.85%, 7/15/2026
|
649
|
647
|
|
5.60%, 4/1/2044
|
522
|
482
|
|
Enpro, Inc. 5.75%, 10/15/2026
|
50
|
50
|
|
Entegris, Inc.
|
|
|
|
4.38%, 4/15/2028 (a)
|
2,146
|
2,068
|
|
4.75%, 4/15/2029 (a)
|
5,001
|
4,822
|
|
3.63%, 5/1/2029 (a)
|
3,009
|
2,768
|
|
5.95%, 6/15/2030 (a)
|
7,392
|
7,368
|
|
Entergy Corp.
|
|
|
|
0.90%, 9/15/2025
|
97
|
95
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%), 7.13%, 12/1/2054 (c)
|
1,531
|
1,561
|
|
Enterprise Products Operating LLC Series E, (3-MONTH CME TERM SOFR + 3.29%), 5.25%,
8/16/2077 (c)
|
3,227
|
3,166
|
|
EQM Midstream Partners LP
|
|
|
|
7.50%, 6/1/2027 (a)
|
2,955
|
3,029
|
|
6.50%, 7/1/2027 (a)
|
2,555
|
2,608
|
|
4.50%, 1/15/2029 (a)
|
1,646
|
1,587
|
|
7.50%, 6/1/2030 (a)
|
2,365
|
2,547
|
|
4.75%, 1/15/2031 (a)
|
5,576
|
5,309
|
|
EquipmentShare.com, Inc.
|
|
|
|
9.00%, 5/15/2028 (a)
|
6,588
|
6,943
|
|
8.63%, 5/15/2032 (a)
|
820
|
874
|
|
8.00%, 3/15/2033 (a)
|
1,336
|
1,389
|
|
Equitable Financial Life Global Funding
|
|
|
|
5.50%, 12/2/2025 (a)
|
272
|
274
|
|
4.88%, 11/19/2027 (a)
|
132
|
132
|
|
Esab Corp. 6.25%, 4/15/2029 (a)
|
1,862
|
1,887
|
|
Escrow Rite Aid 0.00%, 12/31/2049 ‡
|
967
|
578
|
|
Expand Energy Corp.
|
|
|
|
5.88%, 2/1/2029 (a)
|
575
|
573
|
|
6.75%, 4/15/2029 (a)
|
11,991
|
12,121
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
5.38%, 3/15/2030
|
5,142
|
5,049
|
|
4.75%, 2/1/2032
|
918
|
856
|
|
Fair Isaac Corp. 4.00%, 6/15/2028 (a)
|
1,295
|
1,234
|
|
Fertitta Entertainment LLC 4.63%, 1/15/2029 (a)
|
208
|
196
|
|
Fifth Third Bancorp
|
|
|
|
Series L, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.22%),
4.50%, 9/30/2025 (c) (e) (f)
|
2,903
|
2,864
|
|
(SOFRINDX + 2.19%), 6.36%, 10/27/2028 (c)
|
301
|
312
|
|
(SOFR + 1.84%), 5.63%, 1/29/2032 (c)
|
398
|
404
|
|
Ford Motor Credit Co. LLC
|
|
|
|
2.30%, 2/10/2025
|
2,000
|
1,999
|
|
4.69%, 6/9/2025
|
9,424
|
9,408
|
|
5.13%, 6/16/2025
|
7,621
|
7,621
|
|
4.13%, 8/4/2025
|
3,842
|
3,824
|
|
4.39%, 1/8/2026
|
5,270
|
5,237
|
|
6.95%, 3/6/2026
|
1,712
|
1,743
|
|
6.95%, 6/10/2026
|
1,864
|
1,904
|
|
4.54%, 8/1/2026
|
2,052
|
2,032
|
|
2.70%, 8/10/2026
|
2,049
|
1,974
|
|
4.27%, 1/9/2027
|
8,068
|
7,921
|
|
2.90%, 2/16/2028
|
1,455
|
1,351
|
|
6.80%, 5/12/2028
|
1,944
|
2,015
|
|
2.90%, 2/10/2029
|
880
|
792
|
|
7.20%, 6/10/2030
|
896
|
945
|
|
4.00%, 11/13/2030
|
3,339
|
3,024
|
|
Frontier Communications Holdings LLC
|
|
|
|
5.88%, 10/15/2027 (a)
|
2,125
|
2,126
|
|
5.00%, 5/1/2028 (a)
|
10,138
|
10,034
|
|
6.75%, 5/1/2029 (a)
|
1,345
|
1,354
|
|
5.88%, 11/1/2029
|
50
|
50
|
|
6.00%, 1/15/2030 (a)
|
114
|
114
|
|
8.75%, 5/15/2030 (a)
|
2,138
|
2,259
|
|
Gap, Inc. (The) 3.63%, 10/1/2029 (a)
|
2,750
|
2,502
|
|
Gartner, Inc.
|
|
|
|
4.50%, 7/1/2028 (a)
|
1,975
|
1,928
|
|
3.63%, 6/15/2029 (a)
|
1,138
|
1,065
|
|
3.75%, 10/1/2030 (a)
|
469
|
430
|
|
Gates Corp. 6.88%, 7/1/2029 (a)
|
873
|
893
|
|
GCI LLC 4.75%, 10/15/2028 (a)
|
9,465
|
8,930
|
|
General Motors Financial Co., Inc.
|
|
|
|
5.25%, 3/1/2026
|
250
|
251
|
|
4.30%, 4/6/2029
|
490
|
473
|
|
Genesis Energy LP
|
|
|
|
8.00%, 1/15/2027
|
575
|
585
|
|
7.75%, 2/1/2028
|
3,701
|
3,747
|
|
8.25%, 1/15/2029
|
871
|
891
|
|
8.88%, 4/15/2030
|
2,535
|
2,628
|
|
7.88%, 5/15/2032
|
1,347
|
1,349
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
8.00%, 5/15/2033
|
893
|
893
|
|
GEO Group, Inc. (The) 8.63%, 4/15/2029
|
2,328
|
2,458
|
|
GFL Environmental, Inc.
|
|
|
|
3.75%, 8/1/2025 (a)
|
3,564
|
3,541
|
|
4.00%, 8/1/2028 (a)
|
4,132
|
3,934
|
|
4.75%, 6/15/2029 (a)
|
2,885
|
2,779
|
|
6.75%, 1/15/2031 (a)
|
1,402
|
1,454
|
|
Global Infrastructure Solutions, Inc.
|
|
|
|
5.63%, 6/1/2029 (a)
|
3,420
|
3,323
|
|
7.50%, 4/15/2032 (a)
|
2,580
|
2,562
|
|
Global Medical Response, Inc. 10.00% (Blend (Cash 9.25% + PIK 0.75%)), 10/31/2028 (a) (i)
|
2,321
|
2,325
|
|
Global Payments, Inc.
|
|
|
|
3.20%, 8/15/2029
|
43
|
40
|
|
2.90%, 11/15/2031
|
12
|
10
|
|
Goat Holdco LLC 6.75%, 2/1/2032 (a)
|
1,182
|
1,178
|
|
Goldman Sachs Bank USA (SOFR + 0.77%), 5.14%, 3/18/2027 (c)
|
320
|
321
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%),
4.40%, 8/10/2025 (c) (e) (f)
|
1,490
|
1,494
|
|
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%),
4.95%, 8/10/2025 (c) (e) (f)
|
1,809
|
1,815
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%),
3.80%, 5/10/2026 (c) (e) (f)
|
5,607
|
5,444
|
|
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%),
3.65%, 8/10/2026 (c) (e) (f)
|
1,830
|
1,759
|
|
(SOFR + 0.82%), 1.54%, 9/10/2027 (c)
|
465
|
441
|
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (c)
|
19
|
18
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
15
|
14
|
|
(SOFR + 1.85%), 3.62%, 3/15/2028 (c)
|
983
|
959
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%),
7.50%, 2/10/2029 (c) (e) (f)
|
4,001
|
4,221
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (c) (e) (f)
|
6,484
|
6,789
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.85%, 2/10/2030 (c) (e) (f)
|
4,610
|
4,652
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
486
|
417
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (c)
|
464
|
391
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (c)
|
16
|
14
|
|
Series Y, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 2.40%),
6.13%, 11/10/2034 (c) (e) (f)
|
5,630
|
5,499
|
|
(SOFR + 1.55%), 5.33%, 7/23/2035 (c)
|
149
|
147
|
|
(SOFR + 1.42%), 5.02%, 10/23/2035 (c)
|
1,805
|
1,734
|
|
Goodyear Tire & Rubber Co. (The)
|
|
|
|
5.00%, 5/31/2026
|
3,268
|
3,239
|
|
5.00%, 7/15/2029
|
5,732
|
5,347
|
|
5.25%, 7/15/2031 (g)
|
1,189
|
1,090
|
|
Graham Packaging Co., Inc. 7.13%, 8/15/2028 (a)
|
1,006
|
1,001
|
|
Gray Media, Inc.
|
|
|
|
7.00%, 5/15/2027 (a) (g)
|
5,897
|
5,775
|
|
10.50%, 7/15/2029 (a) (g)
|
7,900
|
8,270
|
|
4.75%, 10/15/2030 (a)
|
3,000
|
1,822
|
|
5.38%, 11/15/2031 (a)
|
2,346
|
1,399
|
|
Griffon Corp. 5.75%, 3/1/2028
|
4,655
|
4,615
|
|
Group 1 Automotive, Inc.
|
|
|
|
4.00%, 8/15/2028 (a)
|
1,271
|
1,206
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
6.38%, 1/15/2030 (a)
|
1,187
|
1,206
|
|
Gulfport Energy Operating Corp. 6.75%, 9/1/2029 (a)
|
2,718
|
2,766
|
|
Hanesbrands, Inc. 9.00%, 2/15/2031 (a)
|
1,660
|
1,774
|
|
Harvest Midstream I LP 7.50%, 5/15/2032 (a)
|
1,661
|
1,729
|
|
HCA, Inc.
|
|
|
|
2.38%, 7/15/2031
|
73
|
61
|
|
5.60%, 4/1/2034
|
600
|
595
|
|
HealthEquity, Inc. 4.50%, 10/1/2029 (a)
|
50
|
47
|
|
Healthpeak OP LLC, REIT 3.40%, 2/1/2025
|
244
|
244
|
|
Herc Holdings, Inc.
|
|
|
|
5.50%, 7/15/2027 (a)
|
3,841
|
3,826
|
|
6.63%, 6/15/2029 (a)
|
2,268
|
2,318
|
|
Hertz Corp. (The)
|
|
|
|
4.63%, 12/1/2026 (a) (g)
|
3,713
|
3,302
|
|
12.63%, 7/15/2029 (a) (g)
|
5,580
|
6,015
|
|
5.00%, 12/1/2029 (a) (g)
|
8,062
|
5,816
|
|
Hertz Corp. (The), Escrow
|
|
|
|
6.25%, 10/15/2022 ‡ (j)
|
1,106
|
77
|
|
5.50%, 10/15/2024 ‡ (j)
|
11,828
|
710
|
|
7.13%, 8/1/2026 ‡ (j)
|
5,505
|
1,156
|
|
6.00%, 1/15/2028 ‡ (j)
|
5,450
|
1,090
|
|
Hess Midstream Operations LP
|
|
|
|
5.63%, 2/15/2026 (a)
|
4,090
|
4,091
|
|
6.50%, 6/1/2029 (a)
|
1,763
|
1,799
|
|
4.25%, 2/15/2030 (a)
|
2,708
|
2,533
|
|
Hilcorp Energy I LP
|
|
|
|
6.25%, 11/1/2028 (a)
|
351
|
349
|
|
6.00%, 4/15/2030 (a)
|
1,791
|
1,737
|
|
6.25%, 4/15/2032 (a)
|
1,490
|
1,415
|
|
6.88%, 5/15/2034 (a)
|
552
|
532
|
|
Hillenbrand, Inc.
|
|
|
|
5.00%, 9/15/2026 (h)
|
815
|
807
|
|
6.25%, 2/15/2029
|
769
|
776
|
|
Hilton Domestic Operating Co., Inc.
|
|
|
|
5.75%, 5/1/2028 (a)
|
2,807
|
2,809
|
|
5.88%, 4/1/2029 (a)
|
1,254
|
1,263
|
|
3.75%, 5/1/2029 (a)
|
1,645
|
1,536
|
|
4.88%, 1/15/2030
|
1,463
|
1,417
|
|
6.13%, 4/1/2032 (a)
|
1,184
|
1,195
|
|
5.88%, 3/15/2033 (a)
|
2,680
|
2,662
|
|
Hologic, Inc. 3.25%, 2/15/2029 (a)
|
4,592
|
4,221
|
|
Howard Midstream Energy Partners LLC
|
|
|
|
8.88%, 7/15/2028 (a)
|
2,815
|
2,969
|
|
7.38%, 7/15/2032 (a)
|
1,430
|
1,487
|
|
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 (g)
|
3,046
|
2,100
|
|
Huntington Bancshares, Inc. Series G, (US Treasury Yield Curve Rate T Note Constant
Maturity 7 Year + 4.05%), 4.45%,
10/15/2027 (c) (e) (f)
|
357
|
343
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Hyundai Capital America
|
|
|
|
1.65%, 9/17/2026 (a)
|
37
|
35
|
|
4.30%, 9/24/2027 (a)
|
141
|
139
|
|
2.10%, 9/15/2028 (a)
|
18
|
16
|
|
iHeartCommunications, Inc.
|
|
|
|
9.13%, 5/1/2029 (a) (g)
|
9,635
|
8,431
|
|
10.88%, 5/1/2030 (a) (g)
|
4,810
|
3,306
|
|
7.75%, 8/15/2030 (a)
|
2,842
|
2,322
|
|
ILFC E-Capital Trust I (3-MONTH CME TERM SOFR + 1.81%), 6.15%, 12/21/2065 (a) (c)
|
2,263
|
1,860
|
|
ILFC E-Capital Trust II (3-MONTH CME TERM SOFR + 2.06%), 6.40%, 12/21/2065 (a) (c)
|
2,205
|
1,860
|
|
Imola Merger Corp. 4.75%, 5/15/2029 (a)
|
10,829
|
10,328
|
|
Insight Enterprises, Inc. 6.63%, 5/15/2032 (a)
|
897
|
912
|
|
IQVIA, Inc.
|
|
|
|
5.00%, 10/15/2026 (a)
|
7,250
|
7,220
|
|
5.00%, 5/15/2027 (a)
|
2,786
|
2,759
|
|
Iron Mountain, Inc., REIT
|
|
|
|
4.88%, 9/15/2027 (a)
|
3,155
|
3,097
|
|
5.25%, 3/15/2028 (a)
|
2,317
|
2,277
|
|
5.00%, 7/15/2028 (a)
|
409
|
398
|
|
4.50%, 2/15/2031 (a)
|
2,811
|
2,587
|
|
6.25%, 1/15/2033 (a)
|
2,649
|
2,654
|
|
ITC Holdings Corp. 2.95%, 5/14/2030 (a)
|
34
|
31
|
|
JELD-WEN, Inc.
|
|
|
|
4.88%, 12/15/2027 (a)
|
3,250
|
3,130
|
|
7.00%, 9/1/2032 (a) (g)
|
1,695
|
1,616
|
|
JetBlue Airways Corp. 9.88%, 9/20/2031 (a)
|
3,962
|
4,188
|
|
Kimco Realty OP LLC, REIT 2.25%, 12/1/2031
|
10
|
8
|
|
Kinetik Holdings LP
|
|
|
|
6.63%, 12/15/2028 (a)
|
633
|
647
|
|
5.88%, 6/15/2030 (a)
|
2,016
|
2,000
|
|
Knife River Corp. 7.75%, 5/1/2031 (a)
|
3,094
|
3,234
|
|
Kodiak Gas Services LLC 7.25%, 2/15/2029 (a)
|
1,796
|
1,849
|
|
Lamar Media Corp. 4.00%, 2/15/2030
|
500
|
461
|
|
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a)
|
6,785
|
6,286
|
|
LD Holdings Group LLC 8.75%, 11/1/2027 (a)
|
535
|
515
|
|
Lear Corp. 2.60%, 1/15/2032
|
5
|
4
|
|
Level 3 Financing, Inc.
|
|
|
|
4.88%, 6/15/2029 (a) (g)
|
3,892
|
3,352
|
|
11.00%, 11/15/2029 (a)
|
2,319
|
2,630
|
|
3.88%, 10/15/2030 (a) (g)
|
1,239
|
966
|
|
10.75%, 12/15/2030 (a)
|
1,600
|
1,801
|
|
Liberty Interactive LLC 8.25%, 2/1/2030
|
1,702
|
837
|
|
Lithia Motors, Inc. 4.38%, 1/15/2031 (a)
|
1,604
|
1,477
|
|
Live Nation Entertainment, Inc.
|
|
|
|
5.63%, 3/15/2026 (a)
|
4,097
|
4,100
|
|
6.50%, 5/15/2027 (a)
|
10,261
|
10,431
|
|
4.75%, 10/15/2027 (a)
|
8,509
|
8,340
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
3.75%, 1/15/2028 (a)
|
1,533
|
1,463
|
|
Lumen Technologies, Inc.
|
|
|
|
4.13%, 4/15/2029 (a)
|
2,184
|
1,958
|
|
5.38%, 6/15/2029 (a)
|
4,316
|
3,582
|
|
4.13%, 4/15/2030 (a)
|
8,787
|
7,701
|
|
10.00%, 10/15/2032 (a)
|
715
|
713
|
|
M/I Homes, Inc. 4.95%, 2/1/2028
|
262
|
258
|
|
Madison IAQ LLC
|
|
|
|
4.13%, 6/30/2028 (a)
|
1,815
|
1,735
|
|
5.88%, 6/30/2029 (a) (g)
|
6,049
|
5,831
|
|
Mallinckrodt International Finance SA 14.75%, 11/14/2028 (a)
|
2,929
|
3,111
|
|
Marathon Petroleum Corp. 4.70%, 5/1/2025
|
215
|
215
|
|
Markel Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
5.66%), 6.00%, 6/1/2025 (c) (e) (f)
|
1,127
|
1,124
|
|
Marriott Ownership Resorts, Inc.
|
|
|
|
4.75%, 1/15/2028
|
36
|
35
|
|
4.50%, 6/15/2029 (a) (g)
|
971
|
914
|
|
MassMutual Global Funding II (SOFR + 0.87%), 5.23%, 3/21/2025 (a) (c)
|
300
|
300
|
|
Masterbrand, Inc. 7.00%, 7/15/2032 (a)
|
1,817
|
1,858
|
|
Matador Resources Co.
|
|
|
|
6.50%, 4/15/2032 (a)
|
1,944
|
1,949
|
|
6.25%, 4/15/2033 (a)
|
2,751
|
2,711
|
|
Mauser Packaging Solutions Holding Co. 7.88%, 4/15/2027 (a)
|
15,319
|
15,609
|
|
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a)
|
4,100
|
4,036
|
|
Medline Borrower LP
|
|
|
|
3.88%, 4/1/2029 (a)
|
10,954
|
10,221
|
|
6.25%, 4/1/2029 (a)
|
4,212
|
4,280
|
|
5.25%, 10/1/2029 (a)
|
4,525
|
4,384
|
|
MetLife Capital Trust IV 7.88%, 12/15/2037 (a)
|
7,992
|
8,730
|
|
MetLife, Inc. Series D, (3-MONTH CME TERM SOFR + 3.22%), 5.88%, 3/15/2028 (c) (e) (f)
|
1,964
|
1,959
|
|
MGM Resorts International
|
|
|
|
6.13%, 9/15/2029
|
2,478
|
2,480
|
|
6.50%, 4/15/2032
|
3,131
|
3,134
|
|
Microchip Technology, Inc. 4.25%, 9/1/2025
|
250
|
249
|
|
Midcontinent Communications 8.00%, 8/15/2032 (a)
|
2,213
|
2,271
|
|
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a)
|
2,082
|
2,101
|
|
Miter Brands Acquisition Holdco, Inc. 6.75%, 4/1/2032 (a)
|
1,762
|
1,783
|
|
MIWD Holdco II LLC 5.50%, 2/1/2030 (a)
|
1,256
|
1,196
|
|
Molina Healthcare, Inc. 4.38%, 6/15/2028 (a)
|
1,150
|
1,105
|
|
Moog, Inc. 4.25%, 12/15/2027 (a)
|
356
|
342
|
|
Morgan Stanley
|
|
|
|
(SOFR + 0.94%), 2.63%, 2/18/2026 (c)
|
1,462
|
1,461
|
|
Series M, 5.87%, 9/15/2026 (e) (f) (h) (l)
|
2,055
|
2,051
|
|
(SOFR + 0.86%), 1.51%, 7/20/2027 (c)
|
40
|
38
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (c)
|
20
|
20
|
|
(SOFR + 1.45%), 5.17%, 1/16/2030 (c)
|
619
|
622
|
|
(SOFR + 1.02%), 1.93%, 4/28/2032 (c)
|
18
|
15
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (c)
|
948
|
801
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
(SOFR + 1.73%), 5.47%, 1/18/2035 (c)
|
673
|
672
|
|
(SOFR + 1.56%), 5.32%, 7/19/2035 (c)
|
130
|
128
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (c)
|
817
|
825
|
|
(SOFR + 1.49%), 3.22%, 4/22/2042 (c)
|
5
|
4
|
|
Morgan Stanley Bank NA (SOFR + 1.08%), 4.95%, 1/14/2028 (c)
|
455
|
456
|
|
MPT Operating Partnership LP, REIT 8.50%, 2/15/2032 (a) (k)
|
1,686
|
1,712
|
|
Nationstar Mortgage Holdings, Inc.
|
|
|
|
6.00%, 1/15/2027 (a)
|
430
|
429
|
|
5.50%, 8/15/2028 (a)
|
1,311
|
1,287
|
|
5.13%, 12/15/2030 (a)
|
2,225
|
2,102
|
|
5.75%, 11/15/2031 (a)
|
4,470
|
4,326
|
|
7.13%, 2/1/2032 (a)
|
1,802
|
1,858
|
|
NCR Atleos Corp. 9.50%, 4/1/2029 (a)
|
4,744
|
5,169
|
|
NCR Voyix Corp.
|
|
|
|
5.00%, 10/1/2028 (a)
|
510
|
492
|
|
5.13%, 4/15/2029 (a)
|
5,726
|
5,461
|
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)
|
1,187
|
1,122
|
|
New Albertsons LP
|
|
|
|
7.75%, 6/15/2026
|
1,535
|
1,570
|
|
6.63%, 6/1/2028
|
613
|
622
|
|
7.45%, 8/1/2029
|
392
|
411
|
|
8.00%, 5/1/2031
|
2,108
|
2,204
|
|
Newell Brands, Inc.
|
|
|
|
5.70%, 4/1/2026 (h)
|
5,381
|
5,398
|
|
6.38%, 9/15/2027
|
1,335
|
1,359
|
|
6.63%, 9/15/2029 (g)
|
1,966
|
2,017
|
|
6.38%, 5/15/2030
|
1,260
|
1,276
|
|
6.63%, 5/15/2032
|
839
|
847
|
|
6.87%, 4/1/2036 (g) (h)
|
1,192
|
1,219
|
|
News Corp.
|
|
|
|
3.88%, 5/15/2029 (a)
|
4,395
|
4,104
|
|
5.13%, 2/15/2032 (a)
|
2,490
|
2,376
|
|
Nexstar Media, Inc.
|
|
|
|
5.63%, 7/15/2027 (a)
|
13,244
|
13,062
|
|
4.75%, 11/1/2028 (a)
|
4,275
|
4,031
|
|
NextEra Energy Capital Holdings, Inc.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.46%), 6.75%, 6/15/2054 (c)
|
1,617
|
1,654
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.36%), 6.70%, 9/1/2054 (c)
|
1,100
|
1,118
|
|
(3-MONTH SOFR + 3.16%), 5.65%, 5/1/2079 (c)
|
3,683
|
3,599
|
|
NGL Energy Operating LLC
|
|
|
|
8.13%, 2/15/2029 (a)
|
2,582
|
2,649
|
|
8.38%, 2/15/2032 (a)
|
2,255
|
2,320
|
|
NiSource, Inc.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 6.95%, 11/30/2054 (c)
|
3,014
|
3,074
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.53%), 6.38%, 3/31/2055 (c)
|
2,550
|
2,530
|
|
Noble Finance II LLC 8.00%, 4/15/2030 (a)
|
1,809
|
1,841
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Novelis Corp.
|
|
|
|
3.25%, 11/15/2026 (a)
|
2,558
|
2,472
|
|
4.75%, 1/30/2030 (a)
|
4,690
|
4,407
|
|
Novelis, Inc. 6.88%, 1/30/2030 (a)
|
648
|
663
|
|
NRG Energy, Inc.
|
|
|
|
5.75%, 1/15/2028
|
1,086
|
1,088
|
|
3.38%, 2/15/2029 (a)
|
2,175
|
1,990
|
|
5.25%, 6/15/2029 (a)
|
3,177
|
3,095
|
|
5.75%, 7/15/2029 (a)
|
185
|
182
|
|
3.88%, 2/15/2032 (a)
|
762
|
669
|
|
6.00%, 2/1/2033 (a)
|
2,220
|
2,169
|
|
7.00%, 3/15/2033 (a)
|
1,272
|
1,368
|
|
NuStar Logistics LP
|
|
|
|
6.00%, 6/1/2026
|
3,036
|
3,054
|
|
6.38%, 10/1/2030
|
2,015
|
2,052
|
|
ON Semiconductor Corp. 3.88%, 9/1/2028 (a)
|
4,166
|
3,929
|
|
OneMain Finance Corp.
|
|
|
|
7.13%, 3/15/2026
|
4,252
|
4,337
|
|
3.50%, 1/15/2027
|
1,875
|
1,804
|
|
6.63%, 1/15/2028
|
3,483
|
3,540
|
|
3.88%, 9/15/2028
|
370
|
346
|
|
9.00%, 1/15/2029
|
287
|
305
|
|
Organon & Co.
|
|
|
|
4.13%, 4/30/2028 (a)
|
6,828
|
6,476
|
|
5.13%, 4/30/2031 (a) (g)
|
6,281
|
5,686
|
|
Outfront Media Capital LLC
|
|
|
|
5.00%, 8/15/2027 (a)
|
235
|
231
|
|
4.25%, 1/15/2029 (a)
|
986
|
923
|
|
7.38%, 2/15/2031 (a)
|
1,888
|
1,978
|
|
Owens & Minor, Inc.
|
|
|
|
4.50%, 3/31/2029 (a) (g)
|
4,592
|
4,177
|
|
6.63%, 4/1/2030 (a) (g)
|
2,464
|
2,373
|
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a)
|
2,223
|
2,230
|
|
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a)
|
5,517
|
5,526
|
|
Par Pharmaceutical, Inc. 0.00%, 4/1/2027 ‡ (j)
|
6,648
|
—
|
|
Paramount Global (3-MONTH SOFR + 3.90%), 6.25%, 2/28/2057 (c)
|
2,363
|
2,259
|
|
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a)
|
200
|
194
|
|
Performance Food Group, Inc.
|
|
|
|
5.50%, 10/15/2027 (a)
|
2,555
|
2,541
|
|
4.25%, 8/1/2029 (a) (g)
|
7,702
|
7,241
|
|
6.13%, 9/15/2032 (a)
|
1,119
|
1,121
|
|
Permian Resources Operating LLC
|
|
|
|
8.00%, 4/15/2027 (a)
|
2,380
|
2,436
|
|
9.88%, 7/15/2031 (a)
|
4,657
|
5,122
|
|
7.00%, 1/15/2032 (a)
|
2,596
|
2,665
|
|
6.25%, 2/1/2033 (a)
|
2,008
|
2,013
|
|
Perrigo Finance Unlimited Co. Series USD, 6.13%, 9/30/2032
|
1,413
|
1,386
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
PetSmart, Inc.
|
|
|
|
4.75%, 2/15/2028 (a)
|
5,361
|
5,138
|
|
7.75%, 2/15/2029 (a)
|
4,906
|
4,890
|
|
PG&E Corp.
|
|
|
|
5.00%, 7/1/2028
|
3,418
|
3,293
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.88%), 7.38%, 3/15/2055 (c)
|
2,693
|
2,617
|
|
Philip Morris International, Inc. 5.13%, 2/15/2030
|
590
|
595
|
|
Pike Corp.
|
|
|
|
5.50%, 9/1/2028 (a)
|
2,908
|
2,847
|
|
8.63%, 1/31/2031 (a)
|
797
|
850
|
|
PM General Purchaser LLC 9.50%, 10/1/2028 (a)
|
2,542
|
2,531
|
|
PNC Bank NA (SOFR + 0.50%), 4.78%, 1/15/2027 (c)
|
250
|
250
|
|
PNC Financial Services Group, Inc. (The)
|
|
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%),
3.40%, 9/15/2026 (c) (e) (f)
|
10,908
|
10,357
|
|
Series V, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%),
6.20%, 9/15/2027 (c) (e) (f)
|
5,543
|
5,591
|
|
(SOFR + 1.34%), 5.30%, 1/21/2028 (c)
|
214
|
216
|
|
(SOFR + 1.62%), 5.35%, 12/2/2028 (c)
|
123
|
125
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (c)
|
673
|
684
|
|
Post Holdings, Inc.
|
|
|
|
5.50%, 12/15/2029 (a)
|
7,148
|
6,998
|
|
6.25%, 2/15/2032 (a)
|
1,435
|
1,436
|
|
PPL Capital Funding, Inc. Series A, (3-MONTH CME TERM SOFR + 2.93%), 7.25%, 3/30/2067 (c)
|
7,617
|
7,593
|
|
Prairie Acquiror LP 9.00%, 8/1/2029 (a)
|
1,057
|
1,093
|
|
Prestige Brands, Inc.
|
|
|
|
5.13%, 1/15/2028 (a)
|
282
|
278
|
|
3.75%, 4/1/2031 (a)
|
1,071
|
952
|
|
Prime Security Services Borrower LLC
|
|
|
|
5.75%, 4/15/2026 (a)
|
9,647
|
9,670
|
|
3.38%, 8/31/2027 (a)
|
1,981
|
1,870
|
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (a)
|
315
|
298
|
|
Prudential Financial, Inc.
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.13%, 3/1/2052 (c)
|
3,169
|
2,988
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.00%, 9/1/2052 (c)
|
286
|
285
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 6.75%, 3/1/2053 (c)
|
3,054
|
3,165
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.40%), 6.50%, 3/15/2054 (c)
|
2,743
|
2,787
|
|
Quikrete Holdings, Inc. 6.38%, 3/1/2032 (a)
|
6,184
|
6,199
|
|
QVC, Inc. 6.88%, 4/15/2029 (a) (g)
|
43
|
36
|
|
Qwest Corp. 7.25%, 9/15/2025
|
325
|
325
|
|
Radiology Partners, Inc. 7.78% (Blend (Cash 4.28% + PIK 3.50%)), 1/31/2029 (a) (i)
|
2,360
|
2,327
|
|
Range Resources Corp.
|
|
|
|
4.88%, 5/15/2025
|
3,190
|
3,186
|
|
8.25%, 1/15/2029
|
3,867
|
3,980
|
|
4.75%, 2/15/2030 (a) (g)
|
252
|
240
|
|
Raven Acquisition Holdings LLC 6.88%, 11/15/2031 (a)
|
2,240
|
2,235
|
|
Regal Rexnord Corp.
|
|
|
|
6.05%, 4/15/2028
|
2,162
|
2,205
|
|
6.30%, 2/15/2030
|
1,822
|
1,879
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
6.40%, 4/15/2033
|
2,552
|
2,641
|
|
Resideo Funding, Inc. 6.50%, 7/15/2032 (a)
|
2,896
|
2,922
|
|
RHP Hotel Properties LP, REIT
|
|
|
|
4.75%, 10/15/2027
|
7,265
|
7,115
|
|
7.25%, 7/15/2028 (a)
|
929
|
963
|
|
4.50%, 2/15/2029 (a)
|
7,243
|
6,907
|
|
6.50%, 4/1/2032 (a)
|
3,195
|
3,219
|
|
RingCentral, Inc. 8.50%, 8/15/2030 (a)
|
3,717
|
3,946
|
|
Rite Aid Corp.
|
|
|
|
8.00%, 10/18/2024 ‡
|
2,765
|
—
|
|
7.50%, 7/1/2025 ‡ (j)
|
3,803
|
—
|
|
8.00%, 11/15/2026 ‡ (j)
|
6,024
|
—
|
|
(3-MONTH CME TERM SOFR + 7.00%), 11.47%, 8/30/2031 ‡ (a) (c)
|
998
|
418
|
|
Series A, 15.00% (PIK), 8/30/2031 ‡ (g) (i)
|
2,868
|
685
|
|
Series B, 15.00% (PIK), 8/30/2031 ‡ (i)
|
1,349
|
—
|
|
Rocket Mortgage LLC
|
|
|
|
2.88%, 10/15/2026 (a)
|
2,759
|
2,632
|
|
3.63%, 3/1/2029 (a)
|
3,048
|
2,786
|
|
4.00%, 10/15/2033 (a)
|
466
|
394
|
|
Rockies Express Pipeline LLC 4.80%, 5/15/2030 (a)
|
1,170
|
1,098
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
5.63%, 9/30/2031 (a)
|
2,372
|
2,354
|
|
6.25%, 3/15/2032 (a)
|
2,035
|
2,071
|
|
6.00%, 2/1/2033 (a)
|
2,949
|
2,972
|
|
RXO, Inc. 7.50%, 11/15/2027 (a)
|
2,956
|
3,030
|
|
Sabine Pass Liquefaction LLC 5.88%, 6/30/2026
|
212
|
214
|
|
Saks Global Enterprises LLC 11.00%, 12/15/2029 (a)
|
2,069
|
1,981
|
|
SBA Communications Corp., REIT
|
|
|
|
3.88%, 2/15/2027
|
1,140
|
1,103
|
|
3.13%, 2/1/2029
|
1,040
|
946
|
|
Scotts Miracle-Gro Co. (The)
|
|
|
|
5.25%, 12/15/2026
|
2,180
|
2,162
|
|
4.50%, 10/15/2029
|
3,957
|
3,716
|
|
4.00%, 4/1/2031
|
2,829
|
2,510
|
|
4.38%, 2/1/2032
|
3,387
|
3,024
|
|
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
2,582
|
2,168
|
|
Seagate HDD Cayman
|
|
|
|
8.25%, 12/15/2029
|
2,385
|
2,558
|
|
8.50%, 7/15/2031
|
565
|
605
|
|
Sempra
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (c) (e) (f)
|
5,542
|
5,484
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.13%, 4/1/2052 (c)
|
1,453
|
1,377
|
|
Sensata Technologies BV
|
|
|
|
4.00%, 4/15/2029 (a)
|
5,555
|
5,141
|
|
5.88%, 9/1/2030 (a)
|
2,070
|
2,037
|
|
Sensata Technologies, Inc.
|
|
|
|
3.75%, 2/15/2031 (a) (g)
|
878
|
775
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
6.63%, 7/15/2032 (a)
|
400
|
403
|
|
Service Corp. International
|
|
|
|
7.50%, 4/1/2027
|
2,735
|
2,806
|
|
4.63%, 12/15/2027
|
197
|
194
|
|
5.13%, 6/1/2029
|
10
|
10
|
|
3.38%, 8/15/2030
|
2,353
|
2,088
|
|
4.00%, 5/15/2031
|
915
|
827
|
|
Shift4 Payments LLC 6.75%, 8/15/2032 (a)
|
2,401
|
2,465
|
|
Shutterfly Finance LLC
|
|
|
|
8.50% (Blend (Cash 4.25% + PIK 4.25%)), 10/1/2027 (a) (i)
|
10,358
|
9,039
|
|
9.75%, 10/1/2027 (a)
|
1,580
|
1,596
|
|
Sinclair Television Group, Inc.
|
|
|
|
5.13%, 2/15/2027 (a)
|
2,890
|
2,732
|
|
5.50%, 3/1/2030 (a) (g)
|
684
|
477
|
|
8.13%, 2/15/2033 (a) (k)
|
830
|
835
|
|
Sirius XM Radio LLC
|
|
|
|
4.00%, 7/15/2028 (a)
|
22,315
|
20,867
|
|
5.50%, 7/1/2029 (a)
|
11,700
|
11,393
|
|
3.88%, 9/1/2031 (a)
|
81
|
70
|
|
Six Flags Entertainment Corp.
|
|
|
|
7.25%, 5/15/2031 (a)
|
2,398
|
2,470
|
|
6.63%, 5/1/2032 (a)
|
4,059
|
4,147
|
|
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a)
|
384
|
385
|
|
SM Energy Co.
|
|
|
|
6.75%, 9/15/2026
|
2,398
|
2,399
|
|
6.63%, 1/15/2027
|
3,335
|
3,333
|
|
6.50%, 7/15/2028
|
1,787
|
1,789
|
|
6.75%, 8/1/2029 (a)
|
2,043
|
2,044
|
|
7.00%, 8/1/2032 (a)
|
1,749
|
1,746
|
|
Sonic Automotive, Inc.
|
|
|
|
4.63%, 11/15/2029 (a) (g)
|
3,656
|
3,443
|
|
4.88%, 11/15/2031 (a) (g)
|
1,985
|
1,831
|
|
Sotera Health Holdings LLC 7.38%, 6/1/2031 (a)
|
2,502
|
2,548
|
|
Southern Co. (The) Series 21-A, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.92%), 3.75%, 9/15/2051 (c)
|
2,900
|
2,816
|
|
Spectrum Brands, Inc. 3.88%, 3/15/2031 (a)
|
729
|
624
|
|
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a)
|
2,541
|
2,732
|
|
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a)
|
10,578
|
10,550
|
|
Stagwell Global LLC 5.63%, 8/15/2029 (a) (g)
|
5,221
|
5,038
|
|
Standard Building Solutions, Inc. 6.50%, 8/15/2032 (a)
|
4,629
|
4,675
|
|
Standard Industries, Inc.
|
|
|
|
5.00%, 2/15/2027 (a)
|
1,647
|
1,624
|
|
4.75%, 1/15/2028 (a)
|
6,985
|
6,796
|
|
4.38%, 7/15/2030 (a)
|
215
|
200
|
|
Staples, Inc.
|
|
|
|
10.75%, 9/1/2029 (a)
|
9,155
|
8,972
|
|
12.75%, 1/15/2030 (a)
|
5,152
|
4,026
|
|
Starwood Property Trust, Inc., REIT 7.25%, 4/1/2029 (a)
|
1,222
|
1,262
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
State Street Corp.
|
|
|
|
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.61%),
6.70%, 3/15/2029 (c) (e) (f)
|
8,012
|
8,169
|
|
Series J, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.63%),
6.70%, 9/15/2029 (c) (e) (f)
|
3,100
|
3,163
|
|
(SOFR + 1.57%), 4.82%, 1/26/2034 (c)
|
464
|
450
|
|
Summit Materials LLC
|
|
|
|
5.25%, 1/15/2029 (a)
|
947
|
958
|
|
7.25%, 1/15/2031 (a)
|
1,085
|
1,170
|
|
Sunoco LP
|
|
|
|
5.88%, 3/15/2028
|
433
|
433
|
|
7.00%, 5/1/2029 (a)
|
1,157
|
1,196
|
|
4.50%, 5/15/2029
|
2,780
|
2,651
|
|
4.50%, 4/30/2030
|
4,232
|
3,980
|
|
Surgery Center Holdings, Inc. 7.25%, 4/15/2032 (a) (g)
|
2,300
|
2,294
|
|
Synaptics, Inc. 4.00%, 6/15/2029 (a)
|
2,089
|
1,921
|
|
Take-Two Interactive Software, Inc.
|
|
|
|
3.55%, 4/14/2025
|
250
|
249
|
|
4.00%, 4/14/2032
|
7
|
6
|
|
Tallgrass Energy Partners LP
|
|
|
|
5.50%, 1/15/2028 (a)
|
2,575
|
2,519
|
|
7.38%, 2/15/2029 (a)
|
1,583
|
1,611
|
|
6.00%, 12/31/2030 (a)
|
1,933
|
1,866
|
|
6.00%, 9/1/2031 (a)
|
5,087
|
4,894
|
|
Targa Resources Partners LP
|
|
|
|
6.50%, 7/15/2027
|
4,000
|
4,026
|
|
6.88%, 1/15/2029
|
1,906
|
1,947
|
|
TEGNA, Inc.
|
|
|
|
4.75%, 3/15/2026 (a)
|
477
|
474
|
|
4.63%, 3/15/2028
|
1,083
|
1,037
|
|
5.00%, 9/15/2029
|
2,149
|
2,019
|
|
Tempur Sealy International, Inc.
|
|
|
|
4.00%, 4/15/2029 (a)
|
7,570
|
7,045
|
|
3.88%, 10/15/2031 (a)
|
2,990
|
2,626
|
|
Tenet Healthcare Corp.
|
|
|
|
6.25%, 2/1/2027
|
5,110
|
5,120
|
|
5.13%, 11/1/2027
|
7,215
|
7,137
|
|
4.25%, 6/1/2029
|
1,019
|
963
|
|
6.13%, 6/15/2030
|
6,231
|
6,253
|
|
6.75%, 5/15/2031
|
5,404
|
5,530
|
|
Terex Corp.
|
|
|
|
5.00%, 5/15/2029 (a)
|
6,259
|
6,021
|
|
6.25%, 10/15/2032 (a)
|
1,903
|
1,882
|
|
T-Mobile USA, Inc. 2.25%, 11/15/2031
|
120
|
100
|
|
TopBuild Corp. 4.13%, 2/15/2032 (a)
|
429
|
384
|
|
TransDigm, Inc.
|
|
|
|
6.38%, 3/1/2029 (a)
|
5,016
|
5,066
|
|
6.63%, 3/1/2032 (a)
|
3,132
|
3,185
|
|
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (a)
|
1,263
|
1,264
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Transocean Titan Financing Ltd. 8.38%, 2/1/2028 (a)
|
956
|
980
|
|
Transocean, Inc. 8.75%, 2/15/2030 (a)
|
1,153
|
1,202
|
|
TriMas Corp. 4.13%, 4/15/2029 (a)
|
4,505
|
4,175
|
|
TriNet Group, Inc. 7.13%, 8/15/2031 (a)
|
2,095
|
2,150
|
|
Trinity Industries, Inc. 7.75%, 7/15/2028 (a)
|
2,548
|
2,650
|
|
Trinseo Luxco Finance SPV Sarl 7.63% (Blend (Cash 5.13% + PIK 2.50%)), 5/3/2029 (a) (i)
|
2,808
|
2,131
|
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
2,758
|
2,738
|
|
Triumph Group, Inc. 9.00%, 3/15/2028 (a)
|
1,215
|
1,273
|
|
Truist Financial Corp.
|
|
|
|
Series N, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%),
4.80%, 3/1/2025 (c) (e) (f)
|
2,651
|
2,637
|
|
Series M, (3-MONTH CME TERM SOFR + 3.05%), 5.13%, 12/15/2027 (c) (e) (f)
|
2,018
|
1,980
|
|
(SOFR + 1.62%), 5.44%, 1/24/2030 (c)
|
393
|
397
|
|
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%),
5.10%, 3/1/2030 (c) (e) (f)
|
6,957
|
6,689
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (c)
|
979
|
989
|
|
UDR, Inc., REIT
|
|
|
|
3.20%, 1/15/2030
|
36
|
33
|
|
3.00%, 8/15/2031
|
9
|
8
|
|
United Rentals North America, Inc.
|
|
|
|
5.50%, 5/15/2027
|
3,326
|
3,324
|
|
3.88%, 2/15/2031
|
2,265
|
2,063
|
|
6.13%, 3/15/2034 (a)
|
3,642
|
3,648
|
|
United States Cellular Corp. 6.70%, 12/15/2033
|
2,500
|
2,674
|
|
United States Steel Corp. 6.88%, 3/1/2029
|
211
|
214
|
|
Univision Communications, Inc.
|
|
|
|
8.00%, 8/15/2028 (a)
|
5,090
|
5,203
|
|
7.38%, 6/30/2030 (a)
|
5,599
|
5,524
|
|
US Bancorp
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027 (c) (e) (f)
|
8,601
|
8,154
|
|
Series J, (3-MONTH CME TERM SOFR + 3.18%), 5.30%, 4/15/2027 (c) (e) (f)
|
1,216
|
1,206
|
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c)
|
82
|
83
|
|
(SOFR + 1.02%), 2.68%, 1/27/2033 (c)
|
915
|
775
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
810
|
818
|
|
US Foods, Inc. 6.88%, 9/15/2028 (a)
|
1,200
|
1,232
|
|
Vail Resorts, Inc. 6.50%, 5/15/2032 (a)
|
1,735
|
1,760
|
|
Valaris Ltd. 8.38%, 4/30/2030 (a)
|
1,769
|
1,817
|
|
Ventas Realty LP, REIT 4.00%, 3/1/2028
|
22
|
21
|
|
Venture Global LNG, Inc.
|
|
|
|
8.13%, 6/1/2028 (a)
|
4,292
|
4,485
|
|
9.50%, 2/1/2029 (a)
|
1,315
|
1,466
|
|
7.00%, 1/15/2030 (a)
|
2,798
|
2,860
|
|
8.38%, 6/1/2031 (a)
|
1,985
|
2,089
|
|
9.88%, 2/1/2032 (a)
|
3,640
|
4,007
|
|
VICI Properties LP, REIT
|
|
|
|
4.63%, 6/15/2025 (a)
|
2,251
|
2,246
|
|
5.75%, 2/1/2027 (a)
|
4,882
|
4,927
|
|
4.63%, 12/1/2029 (a)
|
4,688
|
4,504
|
|
Vistra Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.74%),
7.00%, 12/15/2026 (a) (c) (e) (f)
|
1,472
|
1,477
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Vistra Operations Co. LLC
|
|
|
|
5.50%, 9/1/2026 (a)
|
166
|
166
|
|
5.63%, 2/15/2027 (a)
|
7,310
|
7,309
|
|
5.00%, 7/31/2027 (a)
|
86
|
85
|
|
4.38%, 5/1/2029 (a)
|
1,606
|
1,524
|
|
7.75%, 10/15/2031 (a)
|
4,969
|
5,246
|
|
6.88%, 4/15/2032 (a)
|
2,128
|
2,190
|
|
Vital Energy, Inc. 7.88%, 4/15/2032 (a) (g)
|
2,245
|
2,214
|
|
VMware LLC 2.20%, 8/15/2031
|
63
|
53
|
|
Wabash National Corp. 4.50%, 10/15/2028 (a)
|
3,500
|
3,231
|
|
Wand NewCo 3, Inc. 7.63%, 1/30/2032 (a)
|
2,335
|
2,417
|
|
Warnermedia Holdings, Inc. 4.28%, 3/15/2032
|
500
|
442
|
|
Wayfair LLC 7.25%, 10/31/2029 (a)
|
1,226
|
1,251
|
|
Weekley Homes LLC 4.88%, 9/15/2028 (a)
|
599
|
574
|
|
Wells Fargo & Co.
|
|
|
|
(3-MONTH CME TERM SOFR + 1.01%), 2.16%, 2/11/2026 (c)
|
1,419
|
1,418
|
|
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%),
3.90%, 3/15/2026 (c) (e) (f)
|
10,146
|
9,969
|
|
(SOFR + 1.51%), 3.53%, 3/24/2028 (c)
|
983
|
956
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.61%), 7.63%, 9/15/2028 (c) (e) (f)
|
2,541
|
2,703
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 6.85%, 9/15/2029 (c) (e) (f)
|
3,896
|
4,001
|
|
(SOFR + 1.50%), 5.20%, 1/23/2030 (c)
|
556
|
559
|
|
(SOFR + 2.10%), 4.90%, 7/25/2033 (c)
|
464
|
450
|
|
(SOFR + 2.02%), 5.39%, 4/24/2034 (c)
|
269
|
267
|
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (c)
|
464
|
464
|
|
Wesco Aircraft Holdings, Inc.
|
|
|
|
8.50%, 11/15/2024 (a) (j)
|
1,030
|
41
|
|
9.00%, 11/15/2026 (a) (g) (j)
|
10,820
|
4,544
|
|
13.13%, 11/15/2027 (a) (j)
|
444
|
9
|
|
WESCO Distribution, Inc.
|
|
|
|
7.25%, 6/15/2028 (a)
|
3,215
|
3,276
|
|
6.38%, 3/15/2029 (a)
|
6,178
|
6,294
|
|
6.63%, 3/15/2032 (a)
|
3,267
|
3,340
|
|
Williams Cos., Inc. (The) 2.60%, 3/15/2031
|
19
|
16
|
|
Williams Scotsman, Inc.
|
|
|
|
6.63%, 6/15/2029 (a)
|
1,116
|
1,143
|
|
7.38%, 10/1/2031 (a)
|
2,911
|
3,044
|
|
WMG Acquisition Corp. 3.75%, 12/1/2029 (a)
|
4,231
|
3,903
|
|
WP Carey, Inc., REIT
|
|
|
|
2.40%, 2/1/2031
|
33
|
28
|
|
2.45%, 2/1/2032
|
7
|
6
|
|
WR Grace Holdings LLC
|
|
|
|
4.88%, 6/15/2027 (a)
|
4,453
|
4,353
|
|
5.63%, 8/15/2029 (a)
|
2,806
|
2,622
|
|
Wynn Resorts Finance LLC
|
|
|
|
5.13%, 10/1/2029 (a)
|
6,520
|
6,319
|
|
7.13%, 2/15/2031 (a)
|
925
|
967
|
|
6.25%, 3/15/2033 (a)
|
1,858
|
1,841
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Xerox Holdings Corp.
|
|
|
|
5.50%, 8/15/2028 (a)
|
100
|
85
|
|
8.88%, 11/30/2029 (a)
|
2,419
|
2,122
|
|
XHR LP, REIT 4.88%, 6/1/2029 (a)
|
1,316
|
1,250
|
|
XPO, Inc.
|
|
|
|
6.25%, 6/1/2028 (a)
|
1,845
|
1,869
|
|
7.13%, 2/1/2032 (a)
|
1,640
|
1,692
|
|
Yum! Brands, Inc.
|
|
|
|
4.63%, 1/31/2032
|
3,547
|
3,303
|
|
5.38%, 4/1/2032
|
64
|
63
|
|
Ziff Davis, Inc. 4.63%, 10/15/2030 (a)
|
309
|
283
|
|
|
|
2,297,491
|
|
Uzbekistan — 0.0% ^
|
||
|
Jscb Agrobank 9.25%, 10/2/2029 (a)
|
700
|
719
|
|
Navoi Mining & Metallurgical Combinat 6.95%, 10/17/2031 (a)
|
940
|
933
|
|
Uzbekneftegaz JSC 4.75%, 11/16/2028 (a)
|
1,350
|
1,196
|
|
|
|
2,848
|
|
Venezuela, Bolivarian Republic of — 0.0% ^
|
||
|
Petroleos de Venezuela SA 8.50%, 10/27/2020 (b) (j)
|
619
|
564
|
|
Total Corporate Bonds
(Cost $2,810,581)
|
|
2,776,075
|
|
|
SHARES
(000)
|
|
|
Common Stocks — 32.1%
|
||
|
Australia — 0.6%
|
||
|
AGL Energy Ltd.
|
361
|
2,571
|
|
APA Group
|
19
|
82
|
|
Atlas Arteria Ltd.
|
176
|
550
|
|
Bendigo & Adelaide Bank Ltd.
|
105
|
877
|
|
BHP Group Ltd.
|
49
|
1,204
|
|
Dexus, REIT
|
130
|
579
|
|
Glencore plc
|
613
|
2,646
|
|
IGO Ltd.
|
53
|
158
|
|
Insignia Financial Ltd.
|
282
|
767
|
|
JB Hi-Fi Ltd.
|
3
|
200
|
|
Magellan Financial Group Ltd.
|
41
|
265
|
|
Metcash Ltd.
|
243
|
474
|
|
QBE Insurance Group Ltd.
|
819
|
10,568
|
|
Region RE Ltd., REIT
|
108
|
145
|
|
Rio Tinto Ltd.
|
163
|
11,716
|
|
Rio Tinto plc
|
119
|
7,164
|
|
Sonic Healthcare Ltd.
|
77
|
1,361
|
|
Telstra Group Ltd.
|
351
|
858
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Australia — continued
|
||
|
Woodside Energy Group Ltd.
|
123
|
1,881
|
|
Woolworths Group Ltd.
|
85
|
1,597
|
|
|
|
45,663
|
|
Austria — 0.1%
|
||
|
BAWAG Group AG (b)
|
12
|
1,114
|
|
Erste Group Bank AG
|
127
|
7,783
|
|
OMV AG
|
40
|
1,650
|
|
|
|
10,547
|
|
Belgium — 0.0% ^
|
||
|
Ageas SA
|
24
|
1,255
|
|
KBC Group NV
|
13
|
983
|
|
Solvay SA
|
46
|
1,392
|
|
|
|
3,630
|
|
Brazil — 0.2%
|
||
|
B3 SA - Brasil Bolsa Balcao
|
2,188
|
4,152
|
|
Banco do Brasil SA
|
886
|
4,201
|
|
Itau Unibanco Holding SA (Preference)
|
448
|
2,594
|
|
TIM SA
|
1,165
|
3,100
|
|
|
|
14,047
|
|
Canada — 0.9%
|
||
|
Agnico Eagle Mines Ltd.
|
49
|
4,525
|
|
Bank of Nova Scotia (The)
|
83
|
4,236
|
|
Barrick Gold Corp.
|
71
|
1,159
|
|
BCE, Inc.
|
113
|
2,684
|
|
Canadian Imperial Bank of Commerce
|
74
|
4,651
|
|
Canadian Natural Resources Ltd.
|
129
|
3,934
|
|
Enbridge, Inc.
|
109
|
4,723
|
|
Fortis, Inc.
|
98
|
4,160
|
|
Great-West Lifeco, Inc.
|
133
|
4,294
|
|
Hydro One Ltd. (b)
|
25
|
768
|
|
Magna International, Inc.
|
96
|
3,800
|
|
Manulife Financial Corp.
|
29
|
881
|
|
Nutrien Ltd.
|
89
|
4,619
|
|
Pembina Pipeline Corp.
|
118
|
4,262
|
|
Power Corp. of Canada
|
150
|
4,541
|
|
Restaurant Brands International, Inc.
|
60
|
3,662
|
|
Suncor Energy, Inc.
|
116
|
4,370
|
|
TC Energy Corp.
|
100
|
4,519
|
|
TELUS Corp.
|
230
|
3,330
|
|
Tourmaline Oil Corp.
|
92
|
4,217
|
|
|
|
73,335
|
|
Chile — 0.0% ^
|
||
|
Banco Santander Chile, ADR
|
64
|
1,308
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
China — 1.2%
|
||
|
Alibaba Group Holding Ltd.
|
850
|
10,422
|
|
China Construction Bank Corp., Class H
|
364
|
296
|
|
China Mengniu Dairy Co. Ltd.
|
1,652
|
3,312
|
|
China Merchants Bank Co. Ltd., Class H
|
1,032
|
5,679
|
|
China Petroleum & Chemical Corp., Class H
|
5,052
|
2,763
|
|
China Resources Gas Group Ltd.
|
841
|
2,854
|
|
China Yangtze Power Co. Ltd., Class A
|
1,243
|
4,908
|
|
ENN Energy Holdings Ltd.
|
378
|
2,575
|
|
Fuyao Glass Industry Group Co. Ltd., Class A
|
275
|
2,243
|
|
Fuyao Glass Industry Group Co. Ltd., Class H (b)
|
701
|
4,722
|
|
Haier Smart Home Co. Ltd., Class A
|
169
|
644
|
|
Haier Smart Home Co. Ltd., Class H
|
1,737
|
5,744
|
|
Inner Mongolia Yili Industrial Group Co. Ltd., Class A
|
1,273
|
4,866
|
|
Lenovo Group Ltd.
|
854
|
1,030
|
|
Midea Group Co. Ltd., Class A
|
604
|
6,112
|
|
NetEase, Inc.
|
492
|
10,111
|
|
Ping An Insurance Group Co. of China Ltd., Class H
|
815
|
4,589
|
|
Shenzhou International Group Holdings Ltd.
|
478
|
3,602
|
|
Sinopharm Group Co. Ltd., Class H
|
1,498
|
3,961
|
|
Tencent Holdings Ltd.
|
183
|
9,650
|
|
Tingyi Cayman Islands Holding Corp.
|
1,394
|
2,125
|
|
Wilmar International Ltd.
|
172
|
394
|
|
Wuliangye Yibin Co. Ltd., Class A
|
84
|
1,461
|
|
Zhejiang Supor Co. Ltd., Class A
|
242
|
1,758
|
|
|
|
95,821
|
|
Denmark — 0.1%
|
||
|
Danske Bank A/S
|
48
|
1,422
|
|
Novo Nordisk A/S, Class B
|
34
|
2,828
|
|
Pandora A/S
|
9
|
1,777
|
|
Sydbank A/S
|
19
|
1,014
|
|
|
|
7,041
|
|
Finland — 0.3%
|
||
|
Cargotec OYJ, Class B
|
26
|
1,290
|
|
Fortum OYJ
|
59
|
860
|
|
Kemira OYJ
|
66
|
1,465
|
|
Konecranes OYJ
|
12
|
701
|
|
Mandatum OYJ
|
135
|
668
|
|
Nordea Bank Abp
|
704
|
8,371
|
|
Nordea Bank Abp
|
343
|
4,079
|
|
Orion OYJ, Class B
|
65
|
3,515
|
|
UPM-Kymmene OYJ
|
219
|
6,459
|
|
Wartsila OYJ Abp
|
80
|
1,520
|
|
|
|
28,928
|
|
France — 1.8%
|
||
|
Accor SA
|
26
|
1,320
|
|
Air Liquide SA
|
15
|
2,687
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
France — continued
|
||
|
Amundi SA (b)
|
15
|
1,048
|
|
AXA SA
|
78
|
2,959
|
|
Ayvens SA (b)
|
23
|
173
|
|
BNP Paribas SA
|
40
|
2,757
|
|
Bouygues SA
|
15
|
492
|
|
Carrefour SA
|
136
|
1,942
|
|
Cie de Saint-Gobain SA
|
28
|
2,581
|
|
Cie Generale des Etablissements Michelin SCA
|
404
|
14,038
|
|
Coface SA
|
67
|
1,080
|
|
Covivio SA, REIT
|
24
|
1,261
|
|
Danone SA
|
61
|
4,253
|
|
Eiffage SA
|
12
|
1,096
|
|
Engie SA
|
692
|
11,421
|
|
Gaztransport Et Technigaz SA
|
7
|
996
|
|
Klepierre SA, REIT
|
173
|
5,143
|
|
La Francaise des Jeux SACA (b)
|
40
|
1,536
|
|
Legrand SA
|
109
|
11,159
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
36
|
26,617
|
|
Orange SA
|
268
|
2,884
|
|
Pernod Ricard SA
|
88
|
10,064
|
|
Publicis Groupe SA
|
22
|
2,361
|
|
Rubis SCA
|
28
|
725
|
|
Safran SA
|
53
|
13,111
|
|
TotalEnergies SE
|
115
|
6,650
|
|
Unibail-Rodamco-Westfield, REIT
|
15
|
1,290
|
|
Vallourec SACA *
|
62
|
1,170
|
|
Vinci SA
|
175
|
18,890
|
|
Vivendi SE
|
124
|
350
|
|
|
|
152,054
|
|
Germany — 1.2%
|
||
|
Allianz SE (Registered)
|
56
|
18,213
|
|
BASF SE
|
37
|
1,770
|
|
Bilfinger SE
|
20
|
1,044
|
|
Commerzbank AG
|
74
|
1,437
|
|
Daimler Truck Holding AG
|
38
|
1,672
|
|
Deutsche Boerse AG
|
68
|
16,703
|
|
Deutsche Telekom AG (Registered)
|
528
|
17,734
|
|
Evonik Industries AG
|
79
|
1,478
|
|
Freenet AG
|
55
|
1,707
|
|
Heidelberg Materials AG
|
15
|
2,160
|
|
HOCHTIEF AG
|
12
|
1,687
|
|
LEG Immobilien SE
|
7
|
560
|
|
Muenchener Rueckversicherungs-Gesellschaft AG (Registered)
|
30
|
16,168
|
|
SAP SE
|
33
|
9,019
|
|
Siemens AG (Registered)
|
7
|
1,526
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Germany — continued
|
||
|
Traton SE (g)
|
49
|
1,518
|
|
Vonovia SE
|
65
|
1,995
|
|
|
|
96,391
|
|
Greece — 0.0% ^
|
||
|
National Bank of Greece SA
|
342
|
2,962
|
|
Guatemala — 0.0% ^
|
||
|
Millicom International Cellular SA, SDR
|
38
|
1,014
|
|
Hong Kong — 0.2%
|
||
|
AIA Group Ltd.
|
720
|
5,060
|
|
Cathay Pacific Airways Ltd.
|
227
|
306
|
|
Hang Lung Properties Ltd.
|
1,031
|
816
|
|
Henderson Land Development Co. Ltd.
|
108
|
299
|
|
Hong Kong Exchanges & Clearing Ltd.
|
73
|
2,842
|
|
Hysan Development Co. Ltd.
|
149
|
215
|
|
New World Development Co. Ltd. (g)
|
643
|
345
|
|
Orient Overseas International Ltd.
|
79
|
1,058
|
|
PCCW Ltd.
|
435
|
253
|
|
Power Assets Holdings Ltd.
|
56
|
365
|
|
Prudential plc
|
187
|
1,557
|
|
United Energy Group Ltd.
|
4,138
|
198
|
|
VTech Holdings Ltd.
|
51
|
333
|
|
Yue Yuen Industrial Holdings Ltd.
|
311
|
664
|
|
|
|
14,311
|
|
India — 0.5%
|
||
|
Bajaj Auto Ltd.
|
42
|
4,300
|
|
HCL Technologies Ltd.
|
350
|
6,945
|
|
HDFC Bank Ltd.
|
458
|
8,961
|
|
Infosys Ltd., ADR
|
486
|
10,676
|
|
Power Grid Corp. of India Ltd.
|
1,121
|
3,894
|
|
Shriram Finance Ltd.
|
493
|
3,081
|
|
Tata Consultancy Services Ltd.
|
74
|
3,487
|
|
|
|
41,344
|
|
Indonesia — 0.2%
|
||
|
Bank Mandiri Persero Tbk. PT
|
8,947
|
3,287
|
|
Bank Rakyat Indonesia Persero Tbk. PT
|
25,136
|
6,491
|
|
Telkom Indonesia Persero Tbk. PT
|
25,238
|
4,065
|
|
|
|
13,843
|
|
Ireland — 0.3%
|
||
|
Accenture plc, Class A
|
62
|
23,727
|
|
AIB Group plc
|
179
|
1,053
|
|
Cairn Homes plc
|
545
|
1,298
|
|
|
|
26,078
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Israel — 0.0% ^
|
||
|
Delek Group Ltd.
|
4
|
507
|
|
Plus500 Ltd.
|
25
|
887
|
|
|
|
1,394
|
|
Italy — 0.6%
|
||
|
A2A SpA
|
474
|
1,120
|
|
Azimut Holding SpA
|
38
|
1,006
|
|
Banca Generali SpA
|
24
|
1,215
|
|
Banca Mediolanum SpA
|
222
|
2,975
|
|
Banca Monte dei Paschi di Siena SpA (g)
|
94
|
606
|
|
Banco BPM SpA
|
180
|
1,583
|
|
BFF Bank SpA (b)
|
100
|
859
|
|
BPER Banca SpA
|
173
|
1,178
|
|
Coca-Cola HBC AG
|
35
|
1,232
|
|
Enel SpA
|
782
|
5,557
|
|
Eni SpA
|
202
|
2,838
|
|
FinecoBank Banca Fineco SpA
|
57
|
1,079
|
|
Generali
|
67
|
2,110
|
|
Intesa Sanpaolo SpA
|
1,623
|
7,023
|
|
Maire SpA
|
131
|
1,287
|
|
Mediobanca Banca di Credito Finanziario SpA
|
79
|
1,293
|
|
Poste Italiane SpA (b)
|
87
|
1,324
|
|
Snam SpA
|
262
|
1,210
|
|
UniCredit SpA
|
256
|
11,775
|
|
Unipol Assicurazioni SpA
|
98
|
1,325
|
|
|
|
48,595
|
|
Japan — 1.1%
|
||
|
Activia Properties, Inc., REIT
|
—
|
318
|
|
AEON REIT Investment Corp., REIT
|
1
|
411
|
|
Aozora Bank Ltd.
|
144
|
2,230
|
|
Bridgestone Corp.
|
290
|
10,403
|
|
Canon, Inc.
|
69
|
2,227
|
|
Chubu Electric Power Co., Inc.
|
51
|
528
|
|
Chugoku Electric Power Co., Inc. (The)
|
154
|
859
|
|
Dai Nippon Printing Co. Ltd.
|
89
|
1,320
|
|
Dai-ichi Life Holdings, Inc.
|
32
|
866
|
|
Disco Corp.
|
16
|
4,544
|
|
Electric Power Development Co. Ltd.
|
111
|
1,751
|
|
ENEOS Holdings, Inc.
|
251
|
1,263
|
|
FANUC Corp.
|
54
|
1,600
|
|
Frontier Real Estate Investment Corp., REIT
|
1
|
269
|
|
Hulic Co. Ltd.
|
54
|
474
|
|
Idemitsu Kosan Co. Ltd.
|
322
|
2,149
|
|
Industrial & Infrastructure Fund Investment Corp., REIT
|
1
|
494
|
|
Inpex Corp.
|
39
|
470
|
|
Isuzu Motors Ltd.
|
11
|
148
|
|
Japan Exchange Group, Inc.
|
510
|
5,386
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Japan — continued
|
||
|
Japan Metropolitan Fund Invest, REIT
|
3
|
2,003
|
|
Japan Post Holdings Co. Ltd.
|
113
|
1,183
|
|
Japan Prime Realty Investment Corp., REIT
|
—
|
187
|
|
Japan Tobacco, Inc.
|
38
|
966
|
|
Kansai Electric Power Co., Inc. (The)
|
46
|
510
|
|
KDX Realty Investment Corp., REIT
|
1
|
785
|
|
Kirin Holdings Co. Ltd.
|
136
|
1,722
|
|
Kobe Steel Ltd.
|
76
|
806
|
|
Kyushu Railway Co.
|
91
|
2,213
|
|
Lixil Corp.
|
25
|
278
|
|
Matsui Securities Co. Ltd.
|
32
|
167
|
|
Mitsubishi Chemical Group Corp.
|
254
|
1,300
|
|
Mori Hills REIT Investment Corp., REIT
|
—
|
122
|
|
Nippon Building Fund, Inc., REIT
|
1
|
710
|
|
Nippon Steel Corp.
|
117
|
2,435
|
|
Niterra Co. Ltd.
|
6
|
211
|
|
Ono Pharmaceutical Co. Ltd.
|
19
|
195
|
|
Pola Orbis Holdings, Inc.
|
40
|
359
|
|
Sekisui House REIT, Inc., REIT
|
1
|
378
|
|
Shin-Etsu Chemical Co. Ltd.
|
467
|
14,484
|
|
SoftBank Corp.
|
3,127
|
4,023
|
|
Sumitomo Rubber Industries Ltd.
|
35
|
409
|
|
Takeda Pharmaceutical Co. Ltd.
|
107
|
2,884
|
|
Tokio Marine Holdings, Inc.
|
244
|
8,041
|
|
Tokyo Electron Ltd.
|
30
|
5,027
|
|
Toyo Tire Corp.
|
32
|
526
|
|
United Urban Investment Corp., REIT
|
1
|
1,201
|
|
|
|
90,835
|
|
Luxembourg — 0.1%
|
||
|
Intelsat SA ‡ *
|
270
|
8,804
|
|
Mexico — 0.2%
|
||
|
Grupo Financiero Banorte SAB de CV, Class O
|
736
|
5,111
|
|
Kimberly-Clark de Mexico SAB de CV, Class A
|
717
|
1,069
|
|
Southern Copper Corp.
|
17
|
1,498
|
|
Wal-Mart de Mexico SAB de CV
|
4,471
|
11,648
|
|
|
|
19,326
|
|
Netherlands — 0.6%
|
||
|
ABN AMRO Bank NV, CVA (b)
|
126
|
2,110
|
|
ASML Holding NV
|
19
|
14,429
|
|
ASR Nederland NV
|
25
|
1,211
|
|
BE Semiconductor Industries NV
|
15
|
1,974
|
|
Heineken NV
|
107
|
7,415
|
|
ING Groep NV
|
131
|
2,170
|
|
Koninklijke Ahold Delhaize NV
|
64
|
2,281
|
|
Koninklijke BAM Groep NV
|
304
|
1,333
|
|
Koninklijke KPN NV
|
2,612
|
9,452
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Netherlands — continued
|
||
|
NN Group NV
|
30
|
1,368
|
|
OCI NV
|
131
|
1,511
|
|
Randstad NV
|
16
|
691
|
|
SBM Offshore NV
|
84
|
1,567
|
|
Wolters Kluwer NV
|
16
|
2,984
|
|
|
|
50,496
|
|
New Zealand — 0.0% ^
|
||
|
Spark New Zealand Ltd.
|
466
|
764
|
|
Norway — 0.2%
|
||
|
Aker BP ASA
|
60
|
1,260
|
|
Aker Solutions ASA
|
219
|
622
|
|
DNB Bank ASA
|
64
|
1,364
|
|
DOF Group ASA *
|
168
|
1,409
|
|
Equinor ASA
|
210
|
5,049
|
|
Hoegh Autoliners ASA (g)
|
69
|
626
|
|
Norsk Hydro ASA
|
442
|
2,607
|
|
Orkla ASA
|
36
|
331
|
|
Salmar ASA
|
7
|
358
|
|
Schibsted ASA, Class A
|
7
|
213
|
|
Telenor ASA
|
394
|
4,824
|
|
Var Energi ASA
|
159
|
488
|
|
Wallenius Wilhelmsen ASA
|
96
|
774
|
|
|
|
19,925
|
|
Peru — 0.0% ^
|
||
|
Credicorp Ltd.
|
5
|
850
|
|
Poland — 0.0% ^
|
||
|
Powszechny Zaklad Ubezpieczen SA
|
100
|
1,230
|
|
Santander Bank Polska SA
|
3
|
337
|
|
|
|
1,567
|
|
Portugal — 0.0% ^
|
||
|
Banco Comercial Portugues SA, Class R
|
1,439
|
752
|
|
Navigator Co. SA (The)
|
282
|
1,029
|
|
|
|
1,781
|
|
Russia — 0.0%
|
||
|
Moscow Exchange MICEX-RTS PJSC ‡
|
2,552
|
—
|
|
Severstal PAO, GDR ‡ * (b)
|
142
|
—
|
|
|
|
—
|
|
Saudi Arabia — 0.2%
|
||
|
Al Rajhi Bank
|
130
|
3,437
|
|
Saudi Arabian Oil Co. (b)
|
765
|
5,660
|
|
Saudi National Bank (The)
|
624
|
5,681
|
|
|
|
14,778
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Singapore — 0.3%
|
||
|
CapitaLand Ascendas, REIT
|
350
|
663
|
|
DBS Group Holdings Ltd.
|
598
|
19,577
|
|
Singapore Airlines Ltd.
|
129
|
599
|
|
Singapore Telecommunications Ltd.
|
941
|
2,300
|
|
Venture Corp. Ltd.
|
20
|
188
|
|
|
|
23,327
|
|
South Africa — 0.1%
|
||
|
Anglo American plc
|
53
|
1,564
|
|
Bidvest Group Ltd.
|
84
|
1,151
|
|
FirstRand Ltd.
|
561
|
2,282
|
|
Shoprite Holdings Ltd.
|
49
|
751
|
|
Standard Bank Group Ltd.
|
256
|
2,985
|
|
Vodacom Group Ltd.
|
310
|
1,811
|
|
|
|
10,544
|
|
South Korea — 0.5%
|
||
|
Hana Financial Group, Inc.
|
91
|
3,773
|
|
Hyundai Motor Co.
|
13
|
1,831
|
|
KB Financial Group, Inc.
|
71
|
4,459
|
|
Kia Corp.
|
47
|
3,281
|
|
KT&G Corp.
|
7
|
546
|
|
Samsung Electronics Co. Ltd.
|
227
|
8,116
|
|
Samsung Electronics Co. Ltd. (Preference)
|
157
|
4,603
|
|
Samsung Fire & Marine Insurance Co. Ltd.
|
18
|
4,716
|
|
Shinhan Financial Group Co. Ltd.
|
114
|
3,967
|
|
SK Telecom Co. Ltd.
|
80
|
3,030
|
|
Woori Financial Group, Inc.
|
23
|
254
|
|
|
|
38,576
|
|
Spain — 0.4%
|
||
|
ACS Actividades de Construccion y Servicios SA
|
30
|
1,516
|
|
Aena SME SA (b)
|
9
|
1,849
|
|
Banco Bilbao Vizcaya Argentaria SA
|
260
|
2,962
|
|
Banco de Sabadell SA
|
333
|
786
|
|
Banco Santander SA
|
602
|
3,087
|
|
Bankinter SA
|
59
|
505
|
|
CaixaBank SA
|
304
|
1,842
|
|
Enagas SA
|
28
|
349
|
|
Endesa SA
|
287
|
6,363
|
|
Iberdrola SA *
|
5
|
72
|
|
Iberdrola SA
|
290
|
4,092
|
|
Industria de Diseno Textil SA
|
51
|
2,756
|
|
Logista Integral SA
|
50
|
1,513
|
|
Mapfre SA
|
423
|
1,175
|
|
Naturgy Energy Group SA
|
109
|
2,668
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
Spain — continued
|
||
|
Redeia Corp. SA
|
65
|
1,097
|
|
Unicaja Banco SA (b)
|
359
|
510
|
|
|
|
33,142
|
|
Sweden — 0.5%
|
||
|
SKF AB, Class B
|
85
|
1,719
|
|
SSAB AB, Class B (g)
|
89
|
418
|
|
Svenska Handelsbanken AB, Class A
|
135
|
1,488
|
|
Tele2 AB, Class B
|
575
|
6,397
|
|
Telia Co. AB
|
549
|
1,617
|
|
Volvo AB, Class B
|
1,092
|
30,094
|
|
|
|
41,733
|
|
Switzerland — 0.2%
|
||
|
Accelleron Industries AG
|
23
|
1,150
|
|
Adecco Group AG (Registered) (g)
|
24
|
583
|
|
Cie Financiere Richemont SA (Registered)
|
16
|
3,105
|
|
Temenos AG (Registered)
|
10
|
838
|
|
UBS Group AG (Registered)
|
114
|
4,002
|
|
Zurich Insurance Group AG
|
5
|
3,008
|
|
|
|
12,686
|
|
Taiwan — 1.4%
|
||
|
ASE Technology Holding Co. Ltd.
|
1,392
|
7,225
|
|
MediaTek, Inc.
|
39
|
1,689
|
|
Novatek Microelectronics Corp.
|
77
|
1,210
|
|
President Chain Store Corp.
|
52
|
410
|
|
Quanta Computer, Inc.
|
892
|
7,076
|
|
Realtek Semiconductor Corp.
|
437
|
7,198
|
|
Taiwan Semiconductor Manufacturing Co. Ltd.
|
2,374
|
79,214
|
|
Vanguard International Semiconductor Corp.
|
803
|
2,302
|
|
Wistron Corp.
|
917
|
3,009
|
|
Wiwynn Corp.
|
60
|
3,963
|
|
|
|
113,296
|
|
Thailand — 0.1%
|
||
|
SCB X PCL
|
1,275
|
4,726
|
|
United Kingdom — 1.7%
|
||
|
3i Group plc
|
57
|
2,716
|
|
Admiral Group plc
|
37
|
1,232
|
|
Associated British Foods plc
|
29
|
675
|
|
AstraZeneca plc
|
117
|
16,461
|
|
Aviva plc
|
238
|
1,507
|
|
B&M European Value Retail SA
|
59
|
236
|
|
Balfour Beatty plc
|
317
|
1,827
|
|
Barclays plc
|
601
|
2,203
|
|
Barratt Redrow plc
|
508
|
2,847
|
|
Beazley plc
|
117
|
1,208
|
|
Berkeley Group Holdings plc
|
28
|
1,351
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
United Kingdom — continued
|
||
|
British American Tobacco plc
|
111
|
4,404
|
|
British Land Co. plc (The), REIT
|
431
|
2,003
|
|
BT Group plc
|
648
|
1,137
|
|
Centrica plc
|
1,088
|
1,913
|
|
Coca-Cola Europacific Partners plc
|
60
|
4,707
|
|
Drax Group plc
|
90
|
695
|
|
Dunelm Group plc
|
98
|
1,195
|
|
Games Workshop Group plc
|
6
|
1,162
|
|
Hammerson plc, REIT
|
261
|
922
|
|
Harbour Energy plc
|
190
|
548
|
|
HSBC Holdings plc
|
540
|
5,640
|
|
IG Group Holdings plc
|
42
|
526
|
|
InterContinental Hotels Group plc
|
11
|
1,503
|
|
Investec plc
|
153
|
983
|
|
ITV plc
|
1,332
|
1,221
|
|
J Sainsbury plc
|
214
|
673
|
|
Lancashire Holdings Ltd.
|
129
|
1,038
|
|
Land Securities Group plc, REIT
|
179
|
1,293
|
|
Lloyds Banking Group plc
|
3,054
|
2,348
|
|
M&G plc
|
88
|
226
|
|
Mitie Group plc
|
1,041
|
1,491
|
|
National Grid plc
|
239
|
2,899
|
|
NatWest Group plc
|
328
|
1,749
|
|
Next plc
|
12
|
1,486
|
|
Pennon Group plc
|
137
|
981
|
|
Persimmon plc
|
151
|
2,362
|
|
Phoenix Group Holdings plc
|
272
|
1,755
|
|
RELX plc
|
549
|
27,247
|
|
Sage Group plc (The)
|
140
|
2,320
|
|
SSE plc
|
668
|
13,455
|
|
Taylor Wimpey plc
|
864
|
1,279
|
|
Telecom Plus plc
|
43
|
886
|
|
Tesco plc
|
1,082
|
4,980
|
|
TP ICAP Group plc
|
335
|
1,134
|
|
Unilever plc
|
111
|
6,338
|
|
Vodafone Group plc
|
4,680
|
3,988
|
|
WPP plc
|
174
|
1,658
|
|
|
|
142,408
|
|
United States — 16.3%
|
||
|
Abbott Laboratories
|
217
|
27,700
|
|
AbbVie, Inc.
|
167
|
30,705
|
|
AES Corp. (The)
|
311
|
3,422
|
|
Alexandria Real Estate Equities, Inc., REIT
|
4
|
398
|
|
Altria Group, Inc.
|
87
|
4,534
|
|
American Electric Power Co., Inc.
|
46
|
4,534
|
|
Amgen, Inc.
|
15
|
4,139
|
|
Analog Devices, Inc.
|
85
|
18,021
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
United States — continued
|
||
|
Annaly Capital Management, Inc., REIT
|
214
|
4,377
|
|
AT&T, Inc.
|
205
|
4,868
|
|
Baker Hughes Co.
|
314
|
14,494
|
|
Bank of America Corp.
|
556
|
25,748
|
|
Best Buy Co., Inc.
|
116
|
9,948
|
|
Blackrock, Inc.
|
12
|
13,249
|
|
BP plc
|
586
|
3,030
|
|
Bristol-Myers Squibb Co.
|
251
|
14,770
|
|
Broadcom, Inc.
|
164
|
36,374
|
|
BXP, Inc., REIT
|
62
|
4,564
|
|
Cardinal Health, Inc.
|
40
|
4,884
|
|
Celanese Corp.
|
58
|
4,109
|
|
CF Industries Holdings, Inc.
|
50
|
4,626
|
|
CH Robinson Worldwide, Inc.
|
27
|
2,688
|
|
Chevron Corp.
|
91
|
13,545
|
|
Cisco Systems, Inc.
|
77
|
4,692
|
|
Citizens Financial Group, Inc.
|
66
|
3,157
|
|
Claire's Stores, Inc. ‡ * (m)
|
4
|
4
|
|
Clear Channel Outdoor Holdings, Inc. *
|
287
|
390
|
|
Clorox Co. (The)
|
27
|
4,235
|
|
CME Group, Inc.
|
90
|
21,386
|
|
CMS Energy Corp.
|
96
|
6,321
|
|
Coca-Cola Co. (The)
|
373
|
23,679
|
|
Comcast Corp., Class A
|
95
|
3,214
|
|
Conagra Brands, Inc.
|
137
|
3,544
|
|
Consolidated Edison, Inc.
|
42
|
3,972
|
|
CRH plc
|
13
|
1,293
|
|
Crown Castle, Inc., REIT
|
44
|
3,938
|
|
Cummins, Inc.
|
13
|
4,773
|
|
Darden Restaurants, Inc.
|
25
|
4,885
|
|
Devon Energy Corp.
|
110
|
3,751
|
|
Diamondback Energy, Inc.
|
25
|
4,103
|
|
Digital Realty Trust, Inc., REIT
|
26
|
4,316
|
|
Dominion Energy, Inc.
|
225
|
12,516
|
|
Dow, Inc.
|
279
|
10,878
|
|
Duke Energy Corp.
|
41
|
4,558
|
|
Eastman Chemical Co.
|
45
|
4,469
|
|
Eaton Corp. plc
|
2
|
541
|
|
Edison International
|
58
|
3,113
|
|
Emerson Electric Co.
|
38
|
4,898
|
|
Endo GUC Trust ‡ *
|
377
|
236
|
|
Endo, Inc. *
|
153
|
4,046
|
|
Entergy Corp.
|
62
|
4,995
|
|
Envision Healthcare Corp. ‡ *
|
6
|
77
|
|
EOG Resources, Inc.
|
97
|
12,236
|
|
Evergy, Inc.
|
75
|
4,790
|
|
Eversource Energy
|
70
|
4,021
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
United States — continued
|
||
|
Exelon Corp.
|
106
|
4,255
|
|
Expand Energy Corp.
|
33
|
3,385
|
|
Exxon Mobil Corp.
|
182
|
19,492
|
|
Fastenal Co.
|
62
|
4,527
|
|
Fidelity National Information Services, Inc.
|
383
|
31,237
|
|
Ford Motor Co.
|
408
|
4,108
|
|
Frontier Communications Parent, Inc. *
|
71
|
2,547
|
|
General Dynamics Corp.
|
3
|
831
|
|
General Mills, Inc.
|
60
|
3,627
|
|
Genuine Parts Co.
|
31
|
3,548
|
|
Gilead Sciences, Inc.
|
50
|
4,870
|
|
GSK plc
|
204
|
3,561
|
|
Gulfport Energy Corp. *
|
18
|
3,263
|
|
Healthpeak Properties, Inc., REIT
|
220
|
4,536
|
|
Hewlett Packard Enterprise Co.
|
214
|
4,536
|
|
Holcim AG
|
29
|
2,877
|
|
Honeywell International, Inc.
|
80
|
17,876
|
|
Hormel Foods Corp.
|
17
|
524
|
|
Host Hotels & Resorts, Inc., REIT
|
109
|
1,829
|
|
HP, Inc.
|
123
|
3,988
|
|
iHeartMedia, Inc., Class A *
|
122
|
271
|
|
Intel Corp.
|
94
|
1,825
|
|
International Business Machines Corp.
|
21
|
5,433
|
|
International Flavors & Fragrances, Inc.
|
47
|
4,133
|
|
International Paper Co.
|
87
|
4,828
|
|
Interpublic Group of Cos., Inc. (The)
|
143
|
4,096
|
|
Iron Mountain, Inc., REIT
|
42
|
4,292
|
|
J M Smucker Co. (The)
|
20
|
2,161
|
|
Johnson & Johnson
|
135
|
20,481
|
|
Juniper Networks, Inc.
|
123
|
4,280
|
|
Kellanova
|
58
|
4,715
|
|
Kenvue, Inc.
|
273
|
5,809
|
|
KeyCorp
|
273
|
4,900
|
|
Kimberly-Clark Corp.
|
31
|
4,042
|
|
Kimco Realty Corp., REIT
|
199
|
4,475
|
|
Kinder Morgan, Inc.
|
170
|
4,684
|
|
Kraft Heinz Co. (The)
|
123
|
3,656
|
|
Lam Research Corp.
|
100
|
8,113
|
|
LKQ Corp.
|
42
|
1,575
|
|
Lowe's Cos., Inc.
|
59
|
15,296
|
|
LyondellBasell Industries NV, Class A
|
54
|
4,081
|
|
Mallinckrodt plc ‡ *
|
66
|
6,484
|
|
Marsh & McLennan Cos., Inc.
|
61
|
13,157
|
|
McDonald's Corp.
|
86
|
24,958
|
|
Merck & Co., Inc.
|
136
|
13,455
|
|
Meta Platforms, Inc., Class A
|
94
|
65,034
|
|
Microchip Technology, Inc.
|
131
|
7,129
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
United States — continued
|
||
|
Micron Technology, Inc.
|
84
|
7,627
|
|
Microsoft Corp.
|
184
|
76,451
|
|
Mid-America Apartment Communities, Inc., REIT
|
1
|
157
|
|
Moran Foods Backstop Equity ‡ *
|
17,743
|
—
|
|
Morgan Stanley
|
182
|
25,179
|
|
Motorola Solutions, Inc.
|
10
|
4,495
|
|
MYT Holding LLC ‡ *
|
1,342
|
335
|
|
National CineMedia, Inc. *
|
107
|
706
|
|
Nestle SA (Registered)
|
44
|
3,736
|
|
NetApp, Inc.
|
35
|
4,296
|
|
Newmont Corp.
|
108
|
4,595
|
|
NextEra Energy, Inc.
|
306
|
21,879
|
|
NMG Parent LLC ‡ * (g)
|
41
|
1,062
|
|
NMG, Inc. ‡ *
|
4
|
604
|
|
Novartis AG (Registered)
|
79
|
8,301
|
|
Omnicom Group, Inc.
|
134
|
11,672
|
|
ONEOK, Inc.
|
47
|
4,521
|
|
Otis Worldwide Corp.
|
258
|
24,642
|
|
PACCAR, Inc.
|
44
|
4,836
|
|
PepsiCo, Inc.
|
19
|
2,836
|
|
Pfizer, Inc.
|
59
|
1,551
|
|
Philip Morris International, Inc.
|
38
|
4,991
|
|
Phillips 66
|
29
|
3,387
|
|
PPL Corp.
|
38
|
1,273
|
|
Procter & Gamble Co. (The)
|
86
|
14,213
|
|
Prudential Financial, Inc.
|
39
|
4,670
|
|
Public Storage, REIT
|
13
|
3,838
|
|
Realty Income Corp., REIT
|
75
|
4,096
|
|
Regency Centers Corp., REIT
|
60
|
4,279
|
|
Regions Financial Corp.
|
107
|
2,632
|
|
Rite Aid ‡ *
|
10
|
—
|
|
Roche Holding AG
|
25
|
7,948
|
|
Ross Stores, Inc.
|
64
|
9,674
|
|
RTX Corp.
|
40
|
5,205
|
|
Salesforce, Inc.
|
36
|
12,366
|
|
Sanofi SA
|
45
|
4,839
|
|
Schneider Electric SE
|
16
|
3,982
|
|
Seagate Technology Holdings plc
|
170
|
16,368
|
|
Shell plc
|
191
|
6,288
|
|
Signify NV (b)
|
41
|
881
|
|
Simon Property Group, Inc., REIT
|
27
|
4,716
|
|
Sirius XM Holdings, Inc.
|
182
|
4,369
|
|
Skyworks Solutions, Inc.
|
31
|
2,712
|
|
Southern Co. (The)
|
313
|
26,247
|
|
Starbucks Corp.
|
44
|
4,761
|
|
Steel Dynamics, Inc.
|
17
|
2,135
|
|
Stellantis NV
|
32
|
421
|
|
INVESTMENTS
|
SHARES
(000)
|
VALUE
($000)
|
|
Common Stocks — continued
|
||
|
United States — continued
|
||
|
Swiss Re AG
|
14
|
2,152
|
|
T. Rowe Price Group, Inc.
|
34
|
3,950
|
|
Target Corp.
|
28
|
3,808
|
|
The Campbell's Co.
|
86
|
3,316
|
|
T-Mobile US, Inc.
|
18
|
4,268
|
|
Trane Technologies plc
|
19
|
7,063
|
|
TransDigm Group, Inc.
|
1
|
1,715
|
|
Truist Financial Corp.
|
355
|
16,889
|
|
United Parcel Service, Inc., Class B
|
32
|
3,624
|
|
UnitedHealth Group, Inc.
|
29
|
15,733
|
|
US Bancorp
|
179
|
8,565
|
|
Valero Energy Corp.
|
27
|
3,603
|
|
Venator Materials plc ‡ *
|
4
|
1,683
|
|
Ventas, Inc., REIT
|
78
|
4,731
|
|
Verizon Communications, Inc.
|
272
|
10,708
|
|
VICI Properties, Inc., REIT
|
454
|
13,511
|
|
Walgreens Boots Alliance, Inc.
|
398
|
4,095
|
|
Walt Disney Co. (The)
|
141
|
15,886
|
|
WEC Energy Group, Inc.
|
34
|
3,366
|
|
Wells Fargo & Co.
|
133
|
10,499
|
|
Welltower, Inc., REIT
|
139
|
18,909
|
|
Weyerhaeuser Co., REIT
|
122
|
3,722
|
|
Williams Cos., Inc. (The)
|
86
|
4,784
|
|
Windstream Holdings, Inc. ‡ *
|
4
|
71
|
|
WP Carey, Inc., REIT
|
73
|
4,109
|
|
Yum! Brands, Inc.
|
153
|
19,989
|
|
|
|
1,353,055
|
|
Total Common Stocks
(Cost $2,213,596)
|
|
2,660,925
|
|
Exchange-Traded Funds — 10.9%
|
||
|
United States — 10.9%
|
||
|
JPMorgan Equity Premium Income ETF
|
7,239
|
426,885
|
|
JPMorgan Income ETF
|
514
|
23,661
|
|
JPMorgan Nasdaq Equity Premium Income ETF
|
7,924
|
455,368
|
|
|
|
905,914
|
|
Total Exchange-Traded Funds
(Cost $818,785)
|
|
905,914
|
|
|
PRINCIPAL
AMOUNT
($000)
|
|
|
Equity Linked Notes — 5.7%
|
||
|
Canada — 0.8%
|
||
|
Royal Bank of Canada, ELN, 11.10%, 2/7/2025 (b)
|
3
|
6,424
|
|
Royal Bank of Canada, ELN, 11.70%, 2/14/2025 (b)
|
14
|
3,170
|
|
Royal Bank of Canada, ELN, 12.10%, 2/14/2025 (b)
|
34
|
6,621
|
|
Royal Bank of Canada, ELN, 14.80%, 2/7/2025 (b)
|
81
|
17,885
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Equity Linked Notes — continued
|
||
|
Canada — continued
|
||
|
Royal Bank of Canada, ELN, 19.40%, 2/28/2025 (b)
|
43
|
7,426
|
|
Royal Bank of Canada, ELN, 19.80%, 2/14/2025 (b)
|
22
|
5,130
|
|
Royal Bank of Canada, ELN, 21.00%, 2/14/2025 (b)
|
70
|
5,342
|
|
Royal Bank of Canada, ELN, 7.10%, 2/7/2025 (b)
|
37
|
7,329
|
|
Toronto-Dominion Bank (The), ELN, 12.70%, 2/21/2025 (b)
|
31
|
3,604
|
|
Toronto-Dominion Bank (The), ELN, 18.00%, 2/21/2025 (b)
|
55
|
5,659
|
|
|
|
68,590
|
|
France — 0.7%
|
||
|
BNP Paribas Issuance BV, ELN, 14.50%, 2/14/2025 (b)
|
127
|
7,331
|
|
BNP Paribas Issuance BV, ELN, 17.20%, 2/14/2025 (b)
|
65
|
7,286
|
|
BNP Paribas Issuance BV, ELN, 22.00%, 2/21/2025 (b)
|
46
|
5,460
|
|
BNP Paribas Issuance BV, ELN, 24.90%, 2/14/2025 (b)
|
54
|
6,733
|
|
Societe Generale SA, ELN, 10.00%, 2/7/2025 (b)
|
33
|
5,878
|
|
Societe Generale SA, ELN, 14.20%, 2/7/2025 (b)
|
51
|
6,611
|
|
Societe Generale SA, ELN, 15.00%, 2/28/2025 (b)
|
18
|
7,079
|
|
Societe Generale SA, ELN, 16.00%, 2/28/2025 (b)
|
22
|
6,768
|
|
Societe Generale SA, ELN, 6.40%, 2/28/2025 (b)
|
14
|
9,189
|
|
|
|
62,335
|
|
Japan — 0.8%
|
||
|
Mizuho Markets Cayman LP, ELN, 11.50%, 2/7/2025 (b)
|
30
|
3,395
|
|
Mizuho Markets Cayman LP, ELN, 11.60%, 2/14/2025 (b)
|
36
|
3,676
|
|
Mizuho Markets Cayman LP, ELN, 14.30%, 2/21/2025 (b)
|
21
|
6,129
|
|
Mizuho Markets Cayman LP, ELN, 14.90%, 2/14/2025 (b)
|
51
|
9,839
|
|
Mizuho Markets Cayman LP, ELN, 16.40%, 2/14/2025 (b)
|
20
|
3,999
|
|
Mizuho Markets Cayman LP, ELN, 18.40%, 2/14/2025 (b)
|
15
|
3,877
|
|
Mizuho Markets Cayman LP, ELN, 9.10%, 2/21/2025 (b)
|
148
|
4,711
|
|
Nomura America Finance LLC, ELN, 14.00%, 2/28/2025 (b)
|
154
|
18,351
|
|
Nomura America Finance LLC, ELN, 15.90%, 2/14/2025 (b)
|
9
|
6,585
|
|
Nomura America Finance LLC, ELN, 16.40%, 2/7/2025 (b)
|
34
|
6,700
|
|
|
|
67,262
|
|
United Kingdom — 0.5%
|
||
|
Barclays Bank PLC, ELN, 12.20%, 2/7/2025 (b)
|
250
|
6,148
|
|
Barclays Bank PLC, ELN, 14.10%, 2/14/2025 (b)
|
28
|
4,094
|
|
Barclays Bank PLC, ELN, 15.10%, 2/21/2025 (b)
|
52
|
6,601
|
|
Barclays Bank PLC, ELN, 21.60%, 2/21/2025 (b)
|
82
|
6,076
|
|
Barclays Bank PLC, ELN, 25.50%, 2/28/2025 (b)
|
10
|
6,361
|
|
Barclays Bank PLC, ELN, 31.00%, 2/7/2025 (b)
|
34
|
8,541
|
|
|
|
37,821
|
|
United States — 2.9%
|
||
|
Citigroup Global Markets Holdings, Inc., ELN, 11.10%, 2/21/2025 (b)
|
81
|
6,996
|
|
Citigroup Global Markets Holdings, Inc., ELN, 15.00%, 2/21/2025 (b)
|
42
|
3,264
|
|
Citigroup Global Markets Holdings, Inc., ELN, 17.70%, 2/21/2025 (b)
|
72
|
7,131
|
|
Goldman Sachs International, ELN, 10.00%, 2/14/2025 (b)
|
84
|
19,722
|
|
Goldman Sachs International, ELN, 13.10%, 2/21/2025 (b)
|
84
|
4,794
|
|
Goldman Sachs International, ELN, 13.80%, 2/14/2025 (b)
|
52
|
8,160
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Equity Linked Notes — continued
|
||
|
United States — continued
|
||
|
Goldman Sachs International, ELN, 17.50%, 2/14/2025 (b)
|
16
|
14,610
|
|
Goldman Sachs International, ELN, 17.80%, 2/21/2025 (b)
|
15
|
7,643
|
|
Goldman Sachs International, ELN, 22.90%, 2/14/2025 (b)
|
55
|
6,974
|
|
Goldman Sachs International, ELN, 24.10%, 2/28/2025 (b)
|
25
|
10,022
|
|
Goldman Sachs International, ELN, 25.30%, 2/21/2025 (b)
|
191
|
6,213
|
|
Goldman Sachs International, ELN, 8.20%, 2/21/2025 (b)
|
82
|
7,158
|
|
Goldman Sachs International, ELN, 9.20%, 2/7/2025 (b)
|
26
|
3,664
|
|
Morgan Stanley Finance LLC, ELN, 10.80%, 2/21/2025 (b)
|
41
|
6,140
|
|
Morgan Stanley Finance LLC, ELN, 10.80%, 2/7/2025 (b)
|
102
|
7,231
|
|
Morgan Stanley Finance LLC, ELN, 12.30%, 2/28/2025 (b)
|
8
|
7,491
|
|
Morgan Stanley Finance LLC, ELN, 17.30%, 2/7/2025 (b)
|
98
|
7,936
|
|
Morgan Stanley Finance LLC, ELN, 20.60%, 2/28/2025 (b)
|
14
|
6,188
|
|
Morgan Stanley Finance LLC, ELN, 20.80%, 2/21/2025 (b)
|
158
|
6,434
|
|
Morgan Stanley Finance LLC, ELN, 21.40%, 2/21/2025 (b)
|
58
|
5,287
|
|
Morgan Stanley Finance LLC, ELN, 22.10%, 2/7/2025 (b)
|
26
|
7,551
|
|
Morgan Stanley Finance LLC, ELN, 22.20%, 2/28/2025 (b)
|
568
|
5,821
|
|
Morgan Stanley Finance LLC, ELN, 8.20%, 2/7/2025 (b)
|
123
|
5,997
|
|
Societe Generale SA, ELN, 15.90%, 2/28/2025 (b)
|
8
|
8,778
|
|
Societe Generale SA, ELN, 18.80%, 2/28/2025 (b)
|
43
|
6,163
|
|
Societe Generale SA, ELN, 22.00%, 2/21/2025 (b)
|
55
|
6,516
|
|
Societe Generale SA, ELN, 9.70%, 2/21/2025 (b)
|
12
|
5,296
|
|
Wells Fargo Bank NA, ELN, 10.50%, 2/28/2025 (b)
|
12
|
7,068
|
|
Wells Fargo Bank NA, ELN, 11.60%, 2/7/2025 (b)
|
23
|
18,515
|
|
Wells Fargo Bank NA, ELN, 13.20%, 2/21/2025 (b)
|
66
|
7,667
|
|
Wells Fargo Bank NA, ELN, 8.90%, 2/28/2025 (b)
|
14
|
7,741
|
|
|
|
240,171
|
|
Total Equity Linked Notes
(Cost $471,280)
|
|
476,179
|
|
Commercial Mortgage-Backed Securities — 4.2%
|
||
|
United States — 4.2%
|
||
|
BANK
|
|
|
|
Series 2019-BN16, Class D, 3.00%, 2/15/2052 (a)
|
2,500
|
1,912
|
|
Series 2019-BN16, Class F, 3.62%, 2/15/2052 (a) (l)
|
2,000
|
841
|
|
Series 2019-BN21, Class F, 2.68%, 10/17/2052 (a)
|
2,000
|
1,027
|
|
Series 2019-BN23, Class D, 2.50%, 12/15/2052 (a)
|
4,000
|
3,044
|
|
Series 2021-BN31, Class E, 2.50%, 2/15/2054 (a) (l)
|
2,500
|
1,692
|
|
Series 2017-BNK5, Class D, 3.08%, 6/15/2060 (a) (l)
|
8,500
|
7,228
|
|
Series 2018-BN14, Class F, 3.94%, 9/15/2060 (a)
|
1,534
|
773
|
|
Series 2019-BN19, Class C, 4.03%, 8/15/2061 (l)
|
7,500
|
6,003
|
|
Series 2018-BN15, Class E, 3.00%, 11/15/2061 (a)
|
1,000
|
730
|
|
Series 2019-BN24, Class D, 2.50%, 11/15/2062 (a)
|
1,000
|
736
|
|
Series 2019-BN24, Class C, 3.52%, 11/15/2062 (l)
|
6,000
|
5,001
|
|
Series 2020-BN26, Class D, 2.50%, 3/15/2063 (a)
|
1,350
|
993
|
|
Series 2020-BN28, Class E, 2.50%, 3/15/2063 (a)
|
3,000
|
2,090
|
|
BBCMS Mortgage Trust Series 2017-C1, Class D, 3.53%, 2/15/2050 (a) (l)
|
2,887
|
1,839
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Benchmark Mortgage Trust
|
|
|
|
Series 2018-B1, Class D, 2.75%, 1/15/2051 (a)
|
975
|
535
|
|
Series 2019-B9, Class F, 3.74%, 3/15/2052 (a) (l)
|
6,590
|
3,087
|
|
Series 2019-B11, Class D, 3.00%, 5/15/2052 (a)
|
4,000
|
1,873
|
|
Series 2019-B11, Class C, 3.75%, 5/15/2052 (l)
|
13,959
|
10,420
|
|
Series 2020-B21, Class E, 2.00%, 12/17/2053 (a)
|
2,500
|
1,332
|
|
Series 2019-B14, Class E, 2.50%, 12/15/2062 (a)
|
1,415
|
773
|
|
Series 2019-B15, Class E, 2.75%, 12/15/2072 (a)
|
4,391
|
2,269
|
|
BX Series 2021-MFM1, Class G, 8.32%, 1/15/2034 (a) (l)
|
525
|
519
|
|
BX Mortgage Trust Series 2025-BIO3, Class D, 6.96%, 2/10/2042 (a) (k) (l)
|
475
|
466
|
|
CD Mortgage Trust
|
|
|
|
Series 2016-CD2, Class C, 3.99%, 11/10/2049 (l)
|
750
|
435
|
|
Series 2017-CD4, Class D, 3.30%, 5/10/2050 (a)
|
1,000
|
835
|
|
Series 2017-CD5, Class D, 3.35%, 8/15/2050 (a)
|
1,831
|
1,609
|
|
Series 2017-CD6, Class C, 4.27%, 11/13/2050 (l)
|
1,371
|
1,253
|
|
Series 2018-CD7, Class D, 3.09%, 8/15/2051 (a) (l)
|
2,000
|
1,557
|
|
Series 2019-CD8, Class E, 3.00%, 8/15/2057 (a)
|
1,790
|
915
|
|
CFCRE Commercial Mortgage Trust Series 2016-C6, Class D, 4.17%, 11/10/2049 (a) (l)
|
1,000
|
738
|
|
CGMS Commercial Mortgage Trust Series 2017-B1, Class E, 3.30%, 8/15/2050 (a) (l)
|
1,500
|
870
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
Series 2015-GC27, Class D, 4.38%, 2/10/2048 (a) (l)
|
3,756
|
3,583
|
|
Series 2015-GC29, Class C, 4.18%, 4/10/2048 (l)
|
2,000
|
1,894
|
|
Series 2015-P1, Class D, 3.23%, 9/15/2048 (a)
|
2,000
|
1,830
|
|
Series 2016-C1, Class D, 4.94%, 5/10/2049 (a) (l)
|
4,975
|
4,802
|
|
Series 2016-C2, Class D, 3.25%, 8/10/2049 (a) (l)
|
1,000
|
897
|
|
Series 2016-P6, Class D, 3.25%, 12/10/2049 (a)
|
1,325
|
923
|
|
Series 2017-P7, Class B, 4.14%, 4/14/2050 (l)
|
910
|
831
|
|
Series 2017-P7, Class C, 4.38%, 4/14/2050 (l)
|
3,295
|
2,760
|
|
Series 2020-GC46, Class E, 2.60%, 2/15/2053 (a)
|
4,500
|
2,252
|
|
COLEM Mortgage Trust Series 2022-HLNE, Class A, 2.46%, 4/12/2042 (a) (l)
|
2,500
|
2,247
|
|
Commercial Mortgage Trust
|
|
|
|
Series 2014-CR15, Class C, 3.97%, 2/10/2047 (l)
|
989
|
931
|
|
Series 2014-LC15, Class D, 4.81%, 4/10/2047 (a) (l)
|
680
|
658
|
|
Series 2014-CR19, Class D, 4.51%, 8/10/2047 (a) (l)
|
154
|
146
|
|
Series 2014-UBS5, Class D, 3.50%, 9/10/2047 (a)
|
4,100
|
2,845
|
|
Series 2014-LC17, Class D, 3.69%, 10/10/2047 (a)
|
2,873
|
2,729
|
|
Series 2015-CR22, Class E, 3.00%, 3/10/2048 (a)
|
2,500
|
1,685
|
|
Series 2015-CR22, Class D, 4.06%, 3/10/2048 (a) (l)
|
1,000
|
751
|
|
Series 2015-LC21, Class D, 4.31%, 7/10/2048 (l)
|
450
|
402
|
|
Series 2015-CR24, Class D, 3.46%, 8/10/2048 (l)
|
2,134
|
1,828
|
|
Series 2015-CR25, Class D, 3.77%, 8/10/2048 (l)
|
2,000
|
1,868
|
|
Series 2015-CR27, Class D, 3.45%, 10/10/2048 (a) (l)
|
500
|
410
|
|
Series 2015-CR26, Class D, 3.46%, 10/10/2048 (l)
|
2,500
|
1,974
|
|
Series 2015-LC23, Class D, 3.54%, 10/10/2048 (a) (l)
|
2,750
|
2,345
|
|
Series 2015-LC23, Class E, 3.54%, 10/10/2048 (a) (l)
|
1,500
|
1,207
|
|
Series 2016-CR28, Class D, 3.84%, 2/10/2049 (l)
|
1,350
|
1,087
|
|
Series 2016-CR28, Class C, 4.59%, 2/10/2049 (l)
|
2,000
|
1,810
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2018-COR3, Class D, 2.81%, 5/10/2051 (a) (l)
|
2,000
|
680
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
Series 2015-C4, Class C, 4.55%, 11/15/2048 (l)
|
2,500
|
2,452
|
|
Series 2015-C2, Class B, 4.21%, 6/15/2057 (l)
|
1,000
|
959
|
|
DBJPM Mortgage Trust
|
|
|
|
Series 2016-C3, Class D, 3.48%, 8/10/2049 (a) (l)
|
1,170
|
823
|
|
Series 2016-C3, Class E, 4.23%, 8/10/2049 (a) (l)
|
1,250
|
649
|
|
FHLMC, Multi-Class Certificates
|
|
|
|
Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029
|
17,110
|
1,151
|
|
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (l)
|
6,200
|
829
|
|
FHLMC, Multi-Family Structured Credit Risk
|
|
|
|
Series 2021-MN2, Class B1, 9.85%, 7/25/2041 (a) (l)
|
2,000
|
1,830
|
|
Series 2022-MN5, Class B1, 13.85%, 11/25/2042 (a) (l)
|
8,302
|
9,548
|
|
Series 2021-MN1, Class M1, 6.35%, 1/25/2051 (a) (l)
|
276
|
274
|
|
Series 2021-MN1, Class M2, 8.10%, 1/25/2051 (a) (l)
|
10,750
|
10,973
|
|
Series 2021-MN1, Class B1, 12.10%, 1/25/2051 (a) (l)
|
2,650
|
2,940
|
|
Series 2021-MN3, Class M1, 6.65%, 11/25/2051 (a) (l)
|
1,683
|
1,679
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K734, Class X3, IO, 2.17%, 7/25/2026 (l)
|
11,615
|
273
|
|
Series KC04, Class X1, IO, 1.25%, 12/25/2026 (l)
|
13,321
|
216
|
|
Series K084, Class X3, IO, 2.24%, 11/25/2028 (l)
|
6,000
|
453
|
|
Series K090, Class X3, IO, 2.31%, 10/25/2029 (l)
|
1,750
|
150
|
|
Series Q012, Class X, IO, 4.03%, 9/25/2035 (l)
|
20,588
|
3,446
|
|
Series K060, Class X3, IO, 1.90%, 12/25/2044 (l)
|
1,000
|
30
|
|
Series K061, Class X3, IO, 1.98%, 12/25/2044 (l)
|
1,544
|
46
|
|
Series K087, Class X3, IO, 2.28%, 1/25/2046 (l)
|
17,957
|
1,362
|
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (l)
|
22,283
|
1,789
|
|
Series K102, Class X3, IO, 1.89%, 12/25/2046 (l)
|
1,180
|
90
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (l)
|
10,130
|
824
|
|
Series K093, Class X3, IO, 2.21%, 5/25/2047 (l)
|
15,000
|
1,212
|
|
Series K116, Class X3, IO, 3.02%, 9/25/2047 (l)
|
10,500
|
1,406
|
|
Series K108, Class X3, IO, 3.49%, 4/25/2048 (l)
|
16,575
|
2,392
|
|
FNMA ACES
|
|
|
|
Series 2019-M21, Class X2, IO, 1.28%, 2/25/2031 (l)
|
5,296
|
238
|
|
Series 2020-M37, Class X, IO, 1.02%, 4/25/2032 (l)
|
24,770
|
965
|
|
Series 2016-M4, Class X2, IO, 2.70%, 1/25/2039 (l)
|
5,539
|
29
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2019-KC03, Class B, 4.33%, 1/25/2026 (a) (l)
|
2,304
|
2,252
|
|
Series 2019-KF58, Class B, 6.79%, 1/25/2026 (a) (l)
|
906
|
894
|
|
Series 2019-KF62, Class B, 6.69%, 4/25/2026 (a) (l)
|
489
|
472
|
|
Series 2017-KL1E, Class BE, 3.91%, 2/25/2027 (a) (l)
|
186
|
170
|
|
Series 2017-KF33, Class B, 7.19%, 6/25/2027 (a) (l)
|
566
|
538
|
|
Series 2017-KF40, Class B, 7.34%, 11/25/2027 (a) (l)
|
978
|
926
|
|
Series 2018-KF43, Class B, 6.79%, 1/25/2028 (a) (l)
|
1,288
|
1,240
|
|
Series 21K-F116, Class CS, 10.93%, 6/25/2028 (a) (l)
|
4,834
|
4,818
|
|
Series 2018-KF50, Class B, 6.54%, 7/25/2028 (a) (l)
|
293
|
280
|
|
Series 2019-KG01, Class B, 4.16%, 4/25/2029 (a) (l)
|
4,765
|
4,186
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a)
|
266,588
|
754
|
|
Series 2019-KW09, Class C, PO, 6/25/2029 (a)
|
24,011
|
16,335
|
|
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a)
|
32,681
|
110
|
|
Series 2022-KF132, Class CS, 10.93%, 2/25/2032 (a) (l)
|
7,870
|
7,285
|
|
Series 2023-KF149, Class CS, 10.68%, 12/25/2032 (a) (l)
|
8,746
|
8,973
|
|
Series 2017-K724, Class D, PO, 12/25/2049 (a)
|
724
|
715
|
|
Series 2017-K724, Class X2B, IO, 0.10%, 12/25/2049 (a)
|
724
|
—
|
|
GNMA
|
|
|
|
Series 2012-89, IO, 0.02%, 12/16/2053 (l)
|
4,770
|
—
|
|
Series 2019-53, Class IA, IO, 0.77%, 6/16/2061 (l)
|
5,827
|
290
|
|
Series 2021-169, IO, 1.11%, 6/16/2061 (l)
|
29,195
|
2,355
|
|
Series 2021-153, Class SA, IF, IO, 3.60%, 8/16/2061 (l)
|
15,941
|
637
|
|
Series 2020-2, IO, 0.59%, 3/16/2062 (l)
|
6,231
|
269
|
|
Series 2020-169, IO, 0.85%, 7/16/2062 (l)
|
16,549
|
1,032
|
|
Series 2021-33, IO, 0.84%, 10/16/2062 (l)
|
8,050
|
510
|
|
Series 2020-145, IO, 0.73%, 3/16/2063 (l)
|
53,592
|
2,820
|
|
Series 2021-10, IO, 0.99%, 5/16/2063 (l)
|
4,997
|
370
|
|
Series 2024-32, IO, 0.71%, 6/16/2063 (l)
|
51,239
|
2,594
|
|
Series 2023-28, IO, 0.86%, 2/16/2065 (l)
|
18,331
|
1,245
|
|
Gnr Frn Zero Coupon, 10/16/2060 ‡ (k)
|
26,200
|
1,768
|
|
GS Mortgage Securities Trust
|
|
|
|
Series 2012-GCJ9, Class D, 4.75%, 11/10/2045 (a) (l)
|
412
|
375
|
|
Series 2015-GC28, Class D, 4.24%, 2/10/2048 (a) (l)
|
2,500
|
2,368
|
|
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (a)
|
2,750
|
2,490
|
|
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (l)
|
2,900
|
875
|
|
Series 2017-GS6, Class D, 3.24%, 5/10/2050 (a)
|
1,750
|
1,180
|
|
Series 2015-GC30, Class D, 3.38%, 5/10/2050
|
1,250
|
970
|
|
Series 2019-GC40, Class D, 3.00%, 7/10/2052 (a)
|
3,800
|
2,692
|
|
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a)
|
2,250
|
1,424
|
|
Series 2020-GC45, Class D, 2.85%, 2/13/2053 (a) (l)
|
2,824
|
2,110
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2013-C15, Class E, 3.50%, 11/15/2045 (a)
|
2,000
|
1,062
|
|
Series 2014-C26, Class D, 3.76%, 1/15/2048 (a) (l)
|
1,500
|
1,260
|
|
Series 2014-C26, Class C, 4.26%, 1/15/2048 (l)
|
1,926
|
1,734
|
|
Series 2015-C33, Class C, 4.63%, 12/15/2048 (l)
|
8,000
|
7,243
|
|
Series 2016-C1, Class D2, 4.20%, 3/17/2049 (a) (l)
|
1,464
|
1,245
|
|
Series 2016-C1, Class C, 4.70%, 3/17/2049 (l)
|
5,000
|
4,653
|
|
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.49%, 3/15/2050 (a) (l)
|
7,577
|
5,325
|
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C4, Class D, 3.04%, 12/15/2049 (a) (l)
|
2,514
|
1,943
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP3, Class D, 3.42%,
8/15/2049 (a) (l)
|
4,500
|
3,520
|
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (l)
|
3,405
|
1,134
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
Series 2012-C5, Class G, 4.50%, 8/15/2045 (a)
|
1,500
|
1,220
|
|
Series 2014-C16, Class C, 4.74%, 6/15/2047 (l)
|
2,000
|
1,860
|
|
Series 2014-C19, Class D, 3.25%, 12/15/2047 (a)
|
2,585
|
2,176
|
|
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a)
|
6,000
|
5,297
|
|
Series 2015-C25, Class C, 4.52%, 10/15/2048 (l)
|
4,500
|
4,224
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2016-C31, Class C, 4.25%, 11/15/2049 (l)
|
1,440
|
1,230
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2018-MP, Class D, 4.28%, 7/11/2040 (a) (l)
|
730
|
531
|
|
Series 2018-L1, Class E, 3.00%, 10/15/2051 (a)
|
5,486
|
4,051
|
|
Series 2019-L2, Class D, 3.00%, 3/15/2052 (a)
|
7,075
|
5,165
|
|
Series 2019-L2, Class E, 3.00%, 3/15/2052 (a)
|
2,575
|
1,749
|
|
MRCD MARK Mortgage Trust
|
|
|
|
Series 2019-PARK, Class F, 2.72%, 12/15/2036 (a)
|
10,000
|
6,062
|
|
Series 2019-PARK, Class G, 2.72%, 12/15/2036 (a)
|
4,000
|
2,140
|
|
Series 2019-PARK, Class J, 4.25%, 12/15/2036 (a)
|
17,000
|
6,095
|
|
Multi-Family Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-01, Class M10, 7.72%, 10/25/2049 (a) (l)
|
4,341
|
4,384
|
|
Series 2020-01, Class M10, 8.22%, 3/25/2050 (a) (l)
|
8,936
|
9,076
|
|
NYC Commercial Mortgage Trust Series 2021-909, Class E, 3.21%, 4/10/2043 (a) (l)
|
5,000
|
2,712
|
|
ROCK Trust Series 2024-CNTR, Class E, 8.82%, 11/13/2041 (a)
|
4,825
|
5,093
|
|
VASA Trust Series 2021-VASA, Class G, 9.42%, 7/15/2039 (a) (l)
|
1,360
|
743
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (l)
|
1,467
|
1,421
|
|
Series 2018-2, Class M2, 4.51%, 10/26/2048 (a) (l)
|
101
|
92
|
|
Series 2018-2, Class M3, 4.72%, 10/26/2048 (a) (l)
|
147
|
130
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
Series 2021-SAVE, Class E, 8.07%, 2/15/2040 (a) (l)
|
1,600
|
1,606
|
|
Series 2015-NXS1, Class E, 2.88%, 5/15/2048 (a) (l)
|
1,500
|
1,350
|
|
Series 2015-C28, Class D, 4.07%, 5/15/2048 (l)
|
7,740
|
6,424
|
|
Series 2016-C35, Class D, 3.14%, 7/15/2048 (a)
|
5,000
|
4,408
|
|
Series 2018-C43, Class D, 3.00%, 3/15/2051 (a)
|
1,250
|
1,023
|
|
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a)
|
1,517
|
1,161
|
|
Series 2019-C52, Class XA, IO, 1.56%, 8/15/2052 (l)
|
3,356
|
182
|
|
Series 2015-NXS3, Class D, 3.15%, 9/15/2057 (a)
|
1,000
|
937
|
|
WFRBS Commercial Mortgage Trust Series 2014-C22, Class D, 3.76%, 9/15/2057 (a) (l)
|
5,505
|
2,752
|
|
Total Commercial Mortgage-Backed Securities
(Cost $400,935)
|
|
350,533
|
|
Collateralized Mortgage Obligations — 3.4%
|
||
|
United States — 3.4%
|
||
|
Adjustable Rate Mortgage Trust
|
|
|
|
Series 2004-2, Class 6A1, 6.29%, 2/25/2035 (l)
|
137
|
136
|
|
Series 2005-2, Class 3A1, 6.43%, 6/25/2035 (l)
|
352
|
339
|
|
Alternative Loan Trust
|
|
|
|
Series 2004-28CB, Class 4A1, 5.00%, 1/25/2020
|
6
|
4
|
|
Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020
|
1
|
1
|
|
Series 2005-85CB, Class 3A2, 5.25%, 2/25/2021
|
58
|
53
|
|
Series 2007-9T1, Class 3A1, 5.50%, 5/25/2022 ‡
|
5
|
5
|
|
Series 2005-J6, Class 2A1, 5.50%, 7/25/2025
|
19
|
18
|
|
Series 2006-J3, Class 4A1, 5.75%, 5/25/2026
|
62
|
60
|
|
Series 2005-J1, Class 3A1, 6.50%, 8/25/2032
|
9
|
9
|
|
Series 2004-12CB, Class 2A1, 6.00%, 6/25/2034
|
15
|
15
|
|
Series 2005-J3, Class 3A1, 6.50%, 9/25/2034 ‡
|
—
|
—
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Series 2004-28CB, Class 2A4, 5.75%, 1/25/2035
|
261
|
235
|
|
Series 2004-28CB, Class 6A1, 6.00%, 1/25/2035
|
333
|
303
|
|
Series 2004-32CB, Class 2A5, 5.50%, 2/25/2035
|
1,048
|
1,003
|
|
Series 2005-J2, Class 1A5, 4.93%, 4/25/2035 (l)
|
2,988
|
2,304
|
|
Series 2005-6CB, Class 1A4, 5.50%, 4/25/2035
|
1,796
|
1,517
|
|
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035
|
216
|
182
|
|
Series 2005-13CB, Class A4, 5.50%, 5/25/2035
|
745
|
632
|
|
Series 2005-21CB, Class A4, 5.25%, 6/25/2035
|
405
|
300
|
|
Series 2005-21CB, Class A17, 6.00%, 6/25/2035
|
1,802
|
1,382
|
|
Series 2005-20CB, Class 1A1, 5.50%, 7/25/2035
|
81
|
64
|
|
Series 2005-23CB, Class A15, 5.50%, 7/25/2035
|
891
|
715
|
|
Series 2005-64CB, Class 1A1, 5.50%, 12/25/2035
|
299
|
260
|
|
Series 2005-64CB, Class 1A15, 5.50%, 12/25/2035
|
757
|
659
|
|
Series 2005-J14, Class A3, 5.50%, 12/25/2035
|
201
|
121
|
|
Series 2005-J14, Class A7, 5.50%, 12/25/2035
|
1,060
|
639
|
|
Series 2005-J14, Class A8, 5.50%, 12/25/2035
|
886
|
534
|
|
Series 2005-86CB, Class A4, 5.50%, 2/25/2036
|
262
|
150
|
|
Series 2006-J1, Class 1A13, 5.50%, 2/25/2036
|
84
|
56
|
|
Series 2006-4CB, Class 2A5, 5.50%, 4/25/2036
|
450
|
333
|
|
Series 2006-14CB, Class A1, 6.00%, 6/25/2036
|
1,083
|
583
|
|
Series 2006-19CB, Class A15, 6.00%, 8/25/2036
|
391
|
222
|
|
Series 2006-25CB, Class A2, 6.00%, 10/25/2036
|
192
|
99
|
|
Series 2006-41CB, Class 2A13, 5.75%, 1/25/2037
|
2,107
|
1,007
|
|
Series 2007-8CB, Class A9, 6.00%, 5/25/2037
|
136
|
73
|
|
Series 2007-19, Class 1A8, 6.00%, 8/25/2037
|
134
|
63
|
|
American Home Mortgage Investment Trust Series 2007-2, Class 12A1, 4.97%, 3/25/2037 (l)
|
4,059
|
1,531
|
|
Angel Oak Mortgage Trust
|
|
|
|
Series 2019-5, Class B1, 3.96%, 10/25/2049 (a) (l)
|
6,250
|
5,636
|
|
Series 2019-6, Class B1, 3.94%, 11/25/2059 (a) (l)
|
4,000
|
3,622
|
|
Series 2019-6, Class B3, 5.99%, 11/25/2059 (a) (l)
|
1,285
|
1,106
|
|
Angel Oak Mortgage Trust I LLC Series 2019-2, Class B2, 6.29%, 3/25/2049 (a) (l)
|
2,250
|
2,261
|
|
Banc of America Alternative Loan Trust
|
|
|
|
Series 2006-4, Class 2A1, 6.00%, 3/25/2029
|
2
|
2
|
|
Series 2005-11, Class 4A5, 5.75%, 12/25/2035
|
280
|
241
|
|
Series 2006-4, Class 3CB4, 6.00%, 5/25/2046
|
325
|
285
|
|
Series 2006-4, Class 4CB1, 6.50%, 5/25/2046
|
646
|
587
|
|
Series 2006-5, Class CB7, 6.00%, 6/25/2046
|
202
|
171
|
|
Banc of America Funding Trust
|
|
|
|
Series 2007-4, Class 8A1, 5.50%, 11/25/2034
|
50
|
36
|
|
Series 2005-6, Class 1A2, 5.50%, 10/25/2035
|
993
|
780
|
|
Series 2005-7, Class 4A7, 6.00%, 11/25/2035
|
22
|
21
|
|
Series 2006-A, Class 1A1, 6.44%, 2/20/2036 (l)
|
232
|
218
|
|
Series 2006-2, Class 2A20, 5.75%, 3/25/2036
|
137
|
115
|
|
Series 2007-5, Class 4A1, 4.80%, 7/25/2037 (l)
|
1,849
|
1,256
|
|
Banc of America Mortgage Trust
|
|
|
|
Series 2004-A, Class 2A2, 5.70%, 2/25/2034 (l)
|
178
|
175
|
|
Series 2007-3, Class 1A1, 6.00%, 9/25/2037
|
93
|
74
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Bear Stearns ALT-A Trust Series 2006-8, Class 3A1, 4.75%, 2/25/2034 (l)
|
112
|
105
|
|
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class M1, 5.43%, 10/25/2034 (l)
|
218
|
192
|
|
BRAVO Residential Funding Trust Series 2023-NQM5, Class B1, 7.39%, 6/25/2063 (a) (l)
|
1,263
|
1,267
|
|
Chase Mortgage Finance Trust
|
|
|
|
Series 2006-S3, Class 1A2, 6.00%, 11/25/2036
|
1,045
|
408
|
|
Series 2006-S4, Class A5, 6.00%, 12/25/2036
|
812
|
344
|
|
Series 2007-S2, Class 1A8, 6.00%, 3/25/2037
|
185
|
98
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2005-20, Class A7, 5.25%, 12/25/2027
|
66
|
39
|
|
Series 2004-25, Class 2A1, 5.11%, 2/25/2035 (l)
|
1,547
|
1,393
|
|
Series 2005-26, Class 1A11, 5.50%, 11/25/2035
|
990
|
590
|
|
Series 2005-31, Class 2A1, 4.41%, 1/25/2036 (l)
|
445
|
385
|
|
Series 2005-30, Class A5, 5.50%, 1/25/2036
|
106
|
64
|
|
Series 2006-HYB1, Class 2A2C, 4.56%, 3/20/2036 (l)
|
1,237
|
1,138
|
|
Series 2006-HYB2, Class 2A1B, 4.62%, 4/20/2036 (l)
|
369
|
324
|
|
Series 2006-J2, Class 1A1, 6.00%, 4/25/2036
|
76
|
41
|
|
Series 2006-10, Class 1A16, 6.00%, 5/25/2036
|
977
|
405
|
|
Series 2006-17, Class A2, 6.00%, 12/25/2036
|
280
|
122
|
|
Series 2006-18, Class 2A4, 6.00%, 12/25/2036
|
1,638
|
888
|
|
Series 2007-2, Class A2, 6.00%, 3/25/2037
|
96
|
41
|
|
Series 2007-3, Class A18, 6.00%, 4/25/2037
|
769
|
364
|
|
Series 2007-10, Class A4, 5.50%, 7/25/2037
|
99
|
40
|
|
Series 2007-13, Class A4, 6.00%, 8/25/2037
|
209
|
96
|
|
Series 2007-16, Class A1, 6.50%, 10/25/2037
|
1,788
|
741
|
|
Series 2007-18, Class 2A1, 6.50%, 11/25/2037
|
414
|
147
|
|
Series 2006-OA5, Class 2A1, 4.83%, 4/25/2046 (l)
|
1,390
|
1,177
|
|
Citicorp Mortgage Securities Trust Series 2007-4, Class 1A9, 6.00%, 5/25/2037
|
296
|
262
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2005-9, Class 2A2, 5.50%, 11/25/2035
|
62
|
43
|
|
Series 2006-AR3, Class 1A1A, 5.79%, 6/25/2036 (l)
|
788
|
740
|
|
Series 2006-AR5, Class 1A5A, 5.08%, 7/25/2036 (l)
|
298
|
280
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2005-6, Class A1, 6.08%, 9/25/2035 (l)
|
149
|
147
|
|
Series 2006-8, Class A3, 4.78%, 10/25/2035 (a) (l)
|
442
|
201
|
|
COLT Mortgage Loan Trust
|
|
|
|
Series 2021-3, Class B1, 3.06%, 9/27/2066 (a) (l)
|
2,500
|
1,614
|
|
Series 2021-5, Class B2, 4.21%, 11/26/2066 (a) (l)
|
2,247
|
1,668
|
|
Series 2022-1, Class B2, 4.09%, 12/27/2066 (a) (l)
|
2,581
|
2,096
|
|
Series 2023-2, Class A1, 6.60%, 7/25/2068 (a) (h)
|
2,070
|
2,086
|
|
Series 2023-4, Class A1, 7.16%, 10/25/2068 (a) (h)
|
3,877
|
3,933
|
|
Connecticut Avenue Securities Trust
|
|
|
|
Series 2019-R04, Class 2B1, 9.72%, 6/25/2039 (a) (l)
|
2,206
|
2,327
|
|
Series 2019-R05, Class 1B1, 8.57%, 7/25/2039 (a) (l)
|
286
|
298
|
|
Series 2019-R06, Class 2B1, 8.22%, 9/25/2039 (a) (l)
|
3,964
|
4,109
|
|
Series 2019-R07, Class 1B1, 7.87%, 10/25/2039 (a) (l)
|
7,486
|
7,740
|
|
Series 2020-R02, Class 2B1, 7.47%, 1/25/2040 (a) (l)
|
7,158
|
7,335
|
|
Series 2020-R01, Class 1B1, 7.72%, 1/25/2040 (a) (l)
|
1,000
|
1,034
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Series 2021-R01, Class 1B1, 7.45%, 10/25/2041 (a) (l)
|
5,200
|
5,349
|
|
Series 2021-R03, Class 1B2, 9.85%, 12/25/2041 (a) (l)
|
6,100
|
6,411
|
|
Series 2022-R01, Class 1B2, 10.35%, 12/25/2041 (a) (l)
|
4,437
|
4,699
|
|
CSFB Mortgage-Backed Pass-Through Certificates
|
|
|
|
Series 2005-10, Class 11A1, 5.50%, 11/25/2020
|
572
|
69
|
|
Series 2004-AR4, Class 2A1, 5.66%, 5/25/2034 (l)
|
104
|
103
|
|
Series 2004-AR4, Class 4A1, 6.66%, 5/25/2034 (l)
|
723
|
730
|
|
Series 2004-AR5, Class 6A1, 6.28%, 6/25/2034 (l)
|
139
|
137
|
|
Series 2004-4, Class 4A1, 5.50%, 8/25/2034
|
665
|
667
|
|
Series 2005-4, Class 2A5, 4.98%, 6/25/2035 (l)
|
1,926
|
1,294
|
|
Series 2005-10, Class 5A3, 5.50%, 11/25/2035
|
223
|
159
|
|
CSFB Mortgage-Backed Trust Series 2004-AR6, Class 7A1, 6.34%, 10/25/2034 (l)
|
84
|
84
|
|
CSMC Mortgage-Backed Trust
|
|
|
|
Series 2006-8, Class 5A1, 5.48%, 10/25/2026 (l)
|
25
|
24
|
|
Series 2007-2, Class 3A13, 5.50%, 3/25/2037
|
311
|
140
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
Series 2021-3, Class B2, 4.13%, 8/25/2066 (a) (l)
|
4,502
|
3,321
|
|
Series 2021-4, Class B1, 4.16%, 11/25/2066 (a) (l)
|
6,000
|
4,517
|
|
Series 2021-4, Class B2, 4.44%, 11/25/2066 (a) (l)
|
6,508
|
4,884
|
|
Series 2022-1, Class B1, 4.28%, 1/25/2067 (a) (l)
|
3,000
|
2,394
|
|
Series 2022-1, Class B2, 4.28%, 1/25/2067 (a) (l)
|
5,640
|
4,258
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.40%,
2/25/2020 (l)
|
12
|
12
|
|
DSLA Mortgage Loan Trust Series 2005-AR4, Class 2A1A, 4.93%, 8/19/2045 (l)
|
1,077
|
945
|
|
FHLMC Seasoned Credit Risk Transfer Trust Series 2017-3, Class A, IO, 0.00%, 7/25/2056 (l)
|
172,414
|
115
|
|
FHLMC STACR REMIC Trust
|
|
|
|
Series 2021-DNA2, Class B2, 10.35%, 8/25/2033 (a) (l)
|
1,500
|
1,831
|
|
Series 2021-DNA6, Class B1, 7.75%, 10/25/2041 (a) (l)
|
2,500
|
2,585
|
|
Series 2020-HQA1, Class B2, 9.57%, 1/25/2050 (a) (l)
|
4,000
|
4,418
|
|
Series 2021-DNA1, Class B2, 9.10%, 1/25/2051 (a) (l)
|
6,800
|
7,542
|
|
First Horizon Alternative Mortgage Securities Trust Series 2006-FA6, Class 3A1, 5.75%,
11/25/2021
|
7
|
3
|
|
GCAT Trust Series 2020-NQM1, Class B1, 3.64%, 1/25/2060 (a) (l)
|
3,000
|
2,425
|
|
GMACM Mortgage Loan Trust
|
|
|
|
Series 2004-AR2, Class 3A, 4.99%, 8/19/2034 (l)
|
169
|
151
|
|
Series 2005-AR1, Class 3A, 4.08%, 3/18/2035 (l)
|
33
|
29
|
|
GSMSC Pass-Through Trust Series 2008-2R, Class 2A1, 7.50%, 10/25/2036 (a) (l)
|
1,197
|
137
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2004-15F, Class 1A2, 5.50%, 12/25/2034
|
140
|
92
|
|
Series 2005-1F, Class 2A3, 6.00%, 2/25/2035
|
121
|
83
|
|
Series 2005-AR3, Class 6A1, 4.29%, 5/25/2035 (l)
|
49
|
37
|
|
Series 2005-AR4, Class 3A5, 5.43%, 7/25/2035 (l)
|
821
|
505
|
|
Series 2005-6F, Class 3A18, 5.50%, 7/25/2035
|
465
|
433
|
|
Series 2005-AR7, Class 6A1, 4.64%, 11/25/2035 (l)
|
342
|
297
|
|
Series 2006-1F, Class 2A16, 6.00%, 2/25/2036
|
485
|
208
|
|
Series 2006-1F, Class 2A9, 6.00%, 2/25/2036
|
786
|
337
|
|
Series 2006-9F, Class 3A1, 6.25%, 10/25/2036
|
349
|
314
|
|
Series 2007-1F, Class 3A13, 6.00%, 1/25/2037
|
201
|
122
|
|
HarborView Mortgage Loan Trust Series 2005-11, Class 2A1A, 5.03%, 8/19/2045 (l)
|
90
|
84
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Impac CMB Trust
|
|
|
|
Series 2004-5, Class 1A1, 5.15%, 10/25/2034 (l)
|
111
|
110
|
|
Series 2004-5, Class 1M2, 5.30%, 10/25/2034 (l)
|
41
|
40
|
|
Series 2004-7, Class 1A2, 5.35%, 11/25/2034 (l)
|
132
|
130
|
|
Series 2004-10, Class 2A, 5.07%, 3/25/2035 (l)
|
300
|
273
|
|
Series 2005-1, Class 1A1, 4.95%, 4/25/2035 (l)
|
136
|
129
|
|
Series 2005-1, Class 1A2, 5.05%, 4/25/2035 (l)
|
166
|
157
|
|
Series 2005-2, Class 1A2, 5.05%, 4/25/2035 (l)
|
182
|
176
|
|
Impac Secured Assets CMN Owner Trust Series 2003-2, Class A4, 3.75%, 8/25/2033
|
139
|
93
|
|
Impac Secured Assets Trust
|
|
|
|
Series 2007-3, Class A1B, 4.91%, 9/25/2037 (l)
|
1,330
|
1,130
|
|
Series 2007-3, Class A1C, 5.15%, 9/25/2037 (l)
|
2,229
|
1,906
|
|
IndyMac INDX Mortgage Loan Trust
|
|
|
|
Series 2005-AR3, Class 3A1, 4.36%, 4/25/2035 (l)
|
142
|
133
|
|
Series 2005-AR14, Class 2A1A, 5.03%, 7/25/2035 (l)
|
624
|
502
|
|
Series 2007-AR21, Class 6A1, 4.09%, 9/25/2037 (l)
|
3,843
|
2,386
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2006-S3, Class 2A4, 5.50%, 8/25/2021
|
7
|
6
|
|
Series 2004-A6, Class 1A1, 4.42%, 12/25/2034 (l)
|
25
|
22
|
|
Series 2005-A3, Class 6A6, 5.66%, 6/25/2035 (l)
|
92
|
91
|
|
Series 2005-A6, Class 1A2, 6.36%, 9/25/2035 (l)
|
103
|
97
|
|
Series 2005-A8, Class 4A1, 5.36%, 11/25/2035 (l)
|
1,005
|
831
|
|
Series 2005-A8, Class 1A1, 5.62%, 11/25/2035 (l)
|
65
|
51
|
|
Series 2006-A7, Class 2A4, 4.56%, 1/25/2037 (l)
|
283
|
219
|
|
Series 2007-S1, Class 2A17, 4.76%, 3/25/2037 (l)
|
3,575
|
984
|
|
Legacy Mortgage Asset Trust
|
|
|
|
Series 2021-GS3, Class A2, 6.25%, 7/25/2061 (a) (h)
|
2,918
|
2,908
|
|
Series 2021-GS1, Class A2, 7.84%, 10/25/2066 (a) (h)
|
2,142
|
2,143
|
|
Lehman Mortgage Trust
|
|
|
|
Series 2005-2, Class 2A5, 5.50%, 12/25/2035
|
581
|
328
|
|
Series 2007-7, Class 5A7, 6.50%, 8/25/2037
|
6,640
|
2,940
|
|
LHOME Mortgage Trust
|
|
|
|
Series 2023-RTL3, Class A1, 8.00%, 8/25/2028 (a) (h)
|
2,550
|
2,586
|
|
Series 2024-RTL1, Class A1, 7.02%, 1/25/2029 (a) (h)
|
4,025
|
4,070
|
|
Series 2024-RTL2, Class A1, 7.13%, 3/25/2029 (a) (h)
|
3,325
|
3,372
|
|
Series 2024-RTL3, Class A1, 6.90%, 5/25/2029 (a) (h)
|
5,000
|
5,066
|
|
Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (a) (h)
|
480
|
477
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-12, Class 3A1, 6.00%, 12/25/2034
|
349
|
343
|
|
Series 2005-3, Class 1A1, 5.50%, 4/25/2035
|
71
|
64
|
|
Series 2005-5, Class 3A1, 5.75%, 8/25/2035
|
199
|
92
|
|
Series 2005-6, Class 1A2, 5.50%, 12/25/2035
|
343
|
222
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2005-1, Class 2A2, 5.39%, 4/25/2035 (l)
|
94
|
83
|
|
Series 2006-1, Class 2A1, 5.87%, 2/25/2036 (l)
|
490
|
476
|
|
Series 2006-AF2, Class AF2, 6.25%, 10/25/2036
|
156
|
59
|
|
Metlife Securitization Trust Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (l)
|
1,643
|
1,553
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2006-2, Class 1A, 5.25%, 2/25/2021
|
194
|
171
|
|
Series 2004-9, Class 1A, 5.30%, 11/25/2034 (l)
|
284
|
276
|
|
Series 2005-4, Class 1A, 5.00%, 8/25/2035
|
19
|
19
|
|
New Residential Mortgage Loan Trust
|
|
|
|
Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (h)
|
3,750
|
3,783
|
|
Series 2019-NQM4, Class B1, 3.74%, 9/25/2059 (a) (l)
|
2,500
|
2,052
|
|
Series 2019-NQM4, Class B2, 5.15%, 9/25/2059 (a) (l)
|
4,000
|
3,349
|
|
Series 2019-NQM5, Class B1, 4.04%, 11/25/2059 (a) (l)
|
2,041
|
1,736
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-WF1, Class 2A5, 5.66%,
3/25/2035 (h)
|
1
|
1
|
|
OBX Trust
|
|
|
|
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (h)
|
310
|
311
|
|
Series 2024-NQM4, Class A3, 6.32%, 1/25/2064 (a) (h)
|
4,263
|
4,280
|
|
PRPM Series 2024-3, Class A1, 6.99%, 5/25/2029 ‡ (a) (h)
|
8,177
|
8,197
|
|
PRPM LLC
|
|
|
|
Series 2020-6, Class A2, 8.70%, 11/25/2025 (a) (h)
|
2,585
|
2,580
|
|
Series 2021-8, Class A2, 6.60%, 9/25/2026 (a) (l)
|
5,126
|
5,024
|
|
Series 2024-1, Class A1, 6.96%, 2/25/2029 (a) (h)
|
8,899
|
8,942
|
|
Series 2024-2, Class A1, 7.03%, 3/25/2029 (a) (h)
|
5,510
|
5,546
|
|
Series 2024-4, Class A1, 6.41%, 8/25/2029 (a) (h)
|
3,745
|
3,755
|
|
Series 2024-8, Class A2, 8.84%, 12/25/2029 (a) (h)
|
1,501
|
1,501
|
|
RALI Trust
|
|
|
|
Series 2003-QS20, Class CB, 5.00%, 11/25/2018 ‡
|
—
|
—
|
|
Series 2005-QA5, Class A2, 5.18%, 4/25/2035 (l)
|
604
|
544
|
|
Series 2005-QS17, Class A3, 6.00%, 12/25/2035
|
406
|
342
|
|
Series 2006-QS3, Class 1A10, 6.00%, 3/25/2036
|
715
|
626
|
|
Series 2006-QS4, Class A2, 6.00%, 4/25/2036
|
871
|
694
|
|
Series 2006-QS17, Class A5, 6.00%, 12/25/2036
|
1,284
|
1,035
|
|
Residential Asset Securitization Trust
|
|
|
|
Series 2005-A8CB, Class A11, 6.00%, 7/25/2035
|
1,280
|
768
|
|
Series 2005-A14, Class A1, 5.50%, 12/25/2035
|
123
|
55
|
|
Series 2006-A8, Class 3A1, 6.00%, 8/25/2036
|
2,562
|
1,128
|
|
RFMSI Trust
|
|
|
|
Series 2005-S7, Class A6, 5.50%, 11/25/2035
|
46
|
35
|
|
Series 2006-S10, Class 1A1, 6.00%, 10/25/2036
|
969
|
732
|
|
Series 2006-SA4, Class 2A1, 5.69%, 11/25/2036 (l)
|
690
|
565
|
|
Sequoia Mortgage Trust Series 2007-3, Class 1A1, 4.81%, 7/20/2036 (l)
|
212
|
184
|
|
Starwood Mortgage Residential Trust
|
|
|
|
Series 2020-1, Class B1, 3.73%, 2/25/2050 (a) (l)
|
5,410
|
4,427
|
|
Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a)
|
1,600
|
1,261
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-1, Class 1A1, 4.60%, 2/25/2035 (l)
|
161
|
152
|
|
Structured Asset Mortgage Investments II Trust
|
|
|
|
Series 2005-AR3, Class 1A1, 4.97%, 8/25/2035 (l)
|
1,564
|
1,465
|
|
Series 2007-AR7, Class 1A1, 5.28%, 5/25/2047 (l)
|
2,557
|
2,015
|
|
Verus Securitization Trust
|
|
|
|
Series 2019-INV3, Class B1, 3.73%, 11/25/2059 (a) (l)
|
5,000
|
4,533
|
|
Series 2021-R1, Class B1, 3.20%, 10/25/2063 (a) (l)
|
2,000
|
1,719
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
United States — continued
|
||
|
Series 2021-R1, Class B2, 4.20%, 10/25/2063 (a) (l)
|
1,322
|
1,111
|
|
Series 2021-R3, Class B1, 3.07%, 4/25/2064 (a) (l)
|
2,500
|
1,994
|
|
Series 2021-R3, Class B2, 4.07%, 4/25/2064 (a) (l)
|
1,776
|
1,330
|
|
Series 2020-5, Class B1, 3.71%, 5/25/2065 (a) (l)
|
2,400
|
2,277
|
|
Series 2020-5, Class B2, 4.71%, 5/25/2065 (a) (l)
|
1,400
|
1,332
|
|
Series 2021-5, Class B1, 3.04%, 9/25/2066 (a) (l)
|
3,826
|
2,759
|
|
Series 2021-5, Class B2, 3.94%, 9/25/2066 (a) (l)
|
3,750
|
2,708
|
|
Series 2023-INV1, Class A3, 6.76%, 2/25/2068 (a) (h)
|
2,151
|
2,161
|
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (h)
|
330
|
330
|
|
Series 2023-6, Class B1, 7.80%, 9/25/2068 (a) (l)
|
3,500
|
3,519
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2004-AR11, Class A, 6.96%, 10/25/2034 (l)
|
344
|
333
|
|
Series 2005-AR5, Class A6, 5.72%, 5/25/2035 (l)
|
839
|
823
|
|
Series 2005-AR16, Class 1A1, 4.74%, 12/25/2035 (l)
|
293
|
265
|
|
Series 2005-AR14, Class 1A3, 5.20%, 12/25/2035 (l)
|
672
|
616
|
|
Series 2005-AR14, Class 1A4, 5.20%, 12/25/2035 (l)
|
448
|
411
|
|
Series 2005-AR18, Class 1A3A, 5.12%, 1/25/2036 (l)
|
29
|
28
|
|
Series 2006-AR2, Class 1A1, 4.58%, 3/25/2036 (l)
|
130
|
113
|
|
Series 2004-AR10, Class A1B, 5.27%, 7/25/2044 (l)
|
338
|
321
|
|
Series 2005-AR15, Class A1A1, 4.95%, 11/25/2045 (l)
|
21
|
20
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
|
|
|
|
Series 2005-1, Class 1A3, 5.50%, 3/25/2035
|
358
|
334
|
|
Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
252
|
219
|
|
Series 2005-10, Class 2A5, 5.75%, 11/25/2035
|
1,381
|
1,239
|
|
Series 2005-10, Class 4CB1, 5.75%, 12/25/2035
|
413
|
358
|
|
Series 2006-5, Class 2CB5, 6.50%, 7/25/2036
|
133
|
98
|
|
Series 2007-1, Class 1A7, 5.03%, 2/25/2037 (l)
|
2,239
|
1,666
|
|
Wells Fargo Mortgage-Backed Securities Trust
|
|
|
|
Series 2006-AR19, Class A3, 6.94%, 12/25/2036 (l)
|
74
|
72
|
|
Series 2007-15, Class A1, 6.00%, 11/25/2037
|
62
|
58
|
|
Total Collateralized Mortgage Obligations
(Cost $311,017)
|
|
277,006
|
|
Foreign Government Securities — 2.5%
|
||
|
Angola — 0.1%
|
||
|
Republic of Angola
|
|
|
|
8.25%, 5/9/2028 (b)
|
1,400
|
1,320
|
|
8.00%, 11/26/2029 (a)
|
1,550
|
1,396
|
|
8.00%, 11/26/2029 (b)
|
1,480
|
1,333
|
|
8.75%, 4/14/2032 (b)
|
1,670
|
1,483
|
|
9.13%, 11/26/2049 (b)
|
2,090
|
1,684
|
|
|
|
7,216
|
|
Argentina — 0.2%
|
||
|
Argentine Republic
|
|
|
|
1.00%, 7/9/2029
|
2,875
|
2,248
|
|
0.75%, 7/9/2030 (h)
|
1,364
|
1,022
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Argentina—continued
|
||
|
4.12%, 7/9/2035 (h)
|
7,456
|
5,054
|
|
5.00%, 1/9/2038 (h)
|
2,896
|
2,086
|
|
3.50%, 7/9/2041 (h)
|
5,045
|
3,190
|
|
4.12%, 7/9/2046 (g) (h)
|
5,688
|
3,821
|
|
|
|
17,421
|
|
Bahamas — 0.0% ^
|
||
|
Commonwealth of the Bahamas 6.00%, 11/21/2028 (b)
|
1,400
|
1,329
|
|
Bahrain — 0.1%
|
||
|
Kingdom of Bahrain
|
|
|
|
7.00%, 10/12/2028 (b)
|
1,400
|
1,439
|
|
6.75%, 9/20/2029 (b)
|
200
|
204
|
|
5.45%, 9/16/2032 (a)
|
481
|
447
|
|
6.00%, 9/19/2044 (b)
|
1,500
|
1,270
|
|
7.50%, 9/20/2047 (b)
|
1,590
|
1,574
|
|
|
|
4,934
|
|
Benin — 0.0% ^
|
||
|
Benin Government Bond
|
|
|
|
7.96%, 2/13/2038 (a)
|
1,010
|
955
|
|
8.38%, 1/23/2041 (a)
|
747
|
722
|
|
|
|
1,677
|
|
Brazil — 0.1%
|
||
|
Federative Republic of Brazil
|
|
|
|
6.13%, 1/22/2032
|
880
|
860
|
|
8.25%, 1/20/2034
|
785
|
866
|
|
5.63%, 1/7/2041
|
950
|
827
|
|
5.00%, 1/27/2045
|
1,230
|
922
|
|
4.75%, 1/14/2050
|
620
|
428
|
|
7.13%, 5/13/2054
|
1,155
|
1,085
|
|
|
|
4,988
|
|
Colombia — 0.1%
|
||
|
Republic of Colombia
|
|
|
|
3.13%, 4/15/2031
|
800
|
638
|
|
8.00%, 4/20/2033
|
950
|
973
|
|
7.38%, 9/18/2037
|
1,000
|
957
|
|
6.13%, 1/18/2041
|
950
|
775
|
|
5.00%, 6/15/2045
|
1,990
|
1,344
|
|
5.20%, 5/15/2049
|
420
|
283
|
|
4.13%, 5/15/2051
|
1,000
|
575
|
|
8.75%, 11/14/2053
|
1,002
|
1,013
|
|
8.38%, 11/7/2054
|
2,250
|
2,187
|
|
|
|
8,745
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Costa Rica — 0.0% ^
|
||
|
Republic of Costa Rica
|
|
|
|
6.55%, 4/3/2034 (a)
|
1,090
|
1,114
|
|
7.30%, 11/13/2054 (a)
|
819
|
857
|
|
|
|
1,971
|
|
Dominican Republic — 0.1%
|
||
|
Dominican Republic Government Bond
|
|
|
|
4.50%, 1/30/2030 (a)
|
790
|
729
|
|
7.05%, 2/3/2031 (a)
|
1,330
|
1,371
|
|
4.88%, 9/23/2032 (a)
|
1,090
|
981
|
|
7.45%, 4/30/2044 (b)
|
1,580
|
1,671
|
|
6.85%, 1/27/2045 (b)
|
500
|
498
|
|
6.50%, 2/15/2048 (b)
|
1,950
|
1,875
|
|
6.40%, 6/5/2049 (b)
|
1,050
|
995
|
|
5.88%, 1/30/2060 (a)
|
880
|
755
|
|
5.88%, 1/30/2060 (b)
|
620
|
532
|
|
|
|
9,407
|
|
Ecuador — 0.2%
|
||
|
Republic of Ecuador
|
|
|
|
6.90%, 7/31/2030 (b) (h)
|
6,545
|
5,055
|
|
5.50%, 7/31/2035 (b) (h)
|
2,240
|
1,464
|
|
5.00%, 7/31/2040 (b) (h)
|
11,170
|
6,574
|
|
|
|
13,093
|
|
Egypt — 0.2%
|
||
|
Arab Republic of Egypt
|
|
|
|
3.88%, 2/16/2026 (a)
|
665
|
640
|
|
3.88%, 2/16/2026 (b)
|
600
|
577
|
|
7.50%, 1/31/2027 (b)
|
2,670
|
2,650
|
|
7.60%, 3/1/2029 (b)
|
1,800
|
1,753
|
|
8.63%, 2/4/2030 (a)
|
657
|
655
|
|
5.88%, 2/16/2031 (a) (g)
|
482
|
411
|
|
5.88%, 2/16/2031 (b)
|
1,100
|
937
|
|
7.05%, 1/15/2032 (a)
|
880
|
771
|
|
7.05%, 1/15/2032 (b)
|
1,300
|
1,139
|
|
7.63%, 5/29/2032 (b)
|
1,300
|
1,163
|
|
9.45%, 2/4/2033 (a)
|
1,175
|
1,156
|
|
7.30%, 9/30/2033 (b)
|
900
|
772
|
|
8.70%, 3/1/2049 (b)
|
4,370
|
3,557
|
|
8.70%, 3/1/2049 (a)
|
1,520
|
1,237
|
|
8.88%, 5/29/2050 (b)
|
1,750
|
1,439
|
|
8.15%, 11/20/2059 (a)
|
1,050
|
798
|
|
|
|
19,655
|
|
El Salvador — 0.1%
|
||
|
Republic of El Salvador
|
|
|
|
8.63%, 2/28/2029 (b)
|
1,119
|
1,166
|
|
9.25%, 4/17/2030 (a)
|
2,790
|
2,948
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
El Salvador—continued
|
||
|
9.25%, 4/17/2030 (b)
|
620
|
655
|
|
7.12%, 1/20/2050 (b)
|
1,437
|
1,219
|
|
9.50%, 7/15/2052 (b)
|
1,250
|
1,313
|
|
9.65%, 11/21/2054 (a)
|
1,628
|
1,734
|
|
|
|
9,035
|
|
Gabon — 0.0% ^
|
||
|
Gabonese Republic
|
|
|
|
6.95%, 6/16/2025 (b)
|
469
|
460
|
|
7.00%, 11/24/2031 (b)
|
910
|
718
|
|
|
|
1,178
|
|
Ghana — 0.1%
|
||
|
Republic of Ghana
|
|
|
|
Zero Coupon, 7/3/2026 (a)
|
135
|
126
|
|
5.00%, 7/3/2029 (a) (h)
|
1,833
|
1,634
|
|
Zero Coupon, 1/3/2030 (a)
|
1,246
|
968
|
|
5.00%, 7/3/2035 (a) (h)
|
3,410
|
2,485
|
|
|
|
5,213
|
|
Guatemala — 0.0% ^
|
||
|
Republic of Guatemala
|
|
|
|
5.38%, 4/24/2032 (b)
|
250
|
237
|
|
6.13%, 6/1/2050 (a)
|
720
|
639
|
|
|
|
876
|
|
Honduras — 0.0% ^
|
||
|
Republic of Honduras
|
|
|
|
6.25%, 1/19/2027 (b)
|
2,200
|
2,132
|
|
8.63%, 11/27/2034 (a)
|
1,190
|
1,149
|
|
|
|
3,281
|
|
Iraq — 0.0% ^
|
||
|
Republic of Iraq 5.80%, 1/15/2028 (b)
|
1,866
|
1,836
|
|
Ivory Coast — 0.1%
|
||
|
Republic of Cote d'Ivoire
|
|
|
|
7.63%, 1/30/2033 (b)
|
820
|
801
|
|
6.13%, 6/15/2033 (b)
|
4,730
|
4,233
|
|
8.25%, 1/30/2037 (a)
|
532
|
518
|
|
|
|
5,552
|
|
Jordan — 0.1%
|
||
|
Hashemite Kingdom of Jordan
|
|
|
|
6.13%, 1/29/2026 (b)
|
1,900
|
1,888
|
|
7.75%, 1/15/2028 (b)
|
900
|
911
|
|
5.85%, 7/7/2030 (b)
|
400
|
369
|
|
5.85%, 7/7/2030 (a)
|
1,810
|
1,670
|
|
7.38%, 10/10/2047 (b)
|
1,320
|
1,177
|
|
|
|
6,015
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Kenya — 0.1%
|
||
|
Republic of Kenya
|
|
|
|
7.00%, 5/22/2027 (b)
|
400
|
393
|
|
7.25%, 2/28/2028 (b)
|
1,362
|
1,301
|
|
9.75%, 2/16/2031 (a)
|
1,646
|
1,632
|
|
9.75%, 2/16/2031 (b)
|
1,220
|
1,209
|
|
6.30%, 1/23/2034 (a)
|
483
|
384
|
|
|
|
4,919
|
|
Lebanon — 0.0% ^
|
||
|
Lebanese Republic
|
|
|
|
6.65%, 4/22/2024 (b) (j)
|
2,885
|
459
|
|
6.60%, 11/27/2026 (b) (j)
|
9,774
|
1,554
|
|
6.85%, 3/23/2027 (b) (j)
|
3,149
|
500
|
|
6.65%, 11/3/2028 (b) (j)
|
3,415
|
543
|
|
6.65%, 2/26/2030 (b) (j)
|
340
|
54
|
|
|
|
3,110
|
|
Mongolia — 0.0% ^
|
||
|
State of Mongolia
|
|
|
|
8.65%, 1/19/2028 (a)
|
340
|
358
|
|
4.45%, 7/7/2031 (b)
|
1,300
|
1,132
|
|
|
|
1,490
|
|
Montenegro — 0.0% ^
|
||
|
Republic of Montenegro 7.25%, 3/12/2031 (b)
|
700
|
719
|
|
Namibia — 0.0% ^
|
||
|
Republic of Namibia 5.25%, 10/29/2025 (b)
|
800
|
790
|
|
Nigeria — 0.1%
|
||
|
Federal Republic of Nigeria
|
|
|
|
6.50%, 11/28/2027 (a)
|
1,220
|
1,169
|
|
6.50%, 11/28/2027 (b)
|
2,720
|
2,607
|
|
8.38%, 3/24/2029 (b)
|
800
|
782
|
|
8.75%, 1/21/2031 (b)
|
780
|
763
|
|
7.88%, 2/16/2032 (b)
|
1,510
|
1,381
|
|
7.38%, 9/28/2033 (b)
|
1,620
|
1,405
|
|
7.63%, 11/28/2047 (b)
|
600
|
467
|
|
7.63%, 11/28/2047 (a)
|
1,290
|
1,005
|
|
|
|
9,579
|
|
Oman — 0.0% ^
|
||
|
Sultanate of Oman Government Bond
|
|
|
|
6.50%, 3/8/2047 (b)
|
340
|
336
|
|
6.75%, 1/17/2048 (b)
|
1,170
|
1,192
|
|
7.00%, 1/25/2051 (b)
|
1,600
|
1,678
|
|
7.00%, 1/25/2051 (a)
|
301
|
316
|
|
|
|
3,522
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Pakistan — 0.1%
|
||
|
Islamic Republic of Pakistan
|
|
|
|
8.25%, 9/30/2025 (b)
|
550
|
548
|
|
6.00%, 4/8/2026 (b)
|
3,200
|
3,096
|
|
6.88%, 12/5/2027 (b)
|
1,500
|
1,391
|
|
7.38%, 4/8/2031 (a)
|
554
|
479
|
|
7.38%, 4/8/2031 (b)
|
600
|
519
|
|
8.88%, 4/8/2051 (b)
|
767
|
619
|
|
|
|
6,652
|
|
Paraguay — 0.1%
|
||
|
Republic of Paraguay
|
|
|
|
6.00%, 2/9/2036 (a)
|
410
|
406
|
|
6.10%, 8/11/2044 (b)
|
1,730
|
1,636
|
|
5.60%, 3/13/2048 (b)
|
350
|
306
|
|
5.40%, 3/30/2050 (a)
|
950
|
805
|
|
5.40%, 3/30/2050 (b)
|
2,100
|
1,779
|
|
|
|
4,932
|
|
Rwanda — 0.0% ^
|
||
|
Republic of Rwanda 5.50%, 8/9/2031 (b)
|
1,000
|
822
|
|
Senegal — 0.1%
|
||
|
Republic of Senegal
|
|
|
|
7.75%, 6/10/2031 (b)
|
2,100
|
1,924
|
|
6.25%, 5/23/2033 (b)
|
1,700
|
1,401
|
|
6.75%, 3/13/2048 (b)
|
650
|
453
|
|
6.75%, 3/13/2048 (a)
|
460
|
321
|
|
|
|
4,099
|
|
South Africa — 0.1%
|
||
|
Republic of South Africa
|
|
|
|
7.10%, 11/19/2036 (a)
|
625
|
609
|
|
6.25%, 3/8/2041
|
2,500
|
2,156
|
|
5.00%, 10/12/2046
|
700
|
483
|
|
5.75%, 9/30/2049
|
2,170
|
1,622
|
|
7.30%, 4/20/2052
|
600
|
541
|
|
7.95%, 11/19/2054 (a)
|
1,514
|
1,446
|
|
|
|
6,857
|
|
Sri Lanka — 0.1%
|
||
|
Democratic Socialist Republic of Sri Lanka
|
|
|
|
4.00%, 4/15/2028 (a)
|
1,576
|
1,471
|
|
3.10%, 1/15/2030 (a) (h)
|
1,359
|
1,184
|
|
3.35%, 3/15/2033 (a) (h)
|
2,666
|
2,112
|
|
3.60%, 6/15/2035 (a) (h)
|
1,800
|
1,267
|
|
3.60%, 5/15/2036 (a) (h)
|
1,249
|
1,012
|
|
3.60%, 2/15/2038 (a) (h)
|
2,500
|
2,046
|
|
|
|
9,092
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Foreign Government Securities — continued
|
||
|
Suriname — 0.0% ^
|
||
|
Suriname Government International Bond 7.95%, 7/15/2033 (b) (i)
|
1,030
|
979
|
|
Turkey — 0.2%
|
||
|
Istanbul Metropolitan Municipality 10.50%, 12/6/2028 (a)
|
2,146
|
2,319
|
|
Republic of Turkiye (The)
|
|
|
|
9.88%, 1/15/2028
|
3,376
|
3,726
|
|
5.13%, 2/17/2028
|
940
|
915
|
|
9.38%, 3/14/2029
|
1,500
|
1,655
|
|
9.13%, 7/13/2030
|
900
|
999
|
|
9.38%, 1/19/2033 (g)
|
1,618
|
1,829
|
|
6.00%, 1/14/2041
|
1,040
|
874
|
|
4.88%, 4/16/2043
|
1,120
|
801
|
|
5.75%, 5/11/2047
|
620
|
477
|
|
Turkiye Ihracat Kredi Bankasi A/S 9.00%, 1/28/2027 (a)
|
312
|
327
|
|
|
|
13,922
|
|
Ukraine — 0.1%
|
||
|
Ukraine Government Bond
|
|
|
|
0.00%, 2/1/2034 (a) (g) (h)
|
2,700
|
1,165
|
|
1.75%, 2/1/2034 (b) (h)
|
1,930
|
1,088
|
|
0.00%, 2/1/2035 (b) (h)
|
2,710
|
1,675
|
|
1.75%, 2/1/2035 (a) (h)
|
2,450
|
1,358
|
|
0.00%, 2/1/2036 (b) (h)
|
1,930
|
1,190
|
|
1.75%, 2/1/2036 (b) (h)
|
2,710
|
1,485
|
|
|
|
7,961
|
|
Venezuela, Bolivarian Republic of — 0.0% ^
|
||
|
Bolivarian Republic of Venezuela 11.95%, 8/5/2031 (b) (j)
|
3,018
|
573
|
|
Zambia — 0.0% ^
|
||
|
Republic of Zambia
|
|
|
|
5.75%, 6/30/2033 (a) (h)
|
1,534
|
1,362
|
|
0.50%, 12/31/2053 (b)
|
500
|
304
|
|
0.50%, 12/31/2053 (a)
|
1,524
|
925
|
|
|
|
2,591
|
|
Total Foreign Government Securities
(Cost $207,678)
|
|
206,031
|
|
Loan Assignments — 2.4% (c) (n)
|
||
|
Canada — 0.1%
|
||
|
1011778 BC ULC, 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 1.75%), 6.06%, 9/20/2030
|
397
|
395
|
|
Four Seasons Hotels Ltd., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 1.75%), 6.06%,
11/30/2029
|
447
|
448
|
|
Garda World Security Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.81%,
2/1/2029
|
639
|
640
|
|
KDC/ONE Development Corp., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.00%),
8.31%, 8/15/2028
|
618
|
622
|
|
NorthRiver Midstream Finance LP, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%),
6.56%, 8/16/2030
|
615
|
617
|
|
St. George's University Scholastic Services LLC, 1st Lien Term Loan (1-MONTH CME TERM
SOFR + 2.75%), 7.06%, 2/12/2029
|
504
|
505
|
|
|
|
3,227
|
|
France — 0.0% ^
|
||
|
Altice France SA, 1st Lien Term Loan B-14 (3-MONTH CME TERM SOFR + 5.50%), 9.80%,
8/15/2028
|
201
|
170
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
Germany — 0.0% ^
|
||
|
TK Elevator Midco GmbH, 1st Lien Term Loan C (6-MONTH CME TERM SOFR + 3.50%), 7.74%,
4/30/2030
|
342
|
344
|
|
Luxembourg — 0.0% ^
|
||
|
Altice Financing SA, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 5.00%), 9.30%, 10/29/2027
|
374
|
327
|
|
INEOS US Finance LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.56%, 2/18/2030
|
519
|
519
|
|
Summer BC Holdco B SARL, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.00%), 9.59%,
2/15/2029
|
224
|
224
|
|
|
|
1,070
|
|
United Kingdom — 0.0% ^
|
||
|
Crown Finance US, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 9.59%,
12/2/2031
|
2,690
|
2,684
|
|
nVent Electric plc, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.50%), 8.24%,
9/12/2031 (o)
|
465
|
469
|
|
|
|
3,153
|
|
United States — 2.3%
|
||
|
AAdvantage Loyalty IP Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.75%), 9.30%,
4/20/2028
|
2,535
|
2,594
|
|
AAL Delaware Holdco, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.86%,
7/30/2031
|
331
|
333
|
|
Abe Investment Holdings, Inc., 1st Lien Term Loan (6-MONTH CME TERM SOFR + 4.50%),
8.85%, 2/19/2026
|
332
|
332
|
|
ACProducts Holdings, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.25%), 8.84%,
5/17/2028
|
3,040
|
2,332
|
|
Adient US LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.56%, 1/31/2031
|
2,614
|
2,622
|
|
Advanced Drainage Systems, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%),
6.69%, 7/31/2026
|
296
|
299
|
|
Ahead DB Holdings LLC, 1st Lien Term Loan B-3 (3-MONTH CME TERM SOFR + 3.50%), 7.83%,
2/3/2031
|
491
|
495
|
|
AHP Health Partners, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.06%,
8/24/2028
|
371
|
374
|
|
Alliant Holdings Intermediate LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%),
7.05%, 9/19/2031
|
446
|
447
|
|
Allied Universal Holdco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.16%,
5/12/2028
|
502
|
504
|
|
Altar Bidco, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.10%), 7.25%, 2/1/2029
|
625
|
623
|
|
Altar Bidco, Inc., 2nd Lien Term Loan (12-MONTH CME TERM SOFR + 5.60%), 9.75%, 2/1/2030
|
219
|
210
|
|
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR +
3.00%; 6-MONTH CME TERM SOFR +
3.00%), 7.35%, 12/13/2029
|
731
|
731
|
|
APi Group DE, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 6.31%, 1/3/2029
|
466
|
467
|
|
Arches Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.66%, 12/6/2027
|
229
|
224
|
|
Asplundh Tree Expert LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 6.16%,
9/6/2027
|
236
|
235
|
|
Astoria Energy LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%; 3-MONTH CME
TERM SOFR + 3.25%), 7.57%,
12/10/2027
|
170
|
171
|
|
Asurion LLC, 1st Lien Term Loan B-10 (1-MONTH CME TERM SOFR + 4.00%), 8.41%, 8/21/2028
|
331
|
331
|
|
Asurion LLC, 1st Lien Term Loan B-11 (1-MONTH CME TERM SOFR + 4.25%), 8.66%, 8/21/2028
|
554
|
554
|
|
Asurion LLC, 1st Lien Term Loan B-9 (1-MONTH CME TERM SOFR + 3.25%), 7.68%, 7/30/2027
|
339
|
338
|
|
Asurion LLC, 2nd Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 5.25%), 9.68%, 1/31/2028
|
325
|
317
|
|
AthenaHealth Group, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.31%,
2/15/2029
|
492
|
493
|
|
Avantor Funding, Inc., 1st Lien Term Loan B-6 (1-MONTH CME TERM SOFR + 2.00%), 6.41%,
11/8/2027
|
31
|
31
|
|
Axalta Coating Systems US Holdings, Inc., 1st Lien Term Loan B-7 (3-MONTH CME TERM
SOFR + 1.75%), 6.08%, 12/20/2029
|
447
|
448
|
|
AZZ, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.81%, 5/14/2029
|
409
|
411
|
|
B&G Foods, Inc., 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 3.50%), 7.81%, 10/10/2029
|
359
|
359
|
|
Bausch + Lomb Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.66%, 5/10/2027
|
372
|
374
|
|
Bausch Health Cos., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 5.25%), 9.66%,
2/1/2027
|
304
|
294
|
|
BCPE Pequod Buyer, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 7.79%,
11/25/2031
|
3,696
|
3,735
|
|
Belron Finance US LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.27%,
10/16/2031 (o)
|
2,099
|
2,116
|
|
BIFM CA Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.06%, 5/31/2028
|
254
|
256
|
|
Bleriot US Bidco, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.08%,
10/31/2030
|
318
|
319
|
|
Boost Newco Borrower LLC, 1st Lien Term Loan B-1 (3-MONTH CME TERM SOFR + 2.50%),
6.83%, 1/31/2031
|
389
|
390
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
Boxer Parent Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 8.34%,
7/30/2031
|
725
|
728
|
|
Buckeye Partners LP, 1st Lien Term Loan B-4 (1-MONTH CME TERM SOFR + 2.00%), 6.36%,
11/22/2030
|
398
|
398
|
|
Buckeye Partners LP, 1st Lien Term Loan B-5 (1-MONTH CME TERM SOFR + 1.75%), 6.06%,
11/2/2026
|
91
|
91
|
|
Caesars Entertainment, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%),
6.56%, 2/6/2030
|
569
|
571
|
|
Caesars Entertainment, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.25%),
6.56%, 2/6/2031
|
149
|
149
|
|
Calpine Construction Finance Co. LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%),
6.31%, 7/19/2030
|
562
|
562
|
|
Camelot US Acquisition LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%),
7.06%, 1/31/2031
|
273
|
273
|
|
Carnival Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 7.11%, 8/9/2027
|
443
|
444
|
|
Central Parent LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.58%, 7/6/2029 (o)
|
734
|
700
|
|
Chariot Buyer LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.66%, 11/3/2028
|
539
|
542
|
|
Charter Communications Operating LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR
+ 2.00%), 6.31%, 12/9/2030
|
1,336
|
1,335
|
|
Charter Communications Operating LLC, 1st Lien Term Loan B-5 (3-MONTH CME TERM SOFR
+ 2.25%), 6.56%, 12/15/2031
|
500
|
499
|
|
Cincinnati Bell, Inc., 1st Lien Term Loan B-2 7.92%, 11/22/2028
|
340
|
341
|
|
Claire's Stores, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 6.50%), 10.89%,
12/18/2026
|
1,763
|
1,378
|
|
Clarios Global LP, 1st Lien Term Loan
|
|
|
|
(1-MONTH CME TERM SOFR + 2.50%), 6.81%, 5/6/2030
|
429
|
428
|
|
(1-MONTH CME TERM SOFR + 2.75%), 7.07%, 1/14/2032 (o)
|
225
|
225
|
|
Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR +
4.00%), 8.43%, 8/23/2028
|
1,383
|
1,387
|
|
Cloud Software Group, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%),
8.08%, 3/21/2031
|
260
|
262
|
|
Coherent Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.00%), 6.31%, 7/2/2029
|
510
|
512
|
|
Conair Holdings LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 8.18%,
5/17/2028
|
1,962
|
1,810
|
|
Conservice Midco LLC, 1st Lien Term Loan B
|
|
|
|
(1-MONTH CME TERM SOFR + 3.50%), 7.86%, 5/13/2027
|
554
|
556
|
|
(12-MONTH CME TERM SOFR + 3.00%), 7.31%, 5/13/2030 (o)
|
100
|
100
|
|
Constellation Renewables LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.25%),
6.76%, 12/15/2027
|
408
|
408
|
|
CPI Holdco B LLC, 1st Lien Term Loan
|
|
|
|
(1-MONTH CME TERM SOFR + 2.00%), 6.31%, 5/19/2031
|
419
|
419
|
|
(1-MONTH CME TERM SOFR + 2.25%), 6.56%, 5/19/2031
|
135
|
135
|
|
CPPIB OVM Member US LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.58%,
8/7/2031
|
462
|
465
|
|
Creative Artists Agency LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%),
7.06%, 10/1/2031
|
444
|
446
|
|
Crosby US Acquisition Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.81%,
8/16/2029
|
252
|
255
|
|
CSC Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.50%), 8.91%, 1/18/2028
|
952
|
931
|
|
DaVita, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.00%), 6.31%, 4/25/2031
|
615
|
616
|
|
DCert Buyer, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.00%), 8.31%, 10/16/2026
|
219
|
212
|
|
DCert Buyer, Inc., 2nd Lien Term Loan (1-MONTH CME TERM SOFR + 7.00%), 11.31%, 2/16/2029
|
145
|
115
|
|
DexKo Global, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 8.34%, 10/4/2028
|
3,964
|
3,782
|
|
DIRECTV Financing LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 5.00%), 9.55%,
8/2/2027
|
1,811
|
1,812
|
|
Dun & Bradstreet Corp. (The), 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%),
6.56%, 1/18/2029
|
501
|
502
|
|
Ecovyst Catalyst Technologies LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%),
6.59%, 6/12/2031
|
474
|
475
|
|
Elanco Animal Health, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 1.75%), 6.19%,
8/2/2027
|
349
|
348
|
|
EMRLD Borrower LP, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.50%), 6.83%, 8/4/2031
|
3,054
|
3,064
|
|
EMRLD Borrower LP, 1st Lien Term Loan B (6-MONTH CME TERM SOFR + 2.50%), 6.93%, 5/31/2030
|
592
|
594
|
|
Endo Finance Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.00%), 8.31%,
4/23/2031
|
349
|
351
|
|
Ensemble RCM LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.00%), 7.29%, 8/1/2029
|
241
|
243
|
|
Entegris, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 1.75%), 6.07%, 7/6/2029
|
346
|
347
|
|
Enviri Corp., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 2.25%), 6.68%, 3/10/2028
|
597
|
595
|
|
EPIC Crude Services LP, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.30%,
10/15/2031
|
2,585
|
2,606
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
EW Scripps Co. (The), 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 3.00%), 7.43%,
1/7/2028
|
247
|
221
|
|
FGI Operating Co. LLC, 1st Lien Term Loan 0.00%, 1/31/2025 ‡ (j)
|
142
|
12
|
|
First Advantage Holdings LLC, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%),
7.56%, 10/31/2031
|
3,417
|
3,446
|
|
First Student Bidco, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.50%), 6.89%,
7/21/2028
|
1,987
|
1,990
|
|
First Student Bidco, Inc., 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR + 2.50%),
6.89%, 7/21/2028
|
4,223
|
4,230
|
|
First Student Bidco, Inc., 1st Lien Term Loan C (3-MONTH CME TERM SOFR + 2.50%), 6.89%,
7/21/2028
|
607
|
609
|
|
Gates Global LLC, 1st Lien Term Loan B-4 (1-MONTH CME TERM SOFR + 1.75%), 6.06%, 11/16/2029
|
171
|
171
|
|
Gemini HDPE LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.85%, 12/31/2027
|
395
|
394
|
|
Genesee & Wyoming, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 1.75%), 6.08%,
4/10/2031
|
602
|
601
|
|
Genesys Cloud Services Holdings II LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR
+ 3.00%), 7.36%, 12/1/2027 (o)
|
3,586
|
3,588
|
|
Go Daddy Operating Co. LLC, 1st Lien Term Loan B-6 6.57%, 11/12/2029
|
496
|
497
|
|
GOAT Holdco LLC, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.00%), 7.17%, 12/10/2031 (o)
|
290
|
291
|
|
Graham Packaging Co., Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.50%), 6.81%,
8/4/2027
|
333
|
334
|
|
Grant Thornton Advisors LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.06%,
6/2/2031
|
464
|
465
|
|
Gray Media, Inc., 1st Lien Term Loan D (1-MONTH CME TERM SOFR + 3.00%), 7.45%, 12/1/2028
|
208
|
191
|
|
Griffon Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 6.58%, 1/24/2029
|
436
|
438
|
|
Guardian US Holdco LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.50%), 7.83%,
1/31/2030
|
345
|
344
|
|
Hertz Corp. (The), 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.93%, 6/30/2028
|
528
|
475
|
|
Hertz Corp. (The), 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.50%), 7.93%, 6/30/2028
|
103
|
93
|
|
HUB International Ltd., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.75%), 7.04%,
6/20/2030
|
652
|
654
|
|
ICON Luxembourg SARL, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 2.00%), 6.33%, 7/3/2028
|
96
|
97
|
|
Icon Parent, Inc., 1st Lien Term Loan (12-MONTH CME TERM SOFR + 3.00%), 8.05%, 11/13/2031
|
3,285
|
3,300
|
|
Icon Parent, Inc., 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 5.00%), 9.52%, 9/13/2032
|
90
|
92
|
|
iHeartCommunications, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 5.78%),
10.39%, 5/1/2029
|
2,980
|
2,641
|
|
Indy US Bidco LLC, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 3.75%), 8.22%,
3/6/2028
|
374
|
375
|
|
INEOS Enterprises Holdings US Finco LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR
+ 3.75%), 8.36%, 7/7/2030
|
518
|
519
|
|
Ingram Micro, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.75%), 7.08%, 9/19/2031
|
172
|
174
|
|
Insulet Corp., 1st Lien Term Loan A (1-MONTH CME TERM SOFR + 2.50%), 6.81%, 8/1/2031
|
487
|
490
|
|
Iridium Satellite LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.56%,
9/20/2030
|
579
|
576
|
|
Jazz Financing Lux SARL, 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.56%,
5/5/2028
|
362
|
363
|
|
Jetblue Airways Corp., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 5.50%), 9.85%,
8/13/2029
|
534
|
536
|
|
KBR, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 6.31%, 1/17/2031
|
469
|
471
|
|
LABL, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.00%), 9.41%, 10/30/2028
|
3,019
|
2,821
|
|
Leslie's Poolmart, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.18%,
3/9/2028
|
554
|
525
|
|
Live Nation Entertainment, Inc., 1st Lien Term Loan B-4 (1-MONTH CME TERM SOFR + 1.75%),
6.15%, 10/19/2026
|
403
|
402
|
|
LSF12 Crown US Commercial Bidco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%),
8.59%, 12/2/2031 (o)
|
5,221
|
5,219
|
|
Lumen Technologies, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR + 2.35%),
6.78%, 4/16/2029
|
114
|
107
|
|
Lumen Technologies, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.35%),
6.78%, 4/15/2030
|
117
|
109
|
|
Madison IAQ LLC, 1st Lien Term Loan (6-MONTH CME TERM SOFR + 2.50%), 6.76%, 6/21/2028
|
3,578
|
3,583
|
|
Madison Safety & Flow LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.56%,
9/26/2031
|
464
|
467
|
|
Mauser Packaging Solutions Holding Co., 1st Lien Term Loan (1-MONTH CME TERM SOFR
+ 3.00%), 7.34%, 4/15/2027
|
589
|
592
|
|
MED ParentCo LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.50%), 7.81%, 4/15/2031
|
400
|
403
|
|
Medline Borrower LP, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.56%, 10/23/2028 (o)
|
2,731
|
2,743
|
|
MH Sub I LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 8.72%, 5/3/2028 (o)
|
494
|
487
|
|
MI OpCo Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 7.25%), 11.66%,
3/31/2028
|
2,244
|
2,250
|
|
Mirion Technologies, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.25%), 6.58%,
10/20/2028
|
409
|
410
|
|
Mister Car Wash Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%),
7.09%, 3/27/2031
|
358
|
360
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
MIWD Holdco II LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.31%, 3/28/2031
|
2,781
|
2,800
|
|
Modena Buyer LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.50%), 8.79%, 7/1/2031
|
314
|
296
|
|
Moran Foods LLC, 1st Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡
|
5,070
|
4,008
|
|
Moran Foods LLC, 1st Lien Super Senior Delayed Draw Term Loan 16.71%, 6/30/2026 ‡
|
2,672
|
2,672
|
|
Moran Foods LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 8.50%), 13.02%, 1/2/2029 ‡
|
698
|
698
|
|
Moran Foods LLC, 1st Lien Term Loan A (3-MONTH CME TERM SOFR + 2.50%), 7.02%, 1/2/2029 ‡
|
810
|
810
|
|
Moran Foods LLC, 2nd Lien PIK Term Loan (3-MONTH CME TERM SOFR + 2.00%), 2.00%, 6/30/2026 ‡
|
2,045
|
986
|
|
Naked Juice LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.43%, 1/24/2029 (o)
|
453
|
329
|
|
NCR Atleos LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 8.05%, 3/27/2029
|
168
|
169
|
|
Neon Maple US Debt Mergersub, Inc., 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR
+ 3.00%), 7.31%, 11/17/2031
|
4,896
|
4,906
|
|
NGL Energy Operating LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.06%,
2/3/2031
|
432
|
433
|
|
Option Care Health, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.25%), 6.56%,
10/27/2028
|
592
|
596
|
|
Orion Advisor Solutions, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%),
8.04%, 9/24/2030
|
535
|
540
|
|
Osmose Utilities Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%),
7.68%, 6/23/2028
|
722
|
721
|
|
Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B-4 (1-MONTH CME TERM SOFR
+ 2.50%), 6.81%, 9/25/2028
|
290
|
291
|
|
PAREXEL International, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.36%,
11/15/2028
|
1,865
|
1,873
|
|
Park River Holdings, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.82%,
12/28/2027
|
1,490
|
1,458
|
|
Petco Health & Wellness Co., Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%),
7.84%, 3/3/2028
|
6,633
|
6,364
|
|
PetSmart LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.16%, 2/11/2028
|
2,235
|
2,238
|
|
Pike Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.43%, 1/21/2028
|
756
|
762
|
|
Pra Health Sciences, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 2.00%), 6.33%,
7/3/2028
|
24
|
24
|
|
Prairie Acquiror LP, 1st Lien Term Loan B-2 8.62%, 8/1/2029
|
422
|
425
|
|
Pre-Paid Legal Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%),
7.68%, 12/7/2028
|
445
|
447
|
|
Prime Security Services Borrower LLC, 1st Lien Term Loan B-1 (1-MONTH CME TERM SOFR
+ 2.00%), 6.33%, 10/15/2030
|
911
|
913
|
|
Project Boost Purchaser LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.31%,
7/16/2031
|
461
|
464
|
|
Proofpoint, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%), 7.31%, 8/31/2028
|
502
|
505
|
|
Quikrete Holdings, Inc. 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.75%), 6.96%,
1/30/2032 (o)
|
4,572
|
4,595
|
|
Quikrete Holdings, Inc., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 2.25%), 6.56%,
3/19/2029
|
485
|
486
|
|
Radiology Partners, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.50%), 8.28%,
1/31/2029
|
491
|
484
|
|
Raven Acquisition Holdings LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%),
7.56%, 11/19/2031
|
2,712
|
2,720
|
|
RealPage, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.59%, 4/24/2028
|
276
|
275
|
|
Recess Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.05%,
2/20/2030
|
258
|
260
|
|
Resonetics LLC, 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 3.75%), 8.99%, 6/18/2031
|
265
|
267
|
|
Ring Container Technologies Group LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR +
2.75%), 7.06%, 8/14/2028
|
417
|
419
|
|
Rocket Software, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.25%), 8.56%,
11/28/2028
|
2,856
|
2,891
|
|
Sedgwick Claims Management Services, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR
+ 3.00%), 7.31%, 7/31/2031
|
507
|
509
|
|
Shutterfly Finance LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 6.00%), 10.29%,
10/1/2027 ‡
|
51
|
51
|
|
Shutterfly Finance LLC, 2nd Lien Term Loan (3-MONTH CME TERM SOFR + 1.00%), 5.33%,
10/1/2027
|
3,262
|
2,899
|
|
Six Flags Entertainment Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%),
6.36%, 5/1/2031
|
473
|
474
|
|
Skopima Consilio Parent LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 4.00%), 8.47%,
5/15/2028 (o)
|
714
|
716
|
|
Spirit AeroSystems, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.50%), 8.79%,
1/15/2027
|
210
|
212
|
|
SPX FLOW, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.31%, 4/5/2029
|
1,965
|
1,982
|
|
Staples, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 5.75%), 10.18%, 8/23/2029
|
963
|
926
|
|
Star Parent, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 4.00%), 8.33%, 9/27/2030
|
1,935
|
1,909
|
|
Star US Bidco LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.75%), 8.06%, 3/17/2027 (o)
|
743
|
746
|
|
Station Casinos LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.00%), 6.31%,
3/14/2031 (o)
|
349
|
350
|
|
Surgery Center Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%),
7.06%, 12/19/2030
|
318
|
319
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Loan Assignments — continued
|
||
|
United States — continued
|
||
|
Terex Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.00%), 6.31%, 10/8/2031 (o)
|
625
|
628
|
|
TGP Holdings III LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.66%, 6/29/2028
|
311
|
302
|
|
Thoughtworks, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 2.75%), 7.18%, 3/24/2028
|
147
|
143
|
|
Topgolf Callaway Brands Corp., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 3.00%),
7.31%, 3/18/2030
|
323
|
322
|
|
Trans Union LLC, 1st Lien Term Loan B-9 (1-MONTH CME TERM SOFR + 1.75%), 6.06%, 6/24/2031
|
508
|
508
|
|
TransDigm, Inc., 1st Lien Term Loan J (3-MONTH CME TERM SOFR + 2.50%), 6.83%, 2/28/2031 (o)
|
445
|
446
|
|
TransDigm, Inc., 1st Lien Term Loan K (3-MONTH CME TERM SOFR + 2.75%), 7.08%, 3/22/2030
|
484
|
486
|
|
Trident TPI Holdings, Inc., 1st Lien Term Loan B-7 (6-MONTH CME TERM SOFR + 3.75%),
8.19%, 9/15/2028
|
464
|
468
|
|
Triton Water Holdings, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.84%,
3/31/2028
|
2,510
|
2,519
|
|
UFC Holdings LLC, 1st Lien Term Loan B-4 (3-MONTH CME TERM SOFR + 2.25%), 6.77%, 11/21/2031
|
273
|
275
|
|
UKG, Inc., 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.00%), 7.30%, 2/10/2031
|
640
|
644
|
|
US Renal Care, Inc., 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 5.00%), 9.47%,
6/28/2028
|
3,293
|
3,063
|
|
USI, Inc., 1st Lien Term Loan D (3-MONTH CME TERM SOFR + 2.25%), 6.58%, 11/21/2029
|
523
|
522
|
|
Utz Quality Foods LLC, 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 7.11%,
1/20/2028
|
324
|
325
|
|
Varsity Brands LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 8.27%, 8/26/2031
|
5,297
|
5,303
|
|
Venator Materials LLC, 1st Lien Term Loan
|
|
|
|
(3-MONTH CME TERM SOFR + 10.00%), 14.31%, 1/16/2026
|
177
|
177
|
|
(3-MONTH CME TERM SOFR + 2.00%), 6.30%, 10/12/2028
|
289
|
286
|
|
Venator Materials LLC, 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 8.00%), 12.33%,
7/16/2026
|
177
|
177
|
|
Vertex Aerospace Services LLC, 1st Lien Term Loan 6.61%, 12/6/2030
|
461
|
462
|
|
Vertiv Group Corp., 1st Lien Term Loan B-3 (1-MONTH CME TERM SOFR + 1.75%), 6.09%,
3/2/2027
|
497
|
498
|
|
Virtusa Corp., 1st Lien Term Loan B-2 (1-MONTH CME TERM SOFR + 3.25%), 7.56%, 2/15/2029
|
514
|
517
|
|
VT Topco, Inc., 1st Lien Term Loan 8.07%, 8/9/2030
|
615
|
621
|
|
W.R. Grace Holdings LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.25%), 7.58%,
9/22/2028
|
1,027
|
1,035
|
|
Wand NewCo 3, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.75%), 7.11%, 1/30/2031
|
357
|
357
|
|
Wand NewCo 3, Inc., 1st Lien Term Loan B (12-MONTH CME TERM SOFR + 2.75%), 7.06%,
1/30/2031 (o)
|
150
|
150
|
|
WEC US Holdings, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.59%,
1/27/2031
|
968
|
971
|
|
Whatabrands LLC, 1st Lien Term Loan B 7.32%, 8/3/2028
|
534
|
536
|
|
White Cap Supply Holdings LLC, 1st Lien Term Loan C (1-MONTH CME TERM SOFR + 3.25%),
7.56%, 10/19/2029 (o)
|
3,763
|
3,770
|
|
WhiteWater Whistler Holdings LLC, 1st Lien Term Loan B-2 (3-MONTH CME TERM SOFR +
1.75%), 6.13%, 2/15/2030
|
557
|
555
|
|
WMG Acquisition Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 1.75%), 6.04%,
1/24/2031
|
534
|
534
|
|
Zekelman Industries, Inc., 1st Lien Term Loan (1-MONTH CME TERM SOFR + 2.25%), 6.55%,
1/24/2031
|
228
|
226
|
|
|
|
190,971
|
|
Total Loan Assignments
(Cost $199,818)
|
|
198,935
|
|
Asset-Backed Securities — 1.8%
|
||
|
Cayman Islands — 0.4%
|
||
|
Ballyrock CLO Ltd. Series 2020-2A, Class A2R, 6.10%, 10/20/2031 (a) (l)
|
2,900
|
2,904
|
|
Barings CLO Ltd. Series 2022-1A, Class B, 6.24%, 4/15/2035 (a) (l)
|
300
|
300
|
|
Buttermilk Park CLO Ltd. Series 2018-1A, Class CR, 6.25%, 10/15/2031 (a) (l)
|
931
|
932
|
|
Carlyle Global Market Strategies CLO Ltd.
|
|
|
|
Series 2015-4A, Class A2RR, 6.14%, 7/20/2032 (a) (l)
|
1,400
|
1,401
|
|
Series 2015-4A, Class BRR, 6.74%, 7/20/2032 (a) (l)
|
1,400
|
1,401
|
|
CIFC Funding Ltd. Series 2018-4A, Class A1, 5.71%, 10/17/2031 (a) (l)
|
1,856
|
1,856
|
|
Dryden CLO Ltd.
|
|
|
|
Series 2018-64A, Class A, 5.52%, 4/18/2031 (a) (l)
|
935
|
935
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Cayman Islands — continued
|
||
|
Series 2019-68A, Class BRR, 5.85%, 7/15/2035 (a) (l)
|
650
|
650
|
|
Dryden Senior Loan Fund Series 2015-37A, Class AR, 5.66%, 1/15/2031 (a) (l)
|
747
|
748
|
|
Madison Park Funding Ltd. Series 2018-29A, Class BR, 6.09%, 10/18/2030 (a) (l)
|
2,230
|
2,233
|
|
Magnetite Ltd.
|
|
|
|
Series 2019-22A, Class BRR, 5.90%, 7/15/2036 (a) (l)
|
1,018
|
1,019
|
|
Series 2019-22A, Class CRR, 6.15%, 7/15/2036 (a) (l)
|
977
|
980
|
|
Neuberger Berman Loan Advisers CLO Ltd.
|
|
|
|
Series 2019-31A, Class AR, 5.59%, 4/20/2031 (a) (l)
|
1,894
|
1,894
|
|
Series 2019-34A, Class BR, 6.04%, 1/20/2035 (a) (l)
|
900
|
902
|
|
Octagon Investment Partners Ltd. Series 2013-1A, Class A1RR, 5.52%, 7/19/2030 (a) (l)
|
545
|
546
|
|
Palmer Square Loan Funding Ltd.
|
|
|
|
Series 2024-3A, Class A2, 6.17%, 8/8/2032 (a) (l)
|
2,199
|
2,205
|
|
Series 2024-3A, Class B, 6.42%, 8/8/2032 (a) (l)
|
2,300
|
2,308
|
|
Series 2024-1A, Class A2, 5.75%, 10/15/2032 (a) (l)
|
250
|
250
|
|
RR Ltd. Series 2020-12A, Class A2R3, 5.90%, 1/15/2036 (a) (l)
|
2,163
|
2,166
|
|
Symphony CLO Ltd. Series 2018-19A, Class B, 5.92%, 4/16/2031 (a) (l)
|
1,400
|
1,401
|
|
Voya CLO Ltd.
|
|
|
|
Series 2016-3A, Class CR, 7.80%, 10/18/2031 (a) (l)
|
550
|
551
|
|
Series 2022-1A, Class BR, 6.04%, 4/20/2035 (a) (l)
|
1,180
|
1,181
|
|
|
|
28,763
|
|
Jersey — 0.0% ^
|
||
|
Neuberger Berman Loan Advisers CLO Ltd.
|
|
|
|
Series 2022-50A, Class BR, 5.94%, 7/23/2036 (a) (l)
|
1,200
|
1,201
|
|
Series 2022-50A, Class CR, 6.19%, 7/23/2036 (a) (l)
|
779
|
781
|
|
|
|
1,982
|
|
United States — 1.4%
|
||
|
ABFC Trust
|
|
|
|
Series 2003-OPT1, Class A1A, 5.25%, 4/25/2033 (l)
|
83
|
83
|
|
Series 2004-OPT3, Class M1, 5.18%, 9/25/2033 (l)
|
87
|
87
|
|
Series 2004-HE1, Class M1, 5.33%, 3/25/2034 (l)
|
386
|
385
|
|
Accredited Mortgage Loan Trust Series 2004-4, Class M1, 4.74%, 1/25/2035 (l)
|
341
|
332
|
|
ACE Securities Corp. Home Equity Loan Trust
|
|
|
|
Series 2003-FM1, Class M1, 5.72%, 11/25/2032 (l)
|
241
|
260
|
|
Series 2004-OP1, Class M2, 6.00%, 4/25/2034 (l)
|
833
|
742
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2024-1, Class D, 5.86%, 5/13/2030 (a)
|
1,400
|
1,417
|
|
Series 2023-4, Class D, 7.65%, 9/12/2030 (a)
|
1,400
|
1,462
|
|
Series 2024-4, Class C, 4.91%, 8/12/2031 (a)
|
367
|
366
|
|
Series 2024-4, Class D, 5.34%, 8/12/2031 (a)
|
446
|
447
|
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series
2002-AR1, Class M1, 3.22%, 9/25/2032 (l)
|
51
|
53
|
|
Asset-Backed Securities Corp. Home Equity Loan Trust
|
|
|
|
Series 2004-HE2, Class M2, 6.30%, 4/25/2034 (l)
|
141
|
166
|
|
Series 2004-HE7, Class M2, 6.00%, 10/25/2034 (l)
|
137
|
134
|
|
Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class C, 5.85%, 12/26/2031 (a) (l)
|
170
|
171
|
|
Bear Stearns Asset-Backed Securities Trust
|
|
|
|
Series 2003-SD1, Class M1, 5.70%, 12/25/2033 (l)
|
388
|
412
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2004-SD4, Class A1, 5.33%, 8/25/2044 (l)
|
494
|
484
|
|
Bridgecrest Lending Auto Securitization Trust Series 2024-3, Class D, 5.83%, 5/15/2030
|
1,480
|
1,497
|
|
Carlyle Global Market Strategies CLO Ltd. Series 2012-3A, Class A1A2, 5.73%, 1/14/2032 (a) (l)
|
732
|
733
|
|
Centex Home Equity Loan Trust
|
|
|
|
Series 2004-C, Class M2, 4.38%, 6/25/2034 (l)
|
286
|
276
|
|
Series 2004-D, Class MV2, 5.46%, 9/25/2034 (l)
|
14
|
13
|
|
Series 2004-D, Class MF2, 6.06%, 9/25/2034 (h)
|
412
|
409
|
|
Chase Funding Trust
|
|
|
|
Series 2003-5, Class 1M2, 5.03%, 9/25/2032 (l)
|
98
|
85
|
|
Series 2004-1, Class 1M1, 4.73%, 5/25/2033
|
841
|
779
|
|
Series 2003-4, Class 1A5, 4.90%, 5/25/2033 (h)
|
432
|
415
|
|
CHEC Loan Trust Series 2004-1, Class M1, 5.33%, 7/25/2034 (a) (l)
|
423
|
416
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
Series 2005-OPT1, Class M4, 5.48%, 2/25/2035 (l)
|
21
|
18
|
|
Series 2005-WF2, Class AF7, 5.75%, 8/25/2035 (h)
|
19
|
17
|
|
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2020-9, Class PT,
6.06%, 4/15/2045 ‡ (a) (l)
|
36
|
34
|
|
Countrywide Asset-Backed Certificates Series 2004-3, Class M1, 5.18%, 6/25/2034 (l)
|
334
|
333
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a)
|
1,000
|
1,029
|
|
Series 2023-3A, Class B, 7.09%, 10/17/2033 (a)
|
311
|
320
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (a)
|
364
|
369
|
|
Series 2024-1A, Class B, 6.03%, 5/15/2034 (a)
|
320
|
325
|
|
Series 2024-1A, Class C, 6.71%, 7/17/2034 (a)
|
420
|
430
|
|
CWABS Asset-Backed Certificates Trust Series 2005-11, Class AF6, 5.05%, 2/25/2036 (l)
|
26
|
26
|
|
CWABS Asset-Backed Certificates Trust, Series 2004-BC4, Class M1, 5.48%, 11/25/2034 (l)
|
3
|
4
|
|
CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 5.25%, 3/25/2034 (l)
|
100
|
108
|
|
DT Auto Owner Trust
|
|
|
|
Series 2022-1A, Class E, 5.53%, 3/15/2029 (a)
|
500
|
494
|
|
Series 2023-3A, Class C, 6.40%, 5/15/2029 (a)
|
900
|
914
|
|
Series 2022-3A, Class E, 10.99%, 7/16/2029 (a)
|
1,000
|
1,066
|
|
Exeter Automobile Receivables Trust Series 2022-6A, Class D, 8.03%, 4/6/2029
|
804
|
836
|
|
FFMLT Trust Series 2004-FF3, Class M1, 5.25%, 5/25/2034 (l)
|
238
|
233
|
|
Finance America Mortgage Loan Trust Series 2004-3, Class M2, 5.37%, 11/25/2034 (l)
|
139
|
125
|
|
Fremont Home Loan Trust
|
|
|
|
Series 2002-1, Class M1, 5.68%, 8/25/2033 (l)
|
514
|
545
|
|
Series 2004-B, Class M2, 5.37%, 5/25/2034 (l)
|
258
|
250
|
|
Series 2004-C, Class M1, 5.40%, 8/25/2034 (l)
|
404
|
371
|
|
Series 2004-D, Class M2, 5.33%, 11/25/2034 (l)
|
162
|
148
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2021-3A, Class E, 3.20%, 10/16/2028 (a)
|
900
|
871
|
|
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a)
|
1,250
|
1,221
|
|
GSAMP Trust
|
|
|
|
Series 2003-SEA, Class A1, 5.23%, 2/25/2033 (l)
|
240
|
234
|
|
Series 2003-HE1, Class M1, 5.66%, 6/20/2033 (l)
|
495
|
509
|
|
Hertz Vehicle Financing LLC
|
|
|
|
Series 2023-3A, Class A, 5.94%, 2/25/2028 (a)
|
420
|
427
|
|
Series 2023-2A, Class D, 9.40%, 9/25/2029 (a)
|
700
|
722
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Home Equity Mortgage Loan Asset-Backed Trust
|
|
|
|
Series 2004-B, Class M2, 4.59%, 11/25/2034 (l)
|
198
|
191
|
|
Series 2004-C, Class M2, 4.21%, 3/25/2035 (l)
|
636
|
539
|
|
LendingClub Loan Certificate Issuer Trust
|
|
|
|
Series 2022-NP3, Class CERT, 0.00%, 5/15/2037 ‡ (a)
|
125
|
999
|
|
Series 2022-P3, Class CERT, 0.00%, 5/15/2037 ‡ (a)
|
125
|
674
|
|
Series 2022-NP5, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
200
|
2,037
|
|
Series 2022-P4, Class CERT, 0.00%, 6/15/2037 ‡ (a)
|
200
|
1,229
|
|
Series 2022-NP6, Class CERT, 0.00%, 7/15/2037 ‡ (a)
|
50
|
515
|
|
Lendmark Funding Trust Series 2021-2A, Class B, 2.37%, 4/20/2032 (a)
|
500
|
454
|
|
Long Beach Mortgage Loan Trust Series 2003-4, Class M1, 5.45%, 8/25/2033 (l)
|
1
|
1
|
|
Magnetite Ltd. Series 2023-39A, Class BR, 5.85%, 1/25/2037 (a) (l)
|
250
|
251
|
|
MASTR Asset-Backed Securities Trust
|
|
|
|
Series 2004-OPT2, Class M2, 5.40%, 9/25/2034 (l)
|
288
|
310
|
|
Series 2005-NC1, Class M4, 5.57%, 12/25/2034 (l)
|
428
|
427
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-OPT1, Class M1, 5.40%, 7/25/2034 (l)
|
38
|
31
|
|
Series 2004-HE2, Class M1, 5.63%, 8/25/2035 (l)
|
41
|
40
|
|
Morgan Stanley ABS Capital I, Inc. Trust
|
|
|
|
Series 2003-NC10, Class M1, 5.45%, 10/25/2033 (l)
|
135
|
134
|
|
Series 2004-WMC2, Class M1, 5.34%, 7/25/2034 (l)
|
593
|
611
|
|
Series 2004-WMC2, Class M2, 6.23%, 7/25/2034 (l)
|
131
|
123
|
|
Series 2004-HE6, Class M2, 5.33%, 8/25/2034 (l)
|
479
|
467
|
|
Series 2004-HE7, Class M2, 5.37%, 8/25/2034 (l)
|
28
|
29
|
|
Series 2004-HE6, Class M3, 5.40%, 8/25/2034 (l)
|
186
|
179
|
|
Series 2004-HE8, Class M2, 5.45%, 9/25/2034 (l)
|
184
|
184
|
|
Series 2004-NC8, Class M3, 5.54%, 9/25/2034 (l)
|
110
|
114
|
|
Series 2004-HE8, Class M3, 5.55%, 9/25/2034 (l)
|
161
|
174
|
|
Series 2005-HE1, Class M2, 5.13%, 12/25/2034 (l)
|
198
|
190
|
|
Series 2005-NC1, Class M3, 5.19%, 1/25/2035 (l)
|
263
|
258
|
|
Morgan Stanley Mortgage Loan Trust Series 2007-5AX, Class 2A2, 4.73%, 2/25/2037 (l)
|
2,682
|
536
|
|
New Century Home Equity Loan Trust
|
|
|
|
Series 2004-2, Class M2, 5.36%, 8/25/2034 (l)
|
63
|
68
|
|
Series 2004-3, Class M2, 5.40%, 11/25/2034 (l)
|
33
|
37
|
|
Series 2004-4, Class M2, 5.22%, 2/25/2035 (l)
|
61
|
66
|
|
NovaStar Mortgage Funding Trust Series 2003-2, Class M2, 7.20%, 9/25/2033 (l)
|
633
|
639
|
|
NRM FNT1 Excess LLC Series 2024-FNT1, Class A, 7.40%, 11/25/2031 (a)
|
2,592
|
2,612
|
|
Oak Street Investment Grade Net Lease Fund
|
|
|
|
Series 2021-1A, Class A3, 2.80%, 1/20/2051 (a)
|
2,487
|
2,382
|
|
Series 2021-1A, Class B1, 4.23%, 1/20/2051 (a)
|
1,250
|
1,187
|
|
Option One Mortgage Accept Corp. Asset-Backed Certificates Series 2003-5, Class A2,
5.07%, 8/25/2033 (l)
|
208
|
210
|
|
Option One Mortgage Loan Trust Series 2004-3, Class M2, 5.28%, 11/25/2034 (l)
|
271
|
275
|
|
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a)
|
621
|
578
|
|
PRET LLC
|
|
|
|
Series 2021-NPL3, Class A2, 3.72%, 7/25/2051 (a) (h)
|
3,395
|
3,343
|
|
Series 2021-RN4, Class A2, 9.19%, 10/25/2051 (a) (l)
|
5,060
|
5,053
|
|
Series 2024-NPL2, Class A1, 7.02%, 2/25/2054 (a) (h)
|
10,327
|
10,369
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Series 2024-RN1, Class A1, 7.14%, 3/25/2054 (a) (h)
|
4,111
|
4,127
|
|
Series 2024-NPL3, Class A1, 7.52%, 4/27/2054 (a) (h)
|
9,273
|
9,369
|
|
Series 2024-NPL9, Class A1, 5.85%, 12/25/2054 (a) (h)
|
8,645
|
8,645
|
|
Pretium Mortgage Credit Partners LLC Series 2021-RN1, Class A2, 3.60%, 2/25/2061 (a) (h)
|
5,121
|
5,027
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR8, Class G, 4.01%, 10/17/2038 (a)
|
6,080
|
5,892
|
|
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a)
|
1,250
|
1,224
|
|
PRPM LLC
|
|
|
|
Series 2021-6, Class A2, 6.47%, 7/25/2026 (a) (h)
|
3,571
|
3,520
|
|
Series 2021-11, Class A1, 5.49%, 11/25/2026 (a) (h)
|
2,762
|
2,756
|
|
RAMP Trust Series 2002-RS2, Class AI5, 4.65%, 3/25/2032 (l)
|
123
|
121
|
|
RCO Mortgage LLC Series 2024-1, Class A1, 7.02%, 1/25/2029 (a) (h)
|
2,442
|
2,449
|
|
Renaissance Home Equity Loan Trust
|
|
|
|
Series 2002-3, Class M1, 5.93%, 12/25/2032 (l)
|
267
|
247
|
|
Series 2003-1, Class M1, 5.93%, 6/25/2033 (l)
|
113
|
102
|
|
Series 2003-4, Class M1, 5.70%, 3/25/2034 (l)
|
1,058
|
936
|
|
Series 2003-4, Class M2F, 6.24%, 3/25/2034 (h)
|
581
|
377
|
|
Republic Finance Issuance Trust Series 2024-A, Class A, 5.91%, 8/20/2032 (a)
|
1,546
|
1,562
|
|
Santander Bank Auto Credit-Linked Notes
|
|
|
|
Series 2022-C, Class B, 6.45%, 12/15/2032 (a)
|
90
|
90
|
|
Series 2022-C, Class C, 6.99%, 12/15/2032 (a)
|
78
|
78
|
|
Series 2022-C, Class D, 8.20%, 12/15/2032 (a)
|
72
|
72
|
|
Series 2022-C, Class E, 11.37%, 12/15/2032 (a)
|
39
|
40
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2024-1, Class B, 5.23%, 12/15/2028
|
300
|
302
|
|
Series 2024-1, Class C, 5.45%, 3/15/2030
|
160
|
162
|
|
Series 2024-4, Class C, 4.95%, 4/15/2030
|
544
|
543
|
|
Series 2023-6, Class C, 6.40%, 3/17/2031
|
502
|
518
|
|
Series 2024-4, Class D, 5.32%, 12/15/2031
|
574
|
575
|
|
SASCO Mortgage Loan Trust Series 2004-GEL3, Class M1, 4.64%, 8/25/2034 (l)
|
322
|
321
|
|
Saxon Asset Securities Trust Series 2004-2, Class MV2, 1.38%, 8/25/2035 (l)
|
88
|
95
|
|
SBA Small Business Investment Cos.
|
|
|
|
Series 2023-10A, Class 1, 5.17%, 3/10/2033
|
1,243
|
1,256
|
|
Series 2023-10B, Class 1, 5.69%, 9/10/2033
|
518
|
529
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2005-OP1, Class M2, 5.10%, 1/25/2035 (l)
|
308
|
271
|
|
Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A2, 4.38%, 10/16/2026 (a) (h)
|
500
|
481
|
|
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1, Class
A3, 3.45%, 2/25/2032
|
—
|
—
|
|
Theorem Funding Trust Series 2022-3A, Class A, 7.60%, 4/15/2029 (a)
|
130
|
130
|
|
Toyota Auto Loan Extended Note Trust Series 2021-1A, Class A, 1.07%, 2/27/2034 (a)
|
307
|
296
|
|
Upstart Pass-Through Trust
|
|
|
|
Series 2022-PT3, Class A, 19.86%, 4/20/2030 ‡ (a) (l)
|
576
|
575
|
|
Series 2022-PT4, Class A, 17.35%, 5/20/2030 ‡ (a) (l)
|
1,139
|
1,139
|
|
Upstart Securitization Trust
|
|
|
|
Series 2022-1, Class C, 5.71%, 3/20/2032 (a)
|
1,200
|
666
|
|
Series 2022-4, Class A, 5.98%, 8/20/2032 (a)
|
63
|
63
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Wells Fargo Home Equity Asset-Backed Securities Trust
|
|
|
|
Series 2004-2, Class M8B, 5.00%, 10/25/2034 (a) (l)
|
290
|
263
|
|
Series 2004-2, Class M8A, 8.93%, 10/25/2034 (a) (l)
|
290
|
288
|
|
|
|
116,226
|
|
Total Asset-Backed Securities
(Cost $148,227)
|
|
146,971
|
|
U.S. Treasury Obligations — 1.3%
|
||
|
United States — 1.3%
|
||
|
U.S. Treasury Notes
|
|
|
|
4.25%, 1/31/2026 (p)
|
72,197
|
72,189
|
|
4.63%, 11/15/2026
|
400
|
403
|
|
3.38%, 9/15/2027
|
515
|
504
|
|
4.13%, 10/31/2029
|
12,570
|
12,458
|
|
4.25%, 11/15/2034
|
25,015
|
24,433
|
|
Total U.S. Treasury Obligations
(Cost $110,163)
|
|
109,987
|
|
|
SHARES
(000)
|
|
|
Preferred Stocks — 0.4%
|
||
|
United States — 0.4%
|
||
|
Allstate Corp. (The) Series J, 7.38%, 7/15/2028 ($25 par value) (q)
|
66
|
1,754
|
|
Morgan Stanley,
|
|
|
|
Series I, 6.38%, 4/15/2025
($25 par value) (q)
|
62
|
1,551
|
|
Series K, 5.85%, 4/15/2027
($25 par value) (q)
|
254
|
6,194
|
|
Series P, 6.50%, 10/15/2027
($25 par value) (q)
|
144
|
3,704
|
|
Series Q, 6.63%, 10/15/2029
($25 par value) (q)
|
258
|
6,708
|
|
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡
|
2,316
|
2,483
|
|
SCE Trust VI 5.00%, 3/9/2025 ($25 par value) (q)
|
333
|
5,737
|
|
Wells Fargo & Co. Series Z, 4.75%, 3/15/2025 ($25 par value) (q)
|
332
|
6,712
|
|
Total Preferred Stocks
(Cost $37,246)
|
|
34,843
|
|
Convertible Preferred Stocks — 0.1%
|
||
|
United States — 0.1%
|
||
|
Claire's Stores, Inc. ‡ * (m)
(Cost $5,448)
|
4
|
4,926
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Convertible Bonds — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
EchoStar Corp. 3.88% (PIK), 11/30/2030 (i)(Cost $1,900)
|
1,816
|
2,100
|
|
Total Convertible Bonds
(Cost $1,900)
|
|
2,100
|
|
Mortgage-Backed Securities — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
FHLMC UMBS, 30 Year Pool # SD8238, 4.50%, 8/1/2052
|
89
|
83
|
|
FNMA UMBS, 20 Year Pool # CA1231, 3.50%, 2/1/2038
|
183
|
173
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # MA4398, 2.00%, 8/1/2051
|
506
|
397
|
|
Pool # MA4465, 2.00%, 11/1/2051
|
45
|
36
|
|
Pool # MA4548, 2.50%, 2/1/2052
|
17
|
13
|
|
Pool # MA4563, 2.50%, 3/1/2052
|
50
|
41
|
|
Pool # MA4564, 3.00%, 3/1/2052
|
15
|
12
|
|
Pool # MA4624, 3.00%, 6/1/2052
|
65
|
56
|
|
Pool # MA4733, 4.50%, 9/1/2052
|
85
|
80
|
|
Total Mortgage-Backed Securities
(Cost $1,045)
|
|
891
|
|
|
NO. OF
WARRANTS
(000)
|
|
|
Warrants — 0.0% ^
|
||
|
United Kingdom — 0.0% ^
|
||
|
Cineworld Group plc expiring 12/31/2049, price 4,149.00 GBP *
|
17
|
—
|
|
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD ‡ *
|
48
|
—
|
|
|
|
—
|
|
United States — 0.0% ^
|
||
|
Audacy
|
|
|
|
expiring 12/31/2049, price 10.75 USD *
|
10
|
195
|
|
expiring 12/31/2049, price 10.75 USD ‡ *
|
2
|
—
|
|
expiring 12/31/2049, price 10.75 USD ‡ *
|
13
|
4
|
|
|
|
199
|
|
Total Warrants
(Cost $4,630)
|
|
199
|
|
|
NO. OF
RIGHTS
(000)
|
|
|
Rights — 0.0% ^
|
||
|
Spain — 0.0% ^
|
||
|
ACS Actividades de Construccion y Servicios SA, expiring 2/4/2025*(Cost $14)
|
30
|
15
|
|
|
PRINCIPAL
AMOUNT
($000)
|
|
|
Short-Term Investments — 2.2%
|
||
|
Certificates of Deposits — 0.0% ^
|
||
|
Kookmin Bank, 5.47%, 5/14/2025
|
143
|
143
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Short-Term Investments — continued
|
||
|
Certificates of Deposits — continued
|
||
|
Standard Chartered Bank, 5.51%, 4/10/2025
|
400
|
401
|
|
Total Certificates of Deposits
(Cost $544)
|
|
544
|
|
Commercial Paper — 0.0% ^
|
||
|
BPCE SA, 4.62%, 11/6/2025 (a)
|
250
|
242
|
|
Caisse d'Amortissement de la Dette Sociale, 5.30%, 4/1/2025 (a) (r)
|
250
|
248
|
|
Chevron Corp.
|
|
|
|
4.60%, 4/23/2025 (a)
|
250
|
248
|
|
4.60%, 4/24/2025 (a) (r)
|
250
|
247
|
|
DNB Bank ASA
|
|
|
|
5.49%, 5/29/2025 (a)
|
246
|
243
|
|
4.55%, 11/12/2025 (a)
|
250
|
242
|
|
First Abu Dhabi Bank PJSC, 4.61%, 11/13/2025 (a)
|
250
|
241
|
|
Glencore Funding LLC, 4.66%, 10/31/2025 (a)
|
499
|
481
|
|
National Bank of Canada, 5.55%, 4/30/2025 (a) (r)
|
250
|
247
|
|
NatWest Markets plc, 4.62%, 2/4/2025 (a) (r)
|
300
|
300
|
|
Total Commercial Paper
(Cost $2,737)
|
|
2,739
|
|
|
SHARES
(000)
|
|
|
Investment Companies — 1.1%
|
||
|
JPMorgan Prime Money Market Fund Class IM Shares, 4.46% (s) (t)
|
31,344
|
31,357
|
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.38% (s) (t)
|
58,092
|
58,115
|
|
Total Investment Companies
(Cost $89,468)
|
|
89,472
|
|
Investment of Cash Collateral from Securities Loaned — 1.1%
|
||
|
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.38% (s) (t)(Cost $91,425)
|
91,425
|
91,425
|
|
Total Short-Term Investments
(Cost $184,174)
|
|
184,180
|
|
Total Investments — 100.4%
(Cost $7,926,537)
|
|
8,335,710
|
|
Liabilities in Excess of Other Assets — (0.4)%
|
|
(32,521
)
|
|
NET ASSETS — 100.0%
|
|
8,303,189
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ADR
|
American Depositary Receipt
|
|
CIFC
|
Commercial Industrial Finance Corp.
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
CVA
|
Certificaten Van Aandelen (Dutch Certificate)
|
|
ELN
|
Equity-Linked Note
|
|
ETF
|
Exchange Traded Fund
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GBP
|
British Pound
|
|
GDR
|
Global Depositary Receipt
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of January 31, 2025. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
JSC
|
Joint Stock Company
|
|
OYJ
|
Public Limited Company
|
|
PIK
|
Payment In Kind
|
|
PJSC
|
Public Joint Stock Company
|
|
PO
|
Principal Only represents the right to receive the principal portion only on an underlying
pool of mortgage loans. The market value of these securities is
extremely volatile in response to changes in market interest rates. As prepayments
on the underlying mortgages of these securities increase, the yield on
these securities increases.
|
|
Preference
|
A special type of equity investment that shares in the earnings of the company, has
limited voting rights, and may have a dividend preference. Preference
shares may also have liquidation preference.
|
|
PT
|
Limited liability company
|
|
RE
|
Reinsured
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
RTS
|
Russian Trading System
|
|
SCA
|
Limited partnership with share capital
|
|
SDR
|
Swedish Depositary Receipt
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(b)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of January 31, 2025.
|
|
|
(d)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at January 31, 2025 is $182,310 or 2.20% of the Fund’s net
assets as of January 31, 2025.
|
|
|
(e)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(f)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon
rate for this security is fixed for a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects
the next call date. The coupon rate shown is the rate in
effect as of January 31, 2025.
|
|
|
(g)
|
The security or a portion of this security is on loan at January 31, 2025. The total
value of securities on loan at January 31, 2025 is
$84,784.
|
|
|
(h)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of January 31,
2025.
|
|
|
(i)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(j)
|
Defaulted security.
|
|
|
(k)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(l)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
January 31, 2025.
|
|
|
(m)
|
Fund is subject to legal or contractual restrictions on the resale of the security.
|
|
|
(n)
|
Loan assignments are presented by obligor. Each series or loan tranche underlying
each obligor may have varying terms.
|
|
|
(o)
|
All or a portion of this security is unsettled as of January 31, 2025. Unless otherwise
indicated, the coupon rate is undetermined. The coupon
rate shown may not be accrued for the entire position.
|
|
|
(p)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts.
|
|
|
(q)
|
The date shown reflects the next call date on which the issuer may redeem the security
at par value. The coupon rate for this security is based
on par value and is in effect as of January 31, 2025.
|
|
|
(r)
|
The rate shown is the effective yield as of January 31, 2025.
|
|
|
(s)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(t)
|
The rate shown is the current yield as of January 31, 2025.
|
|
|
INDUSTRY
|
PERCENT OF
TOTAL
INVESTMENTS
|
|
U.S. Equity
|
10.6
%
|
|
Banks
|
7.3
|
|
Oil, Gas & Consumable Fuels
|
5.9
|
|
Convertible Bonds
|
5.7
|
|
Commercial Mortgage-Backed Securities
|
4.2
|
|
Collateralized Mortgage Obligations
|
3.3
|
|
Media
|
3.1
|
|
Diversified Telecommunication Services
|
3.0
|
|
Semiconductors & Semiconductor Equipment
|
2.8
|
|
Capital Markets
|
2.7
|
|
Foreign Government Securities
|
2.5
|
|
Electric Utilities
|
2.4
|
|
Hotels, Restaurants & Leisure
|
2.0
|
|
Pharmaceuticals
|
2.0
|
|
Insurance
|
1.9
|
|
Software
|
1.8
|
|
Asset-Backed Securities
|
1.8
|
|
Chemicals
|
1.7
|
|
Automobile Components
|
1.6
|
|
Health Care Providers & Services
|
1.5
|
|
U.S. Treasury Notes
|
1.3
|
|
Specialty Retail
|
1.3
|
|
Machinery
|
1.3
|
|
Commercial Services & Supplies
|
1.2
|
|
Consumer Finance
|
1.1
|
|
Metals & Mining
|
1.0
|
|
Financial Services
|
1.0
|
|
Building Products
|
1.0
|
|
Consumer Staples Distribution & Retail
|
1.0
|
|
Others (each less than 1.0%)
|
19.8
|
|
Short-Term Investments
|
2.2
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
18,958
|
03/20/2025
|
USD
|
2,066,718
|
(15,887
)
|
|
EURO STOXX 50 Index
|
16
|
03/21/2025
|
EUR
|
875
|
46
|
|
FTSE 100 Index
|
4
|
03/21/2025
|
GBP
|
428
|
18
|
|
NASDAQ 100 E-Mini Index
|
153
|
03/21/2025
|
USD
|
66,024
|
669
|
|
S&P 500 E-Mini Index
|
958
|
03/21/2025
|
USD
|
290,478
|
(2,007
)
|
|
|
|
|
|
|
(17,161
)
|
|
Short Contracts
|
|
|
|
|
|
|
EURO STOXX 50 Index
|
(3,969
)
|
03/21/2025
|
EUR
|
(217,113
)
|
(9,279
)
|
|
|
|
|
|
|
(26,440
)
|
|
Abbreviations
|
|
|
EUR
|
Euro
|
|
FTSE
|
Financial Times and the London Stock Exchange
|
|
GBP
|
British Pound
|
|
USD
|
United States Dollar
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
|
Cayman Islands
|
$—
|
$28,763
|
$—
|
$28,763
|
|
Jersey
|
—
|
1,982
|
—
|
1,982
|
|
United States
|
—
|
109,024
|
7,202
|
116,226
|
|
Total Asset-Backed Securities
|
—
|
139,769
|
7,202
|
146,971
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
United States
|
—
|
268,804
|
8,202
|
277,006
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
United States
|
—
|
348,765
|
1,768
|
350,533
|
|
Common Stocks
|
|
|
|
|
|
Australia
|
—
|
45,663
|
—
|
45,663
|
|
Austria
|
—
|
10,547
|
—
|
10,547
|
|
Belgium
|
—
|
3,630
|
—
|
3,630
|
|
Brazil
|
14,047
|
—
|
—
|
14,047
|
|
Canada
|
73,335
|
—
|
—
|
73,335
|
|
Chile
|
1,308
|
—
|
—
|
1,308
|
|
China
|
7,576
|
88,245
|
—
|
95,821
|
|
Denmark
|
1,014
|
6,027
|
—
|
7,041
|
|
Finland
|
4,980
|
23,948
|
—
|
28,928
|
|
France
|
—
|
152,054
|
—
|
152,054
|
|
Germany
|
—
|
96,391
|
—
|
96,391
|
|
Greece
|
—
|
2,962
|
—
|
2,962
|
|
Guatemala
|
1,014
|
—
|
—
|
1,014
|
|
Hong Kong
|
253
|
14,058
|
—
|
14,311
|
|
India
|
10,676
|
30,668
|
—
|
41,344
|
|
Indonesia
|
—
|
13,843
|
—
|
13,843
|
|
Ireland
|
25,025
|
1,053
|
—
|
26,078
|
|
Israel
|
887
|
507
|
—
|
1,394
|
|
Italy
|
—
|
48,595
|
—
|
48,595
|
|
Japan
|
710
|
90,125
|
—
|
90,835
|
|
Luxembourg
|
—
|
—
|
8,804
|
8,804
|
|
Mexico
|
19,326
|
—
|
—
|
19,326
|
|
Netherlands
|
2,281
|
48,215
|
—
|
50,496
|
|
New Zealand
|
764
|
—
|
—
|
764
|
|
Norway
|
6,169
|
13,756
|
—
|
19,925
|
|
Peru
|
850
|
—
|
—
|
850
|
|
Poland
|
—
|
1,567
|
—
|
1,567
|
|
Portugal
|
—
|
1,781
|
—
|
1,781
|
|
Russia
|
—
|
—
|
—(a
)
|
—(a
)
|
|
Saudi Arabia
|
—
|
14,778
|
—
|
14,778
|
|
Singapore
|
—
|
23,327
|
—
|
23,327
|
|
South Africa
|
2,985
|
7,559
|
—
|
10,544
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
South Korea
|
$—
|
$38,576
|
$—
|
$38,576
|
|
Spain
|
2,668
|
30,474
|
—
|
33,142
|
|
Sweden
|
8,014
|
33,719
|
—
|
41,733
|
|
Switzerland
|
—
|
12,686
|
—
|
12,686
|
|
Taiwan
|
—
|
113,296
|
—
|
113,296
|
|
Thailand
|
—
|
4,726
|
—
|
4,726
|
|
United Kingdom
|
13,913
|
128,495
|
—
|
142,408
|
|
United States
|
1,293,190
|
49,309
|
10,556
|
1,353,055
|
|
Total Common Stocks
|
1,490,985
|
1,150,580
|
19,360
|
2,660,925
|
|
Convertible Bonds
|
—
|
2,100
|
—
|
2,100
|
|
Convertible Preferred Stocks
|
—
|
—
|
4,926
|
4,926
|
|
Corporate Bonds
|
|
|
|
|
|
Angola
|
—
|
709
|
—
|
709
|
|
Argentina
|
—
|
2,545
|
—
|
2,545
|
|
Australia
|
—
|
1,134
|
—
|
1,134
|
|
Austria
|
—
|
2,248
|
—
|
2,248
|
|
Bahrain
|
—
|
1,182
|
—
|
1,182
|
|
Brazil
|
—
|
8,586
|
—
|
8,586
|
|
Canada
|
—
|
137,054
|
—
|
137,054
|
|
Colombia
|
—
|
3,785
|
—
|
3,785
|
|
Denmark
|
—
|
279
|
—
|
279
|
|
Finland
|
—
|
11,482
|
—
|
11,482
|
|
France
|
—
|
59,793
|
—
|
59,793
|
|
Georgia
|
—
|
613
|
—
|
613
|
|
Germany
|
—
|
7,980
|
—
|
7,980
|
|
Guatemala
|
—
|
1,128
|
—
|
1,128
|
|
Ireland
|
—
|
2,893
|
—
(a)
|
2,893
|
|
Israel
|
—
|
1,416
|
—
|
1,416
|
|
Italy
|
—
|
6,392
|
—
|
6,392
|
|
Jamaica
|
—
|
1,290
|
—
|
1,290
|
|
Japan
|
—
|
3,136
|
—
|
3,136
|
|
Luxembourg
|
—
|
30,548
|
—
(a)
|
30,548
|
|
Mexico
|
—
|
22,550
|
—
|
22,550
|
|
Morocco
|
—
|
4,024
|
—
|
4,024
|
|
Netherlands
|
—
|
21,960
|
—
|
21,960
|
|
Norway
|
—
|
995
|
—
|
995
|
|
Paraguay
|
—
|
255
|
—
|
255
|
|
Peru
|
—
|
1,438
|
—
|
1,438
|
|
South Africa
|
—
|
4,023
|
—
|
4,023
|
|
Spain
|
—
|
30,651
|
—
|
30,651
|
|
Sweden
|
—
|
4,962
|
—
|
4,962
|
|
Switzerland
|
—
|
21,296
|
—
|
21,296
|
|
Turkey
|
—
|
3,160
|
—
|
3,160
|
|
United Kingdom
|
—
|
75,665
|
—
(a)
|
75,665
|
|
United States
|
—
|
2,292,777
|
4,714
|
2,297,491
|
|
Uzbekistan
|
—
|
2,848
|
—
|
2,848
|
|
Venezuela, Bolivarian Republic of
|
—
|
564
|
—
|
564
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Total Corporate Bonds
|
—
|
2,771,361
|
4,714
|
2,776,075
|
|
Equity Linked Notes
|
$—
|
$476,179
|
$—
|
$476,179
|
|
Exchange-Traded Funds
|
905,914
|
—
|
—
|
905,914
|
|
Foreign Government Securities
|
—
|
206,031
|
—
|
206,031
|
|
Loan Assignments
|
|
|
|
|
|
Canada
|
—
|
3,227
|
—
|
3,227
|
|
France
|
—
|
170
|
—
|
170
|
|
Germany
|
—
|
344
|
—
|
344
|
|
Luxembourg
|
—
|
1,070
|
—
|
1,070
|
|
United Kingdom
|
—
|
3,153
|
—
|
3,153
|
|
United States
|
—
|
181,734
|
9,237
|
190,971
|
|
Total Loan Assignments
|
—
|
189,698
|
9,237
|
198,935
|
|
Mortgage-Backed Securities
|
—
|
891
|
—
|
891
|
|
Preferred Stocks
|
|
|
|
|
|
United States
|
32,360
|
—
|
2,483
|
34,843
|
|
Rights
|
15
|
—
|
—
|
15
|
|
U.S. Treasury Obligations
|
—
|
109,987
|
—
|
109,987
|
|
Warrants
|
|
|
|
|
|
United Kingdom
|
—
(a)
|
—
|
—
(a)
|
—
(a)
|
|
United States
|
—
|
195
|
4
|
199
|
|
Total Warrants
|
—
(a)
|
195
|
4
|
199
|
|
Short-Term Investments
|
|
|
|
|
|
Certificates of Deposits
|
—
|
544
|
—
|
544
|
|
Commercial Paper
|
—
|
2,739
|
—
|
2,739
|
|
Investment Companies
|
89,472
|
—
|
—
|
89,472
|
|
Investment of Cash Collateral from Securities Loaned
|
91,425
|
—
|
—
|
91,425
|
|
Total Short-Term Investments
|
180,897
|
3,283
|
—
|
184,180
|
|
Total Investments in Securities
|
$2,610,171
|
$5,667,643
|
$57,896
|
$8,335,710
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
733
|
—
|
—
|
733
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
(27,173
)
|
—
|
—
|
(27,173
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$(26,440
)
|
$—
|
$—
|
$(26,440
)
|
|
|
|
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
Balance as of
October 31,
2024
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
January 31,
2025
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$8,596
|
$—
|
$5
|
$(1
)
|
$—
|
$(1,398
)
|
$—
|
$—
|
$7,202
|
|
Collateralized Mortgage
Obligations
|
8,488
|
—
(a)
|
16
|
—
(a)
|
—
|
(302
)
|
—
|
—
|
8,202
|
|
|
Balance as of
October 31,
2024
|
Realized
gain (loss)
|
Change in net
unrealized
appreciation
(depreciation)
|
Net
accretion
(amortization)
|
Purchases1
|
Sales2
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
January 31,
2025
|
|
Commercial Mortgage-Backed
Securities
|
$—
|
$—
|
$(20
)
|
$—
|
$1,788
|
$—
|
$—
|
$—
|
$1,768
|
|
Common Stocks
|
22,892
|
2,873
|
(1,767
)
|
—
|
—
|
(4,638
)
|
—
|
—
|
19,360
|
|
Convertible Bonds
|
3,155
|
—
|
(2,852
)
|
—
|
77
|
(380
)
|
—
|
—
|
—
|
|
Convertible Preferred Stocks
|
6,863
|
(1,041
)
|
(6,453
)
|
—
|
6,945
|
(1,388
)
|
—
|
—
|
4,926
|
|
Corporate Bonds
|
6,553
|
—
|
(882
)
|
35
|
101
|
(1,093
)
|
—
|
—
|
4,714
|
|
Loan Assignments
|
8,731
|
—
|
(141
)
|
88
|
559
|
—
|
—
|
—
|
9,237
|
|
Preferred Stocks
|
2,054
|
—
|
429
|
—
|
—
|
—
|
—
|
—
|
2,483
|
|
Warrants
|
475
|
—
|
(573
)
|
—
|
102
|
—
|
—
|
—
|
4
|
|
Total
|
$67,807
|
$1,832
|
$(12,238
)
|
$122
|
$9,572
|
$(9,199
)
|
$—
|
$—
|
$57,896
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
(a)
|
Amount rounds to less than one thousand.
|
|
|
Fair Value at
January 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
|
$608
|
Terms of Restructuring
|
Expected Recovery
|
$0.00 - $137.77 ($136.82)
|
|
|
|
|
|
|
|
Common Stocks
|
608
|
|
|
|
|
|
4,926
|
Market Comparable Companies
|
EBITDA Multiple (b)
|
8.55x (8.55x)
|
|
|
|
|
|
|
|
Convertible Preferred
Stocks
|
4,926
|
|
|
|
|
|
1,681
|
Terms of Restructuring
|
Expected Recovery
|
0.00% - 59.69% (40.67%)
|
|
|
|
|
|
|
|
Corporate Bonds
|
1,681
|
|
|
|
|
|
609
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 15.00% (14.17%)
|
|
|
|
|
Constant Default Rate
|
12.00% - 43.00% (13.72%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
7.42% - 10.33% (7.58%)
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
609
|
|
|
|
|
|
8,197
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
25.00% (25.00%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.91% (6.91%)
|
|
|
|
|
|
|
|
|
Fair Value at
January 31, 2025
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average) (a)
|
|
Collateralized
Mortgage
Obligations
|
8,197
|
|
|
|
|
|
5,178
|
Terms of Restructuring
|
Expected Recovery
|
8.41% - 100.00% (89.33%)
|
|
|
4,009
|
Discounted Cash Flow
|
Yield (Discount Rate of Cash Flows)
|
26.08% (26.08%)
|
|
|
|
|
|
|
|
Loan Assignments
|
9,187
|
|
|
|
|
Total
|
$25,208
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At January 31, 2025, the value of
these investments was $32,688. The inputs for these investments are not readily available
or cannot be reasonably estimated and are generally
those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
(b)
|
Represents amounts used when the reporting entity has determined that market participants
would take into account such multiples when
pricing the investments.
|
|
Security
|
Acquisition
Date
|
Cost
|
Market
Value
|
Percentage
of Fund's
Net Assets
|
|
Claire's Stores, Inc.
|
11/28/2018
|
$3,541
|
$4
|
0.0
%
|
|
Claire's Stores, Inc.
|
10/03/2018
|
5,448
|
4,926
|
0.1
%
|
|
|
|
$8,989
|
$4,930
|
|
|
|
|||||||||
|
For the period ended January 31, 2025
|
|||||||||
|
Security Description
|
Value at
October 31,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
January 31,
2025
|
Shares at
January 31,
2025
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Equity Premium Income ETF
|
$424,858
|
$—
|
$—
|
$—
|
$2,027
|
$426,885
|
7,239
|
$8,482
|
$—
|
|
JPMorgan Income ETF
|
44,356
|
—
|
20,654
|
699
|
(740
)
|
23,661
|
514
|
658
|
—
|
|
JPMorgan Nasdaq Equity Premium Income
ETF
|
432,469
|
—
|
—
|
—
|
22,899
|
455,368
|
7,924
|
11,551
|
—
|
|
JPMorgan Prime Money Market Fund
Class IM Shares, 4.46% (a) (b)
|
48,289
|
197,187
|
214,120
|
—
(c)
|
1
|
31,357
|
31,344
|
465
|
—
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 4.38% (a) (b)
|
56,352
|
1,595,011
|
1,593,264
|
36
|
(20
)
|
58,115
|
58,092
|
1,113
|
—
|
|
JPMorgan Securities Lending Money Market
Fund Agency SL Class Shares, 4.38%
(a) (b)
|
86,568
|
92,844
|
87,987
|
—
|
—
|
91,425
|
91,425
|
971
|
—
|
|
Total
|
$1,092,892
|
$1,885,042
|
$1,916,025
|
$735
|
$24,167
|
$1,086,811
|
|
$23,240
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of January 31, 2025.
|
|
(c)
|
Amount rounds to less than one thousand.
|