|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Agency securities: 30.37%
|
|
|
|
|
|
|
FHLMC
|
|
2.00
%
|
10-1-2051
|
$
|
43,642,048
|
$33,850,532
|
FHLMC
|
|
2.00
|
1-1-2052
|
|
11,329,015
|
8,771,136
|
FHLMC
|
|
2.50
|
8-1-2037
|
|
5,299,313
|
4,763,198
|
FHLMC
|
|
2.50
|
9-1-2050
|
|
9,899,524
|
8,011,528
|
FHLMC
|
|
2.50
|
6-1-2051
|
|
110,790,180
|
89,651,785
|
FHLMC
|
|
2.50
|
11-1-2051
|
|
9,840,257
|
8,071,933
|
FHLMC
|
|
2.50
|
12-1-2050
|
|
27,257,295
|
22,024,565
|
FHLMC
|
|
3.00
|
9-1-2034
|
|
279,556
|
258,798
|
FHLMC
|
|
3.00
|
6-1-2050
|
|
499,814
|
429,929
|
FHLMC
|
|
3.00
|
7-1-2050
|
|
1,513,530
|
1,301,595
|
FHLMC
|
|
3.00
|
8-1-2050
|
|
2,096,321
|
1,790,931
|
FHLMC
|
|
3.00
|
11-1-2050
|
|
26,996,862
|
22,884,485
|
FHLMC
|
|
3.00
|
3-1-2052
|
|
251,771
|
213,505
|
FHLMC
|
|
3.00
|
5-1-2052
|
|
20,271,081
|
17,066,146
|
FHLMC
|
|
3.00
|
6-1-2053
|
|
17,343,440
|
14,621,110
|
FHLMC
|
|
3.50
|
12-1-2045
|
|
916,735
|
823,856
|
FHLMC
|
|
3.50
|
5-1-2052
|
|
100,024
|
88,253
|
FHLMC
|
|
3.50
|
12-1-2052
|
|
8,176,967
|
7,171,087
|
FHLMC
|
|
4.00
|
6-1-2037
|
|
2,667,071
|
2,558,840
|
FHLMC
|
|
4.00
|
4-1-2038
|
|
16,460,021
|
15,792,064
|
FHLMC
|
|
4.00
|
6-1-2044
|
|
561,667
|
521,146
|
FHLMC
|
|
4.00
|
5-1-2049
|
|
946,449
|
869,355
|
FHLMC
|
|
4.00
|
8-1-2052
|
|
7,793,916
|
7,082,254
|
FHLMC
|
|
4.50
|
5-1-2053
|
|
13,186,507
|
12,353,321
|
FHLMC
|
|
4.50
|
6-1-2053
|
|
15,605,112
|
14,614,063
|
FHLMC
|
|
5.00
|
6-1-2036
|
|
73,541
|
72,733
|
FHLMC
|
|
5.00
|
8-1-2040
|
|
75,908
|
74,813
|
FHLMC
|
|
5.00
|
7-1-2052
|
|
21,039,092
|
20,278,219
|
FHLMC
|
|
5.00
|
11-1-2052
|
|
17,677,922
|
17,038,156
|
FHLMC
|
|
5.00
|
5-1-2053
|
|
13,549,184
|
13,044,742
|
FHLMC
|
|
5.00
|
12-1-2053
|
|
12,861,582
|
12,379,612
|
FHLMC
|
|
5.50
|
8-1-2038
|
|
19,552
|
19,648
|
FHLMC
|
|
5.50
|
12-1-2038
|
|
153,290
|
154,045
|
FHLMC
|
|
5.50
|
6-1-2040
|
|
262,302
|
262,562
|
FHLMC
|
|
5.50
|
11-1-2052
|
|
109,604
|
108,209
|
FHLMC
|
|
5.50
|
3-1-2053
|
|
74,996,179
|
73,925,114
|
FHLMC
|
|
5.50
|
9-1-2053
|
|
21,689,161
|
21,396,150
|
FHLMC
|
|
5.50
|
1-1-2054
|
|
36,560,991
|
35,971,530
|
FHLMC
|
|
6.00
|
5-1-2054
|
|
40,634,414
|
40,692,446
|
FHLMC
|
|
8.00
|
2-1-2030
|
|
47
|
48
|
FHLMC Structured Pass-Through Certificates Series T-42
Class A5
|
|
7.50
|
2-25-2042
|
|
823,318
|
821,242
|
FHLMC Structured Pass-Through Certificates Series T-57
Class 2A1±±
|
|
4.43
|
7-25-2043
|
|
25,286
|
23,404
|
FHLMC Structured Pass-Through Certificates Series T-59
Class 2A1±±
|
|
3.95
|
10-25-2043
|
|
111,384
|
87,890
|
FHLMC Whole Loan Securities Trust Series 2015-SC01
Class 1A
|
|
3.50
|
5-25-2045
|
|
114,232
|
98,704
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Agency securities(continued)
|
|
|
|
|
|
|
FHLMC (RFUCCT1Y+1.33%)±
|
|
5.62
%
|
1-1-2036
|
$
|
4,046
|
$4,039
|
FNMA
|
|
2.00
|
5-1-2051
|
|
28,976,471
|
22,465,374
|
FNMA
|
|
2.00
|
8-1-2051
|
|
11,338,890
|
8,791,435
|
FNMA
|
|
2.00
|
10-1-2051
|
|
60,583,649
|
46,934,646
|
FNMA
|
|
2.00
|
12-1-2051
|
|
10,187,631
|
7,883,131
|
FNMA
|
|
2.00
|
1-1-2052
|
|
52,290,141
|
40,476,076
|
FNMA
|
|
2.00
|
2-1-2052
|
|
34,085,987
|
26,426,688
|
FNMA%%
|
|
2.00
|
6-15-2054
|
|
48,965,000
|
37,767,427
|
FNMA
|
|
2.50
|
5-1-2037
|
|
20,066,163
|
18,036,034
|
FNMA
|
|
2.50
|
12-1-2050
|
|
19,034,918
|
15,431,923
|
FNMA
|
|
2.50
|
7-1-2051
|
|
15,656,556
|
12,651,464
|
FNMA
|
|
2.50
|
10-1-2051
|
|
56,918,002
|
45,992,520
|
FNMA
|
|
2.50
|
12-1-2051
|
|
35,853,157
|
29,003,764
|
FNMA
|
|
2.50
|
1-1-2052
|
|
10,446,207
|
8,471,091
|
FNMA
|
|
2.50
|
5-1-2051
|
|
31,677,114
|
25,610,628
|
FNMA
|
|
3.00
|
11-1-2045
|
|
500,151
|
432,941
|
FNMA
|
|
3.00
|
12-1-2045
|
|
1,287,579
|
1,115,164
|
FNMA
|
|
3.00
|
12-1-2046
|
|
669,820
|
576,075
|
FNMA
|
|
3.00
|
8-1-2050
|
|
1,798,258
|
1,527,957
|
FNMA
|
|
3.00
|
10-1-2051
|
|
23,058,755
|
19,584,191
|
FNMA
|
|
3.00
|
11-1-2051
|
|
36,386,004
|
30,782,793
|
FNMA
|
|
3.00
|
1-1-2052
|
|
8,097,856
|
6,816,913
|
FNMA
|
|
3.00
|
2-1-2052
|
|
7,726,345
|
6,553,194
|
FNMA%%
|
|
3.00
|
6-15-2054
|
|
505,000
|
424,590
|
FNMA
|
|
3.00
|
6-1-2052
|
|
20,765,162
|
17,492,531
|
FNMA
|
|
3.48
|
3-1-2029
|
|
917,321
|
863,535
|
FNMA
|
|
3.50
|
12-1-2037
|
|
16,006,037
|
15,047,296
|
FNMA%%
|
|
3.50
|
6-15-2039
|
|
13,215,000
|
12,421,068
|
FNMA
|
|
3.50
|
10-1-2043
|
|
467,036
|
420,472
|
FNMA
|
|
3.50
|
4-1-2045
|
|
72,230
|
64,880
|
FNMA
|
|
3.50
|
8-1-2045
|
|
1,106,289
|
993,711
|
FNMA
|
|
3.50
|
3-1-2048
|
|
2,331,267
|
2,081,666
|
FNMA
|
|
3.50
|
5-1-2052
|
|
10,497,118
|
9,211,714
|
FNMA
|
|
3.50
|
6-1-2052
|
|
56,971,944
|
49,994,067
|
FNMA%%
|
|
3.50
|
6-15-2054
|
|
15,235,000
|
13,356,518
|
FNMA
|
|
3.50
|
2-1-2053
|
|
16,744,606
|
14,684,681
|
FNMA
|
|
3.62
|
3-1-2029
|
|
429,482
|
406,566
|
FNMA
|
|
4.00
|
8-1-2037
|
|
5,742,622
|
5,511,541
|
FNMA
|
|
4.00
|
9-1-2037
|
|
4,971,053
|
4,786,579
|
FNMA
|
|
4.00
|
1-1-2038
|
|
5,068,620
|
4,862,932
|
FNMA
|
|
4.00
|
2-1-2046
|
|
129,667
|
120,425
|
FNMA
|
|
4.00
|
4-1-2046
|
|
734,692
|
682,406
|
FNMA
|
|
4.00
|
6-1-2048
|
|
784,478
|
720,837
|
FNMA
|
|
4.00
|
2-1-2050
|
|
1,055,761
|
972,125
|
FNMA
|
|
4.00
|
10-1-2052
|
|
50,901,447
|
46,242,880
|
FNMA%%
|
|
4.00
|
6-15-2054
|
|
14,010,000
|
12,713,412
|
FNMA
|
|
4.00
|
6-1-2052
|
|
5,598,059
|
5,090,128
|
FNMA
|
|
4.00
|
9-1-2053
|
|
12,895,863
|
11,706,913
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Agency securities(continued)
|
|
|
|
|
|
|
FNMA
|
|
4.50
%
|
11-1-2048
|
$
|
737,517
|
$701,246
|
FNMA
|
|
4.50
|
6-1-2052
|
|
41,474,183
|
38,841,805
|
FNMA
|
|
4.50
|
9-1-2052
|
|
46,902,189
|
43,976,866
|
FNMA
|
|
4.50
|
11-1-2052
|
|
17,892,016
|
16,756,434
|
FNMA
|
|
4.50
|
4-1-2053
|
|
9,214,345
|
8,632,324
|
FNMA
|
|
4.50
|
7-1-2052
|
|
269,132
|
252,050
|
FNMA
|
|
5.00
|
2-1-2036
|
|
8,580
|
8,472
|
FNMA
|
|
5.00
|
6-1-2040
|
|
24,394
|
24,022
|
FNMA
|
|
5.00
|
8-1-2040
|
|
519,640
|
508,164
|
FNMA
|
|
5.00
|
3-1-2053
|
|
7,181,281
|
6,929,028
|
FNMA
|
|
5.50
|
8-1-2034
|
|
32,172
|
32,286
|
FNMA
|
|
5.50
|
2-1-2035
|
|
9,474
|
9,507
|
FNMA
|
|
5.50
|
8-1-2038
|
|
211,523
|
211,675
|
FNMA
|
|
5.50
|
2-1-2053
|
|
42,782,435
|
42,202,277
|
FNMA
|
|
5.50
|
6-1-2053
|
|
12,961,730
|
12,764,423
|
FNMA
|
|
6.00
|
10-1-2037
|
|
195,490
|
199,590
|
FNMA
|
|
6.00
|
11-1-2037
|
|
10,200
|
10,414
|
FNMA
|
|
6.50
|
7-1-2036
|
|
9,786
|
10,131
|
FNMA
|
|
6.50
|
11-1-2036
|
|
1,674
|
1,717
|
FNMA
|
|
7.00
|
7-1-2036
|
|
4,685
|
4,813
|
FNMA
|
|
7.00
|
11-1-2037
|
|
2,639
|
2,659
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.47
|
11-1-2038
|
|
9,409
|
9,684
|
FNMA (1 Year Treasury Constant Maturity+2.28%)±
|
|
6.55
|
8-1-2036
|
|
195,554
|
200,922
|
FNMA (RFUCCT1Y+1.61%)±
|
|
7.25
|
3-1-2046
|
|
204,303
|
207,961
|
FNMA (RFUCCT1Y+1.61%)±
|
|
7.31
|
5-1-2046
|
|
139,008
|
141,994
|
FNMA (RFUCCT1Y+1.73%)±
|
|
5.98
|
9-1-2036
|
|
5,469
|
5,492
|
FNMA (RFUCCT1Y+1.81%)±
|
|
6.03
|
8-1-2036
|
|
15,892
|
16,383
|
FNMA Series 2002-T12 Class A3
|
|
7.50
|
5-25-2042
|
|
3,346
|
3,450
|
FNMA Series 2003-W14 Class 2A±±
|
|
4.67
|
1-25-2043
|
|
97,250
|
92,509
|
FNMA Series 2003-W8 Class 4A±±
|
|
4.55
|
11-25-2042
|
|
57,017
|
54,364
|
FNMA Series 2004-W11 Class 1A3
|
|
7.00
|
5-25-2044
|
|
579,689
|
571,241
|
FNMA Series 2004-W15 Class 1A3
|
|
7.00
|
8-25-2044
|
|
189,445
|
194,074
|
FNMA Series 2005-W4 Class 3A±±
|
|
4.31
|
6-25-2045
|
|
25,936
|
25,073
|
GNMA
|
|
2.00
|
1-20-2052
|
|
14,520,997
|
11,652,315
|
GNMA
|
|
2.00
|
3-20-2052
|
|
33,400,936
|
26,797,984
|
GNMA
|
|
2.50
|
12-20-2051
|
|
12,472,965
|
10,398,770
|
GNMA
|
|
2.50
|
3-20-2052
|
|
14,849,080
|
12,380,047
|
GNMA
|
|
2.50
|
4-20-2052
|
|
20,184,361
|
16,828,159
|
GNMA%%
|
|
2.50
|
6-15-2054
|
|
15,260,000
|
12,718,333
|
GNMA
|
|
2.50
|
8-20-2051
|
|
42,824,629
|
35,703,487
|
GNMA
|
|
2.50
|
9-20-2051
|
|
18,614,926
|
15,519,456
|
GNMA
|
|
3.00
|
11-20-2045
|
|
1,024,134
|
901,080
|
GNMA
|
|
3.00
|
4-20-2051
|
|
4,675,274
|
4,050,489
|
GNMA
|
|
3.00
|
4-20-2052
|
|
11,063,865
|
9,558,771
|
GNMA
|
|
3.00
|
5-20-2052
|
|
54,445,223
|
47,038,657
|
GNMA
|
|
3.00
|
6-20-2052
|
|
5,873,317
|
5,074,330
|
GNMA
|
|
3.50
|
9-20-2047
|
|
574,127
|
517,728
|
GNMA
|
|
3.50
|
12-20-2047
|
|
1,236,245
|
1,114,762
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Agency securities(continued)
|
|
|
|
|
|
|
GNMA
|
|
3.50
%
|
8-20-2052
|
$
|
13,172,052
|
$11,755,627
|
GNMA%%
|
|
3.50
|
6-15-2054
|
|
14,230,000
|
12,697,779
|
GNMA
|
|
3.50
|
5-20-2052
|
|
5,438,157
|
4,853,392
|
GNMA
|
|
3.50
|
9-20-2052
|
|
20,177,597
|
18,007,806
|
GNMA
|
|
4.00
|
12-20-2047
|
|
669,463
|
624,182
|
GNMA
|
|
4.00
|
11-20-2052
|
|
13,165,518
|
12,102,930
|
GNMA
|
|
4.50
|
8-20-2049
|
|
225,382
|
214,763
|
GNMA
|
|
4.50
|
7-20-2052
|
|
11,085,309
|
10,493,004
|
GNMA
|
|
4.50
|
9-20-2052
|
|
7,263,615
|
6,872,513
|
GNMA
|
|
4.50
|
3-20-2053
|
|
18,050,378
|
17,074,187
|
GNMA
|
|
5.00
|
7-20-2040
|
|
180,599
|
179,853
|
GNMA
|
|
5.00
|
9-20-2052
|
|
8,738,792
|
8,489,370
|
GNMA
|
|
5.00
|
6-20-2053
|
|
15,805,821
|
15,346,256
|
GNMA%%
|
|
5.00
|
6-15-2054
|
|
13,150,000
|
12,762,367
|
GNMA
|
|
5.00
|
4-20-2053
|
|
5,231,575
|
5,079,418
|
GNMA
|
|
5.00
|
8-20-2053
|
|
8,422,354
|
8,175,301
|
GNMA
|
|
5.50
|
12-20-2052
|
|
15,235,098
|
15,121,756
|
GNMA
|
|
5.50
|
4-20-2053
|
|
17,285,666
|
17,157,088
|
GNMA%%
|
|
5.50
|
6-15-2054
|
|
36,365,000
|
36,071,377
|
GNMA%%
|
|
6.00
|
6-15-2054
|
|
154,310,000
|
155,254,782
|
GNMA%%
|
|
6.50
|
6-15-2054
|
|
15,865,000
|
16,103,806
|
GNMA
|
|
7.50
|
12-15-2029
|
|
196
|
196
|
GNMA Series 2008-22 Class XMƒ±±
|
|
1.31
|
2-16-2050
|
|
276,575
|
3,440
|
Resolution Funding Corp. Principal STRIPS¤
|
|
0.00
|
4-15-2030
|
|
19,410,000
|
14,619,171
|
Total agency securities (Cost $2,018,182,641)
|
|
|
|
|
|
1,959,161,405
|
Asset-backed securities: 10.25%
|
|
|
|
|
|
|
ACHM Mortgage Trust Series 2024-HE1 Class A144A
|
|
6.55
|
5-25-2039
|
|
4,928,443
|
4,954,721
|
ACHM Trust Series 2023-HE2 Class A144A±±
|
|
7.50
|
10-25-2038
|
|
21,936,432
|
22,398,150
|
Aligned Data Centers Issuer LLC Series 2021-1A
Class A2144A
|
|
1.94
|
8-15-2046
|
|
10,966,000
|
10,035,870
|
Apidos CLO XXXI Ltd. Series 2019-31A Class DR (U.S. SOFR 3
Month+3.36%)144A±
|
|
8.69
|
4-15-2031
|
|
3,000,000
|
3,001,386
|
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A
Class B144A
|
|
2.68
|
8-20-2026
|
|
14,495,000
|
13,983,940
|
Avis Budget Rental Car Funding AESOP LLC Series 2024-3A
Class A144A
|
|
5.23
|
12-20-2030
|
|
1,000,000
|
983,735
|
Bain Capital Credit CLO Ltd. Series 2020-2A Class BR
(U.S. SOFR 3 Month+1.96%)144A±
|
|
7.29
|
7-19-2034
|
|
1,425,000
|
1,428,484
|
Bastion Funding I LLC Series 2023-1A Class A2144A
|
|
7.12
|
4-25-2038
|
|
10,315,084
|
10,149,836
|
BDS Ltd. Series 2021-FL9 Class B (U.S. SOFR 1
Month+1.81%)144A±
|
|
7.13
|
11-16-2038
|
|
5,475,000
|
5,285,876
|
BHG Securitization Trust Series 2021-A Class B144A
|
|
2.79
|
11-17-2033
|
|
6,515,000
|
5,945,988
|
Blue Bridge Funding LLC Series 2023-1A Class A144A
|
|
7.37
|
11-15-2030
|
|
2,856,481
|
2,866,103
|
Blue Bridge Funding LLC Series 2023-1A Class B144A
|
|
9.48
|
11-15-2030
|
|
1,168,000
|
1,165,088
|
Blue Stream Issuer LLC Series 2023-1A Class A2144A
|
|
5.40
|
5-20-2053
|
|
3,500,000
|
3,388,678
|
Bojangles Issuer LLC Series 2020-1A Class A2144A
|
|
3.83
|
10-20-2050
|
|
18,878,737
|
17,885,433
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Asset-backed securities(continued)
|
|
|
|
|
|
|
Brex Commercial Charge Card Master Trust Series 2024-1
Class A1144A
|
|
6.05
%
|
7-15-2027
|
$
|
5,040,000
|
$5,027,862
|
BRSP Ltd. Series 2021-FL1 Class A (U.S. SOFR 1
Month+1.26%)144A±
|
|
6.58
|
8-19-2038
|
|
4,185,239
|
4,127,541
|
Cajun Global LLC Series 2021-1 Class A2144A
|
|
3.93
|
11-20-2051
|
|
6,251,650
|
5,662,327
|
Carlyle Global Market Strategies CLO Ltd. Series 2016-1A
Class CR2 (U.S. SOFR 3 Month+3.61%)144A±
|
|
8.94
|
4-20-2034
|
|
1,500,000
|
1,493,187
|
CFMT LLC Series 2021-HB7 Class M2144A±±
|
|
2.68
|
10-27-2031
|
|
5,750,000
|
5,491,151
|
Cogent IPv4 LLC Series 2024-1A Class A2144A
|
|
7.92
|
5-25-2054
|
|
8,990,000
|
9,098,860
|
Cologix Data Centers U.S. Issuer LLC Series 2021-1A
Class B144A
|
|
3.79
|
12-26-2051
|
|
1,400,000
|
1,272,873
|
CoreVest American Finance Trust Series 2021-3 Class B144A
|
|
2.49
|
10-15-2054
|
|
355,000
|
323,731
|
CPS Auto Receivables Trust Series 2021-A Class D144A
|
|
1.16
|
12-15-2026
|
|
567,311
|
558,469
|
DataBank Issuer LLC Series 2024-1A Class A2144A
|
|
5.30
|
1-26-2054
|
|
11,350,000
|
10,740,323
|
Domino’s Pizza Master Issuer LLC Series 2015-1A
Class A2II144A
|
|
4.47
|
10-25-2045
|
|
12,057,500
|
11,803,952
|
Driven Brands Funding LLC Series 2021-1A Class A2144A
|
|
2.79
|
10-20-2051
|
|
2,827,500
|
2,455,559
|
Dryden 72 CLO Ltd. Series 2019-72A Class CR (U.S. SOFR 3
Month+2.11%)144A±
|
|
7.43
|
5-15-2032
|
|
3,550,000
|
3,556,608
|
DT Auto Owner Trust Series 2021-1A Class C144A
|
|
0.84
|
10-15-2026
|
|
536,086
|
534,198
|
ECMC Group Student Loan Trust Series 2020-3A Class A1B
(30 Day Average U.S. SOFR+1.11%)144A±
|
|
6.44
|
1-27-2070
|
|
2,416,689
|
2,410,178
|
Edsouth Indenture No. 9 LLC Series 2015-1 Class A (30 Day
Average U.S. SOFR+0.91%)144A±
|
|
6.24
|
10-25-2056
|
|
358,235
|
355,154
|
Enterprise Fleet Financing LLC Series 2023-2 Class A3144A
|
|
5.50
|
4-22-2030
|
|
7,185,000
|
7,206,790
|
FIGRE Trust Series 2023-HE1 Class A144A
|
|
5.85
|
3-25-2053
|
|
12,417,603
|
12,352,465
|
FIGRE Trust Series 2023-HE2 Class A144A±±
|
|
6.51
|
5-25-2053
|
|
8,717,450
|
8,787,509
|
FIGRE Trust Series 2023-HE3 Class A144A±±
|
|
6.44
|
11-25-2053
|
|
4,632,800
|
4,675,457
|
FirstKey Homes Trust Series 2021-SFR1 Class A144A
|
|
1.54
|
8-17-2038
|
|
1,339,787
|
1,227,592
|
FirstKey Homes Trust Series 2021-SFR1 Class C144A
|
|
1.89
|
8-17-2038
|
|
6,770,000
|
6,168,778
|
FirstKey Homes Trust Series 2021-SFR2 Class B144A
|
|
1.61
|
9-17-2038
|
|
8,675,000
|
7,864,061
|
Five Guys Holdings, Inc. Series 2023-1A Class A2144A
|
|
7.55
|
1-26-2054
|
|
5,365,000
|
5,532,721
|
Flagship Credit Auto Trust Series 2022-2 Class B144A
|
|
4.76
|
5-17-2027
|
|
5,999,000
|
5,932,381
|
Flexential Issuer Series 2021-1A Class A2144A
|
|
3.25
|
11-27-2051
|
|
9,615,000
|
8,817,188
|
FREED Mortgage Trust Series 2022-HE1 Class A144A
|
|
7.00
|
10-25-2037
|
|
8,767,559
|
8,814,371
|
FREED Mortgage Trust Series 2022-HE1 Class B144A
|
|
7.00
|
10-25-2037
|
|
6,890,597
|
6,899,875
|
FS Rialto Issuer Ltd. Series 2021-FL3 Class B (U.S. SOFR 1
Month+1.91%)144A±
|
|
7.23
|
11-16-2036
|
|
3,000,000
|
2,955,076
|
Golub Capital Partners ABS Funding Series 2024-1A
Class A2144A
|
|
6.89
|
1-25-2034
|
|
7,525,000
|
7,444,530
|
Gracie Point International Funding Series 2023-1A Class B
(90 Day Average U.S. SOFR+2.60%)144A±
|
|
7.95
|
9-1-2026
|
|
7,076,000
|
7,188,631
|
Hertz Vehicle Financing III LLC Series 2022-1A Class B144A
|
|
2.19
|
6-25-2026
|
|
2,450,000
|
2,357,880
|
Hertz Vehicle Financing III LLC Series 2023-2A Class A144A
|
|
5.57
|
9-25-2029
|
|
3,695,000
|
3,663,183
|
Hertz Vehicle Financing LLC Series 2021-1A Class B144A
|
|
1.56
|
12-26-2025
|
|
10,780,000
|
10,586,204
|
Hotwire Funding LLC Series 2023-1A Class A2144A
|
|
5.69
|
5-20-2053
|
|
16,750,000
|
16,614,848
|
ICG U.S. CLO Ltd. Series 2014-1A Class BR2 (U.S. SOFR 3
Month+2.71%)144A±
|
|
8.04
|
10-20-2034
|
|
4,400,000
|
4,392,718
|
Jonah Energy ABS I LLC Series 2022-1 Class A1144A
|
|
7.20
|
12-10-2037
|
|
9,183,785
|
9,106,730
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Asset-backed securities(continued)
|
|
|
|
|
|
|
Lendmark Funding Trust Series 2021-1A Class A144A
|
|
1.90
%
|
11-20-2031
|
$
|
2,065,000
|
$1,883,362
|
Mercury Financial Credit Card Master Trust Series 2023-1A
Class A144A
|
|
8.04
|
9-20-2027
|
|
7,000,000
|
7,050,289
|
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1
Month+1.35%)144A±
|
|
6.67
|
2-19-2037
|
|
6,296,312
|
6,245,155
|
MF1 Ltd. Series 2022-FL8 Class C (U.S. SOFR 1
Month+2.20%)144A±
|
|
7.52
|
2-19-2037
|
|
8,750,000
|
8,445,736
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-
FL5 Class A (U.S. SOFR 1 Month+0.96%)144A±
|
|
6.28
|
7-15-2036
|
|
2,250,668
|
2,238,712
|
MNR ABS Issuer I LLC♦‡
|
|
8.12
|
12-15-2038
|
|
8,490,064
|
8,563,079
|
NBC Funding LLC Series 2024-1A Class A2144A
|
|
6.75
|
7-30-2054
|
|
22,200,000
|
22,301,010
|
Neighborly Issuer LLC Series 2021-1A Class A2144A
|
|
3.58
|
4-30-2051
|
|
7,760,000
|
6,912,459
|
Oak Street Investment Grade Net Lease Fund Series 2020-1A
Class A5144A
|
|
3.39
|
11-20-2050
|
|
5,386,500
|
4,924,294
|
Oak Street Investment Grade Net Lease Fund Series 2020-1A
Class B1144A
|
|
5.11
|
11-20-2050
|
|
3,325,000
|
3,036,022
|
Oak Street Investment Grade Net Lease Fund Series 2021-1A
Class A3144A
|
|
2.80
|
1-20-2051
|
|
4,916,792
|
4,444,995
|
Octane Receivables Trust Series 2021-1A Class A144A
|
|
0.93
|
3-22-2027
|
|
53,660
|
53,311
|
Octane Receivables Trust Series 2021-1A Class B144A
|
|
1.53
|
4-20-2027
|
|
3,000,000
|
2,922,083
|
Octane Receivables Trust Series 2022-2A Class A144A
|
|
5.11
|
2-22-2028
|
|
2,423,312
|
2,412,481
|
Octane Receivables Trust Series 2023-1A Class A144A
|
|
5.87
|
5-21-2029
|
|
1,788,515
|
1,788,543
|
Octane Receivables Trust Series 2023-1A Class B144A
|
|
5.96
|
7-20-2029
|
|
3,045,000
|
3,038,637
|
OneMain Financial Issuance Trust Series 2020-2A
Class A144A
|
|
1.75
|
9-14-2035
|
|
1,220,000
|
1,135,710
|
Oxford Finance Credit Fund III LP Series 2024-A
Class A2144A
|
|
6.68
|
1-14-2032
|
|
9,035,000
|
8,997,231
|
Pagaya AI Debt Selection Trust Series 2021-HG1
Class A144A
|
|
1.22
|
1-16-2029
|
|
2,299,927
|
2,257,256
|
Pagaya AI Debt Selection Trust Series 2023-1 Class A144A
|
|
7.56
|
7-15-2030
|
|
3,465,015
|
3,478,285
|
Pagaya AI Debt Selection Trust Series 2023-5 Class B144A
|
|
7.63
|
4-15-2031
|
|
1,799,985
|
1,814,878
|
Pagaya AI Debt Selection Trust Series 2023-6 Class B144A
|
|
7.46
|
6-16-2031
|
|
8,692,770
|
8,732,180
|
Parallel Ltd. Series 2021-1A Class D (U.S. SOFR 3
Month+3.71%)144A±
|
|
9.04
|
7-15-2034
|
|
8,500,000
|
8,405,653
|
Pawnee Equipment Receivables LLC Series 2021-1
Class A2144A
|
|
1.10
|
7-15-2027
|
|
315,285
|
311,665
|
PFS Financing Corp. Series 2022-C Class B144A
|
|
4.39
|
5-15-2027
|
|
11,913,000
|
11,729,256
|
PFS Financing Corp. Series 2024-B Class A144A
|
|
4.95
|
2-15-2029
|
|
1,575,000
|
1,557,332
|
PRET LLC Series 2024-NPL3 Class A1144A
|
|
7.52
|
4-27-2054
|
|
5,497,000
|
5,504,749
|
Qdoba Funding LLC Series 2023-1A Class A2144A
|
|
8.50
|
9-14-2053
|
|
5,985,000
|
6,251,690
|
RCKT Mortgage Trust Series 2023-CES3 Class A1A144A±±
|
|
7.11
|
11-25-2043
|
|
16,025,115
|
16,198,390
|
RCKT Mortgage Trust Series 2024-CES2 Class A1A144A±±
|
|
6.14
|
4-25-2044
|
|
7,263,832
|
7,238,202
|
Retained Vantage Data Centers Issuer LLC Series 2023-1A
Class A2A144A
|
|
5.00
|
9-15-2048
|
|
7,345,000
|
7,057,631
|
Saluda Grade Alternative Mortgage Trust Series 2023-FIG3
Class A144A±±
|
|
7.07
|
8-25-2053
|
|
9,858,593
|
9,926,590
|
Saluda Grade Alternative Mortgage Trust Series 2023-FIG4
Class A144A±±
|
|
6.72
|
11-25-2053
|
|
9,777,080
|
9,869,377
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Asset-backed securities(continued)
|
|
|
|
|
|
|
Santander Drive Auto Receivables Trust Series 2020-2
Class D
|
|
2.22
%
|
9-15-2026
|
$
|
269,440
|
$268,597
|
SEB Funding LLC Series 2021-1A Class A2144A
|
|
4.97
|
1-30-2052
|
|
4,114,687
|
3,909,712
|
Service Experts Issuer LLC Series 2021-1A Class A144A
|
|
2.67
|
2-2-2032
|
|
4,578,795
|
4,282,077
|
Service Experts Issuer LLC Series 2021-1A Class B144A
|
|
3.28
|
2-2-2032
|
|
6,445,000
|
5,555,274
|
Service Experts Issuer LLC Series 2024-1A Class A144A
|
|
6.39
|
11-20-2035
|
|
7,840,000
|
7,831,308
|
ServiceMaster Funding LLC Series 2020-1 Class A2II144A
|
|
3.34
|
1-30-2051
|
|
2,760,820
|
2,302,337
|
Sesac Finance LLC Series 2024-1 Class A2144A
|
|
6.42
|
1-25-2054
|
|
2,344,125
|
2,328,795
|
SLM Student Loan Trust Series 2003-10A Class A4 (90 Day
Average U.S. SOFR+0.93%)144A±
|
|
6.28
|
12-17-2068
|
|
3,318,091
|
3,311,071
|
Sound Point CLO Ltd. Series 2015-1RA Class BR (U.S. SOFR 3
Month+1.81%)144A±
|
|
7.14
|
4-15-2030
|
|
10,340,000
|
10,345,415
|
SpringCastle America Funding LLC Series 2020-AA
Class A144A
|
|
1.97
|
9-25-2037
|
|
1,872,061
|
1,704,914
|
Stack Infrastructure Issuer LLC Series 2024-1A
Class A2144A
|
|
5.90
|
3-25-2049
|
|
1,500,000
|
1,497,370
|
Starwood Ltd. Series 2022-FL3 Class A (30 Day Average
U.S. SOFR+1.35%)144A±
|
|
6.67
|
11-15-2038
|
|
1,100,000
|
1,079,647
|
STORE Master Funding LLC Series 2023-1A Class A1144A
|
|
6.19
|
6-20-2053
|
|
6,965,000
|
7,042,458
|
Switch ABS Issuer LLC Series 2024-1A Class A2144A
|
|
6.28
|
3-25-2054
|
|
4,890,000
|
4,876,901
|
Taco Bell Funding LLC Series 2021-1A Class A23144A
|
|
2.54
|
8-25-2051
|
|
491,250
|
399,760
|
TierPoint Issuer LLC Series 2023-1A Class A2144A
|
|
6.00
|
6-25-2053
|
|
20,000,000
|
19,514,016
|
Towd Point HE Trust Series 2023-1 Class A1A144A
|
|
6.88
|
2-25-2063
|
|
9,206,308
|
9,192,179
|
Towd Point Mortgage Trust Series 2024-CES1
Class A2144A±±
|
|
6.44
|
1-25-2064
|
|
2,769,000
|
2,751,338
|
TRTX Issuer Ltd. Series 2022-FL5 Class A (U.S. SOFR 1
Month+1.65%)144A±
|
|
6.97
|
2-15-2039
|
|
1,252,400
|
1,243,789
|
Vantage Data Centers Issuer LLC Series 2020-1A
Class A2144A
|
|
1.65
|
9-15-2045
|
|
7,340,000
|
6,910,009
|
Venture CLO Ltd. Series 2017-30A Class B (U.S. SOFR 3
Month+1.86%)144A±
|
|
7.19
|
1-15-2031
|
|
250,000
|
250,189
|
Wendy’s Funding LLC Series 2021-1A Class A2II144A
|
|
2.78
|
6-15-2051
|
|
534,874
|
442,155
|
Westgate Resorts LLC Series 2022-1A Class C144A
|
|
2.49
|
8-20-2036
|
|
6,857,811
|
6,536,657
|
Wingstop Funding LLC Series 2020-1A Class A2144A
|
|
2.84
|
12-5-2050
|
|
3,584,415
|
3,244,764
|
Zais CLO 6 Ltd. Series 2017-1A Class CR (U.S. SOFR 3
Month+2.91%)144A±
|
|
8.24
|
7-15-2029
|
|
7,450,000
|
7,456,749
|
Zaxby’s Funding LLC Series 2021-1A Class A2144A
|
|
3.24
|
7-30-2051
|
|
4,784,700
|
4,205,132
|
Ziply Fiber Issuer LLC Series 2024-1A Class A2144A
|
|
6.64
|
4-20-2054
|
|
29,025,000
|
29,428,677
|
Total asset-backed securities (Cost $668,106,041)
|
|
|
|
|
|
661,611,782
|
Corporate bonds and notes: 20.63%
|
|
|
|
|
|
|
Basic materials: 0.24%
|
|
|
|
|
|
|
Chemicals: 0.17%
|
|
|
|
|
|
|
International Flavors & Fragrances, Inc.144A
|
|
3.47
|
12-1-2050
|
|
12,640,000
|
8,283,860
|
Westlake Corp.
|
|
1.63
|
7-17-2029
|
|
2,750,000
|
2,645,728
|
|
|
|
|
|
|
10,929,588
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Mining: 0.07%
|
|
|
|
|
|
|
Glencore Funding LLC144A
|
|
3.38
%
|
9-23-2051
|
$
|
6,500,000
|
$4,284,380
|
Communications: 1.47%
|
|
|
|
|
|
|
Internet: 0.31%
|
|
|
|
|
|
|
Booking Holdings, Inc.
|
|
4.13
|
5-12-2033
|
|
2,500,000
|
2,766,388
|
Booking Holdings, Inc.
|
|
4.75
|
11-15-2034
|
|
6,000,000
|
6,943,934
|
MercadoLibre, Inc.
|
|
3.13
|
1-14-2031
|
|
12,050,000
|
10,180,934
|
|
|
|
|
|
|
19,891,256
|
Media: 0.82%
|
|
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.144A
|
|
4.25
|
1-15-2034
|
|
12,000,000
|
8,941,076
|
Charter Communications Operating LLC/Charter
Communications Operating Capital
|
|
3.85
|
4-1-2061
|
|
9,860,000
|
5,805,713
|
Charter Communications Operating LLC/Charter
Communications Operating Capital
|
|
3.90
|
6-1-2052
|
|
5,910,000
|
3,709,052
|
Charter Communications Operating LLC/Charter
Communications Operating Capital
|
|
4.40
|
12-1-2061
|
|
11,000,000
|
7,159,655
|
Charter Communications Operating LLC/Charter
Communications Operating Capital
|
|
6.10
|
6-1-2029
|
|
10,853,000
|
10,864,858
|
CSC Holdings LLC144A
|
|
11.25
|
5-15-2028
|
|
6,000,000
|
4,841,280
|
Sirius XM Radio, Inc.144A
|
|
5.50
|
7-1-2029
|
|
5,995,000
|
5,567,947
|
Time Warner Cable LLC
|
|
5.50
|
9-1-2041
|
|
7,605,000
|
6,360,551
|
|
|
|
|
|
|
53,250,132
|
Telecommunications: 0.34%
|
|
|
|
|
|
|
AT&T, Inc.
|
|
3.55
|
9-15-2055
|
|
13,330,000
|
8,950,650
|
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC144A
|
|
4.74
|
3-20-2025
|
|
982,500
|
975,346
|
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC144A
|
|
5.15
|
3-20-2028
|
|
11,920,000
|
11,849,388
|
|
|
|
|
|
|
21,775,384
|
Consumer, cyclical: 2.66%
|
|
|
|
|
|
|
Airlines: 0.33%
|
|
|
|
|
|
|
British Airways Pass-Through Trust Series 2020-1
Class A144A
|
|
4.25
|
11-15-2032
|
|
4,865,388
|
4,495,484
|
Delta Air Lines Pass-Through Trust Series 2020-1 Class AA
|
|
2.00
|
6-10-2028
|
|
2,945,437
|
2,665,004
|
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property
Assets Ltd.144A
|
|
6.50
|
6-20-2027
|
|
11,298,950
|
11,309,763
|
United Airlines Pass-Through Trust Series 2023-1 Class A
|
|
5.80
|
1-15-2036
|
|
2,900,000
|
2,909,254
|
|
|
|
|
|
|
21,379,505
|
Apparel: 0.51%
|
|
|
|
|
|
|
Michael Kors USA, Inc.144A
|
|
4.25
|
11-1-2024
|
|
9,164,000
|
9,056,710
|
Tapestry, Inc.
|
|
7.85
|
11-27-2033
|
|
15,239,000
|
16,063,888
|
VF Corp.
|
|
2.95
|
4-23-2030
|
|
10,000,000
|
8,083,001
|
|
|
|
|
|
|
33,203,599
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Auto manufacturers: 0.99%
|
|
|
|
|
|
|
Daimler Truck Finance North America LLC144A
|
|
5.13
%
|
1-19-2028
|
$
|
22,555,000
|
$22,407,327
|
Ford Motor Co.
|
|
3.25
|
2-12-2032
|
|
11,585,000
|
9,521,915
|
Ford Motor Credit Co. LLC
|
|
4.00
|
11-13-2030
|
|
8,000,000
|
7,091,238
|
General Motors Financial Co., Inc.
|
|
5.85
|
4-6-2030
|
|
7,520,000
|
7,583,725
|
Hyundai Capital America144A
|
|
1.30
|
1-8-2026
|
|
4,205,000
|
3,925,750
|
Hyundai Capital America144A
|
|
5.30
|
3-19-2027
|
|
3,835,000
|
3,818,834
|
Hyundai Capital America144A
|
|
5.30
|
1-8-2029
|
|
7,705,000
|
7,640,449
|
Hyundai Capital America144A
|
|
5.65
|
6-26-2026
|
|
2,085,000
|
2,085,031
|
|
|
|
|
|
|
64,074,269
|
Entertainment: 0.22%
|
|
|
|
|
|
|
Cinemark USA, Inc.144A
|
|
5.25
|
7-15-2028
|
|
700,000
|
653,545
|
Warnermedia Holdings, Inc.
|
|
4.28
|
3-15-2032
|
|
10,980,000
|
9,609,781
|
Warnermedia Holdings, Inc.
|
|
5.14
|
3-15-2052
|
|
5,135,000
|
4,053,614
|
|
|
|
|
|
|
14,316,940
|
Home builders: 0.03%
|
|
|
|
|
|
|
KB Home
|
|
4.80
|
11-15-2029
|
|
2,000,000
|
1,869,851
|
Lodging: 0.15%
|
|
|
|
|
|
|
Las Vegas Sands Corp.
|
|
6.20
|
8-15-2034
|
|
9,370,000
|
9,442,060
|
Retail: 0.22%
|
|
|
|
|
|
|
Kohl’s Corp.
|
|
4.63
|
5-1-2031
|
|
5,025,000
|
4,052,311
|
Macy’s Retail Holdings LLC144A
|
|
5.88
|
3-15-2030
|
|
6,750,000
|
6,434,513
|
PetSmart, Inc./PetSmart Finance Corp.144A
|
|
4.75
|
2-15-2028
|
|
4,145,000
|
3,849,479
|
|
|
|
|
|
|
14,336,303
|
Toys/games/hobbies: 0.21%
|
|
|
|
|
|
|
Mattel, Inc.144A
|
|
5.88
|
12-15-2027
|
|
13,376,000
|
13,327,112
|
Consumer, non-cyclical: 1.84%
|
|
|
|
|
|
|
Agriculture: 0.30%
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
1.70
|
6-15-2025
|
|
2,000,000
|
2,121,760
|
BAT Capital Corp.
|
|
4.76
|
9-6-2049
|
|
3,260,000
|
2,584,480
|
Philip Morris International, Inc.
|
|
5.25
|
2-13-2034
|
|
14,250,000
|
13,957,057
|
Reynolds American, Inc.
|
|
7.00
|
8-4-2041
|
|
450,000
|
471,888
|
|
|
|
|
|
|
19,135,185
|
Biotechnology: 0.02%
|
|
|
|
|
|
|
Amgen, Inc.
|
|
5.75
|
3-2-2063
|
|
1,485,000
|
1,462,165
|
Commercial services: 0.72%
|
|
|
|
|
|
|
CoreCivic, Inc.
|
|
8.25
|
4-15-2029
|
|
2,000,000
|
2,088,579
|
Equifax, Inc.
|
|
5.10
|
12-15-2027
|
|
13,252,000
|
13,141,029
|
GEO Group, Inc.144A
|
|
8.63
|
4-15-2029
|
|
2,190,000
|
2,254,179
|
GEO Group, Inc.144A
|
|
10.25
|
4-15-2031
|
|
1,135,000
|
1,194,488
|
Global Payments, Inc.
|
|
5.95
|
8-15-2052
|
|
12,420,000
|
12,018,915
|
MPH Acquisition Holdings LLC144A
|
|
5.50
|
9-1-2028
|
|
1,425,000
|
1,059,751
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Commercial services(continued)
|
|
|
|
|
|
|
Sabre Global, Inc.144A
|
|
11.25
%
|
12-15-2027
|
$
|
8,645,000
|
$8,403,290
|
Upbound Group, Inc.144A
|
|
6.38
|
2-15-2029
|
|
6,200,000
|
5,978,489
|
|
|
|
|
|
|
46,138,720
|
Healthcare-products: 0.38%
|
|
|
|
|
|
|
Danaher Corp.
|
|
2.50
|
3-30-2030
|
|
15,000,000
|
15,366,611
|
Dentsply Sirona, Inc.
|
|
3.25
|
6-1-2030
|
|
10,640,000
|
9,268,853
|
|
|
|
|
|
|
24,635,464
|
Pharmaceuticals: 0.42%
|
|
|
|
|
|
|
Bristol-Myers Squibb Co.
|
|
5.65
|
2-22-2064
|
|
9,175,000
|
8,965,514
|
Cigna Group
|
|
5.25
|
2-15-2034
|
|
18,750,000
|
18,378,449
|
|
|
|
|
|
|
27,343,963
|
Energy: 0.66%
|
|
|
|
|
|
|
Oil & gas: 0.14%
|
|
|
|
|
|
|
Apache Corp.
|
|
5.25
|
2-1-2042
|
|
8,550,000
|
7,336,458
|
Devon Energy Corp.
|
|
5.25
|
10-15-2027
|
|
1,587,000
|
1,577,980
|
|
|
|
|
|
|
8,914,438
|
Pipelines: 0.52%
|
|
|
|
|
|
|
Energy Transfer LP (5 Year Treasury Constant
Maturity+4.02%)±
|
|
8.00
|
5-15-2054
|
|
3,575,000
|
3,721,718
|
Energy Transfer LP Series H (5 Year Treasury Constant
Maturity+5.69%)ʊ±
|
|
6.50
|
11-15-2026
|
|
6,325,000
|
6,195,611
|
Harvest Midstream I LP144A
|
|
7.50
|
5-15-2032
|
|
1,415,000
|
1,434,190
|
Prairie Acquiror LP144A
|
|
9.00
|
8-1-2029
|
|
5,050,000
|
5,189,744
|
Rockies Express Pipeline LLC144A
|
|
4.95
|
7-15-2029
|
|
1,975,000
|
1,829,330
|
Rockies Express Pipeline LLC144A
|
|
6.88
|
4-15-2040
|
|
1,000,000
|
950,315
|
Venture Global LNG, Inc.144A
|
|
9.50
|
2-1-2029
|
|
13,000,000
|
14,098,773
|
|
|
|
|
|
|
33,419,681
|
Financial: 10.32%
|
|
|
|
|
|
|
Banks: 3.08%
|
|
|
|
|
|
|
Bank of America Corp. (U.S. SOFR+1.33%)±
|
|
2.97
|
2-4-2033
|
|
14,400,000
|
12,135,953
|
Bank of America Corp. (U.S. SOFR+1.83%)±
|
|
4.57
|
4-27-2033
|
|
17,475,000
|
16,411,374
|
Bank of America Corp. (U.S. SOFR 3 Month+0.90%)±
|
|
2.02
|
2-13-2026
|
|
5,000,000
|
4,870,037
|
Bank of America Corp. (U.S. SOFR 3 Month+1.84%)±
|
|
3.82
|
1-20-2028
|
|
6,000,000
|
5,768,298
|
Bank of America Corp. Series N (U.S. SOFR+1.22%)±
|
|
2.65
|
3-11-2032
|
|
7,655,000
|
6,433,664
|
Goldman Sachs Group, Inc. (U.S. SOFR+1.25%)±
|
|
2.38
|
7-21-2032
|
|
5,535,000
|
4,517,891
|
HSBC USA, Inc.
|
|
5.63
|
3-17-2025
|
|
3,585,000
|
3,586,038
|
JPMorgan Chase & Co. (U.S. SOFR+1.02%)±
|
|
2.07
|
6-1-2029
|
|
7,000,000
|
6,185,188
|
JPMorgan Chase & Co. (U.S. SOFR+1.45%)±
|
|
5.30
|
7-24-2029
|
|
5,000,000
|
4,994,347
|
JPMorgan Chase & Co. (U.S. SOFR+1.75%)±
|
|
4.57
|
6-14-2030
|
|
13,965,000
|
13,505,267
|
JPMorgan Chase & Co. (U.S. SOFR+1.85%)±
|
|
5.35
|
6-1-2034
|
|
9,060,000
|
8,987,457
|
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.70%)±
|
|
1.04
|
2-4-2027
|
|
3,165,000
|
2,938,013
|
Morgan Stanley (U.S. SOFR+1.20%)±
|
|
2.51
|
10-20-2032
|
|
6,850,000
|
5,625,452
|
Morgan Stanley (U.S. SOFR+1.36%)±
|
|
2.48
|
9-16-2036
|
|
12,120,000
|
9,556,040
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Banks(continued)
|
|
|
|
|
|
|
Morgan Stanley (U.S. SOFR+1.59%)±
|
|
5.16
%
|
4-20-2029
|
$
|
8,000,000
|
$7,946,113
|
Morgan Stanley (U.S. SOFR+1.73%)±
|
|
5.12
|
2-1-2029
|
|
8,930,000
|
8,871,065
|
Morgan Stanley (U.S. SOFR+1.83%)±
|
|
6.41
|
11-1-2029
|
|
7,365,000
|
7,664,974
|
Morgan Stanley (U.S. SOFR+1.88%)±
|
|
5.42
|
7-21-2034
|
|
1,980,000
|
1,959,487
|
Morgan Stanley (U.S. SOFR+1.99%)±
|
|
2.19
|
4-28-2026
|
|
16,705,000
|
16,184,556
|
National Securities Clearing Corp.144A
|
|
5.00
|
5-30-2028
|
|
5,000,000
|
4,983,644
|
Santander Holdings USA, Inc. (U.S. SOFR+3.28%)±
|
|
7.66
|
11-9-2031
|
|
13,730,000
|
14,838,838
|
U.S. Bancorp (U.S. SOFR+1.86%)±
|
|
5.68
|
1-23-2035
|
|
5,425,000
|
5,416,937
|
U.S. Bancorp (U.S. SOFR+2.26%)±
|
|
5.84
|
6-12-2034
|
|
12,435,000
|
12,535,678
|
Wells Fargo & Co. (U.S. SOFR+1.50%)±
|
|
3.35
|
3-2-2033
|
|
14,600,000
|
12,589,954
|
|
|
|
|
|
|
198,506,265
|
Diversified financial services: 2.25%
|
|
|
|
|
|
|
Aircastle Ltd.144A
|
|
5.95
|
2-15-2029
|
|
25,015,000
|
24,972,606
|
Blackstone Holdings Finance Co. LLC144A
|
|
5.00
|
6-15-2044
|
|
1,015,000
|
922,783
|
Blackstone Holdings Finance Co. LLC144A
|
|
6.20
|
4-22-2033
|
|
14,485,000
|
15,111,042
|
Charles Schwab Corp. (U.S. SOFR+2.01%)±
|
|
6.14
|
8-24-2034
|
|
20,785,000
|
21,496,756
|
Computershare U.S., Inc.
|
|
1.13
|
10-7-2031
|
|
7,450,000
|
6,494,444
|
Enact Holdings, Inc.144A
|
|
6.50
|
8-15-2025
|
|
24,613,000
|
24,791,444
|
LSEG U.S. Fin Corp.144A
|
|
5.30
|
3-28-2034
|
|
15,000,000
|
14,888,445
|
Private Export Funding Corp.144A
|
|
0.55
|
7-30-2024
|
|
29,766,000
|
29,537,404
|
Toll Road Investors Partnership II LP Series 1999-B (NPFGC
Insured)144A¤
|
|
0.00
|
2-15-2026
|
|
5,630,000
|
4,921,992
|
Toll Road Investors Partnership II LP Series 1999-B (NPFGC
Insured)144A¤
|
|
0.00
|
2-15-2027
|
|
1,050,000
|
840,709
|
Toll Road Investors Partnership II LP Series 1999-B (NPFGC
Insured)144A¤
|
|
0.00
|
2-15-2028
|
|
1,150,000
|
857,542
|
|
|
|
|
|
|
144,835,167
|
Insurance: 1.96%
|
|
|
|
|
|
|
Arthur J Gallagher & Co.
|
|
5.75
|
7-15-2054
|
|
4,500,000
|
4,372,436
|
Arthur J Gallagher & Co.
|
|
6.75
|
2-15-2054
|
|
4,895,000
|
5,386,203
|
Athene Global Funding
|
|
0.37
|
9-10-2026
|
|
5,600,000
|
5,609,242
|
Athene Global Funding144A
|
|
1.99
|
8-19-2028
|
|
8,880,000
|
7,694,252
|
Athene Global Funding144A
|
|
2.55
|
11-19-2030
|
|
3,000,000
|
2,497,029
|
Cincinnati Financial Corp.
|
|
6.13
|
11-1-2034
|
|
3,725,000
|
3,874,556
|
Guardian Life Insurance Co. of America144A
|
|
4.85
|
1-24-2077
|
|
4,555,000
|
3,754,516
|
Hill City Funding Trust144A
|
|
4.05
|
8-15-2041
|
|
6,955,000
|
5,009,084
|
Lincoln National Corp.
|
|
4.35
|
3-1-2048
|
|
4,495,000
|
3,413,279
|
Lincoln National Corp.
|
|
5.85
|
3-15-2034
|
|
9,215,000
|
9,166,359
|
MetLife, Inc. Series G (5 Year Treasury Constant
Maturity+3.58%)ʊ±
|
|
3.85
|
9-15-2025
|
|
12,449,000
|
11,969,753
|
Metropolitan Life Global Funding I144A
|
|
5.15
|
3-28-2033
|
|
13,000,000
|
12,808,163
|
National Life Insurance Co. (3 Month LIBOR+3.31%)144A±
|
|
5.25
|
7-19-2068
|
|
1,668,000
|
1,383,494
|
Northwestern Mutual Life Insurance Co.144A
|
|
3.63
|
9-30-2059
|
|
1,500,000
|
1,023,249
|
OneAmerica Financial Partners, Inc.144A
|
|
4.25
|
10-15-2050
|
|
570,000
|
383,484
|
PartnerRe Finance B LLC (5 Year Treasury Constant
Maturity+3.82%)±
|
|
4.50
|
10-1-2050
|
|
9,010,000
|
8,176,949
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Insurance(continued)
|
|
|
|
|
|
|
Prudential Financial, Inc. (5 Year Treasury Constant
Maturity+3.16%)±
|
|
5.13
%
|
3-1-2052
|
$
|
3,600,000
|
$3,343,504
|
Reinsurance Group of America, Inc.
|
|
6.00
|
9-15-2033
|
|
7,444,000
|
7,552,058
|
RGA Global Funding144A
|
|
6.00
|
11-21-2028
|
|
21,325,000
|
21,876,863
|
Sammons Financial Group, Inc.144A
|
|
4.75
|
4-8-2032
|
|
2,015,000
|
1,782,692
|
Transatlantic Holdings, Inc.
|
|
8.00
|
11-30-2039
|
|
4,329,000
|
5,416,278
|
|
|
|
|
|
|
126,493,443
|
Investment Companies: 0.12%
|
|
|
|
|
|
|
Ares Capital Corp.
|
|
2.88
|
6-15-2028
|
|
8,550,000
|
7,599,634
|
Private equity: 0.05%
|
|
|
|
|
|
|
KKR Group Finance Co. III LLC144A
|
|
5.13
|
6-1-2044
|
|
2,390,000
|
2,163,342
|
KKR Group Finance Co. VIII LLC144A
|
|
3.50
|
8-25-2050
|
|
1,910,000
|
1,309,871
|
|
|
|
|
|
|
3,473,213
|
Real estate: 0.14%
|
|
|
|
|
|
|
CBRE Services, Inc.
|
|
5.50
|
4-1-2029
|
|
9,190,000
|
9,182,935
|
REITS: 2.72%
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc.
|
|
5.25
|
5-15-2036
|
|
10,000,000
|
9,586,194
|
Brandywine Operating Partnership LP
|
|
8.05
|
3-15-2028
|
|
7,370,000
|
7,599,620
|
EPR Properties
|
|
3.60
|
11-15-2031
|
|
10,220,000
|
8,486,206
|
EPR Properties
|
|
3.75
|
8-15-2029
|
|
4,643,000
|
4,132,018
|
GLP Capital LP/GLP Financing II, Inc.
|
|
3.25
|
1-15-2032
|
|
10,000,000
|
8,298,545
|
GLP Capital LP/GLP Financing II, Inc.
|
|
4.00
|
1-15-2030
|
|
3,655,000
|
3,311,617
|
GLP Capital LP/GLP Financing II, Inc.
|
|
6.75
|
12-1-2033
|
|
6,485,000
|
6,734,672
|
Invitation Homes Operating Partnership LP
|
|
5.45
|
8-15-2030
|
|
10,665,000
|
10,626,454
|
Iron Mountain, Inc.144A
|
|
4.50
|
2-15-2031
|
|
10,000,000
|
8,899,812
|
Omega Healthcare Investors, Inc.
|
|
3.38
|
2-1-2031
|
|
2,930,000
|
2,493,091
|
Omega Healthcare Investors, Inc.
|
|
3.63
|
10-1-2029
|
|
13,305,000
|
11,823,087
|
Omega Healthcare Investors, Inc.
|
|
4.75
|
1-15-2028
|
|
6,627,000
|
6,372,208
|
Piedmont Operating Partnership LP
|
|
2.75
|
4-1-2032
|
|
4,250,000
|
3,057,852
|
Piedmont Operating Partnership LP
|
|
9.25
|
7-20-2028
|
|
10,018,000
|
10,694,719
|
Realty Income Corp.
|
|
5.13
|
2-15-2034
|
|
19,359,000
|
18,737,123
|
Realty Income Corp.
|
|
5.13
|
7-6-2034
|
|
7,700,000
|
8,889,760
|
Sabra Health Care LP
|
|
5.13
|
8-15-2026
|
|
20,040,000
|
19,660,209
|
SBA Tower Trust144A
|
|
1.63
|
11-15-2026
|
|
6,595,000
|
5,956,322
|
VICI Properties LP
|
|
6.13
|
4-1-2054
|
|
8,975,000
|
8,597,711
|
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A
|
|
3.75
|
9-17-2024
|
|
9,604,000
|
9,528,111
|
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A
|
|
4.75
|
9-17-2044
|
|
2,610,000
|
1,967,845
|
|
|
|
|
|
|
175,453,176
|
Industrial: 0.53%
|
|
|
|
|
|
|
Aerospace/defense: 0.16%
|
|
|
|
|
|
|
Boeing Co.
|
|
5.81
|
5-1-2050
|
|
11,840,000
|
10,601,896
|
Building materials: 0.08%
|
|
|
|
|
|
|
Camelot Return Merger Sub, Inc.144A
|
|
8.75
|
8-1-2028
|
|
5,000,000
|
4,947,334
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Packaging & containers: 0.23%
|
|
|
|
|
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal
Packaging Finance PLC144A
|
|
6.00
%
|
6-15-2027
|
$
|
12,000,000
|
$11,733,157
|
Clydesdale Acquisition Holdings, Inc.144A
|
|
8.75
|
4-15-2030
|
|
3,000,000
|
2,893,175
|
|
|
|
|
|
|
14,626,332
|
Trucking & leasing: 0.06%
|
|
|
|
|
|
|
Penske Truck Leasing Co. LP/PTL Finance Corp.144A
|
|
6.20
|
6-15-2030
|
|
4,000,000
|
4,143,388
|
Technology: 0.69%
|
|
|
|
|
|
|
Computers: 0.20%
|
|
|
|
|
|
|
Kyndryl Holdings, Inc.
|
|
2.05
|
10-15-2026
|
|
6,263,000
|
5,772,386
|
Kyndryl Holdings, Inc.
|
|
6.35
|
2-20-2034
|
|
6,615,000
|
6,803,191
|
|
|
|
|
|
|
12,575,577
|
Semiconductors: 0.31%
|
|
|
|
|
|
|
Entegris, Inc.144A
|
|
4.75
|
4-15-2029
|
|
11,500,000
|
10,911,243
|
Intel Corp.
|
|
5.70
|
2-10-2053
|
|
9,550,000
|
9,342,915
|
|
|
|
|
|
|
20,254,158
|
Software: 0.18%
|
|
|
|
|
|
|
Oracle Corp.
|
|
3.95
|
3-25-2051
|
|
16,180,000
|
11,919,604
|
Utilities: 2.22%
|
|
|
|
|
|
|
Electric: 2.05%
|
|
|
|
|
|
|
Appalachian Power Co.
|
|
5.65
|
4-1-2034
|
|
10,940,000
|
10,798,403
|
Basin Electric Power Cooperative144A
|
|
4.75
|
4-26-2047
|
|
2,315,000
|
1,995,672
|
Constellation Energy Generation LLC
|
|
6.50
|
10-1-2053
|
|
4,310,000
|
4,602,472
|
Duke Energy Corp.
|
|
3.10
|
6-15-2028
|
|
2,600,000
|
2,726,762
|
Duke Energy Corp.
|
|
3.85
|
6-15-2034
|
|
7,400,000
|
7,716,224
|
Duke Energy Indiana LLC
|
|
5.40
|
4-1-2053
|
|
5,000,000
|
4,735,531
|
Enel Finance America LLC144A
|
|
2.88
|
7-12-2041
|
|
11,439,000
|
7,547,189
|
Entergy Louisiana LLC
|
|
3.10
|
6-15-2041
|
|
5,190,000
|
3,746,928
|
Entergy Louisiana LLC
|
|
4.75
|
9-15-2052
|
|
9,575,000
|
8,229,363
|
Eversource Energy
|
|
5.50
|
1-1-2034
|
|
18,735,000
|
18,338,954
|
Indianapolis Power & Light Co.144A
|
|
5.70
|
4-1-2054
|
|
4,810,000
|
4,707,176
|
National Rural Utilities Cooperative Finance Corp.
|
|
5.80
|
1-15-2033
|
|
13,015,000
|
13,409,220
|
Oglethorpe Power Corp.
|
|
5.05
|
10-1-2048
|
|
1,060,000
|
925,115
|
Southern California Edison Co.
|
|
3.65
|
2-1-2050
|
|
1,600,000
|
1,141,925
|
Southern California Edison Co.
|
|
5.45
|
6-1-2031
|
|
10,740,000
|
10,775,782
|
Southern California Edison Co.
|
|
5.75
|
4-15-2054
|
|
8,880,000
|
8,746,038
|
Vistra Operations Co. LLC144A
|
|
3.70
|
1-30-2027
|
|
7,475,000
|
7,088,791
|
Vistra Operations Co. LLC144A
|
|
6.95
|
10-15-2033
|
|
14,345,000
|
15,280,964
|
|
|
|
|
|
|
132,512,509
|
Gas: 0.17%
|
|
|
|
|
|
|
Southern California Gas Co.
|
|
5.75
|
6-1-2053
|
|
10,765,000
|
10,646,246
|
Total corporate bonds and notes (Cost $1,347,773,832)
|
|
|
|
|
|
1,330,900,872
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Foreign corporate bonds and notes: 4.58%
|
|
|
|
|
|
|
Communications: 0.64%
|
|
|
|
|
|
|
Media: 0.06%
|
|
|
|
|
|
|
Tele Columbus AG (PIK at 10%)144A¥
|
|
10.00
%
|
1-1-2029
|
EUR
|
2,352,270
|
$1,704,139
|
Ziggo Bond Co. BV144A
|
|
3.38
|
2-28-2030
|
EUR
|
2,500,000
|
2,261,650
|
|
|
|
|
|
|
3,965,789
|
Telecommunications: 0.58%
|
|
|
|
|
|
|
British Telecommunications PLC (UK Gilts 5 Year+3.82%)±
|
|
8.38
|
12-20-2083
|
GBP
|
5,110,000
|
6,905,036
|
Eutelsat SA
|
|
1.50
|
10-13-2028
|
EUR
|
4,600,000
|
3,954,749
|
Koninklijke KPN NV
|
|
3.88
|
7-3-2031
|
EUR
|
4,600,000
|
5,027,244
|
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5
Year+3.19%)ʊ±
|
|
2.88
|
5-27-2026
|
EUR
|
1,800,000
|
1,839,224
|
Tele2 AB
|
|
0.75
|
3-23-2031
|
EUR
|
5,400,000
|
4,934,499
|
Telecom Italia SpA
|
|
1.63
|
1-18-2029
|
EUR
|
7,200,000
|
6,769,594
|
Telefonaktiebolaget LM Ericsson
|
|
1.00
|
5-26-2029
|
EUR
|
1,550,000
|
1,428,298
|
Telefonica Europe BV (EUR Swap Annual (vs. 6 Month
EURIBOR) 7 Year+3.35%)ʊ±
|
|
6.14
|
2-3-2030
|
EUR
|
6,000,000
|
6,770,708
|
|
|
|
|
|
|
37,629,352
|
Consumer, cyclical: 0.71%
|
|
|
|
|
|
|
Auto manufacturers: 0.09%
|
|
|
|
|
|
|
Stellantis NV
|
|
2.00
|
3-20-2025
|
EUR
|
1,800,000
|
1,923,090
|
Volkswagen Leasing GmbH
|
|
0.38
|
7-20-2026
|
EUR
|
3,530,000
|
3,565,556
|
|
|
|
|
|
|
5,488,646
|
Auto parts & equipment: 0.13%
|
|
|
|
|
|
|
Forvia SE
|
|
7.25
|
6-15-2026
|
EUR
|
2,262,000
|
2,564,927
|
Goodyear Europe BV
|
|
2.75
|
8-15-2028
|
EUR
|
6,009,000
|
5,858,902
|
|
|
|
|
|
|
8,423,829
|
Entertainment: 0.49%
|
|
|
|
|
|
|
888 Acquisitions Ltd.144A
|
|
7.56
|
7-15-2027
|
EUR
|
5,990,000
|
6,421,882
|
Allwyn Entertainment Financing U.K. PLC144A
|
|
7.25
|
4-30-2030
|
EUR
|
2,000,000
|
2,286,090
|
Banijay Entertainment SASU144A
|
|
7.00
|
5-1-2029
|
EUR
|
4,640,000
|
5,278,879
|
Cirsa Finance International Sarl144A
|
|
10.38
|
11-30-2027
|
EUR
|
6,885,000
|
8,010,747
|
International Game Technology PLC144A
|
|
3.50
|
6-15-2026
|
EUR
|
1,500,000
|
1,603,024
|
Universal Music Group NV
|
|
4.00
|
6-13-2031
|
EUR
|
7,300,000
|
8,009,837
|
|
|
|
|
|
|
31,610,459
|
Consumer, non-cyclical: 0.60%
|
|
|
|
|
|
|
Agriculture: 0.08%
|
|
|
|
|
|
|
BAT International Finance PLC
|
|
2.25
|
1-16-2030
|
EUR
|
5,250,000
|
5,131,940
|
Beverages: 0.06%
|
|
|
|
|
|
|
Anheuser-Busch InBev SA
|
|
1.13
|
7-1-2027
|
EUR
|
4,000,000
|
4,045,932
|
Commercial services: 0.25%
|
|
|
|
|
|
|
Rentokil Initial Finance BV
|
|
3.88
|
6-27-2027
|
EUR
|
7,000,000
|
7,596,030
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Commercial services(continued)
|
|
|
|
|
|
|
Transurban Finance Co. Pty. Ltd.
|
|
4.23
%
|
4-26-2033
|
EUR
|
6,000,000
|
$6,641,297
|
Verisure Holding AB144A
|
|
9.25
|
10-15-2027
|
EUR
|
1,525,000
|
1,753,585
|
|
|
|
|
|
|
15,990,912
|
Food: 0.15%
|
|
|
|
|
|
|
Iceland Bondco PLC
|
|
10.88
|
12-15-2027
|
GBP
|
5,930,000
|
7,873,729
|
Sigma Holdco BV144A
|
|
5.75
|
5-15-2026
|
EUR
|
1,500,000
|
1,560,437
|
|
|
|
|
|
|
9,434,166
|
Pharmaceuticals: 0.06%
|
|
|
|
|
|
|
Bayer AG (EUR Swap Annual (vs. 6 Month EURIBOR) 5
Year+3.11%)±
|
|
3.13
|
11-12-2079
|
EUR
|
4,000,000
|
3,920,587
|
Energy: 0.23%
|
|
|
|
|
|
|
Oil & gas: 0.23%
|
|
|
|
|
|
|
Aker BP ASA
|
|
1.13
|
5-12-2029
|
EUR
|
4,000,000
|
3,797,942
|
BP Capital Markets PLC (EUR Swap Annual (vs. 6 Month
EURIBOR) 5 Year+3.52%)ʊ±
|
|
3.25
|
3-22-2026
|
EUR
|
6,200,000
|
6,542,709
|
Repsol International Finance BV (EUR Swap Annual (vs. 6
Month EURIBOR) 5 Year+2.77%)ʊ±
|
|
2.50
|
12-22-2026
|
EUR
|
4,500,000
|
4,602,161
|
|
|
|
|
|
|
14,942,812
|
Financial: 1.17%
|
|
|
|
|
|
|
Banks: 1.03%
|
|
|
|
|
|
|
ABN AMRO Bank NV (EUR Swap Annual (vs. 6 Month EURIBOR)
5 Year+3.90%)ʊ±
|
|
4.75
|
9-22-2027
|
EUR
|
3,300,000
|
3,370,199
|
Banco BPM SpA
|
|
0.88
|
7-15-2026
|
EUR
|
4,500,000
|
4,605,472
|
Banco de Sabadell SA (EURIBOR ICE Swap Rate
11:00am+2.40%)±
|
|
5.50
|
9-8-2029
|
EUR
|
5,100,000
|
5,813,649
|
CaixaBank SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5
Year+3.55%)±
|
|
6.25
|
2-23-2033
|
EUR
|
2,800,000
|
3,199,251
|
Credit Agricole SA (EURIBOR ICE Swap Rate
11:00am+4.44%)ʊ±
|
|
7.25
|
9-23-2028
|
EUR
|
4,700,000
|
5,341,970
|
Deutsche Bank AG (3 Month EURIBOR+2.95%)±
|
|
5.00
|
9-5-2030
|
EUR
|
7,000,000
|
7,838,321
|
KBC Group NV (EURIBOR ICE Swap Rate 11:00am+4.93%)ʊ±
|
|
8.00
|
9-5-2028
|
EUR
|
5,800,000
|
6,715,440
|
Nordea Bank Abp (EUR Swap Annual (vs. 6 Month EURIBOR) 5
Year+3.00%)ʊ±
|
|
3.50
|
3-12-2025
|
EUR
|
11,000,000
|
11,696,833
|
Nykredit Realkredit AS (EUR Swap Annual (vs. 6 Month
EURIBOR) 5 Year+4.57%)ʊ±
|
|
4.13
|
4-15-2026
|
EUR
|
5,400,000
|
5,693,028
|
Raiffeisen Bank International AG (EURIBOR ICE Swap Rate
11:00am+5.20%)±
|
|
7.38
|
12-20-2032
|
EUR
|
5,900,000
|
6,669,066
|
UBS Group AG (EURIBOR ICE Swap Rate 11:00am+4.95%)±
|
|
7.75
|
3-1-2029
|
EUR
|
4,700,000
|
5,750,356
|
|
|
|
|
|
|
66,693,585
|
Diversified financial services: 0.07%
|
|
|
|
|
|
|
Sherwood Financing PLC
|
|
4.50
|
11-15-2026
|
EUR
|
4,778,000
|
4,485,514
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Real estate: 0.07%
|
|
|
|
|
|
|
Castellum AB (EUR Swap Annual (vs. 6 Month EURIBOR) 5
Year+3.45%)ʊ±
|
|
3.13
%
|
12-2-2026
|
EUR
|
4,750,000
|
$4,483,389
|
Government securities: 0.14%
|
|
|
|
|
|
|
Multi-national: 0.14%
|
|
|
|
|
|
|
Banque Ouest Africaine de Developpement
|
|
2.75
|
1-22-2033
|
EUR
|
10,350,000
|
8,787,680
|
Industrial: 0.46%
|
|
|
|
|
|
|
Engineering & construction: 0.33%
|
|
|
|
|
|
|
Bouygues SA
|
|
4.63
|
6-7-2032
|
EUR
|
9,400,000
|
10,793,277
|
Cellnex Finance Co. SA
|
|
2.00
|
9-15-2032
|
EUR
|
7,800,000
|
7,198,787
|
Infrastrutture Wireless Italiane SpA
|
|
1.75
|
4-19-2031
|
EUR
|
3,800,000
|
3,618,534
|
|
|
|
|
|
|
21,610,598
|
Machinery-diversified: 0.06%
|
|
|
|
|
|
|
Nova Alexandre III SAS (3 Month EURIBOR+5.25%)144A±
|
|
9.11
|
7-15-2029
|
EUR
|
3,625,000
|
3,915,998
|
Packaging & containers: 0.07%
|
|
|
|
|
|
|
OI European Group BV
|
|
6.25
|
5-15-2028
|
EUR
|
3,750,000
|
4,221,195
|
Utilities: 0.63%
|
|
|
|
|
|
|
Electric: 0.32%
|
|
|
|
|
|
|
Enel Finance International NV
|
|
0.50
|
6-17-2030
|
EUR
|
4,000,000
|
3,653,155
|
Energia Group Roi Financeco DAC144A
|
|
6.88
|
7-31-2028
|
EUR
|
3,180,000
|
3,583,300
|
RWE AG
|
|
2.75
|
5-24-2030
|
EUR
|
8,330,000
|
8,542,431
|
Vattenfall AB (UK Gilts 5 Year+1.90%)±
|
|
2.50
|
6-29-2083
|
GBP
|
4,713,000
|
5,164,767
|
|
|
|
|
|
|
20,943,653
|
Gas: 0.17%
|
|
|
|
|
|
|
APA Infrastructure Ltd.
|
|
2.00
|
7-15-2030
|
EUR
|
8,250,000
|
8,000,562
|
Snam SpA
|
|
0.63
|
6-30-2031
|
EUR
|
3,200,000
|
2,799,546
|
|
|
|
|
|
|
10,800,108
|
Water: 0.14%
|
|
|
|
|
|
|
Thames Water Utilities Finance PLC
|
|
4.00
|
4-18-2027
|
EUR
|
5,400,000
|
5,075,943
|
Thames Water Utilities Finance PLC
|
|
4.38
|
1-18-2031
|
EUR
|
4,400,000
|
4,046,570
|
|
|
|
|
|
|
9,122,513
|
Total foreign corporate bonds and notes (Cost $295,601,759)
|
|
|
|
|
|
295,648,657
|
Foreign government bonds: 2.82%
|
|
|
|
|
|
|
Australia: 0.33%
|
|
|
|
|
|
|
Australia
|
|
2.75
|
11-21-2028
|
AUD
|
34,135,000
|
21,494,317
|
Brazil: 0.90%
|
|
|
|
|
|
|
Brazil¤
|
|
0.00
|
7-1-2024
|
BRL
|
60,000,000
|
11,317,203
|
Brazil¤
|
|
0.00
|
10-1-2025
|
BRL
|
80,000,000
|
13,293,340
|
Brazil
|
|
10.00
|
1-1-2027
|
BRL
|
63,600,000
|
11,799,375
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Brazil(continued)
|
|
|
|
|
|
|
Brazil
|
|
10.00
%
|
1-1-2025
|
BRL
|
8,600,000
|
$1,628,991
|
Brazil
|
|
10.00
|
1-1-2029
|
BRL
|
112,000,000
|
20,201,443
|
|
|
|
|
|
|
58,240,352
|
Malaysia: 0.20%
|
|
|
|
|
|
|
Malaysia
|
|
3.88
|
3-14-2025
|
MYR
|
59,575,000
|
12,707,451
|
Spain: 0.77%
|
|
|
|
|
|
|
Spain¤
|
|
0.00
|
1-31-2028
|
EUR
|
51,120,000
|
49,588,148
|
United Kingdom: 0.62%
|
|
|
|
|
|
|
U.K. Gilts
|
|
3.25
|
1-31-2033
|
GBP
|
33,615,000
|
39,749,890
|
Total foreign government bonds (Cost $189,488,228)
|
|
|
|
|
|
181,780,158
|
|
|
|
|
Shares
|
|
|
Investment companies: 0.32%
|
|
|
|
|
|
|
Exchange-traded funds: 0.32%
|
|
|
|
|
|
|
SPDR Portfolio High Yield Bond ETF
|
|
|
|
|
881,445
|
20,502,411
|
Total investment companies (Cost $19,999,987)
|
|
|
|
|
|
20,502,411
|
|
|
|
|
Principal
|
|
|
Loans: 0.29%
|
|
|
|
|
|
|
Communications: 0.02%
|
|
|
|
|
|
|
Media: 0.02%
|
|
|
|
|
|
|
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)±
|
|
10.44
|
8-2-2027
|
$
|
1,502,959
|
1,506,836
|
Consumer, cyclical: 0.06%
|
|
|
|
|
|
|
Airlines: 0.05%
|
|
|
|
|
|
|
American Airlines, Inc. (U.S. SOFR 3 Month+4.75%)±
|
|
10.34
|
4-20-2028
|
|
1,266,400
|
1,314,422
|
Mileage Plus Holdings LLC (U.S. SOFR 3 Month+5.25%)±
|
|
10.73
|
6-21-2027
|
|
1,608,750
|
1,644,577
|
|
|
|
|
|
|
2,958,999
|
Retail: 0.01%
|
|
|
|
|
|
|
Petco Health & Wellness Co., Inc. (U.S. SOFR 3
Month+3.25%)±
|
|
8.82
|
3-3-2028
|
|
900,000
|
812,412
|
Consumer, non-cyclical: 0.01%
|
|
|
|
|
|
|
Commercial services: 0.01%
|
|
|
|
|
|
|
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)±
|
|
9.86
|
9-1-2028
|
|
447,273
|
373,263
|
Financial: 0.20%
|
|
|
|
|
|
|
Insurance: 0.20%
|
|
|
|
|
|
|
Asurion LLC (U.S. SOFR 1 Month+3.25%)±
|
|
8.69
|
12-23-2026
|
|
13,066,237
|
12,968,240
|
Total loans (Cost $18,781,120)
|
|
|
|
|
|
18,619,750
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Municipal obligations: 0.09%
|
|
|
|
|
|
|
Illinois: 0.06%
|
|
|
|
|
|
|
GO revenue: 0.03%
|
|
|
|
|
|
|
Will County Community High School District No. 210 Lincoln-
Way CAB (AGM Insured)¤
|
|
0.00
%
|
1-1-2025
|
$
|
1,820,000
|
$1,775,942
|
Housing revenue: 0.03%
|
|
|
|
|
|
|
Metropolitan Pier & Exposition Authority (AGM Insured)¤
|
|
0.00
|
6-15-2026
|
|
1,975,000
|
1,824,332
|
Tax revenue: 0.00%
|
|
|
|
|
|
|
Metropolitan Pier & Exposition Authority Series B¤
|
|
0.00
|
12-15-2051
|
|
765,000
|
177,457
|
|
|
|
|
|
|
3,777,731
|
Pennsylvania: 0.03%
|
|
|
|
|
|
|
Housing revenue: 0.03%
|
|
|
|
|
|
|
Commonwealth Financing Authority Pennsylvania
Department of Education Series A
|
|
4.14
|
6-1-2038
|
|
1,995,000
|
1,812,909
|
Total municipal obligations (Cost $5,673,290)
|
|
|
|
|
|
5,590,640
|
Non-agency mortgage-backed securities: 6.24%
|
|
|
|
|
|
|
Agate Bay Mortgage Trust Series 2015-3 Class B3144A±±
|
|
3.49
|
4-25-2045
|
|
607,989
|
519,328
|
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±±
|
|
1.47
|
6-25-2065
|
|
741,391
|
687,726
|
Bank Series 2022-BNK44 Class A5±±
|
|
5.74
|
11-15-2055
|
|
1,085,000
|
1,114,169
|
BBCMS Mortgage Trust Series 2024-5C25 Class AS±±
|
|
6.36
|
3-15-2057
|
|
10,030,000
|
10,239,509
|
Benchmark Mortgage Trust Series 2022-B33 Class A5
|
|
3.46
|
3-15-2055
|
|
14,391,000
|
12,626,476
|
Benchmark Mortgage Trust Series 2022-B35 Class A5±±
|
|
4.44
|
5-15-2055
|
|
21,565,000
|
19,798,018
|
BMO Mortgage Trust Series 2023-C4 Class A5±±
|
|
5.12
|
2-15-2056
|
|
7,705,000
|
7,555,861
|
BMO Mortgage Trust Series 2024-C8 Class AS±±
|
|
5.91
|
3-15-2057
|
|
10,685,000
|
10,812,392
|
Bunker Hill Loan Depositary Trust Series 2019-3
Class A1144A
|
|
2.72
|
11-25-2059
|
|
453,340
|
440,402
|
BX Commercial Mortgage Trust Series 2023-VLT3 Class B
(U.S. SOFR 1 Month+2.69%)144A±
|
|
8.01
|
11-15-2028
|
|
13,250,000
|
13,266,574
|
BX Trust Series 2019-OC11 Class A144A
|
|
3.20
|
12-9-2041
|
|
4,975,000
|
4,394,319
|
BX Trust Series 2021-ARIA Class A (U.S. SOFR 1
Month+1.01%)144A±
|
|
6.33
|
10-15-2036
|
|
3,680,000
|
3,647,816
|
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1
Month+2.01%)144A±
|
|
7.33
|
10-15-2036
|
|
9,836,000
|
9,663,870
|
BX Trust Series 2022-CLS Class C144A
|
|
6.79
|
10-13-2027
|
|
1,000,000
|
909,098
|
BX Trust Series 2024-BIO Class C (U.S. SOFR 1
Month+2.64%)144A±
|
|
7.96
|
2-15-2041
|
|
10,995,000
|
10,991,564
|
Cascade Funding Mortgage Trust Series 2018-RM2
Class A144A±±
|
|
4.00
|
10-25-2068
|
|
274,255
|
270,550
|
CD Mortgage Trust Series 2017-CD6 Class A5
|
|
3.46
|
11-13-2050
|
|
1,035,000
|
962,038
|
CHNGE Mortgage Trust Series 2022-1 Class A1144A±±
|
|
3.01
|
1-25-2067
|
|
5,567,141
|
5,090,510
|
CHNGE Mortgage Trust Series 2022-2 Class A1144A±±
|
|
3.76
|
3-25-2067
|
|
1,223,040
|
1,138,589
|
CHNGE Mortgage Trust Series 2023-3 Class A1144A
|
|
7.10
|
7-25-2058
|
|
1,773,113
|
1,766,906
|
CHNGE Mortgage Trust Series 2023-4 Class A1144A
|
|
7.57
|
9-25-2058
|
|
6,282,877
|
6,330,608
|
COLT Mortgage Loan Trust Series 2022-7 Class A1144A
|
|
5.16
|
4-25-2067
|
|
5,333,020
|
5,232,590
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Non-agency mortgage-backed securities(continued)
|
|
|
|
|
|
|
COMM Mortgage Trust Series 2014-CR18 Class C±±
|
|
4.75
%
|
7-15-2047
|
$
|
3,258,600
|
$3,168,299
|
COMM Mortgage Trust Series 2015-3BP Class A144A
|
|
3.18
|
2-10-2035
|
|
7,295,000
|
6,614,576
|
CRSO Trust Series 2023±±
|
|
7.12
|
7-10-2040
|
|
17,995,000
|
18,608,120
|
CSMC Trust Series 2013-IVR2 Class B4144A±±
|
|
3.39
|
4-25-2043
|
|
547,256
|
482,498
|
CSMC Trust Series 2014-IVR2 Class A2144A±±
|
|
3.80
|
4-25-2044
|
|
1,129,841
|
1,024,039
|
CSMC Trust Series 2021-AFC1 Class A2144A±±
|
|
1.07
|
3-25-2056
|
|
4,794,745
|
3,900,439
|
CSMLT Trust Series 2015-1 Class B4144A±±
|
|
3.81
|
5-25-2045
|
|
2,225,420
|
2,022,647
|
DBSG Mortgage Trust Series 2024-ALTA Class A144A±±
|
|
6.14
|
6-10-2037
|
|
13,810,000
|
13,805,216
|
DBSG Mortgage Trust Series 2024-ALTA Class B144A±±
|
|
6.60
|
6-10-2037
|
|
3,015,000
|
3,012,725
|
Deephaven Residential Mortgage Trust Series 2021-3
Class A2144A±±
|
|
1.40
|
8-25-2066
|
|
2,573,835
|
2,176,240
|
Finance of America Structured Securities Trust
Series 2024-S2 Class A1144A
|
|
3.50
|
4-25-2074
|
|
26,011,629
|
24,237,987
|
Financial Asset Securitization Inc. Series 1997-NAM2
Class B2†±±
|
|
8.00
|
7-25-2027
|
|
15,908
|
3
|
FREMF Mortgage Trust Series 2020-KF76 Class B (30 Day
Average U.S. SOFR+2.86%)144A±
|
|
8.19
|
1-25-2030
|
|
1,588,530
|
1,495,313
|
GCAT Trust Series 2019-RPL1 Class A1144A±±
|
|
2.65
|
10-25-2068
|
|
1,524,038
|
1,435,610
|
GS Mortgage Securities Trust Series 2017-GS7 Class A3
|
|
3.17
|
8-10-2050
|
|
990,000
|
916,391
|
GS Mortgage Securities Trust Series 2019-GSA1 Class C±±
|
|
3.81
|
11-10-2052
|
|
500,000
|
415,531
|
GS Mortgage-Backed Securities Corp. Trust Series 2019-PJ2
Class A4144A±±
|
|
4.00
|
11-25-2049
|
|
155,247
|
141,119
|
GS Mortgage-Backed Securities Trust Series 2024-RPL2
Class A1144A±±
|
|
3.75
|
7-25-2061
|
|
13,550,296
|
12,736,586
|
Homeward Opportunities Fund Trust Series 2020-2
Class A2144A±±
|
|
2.64
|
5-25-2065
|
|
315,571
|
310,302
|
Imperial Fund Mortgage Trust Series 2020-NQM1
Class A1144A±±
|
|
1.38
|
10-25-2055
|
|
686,442
|
614,200
|
Imperial Fund Mortgage Trust Series 2021-NQM1
Class A1144A±±
|
|
1.07
|
6-25-2056
|
|
1,285,571
|
1,090,758
|
Imperial Fund Mortgage Trust Series 2021-NQM2
Class A2144A±±
|
|
1.36
|
9-25-2056
|
|
4,185,734
|
3,418,844
|
Imperial Fund Mortgage Trust Series 2022-NQM3
Class A3144A±±
|
|
4.43
|
5-25-2067
|
|
17,223,000
|
14,131,162
|
JPMBB Commercial Mortgage Securities Trust Series 2013-
C15 Class D144A±±
|
|
4.61
|
11-15-2045
|
|
2,944,915
|
2,547,751
|
JPMorgan Mortgage Trust Series 2013-3 Class B4144A±±
|
|
3.36
|
7-25-2043
|
|
3,616,907
|
2,625,014
|
JPMorgan Mortgage Trust Series 2014-2 Class B4144A±±
|
|
3.41
|
6-25-2029
|
|
1,215,000
|
1,077,161
|
JPMorgan Mortgage Trust Series 2020-1 Class A15144A±±
|
|
3.50
|
6-25-2050
|
|
1,127,011
|
967,658
|
Med Trust Series 2021-MDLN Class B (U.S. SOFR 1
Month+1.56%)144A±
|
|
6.88
|
11-15-2038
|
|
9,384,959
|
9,355,631
|
MFA Trust Series 2020-NQM3 Class A1144A±±
|
|
1.01
|
1-26-2065
|
|
772,407
|
701,772
|
MFA Trust Series 2020-NQM3 Class M1144A±±
|
|
2.65
|
1-26-2065
|
|
2,650,000
|
2,273,617
|
MFA Trust Series 2021-NQM1 Class A1144A±±
|
|
1.15
|
4-25-2065
|
|
1,429,054
|
1,292,097
|
MFA Trust Series 2021-NQM1 Class A2144A±±
|
|
1.38
|
4-25-2065
|
|
2,306,653
|
2,086,353
|
MFA Trust Series 2022-NQM2 Class A1144A
|
|
4.00
|
5-25-2067
|
|
6,281,044
|
5,928,691
|
Mill City Mortgage Loan Trust Series 2019-GS1
Class M2144A±±
|
|
3.25
|
7-25-2059
|
|
4,592,000
|
3,897,924
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Non-agency mortgage-backed securities(continued)
|
|
|
|
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2016-C30 Class B±±
|
|
3.31
%
|
9-15-2049
|
$
|
4,610,000
|
$4,066,073
|
Morgan Stanley Capital I Trust Series 2014-150E
Class A144A
|
|
3.91
|
9-9-2032
|
|
6,695,000
|
5,850,641
|
New Residential Mortgage Loan Trust Series 2019-RPL3
Class M1144A±±
|
|
3.25
|
7-25-2059
|
|
10,800,000
|
9,259,762
|
NYMT Loan Trust Series 2024-CP1 Class A1144A±±
|
|
3.75
|
2-25-2068
|
|
2,897,333
|
2,639,695
|
OBX Trust Series 2020-INV1 Class A21144A±±
|
|
3.50
|
12-25-2049
|
|
1,508,615
|
1,301,169
|
OBX Trust Series 2022-NQM7 Class A1144A
|
|
5.11
|
8-25-2062
|
|
4,610,424
|
4,522,571
|
One New York Plaza Trust Series 2020-1NYP Class A
(U.S. SOFR 1 Month+1.06%)144A±
|
|
6.38
|
1-15-2036
|
|
5,600,000
|
5,446,701
|
ORL Trust Series 2023-GLKS Class A (U.S. SOFR 1
Month+2.35%)144A±
|
|
7.67
|
10-19-2036
|
|
6,165,000
|
6,190,045
|
PRPM LLC Series 2024-2 Class A1144A
|
|
7.03
|
3-25-2029
|
|
12,907,119
|
12,914,645
|
RCKT Mortgage Trust Series 2023-CES2 Class A1A144A±±
|
|
6.81
|
9-25-2043
|
|
10,068,583
|
10,122,975
|
Residential Mortgage Loan Trust Series 2020-1
Class M1144A±±
|
|
3.24
|
1-26-2060
|
|
5,000,000
|
4,433,360
|
Residential Mortgage Loan Trust Series 2021-1R
Class A2144A±±
|
|
1.10
|
1-25-2065
|
|
622,505
|
576,093
|
Saluda Grade Alternative Mortgage Trust Series 2024-CES1
Class A1144A±±
|
|
6.31
|
3-25-2054
|
|
7,681,987
|
7,679,881
|
SFAVE Commercial Mortgage Securities Trust Series 2015-
5AVE Class D144A±±
|
|
4.53
|
1-5-2043
|
|
1,927,000
|
1,320,566
|
SG Residential Mortgage Trust Series 2021-1
Class A2144A±±
|
|
1.36
|
7-25-2061
|
|
5,745,021
|
4,528,876
|
Shellpoint Co-Originator Trust Series 2016-1
Class B2144A±±
|
|
3.56
|
11-25-2046
|
|
4,490,860
|
3,974,340
|
SHER Trust Series 2024-DAL Class B (U.S. SOFR 1
Month+2.24%)144A±
|
|
7.56
|
4-15-2037
|
|
8,860,000
|
8,816,222
|
Starwood Mortgage Residential Trust Series 2021-6
Class A1144A±±
|
|
1.92
|
11-25-2066
|
|
1,943,481
|
1,644,946
|
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±±
|
|
3.71
|
11-25-2060
|
|
1,040,797
|
1,030,784
|
Towd Point Mortgage Trust Series 2017-4 Class A1144A±±
|
|
2.75
|
6-25-2057
|
|
570,540
|
543,699
|
Towd Point Mortgage Trust Series 2019-4 Class M1144A±±
|
|
3.50
|
10-25-2059
|
|
4,000,000
|
3,402,626
|
Towd Point Mortgage Trust Series 2019-4 Class M2144A±±
|
|
3.75
|
10-25-2059
|
|
3,680,000
|
3,065,378
|
Towd Point Mortgage Trust Series 2020-1 Class A1144A±±
|
|
2.71
|
1-25-2060
|
|
7,332,495
|
6,812,714
|
TRK Trust Series 2021-INV1 Class A2144A±±
|
|
1.41
|
7-25-2056
|
|
2,101,369
|
1,797,769
|
UBS Commercial Mortgage Trust Series 2017-C5 Class A5
|
|
3.47
|
11-15-2050
|
|
1,140,000
|
1,045,047
|
UBS Commercial Mortgage Trust Series 2018-NYCH Class A
(U.S. SOFR 1 Month+0.90%)144A±
|
|
6.21
|
2-15-2032
|
|
2,160,072
|
2,153,348
|
Verus Securitization Trust Series 2021-R3 Class A1144A±±
|
|
1.02
|
4-25-2064
|
|
1,607,693
|
1,434,307
|
Verus Securitization Trust Series 2022-4 Class A1144A
|
|
4.47
|
4-25-2067
|
|
3,752,211
|
3,638,515
|
VM Master Issuer LLC Series 2022-1 Class B144A±±
|
|
6.88
|
5-24-2025
|
|
6,642,518
|
6,615,394
|
Total non-agency mortgage-backed securities
(Cost $418,919,114)
|
|
|
|
|
|
402,799,329
|
U.S. Treasury securities: 11.84%
|
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
1.88
|
11-15-2051
|
|
36,315,000
|
20,706,643
|
U.S. Treasury Bonds
|
|
2.88
|
5-15-2043
|
|
45,210,000
|
34,718,101
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
U.S. Treasury securities(continued)
|
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
3.00
%
|
2-15-2049
|
$
|
32,945,000
|
$24,631,535
|
U.S. Treasury Bonds
|
|
3.13
|
5-15-2048
|
|
65,580,000
|
50,371,076
|
U.S. Treasury Bonds
|
|
3.88
|
5-15-2043
|
|
42,200,000
|
37,663,500
|
U.S. Treasury Bonds
|
|
4.00
|
11-15-2052
|
|
13,110,000
|
11,772,370
|
U.S. Treasury Bonds##
|
|
4.25
|
2-15-2054
|
|
155,010,000
|
145,394,536
|
U.S. Treasury Bonds
|
|
4.38
|
8-15-2043
|
|
60,825,000
|
58,085,499
|
U.S. Treasury Bonds
|
|
4.63
|
5-15-2054
|
|
10,085,000
|
10,072,394
|
U.S. Treasury Bonds
|
|
4.75
|
11-15-2043
|
|
3,270,000
|
3,278,175
|
U.S. Treasury Bonds
|
|
4.75
|
11-15-2053
|
|
53,020,000
|
54,014,125
|
U.S. Treasury Notes
|
|
4.00
|
1-31-2029
|
|
26,415,000
|
25,836,140
|
U.S. Treasury Notes
|
|
4.13
|
3-31-2029
|
|
159,455,000
|
156,751,740
|
U.S. Treasury Notes
|
|
4.38
|
5-15-2034
|
|
30,710,000
|
30,436,489
|
U.S. Treasury Notes
|
|
4.63
|
4-30-2031
|
|
33,825,000
|
34,073,403
|
U.S. Treasury Notes
|
|
4.63
|
5-31-2031
|
|
51,300,000
|
51,692,766
|
U.S. Treasury STRIPS¤
|
|
0.00
|
5-15-2040
|
|
20,515,000
|
9,506,619
|
U.S. Treasury STRIPS¤
|
|
0.00
|
5-15-2044
|
|
12,985,000
|
4,905,000
|
Total U.S. Treasury securities (Cost $792,476,490)
|
|
|
|
|
|
763,910,111
|
Yankee corporate bonds and notes: 8.04%
|
|
|
|
|
|
|
Basic materials: 0.40%
|
|
|
|
|
|
|
Chemicals: 0.32%
|
|
|
|
|
|
|
Braskem Netherlands Finance BV144A
|
|
7.25
|
2-13-2033
|
|
7,175,000
|
6,709,168
|
OCI NV144A
|
|
6.70
|
3-16-2033
|
|
13,955,000
|
13,796,162
|
|
|
|
|
|
|
20,505,330
|
Mining: 0.08%
|
|
|
|
|
|
|
Glencore Finance Canada Ltd.144A
|
|
6.90
|
11-15-2037
|
|
5,000,000
|
5,357,771
|
Communications: 0.54%
|
|
|
|
|
|
|
Internet: 0.17%
|
|
|
|
|
|
|
Prosus NV144A
|
|
3.83
|
2-8-2051
|
|
3,000,000
|
1,897,449
|
Prosus NV144A
|
|
4.03
|
8-3-2050
|
|
10,105,000
|
6,644,955
|
Prosus NV144A
|
|
4.99
|
1-19-2052
|
|
3,000,000
|
2,268,259
|
|
|
|
|
|
|
10,810,663
|
Telecommunications: 0.37%
|
|
|
|
|
|
|
Colombia Telecomunicaciones SA ESP144A
|
|
4.95
|
7-17-2030
|
|
5,000,000
|
3,738,110
|
Nokia OYJ
|
|
6.63
|
5-15-2039
|
|
4,845,000
|
4,692,317
|
Rogers Communications, Inc.
|
|
4.55
|
3-15-2052
|
|
11,975,000
|
9,753,631
|
Telefonica Emisiones SA
|
|
5.21
|
3-8-2047
|
|
6,485,000
|
5,774,966
|
|
|
|
|
|
|
23,959,024
|
Consumer, cyclical: 0.39%
|
|
|
|
|
|
|
Airlines: 0.13%
|
|
|
|
|
|
|
Air Canada Pass-Through Trust Series 2020-1 Class C144A
|
|
10.50
|
7-15-2026
|
|
4,000,000
|
4,310,000
|
VistaJet Malta Finance PLC/Vista Management Holding,
Inc.144A
|
|
9.50
|
6-1-2028
|
|
4,750,000
|
4,320,079
|
|
|
|
|
|
|
8,630,079
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Auto manufacturers: 0.15%
|
|
|
|
|
|
|
Nissan Motor Co. Ltd.144A
|
|
3.52
%
|
9-17-2025
|
$
|
10,000,000
|
$9,685,363
|
Entertainment: 0.11%
|
|
|
|
|
|
|
Genm Capital Labuan Ltd.144A
|
|
3.88
|
4-19-2031
|
|
7,810,000
|
6,814,711
|
Consumer, non-cyclical: 0.37%
|
|
|
|
|
|
|
Agriculture: 0.11%
|
|
|
|
|
|
|
Viterra Finance BV144A
|
|
4.90
|
4-21-2027
|
|
7,615,000
|
7,480,234
|
Pharmaceuticals: 0.26%
|
|
|
|
|
|
|
Perrigo Finance Unlimited Co.
|
|
4.90
|
12-15-2044
|
|
1,500,000
|
1,188,367
|
Pfizer Investment Enterprises Pte. Ltd.
|
|
5.30
|
5-19-2053
|
|
9,185,000
|
8,781,129
|
Teva Pharmaceutical Finance Netherlands III BV
|
|
8.13
|
9-15-2031
|
|
6,000,000
|
6,586,608
|
|
|
|
|
|
|
16,556,104
|
Energy: 0.74%
|
|
|
|
|
|
|
Oil & gas: 0.40%
|
|
|
|
|
|
|
BP Capital Markets PLC (5 Year Treasury Constant
Maturity+2.15%)ʊ±
|
|
6.45
|
12-1-2033
|
|
4,895,000
|
5,004,438
|
BP Capital Markets PLC (5 Year Treasury Constant
Maturity+4.40%)ʊ±
|
|
4.88
|
3-22-2030
|
|
4,950,000
|
4,670,365
|
Petroleos Mexicanos
|
|
6.70
|
2-16-2032
|
|
2,650,000
|
2,220,251
|
QatarEnergy144A
|
|
3.13
|
7-12-2041
|
|
6,000,000
|
4,392,552
|
Woodside Finance Ltd.144A
|
|
3.65
|
3-5-2025
|
|
9,570,000
|
9,414,325
|
|
|
|
|
|
|
25,701,931
|
Pipelines: 0.34%
|
|
|
|
|
|
|
Enbridge, Inc.
|
|
5.95
|
4-5-2054
|
|
9,700,000
|
9,654,630
|
Enbridge, Inc. Series 20-A (5 Year Treasury Constant
Maturity+5.31%)±
|
|
5.75
|
7-15-2080
|
|
13,200,000
|
12,301,196
|
|
|
|
|
|
|
21,955,826
|
Financial: 4.54%
|
|
|
|
|
|
|
Banks: 2.95%
|
|
|
|
|
|
|
ABN AMRO Bank NV144A
|
|
4.75
|
7-28-2025
|
|
1,800,000
|
1,772,464
|
Banco Industrial SA (5 Year Treasury Constant
Maturity+4.44%)144A±
|
|
4.88
|
1-29-2031
|
|
6,100,000
|
5,886,500
|
Banco Mercantil del Norte SA (5 Year Treasury Constant
Maturity+4.64%)144Aʊ±
|
|
5.88
|
1-24-2027
|
|
6,050,000
|
5,720,481
|
Banco Mercantil del Norte SA (5 Year Treasury Constant
Maturity+4.97%)144Aʊ±
|
|
6.75
|
9-27-2024
|
|
1,565,000
|
1,554,491
|
Banco Nacional de Comercio Exterior SNC (5 Year Treasury
Constant Maturity+2.00%)144A±
|
|
2.72
|
8-11-2031
|
|
3,050,000
|
2,700,870
|
Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand (5 Year Treasury Constant
Maturity+3.00%)144A±
|
|
7.53
|
10-1-2028
|
|
1,700,000
|
1,758,713
|
Banco Santander SA (1 Year Treasury Constant
Maturity+0.45%)±
|
|
5.74
|
6-30-2024
|
|
9,000,000
|
8,994,201
|
Bank of Ireland Group PLC (U.S. SOFR+1.62%)144A±
|
|
5.60
|
3-20-2030
|
|
8,345,000
|
8,245,052
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Banks(continued)
|
|
|
|
|
|
|
Barclays PLC (U.S. SOFR+1.74%)±
|
|
5.69
%
|
3-12-2030
|
$
|
8,440,000
|
$8,434,554
|
BBVA Bancomer SA (5 Year Treasury Constant
Maturity+4.31%)144A±
|
|
5.88
|
9-13-2034
|
|
1,800,000
|
1,684,046
|
BNP Paribas SA (5 Year Treasury Constant
Maturity+3.73%)144Aʊ±
|
|
8.00
|
8-22-2031
|
|
5,000,000
|
5,073,560
|
BNP Paribas SA (5 Year Treasury Constant
Maturity+4.90%)144Aʊ±
|
|
7.75
|
8-16-2029
|
|
5,400,000
|
5,526,166
|
Danske Bank AS (1 Year Treasury Constant
Maturity+1.40%)144A±
|
|
5.71
|
3-1-2030
|
|
13,900,000
|
13,915,019
|
Danske Bank AS (1 Year Treasury Constant
Maturity+1.75%)144A±
|
|
4.30
|
4-1-2028
|
|
20,000,000
|
19,302,435
|
Federation des Caisses Desjardins du Quebec144A
|
|
5.25
|
4-26-2029
|
|
10,845,000
|
10,778,774
|
Federation des Caisses Desjardins du Quebec144A
|
|
5.70
|
3-14-2028
|
|
16,145,000
|
16,296,810
|
Lloyds Banking Group PLC (5 Year Treasury Constant
Maturity+4.82%)ʊ±
|
|
6.75
|
6-27-2026
|
|
7,550,000
|
7,496,381
|
Macquarie Bank Ltd. (5 Year Treasury Constant
Maturity+1.70%)144A±
|
|
3.05
|
3-3-2036
|
|
4,420,000
|
3,669,673
|
National Australia Bank Ltd. (5 Year Treasury Constant
Maturity+1.70%)144A±
|
|
3.35
|
1-12-2037
|
|
8,835,000
|
7,411,581
|
NatWest Group PLC (1 Year Treasury Constant
Maturity+1.50%)±
|
|
5.78
|
3-1-2035
|
|
13,500,000
|
13,509,011
|
NatWest Markets PLC144A
|
|
1.60
|
9-29-2026
|
|
4,000,000
|
3,662,100
|
UBS Group AG (1 Year Treasury Constant
Maturity+0.85%)144A±
|
|
1.49
|
8-10-2027
|
|
15,800,000
|
14,439,345
|
UBS Group AG (1 Year Treasury Constant
Maturity+2.05%)144A±
|
|
4.70
|
8-5-2027
|
|
4,480,000
|
4,392,999
|
UBS Group AG (5 Year Treasury Constant
Maturity+3.40%)144Aʊ±
|
|
4.88
|
2-12-2027
|
|
3,940,000
|
3,603,115
|
UBS Group AG (U.S. SOFR+1.73%)144A±
|
|
3.09
|
5-14-2032
|
|
8,695,000
|
7,409,383
|
UBS Group AG (U.S. SOFR+3.70%)144A±
|
|
6.44
|
8-11-2028
|
|
4,200,000
|
4,304,230
|
Unicredit SpA (5 Year Treasury Constant
Maturity+4.75%)144A±
|
|
5.46
|
6-30-2035
|
|
3,000,000
|
2,817,450
|
|
|
|
|
|
|
190,359,404
|
Diversified financial services: 0.33%
|
|
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
|
|
2.45
|
10-29-2026
|
|
11,015,000
|
10,249,192
|
Avolon Holdings Funding Ltd.144A
|
|
4.25
|
4-15-2026
|
|
3,000,000
|
2,906,294
|
Avolon Holdings Funding Ltd.144A
|
|
5.50
|
1-15-2026
|
|
2,515,000
|
2,491,027
|
CI Financial Corp.
|
|
4.10
|
6-15-2051
|
|
7,220,000
|
4,542,338
|
Macquarie Airfinance Holdings Ltd.144A
|
|
6.50
|
3-26-2031
|
|
1,000,000
|
1,015,364
|
Unifin Financiera SAB de CV144A†
|
|
9.88
|
1-28-2029
|
|
2,350,000
|
118,675
|
|
|
|
|
|
|
21,322,890
|
Insurance: 0.59%
|
|
|
|
|
|
|
Allianz SE (5 Year Treasury Constant Maturity+3.23%)144A±
|
|
6.35
|
9-6-2053
|
|
17,600,000
|
18,180,008
|
Nippon Life Insurance Co. (5 Year Treasury Constant
Maturity+2.59%)144A±
|
|
5.95
|
4-16-2054
|
|
5,000,000
|
4,974,766
|
Nippon Life Insurance Co. (5 Year Treasury Constant
Maturity+2.60%)144A±
|
|
2.90
|
9-16-2051
|
|
2,000,000
|
1,649,214
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Insurance(continued)
|
|
|
|
|
|
|
RenaissanceRe Holdings Ltd.
|
|
5.75
%
|
6-5-2033
|
$
|
7,910,000
|
$7,852,122
|
Sompo International Holdings Ltd.
|
|
7.00
|
7-15-2034
|
|
1,330,000
|
1,440,893
|
Swiss Re Finance Luxembourg SA (5 Year Treasury Constant
Maturity+3.58%)144A±
|
|
5.00
|
4-2-2049
|
|
3,900,000
|
3,745,404
|
|
|
|
|
|
|
37,842,407
|
Private equity: 0.45%
|
|
|
|
|
|
|
Brookfield Finance, Inc.
|
|
3.63
|
2-15-2052
|
|
3,625,000
|
2,532,736
|
Brookfield Finance, Inc.
|
|
5.97
|
3-4-2054
|
|
4,020,000
|
4,018,651
|
Brookfield Finance, Inc.
|
|
6.35
|
1-5-2034
|
|
21,365,000
|
22,367,173
|
|
|
|
|
|
|
28,918,560
|
Savings & loans: 0.22%
|
|
|
|
|
|
|
Nationwide Building Society144A
|
|
4.85
|
7-27-2027
|
|
11,630,000
|
11,460,962
|
Nationwide Building Society (USD ICE Swap Rate 11:00am NY
5 Year+1.85%)144A±
|
|
4.13
|
10-18-2032
|
|
3,000,000
|
2,782,757
|
|
|
|
|
|
|
14,243,719
|
Government securities: 0.15%
|
|
|
|
|
|
|
Multi-national: 0.15%
|
|
|
|
|
|
|
African Export-Import Bank144A
|
|
3.80
|
5-17-2031
|
|
2,600,000
|
2,207,296
|
Banque Ouest Africaine de Developpement144A
|
|
5.00
|
7-27-2027
|
|
7,760,000
|
7,355,750
|
|
|
|
|
|
|
9,563,046
|
Industrial: 0.14%
|
|
|
|
|
|
|
Engineering & construction: 0.06%
|
|
|
|
|
|
|
CIMIC Finance USA Pty. Ltd.144A
|
|
7.00
|
3-25-2034
|
|
3,620,000
|
3,651,444
|
Trucking & leasing: 0.08%
|
|
|
|
|
|
|
SMBC Aviation Capital Finance DAC144A
|
|
5.45
|
5-3-2028
|
|
5,245,000
|
5,223,819
|
Technology: 0.50%
|
|
|
|
|
|
|
Semiconductors: 0.50%
|
|
|
|
|
|
|
Renesas Electronics Corp.144A
|
|
2.17
|
11-25-2026
|
|
15,635,000
|
14,362,029
|
SK Hynix, Inc.144A
|
|
5.50
|
1-16-2027
|
|
18,290,000
|
18,193,438
|
|
|
|
|
|
|
32,555,467
|
Utilities: 0.27%
|
|
|
|
|
|
|
Electric: 0.27%
|
|
|
|
|
|
|
Comision Federal de Electricidad144A
|
|
3.35
|
2-9-2031
|
|
10,565,000
|
8,806,107
|
Comision Federal de Electricidad144A
|
|
3.88
|
7-26-2033
|
|
10,985,000
|
8,908,955
|
|
|
|
|
|
|
17,715,062
|
Total yankee corporate bonds and notes (Cost $534,007,400)
|
|
|
|
|
|
518,852,854
|
Yankee government bonds: 1.78%
|
|
|
|
|
|
|
Argentina: 0.05%
|
|
|
|
|
|
|
Argentinaøø
|
|
0.75
|
7-9-2030
|
|
1,703,981
|
969,582
|
Argentina
|
|
1.00
|
7-9-2029
|
|
206,310
|
120,040
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Argentina(continued)
|
|
|
|
|
|
|
Argentinaøø
|
|
3.63
%
|
7-9-2035
|
$
|
1,817,118
|
$797,469
|
Provincia de Cordoba144A
|
|
6.88
|
12-10-2025
|
|
1,187,564
|
1,110,372
|
|
|
|
|
|
|
2,997,463
|
Benin: 0.08%
|
|
|
|
|
|
|
Benin144A
|
|
7.96
|
2-13-2038
|
|
5,600,000
|
5,236,638
|
Bermuda: 0.14%
|
|
|
|
|
|
|
Bermuda144A
|
|
3.38
|
8-20-2050
|
|
7,024,000
|
4,635,840
|
Bermuda144A
|
|
5.00
|
7-15-2032
|
|
4,320,000
|
4,131,216
|
|
|
|
|
|
|
8,767,056
|
Colombia: 0.11%
|
|
|
|
|
|
|
Colombia
|
|
3.13
|
4-15-2031
|
|
4,800,000
|
3,757,242
|
Colombia
|
|
8.00
|
11-14-2035
|
|
3,500,000
|
3,568,386
|
|
|
|
|
|
|
7,325,628
|
Dominican Republic: 0.05%
|
|
|
|
|
|
|
Dominican Republic144A
|
|
4.50
|
1-30-2030
|
|
1,000,000
|
908,619
|
Dominican Republic144A
|
|
4.88
|
9-23-2032
|
|
1,800,000
|
1,610,800
|
Dominican Republic144A
|
|
5.50
|
2-22-2029
|
|
800,000
|
769,515
|
|
|
|
|
|
|
3,288,934
|
Israel: 0.20%
|
|
|
|
|
|
|
Israel
|
|
5.75
|
3-12-2054
|
|
14,200,000
|
12,830,268
|
Ivory Coast: 0.15%
|
|
|
|
|
|
|
Ivory Coast144A
|
|
8.25
|
1-30-2037
|
|
9,720,000
|
9,464,850
|
Kenya: 0.11%
|
|
|
|
|
|
|
Kenya144A
|
|
7.00
|
5-22-2027
|
|
5,000,000
|
4,815,530
|
Kenya144A
|
|
8.25
|
2-28-2048
|
|
2,500,000
|
2,084,500
|
|
|
|
|
|
|
6,900,030
|
Mexico: 0.29%
|
|
|
|
|
|
|
Mexico
|
|
6.00
|
5-7-2036
|
|
7,255,000
|
7,119,162
|
Mexico
|
|
6.35
|
2-9-2035
|
|
11,700,000
|
11,812,687
|
|
|
|
|
|
|
18,931,849
|
Oman: 0.03%
|
|
|
|
|
|
|
Oman144A
|
|
6.25
|
1-25-2031
|
|
1,700,000
|
1,741,888
|
Panama: 0.35%
|
|
|
|
|
|
|
Panama
|
|
4.50
|
1-19-2063
|
|
21,835,000
|
13,681,076
|
Panama
|
|
6.40
|
2-14-2035
|
|
9,785,000
|
9,195,664
|
|
|
|
|
|
|
22,876,740
|
Paraguay: 0.06%
|
|
|
|
|
|
|
Paraguay144A
|
|
5.40
|
3-30-2050
|
|
4,550,000
|
3,898,186
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
Romania: 0.15%
|
|
|
|
|
|
|
Romania144A
|
|
6.38
%
|
1-30-2034
|
$
|
9,410,000
|
$9,374,750
|
Senegal: 0.01%
|
|
|
|
|
|
|
Senegal144A
|
|
6.25
|
5-23-2033
|
|
750,000
|
631,980
|
Ukraine: 0.00%
|
|
|
|
|
|
|
Ukraine144A†
|
|
7.38
|
9-25-2034
|
|
1,200,000
|
320,045
|
Total yankee government bonds (Cost $121,400,470)
|
|
|
|
|
|
114,586,305
|
|
|
Yield
|
|
Shares
|
|
|
Short-term investments: 6.55%
|
|
|
|
|
|
|
Investment companies: 3.23%
|
|
|
|
|
|
|
Allspring Government Money Market Fund Select Class♠∞##
|
|
5.24
|
|
|
208,365,053
|
208,365,053
|
|
|
|
|
Principal
|
|
|
U.S. Treasury securities: 3.32%
|
|
|
|
|
|
|
U.S. Treasury Bills☼
|
|
3.84
|
6-11-2024
|
$
|
65,000,000
|
64,923,885
|
U.S. Treasury Bills☼
|
|
4.84
|
7-5-2024
|
|
150,000,000
|
149,296,751
|
|
|
|
|
|
|
214,220,636
|
Total short-term investments (Cost $422,586,815)
|
|
|
|
|
|
422,585,689
|
Total investments in securities (Cost $6,852,997,187)
|
103.80
%
|
|
|
|
|
6,696,549,963
|
Other assets and liabilities, net
|
(3.80
)
|
|
|
|
|
(244,845,174
)
|
Total net assets
|
100.00
%
|
|
|
|
|
$6,451,704,789
|
±
|
Variable rate investment. The rate shown is the rate in effect at period end.
|
±±
|
The coupon of the security is adjusted based on the principal and/or interest payments
received from the underlying pool of mortgages as well as the credit quality
and the actual prepayment speed of the underlying mortgages. The rate shown is the
rate in effect at period end.
|
%%
|
The security is purchased on a when-issued basis.
|
ƒ
|
Investment in an interest-only security that entitles holders to receive only the
interest payments on the underlying mortgages. The principal amount shown is the
notional amount of the underlying mortgages. The rate represents the coupon rate.
|
¤
|
The security is issued in zero coupon form with no periodic interest payments.
|
144A
|
The security may be resold in transactions exempt from registration, normally to qualified
institutional buyers, pursuant to Rule 144A under the Securities Act of
1933.
|
♦
|
The security is fair valued in accordance with procedures approved by the Board of
Trustees.
|
‡
|
Security is valued using significant unobservable inputs.
|
ʊ
|
Security is perpetual in nature and has no stated maturity date. The date shown reflects
the next call date.
|
¥
|
A payment-in-kind (PIK) security is a security in which the issuer may make interest
or dividend payments in cash or additional securities or a combination of both.
The rate shown is the rate in effect at period end.
|
†
|
Non-income-earning security
|
##
|
All or a portion of this security is segregated as collateral for when-issued securities.
|
øø
|
The interest rate is determined and reset by the issuer periodically depending upon
the terms of the security. The rate shown is the rate in effect at period end.
|
♠
|
The issuer of the security is an affiliated person of the Fund as defined in the Investment
Company Act of 1940.
|
∞
|
The rate represents the 7-day annualized yield at period end.
|
☼
|
Zero coupon security. The rate represents the current yield to maturity.
|
Abbreviations:
|
|
AGM
|
Assured Guaranty Municipal
|
AUD
|
Australian dollar
|
BRL
|
Brazilian real
|
CAB
|
Capital appreciation bond
|
EUR
|
Euro
|
EURIBOR
|
Euro Interbank Offered Rate
|
FHLMC
|
Federal Home Loan Mortgage Corporation
|
FNMA
|
Federal National Mortgage Association
|
GBP
|
Great British pound
|
GNMA
|
Government National Mortgage Association
|
GO
|
General obligation
|
LIBOR
|
London Interbank Offered Rate
|
MYR
|
Malaysian ringgit
|
NPFGC
|
National Public Finance Guarantee Corporation
|
REIT
|
Real estate investment trust
|
RFUCCT1Y
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year
|
SBA
|
Small Business Authority
|
SOFR
|
Secured Overnight Financing Rate
|
STRIPS
|
Separate trading of registered interest and principal securities
|
|
Value,
beginning of
period
|
Purchases
|
Sales
proceeds
|
Net
realized
gains
(losses)
|
Net
change in
unrealized
gains
(losses)
|
Value,
end of
period
|
Shares,
end
of period
|
Income
from
affiliated
securities
|
Short-term investments
|
|
|
|
|
|
|
|
|
Allspring Government Money Market
Fund Select Class
|
$237,608,541
|
$2,716,236,803
|
$(2,745,480,291
)
|
$0
|
$0
|
$208,365,053
|
208,365,053
|
$6,111,102
|
Currency to be
received
|
Currency to be
delivered
|
Counterparty
|
Settlement
date
|
Unrealized
gains
|
Unrealized
losses
|
||
USD
|
20,300,939
|
AUD
|
31,000,000
|
Morgan Stanley, Inc.
|
6-28-2024
|
$0
|
$(339,313
)
|
USD
|
1,248,823
|
AUD
|
1,900,000
|
Morgan Stanley, Inc.
|
6-28-2024
|
0
|
(16,225
)
|
USD
|
405,572,179
|
EUR
|
372,117,000
|
Citibank N.A.
|
6-28-2024
|
1,384,681
|
0
|
EUR
|
4,870,000
|
USD
|
5,328,937
|
Citibank N.A.
|
6-28-2024
|
0
|
(39,221
)
|
USD
|
4,455,469
|
EUR
|
4,100,000
|
Citibank N.A.
|
6-28-2024
|
2,115
|
0
|
USD
|
18,683,785
|
EUR
|
17,250,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(52,887
)
|
USD
|
4,830,274
|
EUR
|
4,450,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(3,244
)
|
EUR
|
25,800,000
|
USD
|
27,586,279
|
Citibank N.A.
|
6-28-2024
|
437,266
|
0
|
USD
|
6,360,495
|
EUR
|
5,900,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(47,990
)
|
USD
|
42,759,167
|
GBP
|
33,620,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(86,247
)
|
USD
|
8,276,905
|
GBP
|
6,500,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(6,711
)
|
USD
|
1,889,020
|
GBP
|
1,500,000
|
Citibank N.A.
|
6-28-2024
|
0
|
(22,583
)
|
JPY
|
695,000,000
|
USD
|
4,675,161
|
Citibank N.A.
|
6-28-2024
|
0
|
(239,737
)
|
USD
|
10,383,996
|
MYR
|
49,000,000
|
Morgan Stanley, Inc.
|
6-28-2024
|
0
|
(41,412
)
|
USD
|
1,917,404
|
MYR
|
9,100,000
|
Morgan Stanley, Inc.
|
6-28-2024
|
0
|
(18,743
)
|
|
|
|
|
|
|
$1,824,062
|
$(914,313
)
|
Description
|
Number of
contracts
|
Expiration
date
|
Notional
cost
|
Notional
value
|
Unrealized
gains
|
Unrealized
losses
|
Long
|
|
|
|
|
|
|
10-Year U.S. Treasury Notes
|
135
|
9-19-2024
|
$14,718,430
|
$14,687,578
|
$0
|
$(30,852
)
|
Ultra Long Term U.S. Treasury Bond
|
289
|
9-19-2024
|
36,032,334
|
35,384,437
|
0
|
(647,897
)
|
2-Year U.S. Treasury Notes
|
3,053
|
9-30-2024
|
622,514,829
|
621,905,644
|
0
|
(609,185
)
|
5-Year U.S. Treasury Notes
|
5,275
|
9-30-2024
|
559,859,024
|
558,078,516
|
0
|
(1,780,508
)
|
Short
|
|
|
|
|
|
|
10-Year Euro BUND Index
|
(631
)
|
9-6-2024
|
(88,930,333
)
|
(88,992,911
)
|
0
|
(62,578
)
|
2-Year Euro SCHATZ
|
(357
)
|
9-6-2024
|
(40,761,629
)
|
(40,766,045
)
|
0
|
(4,416
)
|
5-Year Euro-BOBL Futures
|
(808
)
|
9-6-2024
|
(101,137,185
)
|
(101,164,714
)
|
0
|
(27,529
)
|
Ultra 10-Year U.S. Treasury Notes
|
(860
)
|
9-19-2024
|
(96,560,413
)
|
(96,346,875
)
|
213,538
|
0
|
|
|
|
|
|
$213,538
|
$(3,162,965
)
|
|
Quoted prices
(Level 1)
|
Other significant
observable inputs
(Level 2)
|
Significant
unobservable inputs
(Level 3)
|
Total
|
Assets
|
|
|
|
|
Investments in:
|
|
|
|
|
Agency securities
|
$0
|
$1,959,161,405
|
$0
|
$1,959,161,405
|
Asset-backed securities
|
0
|
653,048,703
|
8,563,079
|
661,611,782
|
Corporate bonds and notes
|
0
|
1,330,900,872
|
0
|
1,330,900,872
|
Foreign corporate bonds and notes
|
0
|
295,648,657
|
0
|
295,648,657
|
Foreign government bonds
|
0
|
181,780,158
|
0
|
181,780,158
|
Investment companies
|
20,502,411
|
0
|
0
|
20,502,411
|
Loans
|
0
|
18,619,750
|
0
|
18,619,750
|
Municipal obligations
|
0
|
5,590,640
|
0
|
5,590,640
|
Non-agency mortgage-backed securities
|
0
|
402,799,329
|
0
|
402,799,329
|
U.S. Treasury securities
|
749,498,492
|
14,411,619
|
0
|
763,910,111
|
Yankee corporate bonds and notes
|
0
|
518,852,854
|
0
|
518,852,854
|
Yankee government bonds
|
0
|
114,586,305
|
0
|
114,586,305
|
Short-term investments
|
|
|
|
|
Investment companies
|
208,365,053
|
0
|
0
|
208,365,053
|
U.S. Treasury securities
|
214,220,636
|
0
|
0
|
214,220,636
|
|
1,192,586,592
|
5,495,400,292
|
8,563,079
|
6,696,549,963
|
Forward foreign currency contracts
|
0
|
1,824,062
|
0
|
1,824,062
|
Futures contracts
|
213,538
|
0
|
0
|
213,538
|
Total assets
|
$1,192,800,130
|
$5,497,224,354
|
$8,563,079
|
$6,698,587,563
|
Liabilities
|
||||
Forward foreign currency contracts
|
$0
|
$914,313
|
$0
|
$914,313
|
Futures contracts
|
3,162,965
|
0
|
0
|
3,162,965
|
Total liabilities
|
$3,162,965
|
$914,313
|
$0
|
$4,077,278
|