|
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.
|
|
JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
|
|
J.P. Morgan Distribution Services, Inc., member FINRA.
|
|
© J.P. Morgan Chase & Co., 2022.
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
U.S. Treasury Obligations — 37.0%
|
||
|
U.S. Treasury Bonds
|
|
|
|
6.13%, 8/15/2029
|
500
|
568
|
|
1.13%, 5/15/2040
|
750
|
480
|
|
U.S. Treasury Notes
|
|
|
|
0.13%, 6/30/2023
|
600
|
584
|
|
0.88%, 1/31/2024
|
2,000
|
1,915
|
|
1.50%, 2/15/2025
|
500
|
471
|
|
1.13%, 2/28/2025
|
1,500
|
1,400
|
|
0.25%, 7/31/2025
|
1,600
|
1,445
|
|
2.25%, 11/15/2025
|
500
|
474
|
|
0.75%, 5/31/2026
|
3,000
|
2,682
|
|
1.13%, 10/31/2026
|
3,000
|
2,694
|
|
0.38%, 9/30/2027
|
580
|
492
|
|
0.50%, 10/31/2027
|
2,500
|
2,128
|
|
1.25%, 3/31/2028
|
2,000
|
1,753
|
|
1.25%, 9/30/2028
|
3,000
|
2,601
|
|
3.13%, 11/15/2028
|
1,600
|
1,540
|
|
2.88%, 5/15/2032
|
5,000
|
4,687
|
|
U.S. Treasury STRIPS Bonds
|
|
|
|
2.32%, 8/15/2023 (a)
|
1,890
|
1,832
|
|
2.73%, 2/15/2024 (a)
|
1,206
|
1,144
|
|
2.40%, 5/15/2024 (a)
|
200
|
188
|
|
3.22%, 5/15/2025 (a)
|
200
|
181
|
|
2.55%, 5/15/2026 (a)
|
200
|
174
|
|
3.85%, 8/15/2026 (a)
|
47
|
40
|
|
4.08%, 11/15/2026 (a)
|
300
|
257
|
|
3.15%, 2/15/2027 (a)
|
100
|
85
|
|
4.34%, 8/15/2027 (a)
|
100
|
83
|
|
4.46%, 11/15/2027 (a)
|
140
|
116
|
|
3.33%, 2/15/2028 (a)
|
53
|
43
|
|
2.70%, 5/15/2028 (a)
|
10
|
8
|
|
3.55%, 8/15/2028 (a)
|
200
|
160
|
|
Total U.S. Treasury Obligations
(Cost $31,833)
|
|
30,225
|
|
Corporate Bonds — 24.4%
|
||
|
Aerospace & Defense — 1.1%
|
||
|
Boeing Co. (The)
|
|
|
|
1.43%, 2/4/2024
|
70
|
67
|
|
4.88%, 5/1/2025
|
54
|
54
|
|
2.20%, 2/4/2026
|
86
|
78
|
|
3.10%, 5/1/2026
|
250
|
233
|
|
L3Harris Technologies, Inc. 3.85%, 12/15/2026
|
70
|
67
|
|
Leidos, Inc. 2.30%, 2/15/2031
|
100
|
78
|
|
Northrop Grumman Corp. 2.93%, 1/15/2025
|
150
|
144
|
|
Raytheon Technologies Corp. 4.13%, 11/16/2028
|
100
|
97
|
|
Textron, Inc. 3.00%, 6/1/2030
|
100
|
85
|
|
|
|
903
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Auto Components — 0.0% ^
|
||
|
Lear Corp. 2.60%, 1/15/2032
|
14
|
11
|
|
Automobiles — 0.5%
|
||
|
General Motors Co. 6.13%, 10/1/2025
|
50
|
51
|
|
Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b)
|
150
|
140
|
|
Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b)
|
200
|
180
|
|
|
|
371
|
|
Banks — 3.4%
|
||
|
Bank of America Corp.
|
|
|
|
3.30%, 1/11/2023
|
90
|
90
|
|
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)
|
42
|
42
|
|
(SOFR + 0.67%), 1.84%, 2/4/2025 (c)
|
154
|
147
|
|
(SOFR + 1.15%), 1.32%, 6/19/2026 (c)
|
60
|
54
|
|
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c)
|
250
|
228
|
|
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c)
|
250
|
203
|
|
Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024
|
150
|
146
|
|
Citigroup, Inc.
|
|
|
|
4.40%, 6/10/2025
|
115
|
113
|
|
4.45%, 9/29/2027
|
50
|
48
|
|
(SOFR + 1.15%), 2.67%, 1/29/2031 (c)
|
350
|
291
|
|
Citizens Financial Group, Inc. 2.64%, 9/30/2032
|
50
|
37
|
|
Fifth Third Bancorp 2.38%, 1/28/2025
|
64
|
60
|
|
HSBC Holdings plc (United Kingdom)
|
|
|
|
(SOFR + 0.71%), 0.98%, 5/24/2025 (c)
|
200
|
184
|
|
(SOFR + 1.29%), 1.59%, 5/24/2027 (c)
|
200
|
171
|
|
Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027
|
250
|
233
|
|
Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025
|
225
|
211
|
|
Societe Generale SA (France) 4.25%, 4/14/2025 (b)
|
200
|
191
|
|
US Bancorp Series X, 3.15%, 4/27/2027
|
68
|
64
|
|
Wells Fargo & Co.
|
|
|
|
3.00%, 2/19/2025
|
99
|
95
|
|
4.10%, 6/3/2026
|
21
|
21
|
|
4.30%, 7/22/2027
|
30
|
29
|
|
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c)
|
170
|
158
|
|
|
|
2,816
|
|
Beverages — 0.3%
|
||
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029
|
165
|
165
|
|
Constellation Brands, Inc. 2.88%, 5/1/2030
|
11
|
10
|
|
Keurig Dr Pepper, Inc. 4.42%, 5/25/2025
|
18
|
18
|
|
PepsiCo, Inc. 1.63%, 5/1/2030
|
33
|
27
|
|
|
|
220
|
|
Biotechnology — 0.4%
|
||
|
AbbVie, Inc. 4.25%, 11/14/2028
|
100
|
98
|
|
Amgen, Inc.
|
|
|
|
1.65%, 8/15/2028
|
43
|
37
|
|
3.35%, 2/22/2032
|
35
|
31
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Biotechnology — continued
|
||
|
Biogen, Inc. 2.25%, 5/1/2030
|
40
|
33
|
|
Gilead Sciences, Inc.
|
|
|
|
3.50%, 2/1/2025
|
25
|
24
|
|
3.65%, 3/1/2026
|
57
|
55
|
|
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
|
28
|
22
|
|
|
|
300
|
|
Capital Markets — 1.7%
|
||
|
Blackstone Secured Lending Fund 3.65%, 7/14/2023
|
55
|
54
|
|
Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029
|
47
|
45
|
|
Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c)
|
150
|
113
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
(SOFR + 0.82%), 1.54%, 9/10/2027 (c)
|
150
|
130
|
|
(SOFR + 1.11%), 2.64%, 2/24/2028 (c)
|
80
|
71
|
|
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)
|
149
|
139
|
|
Invesco Finance plc 3.75%, 1/15/2026
|
125
|
120
|
|
Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b)
|
100
|
98
|
|
Morgan Stanley
|
|
|
|
(SOFR + 0.47%), 4.29%, 11/10/2023 (c)
|
83
|
83
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (c)
|
127
|
112
|
|
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c)
|
150
|
139
|
|
(SOFR + 1.03%), 1.79%, 2/13/2032 (c)
|
90
|
69
|
|
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c)
|
17
|
15
|
|
S&P Global, Inc. 2.90%, 3/1/2032 (b)
|
44
|
38
|
|
UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c)
|
200
|
156
|
|
|
|
1,382
|
|
Chemicals — 0.3%
|
||
|
International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b)
|
40
|
33
|
|
LYB International Finance III LLC 2.25%, 10/1/2030
|
75
|
60
|
|
PPG Industries, Inc. 1.20%, 3/15/2026
|
37
|
33
|
|
RPM International, Inc. 2.95%, 1/15/2032
|
17
|
13
|
|
Sherwin-Williams Co. (The) 3.30%, 2/1/2025
|
110
|
106
|
|
|
|
245
|
|
Commercial Services & Supplies — 0.2%
|
||
|
Republic Services, Inc. 3.38%, 11/15/2027
|
200
|
188
|
|
Construction & Engineering — 0.1%
|
||
|
Quanta Services, Inc.
|
|
|
|
2.90%, 10/1/2030
|
21
|
18
|
|
2.35%, 1/15/2032
|
69
|
53
|
|
|
|
71
|
|
Construction Materials — 0.1%
|
||
|
Martin Marietta Materials, Inc. 3.45%, 6/1/2027
|
78
|
72
|
|
Consumer Finance — 1.1%
|
||
|
AerCap Ireland Capital DAC (Ireland) 4.13%, 7/3/2023
|
200
|
198
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Consumer Finance — continued
|
||
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
|
3.95%, 7/1/2024 (b)
|
120
|
114
|
|
4.25%, 4/15/2026 (b)
|
90
|
82
|
|
2.53%, 11/18/2027 (b)
|
334
|
270
|
|
Capital One Financial Corp. (SOFR + 1.37%), 4.17%, 5/9/2025 (c)
|
42
|
41
|
|
General Motors Financial Co., Inc. 2.35%, 1/8/2031
|
200
|
155
|
|
|
|
860
|
|
Containers & Packaging — 0.2%
|
||
|
Graphic Packaging International LLC 1.51%, 4/15/2026 (b)
|
41
|
36
|
|
Packaging Corp. of America 3.00%, 12/15/2029
|
100
|
86
|
|
WRKCo, Inc. 3.00%, 9/15/2024
|
80
|
77
|
|
|
|
199
|
|
Diversified Financial Services — 0.3%
|
||
|
Corebridge Financial, Inc. 3.65%, 4/5/2027 (b)
|
80
|
75
|
|
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b)
|
10
|
10
|
|
Private Export Funding Corp. Series KK, 3.55%, 1/15/2024
|
200
|
197
|
|
|
|
282
|
|
Diversified Telecommunication Services — 0.0% ^
|
||
|
Verizon Communications, Inc. 2.10%, 3/22/2028
|
25
|
22
|
|
Electric Utilities — 2.2%
|
||
|
American Electric Power Co., Inc. 2.30%, 3/1/2030
|
100
|
82
|
|
Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027
|
200
|
185
|
|
Duke Energy Corp. 3.75%, 4/15/2024
|
150
|
148
|
|
Duquesne Light Holdings, Inc.
|
|
|
|
2.53%, 10/1/2030 (b)
|
51
|
40
|
|
2.78%, 1/7/2032 (b)
|
14
|
11
|
|
Edison International 4.13%, 3/15/2028
|
50
|
46
|
|
Entergy Mississippi LLC 2.85%, 6/1/2028
|
186
|
166
|
|
Evergy Metro, Inc. 3.15%, 3/15/2023
|
47
|
47
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
200
|
182
|
|
ITC Holdings Corp. 2.95%, 5/14/2030 (b)
|
39
|
33
|
|
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027
|
89
|
84
|
|
Niagara Mohawk Power Corp.
|
|
|
|
3.51%, 10/1/2024 (b)
|
28
|
27
|
|
1.96%, 6/27/2030 (b)
|
29
|
23
|
|
NRG Energy, Inc. 2.45%, 12/2/2027 (b)
|
37
|
32
|
|
OGE Energy Corp. 0.70%, 5/26/2023
|
18
|
18
|
|
Pacific Gas and Electric Co.
|
|
|
|
3.25%, 2/16/2024
|
100
|
97
|
|
4.55%, 7/1/2030
|
75
|
68
|
|
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)
|
132
|
120
|
|
PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032
|
74
|
74
|
|
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036
|
83
|
78
|
|
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038
|
25
|
18
|
|
Southern Co. (The) Series 21-B, 1.75%, 3/15/2028
|
167
|
140
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Virginia Electric and Power Co. 3.45%, 2/15/2024
|
21
|
21
|
|
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b)
|
100
|
98
|
|
|
|
1,838
|
|
Electrical Equipment — 0.2%
|
||
|
Eaton Corp. 3.10%, 9/15/2027
|
140
|
131
|
|
Electronic Equipment, Instruments & Components — 0.1%
|
||
|
Arrow Electronics, Inc.
|
|
|
|
4.50%, 3/1/2023
|
16
|
16
|
|
3.88%, 1/12/2028
|
100
|
92
|
|
|
|
108
|
|
Energy Equipment & Services — 0.1%
|
||
|
Schlumberger Investment SA 2.65%, 6/26/2030
|
94
|
82
|
|
Entertainment — 0.1%
|
||
|
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027
|
22
|
21
|
|
Walt Disney Co. (The) 7.70%, 10/30/2025
|
50
|
54
|
|
|
|
75
|
|
Equity Real Estate Investment Trusts (REITs) — 2.3%
|
||
|
Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032
|
30
|
23
|
|
American Tower Corp.
|
|
|
|
5.00%, 2/15/2024
|
38
|
38
|
|
1.45%, 9/15/2026
|
72
|
63
|
|
1.50%, 1/31/2028
|
68
|
56
|
|
AvalonBay Communities, Inc.
|
|
|
|
3.35%, 5/15/2027
|
28
|
26
|
|
2.45%, 1/15/2031
|
100
|
83
|
|
Boston Properties LP 3.20%, 1/15/2025
|
152
|
146
|
|
Brixmor Operating Partnership LP
|
|
|
|
3.85%, 2/1/2025
|
50
|
48
|
|
2.25%, 4/1/2028
|
10
|
8
|
|
Corporate Office Properties LP 2.00%, 1/15/2029
|
26
|
20
|
|
Crown Castle, Inc. 2.25%, 1/15/2031
|
72
|
58
|
|
Equinix, Inc. 2.00%, 5/15/2028
|
37
|
31
|
|
Essex Portfolio LP 1.65%, 1/15/2031
|
53
|
40
|
|
Extra Space Storage LP 2.35%, 3/15/2032
|
100
|
76
|
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b)
|
52
|
47
|
|
Healthcare Realty Holdings LP
|
|
|
|
3.10%, 2/15/2030
|
68
|
57
|
|
2.00%, 3/15/2031
|
29
|
22
|
|
Healthpeak Properties, Inc.
|
|
|
|
3.40%, 2/1/2025
|
3
|
3
|
|
2.13%, 12/1/2028
|
28
|
24
|
|
Kilroy Realty LP 2.65%, 11/15/2033
|
70
|
50
|
|
Life Storage LP 2.20%, 10/15/2030
|
25
|
19
|
|
Mid-America Apartments LP
|
|
|
|
4.20%, 6/15/2028
|
50
|
47
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Equity Real Estate Investment Trusts (REITs) — continued
|
||
|
1.70%, 2/15/2031
|
36
|
28
|
|
Office Properties Income Trust
|
|
|
|
2.65%, 6/15/2026
|
17
|
13
|
|
2.40%, 2/1/2027
|
70
|
51
|
|
3.45%, 10/15/2031
|
29
|
19
|
|
Physicians Realty LP 2.63%, 11/1/2031
|
37
|
29
|
|
Public Storage 2.25%, 11/9/2031
|
36
|
29
|
|
Realty Income Corp. 3.65%, 1/15/2028
|
150
|
141
|
|
Sabra Health Care LP 3.20%, 12/1/2031
|
52
|
39
|
|
Safehold Operating Partnership LP 2.80%, 6/15/2031
|
88
|
68
|
|
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)
|
150
|
143
|
|
SITE Centers Corp. 3.63%, 2/1/2025
|
12
|
11
|
|
UDR, Inc. 2.10%, 8/1/2032
|
48
|
36
|
|
Ventas Realty LP
|
|
|
|
3.75%, 5/1/2024
|
44
|
43
|
|
3.50%, 2/1/2025
|
27
|
26
|
|
4.13%, 1/15/2026
|
17
|
16
|
|
3.25%, 10/15/2026
|
45
|
42
|
|
Welltower, Inc. 4.50%, 1/15/2024
|
100
|
99
|
|
WP Carey, Inc.
|
|
|
|
2.40%, 2/1/2031
|
12
|
9
|
|
2.25%, 4/1/2033
|
100
|
74
|
|
|
|
1,901
|
|
Food & Staples Retailing — 0.2%
|
||
|
7-Eleven, Inc. 1.30%, 2/10/2028 (b)
|
80
|
67
|
|
Alimentation Couche-Tard, Inc. (Canada) 3.55%, 7/26/2027 (b)
|
50
|
46
|
|
CVS Pass-Through Trust 5.93%, 1/10/2034 (b)
|
37
|
37
|
|
|
|
150
|
|
Food Products — 0.5%
|
||
|
Archer-Daniels-Midland Co. 3.25%, 3/27/2030
|
53
|
48
|
|
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025
|
50
|
46
|
|
Campbell Soup Co.
|
|
|
|
3.95%, 3/15/2025
|
50
|
49
|
|
2.38%, 4/24/2030
|
74
|
62
|
|
Cargill, Inc. 1.70%, 2/2/2031 (b)
|
75
|
59
|
|
Kellogg Co. 3.40%, 11/15/2027
|
95
|
89
|
|
Smithfield Foods, Inc.
|
|
|
|
5.20%, 4/1/2029 (b)
|
7
|
6
|
|
3.00%, 10/15/2030 (b)
|
18
|
14
|
|
Tyson Foods, Inc. 3.95%, 8/15/2024
|
73
|
72
|
|
|
|
445
|
|
Gas Utilities — 0.1%
|
||
|
Atmos Energy Corp. 2.63%, 9/15/2029
|
42
|
37
|
|
ONE Gas, Inc. 2.00%, 5/15/2030
|
26
|
21
|
|
|
|
58
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
Becton Dickinson and Co. 1.96%, 2/11/2031
|
50
|
40
|
|
Health Care Providers & Services — 0.4%
|
||
|
Cigna Corp. 3.50%, 6/15/2024
|
72
|
71
|
|
CommonSpirit Health 2.78%, 10/1/2030
|
50
|
40
|
|
HCA, Inc. 4.13%, 6/15/2029
|
150
|
137
|
|
Humana, Inc. 3.95%, 3/15/2027
|
50
|
48
|
|
UnitedHealth Group, Inc. 2.30%, 5/15/2031
|
73
|
61
|
|
Universal Health Services, Inc. 2.65%, 10/15/2030 (b)
|
4
|
3
|
|
|
|
360
|
|
Hotels, Restaurants & Leisure — 0.2%
|
||
|
Expedia Group, Inc. 3.25%, 2/15/2030
|
100
|
86
|
|
McDonald's Corp. 2.13%, 3/1/2030
|
58
|
49
|
|
|
|
135
|
|
Household Durables — 0.2%
|
||
|
Lennar Corp. 5.25%, 6/1/2026
|
140
|
138
|
|
Insurance — 1.0%
|
||
|
Aon Global Ltd. 3.88%, 12/15/2025
|
143
|
139
|
|
Assurant, Inc. 4.20%, 9/27/2023
|
68
|
67
|
|
Athene Global Funding
|
|
|
|
1.45%, 1/8/2026 (b)
|
68
|
60
|
|
1.73%, 10/2/2026 (b)
|
82
|
71
|
|
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b)
|
38
|
36
|
|
CNA Financial Corp.
|
|
|
|
3.95%, 5/15/2024
|
52
|
51
|
|
4.50%, 3/1/2026
|
38
|
37
|
|
F&G Global Funding 2.30%, 4/11/2027 (b)
|
50
|
44
|
|
Principal Financial Group, Inc. 3.10%, 11/15/2026
|
150
|
140
|
|
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)
|
150
|
159
|
|
|
|
804
|
|
Internet & Direct Marketing Retail — 0.2%
|
||
|
Amazon.com, Inc. 3.60%, 4/13/2032
|
100
|
93
|
|
eBay, Inc. 2.60%, 5/10/2031
|
100
|
82
|
|
|
|
175
|
|
IT Services — 0.1%
|
||
|
Global Payments, Inc.
|
|
|
|
2.15%, 1/15/2027
|
45
|
39
|
|
3.20%, 8/15/2029
|
50
|
43
|
|
|
|
82
|
|
Leisure Products — 0.1%
|
||
|
Hasbro, Inc. 3.90%, 11/19/2029
|
75
|
68
|
|
Machinery — 0.0% ^
|
||
|
Otis Worldwide Corp. 2.57%, 2/15/2030
|
44
|
37
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Media — 0.7%
|
||
|
Charter Communications Operating LLC
|
|
|
|
4.91%, 7/23/2025
|
160
|
157
|
|
2.30%, 2/1/2032
|
50
|
38
|
|
Comcast Corp.
|
|
|
|
3.38%, 2/15/2025
|
77
|
75
|
|
3.38%, 8/15/2025
|
80
|
78
|
|
3.15%, 3/1/2026
|
16
|
15
|
|
Cox Communications, Inc. 1.80%, 10/1/2030 (b)
|
67
|
51
|
|
Fox Corp. 4.71%, 1/25/2029
|
35
|
34
|
|
Paramount Global 4.00%, 1/15/2026
|
100
|
96
|
|
|
|
544
|
|
Metals & Mining — 0.1%
|
||
|
Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b)
|
60
|
48
|
|
Steel Dynamics, Inc. 1.65%, 10/15/2027
|
33
|
28
|
|
|
|
76
|
|
Multiline Retail — 0.1%
|
||
|
Dollar General Corp. 4.13%, 5/1/2028
|
109
|
104
|
|
Multi-Utilities — 0.4%
|
||
|
CenterPoint Energy, Inc. 1.45%, 6/1/2026
|
29
|
26
|
|
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028
|
155
|
148
|
|
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036
|
16
|
12
|
|
Public Service Enterprise Group, Inc. 2.88%, 6/15/2024
|
100
|
96
|
|
Puget Energy, Inc. 2.38%, 6/15/2028
|
17
|
15
|
|
WEC Energy Group, Inc. 3.55%, 6/15/2025
|
20
|
19
|
|
|
|
316
|
|
Oil, Gas & Consumable Fuels — 1.7%
|
||
|
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b)
|
100
|
94
|
|
BP Capital Markets America, Inc. 2.72%, 1/12/2032
|
150
|
127
|
|
Cameron LNG LLC 2.90%, 7/15/2031 (b)
|
84
|
72
|
|
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025
|
50
|
50
|
|
Chevron USA, Inc. 3.85%, 1/15/2028
|
100
|
97
|
|
Coterra Energy, Inc. 3.90%, 5/15/2027 (b)
|
60
|
57
|
|
Ecopetrol SA (Colombia) 4.13%, 1/16/2025
|
58
|
54
|
|
Energy Transfer LP
|
|
|
|
3.60%, 2/1/2023
|
28
|
28
|
|
4.90%, 2/1/2024
|
61
|
61
|
|
4.05%, 3/15/2025
|
50
|
49
|
|
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b)
|
114
|
91
|
|
Gray Oak Pipeline LLC
|
|
|
|
2.60%, 10/15/2025 (b)
|
40
|
36
|
|
3.45%, 10/15/2027 (b)
|
50
|
44
|
|
HF Sinclair Corp.
|
|
|
|
2.63%, 10/1/2023
|
12
|
12
|
|
5.88%, 4/1/2026
|
40
|
40
|
|
Marathon Petroleum Corp. 4.70%, 5/1/2025
|
105
|
104
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
MPLX LP 4.25%, 12/1/2027
|
27
|
26
|
|
NGPL PipeCo LLC 3.25%, 7/15/2031 (b)
|
22
|
18
|
|
ONEOK Partners LP 5.00%, 9/15/2023
|
28
|
28
|
|
Ovintiv Exploration, Inc. 5.38%, 1/1/2026
|
40
|
40
|
|
Phillips 66 1.30%, 2/15/2026
|
28
|
25
|
|
Pioneer Natural Resources Co.
|
|
|
|
1.13%, 1/15/2026
|
50
|
45
|
|
1.90%, 8/15/2030
|
72
|
57
|
|
Plains All American Pipeline LP 4.65%, 10/15/2025
|
30
|
29
|
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
20
|
19
|
|
Targa Resources Partners LP 4.00%, 1/15/2032
|
14
|
12
|
|
Williams Cos., Inc. (The) 2.60%, 3/15/2031
|
50
|
41
|
|
|
|
1,356
|
|
Pharmaceuticals — 0.6%
|
||
|
AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030
|
77
|
61
|
|
Bristol-Myers Squibb Co.
|
|
|
|
3.40%, 7/26/2029
|
22
|
20
|
|
1.45%, 11/13/2030
|
100
|
80
|
|
Mylan, Inc. 4.55%, 4/15/2028
|
75
|
71
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030
|
200
|
165
|
|
Zoetis, Inc. 2.00%, 5/15/2030
|
80
|
66
|
|
|
|
463
|
|
Road & Rail — 0.6%
|
||
|
CSX Corp. 3.25%, 6/1/2027
|
162
|
153
|
|
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026
|
60
|
58
|
|
Norfolk Southern Corp. 2.55%, 11/1/2029
|
150
|
130
|
|
Triton Container International Ltd. (Bermuda)
|
|
|
|
2.05%, 4/15/2026 (b)
|
110
|
95
|
|
3.25%, 3/15/2032
|
51
|
39
|
|
|
|
475
|
|
Semiconductors & Semiconductor Equipment — 0.4%
|
||
|
Broadcom, Inc. 3.19%, 11/15/2036 (b)
|
57
|
42
|
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
52
|
42
|
|
Microchip Technology, Inc.
|
|
|
|
0.97%, 2/15/2024
|
72
|
68
|
|
0.98%, 9/1/2024
|
22
|
20
|
|
NXP BV (China) 2.50%, 5/11/2031
|
100
|
79
|
|
QUALCOMM, Inc. 4.25%, 5/20/2032
|
32
|
31
|
|
Xilinx, Inc. 2.38%, 6/1/2030
|
50
|
43
|
|
|
|
325
|
|
Software — 0.6%
|
||
|
Intuit, Inc. 1.65%, 7/15/2030
|
125
|
100
|
|
Oracle Corp. 2.88%, 3/25/2031
|
168
|
141
|
|
Roper Technologies, Inc.
|
|
|
|
3.80%, 12/15/2026
|
15
|
14
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Corporate Bonds — continued
|
||
|
Software — continued
|
||
|
1.40%, 9/15/2027
|
174
|
149
|
|
VMware, Inc.
|
|
|
|
1.40%, 8/15/2026
|
25
|
22
|
|
1.80%, 8/15/2028
|
15
|
12
|
|
Workday, Inc. 3.50%, 4/1/2027
|
30
|
28
|
|
|
|
466
|
|
Specialty Retail — 0.2%
|
||
|
Advance Auto Parts, Inc. 3.50%, 3/15/2032
|
50
|
42
|
|
AutoZone, Inc. 1.65%, 1/15/2031
|
83
|
64
|
|
O'Reilly Automotive, Inc. 3.60%, 9/1/2027
|
62
|
59
|
|
|
|
165
|
|
Technology Hardware, Storage & Peripherals — 0.1%
|
||
|
Dell International LLC 5.30%, 10/1/2029
|
100
|
99
|
|
Tobacco — 0.3%
|
||
|
Altria Group, Inc. 2.45%, 2/4/2032
|
84
|
64
|
|
BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024
|
200
|
193
|
|
|
|
257
|
|
Trading Companies & Distributors — 0.5%
|
||
|
Air Lease Corp.
|
|
|
|
3.00%, 9/15/2023
|
250
|
245
|
|
3.63%, 12/1/2027
|
100
|
89
|
|
Aviation Capital Group LLC 3.88%, 5/1/2023 (b)
|
100
|
99
|
|
|
|
433
|
|
Wireless Telecommunication Services — 0.4%
|
||
|
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 (b)
|
100
|
88
|
|
T-Mobile USA, Inc.
|
|
|
|
3.88%, 4/15/2030
|
150
|
138
|
|
2.25%, 11/15/2031
|
100
|
80
|
|
|
|
306
|
|
Total Corporate Bonds
(Cost $22,242)
|
|
19,954
|
|
Collateralized Mortgage Obligations — 12.7%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034
|
387
|
381
|
|
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035
|
54
|
42
|
|
Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡
|
6
|
4
|
|
CHL Mortgage Pass-Through Trust
|
|
|
|
Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (d)
|
5
|
4
|
|
Series 2004-5, Class 1A4, 5.50%, 6/25/2034
|
11
|
11
|
|
Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (d)
|
63
|
49
|
|
Citigroup Global Markets Mortgage Securities VII, Inc.
|
|
|
|
Series 2003-UP2, Class 1, PO, 12/25/2018 ‡
|
—
|
—
|
|
Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (d)
|
4
|
4
|
|
Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033
|
2
|
2
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC - GNMA Series 24, Class ZE, 6.25%, 11/25/2023
|
1
|
1
|
|
FHLMC, REMIC
|
|
|
|
Series 1470, Class F, 2.03%, 2/15/2023 (d)
|
—
|
—
|
|
Series 2568, Class KG, 5.50%, 2/15/2023
|
1
|
1
|
|
Series 1466, Class PZ, 7.50%, 2/15/2023
|
—
|
—
|
|
Series 1491, Class I, 7.50%, 4/15/2023
|
—
|
—
|
|
Series 1518, Class G, IF, 4.68%, 5/15/2023 (d)
|
—
|
—
|
|
Series 1798, Class F, 5.00%, 5/15/2023
|
—
|
—
|
|
Series 1541, Class O, 3.13%, 7/15/2023 (d)
|
—
|
—
|
|
Series 1608, Class L, 6.50%, 9/15/2023
|
2
|
2
|
|
Series 1602, Class SA, IF, 11.66%, 10/15/2023 (d)
|
—
|
—
|
|
Series 2283, Class K, 6.50%, 12/15/2023
|
1
|
1
|
|
Series 1671, Class L, 7.00%, 2/15/2024
|
1
|
1
|
|
Series 1706, Class K, 7.00%, 3/15/2024
|
4
|
4
|
|
Series 2033, Class SN, HB, IF, 25.62%, 3/15/2024 (d)
|
—
|
—
|
|
Series 1720, Class PL, 7.50%, 4/15/2024
|
8
|
8
|
|
Series 2306, Class K, PO, 5/15/2024
|
1
|
1
|
|
Series 2306, Class SE, IF, IO, 6.48%, 5/15/2024 (d)
|
2
|
—
|
|
Series 1745, Class D, 7.50%, 8/15/2024
|
2
|
2
|
|
Series 1927, Class PH, 7.50%, 1/15/2027
|
17
|
18
|
|
Series 1981, Class Z, 6.00%, 5/15/2027
|
6
|
6
|
|
Series 1987, Class PE, 7.50%, 9/15/2027
|
3
|
3
|
|
Series 2038, Class PN, IO, 7.00%, 3/15/2028
|
3
|
—
|
|
Series 2040, Class PE, 7.50%, 3/15/2028
|
13
|
13
|
|
Series 2063, Class PG, 6.50%, 6/15/2028
|
15
|
16
|
|
Series 2064, Class TE, 7.00%, 6/15/2028
|
3
|
3
|
|
Series 2075, Class PM, 6.25%, 8/15/2028
|
11
|
12
|
|
Series 2075, Class PH, 6.50%, 8/15/2028
|
12
|
12
|
|
Series 2089, Class PJ, IO, 7.00%, 10/15/2028
|
4
|
—
|
|
Series 2125, Class JZ, 6.00%, 2/15/2029
|
8
|
8
|
|
Series 2169, Class TB, 7.00%, 6/15/2029
|
32
|
33
|
|
Series 2163, Class PC, IO, 7.50%, 6/15/2029
|
2
|
—
|
|
Series 2172, Class QC, 7.00%, 7/15/2029
|
13
|
14
|
|
Series 2196, Class TL, 7.50%, 11/15/2029
|
—
|
—
|
|
Series 2201, Class C, 8.00%, 11/15/2029
|
5
|
5
|
|
Series 2210, Class Z, 8.00%, 1/15/2030
|
18
|
19
|
|
Series 2224, Class CB, 8.00%, 3/15/2030
|
6
|
6
|
|
Series 2256, Class MC, 7.25%, 9/15/2030
|
8
|
9
|
|
Series 2259, Class ZM, 7.00%, 10/15/2030
|
10
|
10
|
|
Series 2271, Class PC, 7.25%, 12/15/2030
|
9
|
9
|
|
Series 2296, Class PD, 7.00%, 3/15/2031
|
6
|
6
|
|
Series 2344, Class ZD, 6.50%, 8/15/2031
|
88
|
91
|
|
Series 2344, Class ZJ, 6.50%, 8/15/2031
|
14
|
15
|
|
Series 2345, Class NE, 6.50%, 8/15/2031
|
8
|
8
|
|
Series 2351, Class PZ, 6.50%, 8/15/2031
|
8
|
8
|
|
Series 2410, Class QX, IF, IO, 4.78%, 2/15/2032 (d)
|
5
|
—
|
|
Series 2410, Class OE, 6.38%, 2/15/2032
|
5
|
5
|
|
Series 2410, Class NG, 6.50%, 2/15/2032
|
6
|
7
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2412, Class SP, IF, 8.35%, 2/15/2032 (d)
|
17
|
17
|
|
Series 2444, Class ES, IF, IO, 4.08%, 3/15/2032 (d)
|
12
|
1
|
|
Series 2450, Class SW, IF, IO, 4.13%, 3/15/2032 (d)
|
5
|
1
|
|
Series 2423, Class MC, 7.00%, 3/15/2032
|
6
|
6
|
|
Series 2423, Class MT, 7.00%, 3/15/2032
|
11
|
12
|
|
Series 2435, Class CJ, 6.50%, 4/15/2032
|
45
|
47
|
|
Series 2441, Class GF, 6.50%, 4/15/2032
|
12
|
13
|
|
Series 2455, Class GK, 6.50%, 5/15/2032
|
18
|
18
|
|
Series 2450, Class GZ, 7.00%, 5/15/2032
|
20
|
21
|
|
Series 2466, Class DH, 6.50%, 6/15/2032
|
16
|
17
|
|
Series 2474, Class NR, 6.50%, 7/15/2032
|
17
|
17
|
|
Series 2484, Class LZ, 6.50%, 7/15/2032
|
24
|
25
|
|
Series 2500, Class MC, 6.00%, 9/15/2032
|
23
|
24
|
|
Series 2543, Class YX, 6.00%, 12/15/2032
|
50
|
52
|
|
Series 2575, Class ME, 6.00%, 2/15/2033
|
93
|
96
|
|
Series 2586, Class WI, IO, 6.50%, 3/15/2033
|
7
|
1
|
|
Series 2990, Class SL, IF, 10.29%, 6/15/2034 (d)
|
2
|
2
|
|
Series 3611, PO, 7/15/2034
|
11
|
9
|
|
Series 2990, Class UZ, 5.75%, 6/15/2035
|
297
|
302
|
|
Series 3117, Class EO, PO, 2/15/2036
|
27
|
23
|
|
Series 3117, Class OK, PO, 2/15/2036
|
3
|
3
|
|
Series 3122, Class OH, PO, 3/15/2036
|
20
|
17
|
|
Series 3152, Class MO, PO, 3/15/2036
|
70
|
59
|
|
Series 3607, Class AO, PO, 4/15/2036
|
16
|
14
|
|
Series 3137, Class XP, 6.00%, 4/15/2036
|
43
|
45
|
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
105
|
109
|
|
Series 3149, Class SO, PO, 5/15/2036
|
4
|
3
|
|
Series 3171, Class MO, PO, 6/15/2036
|
15
|
14
|
|
Series 3179, Class OA, PO, 7/15/2036
|
9
|
8
|
|
Series 3202, Class HI, IF, IO, 2.78%, 8/15/2036 (d)
|
87
|
8
|
|
Series 3232, Class ST, IF, IO, 2.83%, 10/15/2036 (d)
|
17
|
2
|
|
Series 3417, Class EO, PO, 11/15/2036
|
148
|
127
|
|
Series 3316, Class JO, PO, 5/15/2037
|
2
|
2
|
|
Series 3607, Class OP, PO, 7/15/2037
|
89
|
72
|
|
Series 3481, Class SJ, IF, IO, 1.98%, 8/15/2038 (d)
|
43
|
3
|
|
Series 4096, Class HA, 2.00%, 12/15/2041
|
97
|
88
|
|
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042
|
193
|
183
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-41, Class 3A, 4.42%, 7/25/2032 (d)
|
17
|
16
|
|
Series T-76, Class 2A, 2.02%, 10/25/2037 (d)
|
63
|
55
|
|
Series T-51, Class 2A, 7.50%, 8/25/2042 (d)
|
17
|
17
|
|
Series T-54, Class 2A, 6.50%, 2/25/2043
|
162
|
171
|
|
Series T-54, Class 3A, 7.00%, 2/25/2043
|
52
|
54
|
|
Series T-56, Class A5, 5.23%, 5/25/2043
|
378
|
369
|
|
Series T-58, Class A, PO, 9/25/2043
|
10
|
7
|
|
FNMA Trust, Whole Loan
|
|
|
|
Series 2004-W2, Class 2A2, 7.00%, 2/25/2044
|
15
|
15
|
|
Series 2005-W3, Class 2AF, 4.24%, 3/25/2045 (d)
|
50
|
49
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FNMA, REMIC
|
|
|
|
Series G93-5, Class Z, 6.50%, 2/25/2023
|
—
|
—
|
|
Series 1993-37, Class PX, 7.00%, 3/25/2023
|
1
|
1
|
|
Series 1993-25, Class J, 7.50%, 3/25/2023
|
—
|
—
|
|
Series 1998-4, Class C, PO, 4/25/2023
|
—
|
—
|
|
Series 1998-43, Class EA, PO, 4/25/2023
|
1
|
1
|
|
Series 1993-54, Class Z, 7.00%, 4/25/2023
|
—
|
—
|
|
Series 1993-62, Class SA, IF, 9.36%, 4/25/2023 (d)
|
—
|
—
|
|
Series 1993-122, Class M, 6.50%, 7/25/2023
|
—
|
—
|
|
Series 1996-14, Class SE, IF, IO, 6.63%, 8/25/2023 (d)
|
2
|
—
|
|
Series 1993-165, Class SD, IF, 4.70%, 9/25/2023 (d)
|
—
|
—
|
|
Series 1993-178, Class PK, 6.50%, 9/25/2023
|
—
|
—
|
|
Series 1993-183, Class KA, 6.50%, 10/25/2023
|
7
|
7
|
|
Series 1993-189, Class PL, 6.50%, 10/25/2023
|
3
|
3
|
|
Series 1994-9, Class E, PO, 11/25/2023
|
—
|
—
|
|
Series 1993-247, Class SA, IF, 9.80%, 12/25/2023 (d)
|
1
|
1
|
|
Series G95-1, Class C, 8.80%, 1/25/2025
|
1
|
1
|
|
Series 2005-121, Class DX, 5.50%, 1/25/2026
|
41
|
41
|
|
Series 1997-20, IO, 1.84%, 3/25/2027 (d)
|
1
|
—
|
|
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (d)
|
1
|
—
|
|
Series 1997-27, Class J, 7.50%, 4/18/2027
|
3
|
3
|
|
Series 1997-29, Class J, 7.50%, 4/20/2027
|
4
|
4
|
|
Series 1997-39, Class PD, 7.50%, 5/20/2027
|
7
|
7
|
|
Series 2012-47, Class HF, 4.42%, 5/25/2027 (d)
|
28
|
28
|
|
Series 1997-81, Class PI, IO, 7.00%, 12/18/2027
|
2
|
—
|
|
Series 1998-36, Class ZB, 6.00%, 7/18/2028
|
2
|
2
|
|
Series 2000-2, Class ZE, 7.50%, 2/25/2030
|
16
|
17
|
|
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031
|
15
|
2
|
|
Series 2001-36, Class DE, 7.00%, 8/25/2031
|
17
|
18
|
|
Series 2001-49, Class Z, 6.50%, 9/25/2031
|
4
|
4
|
|
Series 2001-44, Class PD, 7.00%, 9/25/2031
|
3
|
3
|
|
Series 2003-52, Class SX, IF, 10.90%, 10/25/2031 (d)
|
4
|
5
|
|
Series 2004-74, Class SW, IF, 7.68%, 11/25/2031 (d)
|
13
|
13
|
|
Series 2001-81, Class LO, PO, 1/25/2032
|
2
|
2
|
|
Series 2002-1, Class SA, IF, 12.14%, 2/25/2032 (d)
|
2
|
2
|
|
Series 2002-21, Class PE, 6.50%, 4/25/2032
|
9
|
10
|
|
Series 2002-28, Class PK, 6.50%, 5/25/2032
|
10
|
10
|
|
Series 2002-37, Class Z, 6.50%, 6/25/2032
|
13
|
13
|
|
Series 2004-61, Class SH, IF, 7.93%, 11/25/2032 (d)
|
14
|
15
|
|
Series 2003-22, Class UD, 4.00%, 4/25/2033
|
45
|
43
|
|
Series 2003-34, Class GE, 6.00%, 5/25/2033
|
112
|
115
|
|
Series 2003-39, IO, 6.00%, 5/25/2033 (d)
|
2
|
—
|
|
Series 2003-47, Class PE, 5.75%, 6/25/2033
|
48
|
50
|
|
Series 2003-64, Class SX, IF, 4.33%, 7/25/2033 (d)
|
5
|
5
|
|
Series 2003-71, Class DS, IF, 2.44%, 8/25/2033 (d)
|
50
|
44
|
|
Series 2005-56, Class TP, IF, 6.10%, 8/25/2033 (d)
|
14
|
14
|
|
Series 2003-91, Class SD, IF, 5.81%, 9/25/2033 (d)
|
4
|
4
|
|
Series 2003-116, Class SB, IF, IO, 3.58%, 11/25/2033 (d)
|
35
|
3
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-44, Class P, PO, 12/25/2033
|
14
|
12
|
|
Series 2003-130, Class SX, IF, 5.50%, 1/25/2034 (d)
|
1
|
1
|
|
Series 2004-25, Class SA, IF, 8.48%, 4/25/2034 (d)
|
14
|
15
|
|
Series 2004-46, Class SK, IF, 5.46%, 5/25/2034 (d)
|
10
|
10
|
|
Series 2004-36, Class SA, IF, 8.48%, 5/25/2034 (d)
|
24
|
25
|
|
Series 2004-50, Class VZ, 5.50%, 7/25/2034
|
157
|
160
|
|
Series 2005-74, Class CS, IF, 8.98%, 5/25/2035 (d)
|
9
|
9
|
|
Series 2005-45, Class DC, IF, 9.58%, 6/25/2035 (d)
|
23
|
23
|
|
Series 2005-56, Class S, IF, IO, 2.69%, 7/25/2035 (d)
|
15
|
1
|
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
86
|
87
|
|
Series 2005-73, Class PS, IF, 6.66%, 8/25/2035 (d)
|
38
|
39
|
|
Series 2005-106, Class US, IF, 9.84%, 11/25/2035 (d)
|
24
|
25
|
|
Series 2006-27, Class OH, PO, 4/25/2036
|
19
|
16
|
|
Series 2006-65, Class QO, PO, 7/25/2036
|
13
|
11
|
|
Series 2006-56, Class FC, 4.31%, 7/25/2036 (d)
|
82
|
81
|
|
Series 2006-72, Class GO, PO, 8/25/2036
|
18
|
16
|
|
Series 2006-79, Class DO, PO, 8/25/2036
|
15
|
13
|
|
Series 2006-77, Class PC, 6.50%, 8/25/2036
|
23
|
23
|
|
Series 2006-110, PO, 11/25/2036
|
22
|
18
|
|
Series 2006-124, Class HB, 3.27%, 11/25/2036 (d)
|
36
|
37
|
|
Series 2007-14, Class ES, IF, IO, 2.42%, 3/25/2037 (d)
|
17
|
1
|
|
Series 2007-81, Class GE, 6.00%, 8/25/2037
|
35
|
36
|
|
Series 2007-79, Class SB, IF, 9.29%, 8/25/2037 (d)
|
16
|
18
|
|
Series 2007-88, Class VI, IF, IO, 2.52%, 9/25/2037 (d)
|
48
|
5
|
|
Series 2007-91, Class ES, IF, IO, 2.44%, 10/25/2037 (d)
|
131
|
11
|
|
Series 2007-116, Class HI, IO, 0.99%, 1/25/2038 (d)
|
20
|
1
|
|
Series 2008-16, Class IS, IF, IO, 2.18%, 3/25/2038 (d)
|
6
|
—
|
|
Series 2008-10, Class XI, IF, IO, 2.21%, 3/25/2038 (d)
|
11
|
1
|
|
Series 2008-28, Class QS, IF, 8.65%, 4/25/2038 (d)
|
15
|
15
|
|
Series 2008-46, Class HI, IO, 1.30%, 6/25/2038 (d)
|
14
|
1
|
|
Series 2013-25, Class DC, 2.50%, 6/25/2039
|
141
|
133
|
|
Series 2009-69, PO, 9/25/2039
|
24
|
19
|
|
Series 2009-103, Class MB, 3.32%, 12/25/2039 (d)
|
26
|
26
|
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
53
|
55
|
|
Series 2011-118, Class MT, 7.00%, 11/25/2041
|
65
|
70
|
|
Series 2011-118, Class NT, 7.00%, 11/25/2041
|
59
|
63
|
|
Series 2013-101, Class DO, PO, 10/25/2043
|
126
|
93
|
|
Series 2013-128, PO, 12/25/2043
|
98
|
78
|
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
169
|
154
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2007-W7, Class 1A4, IF, 15.08%, 7/25/2037 (d)
|
4
|
4
|
|
Series 2003-W4, Class 2A, 5.21%, 10/25/2042 (d)
|
10
|
10
|
|
Series 2003-W1, Class 1A1, 4.84%, 12/25/2042 (d)
|
50
|
49
|
|
FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.24%, 10/25/2037 (d)
|
13
|
14
|
|
FNMA, STRIPS
|
|
|
|
Series 218, Class 2, IO, 7.50%, 4/25/2023
|
—
|
—
|
|
Series 300, Class 1, PO, 9/25/2024
|
2
|
2
|
|
Series 329, Class 1, PO, 1/25/2033
|
2
|
2
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GNMA
|
|
|
|
Series 2003-52, Class AP, PO, 6/16/2033
|
25
|
22
|
|
Series 2004-28, Class S, IF, 8.97%, 4/16/2034 (d)
|
6
|
7
|
|
Series 2004-71, Class SB, IF, 10.12%, 9/20/2034 (d)
|
11
|
11
|
|
Series 2004-90, Class SI, IF, IO, 2.16%, 10/20/2034 (d)
|
66
|
3
|
|
Series 2005-68, Class DP, IF, 7.07%, 6/17/2035 (d)
|
11
|
11
|
|
Series 2005-68, Class KI, IF, IO, 2.36%, 9/20/2035 (d)
|
116
|
10
|
|
Series 2006-38, Class ZK, 6.50%, 8/20/2036
|
203
|
206
|
|
Series 2006-59, Class SD, IF, IO, 2.76%, 10/20/2036 (d)
|
13
|
1
|
|
Series 2007-17, Class JI, IF, IO, 2.92%, 4/16/2037 (d)
|
53
|
5
|
|
Series 2007-27, Class SA, IF, IO, 2.26%, 5/20/2037 (d)
|
66
|
3
|
|
Series 2007-45, Class QA, IF, IO, 2.70%, 7/20/2037 (d)
|
55
|
3
|
|
Series 2007-40, Class SB, IF, IO, 2.81%, 7/20/2037 (d)
|
89
|
5
|
|
Series 2007-53, Class ES, IF, IO, 2.61%, 9/20/2037 (d)
|
14
|
1
|
|
Series 2007-53, Class SW, IF, 8.39%, 9/20/2037 (d)
|
11
|
11
|
|
Series 2009-79, Class OK, PO, 11/16/2037
|
43
|
36
|
|
Series 2007-76, Class SA, IF, IO, 2.59%, 11/20/2037 (d)
|
29
|
1
|
|
Series 2007-72, Class US, IF, IO, 2.61%, 11/20/2037 (d)
|
28
|
1
|
|
Series 2009-106, Class ST, IF, IO, 2.06%, 2/20/2038 (d)
|
91
|
5
|
|
Series 2008-33, Class XS, IF, IO, 3.81%, 4/16/2038 (d)
|
20
|
1
|
|
Series 2008-40, Class SA, IF, IO, 2.51%, 5/16/2038 (d)
|
55
|
3
|
|
Series 2008-55, Class SA, IF, IO, 2.26%, 6/20/2038 (d)
|
34
|
1
|
|
Series 2008-50, Class KB, 6.00%, 6/20/2038
|
68
|
70
|
|
Series 2008-93, Class AS, IF, IO, 1.76%, 12/20/2038 (d)
|
39
|
2
|
|
Series 2009-6, Class SA, IF, IO, 2.21%, 2/16/2039 (d)
|
10
|
—
|
|
Series 2009-31, Class TS, IF, IO, 2.36%, 3/20/2039 (d)
|
25
|
—
|
|
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039
|
17
|
2
|
|
Series 2009-22, Class SA, IF, IO, 2.33%, 4/20/2039 (d)
|
43
|
2
|
|
Series 2009-92, Class ZC, 5.00%, 10/20/2039
|
237
|
238
|
|
Series 2011-137, Class WA, 5.59%, 7/20/2040 (d)
|
113
|
119
|
|
Series 2010-105, Class B, 5.00%, 8/20/2040
|
303
|
306
|
|
Series 2010-130, Class CP, 7.00%, 10/16/2040
|
29
|
31
|
|
Series 2013-91, Class WA, 4.46%, 4/20/2043 (d)
|
282
|
275
|
|
Series 2012-H24, Class FA, 3.59%, 3/20/2060 (d)
|
4
|
4
|
|
Series 2013-H03, Class FA, 3.44%, 8/20/2060 (d)
|
—
|
—
|
|
Series 2012-H21, Class DF, 3.79%, 5/20/2061 (d)
|
1
|
1
|
|
Series 2012-H26, Class MA, 3.69%, 7/20/2062 (d)
|
1
|
1
|
|
Series 2012-H29, Class FA, 3.66%, 10/20/2062 (d)
|
165
|
163
|
|
Series 2014-H15, Class FA, 3.64%, 7/20/2064 (d)
|
445
|
439
|
|
Series 2015-H15, Class FJ, 3.58%, 6/20/2065 (d)
|
411
|
406
|
|
Series 2015-H18, Class FA, 3.59%, 6/20/2065 (d)
|
222
|
219
|
|
Series 2015-H20, Class FA, 3.61%, 8/20/2065 (d)
|
372
|
367
|
|
Series 2015-H26, Class FG, 3.66%, 10/20/2065 (d)
|
422
|
415
|
|
GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036
|
17
|
29
|
|
Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡
|
—
|
—
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2003-A1, Class 1A1, 2.92%, 10/25/2033 (d)
|
90
|
80
|
|
Series 2006-A2, Class 5A3, 4.19%, 11/25/2033 (d)
|
17
|
16
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (d)
|
6
|
6
|
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
|
Series 2004-13, Class 2A1, 4.03%, 4/21/2034 (d)
|
20
|
19
|
|
Series 2004-3, Class 4A2, 2.69%, 4/25/2034 (d)
|
7
|
6
|
|
MASTR Alternative Loan Trust
|
|
|
|
Series 2004-10, Class 1A1, 4.50%, 9/25/2019
|
—
|
—
|
|
Series 2004-4, Class 10A1, 5.00%, 5/25/2024
|
23
|
22
|
|
Series 2003-9, Class 8A1, 6.00%, 1/25/2034
|
49
|
46
|
|
Series 2004-7, Class 30, PO, 8/25/2034 ‡
|
5
|
4
|
|
Series 2005-6, Class 3A1, 5.50%, 12/25/2035
|
7
|
5
|
|
Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b)
|
4
|
2
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-E, Class A1, 4.66%, 10/25/2028 (d)
|
40
|
37
|
|
Series 2004-A, Class A1, 4.50%, 4/25/2029 (d)
|
12
|
11
|
|
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (d)
|
22
|
19
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust
|
|
|
|
Series 2003-A1, Class A5, 7.00%, 4/25/2033
|
7
|
6
|
|
Series 2003-A1, Class A1, 5.50%, 5/25/2033
|
2
|
2
|
|
Series 2003-A1, Class A2, 6.00%, 5/25/2033
|
6
|
6
|
|
RALI Trust Series 2002-QS16, Class A3, IF, 8.22%, 10/25/2017 (d)
|
—
|
—
|
|
Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b)
|
28
|
15
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057
|
175
|
165
|
|
Series 2017-4, Class M60C, 3.50%, 6/25/2057
|
251
|
238
|
|
Series 2018-2, Class M55D, 4.00%, 11/25/2057
|
176
|
169
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
341
|
307
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
55
|
53
|
|
Series 2019-4, Class M55D, 4.00%, 2/25/2059
|
199
|
190
|
|
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028
|
236
|
227
|
|
Vendee Mortgage Trust
|
|
|
|
Series 1993-1, Class ZB, 7.25%, 2/15/2023
|
7
|
7
|
|
Series 1994-1, Class 1, 4.62%, 2/15/2024 (d)
|
10
|
10
|
|
Series 1996-1, Class 1Z, 6.75%, 2/15/2026
|
52
|
53
|
|
Series 1996-2, Class 1Z, 6.75%, 6/15/2026
|
16
|
16
|
|
Series 1997-1, Class 2Z, 7.50%, 2/15/2027
|
70
|
72
|
|
Series 1998-1, Class 2E, 7.00%, 3/15/2028
|
20
|
20
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2003-AR5, Class A7, 3.21%, 6/25/2033 (d)
|
19
|
17
|
|
Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (d)
|
10
|
9
|
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035
|
61
|
55
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡
|
—
|
—
|
|
Total Collateralized Mortgage Obligations
(Cost $10,914)
|
|
10,388
|
|
Asset-Backed Securities — 8.3%
|
||
|
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)
|
80
|
68
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
32
|
28
|
|
Series 2021-1, Class B, 3.95%, 7/11/2030
|
75
|
61
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2022-1, Class A, 0.99%, 12/15/2025 (b)
|
35
|
35
|
|
Series 2022-2, Class A, 2.66%, 2/13/2026 (b)
|
39
|
39
|
|
AmeriCredit Automobile Receivables Trust
|
|
|
|
Series 2020-2, Class A3, 0.66%, 12/18/2024
|
4
|
4
|
|
Series 2021-1, Class A3, 0.37%, 8/18/2025
|
57
|
55
|
|
Series 2020-3, Class B, 0.76%, 12/18/2025
|
75
|
72
|
|
Series 2021-2, Class B, 0.69%, 1/19/2027
|
55
|
52
|
|
Series 2022-2, Class A3, 4.38%, 4/18/2028
|
31
|
30
|
|
AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b)
|
100
|
89
|
|
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b)
|
97
|
92
|
|
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b)
|
100
|
92
|
|
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026
|
88
|
84
|
|
British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)
|
49
|
44
|
|
CarMax Auto Owner Trust
|
|
|
|
Series 2020-1, Class A3, 1.89%, 12/16/2024
|
32
|
31
|
|
Series 2020-3, Class A3, 0.62%, 3/17/2025
|
36
|
36
|
|
Series 2021-1, Class A3, 0.34%, 12/15/2025
|
32
|
31
|
|
Series 2022-2, Class A3, 3.49%, 2/16/2027
|
76
|
74
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2021-P3, Class A3, 0.70%, 11/10/2026
|
90
|
82
|
|
Series 2022-P3, Class A3, 4.61%, 11/10/2027
|
22
|
21
|
|
Series 2021-P4, Class A4, 1.64%, 12/10/2027
|
150
|
134
|
|
CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b)
|
25
|
24
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-3, Class A, 2.71%, 10/15/2052 (b)
|
57
|
54
|
|
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (d)
|
99
|
96
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2021-B, Class B, 0.81%, 12/15/2025 (b)
|
71
|
70
|
|
Series 2022-C, Class B, 4.88%, 4/15/2030 (b)
|
200
|
195
|
|
Credit Acceptance Auto Loan Trust Series 2021-2A, Class A, 0.96%, 2/15/2030 (b)
|
250
|
239
|
|
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026
|
28
|
27
|
|
DT Auto Owner Trust
|
|
|
|
Series 2020-3A, Class B, 0.91%, 12/16/2024 (b)
|
21
|
21
|
|
Series 2021-1A, Class B, 0.62%, 9/15/2025 (b)
|
17
|
17
|
|
Series 2022-1A, Class A, 1.58%, 4/15/2026 (b)
|
98
|
96
|
|
Series 2022-2A, Class A, 2.88%, 6/15/2026 (b)
|
81
|
79
|
|
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b)
|
95
|
88
|
|
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b)
|
57
|
50
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2022-1A, Class A2, 1.15%, 6/17/2024
|
25
|
25
|
|
Series 2021-2A, Class B, 0.57%, 9/15/2025
|
31
|
30
|
|
Series 2022-3A, Class A3, 4.21%, 1/15/2026
|
150
|
149
|
|
Series 2021-4A, Class B, 1.05%, 5/15/2026
|
74
|
71
|
|
Series 2022-5A, Class B, 5.97%, 3/15/2027
|
107
|
107
|
|
Series 2022-2A, Class D, 4.56%, 7/17/2028
|
75
|
70
|
|
Series 2022-4A, Class C, 4.92%, 12/15/2028
|
82
|
77
|
|
First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b)
|
6
|
6
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Flagship Credit Auto Trust
|
|
|
|
Series 2020-4, Class A, 0.53%, 4/15/2025 (b)
|
7
|
7
|
|
Series 2019-4, Class C, 2.77%, 12/15/2025 (b)
|
105
|
103
|
|
Series 2021-4, Class A, 0.81%, 7/17/2026 (b)
|
64
|
62
|
|
Series 2022-1, Class A, 1.79%, 10/15/2026 (b)
|
115
|
110
|
|
Series 2022-2, Class A3, 4.03%, 12/15/2026 (b)
|
200
|
194
|
|
Series 2021-3, Class A, 0.36%, 7/15/2027 (b)
|
62
|
60
|
|
Ford Credit Auto Lease Trust Series 2021-A, Class A3, 0.26%, 2/15/2024
|
22
|
22
|
|
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b)
|
156
|
134
|
|
GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (d)
|
10
|
8
|
|
GLS Auto Receivables Issuer Trust
|
|
|
|
Series 2021-4A, Class A, 0.84%, 7/15/2025 (b)
|
56
|
56
|
|
Series 2021-2A, Class B, 0.77%, 9/15/2025 (b)
|
30
|
29
|
|
Series 2021-3A, Class C, 1.11%, 9/15/2026 (b)
|
66
|
62
|
|
GM Financial Automobile Leasing Trust
|
|
|
|
Series 2021-1, Class A4, 0.33%, 2/20/2025
|
78
|
76
|
|
Series 2022-2, Class A3, 3.42%, 6/20/2025
|
82
|
80
|
|
GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025
|
25
|
24
|
|
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)
|
4
|
4
|
|
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 ‡ (b)
|
97
|
89
|
|
Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024
|
27
|
27
|
|
Hyundai Auto Lease Securitization Trust Series 2020-B, Class A3, 0.51%, 9/15/2023 (b)
|
14
|
14
|
|
Mercedes-Benz Auto Lease Trust Series 2021-A, Class A3, 0.25%, 1/16/2024
|
31
|
30
|
|
MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b)
|
85
|
75
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (b)
|
100
|
82
|
|
Series 2022-SFR3, Class A, 3.20%, 4/17/2039 (b)
|
130
|
118
|
|
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b)
|
22
|
21
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-1, Class A2, 1.36%, 12/16/2024
|
58
|
58
|
|
Series 2021-3, Class B, 0.60%, 12/15/2025
|
96
|
95
|
|
Series 2020-4, Class C, 1.01%, 1/15/2026
|
36
|
36
|
|
Series 2021-2, Class C, 0.90%, 6/15/2026
|
74
|
72
|
|
Series 2022-3, Class A3, 3.40%, 12/15/2026
|
73
|
71
|
|
Series 2022-4, Class A3, 4.14%, 2/16/2027
|
110
|
107
|
|
Series 2022-5, Class B, 4.43%, 3/15/2027
|
44
|
42
|
|
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b)
|
34
|
32
|
|
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b)
|
150
|
151
|
|
Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (e)
|
21
|
16
|
|
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030
|
35
|
30
|
|
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b)
|
46
|
41
|
|
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b)
|
51
|
48
|
|
Toyota Auto Receivables Owner Trust
|
|
|
|
Series 2020-A, Class A3, 1.66%, 5/15/2024
|
43
|
43
|
|
Series 2021-A, Class A3, 0.26%, 5/15/2025
|
97
|
94
|
|
Series 2020-C, Class A4, 0.57%, 10/15/2025
|
56
|
53
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
88
|
76
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
101
|
81
|
|
United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (b)
|
55
|
55
|
|
US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (b)
|
12
|
12
|
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b)
|
79
|
77
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (e)
|
49
|
43
|
|
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 ‡ (b) (e)
|
73
|
67
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (e)
|
69
|
62
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e)
|
93
|
83
|
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (e)
|
70
|
62
|
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e)
|
97
|
87
|
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e)
|
105
|
94
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2020-3A, Class B, 0.78%, 11/17/2025 (b)
|
65
|
64
|
|
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b)
|
183
|
182
|
|
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b)
|
72
|
65
|
|
World Omni Auto Receivables Trust
|
|
|
|
Series 2021-A, Class A3, 0.30%, 1/15/2026
|
98
|
95
|
|
Series 2022-B, Class A3, 3.25%, 7/15/2027
|
140
|
135
|
|
World Omni Automobile Lease Securitization Trust
|
|
|
|
Series 2021-A, Class A3, 0.42%, 8/15/2024
|
67
|
65
|
|
Series 2020-B, Class A4, 0.52%, 2/17/2026
|
60
|
59
|
|
World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025
|
21
|
21
|
|
Total Asset-Backed Securities
(Cost $7,193)
|
|
6,806
|
|
Mortgage-Backed Securities — 8.1%
|
||
|
FHLMC
|
|
|
|
Pool # 785618, ARM, 3.88%, 7/1/2026 (d)
|
5
|
5
|
|
Pool # 611141, ARM, 2.33%, 1/1/2027 (d)
|
4
|
4
|
|
Pool # 1G2557, ARM, 3.35%, 6/1/2036 (d)
|
26
|
26
|
|
Pool # 1A1085, ARM, 3.97%, 8/1/2036 (d)
|
34
|
35
|
|
Pool # 1B7242, ARM, 3.57%, 9/1/2036 (d)
|
25
|
25
|
|
Pool # 1Q0105, ARM, 4.03%, 9/1/2036 (d)
|
7
|
7
|
|
Pool # 1Q0737, ARM, 3.74%, 11/1/2036 (d)
|
11
|
11
|
|
Pool # 1N1511, ARM, 4.42%, 1/1/2037 (d)
|
13
|
13
|
|
Pool # 1Q0739, ARM, 4.02%, 3/1/2037 (d)
|
10
|
10
|
|
Pool # 1Q0722, ARM, 2.61%, 4/1/2038 (d)
|
13
|
13
|
|
FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026
|
3
|
3
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # G00245, 8.00%, 8/1/2024
|
—
|
—
|
|
Pool # C00376, 8.00%, 11/1/2024
|
—
|
—
|
|
Pool # C00414, 7.50%, 8/1/2025
|
1
|
1
|
|
Pool # C00452, 7.00%, 4/1/2026
|
1
|
1
|
|
Pool # G00981, 8.50%, 7/1/2028
|
2
|
2
|
|
Pool # A17537, 6.00%, 1/1/2034
|
14
|
15
|
|
Pool # G02682, 7.00%, 2/1/2037
|
12
|
12
|
|
Pool # Q58054, 4.50%, 11/1/2046
|
142
|
142
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN1157, 1.80%, 11/1/2028
|
400
|
346
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # G20027, 10.00%, 10/1/2030
|
1
|
1
|
|
Pool # U80336, 3.50%, 5/1/2033
|
263
|
249
|
|
Pool # U90690, 3.50%, 6/1/2042
|
89
|
84
|
|
Pool # U90975, 4.00%, 6/1/2042
|
83
|
80
|
|
Pool # U91427, 3.50%, 5/1/2043
|
316
|
297
|
|
FNMA
|
|
|
|
Pool # 54844, ARM, 2.80%, 9/1/2027 (d)
|
1
|
1
|
|
Pool # 303532, ARM, 3.97%, 3/1/2029 (d)
|
1
|
1
|
|
Pool # 745446, ARM, 3.18%, 4/1/2033 (d)
|
17
|
17
|
|
Pool # 746299, ARM, 4.06%, 9/1/2033 (d)
|
29
|
29
|
|
Pool # 743546, ARM, 3.73%, 11/1/2033 (d)
|
31
|
30
|
|
Pool # 735332, ARM, 3.63%, 8/1/2034 (d)
|
21
|
21
|
|
Pool # 790964, ARM, 3.90%, 9/1/2034 (d)
|
13
|
13
|
|
Pool # 896463, ARM, 4.32%, 10/1/2034 (d)
|
30
|
30
|
|
Pool # 816361, ARM, 3.19%, 1/1/2035 (d)
|
46
|
45
|
|
Pool # 810896, ARM, 4.11%, 1/1/2035 (d)
|
15
|
15
|
|
Pool # 816597, ARM, 2.05%, 2/1/2035 (d)
|
10
|
10
|
|
Pool # 816594, ARM, 3.79%, 2/1/2035 (d)
|
10
|
11
|
|
Pool # 745862, ARM, 3.28%, 4/1/2035 (d)
|
17
|
17
|
|
Pool # 832801, ARM, 3.90%, 9/1/2035 (d)
|
30
|
29
|
|
Pool # 843026, ARM, 3.94%, 9/1/2035 (d)
|
23
|
23
|
|
Pool # 920340, ARM, 4.25%, 2/1/2036 (d)
|
19
|
19
|
|
Pool # 886558, ARM, 4.02%, 8/1/2036 (d)
|
8
|
8
|
|
Pool # 893424, ARM, 3.83%, 9/1/2036 (d)
|
23
|
23
|
|
Pool # 915645, ARM, 3.26%, 2/1/2037 (d)
|
13
|
13
|
|
Pool # 913984, ARM, 3.71%, 2/1/2037 (d)
|
9
|
9
|
|
Pool # 887094, ARM, 3.61%, 7/1/2046 (d)
|
27
|
28
|
|
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024
|
1
|
1
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 250066, 8.00%, 5/1/2024
|
—
|
—
|
|
Pool # 250103, 8.50%, 7/1/2024
|
—
|
—
|
|
Pool # 303031, 7.50%, 10/1/2024
|
—
|
—
|
|
Pool # 308499, 8.50%, 5/1/2025
|
—
|
—
|
|
Pool # 695533, 8.00%, 6/1/2027
|
4
|
4
|
|
Pool # 313687, 7.00%, 9/1/2027
|
1
|
1
|
|
Pool # 755973, 8.00%, 11/1/2028
|
5
|
5
|
|
Pool # 598559, 6.50%, 8/1/2031
|
10
|
10
|
|
Pool # 995409, 8.00%, 11/1/2032
|
61
|
63
|
|
Pool # 675555, 6.00%, 12/1/2032
|
12
|
12
|
|
Pool # 674349, 6.00%, 3/1/2033
|
8
|
8
|
|
Pool # 702901, 6.00%, 5/1/2033
|
23
|
24
|
|
Pool # 721535, 5.00%, 7/1/2033
|
36
|
36
|
|
Pool # 723852, 5.00%, 7/1/2033
|
11
|
12
|
|
Pool # 729296, 5.00%, 7/1/2033
|
26
|
27
|
|
Pool # 713700, 4.50%, 8/1/2033
|
12
|
12
|
|
Pool # 737825, 6.00%, 9/1/2033
|
6
|
7
|
|
Pool # 725027, 5.00%, 11/1/2033
|
22
|
23
|
|
Pool # 725017, 5.50%, 12/1/2033
|
23
|
24
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # AA0922, 6.00%, 9/1/2036
|
29
|
30
|
|
Pool # 986648, 6.00%, 9/1/2037
|
16
|
16
|
|
Pool # AD9151, 5.00%, 8/1/2040
|
63
|
65
|
|
Pool # BM3375, 4.00%, 1/1/2048
|
130
|
126
|
|
Pool # BK8753, 4.50%, 6/1/2049
|
98
|
97
|
|
Pool # BP6363, 3.00%, 4/1/2050
|
297
|
265
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
74
|
64
|
|
FNMA, 30 Year
|
|
|
|
Pool # 252409, 6.50%, 3/1/2029
|
4
|
5
|
|
Pool # 752786, 6.00%, 9/1/2033
|
7
|
7
|
|
FNMA, Other
|
|
|
|
Pool # AM8317, 2.96%, 3/1/2025
|
173
|
167
|
|
Pool # AN2309, 2.21%, 7/1/2026
|
439
|
407
|
|
Pool # AM7515, 3.34%, 2/1/2027
|
500
|
478
|
|
Pool # BL1040, 3.81%, 12/1/2028
|
150
|
146
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
300
|
293
|
|
Pool # AM6892, 3.76%, 9/1/2029
|
217
|
210
|
|
Pool # BM4162, 3.12%, 10/1/2029 (d)
|
78
|
73
|
|
Pool # BL4333, 2.52%, 11/1/2029
|
386
|
345
|
|
Pool # BS4030, 1.96%, 1/1/2032
|
400
|
331
|
|
Pool # BS5117, 2.58%, 3/1/2032
|
200
|
171
|
|
Pool # 888408, 6.00%, 3/1/2037
|
8
|
9
|
|
Pool # 257172, 5.50%, 4/1/2038
|
4
|
4
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
122
|
118
|
|
GNMA I, 30 Year
|
|
|
|
Pool # 363030, 7.00%, 9/15/2023
|
1
|
1
|
|
Pool # 352022, 7.00%, 11/15/2023
|
—
|
—
|
|
Pool # 366706, 6.50%, 1/15/2024
|
1
|
1
|
|
Pool # 371281, 7.00%, 2/15/2024
|
—
|
—
|
|
Pool # 780965, 9.50%, 12/15/2025
|
—
|
—
|
|
Pool # 442119, 7.50%, 11/15/2026
|
1
|
1
|
|
Pool # 411829, 7.50%, 7/15/2027
|
1
|
1
|
|
Pool # 468149, 8.00%, 8/15/2028
|
—
|
—
|
|
Pool # 468236, 6.50%, 9/15/2028
|
19
|
20
|
|
Pool # 486537, 7.50%, 9/15/2028
|
2
|
2
|
|
Pool # 466406, 6.00%, 11/15/2028
|
4
|
4
|
|
Pool # 607645, 6.50%, 2/15/2033
|
7
|
7
|
|
Pool # 781614, 7.00%, 6/15/2033
|
10
|
11
|
|
Pool # 782615, 7.00%, 6/15/2035
|
23
|
24
|
|
Pool # 782025, 6.50%, 12/15/2035
|
32
|
33
|
|
Pool # 681638, 6.00%, 12/15/2038
|
62
|
64
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 1974, 8.50%, 3/20/2025
|
—
|
—
|
|
Pool # 1989, 8.50%, 4/20/2025
|
1
|
1
|
|
Pool # 2006, 8.50%, 5/20/2025
|
—
|
—
|
|
Pool # 2141, 8.00%, 12/20/2025
|
—
|
—
|
|
Pool # 2234, 8.00%, 6/20/2026
|
—
|
—
|
|
Pool # 2270, 8.00%, 8/20/2026
|
1
|
1
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Mortgage-Backed Securities — continued
|
||
|
Pool # 2285, 8.00%, 9/20/2026
|
1
|
1
|
|
Pool # 2324, 8.00%, 11/20/2026
|
—
|
—
|
|
Pool # 2499, 8.00%, 10/20/2027
|
1
|
1
|
|
Pool # 2512, 8.00%, 11/20/2027
|
1
|
1
|
|
Pool # 2525, 8.00%, 12/20/2027
|
1
|
1
|
|
Pool # 2549, 7.50%, 2/20/2028
|
—
|
—
|
|
Pool # 2562, 6.00%, 3/20/2028
|
6
|
6
|
|
Pool # 2633, 8.00%, 8/20/2028
|
—
|
—
|
|
Pool # 2646, 7.50%, 9/20/2028
|
1
|
1
|
|
Pool # 4245, 6.00%, 9/20/2038
|
35
|
37
|
|
Pool # BA7567, 4.50%, 5/20/2048
|
66
|
65
|
|
Pool # BI0416, 4.50%, 11/20/2048
|
99
|
98
|
|
Pool # BM9692, 4.50%, 7/20/2049
|
58
|
57
|
|
Pool # BQ3224, 4.50%, 9/20/2049
|
323
|
321
|
|
Pool # MA7534, 2.50%, 8/20/2051
|
114
|
100
|
|
Pool # MA7649, 2.50%, 10/20/2051
|
36
|
32
|
|
GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033
|
288
|
278
|
|
Total Mortgage-Backed Securities
(Cost $7,041)
|
|
6,640
|
|
Commercial Mortgage-Backed Securities — 7.5%
|
||
|
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (d)
|
145
|
141
|
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b)
|
100
|
90
|
|
Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048
|
281
|
268
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KSMC, Class A2, 2.62%, 1/25/2023
|
500
|
498
|
|
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (d)
|
500
|
482
|
|
Series KLU2, Class A7, 2.23%, 9/25/2025 (d)
|
213
|
199
|
|
Series K737, Class AM, 2.10%, 10/25/2026
|
305
|
279
|
|
Series K069, Class A2, 3.19%, 9/25/2027 (d)
|
480
|
456
|
|
Series K081, Class A1, 3.88%, 2/25/2028
|
95
|
93
|
|
Series K083, Class A2, 4.05%, 9/25/2028 (d)
|
297
|
292
|
|
Series K088, Class A2, 3.69%, 1/25/2029
|
480
|
462
|
|
Series K-151, Class A2, 3.80%, 10/25/2032 (d)
|
300
|
286
|
|
FNMA ACES
|
|
|
|
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (d)
|
191
|
188
|
|
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d)
|
322
|
312
|
|
Series 2015-M7, Class A2, 2.59%, 12/25/2024
|
543
|
519
|
|
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (d)
|
477
|
448
|
|
Series 2020-M50, Class A1, 0.67%, 10/25/2030
|
265
|
245
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
165
|
142
|
|
Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (d)
|
2,587
|
195
|
|
Series 2021-M11, Class A2, 1.51%, 3/25/2031 (d)
|
117
|
92
|
|
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033
|
9
|
9
|
|
Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (d)
|
99
|
9
|
|
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b)
|
147
|
110
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
200
|
184
|
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)
|
155
|
125
|
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)
|
4
|
4
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT
($000)
|
VALUE
($000)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063
|
—
|
—
|
|
Total Commercial Mortgage-Backed Securities
(Cost $6,525)
|
|
6,128
|
|
Foreign Government Securities — 0.2%
|
||
|
United Mexican States 2.66%, 5/24/2031(Cost $199)
|
200
|
166
|
|
U.S. Government Agency Securities — 0.1%
|
||
|
Resolution Funding Corp. STRIPS
DN ,3.30%, 1/15/2026 (a)(Cost $55)
|
60
|
53
|
|
|
SHARES
(000)
|
|
|
Short-Term Investments — 1.5%
|
||
|
Investment Companies — 1.5%
|
||
|
JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (f) (g)
(Cost $1,228)
|
1,228
|
1,229
|
|
Total Investments — 99.8%
(Cost $87,230)
|
|
81,589
|
|
Other Assets Less Liabilities — 0.2%
|
|
177
|
|
NET ASSETS — 100.0%
|
|
81,766
|
|
Percentages indicated are based on net assets.
|
||
|
Amounts presented as a dash ("-") represent amounts that round to less than a thousand.
|
|
Abbreviations
|
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
ARM
|
Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022.
|
|
DN
|
Discount Notes
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
HB
|
High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with
similar features as those
associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high
interest rates result from taking
interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small
principal of the HB class.
|
|
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 November 30, 2022. 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.
|
|
LIBOR
|
London Interbank Offered Rate
|
|
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.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual
interest and principal
components of eligible notes and bonds as separate securities.
|
|
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.
|
|
|
(a)
|
The rate shown is the effective yield as of November 30, 2022.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
November 30, 2022.
|
|
|
(d)
|
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 November 30, 2022.
|
|
|
(e)
|
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 November 30, 2022.
|
|
|
(f)
|
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.
|
|
|
(g)
|
The rate shown is the current yield as of November 30, 2022.
|
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$6,482
|
$324
|
$6,806
|
|
Collateralized Mortgage Obligations
|
—
|
10,363
|
25
|
10,388
|
|
Commercial Mortgage-Backed Securities
|
—
|
6,128
|
—
|
6,128
|
|
Corporate Bonds
|
—
|
19,954
|
—
|
19,954
|
|
Foreign Government Securities
|
—
|
166
|
—
|
166
|
|
Mortgage-Backed Securities
|
—
|
6,640
|
—
|
6,640
|
|
U.S. Government Agency Securities
|
—
|
53
|
—
|
53
|
|
U.S. Treasury Obligations
|
—
|
30,225
|
—
|
30,225
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
1,229
|
—
|
—
|
1,229
|
|
Total Investments in Securities
|
$1,229
|
$80,011
|
$349
|
$81,589
|
|
|
Balance as of
February 28,
2022
|
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
November 30,
2022
|
|
Investments in Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
$124
|
$—
|
$(32)
|
$—(a)
|
$98
|
$(17)
|
$151
|
$—
|
$324
|
|
Collateralized Mortgage Obligations
|
496
|
—
|
(5)
|
—(a)
|
1
|
(6)
|
—
|
(461)
|
25
|
|
Total
|
$620
|
$—
|
$(37)
|
$—(a)
|
$99
|
$(23)
|
$151
|
$(461)
|
$349
|
|
|
|||||||||
|
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.
|
|
|
|||||||||
|
For the period ended November 30, 2022
|
|||||||||
|
Security Description
|
Value at
February 28,
2022
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2022
|
Shares at
November 30,
2022
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market Fund
Class Institutional Shares, 3.94% (a) (b)
|
$1,357
|
$15,869
|
$15,997
|
$—(c)
|
$—(c)
|
$1,229
|
1,228
|
$21
|
$—
|
|
|
|
|
(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 November 30, 2022.
|