|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 95.5%
|
|
|
|
|
Basic Materials — 2.4%
|
|
|
15,442
|
|
CF Industries Holdings, Inc.
|
1,315,658
|
|
81,974
|
|
Dow, Inc.
|
4,130,670
|
|
183,721
|
|
DuPont de Nemours, Inc.
|
12,608,772
|
|
41,136
|
|
Eastman Chemical Co.
|
3,350,116
|
|
35,209
|
|
International Paper Co.
|
1,219,288
|
|
34,068
|
|
Mosaic Co. (The)
|
1,494,563
|
|
44,456
|
|
Newmont Corp.
|
2,098,323
|
|
10,390
|
|
Nucor Corp.
|
1,369,506
|
|
|
|
|
27,586,896
|
|
|
|
Communications — 15.2%
|
|
|
112,885
|
|
Airbnb, Inc. Class A*
|
9,651,668
|
|
75,000
|
|
Alphabet, Inc. Class A*
|
6,617,250
|
|
269,864
|
|
Alphabet, Inc. Class C*
|
23,945,033
|
|
385,941
|
|
Amazon.com, Inc.*
|
32,419,044
|
|
222,945
|
|
AT&T, Inc.
|
4,104,417
|
|
8,258
|
|
Charter Communications, Inc. Class A*
|
2,800,288
|
|
185,100
|
|
Cisco Systems, Inc.
|
8,818,164
|
|
253,794
|
|
Comcast Corp. Class A
|
8,875,176
|
|
131,049
|
|
Liberty Global Plc Class C*
|
2,546,282
|
|
544,713
|
|
Lumen Technologies, Inc.*
|
2,843,402
|
|
4,361
|
|
MercadoLibre, Inc.*
|
3,690,453
|
|
55,433
|
|
Meta Platforms, Inc. Class A*
|
6,670,807
|
|
38,900
|
|
Motorola Solutions, Inc.
|
10,024,919
|
|
63,750
|
|
Netflix, Inc.*
|
18,798,600
|
|
16,921
|
|
Spotify Technology SA*
|
1,335,913
|
|
67,606
|
|
T-Mobile US, Inc.*
|
9,464,840
|
|
33,139
|
|
Trade Desk, Inc. (The) Class A*
|
1,485,621
|
|
165,677
|
|
Uber Technologies, Inc.*
|
4,097,192
|
|
211,300
|
|
Verizon Communications, Inc.
|
8,325,220
|
|
138,349
|
|
Walt Disney Co. (The)*
|
12,019,761
|
|
|
|
|
178,534,050
|
|
|
|
Consumer, Cyclical — 10.0%
|
|
|
43,436
|
|
Alaska Air Group, Inc.*
|
1,865,142
|
|
21,871
|
|
Autoliv, Inc.
|
1,674,881
|
|
1,190
|
|
AutoZone, Inc.*
|
2,934,754
|
|
23,338
|
|
Bath & Body Works, Inc.
|
983,463
|
|
17,632
|
|
Best Buy Co., Inc.
|
1,414,263
|
|
1,790
|
|
Chipotle Mexican Grill, Inc. Class A*
|
2,483,607
|
|
11,954
|
|
Costco Wholesale Corp.
|
5,457,001
|
|
23,171
|
|
Darden Restaurants, Inc.
|
3,205,244
|
|
87,198
|
|
Delta Air Lines, Inc.*
|
2,865,326
|
|
40,645
|
|
Dollar General Corp.
|
10,008,831
|
|
61,400
|
|
Dollar Tree, Inc.*
|
8,684,416
|
|
5,230
|
|
Domino's Pizza, Inc.
|
1,811,672
|
|
19,523
|
|
DR Horton, Inc.
|
1,740,280
|
|
115,955
|
|
Dr. Ing. h.c. F. Porsche AG, ADR*
|
1,217,528
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Cyclical — continued
|
|
|
105,244
|
|
General Motors Co.
|
3,540,408
|
|
8,341
|
|
Home Depot, Inc. (The)
|
2,634,588
|
|
5,224
|
|
Lennar Corp. Class A
|
472,772
|
|
8,066
|
|
Lithia Motors, Inc. Class A
|
1,651,433
|
|
23,352
|
|
LKQ Corp.
|
1,247,230
|
|
13,281
|
|
Lowe's Cos., Inc.
|
2,646,107
|
|
11,884
|
|
Lululemon Athletica, Inc.*
|
3,807,396
|
|
53,868
|
|
LVMH Moet Hennessy Louis Vuitton SE, ADR
|
7,803,857
|
|
25,595
|
|
Magna International, Inc.(a)
|
1,437,927
|
|
18,000
|
|
Marriott International, Inc. Class A
|
2,680,020
|
|
14,119
|
|
MGM Resorts International
|
473,410
|
|
77,762
|
|
NIKE, Inc. Class B
|
9,098,932
|
|
615
|
|
NVR, Inc.*
|
2,836,737
|
|
97,054
|
|
PulteGroup, Inc.
|
4,418,869
|
|
11,270
|
|
Target Corp.
|
1,679,681
|
|
58,446
|
|
Tesla, Inc.*
|
7,199,378
|
|
194,500
|
|
TJX Cos., Inc. (The)
|
15,482,200
|
|
10,257
|
|
Whirlpool Corp.
|
1,450,955
|
|
|
|
|
116,908,308
|
|
|
|
Consumer, Non-cyclical — 22.6%
|
|
|
125,986
|
|
Abbott Laboratories
|
13,832,003
|
|
217,981
|
|
Adyen NV, ADR*
|
3,008,138
|
|
10,808
|
|
Align Technology, Inc.*
|
2,279,407
|
|
158,765
|
|
Altria Group, Inc.
|
7,257,148
|
|
18,812
|
|
Amgen, Inc.
|
4,940,784
|
|
105,900
|
|
Archer-Daniels-Midland Co.
|
9,832,815
|
|
25,799
|
|
AstraZeneca Plc, ADR
|
1,749,172
|
|
224,443
|
|
Baxter International, Inc.
|
11,439,860
|
|
37,949
|
|
Bristol-Myers Squibb Co.
|
2,730,431
|
|
54,762
|
|
Cardinal Health, Inc.
|
4,209,555
|
|
32,069
|
|
Cigna Corp.
|
10,625,742
|
|
348,689
|
|
Conagra Brands, Inc.
|
13,494,264
|
|
139,513
|
|
CVS Health Corp.
|
13,001,216
|
|
15,881
|
|
Danaher Corp.
|
4,215,135
|
|
62,739
|
|
DENTSPLY SIRONA, Inc.
|
1,997,610
|
|
34,037
|
|
DexCom, Inc.*
|
3,854,350
|
|
24,831
|
|
Eli Lilly & Co.
|
9,084,173
|
|
12,445
|
|
Estee Lauder Cos., Inc. (The) Class A
|
3,087,729
|
|
29,600
|
|
Gartner, Inc.*
|
9,949,744
|
|
27,364
|
|
Global Payments, Inc.
|
2,717,792
|
|
75,050
|
|
GSK Plc, ADR
|
2,637,257
|
|
287,841
|
|
Haleon Plc, ADR*(a)
|
2,302,728
|
|
10,668
|
|
HCA Healthcare, Inc.
|
2,559,893
|
|
131,256
|
|
Hologic, Inc.*
|
9,819,261
|
|
26,129
|
|
Horizon Therapeutics Plc*
|
2,973,480
|
|
36,200
|
|
Illumina, Inc.*
|
7,319,640
|
|
16,619
|
|
Ingredion, Inc.
|
1,627,499
|
|
13,601
|
|
Intuitive Surgical, Inc.*
|
3,609,025
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Non-cyclical — continued
|
|
|
17,151
|
|
Jazz Pharmaceuticals Plc*
|
2,732,326
|
|
68,211
|
|
Johnson & Johnson
|
12,049,473
|
|
79,472
|
|
Kroger Co. (The)
|
3,542,862
|
|
7,086
|
|
McKesson Corp.
|
2,658,100
|
|
32,994
|
|
Medtronic Plc
|
2,564,294
|
|
94,200
|
|
Merck & Co., Inc.
|
10,451,490
|
|
36,129
|
|
Novo Nordisk AS, ADR
|
4,889,699
|
|
87,276
|
|
PayPal Holdings, Inc.*
|
6,215,797
|
|
57,168
|
|
Pfizer, Inc.
|
2,929,288
|
|
34,366
|
|
Quest Diagnostics, Inc.
|
5,376,217
|
|
10,816
|
|
S&P Global, Inc.
|
3,622,711
|
|
41,176
|
|
Syneos Health, Inc.*
|
1,510,336
|
|
16,843
|
|
Thermo Fisher Scientific, Inc.
|
9,275,272
|
|
36,426
|
|
Tyson Foods, Inc. Class A
|
2,267,519
|
|
32,195
|
|
UnitedHealth Group, Inc.
|
17,069,145
|
|
13,197
|
|
Vertex Pharmaceuticals, Inc.*
|
3,811,030
|
|
146,230
|
|
Viatris, Inc.
|
1,627,540
|
|
40,253
|
|
Zoetis, Inc.
|
5,899,077
|
|
|
|
|
264,648,027
|
|
|
|
Energy — 4.5%
|
|
|
98,674
|
|
APA Corp.
|
4,606,102
|
|
113,428
|
|
BP Plc, ADR
|
3,962,040
|
|
37,654
|
|
Canadian Natural Resources, Ltd.
|
2,090,927
|
|
14,800
|
|
Chevron Corp.
|
2,656,452
|
|
115,642
|
|
ConocoPhillips
|
13,645,756
|
|
44,159
|
|
Devon Energy Corp.
|
2,716,220
|
|
122,574
|
|
Kinder Morgan, Inc.
|
2,216,138
|
|
161,170
|
|
Marathon Oil Corp.
|
4,362,872
|
|
87,379
|
|
Marathon Petroleum Corp.
|
10,170,042
|
|
55,910
|
|
Schlumberger NV
|
2,988,948
|
|
52,143
|
|
Shell Plc, ADR
|
2,969,544
|
|
|
|
|
52,385,041
|
|
|
|
Financial — 17.2%
|
|
|
62,482
|
|
AerCap Holdings NV*
|
3,643,950
|
|
262,369
|
|
American International Group, Inc.
|
16,592,216
|
|
20,632
|
|
American Tower Corp. REIT
|
4,371,096
|
|
6,072
|
|
Ameriprise Financial, Inc.
|
1,890,639
|
|
142,536
|
|
Bank of America Corp.
|
4,720,792
|
|
73,148
|
|
Bank of New York Mellon Corp. (The)
|
3,329,697
|
|
14,091
|
|
Berkshire Hathaway, Inc. Class B*
|
4,352,710
|
|
12,993
|
|
Boston Properties, Inc. REIT
|
878,067
|
|
3,630
|
|
Capital One Financial Corp.
|
337,445
|
|
42,194
|
|
Charles Schwab Corp. (The)
|
3,513,072
|
|
306,548
|
|
Citigroup, Inc.
|
13,865,166
|
|
31,766
|
|
Comerica, Inc.
|
2,123,557
|
|
119,763
|
|
Discover Financial Services
|
11,716,414
|
|
120,940
|
|
Equitable Holdings, Inc.
|
3,470,978
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Financial — continued
|
|
|
132,900
|
|
Equity Residential REIT
|
7,841,100
|
|
221,949
|
|
Host Hotels & Resorts, Inc. REIT
|
3,562,281
|
|
19,450
|
|
Howard Hughes Corp. (The)*
|
1,486,369
|
|
41,980
|
|
JPMorgan Chase & Co.
|
5,629,518
|
|
225,144
|
|
KeyCorp.
|
3,922,008
|
|
30,279
|
|
KKR & Co., Inc.
|
1,405,551
|
|
58,420
|
|
Loews Corp.
|
3,407,639
|
|
58,132
|
|
Mastercard, Inc. Class A
|
20,214,240
|
|
141,883
|
|
MetLife, Inc.
|
10,268,073
|
|
3,909
|
|
Morgan Stanley
|
332,343
|
|
277,965
|
|
New York Community Bancorp, Inc.(a)
|
2,390,499
|
|
9,664
|
|
Principal Financial Group, Inc.
|
811,003
|
|
16,354
|
|
Prudential Financial, Inc.
|
1,626,569
|
|
51,444
|
|
Regency Centers Corp. REIT
|
3,215,250
|
|
13,069
|
|
Reinsurance Group of America, Inc.
|
1,856,974
|
|
21,311
|
|
Simon Property Group, Inc. REIT
|
2,503,616
|
|
122,532
|
|
Synchrony Financial
|
4,026,402
|
|
185,500
|
|
Truist Financial Corp.
|
7,982,065
|
|
183,700
|
|
US Bancorp
|
8,011,157
|
|
98,293
|
|
Visa, Inc. Class A
|
20,421,354
|
|
167,663
|
|
Wells Fargo & Co.
|
6,922,805
|
|
197,407
|
|
Weyerhaeuser Co. REIT
|
6,119,617
|
|
12,536
|
|
Willis Towers Watson Plc
|
3,066,055
|
|
|
|
|
201,828,287
|
|
|
|
Industrial — 5.9%
|
|
|
259,934
|
|
Amcor Plc
|
3,095,814
|
|
71,502
|
|
Builders FirstSource, Inc.*
|
4,639,050
|
|
10,438
|
|
CH Robinson Worldwide, Inc.
|
955,703
|
|
42,712
|
|
Crown Holdings, Inc.
|
3,511,353
|
|
64,997
|
|
Dover Corp.
|
8,801,244
|
|
20,124
|
|
FedEx Corp.
|
3,485,477
|
|
46,799
|
|
Honeywell International, Inc.
|
10,029,026
|
|
4,136
|
|
L3Harris Technologies, Inc.
|
861,157
|
|
67,829
|
|
Masco Corp.
|
3,165,579
|
|
29,573
|
|
Northrop Grumman Corp.
|
16,135,324
|
|
103,589
|
|
Raytheon Technologies Corp.
|
10,454,202
|
|
7,312
|
|
Union Pacific Corp.
|
1,514,096
|
|
117,505
|
|
Vontier Corp.
|
2,271,372
|
|
|
|
|
68,919,397
|
|
|
|
Technology — 16.2%
|
|
|
34,030
|
|
Accenture Plc Class A
|
9,080,565
|
|
53,693
|
|
Adobe, Inc.*
|
18,069,305
|
|
119,323
|
|
Apple, Inc.
|
15,503,637
|
|
5,399
|
|
ASML Holding NV, ADR NYRS
|
2,950,014
|
|
20,848
|
|
Atlassian Corp., Ltd. Class A*
|
2,682,721
|
|
51,188
|
|
Autodesk, Inc.*
|
9,565,502
|
|
24,896
|
|
Broadcom, Inc.
|
13,920,101
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Technology — continued
|
|
|
149,555
|
|
Cognizant Technology Solutions Corp. Class A
|
8,553,050
|
|
14,719
|
|
Crowdstrike Holdings, Inc. Class A*
|
1,549,764
|
|
65,959
|
|
DocuSign, Inc. Class A*
|
3,655,448
|
|
11,248
|
|
Fair Isaac Corp.*
|
6,732,828
|
|
89,252
|
|
Fidelity National Information Services, Inc.
|
6,055,748
|
|
157,043
|
|
HP, Inc.
|
4,219,745
|
|
6,701
|
|
KLA Corp.
|
2,526,478
|
|
28,779
|
|
Micron Technology, Inc.
|
1,438,374
|
|
119,831
|
|
Microsoft Corp.
|
28,737,870
|
|
68,054
|
|
NVIDIA Corp.
|
9,945,412
|
|
4,933
|
|
NXP Semiconductors NV
|
779,562
|
|
158,618
|
|
Oracle Corp.
|
12,965,435
|
|
95,722
|
|
salesforce, Inc.*
|
12,691,780
|
|
29,946
|
|
ServiceNow, Inc.*
|
11,627,133
|
|
12,181
|
|
Snowflake, Inc. Class A*
|
1,748,461
|
|
31,626
|
|
Teradyne, Inc.
|
2,762,531
|
|
7,450
|
|
Zebra Technologies Corp. Class A*
|
1,910,255
|
|
|
|
|
189,671,719
|
|
|
|
Utilities — 1.5%
|
|
|
193,646
|
|
Edison International
|
12,319,759
|
|
76,051
|
|
FirstEnergy Corp.
|
3,189,579
|
|
49,704
|
|
UGI Corp.
|
1,842,527
|
|
|
|
|
17,351,865
|
|
|
|
TOTAL COMMON STOCKS (COST $1,079,231,858)
|
1,117,833,590
|
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
|
Short-Term Investment — 0.1%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.1%
|
|
|
1,582,845
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(b)(c)
|
1,582,845
|
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $1,582,845)
|
1,582,845
|
|
|
|
TOTAL INVESTMENTS — 95.6%
(Cost $1,080,814,703)
|
1,119,416,435
|
|
|
|
Other Assets and Liabilities (net) — 4.4%
|
50,956,826
|
|
|
|
NET ASSETS — 100.0%
|
$1,170,373,261
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is out on loan.
|
|
(b)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(c)
|
Represents an investment of securities lending cash collateral.
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buys
|
|
|
|
|
|
144
|
S&P 500 E-mini Index
|
Mar 2023
|
$27,799,200
|
$(880,805)
|
|
7
|
S&P Mid 400 E-mini Index
|
Mar 2023
|
1,709,820
|
(30,715)
|
|
|
|
|
|
$(911,520)
|
|
Abbreviations
|
||
|
ADR
|
—
|
American Depository Receipt
|
|
NYRS
|
—
|
New York Registry Shares
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
|
Common Stocks
|
95.5
|
|
Futures Contracts
|
(0.1)
|
|
Short-Term Investment
|
0.1
|
|
Other Assets and Liabilities (net)
|
4.5
|
|
|
100.0%
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 96.1%
|
|
|
|
|
Basic Materials — 2.7%
|
|
|
102,471
|
|
Axalta Coating Systems, Ltd.*
|
2,609,936
|
|
42,800
|
|
Chemours Co. (The)
|
1,310,536
|
|
17,400
|
|
Eastman Chemical Co.
|
1,417,056
|
|
320,761
|
|
Element Solutions, Inc.
|
5,834,643
|
|
40,662
|
|
FMC Corp.
|
5,074,618
|
|
80,900
|
|
Huntsman Corp.
|
2,223,132
|
|
20,900
|
|
Ingevity Corp.*
|
1,472,196
|
|
39,900
|
|
Koppers Holdings, Inc.
|
1,125,180
|
|
46,900
|
|
Mativ Holdings, Inc.
|
980,210
|
|
48,900
|
|
Mosaic Co. (The)
|
2,145,243
|
|
22,329
|
|
Quaker Chemical Corp.
|
3,726,710
|
|
17,400
|
|
Reliance Steel & Aluminum Co.
|
3,522,456
|
|
51,971
|
|
RPM International, Inc.
|
5,064,574
|
|
39,300
|
|
Steel Dynamics, Inc.
|
3,839,610
|
|
18,800
|
|
Trinseo Plc
|
426,948
|
|
81,300
|
|
Tronox Holdings Plc
|
1,114,623
|
|
|
|
|
41,887,671
|
|
|
|
Communications — 2.2%
|
|
|
47,900
|
|
AMC Networks, Inc. Class A*
|
750,593
|
|
108,300
|
|
Audacy, Inc. Class A*
|
24,378
|
|
5,627
|
|
Cable One, Inc.
|
4,005,636
|
|
96,447
|
|
Ciena Corp.*
|
4,916,868
|
|
101,067
|
|
ePlus, Inc.*
|
4,475,247
|
|
23,830
|
|
F5, Inc.*
|
3,419,843
|
|
3,067
|
|
Gray Television, Inc.
|
34,320
|
|
105,318
|
|
Juniper Networks, Inc.
|
3,365,963
|
|
113,737
|
|
Liberty Latin America, Ltd. Class A*
|
856,440
|
|
73,256
|
|
Liberty Latin America, Ltd. Class C*
|
556,746
|
|
125,300
|
|
Lumen Technologies, Inc.
|
654,066
|
|
14,200
|
|
Nexstar Media Group, Inc. Class A
|
2,485,426
|
|
15,080
|
|
Nice, Ltd., ADR*(a)
|
2,899,884
|
|
48,540
|
|
Okta, Inc.*
|
3,316,738
|
|
9,700
|
|
Preformed Line Products Co.
|
807,913
|
|
101,724
|
|
Yelp, Inc. Class A*
|
2,781,134
|
|
|
|
|
35,351,195
|
|
|
|
Consumer, Cyclical — 16.9%
|
|
|
44,521
|
|
Advance Auto Parts, Inc.
|
6,545,923
|
|
42,870
|
|
Alaska Air Group, Inc.*
|
1,840,838
|
|
62,800
|
|
Allison Transmission Holdings, Inc.
|
2,612,480
|
|
133,400
|
|
American Axle & Manufacturing Holdings, Inc.*
|
1,043,188
|
|
19,044
|
|
Asbury Automotive Group, Inc.*
|
3,413,637
|
|
289,194
|
|
BJ's Wholesale Club Holdings, Inc.*
|
19,133,075
|
|
89,400
|
|
Bloomin' Brands, Inc.
|
1,798,728
|
|
58,700
|
|
BorgWarner, Inc.
|
2,362,675
|
|
45,975
|
|
BRP, Inc.(a)
|
3,510,191
|
|
23,500
|
|
Brunswick Corp.
|
1,693,880
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Cyclical — continued
|
|
|
23,706
|
|
Burlington Stores, Inc.*
|
4,806,628
|
|
62,564
|
|
Carter's, Inc.(a)
|
4,667,900
|
|
19,052
|
|
Casey's General Stores, Inc.
|
4,274,316
|
|
21,235
|
|
Cavco Industries, Inc.*
|
4,804,419
|
|
155,830
|
|
Cheesecake Factory, Inc. (The)(a)
|
4,941,369
|
|
21,320
|
|
Churchill Downs, Inc.
|
4,507,688
|
|
35,067
|
|
Columbia Sportswear Co.
|
3,071,168
|
|
15,300
|
|
Crocs, Inc.*
|
1,658,979
|
|
29,329
|
|
Deckers Outdoor Corp.*
|
11,706,964
|
|
13,200
|
|
Dick's Sporting Goods, Inc.
|
1,587,828
|
|
46,262
|
|
Dorman Products, Inc.*
|
3,741,208
|
|
98,459
|
|
Five Below, Inc.*
|
17,414,443
|
|
49,900
|
|
Foot Locker, Inc.
|
1,885,721
|
|
23,500
|
|
Genesco, Inc.*
|
1,081,470
|
|
52,541
|
|
Gentherm, Inc.*
|
3,430,402
|
|
33,600
|
|
GMS, Inc.*
|
1,673,280
|
|
102,000
|
|
Goodyear Tire & Rubber Co. (The)*
|
1,035,300
|
|
11,500
|
|
Group 1 Automotive, Inc.
|
2,074,255
|
|
45,000
|
|
Harley-Davidson, Inc.
|
1,872,000
|
|
47,600
|
|
Haverty Furniture Cos., Inc.
|
1,423,240
|
|
33,000
|
|
Hibbett, Inc.
|
2,251,260
|
|
92,815
|
|
IAA, Inc.*
|
3,712,600
|
|
10,800
|
|
Johnson Outdoors, Inc. Class A
|
714,096
|
|
47,700
|
|
Kohl's Corp.
|
1,204,425
|
|
61,300
|
|
La-Z-Boy, Inc.
|
1,398,866
|
|
242,612
|
|
Leslie's, Inc.*(a)
|
2,962,292
|
|
41,443
|
|
Light & Wonder, Inc.*
|
2,428,560
|
|
20,884
|
|
Lithia Motors, Inc. Class A
|
4,275,790
|
|
178,771
|
|
LKQ Corp.
|
9,548,159
|
|
65,900
|
|
Macy's, Inc.
|
1,360,835
|
|
28,200
|
|
MDC Holdings, Inc.
|
891,120
|
|
40,100
|
|
Movado Group, Inc.
|
1,293,225
|
|
15,000
|
|
MSC Industrial Direct Co., Inc. Class A
|
1,225,500
|
|
14,237
|
|
Murphy USA, Inc.
|
3,979,811
|
|
183,647
|
|
National Vision Holdings, Inc.*
|
7,118,158
|
|
21,000
|
|
Nu Skin Enterprises, Inc. Class A
|
885,360
|
|
39,500
|
|
ODP Corp. (The)*
|
1,798,830
|
|
50,491
|
|
Planet Fitness, Inc. Class A*
|
3,978,691
|
|
81,527
|
|
Polaris, Inc.
|
8,234,227
|
|
9,473
|
|
Pool Corp.
|
2,863,972
|
|
43,500
|
|
PulteGroup, Inc.
|
1,980,555
|
|
26,500
|
|
PVH Corp.
|
1,870,635
|
|
109,000
|
|
Qurate Retail, Inc. Series A*
|
177,670
|
|
139,811
|
|
Red Rock Resorts, Inc. Class A
|
5,593,838
|
|
28,211
|
|
REV Group, Inc.
|
356,023
|
|
57,600
|
|
Sally Beauty Holdings, Inc.*
|
721,152
|
|
36,400
|
|
ScanSource, Inc.*
|
1,063,608
|
|
26,156
|
|
SiteOne Landscape Supply, Inc.*
|
3,068,622
|
|
57,808
|
|
Skechers USA, Inc. Class A*
|
2,425,046
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Cyclical — continued
|
|
|
29,584
|
|
Sleep Number Corp.*
|
768,592
|
|
19,800
|
|
Sonic Automotive, Inc. Class A
|
975,546
|
|
171,870
|
|
Tapestry, Inc.
|
6,544,810
|
|
114,610
|
|
Texas Roadhouse, Inc. Class A
|
10,423,779
|
|
15,000
|
|
Thor Industries, Inc.(a)
|
1,132,350
|
|
47,400
|
|
Toll Brothers, Inc.
|
2,366,208
|
|
105,600
|
|
Tri Pointe Homes, Inc.*
|
1,963,104
|
|
40,174
|
|
UniFirst Corp.
|
7,753,180
|
|
27,700
|
|
United Airlines Holdings, Inc.*
|
1,044,290
|
|
139,817
|
|
Univar Solutions, Inc.*
|
4,446,181
|
|
14,380
|
|
Vail Resorts, Inc.
|
3,427,473
|
|
11,600
|
|
Veritiv Corp.
|
1,411,836
|
|
31,158
|
|
Visteon Corp.*
|
4,076,401
|
|
43,160
|
|
WESCO International, Inc.*
|
5,403,632
|
|
21,200
|
|
Whirlpool Corp.
|
2,998,952
|
|
11,300
|
|
Williams-Sonoma, Inc.
|
1,298,596
|
|
23,200
|
|
Winnebago Industries, Inc.
|
1,222,640
|
|
124,923
|
|
World Fuel Services Corp.
|
3,414,145
|
|
|
|
|
265,667,834
|
|
|
|
Consumer, Non-cyclical — 23.5%
|
|
|
125,679
|
|
Acadia Healthcare Co., Inc.*
|
10,345,895
|
|
157,500
|
|
ACCO Brands Corp.
|
880,425
|
|
479,830
|
|
Alight, Inc. Class A*
|
4,011,379
|
|
35,030
|
|
Apellis Pharmaceuticals, Inc.*
|
1,811,401
|
|
58,898
|
|
Ascendis Pharma AS, ADR*
|
7,193,213
|
|
175,600
|
|
Avantor, Inc.*
|
3,703,404
|
|
28,867
|
|
Avery Dennison Corp.
|
5,224,927
|
|
67,812
|
|
Axonics, Inc.*
|
4,240,284
|
|
36,452
|
|
Azenta, Inc.*
|
2,122,235
|
|
123,021
|
|
Bausch + Lomb Corp.*
|
1,908,056
|
|
22,371
|
|
Bio-Rad Laboratories, Inc. Class A*
|
9,406,782
|
|
41,791
|
|
Blueprint Medicines Corp.*
|
1,830,864
|
|
58,070
|
|
Booz Allen Hamilton Holding Corp. Class A
|
6,069,476
|
|
29,587
|
|
Bright Horizons Family Solutions, Inc.*
|
1,866,940
|
|
27,900
|
|
Bunge, Ltd.
|
2,783,583
|
|
205,753
|
|
Catalent, Inc.*
|
9,260,943
|
|
85,500
|
|
Conagra Brands, Inc.
|
3,308,850
|
|
37,648
|
|
CONMED Corp.(a)
|
3,337,119
|
|
513,147
|
|
CoreCivic, Inc.*
|
5,931,979
|
|
5,490
|
|
CRA International, Inc.
|
672,141
|
|
29,400
|
|
DaVita, Inc.*
|
2,195,298
|
|
43,400
|
|
Deluxe Corp.
|
736,932
|
|
73,613
|
|
Driven Brands Holdings, Inc.*
|
2,010,371
|
|
341,510
|
|
Dun & Bradstreet Holdings, Inc.
|
4,186,913
|
|
22,100
|
|
Emergent BioSolutions, Inc.*
|
261,001
|
|
89,849
|
|
Envista Holdings Corp.*
|
3,025,216
|
|
95,578
|
|
EVERTEC, Inc.
|
3,094,816
|
|
87,600
|
|
Exelixis, Inc.*
|
1,405,104
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Non-cyclical — continued
|
|
|
70,750
|
|
Fate Therapeutics, Inc.*(a)
|
713,867
|
|
28,356
|
|
FTI Consulting, Inc.*
|
4,502,933
|
|
140,278
|
|
Globus Medical, Inc. Class A*
|
10,418,447
|
|
25,144
|
|
Grand Canyon Education, Inc.*
|
2,656,715
|
|
59,700
|
|
H&R Block, Inc.
|
2,179,647
|
|
178,318
|
|
Halozyme Therapeutics, Inc.*
|
10,146,294
|
|
40,700
|
|
Herbalife Nutrition, Ltd.*
|
605,616
|
|
47,270
|
|
Hologic, Inc.*
|
3,536,269
|
|
76,372
|
|
Horizon Therapeutics Plc*
|
8,691,134
|
|
35,470
|
|
ICON Plc, ADR*
|
6,890,047
|
|
15,496
|
|
ICU Medical, Inc.*
|
2,440,310
|
|
26,400
|
|
Incyte Corp.*
|
2,120,448
|
|
55,808
|
|
Ingles Markets, Inc. Class A
|
5,383,240
|
|
39,200
|
|
Ingredion, Inc.
|
3,838,856
|
|
64,600
|
|
Innoviva, Inc.*
|
855,950
|
|
14,890
|
|
Inspire Medical Systems, Inc.*
|
3,750,493
|
|
22,391
|
|
Insulet Corp.*
|
6,591,686
|
|
48,523
|
|
Integer Holdings Corp.*
|
3,321,885
|
|
67,909
|
|
Intra-Cellular Therapies, Inc.*
|
3,593,744
|
|
247,100
|
|
Ironwood Pharmaceuticals, Inc. Class A*
|
3,061,569
|
|
61,585
|
|
Jazz Pharmaceuticals Plc*
|
9,811,106
|
|
6,700
|
|
JM Smucker Co. (The)
|
1,061,682
|
|
9,090
|
|
Karuna Therapeutics, Inc.*
|
1,786,185
|
|
117,271
|
|
Krispy Kreme, Inc.(a)
|
1,210,237
|
|
27,189
|
|
Lancaster Colony Corp.
|
5,364,390
|
|
76,670
|
|
Lantheus Holdings, Inc.*
|
3,907,103
|
|
36,181
|
|
LivaNova Plc*
|
2,009,493
|
|
27,500
|
|
ManpowerGroup, Inc.
|
2,288,275
|
|
24,440
|
|
MarketAxess Holdings, Inc.
|
6,816,072
|
|
12,957
|
|
Molina Healthcare, Inc.*
|
4,278,661
|
|
172,213
|
|
Molson Coors Beverage Co. Class B
|
8,872,414
|
|
19,608
|
|
Morningstar, Inc.
|
4,246,897
|
|
72,003
|
|
Neurocrine Biosciences, Inc.*
|
8,600,038
|
|
65,033
|
|
Pacira BioSciences, Inc.*
|
2,510,924
|
|
86,393
|
|
Patterson Cos., Inc.
|
2,421,596
|
|
333,416
|
|
Paya Holdings, Inc.*
|
2,623,984
|
|
70,809
|
|
Paylocity Holding Corp.*
|
13,755,356
|
|
122,502
|
|
Pediatrix Medical Group, Inc.*
|
1,820,380
|
|
67,600
|
|
Perdoceo Education Corp.*
|
939,640
|
|
165,797
|
|
Performance Food Group Co.*
|
9,680,887
|
|
38,300
|
|
Pilgrim's Pride Corp.*
|
908,859
|
|
208,238
|
|
Premier, Inc. Class A
|
7,284,165
|
|
25,700
|
|
Prestige Consumer Healthcare, Inc.*
|
1,608,820
|
|
17,670
|
|
Prometheus Biosciences, Inc.*
|
1,943,700
|
|
71,118
|
|
PTC Therapeutics, Inc.*
|
2,714,574
|
|
60,900
|
|
Quanex Building Products Corp.
|
1,442,112
|
|
12,100
|
|
Quest Diagnostics, Inc.
|
1,892,924
|
|
39,700
|
|
Rent-A-Center, Inc.
|
895,235
|
|
17,940
|
|
Repligen Corp.*(a)
|
3,037,421
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Consumer, Non-cyclical — continued
|
|
|
154,921
|
|
Rocket Pharmaceuticals, Inc.*
|
3,031,804
|
|
34,590
|
|
Sarepta Therapeutics, Inc.*
|
4,482,172
|
|
70,300
|
|
Select Medical Holdings Corp.
|
1,745,549
|
|
129,412
|
|
Simply Good Foods Co. (The)*
|
4,921,538
|
|
41,700
|
|
SpartanNash Co.
|
1,261,008
|
|
74,000
|
|
Sprouts Farmers Market, Inc.*
|
2,395,380
|
|
35,580
|
|
Syneos Health, Inc.*
|
1,305,074
|
|
63,680
|
|
TransUnion
|
3,613,840
|
|
53,100
|
|
Triton International, Ltd.
|
3,652,218
|
|
31,800
|
|
United Therapeutics Corp.*
|
8,843,262
|
|
19,400
|
|
Universal Health Services, Inc. Class B
|
2,733,266
|
|
77,466
|
|
Vericel Corp.*
|
2,040,454
|
|
31,961
|
|
Viad Corp.*
|
779,529
|
|
122,700
|
|
Viatris, Inc.
|
1,365,651
|
|
5,600
|
|
Weis Markets, Inc.
|
460,824
|
|
52,836
|
|
WEX, Inc.*
|
8,646,611
|
|
254,735
|
|
WillScot Mobile Mini Holdings Corp.*
|
11,506,380
|
|
118,921
|
|
Xencor, Inc.*
|
3,096,703
|
|
|
|
|
369,739,090
|
|
|
|
Energy — 4.6%
|
|
|
98,000
|
|
APA Corp.
|
4,574,640
|
|
268,930
|
|
ChampionX Corp.
|
7,796,281
|
|
17,168
|
|
Chesapeake Energy Corp.(a)
|
1,620,144
|
|
55,050
|
|
Diamondback Energy, Inc.
|
7,529,739
|
|
103,064
|
|
HF Sinclair Corp.
|
5,347,991
|
|
325,599
|
|
Magnolia Oil & Gas Corp. Class A
|
7,635,297
|
|
162,000
|
|
Marathon Oil Corp.
|
4,385,340
|
|
60,223
|
|
Matador Resources Co.
|
3,447,164
|
|
183,609
|
|
NOV, Inc.
|
3,835,592
|
|
206,826
|
|
Ovintiv, Inc.
|
10,488,146
|
|
47,300
|
|
PDC Energy, Inc.
|
3,002,604
|
|
439,372
|
|
Permian Resources Corp. Class A
|
4,130,097
|
|
177,147
|
|
ProPetro Holding Corp.*
|
1,837,014
|
|
177,661
|
|
SM Energy Co.
|
6,187,933
|
|
|
|
|
71,817,982
|
|
|
|
Financial — 17.0%
|
|
|
62,239
|
|
Agree Realty Corp. REIT
|
4,414,612
|
|
61,500
|
|
Ally Financial, Inc.
|
1,503,675
|
|
57,000
|
|
American Assets Trust, Inc. REIT
|
1,510,500
|
|
102,407
|
|
American Equity Investment Life Holding Co.
|
4,671,807
|
|
40,118
|
|
American Financial Group, Inc.
|
5,507,399
|
|
44,750
|
|
Annaly Capital Management, Inc. REIT
|
943,330
|
|
128,400
|
|
Apple Hospitality REIT, Inc. REIT
|
2,026,152
|
|
107,300
|
|
Ares Capital Corp.
|
1,981,831
|
|
77,090
|
|
Ares Management Corp. Class A
|
5,276,040
|
|
43,424
|
|
Artisan Partners Asset Management, Inc. Class A
|
1,289,693
|
|
155,400
|
|
Associated Banc-Corp.
|
3,588,186
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Financial — continued
|
|
|
115,564
|
|
Atlantic Union Bankshares Corp.
|
4,060,919
|
|
91,515
|
|
Axis Capital Holdings, Ltd.
|
4,957,367
|
|
78,509
|
|
Axos Financial, Inc.*
|
3,000,614
|
|
35,400
|
|
Bank of NT Butterfield & Son, Ltd. (The)
|
1,055,274
|
|
257,200
|
|
Braemar Hotels & Resorts, Inc. REIT
|
1,057,092
|
|
177,700
|
|
Brandywine Realty Trust REIT
|
1,092,855
|
|
80,900
|
|
Brixmor Property Group, Inc. REIT
|
1,834,003
|
|
6,897
|
|
C&F Financial Corp.
|
401,888
|
|
298,662
|
|
Cannae Holdings, Inc.*
|
6,167,370
|
|
65,200
|
|
Cathay General Bancorp
|
2,659,508
|
|
99,300
|
|
Chimera Investment Corp. REIT(a)
|
546,150
|
|
50,200
|
|
Citizens Financial Group, Inc.
|
1,976,374
|
|
154,000
|
|
City Office REIT, Inc. REIT
|
1,290,520
|
|
58,560
|
|
CNA Financial Corp.
|
2,475,917
|
|
157,800
|
|
CNO Financial Group, Inc.
|
3,605,730
|
|
51,500
|
|
Comerica, Inc.
|
3,442,775
|
|
35,970
|
|
Cullen/Frost Bankers, Inc.
|
4,809,189
|
|
196,699
|
|
Easterly Government Properties, Inc. REIT Class A
|
2,806,895
|
|
24,973
|
|
EastGroup Properties, Inc. REIT
|
3,697,502
|
|
41,000
|
|
EPR Properties REIT
|
1,546,520
|
|
77,200
|
|
Equitable Holdings, Inc.
|
2,215,640
|
|
30,300
|
|
Essent Group, Ltd.
|
1,178,064
|
|
7,865
|
|
Evercore, Inc. Class A
|
857,914
|
|
3,678
|
|
F&G Annuities & Life, Inc.*
|
73,597
|
|
444
|
|
Federal Agricultural Mortgage Corp. Class C
|
50,043
|
|
54,100
|
|
Fidelity National Financial, Inc.
|
2,035,242
|
|
35,600
|
|
Fifth Third Bancorp
|
1,168,036
|
|
35,500
|
|
Financial Institutions, Inc.
|
864,780
|
|
33,000
|
|
First American Financial Corp.
|
1,727,220
|
|
63,802
|
|
First Busey Corp.
|
1,577,185
|
|
105,300
|
|
FNB Corp.
|
1,374,165
|
|
209,166
|
|
Franklin Street Properties Corp. REIT
|
571,023
|
|
131,708
|
|
FS KKR Capital Corp.(a)
|
2,304,890
|
|
912,540
|
|
Genworth Financial, Inc. Class A*
|
4,827,337
|
|
136,839
|
|
Glacier Bancorp, Inc.
|
6,762,583
|
|
99,100
|
|
Global Net Lease, Inc. REIT
|
1,245,687
|
|
44,642
|
|
Hamilton Lane, Inc. Class A
|
2,851,731
|
|
38,500
|
|
Hancock Whitney Corp.
|
1,863,015
|
|
66,600
|
|
Hanmi Financial Corp.
|
1,648,350
|
|
32,800
|
|
Heritage Insurance Holdings, Inc.
|
59,040
|
|
138,200
|
|
Hope Bancorp, Inc.
|
1,770,342
|
|
86,500
|
|
Horizon Bancorp, Inc.
|
1,304,420
|
|
87,600
|
|
Host Hotels & Resorts, Inc. REIT
|
1,405,980
|
|
173,407
|
|
Independence Realty Trust, Inc. REIT
|
2,923,642
|
|
69,000
|
|
Independent Bank Corp.
|
1,650,480
|
|
64,000
|
|
Industrial Logistics Properties Trust REIT
|
209,280
|
|
28,500
|
|
Iron Mountain, Inc. REIT
|
1,420,725
|
|
87,500
|
|
Jefferies Financial Group, Inc.
|
2,999,500
|
|
159,800
|
|
KeyCorp.
|
2,783,716
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Financial — continued
|
|
|
35,955
|
|
Kinsale Capital Group, Inc.
|
9,402,952
|
|
52,020
|
|
Kite Realty Group Trust REIT
|
1,095,021
|
|
37,700
|
|
Lincoln National Corp.
|
1,158,144
|
|
23,193
|
|
LPL Financial Holdings, Inc.
|
5,013,631
|
|
200,100
|
|
Medical Properties Trust, Inc. REIT(a)
|
2,229,114
|
|
176,200
|
|
MGIC Investment Corp.
|
2,290,600
|
|
53,974
|
|
National Storage Affiliates Trust REIT
|
1,949,541
|
|
139,500
|
|
Navient Corp.
|
2,294,775
|
|
221,300
|
|
Necessity Retail REIT, Inc. (The) REIT
|
1,312,309
|
|
154,400
|
|
New Mountain Finance Corp.
|
1,909,928
|
|
185,497
|
|
New York Community Bancorp, Inc.
|
1,595,274
|
|
238,634
|
|
Newmark Group, Inc. Class A
|
1,901,913
|
|
102,104
|
|
NMI Holdings, Inc. Class A*
|
2,133,974
|
|
224,825
|
|
Oaktree Specialty Lending Corp.(a)
|
1,544,548
|
|
55,083
|
|
Office Properties Income Trust REIT
|
735,358
|
|
73,500
|
|
OFG Bancorp
|
2,025,660
|
|
46,100
|
|
Omega Healthcare Investors, Inc. REIT
|
1,288,495
|
|
26,400
|
|
OneMain Holdings, Inc.
|
879,384
|
|
107,328
|
|
Pacific Premier Bancorp, Inc.
|
3,387,272
|
|
27,581
|
|
Palomar Holdings, Inc.*
|
1,245,558
|
|
210,429
|
|
Physicians Realty Trust REIT
|
3,044,908
|
|
122,100
|
|
Piedmont Office Realty Trust, Inc. REIT Class A
|
1,119,657
|
|
77,806
|
|
Pinnacle Financial Partners, Inc.
|
5,710,960
|
|
36,768
|
|
Piper Sandler Cos.
|
4,786,826
|
|
25,500
|
|
Popular, Inc.
|
1,691,160
|
|
184,708
|
|
Radian Group, Inc.
|
3,522,382
|
|
156,700
|
|
Redwood Trust, Inc. REIT(a)
|
1,059,292
|
|
125,700
|
|
Regions Financial Corp.
|
2,710,092
|
|
30,595
|
|
Reinsurance Group of America, Inc.
|
4,347,244
|
|
117,600
|
|
Sabra Health Care REIT, Inc. REIT
|
1,461,768
|
|
33,500
|
|
Sandy Spring Bancorp, Inc.
|
1,180,205
|
|
59,600
|
|
Service Properties Trust REIT
|
434,484
|
|
29,296
|
|
Signature Bank
|
3,375,485
|
|
73,987
|
|
StepStone Group, Inc. Class A
|
1,862,993
|
|
295,739
|
|
Summit Hotel Properties, Inc. REIT
|
2,135,236
|
|
78,908
|
|
Sun Communities, Inc. REIT
|
11,283,844
|
|
147,000
|
|
Tanger Factory Outlet Centers, Inc. REIT
|
2,637,180
|
|
172,600
|
|
Uniti Group, Inc. REIT
|
954,478
|
|
72,400
|
|
Universal Insurance Holdings, Inc.
|
766,716
|
|
77,500
|
|
Unum Group
|
3,179,825
|
|
45,100
|
|
Victory Capital Holdings, Inc. Class A
|
1,210,033
|
|
127,699
|
|
Voya Financial, Inc.
|
7,852,211
|
|
88,156
|
|
Western Alliance Bancorp
|
5,250,571
|
|
73,600
|
|
Western Union Co. (The)
|
1,013,472
|
|
6,791
|
|
White Mountains Insurance Group, Ltd.
|
9,604,715
|
|
77,100
|
|
Zions Bancorp NA
|
3,790,236
|
|
|
|
|
268,300,738
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Government — 0.1%
|
|
|
68,600
|
|
Banco Latinoamericano de Comercio Exterior SA
|
1,111,320
|
|
|
|
Industrial — 17.8%
|
|
|
16,000
|
|
Acuity Brands, Inc.
|
2,649,760
|
|
54,242
|
|
Advanced Drainage Systems, Inc.
|
4,446,217
|
|
43,010
|
|
Advanced Energy Industries, Inc.
|
3,689,398
|
|
42,800
|
|
AGCO Corp.
|
5,935,932
|
|
396,098
|
|
Air Transport Services Group, Inc.*
|
10,290,626
|
|
42,100
|
|
Apogee Enterprises, Inc.
|
1,871,766
|
|
23,256
|
|
AptarGroup, Inc.
|
2,557,695
|
|
18,100
|
|
ArcBest Corp.
|
1,267,724
|
|
97,039
|
|
Argan, Inc.
|
3,578,798
|
|
70,829
|
|
Armstrong World Industries, Inc.
|
4,858,161
|
|
26,450
|
|
Arrow Electronics, Inc.*
|
2,765,877
|
|
179,330
|
|
Atkore, Inc.*
|
20,339,609
|
|
38,007
|
|
Axon Enterprise, Inc.*
|
6,306,502
|
|
44,700
|
|
Berry Global Group, Inc.
|
2,701,221
|
|
21,600
|
|
Boise Cascade Co.
|
1,483,272
|
|
112,335
|
|
Cognex Corp.
|
5,292,102
|
|
35,579
|
|
Coherent Corp.*
|
1,248,823
|
|
90,022
|
|
Columbus McKinnon Corp.
|
2,923,014
|
|
72,103
|
|
Comfort Systems USA, Inc.
|
8,297,613
|
|
7,600
|
|
Crane Holdings Co.
|
763,420
|
|
40,027
|
|
Eagle Materials, Inc.
|
5,317,587
|
|
43,350
|
|
Encore Wire Corp.
|
5,963,226
|
|
44,800
|
|
Energizer Holdings, Inc.
|
1,503,040
|
|
31,034
|
|
Esab Corp.
|
1,456,115
|
|
40,796
|
|
Exponent, Inc.
|
4,042,476
|
|
112,094
|
|
Federal Signal Corp.
|
5,209,008
|
|
134,600
|
|
Flex, Ltd.*
|
2,888,516
|
|
26,350
|
|
Forward Air Corp.
|
2,763,852
|
|
327,332
|
|
Gates Industrial Corp. Plc*
|
3,734,858
|
|
77,364
|
|
Gibraltar Industries, Inc.*
|
3,549,460
|
|
33,500
|
|
Greif, Inc. Class A
|
2,246,510
|
|
40,491
|
|
HEICO Corp.
|
6,221,037
|
|
148,608
|
|
Hexcel Corp.
|
8,745,581
|
|
31,100
|
|
Hillenbrand, Inc.
|
1,327,037
|
|
6,400
|
|
Huntington Ingalls Industries, Inc.
|
1,476,352
|
|
24,650
|
|
IDEX Corp.
|
5,628,334
|
|
189,621
|
|
Ingersoll Rand, Inc.
|
9,907,697
|
|
53,500
|
|
Jabil, Inc.
|
3,648,700
|
|
62,423
|
|
Lincoln Electric Holdings, Inc.
|
9,019,499
|
|
22,100
|
|
Louisiana-Pacific Corp.
|
1,308,320
|
|
145,821
|
|
MDU Resources Group, Inc.
|
4,424,209
|
|
20,725
|
|
Middleby Corp. (The)*
|
2,775,077
|
|
72,305
|
|
Modine Manufacturing Co.*
|
1,435,977
|
|
9,900
|
|
Mohawk Industries, Inc.*
|
1,011,978
|
|
31,900
|
|
Moog, Inc. Class A
|
2,799,544
|
|
95,398
|
|
Napco Security Technologies, Inc.*
|
2,621,537
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Industrial — continued
|
|
|
27,799
|
|
Nordson Corp.
|
6,608,378
|
|
48,300
|
|
O-I Glass, Inc.*
|
800,331
|
|
38,200
|
|
Owens Corning
|
3,258,460
|
|
10,100
|
|
Packaging Corp. of America
|
1,291,891
|
|
66,000
|
|
Primoris Services Corp.
|
1,448,040
|
|
123,993
|
|
Ranpak Holdings Corp. Class A*
|
715,440
|
|
47,210
|
|
RBC Bearings, Inc.*
|
9,883,413
|
|
19,400
|
|
Ryder System, Inc.
|
1,621,258
|
|
26,020
|
|
Saia, Inc.*
|
5,455,874
|
|
38,000
|
|
Sanmina Corp.*
|
2,177,020
|
|
102,750
|
|
Schneider National, Inc. Class B
|
2,404,350
|
|
31,600
|
|
Silgan Holdings, Inc.
|
1,638,144
|
|
12,200
|
|
Snap-on, Inc.
|
2,787,578
|
|
85,360
|
|
TD SYNNEX Corp.
|
8,084,446
|
|
12,355
|
|
Teledyne Technologies, Inc.*
|
4,940,888
|
|
29,315
|
|
Tetra Tech, Inc.
|
4,256,245
|
|
14,600
|
|
Timken Co. (The)
|
1,031,782
|
|
48,680
|
|
Toro Co. (The)
|
5,510,576
|
|
55,578
|
|
TriMas Corp.
|
1,541,734
|
|
64,448
|
|
Trimble, Inc.*
|
3,258,491
|
|
107,400
|
|
TTM Technologies, Inc.*
|
1,619,592
|
|
81,767
|
|
Universal Logistics Holdings, Inc.
|
2,734,288
|
|
15,053
|
|
Valmont Industries, Inc.
|
4,977,576
|
|
120,700
|
|
Vishay Intertechnology, Inc.
|
2,603,499
|
|
175,968
|
|
Vontier Corp.
|
3,401,461
|
|
58,900
|
|
Westrock Co.
|
2,070,924
|
|
|
|
|
280,414,736
|
|
|
|
Technology — 9.9%
|
|
|
203,390
|
|
ACI Worldwide, Inc.*
|
4,677,970
|
|
46,600
|
|
Alpha & Omega Semiconductor, Ltd.*
|
1,331,362
|
|
23,600
|
|
Amdocs, Ltd.
|
2,145,240
|
|
136,400
|
|
Amkor Technology, Inc.
|
3,270,872
|
|
79,185
|
|
Avid Technology, Inc.*
|
2,105,529
|
|
24,210
|
|
Bill.com Holdings, Inc.*
|
2,637,922
|
|
151,903
|
|
Box, Inc. Class A*
|
4,728,740
|
|
15,642
|
|
Concentrix Corp.
|
2,082,889
|
|
36,900
|
|
CSG Systems International, Inc.
|
2,110,680
|
|
32,310
|
|
CyberArk Software, Ltd.*
|
4,188,991
|
|
30,300
|
|
Donnelley Financial Solutions, Inc.*
|
1,171,095
|
|
78,381
|
|
DXC Technology Co.*
|
2,077,097
|
|
20,400
|
|
Ebix, Inc.
|
407,184
|
|
36,518
|
|
Endava Plc, ADR*
|
2,793,627
|
|
101,705
|
|
Entegris, Inc.
|
6,670,831
|
|
77,979
|
|
Evolent Health, Inc. Class A*
|
2,189,650
|
|
26,803
|
|
ExlService Holdings, Inc.*
|
4,541,232
|
|
87,800
|
|
Genpact, Ltd.
|
4,066,896
|
|
30,311
|
|
Globant SA*
|
5,097,098
|
|
28,811
|
|
HubSpot, Inc.*
|
8,330,124
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Technology — continued
|
|
|
102,256
|
|
KBR, Inc.
|
5,399,117
|
|
57,319
|
|
Manhattan Associates, Inc.*
|
6,958,527
|
|
81,258
|
|
MaxLinear, Inc.*
|
2,758,709
|
|
21,720
|
|
MongoDB, Inc. Class A*
|
4,275,365
|
|
14,882
|
|
Monolithic Power Systems, Inc.
|
5,262,424
|
|
200,244
|
|
NCR Corp.*
|
4,687,712
|
|
32,340
|
|
Nova, Ltd.*(a)
|
2,641,531
|
|
59,810
|
|
Parsons Corp.*
|
2,766,213
|
|
78,100
|
|
Photronics, Inc.*
|
1,314,423
|
|
73,555
|
|
Power Integrations, Inc.
|
5,275,365
|
|
76,128
|
|
Procore Technologies, Inc.*
|
3,591,719
|
|
208,694
|
|
Pure Storage, Inc. Class A*
|
5,584,651
|
|
18,100
|
|
Qorvo, Inc.*
|
1,640,584
|
|
58,272
|
|
Rapid7, Inc.*
|
1,980,083
|
|
85,240
|
|
RingCentral, Inc. Class A*
|
3,017,496
|
|
41,400
|
|
Seagate Technology Holdings Plc
|
2,178,054
|
|
53,741
|
|
Semtech Corp.*
|
1,541,829
|
|
55,958
|
|
Silicon Laboratories, Inc.*
|
7,591,822
|
|
103,300
|
|
SMART Global Holdings, Inc.*
|
1,537,104
|
|
47,727
|
|
Synaptics, Inc.*
|
4,541,701
|
|
112,850
|
|
Tenable Holdings, Inc.*
|
4,305,227
|
|
9,282
|
|
Tyler Technologies, Inc.*
|
2,992,610
|
|
29,700
|
|
Ultra Clean Holdings, Inc.*
|
984,555
|
|
32,628
|
|
Verra Mobility Corp. Class A*
|
451,245
|
|
75,400
|
|
Xerox Holdings Corp.
|
1,100,840
|
|
15,994
|
|
Zebra Technologies Corp. Class A*
|
4,101,022
|
|
|
|
|
155,104,957
|
|
|
|
Utilities — 1.4%
|
|
|
44,382
|
|
IDACORP, Inc.
|
4,786,598
|
|
24,700
|
|
National Fuel Gas Co.
|
1,563,510
|
|
94,200
|
|
NRG Energy, Inc.
|
2,997,444
|
|
74,607
|
|
Portland General Electric Co.(a)
|
3,655,743
|
|
37,543
|
|
Southwest Gas Holdings, Inc.
|
2,323,161
|
|
295,829
|
|
Vistra Corp.
|
6,863,233
|
|
|
|
|
22,189,689
|
|
|
|
TOTAL COMMON STOCKS (COST $1,430,629,540)
|
1,511,585,212
|
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
|
Short-Term Investment — 0.2%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.2%
|
|
|
3,057,340
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(b)(c)
|
3,057,340
|
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $3,057,340)
|
3,057,340
|
|
|
|
TOTAL INVESTMENTS — 96.3%
(Cost $1,433,686,880)
|
1,514,642,552
|
|
|
|
Other Assets and Liabilities (net) — 3.7%
|
57,672,742
|
|
|
|
NET ASSETS — 100.0%
|
$1,572,315,294
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is out on loan.
|
|
(b)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(c)
|
Represents an investment of securities lending cash collateral.
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buys
|
|
|
|
|
|
190
|
Russell 2000 E-mini Index
|
Mar 2023
|
$16,823,550
|
$(479,618)
|
|
61
|
S&P Mid 400 E-mini Index
|
Mar 2023
|
14,899,860
|
(338,090)
|
|
|
|
|
|
$(817,708)
|
|
Abbreviations
|
||
|
ADR
|
—
|
American Depository Receipt
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
|
Common Stocks
|
96.1
|
|
Futures Contracts
|
(0.1)
|
|
Short-Term Investment
|
0.2
|
|
Other Assets and Liabilities (net)
|
3.8
|
|
|
100.0%
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 94.7%
|
|
|
|
|
Australia — 5.0%
|
|
|
223,606
|
|
AGL Energy, Ltd.
|
1,223,722
|
|
27,662
|
|
Ampol, Ltd.
|
530,504
|
|
8,702
|
|
Ansell, Ltd.
|
166,652
|
|
229,100
|
|
ANZ Group Holdings, Ltd.
|
3,675,916
|
|
187,820
|
|
APA Group
|
1,370,503
|
|
3,071,169
|
|
Aurizon Holdings, Ltd.
|
7,768,520
|
|
681,000
|
|
Bank of Queensland, Ltd.(a)
|
3,186,559
|
|
2,331,500
|
|
Beach Energy, Ltd.
|
2,521,865
|
|
304,077
|
|
BHP Group, Ltd.
|
9,409,354
|
|
492,960
|
|
BlueScope Steel, Ltd.
|
5,629,626
|
|
848,057
|
|
Coles Group, Ltd.
|
9,615,837
|
|
225,700
|
|
Elders, Ltd.
|
1,552,013
|
|
194,900
|
|
Fortescue Metals Group, Ltd.
|
2,710,836
|
|
2,410,818
|
|
Glencore Plc
|
16,019,456
|
|
1,558,600
|
|
Harvey Norman Holdings, Ltd.(a)
|
4,365,264
|
|
1,256,900
|
|
Helia Group, Ltd.
|
2,344,008
|
|
731,800
|
|
Inghams Group, Ltd.
|
1,419,333
|
|
1,524,346
|
|
Metcash, Ltd.(a)
|
4,114,266
|
|
1,454,500
|
|
Mirvac Group REIT
|
2,100,966
|
|
35,640
|
|
Origin Energy, Ltd.
|
186,587
|
|
1,626,284
|
|
Orora, Ltd.
|
3,187,278
|
|
12,381
|
|
OZ Minerals, Ltd.
|
234,253
|
|
810,700
|
|
Perenti, Ltd.*
|
722,956
|
|
90,636
|
|
Rio Tinto Plc
|
6,321,332
|
|
238,213
|
|
Rio Tinto Plc, ADR
|
16,960,766
|
|
258,182
|
|
Rio Tinto, Ltd.
|
20,381,776
|
|
30,174
|
|
Sonic Healthcare, Ltd.
|
613,261
|
|
1,086,423
|
|
South32, Ltd.
|
2,947,031
|
|
1,011,400
|
|
Stockland REIT
|
2,489,748
|
|
345,218
|
|
Super Retail Group, Ltd.
|
2,507,314
|
|
310,296
|
|
Treasury Wine Estates, Ltd.
|
2,863,915
|
|
56,133
|
|
Viva Energy Group, Ltd. 144A
|
103,922
|
|
259,136
|
|
Whitehaven Coal, Ltd.
|
1,655,406
|
|
587,107
|
|
Woodside Energy Group, Ltd.(a)
|
14,110,316
|
|
371,188
|
|
Woolworths Group, Ltd.
|
8,447,762
|
|
210,551
|
|
Yancoal Australia, Ltd.(a)
|
865,278
|
|
|
|
|
164,324,101
|
|
|
|
Austria — 0.3%
|
|
|
119,931
|
|
ams-OSRAM AG*
|
874,983
|
|
145,742
|
|
OMV AG
|
7,481,622
|
|
9,905
|
|
Raiffeisen Bank International AG*
|
162,267
|
|
107,300
|
|
Wienerberger AG
|
2,583,478
|
|
|
|
|
11,102,350
|
|
|
|
Belgium — 0.7%
|
|
|
66,300
|
|
Ageas SA
|
2,930,823
|
|
143,260
|
|
Anheuser-Busch InBev SA
|
8,603,355
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Belgium — continued
|
|
|
79,250
|
|
Anheuser-Busch InBev SA, ADR
|
4,758,170
|
|
10,411
|
|
Groupe Bruxelles Lambert NV
|
828,668
|
|
21,907
|
|
Proximus SADP
|
210,329
|
|
34,200
|
|
Solvay SA
|
3,447,784
|
|
7,137
|
|
UCB SA
|
560,303
|
|
|
|
|
21,339,432
|
|
|
|
Brazil — 1.0%
|
|
|
1,219,100
|
|
Petroleo Brasileiro SA
|
6,474,466
|
|
242,278
|
|
Petroleo Brasileiro SA, ADR
|
2,580,261
|
|
292,819
|
|
Petroleo Brasileiro SA, Preferred ADR
|
2,720,289
|
|
352,400
|
|
Vale SA
|
5,932,348
|
|
140,403
|
|
Wheaton Precious Metals Corp.(a)
|
5,481,618
|
|
217,206
|
|
Yara International ASA
|
9,494,356
|
|
|
|
|
32,683,338
|
|
|
|
Canada — 2.0%
|
|
|
130,094
|
|
Agnico Eagle Mines, Ltd.
|
6,755,536
|
|
255,230
|
|
Canadian Pacific Railway, Ltd.(a)
|
19,015,808
|
|
20,100
|
|
Canadian Tire Corp., Ltd. Class A
|
2,099,081
|
|
177,660
|
|
Franco-Nevada Corp.
|
24,200,676
|
|
300,608
|
|
GFL Environmental, Inc.
|
8,786,772
|
|
30,500
|
|
Loblaw Cos., Ltd.
|
2,694,904
|
|
103,100
|
|
Suncor Energy, Inc.
|
3,268,124
|
|
|
|
|
66,820,901
|
|
|
|
China — 1.3%
|
|
|
1,919,500
|
|
3SBio, Inc.
|
2,041,249
|
|
1,310,000
|
|
Bank of China, Ltd. Class H
|
476,672
|
|
12,534,000
|
|
China Construction Bank Corp. Class H
|
7,852,870
|
|
1,310,000
|
|
China Medical System Holdings, Ltd.
|
2,061,102
|
|
47,500
|
|
China Merchants Bank Co., Ltd. Class H
|
265,649
|
|
3,542,000
|
|
China Resources Cement Holdings, Ltd.
|
1,878,792
|
|
50,500
|
|
CITIC Securities Co., Ltd. Class H
|
102,101
|
|
706,000
|
|
Hengan International Group Co., Ltd.
|
3,749,377
|
|
4,087,000
|
|
Industrial & Commercial Bank of China, Ltd. Class H
|
2,105,041
|
|
3,714,000
|
|
Jiangnan Group, Ltd.*
|
94,695
|
|
370,500
|
|
Kingboard Holdings, Ltd.
|
1,179,626
|
|
1,940,000
|
|
Lee & Man Paper Manufacturing, Ltd.
|
855,047
|
|
1,247,000
|
|
Li Ning Co., Ltd.
|
10,824,445
|
|
126,500
|
|
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H
|
405,192
|
|
628,600
|
|
Shanghai Pharmaceuticals Holding Co., Ltd. Class H
|
1,045,391
|
|
949,000
|
|
Shenzhen International Holdings, Ltd.
|
931,376
|
|
1,915,000
|
|
Xinyi Glass Holdings, Ltd.
|
3,567,492
|
|
2,782,600
|
|
Yangzijiang Shipbuilding Holdings, Ltd.
|
2,821,605
|
|
|
|
|
42,257,722
|
|
|
|
Denmark — 2.3%
|
|
|
387
|
|
AP Moller - Maersk AS Class A
|
853,662
|
|
3,165
|
|
AP Moller - Maersk AS Class B
|
7,095,058
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Denmark — continued
|
|
|
181,400
|
|
Danske Bank AS
|
3,574,448
|
|
71,900
|
|
DFDS AS
|
2,645,746
|
|
50,555
|
|
Jyske Bank AS*
|
3,274,392
|
|
297,914
|
|
Novo Nordisk AS Class B
|
40,104,671
|
|
248,756
|
|
Novozymes AS Class B
|
12,563,020
|
|
47,900
|
|
Pandora AS
|
3,355,409
|
|
67,035
|
|
Sydbank AS
|
2,814,992
|
|
|
|
|
76,281,398
|
|
|
|
Finland — 0.8%
|
|
|
12,946
|
|
Kone OYJ Class B
|
667,342
|
|
1,658,619
|
|
Nokia OYJ
|
7,659,484
|
|
232,117
|
|
Nordea Bank Abp
|
2,484,699
|
|
796,647
|
|
Nordea Bank Abp (Stockholm Exchange)
|
8,538,753
|
|
97,800
|
|
TietoEVRY OYJ
|
2,768,078
|
|
108,800
|
|
Valmet OYJ
|
2,921,498
|
|
|
|
|
25,039,854
|
|
|
|
France — 11.7%
|
|
|
85,883
|
|
Air Liquide SA
|
12,135,597
|
|
32,000
|
|
Arkema SA
|
2,864,668
|
|
146,709
|
|
AXA SA
|
4,079,565
|
|
521,041
|
|
BNP Paribas SA
|
29,611,301
|
|
158,600
|
|
Bouygues SA(a)
|
4,746,212
|
|
570,810
|
|
Bureau Veritas SA
|
14,992,331
|
|
132,754
|
|
Capgemini SE
|
22,095,252
|
|
475,873
|
|
Carrefour SA
|
7,943,169
|
|
98,400
|
|
Cie de Saint-Gobain
|
4,794,042
|
|
270,602
|
|
Cie Generale des Etablissements Michelin SCA
|
7,504,464
|
|
361,100
|
|
Credit Agricole SA
|
3,788,708
|
|
484,202
|
|
Dassault Systemes SE
|
17,309,022
|
|
506,456
|
|
Engie SA
|
7,236,414
|
|
126,888
|
|
EssilorLuxottica SA
|
22,913,260
|
|
52,300
|
|
Ipsen SA
|
5,609,624
|
|
56,600
|
|
IPSOS
|
3,533,770
|
|
5,190
|
|
Kering SA
|
2,633,806
|
|
242,399
|
|
Legrand SA
|
19,355,950
|
|
32,081
|
|
L'Oreal SA
|
11,421,941
|
|
30,689
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
22,268,643
|
|
125,400
|
|
Metropole Television SA(a)
|
2,054,338
|
|
36,500
|
|
Nexity SA(a)
|
1,015,157
|
|
1,822,824
|
|
Orange SA
|
18,055,332
|
|
126,217
|
|
Pernod Ricard SA
|
24,752,050
|
|
35,500
|
|
Quadient SA
|
521,709
|
|
180,000
|
|
Rexel SA*
|
3,542,415
|
|
179,896
|
|
Sanofi
|
17,248,734
|
|
78,979
|
|
Sanofi, ADR
|
3,824,953
|
|
44,300
|
|
Societe BIC SA
|
3,023,502
|
|
309,094
|
|
Societe Generale SA
|
7,745,592
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
France — continued
|
|
|
18,000
|
|
Sopra Steria Group SACA
|
2,712,521
|
|
8,630
|
|
Technip Energies NV
|
135,116
|
|
219,200
|
|
Television Francaise 1(a)
|
1,673,849
|
|
80,900
|
|
Thales SA
|
10,300,420
|
|
886,358
|
|
TotalEnergies SE(a)
|
55,480,856
|
|
101,207
|
|
TotalEnergies SE, ADR
|
6,282,931
|
|
|
|
|
385,207,214
|
|
|
|
Georgia — 0.0%
|
|
|
45,361
|
|
Bank of Georgia Group Plc
|
1,421,412
|
|
|
|
Germany — 8.4%
|
|
|
35,719
|
|
adidas AG
|
4,858,914
|
|
82,588
|
|
Allianz SE
|
17,707,728
|
|
41,700
|
|
Aurubis AG
|
3,398,349
|
|
433,044
|
|
Bayer AG
|
22,334,172
|
|
73,999
|
|
Beiersdorf AG
|
8,466,163
|
|
263,310
|
|
BMW AG
|
23,431,237
|
|
6,807
|
|
Continental AG
|
406,682
|
|
82,700
|
|
Covestro AG
|
3,225,959
|
|
84,800
|
|
Daimler Truck Holding AG*
|
2,619,602
|
|
85,592
|
|
Deutsche Boerse AG
|
14,743,571
|
|
355,244
|
|
Deutsche Lufthansa AG*
|
2,943,975
|
|
171,100
|
|
Deutsche Pfandbriefbank AG
|
1,327,548
|
|
328,206
|
|
Deutsche Post AG
|
12,322,769
|
|
857,862
|
|
Deutsche Telekom AG*
|
17,064,073
|
|
134,914
|
|
E.ON SE
|
1,343,974
|
|
247,500
|
|
Evonik Industries AG
|
4,737,427
|
|
23,299
|
|
Fresenius Medical Care AG & Co. KGaA
|
760,149
|
|
349,710
|
|
Fresenius SE & Co. KGaA
|
9,797,231
|
|
180,991
|
|
GEA Group AG
|
7,378,810
|
|
29,462
|
|
Henkel AG & Co. KGaA
|
1,894,459
|
|
332,880
|
|
Infineon Technologies AG*
|
10,100,213
|
|
72,715
|
|
Knorr-Bremse AG
|
3,960,962
|
|
46,031
|
|
LEG Immobilien SE
|
2,989,843
|
|
417,849
|
|
Mercedes-Benz Group AG
|
27,381,278
|
|
15,346
|
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
|
4,978,915
|
|
173,295
|
|
Puma SE
|
10,486,609
|
|
16,390
|
|
Rheinmetall AG
|
3,254,427
|
|
103,209
|
|
RWE AG
|
4,581,128
|
|
99,065
|
|
SAP SE
|
10,191,033
|
|
3,075
|
|
Siemens AG*
|
425,451
|
|
27,377
|
|
Siltronic AG
|
1,991,213
|
|
202,622
|
|
Symrise AG Class A
|
21,981,633
|
|
192,768
|
|
TAG Immobilien AG
|
1,243,647
|
|
42,000
|
|
Talanx AG*
|
1,986,621
|
|
106,800
|
|
United Internet AG
|
2,153,125
|
|
199,155
|
|
Vonovia SE
|
4,680,309
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Germany — continued
|
|
|
58,776
|
|
Zalando SE*
|
2,076,946
|
|
|
|
|
275,226,145
|
|
|
|
Hong Kong — 0.7%
|
|
|
1,472,600
|
|
AIA Group, Ltd.
|
16,377,002
|
|
213,000
|
|
Pacific Basin Shipping, Ltd.
|
72,047
|
|
9,510,000
|
|
Tongda Group Holdings, Ltd.*
|
157,181
|
|
1,834,000
|
|
United Laboratories International Holdings, Ltd. (The)
|
1,151,397
|
|
8,982,000
|
|
WH Group, Ltd. 144A
|
5,224,669
|
|
|
|
|
22,982,296
|
|
|
|
Hungary — 0.1%
|
|
|
384,700
|
|
MOL Hungarian Oil & Gas Plc
|
2,667,763
|
|
95,800
|
|
Richter Gedeon Nyrt
|
2,119,149
|
|
|
|
|
4,786,912
|
|
|
|
India — 0.5%
|
|
|
646,460
|
|
HDFC Bank, Ltd.
|
12,736,973
|
|
1,172,100
|
|
Redington, Ltd.
|
2,557,284
|
|
|
|
|
15,294,257
|
|
|
|
Indonesia — 0.1%
|
|
|
1,687,400
|
|
Bank Negara Indonesia Persero Tbk PT
|
999,921
|
|
7,888,300
|
|
Golden Agri-Resources, Ltd.
|
1,470,381
|
|
|
|
|
2,470,302
|
|
|
|
Ireland — 0.6%
|
|
|
687,863
|
|
Bank of Ireland Group Plc
|
6,533,681
|
|
166,702
|
|
CRH Plc
|
6,584,546
|
|
79,729
|
|
Ryanair Holdings Plc, ADR*
|
5,960,540
|
|
|
|
|
19,078,767
|
|
|
|
Israel — 0.4%
|
|
|
209,233
|
|
Bank Hapoalim BM
|
1,880,933
|
|
316,972
|
|
Bank Leumi Le-Israel BM
|
2,632,974
|
|
585
|
|
Delek Group, Ltd.*
|
64,162
|
|
42,386
|
|
ICL Group, Ltd.
|
305,717
|
|
233
|
|
Israel Corp., Ltd. (The)
|
81,882
|
|
249,942
|
|
Israel Discount Bank, Ltd. Class A
|
1,309,035
|
|
47,772
|
|
Mizrahi Tefahot Bank, Ltd.
|
1,542,080
|
|
12,764
|
|
Nice, Ltd., ADR*
|
2,454,517
|
|
210,300
|
|
Teva Pharmaceutical Industries, Ltd.*
|
1,966,217
|
|
4,594
|
|
ZIM Integrated Shipping Services, Ltd.
|
78,971
|
|
|
|
|
12,316,488
|
|
|
|
Italy — 2.2%
|
|
|
3,024,100
|
|
A2A SpA
|
4,018,199
|
|
88,540
|
|
Assicurazioni Generali SpA
|
1,570,022
|
|
68,743
|
|
BPER Banca
|
140,753
|
|
94,000
|
|
Coca-Cola HBC AG*
|
2,230,923
|
|
717,504
|
|
Enel SpA
|
3,851,752
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Italy — continued
|
|
|
1,575,973
|
|
Eni SpA
|
22,346,473
|
|
7,282
|
|
Eni SpA, ADR
|
208,702
|
|
55,810
|
|
Ferrari NV
|
11,924,552
|
|
989,706
|
|
Leonardo SpA
|
8,513,482
|
|
340,700
|
|
Mediobanca Banca di Credito Finanziario SpA
|
3,266,689
|
|
574,748
|
|
UniCredit SpA
|
8,141,039
|
|
704,000
|
|
Unipol Gruppo SpA
|
3,424,625
|
|
1,274,300
|
|
UnipolSai Assicurazioni SpA(a)
|
3,130,711
|
|
|
|
|
72,767,922
|
|
|
|
Japan — 20.2%
|
|
|
144,900
|
|
ADEKA Corp.
|
2,376,472
|
|
2,500
|
|
AEON REIT Investment Corp. REIT
|
2,927,356
|
|
247,000
|
|
AGC, Inc.(a)
|
8,227,405
|
|
10,500
|
|
Air Water, Inc.
|
122,153
|
|
4,900
|
|
Aisin Corp.
|
131,093
|
|
119,300
|
|
Alfresa Holdings Corp.
|
1,515,380
|
|
95,700
|
|
Alpen Co., Ltd.(a)
|
1,416,515
|
|
12,900
|
|
Alps Alpine Co., Ltd.
|
117,028
|
|
53,400
|
|
Amada Co., Ltd.
|
418,474
|
|
107,400
|
|
Amano Corp.
|
1,980,402
|
|
106,600
|
|
Asahi Group Holdings, Ltd.(a)
|
3,327,791
|
|
85,400
|
|
ASKA Pharmaceutical Holdings Co., Ltd.
|
839,469
|
|
343,400
|
|
Astellas Pharma, Inc.
|
5,222,116
|
|
187,600
|
|
BayCurrent Consulting, Inc.
|
5,850,726
|
|
184,900
|
|
Brother Industries, Ltd.
|
2,812,492
|
|
272,200
|
|
Canon, Inc.(a)
|
5,890,842
|
|
13,500
|
|
Canon, Inc., ADR
|
292,680
|
|
686,994
|
|
Chiba Bank, Ltd. (The)
|
5,008,816
|
|
397,100
|
|
Chubu Electric Power Co., Inc.
|
4,099,058
|
|
5,700
|
|
Chudenko Corp.
|
90,201
|
|
82,900
|
|
Chugai Pharmaceutical Co., Ltd.(a)
|
2,116,088
|
|
4,700
|
|
Cosmo Energy Holdings Co., Ltd.
|
124,317
|
|
261,600
|
|
Credit Saison Co., Ltd.
|
3,372,478
|
|
615,900
|
|
Daicel Corp.
|
4,457,801
|
|
354,500
|
|
Dai-ichi Life Holdings, Inc.
|
8,044,056
|
|
118,900
|
|
Daiwa House Industry Co., Ltd.
|
2,738,543
|
|
60,000
|
|
Denka Co., Ltd.
|
1,375,573
|
|
65,600
|
|
DIC Corp.(a)
|
1,156,433
|
|
20,400
|
|
Disco Corp.
|
5,836,523
|
|
52,800
|
|
Eagle Industry Co., Ltd.
|
428,979
|
|
275,800
|
|
EDION Corp.(a)
|
2,688,081
|
|
99,200
|
|
Electric Power Development Co., Ltd.
|
1,575,832
|
|
1,251,100
|
|
ENEOS Holdings, Inc.
|
4,247,928
|
|
16,200
|
|
Enplas Corp.
|
473,925
|
|
118,300
|
|
Ezaki Glico Co., Ltd.(a)
|
3,245,640
|
|
98,300
|
|
FUJIFILM Holdings Corp.
|
4,935,674
|
|
48,700
|
|
Fujikura, Ltd.
|
370,570
|
|
20,200
|
|
Fujitsu, Ltd.
|
2,696,752
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Japan — continued
|
|
|
195,000
|
|
Fukuoka Financial Group, Inc.
|
4,441,055
|
|
87,100
|
|
Furukawa Co., Ltd.
|
835,056
|
|
28,700
|
|
Futaba Industrial Co., Ltd.
|
77,435
|
|
398,194
|
|
Hachijuni Bank, Ltd. (The)
|
1,656,815
|
|
166,500
|
|
Haseko Corp.
|
1,858,763
|
|
326,100
|
|
Hazama Ando Corp.(a)
|
2,078,518
|
|
17,200
|
|
Hino Motors, Ltd.*
|
65,570
|
|
98,800
|
|
Hirose Electric Co., Ltd.
|
12,430,028
|
|
132,800
|
|
Hokkaido Electric Power Co., Inc.
|
469,020
|
|
1,171,400
|
|
Honda Motor Co., Ltd.
|
26,917,919
|
|
26,620
|
|
Honda Motor Co., Ltd., ADR
|
608,533
|
|
20,100
|
|
Horiba, Ltd.(a)
|
872,886
|
|
41,200
|
|
Hoya Corp.
|
3,967,153
|
|
69,900
|
|
Ichinen Holdings Co., Ltd.
|
659,559
|
|
12,800
|
|
Idemitsu Kosan Co., Ltd.
|
297,821
|
|
477,000
|
|
Inpex Corp.
|
5,046,739
|
|
256,000
|
|
Isuzu Motors, Ltd.
|
3,001,493
|
|
100,600
|
|
Ito En, Ltd.
|
3,652,082
|
|
278,600
|
|
ITOCHU Corp.
|
8,754,220
|
|
62,400
|
|
Jaccs Co., Ltd.
|
1,950,813
|
|
90,800
|
|
Japan Airlines Co., Ltd.*
|
1,854,606
|
|
153,300
|
|
Japan Aviation Electronics Industry, Ltd.
|
2,450,337
|
|
108,700
|
|
Japan Petroleum Exploration Co., Ltd.
|
3,167,619
|
|
739,300
|
|
Japan Post Holdings Co., Ltd.
|
6,216,631
|
|
271,300
|
|
Japan Post Insurance Co., Ltd.
|
4,772,347
|
|
42,700
|
|
Japan Tobacco, Inc.(a)
|
861,152
|
|
3,100
|
|
JTEKT Corp.
|
21,827
|
|
12,500
|
|
Kaken Pharmaceutical Co., Ltd.
|
368,525
|
|
106,500
|
|
Kamigumi Co., Ltd.
|
2,168,824
|
|
278,400
|
|
Kandenko Co., Ltd.
|
1,816,684
|
|
70,000
|
|
Kaneka Corp.
|
1,745,424
|
|
282,500
|
|
Kanematsu Corp.
|
3,211,565
|
|
46,200
|
|
Kansai Electric Power Co., Inc. (The)
|
447,837
|
|
190,900
|
|
Kansai Paint Co., Ltd.
|
2,342,393
|
|
126,300
|
|
Kao Corp.(a)
|
5,030,175
|
|
16,200
|
|
Kato Sangyo Co., Ltd.
|
430,952
|
|
411,300
|
|
Kawasaki Heavy Industries, Ltd.
|
9,632,173
|
|
272,500
|
|
Kawasaki Kisen Kaisha, Ltd.(a)
|
5,755,864
|
|
142,200
|
|
KDDI Corp.
|
4,291,488
|
|
33,300
|
|
Keyence Corp.
|
12,977,271
|
|
294,600
|
|
Kirin Holdings Co., Ltd.(a)
|
4,490,057
|
|
15,500
|
|
Kissei Pharmaceutical Co., Ltd.
|
303,081
|
|
69,000
|
|
Kobayashi Pharmaceutical Co., Ltd.
|
4,722,195
|
|
267,600
|
|
Kobe Steel, Ltd.
|
1,302,052
|
|
76,200
|
|
Kohnan Shoji Co., Ltd.
|
1,975,096
|
|
31,200
|
|
Konica Minolta, Inc.
|
124,616
|
|
91,886
|
|
Kose Corp.(a)
|
10,042,034
|
|
343,600
|
|
K's Holdings Corp.
|
2,937,442
|
|
147,700
|
|
Kuraray Co., Ltd.(a)
|
1,184,331
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Japan — continued
|
|
|
35,700
|
|
KYB Corp.
|
921,282
|
|
86,400
|
|
Kyocera Corp.
|
4,290,369
|
|
270,300
|
|
Lion Corp.(a)
|
3,101,551
|
|
513,700
|
|
Marubeni Corp.
|
5,898,333
|
|
63,400
|
|
Maxell, Ltd.
|
653,004
|
|
918,100
|
|
Mebuki Financial Group, Inc.
|
2,324,040
|
|
11,500
|
|
MEIJI Holdings Co., Ltd.
|
587,442
|
|
513,900
|
|
Mitsubishi Chemical Group Corp.
|
2,666,773
|
|
34,300
|
|
Mitsubishi Corp.
|
1,113,395
|
|
190,500
|
|
Mitsubishi Electric Corp.
|
1,896,410
|
|
196,500
|
|
Mitsubishi Gas Chemical Co., Inc.
|
2,714,915
|
|
682,200
|
|
Mitsubishi HC Capital, Inc.
|
3,355,548
|
|
253,200
|
|
Mitsubishi Heavy Industries, Ltd.
|
10,043,949
|
|
53,000
|
|
Mitsubishi Materials Corp.
|
837,106
|
|
38,500
|
|
Mitsubishi Motors Corp.*
|
148,812
|
|
1,183,300
|
|
Mitsubishi UFJ Financial Group, Inc.
|
7,972,668
|
|
257,300
|
|
Mitsui & Co., Ltd.
|
7,513,562
|
|
67,400
|
|
Mitsui Chemicals, Inc.
|
1,519,686
|
|
505,500
|
|
Mitsui OSK Lines, Ltd.(a)
|
12,604,456
|
|
613,900
|
|
Mizuho Financial Group, Inc.
|
8,635,404
|
|
91,200
|
|
Mizuho Leasing Co., Ltd.
|
2,305,142
|
|
32,800
|
|
Mochida Pharmaceutical Co., Ltd.
|
865,088
|
|
577,500
|
|
MonotaRO Co., Ltd.
|
8,127,762
|
|
131,000
|
|
MS&AD Insurance Group Holdings, Inc.
|
4,193,747
|
|
16,100
|
|
Nachi-Fujikoshi Corp.
|
439,274
|
|
5,800
|
|
Nagase & Co., Ltd.
|
88,003
|
|
24,400
|
|
NEC Corp.
|
857,130
|
|
22,200
|
|
NGK Insulators, Ltd.
|
282,327
|
|
11,800
|
|
NHK Spring Co., Ltd.
|
75,659
|
|
265,900
|
|
Nintendo Co., Ltd.
|
11,148,272
|
|
3,800
|
|
Nippon Electric Glass Co., Ltd.(a)
|
67,507
|
|
12,400
|
|
NIPPON EXPRESS HOLDINGS, Inc.(a)
|
708,598
|
|
49,200
|
|
Nippon Gas Co., Ltd.
|
776,342
|
|
30,300
|
|
Nippon Sanso Holdings Corp.
|
439,992
|
|
126,900
|
|
Nippon Soda Co., Ltd.
|
4,154,822
|
|
324,100
|
|
Nippon Steel Corp.
|
5,629,900
|
|
347,400
|
|
Nippon Telegraph & Telephone Corp.
|
9,905,027
|
|
216,900
|
|
Nippon Yusen KK(a)
|
5,112,426
|
|
134,500
|
|
Nishio Rent All Co., Ltd.
|
3,175,319
|
|
4,800
|
|
Nissin Foods Holdings Co., Ltd.
|
379,067
|
|
29,300
|
|
Nitto Denko Corp.
|
1,698,776
|
|
1,934,900
|
|
Nomura Holdings, Inc.
|
7,165,047
|
|
287,700
|
|
Nomura Research Institute, Ltd.
|
6,792,114
|
|
596,941
|
|
North Pacific Bank, Ltd.
|
1,153,662
|
|
4,600
|
|
NS Solutions Corp.
|
111,562
|
|
389,700
|
|
Obayashi Corp.
|
2,947,596
|
|
18,400
|
|
Obic Co., Ltd.
|
2,706,764
|
|
30,500
|
|
Omron Corp.
|
1,480,560
|
|
221,900
|
|
Ono Pharmaceutical Co., Ltd.
|
5,184,870
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Japan — continued
|
|
|
594,400
|
|
ORIX Corp.
|
9,543,646
|
|
169,800
|
|
Osaka Gas Co., Ltd.
|
2,741,097
|
|
72,000
|
|
Otsuka Holdings Co., Ltd.
|
2,349,161
|
|
30,200
|
|
Prima Meat Packers, Ltd.
|
503,314
|
|
209,500
|
|
Rengo Co., Ltd.
|
1,441,707
|
|
1,766,300
|
|
Resona Holdings, Inc.
|
9,681,217
|
|
160,500
|
|
Ricoh Co., Ltd.
|
1,224,931
|
|
4,400
|
|
Rohm Co., Ltd.
|
317,799
|
|
696,000
|
|
Rohto Pharmaceutical Co., Ltd.
|
12,237,826
|
|
149,600
|
|
Sanki Engineering Co., Ltd.
|
1,756,265
|
|
53,700
|
|
Sankyu, Inc.
|
1,965,751
|
|
525,300
|
|
Santen Pharmaceutical Co., Ltd.
|
4,275,813
|
|
3,500
|
|
Sanyo Chemical Industries, Ltd.
|
107,299
|
|
40,100
|
|
Sawai Group Holdings Co., Ltd.
|
1,253,647
|
|
2,500
|
|
SCREEN Holdings Co., Ltd.
|
160,294
|
|
100,200
|
|
Secom Co., Ltd.
|
5,728,209
|
|
165,600
|
|
Seiko Epson Corp.
|
2,417,262
|
|
145,900
|
|
Seino Holdings Co., Ltd.
|
1,295,955
|
|
43,500
|
|
Seven & i Holdings Co., Ltd.
|
1,866,005
|
|
26,300
|
|
SG Holdings Co., Ltd.
|
364,766
|
|
397,900
|
|
Shimadzu Corp.
|
11,293,611
|
|
64,800
|
|
Shin-Etsu Chemical Co., Ltd.
|
7,968,320
|
|
20,900
|
|
Shizuoka Financial Group, Inc.
|
167,111
|
|
378,600
|
|
SKY Perfect JSAT Holdings, Inc.
|
1,391,648
|
|
21,400
|
|
SMC Corp.
|
9,014,453
|
|
28,600
|
|
Sohgo Security Services Co., Ltd.
|
779,241
|
|
345,840
|
|
Sojitz Corp.
|
6,586,805
|
|
173,900
|
|
Sompo Holdings, Inc.
|
7,723,324
|
|
145,000
|
|
Subaru Corp.
|
2,228,106
|
|
1,016,300
|
|
SUMCO Corp.(a)
|
13,533,208
|
|
19,600
|
|
Sumitomo Bakelite Co., Ltd.
|
581,561
|
|
93,000
|
|
Sumitomo Chemical Co., Ltd.
|
334,094
|
|
137,200
|
|
Sumitomo Corp.
|
2,283,461
|
|
134,400
|
|
Sumitomo Heavy Industries, Ltd.
|
2,693,195
|
|
182,300
|
|
Sumitomo Mitsui Financial Group, Inc.
|
7,317,146
|
|
158,100
|
|
Sumitomo Mitsui Trust Holdings, Inc.
|
5,497,463
|
|
10,100
|
|
Sumitomo Pharma Co., Ltd.
|
76,471
|
|
330,400
|
|
Sumitomo Rubber Industries, Ltd.(a)
|
2,884,693
|
|
11,700
|
|
Sumitomo Seika Chemicals Co., Ltd.
|
361,344
|
|
89,300
|
|
Taiheiyo Cement Corp.
|
1,392,172
|
|
14,000
|
|
Takara Standard Co., Ltd.
|
146,743
|
|
211,500
|
|
Takeda Pharmaceutical Co., Ltd.
|
6,589,689
|
|
190,638
|
|
Takeda Pharmaceutical Co., Ltd., ADR
|
2,973,953
|
|
440,100
|
|
Teijin, Ltd.
|
4,296,099
|
|
31,000
|
|
Terumo Corp.
|
880,109
|
|
8,600
|
|
Toagosei Co., Ltd.(a)
|
72,479
|
|
285,200
|
|
Tokio Marine Holdings, Inc.
|
6,111,660
|
|
195,800
|
|
Tokuyama Corp.
|
2,665,177
|
|
425,400
|
|
Tokyo Electric Power Co. Holdings, Inc.*
|
1,534,658
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Japan — continued
|
|
|
17,900
|
|
Tokyo Electron, Ltd.
|
5,274,561
|
|
308,400
|
|
Tokyo Gas Co., Ltd.
|
6,042,018
|
|
85,000
|
|
Tokyo Seimitsu Co., Ltd.
|
2,750,767
|
|
6,100
|
|
Topcon Corp.
|
70,780
|
|
34,300
|
|
TOPPAN, Inc.
|
507,956
|
|
113,400
|
|
Toray Industries, Inc.
|
633,070
|
|
16,900
|
|
Tosoh Corp.
|
201,091
|
|
72,800
|
|
Towa Pharmaceutical Co., Ltd.
|
1,175,769
|
|
54,200
|
|
Toyo Ink SC Holdings Co., Ltd.(a)
|
739,399
|
|
8,100
|
|
Toyo Seikan Group Holdings, Ltd.
|
99,573
|
|
213,300
|
|
Toyo Suisan Kaisha, Ltd.
|
8,244,572
|
|
11,600
|
|
Toyo Tanso Co., Ltd.(a)
|
330,562
|
|
13,000
|
|
Toyota Tsusho Corp.
|
481,299
|
|
40,400
|
|
Trend Micro, Inc.(a)
|
1,879,995
|
|
251,500
|
|
TS Tech Co., Ltd.
|
2,887,737
|
|
16,600
|
|
Tsubakimoto Chain Co.
|
375,165
|
|
15,500
|
|
UACJ Corp.
|
260,556
|
|
152,200
|
|
UBE Corp.
|
2,235,504
|
|
35,100
|
|
Unicharm Corp.
|
1,348,189
|
|
123,700
|
|
Ushio, Inc.
|
1,525,332
|
|
25,700
|
|
Valor Holdings Co., Ltd.
|
354,886
|
|
26,900
|
|
Warabeya Nichiyo Holdings Co., Ltd.
|
375,942
|
|
4,200
|
|
Yakult Honsha Co., Ltd.
|
272,477
|
|
145,000
|
|
Yamaha Motor Co., Ltd.(a)
|
3,307,818
|
|
36,200
|
|
Yamaichi Electronics Co., Ltd.
|
468,053
|
|
241,500
|
|
Yokogawa Electric Corp.
|
3,852,799
|
|
199,400
|
|
Yokohama Rubber Co., Ltd. (The)(a)
|
3,110,123
|
|
|
|
|
665,024,749
|
|
|
|
Luxembourg — 0.3%
|
|
|
88,596
|
|
ArcelorMittal SA, ADR NYRS
|
2,322,987
|
|
257,068
|
|
ArcelorMittal SA
|
6,742,291
|
|
|
|
|
9,065,278
|
|
|
|
Malaysia — 0.1%
|
|
|
1,152,700
|
|
Tenaga Nasional Bhd
|
2,519,978
|
|
|
|
Netherlands — 5.3%
|
|
|
249,996
|
|
ABN AMRO Bank NV CVA, GDR 144A
|
3,448,495
|
|
7,779
|
|
Adyen NV*
|
10,696,469
|
|
666,700
|
|
Aegon NV
|
3,371,254
|
|
52,134
|
|
ASML Holding NV
|
28,031,425
|
|
10,298
|
|
ASML Holding NV, ADR NYRS
|
5,626,827
|
|
76,928
|
|
ASR Nederland NV
|
3,641,196
|
|
92,567
|
|
Euronext NV
|
6,832,461
|
|
7,467
|
|
Heineken Holding NV
|
574,177
|
|
338,300
|
|
ING Groep NV*
|
4,111,643
|
|
318,100
|
|
Koninklijke Ahold Delhaize NV
|
9,111,967
|
|
93,068
|
|
Koninklijke DSM NV
|
11,353,051
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Netherlands — continued
|
|
|
116,900
|
|
Koninklijke Philips NV
|
1,747,160
|
|
29,743
|
|
Koninklijke Philips NV, ADR NYRS
|
445,848
|
|
318,729
|
|
NN Group NV
|
12,980,634
|
|
39,200
|
|
Randstad NV(a)
|
2,382,989
|
|
1,118,642
|
|
Shell Plc
|
31,299,004
|
|
433,634
|
|
Shell Plc (Amsterdam Exchange)
|
12,254,830
|
|
645,190
|
|
Universal Music Group NV(a)
|
15,499,907
|
|
93,121
|
|
Wolters Kluwer NV
|
9,715,716
|
|
|
|
|
173,125,053
|
|
|
|
Norway — 0.5%
|
|
|
89,196
|
|
Aker BP ASA
|
2,753,477
|
|
100,400
|
|
Austevoll Seafood ASA
|
901,470
|
|
172,500
|
|
DNB Bank ASA
|
3,404,997
|
|
113,576
|
|
Equinor ASA
|
4,056,039
|
|
29,191
|
|
Equinor ASA, ADR
|
1,045,330
|
|
377,400
|
|
Orkla ASA
|
2,717,770
|
|
|
|
|
14,879,083
|
|
|
|
Philippines — 0.0%
|
|
|
3,939,800
|
|
Vista Land & Lifescapes, Inc.
|
116,651
|
|
|
|
Portugal — 0.2%
|
|
|
773,869
|
|
EDP - Energias de Portugal SA
|
3,845,443
|
|
244,499
|
|
Galp Energia SGPS SA
|
3,290,471
|
|
16,514
|
|
Jeronimo Martins SGPS SA
|
355,664
|
|
|
|
|
7,491,578
|
|
|
|
Russia — 0.0%
|
|
|
3,792,080
|
|
Gazprom PJSC(b)(c)(d)
|
120,515
|
|
113,778
|
|
LUKOIL PJSC(b)(c)(d)
|
77,618
|
|
8,430
|
|
MMC Norilsk Nickel PJSC(b)(c)(d)
|
23,096
|
|
18,119
|
|
Novatek PJSC(b)(c)(d)
|
3,053
|
|
169,349
|
|
Rosneft Oil Co. PJSC(b)(c)(d)
|
6,960
|
|
1,092,670
|
|
Sberbank of Russia PJSC*(b)(c)(d)
|
19,458
|
|
296,674
|
|
Tatneft PJSC(b)(c)(d)
|
14,956
|
|
|
|
|
265,656
|
|
|
|
Singapore — 0.2%
|
|
|
954,000
|
|
IGG, Inc.*
|
354,467
|
|
259,300
|
|
United Overseas Bank, Ltd.
|
5,935,364
|
|
112,800
|
|
Venture Corp., Ltd.
|
1,434,811
|
|
|
|
|
7,724,642
|
|
|
|
South Africa — 0.6%
|
|
|
17,400
|
|
Anglo American Platinum, Ltd.
|
1,457,121
|
|
469,307
|
|
Anglo American Plc
|
18,271,000
|
|
1,003,000
|
|
Old Mutual, Ltd.(a)
|
614,113
|
|
|
|
|
20,342,234
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
South Korea — 1.3%
|
|
|
3,150
|
|
Doosan Bobcat, Inc.
|
86,192
|
|
17,839
|
|
Hanwha Aerospace Co., Ltd.*
|
1,038,316
|
|
65,212
|
|
Hyundai Doosan Infracore Co., Ltd.
|
412,571
|
|
1,496
|
|
Hyundai Mobis Co., Ltd.
|
237,207
|
|
17,844
|
|
Hyundai Motor Co.
|
2,130,838
|
|
143,403
|
|
Kia Corp.*
|
6,725,028
|
|
49,548
|
|
KT&G Corp.*
|
3,585,324
|
|
611,479
|
|
Samsung Electronics Co., Ltd.
|
26,741,628
|
|
53,489
|
|
SK Telecom Co., Ltd.
|
2,005,044
|
|
|
|
|
42,962,148
|
|
|
|
Spain — 2.1%
|
|
|
153,694
|
|
Amadeus IT Group SA*
|
7,963,649
|
|
384,863
|
|
Banco Bilbao Vizcaya Argentaria SA
|
2,314,137
|
|
48,347
|
|
Banco Bilbao Vizcaya Argentaria SA, ADR
|
290,565
|
|
2,390,079
|
|
Banco Santander SA
|
7,148,647
|
|
102,501
|
|
Banco Santander SA, ADR
|
302,378
|
|
409,353
|
|
CaixaBank SA
|
1,604,230
|
|
326,727
|
|
Cellnex Telecom SA
|
10,781,780
|
|
1,565,400
|
|
Iberdrola SA
|
18,260,449
|
|
20,191
|
|
Let's GOWEX SA*(b)(c)
|
—
|
|
1,599,120
|
|
Mapfre SA
|
3,089,055
|
|
481,400
|
|
Mediaset Espana Comunicacion SA*(a)
|
1,702,647
|
|
885,118
|
|
Repsol SA
|
14,027,930
|
|
599,123
|
|
Telefonica SA
|
2,164,416
|
|
|
|
|
69,649,883
|
|
|
|
Sweden — 2.2%
|
|
|
129,900
|
|
Boliden AB
|
4,877,717
|
|
542,089
|
|
Electrolux AB Class B (a)
|
7,324,276
|
|
356,144
|
|
Epiroc AB Class A
|
6,489,173
|
|
285,144
|
|
Essity AB Class B
|
7,479,232
|
|
395,573
|
|
H & M Hennes & Mauritz AB Class B (a)
|
4,261,156
|
|
812,354
|
|
Hexagon AB Class B
|
8,498,161
|
|
178,400
|
|
Husqvarna AB Class B
|
1,251,942
|
|
11,549
|
|
Investor AB Class B
|
209,000
|
|
490,442
|
|
Securitas AB Class B (a)
|
4,093,175
|
|
370,500
|
|
SKF AB Class B
|
5,659,108
|
|
156,290
|
|
SSAB AB Class A
|
854,086
|
|
136,597
|
|
SSAB AB Class B
|
710,548
|
|
298,578
|
|
Svenska Cellulosa AB SCA Class B
|
3,781,119
|
|
250,447
|
|
Swedbank AB Class A
|
4,261,649
|
|
2,081,586
|
|
Telia Co. AB(a)
|
5,326,079
|
|
390,400
|
|
Volvo AB Class B
|
7,062,008
|
|
|
|
|
72,138,429
|
|
|
|
Switzerland — 5.7%
|
|
|
76,200
|
|
Adecco Group AG
|
2,508,703
|
|
169,909
|
|
Alcon, Inc.
|
11,602,735
|
|
5,300
|
|
Bucher Industries AG
|
2,215,780
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Switzerland — continued
|
|
|
251
|
|
Chocoladefabriken Lindt & Spruengli AG
|
2,558,290
|
|
51,132
|
|
Cie Financiere Richemont SA Class A
|
6,626,380
|
|
358,000
|
|
Credit Suisse Group AG
|
1,069,511
|
|
12,195
|
|
Geberit AG
|
5,740,297
|
|
2,605
|
|
Givaudan SA
|
7,976,616
|
|
25,000
|
|
Helvetia Holding AG
|
2,912,884
|
|
170,047
|
|
Julius Baer Group, Ltd.
|
9,899,191
|
|
30,215
|
|
Lonza Group AG
|
14,797,251
|
|
593,253
|
|
Novartis AG
|
53,599,242
|
|
45,719
|
|
Schindler Holding AG
|
8,593,314
|
|
4,020
|
|
SGS SA
|
9,341,764
|
|
58,446
|
|
Sika AG
|
14,005,056
|
|
8,585
|
|
Swatch Group AG (The)
|
2,440,397
|
|
25,598
|
|
Swatch Group AG (The) (SIX Swiss Exchange)
|
1,329,148
|
|
9,646
|
|
Swiss Life Holding AG
|
4,971,047
|
|
1,270,494
|
|
UBS Group AG
|
23,626,080
|
|
|
|
|
185,813,686
|
|
|
|
Taiwan — 1.0%
|
|
|
1,758,000
|
|
ASE Technology Holding Co., Ltd.
|
5,370,864
|
|
1,513,000
|
|
Chipbond Technology Corp.
|
2,825,599
|
|
1,714,000
|
|
Compeq Manufacturing Co., Ltd.
|
2,481,593
|
|
1,210,650
|
|
Fubon Financial Holding Co., Ltd.
|
2,217,618
|
|
780,000
|
|
Hon Hai Precision Industry Co., Ltd.
|
2,535,244
|
|
95,000
|
|
MediaTek, Inc.
|
1,931,805
|
|
201,000
|
|
Novatek Microelectronics Corp.
|
2,063,266
|
|
160,395
|
|
Taiwan Semiconductor Manufacturing Co., Ltd., ADR
|
11,947,824
|
|
2,199,000
|
|
United Microelectronics Corp.*
|
2,911,919
|
|
|
|
|
34,285,732
|
|
|
|
Thailand — 0.0%
|
|
|
10,006,800
|
|
Quality Houses PCL Class F
|
664,520
|
|
|
|
Turkey — 0.4%
|
|
|
663,400
|
|
BIM Birlesik Magazalar AS
|
4,851,596
|
|
280,700
|
|
Coca-Cola Icecek AS
|
3,064,990
|
|
161,943
|
|
Haci Omer Sabanci Holding AS
|
389,989
|
|
564,485
|
|
Turk Hava Yollari AO*
|
4,248,828
|
|
588,361
|
|
Turkiye Garanti Bankasi AS
|
944,169
|
|
|
|
|
13,499,572
|
|
|
|
United Kingdom — 8.5%
|
|
|
397,907
|
|
3i Group Plc
|
6,420,989
|
|
180,900
|
|
Associated British Foods Plc
|
3,429,450
|
|
155,020
|
|
AstraZeneca Plc
|
20,918,611
|
|
504,900
|
|
Aviva Plc
|
2,689,321
|
|
485,400
|
|
BAE Systems Plc
|
4,998,080
|
|
482,200
|
|
Balfour Beatty Plc
|
1,958,210
|
|
4,950,607
|
|
Barclays Plc
|
9,440,004
|
|
288,541
|
|
Barclays Plc, ADR
|
2,250,620
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United Kingdom — continued
|
|
|
280,200
|
|
Barratt Developments Plc
|
1,337,425
|
|
54,979
|
|
Bellway Plc
|
1,261,511
|
|
1,124,647
|
|
BP Plc
|
6,424,629
|
|
630,841
|
|
BP Plc, ADR
|
22,035,276
|
|
235,600
|
|
British American Tobacco Plc
|
9,299,881
|
|
88,731
|
|
British American Tobacco Plc, ADR
|
3,547,465
|
|
1,821,700
|
|
BT Group Plc
|
2,455,378
|
|
2,196,700
|
|
Centrica Plc
|
2,550,456
|
|
614,500
|
|
CK Hutchison Holdings, Ltd.
|
3,688,598
|
|
262,400
|
|
CNH Industrial NV
|
4,190,893
|
|
518,680
|
|
Compass Group Plc
|
11,963,674
|
|
208,800
|
|
Crest Nicholson Holdings Plc
|
594,258
|
|
45,710
|
|
Croda International Plc
|
3,631,182
|
|
992,500
|
|
Currys Plc
|
639,919
|
|
368,962
|
|
Diageo Plc
|
16,199,596
|
|
1,216
|
|
Diageo Plc, ADR
|
216,679
|
|
455,973
|
|
Experian Plc
|
15,429,027
|
|
270,159
|
|
Hiscox, Ltd.
|
3,540,596
|
|
3,094,800
|
|
HSBC Holdings Plc
|
19,250,929
|
|
653,255
|
|
IMI Plc
|
10,121,113
|
|
229,500
|
|
Imperial Brands Plc
|
5,717,320
|
|
143,809
|
|
Intertek Group Plc
|
6,978,332
|
|
1,581,400
|
|
J Sainsbury Plc
|
4,141,235
|
|
1,756,600
|
|
Kingfisher Plc
|
4,988,828
|
|
7,342,700
|
|
Lloyds Banking Group Plc
|
4,010,855
|
|
515,100
|
|
Man Group Plc
|
1,324,115
|
|
1,180,848
|
|
Marks & Spencer Group Plc*
|
1,751,406
|
|
681,500
|
|
Mitchells & Butlers Plc*
|
1,131,292
|
|
938,321
|
|
NatWest Group Plc
|
2,993,330
|
|
123,169
|
|
Ocado Group Plc*
|
913,851
|
|
492,348
|
|
Paragon Banking Group Plc
|
3,337,304
|
|
424,064
|
|
QinetiQ Group Plc
|
1,821,081
|
|
181,531
|
|
Reckitt Benckiser Group Plc
|
12,564,648
|
|
332,100
|
|
Redrow Plc
|
1,812,855
|
|
192,666
|
|
RELX Plc
|
5,302,623
|
|
1,031,090
|
|
Segro Plc REIT
|
9,470,920
|
|
523,712
|
|
Smith & Nephew Plc
|
6,989,555
|
|
60,163
|
|
Smith & Nephew Plc, ADR
|
1,617,783
|
|
45,353
|
|
Spirax-Sarco Engineering Plc
|
5,791,029
|
|
1,350,500
|
|
Taylor Wimpey Plc
|
1,651,322
|
|
1,767,600
|
|
Tesco Plc
|
4,767,045
|
|
125,400
|
|
Vistry Group Plc(a)
|
943,528
|
|
|
|
|
280,504,027
|
|
|
|
United States — 8.0%
|
|
|
47,348
|
|
Agilent Technologies, Inc.
|
7,085,628
|
|
80,554
|
|
Analog Devices, Inc.
|
13,213,273
|
|
21,078
|
|
ANSYS, Inc.*
|
5,092,234
|
|
103,481
|
|
Bruker Corp.
|
7,072,926
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United States — continued
|
|
|
49,509
|
|
Cadence Design Systems, Inc.*
|
7,953,126
|
|
94,340
|
|
CSL, Ltd.
|
18,409,927
|
|
860,624
|
|
GSK Plc
|
14,882,682
|
|
441,614
|
|
GSK Plc, ADR
|
15,518,316
|
|
2,592,883
|
|
Haleon Plc*
|
10,209,981
|
|
92,600
|
|
Holcim AG*
|
4,792,140
|
|
63,270
|
|
ICON Plc, ADR*
|
12,290,197
|
|
81,612
|
|
Janus Henderson Group Plc
|
1,919,514
|
|
674,400
|
|
JBS SA
|
2,808,856
|
|
235,675
|
|
Nestle SA
|
27,291,634
|
|
158,292
|
|
Roche Holding AG
|
49,701,498
|
|
65,560
|
|
Roche Holding AG, ADR
|
2,566,674
|
|
323,100
|
|
Schneider Electric SE
|
45,075,958
|
|
155,300
|
|
Signify NV
|
5,201,042
|
|
177,711
|
|
Stellantis NV
|
2,515,677
|
|
255,527
|
|
Stellantis NV (EN Paris Exchange)(a)
|
3,618,876
|
|
39,890
|
|
Swiss Re AG
|
3,728,585
|
|
70,070
|
|
Tenaris SA
|
1,217,828
|
|
72,563
|
|
Tenaris SA, ADR
|
2,551,315
|
|
|
|
|
264,717,887
|
|
|
|
TOTAL COMMON STOCKS (COST $3,229,221,903)
|
3,116,191,597
|
|
|
|||
|
|
|
INVESTMENT COMPANY — 0.4%
|
|
|
|
|
United States — 0.4%
|
|
|
296,255
|
|
iShares MSCI Eurozone ETF
|
11,694,666
|
|
|
|
TOTAL INVESTMENT COMPANY (COST $11,712,092)
|
11,694,666
|
|
|
|||
|
|
|
PREFERRED STOCKS — 0.9%
|
|
|
|
|
Brazil — 0.2%
|
|
|
1,162,400
|
|
Petroleo Brasileiro SA, 42.90%
|
5,393,967
|
|
|
|
Germany — 0.7%
|
|
|
5,781
|
|
BMW AG, 7.32%
|
490,805
|
|
37,871
|
|
Henkel AG & Co. KGaA, 2.84%
|
2,627,966
|
|
67,437
|
|
Porsche Automobil Holding SE, 5.00%
|
3,687,851
|
|
414,900
|
|
Schaeffler AG, 7.86%
|
2,818,434
|
|
105,214
|
|
Volkswagen AG, 22.88%
|
13,072,754
|
|
|
|
|
22,697,810
|
|
|
|
South Korea — 0.0%
|
|
|
44,830
|
|
Samsung Electronics Co., Ltd., 2.14%
|
1,790,364
|
|
|
|
TOTAL PREFERRED STOCKS (COST $41,163,596)
|
29,882,141
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|||
|
|
|
WARRANT — 0.0%
|
|
|
|
|
Switzerland — 0.0%
|
|
|
236,912
|
|
Cie Financiere Richemont SA Expires 11/22/23*
|
197,171
|
|
|
|
TOTAL WARRANT (COST $—)
|
197,171
|
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
|
SHORT-TERM INVESTMENT — 2.9%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 2.9%
|
|
|
97,215,006
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(e)(f)
|
97,215,006
|
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $97,215,006)
|
97,215,006
|
|
|
|
TOTAL INVESTMENTS — 98.9%
(Cost $3,379,312,597)
|
3,255,180,581
|
|
|
|
Other Assets and Liabilities (net) — 1.1%
|
35,565,644
|
|
|
|
NET ASSETS — 100.0%
|
$3,290,746,225
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is out on loan.
|
|
(b)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
|
(c)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $265,656 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2022 was $30,137,646.
|
|
(d)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $265,656 which represents 0.0% of net assets. The
aggregate cost of these securities held at December 31, 2022 was $29,569,045.
|
|
(e)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(f)
|
Represents an investment of securities lending cash collateral.
|
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $8,777,086 which represents 0.3% of net
assets.
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buy
|
|
|
|
|
|
835
|
MSCI EAFE Index
|
Mar 2023
|
$81,387,450
|
$(1,672,568)
|
|
Abbreviations
|
||
|
ADR
|
—
|
American Depository Receipt
|
|
CVA
|
—
|
Certificaten Van Aandelen
|
|
GDR
|
—
|
Global Depository Receipt
|
|
NYRS
|
—
|
New York Registry Shares
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
|
Consumer, Non-cyclical
|
24.8
|
|
Financial
|
15.6
|
|
Industrial
|
14.1
|
|
Consumer, Cyclical
|
11.5
|
|
Basic Materials
|
9.5
|
|
Energy
|
7.5
|
|
Technology
|
7.4
|
|
Communications
|
3.2
|
|
Utilities
|
2.0
|
|
Investment Company
|
0.4
|
|
Diversified
|
0.0*
|
|
Short-Term Investment
|
2.9
|
|
Other Assets and Liabilities (net)
|
1.1
|
|
|
100.0%
|
|
*
|
Amount rounds to zero.
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
DEBT OBLIGATIONS — 99.9%
|
|
|
|
|
Asset Backed Securities — 12.5%
|
|
|
201,000
|
|
ABPCI Direct Lending Fund ABS I, Ltd., Series 2020-1A, Class A, 3.20%, due 12/20/30
144A
|
183,300
|
|
2,559,000
|
|
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.94%, due 08/15/46 144A
|
2,190,857
|
|
2,660,000
|
|
American Express Credit Account Master Trust, Series 2022-3, Class A, 3.75%, due
08/15/27
|
2,602,496
|
|
107,156
|
|
AmeriCredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, due 02/18/25
|
106,541
|
|
336,423
|
|
AmeriCredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, due 04/18/25
|
333,123
|
|
600,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, due 07/18/25
|
589,331
|
|
318,057
|
|
AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, due 01/21/25
|
315,881
|
|
400,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, due 01/19/27
|
363,915
|
|
400,000
|
|
AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, due 08/18/27
|
360,459
|
|
179,000
|
|
AMSR Trust, Series 2020-SFR4, Class A, 1.36%, due 11/17/37 144A
|
160,297
|
|
1,350,000
|
|
AMSR Trust, Series 2021-SFR1, Class A, 1.95%, due 06/17/38(b) 144A
|
1,114,024
|
|
1,529,000
|
|
AMSR Trust, Series 2021-SFR2, Class A, 1.53%, due 08/17/38 144A
|
1,311,195
|
|
2,742,000
|
|
AMSR Trust, Series 2022-SFR3, Class A, 4.00%, due 10/17/39 144A
|
2,535,132
|
|
3,500,000
|
|
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class AR2, 5.46% (3 mo. USD LIBOR
+ 1.09%), due 01/28/31(c) 144A
|
3,451,161
|
|
488,070
|
|
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due
06/05/49 144A
|
481,107
|
|
176,275
|
|
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 07/17/46 144A
|
161,276
|
|
756,585
|
|
Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A
|
642,509
|
|
1,245,848
|
|
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, due 08/15/28 144A
|
1,242,678
|
|
3,500,000
|
|
Atlas Static Senior Loan Fund CLO I, Ltd., Series 2022-1A, Class A, 5.10% (3 mo.
TSFR + 2.60%), due 07/15/30(c) 144A
|
3,457,111
|
|
696,000
|
|
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, due
03/20/26 144A
|
648,484
|
|
470,000
|
|
Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, due
08/20/26 144A
|
435,490
|
|
1,838,000
|
|
BA Credit Card Trust, Series, 2022-A2, Class A2, 5.00%, due 04/17/28
|
1,857,422
|
|
2,500,000
|
EUR
|
Barings Euro CLO DAC, Series 2015-1A, Class ARR, 2.52% (3 mo. EURIBOR +
0.98%), due 07/25/35(c) 144A
|
2,543,661
|
|
198,000
|
|
BMW Vehicle Lease Trust, Series 2022-1, Class A3, 1.10%, due 03/25/25
|
191,605
|
|
1,250,000
|
EUR
|
BNPP AM Euro CLO DAC, Series 2018-1A, Class AR, 1.98% (3 mo. EURIBOR +
0.60%), due 04/15/31(c) 144A
|
1,290,104
|
|
267,932
|
|
BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due
09/26/33 144A
|
251,912
|
|
366,000
|
|
Capital Automotive REIT, LP, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A
|
334,387
|
|
1,750,000
|
EUR
|
Carlyle Global Market Strategies Euro CLO, Ltd., Series 2014-2A, Class AR1, 2.55% (3
mo. EURIBOR + 0.75%), due 11/15/31(c) 144A
|
1,805,432
|
|
282,000
|
|
Carlyle US CLO, Ltd., Series 2019-2A, Class A1R, 5.20% (3 mo. USD LIBOR +
1.12%), due 07/15/32(c) 144A
|
275,649
|
|
400,000
|
|
CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26
|
365,139
|
|
300,000
|
|
CarMax Auto Owner Trust, Series 2021-2, Class C, 1.34%, due 02/16/27
|
271,371
|
|
310,000
|
|
CarMax Auto Owner Trust, Series 2021-3, Class C, 1.25%, due 05/17/27
|
274,967
|
|
300,000
|
|
CarMax Auto Owner Trust, Series 2021-4, Class C, 1.38%, due 07/15/27
|
264,155
|
|
400,000
|
|
CarMax Auto Owner Trust, Series 2022-1, Class C, 2.20%, due 11/15/27
|
362,873
|
|
200,000
|
|
CarMax Auto Owner Trust, Series 2022-1, Class D, 2.47%, due 07/17/28
|
174,282
|
|
595,000
|
|
CarMax Auto Owner Trust, Series 2022-4, Class A3, 5.34%, due 08/16/27
|
601,186
|
|
1,401,510
|
|
CF Hippolyta LLC, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A
|
1,252,516
|
|
841,321
|
|
CF Hippolyta LLC, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A
|
728,617
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
843,317
|
|
CIFC Funding CLO, Ltd., Series 2014-2RA, Class A1, 5.37% (3 mo. USD LIBOR +
1.05%), due 04/24/30(c) 144A
|
833,698
|
|
1,500,000
|
|
CIFC Funding CLO, Ltd., Series 2015-1A, Class ARR, 5.43% (3 mo. USD LIBOR +
1.11%), due 01/22/31(c) 144A
|
1,481,205
|
|
1,200,000
|
|
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30
|
1,159,888
|
|
812,225
|
|
CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A
|
704,563
|
|
626,731
|
|
CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A
|
535,441
|
|
563,734
|
|
CLI Funding VIII LLC, Series 2022-1A, Class A1, 2.72%, due 01/18/47 144A
|
479,989
|
|
158,566
|
|
Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42
144A
|
146,052
|
|
2,250,000
|
|
Crown City CLO I, Series 2020-1A, Class A1AR, 5.43% (3 mo. USD LIBOR + 1.19%),
due 07/20/34(c) 144A
|
2,181,078
|
|
1,250,000
|
|
Crown Point CLO 11, Ltd., Series 2021-11A, Class A, 5.20% (3 mo. USD LIBOR +
1.12%), due 01/17/34(c) 144A
|
1,224,014
|
|
359,000
|
|
DataBank Issuer, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A
|
311,613
|
|
2,332,440
|
|
DB Master Finance LLC, Series 2021-1A, Class A23, 2.79%, due 11/20/51 144A
|
1,803,806
|
|
1,142,460
|
|
DB Master Finance LLC, Series 2021-1A, Class A2I, 2.05%, due 11/20/51 144A
|
978,905
|
|
112,000
|
|
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.48%, due 04/15/49
144A
|
87,193
|
|
757,238
|
|
Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47
144A
|
696,582
|
|
3,392,340
|
|
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.66%, due 04/25/51
144A
|
2,831,866
|
|
10,182
|
|
Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, due 07/15/25
|
10,168
|
|
473,565
|
|
Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A
|
393,187
|
|
480,150
|
|
Driven Brands Funding LLC, Series 2021-1A, Class A2, 2.79%, due 10/20/51 144A
|
382,366
|
|
459,000
|
|
Elmwood CLO IV, Ltd., Series 2020-1A, Class A, 5.32% (3 mo. USD LIBOR + 1.24%),
due 04/15/33(c) 144A
|
452,088
|
|
670
|
|
FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37
|
594
|
|
416,075
|
|
FirstKey Homes Trust, Series 2021-SFR1, Class A, 1.54%, due 08/17/38 144A
|
361,273
|
|
401,000
|
|
FirstKey Homes Trust, Series 2021-SFR1, Class D, 2.19%, due 08/17/38 144A
|
337,492
|
|
1,104,752
|
|
FirstKey Homes Trust, Series 2022-SFR1, Class A, 4.15%, due 05/17/39 144A
|
1,037,794
|
|
2,632,959
|
|
FirstKey Homes Trust, Series 2022-SFRA, Class A, 3.10%, due 03/17/39 144A
|
2,364,332
|
|
396,975
|
|
Five Guys Funding LLC, Series 2017-1A, Class A2, 4.60%, due 07/25/47 144A
|
372,816
|
|
300,000
|
|
Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28
|
276,091
|
|
153,000
|
|
Ford Credit Auto Owner Trust, Series 2022-A, Class A3, 1.29%, due 06/15/26
|
145,553
|
|
300,000
|
|
Ford Credit Auto Owner Trust, Series 2022-A, Class C, 2.14%, due 07/15/29
|
274,716
|
|
2,282,000
|
|
Ford Credit Auto Owner Trust, Series 2022-B, Class A4, 3.93%, due 08/15/27
|
2,222,916
|
|
818,000
|
|
Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, due 04/15/26
|
793,876
|
|
698,000
|
|
Ford Credit Floorplan Master Owner Trust, Series 2020-2, Class A, 1.06%, due 09/15/27
|
628,144
|
|
1,000,000
|
|
Generate CLO-2, Ltd., Series 2A, Class AR, 5.47% (3 mo. USD LIBOR + 1.15%), due
01/22/31(c) 144A
|
987,548
|
|
3,500,000
|
|
Generate CLO-4, Ltd., Series 4A, Class A1R, 5.33% (3 mo. USD LIBOR + 1.09%), due
04/20/32(c) 144A
|
3,453,611
|
|
300,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%,
due 05/17/27
|
274,477
|
|
164,000
|
|
GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A3, 0.68%,
due 09/16/26
|
155,005
|
|
475,000
|
|
Golub Capital Partners ABS Funding, Ltd., Series 2020-1A, Class A2, 3.21%, due
01/22/29 144A
|
434,322
|
|
434,000
|
|
Golub Capital Partners ABS Funding, Ltd., Series 2021-1A, Class A2, 2.77%, due
04/20/29 144A
|
392,931
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
2,500,000
|
EUR
|
Grosvenor Place, Series, 2022-1A, Class A, 4.34% (3 mo. EURIBOR + 2.00%), due
11/24/35 144A
|
2,657,118
|
|
476,000
|
|
HI-FI Music IP Issuer, LP, Series 2022-1A, Class A2, 3.94%, due 02/01/62 144A
|
427,394
|
|
76,275
|
|
Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/28 144A
|
75,095
|
|
63,958
|
|
Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, due 02/25/32 144A
|
61,865
|
|
80,114
|
|
Home Equity Asset Trust, Series 2003-8, Class M1, 5.47% (1 mo. USD LIBOR +
1.08%), due 04/25/34(c)
|
77,376
|
|
279,000
|
|
Honda Auto Receivables Owner Trust, Series 2021-2, Class A4, 0.55%, due 08/16/27
|
257,965
|
|
238,000
|
|
Hyundai Auto Lease Securitization Trust, Series 2022-A, Class A3, 1.16%, due 01/15/25
144A
|
229,752
|
|
818,000
|
|
Hyundai Auto Receivables Trust, Series, 2022-C, Class A3, 5.39%, due 06/15/27
|
826,998
|
|
2,000,000
|
EUR
|
Invesco Euro CLO I DAC, Series 1A, Class A1R, 2.03% (3 mo. EURIBOR + 0.65%),
due 07/15/31(c) 144A
|
2,071,593
|
|
191,588
|
|
Jack In The Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A
|
169,961
|
|
486,590
|
|
Jack In The Box Funding LLC, Series 2022-1A, Class A2I, 3.45%, due 02/26/52 144A
|
423,654
|
|
174,975
|
|
JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 02/26/29 144A
|
164,979
|
|
28,200
|
|
Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2B, 2.81%, due 11/25/42
144A
|
27,654
|
|
1,000,000
|
EUR
|
Madison Park Euro Funding CLO XIV DAC, Series 14A, Class A1R, 2.18% (3 mo.
EURIBOR + 0.80%), due 07/15/32(c) 144A
|
1,034,382
|
|
3,500,000
|
|
Madison Park Funding CLO XXXIII, Ltd., Series 2019-33A, Class AR, 5.15% (3 mo.
TSFR + 1.29%), due 10/15/32(c) 144A
|
3,427,525
|
|
2,000,000
|
|
Madison Park Funding CLO XXXVIII, Ltd., Series 2021-38A, Class A, 5.20% (3 mo.
USD LIBOR + 1.12%), due 07/17/34(c) 144A
|
1,953,666
|
|
500,000
|
|
Mercedes-Benz Auto Receivables Trust, Series, 2022-1, Class A3, 5.21%, due 08/16/27
|
504,667
|
|
741,126
|
|
MidOcean Credit CLO III, Series 2014-3A, Class A1R, 5.40% (3 mo. USD LIBOR +
1.12%), due 04/21/31(c) 144A
|
727,132
|
|
61,803
|
|
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC10, Class M1, 5.41% (1 mo.
USD LIBOR + 1.02%), due 10/25/33(c)
|
60,631
|
|
17,904
|
|
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-NC7, Class M1, 5.44% (1 mo.
USD LIBOR + 1.05%), due 06/25/33(c)
|
17,755
|
|
50,368
|
|
Navient Private Education Loan Trust, Series 2016-AA, Class A2A, 3.91%, due 12/15/45
144A
|
48,758
|
|
276,602
|
|
Navient Private Education Refi Student Loan Trust, Series 2019-FA, Class A2, 2.60%,
due 08/15/68 144A
|
256,131
|
|
380,594
|
|
Navient Private Education Refi Student Loan Trust, Series 2020-HA, Class A, 1.31%,
due 01/15/69 144A
|
341,855
|
|
407,918
|
|
Neighborly Issuer, Series 2022-1A, Class A2, 3.70%, due 01/30/52 144A
|
324,987
|
|
707,230
|
|
Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A
|
568,832
|
|
148,757
|
|
New Century Home Equity Loan Trust, Series 2003-A, Class A, 3.42% (1 mo. USD
LIBOR + 0.72%), due 10/25/33(c) 144A
|
139,681
|
|
785,000
|
|
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, due
10/20/61 144A
|
664,736
|
|
203,000
|
|
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, due
10/20/61 144A
|
167,309
|
|
2,643,000
|
|
NextGear Floorplan Master Owner Trust, Series 2022-1A, Class A2, 2.80%, due
03/15/27 144A
|
2,492,004
|
|
1,500,000
|
|
Northwoods Capital CLO 22, Ltd., Series 2020-22A, Class AR, 5.85% (3 mo. TSFR +
1.45%), due 09/01/31(c) 144A
|
1,482,454
|
|
106,024
|
|
NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A, 3.10%, due
07/25/26 144A
|
92,700
|
|
1,828,576
|
|
Oak Street Investment Grade Net Lease Fund, Series 2021-1A, Class A1, 1.48%, due
01/20/51 144A
|
1,598,787
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
728,231
|
|
Oak Street Investment Grade Net Lease Fund, Series 2021-2A, Class A1, 2.38%, due
11/20/51 144A
|
640,126
|
|
1,250,000
|
|
OCP CLO, Ltd., Series 2015-9A, Class A1R2, 5.11% (3 mo. TSFR + 1.25%), due
01/15/33(c) 144A
|
1,228,097
|
|
272,000
|
|
OCP CLO, Ltd., Series 2020-19A, Class AR, 5.39% (3 mo. USD LIBOR + 1.15%), due
10/20/34(c) 144A
|
265,708
|
|
1,000,000
|
|
OFSI BSL XI CLO, Ltd., Series 2022-11A, Class A1, 6.03% (3 mo. TSFR + 2.10%),
due 07/18/31(c) 144A
|
996,379
|
|
68,453
|
|
Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, due 02/15/27 144A
|
67,925
|
|
2,340,084
|
|
OZLM Funding IV CLO, Ltd., Series 2013-4A, Class A1R, 5.57% (3 mo. USD LIBOR
+ 1.25%), due 10/22/30(c) 144A
|
2,311,093
|
|
247,297
|
|
OZLM XI CLO, Ltd., Series 2015-11A, Class A1R, 5.66% (3 mo. USD LIBOR +
1.25%), due 10/30/30(c) 144A
|
243,997
|
|
2,500,000
|
|
Palmer Square CLO, Ltd., Series 2015-1A, Class A1A4, 5.81% (3 mo. USD LIBOR +
1.13%), due 05/21/34(c) 144A
|
2,448,795
|
|
750,000
|
|
Palmer Square CLO, Ltd., Series 2018-2A, Class A1A, 5.18% (3 mo. USD LIBOR +
1.10%), due 07/16/31(c) 144A
|
740,591
|
|
2,000,000
|
|
Park Avenue Institutional Advisers CLO, Ltd., Series 2018-1A, Class A1A4, 5.24% (3
mo. USD LIBOR + 1.00%), due 10/20/31(c) 144A
|
1,955,712
|
|
2,492,000
|
|
PFS Financing Corp., Series 2022-A, Class A, 2.47%, due 02/15/27 144A
|
2,342,795
|
|
1,329,000
|
|
Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 10/17/36 144A
|
1,259,290
|
|
1,017,171
|
|
Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A
|
928,137
|
|
1,362,782
|
|
Progress Residential Trust, Series 2021-SFR2, Class A, 1.55%, due 04/19/38 144A
|
1,192,035
|
|
246,000
|
|
Progress Residential Trust, Series 2021-SFR8, Class B, 1.68%, due 10/17/38 144A
|
203,742
|
|
1,570,000
|
|
Progress Residential Trust, Series 2022-SFR2, Class A, 2.95%, due 04/17/27
|
1,389,189
|
|
3,542
|
|
Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, due 08/25/35(d)
|
3,430
|
|
250,000
|
|
Romark CLO II, Ltd., Series 2018-2A, Class A1, 5.53% (3 mo. USD LIBOR + 1.18%),
due 07/25/31(c) 144A
|
245,719
|
|
739,000
|
|
Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, due 04/20/45 144A
|
689,705
|
|
117,730
|
|
Santander Drive Auto Receivables Trust, Series 2020-2, Class C, 1.46%, due 09/15/25
|
117,356
|
|
265,615
|
|
Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, due 01/15/26
|
263,251
|
|
250,850
|
|
Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, due 01/15/26
|
248,345
|
|
400,000
|
|
Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.90%, due 06/15/26
|
389,196
|
|
800,000
|
|
Santander Drive Auto Receivables Trust, Series 2021-2, Class D, 1.35%, due 07/15/27
|
748,378
|
|
700,000
|
|
Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.95%, due 09/15/27
|
673,493
|
|
900,000
|
|
Santander Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, due 02/16/27
|
855,835
|
|
600,000
|
|
Santander Drive Auto Receivables Trust, Series 2022-1, Class C, 2.56%, due 04/17/28
|
573,551
|
|
653,000
|
|
Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, due 01/26/32
144A
|
615,618
|
|
483,750
|
|
Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A
|
448,653
|
|
31,376
|
|
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, due
01/20/36 144A
|
30,181
|
|
395,113
|
|
Silver Creek CLO, Ltd., Series 2014-1A, Class AR, 5.48% (3 mo. USD LIBOR +
1.24%), due 07/20/30(c) 144A
|
391,886
|
|
324,664
|
|
SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, due 06/15/37
144A
|
303,747
|
|
584,332
|
|
SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.34%, due 03/17/53
144A
|
512,367
|
|
482,473
|
|
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A
|
430,031
|
|
355,500
|
|
Sonic Capital LLC, Series 2021-1A, Class A2I, 2.19%, due 08/20/51 144A
|
284,555
|
|
650,087
|
|
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, due 02/25/44 144A
|
634,686
|
|
547,000
|
|
Stack Infrastructure Issuer LLC, Series 2019-2A, Class A2, 3.08%, due 10/25/44 144A
|
512,464
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
2,178,000
|
|
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A
|
1,884,545
|
|
184,215
|
|
Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A
|
147,239
|
|
1,004,850
|
|
Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 08/25/51 144A
|
852,214
|
|
1,874,070
|
|
Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.29%, due 08/25/51 144A
|
1,511,077
|
|
1,000,000
|
|
TCW CLO, Ltd., Series 2019-2A, Class A1R, 5.24% (3 mo. TSFR + 1.28%), due
10/20/32(c) 144A
|
976,796
|
|
279,278
|
|
TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A
|
232,164
|
|
1,204,000
|
|
Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, due 11/25/31
144A
|
1,160,910
|
|
364,000
|
|
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, due 05/25/33
144A
|
333,275
|
|
417,000
|
|
Toyota Auto Receivables Owner Trust, Series 2022-A, Class A3, 1.23%, due 06/15/26
|
395,617
|
|
714,000
|
|
Toyota Auto Receivables Owner Trust, Series, 2022-D, Class A3, 5.30%, due 09/15/27
|
722,747
|
|
1,527,118
|
|
Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A
|
1,400,564
|
|
2,663,416
|
|
Tricon Residential Trust, Series 2022-SFR2, Class A, 4.85%, due 07/17/40 144A
|
2,510,441
|
|
1,500,000
|
|
Trimaran Cavu CLO, Ltd., Series 2021-1A, Class A, 5.53% (3 mo. USD LIBOR +
1.21%), due 04/23/32(c) 144A
|
1,468,969
|
|
632,443
|
|
Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45
144A
|
542,262
|
|
570,338
|
|
Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46
144A
|
476,649
|
|
1,433,057
|
|
U.S. Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33
|
1,359,714
|
|
876,181
|
|
U.S. Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33
|
831,651
|
|
1,146,823
|
|
U.S. Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34
|
1,073,178
|
|
472,364
|
|
U.S. Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34
|
444,657
|
|
399,369
|
|
U.S. Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34
|
372,881
|
|
2,017,731
|
|
U.S. Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44
|
1,802,571
|
|
840,767
|
|
U.S. Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45
|
699,306
|
|
2,011,420
|
|
U.S. Small Business Administration, Series 2022-25A, Class 1, 2.04%, due 01/01/47
|
1,690,668
|
|
2,485,422
|
|
U.S. Small Business Administration, Series 2022-25D, Class 1, 3.50%, due 04/01/47
|
2,286,428
|
|
1,706,820
|
|
U.S. Small Business Administration, Series 2022-25E, Class 1, 3.94%, due 05/01/47
|
1,615,995
|
|
2,711,000
|
|
U.S. Small Business Administration, Series 2022-25G, Class 1, 3.93%, due 07/01/47
|
2,582,126
|
|
2,281,000
|
|
U.S. Small Business Administration, Series, 2022-25J, Class 1, 5.04%, due 10/01/47
|
2,296,738
|
|
2,357,000
|
|
Vantage Data Centers Issuers LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45
144A
|
2,081,611
|
|
1,204,000
|
|
Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A
|
991,706
|
|
112,848
|
|
VCP RRL ABS I, Ltd., Series 2021-1A, Class A, 2.15%, due 10/20/31 144A
|
102,376
|
|
500,000
|
|
Venture XIX CLO, Ltd., Series 2014-19A, Class ARR, 5.34% (3 mo. USD LIBOR +
1.26%), due 01/15/32(c) 144A
|
487,957
|
|
2,372,000
|
|
Verizon Master Trust, Series 2021-2, Class A, 0.99%, due 04/20/28
|
2,212,999
|
|
454,176
|
|
VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A
|
378,646
|
|
164,553
|
|
VSE VOI Mortgage LLC, Series 2017-A, Class A, 2.33%, due 03/20/35 144A
|
157,549
|
|
500,000
|
|
Wellfleet CLO, Ltd., Series 2018-3A, Class A1A, 5.49% (3 mo. USD LIBOR + 1.25%),
due 01/20/32(c) 144A
|
488,753
|
|
526,890
|
|
Wendy's Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A
|
486,737
|
|
2,024,175
|
|
Wendy's Funding LLC, Series 2021-1A, Class A2I, 2.37%, due 06/15/51 144A
|
1,640,784
|
|
115,664
|
|
Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A
|
89,257
|
|
484,303
|
|
World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, due 12/15/25
|
481,738
|
|
200,000
|
|
World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, due 12/15/25
|
197,718
|
|
200,000
|
|
World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, due 11/15/27
|
182,185
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
449,313
|
|
Zaxby's Funding LLC, Series 2021-1A, Class A2, 3.24%, due 07/30/51 144A
|
363,425
|
|
|
|
|
159,315,115
|
|
|
|
Corporate Debt — 33.7%
|
|
|
225,000
|
|
1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A
|
201,769
|
|
770,000
|
|
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 144A
|
625,159
|
|
1,546,000
|
|
AbbVie, Inc., 3.20%, due 11/21/29
|
1,397,200
|
|
300,000
|
|
AbbVie, Inc., 3.80%, due 03/15/25(e)
|
292,637
|
|
450,000
|
|
AbbVie, Inc., 4.25%, due 11/21/49
|
375,762
|
|
2,268,000
|
|
AbbVie, Inc., 4.50%, due 05/14/35
|
2,108,987
|
|
640,000
|
|
AbbVie, Inc., 4.55%, due 03/15/35
|
600,741
|
|
170,000
|
|
AbbVie, Inc., 4.70%, due 05/14/45
|
151,827
|
|
290,000
|
|
AbbVie, Inc., 4.75%, due 03/15/45
|
261,863
|
|
200,000
|
|
Abu Dhabi National Energy Co. PJSC, 2.00%, due 04/29/28 144A
|
178,060
|
|
323,000
|
|
Adani Ports & Special Economic Zone, Ltd., 3.10%, due 02/02/31 144A
|
237,422
|
|
203,000
|
|
AdaptHealth LLC, 5.13%, due 03/01/30 144A
|
173,076
|
|
436,000
|
|
Advantage Sales & Marketing, Inc., 6.50%, due 11/15/28 144A
|
333,095
|
|
1,340,000
|
|
Advocate Health & Hospitals Corp., 2.21%, due 06/15/30
|
1,102,250
|
|
150,000
|
|
AECOM, 5.13%, due 03/15/27
|
144,620
|
|
400,000
|
|
AEP Texas, Inc., 3.80%, due 10/01/47
|
292,649
|
|
260,000
|
|
AEP Transmission Co. LLC, 3.80%, due 06/15/49
|
203,828
|
|
205,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, due 10/29/24
|
189,230
|
|
482,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26
|
424,570
|
|
2,036,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, due 10/29/26
|
1,783,003
|
|
432,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, due 08/14/24(e)
|
409,273
|
|
1,600,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26
|
1,528,988
|
|
322,000
|
|
AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A
|
280,477
|
|
370,000
|
|
Aetna, Inc., 4.75%, due 03/15/44
|
327,807
|
|
137,000
|
|
Affinity Gaming, 6.88%, due 12/15/27 144A
|
116,325
|
|
124,735
|
|
Air Canada Pass Through Trust, 3.70%, due 07/15/27 144A
|
113,864
|
|
623,126
|
|
Air Canada Pass Through Trust, 3.60%, due 09/15/28 144A
|
563,285
|
|
158,098
|
|
Air Canada Pass Through Trust, 4.13%, due 11/15/26 144A
|
144,799
|
|
298,000
|
|
Air Lease Corp., 2.10%, due 09/01/28
|
243,255
|
|
219,000
|
|
Air Lease Corp., 3.63%, due 12/01/27
|
198,457
|
|
270,000
|
|
Air Lease Corp., (MTN), 2.88%, due 01/15/26
|
250,115
|
|
1,750,000
|
|
Aker BP ASA, 2.00%, due 07/15/26 144A
|
1,547,942
|
|
250,000
|
|
Aker BP ASA, 3.00%, due 01/15/25 144A
|
237,243
|
|
473,000
|
|
Aker BP ASA, 3.10%, due 07/15/31 144A
|
389,091
|
|
2,065,000
|
|
Aker BP ASA, 3.75%, due 01/15/30 144A
|
1,821,128
|
|
842,000
|
|
Aker BP ASA, 4.00%, due 01/15/31 144A
|
739,982
|
|
134,084
|
|
Alaska Airlines Pass Through Trust, 8.00%, due 02/15/27 144A
|
134,040
|
|
325,000
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 3.50%, due
03/15/29 144A
|
273,387
|
|
200,000
|
|
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, due 10/15/26 144A
|
178,646
|
|
2,895,000
|
|
Alexandria Real Estate Equities, Inc. REIT, 2.00%, due 05/18/32
|
2,224,372
|
|
229,162
|
|
Alfa Desarrollo SpA, 4.55%, due 09/27/51 144A
|
174,540
|
|
847,000
|
|
Ally Financial, Inc., 5.13%, due 09/30/24
|
839,193
|
|
326,000
|
|
Ally Financial, Inc., 7.10%, due 11/15/27(e)
|
332,217
|
|
224,000
|
|
Altera Infrastructure, LP/Teekay Offshore Finance Corp., 8.50%, due 07/15/23(f) 144A
|
6,160
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
210,000
|
|
Altria Group, Inc., 3.40%, due 05/06/30
|
179,970
|
|
2,540,000
|
|
Amazon.com, Inc., 4.10%, due 04/13/62
|
2,111,461
|
|
291,000
|
|
American Airlines Pass Through Trust, 2.88%, due 01/11/36
|
235,044
|
|
280,939
|
|
American Airlines Pass Through Trust, 3.15%, due 08/15/33
|
233,262
|
|
1,294,778
|
|
American Airlines Pass Through Trust, 3.38%, due 11/01/28
|
1,082,290
|
|
337,992
|
|
American Airlines Pass Through Trust, 3.50%, due 08/15/33
|
257,070
|
|
249,413
|
|
American Airlines Pass Through Trust, 3.60%, due 04/15/31
|
195,269
|
|
269,286
|
|
American Airlines Pass Through Trust, 3.65%, due 08/15/30
|
240,212
|
|
183,629
|
|
American Airlines Pass Through Trust, 3.70%, due 11/01/24
|
181,673
|
|
164,000
|
|
American Airlines Pass Through Trust, 3.95%, due 01/11/32
|
130,575
|
|
101,257
|
|
American Airlines Pass Through Trust, 4.00%, due 08/15/30
|
81,462
|
|
367,896
|
|
American Airlines Pass Through Trust, 4.10%, due 07/15/29
|
300,722
|
|
700,000
|
|
American Express Co., 3.40%, due 02/27/23
|
699,507
|
|
348,000
|
|
American Express Co. REIT, 1.60%, due 04/15/26
|
309,806
|
|
232,000
|
|
American Homes 4 Rent, LP REIT, 4.25%, due 02/15/28
|
214,924
|
|
365,000
|
|
American Tower Corp. REIT, 3.55%, due 07/15/27
|
338,569
|
|
754,000
|
|
American Tower Corp. REIT, 3.80%, due 08/15/29
|
685,642
|
|
365,000
|
|
AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25
|
351,267
|
|
250,000
|
|
AmeriGas Partners, LP/AmeriGas Finance Corp., 5.88%, due 08/20/26
|
237,815
|
|
490,000
|
|
AmerisourceBergen Corp., 2.80%, due 05/15/30
|
416,735
|
|
1,120,000
|
|
Amgen, Inc., 2.80%, due 08/15/41
|
780,269
|
|
2,908,000
|
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46
|
2,658,249
|
|
725,000
|
|
Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48
|
633,696
|
|
260,000
|
|
Antero Midstream Partners, LP/Antero Midstream Finance Corp., 5.38%, due 06/15/29
144A
|
238,053
|
|
250,000
|
|
Antero Midstream Partners, LP/Antero Midstream Finance Corp., 7.88%, due 05/15/26
144A
|
253,425
|
|
94,000
|
|
Antero Resources Corp., 5.38%, due 03/01/30(e) 144A
|
87,275
|
|
750,000
|
|
Apple, Inc., 3.85%, due 08/04/46
|
640,694
|
|
770,000
|
|
Apple, Inc., 4.10%, due 08/08/62
|
644,776
|
|
980,000
|
|
AptarGroup, Inc., 3.60%, due 03/15/32
|
813,161
|
|
1,515,000
|
|
Aptiv Plc/Aptiv Corp., 3.25%, due 03/01/32
|
1,243,158
|
|
291,000
|
|
APX Group, Inc., 5.75%, due 07/15/29 144A
|
241,381
|
|
225,000
|
|
Aquarion Co., 4.00%, due 08/15/24(e) 144A
|
221,126
|
|
178,000
|
|
Arconic Corp., 6.13%, due 02/15/28 144A
|
167,317
|
|
614,000
|
|
Ares Capital Corp., 2.15%, due 07/15/26
|
520,571
|
|
389,000
|
|
Ares Capital Corp., 2.88%, due 06/15/28
|
312,544
|
|
448,000
|
|
Ares Capital Corp., 3.88%, due 01/15/26
|
411,048
|
|
350,000
|
|
Ares Capital Corp., 4.20%, due 06/10/24
|
338,068
|
|
55,000
|
|
Asbury Automotive Group, Inc., 4.63%, due 11/15/29 144A
|
46,410
|
|
200,000
|
|
Asbury Automotive Group, Inc., 4.75%, due 03/01/30
|
167,539
|
|
710,000
|
|
Ascension Health, 2.53%, due 11/15/29
|
610,108
|
|
150,000
|
|
Ascension Health, 3.11%, due 11/15/39
|
115,822
|
|
441,000
|
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 06/30/29 144A
|
393,782
|
|
247,000
|
|
Ashtead Capital, Inc., 2.45%, due 08/12/31 144A
|
191,264
|
|
290,000
|
|
Ashtead Capital, Inc., 4.38%, due 08/15/27 144A
|
271,414
|
|
2,569,000
|
|
AT&T, Inc., 2.30%, due 06/01/27
|
2,288,753
|
|
122,000
|
|
AT&T, Inc., 2.55%, due 12/01/33
|
94,116
|
|
1,672,000
|
|
AT&T, Inc., 3.50%, due 06/01/41
|
1,253,390
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,140,000
|
|
AT&T, Inc., 3.50%, due 09/15/53
|
774,556
|
|
998,000
|
|
AT&T, Inc., 3.65%, due 06/01/51
|
707,414
|
|
410,000
|
|
AT&T, Inc., 3.65%, due 09/15/59(e)
|
276,319
|
|
25,000
|
|
AT&T, Inc., 4.30%, due 02/15/30
|
23,599
|
|
115,000
|
|
AT&T, Inc., 4.50%, due 05/15/35
|
104,943
|
|
700,000
|
|
AT&T, Inc., 5.92% (3 mo. USD LIBOR + 1.18%), due 06/12/24(c)(e)
|
705,159
|
|
106,000
|
|
Atento Luxco 1 SA, 8.00%, due 02/10/26 144A
|
57,240
|
|
276,000
|
|
Athene Holding, Ltd., 3.50%, due 01/15/31
|
227,266
|
|
198,551
|
|
Atlantica Transmision Sur SA, 6.88%, due 04/30/43 144A
|
180,185
|
|
168,000
|
|
Autodesk, Inc., 2.85%, due 01/15/30
|
144,820
|
|
249,000
|
|
AutoNation, Inc., 4.75%, due 06/01/30
|
222,723
|
|
1,300,000
|
|
Bacardi, Ltd., 4.70%, due 05/15/28 144A
|
1,243,597
|
|
696,000
|
|
BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A
|
671,786
|
|
1,309,000
|
|
BAE Systems Plc, 3.40%, due 04/15/30 144A
|
1,158,114
|
|
175,000
|
|
Ball Corp., 3.13%, due 09/15/31
|
140,775
|
|
200,000
|
|
Banco Santander SA, 1.85%, due 03/25/26
|
176,753
|
|
380,000
|
|
Banco Santander SA, 4.38%, due 04/12/28
|
357,241
|
|
265,000
|
|
Bank of America Corp., 1.66% (SOFR + 0.91%), due 03/11/27(c)
|
234,743
|
|
1,310,000
|
|
Bank of America Corp., 2.30% (SOFR + 1.22%), due 07/21/32(c)
|
1,011,990
|
|
617,000
|
|
Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(c)
|
503,862
|
|
1,965,000
|
|
Bank of America Corp., 2.69% (SOFR + 1.32%), due 04/22/32(c)
|
1,577,472
|
|
730,000
|
|
Bank of America Corp., 3.85% (5 yr. CMT + 2.00%), due 03/08/37(c)
|
606,360
|
|
877,000
|
|
Bank of America Corp., 4.24% (3 mo. USD LIBOR + 1.81%), due 04/24/38(c)
|
748,215
|
|
1,945,000
|
|
Bank of America Corp., 4.95% (SOFR + 2.04%), due 07/22/28(c)
|
1,902,793
|
|
160,000
|
|
Bank of America Corp., 5.13% (3 mo. USD LIBOR + 3.29%)(c)(g)
|
148,191
|
|
1,036,000
|
|
Bank of America Corp., 6.30% (3 mo. USD LIBOR + 4.55%)(c)(g)
|
1,033,486
|
|
2,590,000
|
|
Bank of America Corp., (MTN), 2.09% (SOFR + 1.06%), due 06/14/29(c)
|
2,184,033
|
|
610,000
|
|
Bank of America Corp., (MTN), 2.50% (3 mo. USD LIBOR + 0.99%), due 02/13/31(c)
|
497,110
|
|
160,000
|
|
Bank of America Corp., (MTN), 2.88% (3 mo. USD LIBOR + 1.19%), due 10/22/30(c)
|
134,187
|
|
584,000
|
|
Bank of America Corp., (MTN), 3.25%, due 10/21/27
|
540,201
|
|
755,000
|
|
Bank of America Corp., (MTN), 3.59% (3 mo. USD LIBOR + 1.37%), due 07/21/28(c)
|
696,237
|
|
783,000
|
|
Bank of America Corp., (MTN), 3.95%, due 04/21/25
|
762,710
|
|
210,000
|
|
Bank of America Corp., (MTN), 4.27% (3 mo. USD LIBOR + 1.31%), due 07/23/29(c)
|
196,221
|
|
213,000
|
|
Bank of America Corp., (MTN), 4.33% (3 mo. USD LIBOR + 1.52%), due 03/15/50(c)
|
175,753
|
|
256,000
|
|
Barclays Plc, 1.01% (1 yr. CMT + 0.80%), due 12/10/24(c)
|
243,780
|
|
575,000
|
|
Barclays Plc, 3.93% (3 mo. USD LIBOR + 1.61%), due 05/07/25(c)
|
557,897
|
|
446,000
|
|
Barclays Plc, 4.38% (5 yr. CMT + 3.41%)(c)(e)(g)
|
341,190
|
|
400,000
|
|
Barclays Plc, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(c)
|
376,376
|
|
1,032,000
|
|
Barclays Plc, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(c)
|
1,025,310
|
|
265,000
|
|
Barclays Plc, 8.00% (5 yr. CMT + 5.43%)(c)(g)
|
248,438
|
|
390,000
|
|
BAT Capital Corp., 3.56%, due 08/15/27
|
356,909
|
|
270,000
|
|
Bayer US Finance II LLC, 4.20%, due 07/15/34 144A
|
234,785
|
|
209,000
|
|
Beacon Roofing Supply, Inc., 4.13%, due 05/15/29 144A
|
173,944
|
|
605,000
|
|
Berkshire Hathaway Energy Co., 3.70%, due 07/15/30
|
552,682
|
|
85,000
|
|
Berkshire Hathaway Energy Co., 5.95%, due 05/15/37
|
88,545
|
|
1,312,000
|
|
Berkshire Hathaway Energy Co., 6.13%, due 04/01/36
|
1,381,972
|
|
1,408,000
|
|
Blackstone Holdings Finance Co. LLC, 1.63%, due 08/05/28 144A
|
1,148,608
|
|
1,015,000
|
|
Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A
|
593,051
|
|
542,000
|
|
Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A
|
489,292
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
596,000
|
|
Blackstone Private Credit Fund, 2.35%, due 11/22/24
|
545,890
|
|
373,000
|
|
Blackstone Private Credit Fund, 2.70%, due 01/15/25
|
344,887
|
|
88,000
|
|
Blackstone Private Credit Fund, 3.25%, due 03/15/27
|
74,210
|
|
517,000
|
|
Blackstone Private Credit Fund, 4.00%, due 01/15/29
|
427,455
|
|
140,000
|
|
Block, Inc., 3.50%, due 06/01/31(e)
|
111,888
|
|
304,000
|
|
BlueLinx Holdings, Inc., 6.00%, due 11/15/29 144A
|
252,715
|
|
700,000
|
|
BNP Paribas SA, 1.68% (SOFR + 0.91%), due 06/30/27(c) 144A
|
610,021
|
|
260,000
|
|
BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(c)(e) 144A
|
212,418
|
|
200,000
|
|
BNP Paribas SA, 2.22% (SOFR + 2.07%), due 06/09/26(c)(e) 144A
|
183,805
|
|
455,000
|
|
BNP Paribas SA, 3.13% (SOFR + 1.56%), due 01/20/33(c)(e) 144A
|
360,385
|
|
220,000
|
|
BNP Paribas SA, 9.25% (5 yr. CMT + 4.97%)(c)(g) 144A
|
229,911
|
|
210,000
|
|
BOC Aviation USA Corp., 1.63%, due 04/29/24 144A
|
199,433
|
|
2,080,000
|
|
Boeing Co. (The), 2.20%, due 02/04/26
|
1,892,111
|
|
282,000
|
|
Boeing Co. (The), 3.20%, due 03/01/29
|
247,846
|
|
190,000
|
|
Boeing Co. (The), 3.90%, due 05/01/49
|
134,207
|
|
295,000
|
|
Boeing Co. (The), 3.95%, due 08/01/59
|
199,391
|
|
3,094,000
|
|
Boeing Co. (The), 5.15%, due 05/01/30
|
3,026,216
|
|
470,000
|
|
Boeing Co. (The), 5.81%, due 05/01/50
|
438,167
|
|
574,000
|
|
Booking Holdings, Inc., 4.63%, due 04/13/30
|
555,767
|
|
388,000
|
|
BPCE SA, 4.50%, due 03/15/25 144A
|
373,000
|
|
222,000
|
|
Braskem Idesa SAPI, 6.99%, due 02/20/32 144A
|
158,888
|
|
527,000
|
|
Braskem Netherlands Finance BV, 5.88%, due 01/31/50(e) 144A
|
409,198
|
|
55,000
|
|
Bristol-Myers Squibb Co., 4.13%, due 06/15/39
|
49,173
|
|
115,751
|
|
British Airways Pass Through Trust, 4.13%, due 03/20/33 144A
|
96,638
|
|
113,887
|
|
British Airways Pass Through Trust, 4.25%, due 05/15/34 144A
|
102,198
|
|
122,573
|
|
British Airways Pass Through Trust, 4.63%, due 12/20/25 144A
|
119,072
|
|
70,735
|
|
British Airways Pass Through Trust, 8.38%, due 11/15/28 144A
|
69,555
|
|
1,055,000
|
|
Brixmor Operating Partnership, LP REIT, 2.50%, due 08/16/31
|
809,417
|
|
249,000
|
|
Broadcom, Inc., 3.14%, due 11/15/35 144A
|
183,842
|
|
605,000
|
|
Broadcom, Inc., 3.19%, due 11/15/36 144A
|
436,460
|
|
821,000
|
|
Broadcom, Inc., 3.42%, due 04/15/33 144A
|
660,483
|
|
1,966,000
|
|
Broadcom, Inc., 4.11%, due 09/15/28
|
1,832,173
|
|
1,828,000
|
|
Broadcom, Inc., 4.75%, due 04/15/29
|
1,745,089
|
|
350,000
|
|
Broadcom, Inc., 4.93%, due 05/15/37 144A
|
306,585
|
|
1,171,000
|
|
Brookfield Finance, Inc., 2.72%, due 04/15/31
|
942,033
|
|
162,000
|
|
Brookfield Residential Properties, Inc./Brookfield Residential US LLC, 5.00%, due
06/15/29 144A
|
127,181
|
|
32,000
|
|
Builders FirstSource, Inc., 5.00%, due 03/01/30 144A
|
28,407
|
|
235,000
|
|
Builders FirstSource, Inc., 6.38%, due 06/15/32 144A
|
221,040
|
|
750,000
|
|
Calpine Corp., 3.75%, due 03/01/31 144A
|
604,842
|
|
636,000
|
|
Canadian Pacific Railway Co., 3.00%, due 12/02/41
|
482,178
|
|
509,000
|
|
Canadian Pacific Railway Co., 6.13%, due 09/15/15(h)
|
514,256
|
|
556,000
|
|
Cantor Fitzgerald, LP, 4.88%, due 05/01/24 144A
|
545,803
|
|
504,000
|
|
Capital One Financial Corp., 1.34% (SOFR + 0.69%), due 12/06/24(c)
|
482,685
|
|
1,595,000
|
|
Capital One Financial Corp., 3.30%, due 10/30/24
|
1,540,530
|
|
221,000
|
|
Capital One Financial Corp., 4.93% (SOFR + 2.06%), due 05/10/28(c)
|
214,296
|
|
113,000
|
|
CCM Merger, Inc., 6.38%, due 05/01/26 144A
|
106,628
|
|
475,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.00%, due 03/01/23 144A
|
473,227
|
|
220,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 06/01/33 144A
|
169,234
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
160,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A
|
145,044
|
|
134,000
|
|
CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29
|
114,364
|
|
450,000
|
|
CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24
|
450,747
|
|
204,000
|
|
Celulosa Arauco y Constitucion SA, 3.88%, due 11/02/27
|
191,253
|
|
340,000
|
|
Cemex SAB de CV, 3.88%, due 07/11/31 144A
|
287,657
|
|
279,000
|
|
Cemex SAB de CV, 5.20%, due 09/17/30 144A
|
260,771
|
|
140,000
|
|
Cenovus Energy, Inc., 3.75%, due 02/15/52(e)
|
98,936
|
|
240,000
|
|
Cenovus Energy, Inc., 5.40%, due 06/15/47
|
215,819
|
|
454,000
|
|
Centene Corp., 3.00%, due 10/15/30
|
373,190
|
|
209,000
|
|
Centene Corp., 3.38%, due 02/15/30
|
177,154
|
|
103,000
|
|
Centene Corp., 4.25%, due 12/15/27
|
96,827
|
|
335,000
|
|
CenterPoint Energy, Inc., 3.70%, due 09/01/49(e)
|
250,215
|
|
391,000
|
|
Century Communities, Inc., 3.88%, due 08/15/29 144A
|
307,932
|
|
475,000
|
|
CGI, Inc., 1.45%, due 09/14/26
|
420,693
|
|
125,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
2.30%, due 02/01/32
|
92,370
|
|
750,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
2.80%, due 04/01/31
|
585,604
|
|
857,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.90%, due 06/01/52
|
541,223
|
|
1,229,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
4.80%, due 03/01/50
|
897,032
|
|
270,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.38%, due 05/01/47
|
212,868
|
|
1,021,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.75%, due 04/01/48
|
840,079
|
|
1,964,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
6.38%, due 10/23/35
|
1,921,364
|
|
1,025,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
6.48%, due 10/23/45
|
928,673
|
|
679,000
|
|
Cheniere Energy Partners, LP, 4.00%, due 03/01/31
|
578,990
|
|
568,000
|
|
Cheniere Energy Partners, LP, 4.50%, due 10/01/29
|
512,039
|
|
643,000
|
|
Chevron Corp., 2.00%, due 05/11/27
|
578,445
|
|
290,000
|
|
Choice Hotels International, Inc., 3.70%, due 12/01/29
|
253,189
|
|
295,000
|
|
Choice Hotels International, Inc., 3.70%, due 01/15/31
|
250,795
|
|
1,485,000
|
|
Cigna Corp., 3.40%, due 03/01/27
|
1,395,120
|
|
701,000
|
|
Cimpress Plc, 7.00%, due 06/15/26 144A
|
485,709
|
|
859,000
|
|
Citigroup, Inc., 2.56% (SOFR + 1.17%), due 05/01/32(c)
|
680,198
|
|
863,000
|
|
Citigroup, Inc., 3.20%, due 10/21/26
|
799,583
|
|
3,626,000
|
|
Citigroup, Inc., 3.40%, due 05/01/26
|
3,441,199
|
|
625,000
|
|
Citigroup, Inc., 3.52% (3 mo. USD LIBOR + 1.15%), due 10/27/28(c)
|
571,280
|
|
310,000
|
|
Citigroup, Inc., 3.67% (3 mo. USD LIBOR + 1.39%), due 07/24/28(c)
|
285,189
|
|
1,585,000
|
|
Citigroup, Inc., 3.89% (3 mo. USD LIBOR + 1.56%), due 01/10/28(c)
|
1,483,387
|
|
1,400,000
|
|
Citigroup, Inc., 4.08% (3 mo. USD LIBOR + 1.19%), due 04/23/29(c)
|
1,290,743
|
|
180,000
|
|
Citigroup, Inc., 4.40%, due 06/10/25
|
176,839
|
|
440,000
|
|
Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(c)
|
405,073
|
|
1,228,000
|
|
Citigroup, Inc., 4.70% (SOFR + 3.23%)(c)(g)
|
1,023,785
|
|
596,000
|
|
Citigroup, Inc., 6.25% (3 mo. USD LIBOR + 4.52%)(c)(g)
|
579,610
|
|
875,000
|
|
Citizens Financial Group, Inc., 3.25%, due 04/30/30
|
761,578
|
|
524,000
|
|
Cleveland Clinic Foundation (The), 4.86%, due 01/01/14(h)
|
448,560
|
|
194,000
|
|
CNA Financial Corp., 2.05%, due 08/15/30
|
153,210
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
197,000
|
|
CNO Financial Group, Inc., 5.25%, due 05/30/25
|
195,619
|
|
710,000
|
|
CNO Financial Group, Inc., 5.25%, due 05/30/29
|
677,950
|
|
91,000
|
|
CNX Resources Corp., 7.38%, due 01/15/31(e) 144A
|
87,348
|
|
18,000
|
|
Comcast Corp., 2.89%, due 11/01/51
|
11,642
|
|
429,000
|
|
Comcast Corp., 3.30%, due 04/01/27
|
404,937
|
|
1,007,000
|
|
Comcast Corp., 3.40%, due 04/01/30
|
920,638
|
|
5,000
|
|
Comcast Corp., 3.97%, due 11/01/47
|
4,019
|
|
5,000
|
|
Comcast Corp., 6.50%, due 11/15/35
|
5,583
|
|
600,000
|
|
Comision Federal de Electricidad, 4.69%, due 05/15/29 144A
|
533,309
|
|
969,000
|
|
CommonSpirit Health, 2.76%, due 10/01/24
|
929,716
|
|
357,000
|
|
CommonSpirit Health, 4.19%, due 10/01/49(e)
|
279,366
|
|
350,000
|
|
Commonwealth Edison Co., 4.00%, due 03/01/48
|
289,336
|
|
280,000
|
|
Consensus Cloud Solutions, Inc., 6.50%, due 10/15/28 144A
|
257,899
|
|
65,000
|
|
Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56
|
52,420
|
|
350,000
|
|
Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45
|
301,289
|
|
385,000
|
|
Constellation Brands, Inc., 2.25%, due 08/01/31
|
306,806
|
|
141,000
|
|
Continental Resources, Inc., 4.50%, due 04/15/23
|
140,982
|
|
269,000
|
|
Continental Resources, Inc., 4.90%, due 06/01/44
|
199,900
|
|
332,000
|
|
Coruripe Netherlands BV, 10.00%, due 02/10/27 144A
|
266,430
|
|
571,000
|
|
CoStar Group, Inc., 2.80%, due 07/15/30 144A
|
467,609
|
|
970,000
|
|
Cox Communications, Inc., 2.60%, due 06/15/31 144A
|
774,845
|
|
2,971,000
|
|
Cox Communications, Inc., 3.35%, due 09/15/26 144A
|
2,781,725
|
|
320,000
|
|
Credit Agricole SA, 2.81%, due 01/11/41(i)
|
198,698
|
|
786,000
|
|
Credit Agricole SA, 3.25%, due 01/14/30 144A
|
644,030
|
|
250,000
|
|
Credit Agricole SA, 3.75%, due 04/24/23 144A
|
248,930
|
|
380,000
|
|
Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(c)(g) 144A
|
377,741
|
|
2,278,000
|
|
Credit Suisse Group AG, 1.31% (SOFR + 0.98%), due 02/02/27(c) 144A
|
1,825,096
|
|
238,000
|
|
Crown Castle, Inc. REIT, 3.80%, due 02/15/28
|
221,610
|
|
270,000
|
|
CSC Holdings LLC, 3.38%, due 02/15/31 144A
|
176,518
|
|
247,000
|
|
CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25(e) 144A
|
231,335
|
|
72,000
|
|
CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25 144A
|
67,434
|
|
234,364
|
|
CSI Compressco, LP/CSI Compressco Finance, Inc., 10.00% (10.00% Cash or 7.25%
plus 3.50% PIK), due 04/01/26 144A
|
193,798
|
|
203,000
|
|
CVS Health Corp., 4.30%, due 03/25/28
|
196,729
|
|
470,000
|
|
CVS Health Corp., 4.78%, due 03/25/38
|
430,014
|
|
451,000
|
|
CVS Health Corp., 5.05%, due 03/25/48
|
407,089
|
|
130,000
|
|
CVS Health Corp., 5.13%, due 07/20/45
|
119,118
|
|
1,040,266
|
|
CVS Pass-Through Trust, 5.77%, due 01/10/33 144A
|
1,017,101
|
|
555,842
|
|
CVS Pass-Through Trust, 6.94%, due 01/10/30
|
566,185
|
|
1,548,991
|
|
CVS Pass-Through Trust, 7.51%, due 01/10/32 144A
|
1,612,760
|
|
229,000
|
|
DAE Funding LLC, 2.63%, due 03/20/25 144A
|
214,550
|
|
375,000
|
|
Dana, Inc., 4.50%, due 02/15/32
|
300,408
|
|
422,000
|
|
DaVita, Inc., 4.63%, due 06/01/30 144A
|
340,361
|
|
226,000
|
|
DCP Midstream Operating, LP, 5.85% (3 mo. USD LIBOR + 3.85%), due 05/21/43(c)
144A
|
221,017
|
|
77,000
|
|
Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28 144A
|
67,872
|
|
386,000
|
|
Dell International LLC/EMC Corp., 5.30%, due 10/01/29
|
378,390
|
|
224,000
|
|
Dell International LLC/EMC Corp., 5.85%, due 07/15/25
|
226,594
|
|
1,231,546
|
|
Delta Air Lines Pass Through Trust, 2.00%, due 12/10/29
|
1,050,633
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
834,000
|
|
Delta Air Lines, Inc., 2.90%, due 10/28/24
|
791,473
|
|
85,000
|
|
Delta Air Lines, Inc., 3.80%, due 04/19/23
|
84,302
|
|
445,000
|
|
Delta Air Lines, Inc., 4.38%, due 04/19/28(e)
|
397,387
|
|
86,000
|
|
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, due 10/20/25 144A
|
83,947
|
|
392,525
|
|
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, due 10/20/28 144A
|
369,566
|
|
739,000
|
|
Deutsche Bank AG, 0.96%, due 11/08/23
|
711,257
|
|
427,000
|
|
Deutsche Bank AG, 2.31% (SOFR + 1.22%), due 11/16/27(c)
|
362,588
|
|
305,000
|
EUR
|
DH Europe Finance II SARL, 1.35%, due 09/18/39
|
222,591
|
|
321,000
|
|
Diamondback Energy, Inc., 3.13%, due 03/24/31(e)
|
266,586
|
|
865,000
|
|
Diamondback Energy, Inc., 3.25%, due 12/01/26
|
805,745
|
|
373,000
|
|
Digital Realty Trust, LP REIT, 3.60%, due 07/01/29(e)
|
333,944
|
|
1,121,000
|
|
Digital Realty Trust, LP REIT, 3.70%, due 08/15/27(e)
|
1,042,040
|
|
158,000
|
|
Discover Financial Services, 4.10%, due 02/09/27
|
148,907
|
|
1,060,000
|
|
Dollar Tree, Inc., 4.20%, due 05/15/28
|
1,015,850
|
|
115,000
|
|
Dominion Energy, Inc., 2.85%, due 08/15/26
|
106,162
|
|
311,000
|
|
Dominion Energy, Inc., 3.38%, due 04/01/30
|
274,775
|
|
285,000
|
|
DPL, Inc., 4.13%, due 07/01/25
|
268,248
|
|
850,000
|
|
DTE Electric Co., 2.25%, due 03/01/30
|
716,349
|
|
1,595,038
|
|
DTE Electric Securitization Funding I LLC, 2.64%, due 12/01/27
|
1,504,873
|
|
1,740,000
|
|
DTE Energy Co., 1.05%, due 06/01/25
|
1,577,557
|
|
411,000
|
|
Duke Energy Carolinas LLC, 3.95%, due 03/15/48
|
330,818
|
|
420,000
|
|
Duke Energy Florida LLC, 3.40%, due 10/01/46
|
303,626
|
|
195,000
|
|
Duke Energy Progress LLC, 3.70%, due 10/15/46
|
148,574
|
|
787,000
|
|
eBay, Inc., 2.70%, due 03/11/30
|
670,309
|
|
213,000
|
|
Ecopetrol SA, 6.88%, due 04/29/30
|
193,642
|
|
167,000
|
|
Edgewell Personal Care Co., 4.13%, due 04/01/29 144A
|
142,605
|
|
152,000
|
|
Edgewell Personal Care Co., 5.50%, due 06/01/28 144A
|
142,424
|
|
546,000
|
|
EIG Pearl Holdings SARL, 3.55%, due 08/31/36 144A
|
459,531
|
|
190,000
|
|
El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32
|
215,530
|
|
300,000
|
|
Elevance Health, Inc., 3.60%, due 03/15/51
|
225,731
|
|
5,000
|
|
Elevance Health, Inc., 5.10%, due 01/15/44
|
4,739
|
|
42,000
|
|
Embraer Netherlands Finance BV, 5.05%, due 06/15/25
|
40,834
|
|
250,000
|
|
Embraer Overseas, Ltd., 5.70%, due 09/16/23 144A
|
250,443
|
|
450,000
|
|
Emera US Finance, LP, 3.55%, due 06/15/26
|
422,075
|
|
457,000
|
|
Enbridge, Inc., 5.50% (3 mo. USD LIBOR + 3.42%), due 07/15/77(c)
|
404,750
|
|
470,000
|
|
Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(c)
|
426,157
|
|
442,000
|
|
Enbridge, Inc., 6.25% (3 mo. USD LIBOR + 3.64%), due 03/01/78(c)
|
402,840
|
|
148,000
|
|
Encompass Health Corp., 4.50%, due 02/01/28
|
134,673
|
|
126,000
|
|
Encompass Health Corp., 4.63%, due 04/01/31
|
108,501
|
|
225,000
|
|
Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A
|
215,809
|
|
230,000
|
|
Energean Israel Finance, Ltd., 4.50%, due 03/30/24(j) 144A
|
222,468
|
|
365,000
|
|
Energean Israel Finance, Ltd., 4.88%, due 03/30/26(j) 144A
|
338,793
|
|
106,000
|
|
Energean Israel Finance, Ltd., 5.38%, due 03/30/28(j) 144A
|
95,400
|
|
185,000
|
|
Energean Israel Finance, Ltd., 5.88%, due 03/30/31(j) 144A
|
162,222
|
|
302,000
|
|
Energy Transfer, LP, 4.20%, due 04/15/27
|
285,465
|
|
580,000
|
|
Energy Transfer, LP, 5.15%, due 03/15/45
|
482,502
|
|
150,000
|
|
Energy Transfer, LP, 5.30%, due 04/01/44
|
127,270
|
|
450,000
|
|
Energy Transfer, LP, 5.30%, due 04/15/47
|
376,603
|
|
501,000
|
|
Energy Transfer, LP, 5.40%, due 10/01/47
|
426,611
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,352,000
|
|
Energy Transfer, LP, 5.50%, due 06/01/27
|
1,344,567
|
|
340,000
|
|
Energy Transfer, LP, 6.25%, due 04/15/49
|
317,794
|
|
545,000
|
|
Energy Transfer, LP, 6.50% (5 yr. CMT + 5.69%)(c)(g)
|
470,063
|
|
302,000
|
|
Enova International, Inc., 8.50%, due 09/15/25 144A
|
280,476
|
|
1,100,000
|
|
Enterprise Products Operating LLC, 4.90%, due 05/15/46
|
961,740
|
|
939,000
|
|
Enterprise Products Operating LLC, 5.25% (3 mo. USD LIBOR + 3.03%), due
08/16/77(c)
|
756,492
|
|
80,000
|
|
EQM Midstream Partners, LP, 7.50%, due 06/01/27 144A
|
78,447
|
|
56,000
|
|
EQM Midstream Partners, LP, 7.50%, due 06/01/30 144A
|
54,034
|
|
115,000
|
|
EQT Corp., 5.68%, due 10/01/25
|
114,598
|
|
442,000
|
|
EQT Corp., 7.00%, due 02/01/30(d)
|
459,150
|
|
1,215,000
|
|
Equifax, Inc., 5.10%, due 12/15/27(e)
|
1,201,481
|
|
226,000
|
|
Equinix, Inc. REIT, 1.80%, due 07/15/27
|
193,787
|
|
460,000
|
|
Essential Utilities, Inc., 2.70%, due 04/15/30
|
386,853
|
|
925,000
|
|
Essex Portfolio, LP REIT, 1.70%, due 03/01/28
|
771,657
|
|
1,320,000
|
|
Eversource Energy, 2.90%, due 10/01/24
|
1,273,311
|
|
1,250,000
|
|
Eversource Energy, 2.90%, due 03/01/27
|
1,152,719
|
|
1,066,000
|
|
Exelon Corp., 3.35%, due 03/15/32(k)
|
928,790
|
|
285,000
|
|
Exelon Corp., 4.70%, due 04/15/50
|
249,752
|
|
1,128,000
|
|
Exelon Corp., 5.10%, due 06/15/45
|
1,054,579
|
|
375,000
|
|
Expedia Group, Inc., 2.95%, due 03/15/31
|
302,434
|
|
509,000
|
|
Expedia Group, Inc., 4.63%, due 08/01/27
|
489,138
|
|
632,000
|
|
Expedia Group, Inc., 5.00%, due 02/15/26
|
624,397
|
|
1,000,000
|
|
Fairfax Financial Holdings, Ltd., 5.63%, due 08/16/32 144A
|
941,458
|
|
600,000
|
|
Falabella SA, 4.38%, due 01/27/25 144A
|
582,867
|
|
1,328,000
|
|
Ferguson Finance Plc, 3.25%, due 06/02/30 144A
|
1,129,188
|
|
2,130,000
|
|
Ferguson Finance Plc, 4.50%, due 10/24/28 144A
|
1,989,359
|
|
219,000
|
|
Fifth Third Bancorp, 5.10% (3 mo. USD LIBOR + 3.03%)(c)(e)(g)
|
208,598
|
|
135,000
|
|
First Quantum Minerals, Ltd., 6.88%, due 03/01/26(e) 144A
|
128,048
|
|
245,000
|
|
First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A
|
230,369
|
|
200,000
|
|
First Quantum Minerals, Ltd., 7.50%, due 04/01/25(e) 144A
|
195,080
|
|
194,000
|
|
FirstEnergy Corp., 2.65%, due 03/01/30
|
158,520
|
|
117,000
|
|
FirstEnergy Corp., 3.40%, due 03/01/50
|
77,404
|
|
1,815,000
|
|
Florida Power & Light Co., 2.45%, due 02/03/32
|
1,517,098
|
|
270,000
|
|
Flowserve Corp., 3.50%, due 10/01/30
|
225,742
|
|
196,000
|
|
Ford Motor Co., 3.25%, due 02/12/32
|
147,337
|
|
175,000
|
|
Ford Motor Co., 4.75%, due 01/15/43
|
126,008
|
|
215,000
|
|
Ford Motor Credit Co. LLC, 4.00%, due 11/13/30
|
176,903
|
|
606,000
|
|
Ford Motor Credit Co. LLC, 4.13%, due 08/17/27
|
543,761
|
|
720,000
|
|
Ford Motor Credit Co. LLC, 5.11%, due 05/03/29
|
653,616
|
|
273,000
|
|
Freedom Mortgage Corp., 8.13%, due 11/15/24 144A
|
251,591
|
|
493,000
|
|
Freeport-McMoRan, Inc., 4.25%, due 03/01/30
|
448,475
|
|
350,000
|
|
Freeport-McMoRan, Inc., 4.63%, due 08/01/30
|
326,576
|
|
584,000
|
|
Freeport-McMoRan, Inc., 5.45%, due 03/15/43
|
528,108
|
|
826,000
|
|
Fresenius Medical Care US Finance III, Inc., 2.38%, due 02/16/31(e) 144A
|
607,562
|
|
163,000
|
|
Full House Resorts, Inc., 8.25%, due 02/15/28 144A
|
144,509
|
|
1,463,000
|
|
GA Global Funding Trust, 3.85%, due 04/11/25 144A
|
1,401,451
|
|
100,000
|
|
Gap, Inc. (The), 3.63%, due 10/01/29 144A
|
70,673
|
|
100,000
|
|
Gap, Inc. (The), 3.88%, due 10/01/31(e) 144A
|
69,909
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
145,000
|
|
Garda World Security Corp., 6.00%, due 06/01/29 144A
|
118,008
|
|
125,000
|
|
Gartner, Inc., 3.63%, due 06/15/29 144A
|
109,991
|
|
203,000
|
|
GCI LLC, 4.75%, due 10/15/28 144A
|
170,868
|
|
233,000
|
|
GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26
144A
|
224,335
|
|
440,000
|
|
General Motors Co., 5.00%, due 04/01/35
|
380,271
|
|
596,000
|
|
General Motors Co., 5.40%, due 10/15/29
|
570,085
|
|
205,000
|
|
General Motors Co., 5.40%, due 04/01/48
|
168,425
|
|
450,000
|
|
General Motors Co., 6.25%, due 10/02/43
|
417,981
|
|
1,736,000
|
|
General Motors Financial Co., Inc., 2.40%, due 10/15/28
|
1,442,651
|
|
605,000
|
|
General Motors Financial Co., Inc., 2.90%, due 02/26/25
|
573,516
|
|
430,000
|
|
General Motors Financial Co., Inc., 3.10%, due 01/12/32
|
337,984
|
|
1,474,000
|
|
General Motors Financial Co., Inc., 3.60%, due 06/21/30
|
1,243,740
|
|
182,000
|
|
GFL Environmental, Inc., 4.38%, due 08/15/29 144A
|
154,468
|
|
275,000
|
|
Global Infrastructure Solutions, Inc., 5.63%, due 06/01/29 144A
|
216,073
|
|
325,000
|
|
Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A
|
272,775
|
|
239,000
|
|
GLP Capital, LP/GLP Financing II, Inc. REIT, 3.25%, due 01/15/32
|
191,398
|
|
211,000
|
|
GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/30
|
185,171
|
|
1,000,000
|
|
GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/31
|
859,575
|
|
582,000
|
|
GLP Capital, LP/GLP Financing II, Inc. REIT, 5.38%, due 04/15/26(e)
|
571,930
|
|
1,350,000
|
|
Goldman Sachs Group, Inc. (The), 0.86% (SOFR + 0.61%), due 02/12/26(c)
|
1,221,738
|
|
975,000
|
|
Goldman Sachs Group, Inc. (The), 1.43% (SOFR + 0.80%), due 03/09/27(c)
|
856,068
|
|
1,100,000
|
|
Goldman Sachs Group, Inc. (The), 1.54% (SOFR + 0.82%), due 09/10/27(c)
|
950,274
|
|
720,000
|
|
Goldman Sachs Group, Inc. (The), 2.38% (SOFR + 1.25%), due 07/21/32(c)
|
560,393
|
|
1,755,000
|
|
Goldman Sachs Group, Inc. (The), 2.62% (SOFR + 1.28%), due 04/22/32(c)
|
1,403,807
|
|
566,000
|
|
Goldman Sachs Group, Inc. (The), 2.65% (SOFR + 1.26%), due 10/21/32(c)
|
448,308
|
|
890,000
|
|
Goldman Sachs Group, Inc. (The), 3.10% (SOFR + 1.41%), due 02/24/33(c)
|
724,977
|
|
1,200,000
|
|
Goldman Sachs Group, Inc. (The), 3.27% (3 mo. USD LIBOR + 1.20%), due 09/29/25(c)
|
1,157,154
|
|
140,000
|
|
Goldman Sachs Group, Inc. (The), 3.50%, due 01/23/25
|
135,349
|
|
85,000
|
|
Goldman Sachs Group, Inc. (The), 3.75%, due 02/25/26
|
81,918
|
|
1,131,000
|
|
Goldman Sachs Group, Inc. (The), 3.80%, due 03/15/30
|
1,019,351
|
|
815,000
|
|
Goldman Sachs Group, Inc. (The), 3.81% (3 mo. USD LIBOR + 1.16%), due 04/23/29(c)
|
745,902
|
|
325,000
|
|
Goldman Sachs Group, Inc. (The), 3.85%, due 01/26/27
|
309,918
|
|
370,000
|
|
Graphic Packaging International LLC, 3.50%, due 03/01/29 144A
|
316,712
|
|
275,000
|
|
Graphic Packaging International LLC, 4.13%, due 08/15/24(e)
|
270,607
|
|
120,000
|
|
Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A
|
101,773
|
|
500,000
|
|
H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A
|
426,773
|
|
389,000
|
|
HCA, Inc., 4.13%, due 06/15/29
|
355,935
|
|
410,000
|
|
HCA, Inc., 4.38%, due 03/15/42 144A
|
328,247
|
|
418,000
|
|
HCA, Inc., 5.25%, due 04/15/25
|
415,933
|
|
332,000
|
|
HCA, Inc., 5.25%, due 06/15/26
|
328,419
|
|
25,000
|
|
HCA, Inc., 5.38%, due 02/01/25
|
24,990
|
|
275,000
|
|
HCA, Inc., (MTN), 7.75%, due 07/15/36
|
300,465
|
|
646,000
|
|
Healthpeak Properties, Inc. REIT, 3.25%, due 07/15/26
|
610,602
|
|
89,000
|
|
Hess Midstream Operations, LP, 4.25%, due 02/15/30 144A
|
76,208
|
|
43,000
|
|
Hess Midstream Operations, LP, 5.50%, due 10/15/30 144A
|
39,397
|
|
150,000
|
|
Hilcorp Energy I, LP/Hilcorp Finance Co., 6.00%, due 04/15/30 144A
|
133,608
|
|
200,000
|
|
Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A
|
172,877
|
|
167,000
|
|
Hillenbrand, Inc., 3.75%, due 03/01/31
|
137,157
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
212,000
|
|
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 4.88%, due 07/01/31 144A
|
173,300
|
|
265,000
|
|
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 5.00%, due 06/01/29 144A
|
228,238
|
|
777,000
|
|
Home Depot, Inc. (The), 3.30%, due 04/15/40
|
621,867
|
|
588,000
|
|
Home Depot, Inc. (The), 3.63%, due 04/15/52
|
456,977
|
|
597,000
|
|
Host Hotels & Resorts, LP REIT, 3.38%, due 12/15/29
|
500,326
|
|
350,000
|
|
Host Hotels & Resorts, LP REIT, 3.50%, due 09/15/30
|
289,628
|
|
260,000
|
|
Host Hotels & Resorts, LP REIT, 4.50%, due 02/01/26
|
249,442
|
|
1,368,000
|
|
HSBC Holdings Plc, 7.39% (SOFR + 3.35%), due 11/03/28(c)
|
1,440,132
|
|
69,000
|
|
Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A
|
62,760
|
|
368,000
|
|
Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30
|
334,865
|
|
390,000
|
|
Huntsman International LLC, 2.95%, due 06/15/31
|
303,579
|
|
870,000
|
|
Huntsman International LLC, 4.50%, due 05/01/29
|
783,078
|
|
248,000
|
|
Hyatt Hotels Corp., 6.00%, due 04/23/30(d)(e)
|
243,174
|
|
517,000
|
|
Hyundai Capital America, 1.00%, due 09/17/24 144A
|
477,989
|
|
220,000
|
|
Hyundai Capital America, 1.80%, due 10/15/25 144A
|
198,091
|
|
235,000
|
|
Hyundai Capital America, 2.38%, due 10/15/27 144A
|
201,420
|
|
20,000
|
|
IHS Markit, Ltd., 4.75%, due 08/01/28
|
19,252
|
|
126,000
|
|
Infor, Inc., 1.75%, due 07/15/25 144A
|
113,955
|
|
200,000
|
|
Instituto Costarricense de Electricidad, 6.38%, due 05/15/43 144A
|
159,072
|
|
223,000
|
|
Intesa Sanpaolo SpA, 4.20% (1 yr. CMT + 2.60%), due 06/01/32(c) 144A
|
164,294
|
|
80,000
|
|
IPALCO Enterprises, Inc., 4.25%, due 05/01/30
|
71,258
|
|
106,000
|
|
Iron Mountain Information Management Services, Inc. REIT, 5.00%, due 07/15/32 144A
|
88,207
|
|
210,000
|
|
Iron Mountain, Inc. REIT, 4.88%, due 09/15/29 144A
|
183,515
|
|
221,000
|
|
Iron Mountain, Inc. REIT, 5.25%, due 07/15/30 144A
|
192,547
|
|
125,000
|
|
Jacobs Entertainment, Inc., 6.75%, due 02/15/29 144A
|
112,991
|
|
107,000
|
|
JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A
|
103,424
|
|
1,050,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, due 02/02/29
144A
|
871,305
|
|
347,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.63%, due 01/15/32
144A
|
281,571
|
|
95,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, due 12/01/31
144A
|
78,039
|
|
222,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.13%, due 02/01/28
144A
|
210,733
|
|
605,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33
144A
|
578,549
|
|
310,850
|
|
JetBlue Pass Through Trust, 2.75%, due 11/15/33
|
255,863
|
|
2,000,000
|
|
JPMorgan Chase & Co., 2.07% (SOFR + 1.02%), due 06/01/29(c)
|
1,673,851
|
|
709,000
|
|
JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(c)
|
581,731
|
|
460,000
|
|
JPMorgan Chase & Co., 2.58% (SOFR + 1.25%), due 04/22/32(c)
|
369,589
|
|
405,000
|
|
JPMorgan Chase & Co., 2.96% (SOFR + 1.26%), due 01/25/33(c)
|
330,686
|
|
790,000
|
|
JPMorgan Chase & Co., 2.96% (SOFR + 2.52%), due 05/13/31(c)
|
652,664
|
|
3,605,000
|
|
JPMorgan Chase & Co., 3.78% (3 mo. USD LIBOR + 1.34%), due 02/01/28(c)
|
3,373,343
|
|
608,000
|
|
JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.25%), due 01/29/27(c)
|
580,262
|
|
625,000
|
|
JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.38%), due 11/15/48(c)
|
490,433
|
|
585,000
|
|
JPMorgan Chase & Co., 4.00% (SOFR + 2.75%)(c)(e)(g)
|
502,369
|
|
340,000
|
|
JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR + 1.12%), due 04/23/29(c)
|
315,161
|
|
2,450,000
|
|
JPMorgan Chase & Co., 4.20% (3 mo. USD LIBOR + 1.26%), due 07/23/29(c)
|
2,287,547
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,207,000
|
|
JPMorgan Chase & Co., 4.49% (SOFR + 3.79%), due 03/24/31(c)
|
1,130,131
|
|
551,000
|
|
JPMorgan Chase & Co., 4.60% (SOFR + 3.13%)(c)(g)
|
486,946
|
|
180,000
|
|
JPMorgan Chase & Co., 5.00% (SOFR + 3.38%)(c)(g)
|
164,800
|
|
843,000
|
|
JPMorgan Chase & Co., 6.75% (3 mo. USD LIBOR + 3.78%)(c)(g)
|
840,273
|
|
103,000
|
|
JW Aluminum Continuous Cast Co., 10.25%, due 06/01/26 144A
|
105,024
|
|
780,000
|
|
Kaiser Foundation Hospitals, 2.81%, due 06/01/41
|
568,316
|
|
200,000
|
|
KazMunayGas National Co. JSC, 4.75%, due 04/24/25 144A
|
194,260
|
|
81,000
|
|
KB Home, 7.25%, due 07/15/30
|
78,808
|
|
175,000
|
|
Ken Garff Automotive LLC, 4.88%, due 09/15/28 144A
|
146,678
|
|
383,000
|
|
Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32
|
425,462
|
|
640,000
|
|
Kinder Morgan, Inc., 3.60%, due 02/15/51
|
443,616
|
|
991,000
|
|
KKR Group Finance Co. II LLC, 5.50%, due 02/01/43(e) 144A
|
915,747
|
|
257,000
|
|
KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A
|
177,308
|
|
283,000
|
|
KKR Group Finance Co. X LLC, 3.25%, due 12/15/51 144A
|
180,305
|
|
335,000
|
|
KLA Corp., 4.10%, due 03/15/29
|
323,953
|
|
120,000
|
|
Kraft Heinz Foods Co., 4.88%, due 10/01/49
|
104,774
|
|
244,000
|
|
Kraft Heinz Foods Co., 5.00%, due 06/04/42
|
221,806
|
|
115,000
|
|
Kraft Heinz Foods Co., 5.20%, due 07/15/45
|
106,668
|
|
256,000
|
|
Kraft Heinz Foods Co., 5.50%, due 06/01/50
|
246,071
|
|
397,000
|
|
Lam Research Corp., 2.88%, due 06/15/50(e)
|
267,128
|
|
100,000
|
|
Lamb Weston Holdings, Inc., 4.13%, due 01/31/30 144A
|
88,455
|
|
325,000
|
|
Lamb Weston Holdings, Inc., 4.38%, due 01/31/32 144A
|
284,422
|
|
251,000
|
|
Lazard Group LLC, 4.38%, due 03/11/29
|
232,320
|
|
470,000
|
|
Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86% (3 mo. USD LIBOR +
0.84%)(c)(f)(g)(l)(m)
|
—
|
|
890,000
|
|
Lehman Brothers Holdings, Inc., 6.50%, due 07/19/17(f)(l)(m)
|
—
|
|
270,000
|
|
Lehman Brothers Holdings, Inc., (MTN), 6.75%, due 12/28/17(f)(l)(m)
|
—
|
|
614,000
|
|
Level 3 Financing, Inc., 3.40%, due 03/01/27 144A
|
519,896
|
|
511,000
|
|
Leviathan Bond, Ltd., 6.50%, due 06/30/27(j) 144A
|
497,459
|
|
69,000
|
|
Leviathan Bond, Ltd., 6.75%, due 06/30/30(j) 144A
|
65,296
|
|
230,000
|
|
Liberty Mutual Group, Inc., 3.95%, due 10/15/50(e) 144A
|
161,413
|
|
329,000
|
|
Liberty Mutual Group, Inc., 4.13% (5 yr. CMT + 3.32%), due 12/15/51(c) 144A
|
268,451
|
|
254,000
|
|
Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A
|
252,229
|
|
2,679,000
|
|
Liberty Mutual Group, Inc., 4.57%, due 02/01/29(e) 144A
|
2,509,547
|
|
2,434,000
|
|
Lincoln National Corp., 3.40%, due 01/15/31(e)
|
2,018,936
|
|
343,000
|
|
Lions Gate Capital Holdings LLC, 5.50%, due 04/15/29 144A
|
199,316
|
|
129,000
|
|
Lithia Motors, Inc., 3.88%, due 06/01/29 144A
|
106,239
|
|
129,000
|
|
Lithia Motors, Inc., 4.38%, due 01/15/31(e) 144A
|
105,184
|
|
64,000
|
|
Lithia Motors, Inc., 4.63%, due 12/15/27 144A
|
57,834
|
|
175,000
|
|
Live Nation Entertainment, Inc., 4.75%, due 10/15/27 144A
|
156,078
|
|
1,150,000
|
|
Lloyds Banking Group Plc, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(c)
|
1,071,567
|
|
1,455,000
|
|
Lloyds Banking Group Plc, 4.45%, due 05/08/25
|
1,428,456
|
|
421,000
|
|
Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(c)(g)
|
409,002
|
|
712,000
|
|
Lockheed Martin Corp., 2.80%, due 06/15/50(e)
|
482,829
|
|
386,000
|
|
Lowe's Cos., Inc., 3.70%, due 04/15/46
|
287,493
|
|
953,000
|
|
Lowe's Cos., Inc., 5.63%, due 04/15/53(e)
|
917,712
|
|
284,000
|
|
LSC Communication Escrow, Inc., 8.75%, due 10/15/23(f)
|
534
|
|
720,000
|
|
Lubrizol Corp. (The), 6.50%, due 10/01/34
|
824,715
|
|
150,000
|
|
LYB International Finance BV, 4.88%, due 03/15/44
|
125,675
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
380,000
|
|
LYB International Finance III LLC, 4.20%, due 05/01/50
|
282,630
|
|
168,000
|
|
M&T Bank Corp., 5.13% (3 mo. USD LIBOR + 3.52%)(c)(g)
|
145,013
|
|
320,000
|
|
Macquarie Bank, Ltd., 3.62%, due 06/03/30 144A
|
259,419
|
|
416,000
|
|
Macquarie Bank, Ltd., 4.88%, due 06/10/25 144A
|
407,289
|
|
943,000
|
|
Macquarie Group, Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(c) 144A
|
822,865
|
|
1,484,000
|
|
Macquarie Group, Ltd., 4.15% (3 mo. USD LIBOR + 1.33%), due 03/27/24(c) 144A
|
1,478,716
|
|
74,000
|
|
Macy's Retail Holdings LLC, 5.88%, due 04/01/29(e) 144A
|
65,629
|
|
25,000
|
|
Macy's Retail Holdings LLC, 5.88%, due 03/15/30(e) 144A
|
21,730
|
|
46,000
|
|
Macy's Retail Holdings LLC, 6.13%, due 03/15/32 144A
|
38,732
|
|
55,000
|
|
Magellan Midstream Partners, LP, 4.25%, due 09/15/46
|
41,810
|
|
200,000
|
|
Magellan Midstream Partners, LP, 5.15%, due 10/15/43
|
175,295
|
|
2,101,000
|
|
Manulife Financial Corp., 3.70%, due 03/16/32
|
1,878,329
|
|
420,000
|
|
MARB BondCo Plc, 3.95%, due 01/29/31 144A
|
323,244
|
|
458,000
|
|
Marriott International, Inc., 4.63%, due 06/15/30
|
428,467
|
|
960,000
|
|
Marriott International, Inc., 5.00%, due 10/15/27
|
948,924
|
|
400,000
|
|
Martin Marietta Materials, Inc., 2.50%, due 03/15/30
|
330,434
|
|
733,000
|
|
Marvell Technology, Inc., 2.45%, due 04/15/28
|
621,690
|
|
175,000
|
|
Masonite International Corp., 3.50%, due 02/15/30 144A
|
141,790
|
|
460,000
|
|
Massachusetts Institute of Technology, 4.68%, due 07/01/14(h)
|
394,610
|
|
1,255,000
|
|
Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50(i)
|
873,181
|
|
915,000
|
|
Massachusetts Mutual Life Insurance Co., 5.67%, due 12/01/52 144A
|
911,361
|
|
224,000
|
|
MasTec, Inc., 4.50%, due 08/15/28(e) 144A
|
201,039
|
|
132,000
|
|
Match Group Holdings II LLC, 3.63%, due 10/01/31 144A
|
101,398
|
|
162,000
|
|
Match Group Holdings II LLC, 4.13%, due 08/01/30(e) 144A
|
132,539
|
|
311,000
|
|
MC Brazil Downstream Trading SARL, 7.25%, due 06/30/31 144A
|
257,060
|
|
900,000
|
|
McDonald's Corp., (MTN), 4.20%, due 04/01/50
|
753,494
|
|
202,000
|
|
MDC Holdings, Inc., 2.50%, due 01/15/31
|
146,100
|
|
240,000
|
|
Mercedes-Benz Finance North America LLC, 3.50%, due 08/03/25 144A
|
231,196
|
|
475,000
|
|
MetLife, Inc., 6.40%, due 12/15/66
|
459,973
|
|
3,677,000
|
|
Metropolitan Life Global Funding I, 3.30%, due 03/21/29 144A
|
3,300,154
|
|
200,000
|
|
Mexico City Airport Trust, 5.50%, due 07/31/47(e) 144A
|
154,469
|
|
638,000
|
|
MGM Resorts International, 4.75%, due 10/15/28
|
557,905
|
|
29,000
|
|
Michaels Cos, Inc. (The), 7.88%, due 05/01/29 144A
|
19,429
|
|
1,430,000
|
|
Micron Technology, Inc., 4.19%, due 02/15/27
|
1,356,020
|
|
1,346,000
|
|
Micron Technology, Inc., 5.33%, due 02/06/29
|
1,294,809
|
|
100,000
|
|
MidAmerican Energy Co., 4.25%, due 07/15/49
|
85,350
|
|
825,000
|
|
Mid-Atlantic Interstate Transmission LLC, 4.10%, due 05/15/28 144A
|
777,872
|
|
483,000
|
|
Midwest Connector Capital Co. LLC, 3.90%, due 04/01/24 144A
|
467,893
|
|
252,000
|
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 05/01/29
144A
|
214,745
|
|
234,900
|
|
Millicom International Cellular SA, 6.25%, due 03/25/29 144A
|
224,986
|
|
300,000
|
|
Mohegan Gaming & Entertainment, 8.00%, due 02/01/26 144A
|
281,106
|
|
950,000
|
|
Moody's Corp., 3.25%, due 05/20/50(e)
|
660,942
|
|
1,529,000
|
|
Morgan Stanley, 2.19% (SOFR + 1.99%), due 04/28/26(c)
|
1,422,158
|
|
998,000
|
|
Morgan Stanley, 2.48% (SOFR + 1.36%), due 09/16/36(c)
|
725,935
|
|
1,478,000
|
|
Morgan Stanley, 2.94% (SOFR + 1.29%), due 01/21/33(c)
|
1,199,495
|
|
945,000
|
|
Morgan Stanley, 3.59% (3 mo. USD LIBOR + 1.34%), due 07/22/28(c)
|
868,289
|
|
947,000
|
|
Morgan Stanley, 4.21% (SOFR + 1.61%), due 04/20/28(c)
|
902,139
|
|
520,000
|
|
Morgan Stanley, 6.34% (SOFR + 2.56%), due 10/18/33(c)
|
546,522
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,936,000
|
|
Morgan Stanley, (MTN), 2.24% (SOFR + 1.18%), due 07/21/32(c)
|
1,489,924
|
|
785,000
|
|
Morgan Stanley, (MTN), 2.70% (SOFR + 1.14%), due 01/22/31(c)
|
650,368
|
|
1,301,000
|
|
Morgan Stanley, (MTN), 3.13%, due 07/27/26
|
1,215,213
|
|
1,311,000
|
|
Morgan Stanley, (MTN), 3.62% (SOFR + 3.12%), due 04/01/31(c)
|
1,147,468
|
|
620,000
|
|
Morgan Stanley, (MTN), 3.77% (3 mo. USD LIBOR + 1.14%), due 01/24/29(c)
|
568,836
|
|
419,000
|
|
Morgan Stanley, (MTN), 3.88%, due 01/27/26
|
406,082
|
|
809,000
|
|
Motorola Solutions, Inc., 2.30%, due 11/15/30
|
634,434
|
|
624,000
|
|
Motorola Solutions, Inc., 2.75%, due 05/24/31
|
500,419
|
|
207,000
|
|
Motorola Solutions, Inc., 4.60%, due 05/23/29
|
197,455
|
|
385,000
|
|
MPLX, LP, 4.00%, due 03/15/28
|
358,780
|
|
87,000
|
|
MPLX, LP, 4.13%, due 03/01/27
|
82,301
|
|
297,000
|
|
MPLX, LP, 4.25%, due 12/01/27
|
281,152
|
|
250,000
|
|
MPLX, LP, 4.50%, due 04/15/38
|
211,515
|
|
290,000
|
|
MPLX, LP, 4.95%, due 09/01/32
|
272,783
|
|
25,000
|
|
MPLX, LP, 5.20%, due 03/01/47
|
21,332
|
|
1,168,000
|
|
MPLX, LP, 6.88% (3 mo. USD LIBOR + 4.65%)(c)(g)
|
1,156,320
|
|
250,000
|
|
MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31(e)
|
171,893
|
|
300,000
|
|
MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27(e)
|
252,828
|
|
330,000
|
|
MSCI, Inc., 3.63%, due 11/01/31 144A
|
273,380
|
|
145,000
|
|
MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A
|
141,564
|
|
450,000
|
|
Mylan, Inc., 5.40%, due 11/29/43
|
357,902
|
|
141,000
|
|
Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A
|
109,089
|
|
158,000
|
|
Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A
|
129,092
|
|
62,000
|
|
Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A
|
55,588
|
|
265,000
|
|
NatWest Group Plc, 3.75% (5 yr. CMT + 2.10%), due 11/01/29(c)
|
245,972
|
|
210,000
|
|
NatWest Group Plc, 5.08% (3 mo. USD LIBOR + 1.91%), due 01/27/30(c)
|
198,249
|
|
430,000
|
|
NatWest Group Plc, 6.00% (5 yr. CMT + 5.63%)(c)(g)
|
398,157
|
|
714,000
|
|
NatWest Markets Plc, 1.60%, due 09/29/26 144A
|
620,879
|
|
329,000
|
|
NBM US Holdings, Inc., 6.63%, due 08/06/29 144A
|
318,325
|
|
439,000
|
|
Netflix, Inc., 4.88%, due 06/15/30 144A
|
410,149
|
|
59,000
|
|
Netflix, Inc., 5.38%, due 11/15/29 144A
|
57,335
|
|
574,000
|
|
Netflix, Inc., 5.88%, due 11/15/28
|
583,201
|
|
271,000
|
|
New York Life Insurance Co., 3.75%, due 05/15/50 144A
|
208,558
|
|
435,000
|
|
Newmont Corp., 2.25%, due 10/01/30
|
350,633
|
|
225,000
|
|
Newmont Corp., 2.80%, due 10/01/29
|
191,758
|
|
150,000
|
|
Newmont Corp., 5.45%, due 06/09/44
|
143,522
|
|
228,000
|
|
News Corp., 3.88%, due 05/15/29 144A
|
198,094
|
|
136,000
|
|
News Corp., 5.13%, due 02/15/32(e) 144A
|
123,957
|
|
661,000
|
|
NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30
|
545,078
|
|
342,000
|
|
NextEra Energy Operating Partners, LP, 3.88%, due 10/15/26 144A
|
313,612
|
|
75,000
|
|
NextEra Energy Operating Partners, LP, 4.50%, due 09/15/27 144A
|
68,924
|
|
738,000
|
|
Nippon Life Insurance Co., 2.75% (5 yr. CMT + 2.65%), due 01/21/51(c) 144A
|
593,247
|
|
545,000
|
|
Nippon Life Insurance Co., 5.10% (5 yr. USD swap + 3.65%), due 10/16/44(c) 144A
|
533,241
|
|
311,000
|
|
NiSource, Inc., 3.60%, due 05/01/30
|
277,649
|
|
239,000
|
|
Nissan Motor Acceptance Co. LLC, 1.13%, due 09/16/24 144A
|
217,926
|
|
482,000
|
|
Nissan Motor Co., Ltd., 3.52%, due 09/17/25 144A
|
448,201
|
|
200,000
|
|
Nomura Holdings, Inc., 2.61%, due 07/14/31
|
155,155
|
|
970,000
|
|
Norfolk Southern Corp., 4.84%, due 10/01/41
|
895,759
|
|
195,000
|
|
Northern States Power Co., 3.60%, due 09/15/47
|
151,126
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
942,000
|
|
Northrop Grumman Corp., 5.25%, due 05/01/50
|
933,150
|
|
300,000
|
|
NOVA Chemicals Corp., 4.88%, due 06/01/24 144A
|
290,937
|
|
621,000
|
|
Novelis Corp., 4.75%, due 01/30/30 144A
|
551,957
|
|
531,000
|
|
NRG Energy, Inc., 2.45%, due 12/02/27 144A
|
440,786
|
|
50,000
|
|
NRG Energy, Inc., 3.38%, due 02/15/29 144A
|
40,398
|
|
194,000
|
|
NRG Energy, Inc., 3.63%, due 02/15/31 144A
|
147,832
|
|
474,000
|
|
NRG Energy, Inc., 3.88%, due 02/15/32 144A
|
356,910
|
|
303,000
|
|
NRG Energy, Inc., 4.45%, due 06/15/29 144A
|
268,566
|
|
125,000
|
|
NRG Energy, Inc., 5.25%, due 06/15/29 144A
|
110,553
|
|
525,000
|
|
NRG Energy, Inc., 5.75%, due 01/15/28(e)
|
493,658
|
|
250,000
|
|
NSTAR Electric Co., 3.10%, due 06/01/51
|
173,038
|
|
315,000
|
|
Nutrien, Ltd., 4.90%, due 06/01/43
|
278,524
|
|
2,136,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25
|
2,012,614
|
|
715,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26
|
680,131
|
|
262,000
|
|
Occidental Petroleum Corp., 6.45%, due 09/15/36
|
267,831
|
|
215,000
|
|
Occidental Petroleum Corp., 6.60%, due 03/15/46
|
221,718
|
|
3,517,000
|
|
Occidental Petroleum Corp., 6.98%, due 10/10/36(n)
|
1,763,670
|
|
325,000
|
|
OneMain Finance Corp., 6.63%, due 01/15/28
|
299,839
|
|
129,000
|
|
OneMain Finance Corp., 6.88%, due 03/15/25
|
124,215
|
|
200,000
|
|
OneMain Finance Corp., 8.25%, due 10/01/23
|
201,893
|
|
655,000
|
|
ONEOK, Inc., 3.10%, due 03/15/30
|
550,329
|
|
390,000
|
|
ONEOK, Inc., 4.45%, due 09/01/49(e)
|
291,455
|
|
200,000
|
|
ONEOK, Inc., 4.95%, due 07/13/47
|
161,999
|
|
1,200,000
|
|
Oracle Corp., 1.65%, due 03/25/26
|
1,075,643
|
|
1,281,000
|
|
Oracle Corp., 2.95%, due 04/01/30
|
1,095,076
|
|
1,106,000
|
|
Oracle Corp., 3.95%, due 03/25/51
|
792,804
|
|
425,000
|
|
Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, due 04/30/28 144A
|
377,039
|
|
342,000
|
|
Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A
|
296,731
|
|
208,000
|
|
Oriflame Investment Holding Plc, 5.13%, due 05/04/26 144A
|
130,000
|
|
63,000
|
|
Ovintiv, Inc., 7.20%, due 11/01/31
|
66,332
|
|
391,000
|
|
Owens Corning, 3.95%, due 08/15/29
|
356,207
|
|
350,000
|
|
Owens Corning, 4.30%, due 07/15/47
|
270,841
|
|
110,000
|
|
Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27(e) 144A
|
106,893
|
|
265,000
|
|
PacifiCorp, 2.70%, due 09/15/30(e)
|
228,517
|
|
195,000
|
|
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due
10/15/28 144A
|
174,462
|
|
406,000
|
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due
10/15/27 144A
|
360,792
|
|
197,000
|
|
Parkland Corp., 4.50%, due 10/01/29 144A
|
164,438
|
|
190,000
|
|
Parkland Corp., 4.63%, due 05/01/30 144A
|
157,500
|
|
415,000
|
|
PECO Energy Co., 3.05%, due 03/15/51
|
285,718
|
|
205,000
|
|
PECO Energy Co., 3.70%, due 09/15/47
|
161,240
|
|
580,000
|
|
Pennsylvania Electric Co., 3.60%, due 06/01/29 144A
|
521,857
|
|
2,450,000
|
|
Penske Truck Leasing Co., LP/PTL Finance Corp., 3.90%, due 02/01/24 144A
|
2,399,328
|
|
76,000
|
|
Petroleos Mexicanos, 6.35%, due 02/12/48
|
46,636
|
|
270,000
|
|
Petroleos Mexicanos, 6.50%, due 03/13/27
|
246,864
|
|
255,000
|
|
Petroleos Mexicanos, 6.50%, due 06/02/41
|
166,547
|
|
338,000
|
|
Petroleos Mexicanos, 6.75%, due 09/21/47
|
216,416
|
|
380,000
|
|
Petroleos Mexicanos, 6.88%, due 08/04/26
|
359,745
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
233,000
|
|
Petroleos Mexicanos, 8.75%, due 06/02/29
|
218,802
|
|
2,275,997
|
|
PG&E Wildfire Recovery Funding LLC, 3.59%, due 06/01/32
|
2,158,413
|
|
827,000
|
|
PG&E Wildfire Recovery Funding LLC, 4.26%, due 06/01/38
|
768,930
|
|
2,169,000
|
|
PG&E Wildfire Recovery Funding LLC, 4.72%, due 06/01/39
|
2,066,179
|
|
797,000
|
|
Phillips 66 Co., 3.61%, due 02/15/25 144A
|
772,205
|
|
145,000
|
|
Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29
|
133,189
|
|
575,000
|
|
Pilgrim's Pride Corp., 5.88%, due 09/30/27 144A
|
558,725
|
|
855,000
|
|
Plains All American Pipeline, LP/PAA Finance Corp., 3.55%, due 12/15/29
|
743,193
|
|
63,000
|
|
PNC Financial Services Group, Inc. (The), 3.15%, due 05/19/27(e)
|
58,926
|
|
722,000
|
|
PNC Financial Services Group, Inc. (The), 3.40% (5 yr. CMT + 2.60%)(c)(g)
|
573,990
|
|
357,000
|
|
PNC Financial Services Group, Inc. (The), 4.85% (3 mo. USD LIBOR + 3.04%)(c)(g)
|
336,696
|
|
2,074,000
|
|
PNC Financial Services Group, Inc. (The), 5.35% (SOFR + 1.62%), due 12/02/28(c)
|
2,094,059
|
|
699,000
|
|
PNC Financial Services Group, Inc. (The), 8.12% (3 mo. USD LIBOR + 3.68%)(c)(g)
|
699,698
|
|
292,000
|
|
Post Holdings, Inc., 5.50%, due 12/15/29 144A
|
264,844
|
|
201,000
|
|
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, due
09/01/29(e) 144A
|
148,479
|
|
51,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A
|
44,103
|
|
136,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A
|
124,062
|
|
90,000
|
|
Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26
|
84,458
|
|
277,000
|
|
Prudential Financial, Inc., 5.13% (5 yr. CMT + 3.16%), due 03/01/52(c)
|
252,447
|
|
195,000
|
|
Public Service Electric & Gas Co., (MTN), 2.70%, due 05/01/50
|
126,859
|
|
445,000
|
|
Public Service Electric & Gas Co., (MTN), 3.00%, due 05/15/27
|
416,264
|
|
315,000
|
|
Public Service Electric & Gas Co., (MTN), 3.20%, due 05/15/29
|
286,436
|
|
1,700,000
|
|
Public Service Enterprise Group, Inc., 2.88%, due 06/15/24
|
1,642,695
|
|
515,000
|
|
Public Storage REIT, 2.25%, due 11/09/31
|
414,341
|
|
379,000
|
|
Puget Energy, Inc., 2.38%, due 06/15/28
|
323,151
|
|
900,000
|
|
Qatar Energy, 1.38%, due 09/12/26(e) 144A
|
799,399
|
|
275,000
|
|
Qatar Energy, 2.25%, due 07/12/31 144A
|
228,300
|
|
255,000
|
|
Qorvo, Inc., 1.75%, due 12/15/24 144A
|
235,174
|
|
282,000
|
|
Qorvo, Inc., 3.38%, due 04/01/31 144A
|
227,070
|
|
130,000
|
|
Radian Group, Inc., 4.50%, due 10/01/24
|
125,616
|
|
133,000
|
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, due 09/15/28 144A
|
55,945
|
|
1,761,000
|
|
Raytheon Technologies Corp., 1.90%, due 09/01/31
|
1,387,045
|
|
120,000
|
|
Realty Income Corp. REIT, 2.85%, due 12/15/32
|
97,655
|
|
330,000
|
|
Realty Income Corp. REIT, 3.25%, due 01/15/31
|
286,987
|
|
408,000
|
|
Renesas Electronics Corp., 1.54%, due 11/26/24 144A
|
374,341
|
|
340,000
|
|
Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29(e) 144A
|
241,649
|
|
346,000
|
|
RHP Hotel Properties, LP/RHP Finance Corp. REIT, 4.50%, due 02/15/29 144A
|
298,899
|
|
405,000
|
|
Roper Technologies, Inc., 1.40%, due 09/15/27
|
343,248
|
|
217,000
|
|
Royalty Pharma Plc, 1.75%, due 09/02/27
|
184,002
|
|
415,000
|
|
RPM International, Inc., 2.95%, due 01/15/32
|
328,054
|
|
232,000
|
|
Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28
|
218,491
|
|
662,000
|
|
Sabine Pass Liquefaction LLC, 4.50%, due 05/15/30
|
615,191
|
|
231,000
|
|
Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27
|
226,854
|
|
288,000
|
|
Sabine Pass Liquefaction LLC, 5.88%, due 06/30/26
|
291,741
|
|
247,000
|
|
Sabre GLBL, Inc., 7.38%, due 09/01/25 144A
|
237,786
|
|
320,000
|
|
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25(e)
|
308,758
|
|
290,000
|
|
San Diego Gas & Electric Co., 4.15%, due 05/15/48
|
243,460
|
|
466,000
|
|
Santander Holdings USA, Inc., 2.49% (SOFR + 1.25%), due 01/06/28(c)
|
400,438
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,209,000
|
|
Santander Holdings USA, Inc., 3.24%, due 10/05/26
|
1,123,655
|
|
1,093,000
|
|
Santander Holdings USA, Inc., 3.45%, due 06/02/25
|
1,042,497
|
|
620,000
|
|
Santander Holdings USA, Inc., 3.50%, due 06/07/24
|
602,684
|
|
199,000
|
|
Santander Holdings USA, Inc., 4.40%, due 07/13/27
|
190,100
|
|
437,000
|
|
Sasol Financing USA LLC, 5.50%, due 03/18/31(e)
|
356,384
|
|
200,000
|
|
Sasol Financing USA LLC, 5.88%, due 03/27/24
|
196,149
|
|
200,000
|
|
Sasol Financing USA LLC, 6.50%, due 09/27/28
|
182,019
|
|
186,000
|
|
SBA Tower Trust REIT, 6.60%, due 01/15/28 144A
|
186,799
|
|
411,000
|
|
SBL Holdings, Inc., 5.00%, due 02/18/31 144A
|
324,114
|
|
1,666,000
|
|
Schlumberger Holdings Corp., 3.90%, due 05/17/28 144A
|
1,555,274
|
|
115,000
|
|
Sensata Technologies, Inc., 3.75%, due 02/15/31(e) 144A
|
94,780
|
|
254,000
|
|
Service Corp. International, 4.00%, due 05/15/31
|
214,292
|
|
950,000
|
|
Shell International Finance BV, 5.50%, due 03/25/40
|
972,403
|
|
850,000
|
|
Simon Property Group, LP REIT, 6.75%, due 02/01/40
|
921,655
|
|
344,000
|
|
Sirius XM Radio, Inc., 4.00%, due 07/15/28 144A
|
300,044
|
|
593,000
|
|
Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A
|
549,451
|
|
220,000
|
|
SMBC Aviation Capital Finance DAC, 2.30%, due 06/15/28 144A
|
180,819
|
|
1,130,000
|
|
Societe Generale SA, 1.79% (1 yr. CMT + 1.00%), due 06/09/27(c) 144A
|
973,577
|
|
710,000
|
|
Societe Generale SA, 2.80% (1 yr. CMT + 1.30%), due 01/19/28(c) 144A
|
622,149
|
|
810,000
|
|
Societe Generale SA, 4.84% (SOFR + 1.05%), due 01/21/26(c) 144A
|
782,223
|
|
514,000
|
|
Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(c)(g) 144A
|
417,695
|
|
281,000
|
|
Societe Generale SA, 6.22% (1 yr. CMT + 3.20%), due 06/15/33(c) 144A
|
263,579
|
|
200,000
|
|
Sotheby's, 7.38%, due 10/15/27(e) 144A
|
187,842
|
|
570,000
|
|
Southern California Edison Co., 3.45%, due 02/01/52
|
408,240
|
|
335,000
|
|
Southern California Edison Co., 4.00%, due 04/01/47
|
263,343
|
|
1,318,000
|
|
Southern Co. (The), 3.25%, due 07/01/26
|
1,240,994
|
|
1,260,000
|
|
Southern Co. Gas Capital Corp., 2.45%, due 10/01/23
|
1,232,958
|
|
755,000
|
|
Southwest Airlines Co., 2.63%, due 02/10/30(e)
|
628,087
|
|
144,000
|
|
Southwestern Energy Co., 4.75%, due 02/01/32
|
123,338
|
|
1,701,000
|
|
Spirit Realty, LP REIT, 2.10%, due 03/15/28
|
1,389,780
|
|
300,000
|
|
Sprint LLC, 7.13%, due 06/15/24
|
306,522
|
|
598,000
|
|
Stagwell Global LLC, 5.63%, due 08/15/29 144A
|
494,220
|
|
118,000
|
|
Standard Industries, Inc., 3.38%, due 01/15/31 144A
|
89,041
|
|
590,000
|
|
Standard Industries, Inc., 4.38%, due 07/15/30 144A
|
482,036
|
|
25,000
|
|
Standard Industries, Inc., 4.75%, due 01/15/28(e) 144A
|
22,534
|
|
175,000
|
|
Starwood Property Trust, Inc. REIT, 3.63%, due 07/15/26 144A
|
153,343
|
|
200,000
|
|
State Grid Overseas Investment BVI, Ltd., 3.50%, due 05/04/27 144A
|
191,018
|
|
330,000
|
|
State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(c)
|
291,215
|
|
920,000
|
|
Steel Dynamics, Inc., 3.45%, due 04/15/30
|
811,056
|
|
2,695,000
|
|
Stellantis Finance US, Inc., 1.71%, due 01/29/27 144A
|
2,316,181
|
|
605,000
|
|
Stellantis Finance US, Inc., 2.69%, due 09/15/31 144A
|
463,049
|
|
77,000
|
|
Sunoco, LP/Sunoco Finance Corp., 4.50%, due 05/15/29
|
67,463
|
|
297,000
|
|
Sunoco, LP/Sunoco Finance Corp., 4.50%, due 04/30/30
|
258,212
|
|
455,000
|
|
Take-Two Interactive Software, Inc., 3.30%, due 03/28/24
|
444,581
|
|
257,000
|
|
Take-Two Interactive Software, Inc., 3.55%, due 04/14/25
|
247,553
|
|
225,000
|
|
Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30
144A
|
194,857
|
|
740,000
|
|
Targa Resources Corp., 4.95%, due 04/15/52
|
588,772
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
467,000
|
|
Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.00%, due
01/15/32
|
393,560
|
|
150,000
|
|
Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A
|
130,201
|
|
110,000
|
|
Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A
|
105,803
|
|
150,000
|
|
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, due
03/01/24 144A
|
149,573
|
|
926,000
|
|
Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A
|
761,586
|
|
34,000
|
|
Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A
|
37,602
|
|
1,125,000
|
|
Teledyne Technologies, Inc., 2.75%, due 04/01/31(e)
|
922,655
|
|
700,000
|
|
Telefonica Emisiones SA, 5.21%, due 03/08/47
|
565,011
|
|
163,000
|
|
Telesat Canada/Telesat LLC, 5.63%, due 12/06/26 144A
|
75,187
|
|
50,000
|
|
Tenet Healthcare Corp., 4.38%, due 01/15/30 144A
|
43,366
|
|
223,000
|
|
Tenet Healthcare Corp., 4.63%, due 07/15/24
|
217,808
|
|
125,000
|
|
Tenet Healthcare Corp., 6.13%, due 06/15/30 144A
|
119,319
|
|
50,000
|
|
T-Mobile USA, Inc., 2.88%, due 02/15/31
|
41,384
|
|
521,000
|
|
T-Mobile USA, Inc., 3.38%, due 04/15/29
|
459,884
|
|
2,019,000
|
|
T-Mobile USA, Inc., 3.50%, due 04/15/25
|
1,943,432
|
|
742,000
|
|
T-Mobile USA, Inc., 3.88%, due 04/15/30
|
673,855
|
|
1,000,000
|
|
T-Mobile USA, Inc., 4.50%, due 04/15/50
|
827,086
|
|
1,595,000
|
|
Toll Brothers Finance Corp., 4.35%, due 02/15/28
|
1,451,904
|
|
1,475,000
|
|
Toronto-Dominion Bank (The), 1.95%, due 01/12/27(e)
|
1,316,334
|
|
321,000
|
|
Total Play Telecomunicaciones SA de CV, 6.38%, due 09/20/28(e) 144A
|
251,100
|
|
548,000
|
|
Total Play Telecomunicaciones SA de CV, 7.50%, due 11/12/25(e) 144A
|
481,177
|
|
1,453,000
|
|
Toyota Motor Credit Corp., (MTN), 3.00%, due 04/01/25
|
1,396,490
|
|
251,000
|
|
TransCanada PipeLines, Ltd., 4.25%, due 05/15/28
|
238,066
|
|
140,000
|
|
Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50
|
107,128
|
|
500,000
|
|
Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48
|
417,953
|
|
270,000
|
|
TransDigm, Inc., 5.50%, due 11/15/27
|
254,092
|
|
175,000
|
|
Travel + Leisure Co., 4.63%, due 03/01/30 144A
|
145,437
|
|
166,000
|
|
Travel + Leisure Co., 6.60%, due 10/01/25(d)
|
163,389
|
|
55,000
|
|
Trident TPI Holdings, Inc., 6.63%, due 11/01/25 144A
|
48,045
|
|
170,000
|
|
TriNet Group, Inc., 3.50%, due 03/01/29 144A
|
139,995
|
|
232,000
|
|
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.13%, due 04/01/29
144A
|
150,573
|
|
342,000
|
|
Tutor Perini Corp., 6.88%, due 05/01/25(e) 144A
|
299,789
|
|
532,000
|
|
Uber Technologies, Inc., 4.50%, due 08/15/29 144A
|
464,505
|
|
285,000
|
|
Uber Technologies, Inc., 7.50%, due 05/15/25 144A
|
285,209
|
|
765,000
|
|
UBS Group AG, 1.49% (1 yr. CMT + 0.85%), due 08/10/27(c) 144A
|
659,114
|
|
375,000
|
|
UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(c) 144A
|
283,181
|
|
1,897,000
|
|
UBS Group AG, 4.13%, due 04/15/26 144A
|
1,821,933
|
|
305,000
|
|
UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(c)(g) 144A
|
300,829
|
|
492,500
|
|
United Airlines Pass Through Trust, 3.45%, due 01/07/30
|
415,550
|
|
306,062
|
|
United Airlines Pass Through Trust, 3.65%, due 07/07/27
|
277,345
|
|
529,511
|
|
United Airlines Pass Through Trust, 3.75%, due 03/03/28
|
488,059
|
|
2,090,258
|
|
United Airlines Pass Through Trust, 4.00%, due 10/11/27
|
1,945,102
|
|
390,926
|
|
United Airlines Pass Through Trust, 4.55%, due 02/25/33
|
329,621
|
|
74,666
|
|
United Airlines Pass Through Trust, 4.60%, due 09/01/27
|
68,299
|
|
194,310
|
|
United Airlines Pass Through Trust, 4.88%, due 07/15/27
|
185,083
|
|
1,523,069
|
|
United Airlines Pass Through Trust, 5.88%, due 04/15/29
|
1,503,770
|
|
307,000
|
|
United Airlines, Inc., 4.38%, due 04/15/26 144A
|
285,088
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
98,000
|
|
United Airlines, Inc., 4.63%, due 04/15/29 144A
|
85,500
|
|
150,000
|
|
United Rentals North America, Inc., 3.75%, due 01/15/32(e)
|
122,570
|
|
251,000
|
|
United Rentals North America, Inc., 3.88%, due 11/15/27
|
232,707
|
|
37,000
|
|
United Rentals North America, Inc., 3.88%, due 02/15/31
|
31,100
|
|
245,000
|
|
United Rentals North America, Inc., 4.88%, due 01/15/28
|
232,714
|
|
35,000
|
|
United Rentals North America, Inc., 5.25%, due 01/15/30
|
32,947
|
|
390,000
|
|
UnitedHealth Group, Inc., 3.05%, due 05/15/41
|
294,663
|
|
155,000
|
|
UnitedHealth Group, Inc., 3.25%, due 05/15/51
|
111,670
|
|
433,000
|
|
Universal Health Services, Inc., 1.65%, due 09/01/26
|
371,689
|
|
430,000
|
|
Universal Health Services, Inc., 2.65%, due 10/15/30
|
343,222
|
|
120,000
|
|
University of Chicago (The), 2.76%, due 04/01/45
|
90,146
|
|
350,000
|
|
University of Southern California, 2.95%, due 10/01/51
|
236,265
|
|
122,000
|
|
Univision Communications, Inc., 4.50%, due 05/01/29 144A
|
102,252
|
|
43,000
|
|
Univision Communications, Inc., 7.38%, due 06/30/30 144A
|
41,147
|
|
1,018,877
|
|
US Airways Pass Through Trust, 4.63%, due 12/03/26
|
929,546
|
|
67,307
|
|
US Airways Pass Through Trust, 5.90%, due 04/01/26
|
65,164
|
|
66,968
|
|
US Airways Pass Through Trust, 6.25%, due 10/22/24
|
66,935
|
|
179,854
|
|
US Airways Pass Through Trust, 7.13%, due 04/22/25
|
180,962
|
|
1,481,000
|
|
US Bancorp, 5.73% (SOFR + 1.43%), due 10/21/26(c)
|
1,510,027
|
|
355,000
|
|
Valvoline, Inc., 3.63%, due 06/15/31 144A
|
291,750
|
|
125,000
|
|
Valvoline, Inc., 4.25%, due 02/15/30 144A
|
121,475
|
|
413,000
|
|
Var Energi ASA, 8.00%, due 11/15/32 144A
|
426,988
|
|
165,000
|
|
Varex Imaging Corp., 7.88%, due 10/15/27 144A
|
164,231
|
|
325,000
|
|
Vector Group, Ltd., 5.75%, due 02/01/29 144A
|
282,272
|
|
180,000
|
|
Ventas Realty, LP REIT, 3.50%, due 02/01/25
|
173,014
|
|
148,000
|
|
Venture Global Calcasieu Pass LLC, 3.88%, due 08/15/29 144A
|
129,760
|
|
219,000
|
|
Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A
|
186,971
|
|
285,000
|
|
VeriSign, Inc., 2.70%, due 06/15/31(e)
|
232,822
|
|
207,000
|
|
VeriSign, Inc., 5.25%, due 04/01/25
|
206,649
|
|
878,000
|
|
Verisk Analytics, Inc., 3.63%, due 05/15/50
|
609,739
|
|
1,300,000
|
|
Verizon Communications, Inc., 2.55%, due 03/21/31
|
1,072,275
|
|
578,000
|
|
Verizon Communications, Inc., 2.88%, due 11/20/50
|
364,866
|
|
1,224,000
|
|
Verizon Communications, Inc., 3.55%, due 03/22/51(e)
|
877,612
|
|
190,000
|
|
Viatris, Inc., 2.30%, due 06/22/27
|
162,625
|
|
325,000
|
|
Viatris, Inc., 3.85%, due 06/22/40
|
218,940
|
|
501,000
|
|
Viatris, Inc., 4.00%, due 06/22/50
|
310,415
|
|
106,000
|
|
VICI Properties, LP REIT, 5.13%, due 05/15/32
|
98,355
|
|
305,000
|
|
VICI Properties, LP/VICI Note Co., Inc. REIT, 3.88%, due 02/15/29 144A
|
267,753
|
|
219,000
|
|
VICI Properties, LP/VICI Note Co., Inc. REIT, 4.13%, due 08/15/30 144A
|
192,029
|
|
319,000
|
|
VICI Properties, LP/VICI Note Co., Inc. REIT, 4.63%, due 12/01/29 144A
|
290,826
|
|
1,400,000
|
|
Virginia Electric & Power Co., 3.15%, due 01/15/26
|
1,332,932
|
|
460,000
|
|
Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A
|
441,454
|
|
1,026,000
|
|
Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A
|
936,204
|
|
881,000
|
|
Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A
|
794,496
|
|
135,000
|
|
Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A
|
125,590
|
|
432,000
|
|
Vodafone Group Plc, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(c)
|
434,933
|
|
72,000
|
|
Volcan Cia Minera SAA, 4.38%, due 02/11/26 144A
|
62,121
|
|
340,000
|
|
WakeMed, 3.29%, due 10/01/52
|
225,740
|
|
576,000
|
|
Warnermedia Holdings, Inc., 5.05%, due 03/15/42 144A
|
442,728
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
2,493,000
|
|
Warnermedia Holdings, Inc., 5.14%, due 03/15/52 144A
|
1,821,952
|
|
1,237,000
|
|
Waste Management, Inc., 4.15%, due 04/15/32
|
1,180,695
|
|
490,000
|
|
Wells Fargo & Co., 3.07% (SOFR + 2.53%), due 04/30/41(c)
|
351,324
|
|
1,497,000
|
|
Wells Fargo & Co., 5.88% (3 mo. USD LIBOR + 3.99%)(c)(e)(g)
|
1,448,348
|
|
765,000
|
|
Wells Fargo & Co., (MTN), 2.57% (SOFR + 1.26%), due 02/11/31(c)
|
635,138
|
|
1,082,000
|
|
Wells Fargo & Co., (MTN), 2.88% (3 mo. TSFR + 1.43%), due 10/30/30(c)
|
921,368
|
|
389,000
|
|
Wells Fargo & Co., (MTN), 3.35% (SOFR + 1.50%), due 03/02/33(c)
|
328,737
|
|
6,015,000
|
|
Wells Fargo & Co., (MTN), 4.81% (SOFR + 1.98%), due 07/25/28(c)
|
5,884,737
|
|
662,000
|
|
Western Digital Corp., 4.75%, due 02/15/26
|
624,875
|
|
350,000
|
|
William Carter Co. (The), 5.63%, due 03/15/27 144A
|
336,329
|
|
477,000
|
|
Williams Cos., Inc. (The), 3.75%, due 06/15/27
|
449,732
|
|
1,065,000
|
|
Williams Cos., Inc. (The), 4.55%, due 06/24/24
|
1,053,963
|
|
416,000
|
|
Williams Cos., Inc. (The), 4.65%, due 08/15/32
|
388,483
|
|
324,000
|
|
WMG Acquisition Corp., 3.88%, due 07/15/30 144A
|
279,652
|
|
300,000
|
|
Wolverine World Wide, Inc., 4.00%, due 08/15/29(e) 144A
|
227,709
|
|
988,000
|
|
Workday, Inc., 3.50%, due 04/01/27
|
924,848
|
|
665,000
|
|
WP Carey, Inc. REIT, 2.25%, due 04/01/33
|
494,428
|
|
140,000
|
|
Wyndham Hotels & Resorts, Inc., 4.38%, due 08/15/28 144A
|
125,832
|
|
98,000
|
|
XHR, LP REIT, 4.88%, due 06/01/29 144A
|
80,402
|
|
610,000
|
|
Yale University, 2.40%, due 04/15/50(e)
|
390,079
|
|
1,070,000
|
|
Yamana Gold, Inc., 2.63%, due 08/15/31
|
801,452
|
|
1,220,000
|
|
Yara International ASA, 4.75%, due 06/01/28 144A
|
1,124,074
|
|
201,000
|
|
Yum! Brands, Inc., 3.63%, due 03/15/31
|
168,963
|
|
153,000
|
|
Yum! Brands, Inc., 4.75%, due 01/15/30 144A
|
140,635
|
|
|
|
|
431,300,346
|
|
|
|
Mortgage Backed Securities - Private Issuers — 10.0%
|
|
|
125,985
|
|
Angel Oak Mortgage Trust CMO, Series 2020-R1, Class A1, 0.99%, due 04/25/53(b)
144A
|
117,770
|
|
196,298
|
|
Angel Oak Mortgage Trust CMO, Series 2021-2, Class A1, 0.99%, due 04/25/66(b) 144A
|
162,052
|
|
379,706
|
|
Angel Oak Mortgage Trust CMO, Series 2021-4, Class A1, 1.04%, due 01/20/65(b) 144A
|
300,455
|
|
380,363
|
|
Angel Oak Mortgage Trust CMO, Series 2021-5, Class A1, 0.95%, due 07/25/66(b) 144A
|
312,071
|
|
1,800,000
|
|
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due
05/15/53 144A
|
1,515,836
|
|
2,500,000
|
|
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class A4, 2.25%, due
06/15/54 144A
|
1,998,079
|
|
226,925
|
|
Arroyo Mortgage Trust CMO, Series 2021-1R, Class A1, 1.18%, due 10/25/48(b) 144A
|
179,314
|
|
147,000
|
|
BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.72%,
due 11/05/32(b) 144A
|
110,526
|
|
1,015,885
|
|
BANK, Series 2019-BN20, Class A2, 2.76%, due 09/15/62
|
882,671
|
|
850,000
|
|
BANK, Series 2019-BN23, Class A2, 2.67%, due 12/15/52
|
729,566
|
|
1,806,000
|
|
BANK, Series 2020-BN26, Class A2, 2.04%, due 03/15/63
|
1,588,097
|
|
1,800,000
|
|
BANK, Series 2020-BN26, Class A3, 2.16%, due 03/15/63
|
1,486,104
|
|
869,000
|
|
BANK, Series 2020-BN30, Class A4, 1.93%, due 12/15/53
|
687,836
|
|
3,000,000
|
|
BANK, Series 2021-BN32, Class A4, 2.35%, due 04/15/54
|
2,481,910
|
|
2,300,000
|
|
BANK, Series 2021-BN34, Class A4, 2.16%, due 06/15/63
|
1,851,940
|
|
200,000
|
|
BBCMS Mortgage Trust, Series 2015-SRCH, Class D, 4.96%, due 08/10/35(b) 144A
|
169,673
|
|
3,000,000
|
|
BBCMS Mortgage Trust, Series 2018-TALL, Class A, 5.04% (1 mo. USD LIBOR +
0.72%), due 03/15/37(c) 144A
|
2,777,404
|
|
2,000,000
|
|
BBCMS Mortgage Trust, Series 2022-C14, Class A4, 2.69%, due 02/15/55
|
1,662,945
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
19,543
|
|
Bellemeade Re, Ltd. CMO, Series 2019-3A, Class M1B, 5.99% (1 mo. USD LIBOR +
1.60%), due 07/25/29(c) 144A
|
19,534
|
|
214,779
|
|
Bellemeade Re, Ltd. CMO, Series 2021-2A, Class M1A, 5.13% (SOFR 30-day average
+ 1.20%), due 06/25/31(c) 144A
|
212,797
|
|
1,350,000
|
|
Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72
|
1,166,778
|
|
600,000
|
|
Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53
|
493,334
|
|
1,200,000
|
|
Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53
|
1,084,066
|
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A
|
1,675,106
|
|
3,039,000
|
|
Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54
|
2,730,934
|
|
1,700,000
|
|
Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54
|
1,346,132
|
|
900,000
|
|
Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54
|
772,091
|
|
1,750,000
|
|
Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54
|
1,447,231
|
|
1,250,000
|
|
Benchmark Mortgage Trust, Series 2021-B28, Class ASB, 1.98%, due 08/15/54
|
1,042,406
|
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2021-B31, Class A4, 2.42%, due 12/15/54
|
1,464,866
|
|
1,800,000
|
|
Benchmark Mortgage Trust, Series 2022-B33, Class A5, 3.46%, due 03/15/55
|
1,596,113
|
|
628,000
|
|
BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A, 6.11% (1 mo. TSFR +
1.77%), due 05/15/39(c) 144A
|
616,650
|
|
136,000
|
|
BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class B, 6.65% (1 mo. TSFR +
2.32%), due 05/15/39(c) 144A
|
131,385
|
|
1,038,000
|
|
BPR Trust, Series 2022-OANA, Class A, 6.23% (1 mo. TSFR + 1.90%), due 04/15/37(c)
144A
|
1,015,426
|
|
213,347
|
|
BRAVO Residential Funding Trust CMO, Series 2021-NQM1, Class A1, 0.94%, due
02/25/49(b) 144A
|
177,899
|
|
1,277,263
|
|
BX Commercial Mortgage Trust, Series 2019-XL, Class A, 5.37% (1 mo. TSFR +
1.03%), due 10/15/36(c) 144A
|
1,262,384
|
|
379,271
|
|
BX Commercial Mortgage Trust, Series 2020-VKNG, Class A, 5.38% (1 mo. TSFR +
1.05%), due 10/15/37(c) 144A
|
370,544
|
|
355,000
|
|
BX Commercial Mortgage Trust, Series 2021-ACNT, Class A, 5.17% (1 mo. USD
LIBOR + 0.85%), due 11/15/38(c) 144A
|
342,088
|
|
1,531,000
|
|
BX Commercial Mortgage Trust, Series 2021-CIP, Class A, 5.24% (1 mo. USD LIBOR
+ 0.92%), due 12/15/38(c) 144A
|
1,479,736
|
|
1,516,000
|
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class A, 5.02% (1 mo. USD
LIBOR + 0.70%), due 09/15/36(c) 144A
|
1,462,504
|
|
342,000
|
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class C, 5.42% (1 mo. USD
LIBOR + 1.10%), due 09/15/36(c) 144A
|
321,902
|
|
876,000
|
|
BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 5.33% (1 mo. TSFR +
0.99%), due 01/17/39(c) 144A
|
839,958
|
|
427,000
|
|
BX Trust, Series 2022-CLS, Class A, 5.76%, due 10/13/27 144A
|
418,908
|
|
1,200,000
|
|
CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57
|
1,028,208
|
|
983,164
|
|
CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(b) 144A
|
924,092
|
|
585,267
|
|
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58
|
544,980
|
|
2,349,356
|
|
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49
|
2,148,864
|
|
233,000
|
|
CFK Trust CMO, Series 2020-MF2, Class A, 2.39%, due 03/15/39 144A
|
201,025
|
|
516,432
|
|
CIM Trust CMO, Series 2020-INV1, Class A2, 2.50%, due 04/25/50(b) 144A
|
428,927
|
|
330,000
|
|
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72
|
284,731
|
|
761,000
|
|
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class A, 4.15%, due
01/10/36 144A
|
742,340
|
|
27,500,000
|
|
Citigroup Commercial Mortgage Trust, (IO), Series 2014-GC21, Class XB, 0.44%, due
05/10/47(b) 144A
|
158,755
|
|
351,324
|
|
COLT Mortgage Loan Trust CMO, Series 2021-2, Class A1, 0.92%, due 08/25/66(b)
144A
|
278,884
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
487,729
|
|
COLT Mortgage Loan Trust CMO, Series 2021-3, Class A1, 0.96%, due 09/27/66(b)
144A
|
379,449
|
|
352,978
|
|
COLT Mortgage Loan Trust CMO, Series 2021-HX1, Class A1, 1.11%, due 10/25/66(b)
144A
|
283,321
|
|
528,295
|
|
COLT Trust CMO, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(b) 144A
|
450,624
|
|
235,000
|
|
Commercial Mortgage Trust, Series 2013-300P, Class D, 4.39%, due 08/10/30(b) 144A
|
208,916
|
|
862,644
|
|
Commercial Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48
|
820,915
|
|
862,000
|
|
Commercial Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48
|
820,184
|
|
150,000
|
|
Commercial Mortgage Trust, Series 2017-PANW, Class A, 3.24%, due 10/10/29 144A
|
140,184
|
|
223,000
|
|
Commercial Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A
|
205,755
|
|
415,181
|
|
Connecticut Avenue Securities Trust CMO, Series 2022-R03, Class 1M1, 6.03% (SOFR
30-day average + 2.10%), due 03/25/42(c) 144A
|
412,504
|
|
176,256
|
|
Connecticut Avenue Securities Trust CMO, Series 2022-R04, Class 1M1, 5.93% (SOFR
30-day average + 2.00%), due 03/25/42(c) 144A
|
175,717
|
|
355,000
|
|
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 5.92% (1 mo.
USD LIBOR + 1.60%), due 05/15/36(c) 144A
|
347,965
|
|
260,944
|
|
Credit Suisse Mortgage Trust, Series 2020-NET, Class A, 2.26%, due 08/15/37 144A
|
233,433
|
|
233,832
|
|
Credit Suisse Mortgage Trust CMO, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(b)
144A
|
219,534
|
|
260,397
|
|
Credit Suisse Mortgage Trust CMO, Series 2020-RPL6, Class A1, 2.69%, due
03/25/59(b) 144A
|
247,300
|
|
222,642
|
|
Credit Suisse Mortgage Trust CMO, Series 2021-NQM2, Class A1, 1.18%, due
02/25/66(b) 144A
|
185,421
|
|
203,864
|
|
Credit Suisse Mortgage Trust CMO, Series 2021-NQM3, Class A1, 1.02%, due
04/25/66(b) 144A
|
161,281
|
|
219,270
|
|
Credit Suisse Mortgage Trust CMO, Series 2021-NQM5, Class A1, 0.94%, due
05/25/66(b) 144A
|
170,217
|
|
360,836
|
|
Credit Suisse Mortgage Trust CMO, Series 2021-NQM6, Class A1, 1.17%, due
07/25/66(b) 144A
|
282,167
|
|
1,064,571
|
|
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50
|
957,576
|
|
775,000
|
|
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50
|
711,944
|
|
1,050,000
|
|
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52
|
897,024
|
|
1,819,967
|
|
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54
|
1,520,087
|
|
337,687
|
|
Ellington Financial Mortgage Trust CMO, Series 2021-1, Class A1, 0.80%, due
02/25/66(b) 144A
|
277,004
|
|
82,156
|
|
Ellington Financial Mortgage Trust CMO, Series 2021-2, Class A1, 0.93%, due
06/25/66(b) 144A
|
63,597
|
|
1,134,288
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-2, Class MA, 3.50%,
due 11/25/57
|
1,078,507
|
|
411,264
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class MA, 3.50%,
due 08/25/57(b)
|
390,439
|
|
1,650,582
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-4, Class MA, 3.50%,
due 03/25/58
|
1,576,327
|
|
693,095
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class MA, 3.50%,
due 07/25/58
|
655,794
|
|
1,260,902
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-2, Class MA, 3.50%,
due 08/25/58
|
1,189,803
|
|
957,842
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class MA, 3.00%,
due 02/25/59
|
888,194
|
|
865,281
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class MA, 2.50%,
due 08/25/59
|
790,297
|
|
2,261,677
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2022, Class MA, 3.00%, due
04/25/62
|
2,053,454
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
2,166,285
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2022-1, Class MAU, 3.25%,
due 11/25/61
|
2,001,032
|
|
594,192
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA1,
Class M1A, 4.93% (SOFR 30-day average + 1.00%), due 01/25/42(c) 144A
|
579,245
|
|
460,849
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA2,
Class M1A, 5.23% (SOFR 30-day average + 1.30%), due 02/25/42(c) 144A
|
453,400
|
|
437,000
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA2,
Class M1B, 6.33% (SOFR 30-day average + 2.40%), due 02/25/42(c) 144A
|
425,577
|
|
567,531
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA3,
Class M1A, 5.93% (SOFR 30-day average + 2.00%), due 04/25/42(c) 144A
|
564,959
|
|
660,000
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA3,
Class M1B, 6.83% (SOFR 30-day average + 2.90%), due 04/25/42(c) 144A
|
653,107
|
|
543,844
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA4,
Class M1A, 6.13% (SOFR 30-day average + 2.20%), due 05/25/42(c) 144A
|
542,420
|
|
429,000
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA4,
Class M1B, 7.28% (SOFR 30-day average + 3.35%), due 05/25/42(c) 144A
|
431,887
|
|
529,000
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA5,
Class M1B, 8.43% (SOFR 30-day average + 4.50%), due 06/25/42(c) 144A
|
553,876
|
|
279,899
|
|
Flagstar Mortgage Trust CMO, Series 2020-2, Class A2, 3.00%, due 08/25/50(b) 144A
|
233,615
|
|
480,604
|
|
Flagstar Mortgage Trust CMO, Series 2021-1, Class A2, 2.50%, due 02/01/51(b) 144A
|
388,694
|
|
1,335,662
|
|
Flagstar Mortgage Trust CMO, Series 2021-6INV, Class A4, 2.50%, due 08/25/51(b)
144A
|
1,076,908
|
|
223,405
|
|
GCAT Trust CMO, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(b) 144A
|
188,583
|
|
171,437
|
|
GCAT Trust CMO, Series 2021-NQM2, Class A1, 1.04%, due 05/25/66(b) 144A
|
134,084
|
|
271,611
|
|
GCAT Trust CMO, Series 2021-NQM3, Class A1, 1.09%, due 05/25/66(b) 144A
|
217,332
|
|
196,000
|
|
GS Mortgage Securities Corp. Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37
144A
|
179,249
|
|
445,385
|
|
GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 5.05% (1 mo. USD
LIBOR + 0.70%), due 11/21/35(c) 144A
|
415,115
|
|
828,873
|
|
GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48
|
794,508
|
|
2,636,551
|
|
GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50
|
2,499,594
|
|
1,600,000
|
|
GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53
|
1,309,422
|
|
1,062,000
|
|
GS Mortgage Securities Trust, Series 2020-GSA2, Class A5, 2.01%, due 12/12/53
|
834,915
|
|
1,143,000
|
|
GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53
|
975,911
|
|
1,900,000
|
|
GS Mortgage Securities Trust, Series 2021-GSA3, Class A4, 2.37%, due 12/15/54
|
1,514,520
|
|
116,451
|
|
GS Mortgage-Backed Securities Corp. Trust CMO, Series 2021-NQM1, Class A1,
1.02%, due 07/25/61(b) 144A
|
96,063
|
|
48,202
|
|
GS Mortgage-Backed Securities Trust CMO, Series 2020-NQM1, Class A1, 1.38%, due
09/27/60(b) 144A
|
42,236
|
|
1,712,962
|
|
GS Mortgage-Backed Securities Trust CMO, Series 2021-PJ2, Class A2, 2.50%, due
07/25/51(b) 144A
|
1,383,247
|
|
290,312
|
|
Home RE, Ltd. CMO, Series 2021-2, Class M1A, 5.18% (SOFR 30-day average +
1.25%), due 01/25/34(c) 144A
|
289,416
|
|
161,639
|
|
Imperial Fund Mortgage Trust CMO, Series 2021-NQM1, Class A1, 1.07%, due
06/25/56(b) 144A
|
131,258
|
|
170,000
|
|
IMT Trust, Series 2017-APTS, Class CFX, 3.50%, due 06/15/34(b) 144A
|
160,299
|
|
707,000
|
|
INTOWN Mortgage Trust, Series 2022-STAY, Class A, 6.82% (1 mo. TSFR + 2.49%),
due 08/15/39(c) 144A
|
704,137
|
|
335,000
|
|
Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.17%, due 05/15/48(b) 144A
|
331,196
|
|
272,033
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A3, 3.67%, due
04/15/47
|
271,409
|
|
1,114
|
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A2, 2.82%, due
11/15/48
|
1,112
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
700,000
|
|
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due
06/15/49
|
651,905
|
|
936,966
|
|
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due
03/15/50
|
874,346
|
|
680,743
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3,
2.56%, due 08/15/49
|
622,811
|
|
779,049
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3,
3.11%, due 07/15/50
|
751,225
|
|
836,188
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2,
3.15%, due 06/13/52
|
809,414
|
|
267,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX,
2.81%, due 01/16/37 144A
|
241,550
|
|
1,500,745
|
|
JPMorgan Mortgage Trust CMO, Series 2021-3, Class A3, 2.50%, due 07/25/51(b) 144A
|
1,213,747
|
|
193,000
|
|
KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 5.67% (1 mo. USD LIBOR +
1.35%), due 05/15/36(c) 144A
|
188,266
|
|
561,785
|
|
Legacy Mortgage Asset Trust CMO, Series 2019-PR1, Class A1, 6.86%, due 09/25/59(d)
144A
|
558,859
|
|
202,233
|
|
Legacy Mortgage Asset Trust CMO, Series 2020-GS1, Class A1, 2.88%, due 10/25/59(d)
144A
|
200,929
|
|
80,022
|
|
Legacy Mortgage Asset Trust CMO, Series 2021-GS1, Class A1, 1.89%, due 10/25/66(d)
144A
|
73,517
|
|
378,444
|
|
Life Mortgage Trust, Series 2021-BMR, Class A, 5.02% (1 mo. USD LIBOR + 0.70%),
due 03/15/38(c) 144A
|
366,927
|
|
418,745
|
|
Life Mortgage Trust, Series 2021-BMR, Class D, 5.72% (1 mo. USD LIBOR + 1.40%),
due 03/15/38(c) 144A
|
397,572
|
|
1,028,000
|
|
Life Mortgage Trust, Series 2022-BMR2, Class A1, 5.63% (1 mo. TSFR + 1.30%), due
05/15/39(c) 144A
|
1,004,103
|
|
379,531
|
|
MetLife Securitization Trust CMO, Series 2020-INV1, Class A2A, 2.50%, due
05/25/50(b) 144A
|
319,559
|
|
138,050
|
|
MFA Trust CMO, Series 2021-NQM1, Class A1, 1.15%, due 04/25/65(b) 144A
|
119,774
|
|
1,737,000
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4,
3.31%, due 04/15/48
|
1,647,279
|
|
800,000
|
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4,
3.73%, due 05/15/48
|
761,347
|
|
2,204,000
|
|
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4, 3.81%, due 12/15/48
|
2,084,928
|
|
1,562,383
|
|
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49
|
1,406,329
|
|
2,600,000
|
|
Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52
|
2,306,598
|
|
980,000
|
|
Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53
|
789,691
|
|
1,725,000
|
|
Morgan Stanley Capital I Trust, Series 2021-L5, Class A4, 2.73%, due 05/15/54
|
1,438,457
|
|
95,000
|
|
Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.79%, due
11/15/32(b) 144A
|
80,233
|
|
165,000
|
|
Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.32%, due
01/15/43(b) 144A
|
139,235
|
|
71,740
|
|
New Residential Mortgage Loan Trust CMO, Series 2018-4A, Class A1S, 5.14% (1 mo.
USD LIBOR + 0.75%), due 01/25/48(c) 144A
|
69,051
|
|
181,042
|
|
NYMT Loan Trust CMO, Series 2022-CP1, Class A1, 2.04%, due 07/25/61 144A
|
162,532
|
|
96,863
|
|
OBX Trust CMO, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(b) 144A
|
77,115
|
|
309,745
|
|
OBX Trust CMO, Series 2021-NQM2, Class A1, 1.10%, due 05/25/61(b) 144A
|
237,314
|
|
399,932
|
|
OBX Trust CMO, Series 2021-NQM3, Class A1, 1.05%, due 07/25/61(b) 144A
|
302,607
|
|
338,618
|
|
Provident Funding Mortgage Trust CMO, Series 2020-F1, Class A2, 2.00%, due
01/25/36(b) 144A
|
290,722
|
|
1,737,758
|
|
PSMC Trust CMO, Series 2021-2, Class A3, 2.50%, due 05/25/51(b) 144A
|
1,502,263
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
200,000
|
|
Radnor RE, Ltd. CMO, Series 2020-1, Class M1B, 5.84% (1 mo. USD LIBOR +
1.45%), due 01/25/30(c) 144A
|
198,342
|
|
295,142
|
|
Sequoia Mortgage Trust CMO, Series 2020-3, Class A4, 3.00%, due 04/25/50(b) 144A
|
282,832
|
|
1,713,347
|
|
Sequoia Mortgage Trust CMO, Series 2021-1, Class A1, 2.50%, due 03/25/51(b) 144A
|
1,385,692
|
|
380,000
|
|
SLG Office Trust, Series 2021-OVA, Class D, 2.85%, due 07/15/41 144A
|
283,694
|
|
953,000
|
|
SMRT, Series 2022-MINI, Class A, 5.34% (1 mo. TSFR + 1.00%), due 01/15/39(c) 144A
|
921,187
|
|
418,663
|
|
Starwood Mortgage Residential Trust CMO, Series 2022-1, Class A1, 2.45%, due
12/25/66(b) 144A
|
352,437
|
|
132,000
|
|
Towd Point Mortgage Trust CMO, Series 2015-1, Class A5, 3.64%, due 10/25/53(b)
144A
|
127,714
|
|
202,633
|
|
Towd Point Mortgage Trust CMO, Series 2018-1, Class A1, 3.00%, due 01/25/58(b)
144A
|
196,042
|
|
210,605
|
|
Towd Point Mortgage Trust CMO, Series 2018-4, Class A1, 3.00%, due 06/25/58(b)
144A
|
193,058
|
|
28,187
|
|
Towd Point Mortgage Trust CMO, Series 2018-5, Class A1A, 3.25%, due 07/25/58(b)
144A
|
27,152
|
|
153,250
|
|
Towd Point Mortgage Trust CMO, Series 2018-6, Class A1A, 3.75%, due 03/25/58(b)
144A
|
149,148
|
|
248,597
|
|
Towd Point Mortgage Trust CMO, Series 2019-1, Class A1, 3.72%, due 03/25/58(b)
144A
|
235,048
|
|
163,590
|
|
Towd Point Mortgage Trust CMO, Series 2019-4, Class A1, 2.90%, due 10/25/59(b)
144A
|
152,669
|
|
33,934
|
|
Towd Point Mortgage Trust CMO, Series 2019-HY3, Class A1A, 5.39% (1 mo. USD
LIBOR + 1.00%), due 10/25/59(c) 144A
|
33,607
|
|
625,947
|
|
UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50
|
596,725
|
|
69,104
|
|
Verus Securitization Trust CMO, Series 2020-5, Class A1, 1.22%, due 05/25/65(d) 144A
|
62,996
|
|
290,915
|
|
Verus Securitization Trust CMO, Series 2021-3, Class A1, 1.05%, due 06/25/66(b) 144A
|
233,735
|
|
170,601
|
|
Verus Securitization Trust CMO, Series 2021-4, Class A1, 0.94%, due 07/25/66(b) 144A
|
132,101
|
|
530,934
|
|
Verus Securitization Trust CMO, Series 2021-5, Class A1, 1.01%, due 09/25/66(b) 144A
|
426,421
|
|
135,538
|
|
Verus Securitization Trust CMO, Series 2021-R1, Class A1, 0.82%, due 10/25/63(b)
144A
|
121,632
|
|
7,205
|
|
WaMu Mortgage Pass Through Certificates CMO, Series 2003-AR9, Class 1A7, 4.12%,
due 09/25/33(b)
|
6,644
|
|
1,490,923
|
|
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due
08/15/49
|
1,344,305
|
|
3,000,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due
11/15/49
|
2,760,375
|
|
917,021
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due
07/15/50
|
840,124
|
|
1,011,875
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due
03/15/50
|
934,573
|
|
1,605,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due
06/15/53
|
1,483,106
|
|
1,900,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A3, 1.96%, due
04/15/54
|
1,619,289
|
|
800,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class ASB, 2.13%, due
08/15/54
|
673,493
|
|
1,466,000
|
|
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5, 3.92%, due 10/15/57
|
1,420,948
|
|
|
|
|
127,304,381
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — 27.6%
|
|
|
204,105
|
|
FHLMC Gold, Pool # A89870, 4.50%, due 11/01/39
|
202,677
|
|
136,363
|
|
FHLMC Gold, Pool # A96970, 4.00%, due 02/01/41
|
131,229
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
257,956
|
|
FHLMC Gold, Pool # C91908, 3.00%, due 01/01/37
|
239,838
|
|
202,279
|
|
FHLMC Gold, Pool # G06231, 4.00%, due 12/01/40
|
194,664
|
|
126,186
|
|
FHLMC Gold, Pool # G06409, 6.00%, due 11/01/39
|
132,019
|
|
66,653
|
|
FHLMC Gold, Pool # G06875, 5.50%, due 12/01/38
|
69,113
|
|
233,894
|
|
FHLMC Gold, Pool # G07021, 5.00%, due 09/01/39
|
238,919
|
|
457,677
|
|
FHLMC Gold, Pool # G07816, 4.50%, due 09/01/42
|
454,650
|
|
300,935
|
|
FHLMC Gold, Pool # G08537, 3.00%, due 07/01/43
|
274,442
|
|
182,020
|
|
FHLMC Gold, Pool # G08672, 4.00%, due 10/01/45
|
174,839
|
|
276,748
|
|
FHLMC Gold, Pool # G08726, 3.00%, due 10/01/46
|
248,861
|
|
46,639
|
|
FHLMC Gold, Pool # G08735, 4.50%, due 10/01/46
|
45,912
|
|
23,823
|
|
FHLMC Gold, Pool # G08748, 3.50%, due 02/01/47
|
22,191
|
|
350,075
|
|
FHLMC Gold, Pool # G08749, 4.00%, due 02/01/47
|
335,225
|
|
182,811
|
|
FHLMC Gold, Pool # G08771, 4.00%, due 07/01/47
|
174,990
|
|
171,459
|
|
FHLMC Gold, Pool # G08786, 4.50%, due 10/01/47
|
168,680
|
|
99,492
|
|
FHLMC Gold, Pool # G16177, 2.00%, due 01/01/32
|
90,727
|
|
683,381
|
|
FHLMC Gold, Pool # G16634, 3.00%, due 10/01/31
|
655,808
|
|
672,051
|
|
FHLMC Gold, Pool # G60722, 3.00%, due 10/01/46
|
603,292
|
|
305,390
|
|
FHLMC Gold, Pool # G60767, 3.50%, due 10/01/46
|
284,387
|
|
132,874
|
|
FHLMC Gold, Pool # G60788, 3.50%, due 12/01/46
|
123,708
|
|
660,500
|
|
FHLMC Gold, Pool # G60804, 4.50%, due 05/01/42
|
652,784
|
|
841,008
|
|
FHLMC Gold, Pool # G60934, 3.50%, due 06/01/45
|
788,654
|
|
1,003,930
|
|
FHLMC Gold, Pool # G60985, 3.00%, due 05/01/47
|
903,359
|
|
560,508
|
|
FHLMC Gold, Pool # G61748, 3.50%, due 11/01/48
|
522,147
|
|
276,635
|
|
FHLMC Gold, Pool # G61995, 4.00%, due 11/01/44
|
265,541
|
|
190,702
|
|
FHLMC Gold, Pool # J24414, 2.50%, due 06/01/28
|
181,734
|
|
245,565
|
|
FHLMC Gold, Pool # J34888, 2.50%, due 07/01/31
|
230,177
|
|
550,273
|
|
FHLMC Gold, Pool # Q09224, 4.00%, due 07/01/42
|
533,895
|
|
78,855
|
|
FHLMC Gold, Pool # Q11218, 3.50%, due 09/01/42
|
73,971
|
|
175,969
|
|
FHLMC Gold, Pool # Q12052, 3.50%, due 10/01/42
|
165,069
|
|
490,539
|
|
FHLMC Gold, Pool # Q12862, 3.50%, due 11/01/42
|
460,020
|
|
201,889
|
|
FHLMC Gold, Pool # Q17792, 3.50%, due 05/01/43
|
189,252
|
|
480,227
|
|
FHLMC Gold, Pool # Q36815, 4.00%, due 10/01/45
|
459,611
|
|
411,240
|
|
FHLMC Gold, Pool # Q41918, 3.50%, due 07/01/46
|
382,914
|
|
432,307
|
|
FHLMC Gold, Pool # Q42618, 3.00%, due 08/01/46
|
387,807
|
|
626,017
|
|
FHLMC Gold, Pool # Q44455, 3.50%, due 11/01/46
|
582,182
|
|
180,449
|
|
FHLMC Gold, Pool # Q44963, 3.50%, due 12/01/46
|
167,852
|
|
599,885
|
|
FHLMC Gold, Pool # Q45741, 3.50%, due 01/01/47
|
558,056
|
|
48,612
|
|
FHLMC Gold, Pool # Q49494, 4.50%, due 07/01/47
|
47,736
|
|
154,084
|
|
FHLMC Gold, Pool # Q52312, 4.00%, due 11/01/47
|
147,301
|
|
142,226
|
|
FHLMC Gold, Pool # Q54957, 4.00%, due 03/01/48
|
136,076
|
|
149,516
|
|
FHLMC Gold, Pool # V60565, 3.00%, due 06/01/29
|
144,103
|
|
384,705
|
|
FHLMC Gold, Pool # V60599, 3.00%, due 09/01/29
|
370,767
|
|
429,434
|
|
FHLMC Gold, Pool # V82292, 4.00%, due 04/01/46
|
412,193
|
|
188,160
|
|
FHLMC Gold, Pool # V82848, 3.00%, due 12/01/46
|
168,676
|
|
11,948,795
|
|
FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K106, Class X1,
1.35%, due 01/25/30(b) 144A
|
889,685
|
|
40,593
|
|
FHLMC Reference REMIC CMO, Series R007, Class ZA, 6.00%, due 05/15/36
|
41,681
|
|
1,147,063
|
|
FHLMC REMIC CMO, Series 4710, Class KZ, 3.50%, due 08/15/47
|
1,014,759
|
|
1,335,358
|
|
FHLMC REMIC CMO, Series 4739, Class Z, 3.50%, due 11/15/47
|
1,199,728
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
660,109
|
|
FNMA, Pool # BM4377, 3.22%, (12 mo. USD LIBOR + 1.88%), due 04/01/38(c)
|
673,223
|
|
693,564
|
|
FNMA, Pool # BM6482, 3.52%, (12 mo. USD LIBOR + 1.58%), due 04/01/47(c)
|
710,859
|
|
511,347
|
|
FNMA REMIC CMO, Series 2011-59, Class NZ, 5.50%, due 07/25/41
|
520,398
|
|
1,354,543
|
|
FNMA REMIC CMO, Series 2012-134, Class ZC, 2.50%, due 12/25/42
|
1,029,390
|
|
3,894
|
|
FNMA REMIC CMO, Series 2012-28, Class B, 6.50%, due 06/25/39
|
3,967
|
|
38,347
|
|
FNMA-ACES, Series 2018-M10, Class A1, 3.36%, due 07/25/28(b)
|
37,880
|
|
277,484
|
|
GNMA I, Pool # 734152, 4.00%, due 01/15/41
|
267,568
|
|
1,776,016
|
|
GNMA I, Pool # 784369, 4.00%, due 08/15/45
|
1,730,065
|
|
195,170
|
|
GNMA I, Pool # 784605, 4.50%, due 01/15/42
|
194,125
|
|
111,859
|
|
GNMA I, Pool # AL8626, 3.00%, due 08/15/45
|
100,016
|
|
130,570
|
|
GNMA II, Pool # 004636, 4.50%, due 02/20/40
|
130,437
|
|
23,306
|
|
GNMA II, Pool # 004678, 4.50%, due 04/20/40
|
23,282
|
|
147,477
|
|
GNMA II, Pool # 004833, 4.00%, due 10/20/40
|
142,634
|
|
136,103
|
|
GNMA II, Pool # 004977, 4.00%, due 03/20/41
|
131,635
|
|
346,487
|
|
GNMA II, Pool # 004978, 4.50%, due 03/20/41
|
346,135
|
|
532,230
|
|
GNMA II, Pool # 005055, 4.50%, due 05/20/41
|
531,688
|
|
20,277
|
|
GNMA II, Pool # 783637, 3.00%, due 06/20/42
|
18,539
|
|
3,275,006
|
|
GNMA II, Pool # 785283, 2.50%, due 01/20/51
|
2,801,457
|
|
472,666
|
|
GNMA II, Pool # 796468, 4.00%, due 09/20/42
|
458,291
|
|
735,464
|
|
GNMA II, Pool # AV9421, 3.50%, due 11/20/46
|
686,199
|
|
465,743
|
|
GNMA II, Pool # AY7555, 3.50%, due 04/20/47
|
434,166
|
|
201,553
|
|
GNMA II, Pool # MA0462, 3.50%, due 10/20/42
|
190,082
|
|
29,999
|
|
GNMA II, Pool # MA0624, 3.00%, due 12/20/42
|
27,416
|
|
135,096
|
|
GNMA II, Pool # MA0625, 3.50%, due 12/20/42
|
127,410
|
|
76,220
|
|
GNMA II, Pool # MA0698, 3.00%, due 01/20/43
|
69,658
|
|
258,131
|
|
GNMA II, Pool # MA0851, 3.00%, due 03/20/43
|
235,903
|
|
207,670
|
|
GNMA II, Pool # MA0852, 3.50%, due 03/20/43
|
196,152
|
|
43,574
|
|
GNMA II, Pool # MA1156, 3.00%, due 07/20/43
|
39,821
|
|
142,852
|
|
GNMA II, Pool # MA1376, 4.00%, due 10/20/43
|
137,875
|
|
62,978
|
|
GNMA II, Pool # MA1599, 3.00%, due 01/20/44
|
57,557
|
|
130,937
|
|
GNMA II, Pool # MA2371, 3.50%, due 11/20/44
|
122,423
|
|
106,580
|
|
GNMA II, Pool # MA2372, 4.00%, due 11/20/44
|
102,620
|
|
95,892
|
|
GNMA II, Pool # MA2825, 3.00%, due 05/20/45
|
87,637
|
|
221,164
|
|
GNMA II, Pool # MA3310, 3.50%, due 12/20/45
|
205,828
|
|
89,522
|
|
GNMA II, Pool # MA3377, 4.00%, due 01/20/46
|
86,197
|
|
132,525
|
|
GNMA II, Pool # MA3455, 4.00%, due 02/20/46
|
127,597
|
|
254,116
|
|
GNMA II, Pool # MA3456, 4.50%, due 02/20/46
|
254,956
|
|
217,412
|
|
GNMA II, Pool # MA3596, 3.00%, due 04/20/46
|
197,898
|
|
415,392
|
|
GNMA II, Pool # MA3803, 3.50%, due 07/20/46
|
387,788
|
|
306,175
|
|
GNMA II, Pool # MA3873, 3.00%, due 08/20/46
|
277,132
|
|
497,905
|
|
GNMA II, Pool # MA3936, 3.00%, due 09/20/46
|
451,178
|
|
142,866
|
|
GNMA II, Pool # MA4004, 3.50%, due 10/20/46
|
133,369
|
|
85,552
|
|
GNMA II, Pool # MA4071, 4.50%, due 11/20/46
|
86,203
|
|
74,950
|
|
GNMA II, Pool # MA4125, 2.50%, due 12/20/46
|
66,161
|
|
118,048
|
|
GNMA II, Pool # MA4263, 4.00%, due 02/20/47
|
113,325
|
|
185,679
|
|
GNMA II, Pool # MA4585, 3.00%, due 07/20/47
|
167,976
|
|
175,217
|
|
GNMA II, Pool # MA4586, 3.50%, due 07/20/47
|
163,610
|
|
448,315
|
|
GNMA II, Pool # MA4720, 4.00%, due 09/20/47
|
431,944
|
|
127,986
|
|
GNMA II, Pool # MA4838, 4.00%, due 11/20/47
|
122,999
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
514,298
|
|
GNMA II, Pool # MA5019, 3.50%, due 02/20/48
|
480,147
|
|
62,416
|
|
GNMA II, Pool # MA5021, 4.50%, due 02/20/48
|
61,513
|
|
21,609
|
|
GNMA II, Pool # MA5079, 4.50%, due 03/20/48
|
21,299
|
|
251,571
|
|
GNMA II, Pool # MA5264, 4.00%, due 06/20/48
|
240,515
|
|
145,675
|
|
GNMA II, Pool # MA5397, 3.50%, due 08/20/48
|
135,798
|
|
146,203
|
|
GNMA II, Pool # MA5466, 4.00%, due 09/20/48
|
139,667
|
|
120,328
|
|
GNMA II, Pool # MA5467, 4.50%, due 09/20/48
|
116,881
|
|
51,062
|
|
GNMA II, Pool # MA5530, 5.00%, due 10/20/48
|
51,286
|
|
86,172
|
|
GNMA II, Pool # MA5762, 3.50%, due 02/20/49
|
80,564
|
|
82,527
|
|
GNMA II, Pool # MA5817, 4.00%, due 03/20/49
|
78,959
|
|
290,450
|
|
GNMA II, Pool # MA5874, 3.00%, due 04/20/49
|
261,859
|
|
563,546
|
|
GNMA II, Pool # MA6038, 3.00%, due 07/20/49
|
507,393
|
|
520,426
|
|
GNMA II, Pool # MA6090, 3.50%, due 08/20/49
|
483,433
|
|
200,273
|
|
GNMA II, Pool # MA6338, 3.00%, due 12/20/49
|
180,308
|
|
464,447
|
|
GNMA II, Pool # MA6409, 3.00%, due 01/20/50
|
418,015
|
|
390,392
|
|
GNMA II, Pool # MA7254, 2.00%, due 03/20/51
|
329,464
|
|
398,767
|
|
GNMA II, Pool # MA7367, 2.50%, due 05/20/51
|
347,135
|
|
475,062
|
|
GNMA II, Pool # MA7471, 2.00%, due 07/20/51
|
398,744
|
|
349,795
|
|
GNMA II, Pool # MA7534, 2.50%, due 08/20/51
|
304,197
|
|
634,239
|
|
GNMA II, Pool # MA7588, 2.00%, due 09/20/51
|
533,922
|
|
1,998,932
|
|
GNMA II, Pool # MA7589, 2.50%, due 09/20/51
|
1,737,281
|
|
2,000,952
|
|
GNMA II, Pool # MA7650, 3.00%, due 10/20/51
|
1,790,065
|
|
456,726
|
|
GNMA II, Pool # MA7706, 3.00%, due 11/20/51
|
408,875
|
|
1,005,957
|
|
GNMA II, Pool # MA7936, 2.50%, due 03/20/52
|
872,903
|
|
971,124
|
|
GNMA II, Pool # MA7988, 3.00%, due 04/20/52
|
866,550
|
|
1,999,999
|
|
GNMA II, Pool # MA8042, 2.50%, due 05/20/52
|
1,734,892
|
|
5,969,847
|
|
GNMA II, Pool # MA8266, 3.50%, due 09/20/52
|
5,490,996
|
|
2,995,848
|
|
GNMA II, Pool # MA8270, 5.50%, due 09/20/52
|
3,019,764
|
|
4,500,000
|
|
GNMA TBA, 2.50%, due 01/23/53
|
3,900,721
|
|
2,500,000
|
|
GNMA TBA, 3.00%, due 01/23/53
|
2,226,626
|
|
1,500,000
|
|
GNMA TBA, 5.00%, due 01/23/53
|
1,486,563
|
|
2,500,000
|
|
GNMA TBA, 5.50%, due 01/23/53
|
2,514,760
|
|
3,939,317
|
|
UMBS, Pool # FS2616, 5.00%, due 08/01/52
|
3,935,641
|
|
818,091
|
|
UMBS, Pool # SD1517, 4.50%, due 09/01/52
|
794,298
|
|
202,116
|
|
UMBS, Pool # 745148, 5.00%, due 01/01/36
|
206,596
|
|
193,186
|
|
UMBS, Pool # 932807, 4.00%, due 09/01/40
|
185,710
|
|
124,836
|
|
UMBS, Pool # 983471, 5.50%, due 05/01/38
|
129,134
|
|
235,856
|
|
UMBS, Pool # 985184, 5.50%, due 08/01/38
|
244,805
|
|
165,562
|
|
UMBS, Pool # 995245, 5.00%, due 01/01/39
|
166,615
|
|
314,857
|
|
UMBS, Pool # AB6212, 3.00%, due 09/01/42
|
286,843
|
|
503,102
|
|
UMBS, Pool # AB6802, 3.50%, due 11/01/42
|
471,402
|
|
143,213
|
|
UMBS, Pool # AB7059, 2.50%, due 11/01/42
|
123,628
|
|
284,072
|
|
UMBS, Pool # AB8703, 3.00%, due 03/01/38
|
255,377
|
|
111,039
|
|
UMBS, Pool # AB9383, 4.00%, due 05/01/43
|
106,753
|
|
890,513
|
|
UMBS, Pool # AB9659, 3.00%, due 06/01/43
|
811,175
|
|
1,879,798
|
|
UMBS, Pool # AC3668, 4.50%, due 10/01/39
|
1,865,267
|
|
183,961
|
|
UMBS, Pool # AD9153, 4.50%, due 08/01/40
|
182,539
|
|
137,354
|
|
UMBS, Pool # AE0469, 6.00%, due 12/01/39
|
143,324
|
|
377,519
|
|
UMBS, Pool # AH4404, 4.00%, due 01/01/41
|
362,908
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
78,421
|
|
UMBS, Pool # AI1892, 5.00%, due 05/01/41
|
79,272
|
|
385,370
|
|
UMBS, Pool # AI4815, 4.50%, due 06/01/41
|
381,283
|
|
313,305
|
|
UMBS, Pool # AJ9278, 3.50%, due 12/01/41
|
293,565
|
|
153,938
|
|
UMBS, Pool # AJ9317, 4.00%, due 01/01/42
|
147,978
|
|
342,635
|
|
UMBS, Pool # AL0215, 4.50%, due 04/01/41
|
339,984
|
|
641,826
|
|
UMBS, Pool # AL1895, 3.50%, due 06/01/42
|
602,974
|
|
401,224
|
|
UMBS, Pool # AL2466, 4.00%, due 09/01/42
|
392,259
|
|
401,585
|
|
UMBS, Pool # AL3000, 3.50%, due 12/01/42
|
376,152
|
|
471,940
|
|
UMBS, Pool # AL3316, 3.50%, due 03/01/43
|
442,090
|
|
644,728
|
|
UMBS, Pool # AL6663, 4.00%, due 03/01/39
|
619,828
|
|
564,209
|
|
UMBS, Pool # AL7594, 3.50%, due 08/01/45
|
525,522
|
|
548,259
|
|
UMBS, Pool # AL8191, 4.00%, due 12/01/45
|
530,307
|
|
72,786
|
|
UMBS, Pool # AO4109, 4.00%, due 06/01/42
|
69,966
|
|
190,807
|
|
UMBS, Pool # AQ7923, 3.00%, due 12/01/42
|
173,812
|
|
328,496
|
|
UMBS, Pool # AS5133, 3.50%, due 06/01/45
|
305,836
|
|
81,338
|
|
UMBS, Pool # AS6286, 4.00%, due 12/01/45
|
77,985
|
|
104,904
|
|
UMBS, Pool # AS6304, 4.00%, due 12/01/45
|
100,580
|
|
167,814
|
|
UMBS, Pool # AS6452, 3.50%, due 01/01/46
|
156,099
|
|
121,864
|
|
UMBS, Pool # AS7693, 2.00%, due 08/01/31
|
110,985
|
|
190,907
|
|
UMBS, Pool # AS8073, 2.50%, due 10/01/46
|
164,108
|
|
133,038
|
|
UMBS, Pool # AZ3743, 3.50%, due 11/01/45
|
123,834
|
|
203,014
|
|
UMBS, Pool # BC9468, 3.00%, due 06/01/46
|
182,301
|
|
429,332
|
|
UMBS, Pool # BD7043, 4.00%, due 03/01/47
|
410,924
|
|
284,459
|
|
UMBS, Pool # BE7192, 4.00%, due 03/01/47
|
272,841
|
|
3,117,252
|
|
UMBS, Pool # BJ0104, 3.50%, due 10/01/47
|
2,892,171
|
|
450,897
|
|
UMBS, Pool # BK1023, 4.50%, due 02/01/48
|
442,683
|
|
246,270
|
|
UMBS, Pool # BK7611, 4.50%, due 09/01/48
|
241,291
|
|
619,820
|
|
UMBS, Pool # BM1573, 3.50%, due 07/01/47
|
575,968
|
|
838,602
|
|
UMBS, Pool # BM1972, 3.50%, due 10/01/37
|
802,409
|
|
473,787
|
|
UMBS, Pool # BM3033, 3.00%, due 10/01/47
|
424,564
|
|
154,370
|
|
UMBS, Pool # BM3258, 3.00%, due 02/01/47
|
138,380
|
|
171,288
|
|
UMBS, Pool # BM3286, 4.50%, due 11/01/47
|
171,004
|
|
2,591,545
|
|
UMBS, Pool # BM3325, 3.00%, due 10/01/46
|
2,353,489
|
|
360,194
|
|
UMBS, Pool # BM3332, 3.50%, due 01/01/48
|
334,150
|
|
317,541
|
|
UMBS, Pool # BM3491, 4.50%, due 01/01/38
|
311,228
|
|
530,089
|
|
UMBS, Pool # BM3641, 4.00%, due 04/01/48
|
506,592
|
|
517,312
|
|
UMBS, Pool # BM4896, 3.00%, due 02/01/47
|
471,277
|
|
689,975
|
|
UMBS, Pool # BM5213, 3.00%, due 07/01/45
|
622,509
|
|
151,887
|
|
UMBS, Pool # BM5293, 3.50%, due 02/01/49
|
140,746
|
|
288,803
|
|
UMBS, Pool # BM5694, 4.00%, due 06/01/48
|
275,827
|
|
109,848
|
|
UMBS, Pool # BM5874, 4.00%, due 01/01/48
|
105,322
|
|
166,314
|
|
UMBS, Pool # BM5950, 3.00%, due 11/01/48
|
149,433
|
|
897,056
|
|
UMBS, Pool # BN6216, 4.50%, due 03/01/49
|
875,386
|
|
166,753
|
|
UMBS, Pool # BO1420, 3.50%, due 09/01/49
|
153,298
|
|
418,114
|
|
UMBS, Pool # BO5387, 3.50%, due 12/01/49
|
390,929
|
|
276,000
|
|
UMBS, Pool # BP2898, 4.00%, due 03/01/50
|
262,399
|
|
554,137
|
|
UMBS, Pool # BP3048, 3.00%, due 03/01/50
|
489,846
|
|
376,509
|
|
UMBS, Pool # BP5462, 2.50%, due 06/01/50
|
324,736
|
|
302,134
|
|
UMBS, Pool # BP5568, 3.00%, due 06/01/50
|
266,799
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
1,431,687
|
|
UMBS, Pool # BP6618, 2.50%, due 08/01/50
|
1,219,833
|
|
5,627,193
|
|
UMBS, Pool # BP9250, 2.50%, due 07/01/50
|
4,796,850
|
|
755,160
|
|
UMBS, Pool # BQ3132, 2.00%, due 10/01/50
|
627,003
|
|
519,822
|
|
UMBS, Pool # BQ3138, 2.50%, due 10/01/50
|
448,333
|
|
680,609
|
|
UMBS, Pool # BT4696, 3.00%, due 08/01/51
|
598,488
|
|
319,292
|
|
UMBS, Pool # BT7819, 3.00%, due 05/01/52
|
280,701
|
|
3,978,245
|
|
UMBS, Pool # BU1410, 3.00%, due 01/01/52
|
3,496,952
|
|
94,107
|
|
UMBS, Pool # BU3058, 2.50%, due 12/01/51
|
79,909
|
|
999,900
|
|
UMBS, Pool # BU6553, 3.00%, due 11/01/51
|
879,206
|
|
971,021
|
|
UMBS, Pool # BU8763, 3.00%, due 04/01/52
|
855,269
|
|
2,924,901
|
|
UMBS, Pool # BV5624, 3.00%, due 06/01/52
|
2,570,204
|
|
614,406
|
|
UMBS, Pool # BV7064, 3.50%, due 04/01/52
|
559,387
|
|
1,483,010
|
|
UMBS, Pool # BV8474, 3.00%, due 05/01/52
|
1,317,710
|
|
138,990
|
|
UMBS, Pool # BV9646, 3.50%, due 05/01/52
|
126,443
|
|
524,172
|
|
UMBS, Pool # BW0046, 5.00%, due 07/01/52
|
519,122
|
|
132,863
|
|
UMBS, Pool # BW7610, 3.50%, due 08/01/52
|
120,882
|
|
883,945
|
|
UMBS, Pool # CA0623, 4.50%, due 10/01/47
|
870,360
|
|
515,285
|
|
UMBS, Pool # CA0655, 3.50%, due 11/01/47
|
478,134
|
|
47,717
|
|
UMBS, Pool # CA3828, 4.00%, due 07/01/49
|
45,435
|
|
663,153
|
|
UMBS, Pool # CA3986, 5.00%, due 08/01/49
|
663,375
|
|
295,210
|
|
UMBS, Pool # CA4149, 3.00%, due 09/01/49
|
261,665
|
|
567,950
|
|
UMBS, Pool # CA4831, 4.50%, due 12/01/49
|
553,309
|
|
492,184
|
|
UMBS, Pool # CA5229, 3.00%, due 02/01/50
|
435,392
|
|
2,987,413
|
|
UMBS, Pool # CA5354, 3.50%, due 03/01/50
|
2,749,214
|
|
399,058
|
|
UMBS, Pool # CA5571, 4.00%, due 04/01/50
|
378,653
|
|
5,121,970
|
|
UMBS, Pool # CA6097, 3.50%, due 06/01/50
|
4,689,638
|
|
3,040,088
|
|
UMBS, Pool # CA6635, 2.50%, due 08/01/50
|
2,624,678
|
|
1,230,418
|
|
UMBS, Pool # CA6738, 3.00%, due 08/01/50
|
1,085,947
|
|
1,439,815
|
|
UMBS, Pool # CA6777, 4.50%, due 08/01/50
|
1,395,577
|
|
378,825
|
|
UMBS, Pool # CA6799, 2.00%, due 08/01/50
|
311,461
|
|
627,575
|
|
UMBS, Pool # CA6871, 2.50%, due 08/01/35
|
575,041
|
|
1,433,250
|
|
UMBS, Pool # CA6872, 2.50%, due 08/01/35
|
1,320,223
|
|
3,719,572
|
|
UMBS, Pool # CA8062, 2.50%, due 12/01/50
|
3,182,900
|
|
133,554
|
|
UMBS, Pool # CA8895, 2.50%, due 02/01/51
|
113,388
|
|
161,968
|
|
UMBS, Pool # CA9090, 2.50%, due 02/01/51
|
137,521
|
|
1,487,081
|
|
UMBS, Pool # CA9227, 2.50%, due 02/01/51
|
1,275,096
|
|
2,635,913
|
|
UMBS, Pool # CB0671, 2.50%, due 06/01/51
|
2,273,826
|
|
570,975
|
|
UMBS, Pool # CB2287, 2.50%, due 12/01/51
|
487,360
|
|
481,693
|
|
UMBS, Pool # CB2858, 2.50%, due 02/01/52
|
411,189
|
|
495,314
|
|
UMBS, Pool # CB3126, 3.50%, due 03/01/52
|
454,478
|
|
903,123
|
|
UMBS, Pool # CB3865, 4.50%, due 06/01/52
|
876,578
|
|
3,430,732
|
|
UMBS, Pool # CB4088, 4.00%, due 07/01/52
|
3,243,568
|
|
1,043,642
|
|
UMBS, Pool # CB4304, 4.50%, due 08/01/52
|
1,006,510
|
|
1,674,184
|
|
UMBS, Pool # CB4395, 4.50%, due 08/01/52
|
1,614,618
|
|
3,252,912
|
|
UMBS, Pool # CB4536, 2.50%, due 06/01/52
|
2,761,965
|
|
1,949,509
|
|
UMBS, Pool # CB4908, 5.50%, due 10/01/52
|
1,973,902
|
|
759,133
|
|
UMBS, Pool # FM0030, 3.00%, due 02/01/49
|
680,049
|
|
203,819
|
|
UMBS, Pool # FM1001, 3.50%, due 11/01/48
|
189,124
|
|
209,308
|
|
UMBS, Pool # FM1266, 5.00%, due 07/01/49
|
209,468
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
104,863
|
|
UMBS, Pool # FM1347, 3.00%, due 12/01/48
|
94,520
|
|
589,420
|
|
UMBS, Pool # FM1467, 3.00%, due 12/01/47
|
533,020
|
|
423,800
|
|
UMBS, Pool # FM1588, 3.00%, due 10/01/49
|
377,855
|
|
209,630
|
|
UMBS, Pool # FM1715, 3.00%, due 12/01/45
|
188,525
|
|
282,096
|
|
UMBS, Pool # FM1790, 3.00%, due 11/01/49
|
249,996
|
|
206,890
|
|
UMBS, Pool # FM1864, 3.00%, due 11/01/49
|
183,662
|
|
3,188,548
|
|
UMBS, Pool # FM2217, 3.00%, due 03/01/47
|
2,904,742
|
|
2,062,275
|
|
UMBS, Pool # FM2226, 3.00%, due 09/01/46
|
1,878,697
|
|
671,763
|
|
UMBS, Pool # FM2274, 4.00%, due 08/01/49
|
641,160
|
|
416,577
|
|
UMBS, Pool # FM2336, 4.00%, due 01/01/50
|
396,415
|
|
443,697
|
|
UMBS, Pool # FM2461, 3.50%, due 03/01/50
|
407,483
|
|
607,094
|
|
UMBS, Pool # FM2570, 4.50%, due 04/01/48
|
602,402
|
|
411,614
|
|
UMBS, Pool # FM2674, 4.00%, due 03/01/50
|
390,567
|
|
1,387,373
|
|
UMBS, Pool # FM3250, 3.50%, due 05/01/50
|
1,278,442
|
|
763,354
|
|
UMBS, Pool # FM4330, 2.50%, due 10/01/50
|
658,820
|
|
1,568,952
|
|
UMBS, Pool # FM4532, 3.00%, due 09/01/50
|
1,382,477
|
|
3,073,605
|
|
UMBS, Pool # FM4765, 2.00%, due 11/01/50
|
2,540,539
|
|
31,419
|
|
UMBS, Pool # FM5035, 4.00%, due 07/01/50
|
29,935
|
|
2,536,149
|
|
UMBS, Pool # FM5721, 3.00%, due 12/01/40
|
2,305,116
|
|
703,782
|
|
UMBS, Pool # FM5875, 4.50%, due 04/01/50
|
688,580
|
|
1,107,276
|
|
UMBS, Pool # FM5996, 4.50%, due 03/01/49
|
1,085,698
|
|
844,352
|
|
UMBS, Pool # FM6273, 3.00%, due 12/01/34
|
804,420
|
|
2,096,635
|
|
UMBS, Pool # FM6497, 2.00%, due 03/01/51
|
1,733,076
|
|
919,369
|
|
UMBS, Pool # FM6585, 3.50%, due 11/01/40
|
853,620
|
|
813,825
|
|
UMBS, Pool # FM7341, 4.00%, due 03/01/48
|
779,461
|
|
278,151
|
|
UMBS, Pool # FM7441, 3.00%, due 05/01/51
|
245,544
|
|
1,245,254
|
|
UMBS, Pool # FM7785, 4.00%, due 05/01/49
|
1,188,554
|
|
1,969,284
|
|
UMBS, Pool # FM7794, 4.00%, due 01/01/50
|
1,875,686
|
|
2,073,384
|
|
UMBS, Pool # FM8216, 4.00%, due 11/01/48
|
1,988,757
|
|
978,589
|
|
UMBS, Pool # FM8422, 2.50%, due 08/01/51
|
832,019
|
|
736,232
|
|
UMBS, Pool # FM8451, 2.50%, due 08/01/51
|
630,818
|
|
1,649,622
|
|
UMBS, Pool # FM8603, 4.00%, due 09/01/49
|
1,575,280
|
|
2,813,392
|
|
UMBS, Pool # FM8968, 3.00%, due 04/01/48
|
2,551,989
|
|
1,697,645
|
|
UMBS, Pool # FM9412, 2.50%, due 11/01/51
|
1,453,653
|
|
1,545,835
|
|
UMBS, Pool # FM9461, 3.50%, due 11/01/51
|
1,412,156
|
|
1,013,153
|
|
UMBS, Pool # FM9674, 3.50%, due 06/01/49
|
937,474
|
|
808,184
|
|
UMBS, Pool # FM9726, 2.50%, due 11/01/51
|
693,909
|
|
4,219,270
|
|
UMBS, Pool # FM9728, 2.50%, due 11/01/51
|
3,604,705
|
|
461,451
|
|
UMBS, Pool # FM9977, 4.00%, due 02/01/50
|
439,083
|
|
1,138,828
|
|
UMBS, Pool # FS0027, 2.50%, due 11/01/51
|
977,801
|
|
1,269,009
|
|
UMBS, Pool # FS0065, 4.50%, due 12/01/50
|
1,244,672
|
|
932,123
|
|
UMBS, Pool # FS0194, 2.50%, due 01/01/52
|
794,614
|
|
2,187,650
|
|
UMBS, Pool # FS0248, 3.00%, due 02/01/50
|
1,947,131
|
|
2,431,891
|
|
UMBS, Pool # FS0644, 3.00%, due 02/01/52
|
2,148,082
|
|
110,418
|
|
UMBS, Pool # FS0703, 4.00%, due 01/01/49
|
105,426
|
|
1,938,693
|
|
UMBS, Pool # FS0715, 3.00%, due 01/01/52
|
1,714,930
|
|
3,668,060
|
|
UMBS, Pool # FS0731, 2.00%, due 02/01/52
|
3,014,571
|
|
2,399,027
|
|
UMBS, Pool # FS1133, 4.00%, due 10/01/51
|
2,272,951
|
|
481,984
|
|
UMBS, Pool # FS1201, 3.00%, due 01/01/50
|
426,471
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
643,017
|
|
UMBS, Pool # FS1205, 3.50%, due 04/01/52
|
586,801
|
|
1,426,928
|
|
UMBS, Pool # FS1228, 3.00%, due 03/01/52
|
1,259,846
|
|
482,888
|
|
UMBS, Pool # FS1285, 3.50%, due 02/01/52
|
445,044
|
|
453,422
|
|
UMBS, Pool # FS1427, 3.00%, due 02/01/50
|
402,514
|
|
1,409,823
|
|
UMBS, Pool # FS1590, 2.50%, due 04/01/52
|
1,201,080
|
|
296,073
|
|
UMBS, Pool # FS1602, 4.00%, due 07/01/49
|
282,822
|
|
438,013
|
|
UMBS, Pool # FS1624, 2.50%, due 10/01/51
|
374,278
|
|
198,903
|
|
UMBS, Pool # FS1637, 4.00%, due 04/01/52
|
187,947
|
|
3,092,959
|
|
UMBS, Pool # FS1938, 2.50%, due 02/01/52
|
2,639,061
|
|
1,178,875
|
|
UMBS, Pool # FS1976, 4.00%, due 08/01/51
|
1,122,847
|
|
2,078,439
|
|
UMBS, Pool # FS2167, 4.50%, due 06/01/52
|
2,013,492
|
|
2,228,238
|
|
UMBS, Pool # FS2238, 4.00%, due 03/01/51
|
2,122,583
|
|
63,973
|
|
UMBS, Pool # FS2354, 4.00%, due 06/01/52
|
60,693
|
|
232,947
|
|
UMBS, Pool # FS2415, 4.50%, due 08/01/52
|
225,394
|
|
1,402,863
|
|
UMBS, Pool # FS2896, 4.50%, due 09/01/52
|
1,365,534
|
|
511,342
|
|
UMBS, Pool # FS3276, 4.50%, due 12/01/37
|
508,456
|
|
1,597,688
|
|
UMBS, Pool # FS3310, 4.50%, due 11/01/37
|
1,590,294
|
|
1,476,916
|
|
UMBS, Pool # FS3359, 5.50%, due 12/01/52
|
1,497,632
|
|
565,000
|
|
UMBS, Pool # FS3405, 5.50%, due 12/01/52
|
577,632
|
|
788,000
|
|
UMBS, Pool # FS3417, 5.00%, due 12/01/52
|
783,131
|
|
878,000
|
|
UMBS, Pool # FS3434, 5.50%, due 12/01/52
|
888,986
|
|
112,116
|
|
UMBS, Pool # MA2781, 2.50%, due 10/01/46
|
96,784
|
|
2,719,634
|
|
UMBS, Pool # MA2863, 3.00%, due 01/01/47
|
2,431,273
|
|
341,069
|
|
UMBS, Pool # MA3058, 4.00%, due 07/01/47
|
326,111
|
|
93,954
|
|
UMBS, Pool # MA3087, 3.50%, due 08/01/47
|
87,222
|
|
94,686
|
|
UMBS, Pool # MA3155, 3.00%, due 10/01/32
|
90,205
|
|
325,460
|
|
UMBS, Pool # MA3182, 3.50%, due 11/01/47
|
301,544
|
|
151,074
|
|
UMBS, Pool # MA3211, 4.00%, due 12/01/47
|
144,634
|
|
107,141
|
|
UMBS, Pool # MA3238, 3.50%, due 01/01/48
|
99,452
|
|
273,395
|
|
UMBS, Pool # MA3332, 3.50%, due 04/01/48
|
253,079
|
|
97,922
|
|
UMBS, Pool # MA3364, 3.50%, due 05/01/33
|
94,263
|
|
61,062
|
|
UMBS, Pool # MA3385, 4.50%, due 06/01/48
|
59,937
|
|
258,523
|
|
UMBS, Pool # MA3414, 3.50%, due 07/01/48
|
239,454
|
|
81,139
|
|
UMBS, Pool # MA3442, 3.50%, due 08/01/48
|
75,025
|
|
66,503
|
|
UMBS, Pool # MA3521, 4.00%, due 11/01/48
|
63,408
|
|
659,680
|
|
UMBS, Pool # MA3871, 3.00%, due 12/01/49
|
584,440
|
|
562,538
|
|
UMBS, Pool # MA3937, 3.00%, due 02/01/50
|
498,319
|
|
135,364
|
|
UMBS, Pool # MA3960, 3.00%, due 03/01/50
|
119,645
|
|
756,977
|
|
UMBS, Pool # MA4018, 2.00%, due 05/01/50
|
620,285
|
|
493,610
|
|
UMBS, Pool # MA4048, 3.00%, due 06/01/50
|
436,425
|
|
132,372
|
|
UMBS, Pool # MA4120, 2.50%, due 09/01/50
|
113,127
|
|
1,555,935
|
|
UMBS, Pool # MA4158, 2.00%, due 10/01/50
|
1,277,410
|
|
431,517
|
|
UMBS, Pool # MA4181, 1.50%, due 11/01/50
|
333,931
|
|
351,562
|
|
UMBS, Pool # MA4204, 2.00%, due 12/01/40
|
299,824
|
|
789,614
|
|
UMBS, Pool # MA4208, 2.00%, due 12/01/50
|
646,568
|
|
3,663,007
|
|
UMBS, Pool # MA4209, 1.50%, due 12/01/50
|
2,834,627
|
|
534,172
|
|
UMBS, Pool # MA4232, 2.00%, due 01/01/41
|
451,261
|
|
1,215,378
|
|
UMBS, Pool # MA4237, 2.00%, due 01/01/51
|
994,916
|
|
550,635
|
|
UMBS, Pool # MA4268, 2.00%, due 02/01/41
|
469,591
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
106,640
|
|
UMBS, Pool # MA4281, 2.00%, due 03/01/51
|
87,217
|
|
3,138,701
|
|
UMBS, Pool # MA4305, 2.00%, due 04/01/51
|
2,566,512
|
|
470,211
|
|
UMBS, Pool # MA4325, 2.00%, due 05/01/51
|
384,412
|
|
302,939
|
|
UMBS, Pool # MA4333, 2.00%, due 05/01/41
|
258,353
|
|
340,967
|
|
UMBS, Pool # MA4356, 2.50%, due 06/01/51
|
289,235
|
|
449,887
|
|
UMBS, Pool # MA4380, 3.00%, due 07/01/51
|
395,787
|
|
478,902
|
|
UMBS, Pool # MA4399, 2.50%, due 08/01/51
|
407,177
|
|
1,011,549
|
|
UMBS, Pool # MA4414, 2.50%, due 09/01/51
|
859,952
|
|
971,715
|
|
UMBS, Pool # MA4437, 2.00%, due 10/01/51
|
793,542
|
|
1,942,741
|
|
UMBS, Pool # MA4493, 2.50%, due 12/01/51
|
1,649,176
|
|
482,714
|
|
UMBS, Pool # MA4512, 2.50%, due 01/01/52
|
410,079
|
|
968,632
|
|
UMBS, Pool # MA4549, 3.00%, due 02/01/52
|
851,436
|
|
1,958,512
|
|
UMBS, Pool # MA4578, 2.50%, due 04/01/52
|
1,661,302
|
|
498,525
|
|
UMBS, Pool # MA4600, 3.50%, due 05/01/52
|
453,388
|
|
1,025,155
|
|
UMBS, Pool # MA4624, 3.00%, due 06/01/52
|
900,749
|
|
984,593
|
|
UMBS, Pool # MA4644, 4.00%, due 05/01/52
|
924,919
|
|
1,484,495
|
|
UMBS, Pool # MA4653, 3.00%, due 07/01/52
|
1,304,482
|
|
1,982,704
|
|
UMBS, Pool # MA4654, 3.50%, due 07/01/52
|
1,803,965
|
|
988,756
|
|
UMBS, Pool # MA4686, 5.00%, due 06/01/52
|
976,010
|
|
247,674
|
|
UMBS, Pool # MA4782, 3.50%, due 10/01/52
|
225,315
|
|
997,205
|
|
UMBS, Pool # MA4838, 3.50%, due 12/01/52
|
907,185
|
|
1,474,952
|
|
UMBS, Pool # QA6328, 3.00%, due 01/01/50
|
1,322,122
|
|
1,175,525
|
|
UMBS, Pool # QA6367, 3.00%, due 01/01/50
|
1,044,642
|
|
831,343
|
|
UMBS, Pool # QA7234, 3.00%, due 02/01/50
|
736,023
|
|
587,318
|
|
UMBS, Pool # QA8518, 3.00%, due 04/01/50
|
521,353
|
|
211,010
|
|
UMBS, Pool # QB0220, 3.00%, due 06/01/50
|
186,422
|
|
815,012
|
|
UMBS, Pool # QB4847, 2.50%, due 10/01/50
|
697,720
|
|
776,862
|
|
UMBS, Pool # QB6476, 2.50%, due 12/01/50
|
671,239
|
|
300,012
|
|
UMBS, Pool # QC0039, 2.50%, due 03/01/51
|
257,944
|
|
1,598,280
|
|
UMBS, Pool # QC4339, 2.00%, due 07/01/51
|
1,321,071
|
|
883,068
|
|
UMBS, Pool # QC5189, 2.50%, due 08/01/51
|
750,654
|
|
450,948
|
|
UMBS, Pool # QC6357, 2.50%, due 09/01/51
|
383,354
|
|
505,205
|
|
UMBS, Pool # QD6056, 3.00%, due 02/01/52
|
446,705
|
|
770,187
|
|
UMBS, Pool # QD8966, 2.50%, due 03/01/52
|
653,040
|
|
133,432
|
|
UMBS, Pool # QD9911, 2.50%, due 04/01/52
|
113,169
|
|
952,778
|
|
UMBS, Pool # QE0375, 4.00%, due 04/01/52
|
902,422
|
|
1,980,146
|
|
UMBS, Pool # QE1044, 3.50%, due 04/01/52
|
1,802,618
|
|
60,262
|
|
UMBS, Pool # QE1497, 4.00%, due 05/01/52
|
56,896
|
|
938,469
|
|
UMBS, Pool # QE4227, 3.50%, due 06/01/52
|
854,425
|
|
140,085
|
|
UMBS, Pool # QE9653, 3.50%, due 08/01/52
|
127,481
|
|
1,565,832
|
|
UMBS, Pool # RA1776, 3.00%, due 12/01/49
|
1,391,430
|
|
977,052
|
|
UMBS, Pool # RA1860, 3.00%, due 12/01/49
|
865,440
|
|
519,790
|
|
UMBS, Pool # RA2572, 3.50%, due 05/01/50
|
477,478
|
|
1,859,274
|
|
UMBS, Pool # RA2790, 2.50%, due 06/01/50
|
1,585,568
|
|
1,853,732
|
|
UMBS, Pool # RA2853, 2.50%, due 06/01/50
|
1,580,841
|
|
698,387
|
|
UMBS, Pool # RA3206, 2.00%, due 08/01/50
|
574,670
|
|
255,026
|
|
UMBS, Pool # RA5286, 2.50%, due 05/01/51
|
216,583
|
|
213,918
|
|
UMBS, Pool # RA5502, 3.00%, due 06/01/51
|
188,550
|
|
3,875,758
|
|
UMBS, Pool # RA5767, 2.50%, due 09/01/51
|
3,294,324
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
266,815
|
|
UMBS, Pool # RA6432, 2.50%, due 12/01/51
|
226,669
|
|
1,496,154
|
|
UMBS, Pool # RA6944, 3.50%, due 03/01/52
|
1,362,491
|
|
517,102
|
|
UMBS, Pool # RA6951, 3.50%, due 03/01/52
|
473,370
|
|
3,491,142
|
|
UMBS, Pool # RA7195, 3.50%, due 04/01/52
|
3,195,460
|
|
2,172,370
|
|
UMBS, Pool # RA7942, 5.50%, due 09/01/52
|
2,206,903
|
|
1,516,296
|
|
UMBS, Pool # RA8248, 5.00%, due 11/01/52
|
1,498,272
|
|
1,937,483
|
|
UMBS, Pool # RB5111, 2.00%, due 05/01/41
|
1,652,304
|
|
2,903,193
|
|
UMBS, Pool # SB8189, 4.00%, due 11/01/37
|
2,836,137
|
|
306,637
|
|
UMBS, Pool # SB8199, 4.50%, due 12/01/37
|
304,907
|
|
467,946
|
|
UMBS, Pool # SB8510, 2.00%, due 02/01/36
|
417,942
|
|
729,429
|
|
UMBS, Pool # SD0100, 3.00%, due 10/01/49
|
648,186
|
|
1,865,498
|
|
UMBS, Pool # SD0499, 3.00%, due 08/01/50
|
1,663,214
|
|
1,247,809
|
|
UMBS, Pool # SD0558, 2.50%, due 03/01/51
|
1,072,834
|
|
1,332,625
|
|
UMBS, Pool # SD0619, 4.00%, due 07/01/50
|
1,264,514
|
|
844,505
|
|
UMBS, Pool # SD0742, 2.50%, due 11/01/51
|
722,870
|
|
471,454
|
|
UMBS, Pool # SD0815, 3.00%, due 01/01/52
|
418,176
|
|
491,083
|
|
UMBS, Pool # SD1050, 4.50%, due 07/01/52
|
475,737
|
|
142,773
|
|
UMBS, Pool # SD1188, 3.50%, due 06/01/52
|
129,885
|
|
3,250,181
|
|
UMBS, Pool # SD1217, 2.00%, due 03/01/52
|
2,668,979
|
|
1,191,347
|
|
UMBS, Pool # SD1446, 4.50%, due 08/01/52
|
1,156,330
|
|
300,066
|
|
UMBS, Pool # SD1454, 4.50%, due 08/01/52
|
291,339
|
|
1,520,415
|
|
UMBS, Pool # SD1475, 4.50%, due 08/01/52
|
1,475,727
|
|
758,895
|
|
UMBS, Pool # SD1606, 4.50%, due 09/01/52
|
735,180
|
|
811,485
|
|
UMBS, Pool # SD1695, 5.00%, due 10/01/52
|
803,466
|
|
402,492
|
|
UMBS, Pool # SD1944, 5.00%, due 12/01/52
|
400,005
|
|
797,000
|
|
UMBS, Pool # SD2032, 5.00%, due 12/01/52
|
794,043
|
|
3,414,022
|
|
UMBS, Pool # SD7543, 2.50%, due 08/01/51
|
2,932,338
|
|
2,686,394
|
|
UMBS, Pool # SD7548, 2.50%, due 11/01/51
|
2,313,021
|
|
1,868,195
|
|
UMBS, Pool # SD7551, 3.00%, due 01/01/52
|
1,658,149
|
|
2,895
|
|
UMBS, Pool # SD8025, 3.50%, due 11/01/49
|
2,666
|
|
1,122,025
|
|
UMBS, Pool # SD8075, 3.50%, due 07/01/50
|
1,029,443
|
|
4,472,352
|
|
UMBS, Pool # SD8090, 2.00%, due 09/01/50
|
3,663,116
|
|
822,274
|
|
UMBS, Pool # SD8104, 1.50%, due 11/01/50
|
636,302
|
|
402,665
|
|
UMBS, Pool # SD8113, 2.00%, due 12/01/50
|
329,574
|
|
404,382
|
|
UMBS, Pool # SD8121, 2.00%, due 01/01/51
|
331,071
|
|
187,586
|
|
UMBS, Pool # SD8134, 2.00%, due 03/01/51
|
153,450
|
|
3,593,582
|
|
UMBS, Pool # SD8141, 2.50%, due 04/01/51
|
3,056,268
|
|
1,443,682
|
|
UMBS, Pool # SD8183, 2.50%, due 12/01/51
|
1,223,692
|
|
983,191
|
|
UMBS, Pool # SD8205, 2.50%, due 04/01/52
|
833,989
|
|
613,672
|
|
UMBS, Pool # SD8212, 2.50%, due 05/01/52
|
520,389
|
|
501,050
|
|
UMBS, Pool # SD8214, 3.50%, due 05/01/52
|
456,181
|
|
1,457,580
|
|
UMBS, Pool # SD8220, 3.00%, due 06/01/52
|
1,281,367
|
|
997,502
|
|
UMBS, Pool # SD8221, 3.50%, due 06/01/52
|
907,454
|
|
498,196
|
|
UMBS, Pool # SD8236, 3.50%, due 08/01/52
|
453,221
|
|
498,428
|
|
UMBS, Pool # SD8243, 3.50%, due 09/01/52
|
453,431
|
|
988,711
|
|
UMBS, Pool # SD8255, 3.50%, due 10/01/52
|
899,450
|
|
1,000,000
|
|
UMBS, Pool # SD8257, 4.50%, due 10/01/52
|
963,492
|
|
1,016,800
|
|
UMBS, Pool # SD8258, 5.00%, due 10/01/52
|
1,003,691
|
|
989,666
|
|
UMBS, Pool # SD8267, 5.00%, due 11/01/52
|
976,907
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — continued
|
|
|
819,808
|
|
UMBS, Pool # ZM1609, 3.50%, due 09/01/46
|
766,915
|
|
249,666
|
|
UMBS, Pool # ZS4727, 4.00%, due 07/01/47
|
238,713
|
|
156,102
|
|
UMBS, Pool # ZS4760, 4.00%, due 03/01/48
|
148,637
|
|
1,364,894
|
|
UMBS, Pool # ZS4763, 3.50%, due 04/01/48
|
1,265,561
|
|
437,390
|
|
UMBS, Pool # ZT0657, 6.00%, due 07/01/40
|
457,178
|
|
201,724
|
|
UMBS, Pool # ZT1748, 5.00%, due 01/01/49
|
202,097
|
|
3,500,000
|
|
UMBS TBA, 2.00%, due 01/12/53
|
2,848,752
|
|
500,000
|
|
UMBS TBA, 2.50%, due 12/25/51
|
423,492
|
|
500,000
|
|
UMBS TBA, 4.00%, due 01/17/38
|
487,479
|
|
1,989,000
|
|
UMBS TBA, 4.50%, due 01/17/38
|
1,976,048
|
|
4,000,000
|
|
UMBS TBA, 4.50%, due 01/12/53
|
3,850,275
|
|
500,000
|
|
UMBS TBA, 6.00%, due 01/12/53
|
507,534
|
|
|
|
|
353,031,526
|
|
|
|
Municipal Obligations — 1.2%
|
|
|
60,000
|
|
Alabama Economic Settlement Authority, 4.26%, due 09/15/32
|
55,841
|
|
165,000
|
|
Bay Area Toll Authority, 2.57%, due 04/01/31
|
144,709
|
|
300,000
|
|
Bay Area Toll Authority, 6.26%, due 04/01/49
|
340,990
|
|
1,525,000
|
|
California Health Facilities Financing Authority, 4.19%, due 06/01/37
|
1,365,004
|
|
1,300,000
|
|
Dallas Fort Worth International Airport, 1.93%, due 11/01/28
|
1,097,202
|
|
90,000
|
|
District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(h)
|
78,169
|
|
250,000
|
|
Florida State Board of Administration Finance Corp., 1.71%, due 07/01/27
|
217,851
|
|
257,000
|
|
Golden State Tobacco Securitization Corp., 4.21%, due 06/01/50
|
201,227
|
|
1,612,000
|
|
Louisiana Local Government Environmental Facilities & Community Development
Authority, 3.62%, due 02/01/29
|
1,563,212
|
|
715,000
|
|
Michigan Finance Authority, 2.37%, due 09/01/49(b)
|
703,264
|
|
550,000
|
|
Michigan State University, 4.17%, due 08/15/22(h)
|
406,756
|
|
351,000
|
|
Municipal Electric Authority of Georgia, 6.64%, due 04/01/57
|
376,371
|
|
327,000
|
|
New Jersey Transportation Trust Fund Authority, 4.08%, due 06/15/39
|
271,312
|
|
25,000
|
|
New Jersey Transportation Trust Fund Authority, 4.13%, due 06/15/42
|
20,152
|
|
980,000
|
|
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.77%, due
08/01/36
|
1,015,954
|
|
1,350,000
|
|
New York State Urban Development Corp., 5.77%, due 03/15/39
|
1,387,802
|
|
2,195,000
|
|
Port Authority of New York & New Jersey, 1.09%, due 07/01/23
|
2,156,225
|
|
885,000
|
|
State of California, 7.50%, due 04/01/34
|
1,070,835
|
|
555,000
|
|
State of California, 7.55%, due 04/01/39
|
696,060
|
|
935,000
|
|
State of Connecticut, 3.98%, due 06/15/29
|
886,235
|
|
750,000
|
|
University of Michigan, 4.45%, due 04/01/22(h)
|
610,270
|
|
595,000
|
|
University of Virginia, 2.58%, due 11/01/51
|
389,151
|
|
105,000
|
|
University of Virginia, 4.18%, due 09/01/17(h)
|
80,374
|
|
|
|
|
15,134,966
|
|
|
|
Sovereign Debt Obligations — 0.3%
|
|
|
960,000
|
|
Argentine Republic Government International Bond, 3.50%, due 07/09/41(d)
|
273,206
|
|
200,000
|
|
Bermuda Government International Bond, 2.38%, due 08/20/30 144A
|
169,707
|
|
55,000
|
|
Corp. Andina de Fomento, 2.75%, due 01/06/23(e)
|
54,949
|
|
215,000
|
|
Export-Import Bank of India, 3.88%, due 02/01/28 144A
|
199,926
|
|
450,000
|
|
Indonesia Government International Bond, 3.50%, due 01/11/28
|
428,467
|
|
200,000
|
|
Japan Bank for International Cooperation, 3.38%, due 10/31/23
|
197,189
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
200,000
|
|
Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A
|
189,917
|
|
290,000
|
|
Mexico Government International Bond, 3.50%, due 02/12/34
|
232,803
|
|
45,000
|
|
Peruvian Government International Bond, 2.78%, due 01/23/31
|
37,338
|
|
135,000
|
|
Province of Alberta Canada, 1.30%, due 07/22/30
|
108,179
|
|
85,000
|
|
Province of Alberta Canada, 3.30%, due 03/15/28
|
80,615
|
|
100,000
|
|
Province of Manitoba Canada, 2.13%, due 06/22/26
|
92,608
|
|
220,000
|
|
Province of Quebec Canada, 2.75%, due 04/12/27
|
206,640
|
|
568,000
|
|
Qatar Government International Bond, 5.10%, due 04/23/48 144A
|
572,198
|
|
789,000
|
|
Saudi Government International Bond, 4.38%, due 04/16/29 144A
|
780,777
|
|
185,000
|
|
Uruguay Government International Bond, 4.98%, due 04/20/55
|
177,442
|
|
65,000
|
|
Uruguay Government International Bond, 5.10%, due 06/18/50
|
63,969
|
|
|
|
|
3,865,930
|
|
|
|
U.S. Government and Agency Obligations — 14.6%
|
|
|
495,000
|
|
FNMA, 0.88%, due 08/05/30
|
393,209
|
|
170,000
|
|
FNMA, 2.38%, due 01/19/23
|
169,857
|
|
210,000
|
|
FNMA, 2.50%, due 02/05/24
|
204,982
|
|
310,000
|
|
FNMA, 6.63%, due 11/15/30
|
363,754
|
|
210,000
|
|
Tennessee Valley Authority, 1.50%, due 09/15/31
|
164,910
|
|
25,000
|
|
Tennessee Valley Authority, 7.13%, due 05/01/30
|
28,983
|
|
6,130,000
|
|
U.S. Treasury Bond, 1.13%, due 08/15/40
|
3,810,178
|
|
12,003,000
|
|
U.S. Treasury Bond, 1.75%, due 08/15/41
|
8,219,945
|
|
4,280,000
|
|
U.S. Treasury Bond, 1.88%, due 02/15/41
|
3,027,431
|
|
3,849,000
|
|
U.S. Treasury Bond, 1.88%, due 02/15/51
|
2,447,648
|
|
13,330,000
|
|
U.S. Treasury Bond, 2.00%, due 11/15/41
|
9,524,441
|
|
6,585,000
|
|
U.S. Treasury Bond, 2.00%, due 08/15/51
|
4,313,947
|
|
11,720,000
|
|
U.S. Treasury Bond, 2.25%, due 05/15/41
|
8,817,011
|
|
9,069,000
|
|
U.S. Treasury Bond, 2.25%, due 02/15/52
|
6,310,040
|
|
18,427,000
|
|
U.S. Treasury Bond, 2.38%, due 02/15/42
|
14,078,300
|
|
13,120,000
|
|
U.S. Treasury Bond, 2.50%, due 02/15/46
|
9,828,725
|
|
1,557,000
|
|
U.S. Treasury Bond, 3.00%, due 02/15/47
|
1,276,010
|
|
37,772,000
|
|
U.S. Treasury Bond, 3.00%, due 08/15/52
|
31,132,391
|
|
7,904,000
|
|
U.S. Treasury Bond, 3.38%, due 08/15/42
|
7,066,670
|
|
2,835,900
|
|
U.S. Treasury Bond, 3.63%, due 08/15/43
|
2,609,693
|
|
12,459,000
|
|
U.S. Treasury Bond, 4.00%, due 11/15/42(k)
|
12,202,033
|
|
2,867,000
|
|
U.S. Treasury Bond, 4.00%, due 11/15/52(k)
|
2,871,928
|
|
12,849,000
|
|
U.S. Treasury Bond, 4.13%, due 11/15/32
|
13,115,014
|
|
4,866,224
|
|
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 10/15/24
|
4,686,994
|
|
2,385,789
|
|
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 01/15/30
|
2,144,457
|
|
1,240,000
|
|
U.S. Treasury Note, 2.75%, due 08/15/32
|
1,129,369
|
|
1,495,000
|
|
U.S. Treasury Note, 2.88%, due 05/15/28(o)
|
1,410,965
|
|
5,666,000
|
|
U.S. Treasury Note, 3.13%, due 08/31/27
|
5,450,205
|
|
9,287,000
|
|
U.S. Treasury Note, 3.88%, due 11/30/27
|
9,237,663
|
|
6,287,000
|
|
U.S. Treasury Note, 4.25%, due 10/15/25
|
6,283,071
|
|
646,000
|
|
U.S. Treasury STRIPS, 4.14%, due 11/15/43(n)
|
264,589
|
|
5,929,000
|
|
U.S. Treasury STRIPS, 4.63%, due 08/15/30(n)
|
4,357,196
|
|
915,000
|
|
U.S. Treasury STRIPS, 5.74%, due 08/15/38(n)
|
475,847
|
|
360,000
|
|
U.S. Treasury STRIPS, 5.80%, due 02/15/39(n)
|
183,514
|
|
2,310,000
|
|
U.S. Treasury STRIPS, 5.96%, due 02/15/40(n)
|
1,126,613
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
U.S. Government and Agency Obligations — continued
|
|
|
2,865,000
|
|
U.S. Treasury STRIPS, 6.09%, due 11/15/40(n)
|
1,350,870
|
|
5,195,000
|
|
U.S. Treasury STRIPS, 6.34%, due 11/15/41(n)
|
2,325,634
|
|
1,105,000
|
|
U.S. Treasury STRIPS, 6.48%, due 05/15/42(n)
|
481,543
|
|
4,620,000
|
|
U.S. Treasury STRIPS, 6.57%, due 02/15/43(n)
|
1,952,760
|
|
1,750,000
|
|
U.S. Treasury STRIPS, 6.64%, due 11/15/42(n)
|
740,860
|
|
2,095,000
|
|
U.S. Treasury STRIPS, 6.80%, due 08/15/44(n)
|
831,030
|
|
|
|
|
186,410,280
|
|
|
|
TOTAL DEBT OBLIGATIONS (COST $1,436,170,095)
|
1,276,362,544
|
|
|
|
SHORT-TERM INVESTMENTS — 1.3%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 1.2%
|
|
|
14,651,633
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(p)(q)
|
14,651,632
|
|
|
|
U.S. Government and Agency Obligation — 0.1%
|
|
|
1,623,000
|
|
U.S. Treasury Bill, 6.68%, due 03/28/23(n)
|
1,607,150
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (COST $16,258,782)
|
16,258,782
|
|
|
|
TOTAL INVESTMENTS BEFORE TBA SALE
COMMITMENTS — 101.2%
(Cost $1,452,428,877)
|
1,292,621,326
|
|
|
|
TBA SALE COMMITMENTS — (1.1)%
|
|
|
(3,000,000)
|
|
GNMA TBA, 5.50%, due 01/23/53
|
(3,017,712)
|
|
(2,500,000)
|
|
UMBS TBA, 3.00%, due 02/25/52
|
(2,194,595)
|
|
(6,500,000)
|
|
UMBS TBA, 3.50%, due 02/25/49
|
(5,905,999)
|
|
(1,000,000)
|
|
UMBS TBA, 4.50%, due 01/12/53
|
(962,569)
|
|
(1,500,000)
|
|
UMBS TBA, 5.00%, due 01/12/53
|
(1,478,301)
|
|
|
|
TOTAL TBA SALE COMMITMENTS (PROCEEDS $13,799,063)
|
(13,559,176)
|
|
|
|
TOTAL INVESTMENTS NET OF TBA SALE
COMMITMENTS — 100.1%
(Cost $1,438,629,814)
|
1,279,062,150
|
|
|
|
Other Assets and Liabilities (net) — (0.1)%
|
(1,357,066)
|
|
|
|
NET ASSETS — 100.0%
|
$1,277,705,084
|
|
|
Notes to Schedule of Investments:
|
|
(a)
|
Unless otherwise indicated, all par values are denominated in United States dollars ($).
|
|
(b)
|
Variable or floating rate security, which interest rate adjusts periodically based on changes in current
interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as
of period end.
|
|
(c)
|
Variable or floating rate note. Rate shown is as of December 31, 2022.
|
|
(d)
|
Step coupon security that pays an initial coupon rate for the first period and then a lower/higher
coupon rate for the following periods. Rate shown is current coupon rate.
|
|
(e)
|
All or a portion of this security is out on loan.
|
|
(f)
|
Security is currently in default.
|
|
(g)
|
Security is perpetual and has no stated maturity date.
|
|
(h)
|
Year of maturity is greater than 2100.
|
|
(i)
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal
restrictions on resale. These securities generally may be resold in transactions exempt from
registration or to the public if the securities are subsequently registered. Disposal of these securities
may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult.
As of period end, the market value of restricted securities was $1,071,879, which is 0.1% of net
assets. See details shown in the Restricted Securities table that follows.
|
|
(j)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
|
(k)
|
When-issued security.
|
|
(l)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
|
(m)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $0 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2022 was $1,565,555.
|
|
(n)
|
Interest rate presented is yield to maturity.
|
|
(o)
|
All or a portion of this security is pledged for open futures collateral.
|
|
(p)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(q)
|
Represents an investment of securities lending cash collateral.
|
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $284,498,479 which represents 22.3% of
net assets.
|
|
Restricted Securities
|
Acquisition
Date
|
Principal
Amount
|
Cost
|
Value
|
|
|
Credit Agricole SA, 2.81%, due 01/11/41
|
01/28/21
|
USD
|
320,000
|
$308,435
|
$198,698
|
|
Massachusetts Mutual Life Insurance Co., 3.38%,
due 04/15/50
|
04/13/20
|
USD
|
1,255,000
|
1,287,846
|
873,181
|
|
|
|
|
|
|
$1,071,879
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
11,622,207
|
EUR
|
11,164,038
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
$(299,320)
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buys
|
|
|
|
|
|
245
|
U.S. Treasury Note 10-Year
|
Mar 2023
|
$27,512,734
|
$(157,818)
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
263
|
U.S. Treasury Note 2-Year
|
Mar 2023
|
$53,935,547
|
$41,723
|
|
286
|
U.S. Treasury Note 5-Year
|
Mar 2023
|
30,867,891
|
(180,193)
|
|
114
|
U.S. Ultra Bond
|
Mar 2023
|
15,311,625
|
(451,024)
|
|
|
|
|
|
$(747,312)
|
|
Sales
|
|
|
|
|
|
2
|
Euro-Bund
|
Mar 2023
|
$283,739
|
$18,925
|
|
357
|
U.S. Long Bond
|
Mar 2023
|
44,747,719
|
123,987
|
|
189
|
U.S. Ultra 10-Year
|
Mar 2023
|
22,355,156
|
144,754
|
|
|
|
|
|
$287,666
|
|
Currency Abbreviations
|
||
|
EUR
|
—
|
Euro
|
|
USD
|
—
|
U.S. Dollar
|
|
Abbreviations
|
||
|
ACES
|
—
|
Alternative Credit Enhancement Securities
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
CMO
|
—
|
Collateralized Mortgage Obligation
|
|
CMT
|
—
|
Constant Maturity Treasury Index
|
|
FHLMC
|
—
|
Federal Home Loan Mortgage Corporation
|
|
FNMA
|
—
|
Federal National Mortgage Association
|
|
GNMA
|
—
|
Government National Mortgage Association
|
|
IO
|
—
|
Interest Only
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
MTN
|
—
|
Medium Term Note
|
|
PIK
|
—
|
Payment In Kind
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
STRIPS
|
—
|
Separate Trading of Registered Interest and Principal of Securities
|
|
TBA
|
—
|
To Be Announced
|
|
TSFR
|
—
|
Term Secured Overnight Financing Rate
|
|
UMBS
|
—
|
Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage
loans purchased by either FHLMC or FNMA
|
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
|
Debt Obligations
|
99.9
|
|
Futures Contracts
|
(0.1)*
|
|
Forward Foreign Currency Contract
|
(0.9)
|
|
TBA Sale Commitments
|
(1.1)
|
|
Short-Term Investments
|
1.3
|
|
Other Assets and Liabilities (net)
|
0.9
|
|
|
100.0
|
|
*
|
Amount rounds to zero.
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
DEBT OBLIGATIONS — 94.0%
|
|
|
|
|
Asset Backed Securities — 6.3%
|
|
|
690,000
|
|
Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 5.03% (1 mo. USD
LIBOR + 0.65%), due 12/25/35(b)
|
647,058
|
|
500,000
|
|
Aimco CLO 12, Ltd., Series 2020-12A, Class DR, 6.76% (3 mo. TSFR + 2.90%), due
01/17/32(b) 144A
|
460,444
|
|
650,000
|
|
Alinea CLO, Ltd., Series 2018-1A, Class D, 7.34% (3 mo. USD LIBOR + 3.10%), due
07/20/31(b) 144A
|
585,832
|
|
300,000
|
|
Anchorage Capital CLO, Ltd., Series 2014-3RA, Class E, 9.87% (3 mo. USD LIBOR +
5.50%), due 01/28/31(b) 144A
|
248,837
|
|
3,640,000
|
|
Anchorage Capital CLO, Ltd., Series 2021-17A, Class A1, 5.25% (3 mo. USD LIBOR +
1.17%), due 07/15/34(b) 144A
|
3,557,343
|
|
1,000,000
|
|
Apex Credit CLO, Ltd., Series 2019-1A, Class BR, 6.59% (3 mo. USD LIBOR +
2.40%), due 04/18/32(b) 144A
|
918,492
|
|
420,000
|
|
Apidos CLO XXII, Series 2015-22A, Class DR, 10.99% (3 mo. USD LIBOR + 6.75%),
due 04/20/31(b) 144A
|
375,353
|
|
598,950
|
|
Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due
06/05/49 144A
|
590,405
|
|
250,000
|
|
Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 7.51% (3 mo. USD LIBOR +
2.90%), due 05/15/30(b) 144A
|
222,134
|
|
810,000
|
|
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class M1,
2.74% (1 mo. USD LIBOR + 0.42%), due 07/25/36(b)
|
608,587
|
|
188,170
|
|
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A4,
3.66% (1 mo. USD LIBOR + 0.14%), due 12/25/36(b)
|
181,406
|
|
410,000
|
|
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due
02/20/27 144A
|
366,786
|
|
500,000
|
|
Bain Capital Credit CLO, Ltd., Series 2021-4A, Class D, 7.34% (3 mo. USD LIBOR +
3.10%), due 10/20/34(b) 144A
|
443,063
|
|
550,000
|
|
Bain Capital Credit CLO, Ltd., Series 2022-2A, Class D1, 7.69% (3 mo. TSFR +
3.65%), due 04/22/35(b) 144A
|
502,347
|
|
275,000
|
|
Ballyrock CLO, Ltd., Series 2018-1A, Class C, 7.39% (3 mo. USD LIBOR + 3.15%),
due 04/20/31(b) 144A
|
250,031
|
|
415,000
|
|
Ballyrock CLO, Ltd., Series 2019-1A, Class A2R, 5.63% (3 mo. USD LIBOR + 1.55%),
due 07/15/32(b) 144A
|
399,593
|
|
1,560,000
|
|
Ballyrock CLO, Ltd., Series 2022-19A, Class D, 11.07% (3 mo. TSFR + 7.11%), due
04/20/35(b) 144A
|
1,394,654
|
|
250,000
|
|
Barings CLO, Ltd., Series 2013-IA, Class CR, 5.74% (3 mo. USD LIBOR + 1.50%),
due 01/20/28(b) 144A
|
244,264
|
|
250,000
|
|
Barings CLO, Ltd., Series 2016-2A, Class ER2, 10.74% (3 mo. USD LIBOR + 6.50%),
due 01/20/32(b) 144A
|
211,793
|
|
500,000
|
|
Bavarian Sky UK 5 CLO Plc, Series 2014-1A, Class CR2, 7.87% (3 mo. USD LIBOR +
3.63%), due 10/20/34(b) 144A
|
436,226
|
|
850,000
|
|
BlueMountain CLO XXIX, Ltd., Series 2020-29A, Class ER, 11.22% (3 mo. USD
LIBOR + 6.86%), due 07/25/34(b) 144A
|
779,555
|
|
250,000
|
|
Bristol Park CLO, Ltd., Series 2016-1A, Class ER, 11.08% (3 mo. USD LIBOR +
7.00%), due 04/15/29(b) 144A
|
213,814
|
|
650,000
|
|
Buckhorn Park CLO, Ltd., Series 2019-1A, Class DR, 7.29% (3 mo. USD LIBOR +
3.10%), due 07/18/34(b) 144A
|
581,322
|
|
280,000
|
|
Canyon Capital CLO, Ltd., Series 2021-1A, Class E, 10.49% (3 mo. USD LIBOR +
6.41%), due 04/15/34(b) 144A
|
250,175
|
|
500,000
|
|
Canyon Capital CLO, Ltd., Series, 2020-1A, Class BR, 5.78% (3 mo. USD LIBOR +
1.70%), due 07/15/34(b) 144A
|
478,931
|
|
255,000
|
|
Canyon CLO, Ltd., Series 2021-4A, Class B, 5.78% (3 mo. USD LIBOR + 1.70%), due
10/15/34(b) 144A
|
244,108
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
1,300,000
|
|
Carlyle US CLO, Ltd., Series 2019-2A, Class DR, 10.58% (3 mo. USD LIBOR +
6.50%), due 07/15/32(b) 144A
|
1,163,621
|
|
1,475,000
|
|
Carlyle US CLO, Ltd., Series 2019-4A, Class A2R, 5.61% (3 mo. TSFR + 1.75%), due
04/15/35(b) 144A
|
1,380,529
|
|
510,000
|
|
Carlyle US CLO, Ltd., Series 2021-8A, Class B, 5.73% (3 mo. USD LIBOR + 1.65%),
due 10/15/34(b) 144A
|
491,984
|
|
750,000
|
|
Catskill Park CLO, Ltd., Series 2017-1A, Class D, 10.24% (3 mo. USD LIBOR +
6.00%), due 04/20/29(b) 144A
|
624,160
|
|
1,020,000
|
|
CBAM CLO, Ltd., Series 2018-6A, Class B2R, 6.23% (3 mo. TSFR + 2.36%), due
01/15/31(b) 144A
|
1,000,096
|
|
250,000
|
|
CIFC Funding CLO, Ltd., Series 2017-1A, Class D, 7.78% (3 mo. USD LIBOR +
3.50%), due 04/23/29(b) 144A
|
238,365
|
|
700,000
|
|
CIFC Funding CLO, Ltd., Series 2017-3A, Class C, 7.89% (3 mo. USD LIBOR +
3.65%), due 07/20/30(b) 144A
|
652,156
|
|
500,000
|
|
Dryden 64 CLO, Ltd., Series 2018-64A, Class D, 6.84% (3 mo. USD LIBOR + 2.65%),
due 04/18/31(b) 144A
|
462,006
|
|
900,000
|
|
Dryden 70 CLO, Ltd., Series 2018-70A, Class E, 10.13% (3 mo. USD LIBOR + 6.05%),
due 01/16/32(b) 144A
|
814,113
|
|
630,000
|
|
Eaton Vance CLO, Ltd., Series 2020-2A, Class ER, 10.58% (3 mo. USD LIBOR +
6.50%), due 01/15/35(b) 144A
|
572,945
|
|
350,000
|
|
Elmwood CLO XI, Ltd., Series 2021-4A, Class B, 5.84% (3 mo. USD LIBOR + 1.60%),
due 10/20/34(b) 144A
|
338,091
|
|
321,459
|
|
Falcon Aerospace, Ltd., Series 2017-1, Class A, 4.58%, due 02/15/42 144A
|
291,903
|
|
250,000
|
|
Fortress Credit BSL CLO XII, Ltd., Series 2021-4A, Class E, 11.21% (3 mo. USD
LIBOR + 7.13%), due 10/15/34(b) 144A
|
220,583
|
|
1,290,000
|
|
FS Rialto Issuer LLC, Series, 2022-FL7, Class A, 6.81% (1 mo. TSFR + 2.90%), due
10/19/39(b) 144A
|
1,281,142
|
|
1,060,000
|
|
Generate CLO 7, Ltd., Series 7A, Class B1, 6.17% (3 mo. USD LIBOR + 1.85%), due
01/22/33(b) 144A
|
1,027,177
|
|
250,000
|
|
Gilbert Park CLO, Ltd., Series 2017-1A, Class D, 7.03% (3 mo. USD LIBOR + 2.95%),
due 10/15/30(b) 144A
|
234,699
|
|
380,000
|
|
Golub Capital Partners CLO, Ltd., Series 2021-53A, Class E, 10.94% (3 mo. USD
LIBOR + 6.70%), due 07/20/34(b) 144A
|
335,251
|
|
250,000
|
|
Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 9.03% (3 mo. USD LIBOR +
4.95%), due 04/15/31(b) 144A
|
203,714
|
|
750,000
|
|
Greywolf CLO IV, Ltd., Series 2018-1A, Class D, 10.06% (3 mo. TSFR + 6.01%), due
04/26/31(b) 144A
|
660,394
|
|
250,000
|
|
Greywolf CLO IV, Ltd., Series 2019-1RA, Class CR, 7.77% (3 mo. TSFR + 3.91%), due
04/17/34(b) 144A
|
228,185
|
|
78,042
|
|
GSAA Home Equity Trust, Series 2007-7, Class A4, 4.93% (1 mo. USD LIBOR +
0.54%), due 07/25/37(b)
|
74,348
|
|
290,000
|
|
Halsey Point CLO I, Ltd., Series 2019-1A, Class F, 12.44% (3 mo. USD LIBOR +
8.20%), due 01/20/33(b) 144A
|
242,165
|
|
236,566
|
|
KeyCorp Student Loan Trust, Series 2005-A, Class 2C, 6.02% (3 mo. USD LIBOR +
1.30%), due 12/27/38(b)
|
221,638
|
|
400,000
|
|
KKR CLO 14, Ltd., Series 14, Class BR, 5.88% (3 mo. USD LIBOR + 1.80%), due
07/15/31(b) 144A
|
389,675
|
|
182,439
|
|
Long Beach Mortgage Loan Trust, Series 2005-1, Class M4, 5.66% (1 mo. USD LIBOR
+ 1.28%), due 02/25/35(b)
|
178,572
|
|
425,000
|
|
Madison Park Funding CLO XLVIII, Ltd., Series 2017-25A, Class A2R, 6.01% (3 mo.
USD LIBOR + 1.65%), due 04/25/29(b) 144A
|
415,775
|
|
250,000
|
|
Madison Park Funding CLO XXV, Ltd., Series 2021-48A, Class B, 5.68% (3 mo. USD
LIBOR + 1.45%), due 04/19/33(b) 144A
|
242,327
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
1,405,000
|
|
Madison Park Funding CLO XXXIX, Ltd., Series 2021-39A, Class D, 7.37% (3 mo.
USD LIBOR + 3.05%), due 10/22/34(b) 144A
|
1,331,459
|
|
400,000
|
|
Magnetite CLO XII, Ltd., Series 2015-12A, Class ER, 9.76% (3 mo. USD LIBOR +
5.68%), due 10/15/31(b) 144A
|
363,724
|
|
1,435,000
|
|
Magnetite CLO XXIV, Ltd., Series 2019-24A, Class BR, 5.61% (3 mo. TSFR + 1.75%),
due 04/15/35(b) 144A
|
1,345,152
|
|
2,160,000
|
|
Magnetite CLO XXVII, Ltd., Series 2020-27A, Class AR, 5.38% (3 mo. USD LIBOR +
1.14%), due 10/20/34(b) 144A
|
2,106,780
|
|
595,177
|
|
Magnolia Financial X DAC, Series 2020-1, due 08/13/24(c)
|
581,874
|
|
250,000
|
|
Marathon CLO 14, Ltd., Series 2019-2A, Class BA, 7.54% (3 mo. USD LIBOR +
3.30%), due 01/20/33(b) 144A
|
238,265
|
|
400,000
|
|
Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 3.20%, due
09/21/26 144A
|
366,719
|
|
454,647
|
|
Mill City Solar Loan, Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A
|
426,544
|
|
650,587
|
|
Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, due 12/20/46 144A
|
553,388
|
|
1,018,809
|
|
National Collegiate Student Loan Trust, Series 2007-2, Class A4, 4.68% (1 mo. USD
LIBOR + 0.29%), due 01/25/33(b)
|
954,816
|
|
100,000
|
|
Navient Private Education Loan Trust, Series 2020-A, Class B, 3.16%, due 11/15/68
144A
|
82,810
|
|
370,000
|
|
Navient Private Education Refi Student Loan Trust, Series 2018-CA, Class B, 4.22%,
due 06/16/42 144A
|
340,146
|
|
760,000
|
|
Navient Private Education Refi Student Loan Trust, Series 2020-GA, Class B, 2.50%,
due 09/16/69 144A
|
572,206
|
|
250,000
|
|
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 10.20% (3 mo. USD
LIBOR + 5.92%), due 10/21/30(b) 144A
|
225,530
|
|
250,000
|
|
Neuberger Berman Loan Advisers CLO 25, Ltd., Series, 2017-25A, Class DR, 7.04% (3
mo. USD LIBOR + 2.85%), due 10/18/29(b) 144A
|
230,960
|
|
750,000
|
|
Neuberger Berman Loan Advisers CLO 33, Ltd., Series 2019-33A, Class DR, 6.98% (3
mo. USD LIBOR + 2.90%), due 10/16/33(b) 144A
|
689,891
|
|
2,805,000
|
|
Neuberger Berman Loan Advisers CLO 36, Ltd., Series 2020-36A, Class A1R, 5.49% (3
mo. USD LIBOR + 1.25%), due 04/20/33(b) 144A
|
2,762,765
|
|
480,000
|
|
Neuberger Berman Loan Advisers CLO 44, Ltd., Series 2021-44A, Class E, 10.08% (3
mo. USD LIBOR + 6.00%), due 10/16/34(b) 144A
|
427,208
|
|
700,000
|
|
Ocean Trails CLO IX, Series 2020-9A, Class CR, 6.63% (3 mo. USD LIBOR + 2.55%),
due 10/15/34(b) 144A
|
653,404
|
|
650,000
|
|
Ocean Trails CLO X, Series 2020-10A, Class ER, 11.65% (3 mo. USD LIBOR +
7.57%), due 10/15/34(b) 144A
|
586,297
|
|
1,160,000
|
|
OCP CLO, Ltd., Series 2015-9A, Class BR2, 5.61% (3 mo. TSFR + 1.75%), due
01/15/33(b) 144A
|
1,095,306
|
|
325,000
|
|
Octagon Investment Partners CLO 35, Ltd., Series 2018-1A, Class C, 6.84% (3 mo.
USD LIBOR + 2.60%), due 01/20/31(b) 144A
|
288,332
|
|
275,000
|
|
OHA Credit Funding CLO 2, Ltd., Series 2019-2A, Class BR, 5.88% (3 mo. USD
LIBOR + 1.60%), due 04/21/34(b) 144A
|
265,849
|
|
1,000,000
|
|
OHA Credit Funding CLO 4, Ltd., Series 2019-4A, Class BR, 5.97% (3 mo. USD
LIBOR + 1.65%), due 10/22/36(b) 144A
|
968,569
|
|
850,000
|
|
Option One Mortgage Loan Trust, Series 2005-3, Class M4, 5.32% (1 mo. USD LIBOR
+ 0.93%), due 08/25/35(b)
|
669,193
|
|
250,000
|
|
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L, 6.04% (3 mo. USD LIBOR +
1.80%), due 04/20/32(b) 144A
|
244,618
|
|
605,000
|
|
OZLM CLO XXIII, Ltd., Series 2019-23A, Class B1R, 5.93% (3 mo. USD LIBOR +
1.85%), due 04/15/34(b) 144A
|
567,762
|
|
2,335,000
|
|
Palmer Square CLO, Ltd., Series 2021-2A, Class A, 5.23% (3 mo. USD LIBOR +
1.15%), due 07/15/34(b) 144A
|
2,279,336
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
300,000
|
|
Palmer Square CLO, Ltd., Series 2021-4A, Class B, 5.73% (3 mo. USD LIBOR +
1.65%), due 10/15/34(b) 144A
|
288,556
|
|
250,000
|
|
Palmer Square Loan Funding CLO, Ltd., Series 2021-2A, Class A2, 5.93% (3 mo. USD
LIBOR + 1.25%), due 05/20/29(b) 144A
|
243,781
|
|
890,000
|
|
Palmer Square Loan Funding CLO, Ltd., Series 2022-3A, Class C, 9.41% (3 mo. TSFR
+ 5.40%), due 04/15/31(b) 144A
|
868,301
|
|
250,000
|
|
Parallel CLO, Ltd., Series 2017-1A, Class CR, 6.24% (3 mo. USD LIBOR + 2.00%),
due 07/20/29(b) 144A
|
234,718
|
|
575,000
|
|
Park Avenue Institutional Advisers CLO, Ltd., Series 2021-2A, Class B, 5.83% (3 mo.
USD LIBOR + 1.75%), due 07/15/34(b) 144A
|
540,272
|
|
390,000
|
|
Peace Park CLO, Ltd., Series 2021-1A, Class E, 10.24% (3 mo. USD LIBOR + 6.00%),
due 10/20/34(b) 144A
|
345,197
|
|
440,450
|
|
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48
144A
|
413,966
|
|
1,005,000
|
|
PPM CLO, Ltd., Series 2018-1A, Class B2, 5.93% (3 mo. USD LIBOR + 1.85%), due
07/15/31(b) 144A
|
955,818
|
|
1,160,000
|
|
Residential Asset Securities Trust, Series 2006-KS2, Class M3, 5.00% (1 mo. USD
LIBOR + 0.62%), due 03/25/36(b)
|
1,071,359
|
|
1,485,000
|
|
Rockford Tower CLO, Ltd., Series 2018-1A, Class A, 5.78% (3 mo. USD LIBOR +
1.10%), due 05/20/31(b) 144A
|
1,461,938
|
|
325,000
|
|
Rockford Tower CLO, Ltd., Series 2021-3A, Class B, 5.99% (3 mo. USD LIBOR +
1.75%), due 10/20/34(b) 144A
|
308,644
|
|
720,000
|
|
RR CLO 18, Ltd., Series 2021-18A, Class D, 10.33% (3 mo. USD LIBOR + 6.25%),
due 10/15/34(b) 144A
|
650,951
|
|
180,000
|
|
Saranac CLO III, Ltd., Series 2014-3A, Class DR, 8.00% (3 mo. USD LIBOR + 3.25%),
due 06/22/30(b) 144A
|
146,334
|
|
430,000
|
|
Sculptor CLO XXVI, Ltd., Series 26A, Class E, 11.49% (3 mo. USD LIBOR + 7.25%),
due 07/20/34(b) 144A
|
379,294
|
|
515,000
|
|
Sixth Street CLO XVIII, Ltd., Series 2021-18A, Class D, 7.14% (3 mo. USD LIBOR +
2.90%), due 04/20/34(b) 144A
|
486,687
|
|
72,000
|
|
SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 7.88%, due
06/15/32(d)
|
71,765
|
|
50,000
|
|
SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 7.77%, due
03/15/33(d)
|
50,053
|
|
680,000
|
|
SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53
144A
|
611,545
|
|
2,600,000
|
|
Sound Point CLO XXVII, Ltd., Series 2020-2A, Class AR, 5.54% (3 mo. USD LIBOR
+ 1.18%), due 10/25/34(b) 144A
|
2,504,788
|
|
940,000
|
|
Southwick Park CLO LLC, Series 2019-4A, Class DR, 7.19% (3 mo. USD LIBOR +
2.95%), due 07/20/32(b) 144A
|
865,701
|
|
853,492
|
|
Stonepeak, Series 2021-1A, Class A, 2.68%, due 02/28/33 144A
|
737,835
|
|
930,000
|
|
Symphony CLO 37, Ltd., Series, 2022-37A, Class A1A, 6.55% (3 mo. TSFR + 2.30%),
due 10/20/34(b) 144A
|
930,055
|
|
280,000
|
|
TCI-Symphony CLO, Ltd., Series 2016-1A, Class DR2, 7.04% (3 mo. USD LIBOR +
3.10%), due 10/13/32(b) 144A
|
250,451
|
|
800,000
|
|
TCI-Symphony CLO, Ltd., Series 2016-1A, Class ER2, 10.69% (3 mo. USD LIBOR +
6.75%), due 10/13/32(b) 144A
|
660,902
|
|
2,710,000
|
|
Trinitas CLO XVI, Ltd., Series 2021-16A, Class A1, 5.42% (3 mo. USD LIBOR +
1.18%), due 07/20/34(b) 144A
|
2,644,768
|
|
650,000
|
|
TSTAT, Ltd., Series, 2022-2A, Class C, 9.31%, due 01/20/31 144A
|
638,031
|
|
500,000
|
|
Venture 43 CLO, Ltd., Series 2021-43A, Class D, 7.55% (3 mo. USD LIBOR + 3.47%),
due 04/15/34(b) 144A
|
427,239
|
|
500,000
|
|
VERDE CLO, Ltd., Series 2019-1A, Class DR, 7.33% (3 mo. USD LIBOR + 3.25%),
due 04/15/32(b) 144A
|
460,945
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Asset Backed Securities — continued
|
|
|
250,000
|
|
Voya CLO, Ltd., Series 2016-3A, Class A1R, 5.38% (3 mo. USD LIBOR + 1.19%), due
10/18/31(b) 144A
|
246,309
|
|
660,000
|
|
Voya CLO, Ltd., Series 2017-2A, Class A2AR, 5.73% (3 mo. USD LIBOR + 1.65%),
due 06/07/30(b) 144A
|
638,978
|
|
260,000
|
|
Voya CLO, Ltd., Series 2017-3A, Class DR, 11.19% (3 mo. USD LIBOR + 6.95%), due
04/20/34(b) 144A
|
229,592
|
|
350,000
|
|
Wellfleet CLO, Ltd., Series 2017-2A, Class C, 7.64% (3 mo. USD LIBOR + 3.40%),
due 10/20/29(b) 144A
|
316,546
|
|
255,000
|
|
Whitebox CLO I, Ltd., Series 2019-1A, Class ANBR, 6.02% (3 mo. USD LIBOR +
1.70%), due 07/24/32(b) 144A
|
248,364
|
|
260,000
|
|
Whitebox CLO II, Ltd., Series 2020-2A, Class A1R, 5.54% (3 mo. USD LIBOR +
1.22%), due 10/24/34(b) 144A
|
251,808
|
|
410,000
|
|
Whitehorse CLO XII, Ltd., Series 2018-12A, Class D, 7.73% (3 mo. USD LIBOR +
3.65%), due 10/15/31(b) 144A
|
353,779
|
|
250,000
|
|
Wind River CLO, Ltd., Series 2021-4A, Class B, 5.89% (3 mo. USD LIBOR + 1.65%),
due 01/20/35(b) 144A
|
238,893
|
|
420,000
|
|
Z Capital Credit Partners CLO, Ltd., Series 2021-1A, Class D, 8.28% (3 mo. USD
LIBOR + 4.20%), due 07/15/33(b) 144A
|
393,609
|
|
|
|
|
72,564,842
|
|
|
|
Bank Loans — 13.2%
|
|
|
1,963,160
|
|
19th Holdings Golf, LLC, 2022 Term Loan B, 7.28% (1 mo. SOFR + 3.00%), due
02/07/29(b)
|
1,806,107
|
|
611,842
|
|
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 8.14% (1 mo. USD
LIBOR + 3.75%), due 10/01/25(b)
|
515,018
|
|
1,205,640
|
|
ACProducts, Inc., 2021 Term Loan B, 8.98% (3 mo. USD LIBOR + 4.25%), due
05/17/28(b)
|
907,244
|
|
122,722
|
|
Acrisure, LLC, 2020 Term Loan B, 7.88% (1 mo. USD LIBOR + 3.50%), due
02/15/27(b)
|
115,487
|
|
994,975
|
|
Acrisure, LLC, 2021 First Lien Term Loan B, 8.63% (1 mo. USD LIBOR + 4.25%), due
02/15/27(b)
|
965,748
|
|
810,000
|
|
Acrisure, LLC, 2022 Incremental Term Loan, 9.92% (3 mo. SOFR + 5.75%), due
02/15/27(b)
|
805,444
|
|
632,817
|
EUR
|
Adevinta ASA, EUR Term Loan B, 5.20% (3 mo. EURIBOR + 3.00%), due 06/26/28(b)
|
662,710
|
|
639,681
|
|
Adtalem Global Education Inc., 2021 Term Loan B, 8.39% (1 mo. USD LIBOR +
4.00%), due 08/12/28(b)
|
635,912
|
|
575,651
|
|
Air Canada, 2021 Term Loan B, 8.13% (3 mo. USD LIBOR + 3.50%), due 08/11/28(b)
|
570,374
|
|
779,928
|
|
Allen Media, LLC, 2021 Term Loan B, 10.23% (3 mo. USD LIBOR + 5.50%), due
02/10/27(b)
|
644,050
|
|
1,563,695
|
|
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 8.17% (1 mo. USD
LIBOR + 3.75%), due 05/12/28(b)
|
1,487,270
|
|
1,210,850
|
|
AllSpring Buyer LLC, Term Loan B, 7.75% (3 mo. USD LIBOR + 3.00%), due
11/01/28(b)
|
1,194,706
|
|
137,313
|
|
Amentum Government Services Holdings, LLC, 2020 2nd Lien Term Loan, 13.90% (3
mo. USD LIBOR + 8.75%), due 01/31/28(b)
|
126,328
|
|
262,687
|
|
Amentum Government Services Holdings, LLC, 2020 2nd Lien Term Loan, 13.90% (6
mo. USD LIBOR + 8.75%), due 01/31/28(b)
|
241,672
|
|
686,717
|
|
Amentum Government Services Holdings, LLC, 2022 Term Loan, 8.53% (3 mo. SOFR
+ 4.00%), due 02/15/29(b)
|
670,407
|
|
606,783
|
|
Amentum Government Services Holdings, LLC, 2022 Term Loan, 8.76% (3 mo. SOFR
+ 4.00%), due 02/15/29(b)
|
592,372
|
|
123,635
|
|
Amentum Government Services Holdings, LLC, Term Loan B, 8.72% (3 mo. USD
LIBOR + 4.00%), due 01/29/27(b)
|
121,085
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
368,516
|
|
Amentum Government Services Holdings, LLC, Term Loan B, 8.73% (3 mo. USD
LIBOR + 4.00%), due 01/29/27(b)
|
360,915
|
|
1,710,562
|
|
American Airlines, Inc., 2021 Term Loan, 8.99% (3 mo. USD LIBOR + 4.75%), due
04/20/28(b)
|
1,705,217
|
|
1,288,561
|
|
AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 7.88% (1 mo. USD
LIBOR + 3.50%), due 11/30/28(b)
|
1,243,462
|
|
1,264,986
|
|
AmWINS Group, Inc., 2021 Term Loan B, 6.63% (1 mo. USD LIBOR + 2.25%), due
02/19/28(b)
|
1,243,165
|
|
400,177
|
|
Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, 8.88% (1 mo. USD LIBOR +
4.50%), due 02/28/25(b)
|
380,168
|
|
345,510
|
|
Anticimex International AB, 2021 USD Term Loan B1, 8.23% (3 mo. USD LIBOR +
3.50%), due 11/16/28(b)
|
335,145
|
|
186,675
|
|
Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 7.89%
(1 mo. USD LIBOR + 3.50%), due 03/11/28(b)
|
174,541
|
|
426,226
|
|
AppLovin Corp., 2021 Term Loan B, 7.73% (3 mo. USD LIBOR + 3.00%), due
10/25/28(b)
|
405,981
|
|
1,382,463
|
|
Arctic Canadian Diamond Co., Ltd., 2nd Lien PIK Term Loan, 8.73% (3 mo. USD
LIBOR + 4.00%, 12.50% PIK), due 12/31/27(b)(e)
|
1,181,729
|
|
1,315,960
|
EUR
|
Aruba Investments, Inc., 2020 EUR Term Loan, 5.89% (1 mo. EURIBOR + 4.00%), due
11/24/27(b)
|
1,355,302
|
|
939,344
|
|
Aruba Investments, Inc., 2020 USD Term Loan, 8.14% (1 mo. USD LIBOR + 4.00%),
due 11/24/27(b)
|
915,078
|
|
900,000
|
|
Asurion LLC, 2021 Second Lien Term Loan B4, 9.63% (1 mo. USD LIBOR + 5.25%),
due 01/20/29(b)
|
704,250
|
|
496,752
|
|
Asurion LLC, 2021 Term Loan B9, 7.63% (1 mo. USD LIBOR + 3.25%), due
07/31/27(b)
|
435,403
|
|
111,494
|
|
Asurion, LLC, 2022 Term Loan B10, 8.68% (3 mo. SOFR + 4.00%), due 08/19/28(b)
|
100,135
|
|
601,618
|
|
At Home Group Inc., Term Loan B, 8.98% (3 mo. USD LIBOR + 4.25%), due
07/24/28(b)
|
476,030
|
|
102,096
|
|
Athenahealth, Inc., 2022 Term Loan B, 7.82% (1 mo. SOFR + 3.50%), due 02/15/29(b)
|
92,439
|
|
1,484,264
|
|
Autokiniton US Holdings, Inc., 2021 Term Loan B, 8.79% (1 mo. USD LIBOR +
4.50%), due 04/06/28(b)
|
1,439,736
|
|
1,118,000
|
EUR
|
Belron Luxembourg SARL, 2021 EUR Term Loan B, 4.23% (3 mo. EURIBOR +
2.50%), due 04/13/28(b)
|
1,162,236
|
|
279,318
|
|
Brown Group Holding, LLC, 2022 Incremental Term Loan B2, 8.13% (1 mo. SOFR +
3.75%), due 07/02/29(b)
|
278,844
|
|
718,182
|
|
Brown Group Holding, LLC, 2022 Incremental Term Loan B2, 7.84% (3 mo. SOFR +
3.75%), due 07/02/29(b)
|
716,964
|
|
119,856
|
|
Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 7.13% (1 mo. USD
LIBOR + 2.75%), due 12/23/24(b)
|
119,738
|
|
1,398,331
|
|
Caesars Resort Collection, LLC, 2020 Term Loan B1, 7.88% (1 mo. USD LIBOR +
3.50%), due 07/21/25(b)
|
1,396,365
|
|
441,194
|
|
Camelot U.S. Acquisition, LLC, 2020 Incremental Term Loan B, 7.38% (1 mo. USD
LIBOR + 3.00%), due 10/30/26(b)
|
435,183
|
|
702,814
|
|
Camelot U.S. Acquisition, LLC, Term Loan B, 7.38% (1 mo. USD LIBOR + 3.00%),
due 10/30/26(b)
|
694,468
|
|
1,777,523
|
|
Cano Health LLC, 2022 Term Loan, 8.42% (1 mo. SOFR + 4.00%), due 11/23/27(b)
|
1,428,684
|
|
562,113
|
|
Cardinal Parent, Inc., 2020 Term Loan B, 9.23% (3 mo. USD LIBOR + 4.50%), due
11/12/27(b)
|
528,386
|
|
862,871
|
EUR
|
Carnival Corp., EUR Term Loan B, 5.65% (1 mo. EURIBOR + 3.75%), due 06/30/25(b)
|
886,940
|
|
483,657
|
|
Carnival Corp., 2021 Incremental Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%),
due 10/18/28(b)
|
453,832
|
|
798,272
|
|
Carriage Purchaser, Inc., 2021 Term Loan B, 8.63% (1 mo. USD LIBOR + 4.25%), due
09/30/28(b)
|
743,724
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
1,000,000
|
|
CDK Global, Inc., 2022 USD Term Loan B, 9.08% (3 mo. SOFR + 4.50%), due
07/06/29(b)
|
993,203
|
|
883,080
|
|
Chamberlain Group, Inc., Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%), due
11/03/28(b)
|
835,431
|
|
1,469,524
|
|
Citadel Securities, LP, 2021 Term Loan B, 6.82% (1 mo. SOFR + 2.50%), due
02/02/28(b)
|
1,444,496
|
|
1,001,110
|
|
City Brewing Company, LLC, Closing Date Term Loan, 7.79% (1 mo. USD LIBOR +
3.50%), due 04/05/28(b)
|
450,499
|
|
1,000,000
|
|
Clarios Global, LP, 2021 USD Term Loan B, 7.64% (1 mo. USD LIBOR + 3.25%), due
04/30/26(b)
|
983,333
|
|
977,288
|
|
Clear Channel Outdoor Holdings, Inc., Term Loan B, 7.91% (3 mo. USD LIBOR +
3.50%), due 08/21/26(b)
|
889,882
|
|
380,000
|
|
Cloudera, Inc., 2021 Second Lien Term Loan, 10.38% (1 mo. USD LIBOR + 6.00%),
due 10/08/29(b)
|
318,725
|
|
833,604
|
|
ClubCorp Holdings, Inc., 2017 Term Loan B, 7.48% (3 mo. USD LIBOR + 2.75%), due
09/18/24(b)
|
754,933
|
|
726,350
|
|
Clydesdale Acquisition Holdings, Inc., Term Loan B, 8.60% (1 mo. SOFR + 4.18%), due
04/13/29(b)
|
693,909
|
|
841,108
|
|
CMG Media Corp., 2021 Term Loan, 8.23% (3 mo. USD LIBOR + 3.50%), due
12/17/26(b)
|
789,439
|
|
284,280
|
|
CNT Holdings I Corp., 2020 Term Loan, 7.24% (3 mo. SOFR + 3.50%), due 11/08/27(b)
|
275,751
|
|
2,110,852
|
|
CommScope, Inc., 2019 Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%), due
04/06/26(b)
|
1,995,414
|
|
465,240
|
|
CoreLogic, Inc., Term Loan, 7.94% (1 mo. USD LIBOR + 3.50%), due 06/02/28(b)
|
389,444
|
|
594,902
|
|
CTC Holdings, LP, Term Loan B, 8.36% (3 mo. SOFR + 5.00%), due 02/20/29(b)
|
571,105
|
|
711,858
|
|
DCert Buyer, Inc., 2019 Term Loan B, 8.70% (6 mo. SOFR + 4.00%), due 10/16/26(b)
|
688,723
|
|
915,200
|
|
DCert Buyer, Inc., 2021 2nd Lien Term Loan, 11.70% (6 mo. USD LIBOR + 7.00%),
due 02/19/29(b)
|
836,264
|
|
844,603
|
|
Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 8.07% (1 mo. SOFR +
3.75%), due 04/09/27(b)
|
790,496
|
|
288,100
|
|
Deerfield Dakota Holding, LLC, 2021 USD 2nd Lien Term Loan, 11.13% (1 mo. USD
LIBOR + 6.75%), due 04/07/28(b)
|
276,036
|
|
850,000
|
|
Del Monte Foods, Inc., 2022 Term Loan, 8.67% (1 mo. SOFR + 4.25%), due 05/16/29(b)
|
826,625
|
|
1,950,706
|
|
DirecTV Financing, LLC, Term Loan, 9.38% (1 mo. USD LIBOR + 5.00%), due
08/02/27(b)
|
1,900,567
|
|
1,664,045
|
|
Dun & Bradstreet Corp. (The), Term Loan, 7.64% (1 mo. USD LIBOR + 3.25%), due
02/06/26(b)
|
1,650,525
|
|
352,338
|
|
Electron BidCo Inc., 2021 Term Loan, 7.38% (1 mo. USD LIBOR + 3.00%), due
11/01/28(b)
|
343,529
|
|
263,185
|
|
Embecta Corp., Term Loan B, 7.79% (6 mo. SOFR + 3.00%), due 03/30/29(b)
|
251,671
|
|
412,066
|
|
Empire Today, LLC, 2021 Term Loan B, 9.29% (3 mo. USD LIBOR + 5.00%), due
04/03/28(b)
|
311,110
|
|
942,664
|
|
Endure Digital Inc., Term Loan, 7.72% (1 mo. USD LIBOR + 3.50%), due 02/10/28(b)
|
850,755
|
|
339,435
|
|
EP Purchaser, LLC, 2021 Term Loan B, 8.23% (3 mo. USD LIBOR + 3.50%), due
11/06/28(b)
|
336,465
|
|
178,404
|
|
Equinox Holdings, Inc., 2020 Term Loan B2, 13.73% (3 mo. USD LIBOR + 9.00%),
due 03/08/24(b)
|
143,616
|
|
71,936
|
|
EyeCare Partners, LLC, 2020 Term Loan, 8.48% (3 mo. USD LIBOR + 3.75%), due
02/18/27(b)
|
61,205
|
|
440,000
|
|
EyeCare Partners, LLC, 2021 2nd Lien Term Loan, 11.48% (3 mo. USD LIBOR +
6.75%), due 11/15/29(b)
|
369,600
|
|
476,400
|
|
EyeCare Partners, LLC, 2021 Incremental Term Loan, 8.48% (3 mo. USD LIBOR +
3.75%), due 11/15/28(b)
|
405,337
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
1,000,000
|
|
EyeCare Partners, LLC, 2022 Incremental Term Loan, 9.18% (3 mo. SOFR + 4.50%),
due 11/15/28(b)
|
877,500
|
|
821,700
|
|
Fanatics Commerce Intermediate Holdco, LLC, Term Loan B, 7.63% (1 mo. USD
LIBOR + 3.25%), due 11/24/28(b)
|
808,347
|
|
190,000
|
|
First Brands Group, LLC, 2021 2nd Lien Term Loan, 11.87% (3 mo. USD LIBOR +
8.50%), due 03/30/28(b)
|
171,950
|
|
304,575
|
|
First Brands Group, LLC, 2021 Term Loan, 8.37% (3 mo. SOFR + 5.00%), due
03/30/27(b)
|
290,108
|
|
482,877
|
|
Focus Financial Partners, LLC, 2021 Term Loan B4, 6.82% (1 mo. USD LIBOR +
2.50%), due 06/30/28(b)
|
475,835
|
|
939,081
|
|
Freeport LNG Investments, LLLP, Term Loan B, 7.74% (3 mo. USD LIBOR + 3.50%),
due 12/21/28(b)
|
893,594
|
|
113,573
|
EUR
|
Froneri International, Ltd., 2020 EUR Term Loan B1, 2.76% (6 mo. EURIBOR +
2.13%), due 01/29/27(b)
|
113,521
|
|
2,153,864
|
|
Gainwell Acquisition Corp., Term Loan B, 8.73% (3 mo. USD LIBOR + 4.00%), due
10/01/27(b)
|
2,043,478
|
|
2,323,926
|
|
Garda World Security Corp., 2021 Term Loan B, 8.93% (3 mo. USD LIBOR + 4.25%),
due 10/30/26(b)
|
2,267,281
|
|
728,175
|
|
Garda World Security Corp., 2022 Term Loan B, 8.53% (3 mo. SOFR + 4.25%), due
02/01/29(b)
|
703,295
|
|
994,885
|
|
Genesee & Wyoming, Inc., Term Loan, 6.73% (3 mo. USD LIBOR + 2.00%), due
12/30/26(b)
|
990,815
|
|
326,282
|
|
Global Medical Response, Inc., 2020 Term Loan B, 8.42% (1 mo. USD LIBOR +
4.25%), due 10/02/25(b)
|
231,388
|
|
170,194
|
|
Global Tel*Link Corp., 2018 1st Lien Term Loan, 8.34% (3 mo. USD LIBOR + 4.25%),
due 11/29/25(b)
|
148,281
|
|
796,624
|
|
Graham Packaging Co. Inc., 2021 Term Loan, 7.38% (1 mo. USD LIBOR + 3.00%), due
08/04/27(b)
|
784,078
|
|
2,010,844
|
|
Gray Television, Inc., 2021 Term Loan D, 7.12% (1 mo. USD LIBOR + 3.00%), due
12/01/28(b)
|
1,955,906
|
|
1,494,950
|
|
Great Outdoors Group, LLC, 2021 Term Loan B1, 8.13% (1 mo. USD LIBOR +
3.75%), due 03/06/28(b)
|
1,441,382
|
|
528,369
|
|
Greystone Select Financial, LLC, Term Loan B, 9.23% (3 mo. USD LIBOR + 5.00%),
due 06/16/28(b)
|
509,876
|
|
558,618
|
|
Griffon Corp., Term Loan B, 7.01% (3 mo. SOFR + 2.50%), due 01/24/29(b)
|
550,065
|
|
2,262
|
|
Griffon Corp., Term Loan B, 9.00% (PRIME + 1.50%), due 01/24/29(b)
|
2,227
|
|
1,354,533
|
|
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 6.38% (1 mo. USD
LIBOR + 2.00%), due 11/15/27(b)
|
1,310,511
|
|
379,050
|
|
Hayward Industries, Inc., 7.67% (1 mo. SOFR + 3.25%), due 05/30/28(b)
|
363,414
|
|
955,200
|
|
Hexion Holdings Corp., 2022 USD Term Loan, 8.93% (3 mo. SOFR + 4.50%), due
03/15/29(b)
|
823,382
|
|
662,875
|
|
Hornblower Sub, LLC, 2020 Repriced Term Loan B, 8.92% (3 mo. USD LIBOR +
4.75%), due 04/27/25(b)
|
467,327
|
|
993,439
|
|
Hudson River Trading, LLC, 2021 Term Loan, 7.44% (1 mo. SOFR + 3.00%), due
03/20/28(b)
|
941,017
|
|
30,743
|
|
Hyland Software, Inc., 2018 1st Lien Term Loan, 7.88% (1 mo. USD LIBOR + 3.50%),
due 07/01/24(b)
|
30,367
|
|
1,298,027
|
|
II-VI, Inc., 2022 Term Loan B, 7.13% (3 mo. USD LIBOR + 2.75%), due 07/02/29(b)
|
1,289,265
|
|
503,965
|
|
Illuminate Buyer, LLC, 2021 Term Loan, 7.88% (1 mo. USD LIBOR + 3.50%), due
06/30/27(b)
|
483,911
|
|
837,250
|
|
Ingram Micro Inc., 2021 Term Loan B, 8.22% (3 mo. USD LIBOR + 3.50%), due
06/30/28(b)
|
827,046
|
|
698,951
|
|
IRB Holding Corp., 2020 Term Loan B, 7.13% (1 mo. USD LIBOR + 2.75%), due
02/05/25(b)
|
693,709
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
2,072,247
|
|
Jazz Financing Lux SARL, USD Term Loan, 7.88% (1 mo. USD LIBOR + 3.50%), due
05/05/28(b)
|
2,057,424
|
|
1,946,266
|
|
Jump Financial, LLC, Term Loan B, 9.04% (3 mo. SOFR + 4.50%), due 08/07/28(b)
|
1,853,818
|
|
752,400
|
|
Knight Health Holdings, LLC, Term Loan B, 9.64% (1 mo. USD LIBOR + 5.25%), due
12/23/28(b)
|
451,440
|
|
839,019
|
|
Lakeshore Intermediate, LLC, Term Loan, 8.23% (3 mo. USD LIBOR + 3.50%), due
09/29/28(b)
|
821,714
|
|
315,355
|
|
Les Schwab Tire Centers, Term Loan B, 6.58% (3 mo. USD LIBOR + 3.25%), due
11/02/27(b)
|
312,990
|
|
302,386
|
|
Leslie's Poolmart, Inc., 2021 Term Loan B, 6.88% (1 mo. USD LIBOR + 2.50%), due
03/09/28(b)
|
296,874
|
|
222,750
|
|
LIDS Holdings, Inc., Term Loan, 9.93% (1 mo. SOFR + 5.50%), due 12/14/26(b)
|
209,385
|
|
932,250
|
|
LIDS Holdings, Inc., Term Loan, 10.15% (3 mo. SOFR + 5.50%), due 12/14/26(b)
|
876,315
|
|
476,000
|
EUR
|
Lonza Group AG, EUR Term Loan B, 6.20% (3 mo. EURIBOR + 4.00%), due
07/03/28(b)
|
463,242
|
|
693,000
|
|
LRS Holdings, LLC, Term Loan B, 8.63% (1 mo. USD LIBOR + 4.25%), due
08/31/28(b)
|
674,809
|
|
246,250
|
|
Madison IAQ, LLC, Term Loan, 7.99% (3 mo. USD LIBOR + 3.25%), due 06/21/28(b)
|
229,423
|
|
742,500
|
|
Magenta Buyer, LLC, 2021 USD 1st Lien Term Loan, 9.17% (3 mo. USD LIBOR +
4.75%), due 07/27/28(b)
|
639,478
|
|
930,000
|
|
Magenta Buyer, LLC, 2021 USD 2nd Lien Term Loan, 12.67% (3 mo. USD LIBOR +
8.25%), due 07/27/29(b)
|
734,700
|
|
2,476,152
|
|
MajorDrive Holdings IV, LLC, Term Loan B, 8.81% (3 mo. USD LIBOR + 4.00%), due
06/01/28(b)
|
2,336,096
|
|
994,850
|
|
Mavis Tire Express Services Corp., 2021 Term Loan B, 8.50% (1 mo. SOFR + 4.00%),
due 05/04/28(b)
|
951,680
|
|
943,651
|
|
McGraw-Hill Global Education Holdings, LLC, 2021 Term Loan, 8.32% (6 mo. USD
LIBOR + 4.75%), due 07/28/28(b)
|
890,806
|
|
798,401
|
|
Medline Borrower, LP, USD Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%), due
10/23/28(b)
|
760,028
|
|
136,622
|
|
MH Sub I, LLC, 2020 Incremental Term Loan, 8.13% (1 mo. USD LIBOR + 3.75%),
due 09/13/24(b)
|
132,926
|
|
802,636
|
|
Michaels Cos, Inc., 2021 Term Loan B, 8.98% (3 mo. USD LIBOR + 4.25%), due
04/15/28(b)
|
696,688
|
|
242,040
|
|
Mister Car Wash Holdings, Inc., 2019 Term Loan B, 7.42% (1 mo. USD LIBOR +
3.00%), due 05/14/26(b)
|
239,231
|
|
2,010,960
|
|
MKS Instruments, Inc., 2022 USD Term Loan B, 7.17% (1 mo. SOFR + 2.75%), due
08/17/29(b)
|
1,991,389
|
|
2,982,512
|
|
NCR Corp., 2019 Term Loan, 6.92% (3 mo. USD LIBOR + 2.50%), due 08/28/26(b)
|
2,905,465
|
|
997,733
|
|
Olympus Water US Holding Corp., 2021 USD Term Loan B, 8.50% (3 mo. USD LIBOR
+ 3.75%), due 11/09/28(b)
|
960,457
|
|
916,050
|
|
One Call Corp., 2021 Term Loan, 9.88% (3 mo. USD LIBOR + 5.50%), due 04/22/27(b)
|
762,612
|
|
1,182,000
|
EUR
|
Organon & Co., EUR Term Loan B, 4.98% (3 mo. EURIBOR + 3.00%), due 06/02/28(b)
|
1,240,044
|
|
1,036,017
|
|
Organon & Co., USD Term Loan, 7.75% (3 mo. USD LIBOR + 3.00%), due 06/02/28(b)
|
1,028,247
|
|
465,833
|
|
Oscar AcquisitionCo, LLC, Term Loan B, 9.18% (3 mo. SOFR + 4.50%), due
04/29/29(b)
|
441,626
|
|
415,843
|
|
Pacific Bells, LLC, Term Loan B, 9.34% (1 mo. USD LIBOR + 4.50%), due 11/10/28(b)
|
392,972
|
|
1,024,433
|
|
Parexel International Corp., 2021 1st Lien Term Loan, 7.63% (1 mo. USD LIBOR +
3.25%), due 11/15/28(b)
|
988,862
|
|
265,787
|
|
Particle Investments SARL, Term Loan, 9.97% (3 mo. USD LIBOR + 5.25%), due
02/18/27(b)
|
259,806
|
|
843,331
|
EUR
|
Paysafe Holdings (US) Corp., EUR Term Loan B2, 4.90% (1 mo. EURIBOR + 3.00%),
due 06/28/28(b)
|
831,792
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
1,078,978
|
|
PECF USS Intermediate Holding III Corp., Term Loan B, 8.63% (1 mo. USD LIBOR +
4.25%), due 12/15/28(b)
|
903,532
|
|
563,069
|
|
Peraton Corp., 2nd Lien Term Loan B1, 12.09% (1 mo. USD LIBOR + 7.75%), due
02/01/29(b)
|
538,610
|
|
1,501,968
|
|
Peraton Corp., Term Loan B, 8.14% (1 mo. USD LIBOR + 3.75%), due 02/01/28(b)
|
1,470,320
|
|
2,023,876
|
|
PetSmart, Inc., 2021 Term Loan B, 8.13% (1 mo. USD LIBOR + 3.75%), due
02/11/28(b)
|
1,989,723
|
|
994,924
|
|
Planview Parent, Inc., Term Loan, 8.73% (3 mo. USD LIBOR + 4.00%), due 12/17/27(b)
|
928,595
|
|
897,750
|
|
Polyconcept Holding BV, Term Loan B, 9.82% (1 mo. SOFR + 5.50%), due 05/18/29(b)
|
843,885
|
|
162,448
|
|
Prime Security Services Borrower, LLC, 2021 Term Loan, 6.50% (3 mo. USD LIBOR +
2.75%), due 09/23/26(b)
|
161,165
|
|
744,375
|
|
Proofpoint, Inc., 1st Lien Term Loan, 7.98% (3 mo. USD LIBOR + 3.25%), due
08/31/28(b)
|
717,275
|
|
605,425
|
|
Quikrete Holdings, Inc., 2021 Term Loan B1, 7.38% (1 mo. USD LIBOR + 3.00%), due
06/11/28(b)
|
601,515
|
|
949,316
|
|
Rackspace Technology Global, Inc., 2021 Term Loan B, 7.38% (3 mo. USD LIBOR +
2.75%), due 02/15/28(b)
|
597,673
|
|
410,034
|
|
Radiate Holdco, LLC, 2021 Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%), due
09/25/26(b)
|
335,459
|
|
360,962
|
|
Radiology Partners, Inc., 2018 1st Lien Term Loan B, 8.64% (1 mo. USD LIBOR +
4.25%), due 07/09/25(b)
|
304,111
|
|
740,000
|
|
Redstone Holdco 2 LP, 2021 2nd Lien Term Loan, 12.11% (3 mo. USD LIBOR +
7.75%), due 04/27/29(b)
|
373,330
|
|
780,125
|
|
Redstone Holdco 2 LP, 2021 Term Loan, 9.11% (3 mo. USD LIBOR + 4.75%), due
04/27/28(b)
|
545,697
|
|
287,241
|
|
Resolute Investment Managers, Inc., 2020 Term Loan C, 8.98% (3 mo. USD LIBOR +
4.25%), due 04/30/24(b)
|
234,819
|
|
948,232
|
|
RVR Dealership Holdings, LLC, Term Loan B, 8.07% (1 mo. SOFR + 3.75%), due
02/08/28(b)
|
872,374
|
|
995,000
|
|
Scientific Games International, Inc., 2022 USD Term Loan, 7.42% (1 mo. SOFR +
3.00%), due 04/14/29(b)
|
984,221
|
|
1,020,750
|
|
Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 7.63% (1 mo. USD
LIBOR + 3.25%), due 12/31/25(b)
|
994,958
|
|
1,237,780
|
|
Sinclair Television Group, Inc., 2022 Term Loan B4, 8.17% (1 mo. SOFR + 3.75%), due
04/21/29(b)
|
1,181,306
|
|
687,749
|
|
SkyMiles IP, Ltd., 2020 Skymiles Term Loan B, 7.99% (3 mo. USD LIBOR + 3.75%),
due 10/20/27(b)
|
702,185
|
|
2,225,717
|
|
Solis IV BV, USD Term Loan B1, 7.86% (3 mo. SOFR + 3.50%), due 02/26/29(b)
|
1,970,594
|
|
1,126,487
|
|
Southwestern Energy Co., 2021 Term Loan, 7.04% (3 mo. SOFR + 2.50%), due
06/22/27(b)
|
1,116,631
|
|
600,012
|
|
Spencer Spirit IH LLC, Term Loan B, 10.17% (1 mo. USD LIBOR + 6.00%), due
06/19/26(b)
|
591,537
|
|
1,167,075
|
|
SPX Flow, Inc., 2022 Term Loan, 8.92% (1 mo.SOFR + 4.50%), due 04/05/29(b)
|
1,089,027
|
|
490,777
|
|
Station Casinos LLC, 2020 Term Loan B, 6.64% (1 mo. USD LIBOR + 2.25%), due
02/08/27(b)
|
480,348
|
|
84,333
|
|
Surf Holdings, LLC, USD Term Loan, 8.23% (3 mo. USD LIBOR + 3.50%), due
03/05/27(b)
|
81,969
|
|
470,800
|
|
Telenet Financing USD LLC, 2020 USD Term Loan AR, 6.32% (1 mo. USD LIBOR +
2.00%), due 04/30/28(b)
|
458,946
|
|
308,269
|
|
Thermostat Purchaser III, Inc., Term Loan, 9.23% (3 mo. USD LIBOR + 4.50%), due
08/31/28(b)
|
291,314
|
|
748,601
|
|
Triton Water Holdings, Inc., Term Loan, 8.23% (3 mo. USD LIBOR + 3.50%), due
03/31/28(b)
|
698,632
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Bank Loans — continued
|
|
|
182,979
|
|
TruGreen Limited Partnership, 2020 2nd Lien Term Loan, 13.43% (3 mo. USD LIBOR
+ 8.50%), due 11/02/28(b)
|
135,404
|
|
945,643
|
|
Tutor Perini Corp., Term Loan B, 9.13% (3 mo. USD LIBOR + 4.75%), due 08/18/27(b)
|
893,042
|
|
630,298
|
|
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, 7.54% (3 mo. USD LIBOR +
3.25%), due 10/02/28(b)
|
587,227
|
|
1,891,836
|
|
U.S. Renal Care, Inc., 2019 Term Loan B, 9.44% (1 mo. USD LIBOR + 5.00%), due
06/26/26(b)
|
1,065,340
|
|
787,059
|
|
Uber Technologies, Inc., 2021 1st Lien Term Loan B, 8.23% (3 mo. USD LIBOR +
3.50%), due 04/04/25(b)
|
787,551
|
|
2,014,472
|
|
Uber Technologies, Inc., 2021 Term Loan B, 8.23% (3 mo. USD LIBOR + 3.50%), due
02/25/27(b)
|
2,013,213
|
|
1,060,026
|
|
UFC Holdings, LLC, 2021 Term Loan B, 7.11% (3 mo. USD LIBOR + 2.75%), due
04/29/26(b)
|
1,048,348
|
|
697,774
|
|
Ultimate Software Group, Inc. (The), 2021 Term Loan, 7.00% (3 mo. USD LIBOR +
3.25%), due 05/04/26(b)
|
664,630
|
|
1,657,834
|
|
United Airlines, Inc., 2021 Term Loan B, 8.11% (3 mo. USD LIBOR + 3.75%), due
04/21/28(b)
|
1,640,564
|
|
1,425,600
|
|
UST Holdings, Ltd., Term Loan, 8.14% (1 mo. USD LIBOR + 3.75%), due 11/20/28(b)
|
1,407,780
|
|
1,722,141
|
|
Verscend Holding Corp., 2021 Term Loan B, 8.38% (1 mo. USD LIBOR + 4.00%), due
08/27/25(b)
|
1,715,683
|
|
1,250,550
|
|
Vertex Aerospace Services Corp., 2021 First Lien Term Loan, 7.88% (1 mo. USD
LIBOR + 3.50%), due 12/06/28(b)
|
1,241,953
|
|
1,343,147
|
|
Vertiv Group Corp., 2021 Term Loan B, 6.89% (1 mo. USD LIBOR + 2.75%), due
03/02/27(b)
|
1,299,831
|
|
420,000
|
|
VFH Parent LLC, 2022 Term Loan B, 7.42% (1 mo. SOFR + 3.00%), due 01/13/29(b)
|
410,813
|
|
537,600
|
|
Virgin Media Bristol LLC, 2020 USD Term Loan Q, 7.57% (1 mo. USD LIBOR +
3.25%), due 01/31/29(b)
|
532,980
|
|
1,649,297
|
|
Virgin Media Bristol LLC, USD Term Loan N, 6.82% (1 mo. USD LIBOR + 2.50%),
due 01/31/28(b)
|
1,624,043
|
|
330,000
|
|
Virgin Pulse, Inc., 2021 2nd Lien Term Loan, 11.63% (1 mo. USD LIBOR + 7.25%),
due 04/06/29(b)
|
257,400
|
|
1,363,938
|
|
Virgin Pulse, Inc., 2021 Term Loan, 8.38% (1 mo. USD LIBOR + 4.00%), due
04/06/28(b)
|
1,160,200
|
|
2,351,460
|
|
VM Consolidated, Inc., 2021 Term Loan B, 7.63% (1 mo. USD LIBOR + 3.25%), due
03/24/28(b)
|
2,341,173
|
|
320,000
|
|
VT Topco, Inc., 2021 2nd Lien Term Loan, 11.13% (1 mo. USD LIBOR + 6.75%), due
07/31/26(b)
|
307,200
|
|
12,405
|
|
VT Topco, Inc., 2021 Delayed Draw Term Loan, 3.75% (1 mo. USD LIBOR + 3.75%),
due 08/01/25
|
12,073
|
|
354,374
|
|
VT Topco, Inc., 2021 Incremental Term Loan, 8.13% (1 mo. USD LIBOR + 3.75%), due
08/01/25(b)
|
344,905
|
|
109,027
|
|
Western Dental Services, Inc., 2021 Delayed Draw Term Loan, 9.23% (3 mo. USD
LIBOR + 4.50%), due 08/18/28(b)
|
100,259
|
|
1,069,200
|
|
Western Dental Services, Inc., 2021 Term Loan B, 9.23% (3 mo. USD LIBOR + 4.50%),
due 08/18/28(b)
|
983,218
|
|
732,600
|
|
Worldwide Express Operations, LLC, 2021 1st Lien Term Loan, 8.73% (3 mo. USD
LIBOR + 4.00%), due 07/26/28(b)
|
672,161
|
|
1,737,567
|
|
WP CPP Holdings, LLC, 2018 Term Loan, 8.17% (3 mo. USD LIBOR + 3.75%), due
04/30/25(b)
|
1,522,543
|
|
380,000
|
|
WP CPP Holdings, LLC, 2019 2nd Lien Incremental Term Loan, 12.17% (3 mo. USD
LIBOR + 7.75%), due 04/30/26(b)
|
320,150
|
|
|
|
|
151,954,732
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Convertible Debt — 0.8%
|
|
|
225,000
|
|
Airbnb, Inc., 6.42%, due 03/15/26(f)
|
185,738
|
|
480,000
|
|
Apollo Commercial Real Estate Finance, Inc. REIT, 5.38%, due 10/15/23
|
471,600
|
|
35,000
|
|
Array Technologies, Inc., 1.00%, due 12/01/28
|
35,753
|
|
220,000
|
|
Bill.com Holdings, Inc., due 12/01/25(f)
|
226,160
|
|
410,000
|
|
Block, Inc., 0.13%, due 03/01/25
|
392,062
|
|
155,000
|
|
Booking Holdings, Inc., 0.75%, due 05/01/25(g)
|
207,220
|
|
400,000
|
|
Carnival Corp., 5.75%, due 12/01/27 144A
|
359,200
|
|
975,000
|
|
Cloudflare, Inc., 5.91%, due 08/15/26(f)
|
799,500
|
|
60,000
|
|
Datadog, Inc., 0.13%, due 06/15/25
|
65,775
|
|
1,240,000
|
|
DISH Network Corp., 3.38%, due 08/15/26
|
779,960
|
|
990,000
|
|
DraftKings Holdings, Inc., 10.82%, due 03/15/28(f)
|
622,215
|
|
215,000
|
|
Enphase Energy, Inc., due 03/01/28(f)
|
252,496
|
|
95,000
|
|
EQT Corp., 1.75%, due 05/01/26
|
221,065
|
|
185,000
|
|
Expedia Group, Inc., 4.44%, due 02/15/26(f)
|
162,047
|
|
76,000
|
|
Gannett Co., Inc., 6.00%, due 12/01/27
|
57,203
|
|
245,000
|
|
Ionis Pharmaceuticals, Inc., 2.36%, due 04/01/26(f)
|
227,391
|
|
140,000
|
|
Liberty Latin America, Ltd., 2.00%, due 07/15/24
|
124,950
|
|
470,000
|
|
Liberty Media Corp.-Liberty Formula One, 2.25%, due 08/15/27 144A
|
451,435
|
|
90,000
|
|
Liberty TripAdvisor Holdings, Inc., 0.50%, due 06/30/51 144A
|
64,980
|
|
245,000
|
|
Live Nation Entertainment, Inc., 2.00%, due 02/15/25
|
241,692
|
|
260,000
|
|
MercadoLibre, Inc., 2.00%, due 08/15/28
|
528,190
|
|
75,000
|
|
Pioneer Natural Resources Co., 0.25%, due 05/15/25
|
175,275
|
|
160,000
|
|
Pure Storage, Inc., 0.13%, due 04/15/23
|
172,640
|
|
110,000
|
|
Sarepta Therapeutics, Inc., 1.50%, due 11/15/24
|
205,755
|
|
185,000
|
|
Southwest Airlines Co., 1.25%, due 05/01/25(g)
|
222,879
|
|
280,000
|
|
Splunk, Inc., 1.13%, due 06/15/27
|
237,664
|
|
245,000
|
|
Uber Technologies, Inc., 5.95%, due 12/15/25(f)(g)
|
207,578
|
|
210,000
|
|
Vishay Intertechnology, Inc., 2.25%, due 06/15/25
|
203,196
|
|
380,000
|
|
Ziff Davis, Inc., 1.75%, due 11/01/26 144A
|
380,760
|
|
320,000
|
|
Zscaler, Inc., 0.13%, due 07/01/25
|
337,600
|
|
|
|
|
8,619,979
|
|
|
|
Corporate Debt — 33.9%
|
|
|
950,000
|
|
Abercrombie & Fitch Management Co., 8.75%, due 07/15/25(g) 144A
|
932,532
|
|
800,000
|
EUR
|
Abertis Infraestructuras Finance BV, 3.25% (5 yr. EUR swap annual + 3.69%)(b)(h)(i)
|
724,905
|
|
290,000
|
|
ABN AMRO Bank NV, 4.75%, due 07/28/25 144A
|
281,580
|
|
315,000
|
|
Abu Dhabi Crude Oil Pipeline, LLC, 4.60%, due 11/02/47 144A
|
290,651
|
|
427,350
|
|
Accelerate360 Holdings LLC, 8.00%, due 03/01/28 144A
|
458,700
|
|
290,000
|
|
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, due 05/01/28 144A
|
232,851
|
|
370,000
|
|
AdaptHealth LLC, 4.63%, due 08/01/29 144A
|
310,264
|
|
270,000
|
|
AdaptHealth LLC, 6.13%, due 08/01/28 144A
|
248,587
|
|
245,000
|
EUR
|
Adevinta ASA, 3.00%, due 11/15/27 144A
|
232,224
|
|
1,040,000
|
EUR
|
Adient Global Holdings, Ltd., 3.50%, due 08/15/24(h)
|
1,068,020
|
|
355,000
|
|
Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A
|
322,596
|
|
2,045,000
|
|
Advanced Drainage Systems, Inc., 6.38%, due 06/15/30 144A
|
1,989,805
|
|
580,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/30/32
|
454,840
|
|
1,900,000
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25
|
1,927,027
|
|
250,000
|
|
AES Corp. (The), 2.45%, due 01/15/31
|
199,465
|
|
685,000
|
|
AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A
|
596,666
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
400,000
|
|
AFC Gamma, Inc. REIT, 5.75%, due 05/01/27 144A
|
311,088
|
|
240,000
|
|
Air Canada, 3.88%, due 08/15/26 144A
|
212,984
|
|
1,015,000
|
|
Akbank TAS, 6.80%, due 02/06/26 144A
|
983,521
|
|
570,000
|
|
Akumin Escrow, Inc., 7.50%, due 08/01/28 144A
|
347,971
|
|
190,000
|
|
Akumin, Inc., 7.00%, due 11/01/25 144A
|
136,315
|
|
4,110,000
|
|
Alibaba Group Holding, Ltd., 3.15%, due 02/09/51
|
2,568,005
|
|
410,000
|
|
Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, due 02/15/28 144A
|
156,448
|
|
910,000
|
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26
144A
|
834,525
|
|
240,000
|
|
Allison Transmission, Inc., 4.75%, due 10/01/27 144A
|
222,974
|
|
1,900,000
|
|
Altice France Holding SA, 10.50%, due 05/15/27 144A
|
1,452,835
|
|
490,000
|
|
Altria Group, Inc., 5.95%, due 02/14/49
|
437,989
|
|
260,000
|
|
AMC Entertainment Holdings, Inc., 7.50%, due 02/15/29 144A
|
140,063
|
|
6,650,000
|
MXN
|
America Movil SAB de CV, 7.13%, due 12/09/24
|
318,436
|
|
340,230
|
|
American Airlines Pass Through Trust, 4.95%, due 02/15/25
|
320,297
|
|
640,000
|
|
American Airlines, Inc., 11.75%, due 07/15/25 144A
|
687,891
|
|
580,000
|
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, due 04/20/26 144A
|
558,773
|
|
1,020,000
|
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.75%, due 04/20/29 144A
|
934,076
|
|
431,639
|
|
American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26 144A
|
481,817
|
|
1,890,000
|
|
American Tower Corp. REIT, 2.70%, due 04/15/31
|
1,542,984
|
|
1,055,000
|
|
Ameriprise Financial, Inc., 4.50%, due 05/13/32(g)
|
1,024,886
|
|
445,000
|
|
Anglo American Capital Plc, 2.88%, due 03/17/31 144A
|
364,419
|
|
365,000
|
|
Anglo American Capital Plc, 3.88%, due 03/16/29 144A
|
328,428
|
|
295,000
|
|
Anglo American Capital Plc, 3.95%, due 09/10/50 144A
|
216,887
|
|
685,000
|
|
AngloGold Ashanti Holdings Plc, 3.75%, due 10/01/30
|
594,705
|
|
380,000
|
|
Antares Holdings, LP, 3.95%, due 07/15/26 144A
|
329,121
|
|
1,645,000
|
|
Aon Corp./Aon Global Holdings Plc, 5.00%, due 09/12/32
|
1,631,841
|
|
470,000
|
|
Apollo Commercial Real Estate Finance, Inc. REIT, 4.63%, due 06/15/29 144A
|
376,794
|
|
164,820
|
EUR
|
ARD Finance SA, 5.00% (5.00% CASH/5.75% PIK), due 06/30/27(h)
|
119,027
|
|
750,000
|
|
ARD Finance SA, 6.50% (6.50% Cash or 7.25% PIK), due 06/30/27 144A
|
522,834
|
|
1,540,000
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc,
4.00%, due 09/01/29(g) 144A
|
1,223,380
|
|
210,000
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance Plc,
6.00%, due 06/15/27 144A
|
205,840
|
|
650,000
|
|
Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A
|
619,637
|
|
809,875
|
|
Ardonagh Midco 2 Plc, 11.50% (11.50% Cash or 12.75% PIK), due 01/15/27 144A
|
773,431
|
|
1,370,000
|
|
Ares Capital Corp., 2.88%, due 06/15/28
|
1,100,733
|
|
900,000
|
|
Ashtead Capital, Inc., 2.45%, due 08/12/31 144A
|
696,914
|
|
365,000
|
|
At Home Group, Inc., 4.88%, due 07/15/28(g) 144A
|
257,798
|
|
557,000
|
|
AT&T, Inc., 3.50%, due 09/15/53
|
378,445
|
|
1,110,000
|
|
AT&T, Inc., 3.55%, due 09/15/55
|
745,632
|
|
450,000
|
|
AT&T, Inc., 3.65%, due 09/15/59
|
303,277
|
|
275,000
|
|
AT&T, Inc., 3.80%, due 12/01/57
|
191,007
|
|
1,350,000
|
|
AthenaHealth Group, Inc., 6.50%, due 02/15/30 144A
|
997,390
|
|
390,000
|
|
Australia & New Zealand Banking Group, Ltd., 2.95% (5 yr. CMT + 1.29%), due
07/22/30(b) 144A
|
352,927
|
|
60,000
|
|
AutoNation, Inc., 4.75%, due 06/01/30
|
53,668
|
|
640,000
|
|
Aviation Capital Group LLC, 5.50%, due 12/15/24 144A
|
629,162
|
|
735,000
|
|
Avient Corp., 7.13%, due 08/01/30 144A
|
719,478
|
|
780,000
|
|
Avnet, Inc., 5.50%, due 06/01/32
|
722,462
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
650,000
|
|
Avolon Holdings Funding, Ltd., 4.25%, due 04/15/26 144A
|
589,991
|
|
50,000
|
|
Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A
|
49,454
|
|
400,000
|
|
B3 SA - Brasil Bolsa Balcao, 4.13%, due 09/20/31(g) 144A
|
337,557
|
|
2,265,000
|
|
Bain Capital Specialty Finance, Inc., 2.55%, due 10/13/26
|
1,869,029
|
|
330,000
|
|
Ball Corp., 3.13%, due 09/15/31(g)
|
265,462
|
|
200,000
|
EUR
|
Banco Bilbao Vizcaya Argentaria SA, 5.88% (5 yr. EUR swap annual + 5.66%)(b)(h)(i)
|
205,659
|
|
1,090,000
|
|
Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(b)(i) 144A
|
999,695
|
|
800,000
|
|
Banco Santander SA, 4.18% (1 yr. CMT + 2.00%), due 03/24/28(b)
|
743,186
|
|
1,200,000
|
|
Banco Santander SA, 7.50% (5 yr. USD ICE swap + 4.99%)(b)(h)(i)
|
1,175,928
|
|
220,000
|
|
Bank of America Corp., 2.48% (5 yr. CMT + 1.20%), due 09/21/36(b)
|
162,153
|
|
1,645,000
|
|
Bank of America Corp., 6.25% (3 mo. USD LIBOR + 3.71%)(b)(i)
|
1,583,906
|
|
1,175,000
|
|
Barclays Plc, 4.38% (5 yr. CMT + 3.41%)(b)(i)
|
898,875
|
|
574,000
|
|
Barclays Plc, 5.25%, due 08/17/45
|
515,581
|
|
505,000
|
|
Barclays Plc, 5.30% (1 yr. CMT + 2.30%), due 08/09/26(b)
|
501,726
|
|
1,515,000
|
|
Barclays Plc, 6.13% (5 yr. CMT + 5.87%)(b)(i)
|
1,384,331
|
|
535,000
|
GBP
|
Barclays Plc, 6.38% (5 yr. UK Government Bond + 6.02%)(b)(h)(i)
|
591,656
|
|
350,000
|
|
Barclays Plc, 8.00% (5 yr. CMT + 5.67%)(b)(i)
|
340,937
|
|
700,000
|
|
Bath & Body Works, Inc., 5.25%, due 02/01/28(g)
|
651,161
|
|
290,000
|
|
Bath & Body Works, Inc., 6.63%, due 10/01/30 144A
|
272,633
|
|
30,000
|
|
Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A
|
21,047
|
|
80,000
|
|
Bausch Health Cos., Inc., 5.00%, due 01/30/28 144A
|
38,526
|
|
420,000
|
|
Bausch Health Cos., Inc., 5.50%, due 11/01/25 144A
|
357,662
|
|
340,000
|
|
Bausch Health Cos., Inc., 6.13%, due 02/01/27(g) 144A
|
234,899
|
|
150,000
|
|
Bausch Health Cos., Inc., 7.00%, due 01/15/28 144A
|
72,739
|
|
850,000
|
|
Bed Bath & Beyond, Inc., 5.17%, due 08/01/44
|
86,381
|
|
2,062,000
|
|
Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A
|
1,897,072
|
|
2,010,000
|
|
BGC Partners, Inc., 4.38%, due 12/15/25
|
1,885,568
|
|
840,000
|
|
BlackRock TCP Capital Corp., 2.85%, due 02/09/26
|
745,817
|
|
1,425,000
|
|
Blackstone Holdings Finance Co. LLC, 5.90%, due 11/03/27 144A
|
1,438,127
|
|
2,105,000
|
|
Blackstone Private Credit Fund, 2.63%, due 12/15/26
|
1,744,992
|
|
2,680,000
|
|
Blackstone Secured Lending Fund, 2.85%, due 09/30/28
|
2,085,233
|
|
740,000
|
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A
|
735,411
|
|
850,000
|
|
BNP Paribas SA, 2.16% (SOFR + 1.22%), due 09/15/29(b) 144A
|
694,443
|
|
2,815,000
|
|
BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(b)(g)(i) 144A
|
2,163,588
|
|
1,930,000
|
|
BNP Paribas SA, 4.63% (5 yr. CMT + 3.20%)(b)(i) 144A
|
1,592,228
|
|
1,820,000
|
|
BNP Paribas SA, 7.75% (5 yr. CMT + 4.90%), due 12/31/99(b) 144A
|
1,801,800
|
|
2,075,000
|
|
Boeing Co. (The), 5.71%, due 05/01/40
|
1,987,540
|
|
280,000
|
|
Boeing Co. (The), 5.93%, due 05/01/60
|
256,570
|
|
1,200,000
|
|
Boyne USA, Inc., 4.75%, due 05/15/29 144A
|
1,063,583
|
|
440,000
|
|
Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A
|
395,562
|
|
2,325,000
|
|
Brighthouse Financial, Inc., 3.85%, due 12/22/51
|
1,476,338
|
|
805,000
|
|
British Telecommunications Plc, 9.63%, due 12/15/30(j)
|
966,333
|
|
1,075,000
|
|
Broadcom, Inc., 4.15%, due 04/15/32 144A
|
946,641
|
|
2,555,000
|
|
Broadstone Net Lease LLC REIT, 2.60%, due 09/15/31
|
1,921,024
|
|
1,620,000
|
|
Brunswick Corp., 2.40%, due 08/18/31
|
1,194,721
|
|
420,000
|
|
Builders FirstSource, Inc., 4.25%, due 02/01/32 144A
|
341,243
|
|
300,000
|
|
Burford Capital Global Finance LLC, 6.88%, due 04/15/30 144A
|
268,348
|
|
1,460,000
|
|
Caesars Entertainment, Inc., 4.63%, due 10/15/29(g) 144A
|
1,190,769
|
|
685,000
|
|
Caesars Entertainment, Inc., 8.13%, due 07/01/27(g) 144A
|
674,458
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
125,000
|
|
Callon Petroleum Co., 6.38%, due 07/01/26(g)
|
116,703
|
|
205,000
|
|
Callon Petroleum Co., 8.00%, due 08/01/28(g) 144A
|
195,689
|
|
650,000
|
|
Carnival Corp., 10.50%, due 06/01/30 144A
|
529,588
|
|
2,090,000
|
|
Carnival Plc, 7.88%, due 06/01/27
|
2,030,884
|
|
250,000
|
|
Carriage Purchaser, Inc., 7.88%, due 10/15/29 144A
|
177,825
|
|
190,000
|
|
Carrols Restaurant Group, Inc., 5.88%, due 07/01/29(g) 144A
|
133,411
|
|
545,000
|
EUR
|
Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28(h)
|
476,514
|
|
765,000
|
EUR
|
Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28 144A
|
668,868
|
|
865,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, due 02/01/31 144A
|
695,806
|
|
1,500,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 05/01/32
|
1,196,887
|
|
245,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A
|
211,852
|
|
1,500,000
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 02/01/32 144A
|
1,219,117
|
|
770,000
|
|
Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A
|
670,408
|
|
910,000
|
|
Cemex SAB de CV, 5.13% (5 yr. CMT + 4.53%)(b)(i) 144A
|
842,009
|
|
1,255,000
|
|
Cemex SAB de CV, 5.20%, due 09/17/30 144A
|
1,173,001
|
|
1,190,000
|
|
Central Parent, Inc./CDK Global, Inc., 7.25%, due 06/15/29 144A
|
1,165,482
|
|
200,000
|
|
Century Communities, Inc., 3.88%, due 08/15/29 144A
|
157,510
|
|
1,145,000
|
|
Chart Industries, Inc., 7.50%, due 01/01/30 144A
|
1,152,488
|
|
530,000
|
|
Chart Industries, Inc., 9.50%, due 01/01/31 144A
|
544,212
|
|
1,045,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.70%, due 04/01/51
|
639,187
|
|
1,495,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
3.90%, due 06/01/52
|
944,141
|
|
300,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.13%, due 07/01/49
|
228,044
|
|
330,000
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital,
5.38%, due 04/01/38
|
275,863
|
|
460,000
|
|
Cheniere Energy Partners, LP, 3.25%, due 01/31/32
|
366,186
|
|
185,000
|
|
Chevron Corp., 3.08%, due 05/11/50
|
133,686
|
|
1,090,000
|
|
Chord Energy Corp., 6.38%, due 06/01/26 144A
|
1,063,099
|
|
620,000
|
|
CHS/Community Health Systems, Inc., 6.13%, due 04/01/30 144A
|
308,173
|
|
880,000
|
|
CHS/Community Health Systems, Inc., 6.88%, due 04/15/29 144A
|
453,933
|
|
500,000
|
|
CHS/Community Health Systems, Inc., 8.00%, due 03/15/26 144A
|
456,250
|
|
530,000
|
EUR
|
Cirsa Finance International SARL, 4.50%, due 03/15/27 144A
|
490,222
|
|
1,515,000
|
|
Citigroup, Inc., 2.98% (SOFR + 1.42%), due 11/05/30(b)
|
1,277,044
|
|
1,585,000
|
|
Citigroup, Inc., 5.90% (3 mo. USD LIBOR + 4.23%)(b)(i)
|
1,572,447
|
|
170,000
|
|
Citigroup, Inc., 6.30% (3 mo. USD LIBOR + 3.42%)(b)(i)
|
160,990
|
|
1,600,000
|
|
Clarios Global, LP/Clarios US Finance Co., 8.50%, due 05/15/27(g) 144A
|
1,565,690
|
|
495,000
|
|
Clarivate Science Holdings Corp., 4.88%, due 07/01/29(g) 144A
|
421,567
|
|
210,000
|
|
Clear Channel Outdoor Holdings, Inc., 7.50%, due 06/01/29(g) 144A
|
154,590
|
|
980,000
|
|
Clydesdale Acquisition Holdings, Inc., 8.75%, due 04/15/30 144A
|
840,690
|
|
960,000
|
|
Coca-Cola Icecek AS, 4.50%, due 01/20/29 144A
|
838,537
|
|
2,205,000
|
|
Coherent Corp., 5.00%, due 12/15/29 144A
|
1,904,525
|
|
530,000
|
|
Coinbase Global, Inc., 3.63%, due 10/01/31 144A
|
255,943
|
|
3,280,000
|
|
Colgate Energy Partners III LLC, 5.88%, due 07/01/29 144A
|
2,821,327
|
|
635,000
|
|
Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A
|
507,917
|
|
380,000
|
|
Comcast Corp., 4.25%, due 10/15/30
|
364,519
|
|
530,000
|
|
Commercial Metals Co., 3.88%, due 02/15/31
|
446,378
|
|
1,600,000
|
EUR
|
Commerzbank AG, 6.13% (5 yr. EUR swap annual + 6.36%)(b)(h)(i)
|
1,592,338
|
|
226,000
|
|
CommScope Technologies LLC, 6.00%, due 06/15/25 144A
|
206,126
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
620,000
|
|
CommScope, Inc., 4.75%, due 09/01/29 144A
|
501,006
|
|
360,000
|
|
CommScope, Inc., 6.00%, due 03/01/26 144A
|
332,982
|
|
980,000
|
|
CommScope, Inc., 7.13%, due 07/01/28 144A
|
702,164
|
|
1,380,000
|
|
Continental Resources, Inc., 2.27%, due 11/15/26 144A
|
1,197,504
|
|
660,000
|
|
Continental Resources, Inc., 5.75%, due 01/15/31 144A
|
615,665
|
|
400,000
|
EUR
|
Cooperatieve Rabobank UA, 4.63% (5 yr. EUR swap annual + 4.10%)(b)(h)(i)
|
395,770
|
|
1,030,000
|
|
CoreCivic, Inc., 8.25%, due 04/15/26(g)
|
1,057,697
|
|
450,000
|
|
Country Garden Holdings Co., Ltd., 8.00%, due 01/27/24(h)
|
348,819
|
|
300,000
|
EUR
|
Credit Agricole SA, 4.00% (5 yr. EUR swap annual + 4.37%)(b)(h)(i)
|
283,716
|
|
2,238,000
|
|
Credit Agricole SA, 4.75% (5 yr. CMT + 3.24%)(b)(i) 144A
|
1,799,167
|
|
1,160,000
|
|
Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b)(i) 144A
|
1,153,105
|
|
1,270,000
|
|
Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(b)(i) 144A
|
1,290,574
|
|
770,000
|
|
Credit Suisse AG, 1.00%, due 05/05/23
|
752,245
|
|
970,000
|
|
Credit Suisse AG, 4.75%, due 08/09/24
|
926,776
|
|
2,655,000
|
|
Credit Suisse Group AG, 6.54% (SOFR + 3.92%), due 08/12/33(b) 144A
|
2,336,119
|
|
200,000
|
|
Credit Suisse Group AG, 7.50% (5 yr. USD swap + 4.60%)(b)(i) 144A
|
160,324
|
|
350,000
|
|
Credit Suisse Group AG, 9.02% (SOFR + 5.02%), due 11/15/33(b) 144A
|
359,327
|
|
1,440,000
|
|
Credit Suisse Group AG, 9.75% (5 yr. CMT + 6.38%)(b)(i) 144A
|
1,257,937
|
|
1,995,000
|
|
Crescent Energy Finance LLC, 7.25%, due 05/01/26 144A
|
1,882,512
|
|
1,170,000
|
|
Crowdstrike Holdings, Inc., 3.00%, due 02/15/29(g)
|
988,697
|
|
240,000
|
|
Crown Castle, Inc.REIT, 3.30%, due 07/01/30
|
210,517
|
|
600,000
|
|
CSC Holdings LLC, 4.50%, due 11/15/31 144A
|
417,413
|
|
300,000
|
|
CSC Holdings LLC, 5.50%, due 04/15/27 144A
|
252,308
|
|
210,000
|
|
CSC Holdings LLC, 5.75%, due 01/15/30 144A
|
118,901
|
|
960,000
|
|
CSC Holdings LLC, 6.50%, due 02/01/29 144A
|
786,830
|
|
3,080,000
|
|
CT Trust, 5.13%, due 02/03/32 144A
|
2,708,975
|
|
1,540,000
|
|
Darling Ingredients, Inc., 6.00%, due 06/15/30 144A
|
1,507,429
|
|
520,000
|
|
DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A
|
527,154
|
|
905,000
|
|
Dell International LLC/EMC Corp., 3.45%, due 12/15/51 144A
|
557,325
|
|
334,000
|
|
Dell International LLC/EMC Corp., 8.35%, due 07/15/46
|
382,253
|
|
230,000
|
|
Delta Air Lines, Inc., 7.00%, due 05/01/25 144A
|
235,255
|
|
660,000
|
|
Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(b)
|
485,241
|
|
830,000
|
|
Deutsche Bank AG, 3.74% (SOFR + 2.26%), due 01/07/33(b)
|
591,204
|
|
1,200,000
|
|
Deutsche Bank AG, 4.79% (5 yr. USD swap + 4.36%)(b)(h)(i)
|
1,013,472
|
|
200,000
|
|
Deutsche Bank AG, 7.50% (5 yr. USD swap + 5.00%)(b)(i)
|
186,984
|
|
1,880,000
|
|
Diamondback Energy, Inc., 6.25%, due 03/15/33
|
1,914,004
|
|
1,360,000
|
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, due 08/15/27 144A
|
1,219,322
|
|
1,275,000
|
|
DISH DBS Corp., 5.13%, due 06/01/29
|
824,906
|
|
580,000
|
|
DISH DBS Corp., 5.75%, due 12/01/28 144A
|
464,000
|
|
1,190,000
|
|
DISH DBS Corp., 5.88%, due 11/15/24
|
1,108,240
|
|
245,000
|
|
Diversified Healthcare Trust REIT, 9.75%, due 06/15/25
|
235,130
|
|
1,985,000
|
|
DNB Bank ASA, 5.90%, due 10/09/26 144A
|
1,987,117
|
|
540,000
|
|
DP World Plc, 5.63%, due 09/25/48 144A
|
508,423
|
|
255,000
|
|
Dun & Bradstreet Corp. (The), 5.00%, due 12/15/29 144A
|
218,551
|
|
1,460,000
|
|
Ecopetrol SA, 4.63%, due 11/02/31
|
1,118,192
|
|
410,000
|
|
Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A
|
393,251
|
|
1,690,000
|
|
Endeavour Mining PLC, 5.00%, due 10/14/26 144A
|
1,455,597
|
|
755,000
|
|
Enel Finance America LLC, 2.88%, due 07/12/41 144A
|
455,703
|
|
980,000
|
|
Energean Israel Finance, Ltd., 5.88%, due 03/30/31(h) 144A
|
859,337
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,065,000
|
EUR
|
Energizer Gamma Acquisition BV, 3.50%, due 06/30/29 144A
|
913,354
|
|
180,000
|
|
Energy Transfer, LP, 5.35%, due 05/15/45
|
153,420
|
|
210,000
|
|
Energy Transfer, LP, 6.25%, due 04/15/49
|
196,284
|
|
230,000
|
|
Energy Transfer, LP, 6.25% (3 mo. USD LIBOR + 4.03%)(b)(g)(i)
|
195,788
|
|
270,000
|
|
Energy Transfer, LP, 7.13% (5 yr. CMT + 5.31%)(b)(i)
|
226,125
|
|
395,000
|
|
Enstar Group, Ltd., 3.10%, due 09/01/31
|
289,395
|
|
205,000
|
|
Enstar Group, Ltd., 4.95%, due 06/01/29
|
188,358
|
|
1,020,000
|
|
Entegris Escrow Corp., 5.95%, due 06/15/30 144A
|
941,970
|
|
170,000
|
|
Enterprise Products Operating LLC, 3.20%, due 02/15/52
|
112,144
|
|
500,000
|
|
Enterprise Products Operating LLC, 5.38% (3 mo. USD LIBOR + 2.57%), due
02/15/78(b)
|
381,947
|
|
265,000
|
|
EPR Properties REIT, 3.75%, due 08/15/29
|
207,966
|
|
150,000
|
|
EQM Midstream Partners, LP, 6.00%, due 07/01/25 144A
|
145,008
|
|
140,000
|
|
EQM Midstream Partners, LP, 6.50%, due 07/01/27 144A
|
134,050
|
|
800,000
|
|
EQM Midstream Partners, LP, 7.50%, due 06/01/30 144A
|
771,920
|
|
810,000
|
|
EQT Corp., 3.90%, due 10/01/27
|
749,546
|
|
630,000
|
|
EQT Corp., 7.00%, due 02/01/30(j)
|
654,444
|
|
1,250,000
|
|
Equifax, Inc., 5.10%, due 12/15/27
|
1,236,091
|
|
1,081,000
|
|
FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, due 08/15/26 144A
|
1,004,487
|
|
360,000
|
|
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 4.63%, due 01/15/29
144A
|
305,113
|
|
300,000
|
|
First Quantum Minerals, Ltd., 6.88%, due 03/01/26(g) 144A
|
284,552
|
|
2,350,000
|
|
First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A
|
2,209,666
|
|
420,000
|
|
FirstCash, Inc., 5.63%, due 01/01/30 144A
|
374,373
|
|
730,000
|
|
Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A
|
614,807
|
|
2,570,000
|
|
Foot Locker, Inc., 4.00%, due 10/01/29 144A
|
2,005,883
|
|
410,000
|
|
Ford Motor Co., 3.25%, due 02/12/32
|
308,206
|
|
2,080,000
|
|
Ford Motor Co., 6.10%, due 08/19/32
|
1,924,588
|
|
390,000
|
|
Ford Motor Credit Co. LLC, 2.90%, due 02/16/28
|
322,586
|
|
1,020,000
|
|
Ford Motor Credit Co. LLC, 3.63%, due 06/17/31
|
802,595
|
|
480,000
|
|
Ford Motor Credit Co. LLC, 4.95%, due 05/28/27
|
448,690
|
|
200,000
|
|
Ford Motor Credit Co. LLC, 7.35%, due 11/04/27
|
205,440
|
|
1,855,000
|
|
Freeport Indonesia PT, 5.32%, due 04/14/32 144A
|
1,710,745
|
|
585,000
|
|
Freeport Indonesia PT, 6.20%, due 04/14/52 144A
|
512,175
|
|
1,000,000
|
|
Freeport Minerals Corp., 7.13%, due 11/01/27
|
1,066,250
|
|
455,000
|
|
Freeport-McMoRan, Inc., 4.63%, due 08/01/30
|
424,549
|
|
330,000
|
|
Freeport-McMoRan, Inc., 5.45%, due 03/15/43
|
298,417
|
|
1,030,000
|
|
Full House Resorts, Inc., 8.25%, due 02/15/28(g) 144A
|
913,157
|
|
1,372,472
|
|
Galaxy Pipeline Assets Bidco, Ltd., 2.94%, due 09/30/40 144A
|
1,108,351
|
|
250,000
|
|
Gannett Holdings LLC, 6.00%, due 11/01/26(g) 144A
|
204,069
|
|
360,000
|
|
General Motors Co., 6.60%, due 04/01/36
|
353,864
|
|
1,440,000
|
|
General Motors Financial Co., Inc., 5.00%, due 04/09/27
|
1,397,086
|
|
150,000
|
|
GEO Group, Inc. (The), 9.50%, due 12/31/28 144A
|
144,291
|
|
719,000
|
|
GEO Group, Inc. (The), 10.50%, due 06/30/28
|
730,802
|
|
910,000
|
|
Georgia Power Co., 5.13%, due 05/15/52
|
858,280
|
|
290,000
|
|
GFL Environmental, Inc., 4.75%, due 06/15/29 144A
|
254,192
|
|
390,000
|
|
GFL Environmental, Inc., 5.13%, due 12/15/26 144A
|
373,596
|
|
1,457,168
|
|
Global Aircraft Leasing Co., Ltd., 6.50% (6.50% Cash or 7.25% PIK), due 09/15/24
144A
|
1,241,726
|
|
280,000
|
|
Global Atlantic Fin Co., 4.40%, due 10/15/29 144A
|
234,937
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,125,000
|
|
Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A
|
1,139,549
|
|
965,000
|
|
Gray Escrow II, Inc., 5.38%, due 11/15/31 144A
|
697,150
|
|
1,850,000
|
|
H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A
|
1,579,058
|
|
285,000
|
|
Haemonetics Corp., 6.24%, due 03/01/26(f)
|
236,921
|
|
1,870,000
|
|
Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd., 5.75%, due
01/20/26 144A
|
1,695,903
|
|
80,000
|
|
Healthpeak Properties, Inc. REIT, 3.50%, due 07/15/29
|
71,373
|
|
255,000
|
GBP
|
Heathrow Funding, Ltd., (MTN), 5.23%, due 02/15/23(h)
|
306,754
|
|
545,000
|
GBP
|
Heathrow Funding, Ltd., (MTN), 6.75%, due 12/03/26(h)
|
671,065
|
|
780,000
|
|
Hertz Corp. (The), 5.00%, due 12/01/29 144A
|
592,722
|
|
125,000
|
|
Hess Midstream Operations, LP, 5.13%, due 06/15/28 144A
|
115,808
|
|
1,260,000
|
|
Highlands Holdings Bond Issuer, Ltd./Highlands Holdings Bond Co-Issuer, Inc., 7.63%
(7.63% Cash or 8.38% PIK), due 10/15/25 144A
|
1,178,898
|
|
560,000
|
|
Hilcorp Energy I, LP/Hilcorp Finance Co., 6.25%, due 04/15/32 144A
|
484,056
|
|
570,000
|
|
Howard Midstream Energy Partners LLC, 6.75%, due 01/15/27 144A
|
547,084
|
|
415,000
|
|
Howmet Aerospace, Inc., 5.90%, due 02/01/27
|
413,344
|
|
1,535,000
|
|
HSBC Holdings Plc, 4.60% (5 yr. CMT + 3.65%), due 12/31/99(b)
|
1,198,042
|
|
665,000
|
|
HSBC Holdings Plc, 6.00% (5 yr. USD ICE swap + 3.75%)(b)(i)
|
612,006
|
|
1,545,000
|
|
HSBC Holdings Plc, 6.50% (5 yr. USD ICE swap + 3.61%)(b)(i)
|
1,425,912
|
|
1,865,000
|
|
HSBC Holdings Plc, 8.11% (SOFR + 4.25%), due 11/03/33(b)
|
1,978,933
|
|
190,000
|
EUR
|
HSE Finance SARL, 5.63%, due 10/15/26 144A
|
109,544
|
|
870,000
|
|
HTA Group, Ltd., 7.00%, due 12/18/25 144A
|
809,100
|
|
260,000
|
|
Hudbay Minerals, Inc., 4.50%, due 04/01/26(g) 144A
|
236,486
|
|
610,000
|
|
Hudbay Minerals, Inc., 6.13%, due 04/01/29 144A
|
553,383
|
|
280,000
|
|
iHeartCommunications, Inc., 4.75%, due 01/15/28 144A
|
228,458
|
|
320,000
|
|
iHeartCommunications, Inc., 5.25%, due 08/15/27 144A
|
271,572
|
|
145,000
|
|
iHeartCommunications, Inc., 6.38%, due 05/01/26
|
133,629
|
|
740,000
|
|
IHS Netherlands Holdco BV, 8.00%, due 09/18/27(h)
|
655,078
|
|
1,590,000
|
|
IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A
|
1,407,532
|
|
620,000
|
|
IIP Operating Partnership, LP REIT, 5.50%, due 05/25/26
|
549,721
|
|
900,000
|
|
Iliad Holding SASU, 6.50%, due 10/15/26 144A
|
836,265
|
|
810,000
|
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A
|
679,470
|
|
265,000
|
EUR
|
IMA Industria Macchine Automatiche SpA, 3.75%, due 01/15/28 144A
|
234,199
|
|
470,000
|
|
InterGen NV, 7.00%, due 06/30/23(g) 144A
|
456,915
|
|
1,855,000
|
|
International Business Machines Corp., 4.40%, due 07/27/32
|
1,775,464
|
|
200,000
|
|
Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A
|
171,517
|
|
1,450,000
|
|
Intesa Sanpaolo SpA, 4.95% (1 yr. CMT + 2.75%), due 06/01/42(b) 144A
|
935,074
|
|
350,000
|
|
Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A
|
336,733
|
|
570,000
|
|
Itau Unibanco Holding SA, 3.88% (5 yr. CMT + 3.45%), due 04/15/31(b) 144A
|
519,108
|
|
1,059,000
|
|
Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(b)(i) 144A
|
845,469
|
|
1,195,000
|
|
Jackson Financial, Inc., 3.13%, due 11/23/31
|
918,777
|
|
690,000
|
|
Jane Street Group/JSG Finance, Inc., 4.50%, due 11/15/29 144A
|
594,397
|
|
225,000
|
|
Jazz Securities DAC, 4.38%, due 01/15/29 144A
|
200,942
|
|
1,045,000
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 04/01/33
144A
|
999,313
|
|
1,155,000
|
|
JPMorgan Chase & Co., 4.32% (SOFR + 1.56%), due 04/26/28(b)
|
1,104,792
|
|
2,520,000
|
|
JPMorgan Chase & Co., 4.91% (SOFR + 2.08%), due 07/25/33(b)
|
2,406,869
|
|
1,450,000
|
|
JPMorgan Chase & Co., 5.72% (SOFR + 2.58%), due 09/14/33(b)
|
1,419,615
|
|
63,383
|
|
K2016470219 South Africa, Ltd., 3.00% (3.00% Cash or PIK), due 12/31/22
|
181
|
|
460,000
|
|
KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A
|
425,730
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
590,000
|
|
KazTransGas JSC, 4.38%, due 09/26/27 144A
|
534,664
|
|
1,470,000
|
|
Kenbourne Invest SA, 4.70%, due 01/22/28 144A
|
1,148,437
|
|
735,000
|
|
KKR Group Finance Co. XII LLC, 4.85%, due 05/17/32 144A
|
688,335
|
|
1,005,000
|
|
Kosmos Energy, Ltd., 7.13%, due 04/04/26 144A
|
858,350
|
|
290,000
|
|
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.25%, due
02/01/27 144A
|
244,116
|
|
650,000
|
|
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. REIT, 4.75%, due
06/15/29 144A
|
525,739
|
|
660,000
|
|
Las Vegas Sands Corp., 3.20%, due 08/08/24
|
624,221
|
|
20,000
|
|
Las Vegas Sands Corp., 3.50%, due 08/18/26
|
18,081
|
|
1,180,000
|
|
Latam Airlines Group SA, 13.38%, due 10/15/27 144A
|
1,198,390
|
|
425,000
|
|
Lazard Group LLC, 4.38%, due 03/11/29
|
393,371
|
|
640,000
|
|
Legacy LifePoint Health LLC, 6.75%, due 04/15/25 144A
|
603,309
|
|
650,000
|
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due
02/01/26 144A
|
579,312
|
|
460,000
|
|
Leviathan Bond, Ltd., 6.50%, due 06/30/27(h) 144A
|
447,810
|
|
320,000
|
|
Liberty Interactive LLC, 8.50%, due 07/15/29
|
157,600
|
|
1,590,000
|
|
Liberty Mutual Group, Inc., 4.30%, due 02/01/61 144A
|
972,062
|
|
815,000
|
|
Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A
|
763,449
|
|
960,000
|
|
Liquid Telecommunications Financing Plc, 5.50%, due 09/04/26 144A
|
699,302
|
|
650,000
|
|
Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(b)(i)
|
631,475
|
|
1,490,000
|
|
Lloyds Banking Group Plc, 7.95% (1 yr. CMT + 3.75%), due 11/15/33(b)
|
1,581,616
|
|
1,235,000
|
EUR
|
Lorca Telecom Bondco SA, 4.00%, due 09/18/27 144A
|
1,184,600
|
|
855,000
|
|
Match Group Financeco 2, Inc., 0.88%, due 06/15/26 144A
|
761,484
|
|
610,000
|
|
McClatchy Co. LLC (The), 11.00%, due 07/15/27 144A
|
684,725
|
|
2,550,000
|
|
Mclaren Finance Plc, 7.50%, due 08/01/26 144A
|
1,925,250
|
|
130,000
|
|
MDC Holdings, Inc., 6.00%, due 01/15/43
|
106,084
|
|
2,390,000
|
|
Medline Borrower, LP, 3.88%, due 04/01/29 144A
|
1,930,511
|
|
1,000,000
|
|
MEG Energy Corp., 5.88%, due 02/01/29 144A
|
944,300
|
|
210,000
|
|
MEG Energy Corp., 7.13%, due 02/01/27(g) 144A
|
214,489
|
|
1,320,000
|
|
MEGlobal Canada ULC, 5.88%, due 05/18/30 144A
|
1,331,550
|
|
200,000
|
|
Melco Resorts Finance, Ltd., 4.88%, due 06/06/25(g) 144A
|
184,012
|
|
320,000
|
|
Melco Resorts Finance, Ltd., 5.38%, due 12/04/29 144A
|
257,309
|
|
600,000
|
|
MercadoLibre, Inc., 3.13%, due 01/14/31(g)
|
464,640
|
|
3,050,000
|
|
Merck & Co., Inc., 2.90%, due 12/10/61
|
1,953,833
|
|
145,000
|
|
MetLife, Inc., 4.60%, due 05/13/46
|
131,029
|
|
820,000
|
|
Michaels Cos, Inc. (The), 5.25%, due 05/01/28 144A
|
660,703
|
|
510,000
|
|
Michaels Cos, Inc. (The), 7.88%, due 05/01/29 144A
|
341,674
|
|
560,000
|
|
Micron Technology, Inc., 3.37%, due 11/01/41
|
376,090
|
|
1,410,000
|
|
Micron Technology, Inc., 6.75%, due 11/01/29
|
1,435,427
|
|
710,000
|
|
Midcap Financial Issuer Trust, 6.50%, due 05/01/28 144A
|
611,640
|
|
747,000
|
|
Millicom International Cellular SA, 4.50%, due 04/27/31(g) 144A
|
629,641
|
|
324,000
|
|
Millicom International Cellular SA, 6.25%, due 03/25/29 144A
|
310,326
|
|
170,000
|
|
Minerals Technologies, Inc., 5.00%, due 07/01/28 144A
|
151,703
|
|
890,000
|
|
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 02/01/30 144A
|
709,731
|
|
1,350,000
|
|
Mohegan Tribal Gaming Authority, 13.25%, due 12/15/27 144A
|
1,409,062
|
|
1,105,000
|
|
Moody's Corp., 2.75%, due 08/19/41
|
773,899
|
|
1,330,000
|
|
Morgan Stanley, 4.89% (SOFR + 2.08%), due 07/20/33(b)
|
1,253,463
|
|
500,000
|
|
MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31
|
343,787
|
|
160,000
|
GBP
|
MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.69%, due 06/05/28
|
141,289
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
500,000
|
|
MSCI, Inc., 3.88%, due 02/15/31 144A
|
416,600
|
|
295,000
|
|
Mylan, Inc., 5.40%, due 11/29/43
|
234,624
|
|
985,000
|
|
Nationwide Building Society, 4.85%, due 07/27/27 144A
|
961,542
|
|
245,000
|
|
NatWest Group Plc, 4.27% (3 mo. USD LIBOR + 1.76%), due 03/22/25(b)
|
239,697
|
|
1,120,000
|
GBP
|
NatWest Group Plc, 4.50% (5 yr. UK Government Bond + 3.99%)(b)(i)
|
1,037,259
|
|
450,000
|
|
NatWest Group Plc, 5.52% (1 yr. CMT + 2.27%), due 09/30/28(b)
|
445,221
|
|
170,000
|
|
Navient Corp., (MTN), 5.63%, due 08/01/33
|
121,412
|
|
235,000
|
|
NBM US Holdings, Inc., 7.00%, due 05/14/26 144A
|
233,740
|
|
210,000
|
|
NCL Corp., Ltd., 3.63%, due 12/15/24 144A
|
179,747
|
|
450,000
|
|
NCL Corp., Ltd., 5.88%, due 03/15/26 144A
|
354,240
|
|
1,240,000
|
|
NCL Corp., Ltd., 5.88%, due 02/15/27 144A
|
1,075,644
|
|
170,000
|
|
NCR Corp., 5.00%, due 10/01/28 144A
|
145,208
|
|
2,110,000
|
|
NCR Corp., 5.13%, due 04/15/29 144A
|
1,768,408
|
|
115,000
|
|
NCR Corp., 5.25%, due 10/01/30 144A
|
95,063
|
|
855,000
|
|
Neptune Bidco US, Inc., 9.29%, due 04/15/29 144A
|
807,509
|
|
990,000
|
|
Neptune Energy Bondco Plc, 6.63%, due 05/15/25 144A
|
963,030
|
|
1,195,000
|
|
Newell Brands, Inc., 6.63%, due 09/15/29(g)
|
1,182,703
|
|
1,850,000
|
|
Nexstar Media, Inc., 4.75%, due 11/01/28 144A
|
1,603,043
|
|
1,950,000
|
|
Nexstar Media, Inc., 5.63%, due 07/15/27 144A
|
1,792,806
|
|
1,020,000
|
|
NMI Holdings, Inc., 7.38%, due 06/01/25 144A
|
1,031,954
|
|
700,000
|
|
Northern Oil and Gas, Inc., 8.13%, due 03/01/28 144A
|
673,011
|
|
400,000
|
|
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(k)
|
24
|
|
880,000
|
|
NortonLifeLock, Inc., 7.13%, due 09/30/30(g) 144A
|
865,788
|
|
160,000
|
EUR
|
Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A
|
146,365
|
|
395,000
|
|
NTT Finance Corp., 4.37%, due 07/27/27 144A
|
386,461
|
|
1,065,000
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 01/15/33
|
1,009,024
|
|
630,000
|
|
Occidental Petroleum Corp., 6.45%, due 09/15/36
|
644,021
|
|
1,680,000
|
|
Occidental Petroleum Corp., 7.20%, due 03/15/29
|
1,750,753
|
|
1,610,000
|
|
OCP SA, 5.13%, due 06/23/51 144A
|
1,228,245
|
|
1,490,000
|
|
Olympus Water US Holding Corp., 4.25%, due 10/01/28 144A
|
1,211,599
|
|
225,000
|
|
Olympus Water US Holding Corp., 6.25%, due 10/01/29(g) 144A
|
171,114
|
|
1,130,000
|
|
Option Care Health, Inc., 4.38%, due 10/31/29 144A
|
989,863
|
|
565,000
|
|
Oracle Corp., 3.95%, due 03/25/51
|
405,004
|
|
1,240,000
|
|
Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.13%, due 04/30/31 144A
|
1,075,868
|
|
950,000
|
|
Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, due 03/15/30 144A
|
787,482
|
|
390,000
|
|
Oversea-Chinese Banking Corp., Ltd., (MTN), 4.25%, due 06/19/24(h)
|
385,243
|
|
450,000
|
|
Pactiv LLC, 7.95%, due 12/15/25
|
435,333
|
|
650,000
|
|
Pactiv LLC, 8.38%, due 04/15/27
|
635,707
|
|
1,315,000
|
|
Papa John's International, Inc., 3.88%, due 09/15/29(g) 144A
|
1,099,702
|
|
580,000
|
EUR
|
Paprec Holding SA, 3.50%, due 07/01/28 144A
|
538,135
|
|
1,250,000
|
|
Park-Ohio Industries, Inc., 6.63%, due 04/15/27(g)
|
851,150
|
|
260,000
|
|
Pattern Energy Operations, LP/Pattern Energy Operations, Inc., 4.50%, due 08/15/28
144A
|
233,585
|
|
525,000
|
|
Paysafe Finance Plc/Paysafe Holdings US Corp., 4.00%, due 06/15/29(g) 144A
|
406,245
|
|
910,000
|
|
Penn Virginia Escrow LLC, 9.25%, due 08/15/26 144A
|
907,134
|
|
1,260,000
|
|
PerkinElmer, Inc., 2.25%, due 09/15/31
|
990,433
|
|
1,150,000
|
|
Petrobras Global Finance BV, 6.85%, due 06/05/15(l)
|
976,384
|
|
2,440,000
|
|
Petroleos Mexicanos, 6.70%, due 02/16/32
|
1,920,773
|
|
7,056,900
|
MXN
|
Petroleos Mexicanos, 7.19%, due 09/12/24(h)
|
335,875
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
935,000
|
|
Phillips 66, 3.30%, due 03/15/52
|
649,573
|
|
260,000
|
|
Pinduoduo, Inc., 2.55%, due 12/01/25(f)
|
241,800
|
|
700,000
|
|
Plains All American Pipeline, LP, 8.72% (3 mo. USD LIBOR + 4.11%)(b)(i)
|
609,000
|
|
280,000
|
|
Playtika Holding Corp., 4.25%, due 03/15/29 144A
|
220,150
|
|
105,000
|
EUR
|
PLT VII Finance SARL, 4.63%, due 01/05/26 144A
|
105,846
|
|
1,070,000
|
|
PM General Purchaser LLC, 9.50%, due 10/01/28 144A
|
817,347
|
|
225,000
|
|
Post Holdings, Inc., 2.50%, due 08/15/27 144A
|
237,420
|
|
600,000
|
|
Precision Drilling Corp., 6.88%, due 01/15/29 144A
|
559,384
|
|
15,000
|
|
Precision Drilling Corp., 7.13%, due 01/15/26 144A
|
14,536
|
|
110,000
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A
|
100,344
|
|
280,000
|
|
Prosperous Ray, Ltd., 4.63%, due 11/12/23(h)
|
279,152
|
|
1,150,000
|
|
Prosus NV, 3.06%, due 07/13/31 144A
|
889,399
|
|
1,815,000
|
|
Prosus NV, 4.03%, due 08/03/50 144A
|
1,138,617
|
|
2,385,000
|
|
Prosus NV, 4.19%, due 01/19/32 144A
|
1,980,412
|
|
45,000
|
|
Prudential Financial, Inc., 5.63% (3 mo. USD LIBOR + 3.92%), due 06/15/43(b)
|
44,274
|
|
400,000
|
|
QVC, Inc., 5.45%, due 08/15/34
|
209,720
|
|
520,000
|
|
Rackspace Technology Global, Inc., 3.50%, due 02/15/28 144A
|
302,832
|
|
575,000
|
|
Radian Group, Inc., 6.63%, due 03/15/25
|
568,175
|
|
710,000
|
|
Radiology Partners, Inc., 9.25%, due 02/01/28 144A
|
399,683
|
|
1,210,000
|
|
Range Resources Corp., 4.75%, due 02/15/30(g) 144A
|
1,067,888
|
|
870,000
|
|
Range Resources Corp., 8.25%, due 01/15/29
|
897,657
|
|
700,000
|
|
Rent-A-Center, Inc, 6.38%, due 02/15/29 144A
|
567,174
|
|
450,000
|
|
Rockies Express Pipeline LLC, 7.50%, due 07/15/38 144A
|
419,425
|
|
210,000
|
|
Roller Bearing Co. of America, Inc., 4.38%, due 10/15/29 144A
|
181,850
|
|
200,000
|
|
Royal Caribbean Cruises, Ltd., 11.50%, due 06/01/25 144A
|
214,940
|
|
1,635,000
|
|
Royal Caribbean Cruises, Ltd., 11.63%, due 08/15/27 144A
|
1,644,745
|
|
560,000
|
|
Sabre GLBL, Inc., 11.25%, due 12/15/27 144A
|
576,996
|
|
590,000
|
GBP
|
Saga Plc, 5.50%, due 07/15/26(h)
|
532,283
|
|
870,000
|
|
Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25
|
839,437
|
|
230,000
|
|
Sands China, Ltd., 2.80%, due 03/08/27(j)
|
197,292
|
|
200,000
|
|
Sands China, Ltd., 3.35%, due 03/08/29(j)
|
163,662
|
|
200,000
|
|
Sands China, Ltd., 5.63%, due 08/08/25(j)
|
191,478
|
|
240,000
|
|
Sands China, Ltd., 5.90%, due 08/08/28(j)
|
225,039
|
|
215,000
|
|
Santander UK Group Holdings Plc, 5.63%, due 09/15/45(c)
|
165,255
|
|
420,000
|
|
Sasol Financing USA LLC, 5.50%, due 03/18/31(g)
|
342,521
|
|
815,000
|
|
Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A
|
576,273
|
|
1,225,000
|
|
Scientific Games International, Inc., 7.00%, due 05/15/28 144A
|
1,170,739
|
|
1,050,000
|
|
Scientific Games International, Inc., 8.63%, due 07/01/25 144A
|
1,073,018
|
|
310,000
|
EUR
|
SCIL IV LLC/SCIL USA Holdings LLC, 4.38%, due 11/01/26 144A
|
285,935
|
|
750,000
|
|
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/01/26 144A
|
636,562
|
|
340,000
|
|
Seagate HDD Cayman, 4.09%, due 06/01/29
|
282,366
|
|
321,000
|
|
Seagate HDD Cayman, 4.88%, due 06/01/27
|
299,793
|
|
545,000
|
|
Sempra Energy, 3.70%, due 04/01/29
|
497,889
|
|
905,000
|
|
SEPLAT Energy Plc, 7.75%, due 04/01/26 144A
|
728,543
|
|
120,000
|
|
Service Properties Trust REIT, 4.35%, due 10/01/24
|
109,278
|
|
230,000
|
|
Service Properties Trust REIT, 5.50%, due 12/15/27
|
198,355
|
|
670,000
|
|
Service Properties Trust REIT, 7.50%, due 09/15/25
|
639,298
|
|
1,120,000
|
|
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons
Feed, 4.63%, due 03/01/29 144A
|
913,094
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
1,140,000
|
|
Sinclair Television Group, Inc., 4.13%, due 12/01/30 144A
|
856,176
|
|
1,115,000
|
|
Societe Generale SA, 2.89% (1 yr. CMT + 1.30%), due 06/09/32(b) 144A
|
860,367
|
|
1,095,000
|
|
Societe Generale SA, 3.63%, due 03/01/41(c)
|
714,119
|
|
805,000
|
|
Societe Generale SA, 4.03% (1 yr. CMT + 1.90%), due 01/21/43(b) 144A
|
547,358
|
|
1,565,000
|
|
Societe Generale SA, 7.38% (5 yr. USD swap + 4.30%)(b)(g)(i) 144A
|
1,501,345
|
|
1,165,000
|
|
Societe Generale SA, 9.38%(i) 144A
|
1,198,451
|
|
920,000
|
|
Southwestern Energy Co., 4.75%, due 02/01/32
|
787,994
|
|
2,600,000
|
|
Southwestern Energy Co., 7.75%, due 10/01/27(g)
|
2,653,952
|
|
870,000
|
|
Southwestern Energy Co., 8.38%, due 09/15/28
|
898,454
|
|
556,000
|
|
Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A
|
558,763
|
|
180,000
|
|
Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A
|
181,162
|
|
1,170,000
|
|
SRM Escrow Issuer LLC, 6.00%, due 11/01/28 144A
|
1,049,244
|
|
2,135,000
|
|
Standard Chartered Plc, 4.30% (5 yr. CMT + 3.14%)(b)(g)(i) 144A
|
1,643,833
|
|
1,500,000
|
|
Starwood Property Trust, Inc. REIT, 3.63%, due 07/15/26 144A
|
1,314,367
|
|
1,550,000
|
|
Starwood Property Trust, Inc. REIT, 4.38%, due 01/15/27 144A
|
1,358,568
|
|
1,965,000
|
|
Stellantis Finance US, Inc., 5.63%, due 01/12/28 144A
|
1,949,132
|
|
1,300,000
|
|
StoneMor, Inc., 8.50%, due 05/15/29 144A
|
1,041,690
|
|
1,359,000
|
|
StoneX Group, Inc., 8.63%, due 06/15/25 144A
|
1,374,968
|
|
1,305,000
|
|
Strathcona Resources, Ltd., 6.88%, due 08/01/26 144A
|
954,014
|
|
240,000
|
|
Suburban Propane Partners, LP/Suburban Energy Finance Corp., 5.00%, due 06/01/31
144A
|
204,302
|
|
100,000
|
|
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A
|
93,280
|
|
400,000
|
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, due
10/15/26 144A
|
381,536
|
|
1,083,000
|
|
Sunnova Energy Corp., 5.88%, due 09/01/26(g) 144A
|
968,895
|
|
940,000
|
|
Suzano Austria GmbH, 3.13%, due 01/15/32
|
734,186
|
|
1,190,000
|
|
Suzano Austria GmbH, 7.00%, due 03/16/47(h)
|
1,189,911
|
|
360,000
|
|
Swire Pacific MTN Financing, Ltd., (MTN), 4.50%, due 10/09/23(h)
|
358,387
|
|
1,185,000
|
|
Synchrony Financial, 4.88%, due 06/13/25
|
1,155,707
|
|
330,000
|
|
Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30
144A
|
285,790
|
|
45,000
|
|
Targa Resources Corp., 5.20%, due 07/01/27
|
44,179
|
|
810,000
|
|
Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.88%, due
02/01/31
|
732,483
|
|
1,190,000
|
|
Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 6.50%, due
07/15/27
|
1,199,484
|
|
60,000
|
|
Teck Resources, Ltd., 6.00%, due 08/15/40
|
57,508
|
|
200,000
|
|
Telefonica Emisiones SA, 5.21%, due 03/08/47
|
161,432
|
|
1,690,000
|
|
Teva Pharmaceutical Finance Co. LLC, 6.15%, due 02/01/36
|
1,490,236
|
|
635,000
|
EUR
|
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, due 01/31/25
|
669,502
|
|
620,000
|
|
Teva Pharmaceutical Finance Netherlands III BV, 4.75%, due 05/09/27
|
561,193
|
|
690,000
|
GBP
|
Time Warner Cable LLC, 5.25%, due 07/15/42
|
669,665
|
|
300,000
|
|
Time Warner Cable LLC, 6.75%, due 06/15/39
|
285,248
|
|
900,000
|
|
Titan International, Inc., 7.00%, due 04/30/28
|
850,875
|
|
270,000
|
|
TKC Holdings, Inc., 6.88%, due 05/15/28 144A
|
211,315
|
|
2,210,000
|
|
T-Mobile USA, Inc., 3.50%, due 04/15/31
|
1,913,251
|
|
415,000
|
|
T-Mobile USA, Inc., 4.38%, due 04/15/40
|
355,867
|
|
440,000
|
|
TopBuild Corp., 3.63%, due 03/15/29 144A
|
361,330
|
|
1,100,000
|
|
TransAlta Corp., 6.50%, due 03/15/40
|
1,015,370
|
|
380,000
|
|
TransAlta Corp., 7.75%, due 11/15/29
|
388,598
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
340,000
|
|
TransDigm, Inc., 6.25%, due 03/15/26 144A
|
336,053
|
|
1,000,000
|
|
TransDigm, Inc., 7.50%, due 03/15/27
|
990,987
|
|
420,000
|
|
TransDigm, Inc., 8.00%, due 12/15/25 144A
|
427,136
|
|
340,000
|
|
Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A
|
315,583
|
|
220,000
|
|
Triumph Group, Inc., 6.25%, due 09/15/24 144A
|
208,897
|
|
880,000
|
|
Triumph Group, Inc., 7.75%, due 08/15/25(g)
|
749,910
|
|
135,000
|
|
Triumph Group, Inc., 8.88%, due 06/01/24 144A
|
137,572
|
|
490,000
|
|
Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A
|
463,584
|
|
690,000
|
|
Tutor Perini Corp., 6.88%, due 05/01/25(g) 144A
|
604,838
|
|
640,000
|
|
UBS Group AG, 4.75% (1 yr. CMT + 1.75%), due 05/12/28(b) 144A
|
613,454
|
|
1,110,000
|
|
UBS Group AG, 4.99% (1 yr. CMT + 2.40%), due 08/05/33(b) 144A
|
1,030,699
|
|
1,120,000
|
|
UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(b)(i) 144A
|
1,104,682
|
|
990,000
|
|
UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(b) 144A
|
806,265
|
|
555,000
|
|
UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(b) 144A
|
509,685
|
|
60,960
|
|
United Airlines Pass Through Trust, 4.88%, due 07/15/27
|
58,065
|
|
100,000
|
|
United Airlines, Inc., 4.38%, due 04/15/26 144A
|
92,863
|
|
430,000
|
|
United Airlines, Inc., 4.63%, due 04/15/29 144A
|
375,154
|
|
550,000
|
|
United Rentals North America, Inc., 3.88%, due 02/15/31
|
462,300
|
|
680,000
|
|
United Rentals North America, Inc., 5.25%, due 01/15/30
|
640,121
|
|
2,330,000
|
|
United Rentals North America, Inc., 5.50%, due 05/15/27
|
2,303,974
|
|
1,850,000
|
|
UnitedHealth Group, Inc., 5.88%, due 02/15/53
|
2,009,734
|
|
490,000
|
|
US Renal Care, Inc., 10.63%, due 07/15/27 144A
|
107,800
|
|
290,000
|
|
Utah Acquisition Sub, Inc., 5.25%, due 06/15/46
|
220,360
|
|
540,000
|
|
Vale Overseas, Ltd., 6.88%, due 11/10/39
|
570,280
|
|
500,000
|
|
Venture Global Calcasieu Pass LLC, 3.88%, due 11/01/33 144A
|
409,372
|
|
450,000
|
|
Venture Global Calcasieu Pass LLC, 4.13%, due 08/15/31 144A
|
384,187
|
|
420,000
|
|
Vericast Corp., 11.00%, due 09/15/26 144A
|
449,400
|
|
490,000
|
|
Verizon Communications, Inc., 2.85%, due 09/03/41
|
339,086
|
|
2,565,000
|
|
Vertiv Group Corp., 4.13%, due 11/15/28 144A
|
2,183,277
|
|
220,000
|
|
Viavi Solutions, Inc., 3.75%, due 10/01/29 144A
|
185,262
|
|
300,000
|
|
Viking Ocean Cruises Ship VII, Ltd., 5.63%, due 02/15/29 144A
|
241,890
|
|
970,000
|
|
Viper Energy Partners, LP, 5.38%, due 11/01/27 144A
|
922,694
|
|
300,000
|
|
Virgin Media Secured Finance Plc, 5.50%, due 05/15/29 144A
|
269,420
|
|
190,000
|
|
VistaJet Malta Finance Plc/XO Management Holding, Inc., 6.38%, due 02/01/30(g) 144A
|
152,594
|
|
450,000
|
|
Vmed O2 UK Financing I Plc, 4.75%, due 07/15/31 144A
|
366,437
|
|
660,000
|
|
VOC Escrow, Ltd., 5.00%, due 02/15/28 144A
|
568,709
|
|
730,000
|
|
VTR Comunicaciones SpA, 5.13%, due 01/15/28 144A
|
454,521
|
|
680,000
|
|
Warnermedia Holdings, Inc., 3.76%, due 03/15/27 144A
|
613,328
|
|
315,000
|
|
Waste Connections, Inc., 2.95%, due 01/15/52
|
207,978
|
|
350,000
|
|
WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44
144A
|
243,261
|
|
1,955,000
|
|
Wells Fargo & Co., (MTN), 3.91% (SOFR + 1.32%), due 04/25/26(b)
|
1,901,805
|
|
437,000
|
|
Wendy's International LLC, 7.00%, due 12/15/25
|
451,331
|
|
620,000
|
|
Western Midstream Operating, LP, 3.35%, due 02/01/25(j)
|
587,667
|
|
470,000
|
|
Western Midstream Operating, LP, 5.30%, due 03/01/48
|
387,281
|
|
1,035,000
|
|
Western Midstream Operating, LP, 5.45%, due 04/01/44
|
861,632
|
|
60,000
|
|
Williams Cos., Inc. (The), 8.75%, due 03/15/32
|
70,880
|
|
360,000
|
|
WW International, Inc., 4.50%, due 04/15/29 144A
|
180,320
|
|
220,000
|
|
Wynn Macau, Ltd., 4.88%, due 10/01/24(g) 144A
|
208,058
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Corporate Debt — continued
|
|
|
620,000
|
|
Wynn Macau, Ltd., 5.13%, due 12/15/29(g) 144A
|
502,649
|
|
200,000
|
|
Wynn Macau, Ltd., 5.50%, due 01/15/26 144A
|
183,784
|
|
370,000
|
|
Wynn Macau, Ltd., 5.63%, due 08/26/28 144A
|
316,829
|
|
500,000
|
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, due 04/15/25 144A
|
498,018
|
|
1,500,000
|
|
XPO CNW, Inc., 6.70%, due 05/01/34
|
1,334,947
|
|
190,000
|
|
XPO Escrow Sub LLC, 7.50%, due 11/15/27(g) 144A
|
192,512
|
|
180,000
|
|
Yamana Gold, Inc., 4.63%, due 12/15/27
|
168,841
|
|
460,000
|
|
YPF SA, 6.95%, due 07/21/27 144A
|
326,600
|
|
860,000
|
|
YPF SA, 8.50%, due 07/28/25 144A
|
722,596
|
|
414,050
|
|
YPF SA, 9.00%, due 02/12/26(j) 144A
|
396,970
|
|
85,000
|
|
Yum! Brands, Inc., 4.75%, due 01/15/30 144A
|
78,130
|
|
720,000
|
|
ZF North America Capital, Inc., 4.75%, due 04/29/25 144A
|
681,721
|
|
900,000
|
|
Ziff Davis, Inc., 4.63%, due 10/15/30(g) 144A
|
763,159
|
|
240,000
|
|
ZipRecruiter, Inc., 5.00%, due 01/15/30 144A
|
198,173
|
|
400,000
|
|
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, due 02/01/29(g) 144A
|
336,663
|
|
|
|
|
388,358,986
|
|
|
|
Mortgage Backed Securities - Private Issuers — 5.5%
|
|
|
355,000
|
|
BANK, Series 2020-BN25, Class AS, 2.84%, due 01/15/63
|
291,085
|
|
280,000
|
|
Barclays Commercial Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52
|
246,717
|
|
922,000
|
|
BBCCRE Trust, Series 2015-GTP, Class F, 4.56%, due 08/10/33(d) 144A
|
741,101
|
|
345,000
|
|
BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53
|
286,612
|
|
390,000
|
|
BBCMS Trust, Series 2018-CBM, Class D, 6.71% (1 mo. USD LIBOR + 2.39%), due
07/15/37(b) 144A
|
368,377
|
|
250,000
|
|
Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(d)
|
207,940
|
|
1,000,000
|
|
BHMS, Series 2018-MZB, Class MZB, 10.95% (1 mo. USD LIBOR + 6.64%), due
07/15/25(b) 144A
|
853,555
|
|
860,000
|
|
BIG Commercial Mortgage Trust, Series 2022-BIG, Class F, 9.77% (1 mo. TSFR +
5.44%), due 02/15/39(b) 144A
|
803,750
|
|
873,766
|
|
BRAVO Residential Funding Trust CMO, Series 2022-NQM1, Class A3, 4.09%, due
09/25/61 144A
|
762,601
|
|
319,116
|
|
BRAVO Residential Funding Trust CMO, Series 2022-NQM2, Class A3, 5.24%, due
11/25/61(d) 144A
|
308,457
|
|
259,409
|
|
BRAVO Residential Funding Trust CMO, Series 2022-NQM3, Class A3, 5.50%, due
07/25/62(d) 144A
|
249,671
|
|
590,000
|
|
BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 6.47% (1 mo. USD LIBOR
+ 2.15%), due 04/15/34(b) 144A
|
552,829
|
|
1,110,067
|
|
BX Commercial Mortgage Trust, Series 2021-21M, Class A, 5.05% (1 mo. USD LIBOR
+ 0.73%), due 10/15/36(b) 144A
|
1,068,266
|
|
1,280,000
|
|
BX Commercial Mortgage Trust, Series 2021-VINO, Class A, 4.97% (1 mo. USD
LIBOR + 0.65%), due 05/15/38(b) 144A
|
1,233,983
|
|
690,000
|
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class G, 7.17% (1 mo. USD
LIBOR + 2.85%), due 09/15/36(b) 144A
|
634,563
|
|
472,625
|
|
BX Commercial Mortgage Trust, Series 2021-XL2, Class J, 8.21% (1 mo. USD LIBOR
+ 3.89%), due 10/15/38(b) 144A
|
430,549
|
|
1,260,000
|
|
BX Commercial Mortgage Trust, Series 2022-AHP, Class A, 5.33% (1 mo. TSFR +
0.99%), due 01/17/39(b) 144A
|
1,208,159
|
|
891,254
|
|
BX Commercial Mortgage Trust, Series 2022-LP2, Class G, 8.44% (1 mo. TSFR +
4.11%), due 02/15/39(b) 144A
|
821,247
|
|
950,000
|
|
BX Trust, Series 2018-BILT, Class B, 5.34% (1 mo. USD LIBOR + 1.02%), due
05/15/30(b) 144A
|
910,914
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
880,000
|
|
BX Trust, Series 2021-SDMF, Class F, 6.26% (1 mo. USD LIBOR + 1.94%), due
09/15/34(b) 144A
|
814,330
|
|
830,000
|
|
BX Trust, Series 2022-LBA6, Class D, 6.34% (1 mo. TSFR + 2.00%), due 01/15/39(b)
144A
|
770,289
|
|
227,717
|
|
CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.08%, due 12/15/47(d)
144A
|
216,834
|
|
425,000
|
|
CFK Trust, Series 2020-MF2, Class F, 3.46%, due 03/15/39(d) 144A
|
332,193
|
|
300,000
|
|
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 5.27% (1 mo. USD
LIBOR + 0.95%), due 11/15/36(b) 144A
|
293,117
|
|
305,000
|
|
Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.92%, due 10/15/45 144A
|
266,810
|
|
102,995
|
|
Credit Suisse Commercial Mortgage, Series 2018-TOP, Class F, 7.07% (1 mo. USD
LIBOR + 2.75%), due 08/15/35(b) 144A
|
102,150
|
|
1,060,000
|
|
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class F, 6.97% (1 mo.
USD LIBOR + 2.65%), due 05/15/36(b) 144A
|
1,014,831
|
|
300,000
|
|
Credit Suisse Mortgage Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A
|
245,032
|
|
1,050,000
|
|
Credit Suisse Mortgage Trust, Series 2020-TMIC, Class A, 7.82% (1 mo. USD LIBOR +
3.00%), due 12/15/35(b) 144A
|
1,046,988
|
|
450,000
|
|
Credit Suisse Mortgage Trust LLC, Series 2014-USA, Class F, 4.37%, due 09/15/37
144A
|
228,728
|
|
932,038
|
|
DBGS Mortgage Trust, Series 2018-BIOD, Class D, 5.62% (1 mo. USD LIBOR +
1.30%), due 05/15/35(b) 144A
|
898,401
|
|
770,000
|
|
ELP Commercial Mortgage Trust, Series 2021-ELP, Class D, 5.84% (1 mo. USD LIBOR
+ 1.52%), due 11/15/38(b) 144A
|
716,159
|
|
478,334
|
|
Extended Stay America Trust, Series 2021-ESH, Class F, 8.02% (1 mo. USD LIBOR +
3.70%), due 07/15/38(b) 144A
|
450,366
|
|
113,424
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-1, Class M1, 4.00%,
due 01/25/56(d) 144A
|
111,905
|
|
368,591
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-2, Class M1, 4.00%,
due 08/25/56(d) 144A
|
359,876
|
|
474,064
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-3, Class M1, 4.00%,
due 07/25/56(d) 144A
|
466,235
|
|
415,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class M, 4.75%, due
08/25/57(d) 144A
|
367,211
|
|
280,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class M, 4.75%, due
07/25/58(d) 144A
|
245,376
|
|
790,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-3, Class M, 4.75%, due
10/25/58(d) 144A
|
697,346
|
|
560,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class M, 4.50%, due
02/25/59(d) 144A
|
482,485
|
|
370,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class M, 4.25%, due
08/25/59(d) 144A
|
311,724
|
|
640,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-2, Class M, 4.25%, due
11/25/59(d) 144A
|
545,066
|
|
590,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-3, Class M, 4.25%, due
05/25/60(d) 144A
|
531,051
|
|
500,000
|
|
FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2021-1, Class M, 4.25%, due
09/25/60 144A
|
430,612
|
|
605,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-HRP1, Class B1,
8.99% (1 mo. USD LIBOR + 4.60%), due 12/25/42(b)
|
617,621
|
|
209,639
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-SPI1, Class B,
4.12%, due 09/25/47(d) 144A
|
181,168
|
|
840,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2018-DNA1, Class B1,
7.54% (1 mo. USD LIBOR + 3.15%), due 07/25/30(b) 144A
|
848,424
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
1,580,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA1, Class B1,
6.69% (1 mo. USD LIBOR + 2.30%), due 01/25/50(b) 144A
|
1,492,818
|
|
133,067
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA2,
Class M2, 6.24% (1 mo. USD LIBOR + 1.85%), due 02/25/50(b) 144A
|
132,851
|
|
1,140,055
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA3, Class B1,
9.49% (1 mo. USD LIBOR + 5.10%), due 06/25/50(b) 144A
|
1,188,916
|
|
830,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA5, Class B1,
8.73% (SOFR 30-day average + 4.80%), due 10/25/50(b) 144A
|
851,617
|
|
1,060,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2020-DNA6, Class B1,
6.93% (SOFR 30-day average + 3.00%), due 12/25/50(b) 144A
|
996,881
|
|
970,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA1, Class B2,
8.68% (SOFR 30-day average + 4.75%), due 01/25/51(b) 144A
|
754,133
|
|
910,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA2, Class B1,
7.33% (SOFR 30-day average + 3.40%), due 08/25/33(b) 144A
|
843,631
|
|
380,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA3, Class B1,
7.43% (SOFR 30-day average + 3.50%), due 10/25/33(b) 144A
|
352,886
|
|
1,140,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA3,
Class M2, 6.03% (SOFR 30-day average + 2.10%), due 10/25/33(b) 144A
|
1,118,761
|
|
1,270,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA5, Class B1,
6.98% (SOFR 30-day average + 3.05%), due 01/25/34(b) 144A
|
1,163,747
|
|
400,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA6,
Class M2, 5.43% (SOFR 30-day average + 1.50%), due 10/25/41(b) 144A
|
380,488
|
|
930,000
|
|
FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2021-DNA7, Class B1,
7.58% (SOFR 30-day average + 3.65%), due 11/25/41(b) 144A
|
866,707
|
|
1,090,000
|
|
FHLMC Structured Agency Credit Risk REMIC Trust CMO, Series 2022-DNA3,
Class M1B, 6.83% (SOFR 30-day average + 2.90%), due 04/25/42(b) 144A
|
1,078,616
|
|
320,761
|
|
FHLMC Structured Asset Mortgage Investments II Trust CMO, Series 2005-AR2, Class
2A2, 4.95% (1 mo. USD LIBOR + 0.56%), due 05/25/45(b)
|
234,501
|
|
462,244
|
|
FNMA Connecticut Avenue Securities CMO, Series 2014-C04, Class 1M2, 9.29% (1 mo.
USD LIBOR + 4.90%), due 11/25/24(b) 144A
|
474,572
|
|
440,000
|
|
FNMA Connecticut Avenue Securities CMO, Series 2017-C07, Class 1B1, 8.39% (1 mo.
USD LIBOR + 4.00%), due 05/25/30(b) 144A
|
451,730
|
|
610,000
|
|
FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1B1, 7.94% (1 mo.
USD LIBOR + 3.55%), due 07/25/30(b) 144A
|
621,644
|
|
1,210,000
|
|
FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1B1, 8.64% (1 mo.
USD LIBOR + 4.25%), due 01/25/31(b) 144A
|
1,251,730
|
|
492,500
|
|
FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1B1, 8.14% (1 mo.
USD LIBOR + 3.75%), due 03/25/31(b) 144A
|
493,542
|
|
800,000
|
|
FNMA Connecticut Avenue Securities Trust CMO, Series 2018-R07, Class 1B1, 8.74%
(1 mo. USD LIBOR + 4.35%), due 04/25/31(b) 144A
|
814,205
|
|
680,000
|
|
FNMA Connecticut Avenue Securities Trust CMO, Series 2019-R07, Class 1B1, 7.79%
(1 mo. USD LIBOR + 3.40%), due 10/25/39(b) 144A
|
659,701
|
|
156,767
|
|
FNMA Connecticut Avenue Securities Trust CMO, Series 2020-R01, Class 1M2, 6.44%
(1 mo. USD LIBOR + 2.05%), due 01/25/40(b) 144A
|
155,784
|
|
780,000
|
|
FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R01, Class 1B1, 7.03%
(SOFR 30-day average + 3.10%), due 10/25/41(b) 144A
|
735,195
|
|
800,000
|
|
FNMA Connecticut Avenue Securities Trust CMO, Series 2021-R03, Class 1B1, 6.68%
(SOFR 30-day average + 2.75%), due 12/25/41(b) 144A
|
740,277
|
|
510,000
|
|
GS Mortgage Securities Corp. Trust, Series 2018-LUAU, Class G, 8.77% (1 mo. USD
LIBOR + 4.45%), due 11/15/32(b) 144A
|
474,239
|
|
570,000
|
|
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 5.42% (1 mo. USD
LIBOR + 1.10%), due 12/15/36(b) 144A
|
556,142
|
|
265,000
|
|
GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.15%, due 08/10/44(d) 144A
|
113,712
|
|
280,000
|
|
GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.69%, due 06/10/47(d) 144A
|
248,305
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
160,179
|
|
HarborView Mortgage Loan Trust CMO, Series 2005-9, Class 2A1C, 5.25% (1 mo. USD
LIBOR + 0.90%), due 06/20/35(b)
|
142,980
|
|
1,390,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M,
12.83% (1 mo. USD LIBOR + 8.51%), due 06/15/35(b)(c)
|
14
|
|
1,210,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL,
7.32% (1 mo. USD LIBOR + 3.15%), due 07/05/33(b) 144A
|
1,065,678
|
|
530,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E,
7.17% (1 mo. USD LIBOR + 2.85%), due 09/15/29(b) 144A
|
454,459
|
|
800,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F,
7.97% (1 mo. USD LIBOR + 3.65%), due 09/15/29(b) 144A
|
659,401
|
|
800,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F,
7.42% (1 mo. USD LIBOR + 2.85%), due 12/15/36(b) 144A
|
517,443
|
|
760,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX,
4.69%, due 01/16/37(d) 144A
|
608,615
|
|
810,000
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class F,
8.58% (1 mo. USD LIBOR + 4.27%), due 11/15/38(b) 144A
|
734,868
|
|
955,552
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class D,
6.50% (1 mo. TSFR + 2.17%), due 04/15/37(b) 144A
|
868,279
|
|
625,479
|
|
KIND Trust, Series 2021-KIND, Class D, 6.62% (1 mo. USD LIBOR + 2.30%), due
08/15/38(b) 144A
|
564,411
|
|
1,215,909
|
|
Legacy Mortgage Asset Trust CMO, Series 2020-GS4, Class A1, 3.25%, due 02/25/60(j)
144A
|
1,198,091
|
|
175,079
|
|
Legacy Mortgage Asset Trust CMO, Series 2020-GS5, Class A1, 3.25%, due 06/25/60(j)
144A
|
172,502
|
|
535,000
|
|
Med Trust, Series 2021-MDLN, Class C, 6.12% (1 mo. USD LIBOR + 1.80%), due
11/15/38(b) 144A
|
509,648
|
|
580,000
|
|
Med Trust, Series 2021-MDLN, Class E, 7.47% (1 mo. USD LIBOR + 3.15%), due
11/15/38(b) 144A
|
540,101
|
|
1,750,000
|
|
Med Trust, Series 2021-MDLN, Class G, 9.57% (1 mo. USD LIBOR + 5.25%), due
11/15/38(b) 144A
|
1,589,624
|
|
590,000
|
|
MHC Trust, Series 2021-MHC2, Class E, 6.27% (1 mo. USD LIBOR + 1.95%), due
05/15/38(b) 144A
|
555,690
|
|
320,000
|
|
Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.28%, due 07/11/40(d) 144A
|
279,869
|
|
356,110
|
|
MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%,
due 10/15/30 144A
|
290,391
|
|
462,214
|
|
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 7.64% (1
mo. USD LIBOR + 3.25%), due 10/25/49(b) 144A
|
435,342
|
|
460,000
|
|
Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 8.14% (1
mo. USD LIBOR + 3.75%), due 03/25/50(b) 144A
|
426,602
|
|
320,000
|
|
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 5.82% (1
mo. TSFR + 1.50%), due 07/15/36(b) 144A
|
306,504
|
|
393,492
|
|
New Residential Mortgage Loan Trust CMO, Series 2017-5A, Class B4, 3.99%, due
06/25/57(d) 144A
|
371,355
|
|
685,374
|
|
OPG Trust, Series 2021-PORT, Class D, 5.45% (1 mo. USD LIBOR + 1.13%), due
10/15/36(b) 144A
|
638,930
|
|
76,005
|
|
PMT Credit Risk Transfer Trust CMO, Series 2019-3R, Class A, 8.09% (1 mo. USD
LIBOR + 3.70%), due 11/27/31(b) 144A
|
72,974
|
|
500,000
|
|
Radnor RE, Ltd. CMO, Series 2020-1, Class M1C, 6.14% (1 mo. USD LIBOR +
1.75%), due 01/25/30(b) 144A
|
489,321
|
|
230,000
|
|
Starwood Retail Property Trust, Series 2014-STAR, Class C, 7.07% (1 mo. USD LIBOR
+ 2.75%), due 11/15/27(b)(c)(e)
|
110,984
|
|
900,000
|
|
Starwood Retail Property Trust, Series 2014-STAR, Class D, 7.82% (1 mo. USD LIBOR
+ 3.50%), due 11/15/27(b)(c)(e)
|
242,051
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Mortgage Backed Securities - Private Issuers — continued
|
|
|
766,336
|
|
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class E, 7.70% (1 mo. USD LIBOR
+ 3.48%), due 11/11/34(b) 144A
|
718,266
|
|
761,476
|
|
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class F, 8.47% (1 mo. USD LIBOR
+ 4.25%), due 11/11/34(b) 144A
|
717,165
|
|
940,000
|
|
Towd Point Mortgage Trust CMO, Series 2017-5, Class B1, 6.19% (1 mo. USD LIBOR
+ 1.80%), due 02/25/57(b) 144A
|
895,880
|
|
590,000
|
|
Towd Point Mortgage Trust CMO, Series 2019-4, Class B1B, 3.50%, due 10/25/59(d)
144A
|
404,436
|
|
255,043
|
|
WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR1, Class A1B,
5.17% (1 mo. USD LIBOR + 0.78%), due 01/25/45(b)
|
232,180
|
|
495,888
|
|
WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR6, Class 2A1A,
4.85% (1 mo. USD LIBOR + 0.46%), due 04/25/45(b)
|
471,576
|
|
349,505
|
|
WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2006-AR16, Class 2A2,
3.41%, due 12/25/36(d)
|
300,631
|
|
1,190,000
|
|
Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class D, 2.80%, due
12/15/50(d) 144A
|
782,455
|
|
252,662
|
|
Wells Fargo Mortgage Backed Securities Trust CMO, Series 2006-AR5, Class 2A1,
2.76%, due 04/25/36(d)
|
234,463
|
|
|
|
|
63,423,214
|
|
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.0%
|
|
|
60,000
|
|
FNMA, Pool # BL5547, 2.68%, due 01/01/35
|
49,112
|
|
128,189
|
|
FNMA, Pool # BM6224, 2.79%, due 01/01/35(d)
|
109,395
|
|
244,526
|
|
UMBS, Pool # BM5520, 3.50%, due 02/01/47
|
227,582
|
|
|
|
|
386,089
|
|
|
|
Sovereign Debt Obligations — 34.0%
|
|
|
940,000
|
|
Abu Dhabi Government International Bond, 3.13%, due 09/30/49 144A
|
698,049
|
|
240,000
|
|
Angolan Government International Bond, 8.75%, due 04/14/32 144A
|
208,416
|
|
2,360,000
|
|
Angolan Government International Bond, (MTN), 8.00%, due 11/26/29(g)(h)
|
2,077,461
|
|
5,505
|
|
Argentine Republic Government International Bond, 1.00%, due 07/09/29
|
1,475
|
|
327,438
|
|
Argentine Republic Government International Bond, 5.00%, due 07/09/46(j)
|
84,327
|
|
1,425,000
|
|
Bahrain Government International Bond, (MTN), 5.63%, due 05/18/34(h)
|
1,235,697
|
|
1,130,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 2.30%, due 10/01/28(h)
|
1,117,532
|
|
2,395,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 2.50%, due 03/01/25
|
2,535,699
|
|
655,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 2.80%, due 10/01/33(h) 144A
|
630,859
|
|
1,345,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26
|
1,512,032
|
|
1,260,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 09/01/30(h)
|
1,429,163
|
|
2,195,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 10/01/28(h) 144A
|
2,512,644
|
|
115,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35
|
134,058
|
|
710,000,000
|
CLP
|
Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43
|
924,886
|
|
6,227,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 12.72%, due 07/01/24(f)
|
983,666
|
|
30,965,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 12.84%, due 01/01/24(f)
|
5,176,856
|
|
8,519,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 13.11%, due 07/01/25(f)
|
1,199,497
|
|
20,349,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 13.16%, due 07/01/23(f)
|
3,616,799
|
|
4,258,000
|
BRL
|
Brazil Letras do Tesouro Nacional, 13.52%, due 01/01/26(f)
|
564,305
|
|
140,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series B Notes, 25.01%, due 05/15/35
|
105,137
|
|
214,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series B Notes, 25.01%, due 05/15/45
|
158,734
|
|
202,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series B Notes, 25.01%, due 08/15/50
|
148,995
|
|
7,451,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/23
|
1,342,254
|
|
29,336,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/25
|
5,043,603
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
42,567,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/27
|
7,017,289
|
|
72,650,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/29
|
11,659,301
|
|
72,570,000
|
BRL
|
Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/31
|
11,349,695
|
|
1,000,000
|
|
Brazilian Government International Bond, 4.63%, due 01/13/28
|
960,247
|
|
1,760,000
|
|
Brazilian Government International Bond, 4.75%, due 01/14/50
|
1,238,716
|
|
90,000
|
EUR
|
Bundesrepublik Deutschland Bundesanleihe, 0.01%, due 08/15/26(h)
|
87,968
|
|
14,260,000
|
CNY
|
China Government Bond, 1.99%, due 04/09/25
|
2,031,236
|
|
3,930,000
|
CNY
|
China Government Bond, 2.68%, due 05/21/30
|
558,104
|
|
7,320,000
|
CNY
|
China Government Bond, 2.85%, due 06/04/27
|
1,060,891
|
|
12,590,000
|
CNY
|
China Government Bond, 3.02%, due 10/22/25
|
1,838,462
|
|
3,970,000
|
CNY
|
China Government Bond, 3.02%, due 05/27/31
|
577,998
|
|
8,120,000
|
CNY
|
China Government Bond, 3.13%, due 11/21/29
|
1,193,312
|
|
10,530,000
|
CNY
|
China Government Bond, 3.25%, due 11/22/28
|
1,558,273
|
|
6,770,000
|
CNY
|
China Government Bond, 3.27%, due 11/19/30
|
1,006,189
|
|
6,300,000
|
CNY
|
China Government Bond, 3.28%, due 12/03/27
|
931,324
|
|
3,630,000
|
CNY
|
China Government Bond, 3.29%, due 05/23/29
|
540,212
|
|
1,240,000
|
CNY
|
China Government Bond, 3.72%, due 04/12/51
|
193,621
|
|
6,950,000
|
CNY
|
China Government Bond, 3.81%, due 09/14/50
|
1,098,296
|
|
270,000
|
|
Ciudad Autonoma De Buenos Aires/Government Bonds, 7.50%, due 06/01/27(h)
|
250,460
|
|
800,000
|
|
Colombia Government International Bond, 3.13%, due 04/15/31
|
596,571
|
|
3,355,000
|
|
Colombia Government International Bond, 4.13%, due 05/15/51
|
2,019,170
|
|
1,065,000
|
|
Colombia Government International Bond, 4.50%, due 03/15/29
|
923,941
|
|
3,012,700,000
|
COP
|
Colombian TES, 5.75%, due 11/03/27
|
471,295
|
|
30,929,500,000
|
COP
|
Colombian TES, 6.00%, due 04/28/28
|
4,773,815
|
|
6,852,200,000
|
COP
|
Colombian TES, 6.25%, due 11/26/25
|
1,211,109
|
|
15,026,000,000
|
COP
|
Colombian TES, 6.25%, due 07/09/36
|
1,792,105
|
|
4,756,500,000
|
COP
|
Colombian TES, 7.00%, due 03/26/31
|
694,801
|
|
1,517,200,000
|
COP
|
Colombian TES, 7.00%, due 03/26/31
|
221,623
|
|
46,431,100,000
|
COP
|
Colombian TES, 7.00%, due 06/30/32
|
6,533,418
|
|
15,581,900,000
|
COP
|
Colombian TES, 7.25%, due 10/18/34
|
2,124,088
|
|
6,650,400,000
|
COP
|
Colombian TES, 7.25%, due 10/26/50
|
780,544
|
|
21,887,400,000
|
COP
|
Colombian TES, 7.50%, due 08/26/26
|
3,862,435
|
|
16,857,600,000
|
COP
|
Colombian TES, 7.75%, due 09/18/30
|
2,621,161
|
|
3,205,000,000
|
COP
|
Colombian TES, 9.25%, due 05/28/42
|
479,070
|
|
21,538,400,000
|
COP
|
Colombian TES, 10.00%, due 07/24/24
|
4,328,449
|
|
1,505,000
|
|
Costa Rica Government International Bond, 7.00%, due 04/04/44(h)
|
1,422,854
|
|
9,720,000
|
CZK
|
Czech Republic Government Bond, 0.25%, due 02/10/27
|
352,333
|
|
29,900,000
|
CZK
|
Czech Republic Government Bond, 0.95%, due 05/15/30(h)
|
991,101
|
|
15,220,000
|
CZK
|
Czech Republic Government Bond, 1.00%, due 06/26/26(h)
|
583,010
|
|
17,450,000
|
CZK
|
Czech Republic Government Bond, 1.20%, due 03/13/31
|
573,424
|
|
20,910,000
|
CZK
|
Czech Republic Government Bond, 1.25%, due 02/14/25
|
848,152
|
|
39,270,000
|
CZK
|
Czech Republic Government Bond, 1.75%, due 06/23/32
|
1,315,247
|
|
40,820,000
|
CZK
|
Czech Republic Government Bond, 2.00%, due 10/13/33
|
1,361,316
|
|
4,270,000
|
CZK
|
Czech Republic Government Bond, 2.40%, due 09/17/25(h)
|
175,247
|
|
4,900,000
|
CZK
|
Czech Republic Government Bond, 2.50%, due 08/25/28(h)
|
188,411
|
|
24,930,000
|
CZK
|
Czech Republic Government Bond, 2.75%, due 07/23/29
|
956,754
|
|
3,220,000
|
CZK
|
Czech Republic Government Bond, 4.20%, due 12/04/36(h)
|
131,755
|
|
4,440,000
|
CZK
|
Czech Republic Government Bond, 5.43%, due 12/12/24(f)
|
177,055
|
|
8,840,000
|
CZK
|
Czech Republic Government Bond, 5.70%, due 05/25/24(h)
|
391,543
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
4,340,000
|
CZK
|
Czech Republic Government Bond, 6.00%, due 02/26/26
|
196,174
|
|
350,000
|
|
Dominican Republic International Bond, 5.50%, due 02/22/29 144A
|
323,351
|
|
510,000
|
|
Dominican Republic International Bond, 5.50%, due 02/22/29(h)
|
471,169
|
|
1,005,000
|
|
Dominican Republic International Bond, 6.00%, due 07/19/28 144A
|
972,256
|
|
2,740,000
|
|
Dominican Republic International Bond, 6.00%, due 02/22/33 144A
|
2,481,898
|
|
7,061,000
|
EGP
|
Egypt Government Bond, 14.66%, due 10/06/30
|
241,789
|
|
6,937,000
|
EGP
|
Egypt Government Bond, 14.82%, due 07/06/31
|
238,877
|
|
128,926,000
|
MXN
|
European Investment Bank, (MTN), 5.50%, due 01/23/23
|
6,607,315
|
|
5,140,000
|
ZAR
|
European Investment Bank, (MTN), 8.50%, due 09/17/24(h)
|
305,174
|
|
490,000
|
|
Gabon Government International Bond, 7.00%, due 11/24/31 144A
|
402,976
|
|
1,025,000
|
|
Guatemala Government Bond, 4.88%, due 02/13/28(h)
|
990,810
|
|
121,750,000
|
HUF
|
Hungary Government Bond, 1.50%, due 04/22/26
|
244,284
|
|
103,180,000
|
HUF
|
Hungary Government Bond, 2.50%, due 10/24/24
|
235,999
|
|
262,400,000
|
HUF
|
Hungary Government Bond, 2.75%, due 12/22/26
|
526,768
|
|
266,700,000
|
HUF
|
Hungary Government Bond, 3.00%, due 10/27/27
|
516,708
|
|
205,360,000
|
HUF
|
Hungary Government Bond, 3.00%, due 08/21/30
|
368,703
|
|
473,240,000
|
HUF
|
Hungary Government Bond, 3.00%, due 10/27/38
|
670,225
|
|
332,570,000
|
HUF
|
Hungary Government Bond, 4.00%, due 04/28/51
|
466,393
|
|
848,320,000
|
HUF
|
Hungary Government Bond, 4.50%, due 03/23/28
|
1,758,859
|
|
442,050,000
|
HUF
|
Hungary Government Bond, 4.50%, due 05/27/32
|
847,127
|
|
818,030,000
|
HUF
|
Hungary Government Bond, 4.75%, due 11/24/32
|
1,582,246
|
|
163,750,000
|
HUF
|
Hungary Government Bond, 5.50%, due 06/24/25
|
382,187
|
|
174,190,000
|
HUF
|
Hungary Government Bond, 6.75%, due 10/22/28
|
403,904
|
|
1,530,000
|
|
Indonesia Government International Bond, 3.50%, due 01/11/28
|
1,456,788
|
|
1,800,000
|
|
Indonesia Government International Bond, 3.55%, due 03/31/32
|
1,628,765
|
|
14,660,000,000
|
IDR
|
Indonesia Treasury Bond, 5.50%, due 04/15/26
|
923,813
|
|
7,852,000,000
|
IDR
|
Indonesia Treasury Bond, 6.13%, due 05/15/28
|
494,249
|
|
34,179,000,000
|
IDR
|
Indonesia Treasury Bond, 6.25%, due 06/15/36
|
2,060,828
|
|
4,586,000,000
|
IDR
|
Indonesia Treasury Bond, 6.38%, due 08/15/28
|
291,937
|
|
68,193,000,000
|
IDR
|
Indonesia Treasury Bond, 6.38%, due 04/15/32
|
4,222,337
|
|
31,181,000,000
|
IDR
|
Indonesia Treasury Bond, 6.50%, due 06/15/25
|
2,022,932
|
|
18,728,000,000
|
IDR
|
Indonesia Treasury Bond, 6.50%, due 02/15/31
|
1,170,538
|
|
10,023,000,000
|
IDR
|
Indonesia Treasury Bond, 6.63%, due 05/15/33
|
627,311
|
|
12,152,000,000
|
IDR
|
Indonesia Treasury Bond, 7.00%, due 05/15/27
|
801,149
|
|
24,257,000,000
|
IDR
|
Indonesia Treasury Bond, 7.00%, due 09/15/30
|
1,576,132
|
|
19,240,000,000
|
IDR
|
Indonesia Treasury Bond, 7.00%, due 02/15/33
|
1,239,616
|
|
4,546,000,000
|
IDR
|
Indonesia Treasury Bond, 7.38%, due 05/15/48
|
295,012
|
|
25,799,000,000
|
IDR
|
Indonesia Treasury Bond, 7.50%, due 08/15/32
|
1,717,794
|
|
76,502,000,000
|
IDR
|
Indonesia Treasury Bond, 7.50%, due 05/15/38
|
5,069,424
|
|
77,311,000,000
|
IDR
|
Indonesia Treasury Bond, 7.50%, due 04/15/40
|
5,113,919
|
|
23,542,000,000
|
IDR
|
Indonesia Treasury Bond, 8.25%, due 05/15/29
|
1,629,918
|
|
2,658,000,000
|
IDR
|
Indonesia Treasury Bond, 8.25%, due 06/15/32
|
185,322
|
|
38,524,000,000
|
IDR
|
Indonesia Treasury Bond, 8.25%, due 05/15/36
|
2,702,923
|
|
2,683,000,000
|
IDR
|
Indonesia Treasury Bond, 8.38%, due 03/15/24
|
178,094
|
|
24,937,000,000
|
IDR
|
Indonesia Treasury Bond, 8.38%, due 09/15/26
|
1,714,625
|
|
73,023,000,000
|
IDR
|
Indonesia Treasury Bond, 8.38%, due 03/15/34
|
5,141,933
|
|
50,810,000,000
|
IDR
|
Indonesia Treasury Bond, 8.38%, due 04/15/39
|
3,618,147
|
|
30,008,000,000
|
IDR
|
Indonesia Treasury Bond, 8.75%, due 05/15/31
|
2,152,663
|
|
8,328,000,000
|
IDR
|
Indonesia Treasury Bond, 9.00%, due 03/15/29
|
596,155
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
6,017,000,000
|
IDR
|
Indonesia Treasury Bond, 9.50%, due 07/15/31
|
449,693
|
|
5,494,000,000
|
IDR
|
Indonesia Treasury Bond, 10.50%, due 08/15/30
|
428,442
|
|
18,078,000,000
|
IDR
|
Indonesia Treasury Bond, 11.00%, due 09/15/25
|
1,295,834
|
|
22,300,000,000
|
IDR
|
Inter-American Development Bank, (MTN), 7.88%, due 03/14/23
|
1,439,061
|
|
170,000
|
EUR
|
Ivory Coast Government International Bond, 4.88%, due 01/30/32 144A
|
143,892
|
|
194,353
|
|
Ivory Coast Government International Bond, 5.75%, due 12/31/32(h)(j)
|
184,306
|
|
740,000
|
|
Ivory Coast Government International Bond, 6.13%, due 06/15/33(h)
|
660,450
|
|
1,110,000
|
|
Ivory Coast Government International Bond, 6.38%, due 03/03/28(h)
|
1,077,499
|
|
820,000
|
|
Jordan Government International Bond, 7.75%, due 01/15/28 144A
|
832,111
|
|
510,000
|
|
Kazakhstan Government International Bond, (MTN), 5.13%, due 07/21/25(h)
|
529,732
|
|
18,475,000
|
MYR
|
Malaysia Government Bond, 2.63%, due 04/15/31
|
3,785,211
|
|
8,437,000
|
MYR
|
Malaysia Government Bond, 3.50%, due 05/31/27
|
1,887,733
|
|
7,753,000
|
MYR
|
Malaysia Government Bond, 3.58%, due 07/15/32
|
1,690,708
|
|
19,208,000
|
MYR
|
Malaysia Government Bond, 3.73%, due 06/15/28
|
4,310,678
|
|
1,022,000
|
MYR
|
Malaysia Government Bond, 3.76%, due 05/22/40
|
214,517
|
|
6,202,000
|
MYR
|
Malaysia Government Bond, 3.80%, due 08/17/23
|
1,409,890
|
|
6,029,000
|
MYR
|
Malaysia Government Bond, 3.83%, due 07/05/34
|
1,326,236
|
|
2,226,000
|
MYR
|
Malaysia Government Bond, 3.84%, due 04/15/33
|
493,601
|
|
13,227,000
|
MYR
|
Malaysia Government Bond, 3.88%, due 03/14/25
|
3,016,836
|
|
2,586,000
|
MYR
|
Malaysia Government Bond, 3.89%, due 03/15/27
|
587,989
|
|
18,574,000
|
MYR
|
Malaysia Government Bond, 3.89%, due 08/15/29
|
4,188,643
|
|
13,201,000
|
MYR
|
Malaysia Government Bond, 3.90%, due 11/30/26
|
3,005,135
|
|
6,454,000
|
MYR
|
Malaysia Government Bond, 3.90%, due 11/16/27
|
1,467,938
|
|
20,850,000
|
MYR
|
Malaysia Government Bond, 3.96%, due 09/15/25
|
4,757,739
|
|
6,292,000
|
MYR
|
Malaysia Government Bond, 4.06%, due 09/30/24
|
1,436,140
|
|
624,000
|
MYR
|
Malaysia Government Bond, 4.13%, due 04/15/32
|
142,236
|
|
5,441,000
|
MYR
|
Malaysia Government Bond, 4.18%, due 07/15/24
|
1,242,886
|
|
1,205,000
|
MYR
|
Malaysia Government Bond, 4.23%, due 06/30/31
|
277,355
|
|
11,727,000
|
MYR
|
Malaysia Government Bond, 4.39%, due 04/15/26
|
2,715,144
|
|
4,041,000
|
MYR
|
Malaysia Government Bond, 4.50%, due 04/15/30
|
945,086
|
|
1,295,000
|
MYR
|
Malaysia Government Bond, 4.70%, due 10/15/42
|
305,975
|
|
1,597,000
|
MYR
|
Malaysia Government Bond, 4.74%, due 03/15/46
|
372,275
|
|
2,852,000
|
MYR
|
Malaysia Government Bond, 4.76%, due 04/07/37
|
680,810
|
|
2,733,000
|
MYR
|
Malaysia Government Bond, 4.89%, due 06/08/38
|
660,694
|
|
72,709,000
|
MXN
|
Mexican Bonos, 5.00%, due 03/06/25
|
3,385,531
|
|
7,390,100
|
MXN
|
Mexican Bonos, 5.50%, due 03/04/27
|
331,130
|
|
65,292,300
|
MXN
|
Mexican Bonos, 5.75%, due 03/05/26
|
3,034,841
|
|
52,600,800
|
MXN
|
Mexican Bonos, 6.75%, due 03/09/23
|
2,677,383
|
|
111,817,800
|
MXN
|
Mexican Bonos, 7.50%, due 06/03/27
|
5,414,031
|
|
135,232,800
|
MXN
|
Mexican Bonos, 7.75%, due 05/29/31
|
6,426,997
|
|
13,291,700
|
MXN
|
Mexican Bonos, 7.75%, due 11/23/34
|
616,736
|
|
108,326,900
|
MXN
|
Mexican Bonos, 7.75%, due 11/13/42
|
4,855,942
|
|
31,483,100
|
MXN
|
Mexican Bonos, 8.00%, due 12/07/23
|
1,576,064
|
|
38,912,200
|
MXN
|
Mexican Bonos, 8.00%, due 09/05/24
|
1,932,059
|
|
70,839,900
|
MXN
|
Mexican Bonos, 8.00%, due 11/07/47
|
3,244,554
|
|
65,555,900
|
MXN
|
Mexican Bonos, 8.00%, due 07/31/53
|
3,000,187
|
|
36,848,300
|
MXN
|
Mexican Bonos, 8.50%, due 05/31/29
|
1,840,425
|
|
18,748,000
|
MXN
|
Mexican Bonos, 8.50%, due 05/31/29
|
936,387
|
|
30,172,600
|
MXN
|
Mexican Bonos, 8.50%, due 11/18/38
|
1,466,465
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
48,920,000
|
MXN
|
Mexican Bonos, 8.50%, due 11/18/38
|
2,377,637
|
|
70,766,900
|
MXN
|
Mexican Bonos, 10.00%, due 12/05/24
|
3,642,704
|
|
21,394,000
|
MXN
|
Mexican Bonos, 10.00%, due 12/05/24
|
1,101,249
|
|
11,702,000
|
MXN
|
Mexican Bonos, 10.00%, due 11/20/36
|
643,208
|
|
16,352,500
|
MXN
|
Mexican Bonos, 10.00%, due 11/20/36
|
898,826
|
|
21,467,006
|
MXN
|
Mexican Udibonos, 4.50%, due 11/22/35
|
1,134,820
|
|
1,220,000
|
|
Mexico Government International Bond, 2.66%, due 05/24/31
|
987,015
|
|
595,000
|
|
Mexico Government International Bond, 4.88%, due 05/19/33
|
547,365
|
|
1,495,000
|
|
Nigeria Government International Bond, (MTN), 8.38%, due 03/24/29(h)
|
1,244,588
|
|
845,000
|
|
Oman Government International Bond, 5.63%, due 01/17/28(h)
|
836,659
|
|
1,535,000
|
|
Oman Government International Bond, 5.63%, due 01/17/28 144A
|
1,519,848
|
|
930,000
|
|
Panama Government International Bond, 4.50%, due 04/01/56
|
681,500
|
|
1,520,000
|
|
Paraguay Government International Bond, 5.40%, due 03/30/50(h)
|
1,315,477
|
|
2,194
|
PEN
|
Peru Government Bond, 5.35%, due 08/12/40
|
428
|
|
6,986,000
|
PEN
|
Peru Government Bond, 5.40%, due 08/12/34
|
1,466,989
|
|
7,731,000
|
PEN
|
Peru Government Bond, 5.94%, due 02/12/29
|
1,859,014
|
|
4,656,000
|
PEN
|
Peru Government Bond, 6.15%, due 08/12/32
|
1,073,199
|
|
1,838,000
|
PEN
|
Peru Government Bond, 6.35%, due 08/12/28
|
458,295
|
|
1,802
|
PEN
|
Peru Government Bond, 6.90%, due 08/12/37
|
423
|
|
2,657,000
|
PEN
|
Peru Government Bond, 6.95%, due 08/12/31
|
656,909
|
|
740,000
|
|
Peruvian Government International Bond, 2.78%, due 01/23/31
|
614,000
|
|
6,789,000
|
PEN
|
Peruvian Government International Bond (GDN), 6.35%, due 08/12/28(h)
|
1,692,797
|
|
8,929,000
|
PEN
|
Peruvian Government International Bond (GDN), 6.95%, due 08/12/31(h)
|
2,144,512
|
|
3,571,000
|
PEN
|
Peruvian Government International Bond (GDN), 8.20%, due 08/12/26(h)
|
980,062
|
|
1,780,031
|
|
Provincia de Buenos Aires/Government Bonds, 6.63%, due 09/01/37(j) 144A
|
620,786
|
|
421,629
|
|
Provincia de Cordoba, 6.88%, due 12/10/25(j) 144A
|
342,047
|
|
490,000
|
|
Qatar Government International Bond, 4.82%, due 03/14/49 144A
|
477,944
|
|
200,000
|
|
Qatar Government International Bond, 5.10%, due 04/23/48 144A
|
201,478
|
|
700,000
|
GHS
|
Republic of Ghana Government Bonds, 20.75%, due 03/06/23
|
67,011
|
|
265,000
|
|
Republic of Kenya Government International Bond, 8.00%, due 05/22/32(h)
|
227,147
|
|
10,600,000
|
PLN
|
Republic of Poland Government Bond, 0.25%, due 10/25/26
|
1,891,361
|
|
19,947,000
|
PLN
|
Republic of Poland Government Bond, 1.25%, due 10/25/30
|
3,061,049
|
|
29,707,000
|
PLN
|
Republic of Poland Government Bond, 1.75%, due 04/25/32
|
4,452,410
|
|
3,783,000
|
PLN
|
Republic of Poland Government Bond, 2.25%, due 10/25/24
|
799,285
|
|
24,088,000
|
PLN
|
Republic of Poland Government Bond, 2.50%, due 07/25/26
|
4,739,892
|
|
3,743,000
|
PLN
|
Republic of Poland Government Bond, 2.50%, due 07/25/27
|
711,394
|
|
14,274,000
|
PLN
|
Republic of Poland Government Bond, 2.75%, due 04/25/28
|
2,673,004
|
|
20,158,000
|
PLN
|
Republic of Poland Government Bond, 2.75%, due 10/25/29
|
3,612,815
|
|
1,395,000
|
PLN
|
Republic of Poland Government Bond, 3.25%, due 07/25/25
|
292,125
|
|
6,308,000
|
PLN
|
Republic of Poland Government Bond, 3.75%, due 05/25/27
|
1,269,050
|
|
54,099,506
|
ZAR
|
Republic of South Africa Government Bond, 6.25%, due 03/31/36
|
2,093,554
|
|
55,306,391
|
ZAR
|
Republic of South Africa Government Bond, 6.50%, due 02/28/41
|
2,034,619
|
|
39,014,104
|
ZAR
|
Republic of South Africa Government Bond, 7.00%, due 02/28/31
|
1,851,880
|
|
49,246,117
|
ZAR
|
Republic of South Africa Government Bond, 8.00%, due 01/31/30
|
2,580,971
|
|
50,984,509
|
ZAR
|
Republic of South Africa Government Bond, 8.25%, due 03/31/32
|
2,555,818
|
|
122,632,658
|
ZAR
|
Republic of South Africa Government Bond, 8.50%, due 01/31/37
|
5,721,176
|
|
132,155,215
|
ZAR
|
Republic of South Africa Government Bond, 8.75%, due 01/31/44
|
6,050,091
|
|
209,268,891
|
ZAR
|
Republic of South Africa Government Bond, 8.75%, due 02/28/48
|
9,616,653
|
|
65,100,000
|
ZAR
|
Republic of South Africa Government Bond, 8.75%, due 02/28/48
|
2,991,577
|
|
Par Value(a)
|
|
Description
|
Value ($)
|
|
|
|
Sovereign Debt Obligations — continued
|
|
|
64,421,020
|
ZAR
|
Republic of South Africa Government Bond, 8.88%, due 02/28/35
|
3,192,844
|
|
20,399,230
|
ZAR
|
Republic of South Africa Government Bond, 9.00%, due 01/31/40
|
970,567
|
|
55,853,295
|
ZAR
|
Republic of South Africa Government Bond, 10.50%, due 12/21/26
|
3,475,198
|
|
1,050,000
|
|
Republic of South Africa Government International Bond, 4.85%, due 09/30/29(g)
|
939,828
|
|
1,690,000
|
|
Republic of South Africa Government International Bond, 5.88%, due 04/20/32
|
1,530,591
|
|
1,345,000
|
RON
|
Romania Government Bond, 3.25%, due 04/29/24
|
278,467
|
|
2,940,000
|
RON
|
Romania Government Bond, 3.25%, due 06/24/26
|
554,852
|
|
1,500,000
|
RON
|
Romania Government Bond, 3.65%, due 09/24/31(g)
|
241,728
|
|
860,000
|
RON
|
Romania Government Bond, 4.00%, due 10/25/23
|
182,043
|
|
1,235,000
|
RON
|
Romania Government Bond, 4.15%, due 10/24/30
|
210,172
|
|
1,195,000
|
RON
|
Romania Government Bond, 4.25%, due 06/28/23
|
254,672
|
|
2,315,000
|
RON
|
Romania Government Bond, 4.75%, due 10/11/34
|
364,414
|
|
995,000
|
RON
|
Romania Government Bond, 4.85%, due 07/25/29
|
180,781
|
|
1,570,000
|
RON
|
Romania Government Bond, 5.00%, due 02/12/29
|
292,838
|
|
1,560,000
|
RON
|
Romania Government Bond, 5.80%, due 07/26/27
|
313,181
|
|
618,000
|
EUR
|
Romanian Government International Bond, 2.75%, due 02/26/26 144A
|
624,744
|
|
134,000
|
EUR
|
Romanian Government International Bond, 3.62%, due 05/26/30 144A
|
117,402
|
|
42,983,000
|
RUB
|
Russian Federal Bond - OFZ, 5.70%, due 05/17/28(m)
|
188,419
|
|
52,609,000
|
RUB
|
Russian Federal Bond - OFZ, 6.10%, due 07/18/35(m)
|
230,615
|
|
59,072,000
|
RUB
|
Russian Federal Bond - OFZ, 6.90%, due 05/23/29(m)
|
258,946
|
|
86,446,000
|
RUB
|
Russian Federal Bond - OFZ, 7.05%, due 01/19/28(m)
|
378,941
|
|
18,639,000
|
RUB
|
Russian Federal Bond - OFZ, 7.10%, due 10/16/24(m)
|
81,705
|
|
32,547,000
|
RUB
|
Russian Federal Bond - OFZ, 7.25%, due 05/10/34(m)
|
142,672
|
|
40,966,000
|
RUB
|
Russian Federal Bond - OFZ, 7.65%, due 04/10/30(m)
|
179,577
|
|
60,698,000
|
RUB
|
Russian Federal Bond - OFZ, 7.70%, due 03/23/33(m)
|
266,073
|
|
24,639,000
|
RUB
|
Russian Federal Bond - OFZ, 7.70%, due 03/16/39(m)
|
108,007
|
|
72,599,000
|
RUB
|
Russian Federal Bond - OFZ, 7.75%, due 09/16/26(m)
|
318,242
|
|
71,354,000
|
RUB
|
Russian Federal Bond - OFZ, 8.15%, due 02/03/27(m)
|
312,785
|
|
29,262,000
|
RUB
|
Russian Federal Bond - OFZ, 8.50%, due 09/17/31(m)
|
128,272
|
|
781,000
|
EUR
|
Serbia International Bond, 1.00%, due 09/23/28 144A
|
599,648
|
|
124,112,000
|
THB
|
Thailand Government Bond, 2.13%, due 12/17/26
|
3,634,614
|
|
7,884,000
|
UYU
|
Uruguay Government International Bond, 8.50%, due 03/15/28(h)
|
181,412
|
|
|
|
|
389,611,169
|
|
|
|
U.S. Government and Agency Obligations — 0.3%
|
|
|
534,100
|
|
U.S. Treasury Note, 2.00%, due 02/15/23
|
532,657
|
|
3,158,000
|
|
U.S. Treasury Note, 2.50%, due 03/31/23
|
3,143,227
|
|
|
|
|
3,675,884
|
|
|
|
TOTAL DEBT OBLIGATIONS (COST $1,184,366,652)
|
1,078,594,895
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 0.0%
|
|
|
|
|
Energy — 0.0%
|
|
|
10
|
|
Amplify Energy Corp.*
|
88
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Industrial — 0.0%
|
|
|
1,282
|
|
Arctic Canadian Diamond Co., Ltd.*(e)(n)
|
—
|
|
|
|
TOTAL COMMON STOCKS (COST $0)
|
88
|
|
|
|
CONVERTIBLE PREFERRED STOCKS — 0.4%
|
|
|
|
|
Consumer, Non-cyclical — 0.0%
|
|
|
145
|
|
Danaher Corp., 5.00%(g)
|
196,700
|
|
|
|
Energy — 0.3%
|
|
|
103,220
|
|
MPLX, LP, 8.46%*(i)(j)
|
3,715,920
|
|
|
|
Utilities — 0.1%
|
|
|
3,924
|
|
American Electric Power Co., Inc., 6.13%(g)
|
202,400
|
|
4,442
|
|
NextEra Energy, Inc., 6.22%
|
224,276
|
|
2,274
|
|
NiSource, Inc., 7.75%
|
234,813
|
|
|
|
|
661,489
|
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $4,269,930)
|
4,574,109
|
|
|
|
PREFERRED STOCKS — 0.0%
|
|
|
|
|
Financial — 0.0%
|
|
|
8,000
|
|
B Riley Financial, Inc., 5.50%
|
178,400
|
|
7,150
|
|
B Riley Financial, Inc., 5.25%
|
130,416
|
|
|
|
|
308,816
|
|
|
|
TOTAL PREFERRED STOCKS (COST $378,750)
|
308,816
|
|
Notional Value
|
|
Description
|
Value ($)
|
|
|
|
PURCHASED OPTIONS — 0.1%
|
|
|
|
|
PURCHASED CURRENCY OPTION — 0.0%
|
|
|
|
|
Put Option — 0.0%
|
|
|
24,000,000
|
|
AUD/JPY with HSBC Bank Plc, AUDStrike Price 87.25, Expires 02/03/23
|
186,372
|
|
|
|
TOTAL PURCHASED CURRENCY OPTION
(PREMIUMS PAID $115,957)
|
186,372
|
|
Number of
Contracts
|
Notional
Value ($)
|
Description
|
Value ($)
|
|
|
|
PURCHASED FUTURES OPTIONS — 0.1%
|
|
|
|
|
Call Option — 0.0%
|
|
|
20,000
|
1,904,200
|
Euro 90-Day Futures with Citigroup Global Markets, Inc., Strike Price $99.00,
Expires 12/18/23
|
450
|
|
|
|
Put Options — 0.1%
|
|
|
250
|
965,250
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,400.00,
Expires 01/20/23
|
738
|
|
3,100
|
11,969,100
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,600.00,
Expires 02/17/23
|
123,225
|
|
Number of
Contracts
|
Notional
Value ($)
|
Description
|
Value ($)
|
|
|
|
Put Options — continued
|
|
|
1,000
|
3,861,000
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,400.00,
Expires 02/17/23
|
14,250
|
|
800
|
3,088,800
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,700.00,
Expires 02/17/23
|
50,600
|
|
2,150
|
8,301,150
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,500.00,
Expires 03/17/23
|
99,975
|
|
850
|
3,667,950
|
S&P 500 E-mini Futures with JPMorgan Chase Bank LLC, Strike Price $3,600.00,
Expires 03/17/23
|
63,412
|
|
|
|
TOTAL PURCHASED FUTURES OPTIONS
(PREMIUMS PAID $606,126)
|
352,650
|
|
|
|
TOTAL PURCHASED OPTIONS
(PREMIUMS PAID $722,083)
|
539,022
|
|
Par Value
|
|
Description
|
Value ($)
|
|
|
|
SHORT-TERM INVESTMENTS — 2.8%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 2.2%
|
|
|
25,548,309
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(o)(p)
|
25,548,309
|
|
|
|
U.S. Government and Agency Obligation — 0.6%
|
|
|
7,240,000
|
|
U.S. Treasury Bill, 4.52%, due 06/15/23(f)
|
7,094,214
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (COST $32,693,637)
|
32,642,523
|
|
|
|
TOTAL INVESTMENTS — 97.3%
(Cost $1,222,431,052)
|
1,116,659,453
|
|
|
|
Other Assets and Liabilities (net)(q) — 2.7%
|
30,495,191
|
|
|
|
NET ASSETS — 100.0%
|
$1,147,154,644
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
Unless otherwise indicated, all par values are denominated in United States dollars ($).
|
|
(b)
|
Variable or floating rate note. Rate shown is as of December 31, 2022.
|
|
(c)
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal
restrictions on resale. These securities generally may be resold in transactions exempt from
registration or to the public if the securities are subsequently registered. Disposal of these securities
may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult.
As of period end, the market value of restricted securities was $1,814,297, which is 0.2% of net
assets. See details shown in the Restricted Securities table that follows.
|
|
(d)
|
Variable or floating rate security, which interest rate adjusts periodically based on changes in current
interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as
of period end.
|
|
(e)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $1,534,764 which represents 0.1% of net assets. The
aggregate tax cost of these securities held at December 31, 2022 was $2,341,763.
|
|
(f)
|
Interest rate presented is yield to maturity.
|
|
(g)
|
All or a portion of this security is out on loan.
|
|
(h)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
|
(i)
|
Security is perpetual and has no stated maturity date.
|
|
(j)
|
Step coupon security that pays an initial coupon rate for the first period and then a lower/higher
coupon rate for the following periods. Rate shown is current coupon rate.
|
|
(k)
|
Security is currently in default.
|
|
(l)
|
Year of maturity is greater than 2100.
|
|
(m)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $2,594,254 which represents 0.0% of net assets. The
aggregate cost of these securities held at December 31, 2022 was $8,414,842.
|
|
(n)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
|
(o)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(p)
|
Represents an investment of securities lending cash collateral.
|
|
(q)
|
As of December 31, 2022, the value of unfunded loan commitments was $72,318 for the Fund. See
Notes to the Schedule of Investments.
|
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $369,084,351 which represents 32.2% of
net assets.
|
|
Restricted Securities
|
Acquisition
Date
|
Principal
Amount
|
Cost
|
Value
|
|
|
JPMorgan Chase Commercial Mortgage Securities
Trust, Series 2018-PHMZ, 12.83%, Class M, (1
mo. USD LIBOR + 8.51%), due 06/15/35
|
07/27/18
|
USD
|
1,390,000
|
$1,390,000
|
$14
|
|
Magnolia Financial X DAC, Series 2020-1, due
08/13/24
|
03/02/20
|
USD
|
595,177
|
595,177
|
581,874
|
|
Santander UK Group Holdings Plc, 5.63%, due
09/15/45
|
10/12/22
|
USD
|
215,000
|
151,249
|
165,255
|
|
Societe Generale SA, 3.63%, due 03/01/41
|
02/22/21
|
USD
|
1,095,000
|
1,094,416
|
714,119
|
|
Starwood Retail Property Trust, Series
2014-STAR, 7.07%, Class C, (1 mo. USD
LIBOR + 2.75%), due 11/15/27
|
07/25/18
|
USD
|
230,000
|
226,550
|
110,984
|
|
Starwood Retail Property Trust, Series
2014-STAR, 7.82%, Class D, (1 mo. USD
LIBOR + 3.50%), due 11/15/27
|
12/21/18
|
USD
|
900,000
|
732,750
|
242,051
|
|
|
|
|
|
|
$1,814,297
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
AUD
|
2,378,400
|
USD
|
1,591,017
|
01/12/23
|
Bank of America, N.A.
|
$22,421
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
AUD
|
3,650,000
|
USD
|
2,295,905
|
01/18/23
|
Goldman Sachs & Co.
|
$180,743
|
|
AUD
|
3,592,400
|
USD
|
2,349,204
|
01/12/23
|
HSBC Bank Plc
|
87,777
|
|
AUD
|
3,276,200
|
USD
|
2,243,597
|
01/12/23
|
HSBC Bank Plc
|
(21,117)
|
|
AUD
|
4,844,351
|
USD
|
3,129,451
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
157,605
|
|
AUD
|
7,530,000
|
USD
|
5,036,674
|
01/12/23
|
State Street Bank London
|
71,460
|
|
AUD
|
3,691,696
|
USD
|
2,386,823
|
01/12/23
|
The BNY Mellon
|
117,516
|
|
BRL
|
5,369,200
|
USD
|
1,000,185
|
02/02/23
|
Bank of America, N.A.
|
11,217
|
|
BRL
|
4,301,800
|
USD
|
810,850
|
02/02/23
|
Citibank N.A.
|
(515)
|
|
BRL
|
5,054,700
|
USD
|
947,911
|
02/02/23
|
Citibank N.A.
|
4,248
|
|
BRL
|
5,470,000
|
USD
|
1,008,741
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
24,405
|
|
BRL
|
360,400
|
USD
|
66,293
|
02/22/23
|
JPMorgan Chase Bank N.A.
|
1,361
|
|
BRL
|
5,529,900
|
USD
|
1,045,844
|
02/22/23
|
JPMorgan Chase Bank N.A.
|
(7,781)
|
|
CAD
|
940,000
|
USD
|
702,841
|
01/12/23
|
Bank of America, N.A.
|
(9,058)
|
|
CAD
|
1,740,900
|
USD
|
1,263,474
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
21,428
|
|
CAD
|
8,054,772
|
USD
|
5,898,469
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
46,666
|
|
CAD
|
1,758,900
|
USD
|
1,290,880
|
01/12/23
|
State Street Bank London
|
7,307
|
|
CAD
|
573,200
|
USD
|
429,795
|
01/12/23
|
The BNY Mellon
|
(6,735)
|
|
CHF
|
983,900
|
USD
|
979,109
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
85,248
|
|
CHF
|
2,323,900
|
USD
|
2,385,141
|
01/12/23
|
State Street Bank London
|
128,794
|
|
CHF
|
1,023,900
|
USD
|
1,033,383
|
01/12/23
|
The BNY Mellon
|
74,245
|
|
CLP
|
756,360,100
|
USD
|
855,611
|
01/12/23
|
Bank of America, N.A.
|
31,493
|
|
CLP
|
765,153,600
|
USD
|
860,110
|
01/12/23
|
Barclays Bank Plc
|
37,308
|
|
CLP
|
1,038,430,000
|
USD
|
1,132,358
|
01/12/23
|
Citibank N.A.
|
85,574
|
|
CLP
|
487,300,000
|
USD
|
535,877
|
01/12/23
|
Deutsche Bank AG
|
35,657
|
|
CLP
|
1,524,774,700
|
USD
|
1,698,156
|
01/12/23
|
Goldman Sachs International
|
90,190
|
|
CLP
|
406,200,000
|
USD
|
432,359
|
01/12/23
|
HSBC Bank Plc
|
44,056
|
|
CLP
|
2,220,193,200
|
USD
|
2,401,455
|
02/15/23
|
JPMorgan Chase Bank N.A.
|
192,756
|
|
CLP
|
2,609,381,300
|
USD
|
2,890,641
|
02/21/23
|
JPMorgan Chase Bank N.A.
|
155,283
|
|
CLP
|
3,106,005,584
|
USD
|
3,344,591
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
298,317
|
|
CNH
|
610,000
|
USD
|
85,632
|
01/12/23
|
Bank of New York
|
2,595
|
|
CNH
|
26,633,342
|
USD
|
3,680,977
|
01/12/23
|
HSBC Bank Plc
|
171,114
|
|
CNH
|
68,033,400
|
USD
|
9,502,560
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
340,865
|
|
CNH
|
82,467,800
|
USD
|
11,605,866
|
03/06/23
|
JPMorgan Chase Bank N.A.
|
370,115
|
|
CNH
|
5,450,000
|
USD
|
784,861
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
3,396
|
|
CNH
|
23,652,100
|
USD
|
3,330,644
|
01/12/23
|
The BNY Mellon
|
90,257
|
|
CNH
|
7,500,000
|
USD
|
1,068,998
|
01/12/23
|
UBS AG
|
15,759
|
|
CNY
|
16,888,071
|
USD
|
2,420,265
|
01/12/23
|
State Street Bank London
|
10,623
|
|
COP
|
3,348,610,000
|
USD
|
701,720
|
01/12/23
|
Bank of America, N.A.
|
(12,216)
|
|
COP
|
1,625,602,007
|
USD
|
336,746
|
01/12/23
|
Deutsche Bank AG
|
(2,023)
|
|
COP
|
2,944,830,000
|
USD
|
588,119
|
01/12/23
|
Goldman Sachs International
|
18,244
|
|
COP
|
406,803,493
|
USD
|
84,273
|
01/12/23
|
Goldman Sachs International
|
(509)
|
|
COP
|
3,458,020,000
|
USD
|
722,679
|
01/12/23
|
HSBC Bank Plc
|
(10,647)
|
|
COP
|
10,539,600,000
|
USD
|
2,073,500
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
96,683
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
COP
|
4,156,123,000
|
USD
|
870,392
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
$(15,332)
|
|
COP
|
8,269,122,700
|
USD
|
1,663,403
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
39,271
|
|
COP
|
4,863,086,300
|
USD
|
1,005,238
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(3,892)
|
|
CZK
|
51,441,400
|
USD
|
2,161,628
|
01/12/23
|
Barclays Bank Plc
|
110,240
|
|
CZK
|
39,262,200
|
USD
|
1,649,811
|
01/12/23
|
Deutsche Bank AG
|
84,173
|
|
CZK
|
49,168,948
|
USD
|
1,987,982
|
01/12/23
|
Goldman Sachs International
|
183,526
|
|
CZK
|
21,782,000
|
USD
|
935,235
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
26,750
|
|
CZK
|
22,510,000
|
USD
|
966,668
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
27,468
|
|
CZK
|
30,354,300
|
USD
|
1,247,977
|
01/12/23
|
State Street Bank London
|
92,597
|
|
CZK
|
9,760,000
|
USD
|
427,073
|
01/12/23
|
UBS AG
|
3,970
|
|
EGP
|
24,938,100
|
USD
|
1,013,744
|
01/31/23
|
Citibank N.A.
|
(62,024)
|
|
EGP
|
15,920,000
|
USD
|
609,962
|
03/30/23
|
Citibank N.A.
|
(29,962)
|
|
EGP
|
17,400,000
|
USD
|
737,288
|
01/31/23
|
Goldman Sachs International
|
(73,247)
|
|
EGP
|
12,550,000
|
USD
|
491,964
|
02/28/23
|
Goldman Sachs International
|
(28,100)
|
|
EUR
|
266,000
|
USD
|
283,330
|
01/03/23
|
Bank of America, N.A.
|
558
|
|
EUR
|
6,305,210
|
USD
|
6,337,121
|
01/12/23
|
Bank of America, N.A.
|
395,902
|
|
EUR
|
739,400
|
USD
|
738,702
|
01/12/23
|
HSBC Bank Plc
|
50,867
|
|
EUR
|
800,000
|
USD
|
829,882
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
24,399
|
|
EUR
|
114,000
|
USD
|
121,535
|
01/03/23
|
Morgan Stanley Capital Services, Inc.
|
131
|
|
EUR
|
564,000
|
USD
|
602,490
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
13
|
|
EUR
|
2,439,600
|
USD
|
2,513,020
|
01/12/23
|
State Street Bank London
|
92,109
|
|
EUR
|
860,000
|
USD
|
911,630
|
01/12/23
|
The BNY Mellon
|
6,722
|
|
EUR
|
1,650,500
|
USD
|
1,649,663
|
01/12/23
|
UBS AG
|
112,824
|
|
GBP
|
338,600
|
USD
|
406,924
|
01/12/23
|
Bank of America, N.A.
|
465
|
|
GBP
|
358,200
|
USD
|
435,642
|
01/12/23
|
Barclays Bank Plc
|
(4,671)
|
|
GBP
|
720,000
|
USD
|
867,826
|
01/12/23
|
HSBC Bank Plc
|
(1,554)
|
|
GBP
|
2,411,400
|
USD
|
2,785,467
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
115,822
|
|
GBP
|
3,685,057
|
USD
|
4,107,106
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
327,299
|
|
GBP
|
600,000
|
USD
|
709,426
|
01/12/23
|
State Street Bank London
|
12,468
|
|
GBP
|
352,900
|
USD
|
434,383
|
01/12/23
|
State Street Bank London
|
(9,789)
|
|
HUF
|
127,290,000
|
USD
|
327,300
|
01/12/23
|
Bank of New York
|
11,044
|
|
HUF
|
684,017,738
|
USD
|
1,646,831
|
01/12/23
|
Barclays Bank Plc
|
171,326
|
|
HUF
|
340,101,800
|
USD
|
834,667
|
01/12/23
|
Deutsche Bank AG
|
69,343
|
|
HUF
|
20,420,000
|
USD
|
52,026
|
01/12/23
|
Goldman Sachs International
|
2,251
|
|
HUF
|
207,830,000
|
USD
|
518,996
|
01/12/23
|
HSBC Bank Plc
|
33,428
|
|
HUF
|
715,051,700
|
USD
|
1,808,784
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
91,865
|
|
HUF
|
2,053,368,400
|
USD
|
4,673,502
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
777,061
|
|
HUF
|
3,114,977,300
|
USD
|
7,245,737
|
02/13/23
|
JPMorgan Chase Bank N.A.
|
962,009
|
|
HUF
|
361,905,500
|
USD
|
863,162
|
01/12/23
|
State Street Bank London
|
98,803
|
|
HUF
|
101,010,000
|
USD
|
266,019
|
01/12/23
|
The BNY Mellon
|
2,471
|
|
HUF
|
1,019,043,000
|
USD
|
2,590,347
|
01/12/23
|
UBS AG
|
118,328
|
|
IDR
|
2,521,350,000
|
USD
|
160,289
|
01/12/23
|
Bank of America, N.A.
|
3,073
|
|
IDR
|
1,530,209,884
|
USD
|
97,884
|
01/12/23
|
Barclays Bank Plc
|
1,261
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
IDR
|
3,969,839,800
|
USD
|
254,195
|
01/12/23
|
Citibank N.A.
|
$3,017
|
|
IDR
|
7,314,650,000
|
USD
|
464,894
|
01/12/23
|
Deutsche Bank AG
|
9,032
|
|
IDR
|
63,142,658,100
|
USD
|
4,025,873
|
01/12/23
|
HSBC Bank Plc
|
65,233
|
|
IDR
|
15,882,997,503
|
USD
|
1,017,223
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
11,859
|
|
IDR
|
18,910,579,900
|
USD
|
1,228,279
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
(13,690)
|
|
IDR
|
2,706,459,000
|
USD
|
174,430
|
01/30/23
|
JPMorgan Chase Bank N.A.
|
(625)
|
|
IDR
|
6,274,937,797
|
USD
|
404,784
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
1,779
|
|
IDR
|
4,493,295,116
|
USD
|
287,464
|
01/12/23
|
NatWest Markets Plc
|
3,663
|
|
IDR
|
7,093,644,500
|
USD
|
449,944
|
01/12/23
|
UBS AG
|
9,664
|
|
INR
|
36,191,200
|
USD
|
436,236
|
01/12/23
|
Bank of America, N.A.
|
932
|
|
INR
|
71,714,000
|
USD
|
868,166
|
01/12/23
|
Barclays Bank Plc
|
(1,904)
|
|
INR
|
47,580,000
|
USD
|
573,820
|
01/12/23
|
Barclays Bank Plc
|
918
|
|
INR
|
118,402,100
|
USD
|
1,446,044
|
01/12/23
|
Citibank N.A.
|
(15,817)
|
|
INR
|
178,570,000
|
USD
|
2,183,361
|
01/12/23
|
Deutsche Bank AG
|
(26,342)
|
|
INR
|
199,252,900
|
USD
|
2,391,699
|
01/12/23
|
HSBC Bank Plc
|
15,158
|
|
INR
|
34,764,000
|
USD
|
421,971
|
01/12/23
|
HSBC Bank Plc
|
(2,043)
|
|
INR
|
59,304,600
|
USD
|
723,183
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(6,818)
|
|
INR
|
43,580,000
|
USD
|
524,877
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
1,544
|
|
INR
|
57,371,200
|
USD
|
693,742
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(733)
|
|
INR
|
23,074,400
|
USD
|
278,403
|
01/12/23
|
NatWest Markets Plc
|
322
|
|
JPY
|
301,787,088
|
USD
|
2,070,489
|
01/12/23
|
Bank of America, N.A.
|
218,907
|
|
JPY
|
822,788,700
|
USD
|
6,069,716
|
01/12/23
|
HSBC Bank Plc
|
172,065
|
|
JPY
|
306,551,800
|
USD
|
2,238,487
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
87,054
|
|
JPY
|
796,977,021
|
USD
|
5,566,162
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
484,501
|
|
JPY
|
644,482,000
|
USD
|
4,609,108
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
280,016
|
|
JPY
|
295,040,000
|
USD
|
2,208,081
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
31,868
|
|
JPY
|
102,070,000
|
USD
|
744,104
|
01/12/23
|
State Street Bank London
|
30,213
|
|
KRW
|
14,220,022,000
|
USD
|
10,723,190
|
02/21/23
|
JPMorgan Chase Bank N.A.
|
534,955
|
|
MXN
|
41,254,017
|
USD
|
2,095,750
|
01/12/23
|
Bank of America, N.A.
|
18,217
|
|
MXN
|
12,760,000
|
USD
|
657,159
|
01/12/23
|
Bank of America, N.A.
|
(3,303)
|
|
MXN
|
4,554,200
|
USD
|
229,541
|
01/12/23
|
Citibank N.A.
|
3,829
|
|
MXN
|
16,987,500
|
USD
|
855,654
|
01/12/23
|
HSBC Bank Plc
|
14,831
|
|
MXN
|
30,683,609
|
USD
|
1,555,773
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
16,538
|
|
MXN
|
21,780,000
|
USD
|
1,087,114
|
03/14/23
|
JPMorgan Chase Bank N.A.
|
16,628
|
|
MXN
|
146,879,774
|
USD
|
7,473,559
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
52,955
|
|
MXN
|
7,466,000
|
USD
|
383,037
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(459)
|
|
MXN
|
100,244,880
|
USD
|
4,966,871
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
164,377
|
|
MXN
|
1,620,000
|
USD
|
83,846
|
01/12/23
|
The BNY Mellon
|
(832)
|
|
MYR
|
4,077,900
|
USD
|
880,621
|
01/12/23
|
Barclays Bank Plc
|
51,929
|
|
MYR
|
12,454,600
|
USD
|
2,788,235
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
59,934
|
|
NOK
|
50,532,624
|
USD
|
4,723,249
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
409,377
|
|
NZD
|
1,001,000
|
USD
|
620,915
|
01/12/23
|
Bank of America, N.A.
|
12,227
|
|
NZD
|
1,720,700
|
USD
|
991,767
|
01/12/23
|
Barclays Bank Plc
|
96,593
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
NZD
|
17,941
|
USD
|
10,190
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
$1,159
|
|
NZD
|
2,488,950
|
USD
|
1,459,772
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
114,513
|
|
NZD
|
830,000
|
USD
|
511,754
|
01/12/23
|
State Street Bank London
|
13,229
|
|
PEN
|
2,662,800
|
USD
|
690,202
|
01/12/23
|
Bank of America, N.A.
|
7,468
|
|
PEN
|
4,200,200
|
USD
|
1,094,731
|
01/12/23
|
Citibank N.A.
|
5,748
|
|
PEN
|
1,390,000
|
USD
|
364,254
|
01/12/23
|
Citibank N.A.
|
(65)
|
|
PEN
|
3,400,000
|
USD
|
875,499
|
01/12/23
|
HSBC Bank Plc
|
15,323
|
|
PEN
|
757,000
|
USD
|
198,401
|
01/20/23
|
JPMorgan Chase Bank N.A.
|
(229)
|
|
PHP
|
32,159,600
|
USD
|
577,922
|
01/12/23
|
Bank of America, N.A.
|
1,410
|
|
PHP
|
18,096,586
|
USD
|
327,801
|
01/12/23
|
Barclays Bank Plc
|
(1,804)
|
|
PHP
|
12,962,700
|
USD
|
226,265
|
01/12/23
|
Citibank N.A.
|
7,249
|
|
PHP
|
97,086,200
|
USD
|
1,737,716
|
01/12/23
|
Deutsche Bank AG
|
11,222
|
|
PHP
|
133,063,400
|
USD
|
2,293,473
|
01/12/23
|
HSBC Bank Plc
|
103,567
|
|
PHP
|
4,893,414
|
USD
|
88,604
|
01/12/23
|
HSBC Bank Plc
|
(453)
|
|
PHP
|
111,139,200
|
USD
|
1,866,502
|
01/09/23
|
JPMorgan Chase Bank N.A.
|
127,319
|
|
PHP
|
183,480,300
|
USD
|
3,083,009
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
207,823
|
|
PHP
|
111,139,200
|
USD
|
1,991,100
|
02/09/23
|
JPMorgan Chase Bank N.A.
|
1,127
|
|
PHP
|
71,580,000
|
USD
|
1,244,623
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
44,840
|
|
PHP
|
25,770,000
|
USD
|
466,932
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(2,704)
|
|
PLN
|
2,359,800
|
USD
|
522,507
|
01/12/23
|
Bank of America, N.A.
|
15,201
|
|
PLN
|
1,950,000
|
USD
|
442,913
|
01/12/23
|
Goldman Sachs International
|
1,418
|
|
PLN
|
19,381,600
|
USD
|
4,137,897
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
278,433
|
|
PLN
|
39,930,150
|
USD
|
8,179,056
|
02/13/23
|
JPMorgan Chase Bank N.A.
|
894,770
|
|
PLN
|
8,129,000
|
USD
|
1,807,797
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
44,492
|
|
PLN
|
3,870,000
|
USD
|
872,918
|
01/12/23
|
The BNY Mellon
|
8,908
|
|
PLN
|
25,248,618
|
USD
|
5,270,573
|
01/12/23
|
UBS AG
|
482,626
|
|
RON
|
10,587,800
|
USD
|
2,148,918
|
01/12/23
|
Barclays Bank Plc
|
134,308
|
|
RON
|
14,767,500
|
USD
|
3,093,171
|
01/12/23
|
Goldman Sachs International
|
91,394
|
|
RON
|
20,391,400
|
USD
|
4,081,295
|
01/12/23
|
HSBC Bank Plc
|
316,046
|
|
RON
|
3,662,478
|
USD
|
792,700
|
01/12/23
|
HSBC Bank Plc
|
(2,898)
|
|
RON
|
297,522
|
USD
|
64,442
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(283)
|
|
RON
|
2,041,400
|
USD
|
416,679
|
01/12/23
|
UBS AG
|
23,543
|
|
THB
|
21,934,900
|
USD
|
630,677
|
01/12/23
|
Barclays Bank Plc
|
3,107
|
|
THB
|
16,714,300
|
USD
|
445,275
|
01/12/23
|
Goldman Sachs International
|
37,665
|
|
THB
|
82,201,800
|
USD
|
2,328,485
|
01/12/23
|
HSBC Bank Plc
|
46,643
|
|
THB
|
19,637,400
|
USD
|
551,737
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
15,664
|
|
THB
|
655,742,013
|
USD
|
17,465,530
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
1,481,390
|
|
USD
|
2,868,665
|
AUD
|
4,221,500
|
01/12/23
|
Bank of America, N.A.
|
4,921
|
|
USD
|
2,486,139
|
AUD
|
3,680,000
|
01/12/23
|
Bank of America, N.A.
|
(10,267)
|
|
USD
|
681,231
|
AUD
|
1,040,000
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(24,275)
|
|
USD
|
1,608,618
|
AUD
|
2,345,100
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
17,769
|
|
USD
|
114,737
|
AUD
|
170,000
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(586)
|
|
USD
|
576,490
|
AUD
|
852,000
|
01/12/23
|
State Street Bank London
|
(1,482)
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
1,148,741
|
AUD
|
1,685,600
|
01/12/23
|
State Street Bank London
|
$5,279
|
|
USD
|
1,031,048
|
BRL
|
5,614,264
|
02/02/23
|
Bank of America, N.A.
|
(26,516)
|
|
USD
|
877,704
|
BRL
|
4,640,000
|
02/02/23
|
Barclays Bank Plc
|
3,663
|
|
USD
|
1,341,192
|
BRL
|
7,150,100
|
02/02/23
|
Citibank N.A.
|
(5,679)
|
|
USD
|
637,166
|
BRL
|
3,420,000
|
02/02/23
|
Deutsche Bank AG
|
(7,063)
|
|
USD
|
1,061,640
|
BRL
|
5,570,000
|
02/02/23
|
Goldman Sachs International
|
12,414
|
|
USD
|
1,083,206
|
BRL
|
5,770,000
|
02/02/23
|
Goldman Sachs International
|
(3,695)
|
|
USD
|
251,448
|
BRL
|
1,344,242
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(2,445)
|
|
USD
|
119,506
|
BRL
|
640,000
|
02/02/23
|
JPMorgan Chase Bank N.A.
|
(1,051)
|
|
USD
|
200,068
|
BRL
|
1,062,000
|
02/22/23
|
JPMorgan Chase Bank N.A.
|
711
|
|
USD
|
1,742,015
|
BRL
|
9,364,200
|
02/22/23
|
JPMorgan Chase Bank N.A.
|
(15,815)
|
|
USD
|
629,506
|
BRL
|
3,350,000
|
02/02/23
|
UBS AG
|
(1,536)
|
|
USD
|
1,566,991
|
CAD
|
2,119,800
|
01/12/23
|
Bank of America, N.A.
|
2,436
|
|
USD
|
1,314,730
|
CAD
|
1,760,000
|
01/12/23
|
HSBC Bank Plc
|
15,732
|
|
USD
|
1,768,767
|
CAD
|
2,429,700
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
(24,567)
|
|
USD
|
832,753
|
CAD
|
1,133,200
|
01/12/23
|
State Street Bank London
|
(3,625)
|
|
USD
|
2,525,406
|
CHF
|
2,439,427
|
01/12/23
|
Bank of America, N.A.
|
(113,503)
|
|
USD
|
1,303,422
|
CHF
|
1,280,000
|
01/12/23
|
HSBC Bank Plc
|
(81,248)
|
|
USD
|
634,527
|
CHF
|
620,000
|
01/12/23
|
State Street Bank London
|
(36,172)
|
|
USD
|
1,491,211
|
CLP
|
1,285,687,880
|
01/12/23
|
Bank of America, N.A.
|
(16,721)
|
|
USD
|
1,742,601
|
CLP
|
1,600,840,000
|
01/12/23
|
Barclays Bank Plc
|
(134,960)
|
|
USD
|
468,761
|
CLP
|
399,450,000
|
01/12/23
|
Goldman Sachs International
|
262
|
|
USD
|
49,207
|
CLP
|
43,625,684
|
01/12/23
|
HSBC Bank Plc
|
(1,960)
|
|
USD
|
1,775,089
|
CLP
|
1,574,918,500
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(72,069)
|
|
USD
|
79,375
|
CLP
|
70,923,000
|
02/21/23
|
JPMorgan Chase Bank N.A.
|
(3,413)
|
|
USD
|
2,312,931
|
CLP
|
2,046,859,436
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(87,747)
|
|
USD
|
741,663
|
CNH
|
5,170,000
|
01/12/23
|
Goldman Sachs International
|
(6,095)
|
|
USD
|
1,207,147
|
CNH
|
8,719,000
|
01/12/23
|
HSBC Bank Plc
|
(53,918)
|
|
USD
|
1,706,515
|
CNH
|
11,851,100
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(7,559)
|
|
USD
|
9,683,091
|
CNH
|
68,033,400
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
(160,335)
|
|
USD
|
1,869,413
|
CNH
|
13,050,000
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(18,863)
|
|
USD
|
791,415
|
CNH
|
5,771,000
|
02/13/23
|
JPMorgan Chase Bank N.A.
|
(45,219)
|
|
USD
|
3,893,427
|
CNH
|
27,083,600
|
03/06/23
|
JPMorgan Chase Bank N.A.
|
(39,656)
|
|
USD
|
6,044,131
|
CNH
|
42,197,100
|
03/14/23
|
JPMorgan Chase Bank N.A.
|
(87,481)
|
|
USD
|
894,503
|
CNH
|
6,227,100
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(6,148)
|
|
USD
|
417,371
|
CNY
|
2,960,000
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(8,884)
|
|
USD
|
1,939,530
|
CNY
|
13,520,000
|
01/12/23
|
State Street Bank London
|
(6,554)
|
|
USD
|
675,461
|
COP
|
3,355,012,800
|
01/12/23
|
Bank of America, N.A.
|
(15,362)
|
|
USD
|
1,142,611
|
COP
|
5,534,047,800
|
01/12/23
|
Bank of America, N.A.
|
3,108
|
|
USD
|
2,164,746
|
COP
|
10,435,756,300
|
01/12/23
|
Citibank N.A.
|
15,945
|
|
USD
|
383,754
|
COP
|
1,859,501,323
|
01/12/23
|
Deutsche Bank AG
|
869
|
|
USD
|
174,364
|
COP
|
863,680,000
|
01/12/23
|
Goldman Sachs International
|
(3,474)
|
|
USD
|
649,760
|
COP
|
3,136,510,681
|
01/12/23
|
Goldman Sachs International
|
3,929
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
1,858,799
|
COP
|
8,943,675,777
|
01/12/23
|
HSBC Bank Plc
|
$17,229
|
|
USD
|
227,021
|
COP
|
1,099,729,319
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
578
|
|
USD
|
578,579
|
COP
|
2,821,673,100
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(2,425)
|
|
USD
|
3,993,417
|
COP
|
19,374,663,700
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
7,368
|
|
USD
|
132,847
|
COP
|
646,302,000
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
(120)
|
|
USD
|
642,498
|
COP
|
3,093,100,000
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
5,605
|
|
USD
|
1,646,348
|
COP
|
8,312,014,889
|
01/12/23
|
UBS AG
|
(65,159)
|
|
USD
|
1,328,568
|
CZK
|
30,070,800
|
01/12/23
|
Deutsche Bank AG
|
514
|
|
USD
|
5,611
|
CZK
|
130,000
|
01/12/23
|
Goldman Sachs International
|
(131)
|
|
USD
|
226,437
|
CZK
|
5,220,431
|
01/12/23
|
HSBC Bank Plc
|
(4,120)
|
|
USD
|
1,564,476
|
CZK
|
36,079,273
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(28,937)
|
|
USD
|
862,081
|
CZK
|
20,130,000
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(26,945)
|
|
USD
|
2,013,819
|
CZK
|
47,281,596
|
01/12/23
|
State Street Bank London
|
(74,335)
|
|
USD
|
621,624
|
CZK
|
14,158,200
|
01/12/23
|
UBS AG
|
(3,662)
|
|
USD
|
276,546
|
EUR
|
266,000
|
01/03/23
|
Bank of America, N.A.
|
(7,343)
|
|
USD
|
4,178,607
|
EUR
|
4,120,000
|
01/12/23
|
Bank of America, N.A.
|
(220,938)
|
|
USD
|
1,281,551
|
EUR
|
1,199,000
|
01/19/23
|
Bank of America, N.A.
|
617
|
|
USD
|
915,298
|
EUR
|
860,000
|
01/30/23
|
Bank of America, N.A.
|
(4,127)
|
|
USD
|
730,934
|
EUR
|
687,000
|
01/31/23
|
Bank of America, N.A.
|
(3,585)
|
|
USD
|
283,944
|
EUR
|
266,000
|
02/03/23
|
Bank of America, N.A.
|
(510)
|
|
USD
|
259,406
|
EUR
|
245,000
|
01/17/23
|
Barclays Bank Plc
|
(2,302)
|
|
USD
|
330,420
|
EUR
|
310,000
|
01/27/23
|
Barclays Bank Plc
|
(936)
|
|
USD
|
282,676
|
EUR
|
266,000
|
01/30/23
|
Barclays Bank Plc
|
(1,704)
|
|
USD
|
1,455,487
|
EUR
|
1,366,000
|
01/31/23
|
Barclays Bank Plc
|
(4,997)
|
|
USD
|
1,277,816
|
EUR
|
1,201,000
|
01/30/23
|
BNP Paribas S.A.
|
(6,171)
|
|
USD
|
1,130,991
|
EUR
|
1,063,000
|
01/30/23
|
Citibank N.A.
|
(5,461)
|
|
USD
|
2,503,086
|
EUR
|
2,349,000
|
01/31/23
|
Citibank N.A.
|
(8,389)
|
|
USD
|
850,607
|
EUR
|
799,000
|
01/30/23
|
Commonwealth Bank of Australia
|
(3,602)
|
|
USD
|
1,139,727
|
EUR
|
1,072,000
|
01/23/23
|
Deutsche Bank AG
|
(5,826)
|
|
USD
|
190,397
|
EUR
|
179,000
|
01/30/23
|
Goldman Sachs & Co.
|
(972)
|
|
USD
|
3,404,299
|
EUR
|
3,269,400
|
01/12/23
|
HSBC Bank Plc
|
(86,932)
|
|
USD
|
1,383,466
|
EUR
|
1,300,000
|
01/27/23
|
HSBC Bank USA, N.A.
|
(6,091)
|
|
USD
|
1,794,662
|
EUR
|
1,700,800
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(21,539)
|
|
USD
|
1,732,240
|
EUR
|
1,656,900
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(37,082)
|
|
USD
|
118,504
|
EUR
|
114,000
|
01/03/23
|
Morgan Stanley Capital Services, Inc.
|
(3,163)
|
|
USD
|
1,997,365
|
EUR
|
1,987,942
|
01/18/23
|
Morgan Stanley Capital Services, Inc.
|
(126,287)
|
|
USD
|
491,030
|
EUR
|
462,000
|
01/23/23
|
Morgan Stanley Capital Services, Inc.
|
(2,669)
|
|
USD
|
536,370
|
EUR
|
505,000
|
01/27/23
|
Morgan Stanley Capital Services, Inc.
|
(3,420)
|
|
USD
|
1,010,524
|
EUR
|
950,000
|
01/30/23
|
Morgan Stanley Capital Services, Inc.
|
(5,119)
|
|
USD
|
121,798
|
EUR
|
114,000
|
02/03/23
|
Morgan Stanley Capital Services, Inc.
|
(111)
|
|
USD
|
904,340
|
EUR
|
850,000
|
01/23/23
|
Standard Chartered Bank
|
(3,980)
|
|
USD
|
81,898
|
EUR
|
77,000
|
01/30/23
|
Standard Chartered Bank
|
(422)
|
|
USD
|
778,612
|
EUR
|
732,000
|
01/30/23
|
State Street Bank and Trust
|
(3,968)
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
885,055
|
EUR
|
837,000
|
01/12/23
|
State Street Bank London
|
$(8,736)
|
|
USD
|
1,595,676
|
EUR
|
1,500,000
|
01/23/23
|
UBS AG
|
(7,243)
|
|
USD
|
418,354
|
GBP
|
340,000
|
01/12/23
|
Bank of America, N.A.
|
9,281
|
|
USD
|
521,347
|
GBP
|
429,000
|
01/23/23
|
Bank of America, N.A.
|
5,042
|
|
USD
|
152,167
|
GBP
|
125,000
|
01/23/23
|
Barclays Bank Plc
|
1,728
|
|
USD
|
977,843
|
GBP
|
802,000
|
01/23/23
|
BNP Paribas S.A.
|
12,629
|
|
USD
|
13,370,430
|
GBP
|
11,494,985
|
01/18/23
|
Goldman Sachs & Co.
|
(462,037)
|
|
USD
|
545,150
|
GBP
|
470,000
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(20,333)
|
|
USD
|
871,367
|
GBP
|
709,700
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
17,487
|
|
USD
|
711,807
|
GBP
|
591,000
|
01/30/23
|
Standard Chartered Bank
|
401
|
|
USD
|
472,045
|
GBP
|
388,800
|
01/12/23
|
The BNY Mellon
|
4,258
|
|
USD
|
2,495,141
|
GBP
|
2,154,081
|
01/12/23
|
UBS AG
|
(96,553)
|
|
USD
|
200,248
|
HUF
|
85,131,500
|
01/12/23
|
Bank of America, N.A.
|
(26,036)
|
|
USD
|
723,282
|
HUF
|
307,286,400
|
01/12/23
|
HSBC Bank Plc
|
(93,503)
|
|
USD
|
3,478,233
|
HUF
|
1,394,657,600
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(228,845)
|
|
USD
|
3,985,375
|
HUF
|
1,717,034,100
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
(572,405)
|
|
USD
|
112,574
|
HUF
|
45,292,000
|
02/13/23
|
JPMorgan Chase Bank N.A.
|
(6,767)
|
|
USD
|
1,634,570
|
HUF
|
652,237,200
|
01/12/23
|
UBS AG
|
(99,114)
|
|
USD
|
783,241
|
IDR
|
12,082,280,000
|
01/12/23
|
Bank of America, N.A.
|
413
|
|
USD
|
376,280
|
IDR
|
5,858,307,900
|
01/12/23
|
Deutsche Bank AG
|
(3,288)
|
|
USD
|
3,955,297
|
IDR
|
61,886,497,496
|
01/12/23
|
HSBC Bank Plc
|
(54,421)
|
|
USD
|
482,154
|
IDR
|
7,402,989,150
|
01/12/23
|
HSBC Bank Plc
|
2,503
|
|
USD
|
146,111
|
IDR
|
2,282,987,772
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(1,807)
|
|
USD
|
5,012,157
|
IDR
|
76,514,472,712
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
97,842
|
|
USD
|
6,639,235
|
IDR
|
103,748,006,541
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(24,216)
|
|
USD
|
2,834,984
|
IDR
|
44,208,740,400
|
01/19/23
|
JPMorgan Chase Bank N.A.
|
(4,391)
|
|
USD
|
2,827,449
|
IDR
|
44,212,815,400
|
01/20/23
|
JPMorgan Chase Bank N.A.
|
(12,156)
|
|
USD
|
3,008,730
|
IDR
|
47,301,931,500
|
01/30/23
|
JPMorgan Chase Bank N.A.
|
(28,939)
|
|
USD
|
1,412,943
|
IDR
|
21,998,102,800
|
01/30/23
|
JPMorgan Chase Bank N.A.
|
253
|
|
USD
|
2,161,335
|
INR
|
177,855,700
|
01/12/23
|
Citibank N.A.
|
12,944
|
|
USD
|
1,082,540
|
INR
|
89,680,100
|
01/12/23
|
Citibank N.A.
|
(743)
|
|
USD
|
1,617,980
|
INR
|
135,101,300
|
01/12/23
|
Goldman Sachs International
|
(13,964)
|
|
USD
|
1,381,943
|
INR
|
112,380,000
|
01/12/23
|
HSBC Bank Plc
|
24,459
|
|
USD
|
4,859,691
|
INR
|
404,958,014
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(31,961)
|
|
USD
|
1,152,065
|
INR
|
94,912,800
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
5,576
|
|
USD
|
462,991
|
JPY
|
61,820,000
|
01/12/23
|
Citibank N.A.
|
(5,984)
|
|
USD
|
1,413,229
|
JPY
|
205,660,000
|
01/18/23
|
Goldman Sachs & Co.
|
(148,145)
|
|
USD
|
2,166,143
|
JPY
|
282,920,000
|
01/18/23
|
Goldman Sachs & Co.
|
18,210
|
|
USD
|
1,663,785
|
JPY
|
229,311,600
|
01/12/23
|
Goldman Sachs International
|
(75,803)
|
|
USD
|
4,308,912
|
JPY
|
611,650,800
|
01/12/23
|
HSBC Bank Plc
|
(331,149)
|
|
USD
|
2,712,131
|
JPY
|
357,090,000
|
01/12/23
|
HSBC Bank Plc
|
3,200
|
|
USD
|
3,373,165
|
JPY
|
482,169,900
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(284,637)
|
|
USD
|
235,199
|
JPY
|
34,290,000
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(25,131)
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
917,412
|
JPY
|
124,350,000
|
01/12/23
|
State Street Bank London
|
$(25,923)
|
|
USD
|
1,707,726
|
JPY
|
237,709,700
|
01/12/23
|
The BNY Mellon
|
(95,570)
|
|
USD
|
628,784
|
JPY
|
85,400,000
|
01/12/23
|
UBS AG
|
(19,071)
|
|
USD
|
91,196
|
KRW
|
120,296,000
|
02/21/23
|
JPMorgan Chase Bank N.A.
|
(4,043)
|
|
USD
|
1,506,094
|
MXN
|
30,113,600
|
01/12/23
|
Bank of America, N.A.
|
(37,008)
|
|
USD
|
525,518
|
MXN
|
10,235,100
|
01/12/23
|
Bank of America, N.A.
|
1,044
|
|
USD
|
1,741,553
|
MXN
|
35,482,393
|
01/18/23
|
Bank of America, N.A.
|
(74,690)
|
|
USD
|
2,259,755
|
MXN
|
45,017,800
|
01/12/23
|
Barclays Bank Plc
|
(47,079)
|
|
USD
|
463,515
|
MXN
|
9,101,300
|
01/12/23
|
Citibank N.A.
|
(2,860)
|
|
USD
|
9,741,643
|
MXN
|
193,564,403
|
01/12/23
|
HSBC Bank Plc
|
(177,116)
|
|
USD
|
239,046
|
MXN
|
4,682,984
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(922)
|
|
USD
|
1,356,885
|
MXN
|
27,675,984
|
01/18/23
|
JPMorgan Chase Bank N.A.
|
(59,769)
|
|
USD
|
2,069,913
|
MXN
|
40,495,100
|
03/14/23
|
JPMorgan Chase Bank N.A.
|
17,748
|
|
USD
|
245,536
|
MXN
|
4,943,000
|
03/14/23
|
JPMorgan Chase Bank N.A.
|
(4,960)
|
|
USD
|
1,485,239
|
MXN
|
29,428,700
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(22,768)
|
|
USD
|
994,099
|
MXN
|
19,317,416
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
4,222
|
|
USD
|
4,669
|
MXN
|
90,000
|
01/12/23
|
State Street Bank London
|
57
|
|
USD
|
49,796
|
MXN
|
990,000
|
01/12/23
|
UBS AG
|
(934)
|
|
USD
|
1,433,188
|
MYR
|
6,679,240
|
01/12/23
|
Goldman Sachs International
|
(94,248)
|
|
USD
|
1,773,228
|
MYR
|
8,193,900
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(100,586)
|
|
USD
|
869,820
|
NZD
|
1,358,600
|
01/12/23
|
Bank of America, N.A.
|
10,492
|
|
USD
|
1,907,203
|
NZD
|
3,212,900
|
01/12/23
|
HSBC Bank Plc
|
(124,988)
|
|
USD
|
915,027
|
NZD
|
1,469,100
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(14,193)
|
|
USD
|
4,195,926
|
PEN
|
16,808,880
|
01/12/23
|
Bank of America, N.A.
|
(208,107)
|
|
USD
|
2,590,655
|
PEN
|
10,007,700
|
01/13/23
|
JPMorgan Chase Bank N.A.
|
(31,150)
|
|
USD
|
2,603,899
|
PEN
|
10,018,500
|
01/20/23
|
JPMorgan Chase Bank N.A.
|
(18,802)
|
|
USD
|
685,146
|
PEN
|
2,634,200
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(5,031)
|
|
USD
|
15,029
|
PHP
|
843,626
|
01/12/23
|
Bank of America, N.A.
|
(168)
|
|
USD
|
1,524,789
|
PHP
|
89,090,360
|
01/12/23
|
Deutsche Bank AG
|
(80,110)
|
|
USD
|
1,674,239
|
PHP
|
95,953,174
|
01/12/23
|
HSBC Bank Plc
|
(54,287)
|
|
USD
|
1,992,813
|
PHP
|
111,139,200
|
01/09/23
|
JPMorgan Chase Bank N.A.
|
(1,009)
|
|
USD
|
44,348
|
PHP
|
2,485,000
|
01/17/23
|
JPMorgan Chase Bank N.A.
|
(222)
|
|
USD
|
1,414,923
|
PHP
|
79,480,200
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(16,855)
|
|
USD
|
1,410,223
|
PLN
|
6,492,500
|
01/12/23
|
Citibank N.A.
|
(69,172)
|
|
USD
|
96,191
|
PLN
|
440,000
|
01/12/23
|
Goldman Sachs International
|
(4,068)
|
|
USD
|
2,111,175
|
PLN
|
9,442,100
|
01/12/23
|
HSBC Bank Plc
|
(40,321)
|
|
USD
|
1,479,338
|
PLN
|
7,002,600
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(116,288)
|
|
USD
|
183,662
|
PLN
|
831,000
|
02/13/23
|
JPMorgan Chase Bank N.A.
|
(5,177)
|
|
USD
|
868,360
|
PLN
|
4,020,000
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(47,645)
|
|
USD
|
339,849
|
PLN
|
1,498,200
|
01/12/23
|
UBS AG
|
(1,534)
|
|
USD
|
5,162,259
|
RON
|
25,690,500
|
01/12/23
|
Bank of America, N.A.
|
(377,815)
|
|
USD
|
6,052,956
|
RON
|
29,494,738
|
01/12/23
|
HSBC Bank Plc
|
(307,490)
|
|
USD
|
1,191,139
|
RON
|
5,557,462
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(7,310)
|
|
Currency Purchased
|
Currency Sold
|
Settlement
Date
|
Counterparty
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
1,200,041
|
RON
|
5,604,400
|
01/12/23
|
UBS AG
|
$(8,530)
|
|
USD
|
874,717
|
RON
|
4,050,800
|
01/12/23
|
UBS AG
|
1,175
|
|
USD
|
1,460,633
|
THB
|
54,180,000
|
01/12/23
|
Barclays Bank Plc
|
(104,836)
|
|
USD
|
635,490
|
THB
|
22,150,000
|
01/12/23
|
Goldman Sachs International
|
(4,509)
|
|
USD
|
1,003,768
|
THB
|
34,630,000
|
01/12/23
|
HSBC Bank Plc
|
3,174
|
|
USD
|
417,864
|
THB
|
14,634,500
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(4,983)
|
|
USD
|
1,632,472
|
THB
|
56,704,400
|
03/15/23
|
JPMorgan Chase Bank N.A.
|
(15,871)
|
|
USD
|
1,132,335
|
TRY
|
21,400,000
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(3,095)
|
|
USD
|
1,905,808
|
ZAR
|
33,435,743
|
01/12/23
|
Barclays Bank Plc
|
(57,965)
|
|
USD
|
2,395,945
|
ZAR
|
42,806,021
|
01/12/23
|
Citibank N.A.
|
(118,169)
|
|
USD
|
2,539,337
|
ZAR
|
45,062,765
|
01/12/23
|
HSBC Bank Plc
|
(107,322)
|
|
USD
|
2,981,279
|
ZAR
|
51,370,770
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
(35,864)
|
|
USD
|
7,357,370
|
ZAR
|
131,766,667
|
02/21/23
|
JPMorgan Chase Bank N.A.
|
(355,016)
|
|
USD
|
674,253
|
ZAR
|
11,800,300
|
03/13/23
|
JPMorgan Chase Bank N.A.
|
(15,262)
|
|
USD
|
466,209
|
ZAR
|
8,220,000
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
(16,575)
|
|
USD
|
296,610
|
ZAR
|
5,300,000
|
01/12/23
|
State Street Bank London
|
(14,674)
|
|
ZAR
|
33,022,932
|
USD
|
1,883,066
|
01/12/23
|
Bank of America, N.A.
|
56,461
|
|
ZAR
|
6,089,500
|
USD
|
351,036
|
01/12/23
|
Barclays Bank Plc
|
6,617
|
|
ZAR
|
11,300,000
|
USD
|
645,493
|
01/12/23
|
Citibank N.A.
|
18,187
|
|
ZAR
|
15,070,000
|
USD
|
863,255
|
01/12/23
|
Deutsche Bank AG
|
21,847
|
|
ZAR
|
7,667,300
|
USD
|
433,677
|
01/12/23
|
HSBC Bank Plc
|
16,644
|
|
ZAR
|
32,338,268
|
USD
|
1,850,568
|
01/12/23
|
JPMorgan Chase Bank N.A.
|
48,747
|
|
ZAR
|
56,617,617
|
USD
|
3,184,033
|
01/12/23
|
Morgan Stanley and Co. International Plc
|
141,274
|
|
ZAR
|
12,438,000
|
USD
|
674,537
|
01/12/23
|
State Street Bank London
|
55,980
|
|
ZAR
|
9,017,700
|
USD
|
513,308
|
01/12/23
|
The BNY Mellon
|
16,326
|
|
|
|
|
|
|
|
$7,225,609
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buys
|
|
|
|
|
|
31
|
10-Year Australian Bond Futures
|
Mar 2023
|
$2,431,931
|
$(139,887)
|
|
510
|
Euro 90-Day
|
Dec 2023
|
121,392,750
|
(2,321,371)
|
|
33
|
Long Gilt Futures
|
Mar 2023
|
3,965,602
|
(219,175)
|
|
3
|
SOFR 90-Day
|
Sep 2023
|
712,800
|
(11,406)
|
|
81
|
SOFR 90-Day
|
Mar 2025
|
19,573,650
|
7,530
|
|
518
|
U.S. Treasury Note 10-Year
|
Mar 2023
|
58,169,781
|
(286,500)
|
|
938
|
U.S. Treasury Note 2-Year
|
Mar 2023
|
192,363,282
|
(421,946)
|
|
441
|
U.S. Treasury Note 5-Year
|
Mar 2023
|
47,596,992
|
(586,269)
|
|
214
|
U.S. Ultra 10-Year
|
Mar 2023
|
25,312,188
|
(564,038)
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
341
|
U.S. Ultra Bond
|
Mar 2023
|
$45,800,563
|
$(35,143)
|
|
|
|
|
|
$(4,578,205)
|
|
Sales
|
|
|
|
|
|
79
|
Euro-Bund
|
Mar 2023
|
$11,207,689
|
$355,095
|
|
13
|
Japan 10-Year Bond
|
Mar 2023
|
14,331,578
|
90,831
|
|
6
|
U.S. Long Bond
|
Mar 2023
|
752,063
|
20,427
|
|
108
|
U.S. Treasury Note 5-Year
|
Mar 2023
|
11,656,406
|
33,570
|
|
|
|
|
|
$499,923
|
|
Type of Contract
|
Counterparty
|
Number of
Contracts
|
Notional
Value
|
Premiums
Received
|
Value at
December 31, 2022
|
|
PUT— S&P 500 E-mini
Futures Option
Strike @ $3,300.00
Expires 02/17/2023
|
JPMorgan
Chase Bank
N.A.
|
3,650
|
$(14,092,650)
|
$(116,359)
|
$(31,938)
|
|
PUT— S&P 500 E-mini
Futures Option
Strike @ $3,300.00
Expires 03/17/2023
|
JPMorgan
Chase Bank
N.A.
|
950
|
(3,667,950)
|
(34,873)
|
(19,950)
|
|
Total Written Options
|
|
|
|
$(151,232)
|
$(51,888)
|
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made
by Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
7.20%
|
Monthly
|
1-Month TIIE
|
Monthly
|
07/17/24
|
$—
|
MXN
|
116,734,200
|
$(267,399)
|
$(267,399)
|
|
3-Month JIBAR
|
Quarterly
|
9.50%
|
Quarterly
|
03/15/33
|
2
|
ZAR
|
1,792,183
|
(1,608)
|
(1,610)
|
|
6-Month BUBOR
|
Semi-Annual
|
10.30%
|
Annual
|
03/15/28
|
6
|
HUF
|
235,549,003
|
8,523
|
8,517
|
|
6-Month WIBOR
|
Semi-Annual
|
7.08%
|
Annual
|
03/15/28
|
9
|
PLN
|
4,170,610
|
(37,320)
|
(37,329)
|
|
6-Month WIBOR
|
Semi-Annual
|
6.76%
|
Annual
|
03/15/28
|
8
|
PLN
|
3,724,846
|
(22,263)
|
(22,272)
|
|
6-Month WIBOR
|
Semi-Annual
|
6.42%
|
Annual
|
03/15/28
|
10
|
PLN
|
4,473,315
|
(13,036)
|
(13,047)
|
|
7-Day CNRR
|
Quarterly
|
2.48%
|
Quarterly
|
03/15/28
|
5
|
CNY
|
3,094,073
|
6,704
|
6,699
|
|
SOFR
|
Annual
|
3.85%
|
Annual
|
06/30/29
|
7,458
|
USD
|
5,950,000
|
(68,409)
|
(75,867)
|
|
SOFR
|
Annual
|
3.05%
|
Annual
|
02/15/48
|
68,527
|
USD
|
2,223,000
|
102,032
|
33,505
|
|
SOFR
|
Annual
|
2.65%
|
Annual
|
08/15/47
|
59,195
|
USD
|
4,982,000
|
565,681
|
506,485
|
|
SOFR
|
Annual
|
2.62%
|
Annual
|
02/15/48
|
(116)
|
USD
|
594,000
|
70,004
|
70,121
|
|
SOFR
|
Annual
|
2.51%
|
Annual
|
02/15/48
|
31,755
|
USD
|
1,747,000
|
238,025
|
206,271
|
|
2.20%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/15/28
|
10
|
THB
|
30,145,343
|
(2,130)
|
(2,139)
|
|
2.52%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/15/28
|
28
|
THB
|
92,838,269
|
34,086
|
34,058
|
|
2.84%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/15/33
|
66
|
THB
|
131,410,959
|
99,374
|
99,308
|
|
Payments
Received
by Fund
|
Payment
Frequency
|
Payments
Made
by Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Premiums
Paid
(Received)
|
Notional
Value
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
|
2.84%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/15/33
|
$6
|
THB
|
11,427,040
|
$8,730
|
$8,724
|
|
3.27%
|
Quarterly
|
Thai Baht Interest Rate Fixing
|
Quarterly
|
03/15/33
|
9
|
THB
|
18,689,901
|
35,150
|
35,141
|
|
|
|
|
|
|
|
|
|
|
$589,166
|
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Counterparty
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable
on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid/
(Received)
|
Value
|
|
730,000
|
EUR
|
12/20/24
|
Morgan Stanley & Co.
|
(1.00%)
|
Quarterly
|
Daimler AG, 1.40%,
01/12/24
|
$11,547
|
$(19,195)
|
$(7,648)
|
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Counterparty
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable
on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid/
(Received)
|
Value
|
|
730,000
|
EUR
|
12/20/24
|
Morgan Stanley & Co.
|
1.00%
|
Quarterly
|
Volkswagen
International Finance
N.V., 0.50%,
03/30/21 (Moody’s
rating: A3; S&P
rating: BBB+)
|
$(8,203)
|
$9,254
|
$1,051
|
|
Total OTC Credit Default Swaps
|
$3,344
|
$(9,941)
|
$(6,597)
|
||||||
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid
(Received)
|
Value
|
|
3,058,400
|
USD
|
12/20/27
|
(5.00%)
|
Quarterly
|
CDX.NA.HY.39**
|
$(143,458)
|
$125,596
|
$(17,863)
|
|
1,380,000
|
USD
|
06/20/26
|
(5.00%)
|
Quarterly
|
General Motors Co.
|
130,364
|
(264,657)
|
(134,292)
|
|
1,330,000
|
USD
|
12/20/27
|
(1.00%)
|
Quarterly
|
The Walt Disney Company
|
74
|
(17,952)
|
(17,878)
|
|
Total Buy Protection
|
$(13,020)
|
$(157,013)
|
$(170,033)
|
|||||
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid
(Received)
|
Value
|
|
1,380,000
|
USD
|
06/20/26
|
5.00%
|
Quarterly
|
Ford Motor Co.
|
$(126,245)
|
$196,911
|
$70,666
|
|
Notional
Amount*
|
Currency
|
Expiration
Date
|
Receive
(Pay)
Fixed
Rate
|
Payment
Frequency
|
Deliverable on Default
|
Unrealized
Appreciation
(Depreciation)
|
Upfront
Premiums
Paid
(Received)
|
Value
|
|
1,330,000
|
USD
|
12/20/27
|
5.00%
|
Quarterly
|
Netflix, Inc.
|
$1,006
|
$209,346
|
$210,351
|
|
Total Sell Protection
|
$(125,239)
|
$406,257
|
$281,017
|
|||||
|
Total Centrally Cleared Credit Default Swaps
|
$(138,259)
|
$249,244
|
$110,984
|
|||||
|
*
|
The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default
swap
contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values
of the
referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts
entered into
by the Fund for the same referenced debt obligation.
|
|
**
|
CDX.NA.HY — Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of
the companies underlying the single name CDS within the index are rated BB and B.
|
|
Currency Abbreviations
|
||
|
AUD
|
—
|
Australian Dollar
|
|
BRL
|
—
|
Brazilian Real
|
|
CAD
|
—
|
Canadian Dollar
|
|
CHF
|
—
|
Swiss Franc
|
|
CLP
|
—
|
Chilean Peso
|
|
CNH
|
—
|
Chinese Yuan Renminbi
|
|
CNY
|
—
|
Chinese Yuan
|
|
COP
|
—
|
Colombian Peso
|
|
CZK
|
—
|
Czech Koruna
|
|
EGP
|
—
|
Egyptian Pound
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
United Kingdom Pound
|
|
GHS
|
—
|
New Ghanaian Cedi
|
|
HUF
|
—
|
Hungarian Forint
|
|
IDR
|
—
|
Indonesian Rupiah
|
|
INR
|
—
|
Indian Rupee
|
|
JPY
|
—
|
Japanese Yen
|
|
KRW
|
—
|
South Korean Won
|
|
MXN
|
—
|
Mexican Peso
|
|
MYR
|
—
|
Malaysian Ringgit
|
|
NOK
|
—
|
Norwegian Krona
|
|
NZD
|
—
|
New Zealand Dollar
|
|
PEN
|
—
|
Peruvian Nuevo Sol
|
|
PHP
|
—
|
Philippines Peso
|
|
PLN
|
—
|
Polish Zloty
|
|
RON
|
—
|
Romanian New Leu
|
|
RUB
|
—
|
Russian Ruble
|
|
THB
|
—
|
Thai Baht
|
|
TRY
|
—
|
Turkish New Lira
|
|
USD
|
—
|
U.S. Dollar
|
|
UYU
|
—
|
Uruguayan Peso
|
|
ZAR
|
—
|
South African Rand
|
|
Abbreviations
|
||
|
BUBOR
|
—
|
Budapest Interbank Offered Rate
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
CMO
|
—
|
Collateralized Mortgage Obligation
|
|
CMT
|
—
|
Constant Maturity Treasury Index
|
|
CNRR
|
—
|
China Fixing Repo Rates
|
|
FHLMC
|
—
|
Federal Home Loan Mortgage Corporation
|
|
FNMA
|
—
|
Federal National Mortgage Association
|
|
GDN
|
—
|
Global Depository Note
|
|
ICE
|
—
|
Intercontinental Exchange
|
|
JIBAR
|
—
|
Johannesburg Interbank Average Rate
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
MTN
|
—
|
Medium Term Note
|
|
PIK
|
—
|
Payment In Kind
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
TIIE
|
—
|
Mexican Interbank Equilibrium Interest Rate
|
|
TSFR
|
—
|
Term Secured Overnight Financing Rate
|
|
UMBS
|
—
|
Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage
loans purchased by either FHLMC or FNMA
|
|
WIBOR
|
—
|
Warsaw Interbank Offer Rate
|
|
Asset Class Summary (Unaudited)
|
% of Net Assets
|
|
Sovereign Debt Obligations
|
34.0
|
|
Corporate Debt
|
33.9
|
|
Bank Loans
|
13.2
|
|
Asset Backed Securities
|
6.3
|
|
Mortgage Backed Securities - Private Issuers
|
5.5
|
|
Convertible Debt
|
0.8
|
|
Forward Foreign Currency Contracts
|
0.6
|
|
Convertible Preferred Stocks
|
0.4
|
|
U.S. Government and Agency Obligations
|
0.3
|
|
Purchased Futures Options
|
0.1
|
|
Centrally Cleared Interest Rate Swaps
|
0.0*
|
|
Mortgage Backed Securities - U.S. Government Agency Obligations
|
0.0*
|
|
Preferred Stocks
|
0.0*
|
|
Purchased Currency Option
|
0.0*
|
|
Common Stocks
|
0.0*
|
|
OTC Credit Default Swaps
|
0.0*
|
|
Written Futures Options
|
0.0*
|
|
Centrally Cleared Credit Default Swaps
|
0.0*
|
|
Futures Contracts
|
(0.4)
|
|
Short-Term Investments
|
2.8
|
|
Other Assets and Liabilities (net)
|
2.5
|
|
|
100.0%
|
|
*
|
Amount rounds to zero.
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 95.7%
|
|
|
|
|
Australia — 0.3%
|
|
|
274,953
|
|
Newcrest Mining, Ltd.
|
3,848,522
|
|
|
|
Brazil — 7.1%
|
|
|
1,273,300
|
|
Ambev SA*
|
3,501,741
|
|
85,000
|
|
Arezzo Industria e Comercio SA
|
1,259,766
|
|
3,518,000
|
|
B3 SA - Brasil Bolsa Balcao
|
8,802,080
|
|
1,219,579
|
|
Banco Bradesco SA*
|
3,111,460
|
|
1,362,400
|
|
Banco BTG Pactual SA
|
6,177,538
|
|
1,080,200
|
|
Banco do Brasil SA
|
7,105,515
|
|
373,900
|
|
BB Seguridade Participacoes SA
|
2,387,266
|
|
5,937,250
|
|
Dexco SA*
|
7,624,330
|
|
2,190,800
|
|
Locaweb Servicos de Internet SA*
|
2,912,906
|
|
14,114
|
|
MercadoLibre, Inc.*
|
11,943,831
|
|
208,200
|
|
Petro Rio SA*
|
1,467,327
|
|
2,129,333
|
|
Raia Drogasil SA*
|
9,566,320
|
|
1,016,100
|
|
Rumo SA
|
3,581,537
|
|
98,100
|
|
Suzano SA
|
896,320
|
|
1,855,500
|
|
TIM SA*
|
4,357,820
|
|
1,121,400
|
|
TOTVS SA*
|
5,866,389
|
|
1,932,300
|
|
Ultrapar Participacoes SA
|
4,615,049
|
|
221,500
|
|
Vale SA
|
3,728,760
|
|
1,710,500
|
|
WEG SA
|
12,476,226
|
|
|
|
|
101,382,181
|
|
|
|
Canada — 0.5%
|
|
|
55,780
|
|
Franco-Nevada Corp.
|
7,612,854
|
|
|
|
Chile — 0.8%
|
|
|
285,563
|
|
Antofagasta Plc
|
5,308,852
|
|
18,139,800
|
|
Banco de Chile
|
1,873,705
|
|
270,461
|
|
Cia Cervecerias Unidas SA, ADR(a)
|
3,548,448
|
|
|
|
|
10,731,005
|
|
|
|
China — 32.0%
|
|
|
412,500
|
|
37 Interactive Entertainment Network Technology Group Co., Ltd. Class A
|
1,074,018
|
|
5,343,200
|
|
Agricultural Bank of China, Ltd. Class H
|
1,834,704
|
|
1,898,000
|
|
Air China, Ltd. Class H *
|
1,690,094
|
|
138,000
|
|
Airtac International Group
|
4,180,117
|
|
2,069,491
|
|
Alibaba Group Holding, Ltd.*
|
22,869,282
|
|
92,800
|
|
Alibaba Group Holding, Ltd., ADR*
|
8,174,752
|
|
1,034,077
|
|
Anhui Guangxin Agrochemical Co., Ltd. Class A
|
4,373,299
|
|
337,899
|
|
Anhui Jinhe Industrial Co., Ltd. Class A
|
1,579,717
|
|
663,700
|
|
Baidu, Inc. Class A *
|
9,498,496
|
|
2,153,483
|
|
Bank of Chengdu Co., Ltd. Class A
|
4,739,602
|
|
24,007,000
|
|
Bank of China, Ltd. Class H
|
8,735,467
|
|
1,627,400
|
|
Bank of Jiangsu Co., Ltd. Class A
|
1,706,596
|
|
128,600
|
|
Beijing United Information Technology Co., Ltd. Class A
|
1,636,058
|
|
122,646
|
|
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. Class A
|
2,235,316
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
China — continued
|
|
|
13,093
|
|
Bilibili, Inc., ADR*
|
310,173
|
|
95,460
|
|
Bilibili, Inc. Class Z *(a)
|
2,284,695
|
|
2,159,500
|
|
BOC Hong Kong Holdings, Ltd.
|
7,359,778
|
|
9,676,000
|
|
China Construction Bank Corp. Class H
|
6,062,260
|
|
5,240,400
|
|
China International Capital Corp., Ltd. Class H
|
10,004,159
|
|
185,200
|
|
China Literature, Ltd.*(a)
|
718,974
|
|
113,000
|
|
China Medical System Holdings, Ltd.
|
177,790
|
|
1,400,000
|
|
China Meidong Auto Holdings, Ltd.
|
2,873,561
|
|
694,000
|
|
China Mengniu Dairy Co., Ltd.*
|
3,147,695
|
|
1,938,500
|
|
China Merchants Bank Co., Ltd. Class H
|
10,841,264
|
|
439,600
|
|
China Pacific Insurance Group Co., Ltd. Class H
|
978,898
|
|
13,102,000
|
|
China Petroleum & Chemical Corp. Class H
|
6,328,617
|
|
822,000
|
|
China Resources Beer Holdings Co., Ltd.
|
5,745,085
|
|
915,700
|
|
China Shenhua Energy Co., Ltd. Class H
|
2,645,633
|
|
388,896
|
|
China Tourism Group Duty Free Corp., Ltd. Class A
|
12,085,275
|
|
430,000
|
|
China Yuhua Education Corp., Ltd.*
|
61,153
|
|
83,894
|
|
China Zhenhua Group Science & Technology Co., Ltd. Class A
|
1,378,542
|
|
53,750
|
|
Cloud Music, Inc.*
|
532,338
|
|
140,836
|
|
Contemporary Amperex Technology Co., Ltd. Class A
|
7,970,381
|
|
1,634,000
|
|
CSPC Pharmaceutical Group, Ltd.
|
1,716,705
|
|
15,300
|
|
Daqo New Energy Corp., ADR*
|
590,733
|
|
508,399
|
|
East Money Information Co., Ltd. Class A
|
1,418,781
|
|
513,700
|
|
ENN Energy Holdings, Ltd.
|
7,213,566
|
|
777,200
|
|
ENN Natural Gas Co., Ltd. Class A
|
1,799,980
|
|
3,603,000
|
|
Focus Media Information Technology Co., Ltd. Class A *
|
3,462,180
|
|
611,716
|
|
Foshan Haitian Flavouring & Food Co., Ltd. Class A
|
7,004,415
|
|
474,800
|
|
Fuyao Glass Industry Group Co., Ltd. Class H
|
1,992,287
|
|
58,300
|
|
Gongniu Group Co., Ltd. Class A
|
1,201,441
|
|
24,000
|
|
GoodWe Technologies Co., Ltd. Class A
|
1,115,434
|
|
179,300
|
|
H World Group, Ltd.
|
773,028
|
|
1,940,400
|
|
Haier Smart Home Co., Ltd. Class H
|
6,613,065
|
|
26,300
|
|
Hangzhou Tigermed Consulting Co., Ltd. Class A
|
396,484
|
|
552,900
|
|
Hangzhou Tigermed Consulting Co., Ltd. Class H 144A
|
6,389,737
|
|
439,142
|
|
Han's Laser Technology Industry Group Co., Ltd. Class A
|
1,620,322
|
|
792,400
|
|
Henan Shenhuo Coal & Power Co., Ltd. Class A
|
1,705,238
|
|
397,360
|
|
Hongfa Technology Co., Ltd. Class A
|
1,909,720
|
|
381,200
|
|
Hualan Biological Engineering, Inc. Class A
|
1,240,928
|
|
3,506,500
|
|
Industrial & Commercial Bank of China, Ltd. Class H
|
1,806,050
|
|
219,350
|
|
JD Health International, Inc.*
|
2,005,218
|
|
543,469
|
|
JD.com, Inc. Class A
|
15,332,817
|
|
190,959
|
|
Jiangsu Hengli Hydraulic Co., Ltd. Class A
|
1,734,692
|
|
358,324
|
|
Jiangsu Hengrui Medicine Co., Ltd. Class A
|
1,986,021
|
|
46,454
|
|
JinkoSolar Holding Co., Ltd., ADR*(a)
|
1,899,040
|
|
484,841
|
|
Joyoung Co., Ltd. Class A
|
1,149,385
|
|
127,585
|
|
KE Holdings, Inc., ADR*
|
1,781,087
|
|
1,095,000
|
|
Kingnet Network Co., Ltd. Class A *
|
1,033,301
|
|
831,800
|
|
Kingsoft Corp., Ltd.
|
2,781,566
|
|
56,013
|
|
Kweichow Moutai Co., Ltd. Class A
|
13,915,222
|
|
799,500
|
|
Longfor Group Holdings, Ltd.(a)
|
2,489,170
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
China — continued
|
|
|
491,912
|
|
LONGi Green Energy Technology Co., Ltd. Class A
|
2,990,377
|
|
56,700
|
|
Luzhou Laojiao Co., Ltd. Class A
|
1,829,290
|
|
446,500
|
|
Meituan Class B *
|
9,994,113
|
|
878,300
|
|
Midea Group Co., Ltd. Class A
|
6,544,578
|
|
119,267
|
|
MINISO Group Holding, Ltd., ADR
|
1,279,735
|
|
398,012
|
|
NARI Technology Co., Ltd. Class A
|
1,396,995
|
|
224,500
|
|
NetEase, Inc.
|
3,293,455
|
|
2,446,000
|
|
Netjoy Holdings, Ltd.
|
391,739
|
|
9,807,000
|
|
Nexteer Automotive Group, Ltd.
|
6,420,768
|
|
21,300
|
|
Ningbo Deye Technology Co., Ltd. Class A
|
1,014,796
|
|
5,110,600
|
|
PetroChina Co., Ltd. Class H
|
2,337,599
|
|
9,212,400
|
|
PICC Property & Casualty Co., Ltd. Class H
|
8,746,230
|
|
70,056
|
|
Pinduoduo, Inc., ADR*
|
5,713,067
|
|
382,300
|
|
Ping An Insurance Group Co. of China, Ltd. Class A
|
2,584,706
|
|
808,000
|
|
Ping An Insurance Group Co. of China, Ltd. Class H
|
5,347,017
|
|
22,000
|
|
Pylon Technologies Co., Ltd. Class A
|
998,936
|
|
1,463,200
|
|
Sany Heavy Industry Co., Ltd. Class A
|
3,325,598
|
|
1,422,500
|
|
Shandong Gold Mining Co., Ltd. Class H (a)
|
2,639,069
|
|
817,996
|
|
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A
|
3,900,710
|
|
389,000
|
|
Shandong Sinocera Functional Material Co., Ltd. Class A
|
1,542,749
|
|
7,326,000
|
|
Shandong Weigao Group Medical Polymer Co., Ltd. Class H (a)
|
12,033,302
|
|
37,562
|
|
Shanghai Friendess Electronic Technology Corp., Ltd. Class A
|
1,172,945
|
|
168,700
|
|
Shanghai Moons' Electric Co., Ltd. Class A
|
808,834
|
|
840,392
|
|
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A
|
2,036,999
|
|
397,700
|
|
Shenzhen Inovance Technology Co., Ltd. Class A
|
3,976,027
|
|
59,500
|
|
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A
|
2,704,405
|
|
316,100
|
|
Shenzhou International Group Holdings, Ltd.
|
3,555,895
|
|
1,086,693
|
|
Sichuan Road and Bridge Group Co., Ltd. Class A
|
1,738,284
|
|
86,000
|
|
Silergy Corp.
|
1,221,356
|
|
418,387
|
|
Sinoseal Holding Co., Ltd. Class A
|
2,341,792
|
|
396,000
|
|
Sunac China Holdings, Ltd.*
|
232,376
|
|
157,500
|
|
Sunny Optical Technology Group Co., Ltd.
|
1,873,667
|
|
240,514
|
|
Sunresin New Materials Co., Ltd. Class A
|
2,407,666
|
|
85,400
|
|
Suzhou Maxwell Technologies Co., Ltd. Class A
|
5,059,358
|
|
946,400
|
|
Tencent Holdings, Ltd.
|
40,499,632
|
|
457,517
|
|
Tencent Music Entertainment Group, ADR*
|
3,788,241
|
|
141,975
|
|
Thunder Software Technology Co., Ltd. Class A
|
2,048,433
|
|
50,093
|
|
Tianqi Lithium Corp. Class A *
|
569,191
|
|
3,912,000
|
|
Tingyi Cayman Islands Holding Corp.(a)
|
6,906,817
|
|
806,000
|
|
Tongcheng Travel Holdings, Ltd.*
|
1,939,369
|
|
303,300
|
|
Tongwei Co., Ltd. Class A
|
1,683,231
|
|
1,289,000
|
|
TravelSky Technology, Ltd. Class H (a)
|
2,725,001
|
|
178,800
|
|
Vipshop Holdings, Ltd., ADR*
|
2,438,832
|
|
5,255,000
|
|
Weichai Power Co., Ltd. Class H
|
7,056,086
|
|
543,898
|
|
Wens Foodstuffs Group Co., Ltd. Class A
|
1,535,843
|
|
331,000
|
|
Wuxi Biologics Cayman, Inc.*
|
2,538,178
|
|
597,211
|
|
Wuxi Lead Intelligent Equipment Co., Ltd. Class A
|
3,457,822
|
|
170,000
|
|
Yangzhou Yangjie Electronic Technology Co., Ltd. Class A
|
1,286,304
|
|
63,200
|
|
YongXing Special Materials Technology Co., Ltd. Class A
|
837,945
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
China — continued
|
|
|
113,731
|
|
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A
|
4,719,255
|
|
186,520
|
|
Zhejiang Huayou Cobalt Co., Ltd. Class A
|
1,492,600
|
|
219,800
|
|
Zhejiang Jiecang Linear Motion Technology Co., Ltd. Class A
|
808,160
|
|
231,100
|
|
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A
|
2,112,967
|
|
700,228
|
|
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A
|
2,137,439
|
|
3,036,000
|
|
Zijin Mining Group Co., Ltd. Class H
|
4,115,450
|
|
1,330,400
|
|
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H (a)
|
628,982
|
|
322,000
|
|
Zylox-Tonbridge Medical Technology Co., Ltd.*
|
529,725
|
|
|
|
|
461,221,338
|
|
|
|
Greece — 0.4%
|
|
|
376,808
|
|
OPAP SA
|
5,320,420
|
|
|
|
Hong Kong — 2.9%
|
|
|
551,200
|
|
AIA Group, Ltd.
|
6,129,976
|
|
519,000
|
|
ASMPT, Ltd.
|
3,700,517
|
|
3,901,000
|
|
Hang Lung Properties, Ltd.
|
7,627,116
|
|
30,600
|
|
Hong Kong Exchanges & Clearing, Ltd.
|
1,322,023
|
|
1,444,700
|
|
Hongkong Land Holdings, Ltd.
|
6,645,620
|
|
13,317,000
|
|
Sino Biopharmaceutical, Ltd.
|
7,797,448
|
|
1,892,000
|
|
Vinda International Holdings, Ltd.
|
5,575,436
|
|
1,054,000
|
|
Vitasoy International Holdings, Ltd.
|
2,168,783
|
|
|
|
|
40,966,919
|
|
|
|
India — 14.4%
|
|
|
64,012
|
|
Asian Paints, Ltd.
|
2,388,554
|
|
826,419
|
|
Axis Bank, Ltd.
|
9,339,044
|
|
94,887
|
|
Bajaj Auto, Ltd.
|
4,161,356
|
|
123,700
|
|
Bajaj Finance, Ltd.
|
9,834,098
|
|
4,808,900
|
|
Bharat Electronics, Ltd.
|
5,818,577
|
|
70,907
|
|
Britannia Industries, Ltd.
|
3,698,812
|
|
1,275,803
|
|
Cipla, Ltd.
|
16,608,725
|
|
263,932
|
|
Colgate-Palmolive India, Ltd.
|
4,910,482
|
|
222,300
|
|
Coromandel International, Ltd.
|
2,383,283
|
|
160,917
|
|
Havells India, Ltd.
|
2,143,485
|
|
641,965
|
|
HCL Technologies, Ltd.
|
8,046,872
|
|
610,472
|
|
HDFC Bank, Ltd.
|
12,027,914
|
|
832,970
|
|
Housing Development Finance Corp., Ltd.
|
26,601,073
|
|
735,400
|
|
ICICI Bank, Ltd.
|
7,937,573
|
|
483,443
|
|
IndusInd Bank, Ltd.
|
7,124,254
|
|
754,123
|
|
Infosys, Ltd.
|
13,751,601
|
|
432,002
|
|
Infosys, Ltd., ADR
|
7,780,356
|
|
230,250
|
|
InterGlobe Aviation, Ltd.*
|
5,569,501
|
|
284,500
|
|
ITC, Ltd.
|
1,138,275
|
|
282,956
|
|
Kotak Mahindra Bank, Ltd.
|
6,245,348
|
|
993,262
|
|
Motherson Sumi Wiring India, Ltd.
|
698,153
|
|
582,144
|
|
Reliance Industries, Ltd.
|
17,922,408
|
|
1,148,900
|
|
State Bank of India
|
8,530,301
|
|
287,120
|
|
Syngene International, Ltd. 144A
|
2,040,867
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
India — continued
|
|
|
374,915
|
|
Tata Consultancy Services, Ltd.
|
14,749,164
|
|
632,282
|
|
UPL, Ltd.
|
5,481,357
|
|
243,044
|
|
Yes Bank, Ltd.*
|
60,812
|
|
|
|
|
206,992,245
|
|
|
|
Indonesia — 2.2%
|
|
|
4,624,000
|
|
Adaro Energy Indonesia Tbk PT
|
1,143,562
|
|
15,963,800
|
|
Astra International Tbk PT
|
5,845,104
|
|
21,906,000
|
|
Bank Central Asia Tbk PT
|
12,031,238
|
|
5,229,800
|
|
Bank Mandiri Persero Tbk PT
|
3,334,239
|
|
26,380,699
|
|
Bank Rakyat Indonesia Persero Tbk PT
|
8,371,328
|
|
5,925,300
|
|
Telkom Indonesia Persero Tbk PT
|
1,427,325
|
|
|
|
|
32,152,796
|
|
|
|
Italy — 0.6%
|
|
|
273,223
|
|
Coca-Cola HBC AG*
|
6,484,463
|
|
308,700
|
|
Prada SpA
|
1,744,236
|
|
|
|
|
8,228,699
|
|
|
|
Japan — 0.5%
|
|
|
324,200
|
|
Nexon Co., Ltd.(a)
|
7,277,884
|
|
|
|
Macau — 1.0%
|
|
|
1,989,000
|
|
Galaxy Entertainment Group, Ltd.
|
13,149,655
|
|
237,600
|
|
Sands China, Ltd.*
|
788,454
|
|
|
|
|
13,938,109
|
|
|
|
Malaysia — 0.1%
|
|
|
1,142,996
|
|
CIMB Group Holdings Bhd
|
1,504,966
|
|
|
|
Mexico — 4.6%
|
|
|
309,671
|
|
Credito Real SAB de CV SOFOM ER*
|
5,562
|
|
3,738,100
|
|
Fibra Uno Administracion SA de CV REIT
|
4,411,926
|
|
232,739
|
|
Fomento Economico Mexicano SAB de CV, ADR
|
18,181,571
|
|
552,935
|
|
Gruma SAB de CV Class B
|
7,386,370
|
|
392,100
|
|
Grupo Aeroportuario del Pacifico SAB de CV Class B
|
5,621,765
|
|
1,458,200
|
|
Grupo Financiero Banorte SAB de CV Series O
|
10,493,937
|
|
5,127,200
|
|
Kimberly-Clark de Mexico SAB de CV Class A
|
8,700,894
|
|
162,906
|
|
Unifin Financiera SAB de CV*(a)
|
10,031
|
|
3,353,600
|
|
Wal-Mart de Mexico SAB de CV
|
11,853,697
|
|
|
|
|
66,665,753
|
|
|
|
Netherlands — 1.0%
|
|
|
194,401
|
|
Heineken Holding NV
|
14,948,529
|
|
|
|
Peru — 0.3%
|
|
|
35,084
|
|
Credicorp, Ltd.
|
4,759,495
|
|
|
|
Philippines — 1.2%
|
|
|
10,472,500
|
|
Ayala Land, Inc.
|
5,788,040
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Philippines — continued
|
|
|
3,237,440
|
|
BDO Unibank, Inc.
|
6,140,548
|
|
2,342,630
|
|
Universal Robina Corp.
|
5,717,064
|
|
|
|
|
17,645,652
|
|
|
|
Poland — 0.4%
|
|
|
69,871
|
|
Dino Polska SA*
|
5,978,361
|
|
|
|
Portugal — 0.3%
|
|
|
205,649
|
|
Jeronimo Martins SGPS SA
|
4,429,082
|
|
|
|
Qatar — 0.0%
|
|
|
104,871
|
|
Qatar National Cement Co. QSC
|
139,377
|
|
|
|
Russia — 0.1%
|
|
|
214,920
|
|
Evraz Plc*(b)(c)(d)
|
5,171
|
|
7,610
|
|
Gazprom Neft PJSC(b)(c)(d)
|
417
|
|
1,043,282
|
|
Gazprom PJSC(b)(c)(d)
|
33,156
|
|
99,121
|
|
Globaltrans Investment Plc, GDR*(b)(c)(d)(e)
|
3,965
|
|
5,000
|
|
HeadHunter Group Plc, ADR(b)(c)(d)
|
750
|
|
44,258
|
|
LSR Group PJSC Class A *(b)(c)(d)
|
3,153
|
|
136,755
|
|
LUKOIL PJSC(b)(c)(d)
|
93,293
|
|
8,543
|
|
Magnit PJSC*(b)(c)(d)
|
3,628
|
|
4
|
|
Magnit PJSC, ADR*(b)(c)(d)(e)
|
0
|
|
984,659
|
|
Magnitogorsk Iron & Steel Works PJSC(b)(c)(d)
|
6,522
|
|
16,459
|
|
MMC Norilsk Nickel PJSC(b)(c)(d)
|
45,093
|
|
9
|
|
MMC Norilsk Nickel PJSC, ADR(b)(c)(d)
|
2
|
|
126,700
|
|
Mobile Telesystems PJSC, ADR*(b)(c)(d)
|
7,602
|
|
154,250
|
|
Novatek PJSC(b)(c)(d)
|
25,990
|
|
1,715,500
|
|
Novolipetsk Steel PJSC*(b)(c)(d)
|
44,063
|
|
5,323
|
|
PhosAgro PJSC(b)(c)(d)
|
3,752
|
|
103
|
|
PhosAgro PJSC, ADR*(b)(c)(d)
|
19
|
|
2
|
|
PhosAgro PJSC, GDR*(b)(c)(d)(e)
|
0
|
|
443,510
|
|
Polymetal International Plc*
|
1,309,738
|
|
25,062
|
|
Polyus PJSC*(b)(c)(d)
|
38,190
|
|
4,954
|
|
Ros Agro Plc, GDR*(b)(c)(d)(e)
|
495
|
|
5,496,180
|
|
Sberbank of Russia PJSC*(b)(c)(d)
|
97,877
|
|
105,511
|
|
Severstal PAO, ADR*(b)(c)(d)(e)
|
16,882
|
|
25,625,090
|
|
Surgutneftegas PJSC(b)(c)(d)
|
77,226
|
|
598,704
|
|
Tatneft PJSC(b)(c)(d)
|
30,181
|
|
16,391
|
|
TCS Group Holding Plc, GDR*(b)(c)(d)(e)
|
7,464
|
|
8,773
|
|
TCS Group Holding Plc (London Exchange), GDR*(b)(c)(d)(e)
|
3,158
|
|
47,122
|
|
X5 Retail Group NV, GDR*(b)(c)(d)(e)
|
5,655
|
|
|
|
|
1,863,442
|
|
|
|
Singapore — 0.4%
|
|
|
2,862,700
|
|
Singapore Telecommunications, Ltd.
|
5,485,490
|
|
|
|
South Africa — 3.5%
|
|
|
415,900
|
|
Absa Group, Ltd.
|
4,739,525
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
South Africa — continued
|
|
|
76,000
|
|
Bid Corp., Ltd.
|
1,473,324
|
|
64,745
|
|
Capitec Bank Holdings, Ltd.
|
7,072,178
|
|
586,306
|
|
Clicks Group, Ltd.
|
9,306,466
|
|
1,789,300
|
|
FirstRand, Ltd.
|
6,532,549
|
|
386,009
|
|
Gold Fields, Ltd.
|
3,996,208
|
|
9,253,020
|
|
Growthpoint Properties, Ltd. REIT
|
7,907,077
|
|
131,559
|
|
Lewis Group, Ltd.
|
378,865
|
|
150,400
|
|
Nedbank Group, Ltd.
|
1,879,050
|
|
171,100
|
|
Standard Bank Group, Ltd.
|
1,687,268
|
|
54,282
|
|
Thungela Resources, Ltd.
|
914,515
|
|
689,420
|
|
Vodacom Group, Ltd.
|
4,971,604
|
|
|
|
|
50,858,629
|
|
|
|
South Korea — 6.9%
|
|
|
47,356
|
|
Amorepacific Corp.*
|
5,149,427
|
|
14,768
|
|
Celltrion, Inc.
|
1,874,467
|
|
29,232
|
|
Ecopro BM Co., Ltd.
|
2,129,116
|
|
153,700
|
|
Hana Financial Group, Inc.
|
5,111,178
|
|
282,549
|
|
Hankook Tire & Technology Co., Ltd.*
|
6,960,381
|
|
6,500
|
|
Hyundai Mobis Co., Ltd.
|
1,030,645
|
|
44,700
|
|
JYP Entertainment Corp.*
|
2,396,726
|
|
66,300
|
|
KB Financial Group, Inc.
|
2,542,942
|
|
48,500
|
|
Kia Corp.*
|
2,274,456
|
|
185,522
|
|
Korea Investment Holdings Co., Ltd.*
|
7,819,947
|
|
10,900
|
|
L&F Co., Ltd.*
|
1,495,571
|
|
31,854
|
|
LG Corp.*
|
1,967,416
|
|
13,180
|
|
LG H&H Co., Ltd.*
|
7,525,472
|
|
16,550
|
|
LG Innotek Co., Ltd.*
|
3,304,765
|
|
4,000
|
|
NCSoft Corp.*
|
1,417,161
|
|
28,080
|
|
POSCO Holdings, Inc.
|
6,140,071
|
|
204,710
|
|
Samsung Electronics Co., Ltd.
|
8,952,521
|
|
300
|
|
Samsung Electronics Co., Ltd., GDR(e)
|
331,500
|
|
3,105
|
|
Samsung Electronics Co., Ltd. (London Exchange), GDR(f)
|
3,431,025
|
|
70,900
|
|
Samsung Engineering Co., Ltd.*
|
1,247,548
|
|
15,626
|
|
Samsung Fire & Marine Insurance Co., Ltd.*
|
2,471,491
|
|
5,670
|
|
Samsung SDI Co., Ltd.
|
2,650,036
|
|
337,459
|
|
Shinhan Financial Group Co., Ltd.
|
9,393,876
|
|
161,536
|
|
SK Hynix, Inc.
|
9,581,020
|
|
18,000
|
|
SM Entertainment Co., Ltd.*
|
1,091,815
|
|
118,800
|
|
Woori Financial Group, Inc.
|
1,085,125
|
|
|
|
|
99,375,698
|
|
|
|
Taiwan — 10.1%
|
|
|
223,500
|
|
Accton Technology Corp.
|
1,705,219
|
|
960,003
|
|
Advantech Co., Ltd.
|
10,338,566
|
|
449,100
|
|
Asia Vital Components Co., Ltd.
|
1,636,518
|
|
27,000
|
|
ASPEED Technology, Inc.
|
1,480,210
|
|
821,000
|
|
Bizlink Holding, Inc.
|
6,317,337
|
|
4,130,135
|
|
Cathay Financial Holding Co., Ltd.
|
5,375,068
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Taiwan — continued
|
|
|
612,103
|
|
Chailease Holding Co., Ltd.
|
4,321,594
|
|
355,300
|
|
Delta Electronics, Inc.
|
3,311,918
|
|
4,057,470
|
|
E.Sun Financial Holding Co., Ltd.
|
3,174,900
|
|
46,000
|
|
eMemory Technology, Inc.
|
1,998,015
|
|
2,151,202
|
|
Fubon Financial Holding Co., Ltd.
|
3,940,482
|
|
177,700
|
|
Global Unichip Corp.
|
3,705,998
|
|
516,000
|
|
Gold Circuit Electronics, Ltd.*
|
1,457,234
|
|
833,000
|
|
Hiwin Technologies Corp.
|
4,946,153
|
|
65,000
|
|
Largan Precision Co., Ltd.
|
4,314,229
|
|
143,242
|
|
Lotes Co., Ltd.
|
3,849,552
|
|
354,000
|
|
Lotus Pharmaceutical Co., Ltd.*
|
2,833,336
|
|
566,619
|
|
MediaTek, Inc.
|
11,522,080
|
|
2,439,000
|
|
Pegatron Corp.
|
5,039,010
|
|
7,692
|
|
Pharmally International Holding Co., Ltd.*(b)(c)
|
—
|
|
636,998
|
|
President Chain Store Corp.
|
5,637,242
|
|
1,881,424
|
|
Taiwan Semiconductor Manufacturing Co., Ltd.
|
27,454,203
|
|
344,945
|
|
Taiwan Semiconductor Manufacturing Co., Ltd., ADR
|
25,694,953
|
|
1,691,351
|
|
Uni-President Enterprises Corp.
|
3,664,947
|
|
51,200
|
|
Wiwynn Corp.
|
1,327,663
|
|
|
|
|
145,046,427
|
|
|
|
Thailand — 2.2%
|
|
|
6,468,200
|
|
Bangkok Dusit Medical Services PCL Class F
|
5,462,534
|
|
884,000
|
|
Indorama Ventures PCL Class F
|
1,040,075
|
|
3,261,900
|
|
PTT Exploration & Production PCL Class F
|
16,622,646
|
|
601,700
|
|
SCB X PCL Class F
|
1,858,868
|
|
13,376,700
|
|
Thai Beverage PCL
|
6,831,971
|
|
|
|
|
31,816,094
|
|
|
|
Turkey — 1.0%
|
|
|
306,300
|
|
BIM Birlesik Magazalar AS
|
2,240,042
|
|
191,282
|
|
Ford Otomotiv Sanayi AS
|
5,359,514
|
|
1,362,738
|
|
KOC Holding AS
|
6,093,174
|
|
|
|
|
13,692,730
|
|
|
|
United Kingdom — 0.5%
|
|
|
151,558
|
|
Unilever Plc (London Exchange)
|
7,624,170
|
|
|
|
United States — 0.4%
|
|
|
32,660
|
|
Globant SA*
|
5,492,106
|
|
|
|
TOTAL COMMON STOCKS (COST $1,559,760,039)
|
1,376,998,973
|
|
|
|||
|
|
|
PREFERRED STOCKS — 0.6%
|
|
|
|
|
Brazil — 0.6%
|
|
|
2,559,701
|
|
Cia Energetica de Minas Gerais, 12.22%
|
5,400,837
|
|
352,100
|
|
Itau Unibanco Holding SA, 4.07%
|
1,667,219
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|||
|
|
|
Brazil — continued
|
|
|
510,100
|
|
Petroleo Brasileiro SA, 42.90%
|
2,367,053
|
|
|
|
|
9,435,109
|
|
|
|
TOTAL PREFERRED STOCKS (COST $10,047,658)
|
9,435,109
|
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
|
SHORT-TERM INVESTMENT — 0.7%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 0.7%
|
|
|
10,180,051
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(g)(h)
|
10,180,051
|
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $10,180,051)
|
10,180,051
|
|
|
|
TOTAL INVESTMENTS — 97.0%
(Cost $1,579,987,748)
|
1,396,614,133
|
|
|
|
Other Assets and Liabilities (net) — 3.0%
|
42,756,017
|
|
|
|
NET ASSETS — 100.0%
|
$1,439,370,150
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is out on loan.
|
|
(b)
|
Level 3 - significant unobservable inputs were used in determining the value of this security in
the Fund.
|
|
(c)
|
Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total
market value of the securities at period end is $553,704 which represents 0.0% of net assets. The
aggregate tax cost of these securities held at December 31, 2022 was $85,516,125.
|
|
(d)
|
Illiquid securities represent Russian securities impacted by the Russian/Ukraine crisis. The total
market value of the securities at period end is $553,704 which represents 0.0% of net assets. The
aggregate cost of these securities held at December 31, 2022 was $85,475,145.
|
|
(e)
|
Restricted securities are not registered under the Securities Act of 1933 and are subject to legal
restrictions on resale. These securities generally may be resold in transactions exempt from
registration or to the public if the securities are subsequently registered. Disposal of these securities
may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult.
As of period end, the market value of restricted securities was $369,119, which is 0.0% of net
assets. See details shown in the Restricted Securities table that follows.
|
|
(f)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
|
(g)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
(h)
|
Represents an investment of securities lending cash collateral.
|
|
144A
|
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The total market value of the securities at period end is $8,430,604 which represents 0.6% of net
assets.
|
|
Restricted Securities
|
Acquisition
Date
|
Share
Amount
|
Cost
|
Value
|
|
|
Globaltrans Investment Plc, GDR
|
03/05/21
|
USD
|
99,121
|
$680,748
|
$3,965
|
|
Magnit PJSC, ADR
|
07/22/22
|
USD
|
4
|
0
|
0
|
|
PhosAgro PJSC, GDR
|
08/11/22
|
USD
|
2
|
40
|
0
|
|
Ros Agro Plc, GDR
|
02/09/22
|
USD
|
4,954
|
71,692
|
495
|
|
Samsung Electronics Co., Ltd., GDR
|
12/09/22
|
USD
|
300
|
346,137
|
331,500
|
|
Severstal PAO, ADR
|
03/04/21
|
USD
|
105,511
|
2,093,359
|
16,882
|
|
TCS Group Holding Plc, GDR
|
10/20/21
|
RUB
|
16,391
|
1,550,503
|
7,464
|
|
TCS Group Holding Plc (London Exchange),
GDR
|
03/04/21
|
USD
|
8,773
|
527,567
|
3,158
|
|
X5 Retail Group NV, GDR
|
03/05/21
|
USD
|
47,122
|
1,547,335
|
5,655
|
|
|
|
|
|
|
$369,119
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buy
|
|
|
|
|
|
571
|
MSCI Emerging Markets E-mini Index
|
Mar 2023
|
$27,390,870
|
$(215,514)
|
|
Currency Abbreviations
|
||
|
RUB
|
—
|
Russian Ruble
|
|
USD
|
—
|
U.S. Dollar
|
|
Abbreviations
|
||
|
ADR
|
—
|
American Depository Receipt
|
|
GDR
|
—
|
Global Depository Receipt
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
|
Financial
|
24.3
|
|
Consumer, Non-cyclical
|
17.2
|
|
Technology
|
13.8
|
|
Communications
|
11.4
|
|
Consumer, Cyclical
|
11.0
|
|
Industrial
|
7.3
|
|
Basic Materials
|
5.0
|
|
Energy
|
4.9
|
|
Utilities
|
1.0
|
|
Diversified
|
0.4
|
|
Short-Term Investment
|
0.7
|
|
Other Assets and Liabilities (net)
|
3.0
|
|
|
100.0%
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
COMMON STOCKS — 96.5%
|
|
|
|
|
Australia — 1.4%
|
|
|
82,414
|
|
ANZ Group Holdings, Ltd.
|
1,322,335
|
|
121,781
|
|
Aurizon Holdings, Ltd.
|
308,045
|
|
152,228
|
|
Newcrest Mining, Ltd.
|
2,130,738
|
|
17,473
|
|
Orica, Ltd.
|
178,451
|
|
631,645
|
|
Perseus Mining, Ltd.
|
903,818
|
|
14,067
|
|
PWR Holdings, Ltd.
|
102,741
|
|
27,146
|
|
Rio Tinto Plc
|
1,893,275
|
|
5,957
|
|
Rio Tinto Plc, ADR(a)
|
424,138
|
|
230,188
|
|
Sonic Healthcare, Ltd.
|
4,678,377
|
|
791,743
|
|
Telstra Corp., Ltd.
|
2,142,313
|
|
29,928
|
|
Westpac Banking Corp.
|
473,904
|
|
|
|
|
14,558,135
|
|
|
|
Austria — 0.0%
|
|
|
14,180
|
|
Telekom Austria AG Class A *
|
87,472
|
|
|
|
Belgium — 0.0%
|
|
|
187
|
|
Deme Group NV*
|
24,747
|
|
|
|
Bermuda — 0.1%
|
|
|
3,573
|
|
RenaissanceRe Holdings, Ltd.
|
658,254
|
|
|
|
Brazil — 0.1%
|
|
|
35,240
|
|
Yara International ASA
|
1,540,386
|
|
|
|
Burkina Faso — 0.0%
|
|
|
15,319
|
|
Endeavour Mining Plc
|
322,845
|
|
|
|
Canada — 3.8%
|
|
|
48,200
|
|
Atco, Ltd. Class I
|
1,507,595
|
|
25,505
|
|
BCE, Inc.
|
1,120,945
|
|
1,700
|
|
Canadian National Railway Co.
|
201,799
|
|
165,935
|
|
Canadian Pacific Railway, Ltd.(a)
|
12,377,092
|
|
64,500
|
|
Canadian Utilities, Ltd. Class A
|
1,744,658
|
|
541
|
|
E-L Financial Corp., Ltd.
|
356,953
|
|
78,300
|
|
Empire Co., Ltd. Class A
|
2,060,724
|
|
6,100
|
|
Evertz Technologies, Ltd.
|
57,491
|
|
23,300
|
|
George Weston, Ltd.
|
2,888,791
|
|
79,800
|
|
Great-West Lifeco, Inc.
|
1,843,419
|
|
21,900
|
|
Loblaw Cos., Ltd.
|
1,935,029
|
|
10,200
|
|
Metro, Inc.
|
564,371
|
|
12,700
|
|
National Bank of Canada(a)
|
855,102
|
|
51,700
|
|
North West Co., Inc. (The)(a)
|
1,357,223
|
|
47,800
|
|
Power Corp. of Canada(a)
|
1,123,606
|
|
25,400
|
|
Royal Bank of Canada
|
2,386,376
|
|
76,400
|
|
Stella-Jones, Inc.(a)
|
2,735,841
|
|
46,200
|
|
Sun Life Financial, Inc.
|
2,143,009
|
|
19,900
|
|
TMX Group, Ltd.
|
1,990,367
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Canada — continued
|
|
|
30,400
|
|
Western Forest Products, Inc.
|
26,026
|
|
39,600
|
|
Winpak, Ltd.(a)
|
1,229,253
|
|
|
|
|
40,505,670
|
|
|
|
China — 0.6%
|
|
|
2,331,162
|
|
CITIC Telecom International Holdings, Ltd.
|
791,495
|
|
151,000
|
|
Kerry Logistics Network, Ltd.
|
271,628
|
|
74,202
|
|
NetEase, Inc., ADR(b)
|
5,389,291
|
|
|
|
|
6,452,414
|
|
|
|
Denmark — 0.5%
|
|
|
314
|
|
AP Moller - Maersk AS Class B
|
703,901
|
|
2,903
|
|
Carlsberg AS Class B
|
384,631
|
|
4,799
|
|
Genmab AS*
|
2,025,569
|
|
15,392
|
|
Novo Nordisk AS Class B
|
2,072,045
|
|
|
|
|
5,186,146
|
|
|
|
Finland — 0.2%
|
|
|
19,413
|
|
Kemira Oyj
|
296,897
|
|
675
|
|
Orion OYJ Class A
|
36,812
|
|
15,009
|
|
Orion OYJ Class B
|
820,780
|
|
21,094
|
|
Sampo OYJ Class A
|
1,099,063
|
|
|
|
|
2,253,552
|
|
|
|
France — 4.2%
|
|
|
18,224
|
|
Air Liquide SA
|
2,575,121
|
|
61,725
|
|
Airbus SE
|
7,313,551
|
|
9,271
|
|
Arkema SA
|
829,948
|
|
1,035
|
|
Boiron SA
|
56,003
|
|
3,460
|
|
Cie des Alpes*
|
53,101
|
|
24,501
|
|
Danone SA
|
1,287,300
|
|
1,590
|
|
Dassault Aviation SA
|
268,454
|
|
26,129
|
|
Engie SA
|
373,340
|
|
4,394
|
|
IPSOS
|
274,335
|
|
26,632
|
|
Legrand SA
|
2,126,608
|
|
3,852
|
|
L'Oreal SA
|
1,371,445
|
|
208,037
|
|
Orange SA(a)
|
2,060,636
|
|
811
|
|
Pernod Ricard SA
|
159,043
|
|
97,593
|
|
Safran SA
|
12,177,929
|
|
25,078
|
|
Sanofi
|
2,404,521
|
|
304
|
|
Savencia SA
|
18,948
|
|
4,673
|
|
Societe BIC SA
|
318,935
|
|
214
|
|
Societe LDC SA
|
24,552
|
|
1,108
|
|
Stef SA
|
107,136
|
|
2,355
|
|
Thales SA
|
299,845
|
|
540
|
|
Vetoquinol SA
|
50,485
|
|
1,167
|
|
Vilmorin & Cie SA
|
56,856
|
|
107,500
|
|
Vinci SA
|
10,703,099
|
|
2,151
|
|
Wendel SE
|
200,181
|
|
|
|
|
45,111,372
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Georgia — 0.1%
|
|
|
36,594
|
|
Bank of Georgia Group Plc
|
1,146,693
|
|
|
|
Germany — 1.4%
|
|
|
6,632
|
|
Allianz SE
|
1,421,970
|
|
90,278
|
|
Beiersdorf AG
|
10,328,629
|
|
12,103
|
|
Deutsche Boerse AG
|
2,084,791
|
|
1,246
|
|
Deutsche Telekom AG*
|
24,785
|
|
7,861
|
|
GEA Group AG
|
320,485
|
|
2,128
|
|
McKesson Europe AG
|
45,649
|
|
3,347
|
|
Merck KGaA
|
646,190
|
|
1,781
|
|
Wuestenrot & Wuerttembergische AG
|
29,348
|
|
|
|
|
14,901,847
|
|
|
|
Hong Kong — 0.8%
|
|
|
77,200
|
|
Bank of East Asia, Ltd. (The)
|
93,570
|
|
46,500
|
|
CLP Holdings, Ltd.
|
339,294
|
|
352,136
|
|
Dah Sing Banking Group, Ltd.
|
252,655
|
|
342,000
|
|
Emperor International Holdings, Ltd.
|
28,920
|
|
580,500
|
|
HK Electric Investments & HK Electric Investments, Ltd.
|
384,523
|
|
1,666,000
|
|
HKT Trust & HKT, Ltd.
|
2,042,757
|
|
16,000
|
|
Hong Kong Ferry Holdings Co., Ltd.
|
16,359
|
|
249,000
|
|
Langham Hospitality Investments and Langham Hospitality Investments, Ltd.
|
35,412
|
|
38,000
|
|
Liu Chong Hing Investment, Ltd.
|
35,298
|
|
12,000
|
|
Miramar Hotel & Investment(a)
|
18,727
|
|
3,690,000
|
|
PCCW, Ltd.
|
1,664,175
|
|
406,000
|
|
Power Assets Holdings, Ltd.
|
2,223,781
|
|
300,000
|
|
Regal Hotels International Holdings, Ltd.*
|
122,999
|
|
219,000
|
|
Regal Real Estate Investment Trust REIT(a)
|
39,283
|
|
110,855
|
|
SmarTone Telecommunications Holdings, Ltd.
|
66,897
|
|
58,000
|
|
Transport International Holdings, Ltd.
|
85,013
|
|
230,163
|
|
VTech Holdings, Ltd.
|
1,483,315
|
|
3,000
|
|
Wing On Co. International, Ltd.
|
5,420
|
|
|
|
|
8,938,398
|
|
|
|
Indonesia — 0.0%
|
|
|
229,900
|
|
Bumitama Agri, Ltd.
|
101,134
|
|
|
|
Israel — 1.1%
|
|
|
145,989
|
|
Bank Hapoalim BM
|
1,312,391
|
|
48,659
|
|
Bank Leumi Le-Israel BM
|
404,193
|
|
61,299
|
|
Check Point Software Technologies, Ltd.*
|
7,733,482
|
|
17,432
|
|
First International Bank Of Israel, Ltd. (The)
|
686,708
|
|
3,284
|
|
ICL Group, Ltd.
|
23,687
|
|
3
|
|
Isracard, Ltd.
|
8
|
|
1,107,019
|
|
Isramco Negev 2, LP
|
372,091
|
|
17,263
|
|
Radware, Ltd.*
|
340,944
|
|
35,313
|
|
Strauss Group, Ltd.
|
933,640
|
|
|
|
|
11,807,144
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Italy — 0.2%
|
|
|
127,891
|
|
Eni SpA
|
1,813,427
|
|
50,666
|
|
Snam SpA
|
244,790
|
|
|
|
|
2,058,217
|
|
|
|
Japan — 4.5%
|
|
|
5,500
|
|
Amano Corp.
|
101,417
|
|
50,700
|
|
Arcs Co., Ltd.
|
843,815
|
|
65,500
|
|
Autobacs Seven Co., Ltd.
|
716,829
|
|
7,200
|
|
Axial Retailing, Inc.
|
184,986
|
|
2,100
|
|
Belc Co., Ltd.
|
91,516
|
|
12,600
|
|
Calbee, Inc.
|
285,719
|
|
12,100
|
|
Canon Marketing Japan, Inc.
|
274,106
|
|
3,500
|
|
Canon, Inc.(a)
|
75,746
|
|
6,500
|
|
Cawachi, Ltd.
|
109,807
|
|
26,700
|
|
Chugin Financial Group, Inc.
|
193,453
|
|
11,900
|
|
Doshisha Co., Ltd.
|
146,377
|
|
24,889
|
|
Earth Corp.(a)
|
954,476
|
|
40,400
|
|
Ezaki Glico Co., Ltd.
|
1,108,401
|
|
4,800
|
|
Fujicco Co., Ltd.(a)
|
69,666
|
|
18,900
|
|
Heiwado Co., Ltd.
|
306,823
|
|
10,400
|
|
Hokuto Corp.
|
148,025
|
|
30,500
|
|
House Foods Group, Inc.
|
642,154
|
|
65,700
|
|
Hyakugo Bank, Ltd. (The)
|
183,240
|
|
3,700
|
|
Inaba Denki Sangyo Co., Ltd.
|
76,022
|
|
18,400
|
|
Itochu Enex Co., Ltd.
|
146,425
|
|
139,201
|
|
Japan Tobacco, Inc.(a)
|
2,807,335
|
|
7,300
|
|
J-Oil Mills, Inc.(a)
|
83,930
|
|
43,855
|
|
Kaken Pharmaceutical Co., Ltd.
|
1,292,932
|
|
14,200
|
|
Kato Sangyo Co., Ltd.
|
377,748
|
|
37,200
|
|
KDDI Corp.
|
1,122,668
|
|
19,300
|
|
Kewpie Corp.
|
349,593
|
|
1,900
|
|
Komeri Co., Ltd.
|
39,355
|
|
17,200
|
|
Kuraray Co., Ltd.(a)
|
137,918
|
|
82,500
|
|
KYORIN Holdings, Inc.
|
1,075,448
|
|
15,500
|
|
Lawson, Inc.
|
590,890
|
|
23,800
|
|
Lintec Corp.
|
387,272
|
|
2,900
|
|
Maruichi Steel Tube, Ltd.
|
59,409
|
|
12,400
|
|
McDonald's Holdings Co. Japan, Ltd.(a)
|
469,423
|
|
47,700
|
|
MEIJI Holdings Co., Ltd.
|
2,436,606
|
|
5,600
|
|
Miroku Jyoho Service Co., Ltd.
|
61,244
|
|
96,700
|
|
Mitsubishi Electric Corp.
|
962,639
|
|
26,600
|
|
Mitsubishi Shokuhin Co., Ltd.
|
628,989
|
|
175,300
|
|
Mizuho Financial Group, Inc.
|
2,465,852
|
|
28,800
|
|
Mochida Pharmaceutical Co., Ltd.
|
759,589
|
|
5,200
|
|
Morinaga & Co., Ltd.
|
154,686
|
|
8,700
|
|
Morinaga Milk Industry Co., Ltd.
|
329,353
|
|
18,300
|
|
NH Foods, Ltd.
|
509,701
|
|
32,200
|
|
Nichirei Corp.
|
702,106
|
|
68,100
|
|
Nippn Corp.
|
836,121
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Japan — continued
|
|
|
17,100
|
|
Nippon Kayaku Co., Ltd.
|
147,743
|
|
18,700
|
|
Nippon Light Metal Holdings Co., Ltd.
|
214,431
|
|
101
|
|
NIPPON REIT Investment Corp. REIT(a)
|
266,001
|
|
59,000
|
|
Nippon Telegraph & Telephone Corp.
|
1,682,201
|
|
14,100
|
|
Nisshin Oillio Group, Ltd. (The)
|
351,044
|
|
22,500
|
|
Nisshin Seifun Group, Inc.
|
281,879
|
|
2,500
|
|
Nissin Foods Holdings Co., Ltd.
|
197,431
|
|
24
|
|
NTT UD REIT Investment Corp. REIT
|
24,974
|
|
57,600
|
|
Okinawa Cellular Telephone Co.
|
1,268,601
|
|
41,800
|
|
Otsuka Holdings Co., Ltd.
|
1,363,818
|
|
800
|
|
S&B Foods, Inc.
|
21,069
|
|
17,700
|
|
San-A Co., Ltd.
|
577,502
|
|
73,300
|
|
Sankyo Co., Ltd.
|
2,988,776
|
|
36,500
|
|
Secom Co., Ltd.
|
2,086,623
|
|
185,900
|
|
Seven Bank, Ltd.
|
369,137
|
|
33,900
|
|
Shinmaywa Industries, Ltd.
|
270,799
|
|
25,859
|
|
Showa Sangyo Co., Ltd.(a)
|
492,898
|
|
9,800
|
|
SKY Perfect JSAT Holdings, Inc.
|
36,023
|
|
90,900
|
|
Softbank Corp.
|
1,025,118
|
|
26,000
|
|
Sundrug Co., Ltd.
|
771,458
|
|
65,200
|
|
Takeda Pharmaceutical Co., Ltd.
|
2,031,431
|
|
131,100
|
|
Teijin, Ltd.
|
1,279,752
|
|
34,100
|
|
Toho Holdings Co., Ltd.
|
568,053
|
|
49,700
|
|
TOKAI Holdings Corp.
|
323,561
|
|
32,400
|
|
Tokuyama Corp.
|
441,020
|
|
4,800
|
|
Toyo Ink SC Holdings Co., Ltd.(a)
|
65,482
|
|
48,600
|
|
Trend Micro, Inc.(a)
|
2,261,579
|
|
1,500
|
|
Tv Tokyo Holdings Corp.
|
20,872
|
|
35,200
|
|
United Super Markets Holdings, Inc.
|
300,125
|
|
4,600
|
|
Valor Holdings Co., Ltd.
|
63,521
|
|
35,900
|
|
Vital KSK Holdings, Inc.
|
231,271
|
|
5,400
|
|
Yaoko Co., Ltd.
|
277,479
|
|
14,000
|
|
ZERIA Pharmaceutical Co., Ltd.
|
240,115
|
|
|
|
|
47,841,597
|
|
|
|
Netherlands — 1.7%
|
|
|
22,486
|
|
ASML Holding NV
|
12,090,279
|
|
28,939
|
|
Koninklijke Ahold Delhaize NV
|
828,957
|
|
16,414
|
|
Shell Plc
|
459,255
|
|
75,047
|
|
Shell Plc (Amsterdam Exchange)
|
2,120,886
|
|
21,598
|
|
Wolters Kluwer NV
|
2,253,413
|
|
|
|
|
17,752,790
|
|
|
|
New Zealand — 0.3%
|
|
|
76,961
|
|
Freightways, Ltd.
|
470,191
|
|
584
|
|
Mainfreight, Ltd.
|
24,931
|
|
791,811
|
|
Spark New Zealand, Ltd.
|
2,704,216
|
|
|
|
|
3,199,338
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Norway — 0.5%
|
|
|
3,424
|
|
DNB Bank ASA
|
67,587
|
|
63,340
|
|
Equinor ASA
|
2,262,005
|
|
7,744
|
|
Kongsberg Gruppen ASA
|
326,709
|
|
103,425
|
|
Orkla ASA
|
744,795
|
|
32,239
|
|
SpareBank 1 SMN
|
416,937
|
|
12,453
|
|
Sparebanken Vest
|
116,806
|
|
90,515
|
|
Telenor ASA
|
841,658
|
|
16,762
|
|
Veidekke ASA
|
164,710
|
|
|
|
|
4,941,207
|
|
|
|
Portugal — 0.1%
|
|
|
69,406
|
|
Jeronimo Martins SGPS SA
|
1,494,804
|
|
|
|
Puerto Rico — 0.2%
|
|
|
28,000
|
|
Popular, Inc.
|
1,856,960
|
|
|
|
Singapore — 0.7%
|
|
|
1,900
|
|
DBS Group Holdings, Ltd.
|
48,053
|
|
13,600
|
|
Frasers Property, Ltd.
|
9,430
|
|
12,000
|
|
Great Eastern Holdings, Ltd.
|
165,523
|
|
44,804
|
|
Hong Leong Finance, Ltd.
|
79,840
|
|
1,387,749
|
|
NetLink NBN Trust
|
858,807
|
|
227,800
|
|
Oversea-Chinese Banking Corp., Ltd.
|
2,068,747
|
|
11,900
|
|
SBS Transit, Ltd.
|
22,891
|
|
1,888,801
|
|
Sheng Siong Group, Ltd.
|
2,323,682
|
|
33,000
|
|
Singapore Land Group, Ltd.
|
55,361
|
|
603,300
|
|
Singapore Technologies Engineering, Ltd.
|
1,506,901
|
|
|
|
|
7,139,235
|
|
|
|
South Korea — 0.3%
|
|
|
3,146
|
|
Samsung Electronics Co., Ltd. (London Exchange), GDR(c)
|
3,476,330
|
|
|
|
Spain — 0.8%
|
|
|
58,292
|
|
Aena SME SA*
|
7,297,480
|
|
60,089
|
|
Cia de Distribucion Integral Logista Holdings SA
|
1,513,467
|
|
|
|
|
8,810,947
|
|
|
|
Sweden — 0.2%
|
|
|
26,939
|
|
Axfood AB
|
739,177
|
|
43,572
|
|
Swedish Orphan Biovitrum AB*
|
902,009
|
|
4,562
|
|
Telefonaktiebolaget LM Ericsson Class B
|
26,664
|
|
|
|
|
1,667,850
|
|
|
|
Switzerland — 1.0%
|
|
|
4,888
|
|
AEVIS VICTORIA SA
|
92,456
|
|
846
|
|
Alcon, Inc.
|
57,772
|
|
1,348
|
|
Banque Cantonale de Geneve
|
261,528
|
|
214
|
|
Barry Callebaut AG
|
423,050
|
|
168
|
|
Basellandschaftliche Kantonalbank
|
165,240
|
|
1,819
|
|
Berner Kantonalbank AG
|
437,449
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
Switzerland — continued
|
|
|
2,336
|
|
BKW AG
|
319,395
|
|
147
|
|
Chocoladefabriken Lindt & Spruengli AG
|
1,498,281
|
|
1,163
|
|
Emmi AG
|
984,251
|
|
15
|
|
Graubuendner Kantonalbank
|
27,480
|
|
402
|
|
Huber + Suhner AG
|
37,497
|
|
157
|
|
Luzerner Kantonalbank AG
|
70,168
|
|
31,929
|
|
Novartis AG
|
2,884,722
|
|
4,729
|
|
Sonova Holding AG
|
1,120,914
|
|
1,356
|
|
St. Galler Kantonalbank AG
|
704,968
|
|
4,973
|
|
Swiss Prime Site AG
|
430,811
|
|
603
|
|
Thurgauer Kantonalbank
|
77,558
|
|
208
|
|
TX Group AG
|
33,273
|
|
4,056
|
|
Valiant Holding AG
|
438,392
|
|
44
|
|
Walliser Kantonalbank
|
4,946
|
|
10
|
|
Warteck Invest AG
|
24,535
|
|
|
|
|
10,094,686
|
|
|
|
United Kingdom — 3.1%
|
|
|
128,071
|
|
Alliance Pharma Plc
|
81,650
|
|
782,388
|
|
BAE Systems Plc
|
8,056,114
|
|
33,373
|
|
BP Plc, ADR
|
1,165,719
|
|
26,232
|
|
Bunzl Plc
|
870,588
|
|
1,684
|
|
Croda International Plc
|
133,776
|
|
35,335
|
|
Diageo Plc
|
1,551,414
|
|
780
|
|
Impact Healthcare Reit Plc REIT Class B
|
985
|
|
103,917
|
|
Imperial Brands Plc
|
2,588,787
|
|
27,142
|
|
Inchcape Plc
|
267,723
|
|
175,040
|
|
Pan African Resources Plc
|
34,826
|
|
84,456
|
|
RELX Plc
|
2,324,429
|
|
214,288
|
|
Sage Group Plc (The)
|
1,921,912
|
|
116,570
|
|
Spirent Communications Plc
|
364,858
|
|
273,908
|
|
St. James's Place Plc
|
3,607,850
|
|
188,699
|
|
Unilever Plc
|
9,439,099
|
|
786
|
|
Unilever Plc (London Exchange)
|
39,540
|
|
|
|
|
32,449,270
|
|
|
|
United States — 68.6%
|
|
|
800
|
|
3M Co.
|
95,936
|
|
44,800
|
|
Abbott Laboratories
|
4,918,592
|
|
24,900
|
|
AbbVie, Inc.
|
4,024,089
|
|
18,237
|
|
Accenture Plc Class A
|
4,866,361
|
|
300
|
|
Acuity Brands, Inc.
|
49,683
|
|
775
|
|
Adobe, Inc.*
|
260,811
|
|
76,100
|
|
Albertsons Cos., Inc. Class A
|
1,578,314
|
|
195,674
|
|
Alphabet, Inc. Class A *
|
17,264,317
|
|
66,000
|
|
Altria Group, Inc.
|
3,016,860
|
|
91,864
|
|
Amazon.com, Inc.*
|
7,716,576
|
|
42,871
|
|
Amdocs, Ltd.
|
3,896,974
|
|
6,178
|
|
Ameren Corp.
|
549,348
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United States — continued
|
|
|
32,113
|
|
American Electric Power Co., Inc.
|
3,049,129
|
|
20,600
|
|
AmerisourceBergen Corp. Class A
|
3,413,626
|
|
14,400
|
|
Amgen, Inc.
|
3,782,016
|
|
346
|
|
ANSYS, Inc.*
|
83,590
|
|
29,500
|
|
Apple, Inc.
|
3,832,935
|
|
17,700
|
|
Arch Capital Group, Ltd.*
|
1,111,206
|
|
41,500
|
|
Archer-Daniels-Midland Co.
|
3,853,275
|
|
12,900
|
|
Arrow Electronics, Inc.*
|
1,348,953
|
|
14,484
|
|
Arthur J. Gallagher & Co.
|
2,730,813
|
|
34,982
|
|
Autodesk, Inc.*
|
6,537,086
|
|
43,276
|
|
Automatic Data Processing, Inc.
|
10,336,905
|
|
1,500
|
|
AutoNation, Inc.*
|
160,950
|
|
1,100
|
|
AutoZone, Inc.*
|
2,712,798
|
|
2,300
|
|
AvalonBay Communities, Inc. REIT
|
371,496
|
|
6,500
|
|
Avery Dennison Corp.
|
1,176,500
|
|
27,300
|
|
Axis Capital Holdings, Ltd.
|
1,478,841
|
|
57,368
|
|
Becton Dickinson and Co.
|
14,588,682
|
|
6,472
|
|
Berkshire Hathaway, Inc. Class B *
|
1,999,201
|
|
9,800
|
|
BioMarin Pharmaceutical, Inc.*
|
1,014,202
|
|
15,379
|
|
Bio-Rad Laboratories, Inc. Class A *
|
6,466,716
|
|
3,100
|
|
BJ's Wholesale Club Holdings, Inc.*
|
205,096
|
|
11,400
|
|
BOK Financial Corp.
|
1,183,206
|
|
5,688
|
|
Booking Holdings, Inc.*
|
11,462,913
|
|
70,155
|
|
Bristol-Myers Squibb Co.
|
5,047,652
|
|
10,950
|
|
Broadcom, Inc.
|
6,122,474
|
|
6,300
|
|
CACI International, Inc. Class A *
|
1,893,717
|
|
20,635
|
|
Cadence Design Systems, Inc.*
|
3,314,806
|
|
7,900
|
|
Campbell Soup Co.
|
448,325
|
|
13,100
|
|
Casey's General Stores, Inc.
|
2,938,985
|
|
149,528
|
|
Catalent, Inc.*
|
6,730,255
|
|
12,900
|
|
Cboe Global Markets, Inc.
|
1,618,563
|
|
6,500
|
|
CDW Corp.
|
1,160,770
|
|
23,600
|
|
CH Robinson Worldwide, Inc.
|
2,160,816
|
|
64,597
|
|
Charles Schwab Corp. (The)
|
5,378,346
|
|
30,600
|
|
Charter Communications, Inc. Class A *
|
10,376,460
|
|
5,300
|
|
Chemed Corp.
|
2,705,279
|
|
4,700
|
|
Chevron Corp.
|
843,603
|
|
19,000
|
|
Chubb, Ltd.
|
4,191,400
|
|
200
|
|
Cigna Corp.
|
66,268
|
|
11,000
|
|
Cirrus Logic, Inc.*
|
819,280
|
|
114,500
|
|
Cisco Systems, Inc.
|
5,454,780
|
|
18,600
|
|
Clean Harbors, Inc.*
|
2,122,632
|
|
49,983
|
|
CMS Energy Corp.
|
3,165,423
|
|
15,600
|
|
CNA Financial Corp.
|
659,568
|
|
84,400
|
|
Coca-Cola Co. (The)
|
5,368,684
|
|
30,400
|
|
Colgate-Palmolive Co.
|
2,395,216
|
|
28,149
|
|
Consolidated Edison, Inc.
|
2,682,881
|
|
23,172
|
|
Cooper Cos., Inc. (The)
|
7,662,285
|
|
11,750
|
|
Costco Wholesale Corp.
|
5,363,875
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United States — continued
|
|
|
5,245
|
|
CSL, Ltd.
|
1,023,533
|
|
104,511
|
|
CVS Health Corp.
|
9,739,380
|
|
21,900
|
|
Dell Technologies, Inc. Class C
|
880,818
|
|
27,977
|
|
DTE Energy Co.
|
3,288,137
|
|
80,988
|
|
Electronic Arts, Inc.
|
9,895,114
|
|
8,900
|
|
Elevance Health, Inc.
|
4,565,433
|
|
18,967
|
|
Eli Lilly & Co.
|
6,938,887
|
|
8,800
|
|
Essex Property Trust, Inc. REIT
|
1,864,896
|
|
30,639
|
|
Estee Lauder Cos., Inc. (The) Class A
|
7,601,842
|
|
10,614
|
|
Everest Re Group, Ltd.
|
3,516,100
|
|
49,900
|
|
Evergy, Inc.
|
3,140,207
|
|
34,100
|
|
Expeditors International of Washington, Inc.
|
3,543,672
|
|
41,300
|
|
Exxon Mobil Corp.
|
4,555,390
|
|
13,605
|
|
Factset Research Systems, Inc.
|
5,458,462
|
|
3,100
|
|
First Citizens BancShares, Inc. Class A
|
2,350,916
|
|
1,800
|
|
FirstEnergy Corp.
|
75,492
|
|
86,401
|
|
Fiserv, Inc.*
|
8,732,549
|
|
18,500
|
|
Flowers Foods, Inc.
|
531,690
|
|
121,265
|
|
Fox Corp. Class A
|
3,682,818
|
|
14,200
|
|
General Dynamics Corp.
|
3,523,162
|
|
7,900
|
|
General Mills, Inc.
|
662,415
|
|
62,029
|
|
Genpact, Ltd.
|
2,873,183
|
|
42,000
|
|
Gilead Sciences, Inc.
|
3,605,700
|
|
82,141
|
|
GSK Plc
|
1,420,456
|
|
26,089
|
|
GSK Plc, ADR
|
916,767
|
|
12,746
|
|
Hanover Insurance Group, Inc. (The)
|
1,722,367
|
|
44,300
|
|
Hartford Financial Services Group, Inc. (The)
|
3,359,269
|
|
51,300
|
|
Hawaiian Electric Industries, Inc.
|
2,146,905
|
|
19,700
|
|
Henry Schein, Inc.*
|
1,573,439
|
|
17,526
|
|
Hershey Co. (The)
|
4,058,496
|
|
9,164
|
|
Home Depot, Inc. (The)
|
2,894,541
|
|
1,400
|
|
Humana, Inc.
|
717,066
|
|
9,300
|
|
Huntington Ingalls Industries, Inc.
|
2,145,324
|
|
27,627
|
|
ICON Plc, ADR*
|
5,366,545
|
|
22,700
|
|
IDACORP, Inc.
|
2,448,195
|
|
21,131
|
|
Illumina, Inc.*
|
4,272,688
|
|
5,800
|
|
Incyte Corp.*
|
465,856
|
|
26,800
|
|
Ingredion, Inc.
|
2,624,524
|
|
49,848
|
|
Intercontinental Exchange, Inc.
|
5,113,906
|
|
14,600
|
|
International Business Machines Corp.
|
2,056,994
|
|
32,447
|
|
Intuit, Inc.
|
12,629,021
|
|
5,400
|
|
IQVIA Holdings, Inc.*
|
1,106,406
|
|
12,800
|
|
Jazz Pharmaceuticals Plc*
|
2,039,168
|
|
20,700
|
|
JB Hunt Transport Services, Inc.
|
3,609,252
|
|
89,414
|
|
Johnson & Johnson
|
15,794,983
|
|
15,500
|
|
JPMorgan Chase & Co.
|
2,078,550
|
|
15,500
|
|
Keysight Technologies, Inc.*
|
2,651,585
|
|
15,600
|
|
Kraft Heinz Co. (The)
|
635,076
|
|
85,400
|
|
Kroger Co. (The)
|
3,807,132
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United States — continued
|
|
|
12,300
|
|
Laboratory Corp. of America Holdings
|
2,896,404
|
|
17,300
|
|
Landstar System, Inc.
|
2,818,170
|
|
7,500
|
|
Life Storage, Inc. REIT
|
738,750
|
|
300
|
|
Littelfuse, Inc.
|
66,060
|
|
8,450
|
|
Lockheed Martin Corp.
|
4,110,841
|
|
5,800
|
|
Loews Corp.
|
338,314
|
|
3,200
|
|
Lowe's Cos., Inc.
|
637,568
|
|
12,700
|
|
LyondellBasell Industries NV Class A
|
1,054,481
|
|
9,900
|
|
Manhattan Associates, Inc.*
|
1,201,860
|
|
2,430
|
|
Markel Corp.*
|
3,201,501
|
|
41,012
|
|
Mastercard, Inc. Class A
|
14,261,103
|
|
11,500
|
|
McKesson Corp.
|
4,313,880
|
|
6
|
|
Medtronic Plc
|
466
|
|
60,234
|
|
Merck & Co., Inc.
|
6,682,962
|
|
32,146
|
|
Meta Platforms, Inc. Class A *
|
3,868,450
|
|
123,250
|
|
Microsoft Corp.
|
29,557,815
|
|
15,625
|
|
Mid-America Apartment Communities, Inc. REIT
|
2,452,969
|
|
6,300
|
|
Molina Healthcare, Inc.*
|
2,080,386
|
|
59,818
|
|
Moody's Corp.
|
16,666,491
|
|
110,986
|
|
Nestle SA
|
12,852,400
|
|
3,300
|
|
NewMarket Corp.
|
1,026,663
|
|
67,751
|
|
Newmont Corp.
|
3,197,847
|
|
2,400
|
|
Northrop Grumman Corp.
|
1,309,464
|
|
50,800
|
|
OGE Energy Corp.
|
2,009,140
|
|
4,000
|
|
Old Dominion Freight Line, Inc.
|
1,135,120
|
|
85,800
|
|
Old Republic International Corp.
|
2,072,070
|
|
36,414
|
|
Oracle Corp.
|
2,976,480
|
|
2,800
|
|
O'Reilly Automotive, Inc.*
|
2,363,284
|
|
10,100
|
|
PACCAR, Inc.
|
999,597
|
|
18,200
|
|
Packaging Corp. of America
|
2,327,962
|
|
32,348
|
|
PepsiCo, Inc.
|
5,843,990
|
|
115,334
|
|
Pfizer, Inc.
|
5,909,714
|
|
126,397
|
|
Philip Morris International, Inc.
|
12,792,640
|
|
3,500
|
|
Pinnacle Financial Partners, Inc.
|
256,900
|
|
37,580
|
|
Procter & Gamble Co. (The)
|
5,695,625
|
|
1,700
|
|
Public Storage REIT
|
476,323
|
|
57,241
|
|
QIAGEN NV*
|
2,854,609
|
|
17,564
|
|
QIAGEN NV (London Exchange)*
|
881,210
|
|
2,900
|
|
QUALCOMM, Inc.
|
318,826
|
|
27,450
|
|
Raymond James Financial, Inc.
|
2,933,033
|
|
4,050
|
|
Regeneron Pharmaceuticals, Inc.*
|
2,922,035
|
|
3,900
|
|
Reinsurance Group of America, Inc.
|
554,151
|
|
28,104
|
|
Republic Services, Inc. Class A
|
3,625,135
|
|
32,662
|
|
Roche Holding AG
|
10,255,416
|
|
8,400
|
|
Roper Technologies, Inc.
|
3,629,556
|
|
26,300
|
|
Royal Gold, Inc.
|
2,964,536
|
|
18,655
|
|
S&P Global, Inc.
|
6,248,306
|
|
59,800
|
|
Schneider National, Inc. Class B
|
1,399,320
|
|
17,800
|
|
Science Applications International Corp.
|
1,974,554
|
|
Shares
|
|
Description
|
Value ($)
|
|
|
|
United States — continued
|
|
|
100
|
|
Seaboard Corp.
|
377,521
|
|
4,300
|
|
Seagen, Inc.*
|
552,593
|
|
14,100
|
|
Sempra Energy
|
2,179,014
|
|
13,600
|
|
Service Corp. International
|
940,304
|
|
23,800
|
|
Southern Co. (The)
|
1,699,558
|
|
10,300
|
|
SS&C Technologies Holdings, Inc.
|
536,218
|
|
11,572
|
|
Synopsys, Inc.*
|
3,694,824
|
|
6,100
|
|
Target Corp.
|
909,144
|
|
14,000
|
|
Tetra Tech, Inc.
|
2,032,660
|
|
26,700
|
|
Texas Instruments, Inc.
|
4,411,374
|
|
26,300
|
|
Textron, Inc.
|
1,862,040
|
|
25,700
|
|
TFS Financial Corp.
|
370,337
|
|
13,883
|
|
Thermo Fisher Scientific, Inc.
|
7,645,229
|
|
29,100
|
|
T-Mobile US, Inc.*
|
4,074,000
|
|
19,400
|
|
Travelers Cos., Inc. (The)
|
3,637,306
|
|
37,200
|
|
Tyson Foods, Inc. Class A
|
2,315,700
|
|
5,400
|
|
Ulta Beauty, Inc.*
|
2,532,978
|
|
18,000
|
|
United Parcel Service, Inc. Class B
|
3,129,120
|
|
7,300
|
|
United Therapeutics Corp.*
|
2,030,057
|
|
25,055
|
|
UnitedHealth Group, Inc.
|
13,283,660
|
|
10,000
|
|
US Bancorp
|
436,100
|
|
47,873
|
|
VeriSign, Inc.*
|
9,835,029
|
|
123,012
|
|
Verizon Communications, Inc.
|
4,846,673
|
|
9,100
|
|
Vertex Pharmaceuticals, Inc.*
|
2,627,898
|
|
110,206
|
|
Visa, Inc. Class A
|
22,896,399
|
|
27,981
|
|
VMware, Inc. Class A *
|
3,434,948
|
|
11,300
|
|
W R Berkley Corp.
|
820,041
|
|
35,636
|
|
Walmart, Inc.
|
5,052,828
|
|
26,285
|
|
Waste Management, Inc.
|
4,123,591
|
|
35,800
|
|
WEC Energy Group, Inc.
|
3,356,608
|
|
38,500
|
|
Wells Fargo & Co.
|
1,589,665
|
|
1,000
|
|
White Mountains Insurance Group, Ltd.
|
1,414,330
|
|
20,000
|
|
Wintrust Financial Corp.
|
1,690,400
|
|
35,959
|
|
Xcel Energy, Inc.
|
2,521,086
|
|
44,300
|
|
Zions Bancorp NA
|
2,177,788
|
|
19,800
|
|
Zoetis, Inc.
|
2,901,690
|
|
|
|
|
730,227,734
|
|
|
|
TOTAL COMMON STOCKS (COST $984,265,243)
|
1,026,607,174
|
|
|
|||
|
|
|
PREFERRED STOCKS — 0.0%
|
|
|
|
|
Germany — 0.0%
|
|
|
3,219
|
|
Fuchs Petrolub SE, 3.15%
|
112,477
|
|
4,923
|
|
Henkel AG & Co. KGaA, 2.84%
|
341,620
|
|
|
|
|
454,097
|
|
|
|
TOTAL PREFERRED STOCKS (COST $389,346)
|
454,097
|
|
Par Value ($)
|
|
Description
|
Value ($)
|
|
|
|
SHORT-TERM INVESTMENT — 2.3%
|
|
|
|
|
Mutual Fund - Securities Lending Collateral — 2.3%
|
|
|
23,895,826
|
|
State Street Institutional U.S. Government Money Market Fund, Premier Class,
4.12%(b)(d)
|
23,895,826
|
|
|
|
TOTAL SHORT-TERM INVESTMENT (COST $23,895,826)
|
23,895,826
|
|
|
|
TOTAL INVESTMENTS — 98.8%
(Cost $1,008,550,415)
|
1,050,957,097
|
|
|
|
Other Assets and Liabilities (net) — 1.2%
|
13,267,335
|
|
|
|
NET ASSETS — 100.0%
|
$1,064,224,432
|
|
|
Notes to Schedule of Investments:
|
|
*
|
Non-income producing security.
|
|
(a)
|
All or a portion of this security is out on loan.
|
|
(b)
|
Represents an investment of securities lending cash collateral.
|
|
(c)
|
Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts
from registration securities offered and sold outside the United States. Security may not be offered
or sold in the United States except pursuant to an exemption from, or in a transaction not subject
to, the registration requirements of the Securities Act of 1933.
|
|
(d)
|
The rate disclosed is the 7-day net yield as of December 31, 2022.
|
|
Number of
Contracts
|
Description
|
Expiration Date
|
Notional
Value
|
Market Value/
Unrealized
Appreciation
(Depreciation)
|
|
Buys
|
|
|
|
|
|
4
|
Canadian Dollar
|
Mar 2023
|
$295,680
|
$522
|
|
51
|
MSCI EAFE Index
|
Mar 2023
|
4,970,970
|
(54,981)
|
|
74
|
S&P 500 E-mini Index
|
Mar 2023
|
14,285,700
|
(104,737)
|
|
1
|
S&P/TSX 60 Index
|
Mar 2023
|
172,685
|
(5,959)
|
|
|
|
|
|
$(165,155)
|
|
Abbreviations
|
||
|
ADR
|
—
|
American Depository Receipt
|
|
GDR
|
—
|
Global Depository Receipt
|
|
REIT
|
—
|
Real Estate Investment Trust
|
|
Industry Sector Summary (Unaudited)
|
% of Net Assets
|
|
Consumer, Non-cyclical
|
36.7
|
|
Technology
|
14.3
|
|
Financial
|
13.1
|
|
Industrial
|
11.4
|
|
Communications
|
10.3
|
|
Consumer, Cyclical
|
3.7
|
|
Utilities
|
3.7
|
|
Basic Materials
|
2.0
|
|
Energy
|
1.3
|
|
Short-Term Investment
|
2.3
|
|
Other Assets and Liabilities (net)
|
1.2
|
|
|
100.0%
|
|
Fund
|
Investment Objective
|
|
Large Cap
|
Long-term total return, which includes capital
appreciation and income
|
|
Small/Mid Cap
|
Long-term total return, comprised primarily of
capital appreciation
|
|
Non-US Core Equity
|
Long-term total return, which includes capital
appreciation and income
|
|
Core Fixed
|
Total return, consisting of both current income and
capital appreciation
|
|
Opportunistic Fixed
|
Long-term total return, which includes capital
appreciation and income
|
|
Emerging Markets
|
Long-term total return, which includes capital
appreciation and income
|
|
Global Low Volatility
|
Long-term total return, which includes capital
appreciation and income
|
|
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Common Stocks
|
|
|
|
|
|
Australia
|
$164,324,101
|
$ —
|
$ —
|
$164,324,101
|
|
Austria
|
11,102,350
|
—
|
—
|
11,102,350
|
|
Belgium
|
21,339,432
|
—
|
—
|
21,339,432
|
|
Brazil
|
32,683,338
|
—
|
—
|
32,683,338
|
|
Canada
|
66,820,901
|
—
|
—
|
66,820,901
|
|
China
|
42,257,722
|
—
|
—
|
42,257,722
|
|
Denmark
|
76,281,398
|
—
|
—
|
76,281,398
|
|
Finland
|
25,039,854
|
—
|
—
|
25,039,854
|
|
France
|
385,207,214
|
—
|
—
|
385,207,214
|
|
Georgia
|
1,421,412
|
—
|
—
|
1,421,412
|
|
Germany
|
275,226,145
|
—
|
—
|
275,226,145
|
|
Hong Kong
|
22,982,296
|
—
|
—
|
22,982,296
|
|
Hungary
|
4,786,912
|
—
|
—
|
4,786,912
|
|
India
|
15,294,257
|
—
|
—
|
15,294,257
|
|
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Indonesia
|
$2,470,302
|
$ —
|
$ —
|
$2,470,302
|
|
Ireland
|
19,078,767
|
—
|
—
|
19,078,767
|
|
Israel
|
12,316,488
|
—
|
—
|
12,316,488
|
|
Italy
|
72,767,922
|
—
|
—
|
72,767,922
|
|
Japan
|
665,024,749
|
—
|
—
|
665,024,749
|
|
Luxembourg
|
9,065,278
|
—
|
—
|
9,065,278
|
|
Malaysia
|
2,519,978
|
—
|
—
|
2,519,978
|
|
Netherlands
|
173,125,053
|
—
|
—
|
173,125,053
|
|
Norway
|
14,879,083
|
—
|
—
|
14,879,083
|
|
Philippines
|
116,651
|
—
|
—
|
116,651
|
|
Portugal
|
7,491,578
|
—
|
—
|
7,491,578
|
|
Russia
|
—
|
—
|
265,656
|
265,656
|
|
Singapore
|
7,724,642
|
—
|
—
|
7,724,642
|
|
South Africa
|
20,342,234
|
—
|
—
|
20,342,234
|
|
South Korea
|
42,962,148
|
—
|
—
|
42,962,148
|
|
Spain
|
69,649,883
|
—
|
0*
|
69,649,883
|
|
Sweden
|
72,138,429
|
—
|
—
|
72,138,429
|
|
Switzerland
|
185,813,686
|
—
|
—
|
185,813,686
|
|
Taiwan
|
34,285,732
|
—
|
—
|
34,285,732
|
|
Thailand
|
—
|
664,520
|
—
|
664,520
|
|
Turkey
|
13,499,572
|
—
|
—
|
13,499,572
|
|
United Kingdom
|
280,504,027
|
—
|
—
|
280,504,027
|
|
United States
|
264,717,887
|
—
|
—
|
264,717,887
|
|
Total Common Stocks
|
3,115,261,421
|
664,520
|
265,656
|
3,116,191,597
|
|
Investment Company
|
11,694,666
|
—
|
—
|
11,694,666
|
|
Preferred Stocks
|
29,882,141
|
—
|
—
|
29,882,141
|
|
Warrant
|
197,171
|
—
|
—
|
197,171
|
|
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Short-Term Investment
|
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
$97,215,006
|
$ —
|
$ —
|
$97,215,006
|
|
Total
|
$3,254,250,405
|
$664,520
|
$265,656
|
$3,255,180,581
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Futures Contracts†
|
|
|
|
|
|
Buy
|
$(1,672,568)
|
$ —
|
$ —
|
$(1,672,568)
|
|
Total
|
$(1,672,568)
|
$ —
|
$ —
|
$(1,672,568)
|
|
*
|
Represents one or more Level 3 securities at $0 value as of December 31, 2022.
|
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Debt Obligations
|
$ —
|
$1,276,362,544
|
$ —
|
$1,276,362,544
|
|
Short-Term Investments
|
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
14,651,632
|
—
|
—
|
14,651,632
|
|
U.S. Government and Agency
Obligation
|
—
|
1,607,150
|
—
|
1,607,150
|
|
Total Short-Term Investments
|
14,651,632
|
1,607,150
|
—
|
16,258,782
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Futures Contracts†
|
|
|
|
|
|
Buy
|
$41,723
|
$ —
|
$ —
|
$41,723
|
|
Sales
|
287,666
|
—
|
—
|
287,666
|
|
Total Futures Contracts
|
329,389
|
—
|
—
|
329,389
|
|
Total
|
$14,981,021
|
$1,277,969,694
|
$ —
|
$1,292,950,715
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
TBA Sale Commitments
|
$ —
|
$(13,559,176)
|
$ —
|
$(13,559,176)
|
|
Futures Contracts†
|
|
|
|
|
|
Buys
|
(789,035)
|
—
|
—
|
(789,035)
|
|
Forward Foreign Currency Contract†
|
—
|
(299,320)
|
—
|
(299,320)
|
|
Total
|
$(789,035)
|
$(13,858,496)
|
$ —
|
$(14,647,531)
|
|
*
|
Represents one or more Level 3 securities at $0 value as of December 31, 2022.
|
|
†
|
Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation.
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Debt Obligations
|
$ —
|
$1,078,594,895
|
$ —
|
$1,078,594,895
|
|
Common Stocks
|
|
|
|
|
|
Energy
|
88
|
—
|
—
|
88
|
|
Industrial
|
—
|
—
|
0*
|
—
|
|
Total Common Stocks
|
88
|
—
|
0
|
88
|
|
Convertible Preferred Stocks
|
|
|
|
|
|
Consumer, Non-cyclical
|
196,700
|
—
|
—
|
196,700
|
|
Energy
|
—
|
3,715,920
|
—
|
3,715,920
|
|
Utilities
|
661,489
|
—
|
—
|
661,489
|
|
Total Convertible Preferred Stocks
|
858,189
|
3,715,920
|
—
|
4,574,109
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Preferred Stocks
|
$308,816
|
$ —
|
$ —
|
$308,816
|
|
Short-Term Investments
|
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
25,548,309
|
—
|
—
|
25,548,309
|
|
U.S. Government and Agency
Obligation
|
—
|
7,094,214
|
—
|
7,094,214
|
|
Total Short-Term Investments
|
25,548,309
|
7,094,214
|
—
|
32,642,523
|
|
Purchased Options
|
|
|
|
|
|
Purchased Currency Option
|
—
|
186,372
|
—
|
186,372
|
|
Purchased Futures Options
|
352,650
|
—
|
—
|
352,650
|
|
Total Purchased Options
|
352,650
|
186,372
|
—
|
539,022
|
|
Futures Contracts†
|
|
|
|
|
|
Buy
|
7,530
|
—
|
—
|
7,530
|
|
Sales
|
499,923
|
—
|
—
|
499,923
|
|
Total Futures Contracts
|
507,453
|
—
|
—
|
507,453
|
|
Swaps
|
|
|
|
|
|
Centrally Cleared Interest Rate
Swaps†
|
—
|
1,008,829
|
—
|
1,008,829
|
|
OTC Credit Default Swap
|
—
|
1,051
|
—
|
1,051
|
|
Centrally Cleared Credit Default
Swaps†
|
—
|
131,444
|
—
|
131,444
|
|
Total Swaps
|
—
|
1,141,324
|
—
|
1,141,324
|
|
Forward Foreign Currency Contracts†
|
—
|
15,355,473
|
—
|
15,355,473
|
|
Total
|
$27,575,505
|
$1,106,088,198
|
$ 0
|
$1,133,663,703
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Futures Contracts†
|
|
|
|
|
|
Buys
|
$(4,585,735)
|
$ —
|
$ —
|
$(4,585,735)
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Swaps
|
|
|
|
|
|
Centrally Cleared Interest Rate
Swaps†
|
$ —
|
$(419,663)
|
$ —
|
$(419,663)
|
|
OTC Credit Default Swap
|
—
|
(7,648)
|
—
|
(7,648)
|
|
Centrally Cleared Credit Default
Swaps†
|
—
|
(269,703)
|
—
|
(269,703)
|
|
Total Swaps
|
—
|
(697,014)
|
—
|
(697,014)
|
|
Forward Foreign Currency Contracts†
|
—
|
(8,129,864)
|
—
|
(8,129,864)
|
|
Written Options
|
|
|
|
|
|
Written Futures Options
|
(51,888)
|
—
|
—
|
(51,888)
|
|
Total
|
$(4,637,623)
|
$(8,826,878)
|
$ —
|
$(13,464,501)
|
|
*
|
Represents one or more Level 3 securities at $0 value as of December 31, 2022.
|
|
†
|
Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized
appreciation/depreciation.
|
|
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Common Stocks
|
|
|
|
|
|
Australia
|
$3,848,522
|
$ —
|
$ —
|
$3,848,522
|
|
Brazil
|
101,382,181
|
—
|
—
|
101,382,181
|
|
Canada
|
7,612,854
|
—
|
—
|
7,612,854
|
|
Chile
|
10,731,005
|
—
|
—
|
10,731,005
|
|
China
|
461,221,338
|
—
|
—
|
461,221,338
|
|
Greece
|
5,320,420
|
—
|
—
|
5,320,420
|
|
Hong Kong
|
40,966,919
|
—
|
—
|
40,966,919
|
|
India
|
206,992,245
|
—
|
—
|
206,992,245
|
|
Indonesia
|
32,152,796
|
—
|
—
|
32,152,796
|
|
Italy
|
8,228,699
|
—
|
—
|
8,228,699
|
|
Japan
|
7,277,884
|
—
|
—
|
7,277,884
|
|
Macau
|
13,938,109
|
—
|
—
|
13,938,109
|
|
Malaysia
|
1,504,966
|
—
|
—
|
1,504,966
|
|
Mexico
|
66,665,753
|
—
|
—
|
66,665,753
|
|
Netherlands
|
14,948,529
|
—
|
—
|
14,948,529
|
|
|
|
|
|
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Peru
|
$4,759,495
|
$ —
|
$ —
|
$4,759,495
|
|
Philippines
|
17,645,652
|
—
|
—
|
17,645,652
|
|
Poland
|
5,978,361
|
—
|
—
|
5,978,361
|
|
Portugal
|
4,429,082
|
—
|
—
|
4,429,082
|
|
Qatar
|
139,377
|
—
|
—
|
139,377
|
|
Russia
|
1,309,738
|
—
|
553,704
|
1,863,442
|
|
Singapore
|
5,485,490
|
—
|
—
|
5,485,490
|
|
South Africa
|
50,858,629
|
—
|
—
|
50,858,629
|
|
South Korea
|
99,375,698
|
—
|
—
|
99,375,698
|
|
Taiwan
|
145,046,427
|
—
|
—
|
145,046,427
|
|
Thailand
|
15,193,448
|
16,622,646
|
—
|
31,816,094
|
|
Turkey
|
13,692,730
|
—
|
—
|
13,692,730
|
|
United Kingdom
|
7,624,170
|
—
|
—
|
7,624,170
|
|
United States
|
5,492,106
|
—
|
—
|
5,492,106
|
|
Total Common Stocks
|
1,359,822,623
|
16,622,646
|
553,704
|
1,376,998,973
|
|
Preferred Stocks
|
9,435,109
|
—
|
—
|
9,435,109
|
|
Short-Term Investment
|
|
|
|
|
|
Mutual Fund - Securities Lending
Collateral
|
10,180,051
|
—
|
—
|
10,180,051
|
|
Total
|
$1,379,437,783
|
$16,622,646
|
$553,704
|
$1,396,614,133
|
|
Description
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
Significant
Other
Observable
Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Futures Contracts†
|
|
|
|
|
|
Buy
|
$(215,514)
|
$ —
|
$ —
|
$(215,514)
|
|
Total
|
$(215,514)
|
$ —
|
$ —
|
$(215,514)
|
|
†
|
Futures contracts are valued at unrealized appreciation/depreciation.
|
|
Borrower
|
Par
|
Cost
|
Value
|
Unrealized
Gain (Loss)
|
|
Athenahealth, Inc.
|
$13,043
|
$17,391
|
$15,746
|
$(1,645)
|
|
Thermostat Purchaser III, Inc.
|
49,431
|
49,535
|
46,713
|
(2,823)
|
|
VT Topco, Inc.(a)
|
10,130
|
10,130
|
9,859
|
(270)
|
|
|
$72,604
|
$77,056
|
$72,318
|
$(4,738)
|