Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||
LONG-TERM INVESTMENTS – 99.2% | ||||||||
CORPORATE BONDS – 54.3% | ||||||||
Banks – 2.0% | ||||||||
$200 | Kookmin Bank, 144A | 2.500% | 11/04/30 | BBB+ | $205,019 | |||
Beverages – 2.6% | ||||||||
250 | PepsiCo Inc | 2.875% | 10/15/49 | A+ | 263,851 | |||
Building Products – 2.4% | ||||||||
250 | Johnson Controls International plc / Tyco Fire & Security Finance SCA | 1.750% | 9/15/30 | BBB+ | 250,397 | |||
Chemicals – 2.7% | ||||||||
250 | LG Chem Ltd, 144A | 3.625% | 4/15/29 | BBB+ | 282,019 | |||
Commercial Services & Supplies – 2.4% | ||||||||
250 | Rockefeller Foundation | 2.492% | 10/01/50 | AAA | 253,060 | |||
Diversified Consumer Services – 1.0% | ||||||||
100 | Bush Foundation | 2.754% | 10/01/50 | Aaa | 101,731 | |||
Diversified Financial Services – 2.4% | ||||||||
250 | WLB Asset II B Pte Ltd, 144A | 3.950% | 12/10/24 | N/R | 250,000 | |||
Electric Utilities – 14.0% | ||||||||
200 | Avangrid Inc | 3.800% | 6/01/29 | Baa1 | 229,513 | |||
125 | Electricite de France SA, 144A | 3.625% | 10/13/25 | A3 | 139,886 | |||
250 | MidAmerican Energy Co | 3.150% | 4/15/50 | Aa2 | 275,399 | |||
250 | Niagara Mohawk Power Corp, 144A | 1.960% | 6/27/30 | A- | 256,294 | |||
250 | Southwestern Public Service Co | 3.750% | 6/15/49 | A | 293,705 | |||
250 | Union Electric Co | 2.625% | 3/15/51 | A | 250,908 | |||
1,325 | Total Electric Utilities | 1,445,705 | ||||||
Equity Real Estate Investment Trust – 5.1% | ||||||||
150 | HAT Holdings I LLC / HAT Holdings II LLC, 144A | 3.750% | 9/15/30 | BB+ | 150,937 | |||
225 | Regency Centers LP | 3.750% | 6/15/24 | BBB+ | 242,640 | |||
125 | Starwood Property Trust Inc, 144A | 5.500% | 11/01/23 | Ba3 | 130,000 | |||
500 | Total Equity Real Estate Investment Trust | 523,577 | ||||||
Food & Staples Retailing – 2.5% | ||||||||
250 | Sysco Corp | 2.400% | 2/15/30 | BBB | 257,395 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||
Independent Power & Renewable Electricity Producers – 5.4% | ||||||||
$350 | AES Corp, 144A | 2.450% | 1/15/31 | BBB- | $350,704 | |||
200 | UEP Penonome II SA, 144A | 6.500% | 10/01/38 | BB | 209,600 | |||
550 | Total Independent Power & Renewable Electricity Producers | 560,304 | ||||||
Machinery – 2.5% | ||||||||
250 | Xylem Inc/NY | 1.950% | 1/30/28 | BBB | 260,666 | |||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||
250 | Chevron USA Inc | 2.343% | 8/12/50 | AA | 227,837 | |||
Paper & Forest Products – 2.2% | ||||||||
200 | Inversiones CMPC SA, 144A | 4.375% | 4/04/27 | BBB | 225,185 | |||
Semiconductors & Semiconductor Equipment – 4.9% | ||||||||
250 | NXP BV / NXP Funding LLC / NXP USA Inc, 144A | 3.400% | 5/01/30 | BBB | 279,190 | |||
225 | SK Hynix Inc, 144A | 2.375% | 1/19/31 | Baa2 | 226,545 | |||
475 | Total Semiconductors & Semiconductor Equipment | 505,735 | ||||||
$5,350 | Total Corporate Bonds (cost $5,622,105) | 5,612,481 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 28.5% | ||||||||
$5 | Asset-Backed Securities Corp Home Equity Loan Trust Series 2004-HE5, (1-Month LIBOR reference rate + 0.900% spread), (3) | 1.030% | 8/25/34 | BBB | $5,270 | |||
250 | BFLD Trust 2020-EYP, 144A, (1-Month LIBOR reference rate + 2.100% spread), (3) | 2.226% | 10/15/35 | A- | 252,800 | |||
250 | CPT Mortgage Trust, 144A | 2.997% | 11/13/39 | N/R | 246,833 | |||
129 | Fannie Mae Pool MA4121 | 3.000% | 9/01/50 | N/R | 135,847 | |||
39 | Fannie Mae Pool MA4182 | 2.000% | 11/01/50 | N/R | 40,829 | |||
5 | Fannie Mae Pool MA4208 | 2.000% | 12/01/50 | N/R | 5,129 | |||
50 | Fannie Mae Pool MA4237 | 2.000% | 1/01/51 | N/R | 51,501 | |||
110 | Fannie Mae Pool MA4256 | 2.500% | 2/01/51 | N/R | 115,859 | |||
45 | Fannie Mae Pool MA4261 | 2.000% | 2/01/36 | N/R | 47,047 | |||
3 | Fannie Mae REMICS | 3.000% | 1/25/50 | N/R | 3,313 | |||
249 | Freddie Mac Multifamily Structured Pass-Through Certificates | 1.555% | 1/25/36 | N/R | 246,220 | |||
10 | Freddie Mac STACR Remic Trust 2020-DNA2, 144A, (1-Month LIBOR reference rate + 1.850% spread), (3) | 1.980% | 2/25/50 | BB | 9,975 | |||
10 | Ginnie Mae II Pool BX3680 | 3.000% | 8/20/50 | N/R | 10,937 | |||
15 | Ginnie Mae II Pool BX3680 | 3.000% | 8/20/50 | N/R | 16,349 | |||
5 | Ginnie Mae II Pool BX3681 | 3.000% | 8/20/50 | N/R | 5,399 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||
$33 | Ginnie Mae II Pool BY0325 | 2.500% | 10/20/50 | N/R | $35,316 | |||
5 | Ginnie Mae II Pool BY0338 | 3.500% | 8/20/50 | N/R | 5,568 | |||
5 | Ginnie Mae II Pool BY0339 | 3.500% | 8/20/50 | N/R | 5,552 | |||
5 | Ginnie Mae II Pool BY0340 | 3.500% | 8/20/50 | N/R | 5,485 | |||
83 | Ginnie Mae II Pool MA6820 | 3.000% | 8/20/50 | N/R | 87,442 | |||
30 | Ginnie Mae II Pool MA6864 | 2.000% | 9/20/50 | N/R | 30,710 | |||
30 | Ginnie Mae II Pool MA7051 | 2.000% | 12/20/50 | N/R | 31,079 | |||
70 | Ginnie Mae II Pool MA7052 | 2.500% | 12/20/50 | N/R | 73,512 | |||
235 | Hudson Yards 2019-30HY Mortgage Trust, 144A | 3.228% | 7/10/39 | AAA | 262,967 | |||
240 | Mosaic Solar Loan Trust 2020-2, 144A | 1.440% | 8/20/46 | N/R | 238,894 | |||
250 | Natixis Commercial Mortgage Securities Trust 2019-MILE, 144A, (1-Month LIBOR reference rate + 1.500% spread), (3) | 1.626% | 7/15/36 | N/R | 250,000 | |||
250 | Tesla Auto Lease Trust 2020-A, 144A | 0.780% | 12/20/23 | Aaa | 252,396 | |||
250 | Vivint Solar Financing VII LLC, 144A | 2.210% | 7/31/51 | N/R | 255,268 | |||
200 | VNDO Trust 2016-350P, 144A | 3.903% | 1/10/35 | AA- | 215,409 | |||
$2,861 | Asset-Backed and Mortgage-Backed Securities (cost $2,919,298) | 2,942,906 |
Principal Amount (000) | Description (1) | Optional Call Provisions (4) | Ratings (2) | Value | ||
MUNICIPAL BONDS – 9.2% | ||||||
California – 1.9% | ||||||
$190 | San Francisco City and County Public Utilities Commission, California, Power Revenue Bonds, Taxable Refunding Series 2020E, 2.825%, 11/01/41 | 11/30 at 100.00 | Aa2 | $199,240 | ||
Michigan – 2.6% | ||||||
250 | Great Lakes Water Authority, Michigan, Sewer Disposal System Revenue Bonds, Taxable Refunding Senior Lien Series 2020A, 3.056%, 7/01/39 | No Opt. Call | AA- | 270,728 | ||
New York – 4.7% | ||||||
355 | New York State Energy Research and Development Authority, Residential Solar & Energ Efficiency Financing, Taxable Green Series 2020A, 1.624%, 10/01/22 | 4/21 at 100.00 | N/R | 356,303 | ||
125 | New York Transportation Development Corporation, New York, Special Facility Revenue Bonds, Terminal 4 John F Kennedy International Airport Project, Taxable Series 2020B, 1.360%, 12/01/21 | No Opt. Call | Baa1 | 125,127 | ||
480 | Total New York | 481,430 | ||||
$920 | Total Municipal Bonds (cost $944,061) | 951,398 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |
U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 2.7% | ||||||
$250 | United States Department of Housing and Urban Development | 2.738% | 8/01/25 | N/R | $274,638 | |
$250 | Total U.S. Government and Agency Obligations (cost $274,372) | 274,638 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||
SOVEREIGN DEBT – 2.6% | ||||||||
Chile – 2.6% | ||||||||
$250 | Chile Government International Bond | 2.550% | 1/27/32 | A | $264,250 | |||
$250 | Total Sovereign Debt (cost $268,394) | 264,250 |
Principal Amount (000) | Description (1) | Coupon (5) | Reference Rate (5) | Spread (5) | Maturity (6) | Ratings (2) | Value | |
VARIABLE RATE SENIOR LOAN INTERESTS – 1.9% (5) | ||||||||
Electric Utilities – 1.9% | ||||||||
$200 | ExGen Renewables, Term Loan, First Lien | 3.750% | 3-Month LIBOR | 2.750% | 12/11/27 | BB- | $201,600 | |
$200 | Total Variable Rate Senior Loan Interests (cost $199,011) | 201,600 | ||||||
Total Long-Term Investments (cost $10,227,241) | 10,247,273 | |||||||
Other Assets Less Liabilities – 0.8% | 77,772 | |||||||
Net Assets – 100% | $10,325,045 |
Level 1 | Level 2 | Level 3 | Total | |
Long-Term Investments: | ||||
Corporate Bonds | $ — | $5,612,481 | $ — | $5,612,481 |
Asset-Backed and Mortgage-Backed Securities | — | 2,942,906 | — | 2,942,906 |
Municipal Bonds | — | 951,398 | — | 951,398 |
U.S. Government and Agency Obligations | — | 274,638 | — | 274,638 |
Sovereign Debt | — | 264,250 | — | 264,250 |
Variable Rate Senior Loan Interests | — | 201,600 | — | 201,600 |
Total | $ — | $10,247,273 | $ — | $10,247,273 |
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease. | ||
(1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
(2) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. | |
(3) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. | |
(4) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
(5) | Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period. | |
(6) | Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown. | |
144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
LIBOR | London Inter-Bank Offered Rate |