|
THE “UNAUDITED EXCHANGE-TRADED FUNDS HOLDINGS”
LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES
ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS
ADVERTISING OR SALES LITERATURE WITH THE GENERAL
PUBLIC. The list is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to
prospective investors in the Fund unless preceded or accompanied by a
prospectus. The list has been created from the books and records of
the Fund. Holdings are available 60 days after the fund’s fiscal quarter,
using a trade date accounting convention, by contacting the appropriate
service center. The list is subject to change without notice. The list is
for informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2024.
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — 61.5%
|
||
|
Australia — 0.7%
|
||
|
APA Infrastructure Ltd. 2.00%, 7/15/2030 (a)
|
EUR150,000
|
145,465
|
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Commonwealth Bank of Australia 2.69%, 3/11/2031 (b) (c)
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1,250,000
|
1,031,205
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Glencore Funding LLC
|
|
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5.40%, 5/8/2028 (b)
|
450,000
|
449,075
|
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6.38%, 10/6/2030 (b)
|
29,000
|
30,173
|
|
2.85%, 4/27/2031 (b)
|
450,000
|
379,055
|
|
2.63%, 9/23/2031 (b)
|
398,000
|
326,981
|
|
5.63%, 4/4/2034 (b)
|
790,000
|
776,082
|
|
|
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3,138,036
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Austria — 0.2%
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||
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Benteler International AG
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|
|
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9.38%, 5/15/2028 (b)
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EUR116,000
|
133,937
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|
9.38%, 5/15/2028 (a)
|
EUR600,000
|
692,776
|
|
|
|
826,713
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Belgium — 1.0%
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|
Azelis Finance NV 5.75%, 3/15/2028 (a)
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EUR600,000
|
668,152
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KBC Group NV
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|
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(EUR Swap Annual 5 Year + 3.59%), 4.25%, 10/24/2025 (a) (c) (d) (e) (f)
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EUR200,000
|
210,314
|
|
(EURIBOR ICE Swap Rate 5 Year + 4.93%), 8.00%, 9/5/2028 (a) (c) (d) (e) (f)
|
EUR1,000,000
|
1,157,835
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (f)
|
200,000
|
201,096
|
|
(EUR Swap Annual 5 Year + 1.25%), 1.63%, 9/18/2029 (a) (f)
|
EUR300,000
|
322,579
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Ontex Group NV 3.50%, 7/15/2026 (a)
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EUR900,000
|
953,156
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Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a)
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EUR800,000
|
831,232
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4,344,364
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Brazil — 0.3%
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Braskem Netherlands Finance BV 7.25%, 2/13/2033 (a)
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350,000
|
326,314
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Guara Norte SARL 5.20%, 6/15/2034 (b)
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278,457
|
253,152
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Klabin Austria GmbH 7.00%, 4/3/2049 (a)
|
200,000
|
200,000
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Suzano Austria GmbH
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3.75%, 1/15/2031
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48,000
|
41,059
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7.00%, 3/16/2047 (a)
|
200,000
|
202,660
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Vale Overseas Ltd. 6.13%, 6/12/2033
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213,000
|
212,973
|
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1,236,158
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Canada — 0.7%
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Bank of Nova Scotia (The)
|
|
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2.45%, 2/2/2032
|
420,000
|
344,344
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (c) (f)
|
570,000
|
511,207
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Canadian Pacific Railway Co. 3.50%, 5/1/2050
|
90,000
|
64,714
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Emera US Finance LP 2.64%, 6/15/2031
|
1,272,000
|
1,038,835
|
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Emera, Inc. Series 16-A, (3-MONTH SOFR + 5.44%), 6.75%, 6/15/2076 (f)
|
236,000
|
233,415
|
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Enbridge, Inc. Series NC5, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.79%), 8.25%,
1/15/2084 (f)
|
775,000
|
803,792
|
|
Transcanada Trust Series 16-A, (3-MONTH SOFR + 4.64%), 5.88%, 8/15/2076 (f)
|
57,000
|
55,705
|
|
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3,052,012
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Chile — 0.1%
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Alfa Desarrollo SpA 4.55%, 9/27/2051 (b)
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337,600
|
251,174
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
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||
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China — 0.8%
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Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (a) (g)
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530,000
|
43,725
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Huarong Finance 2017 Co. Ltd. 4.25%, 11/7/2027 (a)
|
200,000
|
184,312
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NXP BV
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5.55%, 12/1/2028
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1,472,000
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1,483,246
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2.50%, 5/11/2031
|
1,097,000
|
911,388
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TI Automotive Finance plc 3.75%, 4/15/2029 (a)
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EUR750,000
|
753,942
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3,376,613
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Colombia — 0.0% ^
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AI Candelaria Spain SA 5.75%, 6/15/2033 (b)
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250,000
|
197,500
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Denmark — 0.3%
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Danske Bank A/S
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(EURIBOR ICE Swap Rate 1 Year + 0.88%), 0.75%, 6/9/2029 (a) (f)
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EUR500,000
|
479,238
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(EURIBOR ICE Swap Rate 1 Year + 1.70%), 4.75%, 6/21/2030 (a) (f)
|
EUR800,000
|
898,109
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|
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|
1,377,347
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France — 8.9%
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Accor SA 1.75%, 2/4/2026 (a) (h)
|
EUR400,000
|
418,703
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Airbus SE
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1.63%, 6/9/2030 (a)
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EUR1,100,000
|
1,072,595
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1.38%, 5/13/2031 (a)
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EUR300,000
|
284,861
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Altice France SA 3.38%, 1/15/2028 (a)
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EUR1,750,000
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1,292,994
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Autoroutes du Sud de la France SA
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1.13%, 4/20/2026 (a)
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EUR800,000
|
829,100
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3.25%, 1/19/2033 (a)
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EUR600,000
|
632,562
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AXA SA (EURIBOR 3 Month + 3.75%), 3.38%, 7/6/2047 (a) (f)
|
EUR600,000
|
636,892
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|
Banijay Entertainment SASU
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|
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7.00%, 5/1/2029 (a)
|
EUR600,000
|
682,614
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7.00%, 5/1/2029 (b)
|
EUR218,000
|
248,016
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Bertrand Franchise Finance SAS 6.50%, 7/18/2030 (b) (i)
|
EUR150,000
|
164,795
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BNP Paribas SA
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(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.35%), 8.50%, 8/14/2028 (b) (c) (d) (e) (f)
|
1,000,000
|
1,044,546
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(EURIBOR ICE Swap Rate 5 Year + 4.63%), 7.38%, 6/11/2030 (a) (c) (d) (e) (f)
|
EUR400,000
|
461,146
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BPCE SA
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|
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(SOFR + 2.10%), 5.98%, 1/18/2027 (b) (f)
|
2,038,000
|
2,043,708
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|
(EURIBOR 3 Month + 1.00%), 0.50%, 9/15/2027 (a) (f)
|
EUR400,000
|
401,777
|
|
4.38%, 7/13/2028 (a)
|
EUR900,000
|
993,334
|
|
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (f)
|
480,000
|
388,140
|
|
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (f)
|
250,000
|
205,623
|
|
Burger King France SAS (EURIBOR 3 Month + 4.75%), 8.58%, 11/1/2026 (a) (f)
|
EUR350,000
|
379,767
|
|
Cerba Healthcare SACA 3.50%, 5/31/2028 (a)
|
EUR639,000
|
585,904
|
|
Chrome Holdco SAS 5.00%, 5/31/2029 (a)
|
EUR250,000
|
187,470
|
|
Credit Agricole SA
|
|
|
|
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (f)
|
1,000,000
|
931,355
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|
(U.K. Government Bonds 1 Year Note Generic Bid Yield + 2.60%), 5.75%, 11/29/2027 (a) (f)
|
GBP500,000
|
640,624
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|
2.00%, 3/25/2029 (a)
|
EUR200,000
|
199,832
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(SOFR + 1.86%), 6.32%, 10/3/2029 (b) (f)
|
1,545,000
|
1,592,634
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Credit Mutuel Arkea SA (EURIBOR ICE Swap Rate 5 Year + 1.45%), 1.88%, 10/25/2029 (a) (f)
|
EUR300,000
|
321,966
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
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France — continued
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|
Electricite de France SA
|
|
|
|
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/5/2024 (a) (d) (e) (f)
|
EUR1,000,000
|
1,080,506
|
|
(EUR Swap Annual 5 Year + 2.86%), 2.63%, 12/1/2027 (a) (d) (e) (f)
|
EUR400,000
|
393,539
|
|
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (e) (f)
|
EUR1,200,000
|
1,150,761
|
|
6.25%, 5/23/2033 (b)
|
500,000
|
520,258
|
|
Elis SA 1.63%, 4/3/2028 (a)
|
EUR1,300,000
|
1,293,897
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|
ELO SACA 6.00%, 3/22/2029 (a)
|
EUR400,000
|
430,418
|
|
Forvia SE
|
|
|
|
2.63%, 6/15/2025 (a)
|
EUR300,000
|
320,632
|
|
3.13%, 6/15/2026 (a)
|
EUR600,000
|
635,571
|
|
2.38%, 6/15/2027 (a)
|
EUR900,000
|
921,663
|
|
3.75%, 6/15/2028 (a)
|
EUR800,000
|
843,035
|
|
Iliad Holding SASU
|
|
|
|
5.63%, 10/15/2028 (a)
|
EUR450,000
|
485,831
|
|
6.88%, 4/15/2031 (b)
|
EUR280,000
|
308,842
|
|
iliad SA
|
|
|
|
5.38%, 6/14/2027 (a)
|
EUR600,000
|
664,669
|
|
1.88%, 2/11/2028 (a)
|
EUR1,000,000
|
985,646
|
|
5.63%, 2/15/2030 (a)
|
EUR1,100,000
|
1,223,394
|
|
Loxam SAS
|
|
|
|
2.88%, 4/15/2026 (a)
|
EUR300,000
|
317,377
|
|
4.50%, 2/15/2027 (b)
|
EUR288,000
|
311,148
|
|
Lune Holdings SARL 5.63%, 11/15/2028 (a)
|
EUR475,000
|
426,802
|
|
Orange SA (EUR Swap Annual 5 Year + 2.10%), 1.75%, 7/15/2028 (a) (d) (e) (f)
|
EUR1,100,000
|
1,065,248
|
|
Paprec Holding SA
|
|
|
|
3.50%, 7/1/2028 (a)
|
EUR873,000
|
904,339
|
|
7.25%, 11/17/2029 (b)
|
EUR182,000
|
208,057
|
|
Picard Groupe SAS 3.88%, 7/1/2026 (a)
|
EUR600,000
|
638,009
|
|
Renault SA
|
|
|
|
1.25%, 6/24/2025 (a)
|
EUR500,000
|
526,092
|
|
2.00%, 9/28/2026 (a)
|
EUR900,000
|
930,560
|
|
1.13%, 10/4/2027 (a)
|
EUR1,400,000
|
1,375,165
|
|
Rexel SA 2.13%, 6/15/2028 (a)
|
EUR1,100,000
|
1,098,071
|
|
Societe Generale SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.93%), 4.75%, 5/26/2026 (b) (c) (d) (e) (f)
|
400,000
|
366,337
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (c) (d) (e) (f)
|
525,000
|
439,856
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (f)
|
580,000
|
477,029
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (f)
|
501,000
|
418,917
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (f)
|
580,000
|
605,790
|
|
SPIE SA 2.63%, 6/18/2026 (a)
|
EUR600,000
|
633,941
|
|
TotalEnergies Capital International SA 3.13%, 5/29/2050
|
50,000
|
33,930
|
|
Veolia Environnement SA (EURIBOR ICE Swap Rate 5 Year + 2.15%), 1.63%, 6/1/2026 (a) (d) (e) (f)
|
EUR400,000
|
404,181
|
|
Vinci SA 1.75%, 9/26/2030 (a)
|
EUR100,000
|
97,600
|
|
Viridien 7.75%, 4/1/2027 (a)
|
EUR304,000
|
317,898
|
|
|
|
39,495,967
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Germany — 4.9%
|
||
|
Adler Pelzer Holding GmbH
|
|
|
|
9.50%, 4/1/2027 (a)
|
EUR200,000
|
218,677
|
|
9.50%, 4/1/2027 (b)
|
EUR308,000
|
336,762
|
|
Bayer AG (EUR Swap Annual 5 Year + 3.90%), 7.00%, 9/25/2083 (a) (f)
|
EUR1,200,000
|
1,337,867
|
|
Birkenstock Financing SARL 5.25%, 4/30/2029 (a)
|
EUR1,100,000
|
1,199,356
|
|
Cheplapharm Arzneimittel GmbH
|
|
|
|
3.50%, 2/11/2027 (a)
|
EUR500,000
|
524,651
|
|
4.38%, 1/15/2028 (a)
|
EUR750,000
|
787,535
|
|
Commerzbank AG (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (f)
|
EUR500,000
|
538,154
|
|
CT Investment GmbH 6.38%, 4/15/2030 (b)
|
EUR197,000
|
214,794
|
|
Deutsche Bank AG (SOFR + 2.26%), 3.74%, 1/7/2033 (f)
|
450,000
|
372,140
|
|
Deutsche Lufthansa AG 2.88%, 2/11/2025 (a)
|
EUR1,200,000
|
1,290,709
|
|
Evonik Industries AG (EUR Swap Annual 5 Year + 1.84%), 1.38%, 9/2/2081 (a) (f)
|
EUR700,000
|
698,240
|
|
Heidelberg Materials Finance Luxembourg SA 4.88%, 11/21/2033 (a)
|
EUR1,250,000
|
1,427,134
|
|
IHO Verwaltungs GmbH
|
|
|
|
3.75% (Cash), 9/15/2026 (a) (j)
|
EUR325,000
|
346,211
|
|
3.88% (Cash), 5/15/2027 (a) (j) (k)
|
EUR800,000
|
846,743
|
|
8.75% (Cash), 5/15/2028 (b) (j)
|
EUR263,169
|
306,254
|
|
8.75% (Cash), 5/15/2028 (a) (j) (k)
|
EUR300,000
|
349,115
|
|
Nidda Healthcare Holding GmbH 7.50%, 8/21/2026 (a)
|
EUR1,100,000
|
1,232,899
|
|
ProGroup AG 5.13%, 4/15/2029 (b)
|
EUR110,000
|
119,651
|
|
Schaeffler AG
|
|
|
|
2.88%, 3/26/2027 (a)
|
EUR650,000
|
683,503
|
|
3.38%, 10/12/2028 (a)
|
EUR1,000,000
|
1,051,142
|
|
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a)
|
EUR1,098,997
|
1,191,096
|
|
Techem Verwaltungsgesellschaft 675 mbH 5.38%, 7/15/2029 (b)
|
EUR146,000
|
160,199
|
|
thyssenkrupp AG 2.50%, 2/25/2025 (a)
|
EUR400,000
|
428,032
|
|
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a)
|
EUR400,000
|
419,906
|
|
TUI Cruises GmbH
|
|
|
|
6.50%, 5/15/2026 (a)
|
EUR407,020
|
446,937
|
|
6.25%, 4/15/2029 (b)
|
EUR124,000
|
136,564
|
|
Volkswagen International Finance NV
|
|
|
|
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (d) (e) (f)
|
EUR400,000
|
426,967
|
|
(EUR Swap Annual 10 Year + 3.98%), 4.63%, 6/27/2028 (a) (d) (e) (f)
|
EUR500,000
|
527,052
|
|
3.25%, 11/18/2030 (a)
|
EUR600,000
|
626,680
|
|
Volkswagen Leasing GmbH 4.00%, 4/11/2031 (a)
|
EUR200,000
|
216,185
|
|
ZF Europe Finance BV
|
|
|
|
2.00%, 2/23/2026 (a)
|
EUR900,000
|
935,050
|
|
2.50%, 10/23/2027 (a)
|
EUR500,000
|
506,549
|
|
ZF Finance GmbH
|
|
|
|
2.25%, 5/3/2028 (a)
|
EUR700,000
|
695,924
|
|
3.75%, 9/21/2028 (a)
|
EUR1,000,000
|
1,044,382
|
|
|
|
21,643,060
|
|
India — 0.1%
|
||
|
Greenko Dutch BV 3.85%, 3/29/2026 (b)
|
182,000
|
171,237
|
|
Greenko Power II Ltd. 4.30%, 12/13/2028 (b)
|
382,500
|
344,728
|
|
|
|
515,965
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Indonesia — 0.2%
|
||
|
Indonesia Asahan Aluminium PT 5.45%, 5/15/2030 (b)
|
200,000
|
195,250
|
|
Pertamina Persero PT 3.65%, 7/30/2029 (b)
|
400,000
|
367,625
|
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13%, 5/15/2027 (a)
|
200,000
|
192,063
|
|
|
|
754,938
|
|
Ireland — 2.1%
|
||
|
AerCap Ireland Capital DAC
|
|
|
|
6.10%, 1/15/2027
|
635,000
|
644,170
|
|
5.75%, 6/6/2028
|
342,000
|
344,835
|
|
3.30%, 1/30/2032
|
258,000
|
219,755
|
|
AIB Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 6.63%), 6.25%, 6/23/2025 (a) (c) (d) (e) (f)
|
EUR700,000
|
759,535
|
|
(EUR Swap Annual 1 Year + 1.95%), 4.63%, 7/23/2029 (a) (f)
|
EUR300,000
|
333,388
|
|
Avolon Holdings Funding Ltd.
|
|
|
|
3.95%, 7/1/2024 (b)
|
126,000
|
125,820
|
|
2.88%, 2/15/2025 (b)
|
265,000
|
258,836
|
|
5.50%, 1/15/2026 (b)
|
315,000
|
311,674
|
|
4.38%, 5/1/2026 (b)
|
60,000
|
58,274
|
|
3.25%, 2/15/2027 (b)
|
505,000
|
469,991
|
|
6.38%, 5/4/2028 (b)
|
285,000
|
288,982
|
|
5.75%, 3/1/2029 (b)
|
1,430,000
|
1,419,939
|
|
5.75%, 11/15/2029 (b)
|
570,000
|
565,104
|
|
Bank of Ireland Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (c) (d) (e) (f)
|
EUR711,000
|
783,700
|
|
(EUR Swap Annual 5 Year + 6.43%), 6.00%, 9/1/2025 (a) (c) (d) (e) (f)
|
EUR600,000
|
647,775
|
|
eircom Finance DAC 3.50%, 5/15/2026 (a)
|
EUR1,200,000
|
1,264,336
|
|
SMBC Aviation Capital Finance DAC 5.55%, 4/3/2034 (b)
|
575,000
|
562,432
|
|
|
|
9,058,546
|
|
Israel — 0.1%
|
||
|
Energian Israel Finance Ltd.
|
|
|
|
4.88%, 3/30/2026 (a)
|
156,000
|
148,005
|
|
5.38%, 3/30/2028 (a)
|
150,475
|
135,823
|
|
Leviathan Bond Ltd.
|
|
|
|
6.13%, 6/30/2025 (a)
|
200,000
|
196,000
|
|
6.50%, 6/30/2027 (a)
|
165,554
|
157,069
|
|
|
|
636,897
|
|
Italy — 5.6%
|
||
|
Assicurazioni Generali SpA
|
|
|
|
2.43%, 7/14/2031 (a)
|
EUR200,000
|
191,576
|
|
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (f)
|
EUR200,000
|
225,039
|
|
Autostrade per l'Italia SpA
|
|
|
|
1.88%, 9/26/2029 (a)
|
EUR900,000
|
874,398
|
|
5.13%, 6/14/2033 (a)
|
EUR1,150,000
|
1,298,117
|
|
Enel Finance International NV
|
|
|
|
1.37%, 7/12/2026 (b) (h)
|
1,010,000
|
930,638
|
|
3.50%, 4/6/2028 (b)
|
200,000
|
187,179
|
|
1.87%, 7/12/2028 (b) (h)
|
425,000
|
373,702
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Italy — continued
|
||
|
0.50%, 6/17/2030 (a) (h)
|
EUR200,000
|
182,658
|
|
0.88%, 1/17/2031 (a)
|
EUR493,000
|
445,519
|
|
2.25%, 7/12/2031 (b) (h)
|
536,000
|
436,704
|
|
5.00%, 6/15/2032 (b)
|
200,000
|
190,307
|
|
Enel SpA
|
|
|
|
Series 63.5, (EUR Swap Annual 5 Year + 2.58%), 3.38%, 8/24/2026 (a) (d) (e) (f)
|
EUR800,000
|
841,999
|
|
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (e) (f)
|
EUR300,000
|
269,313
|
|
Eni SpA 4.25%, 5/9/2029 (b)
|
250,000
|
238,978
|
|
Guala Closures SpA 3.25%, 6/15/2028 (a)
|
EUR784,000
|
786,269
|
|
Infrastrutture Wireless Italiane SpA
|
|
|
|
1.88%, 7/8/2026 (a)
|
EUR500,000
|
520,357
|
|
1.63%, 10/21/2028 (a)
|
EUR200,000
|
198,463
|
|
Intesa Sanpaolo SpA
|
|
|
|
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (c) (d) (e) (f)
|
EUR276,000
|
309,581
|
|
5.25%, 1/13/2030 (a)
|
EUR1,595,000
|
1,852,108
|
|
6.63%, 6/20/2033 (b)
|
1,220,000
|
1,261,726
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (f)
|
200,000
|
150,238
|
|
Lottomatica SpA
|
|
|
|
7.13%, 6/1/2028 (a)
|
EUR850,000
|
972,941
|
|
7.13%, 6/1/2028 (b)
|
EUR237,000
|
271,279
|
|
5.38%, 6/1/2030 (b)
|
EUR191,000
|
208,281
|
|
Mundys SpA
|
|
|
|
1.63%, 2/3/2025 (a)
|
EUR300,000
|
318,614
|
|
1.88%, 7/13/2027 (a)
|
EUR450,000
|
454,855
|
|
1.88%, 2/12/2028 (a)
|
EUR1,000,000
|
989,566
|
|
Neopharmed Gentili SpA 7.13%, 4/8/2030 (b)
|
EUR328,000
|
364,380
|
|
Pro-Gest SpA 3.25%, 12/15/2024 (a)
|
EUR477,000
|
131,980
|
|
Rossini SARL 6.75%, 10/30/2025 (a)
|
EUR450,000
|
488,462
|
|
Shiba Bidco SpA 4.50%, 10/31/2028 (a)
|
EUR900,000
|
944,780
|
|
TeamSystem SpA 3.50%, 2/15/2028 (a)
|
EUR300,000
|
308,751
|
|
Telecom Italia Finance SA 7.75%, 1/24/2033
|
EUR330,000
|
419,793
|
|
Telecom Italia SpA
|
|
|
|
2.88%, 1/28/2026 (a)
|
EUR200,000
|
211,541
|
|
3.63%, 5/25/2026 (a)
|
EUR400,000
|
425,557
|
|
2.38%, 10/12/2027 (a)
|
EUR1,350,000
|
1,358,618
|
|
6.88%, 2/15/2028 (a)
|
EUR1,200,000
|
1,369,718
|
|
1.63%, 1/18/2029 (a)
|
EUR600,000
|
564,133
|
|
UniCredit SpA
|
|
|
|
(EUR Swap Annual 5 Year + 4.93%), 5.38%, 6/3/2025 (a) (c) (d) (e) (f)
|
EUR400,000
|
429,680
|
|
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (e) (f)
|
EUR400,000
|
447,041
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (f)
|
200,000
|
185,772
|
|
(EURIBOR 3 Month + 0.85%), 0.93%, 1/18/2028 (a) (f)
|
EUR600,000
|
604,013
|
|
(EURIBOR 3 Month + 1.90%), 4.80%, 1/17/2029 (a) (f)
|
EUR1,100,000
|
1,230,436
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (f)
|
410,000
|
346,302
|
|
|
|
24,811,362
|
|
Japan — 0.5%
|
||
|
Mitsubishi UFJ Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 0.83%), 2.34%,
1/19/2028 (f)
|
707,000
|
654,484
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Japan — continued
|
||
|
Takeda Pharmaceutical Co. Ltd.
|
|
|
|
5.00%, 11/26/2028
|
1,110,000
|
1,099,419
|
|
1.00%, 7/9/2029
|
EUR363,000
|
345,405
|
|
3.03%, 7/9/2040
|
270,000
|
197,903
|
|
|
|
2,297,211
|
|
Kazakhstan — 0.2%
|
||
|
KazMunayGas National Co. JSC
|
|
|
|
5.38%, 4/24/2030 (a)
|
600,000
|
580,620
|
|
5.75%, 4/19/2047 (a)
|
380,000
|
323,638
|
|
|
|
904,258
|
|
Kuwait — 0.0% ^
|
||
|
MEGlobal Canada ULC 5.00%, 5/18/2025 (b)
|
200,000
|
197,800
|
|
Luxembourg — 1.8%
|
||
|
Altice Finco SA 4.75%, 1/15/2028 (a)
|
EUR600,000
|
392,498
|
|
Altice France Holding SA
|
|
|
|
8.00%, 5/15/2027 (a)
|
EUR450,000
|
154,148
|
|
8.00%, 5/15/2027 (b)
|
EUR123,000
|
42,134
|
|
4.00%, 2/15/2028 (a)
|
EUR200,000
|
56,404
|
|
ARD Finance SA 5.00% (Cash), 6/30/2027 (a) (j) (k)
|
EUR400,000
|
95,832
|
|
Herens Midco SARL 5.25%, 5/15/2029 (a)
|
EUR403,000
|
311,296
|
|
INEOS Finance plc
|
|
|
|
3.38%, 3/31/2026 (a)
|
EUR547,000
|
582,685
|
|
6.63%, 5/15/2028 (a)
|
EUR350,000
|
392,945
|
|
6.38%, 4/15/2029 (b)
|
EUR348,000
|
388,125
|
|
Matterhorn Telecom SA
|
|
|
|
3.13%, 9/15/2026 (a)
|
EUR425,000
|
447,543
|
|
4.00%, 11/15/2027 (a)
|
EUR300,000
|
320,964
|
|
Monitchem HoldCo 3 SA 8.75%, 5/1/2028 (a)
|
EUR200,000
|
223,272
|
|
PLT VII Finance SARL
|
|
|
|
4.63%, 1/5/2026 (a)
|
EUR750,000
|
811,590
|
|
6.00%, 6/15/2031 (b) (i)
|
EUR977,000
|
1,055,005
|
|
SELP Finance SARL, REIT 0.88%, 5/27/2029 (a)
|
EUR1,400,000
|
1,282,870
|
|
SES SA
|
|
|
|
(EUR Swap Annual 5 Year + 3.19%), 2.88%, 5/27/2026 (a) (d) (e) (f)
|
EUR600,000
|
613,075
|
|
0.88%, 11/4/2027 (a)
|
EUR130,000
|
126,158
|
|
Summer BC Holdco B SARL 5.75%, 10/31/2026 (a)
|
EUR575,000
|
615,737
|
|
|
|
7,912,281
|
|
Malaysia — 0.1%
|
||
|
Petronas Capital Ltd. 3.40%, 4/28/2061 (b)
|
436,000
|
289,722
|
|
Mexico — 0.8%
|
||
|
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%),
5.13%, 1/18/2033 (b)
(c) (f)
|
200,000
|
184,500
|
|
Bimbo Bakeries USA, Inc. 5.38%, 1/9/2036 (b)
|
1,000,000
|
969,375
|
|
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%),
5.13%, 6/8/2026 (b) (d)
(e) (f)
|
488,000
|
468,480
|
|
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050
|
150,000
|
105,422
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Mexico — continued
|
||
|
Petroleos Mexicanos
|
|
|
|
6.88%, 8/4/2026
|
870,000
|
848,598
|
|
7.69%, 1/23/2050
|
1,160,000
|
842,044
|
|
Southern Copper Corp. 5.88%, 4/23/2045
|
140,000
|
138,294
|
|
|
|
3,556,713
|
|
Morocco — 0.0% ^
|
||
|
OCP SA 6.88%, 4/25/2044 (a)
|
200,000
|
189,188
|
|
Netherlands — 2.0%
|
||
|
ABN AMRO Bank NV
|
|
|
|
4.75%, 7/28/2025 (b)
|
200,000
|
196,940
|
|
(EUR Swap Annual 5 Year + 4.67%), 4.38%, 9/22/2025 (a) (c) (d) (e) (f)
|
EUR200,000
|
212,041
|
|
(EUR Swap Annual 5 Year + 3.90%), 4.75%, 9/22/2027 (a) (c) (d) (e) (f)
|
EUR600,000
|
612,764
|
|
Cooperatieve Rabobank UA
|
|
|
|
(EUR Swap Annual 5 Year + 4.68%), 4.38%, 6/29/2027 (a) (c) (d) (e) (f)
|
EUR1,000,000
|
1,038,410
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (f)
|
890,000
|
846,844
|
|
ING Groep NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.34%),
5.75%, 11/16/2026 (c) (d)
(e) (f)
|
495,000
|
476,206
|
|
Q-Park Holding I BV
|
|
|
|
2.00%, 3/1/2027 (a)
|
EUR400,000
|
407,979
|
|
5.13%, 3/1/2029 (b)
|
EUR293,000
|
321,019
|
|
5.13%, 3/1/2029 (a)
|
EUR100,000
|
109,664
|
|
Sigma Holdco BV 5.75%, 5/15/2026 (a)
|
EUR300,000
|
312,087
|
|
Sunrise HoldCo IV BV 3.88%, 6/15/2029 (a)
|
EUR800,000
|
823,355
|
|
Titan Holdings II BV 5.13%, 7/15/2029 (a)
|
EUR568,000
|
557,355
|
|
Trivium Packaging Finance BV 3.75%, 8/15/2026 (a) (h)
|
EUR650,000
|
691,177
|
|
VZ Vendor Financing II BV 2.88%, 1/15/2029 (a)
|
EUR300,000
|
281,720
|
|
Wolters Kluwer NV 3.75%, 4/3/2031 (a)
|
EUR500,000
|
544,720
|
|
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a)
|
EUR1,500,000
|
1,356,991
|
|
|
|
8,789,272
|
|
New Zealand — 0.1%
|
||
|
ANZ New Zealand Int'l Ltd. 2.55%, 2/13/2030 (b)
|
490,000
|
425,511
|
|
Norway — 0.6%
|
||
|
Aker BP ASA 6.00%, 6/13/2033 (b)
|
1,575,000
|
1,589,079
|
|
DNB Bank ASA (U.K. Government Bonds 1 Year Note Generic Bid Yield + 1.35%), 2.63%,
6/10/2026 (a) (f)
|
GBP1,000,000
|
1,238,036
|
|
|
|
2,827,115
|
|
Portugal — 0.9%
|
||
|
EDP - Energias de Portugal SA
|
|
|
|
(EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (f)
|
EUR1,000,000
|
1,052,498
|
|
Series NC5., (EUR Swap Annual 5 Year + 1.89%), 1.50%, 3/14/2082 (a) (f)
|
EUR400,000
|
396,043
|
|
(EUR Swap Annual 5 Year + 3.18%), 5.94%, 4/23/2083 (a) (f)
|
EUR1,100,000
|
1,241,297
|
|
EDP Finance BV
|
|
|
|
3.63%, 7/15/2024 (b)
|
675,000
|
673,063
|
|
1.50%, 11/22/2027 (a)
|
EUR750,000
|
756,411
|
|
|
|
4,119,312
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
South Africa — 0.4%
|
||
|
Anglo American Capital plc
|
|
|
|
4.00%, 9/11/2027 (b)
|
500,000
|
476,720
|
|
5.50%, 5/2/2033 (b)
|
1,170,000
|
1,152,930
|
|
|
|
1,629,650
|
|
Spain — 5.2%
|
||
|
Abertis Infraestructuras Finance BV
|
|
|
|
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (d) (e) (f)
|
EUR900,000
|
947,893
|
|
(EUR Swap Annual 5 Year + 3.27%), 2.63%, 1/26/2027 (a) (d) (e) (f)
|
EUR800,000
|
813,666
|
|
Banco Bilbao Vizcaya Argentaria SA
|
|
|
|
Series 9, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.19%),
6.50%, 3/5/2025 (c) (d) (e) (f)
|
200,000
|
198,373
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.10%), 9.38%, 3/19/2029 (c) (d) (e) (f)
|
1,000,000
|
1,067,027
|
|
Banco de Sabadell SA (EUR Swap Annual 1 Year + 0.97%), 0.63%, 11/7/2025 (a) (f)
|
EUR300,000
|
320,958
|
|
Banco Santander SA
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (f)
|
800,000
|
730,969
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 9.63%, 11/21/2028 (c) (d) (e) (f)
|
1,000,000
|
1,068,937
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.30%), 9.63%, 5/21/2033 (c) (d) (e) (f)
|
400,000
|
438,746
|
|
CaixaBank SA
|
|
|
|
1.13%, 3/27/2026 (a)
|
EUR1,000,000
|
1,035,192
|
|
(EUR Swap Annual 5 Year + 6.35%), 5.88%, 10/9/2027 (a) (c) (d) (e) (f)
|
EUR1,000,000
|
1,067,327
|
|
(SOFR + 2.77%), 6.84%, 9/13/2034 (b) (f)
|
425,000
|
450,691
|
|
Cellnex Finance Co. SA 2.25%, 4/12/2026 (a)
|
EUR500,000
|
526,438
|
|
Cellnex Telecom SA
|
|
|
|
1.00%, 4/20/2027 (a)
|
EUR600,000
|
601,031
|
|
1.88%, 6/26/2029 (a)
|
EUR800,000
|
785,418
|
|
Cirsa Finance International Sarl
|
|
|
|
7.88%, 7/31/2028 (a)
|
EUR900,000
|
1,035,138
|
|
6.50%, 3/15/2029 (b)
|
EUR149,000
|
166,523
|
|
6.50%, 3/15/2029 (a)
|
EUR300,000
|
335,280
|
|
eDreams ODIGEO SA
|
|
|
|
5.50%, 7/15/2027 (b)
|
EUR307,000
|
330,269
|
|
5.50%, 7/15/2027 (a)
|
EUR400,000
|
430,318
|
|
Grifols SA
|
|
|
|
1.63%, 2/15/2025 (a)
|
EUR300,000
|
320,225
|
|
2.25%, 11/15/2027 (a)
|
EUR1,000,000
|
965,603
|
|
3.88%, 10/15/2028 (a)
|
EUR500,000
|
453,008
|
|
Grupo Antolin-Irausa SA
|
|
|
|
3.38%, 4/30/2026 (a)
|
EUR300,000
|
304,096
|
|
3.50%, 4/30/2028 (a)
|
EUR450,000
|
368,605
|
|
Iberdrola International BV Series NC5, (EUR Swap Annual 5 Year + 2.32%), 1.87%, 1/28/2026 (a) (d) (e) (f)
|
EUR300,000
|
310,460
|
|
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a)
|
EUR642,000
|
671,311
|
|
Lorca Telecom Bondco SA 4.00%, 9/18/2027 (a)
|
EUR1,466,000
|
1,552,714
|
|
Naturgy Finance Iberia SA (EUR Swap Annual 5 Year + 2.44%), 2.37%, 11/23/2026 (a) (d) (e) (f)
|
EUR300,000
|
307,196
|
|
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (f)
|
EUR800,000
|
865,349
|
|
Telefonica Emisiones SA 5.21%, 3/8/2047
|
150,000
|
133,577
|
|
Telefonica Europe BV
|
|
|
|
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (d) (e) (f)
|
EUR900,000
|
957,115
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Spain — continued
|
||
|
(EUR Swap Annual 6 Year + 2.87%), 2.88%, 2/24/2028 (a) (d) (e) (f)
|
EUR1,200,000
|
1,201,958
|
|
(EUR Swap Annual 7 Year + 3.35%), 6.14%, 2/3/2030 (a) (d) (e) (f)
|
EUR1,800,000
|
2,031,214
|
|
|
|
22,792,625
|
|
Sweden — 1.0%
|
||
|
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5
Year + 4.05%), 4.75%,
3/1/2031 (a) (c) (d) (e) (f)
|
1,000,000
|
851,250
|
|
Verisure Holding AB
|
|
|
|
3.88%, 7/15/2026 (a)
|
EUR475,000
|
508,956
|
|
3.25%, 2/15/2027 (a)
|
EUR1,100,000
|
1,145,813
|
|
5.50%, 5/15/2030 (b)
|
EUR329,000
|
360,998
|
|
Verisure Midholding AB 5.25%, 2/15/2029 (a)
|
EUR1,000,000
|
1,053,584
|
|
Volvo Car AB
|
|
|
|
2.00%, 1/24/2025 (a)
|
EUR200,000
|
213,017
|
|
2.50%, 10/7/2027 (a)
|
EUR400,000
|
411,763
|
|
|
|
4,545,381
|
|
Switzerland — 1.4%
|
||
|
Dufry One BV 2.00%, 2/15/2027 (a)
|
EUR1,275,000
|
1,297,250
|
|
Holcim Finance Luxembourg SA 0.50%, 4/23/2031 (a)
|
EUR900,000
|
779,484
|
|
Holcim Sterling Finance Netherlands BV 2.25%, 4/4/2034 (a)
|
GBP300,000
|
288,212
|
|
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 3.58%), 5.00%,
4/2/2049 (b) (f)
|
200,000
|
192,072
|
|
UBS Group AG
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (f)
|
322,000
|
315,747
|
|
4.28%, 1/9/2028 (b)
|
550,000
|
526,717
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 9.25%, 11/13/2028 (b) (c) (d) (e) (f)
|
200,000
|
213,536
|
|
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (f)
|
274,000
|
254,702
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.10%, 2/11/2032 (b) (f)
|
280,000
|
225,065
|
|
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (f)
|
561,000
|
478,052
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (f)
|
430,000
|
351,432
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (b) (f)
|
200,000
|
191,169
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.76%), 9.25%, 11/13/2033 (b) (c) (d) (e) (f)
|
200,000
|
222,580
|
|
Zurich Insurance Co. Ltd. (EURIBOR 3 Month + 3.95%), 3.50%, 10/1/2046 (a) (f)
|
EUR700,000
|
746,351
|
|
|
|
6,082,369
|
|
Taiwan — 0.4%
|
||
|
TSMC Arizona Corp. 4.25%, 4/22/2032
|
380,000
|
363,601
|
|
TSMC Global Ltd.
|
|
|
|
1.25%, 4/23/2026 (b)
|
700,000
|
648,606
|
|
2.25%, 4/23/2031 (b)
|
700,000
|
586,469
|
|
|
|
1,598,676
|
|
United Kingdom — 9.0%
|
||
|
888 Acquisitions Ltd.
|
|
|
|
7.56%, 7/15/2027 (b)
|
EUR230,000
|
246,583
|
|
7.56%, 7/15/2027 (a)
|
EUR600,000
|
645,008
|
|
AstraZeneca plc
|
|
|
|
0.38%, 6/3/2029 (a)
|
EUR700,000
|
655,043
|
|
4.00%, 9/18/2042
|
490,000
|
410,278
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United Kingdom — continued
|
||
|
Barclays plc (SOFR + 2.22%), 6.49%, 9/13/2029 (f)
|
270,000
|
279,145
|
|
BAT Capital Corp.
|
|
|
|
6.34%, 8/2/2030
|
1,380,000
|
1,438,857
|
|
7.08%, 8/2/2043
|
1,005,000
|
1,073,777
|
|
Cadent Finance plc 0.63%, 3/19/2030 (a)
|
EUR800,000
|
718,987
|
|
Centrica plc 4.38%, 3/13/2029 (a)
|
GBP200,000
|
245,408
|
|
CPUK Finance Ltd. 4.50%, 8/28/2027 (a)
|
GBP400,000
|
472,630
|
|
EC Finance plc 3.00%, 10/15/2026 (a)
|
EUR899,000
|
943,621
|
|
Eversholt Funding plc 2.74%, 6/30/2040 (a)
|
GBP676,927
|
712,098
|
|
Gatwick Funding Ltd. 2.50%, 4/15/2030 (a)
|
GBP700,000
|
768,499
|
|
Heathrow Funding Ltd.
|
|
|
|
1.50%, 10/12/2025 (a)
|
EUR800,000
|
840,697
|
|
6.75%, 12/3/2026 (a)
|
GBP300,000
|
393,259
|
|
1.50%, 2/11/2030 (a)
|
EUR300,000
|
285,095
|
|
1.13%, 10/8/2030 (a)
|
EUR1,000,000
|
913,944
|
|
1.88%, 3/14/2034 (a)
|
EUR250,000
|
221,860
|
|
5.88%, 5/13/2041 (a)
|
GBP100,000
|
127,956
|
|
HSBC Holdings plc
|
|
|
|
(SOFR + 3.03%), 7.34%, 11/3/2026 (f)
|
720,000
|
736,830
|
|
5.75%, 12/20/2027 (a)
|
GBP200,000
|
255,819
|
|
(SOFR + 2.61%), 5.21%, 8/11/2028 (f)
|
380,000
|
376,474
|
|
(SOFR + 1.73%), 2.01%, 9/22/2028 (f)
|
3,260,000
|
2,916,271
|
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (f)
|
985,000
|
862,511
|
|
(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (f)
|
374,000
|
348,199
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (f)
|
695,000
|
584,037
|
|
(SOFR + 1.41%), 2.87%, 11/22/2032 (f)
|
440,000
|
366,412
|
|
Iceland Bondco plc
|
|
|
|
10.88%, 12/15/2027 (a)
|
GBP100,000
|
132,778
|
|
10.88%, 12/15/2027 (b)
|
GBP120,000
|
159,333
|
|
INEOS Quattro Finance 1 plc 3.75%, 7/15/2026 (a)
|
EUR400,000
|
421,034
|
|
INEOS Quattro Finance 2 plc
|
|
|
|
8.50%, 3/15/2029 (b)
|
EUR200,000
|
229,488
|
|
8.50%, 3/15/2029 (a)
|
EUR200,000
|
229,488
|
|
INEOS Styrolution Ludwigshafen GmbH 2.25%, 1/16/2027 (a)
|
EUR400,000
|
405,121
|
|
International Consolidated Airlines Group SA
|
|
|
|
2.75%, 3/25/2025 (a)
|
EUR100,000
|
107,149
|
|
1.50%, 7/4/2027 (a)
|
EUR800,000
|
799,647
|
|
Jaguar Land Rover Automotive plc
|
|
|
|
4.50%, 1/15/2026 (a)
|
EUR500,000
|
542,566
|
|
4.50%, 7/15/2028 (a)
|
EUR300,000
|
322,046
|
|
Lloyds Banking Group plc
|
|
|
|
4.58%, 12/10/2025
|
200,000
|
196,281
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (f)
|
410,000
|
412,014
|
|
Macquarie Airfinance Holdings Ltd. 6.40%, 3/26/2029 (b)
|
16,000
|
16,168
|
|
National Grid plc
|
|
|
|
2.18%, 6/30/2026 (a)
|
EUR900,000
|
943,204
|
|
0.25%, 9/1/2028 (a)
|
EUR800,000
|
749,223
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United Kingdom — continued
|
||
|
NatWest Group plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f)
|
650,000
|
635,154
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (f)
|
400,000
|
399,040
|
|
(EURIBOR 3 Month + 0.89%), 0.67%, 9/14/2029 (a) (f)
|
EUR1,200,000
|
1,135,378
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.75%), 8.13%, 11/10/2033 (c) (d) (e) (f)
|
200,000
|
202,806
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (f)
|
440,000
|
440,294
|
|
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (f)
|
EUR730,000
|
728,229
|
|
Nomad Foods Bondco plc 2.50%, 6/24/2028 (a)
|
EUR800,000
|
800,767
|
|
Pinnacle Bidco plc
|
|
|
|
8.25%, 10/11/2028 (a)
|
EUR600,000
|
690,581
|
|
8.25%, 10/11/2028 (b)
|
EUR287,000
|
330,328
|
|
Punch Finance plc 6.13%, 6/30/2026 (a)
|
GBP538,000
|
666,694
|
|
RAC Bond Co. plc 5.25%, 11/4/2027 (a)
|
GBP554,000
|
662,228
|
|
RELX Finance BV 0.88%, 3/10/2032 (a)
|
EUR500,000
|
442,232
|
|
Rolls-Royce plc
|
|
|
|
4.63%, 2/16/2026 (a)
|
EUR700,000
|
764,791
|
|
1.63%, 5/9/2028 (a)
|
EUR200,000
|
198,022
|
|
Santander UK Group Holdings plc
|
|
|
|
(SOFR + 2.75%), 6.83%, 11/21/2026 (f)
|
285,000
|
289,127
|
|
(SOFR + 0.99%), 1.67%, 6/14/2027 (f)
|
900,000
|
829,648
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (f)
|
665,000
|
682,557
|
|
South Eastern Power Networks plc 5.63%, 9/30/2030 (a)
|
GBP400,000
|
524,388
|
|
Standard Chartered plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (f)
|
670,000
|
712,210
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (f)
|
650,000
|
616,078
|
|
Thames Water Utilities Finance plc 4.38%, 1/18/2031 (a)
|
EUR400,000
|
367,870
|
|
Virgin Media Finance plc 3.75%, 7/15/2030 (a)
|
EUR800,000
|
740,870
|
|
Vmed O2 UK Financing I plc 3.25%, 1/31/2031 (a)
|
EUR800,000
|
752,565
|
|
Vodafone Group plc
|
|
|
|
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (f)
|
EUR900,000
|
961,887
|
|
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f)
|
429,000
|
442,001
|
|
(EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (f)
|
EUR1,125,000
|
1,103,191
|
|
(EUR Swap Annual 5 Year + 3.49%), 6.50%, 8/30/2084 (a) (f)
|
EUR200,000
|
232,852
|
|
|
|
39,856,626
|
|
United States — 11.1%
|
||
|
AbbVie, Inc.
|
|
|
|
5.05%, 3/15/2034
|
740,000
|
732,113
|
|
4.25%, 11/21/2049
|
530,000
|
440,265
|
|
5.40%, 3/15/2054
|
110,000
|
108,437
|
|
AES Corp. (The) 3.95%, 7/15/2030 (b)
|
42,000
|
37,841
|
|
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
+ 2.85%), 3.55%, 9/15/2026 (d)
(e) (f)
|
104,000
|
94,801
|
|
American Medical Systems Europe BV 1.63%, 3/8/2031
|
EUR100,000
|
95,168
|
|
Amgen, Inc.
|
|
|
|
5.25%, 3/2/2033
|
329,000
|
326,498
|
|
4.66%, 6/15/2051
|
150,000
|
128,289
|
|
Ardagh Packaging Finance plc 2.13%, 8/15/2026 (a)
|
EUR1,050,000
|
922,408
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
AT&T, Inc.
|
|
|
|
3.50%, 9/15/2053
|
130,000
|
87,800
|
|
3.55%, 9/15/2055
|
99,000
|
66,475
|
|
Bank of America Corp.
|
|
|
|
(SOFR + 1.29%), 5.08%, 1/20/2027 (f)
|
210,000
|
208,492
|
|
(SOFR + 1.05%), 2.55%, 2/4/2028 (f)
|
175,000
|
162,703
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (f)
|
500,000
|
497,300
|
|
(SOFR + 1.57%), 5.82%, 9/15/2029 (f)
|
1,080,000
|
1,098,273
|
|
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (f)
|
560,000
|
470,653
|
|
(SOFR + 1.32%), 2.69%, 4/22/2032 (f)
|
249,000
|
209,268
|
|
(SOFR + 1.22%), 2.30%, 7/21/2032 (f)
|
470,000
|
382,487
|
|
(SOFR + 1.84%), 5.87%, 9/15/2034 (f)
|
360,000
|
368,114
|
|
(SOFR + 1.65%), 5.47%, 1/23/2035 (f)
|
480,000
|
476,846
|
|
Baxter International, Inc. 2.54%, 2/1/2032
|
605,000
|
491,425
|
|
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053
|
47,000
|
38,958
|
|
Berry Global, Inc. 5.80%, 6/15/2031 (b)
|
340,000
|
338,299
|
|
Boeing Co. (The)
|
|
|
|
6.53%, 5/1/2034 (b)
|
45,000
|
45,626
|
|
5.81%, 5/1/2050
|
205,000
|
183,563
|
|
BP Capital Markets America, Inc.
|
|
|
|
2.72%, 1/12/2032
|
881,000
|
747,111
|
|
4.81%, 2/13/2033
|
600,000
|
580,307
|
|
BP Capital Markets plc
|
|
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f)
|
43,000
|
42,047
|
|
(EUR Swap Annual 5 Year + 3.52%), 3.25%, 3/22/2026 (a) (d) (e) (f)
|
EUR1,150,000
|
1,213,568
|
|
(EUR Swap Annual 5 Year + 3.78%), 3.63%, 3/22/2029 (a) (d) (e) (f)
|
EUR200,000
|
206,973
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f)
|
94,000
|
88,690
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.15%), 6.45%, 12/1/2033 (d) (e) (f)
|
380,000
|
388,496
|
|
Bristol-Myers Squibb Co.
|
|
|
|
5.20%, 2/22/2034
|
530,000
|
526,577
|
|
5.55%, 2/22/2054
|
230,000
|
226,449
|
|
5.65%, 2/22/2064
|
155,000
|
151,461
|
|
Broadcom, Inc.
|
|
|
|
3.47%, 4/15/2034 (b)
|
490,000
|
412,958
|
|
3.14%, 11/15/2035 (b)
|
440,000
|
349,748
|
|
CCO Holdings LLC 5.13%, 5/1/2027 (b)
|
140,000
|
133,805
|
|
Cencora, Inc. 2.70%, 3/15/2031
|
839,000
|
711,792
|
|
CenterPoint Energy, Inc. 2.95%, 3/1/2030
|
280,000
|
246,763
|
|
CF Industries, Inc. 4.95%, 6/1/2043
|
224,000
|
197,274
|
|
Charter Communications Operating LLC
|
|
|
|
3.70%, 4/1/2051
|
308,000
|
188,526
|
|
3.90%, 6/1/2052
|
282,000
|
176,980
|
|
Cheniere Energy Partners LP
|
|
|
|
5.95%, 6/30/2033
|
540,000
|
544,774
|
|
5.75%, 8/15/2034 (b)
|
640,000
|
635,732
|
|
Citibank NA 5.57%, 4/30/2034
|
250,000
|
253,483
|
|
Citigroup, Inc.
|
|
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%),
4.00%, 12/10/2025 (d) (e) (f)
|
160,000
|
152,901
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%),
3.88%, 2/18/2026 (d) (e) (f)
|
686,000
|
645,387
|
|
Series CC, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.69%),
7.13%, 8/15/2029 (d) (e) (f)
|
220,000
|
219,510
|
|
(SOFR + 1.17%), 2.56%, 5/1/2032 (f)
|
320,000
|
266,042
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (f)
|
140,000
|
114,810
|
|
(SOFR + 2.06%), 5.83%, 2/13/2035 (f)
|
410,000
|
405,781
|
|
Columbia Pipelines Operating Co. LLC
|
|
|
|
5.93%, 8/15/2030 (b)
|
800,000
|
811,766
|
|
6.04%, 11/15/2033 (b)
|
200,000
|
203,859
|
|
Comcast Corp.
|
|
|
|
2.80%, 1/15/2051
|
130,000
|
79,695
|
|
5.35%, 5/15/2053
|
1,365,000
|
1,299,542
|
|
2.94%, 11/1/2056
|
290,000
|
174,287
|
|
Constellation Energy Generation LLC
|
|
|
|
5.80%, 3/1/2033
|
45,000
|
45,704
|
|
5.60%, 6/15/2042
|
210,000
|
201,945
|
|
6.50%, 10/1/2053
|
195,000
|
208,233
|
|
Crown Castle, Inc., REIT 4.80%, 9/1/2028
|
190,000
|
185,374
|
|
CVS Health Corp. 5.25%, 2/21/2033
|
131,000
|
127,342
|
|
Danaher Corp. 2.80%, 12/10/2051
|
85,000
|
53,270
|
|
Diamondback Energy, Inc. 3.13%, 3/24/2031
|
277,000
|
242,635
|
|
Discovery Communications LLC 3.63%, 5/15/2030
|
50,000
|
43,997
|
|
Dominion Energy, Inc.
|
|
|
|
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.51%),
7.00%, 6/1/2054 (f)
|
60,000
|
61,942
|
|
Series A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.39%),
6.88%, 2/1/2055 (f)
|
100,000
|
101,438
|
|
Duke Energy Indiana LLC 5.40%, 4/1/2053
|
35,000
|
33,149
|
|
Duke Energy Ohio, Inc.
|
|
|
|
5.25%, 4/1/2033
|
45,000
|
44,560
|
|
5.65%, 4/1/2053
|
15,000
|
14,678
|
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b)
|
140,000
|
113,081
|
|
EMRLD Borrower LP
|
|
|
|
6.38%, 12/15/2030 (b)
|
EUR182,000
|
204,490
|
|
6.38%, 12/15/2030 (a)
|
EUR300,000
|
337,071
|
|
Energy Transfer LP (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year +
4.02%), 8.00%, 5/15/2054 (f)
|
490,000
|
510,110
|
|
Entergy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.67%),
7.13%, 12/1/2054 (f)
|
170,000
|
169,280
|
|
Entergy Texas, Inc. 1.75%, 3/15/2031
|
115,000
|
92,665
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
274,000
|
256,958
|
|
FirstEnergy Transmission LLC 2.87%, 9/15/2028 (b)
|
705,000
|
638,884
|
|
Ford Motor Credit Co. LLC
|
|
|
|
4.27%, 1/9/2027
|
200,000
|
192,188
|
|
3.63%, 6/17/2031
|
467,000
|
398,932
|
|
Freeport-McMoRan, Inc.
|
|
|
|
4.13%, 3/1/2028
|
119,000
|
113,731
|
|
4.25%, 3/1/2030
|
159,000
|
149,497
|
|
4.63%, 8/1/2030
|
203,000
|
194,181
|
|
5.40%, 11/14/2034
|
29,000
|
28,282
|
|
General Electric Co. 4.13%, 9/19/2035 (a)
|
EUR100,000
|
110,294
|
|
Gilead Sciences, Inc. 5.55%, 10/15/2053
|
430,000
|
426,710
|
|
Global Payments, Inc. 2.90%, 11/15/2031
|
265,000
|
220,560
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%),
3.80%, 5/10/2026 (d) (e) (f)
|
10,000
|
9,379
|
|
(SOFR + 0.91%), 1.95%, 10/21/2027 (f)
|
355,000
|
326,440
|
|
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%),
7.50%, 2/10/2029 (d) (e) (f)
|
202,000
|
210,438
|
|
Series X, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.81%),
7.50%, 5/10/2029 (d) (e) (f)
|
815,000
|
837,343
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (f)
|
290,000
|
242,043
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (f)
|
190,000
|
155,086
|
|
(SOFR + 1.26%), 2.65%, 10/21/2032 (f)
|
300,000
|
248,480
|
|
(SOFR + 1.55%), 5.85%, 4/25/2035 (f)
|
380,000
|
388,084
|
|
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b)
|
50,000
|
47,875
|
|
HCA, Inc.
|
|
|
|
5.20%, 6/1/2028
|
170,000
|
168,677
|
|
2.38%, 7/15/2031
|
370,000
|
301,857
|
|
5.50%, 6/15/2047
|
91,000
|
84,490
|
|
5.25%, 6/15/2049
|
500,000
|
443,508
|
|
3.50%, 7/15/2051
|
150,000
|
100,094
|
|
4.63%, 3/15/2052
|
877,000
|
706,933
|
|
Healthpeak OP LLC, REIT 5.25%, 12/15/2032
|
367,000
|
359,804
|
|
Hyundai Capital America
|
|
|
|
3.50%, 11/2/2026 (b)
|
555,000
|
528,411
|
|
3.50%, 11/2/2026 (a)
|
150,000
|
142,814
|
|
6.50%, 1/16/2029 (b)
|
110,000
|
114,256
|
|
International Game Technology plc 2.38%, 4/15/2028 (a)
|
EUR200,000
|
203,317
|
|
JBS USA Holding Lux SARL
|
|
|
|
6.75%, 3/15/2034 (b)
|
137,000
|
143,939
|
|
4.38%, 2/2/2052
|
120,000
|
88,880
|
|
7.25%, 11/15/2053 (b)
|
290,000
|
317,346
|
|
KeyCorp (SOFRINDX + 2.42%), 6.40%, 3/6/2035 (f)
|
424,000
|
426,843
|
|
Kinder Morgan, Inc. 5.20%, 6/1/2033
|
230,000
|
222,020
|
|
Kraft Heinz Foods Co. 4.88%, 10/1/2049
|
250,000
|
218,460
|
|
Marvell Technology, Inc. 5.95%, 9/15/2033
|
607,000
|
622,818
|
|
Meta Platforms, Inc. 4.45%, 8/15/2052
|
148,000
|
126,395
|
|
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b)
|
185,000
|
170,517
|
|
Morgan Stanley
|
|
|
|
(SOFR + 0.88%), 1.59%, 5/4/2027 (f)
|
690,000
|
640,019
|
|
(SOFR + 1.61%), 4.21%, 4/20/2028 (f)
|
315,000
|
305,304
|
|
(SOFR + 1.73%), 5.12%, 2/1/2029 (f)
|
455,000
|
451,997
|
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (f)
|
575,000
|
571,127
|
|
(SOFR + 1.63%), 5.45%, 7/20/2029 (f)
|
870,000
|
873,045
|
|
(SOFR + 1.20%), 2.51%, 10/20/2032 (f)
|
173,000
|
142,073
|
|
(SOFR + 1.88%), 5.42%, 7/21/2034 (f)
|
290,000
|
286,996
|
|
(SOFR + 1.58%), 5.83%, 4/19/2035 (f)
|
300,000
|
305,993
|
|
(SOFR + 1.36%), 2.48%, 9/16/2036 (f)
|
140,000
|
110,383
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (f)
|
125,000
|
124,100
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.80%), 5.94%, 2/7/2039 (f)
|
150,000
|
148,500
|
|
Netflix, Inc. 5.38%, 11/15/2029 (b)
|
357,000
|
359,383
|
|
Occidental Petroleum Corp. 6.20%, 3/15/2040
|
123,000
|
123,762
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
OI European Group BV
|
|
|
|
6.25%, 5/15/2028 (b)
|
EUR180,000
|
202,617
|
|
5.25%, 6/1/2029 (b)
|
EUR261,000
|
285,290
|
|
Oracle Corp. 3.60%, 4/1/2050
|
88,000
|
61,216
|
|
Pacific Gas and Electric Co.
|
|
|
|
3.30%, 3/15/2027
|
366,000
|
345,604
|
|
6.15%, 1/15/2033
|
460,000
|
469,223
|
|
6.40%, 6/15/2033
|
360,000
|
373,691
|
|
5.80%, 5/15/2034
|
395,000
|
394,049
|
|
Pfizer Investment Enterprises Pte. Ltd. 5.34%, 5/19/2063
|
120,000
|
112,762
|
|
PNC Financial Services Group, Inc. (The)
|
|
|
|
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%),
3.40%, 9/15/2026 (d) (e) (f)
|
321,000
|
285,323
|
|
(SOFR + 1.90%), 5.68%, 1/22/2035 (f)
|
110,000
|
110,004
|
|
Prudential Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.40%), 6.50%,
3/15/2054 (f)
|
295,000
|
295,746
|
|
Regency Centers LP, REIT 2.95%, 9/15/2029
|
95,000
|
84,796
|
|
Roper Technologies, Inc. 2.95%, 9/15/2029
|
160,000
|
142,826
|
|
SCIL IV LLC 9.50%, 7/15/2028 (a)
|
EUR500,000
|
587,961
|
|
Sempra (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.79%), 6.88%,
10/1/2054 (f)
|
280,000
|
277,253
|
|
State Street Corp. Series I, (US Treasury Yield Curve Rate T Note Constant Maturity
5 Year + 2.61%), 6.70%,
3/15/2029 (d) (e) (f)
|
117,000
|
118,218
|
|
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027
|
210,000
|
201,327
|
|
Texas Instruments, Inc. 5.00%, 3/14/2053
|
90,000
|
84,056
|
|
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031
|
EUR100,000
|
89,672
|
|
T-Mobile USA, Inc.
|
|
|
|
2.63%, 2/15/2029
|
34,000
|
30,202
|
|
2.55%, 2/15/2031
|
81,000
|
68,301
|
|
Truist Financial Corp.
|
|
|
|
(SOFR + 2.30%), 6.12%, 10/28/2033 (f)
|
95,000
|
96,987
|
|
(SOFR + 1.85%), 5.12%, 1/26/2034 (f)
|
410,000
|
390,469
|
|
(SOFR + 2.36%), 5.87%, 6/8/2034 (f)
|
336,000
|
337,101
|
|
(SOFR + 1.92%), 5.71%, 1/24/2035 (f)
|
75,000
|
74,523
|
|
UGI International LLC 2.50%, 12/1/2029 (a)
|
EUR350,000
|
336,802
|
|
Union Electric Co. 3.90%, 4/1/2052
|
80,000
|
61,392
|
|
US Bancorp (SOFR + 1.86%), 5.68%, 1/23/2035 (f)
|
110,000
|
109,837
|
|
Vistra Operations Co. LLC 6.00%, 4/15/2034 (b)
|
720,000
|
721,031
|
|
Warnermedia Holdings, Inc.
|
|
|
|
4.30%, 1/17/2030
|
EUR377,000
|
408,530
|
|
4.28%, 3/15/2032
|
1,452,000
|
1,270,802
|
|
5.05%, 3/15/2042
|
155,000
|
128,097
|
|
5.14%, 3/15/2052
|
111,000
|
87,624
|
|
Wells Fargo & Co.
|
|
|
|
(SOFR + 1.74%), 5.57%, 7/25/2029 (f)
|
780,000
|
784,409
|
|
(SOFR + 1.99%), 5.56%, 7/25/2034 (f)
|
500,000
|
497,762
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
United States — continued
|
||
|
(SOFR + 1.78%), 5.50%, 1/23/2035 (f)
|
390,000
|
386,621
|
|
Welltower OP LLC, REIT 2.80%, 6/1/2031
|
220,000
|
186,937
|
|
|
|
48,828,667
|
|
Total Corporate Bonds
(Cost $282,462,254)
|
|
271,559,029
|
|
Foreign Government Securities — 28.1%
|
||
|
Angola — 0.1%
|
||
|
Republic of Angola
|
|
|
|
8.00%, 11/26/2029 (a)
|
210,000
|
190,779
|
|
8.75%, 4/14/2032 (b)
|
483,000
|
431,319
|
|
|
|
622,098
|
|
Australia — 2.2%
|
||
|
Commonwealth of Australia
|
|
|
|
1.25%, 5/21/2032
|
AUD16,638,000
|
8,788,109
|
|
3.00%, 3/21/2047 (a)
|
AUD2,140,000
|
1,073,757
|
|
|
|
9,861,866
|
|
Bahrain — 0.1%
|
||
|
Kingdom of Bahrain 6.00%, 9/19/2044 (a)
|
335,000
|
276,613
|
|
Brazil — 4.5%
|
||
|
Notas do Tesouro Nacional 10.00%, 1/1/2027
|
BRL107,300,000
|
19,956,953
|
|
Canada — 5.2%
|
||
|
Canada Government Bond
|
|
|
|
2.75%, 8/1/2024
|
CAD7,000,000
|
5,119,021
|
|
1.50%, 9/1/2024
|
CAD8,795,000
|
6,399,549
|
|
3.00%, 11/1/2024
|
CAD4,175,000
|
3,041,062
|
|
2.25%, 6/1/2025
|
CAD11,950,000
|
8,578,012
|
|
|
|
23,137,644
|
|
Colombia — 0.5%
|
||
|
Republic of Colombia
|
|
|
|
3.13%, 4/15/2031
|
460,000
|
359,950
|
|
7.50%, 2/2/2034
|
1,130,000
|
1,119,830
|
|
5.20%, 5/15/2049
|
520,000
|
363,480
|
|
8.75%, 11/14/2053
|
277,000
|
289,603
|
|
|
|
2,132,863
|
|
Costa Rica — 0.2%
|
||
|
Republic of Costa Rica
|
|
|
|
6.13%, 2/19/2031 (a)
|
300,000
|
300,150
|
|
7.30%, 11/13/2054 (b)
|
521,000
|
545,259
|
|
|
|
845,409
|
|
Czech Republic — 1.6%
|
||
|
Czech Republic
|
|
|
|
4.50%, 11/11/2032
|
CZK57,580,000
|
2,551,932
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Foreign Government Securities — continued
|
||
|
Czech Republic—continued
|
||
|
4.90%, 4/14/2034
|
CZK68,550,000
|
3,124,150
|
|
1.95%, 7/30/2037
|
CZK37,240,000
|
1,236,069
|
|
|
|
6,912,151
|
|
Dominican Republic — 0.3%
|
||
|
Dominican Republic Government Bond
|
|
|
|
6.88%, 1/29/2026 (b)
|
280,000
|
283,325
|
|
5.30%, 1/21/2041 (b)
|
375,000
|
317,461
|
|
6.85%, 1/27/2045 (a)
|
660,000
|
648,244
|
|
|
|
1,249,030
|
|
Egypt — 0.2%
|
||
|
Arab Republic of Egypt 7.63%, 5/29/2032 (a)
|
950,000
|
812,487
|
|
Germany — 0.3%
|
||
|
Bundesrepublik Deutschland 2.30%, 2/15/2033 (a)
|
EUR1,090,000
|
1,154,301
|
|
Hungary — 0.3%
|
||
|
Hungary Government Bond
|
|
|
|
5.50%, 3/26/2036 (b)
|
936,000
|
891,400
|
|
6.75%, 9/25/2052 (b)
|
394,000
|
418,455
|
|
|
|
1,309,855
|
|
Israel — 0.1%
|
||
|
State of Israel Government Bond 3.38%, 1/15/2050
|
570,000
|
363,797
|
|
Italy — 0.2%
|
||
|
Italian Republic Government Bond 2.88%, 10/17/2029
|
1,135,000
|
994,862
|
|
Ivory Coast — 0.3%
|
||
|
Republic of Cote d'Ivoire
|
|
|
|
6.38%, 3/3/2028 (a)
|
270,000
|
262,794
|
|
6.13%, 6/15/2033 (a)
|
570,000
|
506,644
|
|
6.88%, 10/17/2040 (b)
|
EUR730,000
|
673,622
|
|
|
|
1,443,060
|
|
Lebanon — 0.0% ^
|
||
|
Lebanese Republic
|
|
|
|
6.65%, 4/22/2024 (a) (g)
|
227,000
|
15,549
|
|
6.65%, 11/3/2028 (a) (g)
|
226,000
|
15,481
|
|
|
|
31,030
|
|
Mexico — 4.6%
|
||
|
Mex Bonos Desarr Fix Rt
|
|
|
|
7.75%, 5/29/2031
|
MXN125,280,000
|
6,609,625
|
|
7.50%, 5/26/2033
|
MXN149,230,000
|
7,599,480
|
|
8.00%, 5/24/2035
|
MXN72,630,000
|
3,729,145
|
|
United Mexican States
|
|
|
|
4.49%, 5/25/2032
|
EUR656,000
|
709,287
|
|
6.35%, 2/9/2035
|
325,000
|
328,088
|
|
3.77%, 5/24/2061
|
942,000
|
585,924
|
|
3.75%, 4/19/2071
|
1,433,000
|
872,697
|
|
|
|
20,434,246
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Foreign Government Securities — continued
|
||
|
New Zealand — 0.5%
|
||
|
New Zealand Government Bond
|
|
|
|
4.50%, 4/15/2027 (a)
|
NZD952,000
|
581,256
|
|
2.75%, 4/15/2037 (a)
|
NZD3,201,000
|
1,558,658
|
|
|
|
2,139,914
|
|
Nigeria — 0.1%
|
||
|
Federal Republic of Nigeria
|
|
|
|
7.63%, 11/21/2025 (a)
|
300,000
|
300,771
|
|
7.38%, 9/28/2033 (b)
|
327,000
|
272,362
|
|
|
|
573,133
|
|
Oman — 0.3%
|
||
|
Sultanate of Oman Government Bond
|
|
|
|
5.63%, 1/17/2028 (a)
|
300,000
|
299,139
|
|
6.25%, 1/25/2031 (a)
|
550,000
|
563,750
|
|
6.75%, 1/17/2048 (a)
|
320,000
|
320,800
|
|
|
|
1,183,689
|
|
Paraguay — 0.1%
|
||
|
Republic of Paraguay 4.95%, 4/28/2031 (b)
|
550,000
|
521,984
|
|
Poland — 1.1%
|
||
|
Republic of Poland
|
|
|
|
6.00%, 10/25/2033
|
PLN10,400,000
|
2,694,451
|
|
5.13%, 9/18/2034
|
1,183,000
|
1,154,088
|
|
5.50%, 3/18/2054
|
1,025,000
|
982,606
|
|
|
|
4,831,145
|
|
Romania — 0.4%
|
||
|
Romania Government Bond
|
|
|
|
6.63%, 9/27/2029 (b)
|
EUR776,000
|
911,649
|
|
6.38%, 1/30/2034 (b)
|
554,000
|
552,249
|
|
4.63%, 4/3/2049 (b)
|
EUR276,000
|
252,876
|
|
7.63%, 1/17/2053 (b)
|
148,000
|
160,521
|
|
|
|
1,877,295
|
|
Saudi Arabia — 0.3%
|
||
|
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b)
|
1,246,000
|
1,085,266
|
|
Senegal — 0.1%
|
||
|
Republic of Senegal 6.25%, 5/23/2033 (a)
|
660,000
|
558,301
|
|
South Africa — 0.2%
|
||
|
Republic of South Africa
|
|
|
|
4.30%, 10/12/2028
|
490,000
|
438,489
|
|
5.75%, 9/30/2049
|
710,000
|
510,312
|
|
|
|
948,801
|
|
Spain — 3.8%
|
||
|
Bonos and Obligaciones del Estado
|
|
|
|
0.25%, 7/30/2024
|
EUR3,000,000
|
3,237,644
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Foreign Government Securities — continued
|
||
|
Spain—continued
|
||
|
2.75%, 10/31/2024 (a)
|
EUR5,480,000
|
5,924,430
|
|
1.60%, 4/30/2025 (a)
|
EUR7,070,000
|
7,542,119
|
|
|
|
16,704,193
|
|
Turkey — 0.4%
|
||
|
Istanbul Metropolitan Municipality
|
|
|
|
6.38%, 12/9/2025 (a)
|
420,000
|
412,268
|
|
10.50%, 12/6/2028 (a)
|
380,000
|
407,550
|
|
Republic of Turkey
|
|
|
|
9.88%, 1/15/2028
|
350,000
|
384,125
|
|
7.63%, 5/15/2034
|
568,000
|
569,363
|
|
|
|
1,773,306
|
|
United Arab Emirates — 0.1%
|
||
|
United Arab Emirates Government Bond 4.00%, 7/28/2050 (b)
|
400,000
|
255,500
|
|
Uruguay — 0.0% ^
|
||
|
Oriental Republic of Uruguay 5.10%, 6/18/2050
|
88,906
|
83,127
|
|
Total Foreign Government Securities
(Cost $130,984,457)
|
|
124,073,919
|
|
Supranational — 1.5%
|
||
|
European Union, 3.00%, 3/4/2053 (a)
(Cost $6,777,022)
|
EUR6,730,000
|
6,695,704
|
|
U.S. Treasury Obligations — 1.0%
|
||
|
United States — 1.0%
|
||
|
U.S. Treasury Inflation Linked Notes , 1.38%, 7/15/2033
(Cost $4,427,325)
|
4,566,096
|
4,292,643
|
|
Commercial Mortgage-Backed Securities — 0.8%
|
||
|
United States — 0.8%
|
||
|
BANK Series 2018-BN13, Class C, 4.54%, 8/15/2061 (k)
|
118,000
|
102,789
|
|
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (k)
|
315,000
|
234,891
|
|
BHMS Series 2018-ATLS, Class A, 6.86%, 7/15/2035 (b) (k)
|
130,000
|
129,999
|
|
BX Commercial Mortgage Trust Series 2024-MF, Class B, 7.01%, 2/15/2039 (b) (k)
|
320,000
|
319,500
|
|
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.04%, 2/28/2025 (b) (k)
|
1,000,000
|
951,761
|
|
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (k)
|
28,000
|
24,606
|
|
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (k)
|
21,000
|
16,088
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series K739, Class X1, IO, 1.20%, 9/25/2027 (k)
|
2,078,517
|
61,107
|
|
Series K072, Class X3, IO, 2.14%, 12/25/2045 (k)
|
400,000
|
26,806
|
|
Series K089, Class X3, IO, 2.30%, 1/25/2046 (k)
|
850,000
|
77,327
|
|
Series K078, Class X3, IO, 2.21%, 6/25/2046 (k)
|
1,820,000
|
137,619
|
|
Series K088, Class X3, IO, 2.35%, 2/25/2047 (k)
|
880,000
|
81,223
|
|
FREMF Series 2018-KF46, Class B, 7.39%, 3/25/2028 (b) (k)
|
241,539
|
224,226
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KF38, Class B, 7.94%, 9/25/2024 (b) (k)
|
19,725
|
19,626
|
|
Series 2018-KF47, Class B, 7.44%, 5/25/2025 (b) (k)
|
9,422
|
9,266
|
|
Series 2018-KF49, Class B, 7.34%, 6/25/2025 (b) (k)
|
133,319
|
130,114
|
|
Series 2017-K728, Class C, 3.72%, 11/25/2050 (b) (k)
|
105,000
|
103,816
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
United States — continued
|
||
|
GS Mortgage Securities Trust
|
|
|
|
Series 2012-GCJ9, Class D, 4.60%, 11/10/2045 (b) (k)
|
263,512
|
239,796
|
|
Series 2015-GC30, Class C, 4.07%, 5/10/2050 (k)
|
36,000
|
32,517
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C30, Class C, 4.23%, 7/15/2048 (k)
|
62,000
|
49,220
|
|
Series 2015-C31, Class C, 4.62%, 8/15/2048 (k)
|
23,000
|
19,536
|
|
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%,
12/15/2049 (k)
|
28,000
|
22,233
|
|
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (k)
|
134,898
|
51,437
|
|
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C24, Class C, 4.32%,
5/15/2048 (k)
|
36,000
|
32,617
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2005-HQ7, Class E, 5.44%, 11/14/2042 (k)
|
1,637
|
1,558
|
|
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (k)
|
28,000
|
26,317
|
|
SDR Commercial Mortgage Trust Series 2024-DSNY, Class B, 7.04%, 5/15/2039 (b) (k)
|
378,000
|
377,852
|
|
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (k)
|
106,000
|
96,383
|
|
Velocity Commercial Capital Loan Trust
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (k)
|
60,922
|
57,992
|
|
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (k)
|
72,350
|
64,514
|
|
Total Commercial Mortgage-Backed Securities
(Cost $4,078,982)
|
|
3,722,736
|
|
Asset-Backed Securities — 0.8%
|
||
|
Cayman Islands — 0.2%
|
||
|
Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1, 6.73%, 1/22/2035 (b) (k)
|
250,000
|
250,378
|
|
Dryden CLO Ltd. Series 2019-68A, Class AR, 6.76%, 7/15/2035 (b) (k)
|
290,000
|
290,576
|
|
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 6.56%, 10/15/2030 (b) (k)
|
147,550
|
147,702
|
|
Neuberger Berman CLO Series 2013-15A, Class A1R2, 6.51%, 10/15/2029 (b) (k)
|
203,099
|
203,400
|
|
|
|
892,056
|
|
United States — 0.6%
|
||
|
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b)
|
57,330
|
56,517
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2023-1, Class A, 5.45%, 9/14/2026 (b)
|
13,920
|
13,916
|
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (b)
|
267,000
|
265,936
|
|
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025
|
80,359
|
80,190
|
|
Chase Funding Trust Series 2003-6, Class 1A7, 4.87%, 11/25/2034 (h)
|
53,667
|
51,674
|
|
Credit-Based Asset Servicing and Securitization LLC Series 2004-CB5, Class M1, 6.35%,
1/25/2034 (k)
|
64,874
|
65,999
|
|
Flagship Credit Auto Trust
|
|
|
|
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b)
|
88,000
|
87,302
|
|
Series 2023-1, Class B, 5.05%, 1/18/2028 (b)
|
66,000
|
65,167
|
|
GM Financial Automobile Leasing Trust
|
|
|
|
Series 2023-1, Class A2B, 5.87%, 6/20/2025 (k)
|
18,723
|
18,728
|
|
Series 2023-1, Class A3, 5.16%, 4/20/2026
|
172,000
|
171,552
|
|
JetBlue Pass-Through Trust
|
|
|
|
Series 2019-1, Class B, 8.00%, 11/15/2027
|
105,395
|
107,444
|
|
Series 2019-1, Class A, 2.95%, 5/15/2028
|
39,636
|
35,147
|
|
Series 2020-1, Class B, 7.75%, 11/15/2028
|
29,836
|
30,546
|
|
Progress Residential Series 2021-SFR1, Class E, 2.11%, 4/17/2038 (b)
|
250,000
|
228,850
|
|
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (b)
|
650,000
|
639,567
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
United States — continued
|
||
|
Structured Asset Investment Loan Trust Series 2005-HE3, Class M1, 6.16%, 9/25/2035 (k)
|
10,558
|
10,374
|
|
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b)
|
763,062
|
705,369
|
|
|
|
2,634,278
|
|
Total Asset-Backed Securities
(Cost $3,600,687)
|
|
3,526,334
|
|
Collateralized Mortgage Obligations — 0.6%
|
||
|
United States — 0.6%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-25CB, Class A1, 6.00%, 12/25/2034
|
70,554
|
61,156
|
|
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035
|
49,117
|
40,429
|
|
Series 2007-2CB, Class 1A6, 5.75%, 3/25/2037
|
109,459
|
57,049
|
|
Chase Mortgage Finance Trust Series 2007-A1, Class 1A5, 6.02%, 2/25/2037 (k)
|
8,673
|
8,339
|
|
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037
|
39,689
|
16,584
|
|
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 7.62%, 1/25/2043 (b) (k)
|
296,541
|
303,976
|
|
FHLMC, REMIC
|
|
|
|
Series 4305, Class SK, IF, IO, 1.16%, 2/15/2044 (k)
|
350,352
|
37,090
|
|
Series 4689, Class SD, IF, IO, 0.71%, 6/15/2047 (k)
|
233,310
|
25,704
|
|
Series 5022, IO, 3.00%, 9/25/2050
|
358,432
|
61,090
|
|
Series 5023, Class MI, IO, 3.00%, 10/25/2050
|
637,398
|
107,702
|
|
Series 4839, Class WS, IF, IO, 0.66%, 8/15/2056 (k)
|
1,643,643
|
188,213
|
|
FNMA, REMIC
|
|
|
|
Series 2012-146, Class AI, IO, 3.00%, 1/25/2028
|
318,270
|
9,721
|
|
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031
|
346,577
|
22,314
|
|
Series 2012-93, Class SE, IF, IO, 0.66%, 9/25/2042 (k)
|
69,398
|
6,862
|
|
Series 2012-124, Class UI, IO, 4.00%, 11/25/2042
|
70,768
|
12,208
|
|
Series 2015-40, Class LS, IF, IO, 0.73%, 6/25/2045 (k)
|
182,541
|
16,364
|
|
Series 2017-31, Class SG, IF, IO, 0.66%, 5/25/2047 (k)
|
600,529
|
62,804
|
|
Series 2017-39, Class ST, IF, IO, 0.66%, 5/25/2047 (k)
|
166,919
|
18,899
|
|
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (k)
|
29,145
|
614
|
|
GNMA Series 2015-H13, Class GI, IO, 1.54%, 4/20/2065 (k)
|
51,017
|
1,114
|
|
Merrill Lynch Mortgage Investors Trust Series 2004-C, Class A1, 6.00%, 7/25/2029 (k)
|
6,694
|
6,393
|
|
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (h)
|
230,000
|
229,356
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-8, Class 3A, 6.51%, 7/25/2034 (k)
|
9,330
|
8,779
|
|
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (k)
|
1,138,717
|
1,117,643
|
|
Total Collateralized Mortgage Obligations
(Cost $2,792,159)
|
|
2,420,403
|
|
|
SHARES
|
|
|
Common Stocks — 0.0% ^
|
||
|
United States — 0.0% ^
|
||
|
Windstream Holdings, Inc. ‡ *(Cost $—)
|
16
|
216
|
|
Short-Term Investments — 2.3%
|
||
|
Investment Companies — 2.3%
|
||
|
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.26% (l) (m)(Cost $10,273,419)
|
10,273,419
|
10,273,419
|
|
INVESTMENTS
|
SHARES
|
VALUE($)
|
|
Total Investments — 96.6%
(Cost $445,396,305)
|
|
426,564,403
|
|
Other Assets Less Liabilities — 3.4%
|
|
14,820,651
|
|
NET ASSETS — 100.0%
|
|
441,385,054
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GBP
|
British Pound
|
|
GNMA
|
Government National Mortgage Association
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2024. The rate may be subject to a cap and floor.
|
|
IO
|
Interest Only represents the right to receive the monthly interest payments on an
underlying pool of mortgage loans. The principal amount shown
represents the par value on the underlying pool. The yields on these securities are
subject to accelerated principal paydowns as a result of prepayment or
refinancing of the underlying pool of mortgage instruments. As a result, interest
income may be reduced considerably.
|
|
JSC
|
Joint Stock Company
|
|
MXN
|
Mexican Peso
|
|
NZD
|
New Zealand Dollar
|
|
PLN
|
Polish Zloty
|
|
PT
|
Limited liability company
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
*
|
Non-income producing security.
|
|
|
(a)
|
Security exempt from registration pursuant to Regulation S under the Securities Act
of 1933, as amended. Regulation S applies to securities
offerings that are made outside of the United States and do not involve direct selling
efforts in the United States and as such may have
restrictions on resale.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(c)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2024 is $17,673,452 or 4.00% of the Fund’s net
assets as of May 31, 2024.
|
|
|
(d)
|
Security is an interest bearing note with preferred security characteristics.
|
|
|
(e)
|
Security is perpetual and thus, does not have a predetermined maturity date. The coupon
rate for this security is fixed for a period of time
and may be structured to adjust thereafter. The date shown, if applicable, reflects
the next call date. The coupon rate shown is the rate in
effect as of May 31, 2024.
|
|
|
(f)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2024.
|
|
|
(g)
|
Defaulted security.
|
|
|
(h)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2024.
|
|
|
(i)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(j)
|
Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed.
|
|
|
(k)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2024.
|
|
|
(l)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(m)
|
The rate shown is the current yield as of May 31, 2024.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
Euro-Bobl
|
21
|
06/06/2024
|
EUR
|
2,641,815
|
(46,042
)
|
|
Euro-BTP
|
112
|
06/06/2024
|
EUR
|
14,172,315
|
(185,824
)
|
|
Euro-Bund
|
14
|
06/06/2024
|
EUR
|
1,963,854
|
(32,306
)
|
|
Euro-Schatz
|
27
|
06/06/2024
|
EUR
|
3,074,945
|
(22,101
)
|
|
Canada 10 Year Bond
|
118
|
09/18/2024
|
CAD
|
10,300,921
|
(27,643
)
|
|
U.S. Treasury 10 Year Note
|
202
|
09/19/2024
|
USD
|
22,011,688
|
1,154
|
|
Long Gilt
|
148
|
09/26/2024
|
GBP
|
18,164,893
|
(170,593
)
|
|
U.S. Treasury 2 Year Note
|
166
|
09/30/2024
|
USD
|
33,832,875
|
27,200
|
|
U.S. Treasury 5 Year Note
|
187
|
09/30/2024
|
USD
|
19,813,234
|
25,923
|
|
|
|
|
|
|
(430,232
)
|
|
Short Contracts
|
|
|
|
|
|
|
Euro-Buxl 30 Year Bond
|
(66
)
|
06/06/2024
|
EUR
|
(9,044,760
)
|
550,294
|
|
U.S. Treasury 10 Year Note
|
(42
)
|
09/19/2024
|
USD
|
(4,576,688
)
|
(96
)
|
|
U.S. Treasury 10 Year Ultra Note
|
(176
)
|
09/19/2024
|
USD
|
(19,764,250
)
|
2,271
|
|
U.S. Treasury Long Bond
|
(4
)
|
09/19/2024
|
USD
|
(466,000
)
|
952
|
|
U.S. Treasury Ultra Bond
|
(62
)
|
09/19/2024
|
USD
|
(7,612,437
)
|
107,879
|
|
U.S. Treasury 2 Year Note
|
(10
)
|
09/30/2024
|
USD
|
(2,038,125
)
|
(1,816
)
|
|
U.S. Treasury 5 Year Note
|
(178
)
|
09/30/2024
|
USD
|
(18,859,656
)
|
(27,582
)
|
|
|
|
|
|
|
631,902
|
|
|
|
|
|
|
201,670
|
|
Abbreviations
|
|
|
CAD
|
Canadian Dollar
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
USD
|
United States Dollar
|
|
CURRENCY
PURCHASED
|
CURRENCY
SOLD
|
COUNTERPARTY
|
SETTLEMENT
DATE
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
||
|
EUR
|
1,158,547
|
USD
|
1,241,284
|
Citibank, NA
|
6/5/2024
|
15,845
|
|
EUR
|
142,073,269
|
USD
|
153,627,526
|
Morgan Stanley
|
6/5/2024
|
534,942
|
|
EUR
|
402,817
|
USD
|
432,688
|
Royal Bank of Canada
|
6/5/2024
|
4,404
|
|
EUR
|
167,844
|
USD
|
180,347
|
Standard Chartered Bank
|
6/5/2024
|
1,778
|
|
GBP
|
5,561,018
|
USD
|
7,073,370
|
HSBC Bank, NA
|
6/5/2024
|
12,793
|
|
GBP
|
510,421
|
USD
|
646,860
|
Morgan Stanley
|
6/5/2024
|
3,548
|
|
USD
|
357,522
|
EUR
|
329,000
|
BNP Paribas
|
6/5/2024
|
527
|
|
USD
|
410,172
|
EUR
|
377,000
|
Morgan Stanley
|
6/5/2024
|
1,093
|
|
BRL
|
17,008,085
|
USD
|
3,231,940
|
Citibank, NA**
|
6/24/2024
|
190
|
|
CNY
|
23,737,140
|
USD
|
3,287,601
|
BNP Paribas**
|
6/24/2024
|
49,252
|
|
INR
|
257,521,674
|
USD
|
3,079,515
|
BNP Paribas**
|
6/24/2024
|
5,147
|
|
INR
|
274,470,461
|
USD
|
3,283,953
|
Citibank, NA**
|
6/24/2024
|
3,727
|
|
KRW
|
4,509,073,884
|
USD
|
3,261,536
|
Goldman Sachs International**
|
6/24/2024
|
2,641
|
|
PLN
|
2,037,621
|
USD
|
513,582
|
Morgan Stanley
|
6/24/2024
|
3,531
|
|
USD
|
15,925,298
|
BRL
|
82,000,474
|
Barclays Bank plc**
|
6/24/2024
|
342,345
|
|
USD
|
5,714,109
|
IDR
|
92,122,864,444
|
Goldman Sachs International**
|
6/24/2024
|
52,146
|
|
USD
|
13,751,590
|
MXN
|
233,108,890
|
Citibank, NA
|
6/24/2024
|
56,780
|
|
USD
|
2,535,921
|
MXN
|
42,428,594
|
Goldman Sachs International
|
6/24/2024
|
43,303
|
|
USD
|
2,528,088
|
MXN
|
42,371,341
|
HSBC Bank, NA
|
6/24/2024
|
38,833
|
|
USD
|
3,209,007
|
PHP
|
185,470,973
|
Goldman Sachs International**
|
6/24/2024
|
40,388
|
|
USD
|
3,306,541
|
THB
|
118,903,214
|
Citibank, NA
|
6/24/2024
|
69,342
|
|
USD
|
6,535,614
|
ZAR
|
120,079,473
|
Citibank, NA
|
6/24/2024
|
154,053
|
|
EUR
|
776,232
|
USD
|
842,314
|
BNP Paribas
|
7/3/2024
|
1,048
|
|
USD
|
284,488
|
EUR
|
261,000
|
Merrill Lynch International
|
7/3/2024
|
917
|
|
TRY
|
69,791,269
|
USD
|
1,628,544
|
Barclays Bank plc
|
1/22/2025
|
115,473
|
|
Total unrealized appreciation
|
1,554,046
|
|||||
|
EUR
|
292,599
|
USD
|
318,370
|
Merrill Lynch International
|
6/5/2024
|
(874
)
|
|
EUR
|
524,859
|
USD
|
570,882
|
Morgan Stanley
|
6/5/2024
|
(1,362
)
|
|
USD
|
927,182
|
EUR
|
861,498
|
Barclays Bank plc
|
6/5/2024
|
(7,622
)
|
|
USD
|
2,292,384
|
EUR
|
2,136,301
|
BNP Paribas
|
6/5/2024
|
(25,698
)
|
|
USD
|
147,161,229
|
EUR
|
137,046,384
|
Goldman Sachs International
|
6/5/2024
|
(1,546,608
)
|
|
USD
|
2,374,075
|
EUR
|
2,212,287
|
HSBC Bank, NA
|
6/5/2024
|
(26,459
)
|
|
USD
|
1,775,490
|
EUR
|
1,657,464
|
Merrill Lynch International
|
6/5/2024
|
(23,009
)
|
|
USD
|
7,622,164
|
GBP
|
6,071,439
|
HSBC Bank, NA
|
6/5/2024
|
(114,407
)
|
|
AUD
|
104,004
|
USD
|
69,390
|
Morgan Stanley
|
6/24/2024
|
(150
)
|
|
CLP
|
3,026,407,618
|
USD
|
3,301,956
|
Goldman Sachs International**
|
6/24/2024
|
(6,546
)
|
|
IDR
|
11,760,232,727
|
USD
|
731,317
|
Barclays Bank plc**
|
6/24/2024
|
(8,521
)
|
|
IDR
|
27,805,725,339
|
USD
|
1,730,126
|
Citibank, NA**
|
6/24/2024
|
(21,159
)
|
|
KRW
|
4,422,711,770
|
USD
|
3,265,681
|
HSBC Bank, NA**
|
6/24/2024
|
(64,022
)
|
|
PHP
|
187,863,224
|
USD
|
3,248,824
|
Goldman Sachs International**
|
6/24/2024
|
(39,335
)
|
|
THB
|
109,524,929
|
USD
|
2,993,629
|
Goldman Sachs International
|
6/24/2024
|
(11,759
)
|
|
USD
|
13,271,617
|
AUD
|
20,035,514
|
Citibank, NA
|
6/24/2024
|
(66,976
)
|
|
USD
|
22,878,337
|
CAD
|
31,223,183
|
BNP Paribas
|
6/24/2024
|
(39,172
)
|
|
USD
|
3,275,672
|
CLP
|
3,010,866,668
|
Citibank, NA**
|
6/24/2024
|
(2,815
)
|
|
USD
|
3,268,866
|
CNY
|
23,706,144
|
BNP Paribas**
|
6/24/2024
|
(63,630
)
|
|
USD
|
3,155,930
|
CNY
|
22,798,052
|
Goldman Sachs International**
|
6/24/2024
|
(48,910
)
|
|
USD
|
3,815,096
|
CZK
|
87,590,520
|
State Street Corp.
|
6/24/2024
|
(34,928
)
|
|
USD
|
33,652,364
|
EUR
|
31,146,215
|
Citibank, NA
|
6/24/2024
|
(172,858
)
|
|
USD
|
2,143,652
|
NZD
|
3,557,996
|
Barclays Bank plc
|
6/24/2024
|
(43,456
)
|
|
USD
|
2,861,312
|
SGD
|
3,865,419
|
State Street Corp.
|
6/24/2024
|
(2,231
)
|
|
ZAR
|
59,930,896
|
USD
|
3,245,402
|
Goldman Sachs International
|
6/24/2024
|
(60,406
)
|
|
USD
|
245,764
|
EUR
|
226,440
|
HSBC Bank, NA
|
7/3/2024
|
(259
)
|
|
USD
|
152,658,822
|
EUR
|
141,000,271
|
Morgan Stanley
|
7/3/2024
|
(535,307
)
|
|
USD
|
7,074,364
|
GBP
|
5,561,018
|
HSBC Bank, NA
|
7/3/2024
|
(12,816
)
|
|
USD
|
1,670,501
|
TRY
|
69,868,686
|
Goldman Sachs International
|
1/22/2025
|
(75,451
)
|
|
Total unrealized depreciation
|
(3,056,746
)
|
|||||
|
Net unrealized depreciation
|
(1,502,700
)
|
|||||
|
Abbreviations
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CLP
|
Chile Peso
|
|
CNY
|
China Yuan
|
|
CZK
|
Czech Republic Koruna
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
KRW
|
Korean Republic Won
|
|
MXN
|
Mexican Peso
|
|
NZD
|
New Zealand Dollar
|
|
PHP
|
Philippines Peso
|
|
PLN
|
Polish Zloty
|
|
SGD
|
Singapore Dollar
|
|
THB
|
Thai Baht
|
|
TRY
|
Turkish Lira
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
**
|
Non-deliverable forward.
|
|
FLOATING RATE INDEX (a)
|
FIXED RATE
|
PAY/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
VALUE ($)
|
|
1 day SOFR annually
|
3.95 annually
|
Pay
|
4/19/2029
|
USD123,000,000
|
(22,016
)
|
264,660
|
242,644
|
|
1 day SOFR annually
|
4.02 annually
|
Receive
|
4/19/2037
|
USD28,000,000
|
14,265
|
(146,222
)
|
(131,957
)
|
|
1 day SOFR annually
|
4.07 annually
|
Receive
|
2/15/2034
|
USD13,673,000
|
(3,821
)
|
(1,092
)
|
(4,913
)
|
|
|
|
|
|
|
10,444
|
(147,314
)
|
(136,870
)
|
|
|
|
|
|
|
(11,572
)
|
117,346
|
105,774
|
|
Abbreviations
|
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
USD
|
United States Dollar
|
|
(a)
|
Value of floating rate index at May 31, 2024 was as follows:
|
|||||||
|
FLOATING RATE INDEX
|
VALUE
|
|
1 Day SOFR
|
5.34%
|
|
|
|
|
||
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$3,526,334
|
$—
|
$3,526,334
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
United States
|
—
|
1,302,760
|
1,117,643
|
2,420,403
|
|
Commercial Mortgage-Backed Securities
|
—
|
3,722,736
|
—
|
3,722,736
|
|
Common Stocks
|
—
|
—
|
216
|
216
|
|
Corporate Bonds
|
—
|
271,559,029
|
—
|
271,559,029
|
|
Foreign Government Securities
|
—
|
124,073,919
|
—
|
124,073,919
|
|
Supranational
|
—
|
6,695,704
|
—
|
6,695,704
|
|
U.S. Treasury Obligations
|
—
|
4,292,643
|
—
|
4,292,643
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
10,273,419
|
—
|
—
|
10,273,419
|
|
Total Investments in Securities
|
$10,273,419
|
$415,173,125
|
$1,117,859
|
$426,564,403
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
$—
|
$1,554,046
|
$—
|
$1,554,046
|
|
Futures Contracts
|
715,673
|
—
|
—
|
715,673
|
|
Swaps
|
—
|
264,660
|
—
|
264,660
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
—
|
(3,056,746
)
|
—
|
(3,056,746
)
|
|
Futures Contracts
|
(514,003
)
|
—
|
—
|
(514,003
)
|
|
Swaps
|
—
|
(147,314
)
|
—
|
(147,314
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$201,670
|
$(1,385,354
)
|
$—
|
$(1,183,684
)
|
|
|
|||||||||
|
For the period ended May 31, 2024
|
|||||||||
|
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government Money
Market Fund Class IM Shares,
5.26% (a) (b)
|
$12,140,460
|
$45,261,252
|
$47,128,293
|
$—
|
$—
|
$10,273,419
|
10,273,419
|
$134,024
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of May 31, 2024.
|