American Century Short Duration Strategic Income ETF - Schedule of Investments | ||
MAY 31, 2023 (UNAUDITED) |
Principal Amount ($)/ Shares | Value ($) | |||||||
CORPORATE BONDS — 35.5% | ||||||||
Aerospace and Defense — 0.4% | ||||||||
Boeing Co., 1.43%, 2/4/24 | 60,000 | 58,214 | ||||||
Boeing Co., 2.80%, 3/1/24 | 90,000 | 88,254 | ||||||
146,468 | ||||||||
Air Freight and Logistics — 0.3% | ||||||||
GXO Logistics, Inc., 1.65%, 7/15/26 | 110,000 | 95,445 | ||||||
Automobiles — 1.2% | ||||||||
General Motors Financial Co., Inc., 1.20%, 10/15/24 | 80,000 | 75,303 | ||||||
General Motors Financial Co., Inc., 3.80%, 4/7/25 | 125,000 | 120,847 | ||||||
Mercedes-Benz Finance North America LLC, 5.375%, 11/26/25(1) | 75,000 | 75,652 | ||||||
Toyota Motor Credit Corp., 3.95%, 6/30/25 | 120,000 | 118,111 | ||||||
389,913 | ||||||||
Banks — 6.7% | ||||||||
Bank of America Corp., VRN, 3.46%, 3/15/25 | 80,000 | 78,474 | ||||||
Bank of America Corp., VRN, 2.02%, 2/13/26 | 45,000 | 42,222 | ||||||
Bank of America Corp., VRN, 1.73%, 7/22/27 | 135,000 | 120,451 | ||||||
Canadian Imperial Bank of Commerce, 5.00%, 4/28/28 | 80,000 | 79,189 | ||||||
Citigroup, Inc., VRN, 2.01%, 1/25/26 | 80,000 | 75,302 | ||||||
Danske Bank A/S, VRN, 1.55%, 9/10/27(1) | 200,000 | 174,923 | ||||||
Discover Bank, VRN, 4.68%, 8/9/28 | 505,000 | 465,126 | ||||||
HSBC Holdings PLC, 4.25%, 3/14/24 | 410,000 | 403,572 | ||||||
JPMorgan Chase & Co., VRN, 1.56%, 12/10/25 | 26,000 | 24,401 | ||||||
JPMorgan Chase & Co., VRN, 1.04%, 2/4/27 | 55,000 | 49,203 | ||||||
JPMorgan Chase & Co., VRN, 1.58%, 4/22/27 | 35,000 | 31,460 | ||||||
JPMorgan Chase & Co., VRN, 1.47%, 9/22/27 | 25,000 | 22,171 | ||||||
Royal Bank of Canada, 6.00%, 11/1/27 | 102,000 | 105,744 | ||||||
Santander UK Group Holdings PLC, VRN, 1.09%, 3/15/25 | 200,000 | 190,996 | ||||||
Toronto-Dominion Bank, 4.11%, 6/8/27 | 75,000 | 72,216 | ||||||
Truist Bank, 3.30%, 5/15/26 | 200,000 | 183,146 | ||||||
Wells Fargo & Co., VRN, 1.65%, 6/2/24 | 80,000 | 80,000 | ||||||
2,198,596 | ||||||||
Beverages — 0.2% | ||||||||
PepsiCo, Inc., 3.60%, 2/18/28 | 75,000 | 73,148 | ||||||
Biotechnology — 0.5% | ||||||||
Amgen, Inc., 5.25%, 3/2/25 | 96,000 | 96,307 | ||||||
CSL Finance PLC, 3.85%, 4/27/27(1) | 65,000 | 62,728 | ||||||
159,035 | ||||||||
Capital Markets — 2.9% | ||||||||
Charles Schwab Corp., 0.90%, 3/11/26 | 130,000 | 114,110 | ||||||
Charles Schwab Corp., VRN, 5.64%, 5/19/29 | 30,000 | 30,060 | ||||||
Deutsche Bank AG, VRN, 1.45%, 4/1/25 | 150,000 | 141,347 | ||||||
Deutsche Bank AG, Series E, 0.96%, 11/8/23 | 150,000 | 145,876 | ||||||
Goldman Sachs Group, Inc., VRN, 1.43%, 3/9/27 | 70,000 | 62,918 | ||||||
Goldman Sachs Group, Inc., VRN, 1.95%, 10/21/27 | 55,000 | 49,010 | ||||||
LPL Holdings, Inc., 4.625%, 11/15/27(1) | 69,000 | 64,073 | ||||||
Morgan Stanley, VRN, 0.79%, 5/30/25 | 35,000 | 33,183 | ||||||
Morgan Stanley, VRN, 1.16%, 10/21/25 | 80,000 | 74,746 | ||||||
Morgan Stanley, VRN, 2.63%, 2/18/26 | 210,000 | 199,698 |
Morgan Stanley, VRN, 5.16%, 4/20/29 | 48,000 | 47,879 | ||||||
962,900 | ||||||||
Chemicals — 0.3% | ||||||||
Celanese US Holdings LLC, 5.90%, 7/5/24 | 95,000 | 94,917 | ||||||
Consumer Finance — 1.2% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.75%, 10/29/24 | 125,000 | 117,365 | ||||||
BOC Aviation USA Corp., 1.625%, 4/29/24(1) | 210,000 | 202,411 | ||||||
Navient Corp., 6.125%, 3/25/24 | 65,000 | 63,776 | ||||||
383,552 | ||||||||
Containers and Packaging — 0.7% | ||||||||
Amcor Flexibles North America, Inc., 4.00%, 5/17/25 | 110,000 | 106,832 | ||||||
Sealed Air Corp., 1.57%, 10/15/26(1) | 130,000 | 112,958 | ||||||
Sealed Air Corp., 1.57%, 10/15/26 | 25,000 | 21,723 | ||||||
241,513 | ||||||||
Diversified REITs — 1.6% | ||||||||
Boston Properties LP, 3.125%, 9/1/23 | 100,000 | 98,936 | ||||||
GLP Capital LP / GLP Financing II, Inc., 5.375%, 4/15/26 | 110,000 | 106,944 | ||||||
MPT Operating Partnership LP / MPT Finance Corp., 5.00%, 10/15/27 | 140,000 | 115,136 | ||||||
VICI Properties LP, 4.375%, 5/15/25 | 75,000 | 72,484 | ||||||
VICI Properties LP / VICI Note Co., Inc., 3.50%, 2/15/25(1) | 140,000 | 133,649 | ||||||
527,149 | ||||||||
Diversified Telecommunication Services — 1.2% | ||||||||
AT&T, Inc., 7.30%, 8/15/26 | 45,000 | 46,800 | ||||||
Level 3 Financing, Inc., 3.40%, 3/1/27(1) | 50,000 | 39,642 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 | 285,000 | 304,940 | ||||||
391,382 | ||||||||
Electric Utilities — 1.8% | ||||||||
American Electric Power Co., Inc., 2.03%, 3/15/24 | 80,000 | 77,433 | ||||||
Jersey Central Power & Light Co., 4.30%, 1/15/26(1) | 130,000 | 127,057 | ||||||
NextEra Energy Capital Holdings, Inc., 4.26%, 9/1/24 | 80,000 | 78,797 | ||||||
NextEra Energy Capital Holdings, Inc., 6.05%, 3/1/25 | 36,000 | 36,415 | ||||||
NextEra Energy Capital Holdings, Inc., 4.45%, 6/20/25 | 140,000 | 138,556 | ||||||
Vistra Operations Co. LLC, 5.125%, 5/13/25(1) | 105,000 | 102,614 | ||||||
Vistra Operations Co. LLC, 5.125%, 5/13/25 | 25,000 | 24,432 | ||||||
585,304 | ||||||||
Electrical Equipment — 0.4% | ||||||||
Regal Rexnord Corp., 6.05%, 2/15/26(1) | 125,000 | 125,357 | ||||||
Entertainment — 0.5% | ||||||||
Warnermedia Holdings, Inc., 3.79%, 3/15/25 | 105,000 | 101,532 | ||||||
Warnermedia Holdings, Inc., 3.76%, 3/15/27 | 70,000 | 65,623 | ||||||
167,155 | ||||||||
Financial Services — 0.4% | ||||||||
Global Payments, Inc., 3.75%, 6/1/23 | 40,000 | 40,000 | ||||||
Global Payments, Inc., 4.45%, 6/1/28 | 85,000 | 80,753 | ||||||
120,753 | ||||||||
Food Products — 0.3% | ||||||||
General Mills, Inc., 5.24%, 11/18/25 | 85,000 | 85,035 | ||||||
Ground Transportation — 1.8% | ||||||||
Ashtead Capital, Inc., 4.375%, 8/15/27(1) | 200,000 | 188,568 | ||||||
PT Penske Truck Leasing Co. LP / L Finance Corp., 5.75%, 5/24/26(1) | 90,000 | 89,841 | ||||||
SMBC Aviation Capital Finance DAC, 4.125%, 7/15/23(1) | 225,000 | 224,333 | ||||||
Triton Container International Ltd., 1.15%, 6/7/24(1) | 110,000 | 103,037 | ||||||
605,779 | ||||||||
Health Care Equipment and Supplies — 0.6% | ||||||||
GE HealthCare Technologies, Inc., 5.55%, 11/15/24(1) | 200,000 | 199,828 | ||||||
Health Care Providers and Services — 1.2% | ||||||||
CVS Health Corp., 5.00%, 2/20/26 | 85,000 | 85,120 | ||||||
CVS Health Corp., 5.00%, 1/30/29(2) | 85,000 | 85,116 | ||||||
HCA, Inc., 3.125%, 3/15/27(1) | 50,000 | 46,296 | ||||||
HCA, Inc., 5.20%, 6/1/28 | 80,000 | 79,536 | ||||||
Universal Health Services, Inc., 1.65%, 9/1/26 | 95,000 | 83,708 | ||||||
379,776 | ||||||||
Health Care REITs — 0.3% | ||||||||
Welltower OP LLC, 4.50%, 1/15/24 | 115,000 | 113,781 | ||||||
Hotels, Restaurants and Leisure — 0.4% | ||||||||
Hyatt Hotels Corp., 1.80%, 10/1/24 | 80,000 | 75,901 | ||||||
Starbucks Corp., 4.75%, 2/15/26 | 65,000 | 64,954 | ||||||
140,855 | ||||||||
Household Durables — 0.4% | ||||||||
Meritage Homes Corp., 6.00%, 6/1/25 | 130,000 | 130,344 | ||||||
Industrial Conglomerates — 0.1% | ||||||||
Honeywell International, Inc., 4.25%, 1/15/29 | 50,000 | 49,435 | ||||||
Insurance — 1.2% | ||||||||
Athene Global Funding, 2.51%, 3/8/24(1) | 100,000 | 96,496 | ||||||
Metropolitan Life Global Funding I, 4.05%, 8/25/25(1) | 305,000 | 296,073 | ||||||
392,569 | ||||||||
Life Sciences Tools and Services — 0.5% | ||||||||
Illumina, Inc., 5.80%, 12/12/25 | 150,000 | 151,805 | ||||||
Machinery — 0.5% | ||||||||
CNH Industrial Capital LLC, 3.95%, 5/23/25 | 90,000 | 87,547 | ||||||
John Deere Capital Corp., 3.40%, 6/6/25 | 95,000 | 92,688 | ||||||
180,235 | ||||||||
Media — 2.1% | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.20%, 3/15/28 | 85,000 | 79,530 | ||||||
Cox Communications, Inc., 3.15%, 8/15/24(1) | 115,000 | 112,696 | ||||||
Directv Financing LLC / Directv Financing Co-Obligor, Inc., 5.875%, 8/15/27(1) | 95,000 | 83,785 | ||||||
Gray Television, Inc., 7.00%, 5/15/27(1)(3) | 90,000 | 74,234 | ||||||
iHeartCommunications, Inc., 8.375%, 5/1/27 | 55,000 | 31,097 | ||||||
Paramount Global, VRN, 6.25%, 2/28/57 | 75,000 | 55,622 | ||||||
Paramount Global, VRN, 6.375%, 3/30/62 | 60,000 | 48,131 | ||||||
Warner Media LLC, 3.80%, 2/15/27 | 71,000 | 64,609 | ||||||
WPP Finance 2010, 3.75%, 9/19/24 | 135,000 | 131,374 | ||||||
681,078 | ||||||||
Metals and Mining — 0.4% | ||||||||
Nucor Corp., 3.95%, 5/23/25 | 35,000 | 34,250 | ||||||
Steel Dynamics, Inc., 2.80%, 12/15/24 | 115,000 | 110,182 | ||||||
144,432 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.25%, 10/1/25(1) | 130,000 | 121,907 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 2/1/27(1) | 25,000 | 21,209 | ||||||
143,116 | ||||||||
Multi-Utilities — 0.3% | ||||||||
Abu Dhabi National Energy Co. PJSC, 4.375%, 1/24/29(1) | 15,000 | 14,952 | ||||||
DTE Energy Co., 4.22%, 11/1/24 | 85,000 | 83,643 | ||||||
98,595 | ||||||||
Oil, Gas and Consumable Fuels — 2.3% | ||||||||
Ecopetrol SA, 5.875%, 9/18/23 | 90,000 | 89,874 | ||||||
Enbridge, Inc., VRN, 5.72%, (SOFR plus 0.63%), 2/16/24 | 80,000 | 79,879 |
Energy Transfer LP, 4.25%, 4/1/24 | 60,000 | 59,137 | ||||||
Enterprise Products Operating LLC, 3.70%, 2/15/26 | 120,000 | 116,904 | ||||||
EQT Corp., 5.68%, 10/1/25 | 85,000 | 85,018 | ||||||
Hess Corp., 3.50%, 7/15/24(3) | 90,000 | 88,027 | ||||||
HF Sinclair Corp., 2.625%, 10/1/23 | 100,000 | 98,826 | ||||||
Petroleos Mexicanos, 6.49%, 1/23/27 | 40,000 | 34,651 | ||||||
Petroleos Mexicanos, 6.50%, 3/13/27 | 40,000 | 34,671 | ||||||
Pioneer Natural Resources Co., 5.10%, 3/29/26 | 60,000 | 60,020 | ||||||
747,007 | ||||||||
Passenger Airlines — 0.2% | ||||||||
American Airlines, Inc., 7.25%, 2/15/28(1) | 54,000 | 52,908 | ||||||
Pharmaceuticals — 0.6% | ||||||||
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 200,000 | 200,375 | ||||||
Retail REITs — 0.5% | ||||||||
Federal Realty Investment Trust, 2.75%, 6/1/23 | 115,000 | 115,000 | ||||||
NNN REIT, Inc., 4.30%, 10/15/28 | 60,000 | 56,293 | ||||||
171,293 | ||||||||
Semiconductors and Semiconductor Equipment† | ||||||||
NXP BV / NXP Funding LLC / NXP USA, Inc., 2.70%, 5/1/25 | 17,000 | 16,149 | ||||||
Specialized REITs — 0.3% | ||||||||
American Tower Corp., 5.25%, 7/15/28 | 32,000 | 31,971 | ||||||
Equinix, Inc., 2.90%, 11/18/26 | 75,000 | 69,195 | ||||||
Equinix, Inc., 1.80%, 7/15/27 | 13,000 | 11,286 | ||||||
112,452 | ||||||||
Specialty Retail — 0.1% | ||||||||
Advance Auto Parts, Inc., 5.90%, 3/9/26 | 18,000 | 18,248 | ||||||
Technology Hardware, Storage and Peripherals† | ||||||||
Seagate HDD Cayman, 8.25%, 12/15/29(1) | 11,000 | 11,259 | ||||||
Trading Companies and Distributors — 0.7% | ||||||||
Air Lease Corp., 2.875%, 1/15/26 | 60,000 | 55,818 | ||||||
Air Lease Corp., 5.30%, 2/1/28 | 135,000 | 133,508 | ||||||
Aircastle Ltd., 5.25%, 8/11/25(1) | 30,000 | 29,152 | ||||||
218,478 | ||||||||
TOTAL CORPORATE BONDS (Cost $11,754,470) | 11,707,419 | |||||||
U.S. TREASURY SECURITIES — 21.1% | ||||||||
U.S. Treasury Notes, 1.00%, 12/15/24(4) | 700,000 | 661,527 | ||||||
U.S. Treasury Notes, 3.875%, 4/30/25 | 2,600,000 | 2,571,867 | ||||||
U.S. Treasury Notes, 4.00%, 12/15/25 | 400,000 | 398,451 | ||||||
U.S. Treasury Notes, 4.625%, 3/15/26 | 1,200,000 | 1,217,156 | ||||||
U.S. Treasury Notes, 3.75%, 4/15/26 | 1,730,000 | 1,714,998 | ||||||
U.S. Treasury Notes, 2.00%, 11/15/26 | 370,000 | 346,637 | ||||||
U.S. Treasury Notes, 3.25%, 6/30/29 | 70,000 | 68,064 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $7,013,328) | 6,978,700 | |||||||
COLLATERALIZED LOAN OBLIGATIONS — 8.0% | ||||||||
AMMC CLO XI Ltd., Series 2012-11A, Class BR2, VRN, 6.90%, (3-month LIBOR plus 1.60%), 4/30/31(1) | 100,000 | 97,923 | ||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class AS, VRN, 6.69%, (1-month SOFR plus 1.63%), 2/15/35(1) | 91,780 | 91,885 | ||||||
Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A, VRN, 6.46%, (1-month LIBOR plus 1.35%), 11/15/36(1) | 100,000 | 98,074 | ||||||
BXMT Ltd., Series 2020-FL2, Class A, VRN, 6.08%, (1-month SOFR plus 1.01%), 2/15/38(1) | 76,649 | 73,093 | ||||||
BXMT Ltd., Series 2021-FL4, Class AS, VRN, 6.41%, (1-month LIBOR plus 1.30%), 5/15/38(1) | 250,000 | 238,934 | ||||||
CBAM Ltd., Series 2017-1A, Class B, VRN, 7.05%, (3-month LIBOR plus 1.80%), 7/20/30(1) | 100,000 | 97,719 | ||||||
CBAM Ltd., Series 2019-11RA, Class C, VRN, 7.50%, (3-month LIBOR plus 2.25%), 1/20/35(1) | 100,000 | 92,973 | ||||||
Cerberus Loan Funding XXXI LP, Series 2021-1A, Class A, VRN, 6.76%, (3-month LIBOR plus 1.50%), 4/15/32(1) | 79,852 | 79,317 |
Cerebus Loan Funding XXVII LP, Series 2019-2A, Class A2, 3.50%, 1/15/32(1) | 100,000 | 94,918 | ||||||
CIFC Funding Ltd., Series 2017-5A, Class B, VRN, 7.11%, (3-month LIBOR plus 1.85%), 11/16/30(1) | 100,000 | 96,464 | ||||||
Dryden 30 Senior Loan Fund, Series 2013-30A, Class CR, VRN, 7.02%, (3-month LIBOR plus 1.70%), 11/15/28(1) | 75,000 | 72,661 | ||||||
Dryden 72 CLO Ltd., Series 2019-72A, Class CR, VRN, 7.17%, (3-month LIBOR plus 1.85%), 5/15/32(1) | 150,000 | 142,861 | ||||||
GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class BR, VRN, 6.90%, (3-month LIBOR plus 1.65%), 7/20/31(1) | 100,000 | 98,698 | ||||||
Greystone CRE Notes Ltd., Series 2019-FL2, Class A, VRN, 6.29%, (1-month LIBOR plus 1.18%), 9/15/37(1) | 55,404 | 55,036 | ||||||
HGI CRE CLO Ltd., Series 2021-FL1, Class AS, VRN, 6.51%, (1-month LIBOR plus 1.40%), 6/16/36(1) | 125,000 | 120,636 | ||||||
KKR Static CLO I Ltd., Series 2022-1A, Class B, VRN, 7.65%, (3-month SOFR plus 2.60%), 7/20/31(1) | 100,000 | 99,201 | ||||||
KVK CLO Ltd., Series 2013-1A, Class DR, VRN, 8.20%, (3-month LIBOR plus 2.95%), 1/14/28(1) | 100,000 | 97,898 | ||||||
Marathon CLO Ltd., Series 2020-15A, Class A1S, VRN, 7.02%, (3-month LIBOR plus 1.70%), 11/15/31(1) | 75,000 | 74,658 | ||||||
Palmer Square Loan Funding Ltd., Series 2021-3A, Class B, VRN, 7.00%, (3-month LIBOR plus 1.75%), 7/20/29(1) | 125,000 | 121,450 | ||||||
Palmer Square Loan Funding Ltd., Series 2021-3A, Class C, VRN, 7.75%, (3-month LIBOR plus 2.50%), 7/20/29(1) | 75,000 | 71,941 | ||||||
Palmer Square Loan Funding Ltd., Series 2022-4A, Class B, VRN, 7.53%, (3-month SOFR plus 2.75%), 7/24/31(1) | 100,000 | 100,012 | ||||||
Ready Capital Mortgage Financing LLC, Series 2020-FL4, Class B, VRN, 8.99%, (1-month LIBOR plus 3.85%), 2/25/35(1) | 70,000 | 67,378 | ||||||
Ready Capital Mortgage Financing LLC, Series 2023-FL11, Class A, VRN, 7.47%, (1-month SOFR plus 2.37%), 10/25/39(1) | 100,000 | 100,136 | ||||||
Rockford Tower CLO Ltd., Series 2017-3A, Class A, VRN, 6.44%, (3-month LIBOR plus 1.19%), 10/20/30(1) | 95,375 | 94,546 | ||||||
Stewart Park CLO Ltd., Series 2015-1A, Class CR, VRN, 7.06%, (3-month LIBOR plus 1.80%), 1/15/30(1) | 75,000 | 71,213 | ||||||
Stratus CLO Ltd., Series 2021-2A, Class C, VRN, 7.15%, (3-month LIBOR plus 1.90%), 12/28/29(1) | 100,000 | 95,582 | ||||||
Symphony CLO XXII Ltd., Series 2020-22A, Class B, VRN, 6.96%, (3-month LIBOR plus 1.70%), 4/18/33(1) | 100,000 | 97,142 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $2,623,598) | 2,642,349 | |||||||
ASSET-BACKED SECURITIES — 7.8% | ||||||||
Aaset Trust, Series 2021-2A, Class B, 3.54%, 1/15/47(1) | 212,022 | 160,703 | ||||||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, SEQ, 1.94%, 8/15/46(1) | 150,000 | 132,361 | ||||||
Blackbird Capital Aircraft, Series 2021-1A, Class A, SEQ, 2.44%, 7/15/46(1) | 202,595 | 178,051 | ||||||
Brazos Education Loan Authority, Inc., Series 2012-1, Class A1, VRN, 5.84%, (1-month LIBOR plus 0.70%), 12/26/35 | 35,056 | 34,667 | ||||||
Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, SEQ, 2.74%, 8/15/41(1) | 58,714 | 53,565 | ||||||
Castlelake Aircraft Structured Trust, Series 2021-1A, Class A, SEQ, 3.47%, 1/15/46(1) | 143,274 | 131,642 | ||||||
Diamond Issuer, Series 2021-1A, Class A, SEQ, 2.31%, 11/20/51(1) | 165,000 | 142,862 | ||||||
FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.97%, 10/19/37(1) | 100,000 | 90,319 | ||||||
Flagship Credit Auto Trust, Series 2021-2, Class A, SEQ, 0.37%, 12/15/26(1) | 6,951 | 6,877 | ||||||
Flexential Issuer, Series 2021-1A, Class A2, SEQ, 3.25%, 11/27/51(1) | 100,000 | 88,788 | ||||||
Global SC Finance II SRL, Series 2014-1A, Class A2, SEQ, 3.09%, 7/17/29(1) | 58,034 | 56,408 | ||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B, 2.96%, 12/26/28(1) | 65,028 | 63,804 | ||||||
MAPS Ltd., Series 2018-1A, Class A, SEQ, 4.21%, 5/15/43(1) | 61,288 | 55,178 | ||||||
MAPS Trust, Series 2021-1A, Class A, SEQ, 2.52%, 6/15/46(1) | 184,303 | 161,166 | ||||||
MVW LLC, Series 2020-1A, Class C, 4.21%, 10/20/37(1) | 102,904 | 97,062 | ||||||
MVW Owner Trust, Series 2019-1A, Class C, 3.33%, 11/20/36(1) | 100,351 | 94,408 | ||||||
Nelnet Student Loan Trust, Series 2019-5, Class A, SEQ, 2.53%, 10/25/67(1) | 80,026 | 73,319 | ||||||
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, 10/20/61(1) | 100,000 | 84,138 | ||||||
Pioneer Aircraft Finance Ltd., Series 2019-1, Class A, SEQ, 3.97%, 6/15/44(1) | 185,921 | 161,858 | ||||||
Sabey Data Center Issuer LLC, Series 2020-1, Class A2, SEQ, 3.81%, 4/20/45(1) | 165,000 | 157,255 | ||||||
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, SEQ, 4.54%, 2/25/44(1) | 123,047 | 120,867 | ||||||
Start II Ltd., Series 2019-1, Class A, SEQ, 4.09%, 3/15/44(1) | 186,773 | 165,475 | ||||||
TAL Advantage VII LLC, Series 2020-1A, Class A, SEQ, 2.05%, 9/20/45(1) | 72,000 | 64,040 | ||||||
Vantage Data Centers LLC, Series 2019-1A, Class A2, SEQ, 3.19%, 7/15/44(1) | 134,750 | 129,915 | ||||||
Vantage Data Centers LLC, Series 2020-1A, Class A2, SEQ, 1.65%, 9/15/45(1) | 95,000 | 85,498 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost $2,502,083) | 2,590,226 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 4.3% | ||||||||
Private Sponsor Collateralized Mortgage Obligations — 2.6% | ||||||||
Angel Oak Mortgage Trust, Series 2020-5, Class A2, SEQ,VRN, 1.58%, 5/25/65(1) | 88,824 | 81,924 | ||||||
Bellemeade RE Ltd., Series 2018-1A, Class M2, VRN, 8.04%, (1-month LIBOR plus 2.90%), 4/25/28(1) | 52,054 | 52,296 |
Bellemeade RE Ltd., Series 2020-2A, Class M2, VRN, 11.14%, (1-month LIBOR plus 6.00%), 8/26/30(1) | 72,467 | 73,912 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2020-SPT1, Class A1, SEQ, 1.62%, 4/25/65(1) | 53,725 | 52,775 | ||||||
CSMC Trust, Series 2019-NQM1, Class A2, SEQ, 2.86%, 10/25/59(1) | 81,895 | 78,518 | ||||||
Ellington Financial Mortgage Trust, Series 2020-1, Class A1, VRN, 2.01%, 5/25/65(1) | 79,667 | 76,221 | ||||||
Residential Mortgage Loan Trust, Series 2020-1, Class A1, VRN, 2.38%, 1/26/60(1) | 80,011 | 75,807 | ||||||
Triangle Re Ltd., Series 2021-1, Class M2, VRN, 9.04%, (1-month LIBOR plus 3.90%), 8/25/33(1) | 115,055 | 115,799 | ||||||
Verus Securitization Trust, Series 2021-R2, Class A3, VRN, 1.23%, 2/25/64(1) | 54,560 | 47,536 | ||||||
Visio Trust, Series 2020-1, Class A2, SEQ,VRN, 2.50%, 8/25/55(1) | 110,000 | 99,862 | ||||||
Vista Point Securitization Trust, Series 2020-2, Class A1, VRN, 1.48%, 4/25/65(1) | 93,335 | 83,178 | ||||||
837,828 | ||||||||
U.S. Government Agency Collateralized Mortgage Obligations — 1.7% | ||||||||
FHLMC, Series 2021-HQA3, Class M1, VRN, 5.82%, (30-day average SOFR plus 0.85%), 9/25/41(1) | 81,470 | 78,974 | ||||||
FHLMC, Series 2022-DNA3, Class M1A, VRN, 6.97%, (30-day average SOFR plus 2.00%), 4/25/42(1) | 95,717 | 96,216 | ||||||
FHLMC, Series 2022-DNA5, Class M1A, VRN, 7.92%, (30-day average SOFR plus 2.95%), 6/25/42(1) | 85,700 | 87,159 | ||||||
FHLMC, Series 2022-DNA6, Class M1A, VRN, 7.12%, (30-day average SOFR plus 2.15%), 9/25/42(1) | 83,890 | 84,467 | ||||||
FNMA, Series 2014-C04, Class 2M2, VRN, 10.14%, (1-month LIBOR plus 5.00%), 11/25/24 | 8,700 | 8,770 | ||||||
FNMA, Series 2017-C02, Class 2ED3, VRN, 6.49%, (1-month LIBOR plus 1.35%), 9/25/29 | 65,695 | 65,781 | ||||||
FNMA, Series 2019-R07, Class 1M2, VRN, 7.24%, (1-month LIBOR plus 2.10%), 10/25/39(1) | 37,835 | 37,898 | ||||||
FNMA, Series 2022-RO4, Class 1M1, VRN, 6.97%, (30-day average SOFR plus 2.00%), 3/25/42(1) | 111,089 | 111,607 | ||||||
570,872 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,394,832) | 1,408,700 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6% | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, VRN, 3.60%, 4/14/33(1) | 100,000 | 90,864 | ||||||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class E, VRN, 7.11%, (1-month LIBOR plus 2.00%), 9/15/36(1) | 100,000 | 93,743 | ||||||
BX Commercial Mortgage Trust, Series 2023-VLT2, Class B, VRN, 8.19%, (1-month SOFR plus 3.13%), 6/15/40(1)(2) | 100,000 | 99,500 | ||||||
BX Trust, Series 2021-ARIA, Class G, VRN, 8.25%, (1-month LIBOR plus 3.14%), 10/15/36(1) | 50,000 | 46,322 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, VRN, 6.71%, (1-month LIBOR plus 1.60%), 5/15/36(1) | 99,752 | 98,557 | ||||||
CSMC Trust, Series 2021-BHAR, Class B, VRN, 6.61%, (1-month LIBOR plus 1.50%), 11/15/38(1) | 100,000 | 96,866 | ||||||
DBWF Mortgage Trust, Series 2018-GLKS, Class A, VRN, 6.26%, (1-month LIBOR plus 1.13%), 12/19/30(1) | 150,000 | 147,836 | ||||||
Extended Stay America Trust, Series 2021-ESH, Class E, VRN, 7.96%, (1-month LIBOR plus 2.85%), 7/15/38(1) | 97,377 | 94,445 | ||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class F, VRN, 3.96%, 12/10/36(1) | 100,000 | 92,704 | ||||||
Great Wolf Trust, Series 2019-WOLF, Class C, VRN, 6.81%, (1-month SOFR plus 1.75%), 12/15/36(1) | 70,000 | 68,535 | ||||||
Life Mortgage Trust, Series 2021-BMR, Class D, VRN, 6.57%, (1-month LIBOR plus 1.51%), 3/15/38(1) | 157,275 | 151,049 | ||||||
Med Trust, Series 2021-MDLN, Class F, VRN, 9.11%, (1-month LIBOR plus 4.00%), 11/15/38(1) | 99,522 | 93,347 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $1,160,723) | 1,173,768 | |||||||
BANK LOAN OBLIGATIONS(5) — 1.0% | ||||||||
Health Care Equipment and Supplies† | ||||||||
Avantor Funding, Inc., 2021 Term Loan B5, 7.50%, (1-month SOFR plus 2.25%), 11/8/27 | 4,853 | 4,844 | ||||||
Health Care Providers and Services — 0.2% | ||||||||
Surgery Center Holdings, Inc., 2021 Term Loan, 8.86%, (3-month LIBOR plus 3.75%), 8/31/26 | 66,540 | 66,177 | ||||||
Passenger Airlines — 0.4% | ||||||||
American Airlines, Inc., 2023 Term Loan B, 8.15%, (6-month SOFR plus 2.75%), 2/15/28 | 135,000 | 130,265 | ||||||
Pharmaceuticals — 0.4% | ||||||||
Jazz Financing Lux Sarl, USD Term Loan, 5/5/28(6) | 140,000 | 139,875 | ||||||
TOTAL BANK LOAN OBLIGATIONS (Cost $342,400) | 341,161 | |||||||
PREFERRED STOCKS — 0.4% | ||||||||
Industrial Conglomerates — 0.4% | ||||||||
General Electric Co., Series D, 8.20% (Cost $129,430) | 130,000 | 129,903 | ||||||
SOVEREIGN GOVERNMENTS AND AGENCIES — 0.4% | ||||||||
Saudi Arabia — 0.4% | ||||||||
Saudi Government International Bond, 4.75%, 1/18/28(1) (Cost $121,634) | 120,000 | 120,895 | ||||||
SHORT-TERM INVESTMENTS — 17.7% | ||||||||
Money Market Funds — 2.9% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 882,548 | 882,548 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(8) | 80,663 | 80,663 | ||||||
963,211 | ||||||||
Treasury Bills(7) — 14.8% | ||||||||
U.S. Treasury Bills, 4.74%, 4/18/24 | 5,100,000 | 4,874,600 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,857,219) | 5,837,811 | |||||||
TOTAL INVESTMENT SECURITIES — 99.8% (Cost $32,899,717) | 32,930,932 | |||||||
OTHER ASSETS AND LIABILITIES — 0.2% | 65,271 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 32,996,203 |
FUTURES CONTRACTS PURCHASED | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 2-Year Notes | 52 | September 2023 | $ | 10,703,063 | $ | 5,631 | ||||||||
U.S. Treasury 10-Year Notes | 3 | September 2023 | 343,406 | 3,486 | ||||||||||
$ | 11,046,469 | $ | 9,117 |
FUTURES CONTRACTS SOLD | ||||||||||||||
Reference Entity | Contracts | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation)^ | ||||||||||
U.S. Treasury 5-Year Notes | 5 | September 2023 | $ | 545,390 | $ | (2,182) | ||||||||
U.S. Treasury Long Bonds | 1 | September 2023 | 128,344 | (2,085) | ||||||||||
$ | 673,734 | $ | (4,267) |
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||
FHLMC | – | Federal Home Loan Mortgage Corporation | ||||||
FNMA | – | Federal National Mortgage Association | ||||||
LIBOR | – | London Interbank Offered Rate | ||||||
SEQ | – | Sequential Payer | ||||||
SOFR | – | Secured Overnight Financing Rate | ||||||
USD | – | United States Dollar | ||||||
VRN | – | Variable Rate Note. The rate adjusts periodically based upon the terms set forth in the security’s offering documents. The rate shown is effective at the period end and the reference rate and spread, if any, is indicated. The security's effective maturity date may be shorter than the final maturity date shown. |
Level 1 | Level 2 | Level 3 | |||||||||
Assets | |||||||||||
Investment Securities | |||||||||||
Corporate Bonds | — | $ | 11,707,419 | — | |||||||
U.S. Treasury Securities | — | 6,978,700 | — | ||||||||
Collateralized Loan Obligations | — | 2,642,349 | — | ||||||||
Asset-Backed Securities | — | 2,590,226 | — | ||||||||
Collateralized Mortgage Obligations | — | 1,408,700 | — | ||||||||
Commercial Mortgage-Backed Securities | — | 1,173,768 | — | ||||||||
Bank Loan Obligations | — | 341,161 | — | ||||||||
Preferred Stocks | — | 129,903 | — | ||||||||
Sovereign Governments and Agencies | — | 120,895 | — | ||||||||
Short-Term Investments | $ | 963,211 | 4,874,600 | — | |||||||
$ | 963,211 | $ | 31,967,721 | — | |||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 9,117 | — | — | |||||||
Liabilities | |||||||||||
Other Financial Instruments | |||||||||||
Futures Contracts | $ | 4,267 | — | — |