Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 97.5% | |||||
Asset-Backed Securities 19.8% | |||||
Collateralized Loan Obligations | |||||
AGL CLO Ltd. (Cayman Islands), Series 2021-14A, Class A, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.824 %(c) | 12/02/34 | 250 | $248,903 | |
Allegro CLO Ltd. (Cayman Islands), Series 2019-01A, Class AR, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.827(c) | 07/20/32 | 250 | 248,834 | |
Barings Euro CLO DAC (Ireland), Series 2019-01A, Class AR, 144A, 3 Month EURIBOR + 0.960% (Cap N/A, Floor 0.960%) | 4.925(c) | 04/15/36 | EUR | 250 | 263,894 |
Barrow Hanley CLO Ltd. (Cayman Islands), Series 2023-02A, Class A1, 144A, 3 Month SOFR + 2.050% (Cap N/A, Floor 2.050%) | 7.389(c) | 10/20/35 | 250 | 250,629 | |
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2015-06BR, Class A, 144A, 3 Month SOFR + 1.452% (Cap N/A, Floor 1.190%) | 6.867(c) | 07/20/34 | 250 | 247,943 | |
BlueMountain Fuji Eur CLO DAC (Ireland), Series 05A, Class B, 144A, 3 Month EURIBOR + 1.550% (Cap N/A, Floor 1.550%) | 5.515(c) | 01/15/33 | EUR | 250 | 261,926 |
Broad River BSL Funding CLO Ltd. (Cayman Islands), Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.847(c) | 07/20/34 | 250 | 249,250 | |
Carlyle US CLO Ltd. (Cayman Islands), Series 2017-01A, Class A1R, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%) | 6.677(c) | 04/20/31 | 227 | 227,108 | |
Greywolf CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month SOFR + 1.440% (Cap N/A, Floor 1.440%) | 6.856(c) | 10/20/31 | 250 | 249,306 | |
LCM Ltd. (Cayman Islands), Series 34A, Class A1, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.847(c) | 10/20/34 | 250 | 248,631 | |
Madison Park Funding Ltd. (Cayman Islands), Series 2021-38A, Class A, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.382%) | 6.784(c) | 07/17/34 | 290 | 288,650 | |
Mountain View CLO Ltd. (Cayman Islands), Series 2023-01A, Class B, 144A, 3 Month SOFR + 3.000% (Cap N/A, Floor 3.000%) | 8.430(c) | 09/14/36 | 250 | 249,232 | |
Neuberger Berman CLO Ltd. (Cayman Islands), Series 2017-16SA, Class AR, 144A, 3 Month SOFR + 1.302% (Cap N/A, Floor 1.040%) | 6.695(c) | 04/15/34 | 250 | 249,154 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Oaktree CLO Ltd. (Cayman Islands), Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.805 %(c) | 07/15/34 | 250 | $247,731 | |
OZLM Ltd. (Cayman Islands), Series 2014-09A, Class A1A3, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%) | 6.777(c) | 10/20/31 | 250 | 248,760 | |
PPM CLO Ltd. (Cayman Islands), Series 2021-05A, Class A, 144A, 3 Month SOFR + 1.462% (Cap N/A, Floor 1.200%) | 6.857(c) | 10/18/34 | 250 | 248,097 | |
Romark WM-R Ltd. (Cayman Islands), Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%) | 6.707(c) | 04/20/31 | 234 | 233,252 | |
Signal Peak CLO Ltd. (Cayman Islands), Series 2020-08A, Class A, 144A, 3 Month SOFR + 1.532% (Cap N/A, Floor 1.270%) | 6.947(c) | 04/20/33 | 250 | 249,344 | |
Sound Point CLO Ltd. (Cayman Islands), Series 2019-01A, Class AR, 144A, 3 Month SOFR + 1.342% (Cap N/A, Floor 1.080%) | 6.757(c) | 01/20/32 | 250 | 248,020 | |
Trinitas CLO Ltd. (Cayman Islands), Series 2022-20A, Class A1, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 6.946(c) | 07/20/35 | 250 | 247,469 | |
Venture CLO Ltd. (Cayman Islands), Series 2019-36A, Class A1AR, 144A, 3 Month SOFR + 1.392% (Cap N/A, Floor 1.130%) | 6.807(c) | 04/20/32 | 250 | 247,926 | |
Total Asset-Backed Securities (cost $5,237,532) | 5,254,059 | ||||
Commercial Mortgage-Backed Securities 14.5% | |||||
BANK, Series 2023-BNK46, Class A21 | 6.950(cc) | 08/15/56 | 200 | 204,925 | |
Barclays Commercial Mortgage Securities Trust, Series 2023-5C23, Class A3 | 6.675(cc) | 12/15/56 | 200 | 207,614 | |
Benchmark Mortgage Trust, | |||||
Series 2019-B15, Class A4 | 2.673 | 12/15/72 | 300 | 249,300 | |
Series 2022-B33, Class A1 | 2.306 | 03/15/55 | 388 | 364,404 | |
BMO Mortgage Trust, | |||||
Series 2023-5C01, Class A3 | 6.534(cc) | 08/15/56 | 150 | 154,004 | |
Series 2023-C06, Class A2 | 6.869(cc) | 09/15/56 | 200 | 204,557 | |
Series 2023-C06, Class XB, IO | 0.348(cc) | 09/15/56 | 6,200 | 97,335 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
CENT Trust, Series 2023-CITY, Class A, 144A, 1 Month SOFR + 2.620% (Cap N/A, Floor 2.620%) | 7.943 %(c) | 09/15/28 | 50 | $50,250 | |
CGMS Commercial Mortgage Trust, Series 2017-B01, Class A3 | 3.197 | 08/15/50 | 194 | 177,259 | |
Commercial Mortgage Trust, | |||||
Series 2015-DC01, Class A5 | 3.350 | 02/10/48 | 250 | 240,659 | |
Series 2016-COR01, Class A4 | 3.091 | 10/10/49 | 250 | 228,116 | |
GS Mortgage Securities Trust, | |||||
Series 2014-GC22, Class A4 | 3.587 | 06/10/47 | 220 | 216,778 | |
Series 2019-GC40, Class A2 | 2.971 | 07/10/52 | 250 | 245,029 | |
JPMCC Commercial Mortgage Securities Trust, Series 2019-COR04, Class A5 | 4.029 | 03/10/52 | 250 | 223,871 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 | 3.249 | 02/15/48 | 300 | 289,608 | |
Morgan Stanley Capital I Trust, Series 2015-UBS08, Class A4 | 3.809 | 12/15/48 | 250 | 238,013 | |
UBS Commercial Mortgage Trust, Series 2017-C04, Class A3 | 3.301 | 10/15/50 | 273 | 250,867 | |
Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A1 | 1.341 | 06/15/53 | 202 | 199,730 | |
Total Commercial Mortgage-Backed Securities (cost $3,828,477) | 3,842,319 | ||||
Corporate Bonds 32.8% | |||||
Aerospace & Defense 0.9% | |||||
Boeing Co. (The), Sr. Unsec’d. Notes | 2.196 | 02/04/26 | 150 | 140,168 | |
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 109 | 109,000 | |
249,168 | |||||
Agriculture 0.4% | |||||
BAT Capital Corp. (United Kingdom), Gtd. Notes | 2.259 | 03/25/28 | 115 | 100,588 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Airlines 0.3% | |||||
Delta Air Lines, Inc./SkyMiles IP Ltd., Sr. Sec’d. Notes, 144A | 4.750 % | 10/20/28 | 75 | $72,039 | |
United Airlines, Inc., Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 25 | 23,767 | |
95,806 | |||||
Apparel 0.1% | |||||
Hanesbrands, Inc., Gtd. Notes, 144A | 4.875 | 05/15/26 | 25 | 23,537 | |
Auto Manufacturers 1.7% | |||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 6.800 | 05/12/28 | 200 | 203,589 | |
General Motors Financial Co., Inc., Sr. Unsec’d. Notes | 1.250 | 01/08/26 | 180 | 163,993 | |
Hyundai Capital America, Sr. Unsec’d. Notes, 144A | 5.950 | 09/21/26 | 80 | 80,386 | |
447,968 | |||||
Auto Parts & Equipment 0.1% | |||||
Dana, Inc., Sr. Unsec’d. Notes | 5.625 | 06/15/28 | 25 | 23,810 | |
Banks 9.3% | |||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.202(ff) | 04/25/29 | 315 | 310,132 | |
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 5.829(ff) | 05/09/27 | 200 | 198,598 | |
Citigroup, Inc., Sub. Notes | 4.450 | 09/29/27 | 195 | 186,724 | |
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes | 7.146(ff) | 07/13/27 | 150 | 153,005 | |
Fifth Third Bancorp, Sr. Unsec’d. Notes | 6.339(ff) | 07/27/29 | 20 | 20,214 | |
Goldman Sachs Group, Inc. (The), | |||||
Sr. Unsec’d. Notes | 1.542(ff) | 09/10/27 | 140 | 124,787 | |
Sr. Unsec’d. Notes | 5.798(ff) | 08/10/26 | 180 | 180,214 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks (cont’d.) | |||||
Huntington Bancshares, Inc., Sr. Unsec’d. Notes | 6.208 %(ff) | 08/21/29 | 10 | $10,003 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 5.299(ff) | 07/24/29 | 500 | 498,546 | |
KeyCorp, Sr. Unsec’d. Notes, MTN | 2.550 | 10/01/29 | 20 | 16,080 | |
Morgan Stanley, Sr. Unsec’d. Notes | 5.449(ff) | 07/20/29 | 300 | 298,650 | |
PNC Financial Services Group, Inc. (The), | |||||
Sr. Unsec’d. Notes | 5.812(ff) | 06/12/26 | 85 | 84,938 | |
Sr. Unsec’d. Notes | 6.615(ff) | 10/20/27 | 20 | 20,464 | |
Truist Financial Corp., Sr. Unsec’d. Notes, MTN | 6.047(ff) | 06/08/27 | 125 | 125,154 | |
Wells Fargo & Co., Sr. Unsec’d. Notes, MTN | 5.574(ff) | 07/25/29 | 250 | 249,762 | |
2,477,271 | |||||
Building Materials 0.2% | |||||
JELD-WEN, Inc., Gtd. Notes, 144A | 4.875 | 12/15/27 | 25 | 23,064 | |
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 4.750 | 01/15/28 | 25 | 23,503 | |
46,567 | |||||
Commercial Services 0.3% | |||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., | |||||
Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 25 | 24,305 | |
Sr. Unsec’d. Notes, 144A | 9.750 | 07/15/27 | 50 | 46,006 | |
Brink’s Co. (The), Gtd. Notes, 144A | 4.625 | 10/15/27 | 25 | 23,490 | |
93,801 | |||||
Computers 0.3% | |||||
Leidos, Inc., Gtd. Notes | 3.625 | 05/15/25 | 80 | 77,506 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Distribution/Wholesale 0.2% | |||||
H&E Equipment Services, Inc., Gtd. Notes, 144A | 3.875 % | 12/15/28 | 50 | $44,307 | |
Diversified Financial Services 0.9% | |||||
American Express Co., Sr. Unsec’d. Notes | 6.338(ff) | 10/30/26 | 65 | 65,914 | |
Capital One Financial Corp., Sr. Unsec’d. Notes | 7.149(ff) | 10/29/27 | 40 | 40,715 | |
Jefferies Financial Group, Inc., Sr. Unsec’d. Notes | 5.875 | 07/21/28 | 85 | 84,676 | |
Nationstar Mortgage Holdings, Inc., Gtd. Notes, 144A | 6.000 | 01/15/27 | 25 | 24,336 | |
OneMain Finance Corp., Gtd. Notes | 3.875 | 09/15/28 | 25 | 21,473 | |
237,114 | |||||
Electric 2.3% | |||||
American Electric Power Co., Inc., Jr. Sub. Notes | 5.699 | 08/15/25 | 75 | 75,071 | |
Calpine Corp., Sr. Unsec’d. Notes, 144A | 4.625 | 02/01/29 | 50 | 45,332 | |
NextEra Energy Capital Holdings, Inc., Gtd. Notes | 5.749 | 09/01/25 | 130 | 130,082 | |
NRG Energy, Inc., Gtd. Notes | 5.750 | 01/15/28 | 50 | 48,828 | |
Pennsylvania Electric Co., Sr. Unsec’d. Notes, 144A | 5.150 | 03/30/26 | 60 | 59,352 | |
Southern California Edison Co., First Mortgage | 4.900 | 06/01/26 | 125 | 124,026 | |
Vistra Corp., Jr. Sub. Notes, 144A | 8.000(ff) | 10/15/26(oo) | 50 | 48,854 | |
Vistra Operations Co. LLC, | |||||
Gtd. Notes, 144A | 4.375 | 05/01/29 | 25 | 22,610 | |
Gtd. Notes, 144A | 5.000 | 07/31/27 | 50 | 47,629 | |
601,784 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Engineering & Construction 1.0% | |||||
Jacobs Engineering Group, Inc., Gtd. Notes | 6.350 % | 08/18/28 | 65 | $66,272 | |
Mexico City Airport Trust (Mexico), Sr. Sec’d. Notes, 144A | 4.250 | 10/31/26 | 200 | 190,278 | |
256,550 | |||||
Entertainment 0.9% | |||||
Caesars Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 4.625 | 10/15/29 | 75 | 65,891 | |
Penn Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 5.625 | 01/15/27 | 25 | 23,799 | |
Warnermedia Holdings, Inc., Gtd. Notes | 3.755 | 03/15/27 | 160 | 150,961 | |
240,651 | |||||
Foods 0.7% | |||||
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC, Gtd. Notes, 144A | 6.500 | 02/15/28 | 25 | 25,099 | |
B&G Foods, Inc., | |||||
Gtd. Notes | 5.250 | 04/01/25 | 7 | 6,881 | |
Gtd. Notes | 5.250 | 09/15/27 | 25 | 21,770 | |
Bellis Finco PLC (United Kingdom), Gtd. Notes | 4.000 | 02/16/27 | GBP | 100 | 106,275 |
Chobani LLC/Chobani Finance Corp., Inc., Gtd. Notes, 144A | 7.500 | 04/15/25 | 25 | 24,912 | |
184,937 | |||||
Gas 0.1% | |||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.875 | 08/20/26 | 25 | 24,351 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Healthcare-Services 0.2% | |||||
Legacy LifePoint Health LLC, Sr. Sec’d. Notes, 144A | 4.375 % | 02/15/27 | 50 | $43,779 | |
Tenet Healthcare Corp., Gtd. Notes | 6.125 | 10/01/28 | 25 | 24,227 | |
68,006 | |||||
Home Builders 0.6% | |||||
Beazer Homes USA, Inc., Gtd. Notes | 7.250 | 10/15/29 | 25 | 24,179 | |
Empire Communities Corp. (Canada), Sr. Unsec’d. Notes, 144A | 7.000 | 12/15/25 | 50 | 47,750 | |
M/I Homes, Inc., Gtd. Notes | 4.950 | 02/01/28 | 25 | 23,748 | |
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A | 5.250 | 12/15/27 | 25 | 23,375 | |
Taylor Morrison Communities, Inc., Gtd. Notes, 144A | 5.875 | 06/15/27 | 25 | 24,589 | |
Tri Pointe Homes, Inc., Gtd. Notes | 5.250 | 06/01/27 | 25 | 24,059 | |
167,700 | |||||
Leisure Time 0.3% | |||||
NCL Corp. Ltd., Gtd. Notes, 144A | 5.875 | 03/15/26 | 50 | 47,375 | |
Viking Cruises Ltd., Gtd. Notes, 144A | 5.875 | 09/15/27 | 25 | 23,563 | |
70,938 | |||||
Lodging 0.7% | |||||
Hyatt Hotels Corp., Sr. Unsec’d. Notes | 5.750 | 01/30/27 | 75 | 75,938 | |
Marriott International, Inc., Sr. Unsec’d. Notes | 5.450 | 09/15/26 | 30 | 30,188 | |
MGM Resorts International, Gtd. Notes | 6.750 | 05/01/25 | 75 | 75,267 | |
181,393 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Machinery-Diversified 0.2% | |||||
Nordson Corp., Sr. Unsec’d. Notes | 5.600 % | 09/15/28 | 10 | $10,219 | |
Otis Worldwide Corp., Sr. Unsec’d. Notes | 5.250 | 08/16/28 | 35 | 35,174 | |
45,393 | |||||
Media 0.9% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125 | 05/01/27 | 50 | 47,577 | |
Cox Communications, Inc., Sr. Unsec’d. Notes, 144A | 3.350 | 09/15/26 | 80 | 75,743 | |
DISH DBS Corp., Gtd. Notes | 7.750 | 07/01/26 | 25 | 14,901 | |
DISH Network Corp., Sr. Sec’d. Notes, 144A | 11.750 | 11/15/27 | 25 | 24,825 | |
Gray Television, Inc., Gtd. Notes, 144A | 5.875 | 07/15/26 | 25 | 23,605 | |
Univision Communications, Inc., Sr. Sec’d. Notes, 144A | 6.625 | 06/01/27 | 50 | 49,276 | |
235,927 | |||||
Mining 0.1% | |||||
Novelis Corp., Gtd. Notes, 144A | 3.250 | 11/15/26 | 25 | 22,954 | |
Oil & Gas 2.5% | |||||
Aker BP ASA (Norway), Sr. Unsec’d. Notes, 144A | 5.600 | 06/13/28 | 150 | 149,913 | |
BP Capital Markets PLC (United Kingdom), Gtd. Notes | 4.375(ff) | 06/22/25(oo) | 75 | 72,187 | |
Chesapeake Energy Corp., Gtd. Notes, 144A | 5.500 | 02/01/26 | 25 | 24,603 | |
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 5.750 | 01/30/28 | 25 | 24,528 | |
Energian Israel Finance Ltd. (Israel), | |||||
Sr. Sec’d. Notes, 144A | 4.875 | 03/30/26 | 30 | 27,408 | |
Sr. Sec’d. Notes, 144A | 5.375 | 03/30/28 | 26 | 22,596 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 5.875 % | 02/01/29 | 25 | $23,875 | |
Ovintiv, Inc., Gtd. Notes | 5.650 | 05/15/28 | 90 | 89,777 | |
Parkland Corp. (Canada), Gtd. Notes, 144A | 5.875 | 07/15/27 | 50 | 48,900 | |
Petroleos Mexicanos (Mexico), | |||||
Gtd. Notes | 3.625 | 11/24/25 | EUR | 100 | 99,326 |
Gtd. Notes, EMTN | 4.875 | 02/21/28 | EUR | 100 | 89,801 |
672,914 | |||||
Packaging & Containers 0.4% | |||||
Berry Global, Inc., Sr. Sec’d. Notes, 144A | 5.500 | 04/15/28 | 60 | 59,125 | |
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., Sr. Sec’d. Notes, 144A | 4.375 | 10/15/28 | 25 | 22,759 | |
Sealed Air Corp./Sealed Air Corp. US, Gtd. Notes, 144A | 6.125 | 02/01/28 | 25 | 24,718 | |
106,602 | |||||
Pipelines 3.0% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 5.750 | 01/15/28 | 50 | 48,427 | |
Columbia Pipelines Operating Co. LLC, Sr. Unsec’d. Notes, 144A | 5.927 | 08/15/30 | 15 | 15,068 | |
Energy Transfer LP, | |||||
Jr. Sub. Notes, Series G | 7.125(ff) | 05/15/30(oo) | 70 | 62,050 | |
Sr. Unsec’d. Notes | 6.100 | 12/01/28 | 40 | 40,958 | |
MPLX LP, Sr. Unsec’d. Notes | 1.750 | 03/01/26 | 160 | 147,517 | |
ONEOK, Inc., | |||||
Gtd. Notes | 4.550 | 07/15/28 | 100 | 96,130 | |
Gtd. Notes | 5.650 | 11/01/28 | 35 | 35,258 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes, 144A | 7.500 | 10/01/25 | 25 | 25,199 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pipelines (cont’d.) | |||||
Targa Resources Corp., Gtd. Notes | 5.200 % | 07/01/27 | 125 | $124,133 | |
Western Midstream Operating LP, Sr. Unsec’d. Notes | 4.650 | 07/01/26 | 130 | 126,429 | |
Williams Cos., Inc. (The), Sr. Unsec’d. Notes | 5.400 | 03/02/26 | 70 | 69,974 | |
791,143 | |||||
Real Estate Investment Trusts (REITs) 2.2% | |||||
American Tower Corp., Sr. Unsec’d. Notes | 3.600 | 01/15/28 | 70 | 65,138 | |
Brixmor Operating Partnership LP, Sr. Unsec’d. Notes | 3.900 | 03/15/27 | 95 | 89,056 | |
Crown Castle, Inc., Sr. Unsec’d. Notes | 4.800 | 09/01/28 | 90 | 87,029 | |
Diversified Healthcare Trust, Gtd. Notes | 9.750 | 06/15/25 | 25 | 24,807 | |
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 5.250 | 06/01/25 | 65 | 63,913 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Sec’d. Notes, 144A | 7.500 | 06/01/25 | 25 | 25,151 | |
Public Storage Operating Co., Gtd. Notes | 5.125 | 01/15/29 | 65 | 65,491 | |
Realty Income Corp., Sr. Unsec’d. Notes | 4.700 | 12/15/28 | 75 | 73,084 | |
Starwood Property Trust, Inc., Sr. Unsec’d. Notes, 144A | 3.625 | 07/15/26 | 25 | 23,152 | |
Sun Communities Operating LP, Gtd. Notes | 2.300 | 11/01/28 | 75 | 63,917 | |
580,738 | |||||
Retail 0.7% | |||||
1011778 BC ULC/New Red Finance, Inc. (Canada), Sr. Sec’d. Notes, 144A | 3.875 | 01/15/28 | 25 | 23,012 | |
eG Global Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 11.000 | 11/30/28 | EUR | 100 | 111,604 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Retail (cont’d.) | |||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625 % | 12/01/25 | 25 | $24,616 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 5.875 | 03/01/27 | 25 | 24,866 | |
184,098 | |||||
Software 0.2% | |||||
Fiserv, Inc., Sr. Unsec’d. Notes | 5.375 | 08/21/28 | 60 | 60,484 | |
Telecommunications 0.8% | |||||
T-Mobile USA, Inc., Gtd. Notes | 3.750 | 04/15/27 | 115 | 109,696 | |
Vmed O2 UK Financing I PLC (United Kingdom), Sr. Sec’d. Notes | 4.000 | 01/31/29 | GBP | 100 | 107,259 |
216,955 | |||||
Trucking & Leasing 0.3% | |||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A | 5.750 | 05/24/26 | 75 | 74,697 | |
Total Corporate Bonds (cost $8,721,434) | 8,705,658 | ||||
Residential Mortgage-Backed Securities 1.9% | |||||
Connecticut Avenue Securities Trust, | |||||
Series 2022-R04, Class 1M2, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 8.428(c) | 03/25/42 | 100 | 102,889 | |
Series 2022-R07, Class 1B1, 144A, 30 Day Average SOFR + 6.800% (Cap N/A, Floor 0.000%) | 12.129(c) | 06/25/42 | 100 | 110,788 | |
Series 2023-R01, Class 1M1, 144A, 30 Day Average SOFR + 2.400% (Cap N/A, Floor 0.000%) | 7.729(c) | 12/25/42 | 87 | 88,331 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA02, Class M2, 144A, 30 Day Average SOFR + 2.300% (Cap N/A, Floor 0.000%) | 7.628 %(c) | 08/25/33 | 89 | $89,914 | |
FHLMC Structured Agency Credit Risk REMIC Trust, Series 2022-DNA02, Class M1B, 144A, 30 Day Average SOFR + 2.400% (Cap N/A, Floor 0.000%) | 7.728(c) | 02/25/42 | 100 | 100,816 | |
Total Residential Mortgage-Backed Securities (cost $489,855) | 492,738 | ||||
Sovereign Bonds 0.8% | |||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN | 5.000 | 09/27/26 | EUR | 100 | 109,735 |
Serbia International Bond (Serbia), Sr. Unsec’d. Notes | 3.125 | 05/15/27 | EUR | 100 | 100,414 |
Total Sovereign Bonds (cost $216,434) | 210,149 | ||||
U.S. Government Agency Obligations 9.7% | |||||
Federal Home Loan Mortgage Corp. | 3.000 | 07/01/46 | 87 | 76,465 | |
Federal Home Loan Mortgage Corp. | 3.000 | 02/01/52 | 109 | 92,514 | |
Federal Home Loan Mortgage Corp. | 3.500 | 10/01/45 | 224 | 203,337 | |
Federal Home Loan Mortgage Corp. | 3.500 | 09/01/46 | 491 | 446,350 | |
Federal Home Loan Mortgage Corp. | 5.500 | 12/01/52 | 74 | 72,950 | |
Federal National Mortgage Assoc. | 2.000 | 11/01/50 | 189 | 148,329 | |
Federal National Mortgage Assoc. | 2.500 | 09/01/50 | 185 | 150,957 | |
Federal National Mortgage Assoc. | 2.500 | 06/01/51 | 202 | 163,372 | |
Federal National Mortgage Assoc. | 3.000 | 10/01/44 | 264 | 232,966 | |
Federal National Mortgage Assoc. | 4.000 | 06/01/52 | 270 | 245,048 | |
Federal National Mortgage Assoc. | 5.500 | TBA | 250 | 246,365 | |
Federal National Mortgage Assoc. | 6.000 | TBA | 500 | 501,251 | |
Total U.S. Government Agency Obligations (cost $2,547,684) | 2,579,904 | ||||
U.S. Treasury Obligations 18.0% | |||||
U.S. Treasury Notes | 1.250 | 12/31/26 | 720 | 655,200 | |
U.S. Treasury Notes | 4.125 | 01/31/25 | 2,155 | 2,131,009 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
U.S. Treasury Obligations (Continued) | |||||
U.S. Treasury Notes | 4.625 % | 06/30/25 | 2,010 | $2,002,305 | |
Total U.S. Treasury Obligations (cost $4,788,163) | 4,788,514 | ||||
Total Long-Term Investments (cost $25,829,579) | 25,873,341 |
Shares | |||||
Short-Term Investment 4.3% | |||||
Affiliated Mutual Fund | |||||
PGIM Core Government Money Market Fund (cost $1,142,228)(wb) | 1,142,228 | 1,142,228 | |||
TOTAL INVESTMENTS 101.8% (cost $26,971,807) | 27,015,569 | ||||
Liabilities in excess of other assets(z) (1.8)% | (467,008) | ||||
Net Assets 100.0% | $26,548,561 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
CDX—Credit Derivative Index | |
CLO—Collateralized Loan Obligation | |
DAC—Designated Activity Company | |
EMTN—Euro Medium Term Note | |
EURIBOR—Euro Interbank Offered Rate | |
IO—Interest Only (Principal amount represents notional) | |
LP—Limited Partnership | |
MTN—Medium Term Note | |
REITs—Real Estate Investment Trust | |
REMIC—Real Estate Mortgage Investment Conduit | |
SOFR—Secured Overnight Financing Rate | |
TBA—To Be Announced |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at November 30, 2023. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of November 30, 2023. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(oo) | Perpetual security. Maturity date represents next call date. |
(wb) | Represents an investment in a Fund affiliated with the Manager. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at November 30, 2023: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
2 | 3 Month SOFR | Dec. 2023 | $473,238 | $123 | ||||
18 | 3 Month SOFR | Mar. 2024 | 4,258,012 | 216 | ||||
2 | 3 Month SOFR | Jun. 2024 | 474,100 | 844 | ||||
2 | 3 Month SOFR | Sep. 2024 | 475,650 | 1,476 | ||||
73 | 2 Year U.S. Treasury Notes | Mar. 2024 | 14,925,648 | 46,056 | ||||
1 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2024 | 123,000 | 1,038 | ||||
49,753 | ||||||||
Short Positions: | ||||||||
3 | 5 Year Euro-Bobl | Dec. 2023 | 383,696 | (484) | ||||
52 | 5 Year U.S. Treasury Notes | Mar. 2024 | 5,556,281 | (34,496) | ||||
1 | 10 Year U.K. Gilt | Mar. 2024 | 122,054 | 728 | ||||
3 | 10 Year U.S. Treasury Notes | Mar. 2024 | 329,391 | 131 | ||||
5 | 10 Year U.S. Ultra Treasury Notes | Mar. 2024 | 567,578 | (4,382) | ||||
3 | 20 Year U.S. Treasury Bonds | Mar. 2024 | 349,313 | (3,840) | ||||
1 | Euro Schatz Index | Dec. 2023 | 114,712 | 106 | ||||
(42,237) | ||||||||
$7,516 | ||||||||
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 12/04/23 | HSBC | GBP | 159 | $200,001 | $200,614 | $613 | $— | ||||||
Euro, | |||||||||||||
Expiring 12/04/23 | BARC | EUR | 91 | 97,287 | 99,149 | 1,862 | — | ||||||
Expiring 12/04/23 | JPM | EUR | 1,018 | 1,112,673 | 1,108,271 | — | (4,402) | ||||||
$1,409,961 | $1,408,034 | 2,475 | (4,402) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 12/04/23 | MSI | GBP | 159 | $192,714 | $200,614 | $— | $(7,900) | ||||||
Expiring 01/12/24 | HSBC | GBP | 159 | 200,071 | 200,684 | — | (613) | ||||||
Euro, | |||||||||||||
Expiring 12/04/23 | BARC | EUR | 78 | 85,132 | 85,329 | — | (197) | ||||||
Expiring 12/04/23 | BNYM | EUR | 1,031 | 1,091,223 | 1,122,092 | — | (30,869) | ||||||
Expiring 01/12/24 | JPM | EUR | 1,018 | 1,114,736 | 1,110,308 | 4,428 | — | ||||||
$2,683,876 | $2,719,027 | 4,428 | (39,579) | ||||||||||
$6,903 | $(43,981) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at November 30, 2023(4) | Value at Trade Date | Value at November 30, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Sell Protection(2): | |||||||||||||||
CDX.NA.HY.41.V2 | 12/20/28 | 5.000%(Q) | 663 | 4.029% | $15,749 | $32,385 | $16,636 |
(1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at November 30, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
4,305 | 08/31/24 | 5.384%(T) | 1 Day SOFR(2)(T)/ 5.330% | $— | $2,649 | $2,649 | ||||||||
2,220 | 08/31/25 | 4.805%(A) | 1 Day SOFR(1)(A)/ 5.330% | — | (1,315) | (1,315) | ||||||||
180 | 09/25/26 | 4.699%(A) | 1 Day SOFR(1)(A)/ 5.330% | 31 | (1,740) | (1,771) | ||||||||
$31 | $(406) | $(437) |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |