| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Long-Term Investments 104.3% | |||||
| Asset-Backed Securities 25.0% | |||||
| Automobiles 0.3% | |||||
| Avis Budget Rental Car Funding AESOP LLC, Series 2024-01A, Class A, 144A | 5.360 % | 06/20/30 | 200 | $198,401 | |
| Ford Credit Auto Owner Trust, Series 2023-01, Class C, 144A | 5.580 | 08/15/35 | 100 | 99,105 | |
| Hertz Vehicle Financing III LLC, Series 2023-01A, Class B, 144A | 6.220 | 06/25/27 | 100 | 99,463 | |
| OneMain Direct Auto Receivables Trust, | |||||
| Series 2023-01A, Class B, 144A | 5.810 | 02/14/31 | 200 | 199,575 | |
| Series 2023-01A, Class C, 144A | 6.140 | 02/14/31 | 100 | 99,502 | |
| 696,046 | |||||
| Collateralized Loan Obligations 23.7% | |||||
| AGL CLO Ltd. (Cayman Islands), Series 2021-14A, Class A, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.736(c) | 12/02/34 | 1,000 | 1,001,549 | |
| AlbaCore Euro CLO (Ireland), Series 04A, Class B1, 144A, 3 Month EURIBOR + 2.600% (Cap N/A, Floor 2.600%) | 6.506(c) | 07/15/35 | EUR | 500 | 546,240 |
| AlbaCore Euro CLO DAC (Ireland), Series 02A, Class A1, 144A, 3 Month EURIBOR + 0.830% (Cap N/A, Floor 0.830%) | 4.770(c) | 06/15/34 | EUR | 750 | 807,659 |
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2022-25A, Class A1, 144A, 3 Month SOFR + 1.390% (Cap N/A, Floor 1.390%) | 6.715(c) | 04/20/35 | 500 | 501,037 | |
| Apidos CLO Ltd. (United Kingdom), Series 2023-44A, Class A1, 144A, 3 Month SOFR + 2.000% (Cap N/A, Floor 2.000%) | 7.324(c) | 04/26/35 | 750 | 752,946 | |
| Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2019-14A, Class AR, 144A, 3 Month SOFR + 1.422% (Cap N/A, Floor 1.160%) | 6.746(c) | 07/20/32 | 495 | 495,934 | |
| Atlas Senior Loan Fund Ltd. (United Kingdom), Series 2024-23A, Class B, 144A | —(p) | 07/20/37 | 1,500 | 1,500,000 | |
| Aurium CLO DAC (Ireland), Series 02A, Class A1RR, 144A, 3 Month EURIBOR + 0.930% (Cap N/A, Floor 0.930%) | 4.852(c) | 06/22/34 | EUR | 1,750 | 1,894,098 |
| Avoca Capital CLO Ltd. (Ireland), Series 10A, Class B1, 144A, 3 Month EURIBOR + 1.350% (Cap N/A, Floor 1.350%) | 5.256(c) | 04/15/35 | EUR | 250 | 266,347 |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Bain Capital Credit CLO Ltd. (Cayman Islands), Series 2022-01A, Class A1, 144A, 3 Month SOFR + 1.320% (Cap N/A, Floor 1.320%) | 6.647 %(c) | 04/18/35 | 250 | $250,188 | |
| Balboa Bay Loan Funding Ltd. (Cayman Islands), Series 2021-02A, Class A1, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.756(c) | 01/20/35 | 500 | 501,561 | |
| Ballyrock CLO Ltd. (Cayman Islands), Series 2020-02A, Class A1R, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 1.010%) | 6.596(c) | 10/20/31 | 238 | 238,831 | |
| Barings CLO Ltd. (Cayman Islands), Series 2020-02A, Class AR, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 1.010%) | 6.600(c) | 10/15/33 | 238 | 238,482 | |
| Barrow Hanley CLO Ltd. (Cayman Islands), Series 2024-03A, Class A1, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%) | 6.944(c) | 04/20/37 | 2,000 | 2,020,317 | |
| Battalion CLO Ltd. (Cayman Islands), | |||||
| Series 2016-10A, Class A1R2, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.755(c) | 01/25/35 | 750 | 751,125 | |
| Series 2018-12A, Class A1, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 1.070%) | 6.661(c) | 05/17/31 | 429 | 429,600 | |
| Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2018-16A, Class A1R, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 1.030%) | 6.609(c) | 01/17/32 | 485 | 485,715 | |
| BlueMountain CLO Ltd. (Cayman Islands), Series 2021-31A, Class A1, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.738(c) | 04/19/34 | 1,000 | 1,001,500 | |
| Canyon Capital CLO Ltd. (Cayman Islands), Series 2022-01A, Class A, 144A, 3 Month SOFR + 1.330% (Cap N/A, Floor 1.330%) | 6.658(c) | 04/15/35 | 292 | 292,146 | |
| Carlyle CLO Ltd. (Cayman Islands), Series C17A, Class A1AR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%) | 6.621(c) | 04/30/31 | 199 | 199,236 | |
| Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-01A, Class A1R2, 144A, 3 Month SOFR + 1.232% (Cap N/A, Floor 0.970%) | 6.549(c) | 04/17/31 | 176 | 175,991 | |
| Carlyle US CLO Ltd. (Cayman Islands), Series 2021-11A, Class A, 144A, 3 Month SOFR + 1.357% (Cap N/A, Floor 1.095%) | 6.680(c) | 01/25/33 | 500 | 501,067 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| CarVal CLO Ltd. (United Kingdom), Series 2023-01A, Class A1, 144A, 3 Month SOFR + 2.200% (Cap N/A, Floor 2.200%) | 7.525 %(c) | 01/20/35 | 500 | $501,371 | |
| Clover CLO LLC, Series 2018-01A, Class A1RR, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 6.854(c) | 04/20/37 | 1,000 | 1,000,882 | |
| Clover CLO Ltd. (Cayman Islands), Series 2019-02A, Class AR, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.362%) | 6.685(c) | 10/25/33 | 750 | 750,750 | |
| Cordatus CLO PLC (Ireland), Series 23A, Class B1, 144A, 3 Month EURIBOR + 2.300% (Cap N/A, Floor 2.300%) | 6.182(c) | 04/25/36 | EUR | 250 | 272,891 |
| Crown City CLO (Cayman Islands), | |||||
| Series 2020-02A, Class A1AR, 144A, 3 Month SOFR + 1.340% (Cap N/A, Floor 1.340%) | 6.665(c) | 04/20/35 | 250 | 250,259 | |
| Series 2022-04A, Class A1R, 144A, 3 Month SOFR + 1.610% (Cap N/A, Floor 1.610%) | 6.934(c) | 04/20/37 | 1,000 | 1,008,861 | |
| Crown Point CLO Ltd. (Cayman Islands), Series 2021-11A, Class A, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.120%) | 6.699(c) | 01/17/34 | 500 | 500,514 | |
| CVC Cordatus Loan Fund DAC (Ireland), Series 14A, Class A1R, 144A, 3 Month EURIBOR + 0.850% (Cap N/A, Floor 0.850%) | 4.672(c) | 05/22/32 | EUR | 1,243 | 1,344,049 |
| Elevation CLO Ltd. (Cayman Islands), | |||||
| Series 2018-03A, Class A1R, 144A, 3 Month SOFR + 1.472% (Cap N/A, Floor 1.210%) | 6.795(c) | 01/25/35 | 500 | 501,254 | |
| Series 2021-12A, Class A1R, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%) | 6.944(c) | 04/20/37 | 1,500 | 1,501,029 | |
| Elmwood CLO Ltd. (Cayman Islands), Series 2024-05A, Class AR1, 144A, 3 Month SOFR + 1.520% (Cap N/A, Floor 1.520%) | 6.841(c) | 04/20/37 | 2,000 | 2,021,254 | |
| Galaxy CLO Ltd. (Cayman Islands), Series 2018-25A, Class A1R, 144A, 3 Month SOFR + 1.420% (Cap N/A, Floor 1.420%) | 6.744(c) | 04/25/36 | 2,000 | 2,001,298 | |
| Generate CLO Ltd. (Cayman Islands), Series 04A, Class A1R, 144A, 3 Month SOFR + 1.352% (Cap N/A, Floor 1.090%) | 6.676(c) | 04/20/32 | 216 | 216,544 | |
| Greenwood Park CLO Ltd. (Cayman Islands), Series 2018-01A, Class A2, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 0.000%) | 6.600(c) | 04/15/31 | 167 | 167,255 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| Greywolf CLO Ltd. (Cayman Islands), Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.290% (Cap N/A, Floor 0.000%) | 6.614 %(c) | 04/26/31 | 243 | $243,573 | |
| Grosvenor Place CLO DAC (Ireland), Series 2022-01A, Class AR, 144A, 3 Month EURIBOR + 1.600% (Cap N/A, Floor 1.600%) | 5.414(c) | 05/24/38 | EUR | 1,250 | 1,356,277 |
| HPS Loan Management Ltd. (Cayman Islands), Series 2016-10A, Class A1RR, 144A, 3 Month SOFR + 1.402% (Cap N/A, Floor 1.140%) | 6.726(c) | 04/20/34 | 2,050 | 2,060,455 | |
| ICG US CLO Ltd. (Cayman Islands), | |||||
| Series 2014-03A, Class A1RR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%) | 6.615(c) | 04/25/31 | 128 | 128,237 | |
| Series 2015-02RA, Class A1, 144A, 3 Month SOFR + 1.632% (Cap N/A, Floor 1.370%) | 6.959(c) | 01/16/33 | 247 | 247,253 | |
| Jefferson Mill CLO Ltd. (Cayman Islands), Series 2015-01A, Class ARR, 144A, 3 Month SOFR + 1.230% (Cap N/A, Floor 0.000%) | 6.555(c) | 10/20/31 | 938 | 938,922 | |
| KKR CLO Ltd. (Cayman Islands), | |||||
| Series 11, Class AR, 144A, 3 Month SOFR + 1.442% (Cap N/A, Floor 1.442%) | 6.770(c) | 01/15/31 | 177 | 176,949 | |
| Series 33A, Class A, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.756(c) | 07/20/34 | 500 | 501,567 | |
| Madison Park Euro Funding (Ireland), Series 14A, Class A1R, 144A, 3 Month EURIBOR + 0.800% (Cap N/A, Floor 0.800%) | 4.706(c) | 07/15/32 | EUR | 250 | 269,892 |
| Madison Park Funding Ltd. (Cayman Islands), | |||||
| Series 2015-19A, Class AR3, 144A, 3 Month SOFR + 1.600% (Cap N/A, Floor 1.600%) | 6.925(c) | 01/22/37 | 1,000 | 1,009,517 | |
| Series 2021-38A, Class A, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.382%) | 6.699(c) | 07/17/34 | 250 | 250,836 | |
| Monument CLO DAC (Ireland), Series 01A, Class A, 144A, 3 Month EURIBOR + 1.590% (Cap N/A, Floor 1.590%) | 5.375(c) | 05/15/37 | EUR | 1,500 | 1,630,205 |
| Oaktree CLO Ltd. (Cayman Islands), Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.740(c) | 07/15/34 | 1,000 | 1,000,870 | |
| Ocean Trails CLO (Cayman Islands), Series 2020-08A, Class A1R, 144A, 3 Month SOFR + 1.482% (Cap N/A, Floor 1.220%) | 6.810(c) | 07/15/34 | 2,000 | 2,002,700 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| OCP CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1R2, 144A, 3 Month SOFR + 1.250% (Cap N/A, Floor 1.250%) | 6.579 %(c) | 01/15/33 | 250 | $250,500 | |
| OFSI BSL CLO Ltd. (Cayman Islands), Series 2024-13A, Class A1, 144A, 3 Month SOFR + 1.620% (Cap N/A, Floor 1.620%) | 6.941(c) | 04/20/37 | 2,000 | 2,005,861 | |
| OZLM Ltd. (Cayman Islands), Series 2018-18A, Class A, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 1.020%) | 6.610(c) | 04/15/31 | 171 | 171,133 | |
| Palmer Square CLO Ltd. (Cayman Islands), Series 2015-01A, Class A2R4, 144A, 3 Month SOFR + 1.962% (Cap N/A, Floor 1.962%) | 7.287(c) | 05/21/34 | 465 | 467,001 | |
| Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), | |||||
| Series 2018-01A, Class A1AR, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%) | 6.586(c) | 10/20/31 | 208 | 208,460 | |
| Series 2019-02A, Class A1R, 144A, 3 Month SOFR + 1.442% (Cap N/A, Floor 1.180%) | 6.770(c) | 10/15/34 | 500 | 502,303 | |
| Regatta Funding Ltd. (Cayman Islands), | |||||
| Series 2017-01A, Class A1R, 144A, 3 Month SOFR + 1.550% (Cap N/A, Floor 1.550%) | 6.875(c) | 04/17/37 | 1,500 | 1,500,975 | |
| Series 2021-04A, Class A1, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%) | 6.736(c) | 01/20/35 | 750 | 751,500 | |
| Rockford Tower CLO Ltd. (Cayman Islands), Series 2023-01A, Class A, 144A, 3 Month SOFR + 1.900% (Cap N/A, Floor 1.900%) | 7.251(c) | 01/20/36 | 1,000 | 1,006,328 | |
| Rockford Tower Europe CLO DAC (Ireland), Series 2018-01A, Class B1R, 144A, 3 Month EURIBOR + 2.100% (Cap N/A, Floor 2.100%) | 5.950(c) | 04/24/37 | EUR | 1,100 | 1,194,513 |
| Shackleton CLO Ltd. (Cayman Islands), Series 2014-05RA, Class B, 144A, 3 Month SOFR + 1.962% (Cap N/A, Floor 0.262%) | 7.289(c) | 05/07/31 | 600 | 600,842 | |
| Silver Rock CLO (Cayman Islands), Series 2023-03A, Class A1, 144A, 3 Month SOFR + 1.880% (Cap N/A, Floor 1.880%) | 7.217(c) | 01/20/36 | 1,250 | 1,259,686 | |
| Sixth Street CLO Ltd. (Cayman Islands), Series 2020-16A, Class A1R, 144A, 3 Month SOFR + 1.790% (Cap N/A, Floor 1.790%) | 7.115(c) | 01/20/37 | 1,250 | 1,264,175 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| St. Paul’s CLO DAC (Ireland), Series 10A, Class AR, 144A, 3 Month EURIBOR + 0.800% (Cap N/A, Floor 0.800%) | 4.697 %(c) | 04/22/35 | EUR | 750 | $808,278 |
| TCW CLO Ltd. (Cayman Islands), Series 2019-02A, Class A1R, 144A, 3 Month SOFR + 1.280% (Cap N/A, Floor 1.280%) | 6.605(c) | 10/20/32 | 250 | 250,303 | |
| THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2019-01A, Class AR, 144A, 3 Month SOFR + 1.422% (Cap N/A, Floor 1.160%) | 6.746(c) | 07/20/34 | 750 | 750,511 | |
| TICP CLO Ltd. (Cayman Islands), Series 2018-11A, Class AR, 144A, 3 Month SOFR + 1.530% (Cap N/A, Floor 1.530%) | 6.816(c) | 04/25/37 | 1,000 | 1,000,414 | |
| Tikehau US CLO Ltd. (Bermuda), Series 2023-01A, Class A1, 144A, 3 Month SOFR + 2.200% (Cap N/A, Floor 2.200%) | 7.529(c) | 07/15/34 | 750 | 760,003 | |
| Trinitas CLO Ltd. (Bermuda), Series 2023-26A, Class A1, 144A, 3 Month SOFR + 1.690% (Cap N/A, Floor 1.690%) | 7.015(c) | 01/20/35 | 1,000 | 1,008,700 | |
| Trinitas Euro CLO (Ireland), Series 02A, Class CR, 144A, 3 Month EURIBOR + 3.750% (Cap N/A, Floor 3.750%) | 7.656(c) | 04/15/35 | EUR | 500 | 545,300 |
| Trinitas Euro CLO DAC (Ireland), Series 06A, Class A, 144A, 3 Month EURIBOR + 1.600% (Cap N/A, Floor 1.600%) | 5.525(c) | 04/15/37 | EUR | 1,250 | 1,363,673 |
| Venture CLO Ltd. (Cayman Islands), Series 2021-43A, Class A1, 144A, 3 Month SOFR + 1.502% (Cap N/A, Floor 1.240%) | 6.830(c) | 04/15/34 | 250 | 250,125 | |
| Wellfleet CLO Ltd. (Cayman Islands), Series 2019-XA, Class A1R, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 0.000%) | 6.756(c) | 07/20/32 | 498 | 499,152 | |
| 57,126,769 | |||||
| Consumer Loans 0.4% | |||||
| Mariner Finance Issuance Trust, Series 2020-AA, Class A, 144A | 2.190 | 08/21/34 | 39 | 38,821 | |
| OneMain Financial Issuance Trust, | |||||
| Series 2023-01A, Class A, 144A | 5.500 | 06/14/38 | 400 | 402,108 | |
| Series 2023-02A, Class C, 144A | 6.740 | 09/15/36 | 100 | 101,406 | |
| Series 2023-02A, Class D, 144A | 7.520 | 09/15/36 | 100 | 102,553 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Consumer Loans (cont’d.) | |||||
| OneMain Financial Issuance Trust, (cont’d.) | |||||
| Series 2024-01A, Class A, 144A | 5.790 % | 05/14/41 | 300 | $303,264 | |
| Regional Management Issuance Trust, Series 2022-01, Class A, 144A | 3.070 | 03/15/32 | 100 | 96,333 | |
| 1,044,485 | |||||
| Home Equity Loans 0.4% | |||||
| BRAVO Residential Funding Trust, Series 2024-CES01, Class A1A, 144A | 6.377 | 04/25/54 | 494 | 495,635 | |
| JPMorgan Mortgage Trust, Series 2023-HE02, Class A1, 144A, 30 Day Average SOFR + 1.700% (Cap N/A, Floor 0.000%) | 7.023(c) | 03/25/54 | 97 | 97,879 | |
| Towd Point Mortgage Trust, | |||||
| Series 2023-CES02, Class A1A, 144A | 7.294(cc) | 10/25/63 | 91 | 92,599 | |
| Series 2024-CES01, Class A1A, 144A | 5.848(cc) | 01/25/64 | 95 | 94,187 | |
| Series 2024-CES02, Class A1A, 144A | 6.125(cc) | 02/25/64 | 96 | 97,260 | |
| 877,560 | |||||
| Other 0.2% | |||||
| Goodleap Sustainable Home Solutions Trust, Series 2023-04C, Class A, 144A | 6.480 | 03/20/57 | 191 | 192,282 | |
| GoodLeap Sustainable Home Solutions Trust, Series 2024-01GS, Class A, 144A | 6.250 | 06/20/57 | 300 | 297,360 | |
| 489,642 | |||||
| Total Asset-Backed Securities (cost $59,824,345) | 60,234,502 | ||||
| Commercial Mortgage-Backed Securities 9.1% | |||||
| Arbor Multifamily Mortgage Securities Trust, Series 2021-MF03, Class A1, 144A | 1.075 | 10/15/54 | 284 | 266,883 | |
| BANK, | |||||
| Series 2021-BN35, Class A4 | 2.031 | 06/15/64 | 500 | 404,076 | |
| Series 2021-BN38, Class A4 | 2.275 | 12/15/64 | 250 | 203,213 | |
| Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK03, Class XB, IO | 0.584(cc) | 02/15/50 | 8,410 | 119,501 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| BANK5, Series 2023-05YR04, Class A3 | 6.500 % | 12/15/56 | 1,039 | $1,075,400 | |
| Barclays Commercial Mortgage Securities Trust, | |||||
| Series 2020-BID, Class A, 144A, 1 Month SOFR + 2.254% (Cap N/A, Floor 2.140%) | 7.571(c) | 10/15/37 | 300 | 298,500 | |
| Series 2020-C07, Class XB, IO | 0.985(cc) | 04/15/53 | 1,019 | 51,906 | |
| Series 2023-05C23, Class A3 | 6.675(cc) | 12/15/56 | 1,100 | 1,149,516 | |
| Benchmark Mortgage Trust, | |||||
| Series 2021-B26, Class XB, IO, 144A | 0.639(cc) | 06/15/54 | 18,164 | 636,276 | |
| Series 2021-B28, Class A1 | 0.597 | 08/15/54 | 486 | 456,879 | |
| Series 2023-B40, Class A2 | 6.930 | 12/15/56 | 385 | 402,463 | |
| Series 2023-V02, Class A3 | 5.812(cc) | 05/15/55 | 500 | 504,342 | |
| Series 2024-V05, Class A3 | 5.805 | 01/10/57 | 500 | 506,698 | |
| BMO Mortgage Trust, Series 2023-C06, Class XB, IO | 0.153(cc) | 09/15/56 | 25,500 | 381,896 | |
| BX Commercial Mortgage Trust, Series 2021-CIP, Class E, 144A, 1 Month SOFR + 2.934% (Cap N/A, Floor 2.820%) | 8.251(c) | 12/15/38 | 150 | 147,937 | |
| BX Trust, Series 2024-PAT, Class A, 144A, 1 Month SOFR + 2.090% (Cap N/A, Floor 2.090%) | 7.407(c) | 03/15/41 | 500 | 499,687 | |
| BXP Trust, Series 2021-601L, Class A, 144A | 2.618 | 01/15/44 | 250 | 197,196 | |
| Cantor Commercial Real Estate Lending, Series 2019-CF02, Class A4 | 2.624 | 11/15/52 | 150 | 131,530 | |
| CCUBS Commercial Mortgage Trust, Series 2017-C01, Class A3 | 3.283(cc) | 11/15/50 | 1,200 | 1,123,508 | |
| CENT Trust, Series 2023-CITY, Class A, 144A, 1 Month SOFR + 2.620% (Cap N/A, Floor 2.620%) | 7.937(c) | 09/15/38 | 200 | 201,500 | |
| Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A3 | 2.782 | 11/10/52 | 500 | 434,032 | |
| Commercial Mortgage Trust, | |||||
| Series 2014-CR20, Class A3 | 3.326 | 11/10/47 | 2,788 | 2,779,883 | |
| Series 2014-UBS04, Class A5 | 3.694 | 08/10/47 | 1,000 | 996,927 | |
| Series 2015-LC21, Class A4 | 3.708 | 07/10/48 | 928 | 907,128 | |
| Series 2017-COR02, Class A3 | 3.510 | 09/10/50 | 373 | 345,132 | |
| Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 144A | 3.953 | 09/15/37 | 250 | 221,105 | |
| CSAIL Commercial Mortgage Trust, | |||||
| Series 2018-CX11, Class A4 | 3.766 | 04/15/51 | 250 | 239,586 | |
| Series 2019-C16, Class A2 | 3.067 | 06/15/52 | 232 | 208,717 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| ELM Trust, | |||||
| Series 2024-ELM, Class D10, 144A | 6.626 %(cc) | 06/10/27 | 220 | $219,908 | |
| Series 2024-ELM, Class D15, 144A | 6.674(cc) | 06/10/27 | 200 | 199,895 | |
| GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, 144A, 1 Month SOFR + 3.664% (Cap N/A, Floor 3.550%) | 8.981(c) | 10/15/36 | 180 | 176,001 | |
| GS Mortgage Securities Trust, | |||||
| Series 2017-GS08, Class A3 | 3.205 | 11/10/50 | 150 | 139,764 | |
| Series 2021-GSA03, Class A4 | 2.369 | 12/15/54 | 200 | 161,358 | |
| Series 2021-GSA03, Class XB, IO | 0.624(cc) | 12/15/54 | 2,000 | 78,830 | |
| JPMDB Commercial Mortgage Securities Trust, Series 2020-COR07, Class ASB | 2.051 | 05/13/53 | 1,100 | 993,099 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP04, Class A3 | 3.393 | 12/15/49 | 205 | 194,748 | |
| LBA Trust, Series 2024-BOLT, Class D, 144A, 1 Month SOFR + 2.590% (Cap N/A, Floor 2.590%) | 7.890(c) | 06/15/26 | 330 | 329,432 | |
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, 144A, 1 Month SOFR + 2.715% (Cap N/A, Floor 2.601%) | 8.032(c) | 04/15/38 | 309 | 307,348 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class A5 | 3.102 | 11/15/49 | 1,000 | 930,138 | |
| Morgan Stanley Capital I Trust, | |||||
| Series 2016-BNK02, Class A3 | 2.791 | 11/15/49 | 1,000 | 939,012 | |
| Series 2019-L02, Class A3 | 3.806 | 03/15/52 | 325 | 303,445 | |
| Series 2020-HR08, Class A3 | 1.790 | 07/15/53 | 365 | 300,527 | |
| MSWF Commercial Mortgage Trust, Series 2023-01, Class A2 | 6.451 | 05/15/56 | 500 | 510,120 | |
| NJ Trust, Series 2023-GSP, Class A, 144A | 6.481(cc) | 01/06/29 | 200 | 206,080 | |
| ONE Mortgage Trust, Series 2021-PARK, Class D, 144A, 1 Month SOFR + 1.614% (Cap N/A, Floor 1.500%) | 6.931(c) | 03/15/36 | 120 | 112,650 | |
| One New York Plaza Trust, | |||||
| Series 2020-01NYP, Class A, 144A, 1 Month SOFR + 1.064% (Cap N/A, Floor 0.950%) | 6.381(c) | 01/15/36 | 220 | 213,978 | |
| Series 2020-01NYP, Class AJ, 144A, 1 Month SOFR + 1.364% (Cap N/A, Floor 1.250%) | 6.681(c) | 01/15/36 | 200 | 190,045 | |
| Wells Fargo Commercial Mortgage Trust, | |||||
| Series 2016-C35, Class A3 | 2.674 | 07/15/48 | 274 | 260,221 | |
| Series 2017-C40, Class A3 | 3.317 | 10/15/50 | 105 | 98,805 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| Wells Fargo Commercial Mortgage Trust, (cont’d.) | |||||
| Series 2020-C58, Class A3 | 1.810 % | 07/15/53 | 119 | $98,852 | |
| Total Commercial Mortgage-Backed Securities (cost $21,985,435) | 21,855,673 | ||||
| Corporate Bonds 34.2% | |||||
| Aerospace & Defense 0.5% | |||||
| BAE Systems PLC (United Kingdom), Sr. Unsec’d. Notes, 144A | 5.125 | 03/26/29 | 295 | 292,513 | |
| Boeing Co. (The), | |||||
| Sr. Unsec’d. Notes | 3.300 | 03/01/35 | 190 | 144,661 | |
| Sr. Unsec’d. Notes | 3.900 | 05/01/49 | 180 | 120,386 | |
| Sr. Unsec’d. Notes | 5.150 | 05/01/30 | 420 | 400,666 | |
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 257 | 257,257 | |
| 1,215,483 | |||||
| Agriculture 1.1% | |||||
| Altria Group, Inc., Gtd. Notes | 6.875 | 11/01/33 | 330 | 355,632 | |
| BAT Capital Corp. (United Kingdom), | |||||
| Gtd. Notes | 5.834 | 02/20/31 | 630 | 637,518 | |
| Gtd. Notes | 6.343 | 08/02/30 | 75 | 78,196 | |
| BAT International Finance PLC (United Kingdom), | |||||
| Gtd. Notes | 4.448 | 03/16/28 | 120 | 115,876 | |
| Gtd. Notes | 5.931 | 02/02/29 | 25 | 25,474 | |
| Bunge Ltd. Finance Corp., Gtd. Notes | 2.750 | 05/14/31 | 600 | 511,183 | |
| Philip Morris International, Inc., Sr. Unsec’d. Notes | 5.125 | 02/15/30 | 450 | 446,643 | |
| Reynolds American, Inc. (United Kingdom), Gtd. Notes | 5.700 | 08/15/35 | 425 | 415,174 | |
| 2,585,696 | |||||
| Airlines 0.3% | |||||
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., Sr. Sec’d. Notes, 144A | 5.750 | 04/20/29 | 150 | 144,615 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Airlines (cont’d.) | |||||
| Delta Air Lines, Inc./SkyMiles IP Ltd., Sr. Sec’d. Notes, 144A | 4.750 % | 10/20/28 | 300 | $290,505 | |
| Southwest Airlines Co., Sr. Unsec’d. Notes | 5.125 | 06/15/27 | 140 | 139,075 | |
| United Airlines, Inc., Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 225 | 216,882 | |
| 791,077 | |||||
| Apparel 0.0% | |||||
| Kontoor Brands, Inc., Gtd. Notes, 144A | 4.125 | 11/15/29 | 50 | 45,165 | |
| Wolverine World Wide, Inc., Gtd. Notes, 144A | 4.000 | 08/15/29 | 50 | 41,646 | |
| 86,811 | |||||
| Auto Manufacturers 1.3% | |||||
| American Honda Finance Corp., Sr. Unsec’d. Notes, GMTN | 4.900 | 01/10/34 | 520 | 503,446 | |
| Ford Motor Co., Sr. Unsec’d. Notes | 4.750 | 01/15/43 | 50 | 40,413 | |
| Ford Motor Credit Co. LLC, | |||||
| Sr. Unsec’d. Notes | 4.271 | 01/09/27 | 400 | 384,289 | |
| Sr. Unsec’d. Notes | 7.200 | 06/10/30 | 255 | 266,892 | |
| General Motors Financial Co., Inc., | |||||
| Sr. Unsec’d. Notes | 5.000 | 04/09/27 | 180 | 178,027 | |
| Sr. Unsec’d. Notes | 5.800 | 06/23/28 | 225 | 226,798 | |
| Hyundai Capital America, | |||||
| Sr. Unsec’d. Notes, 144A | 5.250 | 01/08/27 | 355 | 352,792 | |
| Sr. Unsec’d. Notes, 144A | 5.300 | 03/19/27 | 290 | 288,639 | |
| Mercedes-Benz Finance North America LLC (Germany), Gtd. Notes, 144A | 5.000 | 01/11/34 | 285 | 276,293 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Auto Manufacturers (cont’d.) | |||||
| Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | 4.800 % | 01/05/34 | 245 | $236,206 | |
| Volkswagen Group of America Finance LLC (Germany), Gtd. Notes, 144A | 5.250 | 03/22/29 | 320 | 316,720 | |
| 3,070,515 | |||||
| Auto Parts & Equipment 0.1% | |||||
| Phinia, Inc., Sr. Sec’d. Notes, 144A | 6.750 | 04/15/29 | 40 | 40,336 | |
| Tenneco, Inc., Sr. Sec’d. Notes, 144A | 8.000 | 11/17/28 | 150 | 136,945 | |
| 177,281 | |||||
| Banks 7.6% | |||||
| Banco Santander SA (Spain), | |||||
| Sr. Non-Preferred Notes | 5.538(ff) | 03/14/30 | 200 | 198,870 | |
| Sr. Non-Preferred Notes | 5.552(ff) | 03/14/28 | 400 | 397,174 | |
| Bank of America Corp., | |||||
| Sr. Unsec’d. Notes | 2.572(ff) | 10/20/32 | 675 | 556,787 | |
| Sr. Unsec’d. Notes | 5.288(ff) | 04/25/34 | 865 | 851,511 | |
| Sr. Unsec’d. Notes, Series N | 2.651(ff) | 03/11/32 | 1,120 | 941,154 | |
| Barclays PLC (United Kingdom), | |||||
| Sr. Unsec’d. Notes | 5.829(ff) | 05/09/27 | 340 | 340,026 | |
| Sub. Notes | 7.119(ff) | 06/27/34 | 310 | 327,798 | |
| BNP Paribas SA (France), Sr. Non-Preferred Notes, 144A | 1.323(ff) | 01/13/27 | 415 | 386,792 | |
| BPCE SA (France), Sr. Non-Preferred Notes, 144A | 5.716(ff) | 01/18/30 | 250 | 248,132 | |
| Cassa Depositi e Prestiti SpA (Italy), Sr. Unsec’d. Notes, 144A | 5.875 | 04/30/29 | 200 | 201,357 | |
| Citigroup, Inc., | |||||
| Jr. Sub. Notes, Series CC | 7.125(ff) | 08/15/29(oo) | 460 | 459,678 | |
| Jr. Sub. Notes, Series X | 3.875(ff) | 02/18/26(oo) | 40 | 37,719 | |
| Sr. Unsec’d. Notes | 2.666(ff) | 01/29/31 | 990 | 857,619 | |
| Sr. Unsec’d. Notes | 5.174(ff) | 02/13/30 | 520 | 514,961 | |
| Sub. Notes | 5.827(ff) | 02/13/35 | 510 | 503,316 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| Comerica, Inc., Sr. Unsec’d. Notes | 5.982 %(ff) | 01/30/30 | 716 | $706,159 | |
| Danske Bank A/S (Denmark), Sr. Preferred Notes, 144A, MTN | 6.259(ff) | 09/22/26 | 200 | 201,374 | |
| Deutsche Bank AG (Germany), Sr. Non-Preferred Notes | 2.311(ff) | 11/16/27 | 310 | 284,332 | |
| Fifth Third Bancorp, | |||||
| Sr. Unsec’d. Notes | 4.337(ff) | 04/25/33 | 296 | 269,335 | |
| Sr. Unsec’d. Notes | 6.339(ff) | 07/27/29 | 270 | 276,766 | |
| Goldman Sachs Group, Inc. (The), | |||||
| Jr. Sub. Notes, Series V | 4.125(ff) | 11/10/26(oo) | 55 | 51,118 | |
| Sr. Unsec’d. Notes | 4.223(ff) | 05/01/29 | 735 | 704,450 | |
| Sr. Unsec’d. Notes | 5.851(ff) | 04/25/35 | 170 | 173,595 | |
| Huntington Bancshares, Inc., | |||||
| Sr. Unsec’d. Notes | 5.709(ff) | 02/02/35 | 175 | 171,833 | |
| Sr. Unsec’d. Notes | 6.208(ff) | 08/21/29 | 40 | 40,766 | |
| JPMorgan Chase & Co., | |||||
| Jr. Sub. Notes, Series HH | 4.600(ff) | 02/01/25(oo) | 125 | 122,807 | |
| Sr. Unsec’d. Notes | 1.953(ff) | 02/04/32 | 500 | 404,416 | |
| Sr. Unsec’d. Notes | 2.739(ff) | 10/15/30 | 1,210 | 1,064,096 | |
| Sr. Unsec’d. Notes | 5.581(ff) | 04/22/30 | 755 | 763,118 | |
| KeyCorp, | |||||
| Sr. Unsec’d. Notes | 6.401(ff) | 03/06/35 | 75 | 75,481 | |
| Sr. Unsec’d. Notes, MTN | 2.550 | 10/01/29 | 450 | 379,696 | |
| Morgan Stanley, | |||||
| Sr. Unsec’d. Notes | 5.449(ff) | 07/20/29 | 95 | 95,297 | |
| Sr. Unsec’d. Notes, GMTN | 2.699(ff) | 01/22/31 | 520 | 452,364 | |
| Sr. Unsec’d. Notes, MTN | 1.928(ff) | 04/28/32 | 515 | 411,113 | |
| Sr. Unsec’d. Notes, MTN | 2.943(ff) | 01/21/33 | 970 | 817,399 | |
| Sub. Notes, GMTN | 4.350 | 09/08/26 | 195 | 190,616 | |
| Societe Generale SA (France), | |||||
| Gtd. Notes, 144A | 2.797(ff) | 01/19/28 | 195 | 179,915 | |
| Sr. Non-Preferred Notes, 144A | 6.066(ff) | 01/19/35 | 400 | 400,283 | |
| Truist Financial Corp., | |||||
| Sr. Unsec’d. Notes, MTN | 5.867(ff) | 06/08/34 | 45 | 45,166 | |
| Sr. Unsec’d. Notes, MTN | 7.161(ff) | 10/30/29 | 85 | 90,027 | |
| U.S. Bancorp, | |||||
| Sr. Unsec’d. Notes | 5.384(ff) | 01/23/30 | 330 | 329,021 | |
| Sr. Unsec’d. Notes | 5.836(ff) | 06/12/34 | 45 | 45,332 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Banks (cont’d.) | |||||
| UBS Group AG (Switzerland), | |||||
| Sr. Unsec’d. Notes, 144A | 6.537 %(ff) | 08/12/33 | 270 | $283,085 | |
| Sr. Unsec’d. Notes, 144A, SOFR + 1.580% | 6.941(c) | 05/12/26 | 200 | 201,537 | |
| Wells Fargo & Co., | |||||
| Sr. Unsec’d. Notes | 5.389(ff) | 04/24/34 | 125 | 122,998 | |
| Sr. Unsec’d. Notes | 6.303(ff) | 10/23/29 | 685 | 708,384 | |
| Sr. Unsec’d. Notes, MTN | 2.879(ff) | 10/30/30 | 260 | 229,033 | |
| Sr. Unsec’d. Notes, MTN | 4.808(ff) | 07/25/28 | 295 | 289,728 | |
| Sr. Unsec’d. Notes, MTN | 5.574(ff) | 07/25/29 | 160 | 160,952 | |
| Sr. Unsec’d. Notes, MTN | 5.707(ff) | 04/22/28 | 740 | 745,019 | |
| 18,309,505 | |||||
| Beverages 0.0% | |||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 4.900 | 02/01/46 | 40 | 36,583 | |
| Biotechnology 0.1% | |||||
| Amgen, Inc., Sr. Unsec’d. Notes | 5.600 | 03/02/43 | 290 | 287,147 | |
| Building Materials 0.6% | |||||
| CEMEX Materials LLC (Mexico), Gtd. Notes | 7.700 | 07/21/25 | 50 | 51,059 | |
| CRH SMW Finance DAC, Gtd. Notes | 5.200 | 05/21/29 | 630 | 626,548 | |
| Fortune Brands Innovations, Inc., Sr. Unsec’d. Notes | 3.250 | 09/15/29 | 175 | 157,594 | |
| Griffon Corp., Gtd. Notes | 5.750 | 03/01/28 | 23 | 22,243 | |
| JELD-WEN, Inc., | |||||
| Gtd. Notes, 144A | 4.625 | 12/15/25 | 25 | 24,508 | |
| Gtd. Notes, 144A | 4.875 | 12/15/27 | 200 | 187,500 | |
| Masco Corp., Sr. Unsec’d. Notes | 3.500 | 11/15/27 | 230 | 216,733 | |
| Smyrna Ready Mix Concrete LLC, Sr. Sec’d. Notes, 144A | 6.000 | 11/01/28 | 75 | 72,493 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Building Materials (cont’d.) | |||||
| Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 4.375 % | 07/15/30 | 75 | $66,975 | |
| Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes, 144A | 7.250 | 01/15/31 | 20 | 20,633 | |
| 1,446,286 | |||||
| Chemicals 0.2% | |||||
| Ashland, Inc., Sr. Unsec’d. Notes, 144A | 3.375 | 09/01/31 | 75 | 63,055 | |
| CF Industries, Inc., Gtd. Notes | 5.150 | 03/15/34 | 130 | 124,271 | |
| Chemours Co. (The), Gtd. Notes | 5.375 | 05/15/27 | 50 | 47,417 | |
| FMC Corp., Sr. Unsec’d. Notes | 5.150 | 05/18/26 | 140 | 138,922 | |
| Nutrien Ltd. (Canada), Sr. Unsec’d. Notes | 4.900 | 03/27/28 | 55 | 54,346 | |
| RPM International, Inc., Sr. Unsec’d. Notes | 2.950 | 01/15/32 | 20 | 16,657 | |
| 444,668 | |||||
| Commercial Services 0.5% | |||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 5 | 5,000 | |
| Alta Equipment Group, Inc., Sec’d. Notes, 144A | 9.000 | 06/01/29 | 75 | 72,539 | |
| AMN Healthcare, Inc., Gtd. Notes, 144A | 4.625 | 10/01/27 | 150 | 141,916 | |
| ERAC USA Finance LLC, | |||||
| Gtd. Notes, 144A | 3.300 | 12/01/26 | 160 | 152,737 | |
| Gtd. Notes, 144A | 4.900 | 05/01/33 | 355 | 343,475 | |
| Herc Holdings, Inc., Gtd. Notes, 144A | 5.500 | 07/15/27 | 75 | 73,118 | |
| Mavis Tire Express Services Topco Corp., Sr. Unsec’d. Notes, 144A | 6.500 | 05/15/29 | 75 | 69,128 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Commercial Services (cont’d.) | |||||
| RELX Capital, Inc. (United Kingdom), Gtd. Notes | 4.750 % | 05/20/32 | 30 | $29,119 | |
| United Rentals North America, Inc., Gtd. Notes | 3.750 | 01/15/32 | 50 | 42,760 | |
| University of Southern California, Sr. Unsec’d. Notes | 4.976 | 10/01/53 | 212 | 205,694 | |
| Washington University (The), Sr. Unsec’d. Notes | 4.349 | 04/15/2122 | 80 | 62,893 | |
| 1,198,379 | |||||
| Computers 0.4% | |||||
| Booz Allen Hamilton, Inc., Gtd. Notes | 5.950 | 08/04/33 | 200 | 205,590 | |
| Leidos, Inc., Gtd. Notes | 4.375 | 05/15/30 | 500 | 470,250 | |
| McAfee Corp., Sr. Unsec’d. Notes, 144A | 7.375 | 02/15/30 | 150 | 138,841 | |
| NCR Atleos Corp., Sr. Sec’d. Notes, 144A | 9.500 | 04/01/29 | 79 | 85,279 | |
| 899,960 | |||||
| Distribution/Wholesale 0.0% | |||||
| H&E Equipment Services, Inc., Gtd. Notes, 144A | 3.875 | 12/15/28 | 100 | 89,526 | |
| Diversified Financial Services 0.5% | |||||
| Cantor Fitzgerald LP, Sr. Unsec’d. Notes, 144A | 7.200 | 12/12/28 | 50 | 51,429 | |
| Capital One Financial Corp., Sr. Unsec’d. Notes | 7.624(ff) | 10/30/31 | 100 | 109,351 | |
| Jefferies Financial Group, Inc., Sr. Unsec’d. Notes | 2.625 | 10/15/31 | 120 | 96,752 | |
| LFS Topco LLC, Gtd. Notes, 144A | 5.875 | 10/15/26 | 25 | 23,459 | |
| LPL Holdings, Inc., Gtd. Notes | 5.700 | 05/20/27 | 175 | 175,503 | |
| LSEG US Fin Corp. (United Kingdom), Gtd. Notes, 144A | 5.297 | 03/28/34 | 300 | 296,625 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Diversified Financial Services (cont’d.) | |||||
| Nationstar Mortgage Holdings, Inc., Gtd. Notes, 144A | 5.750 % | 11/15/31 | 150 | $138,682 | |
| Nuveen LLC, Sr. Unsec’d. Notes, 144A | 5.850 | 04/15/34 | 145 | 145,347 | |
| OneMain Finance Corp., Gtd. Notes | 6.875 | 03/15/25 | 25 | 25,212 | |
| PennyMac Financial Services, Inc., Gtd. Notes, 144A | 7.875 | 12/15/29 | 50 | 51,195 | |
| Power Finance Corp. Ltd. (India), Sr. Unsec’d. Notes, 144A, MTN | 6.150 | 12/06/28 | 200 | 203,750 | |
| 1,317,305 | |||||
| Electric 1.5% | |||||
| AEP Texas, Inc., | |||||
| Sr. Unsec’d. Notes | 5.400 | 06/01/33 | 225 | 218,951 | |
| Sr. Unsec’d. Notes | 5.450 | 05/15/29 | 150 | 149,901 | |
| Algonquin Power & Utilities Corp. (Canada), Sr. Unsec’d. Notes | 5.365 | 06/15/26 | 175 | 173,630 | |
| Calpine Corp., | |||||
| Sr. Sec’d. Notes, 144A | 3.750 | 03/01/31 | 175 | 153,372 | |
| Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/31 | 175 | 161,566 | |
| Comision Federal de Electricidad (Mexico), Gtd. Notes, 144A | 4.688 | 05/15/29 | 200 | 186,855 | |
| Edison International, Sr. Unsec’d. Notes | 5.250 | 11/15/28 | 130 | 128,667 | |
| Eskom Holdings SOC Ltd. (South Africa), Sr. Unsec’d. Notes, MTN | 8.450 | 08/10/28 | 400 | 398,000 | |
| Israel Electric Corp. Ltd. (Israel), Sr. Sec’d. Notes, 144A, GMTN | 4.250 | 08/14/28 | 200 | 183,162 | |
| NRG Energy, Inc., | |||||
| Gtd. Notes, 144A | 3.375 | 02/15/29 | 50 | 44,228 | |
| Gtd. Notes, 144A | 3.875 | 02/15/32 | 50 | 42,841 | |
| Pacific Gas & Electric Co., | |||||
| First Mortgage | 4.500 | 07/01/40 | 110 | 91,227 | |
| First Mortgage | 4.950 | 07/01/50 | 15 | 12,506 | |
| PPL Electric Utilities Corp., First Mortgage | 4.850 | 02/15/34 | 185 | 178,873 | |
| Puget Energy, Inc., Sr. Sec’d. Notes | 4.224 | 03/15/32 | 145 | 128,681 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Electric (cont’d.) | |||||
| Sempra, Jr. Sub. Notes | 4.125 %(ff) | 04/01/52 | 120 | $111,108 | |
| Southern California Edison Co., | |||||
| First Mortgage | 3.450 | 02/01/52 | 30 | 20,436 | |
| First Mortgage | 5.300 | 03/01/28 | 110 | 110,263 | |
| Vistra Corp., | |||||
| Jr. Sub. Notes, 144A | 7.000(ff) | 12/15/26(oo) | 175 | 173,751 | |
| Jr. Sub. Notes, Series C, 144A | 8.875(ff) | 01/15/29(oo) | 675 | 699,440 | |
| Vistra Operations Co. LLC, | |||||
| Gtd. Notes, 144A | 4.375 | 05/01/29 | 50 | 46,287 | |
| Gtd. Notes, 144A | 6.875 | 04/15/32 | 70 | 70,388 | |
| 3,484,133 | |||||
| Electronics 0.0% | |||||
| Likewize Corp., Sr. Sec’d. Notes, 144A | 9.750 | 10/15/25 | 50 | 50,458 | |
| Engineering & Construction 0.3% | |||||
| Jacobs Engineering Group, Inc., Gtd. Notes | 6.350 | 08/18/28 | 265 | 271,808 | |
| Mexico City Airport Trust (Mexico), | |||||
| Sr. Sec’d. Notes | 5.500 | 07/31/47 | 200 | 168,500 | |
| Sr. Sec’d. Notes, 144A | 4.250 | 10/31/26 | 200 | 192,766 | |
| Sr. Sec’d. Notes, 144A | 5.500 | 07/31/47 | 200 | 168,500 | |
| 801,574 | |||||
| Entertainment 0.4% | |||||
| Caesars Entertainment, Inc., | |||||
| Gtd. Notes, 144A | 4.625 | 10/15/29 | 75 | 67,757 | |
| Sr. Sec’d. Notes, 144A | 6.500 | 02/15/32 | 65 | 64,286 | |
| Sr. Sec’d. Notes, 144A | 7.000 | 02/15/30 | 75 | 75,879 | |
| CCM Merger, Inc., Sr. Unsec’d. Notes, 144A | 6.375 | 05/01/26 | 50 | 49,679 | |
| International Game Technology PLC, Sr. Sec’d. Notes, 144A | 6.500 | 02/15/25 | 200 | 199,720 | |
| Jacobs Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 6.750 | 02/15/29 | 175 | 163,734 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Entertainment (cont’d.) | |||||
| Penn Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 4.125 % | 07/01/29 | 50 | $41,729 | |
| Warnermedia Holdings, Inc., | |||||
| Gtd. Notes | 5.050 | 03/15/42 | 265 | 219,029 | |
| Gtd. Notes | 5.141 | 03/15/52 | 155 | 122,311 | |
| 1,004,124 | |||||
| Environmental Control 0.0% | |||||
| GFL Environmental, Inc., Sr. Sec’d. Notes, 144A | 6.750 | 01/15/31 | 30 | 30,619 | |
| Foods 0.7% | |||||
| B&G Foods, Inc., | |||||
| Gtd. Notes | 5.250 | 04/01/25 | 18 | 17,706 | |
| Gtd. Notes | 5.250 | 09/15/27 | 50 | 45,925 | |
| Bellis Acquisition Co. PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 8.125 | 05/14/30 | GBP | 270 | 342,910 |
| Bellis Finco PLC (United Kingdom), Gtd. Notes | 4.000 | 02/16/27 | GBP | 218 | 253,372 |
| Bimbo Bakeries USA, Inc. (Mexico), Gtd. Notes, 144A | 6.050 | 01/15/29 | 205 | 209,228 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, | |||||
| Gtd. Notes | 4.375 | 02/02/52 | 300 | 220,685 | |
| Gtd. Notes | 5.125 | 02/01/28 | 45 | 44,264 | |
| Gtd. Notes, 144A | 6.750 | 03/15/34 | 220 | 231,356 | |
| Lamb Weston Holdings, Inc., | |||||
| Gtd. Notes, 144A | 4.125 | 01/31/30 | 25 | 22,513 | |
| Gtd. Notes, 144A | 4.375 | 01/31/32 | 75 | 66,237 | |
| Pilgrim’s Pride Corp., Gtd. Notes | 3.500 | 03/01/32 | 50 | 42,045 | |
| Post Holdings, Inc., Sr. Unsec’d. Notes, 144A | 4.500 | 09/15/31 | 75 | 66,581 | |
| 1,562,822 | |||||
| Gas 0.0% | |||||
| Piedmont Natural Gas Co., Inc., Sr. Unsec’d. Notes | 5.050 | 05/15/52 | 75 | 65,728 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Healthcare-Products 0.1% | |||||
| Avantor Funding, Inc., Gtd. Notes | 3.875 % | 07/15/28 | EUR | 192 | $203,017 |
| Medline Borrower LP, | |||||
| Sr. Sec’d. Notes, 144A | 3.875 | 04/01/29 | 25 | 22,794 | |
| Sr. Unsec’d. Notes, 144A | 5.250 | 10/01/29 | 25 | 23,574 | |
| Medline Borrower LP/Medline Co-Issuer, Inc., Sr. Sec’d. Notes, 144A | 6.250 | 04/01/29 | 100 | 100,196 | |
| 349,581 | |||||
| Healthcare-Services 1.0% | |||||
| CommonSpirit Health, Sr. Sec’d. Notes | 5.205 | 12/01/31 | 545 | 534,709 | |
| DaVita, Inc., Gtd. Notes, 144A | 4.625 | 06/01/30 | 150 | 134,404 | |
| Elevance Health, Inc., Sr. Unsec’d. Notes | 2.875 | 09/15/29 | 745 | 664,462 | |
| Legacy LifePoint Health LLC, Sr. Sec’d. Notes, 144A | 4.375 | 02/15/27 | 75 | 70,837 | |
| Nationwide Children’s Hospital, Inc., Unsec’d. Notes | 4.556 | 11/01/52 | 220 | 195,527 | |
| Presbyterian Healthcare Services, Unsec’d. Notes | 4.875 | 08/01/52 | 150 | 139,839 | |
| Queen’s Health Systems (The), Sec’d. Notes | 4.810 | 07/01/52 | 90 | 83,327 | |
| Tenet Healthcare Corp., | |||||
| Sr. Sec’d. Notes | 4.375 | 01/15/30 | 50 | 46,020 | |
| Sr. Sec’d. Notes, 144A | 6.750 | 05/15/31 | 125 | 126,282 | |
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 5.200 | 04/15/63 | 455 | 421,693 | |
| 2,417,100 | |||||
| Home Builders 0.3% | |||||
| Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A | 4.625 | 08/01/29 | 50 | 44,833 | |
| Beazer Homes USA, Inc., Gtd. Notes | 7.250 | 10/15/29 | 75 | 74,927 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Home Builders (cont’d.) | |||||
| Brookfield Residential Properties, Inc./Brookfield Residential US LLC (Canada), Gtd. Notes, 144A | 4.875 % | 02/15/30 | 75 | $65,963 | |
| Century Communities, Inc., Gtd. Notes | 6.750 | 06/01/27 | 50 | 50,243 | |
| Forestar Group, Inc., Gtd. Notes, 144A | 3.850 | 05/15/26 | 50 | 47,767 | |
| M/I Homes, Inc., Gtd. Notes | 4.950 | 02/01/28 | 150 | 142,499 | |
| Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes | 4.750 | 04/01/29 | 50 | 46,359 | |
| Tri Pointe Homes, Inc., Gtd. Notes | 5.700 | 06/15/28 | 225 | 219,816 | |
| 692,407 | |||||
| Housewares 0.0% | |||||
| Scotts Miracle-Gro Co. (The), | |||||
| Gtd. Notes | 4.000 | 04/01/31 | 50 | 42,797 | |
| Gtd. Notes | 4.375 | 02/01/32 | 75 | 64,171 | |
| 106,968 | |||||
| Insurance 0.8% | |||||
| Acrisure LLC/Acrisure Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.250 | 02/01/29 | 250 | 251,299 | |
| Corebridge Financial, Inc., | |||||
| Sr. Unsec’d. Notes | 4.400 | 04/05/52 | 100 | 79,195 | |
| Sr. Unsec’d. Notes | 5.750 | 01/15/34 | 450 | 452,388 | |
| Fairfax Financial Holdings Ltd. (Canada), | |||||
| Sr. Unsec’d. Notes | 3.375 | 03/03/31 | 115 | 99,347 | |
| Sr. Unsec’d. Notes | 5.625 | 08/16/32 | 135 | 132,111 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 12/07/33 | 405 | 406,877 | |
| Liberty Mutual Group, Inc., Gtd. Notes, 144A | 4.569 | 02/01/29 | 165 | 159,336 | |
| Lincoln National Corp., Sr. Unsec’d. Notes | 5.852 | 03/15/34 | 320 | 318,250 | |
| 1,898,803 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Internet 0.1% | |||||
| Gen Digital, Inc., Sr. Unsec’d. Notes, 144A | 5.000 % | 04/15/25 | 125 | $123,874 | |
| Iron/Steel 0.1% | |||||
| Mineral Resources Ltd. (Australia), Sr. Unsec’d. Notes, 144A | 9.250 | 10/01/28 | 50 | 52,562 | |
| Steel Dynamics, Inc., Sr. Unsec’d. Notes | 3.450 | 04/15/30 | 120 | 108,941 | |
| 161,503 | |||||
| Leisure Time 0.3% | |||||
| Carnival Corp., | |||||
| Gtd. Notes, 144A | 5.750 | 03/01/27 | 150 | 147,323 | |
| Sr. Sec’d. Notes, 144A | 4.000 | 08/01/28 | 75 | 68,893 | |
| Carnival Holdings Bermuda Ltd., Gtd. Notes, 144A | 10.375 | 05/01/28 | 25 | 27,077 | |
| Lindblad Expeditions LLC, Sr. Sec’d. Notes, 144A | 6.750 | 02/15/27 | 225 | 222,619 | |
| NCL Corp. Ltd., Gtd. Notes, 144A | 5.875 | 03/15/26 | 50 | 49,000 | |
| Royal Caribbean Cruises Ltd., | |||||
| Gtd. Notes, 144A | 7.250 | 01/15/30 | 25 | 25,781 | |
| Sr. Unsec’d. Notes, 144A | 5.500 | 08/31/26 | 100 | 98,186 | |
| Viking Cruises Ltd., Gtd. Notes, 144A | 5.875 | 09/15/27 | 50 | 48,625 | |
| Viking Ocean Cruises Ship VII Ltd., Sr. Sec’d. Notes, 144A | 5.625 | 02/15/29 | 50 | 47,773 | |
| 735,277 | |||||
| Lodging 0.4% | |||||
| Marriott International, Inc., | |||||
| Sr. Unsec’d. Notes | 4.900 | 04/15/29 | 30 | 29,489 | |
| Sr. Unsec’d. Notes | 5.300 | 05/15/34 | 440 | 430,462 | |
| MGM Resorts International, | |||||
| Gtd. Notes | 4.750 | 10/15/28 | 225 | 210,414 | |
| Gtd. Notes | 6.500 | 04/15/32 | 160 | 156,497 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Lodging (cont’d.) | |||||
| Wynn Macau Ltd. (Macau), Sr. Unsec’d. Notes, 144A | 5.500 % | 10/01/27 | 200 | $190,062 | |
| 1,016,924 | |||||
| Machinery-Diversified 0.4% | |||||
| AGCO Corp., Gtd. Notes | 5.450 | 03/21/27 | 120 | 119,874 | |
| Chart Industries, Inc., Sr. Sec’d. Notes, 144A | 7.500 | 01/01/30 | 50 | 51,508 | |
| CNH Industrial Capital LLC, Gtd. Notes | 5.100 | 04/20/29 | 390 | 386,930 | |
| Ingersoll Rand, Inc., Sr. Unsec’d. Notes | 5.700 | 08/14/33 | 120 | 122,326 | |
| Maxim Crane Works Holdings Capital LLC, Sec’d. Notes, 144A | 11.500 | 09/01/28 | 75 | 79,784 | |
| Westinghouse Air Brake Technologies Corp., Gtd. Notes | 4.700 | 09/15/28 | 140 | 136,954 | |
| 897,376 | |||||
| Media 1.1% | |||||
| CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
| Sr. Unsec’d. Notes | 4.500 | 05/01/32 | 50 | 39,660 | |
| Sr. Unsec’d. Notes, 144A | 4.250 | 01/15/34 | 25 | 18,690 | |
| Sr. Unsec’d. Notes, 144A | 4.500 | 06/01/33 | 100 | 77,158 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 3.900 | 06/01/52 | 400 | 251,224 | |
| Cox Communications, Inc., | |||||
| Gtd. Notes, 144A | 5.450 | 09/15/28 | 525 | 525,436 | |
| Sr. Unsec’d. Notes, 144A | 2.600 | 06/15/31 | 535 | 441,026 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co., | |||||
| Gtd. Notes, 144A (original cost $1,688; purchased 01/31/24)(f) | 6.625 | 08/15/27(d) | 25 | 466 | |
| Sec’d. Notes, 144A (original cost $39,000; purchased 08/30/22)(f) | 5.375 | 08/15/26(d) | 200 | 3,630 | |
| DISH DBS Corp., | |||||
| Gtd. Notes | 5.125 | 06/01/29 | 50 | 19,884 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Media (cont’d.) | |||||
| DISH DBS Corp., (cont’d.) | |||||
| Gtd. Notes | 7.375 % | 07/01/28 | 25 | $11,259 | |
| Gtd. Notes | 7.750 | 07/01/26 | 50 | 32,019 | |
| DISH Network Corp., Sr. Sec’d. Notes, 144A | 11.750 | 11/15/27 | 250 | 251,121 | |
| FactSet Research Systems, Inc., Sr. Unsec’d. Notes | 3.450 | 03/01/32 | 790 | 681,544 | |
| Univision Communications, Inc., Sr. Sec’d. Notes, 144A | 8.000 | 08/15/28 | 80 | 78,778 | |
| Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes | 4.250 | 01/15/30 | GBP | 306 | 325,655 |
| 2,757,550 | |||||
| Mining 1.0% | |||||
| Freeport-McMoRan, Inc., Gtd. Notes | 5.400 | 11/14/34 | 135 | 132,125 | |
| Hecla Mining Co., Gtd. Notes | 7.250 | 02/15/28 | 25 | 25,193 | |
| Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT (Indonesia), Sr. Unsec’d. Notes | 4.750 | 05/15/25 | 200 | 197,622 | |
| Kinross Gold Corp. (Canada), | |||||
| Gtd. Notes | 4.500 | 07/15/27 | 150 | 145,430 | |
| Sr. Unsec’d. Notes | 6.250 | 07/15/33 | 320 | 330,765 | |
| Newmont Corp., | |||||
| Gtd. Notes | 2.250 | 10/01/30 | 160 | 135,039 | |
| Gtd. Notes | 2.600 | 07/15/32 | 265 | 218,996 | |
| Gtd. Notes | 5.875 | 04/01/35 | 580 | 595,131 | |
| Newmont Corp./Newcrest Finance Pty Ltd., Gtd. Notes, 144A | 5.350 | 03/15/34 | 350 | 347,842 | |
| Novelis Corp., Gtd. Notes, 144A | 3.250 | 11/15/26 | 200 | 186,668 | |
| 2,314,811 | |||||
| Miscellaneous Manufacturing 0.0% | |||||
| Teledyne Technologies, Inc., Gtd. Notes | 2.750 | 04/01/31 | 115 | 97,272 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Office/Business Equipment 0.3% | |||||
| CDW LLC/CDW Finance Corp., | |||||
| Gtd. Notes | 2.670 % | 12/01/26 | 140 | $130,574 | |
| Gtd. Notes | 3.250 | 02/15/29 | 600 | 541,964 | |
| 672,538 | |||||
| Oil & Gas 2.4% | |||||
| Aker BP ASA (Norway), | |||||
| Gtd. Notes, 144A | 3.100 | 07/15/31 | 250 | 211,785 | |
| Sr. Unsec’d. Notes, 144A | 3.750 | 01/15/30 | 445 | 406,918 | |
| Sr. Unsec’d. Notes, 144A | 4.000 | 01/15/31 | 240 | 216,103 | |
| Sr. Unsec’d. Notes, 144A | 6.000 | 06/13/33 | 250 | 251,960 | |
| Antero Resources Corp., Gtd. Notes, 144A | 5.375 | 03/01/30 | 50 | 47,865 | |
| BP Capital Markets America, Inc., Gtd. Notes | 4.812 | 02/13/33 | 300 | 290,152 | |
| Canadian Natural Resources Ltd. (Canada), Sr. Unsec’d. Notes | 5.850 | 02/01/35 | 250 | 248,510 | |
| Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes | 3.750 | 02/15/52 | 100 | 70,705 | |
| Chesapeake Energy Corp., Gtd. Notes, 144A | 5.875 | 02/01/29 | 125 | 122,918 | |
| CITGO Petroleum Corp., Sr. Sec’d. Notes, 144A | 7.000 | 06/15/25 | 75 | 75,083 | |
| Civitas Resources, Inc., | |||||
| Gtd. Notes, 144A | 5.000 | 10/15/26 | 100 | 97,496 | |
| Gtd. Notes, 144A | 8.375 | 07/01/28 | 25 | 26,267 | |
| Gtd. Notes, 144A | 8.625 | 11/01/30 | 25 | 26,738 | |
| Crescent Energy Finance LLC, | |||||
| Gtd. Notes, 144A | 7.625 | 04/01/32 | 45 | 45,918 | |
| Gtd. Notes, 144A | 9.250 | 02/15/28 | 40 | 42,414 | |
| Devon Energy Corp., Sr. Unsec’d. Notes | 5.875 | 06/15/28 | 95 | 95,224 | |
| Diamondback Energy, Inc., | |||||
| Gtd. Notes | 5.400 | 04/18/34 | 345 | 340,213 | |
| Gtd. Notes | 6.250 | 03/15/33 | 275 | 287,400 | |
| Ecopetrol SA (Colombia), | |||||
| Sr. Unsec’d. Notes | 6.875 | 04/29/30 | 30 | 28,613 | |
| Sr. Unsec’d. Notes | 8.625 | 01/19/29 | 220 | 229,090 | |
| Sr. Unsec’d. Notes | 8.875 | 01/13/33 | 100 | 102,375 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Oil & Gas (cont’d.) | |||||
| Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 5.750 % | 01/30/28 | 75 | $75,810 | |
| Energean Israel Finance Ltd. (Israel), | |||||
| Sr. Sec’d. Notes, 144A | 4.875 | 03/30/26 | 90 | 85,387 | |
| Sr. Sec’d. Notes, 144A | 5.375 | 03/30/28 | 144 | 129,978 | |
| Helmerich & Payne, Inc., Sr. Unsec’d. Notes | 2.900 | 09/29/31 | 65 | 53,937 | |
| Hilcorp Energy I LP/Hilcorp Finance Co., | |||||
| Sr. Unsec’d. Notes, 144A | 6.000 | 04/15/30 | 15 | 14,480 | |
| Sr. Unsec’d. Notes, 144A | 6.250 | 04/15/32 | 75 | 71,990 | |
| Permian Resources Operating LLC, Gtd. Notes, 144A | 8.000 | 04/15/27 | 75 | 77,000 | |
| Petrobras Global Finance BV (Brazil), | |||||
| Gtd. Notes | 5.375 | 10/01/29 | GBP | 160 | 190,339 |
| Gtd. Notes, EMTN | 6.250 | 12/14/26 | GBP | 100 | 126,350 |
| Petroleos Mexicanos (Mexico), | |||||
| Gtd. Notes | 4.750 | 02/26/29 | EUR | 100 | 95,123 |
| Gtd. Notes | 5.350 | 02/12/28 | 220 | 194,040 | |
| Gtd. Notes | 6.500 | 03/13/27 | 100 | 94,340 | |
| Gtd. Notes | 6.500 | 01/23/29 | 100 | 90,440 | |
| Gtd. Notes, EMTN | 2.750 | 04/21/27 | EUR | 270 | 258,640 |
| Gtd. Notes, EMTN | 4.875 | 02/21/28 | EUR | 230 | 227,036 |
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 2.150 | 01/15/31 | 125 | 104,929 | |
| Santos Finance Ltd. (Australia), Gtd. Notes, 144A | 6.875 | 09/19/33 | 380 | 397,059 | |
| Southwestern Energy Co., | |||||
| Gtd. Notes | 4.750 | 02/01/32 | 25 | 22,658 | |
| Gtd. Notes | 5.375 | 02/01/29 | 50 | 48,247 | |
| Transocean, Inc., Gtd. Notes, 144A | 8.250 | 05/15/29 | 35 | 34,990 | |
| Var Energi ASA (Norway), Sr. Unsec’d. Notes, 144A | 5.000 | 05/18/27 | 200 | 195,062 | |
| 5,851,582 | |||||
| Packaging & Containers 0.2% | |||||
| AptarGroup, Inc., Sr. Unsec’d. Notes | 3.600 | 03/15/32 | 140 | 121,584 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Packaging & Containers (cont’d.) | |||||
| Ball Corp., Gtd. Notes | 6.000 % | 06/15/29 | 50 | $50,099 | |
| Berry Global, Inc., Sr. Sec’d. Notes | 5.500 | 04/15/28 | 240 | 238,557 | |
| Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., Sr. Sec’d. Notes, 144A | 4.375 | 10/15/28 | 100 | 92,800 | |
| 503,040 | |||||
| Pharmaceuticals 0.8% | |||||
| AbbVie, Inc., Sr. Unsec’d. Notes | 4.050 | 11/21/39 | 265 | 228,360 | |
| AdaptHealth LLC, Gtd. Notes, 144A | 6.125 | 08/01/28 | 125 | 119,625 | |
| Bausch Health Cos., Inc., | |||||
| Gtd. Notes, 144A | 5.250 | 01/30/30 | 25 | 12,375 | |
| Gtd. Notes, 144A | 5.250 | 02/15/31 | 25 | 12,375 | |
| Gtd. Notes, 144A | 6.250 | 02/15/29 | 50 | 26,500 | |
| Gtd. Notes, 144A | 7.000 | 01/15/28 | 25 | 14,375 | |
| Sr. Sec’d. Notes, 144A | 4.875 | 06/01/28 | 25 | 18,063 | |
| Cigna Group (The), Sr. Unsec’d. Notes | 3.200 | 03/15/40 | 235 | 173,579 | |
| CVS Health Corp., | |||||
| Sr. Unsec’d. Notes | 2.700 | 08/21/40 | 130 | 86,138 | |
| Sr. Unsec’d. Notes | 3.250 | 08/15/29 | 225 | 203,141 | |
| Merck & Co., Inc., Sr. Unsec’d. Notes | 2.900 | 12/10/61 | 55 | 32,734 | |
| Organon & Co./Organon Foreign Debt Co-Issuer BV, Sr. Unsec’d. Notes, 144A | 5.125 | 04/30/31 | 200 | 176,656 | |
| Shire Acquisitions Investments Ireland DAC, Gtd. Notes | 3.200 | 09/23/26 | 225 | 214,429 | |
| Utah Acquisition Sub, Inc., Gtd. Notes | 3.950 | 06/15/26 | 460 | 443,776 | |
| Viatris, Inc., Gtd. Notes | 3.850 | 06/22/40 | 125 | 91,158 | |
| 1,853,284 | |||||
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines 3.0% | |||||
| Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 6.625 % | 02/01/32 | 60 | $60,116 | |
| Columbia Pipelines Operating Co. LLC, Sr. Unsec’d. Notes, 144A | 6.036 | 11/15/33 | 670 | 683,297 | |
| DCP Midstream Operating LP, | |||||
| Gtd. Notes | 5.625 | 07/15/27 | 540 | 545,542 | |
| Gtd. Notes, 144A | 6.750 | 09/15/37 | 310 | 331,264 | |
| Energy Transfer LP, | |||||
| Jr. Sub. Notes, Series G | 7.125(ff) | 05/15/30(oo) | 315 | 307,905 | |
| Sr. Unsec’d. Notes | 5.000 | 05/15/50 | 220 | 186,738 | |
| Sr. Unsec’d. Notes | 5.400 | 10/01/47 | 285 | 255,954 | |
| Sr. Unsec’d. Notes | 6.400 | 12/01/30 | 35 | 36,619 | |
| Sr. Unsec’d. Notes | 6.550 | 12/01/33 | 590 | 622,815 | |
| EQM Midstream Partners LP, | |||||
| Sr. Unsec’d. Notes, 144A | 7.500 | 06/01/27 | 25 | 25,521 | |
| Sr. Unsec’d. Notes, 144A | 7.500 | 06/01/30 | 25 | 26,407 | |
| MPLX LP, | |||||
| Sr. Unsec’d. Notes | 1.750 | 03/01/26 | 360 | 337,219 | |
| Sr. Unsec’d. Notes | 4.950 | 03/14/52 | 55 | 46,823 | |
| Sr. Unsec’d. Notes | 5.200 | 03/01/47 | 105 | 94,277 | |
| Sr. Unsec’d. Notes | 5.500 | 06/01/34 | 460 | 449,974 | |
| Sr. Unsec’d. Notes | 5.500 | 02/15/49 | 55 | 50,883 | |
| ONEOK Partners LP, Gtd. Notes | 6.850 | 10/15/37 | 400 | 428,491 | |
| ONEOK, Inc., | |||||
| Gtd. Notes | 4.450 | 09/01/49 | 150 | 118,361 | |
| Gtd. Notes | 5.200 | 07/15/48 | 65 | 57,556 | |
| Gtd. Notes | 6.050 | 09/01/33 | 130 | 133,137 | |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes, 144A | 5.500 | 01/15/28 | 75 | 71,681 | |
| Targa Resources Corp., | |||||
| Gtd. Notes | 4.200 | 02/01/33 | 40 | 35,910 | |
| Gtd. Notes | 6.500 | 03/30/34 | 665 | 701,976 | |
| Western Midstream Operating LP, | |||||
| Sr. Unsec’d. Notes | 4.500 | 03/01/28 | 248 | 239,358 | |
| Sr. Unsec’d. Notes | 4.650 | 07/01/26 | 150 | 146,838 | |
| Sr. Unsec’d. Notes | 6.350 | 01/15/29 | 135 | 139,069 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Pipelines (cont’d.) | |||||
| Williams Cos., Inc. (The), | |||||
| Sr. Unsec’d. Notes | 2.600 % | 03/15/31 | 465 | $391,208 | |
| Sr. Unsec’d. Notes | 3.500 | 11/15/30 | 450 | 405,367 | |
| Sr. Unsec’d. Notes | 5.150 | 03/15/34 | 255 | 247,547 | |
| Sr. Unsec’d. Notes | 5.400 | 03/02/26 | 95 | 94,881 | |
| 7,272,734 | |||||
| Real Estate 0.1% | |||||
| Howard Hughes Corp. (The), | |||||
| Gtd. Notes, 144A | 4.375 | 02/01/31 | 50 | 42,612 | |
| Gtd. Notes, 144A | 5.375 | 08/01/28 | 150 | 142,046 | |
| 184,658 | |||||
| Real Estate Investment Trusts (REITs) 3.0% | |||||
| Alexandria Real Estate Equities, Inc., | |||||
| Gtd. Notes | 4.750 | 04/15/35 | 30 | 27,835 | |
| Gtd. Notes | 5.250 | 05/15/36 | 485 | 465,252 | |
| American Tower Corp., Sr. Unsec’d. Notes | 3.950 | 03/15/29 | 660 | 618,945 | |
| Brixmor Operating Partnership LP, | |||||
| Sr. Unsec’d. Notes | 3.900 | 03/15/27 | 700 | 668,675 | |
| Sr. Unsec’d. Notes | 4.050 | 07/01/30 | 145 | 133,504 | |
| Sr. Unsec’d. Notes | 5.500 | 02/15/34 | 185 | 180,625 | |
| Sr. Unsec’d. Notes | 5.750 | 02/15/35 | 75 | 74,297 | |
| COPT Defense Properties LP, Gtd. Notes | 2.750 | 04/15/31 | 115 | 94,659 | |
| Crown Castle, Inc., | |||||
| Sr. Unsec’d. Notes | 4.800 | 09/01/28 | 255 | 248,929 | |
| Sr. Unsec’d. Notes | 5.600 | 06/01/29 | 140 | 140,887 | |
| Diversified Healthcare Trust, | |||||
| Gtd. Notes | 4.375 | 03/01/31 | 75 | 54,195 | |
| Gtd. Notes | 9.750 | 06/15/25 | 25 | 25,014 | |
| Sr. Unsec’d. Notes | 4.750 | 02/15/28 | 25 | 20,571 | |
| Extra Space Storage LP, Gtd. Notes | 3.900 | 04/01/29 | 135 | 126,531 | |
| GLP Capital LP/GLP Financing II, Inc., | |||||
| Gtd. Notes | 3.250 | 01/15/32 | 55 | 45,678 | |
| Gtd. Notes | 5.250 | 06/01/25 | 160 | 158,909 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Real Estate Investment Trusts (REITs) (cont’d.) | |||||
| GLP Capital LP/GLP Financing II, Inc., (cont’d.) | |||||
| Gtd. Notes | 5.375 % | 04/15/26 | 850 | $842,286 | |
| Invitation Homes Operating Partnership LP, Gtd. Notes | 5.450 | 08/15/30 | 280 | 278,953 | |
| Kimco Realty OP LLC, Gtd. Notes | 4.600 | 02/01/33 | 335 | 312,656 | |
| MPT Operating Partnership LP/MPT Finance Corp., | |||||
| Gtd. Notes | 3.500 | 03/15/31 | 75 | 48,681 | |
| Gtd. Notes | 5.000 | 10/15/27 | 75 | 61,480 | |
| Realty Income Corp., | |||||
| Sr. Unsec’d. Notes | 2.700 | 02/15/32 | 135 | 111,846 | |
| Sr. Unsec’d. Notes | 4.700 | 12/15/28 | 270 | 263,450 | |
| RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes, 144A | 6.500 | 04/01/32 | 95 | 94,402 | |
| SBA Communications Corp., Sr. Unsec’d. Notes | 3.125 | 02/01/29 | 150 | 132,247 | |
| Sun Communities Operating LP, | |||||
| Gtd. Notes | 2.300 | 11/01/28 | 155 | 135,403 | |
| Gtd. Notes | 4.200 | 04/15/32 | 80 | 71,468 | |
| Gtd. Notes | 5.500 | 01/15/29 | 455 | 452,549 | |
| Gtd. Notes | 5.700 | 01/15/33 | 45 | 44,316 | |
| VICI Properties LP, Sr. Unsec’d. Notes | 4.750 | 02/15/28 | 60 | 58,317 | |
| VICI Properties LP/VICI Note Co., Inc., Gtd. Notes, 144A | 5.750 | 02/01/27 | 1,000 | 998,678 | |
| Welltower OP LLC, Gtd. Notes | 4.250 | 04/15/28 | 175 | 168,401 | |
| 7,159,639 | |||||
| Retail 0.3% | |||||
| 1011778 BC ULC/New Red Finance, Inc. (Canada), Sr. Sec’d. Notes, 144A | 3.500 | 02/15/29 | 25 | 22,406 | |
| Brinker International, Inc., Gtd. Notes, 144A | 8.250 | 07/15/30 | 75 | 78,326 | |
| eG Global Finance PLC (United Kingdom), | |||||
| Sr. Sec’d. Notes, 144A | 11.000 | 11/30/28 | EUR | 100 | 111,380 |
| Sr. Sec’d. Notes, 144A | 12.000 | 11/30/28 | 200 | 207,140 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Retail (cont’d.) | |||||
| Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Sr. Sec’d. Notes, 144A | 4.625 % | 01/15/29 | 75 | $67,741 | |
| Gap, Inc. (The), Gtd. Notes, 144A | 3.875 | 10/01/31 | 50 | 41,510 | |
| Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 6.750 | 03/01/32 | 40 | 39,270 | |
| Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes, 144A | 5.000 | 06/01/31 | 50 | 44,876 | |
| 612,649 | |||||
| Semiconductors 0.2% | |||||
| Broadcom, Inc., | |||||
| Sr. Unsec’d. Notes, 144A | 3.137 | 11/15/35 | 205 | 162,768 | |
| Sr. Unsec’d. Notes, 144A | 3.419 | 04/15/33 | 490 | 418,637 | |
| 581,405 | |||||
| Shipbuilding 0.4% | |||||
| Huntington Ingalls Industries, Inc., Gtd. Notes | 2.043 | 08/16/28 | 1,000 | 873,389 | |
| Software 0.2% | |||||
| Fiserv, Inc., | |||||
| Sr. Unsec’d. Notes | 5.375 | 08/21/28 | 130 | 130,250 | |
| Sr. Unsec’d. Notes | 5.450 | 03/02/28 | 140 | 140,692 | |
| Oracle Corp., | |||||
| Sr. Unsec’d. Notes | 3.600 | 04/01/50 | 180 | 125,282 | |
| Sr. Unsec’d. Notes | 5.550 | 02/06/53 | 50 | 47,195 | |
| 443,419 | |||||
| Telecommunications 1.2% | |||||
| AT&T, Inc., | |||||
| Sr. Unsec’d. Notes | 3.550 | 09/15/55 | 275 | 184,737 | |
| Sr. Unsec’d. Notes | 5.400 | 02/15/34 | 750 | 743,998 | |
| Level 3 Financing, Inc., Sr. Sec’d. Notes, 144A | 11.000 | 11/15/29 | 500 | 513,140 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Corporate Bonds (Continued) | |||||
| Telecommunications (cont’d.) | |||||
| Motorola Solutions, Inc., Sr. Unsec’d. Notes | 5.400 % | 04/15/34 | 740 | $731,414 | |
| T-Mobile USA, Inc., | |||||
| Gtd. Notes | 2.550 | 02/15/31 | 450 | 379,222 | |
| Gtd. Notes | 3.750 | 04/15/27 | 45 | 43,142 | |
| Verizon Communications, Inc., Sr. Unsec’d. Notes | 3.150 | 03/22/30 | 235 | 210,584 | |
| 2,806,237 | |||||
| Transportation 0.3% | |||||
| GN Bondco LLC, Sr. Sec’d. Notes, 144A | 9.500 | 10/15/31 | 325 | 295,495 | |
| RXO, Inc., Gtd. Notes, 144A | 7.500 | 11/15/27 | 275 | 283,092 | |
| XPO, Inc., Sr. Sec’d. Notes, 144A | 6.250 | 06/01/28 | 100 | 99,985 | |
| 678,572 | |||||
| Trucking & Leasing 0.1% | |||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A | 5.750 | 05/24/26 | 300 | 301,069 | |
| Total Corporate Bonds (cost $84,320,532) | 82,319,341 | ||||
| Floating Rate and Other Loans 0.2% | |||||
| Auto Parts & Equipment 0.0% | |||||
| Tenneco, Inc., Term A Loan, 3 Month SOFR + 4.850% | 10.173(c) | 11/17/28 | 100 | 96,672 | |
| Computers 0.1% | |||||
| McAfee Corp., Tranche B-1 Term Loan, 1 Month SOFR + 3.750% | 8.593(c) | 03/01/29 | 249 | 249,248 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Floating Rate and Other Loans (Continued) | |||||
| Media 0.1% | |||||
| CSC Holdings LLC, 2022 Refinancing Term Loan, 1 Month SOFR + 4.500% | 9.817 %(c) | 01/18/28 | 100 | $95,793 | |
| Diamond Sports Group LLC, | |||||
| Dip Term Loan | —(p) | 12/02/24 | 15 | 21,542 | |
| First Lien Term Loan, 1 Month SOFR + 10.100% | 15.413(c) | 05/25/26 | 22 | 20,899 | |
| Second Lien Term Loan | 8.175 | 08/24/26(d) | 25 | 469 | |
| 138,703 | |||||
| Total Floating Rate and Other Loans (cost $478,070) | 484,623 | ||||
| Municipal Bonds 0.3% | |||||
| California 0.2% | |||||
| Regents of the University of California Medical Center Pooled Revenue, Taxable, Revenue Bonds, Series Q | 4.563 | 05/15/53 | 520 | 455,544 | |
| Michigan 0.1% | |||||
| Michigan State University, Taxable, Revenue Bonds, Series A | 4.165 | 08/15/2122 | 45 | 33,906 | |
| University of Michigan, Taxable, Revenue Bonds, Series A | 4.454 | 04/01/2122 | 100 | 81,299 | |
| 115,205 | |||||
| Minnesota 0.0% | |||||
| University of Minnesota, Taxable, Revenue Bonds | 4.048 | 04/01/52 | 95 | 80,311 | |
| Total Municipal Bonds (cost $702,996) | 651,060 | ||||
| Residential Mortgage-Backed Securities 1.6% | |||||
| Citigroup Mortgage Loan Trust, Series 2022-A, Class A1, 144A | 6.170 | 09/25/62 | 86 | 86,051 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Connecticut Avenue Securities Trust, | |||||
| Series 2022-R03, Class 1B1, 144A, 30 Day Average SOFR + 6.250% (Cap N/A, Floor 0.000%) | 11.574 %(c) | 03/25/42 | 15 | $16,703 | |
| Series 2022-R04, Class 1B1, 144A, 30 Day Average SOFR + 5.250% (Cap N/A, Floor 0.000%) | 10.574(c) | 03/25/42 | 20 | 21,736 | |
| Series 2023-R05, Class 1M2, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 3.100%) | 8.424(c) | 06/25/43 | 100 | 105,578 | |
| Series 2023-R06, Class 1M2, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 0.000%) | 8.024(c) | 07/25/43 | 100 | 103,973 | |
| Credit Suisse Mortgage Trust, Series 2022-RPL04, Class A1, 144A | 3.904(cc) | 04/25/62 | 84 | 78,680 | |
| FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
| Series 2021-DNA01, Class B1, 144A, 30 Day Average SOFR + 2.650% (Cap N/A, Floor 0.000%) | 7.974(c) | 01/25/51 | 300 | 319,085 | |
| Series 2021-DNA06, Class M2, 144A, 30 Day Average SOFR + 1.500% (Cap N/A, Floor 0.000%) | 6.824(c) | 10/25/41 | 200 | 201,032 | |
| Series 2022-DNA01, Class M1B, 144A, 30 Day Average SOFR + 1.850% (Cap N/A, Floor 0.000%) | 7.174(c) | 01/25/42 | 300 | 303,189 | |
| Series 2022-DNA02, Class M1B, 144A, 30 Day Average SOFR + 2.400% (Cap N/A, Floor 0.000%) | 7.724(c) | 02/25/42 | 100 | 102,492 | |
| Series 2022-DNA03, Class M1B, 144A, 30 Day Average SOFR + 2.900% (Cap N/A, Floor 0.000%) | 8.224(c) | 04/25/42 | 310 | 322,320 | |
| Series 2022-DNA06, Class M1B, 144A, 30 Day Average SOFR + 3.700% (Cap N/A, Floor 0.000%) | 9.024(c) | 09/25/42 | 600 | 638,628 | |
| PMT Credit Risk Transfer Trust, | |||||
| Series 2019-02R, Class A, 144A, 1 Month SOFR + 3.864% (Cap N/A, Floor 2.750%) | 9.193(c) | 05/30/25 | 243 | 242,795 | |
| Series 2024-01R, Class A, 144A, 30 Day Average SOFR + 3.500% (Cap N/A, Floor 0.000%) | 8.824(c) | 05/25/33 | 782 | 787,635 | |
| Series 2024-02R, Class A, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 8.674(c) | 03/29/27 | 393 | 394,861 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Radnor Re Ltd., Series 2023-01, Class M1A, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 2.700%) | 8.024 %(c) | 07/25/33 | 150 | $151,936 | |
| Total Residential Mortgage-Backed Securities (cost $3,734,565) | 3,876,694 | ||||
| Sovereign Bonds 0.7% | |||||
| Brazil Minas SPE via State of Minas Gerais (Brazil), Gov’t. Gtd. Notes | 5.333 | 02/15/28 | 80 | 78,875 | |
| Dominican Republic International Bond (Dominican Republic), | |||||
| Sr. Unsec’d. Notes, 144A | 5.500 | 02/22/29 | 300 | 289,219 | |
| Sr. Unsec’d. Notes, 144A | 6.875 | 01/29/26 | 100 | 101,188 | |
| Indonesia Government International Bond (Indonesia), | |||||
| Sr. Unsec’d. Notes | 0.900 | 02/14/27 | EUR | 150 | 149,880 |
| Sr. Unsec’d. Notes | 1.100 | 03/12/33 | EUR | 100 | 85,925 |
| Romanian Government International Bond (Romania), | |||||
| Sr. Unsec’d. Notes, EMTN | 1.750 | 07/13/30 | EUR | 160 | 142,426 |
| Sr. Unsec’d. Notes, EMTN | 5.500 | 09/18/28 | EUR | 170 | 190,112 |
| Serbia International Bond (Serbia), | |||||
| Sr. Unsec’d. Notes | 1.500 | 06/26/29 | EUR | 100 | 91,844 |
| Sr. Unsec’d. Notes | 3.125 | 05/15/27 | EUR | 300 | 312,137 |
| Sr. Unsec’d. Notes, 144A | 6.250 | 05/26/28 | 200 | 201,954 | |
| Ukraine Government International Bond (Ukraine), Sr. Unsec’d. Notes | 7.750 | 09/01/26(d) | 100 | 30,250 | |
| Total Sovereign Bonds (cost $1,812,349) | 1,673,810 | ||||
| U.S. Government Agency Obligations 17.3% | |||||
| Federal Home Loan Mortgage Corp. | 2.000 | 11/01/50 | 502 | 390,894 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 03/01/51 | 504 | 391,047 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 05/01/51 | 1,234 | 957,004 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 03/01/51 | 547 | 445,048 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 04/01/51 | 456 | 370,776 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 08/01/51 | 2,973 | 2,443,319 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 01/01/52 | 502 | 412,256 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/52 | 431 | 365,345 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 3.000 % | 01/01/52 | 1,175 | $1,005,066 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 02/01/52 | 425 | 358,259 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 03/01/52 | 199 | 169,717 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 03/01/52 | 566 | 484,477 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/52 | 546 | 464,568 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/52 | 998 | 853,394 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/43 | 438 | 398,669 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/52 | 505 | 459,461 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 06/01/52 | 1,047 | 980,708 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 08/01/52 | 107 | 107,760 | |
| Federal National Mortgage Assoc. | 1.500 | 05/01/36 | 720 | 612,854 | |
| Federal National Mortgage Assoc. | 1.500 | 02/01/51 | 728 | 537,178 | |
| Federal National Mortgage Assoc. | 2.000 | TBA | 3,000 | 2,313,944 | |
| Federal National Mortgage Assoc. | 2.000 | 11/01/50 | 879 | 686,559 | |
| Federal National Mortgage Assoc. | 2.000 | 04/01/51 | 2,290 | 1,777,417 | |
| Federal National Mortgage Assoc. | 2.500 | TBA(tt) | 1,500 | 1,211,023 | |
| Federal National Mortgage Assoc. | 2.500 | TBA | 1,500 | 1,212,137 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/49 | 344 | 281,338 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/50 | 142 | 115,981 | |
| Federal National Mortgage Assoc. | 2.500 | 07/01/51 | 730 | 592,293 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/51 | 502 | 407,005 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/52 | 503 | 407,312 | |
| Federal National Mortgage Assoc. | 3.000 | TBA | 500 | 420,386 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/51 | 415 | 350,542 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/52 | 200 | 169,432 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/52 | 968 | 815,082 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/52 | 944 | 794,841 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/52 | 1,005 | 845,774 | |
| Federal National Mortgage Assoc. | 3.500 | TBA | 1,000 | 877,051 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/52 | 807 | 712,856 | |
| Federal National Mortgage Assoc. | 4.000 | 05/01/52 | 1,514 | 1,376,758 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/52 | 496 | 450,815 | |
| Federal National Mortgage Assoc. | 4.500 | 06/01/52 | 1,340 | 1,255,300 | |
| Federal National Mortgage Assoc. | 5.000 | TBA | 500 | 481,143 | |
| Federal National Mortgage Assoc. | 5.000 | 06/01/52 | 208 | 200,675 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/52 | 670 | 646,092 | |
| Federal National Mortgage Assoc. | 5.500 | TBA | 500 | 491,889 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/52 | 2,439 | 2,406,470 | |
| Federal National Mortgage Assoc. | 6.000 | TBA | 1,000 | 1,000,983 | |
| Federal National Mortgage Assoc. | 6.000 | TBA | 2,000 | 2,002,747 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/52 | 94 | 94,353 | |
| Federal National Mortgage Assoc. | 6.000 | 12/01/52 | 389 | 390,891 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 2.000 % | 01/20/51 | 496 | $398,129 | |
| Government National Mortgage Assoc. | 2.500 | 04/20/51 | 505 | 421,200 | |
| Government National Mortgage Assoc. | 2.500 | 09/20/51 | 939 | 782,521 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/51 | 1,098 | 949,475 | |
| Government National Mortgage Assoc. | 3.500 | 08/20/50 | 174 | 156,342 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/51 | 431 | 385,122 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/52 | 940 | 838,955 | |
| Government National Mortgage Assoc. | 5.000 | 09/20/52 | 466 | 452,793 | |
| Government National Mortgage Assoc. | 5.500 | 09/20/52 | 212 | 210,063 | |
| Total U.S. Government Agency Obligations (cost $42,392,085) | 41,591,489 | ||||
| U.S. Treasury Obligations 15.9% | |||||
| U.S. Treasury Bonds(k) | 2.000 | 11/15/41 | 4,460 | 3,023,044 | |
| U.S. Treasury Bonds | 2.250 | 05/15/41 | 2,375 | 1,697,383 | |
| U.S. Treasury Bonds(h) | 2.375 | 02/15/42 | 4,245 | 3,053,747 | |
| U.S. Treasury Bonds | 2.375 | 05/15/51 | 525 | 340,348 | |
| U.S. Treasury Bonds | 3.000 | 02/15/49 | 9,850 | 7,364,414 | |
| U.S. Treasury Bonds | 3.375 | 11/15/48 | 7,450 | 5,973,969 | |
| U.S. Treasury Bonds | 4.000 | 11/15/52 | 1,110 | 996,919 | |
| U.S. Treasury Bonds | 4.125 | 08/15/53 | 375 | 344,004 | |
| U.S. Treasury Bonds | 4.250 | 02/15/54 | 465 | 436,228 | |
| U.S. Treasury Bonds | 4.750 | 11/15/53 | 470 | 478,959 | |
| U.S. Treasury Notes | 2.750 | 08/15/32 | 2,400 | 2,114,250 | |
| U.S. Treasury Notes | 3.875 | 12/31/29 | 3,285 | 3,181,830 | |
| U.S. Treasury Notes | 4.625 | 09/30/30 | 4,880 | 4,909,737 | |
| U.S. Treasury Notes | 4.625 | 04/30/31 | 760 | 765,700 | |
| U.S. Treasury Strips Coupon(k) | 2.974(s) | 11/15/41 | 2,425 | 1,035,172 | |
| U.S. Treasury Strips Coupon | 4.634(s) | 02/15/42 | 720 | 303,328 | |
| U.S. Treasury Strips Coupon | 4.645(s) | 08/15/40 | 825 | 376,696 | |
| U.S. Treasury Strips Coupon | 4.686(s) | 02/15/41 | 730 | 324,337 | |
| U.S. Treasury Strips Coupon | 4.908(s) | 05/15/42 | 1,210 | 503,379 | |
| U.S. Treasury Strips Coupon(k) | 5.349(s) | 05/15/40 | 2,080 | 964,356 | |
| Total U.S. Treasury Obligations (cost $40,564,429) | 38,187,800 | ||||
| Total Long-Term Investments (cost $255,814,806) | 250,874,992 | ||||
| Description | Shares | Value | |||
| Short-Term Investment 0.9% | |||||
| Affiliated Mutual Fund | |||||
| PGIM Core Government Money Market Fund (7-day effective yield 5.550%) (cost $2,206,657)(wb) | 2,206,657 | $2,206,657 | |||
| TOTAL INVESTMENTS 105.2% (cost $258,021,463) | 253,081,649 | ||||
| Liabilities in excess of other assets(z) (5.2)% | (12,397,770) | ||||
| Net Assets 100.0% | $240,683,879 | ||||
| Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
| BRL—Brazilian Real | |
| CLP—Chilean Peso | |
| CNH—Chinese Renminbi | |
| COP—Colombian Peso | |
| CZK—Czech Koruna | |
| EUR—Euro | |
| GBP—British Pound | |
| HUF—Hungarian Forint | |
| IDR—Indonesian Rupiah | |
| INR—Indian Rupee | |
| JPY—Japanese Yen | |
| KRW—South Korean Won | |
| MXN—Mexican Peso | |
| PEN—Peruvian Nuevo Sol | |
| PHP—Philippine Peso | |
| PLN—Polish Zloty | |
| SGD—Singapore Dollar | |
| THB—Thai Baht | |
| TRY—Turkish Lira | |
| TWD—New Taiwanese Dollar | |
| ZAR—South African Rand |
| 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. | |
| A—Annual payment frequency for swaps | |
| BNP—BNP Paribas S.A. | |
| BOA—Bank of America, N.A. | |
| CDX—Credit Derivative Index | |
| CITI—Citibank, N.A. | |
| CLO—Collateralized Loan Obligation | |
| CME—Chicago Mercantile Exchange | |
| DAC—Designated Activity Company | |
| DB—Deutsche Bank AG | |
| EMTN—Euro Medium Term Note | |
| EURIBOR—Euro Interbank Offered Rate |
| GMTN—Global Medium Term Note | |
| GSI—Goldman Sachs International | |
| IO—Interest Only (Principal amount represents notional) | |
| JPM—JPMorgan Chase Bank N.A. | |
| LP—Limited Partnership | |
| MSI—Morgan Stanley & Co International PLC | |
| MTN—Medium Term Note | |
| OTC—Over-the-counter | |
| Q—Quarterly payment frequency for swaps | |
| REITs—Real Estate Investment Trust | |
| REMIC—Real Estate Mortgage Investment Conduit | |
| SOFR—Secured Overnight Financing Rate | |
| SONIA—Sterling Overnight Index Average | |
| SSB—State Street Bank & Trust Company | |
| STRIPs—Separate Trading of Registered Interest and Principal of Securities | |
| T—Swap payment upon termination | |
| TBA—To Be Announced | |
| TD—The Toronto-Dominion Bank | |
| USOIS—United States Overnight Index Swap |
| # | 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 May 31, 2024. |
| (cc) | Variable rate instrument. The rate shown is based on the latest available information as of May 31, 2024. 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. |
| (d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
| (f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $40,688. The aggregate value of $4,096 is 0.0% of net assets. |
| (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. |
| (h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
| (k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (oo) | Perpetual security. Maturity date represents next call date. |
| (p) | Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end. |
| (s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $1,500,000 is 0.6% of net assets. |
| (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 May 31, 2024: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 18 | 3 Month CME SOFR | Jun. 2024 | $4,259,250 | $(100) | ||||
| 11 | 3 Month CME SOFR | Sep. 2024 | 2,603,288 | (3,937) | ||||
| 183 | 2 Year U.S. Treasury Notes | Sep. 2024 | 37,277,672 | (16,426) | ||||
| 54 | 5 Year U.S. Treasury Notes | Sep. 2024 | 5,713,031 | (3,880) | ||||
| 28 | 10 Year U.S. Treasury Notes | Sep. 2024 | 3,046,313 | (11,377) | ||||
| 22 | 10 Year U.S. Ultra Treasury Notes | Sep. 2024 | 2,464,688 | 719 | ||||
| 39 | 20 Year U.S. Treasury Bonds | Sep. 2024 | 4,526,438 | (32,008) | ||||
| 4 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2024 | 489,750 | (4,193) | ||||
| (71,202) | ||||||||
| Short Positions: | ||||||||
| 4 | 5 Year Euro-Bobl | Sep. 2024 | (500,816) | (893) | ||||
| 3 | 10 Year Euro-Bund | Jun. 2024 | (421,021) | 8,556 | ||||
| 7,663 | ||||||||
| $(63,539) | ||||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Brazilian Real, | |||||||||||||
| Expiring 06/04/24 | DB | BRL | 1,243 | $241,269 | $236,568 | $— | $(4,701) | ||||||
| Expiring 06/04/24 | GSI | BRL | 747 | 147,000 | 142,218 | — | (4,782) | ||||||
| Expiring 06/04/24 | MSI | BRL | 807 | 157,000 | 153,590 | — | (3,410) | ||||||
| Expiring 07/02/24 | GSI | BRL | 2,797 | 537,952 | 530,770 | — | (7,182) | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 06/21/24 | BOA | CLP | 43,005 | 47,000 | 46,827 | — | (173) | ||||||
| Expiring 06/21/24 | CITI | CLP | 70,057 | 74,000 | 76,283 | 2,283 | — | ||||||
| Expiring 06/21/24 | CITI | CLP | 69,738 | 74,000 | 75,935 | 1,935 | — | ||||||
| Expiring 06/21/24 | MSI | CLP | 154,516 | 170,000 | 168,249 | — | (1,751) | ||||||
| Expiring 06/21/24 | MSI | CLP | 119,335 | 126,000 | 129,940 | 3,940 | — | ||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 06/20/24 | CITI | CNH | 1,730 | 239,000 | 238,576 | — | (424) | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 06/20/24 | BNP | COP | 359,836 | 90,860 | 92,803 | 1,943 | — | ||||||
| Expiring 06/20/24 | CITI | COP | 579,695 | 147,000 | 149,504 | 2,504 | — | ||||||
| Expiring 06/20/24 | CITI | COP | 459,116 | 115,275 | 118,407 | 3,132 | — | ||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Czech Koruna, | |||||||||||||
| Expiring 07/19/24 | BNP | CZK | 3,655 | $159,000 | $160,725 | $1,725 | $— | ||||||
| Expiring 07/19/24 | BNP | CZK | 2,947 | 127,424 | 129,607 | 2,183 | — | ||||||
| Expiring 07/19/24 | DB | CZK | 3,716 | 163,000 | 163,421 | 421 | — | ||||||
| Expiring 07/19/24 | MSI | CZK | 3,617 | 154,000 | 159,050 | 5,050 | — | ||||||
| Expiring 07/19/24 | SSB | CZK | 3,757 | 165,000 | 165,189 | 189 | — | ||||||
| Euro, | |||||||||||||
| Expiring 07/19/24 | DB | EUR | 63 | 67,587 | 68,514 | 927 | — | ||||||
| Hungarian Forint, | |||||||||||||
| Expiring 07/19/24 | CITI | HUF | 53,926 | 145,000 | 149,889 | 4,889 | — | ||||||
| Expiring 07/19/24 | CITI | HUF | 52,794 | 147,000 | 146,743 | — | (257) | ||||||
| Expiring 07/19/24 | CITI | HUF | 51,810 | 142,000 | 144,008 | 2,008 | — | ||||||
| Expiring 07/19/24 | JPM | HUF | 51,537 | 140,000 | 143,248 | 3,248 | — | ||||||
| Indian Rupee, | |||||||||||||
| Expiring 06/20/24 | BOA | INR | 19,547 | 234,000 | 234,099 | 99 | — | ||||||
| Expiring 06/20/24 | BOA | INR | 18,779 | 225,000 | 224,891 | — | (109) | ||||||
| Expiring 06/20/24 | CITI | INR | 20,582 | 246,000 | 246,485 | 485 | — | ||||||
| Expiring 06/20/24 | JPM | INR | 18,626 | 223,000 | 223,061 | 61 | — | ||||||
| Expiring 06/20/24 | JPM | INR | 5,937 | 71,467 | 71,106 | — | (361) | ||||||
| Expiring 06/20/24 | MSI | INR | 19,359 | 232,000 | 231,838 | — | (162) | ||||||
| Indonesian Rupiah, | |||||||||||||
| Expiring 06/20/24 | BOA | IDR | 2,203,744 | 136,000 | 135,480 | — | (520) | ||||||
| Expiring 06/20/24 | BOA | IDR | 1,490,304 | 96,000 | 91,619 | — | (4,381) | ||||||
| Expiring 06/20/24 | JPM | IDR | 3,631,728 | 232,000 | 223,268 | — | (8,732) | ||||||
| Expiring 06/20/24 | MSI | IDR | 9,644,001 | 621,024 | 592,885 | — | (28,139) | ||||||
| Japanese Yen, | |||||||||||||
| Expiring 07/19/24 | GSI | JPY | 10,541 | 69,000 | 67,546 | — | (1,454) | ||||||
| Mexican Peso, | |||||||||||||
| Expiring 06/20/24 | BOA | MXN | 9,956 | 588,189 | 584,891 | — | (3,298) | ||||||
| Expiring 06/20/24 | BOA | MXN | 2,839 | 167,000 | 166,766 | — | (234) | ||||||
| Expiring 06/20/24 | BOA | MXN | 2,555 | 151,000 | 150,106 | — | (894) | ||||||
| New Taiwanese Dollar, | |||||||||||||
| Expiring 06/20/24 | BOA | TWD | 7,039 | 221,000 | 216,856 | — | (4,144) | ||||||
| Expiring 06/20/24 | BOA | TWD | 6,664 | 209,000 | 205,307 | — | (3,693) | ||||||
| Expiring 06/20/24 | CITI | TWD | 7,140 | 227,000 | 219,967 | — | (7,033) | ||||||
| Expiring 06/20/24 | CITI | TWD | 6,354 | 200,000 | 195,757 | — | (4,243) | ||||||
| Expiring 06/20/24 | MSI | TWD | 8,360 | 264,000 | 257,564 | — | (6,436) | ||||||
| Expiring 06/20/24 | MSI | TWD | 7,568 | 237,000 | 233,157 | — | (3,843) | ||||||
| Peruvian Nuevo Sol, | |||||||||||||
| Expiring 06/20/24 | BOA | PEN | 430 | 116,000 | 115,293 | — | (707) | ||||||
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Philippine Peso, | |||||||||||||
| Expiring 06/20/24 | CITI | PHP | 25,602 | $462,176 | $437,371 | $— | $(24,805) | ||||||
| Expiring 06/20/24 | CITI | PHP | 25,018 | 428,000 | 427,388 | — | (612) | ||||||
| Expiring 06/20/24 | CITI | PHP | 14,584 | 258,000 | 249,151 | — | (8,849) | ||||||
| Expiring 06/20/24 | CITI | PHP | 12,227 | 216,000 | 208,870 | — | (7,130) | ||||||
| Expiring 06/20/24 | CITI | PHP | 6,126 | 107,000 | 104,648 | — | (2,352) | ||||||
| Expiring 06/20/24 | CITI | PHP | 6,109 | 107,000 | 104,356 | — | (2,644) | ||||||
| Expiring 06/20/24 | JPM | PHP | 13,152 | 232,000 | 224,671 | — | (7,329) | ||||||
| Expiring 06/20/24 | JPM | PHP | 8,864 | 160,000 | 151,426 | — | (8,574) | ||||||
| Expiring 06/20/24 | MSI | PHP | 30,055 | 543,069 | 513,435 | — | (29,634) | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 07/19/24 | BNP | PLN | 934 | 235,016 | 236,870 | 1,854 | — | ||||||
| Expiring 07/19/24 | MSI | PLN | 727 | 182,000 | 184,515 | 2,515 | — | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 06/20/24 | CITI | SGD | 679 | 502,000 | 502,812 | 812 | — | ||||||
| Expiring 06/20/24 | MSI | SGD | 373 | 276,000 | 276,355 | 355 | — | ||||||
| South African Rand, | |||||||||||||
| Expiring 06/20/24 | BNP | ZAR | 3,690 | 195,692 | 196,099 | 407 | — | ||||||
| Expiring 06/20/24 | CITI | ZAR | 3,316 | 172,000 | 176,238 | 4,238 | — | ||||||
| Expiring 06/20/24 | GSI | ZAR | 3,266 | 174,026 | 173,550 | — | (476) | ||||||
| South Korean Won, | |||||||||||||
| Expiring 06/20/24 | BOA | KRW | 310,924 | 228,000 | 224,995 | — | (3,005) | ||||||
| Expiring 06/20/24 | BOA | KRW | 222,430 | 164,000 | 160,958 | — | (3,042) | ||||||
| Expiring 06/20/24 | BOA | KRW | 154,826 | 117,000 | 112,037 | — | (4,963) | ||||||
| Thai Baht, | |||||||||||||
| Expiring 06/20/24 | MSI | THB | 4,347 | 120,000 | 118,346 | — | (1,654) | ||||||
| Turkish Lira, | |||||||||||||
| Expiring 06/03/24 | BNP | TRY | 2,316 | 71,000 | 71,671 | 671 | — | ||||||
| Expiring 06/03/24 | BNP | TRY | 2,279 | 68,000 | 70,543 | 2,543 | — | ||||||
| Expiring 07/03/24 | BNP | TRY | 2,358 | 69,000 | 71,013 | 2,013 | — | ||||||
| Expiring 07/03/24 | JPM | TRY | 4,623 | 134,000 | 139,201 | 5,201 | — | ||||||
| Expiring 07/10/24 | BNP | TRY | 6,187 | 181,000 | 184,972 | 3,972 | — | ||||||
| Expiring 07/17/24 | CITI | TRY | 3,650 | 106,500 | 108,320 | 1,820 | — | ||||||
| Expiring 07/17/24 | JPM | TRY | 3,648 | 106,500 | 108,277 | 1,777 | — | ||||||
| Expiring 07/24/24 | CITI | TRY | 4,825 | 142,731 | 142,158 | — | (573) | ||||||
| $14,099,757 | $13,958,252 | 65,200 | (206,705) | ||||||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Brazilian Real, | |||||||||||||
| Expiring 06/04/24 | GSI | BRL | 2,797 | $539,483 | $532,376 | $7,107 | $— | ||||||
| British Pound, | |||||||||||||
| Expiring 07/19/24 | BNP | GBP | 764 | 971,341 | 973,918 | — | (2,577) | ||||||
| Expiring 07/19/24 | JPM | GBP | 263 | 328,666 | 334,588 | — | (5,922) | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 06/21/24 | MSI | CLP | 182,589 | 186,000 | 198,816 | — | (12,816) | ||||||
| Expiring 06/21/24 | MSI | CLP | 103,527 | 106,000 | 112,728 | — | (6,728) | ||||||
| Expiring 06/21/24 | MSI | CLP | 63,950 | 71,000 | 69,633 | 1,367 | — | ||||||
| Expiring 06/21/24 | TD | CLP | 187,910 | 198,113 | 204,610 | — | (6,497) | ||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 06/20/24 | BNP | CNH | 1,172 | 161,918 | 161,553 | 365 | — | ||||||
| Expiring 06/20/24 | BOA | CNH | 1,875 | 260,000 | 258,529 | 1,471 | — | ||||||
| Expiring 06/20/24 | CITI | CNH | 2,129 | 294,000 | 293,572 | 428 | — | ||||||
| Expiring 06/20/24 | CITI | CNH | 1,911 | 264,000 | 263,451 | 549 | — | ||||||
| Expiring 06/20/24 | CITI | CNH | 1,888 | 262,000 | 260,332 | 1,668 | — | ||||||
| Expiring 06/20/24 | CITI | CNH | 1,804 | 250,000 | 248,717 | 1,283 | — | ||||||
| Expiring 06/20/24 | JPM | CNH | 2,109 | 294,000 | 290,733 | 3,267 | — | ||||||
| Expiring 06/20/24 | JPM | CNH | 1,932 | 266,000 | 266,373 | — | (373) | ||||||
| Expiring 06/20/24 | MSI | CNH | 1,886 | 261,000 | 260,091 | 909 | — | ||||||
| Expiring 06/20/24 | SSB | CNH | 1,831 | 254,000 | 252,435 | 1,565 | — | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 06/20/24 | BNP | COP | 747,195 | 191,000 | 192,703 | — | (1,703) | ||||||
| Expiring 06/20/24 | BOA | COP | 534,455 | 138,000 | 137,837 | 163 | — | ||||||
| Expiring 06/20/24 | CITI | COP | 804,719 | 209,000 | 207,539 | 1,461 | — | ||||||
| Expiring 06/20/24 | CITI | COP | 90,528 | 23,000 | 23,347 | — | (347) | ||||||
| Czech Koruna, | |||||||||||||
| Expiring 07/19/24 | GSI | CZK | 18,929 | 801,644 | 832,371 | — | (30,727) | ||||||
| Expiring 07/19/24 | GSI | CZK | 3,322 | 140,000 | 146,055 | — | (6,055) | ||||||
| Euro, | |||||||||||||
| Expiring 07/19/24 | BNP | EUR | 3,739 | 3,994,983 | 4,066,105 | — | (71,122) | ||||||
| Expiring 07/19/24 | BNP | EUR | 1,078 | 1,151,538 | 1,171,992 | — | (20,454) | ||||||
| Expiring 07/19/24 | BNP | EUR | 63 | 67,721 | 68,514 | — | (793) | ||||||
| Expiring 07/19/24 | BOA | EUR | 3,517 | 3,798,589 | 3,825,348 | — | (26,759) | ||||||
| Expiring 07/19/24 | BOA | EUR | 122 | 130,206 | 132,678 | — | (2,472) | ||||||
| Expiring 07/19/24 | MSI | EUR | 470 | 512,563 | 510,931 | 1,632 | — | ||||||
| Expiring 07/19/24 | SSB | EUR | 3,187 | 3,475,635 | 3,465,843 | 9,792 | — | ||||||
| Hungarian Forint, | |||||||||||||
| Expiring 07/19/24 | BOA | HUF | 142,936 | 392,088 | 397,293 | — | (5,205) | ||||||
| Expiring 07/19/24 | GSI | HUF | 117,563 | 325,171 | 326,770 | — | (1,599) | ||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Indian Rupee, | |||||||||||||
| Expiring 06/20/24 | JPM | INR | 17,624 | $212,000 | $211,063 | $937 | $— | ||||||
| Expiring 06/20/24 | JPM | INR | 17,295 | 207,000 | 207,123 | — | (123) | ||||||
| Expiring 06/20/24 | JPM | INR | 17,211 | 207,000 | 206,123 | 877 | — | ||||||
| Expiring 06/20/24 | SSB | INR | 20,566 | 246,000 | 246,302 | — | (302) | ||||||
| Indonesian Rupiah, | |||||||||||||
| Expiring 06/20/24 | CITI | IDR | 3,983,616 | 247,000 | 244,901 | 2,099 | — | ||||||
| Expiring 06/20/24 | CITI | IDR | 934,295 | 59,000 | 57,438 | 1,562 | — | ||||||
| Expiring 06/20/24 | MSI | IDR | 3,774,640 | 232,000 | 232,054 | — | (54) | ||||||
| Japanese Yen, | |||||||||||||
| Expiring 07/19/24 | GSI | JPY | 10,257 | 68,000 | 65,724 | 2,276 | — | ||||||
| Mexican Peso, | |||||||||||||
| Expiring 06/20/24 | BOA | MXN | 2,347 | 137,000 | 137,874 | — | (874) | ||||||
| Expiring 06/20/24 | BOA | MXN | 2,286 | 132,000 | 134,314 | — | (2,314) | ||||||
| Expiring 06/20/24 | GSI | MXN | 2,940 | 175,000 | 172,745 | 2,255 | — | ||||||
| Expiring 06/20/24 | GSI | MXN | 1,296 | 77,500 | 76,139 | 1,361 | — | ||||||
| Expiring 06/20/24 | JPM | MXN | 1,301 | 77,500 | 76,411 | 1,089 | — | ||||||
| Expiring 06/20/24 | SSB | MXN | 3,001 | 178,000 | 176,279 | 1,721 | — | ||||||
| New Taiwanese Dollar, | |||||||||||||
| Expiring 06/20/24 | BOA | TWD | 8,215 | 252,000 | 253,098 | — | (1,098) | ||||||
| Expiring 06/20/24 | BOA | TWD | 3,454 | 106,171 | 106,424 | — | (253) | ||||||
| Expiring 06/20/24 | CITI | TWD | 6,098 | 188,368 | 187,860 | 508 | — | ||||||
| Expiring 06/20/24 | CITI | TWD | 6,051 | 185,829 | 186,410 | — | (581) | ||||||
| Expiring 06/20/24 | GSI | TWD | 24,161 | 774,251 | 744,372 | 29,879 | — | ||||||
| Peruvian Nuevo Sol, | |||||||||||||
| Expiring 06/20/24 | BNP | PEN | 278 | 73,406 | 74,595 | — | (1,189) | ||||||
| Expiring 06/20/24 | CITI | PEN | 994 | 269,925 | 266,665 | 3,260 | — | ||||||
| Expiring 06/20/24 | CITI | PEN | 956 | 256,000 | 256,423 | — | (423) | ||||||
| Philippine Peso, | |||||||||||||
| Expiring 06/20/24 | BOA | PHP | 15,974 | 276,000 | 272,880 | 3,120 | — | ||||||
| Expiring 06/20/24 | BOA | PHP | 11,979 | 207,000 | 204,643 | 2,357 | — | ||||||
| Expiring 06/20/24 | BOA | PHP | 4,842 | 82,830 | 82,716 | 114 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 21,420 | 370,519 | 365,919 | 4,600 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 12,998 | 225,000 | 222,053 | 2,947 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 12,399 | 215,000 | 211,817 | 3,183 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 12,222 | 212,000 | 208,789 | 3,211 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 10,852 | 194,000 | 185,384 | 8,616 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 8,386 | 144,640 | 143,265 | 1,375 | — | ||||||
| Expiring 06/20/24 | CITI | PHP | 4,741 | 81,360 | 80,999 | 361 | — | ||||||
| Expiring 06/20/24 | JPM | PHP | 9,857 | 168,170 | 168,395 | — | (225) | ||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Philippine Peso (cont’d.), | |||||||||||||
| Expiring 06/20/24 | JPM | PHP | 7,382 | $128,481 | $126,101 | $2,380 | $— | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 07/19/24 | MSI | PLN | 757 | 190,000 | 192,117 | — | (2,117) | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 06/20/24 | BOA | SGD | 307 | 228,000 | 227,372 | 628 | — | ||||||
| Expiring 06/20/24 | JPM | SGD | 548 | 403,000 | 406,127 | — | (3,127) | ||||||
| Expiring 06/20/24 | MSI | SGD | 342 | 257,184 | 253,710 | 3,474 | — | ||||||
| Expiring 06/20/24 | MSI | SGD | 303 | 226,000 | 224,390 | 1,610 | — | ||||||
| Expiring 06/20/24 | SSB | SGD | 344 | 255,000 | 254,499 | 501 | — | ||||||
| South African Rand, | |||||||||||||
| Expiring 06/20/24 | BNP | ZAR | 2,302 | 123,000 | 122,347 | 653 | — | ||||||
| Expiring 06/20/24 | GSI | ZAR | 4,093 | 221,000 | 217,503 | 3,497 | — | ||||||
| Expiring 06/20/24 | MSI | ZAR | 1,270 | 68,000 | 67,501 | 499 | — | ||||||
| South Korean Won, | |||||||||||||
| Expiring 06/20/24 | CITI | KRW | 307,855 | 230,000 | 222,774 | 7,226 | — | ||||||
| Expiring 06/20/24 | CITI | KRW | 252,841 | 188,000 | 182,964 | 5,036 | — | ||||||
| Expiring 06/20/24 | CITI | KRW | 235,331 | 170,000 | 170,294 | — | (294) | ||||||
| Expiring 06/20/24 | CITI | KRW | 157,814 | 120,412 | 114,200 | 6,212 | — | ||||||
| Expiring 06/20/24 | MSI | KRW | 205,259 | 152,000 | 148,532 | 3,468 | — | ||||||
| Expiring 06/20/24 | MSI | KRW | 160,284 | 120,000 | 115,987 | 4,013 | — | ||||||
| Thai Baht, | |||||||||||||
| Expiring 06/20/24 | CITI | THB | 7,585 | 212,000 | 206,515 | 5,485 | — | ||||||
| Expiring 06/20/24 | GSI | THB | 8,129 | 226,000 | 221,316 | 4,684 | — | ||||||
| Expiring 06/20/24 | GSI | THB | 6,677 | 182,000 | 181,793 | 207 | — | ||||||
| Expiring 06/20/24 | JPM | THB | 4,544 | 128,000 | 123,723 | 4,277 | — | ||||||
| Expiring 06/20/24 | MSI | THB | 15,790 | 444,880 | 429,888 | 14,992 | — | ||||||
| Turkish Lira, | |||||||||||||
| Expiring 06/03/24 | CITI | TRY | 4,595 | 142,300 | 142,213 | 87 | — | ||||||
| $31,271,385 | $31,306,844 | 179,664 | (215,123) | ||||||||||
| $244,864 | $(421,828) | ||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at May 31, 2024(4) | Value at Trade Date | Value at May 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | |||||||||||||||
| CDX.NA.HY.42.V1 | 06/20/29 | 5.000%(Q) | 3,250 | 3.335% | $196,950 | $253,155 | $56,205 | ||||||||
| CDX.NA.IG.42.V1 | 06/20/29 | 1.000%(Q) | 20,300 | 0.499% | 431,108 | 496,407 | 65,299 | ||||||||
| $628,058 | $749,562 | $121,504 | |||||||||||||
| (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 May 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| GBP | 140 | 05/08/27 | 1.050%(A) | 1 Day SONIA(1)(A)/ 5.200% | $(926) | $17,007 | $17,933 | |||||||
| GBP | 120 | 05/08/32 | 1.150%(A) | 1 Day SONIA(1)(A)/ 5.200% | 6,287 | 29,641 | 23,354 | |||||||
| 9,300 | 08/31/24 | 5.384%(T) | 1 Day SOFR(2)(T)/ 5.340% | — | (7,026) | (7,026) | ||||||||
| 1,272 | 03/08/25 | 4.946%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | (4,656) | (4,656) | ||||||||
| 1,696 | 03/09/25 | 5.110%(A) | 1 Day SOFR(2)(A)/ 5.340% | — | (3,573) | (3,573) | ||||||||
| 23,875 | 05/17/25 | 5.113%(T) | 1 Day SOFR(2)(T)/ 5.340% | — | (24,312) | (24,312) | ||||||||
| 3,000 | 08/31/25 | 4.805%(A) | 1 Day SOFR(1)(A)/ 5.340% | — | 25,176 | 25,176 | ||||||||
| 12,230 | 05/17/26 | 4.669%(A) | 1 Day SOFR(1)(A)/ 5.340% | — | 37,063 | 37,063 | ||||||||
| 730 | 09/25/26 | 4.699%(A) | 1 Day SOFR(1)(A)/ 5.340% | 104 | 3,973 | 3,869 | ||||||||
| 6,640 | 05/13/27 | 4.497%(A) | 1 Day SOFR(2)(A)/ 5.340% | 2,436 | (13,861) | (16,297) | ||||||||
| 4,135 | 05/13/29 | 4.253%(A) | 1 Day SOFR(1)(A)/ 5.340% | (4,356) | 9,917 | 14,273 | ||||||||
| 370 | 05/11/54 | 1.350%(A) | 1 Day SOFR(1)(A)/ 5.340% | 168,266 | 164,419 | (3,847) | ||||||||
| $171,811 | $233,768 | $61,957 | ||||||||||||
| (1) | The Fund pays the fixed rate and receives the floating rate. |
| (2) | The Fund pays the floating rate and receives the fixed rate. |
| Total return swap agreements outstanding at May 31, 2024: | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements: | ||||||||||||||
| Total Return Benchmark Bond Index(T) | 1 Day USOIS -54 bps(T)/ 4.790% | JPM | 09/20/24 | (1,734) | $46,913 | $— | $46,913 | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | JPM | 08/05/24 | 1,120 | (72,159) | (5,723) | (66,436) | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +20bps(T)/ 5.530% | JPM | 08/13/24 | 2,270 | (105,548) | (6,400) | (99,148) | |||||||
| $(130,794) | $(12,123) | $(118,671) | ||||||||||||
| (1) | On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |