Nonconvertible Bonds - 39.0%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
COMMUNICATION SERVICES - 1.8%
|
|||
Diversified Telecommunication Services - 0.9%
|
|||
AT&T, Inc.:
|
|||
1.65% 2/1/28
|
4,123
|
3,644
|
|
4.3% 2/15/30
|
11,310
|
10,780
|
|
NTT Finance Corp.:
|
|||
1.162% 4/3/26 (b)
|
4,930
|
4,575
|
|
1.591% 4/3/28 (b)
|
6,562
|
5,757
|
|
Verizon Communications, Inc.:
|
|||
2.1% 3/22/28
|
4,944
|
4,429
|
|
2.355% 3/15/32
|
7,604
|
6,173
|
|
35,358
|
|||
Media - 0.6%
|
|||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
|
|||
4.2% 3/15/28
|
3,155
|
2,968
|
|
4.908% 7/23/25
|
701
|
694
|
|
6.15% 11/10/26
|
10,200
|
10,280
|
|
Discovery Communications LLC 3.625% 5/15/30
|
1,042
|
917
|
|
Warnermedia Holdings, Inc.:
|
|||
3.755% 3/15/27
|
3,063
|
2,905
|
|
4.054% 3/15/29
|
5,615
|
5,170
|
|
22,934
|
|||
Wireless Telecommunication Services - 0.3%
|
|||
Rogers Communications, Inc. 3.2% 3/15/27
|
1,601
|
1,516
|
|
T-Mobile U.S.A., Inc.:
|
|||
2.4% 3/15/29
|
2,211
|
1,948
|
|
2.625% 4/15/26
|
5,363
|
5,085
|
|
3.5% 4/15/25
|
2,650
|
2,600
|
|
11,149
|
|||
TOTAL COMMUNICATION SERVICES
|
69,441
|
||
CONSUMER DISCRETIONARY - 3.1%
|
|||
Automobiles - 1.6%
|
|||
General Motors Co. 6.125% 10/1/25
|
3,155
|
3,170
|
|
General Motors Financial Co., Inc.:
|
|||
1.25% 1/8/26
|
3,578
|
3,343
|
|
2.35% 2/26/27
|
2,587
|
2,383
|
|
4.35% 4/9/25
|
3,786
|
3,742
|
|
5.4% 4/6/26
|
8,860
|
8,831
|
|
6% 1/9/28
|
6,100
|
6,197
|
|
Mercedes-Benz Finance North America LLC 4.8% 3/30/28 (b)
|
7,608
|
7,515
|
|
Volkswagen Group of America Finance LLC:
|
|||
1.25% 11/24/25 (b)
|
7,754
|
7,282
|
|
4.35% 6/8/27 (b)
|
7,639
|
7,416
|
|
5.7% 9/12/26 (b)
|
9,700
|
9,725
|
|
59,604
|
|||
Household Durables - 0.1%
|
|||
Toll Brothers Finance Corp.:
|
|||
4.875% 11/15/25
|
2,776
|
2,744
|
|
4.875% 3/15/27
|
1,352
|
1,329
|
|
4,073
|
|||
Leisure Products - 0.2%
|
|||
Brunswick Corp. 5.85% 3/18/29
|
8,511
|
8,498
|
|
Specialty Retail - 0.9%
|
|||
Advance Auto Parts, Inc. 5.95% 3/9/28
|
5,890
|
5,841
|
|
AutoZone, Inc.:
|
|||
3.625% 4/15/25
|
341
|
335
|
|
4% 4/15/30
|
3,155
|
2,957
|
|
6.25% 11/1/28
|
4,041
|
4,195
|
|
Lowe's Companies, Inc.:
|
|||
1.7% 9/15/28
|
3,155
|
2,744
|
|
4.5% 4/15/30
|
9,316
|
9,009
|
|
O'Reilly Automotive, Inc.:
|
|||
3.9% 6/1/29
|
3,155
|
2,976
|
|
4.2% 4/1/30
|
5,353
|
5,072
|
|
The Home Depot, Inc. 2.5% 4/15/27
|
225
|
211
|
|
33,340
|
|||
Textiles, Apparel & Luxury Goods - 0.3%
|
|||
Tapestry, Inc.:
|
|||
7% 11/27/26
|
1,248
|
1,281
|
|
7.7% 11/27/30
|
8,100
|
8,463
|
|
9,744
|
|||
TOTAL CONSUMER DISCRETIONARY
|
115,259
|
||
CONSUMER STAPLES - 1.9%
|
|||
Beverages - 0.1%
|
|||
Anheuser-Busch InBev Worldwide, Inc. 3.5% 6/1/30
|
1,070
|
988
|
|
Molson Coors Beverage Co. 3% 7/15/26
|
2,839
|
2,705
|
|
3,693
|
|||
Consumer Staples Distribution & Retail - 0.3%
|
|||
7-Eleven, Inc. 0.95% 2/10/26 (b)
|
1,459
|
1,353
|
|
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b)
|
1,719
|
1,529
|
|
Dollar Tree, Inc. 4% 5/15/25
|
7,697
|
7,587
|
|
10,469
|
|||
Food Products - 0.0%
|
|||
JDE Peet's BV 1.375% 1/15/27 (b)
|
1,001
|
904
|
|
Personal Care Products - 0.3%
|
|||
Kenvue, Inc.:
|
|||
5% 3/22/30
|
7,415
|
7,405
|
|
5.05% 3/22/28
|
4,575
|
4,588
|
|
11,993
|
|||
Tobacco - 1.2%
|
|||
Altria Group, Inc.:
|
|||
2.35% 5/6/25
|
634
|
615
|
|
4.8% 2/14/29
|
964
|
945
|
|
BAT Capital Corp.:
|
|||
3.222% 8/15/24
|
1,892
|
1,882
|
|
4.7% 4/2/27
|
3,990
|
3,921
|
|
BAT International Finance PLC:
|
|||
1.668% 3/25/26
|
7,824
|
7,306
|
|
5.931% 2/2/29
|
7,000
|
7,150
|
|
Imperial Tobacco Finance PLC 3.125% 7/26/24 (b)
|
5,438
|
5,416
|
|
Philip Morris International, Inc.:
|
|||
5.125% 11/17/27
|
10,015
|
9,995
|
|
5.125% 2/13/31
|
5,374
|
5,289
|
|
42,519
|
|||
TOTAL CONSUMER STAPLES
|
69,578
|
||
ENERGY - 3.0%
|
|||
Energy Equipment & Services - 0.1%
|
|||
Baker Hughes Co. 2.061% 12/15/26
|
1,199
|
1,108
|
|
Oil, Gas & Consumable Fuels - 2.9%
|
|||
Canadian Natural Resources Ltd. 3.9% 2/1/25
|
2,146
|
2,120
|
|
Cenovus Energy, Inc. 4.25% 4/15/27
|
6,940
|
6,743
|
|
DCP Midstream Operating LP 5.375% 7/15/25
|
2,410
|
2,399
|
|
Eastern Gas Transmission & Storage, Inc. 3% 11/15/29
|
3,470
|
3,083
|
|
Enbridge, Inc.:
|
|||
5.25% 4/5/27
|
4,591
|
4,581
|
|
5.3% 4/5/29
|
3,837
|
3,830
|
|
6% 11/15/28
|
7,927
|
8,136
|
|
Energy Transfer LP:
|
|||
2.9% 5/15/25
|
3,786
|
3,686
|
|
4.2% 4/15/27
|
5,070
|
4,908
|
|
4.95% 6/15/28
|
6,355
|
6,252
|
|
EQT Corp.:
|
|||
3.9% 10/1/27
|
1,892
|
1,801
|
|
5.7% 4/1/28
|
339
|
340
|
|
Equinor ASA 1.75% 1/22/26
|
696
|
659
|
|
Hess Corp. 4.3% 4/1/27
|
12,303
|
11,976
|
|
Hess Midstream Operations LP 5.625% 2/15/26 (b)
|
5,241
|
5,208
|
|
MPLX LP:
|
|||
1.75% 3/1/26
|
3,091
|
2,894
|
|
4% 2/15/25
|
316
|
312
|
|
4% 3/15/28
|
3,155
|
3,011
|
|
Occidental Petroleum Corp. 2.9% 8/15/24
|
3,875
|
3,851
|
|
Petroleos Mexicanos:
|
|||
5.95% 1/28/31
|
14,000
|
11,332
|
|
6.7% 2/16/32
|
15,992
|
13,432
|
|
Southeast Supply Header LLC 4.25% 6/15/24 (b)
|
2,009
|
2,000
|
|
The Williams Companies, Inc.:
|
|||
4.55% 6/24/24
|
1,607
|
1,606
|
|
5.4% 3/2/26
|
1,253
|
1,251
|
|
Western Midstream Operating LP 6.35% 1/15/29
|
4,000
|
4,112
|
|
109,523
|
|||
TOTAL ENERGY
|
110,631
|
||
FINANCIALS - 20.1%
|
|||
Banks - 10.7%
|
|||
Bank of America Corp.:
|
|||
1.197% 10/24/26 (c)
|
11,041
|
10,384
|
|
1.319% 6/19/26 (c)
|
3,596
|
3,434
|
|
2.496% 2/13/31 (c)
|
3,155
|
2,706
|
|
2.551% 2/4/28 (c)
|
4,110
|
3,821
|
|
3.384% 4/2/26 (c)
|
5,584
|
5,475
|
|
3.97% 3/5/29 (c)
|
8,155
|
7,766
|
|
3.974% 2/7/30 (c)
|
4,290
|
4,042
|
|
4.25% 10/22/26
|
3,730
|
3,635
|
|
4.271% 7/23/29 (c)
|
7,208
|
6,918
|
|
4.376% 4/27/28 (c)
|
5,400
|
5,254
|
|
4.45% 3/3/26
|
2,199
|
2,161
|
|
4.948% 7/22/28 (c)
|
5,489
|
5,426
|
|
Bank of Ireland Group PLC 5.601% 3/20/30 (b)(c)
|
6,702
|
6,621
|
|
Bank of Nova Scotia 4.5% 12/16/25
|
4,038
|
3,964
|
|
Barclays PLC:
|
|||
2.279% 11/24/27 (c)
|
8,259
|
7,613
|
|
2.852% 5/7/26 (c)
|
6,216
|
6,050
|
|
5.304% 8/9/26 (c)
|
2,635
|
2,619
|
|
5.69% 3/12/30 (c)
|
3,429
|
3,427
|
|
5.829% 5/9/27 (c)
|
5,000
|
5,001
|
|
BNP Paribas SA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d)
|
3,654
|
3,407
|
|
2.219% 6/9/26 (b)(c)
|
2,279
|
2,199
|
|
Capital One NA 2.28% 1/28/26 (c)
|
3,728
|
3,637
|
|
Citigroup, Inc.:
|
|||
1.462% 6/9/27 (c)
|
5,874
|
5,422
|
|
2.666% 1/29/31 (c)
|
5,530
|
4,788
|
|
3.07% 2/24/28 (c)
|
5,682
|
5,346
|
|
3.106% 4/8/26 (c)
|
3,533
|
3,455
|
|
4.075% 4/23/29 (c)
|
5,190
|
4,958
|
|
4.6% 3/9/26
|
2,099
|
2,065
|
|
Cooperatieve Rabobank UA 1.98% 12/15/27 (b)(c)
|
2,686
|
2,458
|
|
Credit Agricole SA 6.251% 1/10/35 (b)(c)
|
10,500
|
10,629
|
|
DNB Bank ASA:
|
|||
1.535% 5/25/27 (b)(c)
|
2,813
|
2,599
|
|
1.605% 3/30/28 (b)(c)
|
6,094
|
5,473
|
|
HSBC Holdings PLC:
|
|||
1.645% 4/18/26 (c)
|
7,888
|
7,609
|
|
2.999% 3/10/26 (c)
|
5,241
|
5,131
|
|
4.292% 9/12/26 (c)
|
3,276
|
3,216
|
|
5.21% 8/11/28 (c)
|
9,616
|
9,527
|
|
Huntington Bancshares, Inc. 4.443% 8/4/28 (c)
|
3,163
|
3,061
|
|
ING Groep NV:
|
|||
1.726% 4/1/27 (c)
|
2,376
|
2,216
|
|
5.335% 3/19/30 (c)
|
5,470
|
5,426
|
|
Intesa Sanpaolo SpA 5.71% 1/15/26 (b)
|
3,236
|
3,205
|
|
JPMorgan Chase & Co.:
|
|||
1.47% 9/22/27 (c)
|
6,240
|
5,710
|
|
1.764% 11/19/31 (c)
|
4,010
|
3,235
|
|
2.069% 6/1/29 (c)
|
8,532
|
7,539
|
|
2.083% 4/22/26 (c)
|
4,480
|
4,339
|
|
2.522% 4/22/31 (c)
|
6,955
|
5,975
|
|
2.947% 2/24/28 (c)
|
11,415
|
10,718
|
|
2.956% 5/13/31 (c)
|
4,445
|
3,867
|
|
3.875% 9/10/24
|
3,261
|
3,244
|
|
4.125% 12/15/26
|
3,199
|
3,112
|
|
4.25% 10/1/27
|
2,524
|
2,460
|
|
Lloyds Banking Group PLC:
|
|||
5.462% 1/5/28 (c)
|
10,500
|
10,472
|
|
5.985% 8/7/27 (c)
|
3,450
|
3,467
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
1.64% 10/13/27 (c)
|
7,703
|
7,055
|
|
2.193% 2/25/25
|
4,678
|
4,564
|
|
5.017% 7/20/28 (c)
|
8,580
|
8,515
|
|
5.258% 4/17/30 (c)
|
8,500
|
8,467
|
|
Mizuho Financial Group, Inc.:
|
|||
1.234% 5/22/27 (c)
|
6,310
|
5,811
|
|
1.554% 7/9/27 (c)
|
6,800
|
6,269
|
|
4.254% 9/11/29 (c)
|
1,965
|
1,878
|
|
NatWest Group PLC:
|
|||
1.642% 6/14/27 (c)
|
2,293
|
2,117
|
|
3.073% 5/22/28 (c)
|
2,293
|
2,141
|
|
5.847% 3/2/27 (c)
|
5,364
|
5,378
|
|
Royal Bank of Canada 2.3% 11/3/31
|
6,190
|
5,098
|
|
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c)
|
5,673
|
5,201
|
|
Societe Generale:
|
|||
1.792% 6/9/27 (b)(c)
|
4,104
|
3,781
|
|
4.25% 4/14/25 (b)
|
1,994
|
1,961
|
|
4.677% 6/15/27 (b)
|
5,569
|
5,495
|
|
4.75% 11/24/25 (b)
|
4,777
|
4,689
|
|
5.634% 1/19/30 (b)(c)
|
10,410
|
10,325
|
|
Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26
|
5,765
|
5,278
|
|
The Toronto-Dominion Bank 2.8% 3/10/27
|
4,805
|
4,503
|
|
Truist Financial Corp. 4.26% 7/28/26 (c)
|
5,546
|
5,454
|
|
Wells Fargo & Co.:
|
|||
2.164% 2/11/26 (c)
|
5,369
|
5,238
|
|
3.526% 3/24/28 (c)
|
6,680
|
6,351
|
|
4.3% 7/22/27
|
6,170
|
5,998
|
|
5.574% 7/25/29 (c)
|
10,500
|
10,559
|
|
6.303% 10/23/29 (c)
|
8,500
|
8,796
|
|
Westpac Banking Corp.:
|
|||
U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (c)(d)
|
4,101
|
4,001
|
|
4.11% 7/24/34 (c)
|
1,134
|
1,042
|
|
402,247
|
|||
Capital Markets - 4.4%
|
|||
Ares Capital Corp. 3.25% 7/15/25
|
8,667
|
8,397
|
|
Athene Global Funding:
|
|||
1.73% 10/2/26 (b)
|
4,287
|
3,921
|
|
2.646% 10/4/31 (b)
|
6,246
|
5,092
|
|
5.516% 3/25/27 (b)
|
10,900
|
10,876
|
|
5.583% 1/9/29 (b)
|
2,486
|
2,484
|
|
Blackstone Private Credit Fund 4.7% 3/24/25
|
9,745
|
9,640
|
|
Deutsche Bank AG 4.5% 4/1/25
|
4,541
|
4,481
|
|
Deutsche Bank AG New York Branch:
|
|||
2.129% 11/24/26 (c)
|
6,196
|
5,867
|
|
2.311% 11/16/27 (c)
|
4,598
|
4,226
|
|
5.706% 2/8/28 (c)
|
8,800
|
8,783
|
|
7.146% 7/13/27 (c)
|
2,700
|
2,768
|
|
Goldman Sachs Group, Inc.:
|
|||
1.093% 12/9/26 (c)
|
5,874
|
5,483
|
|
1.542% 9/10/27 (c)
|
5,971
|
5,458
|
|
3.615% 3/15/28 (c)
|
2,500
|
2,384
|
|
3.8% 3/15/30
|
4,330
|
4,021
|
|
4.482% 8/23/28 (c)
|
3,334
|
3,249
|
|
Moody's Corp.:
|
|||
3.25% 1/15/28
|
4,416
|
4,178
|
|
3.75% 3/24/25
|
2,509
|
2,474
|
|
Morgan Stanley:
|
|||
1.512% 7/20/27 (c)
|
5,874
|
5,407
|
|
2.188% 4/28/26 (c)
|
3,470
|
3,362
|
|
2.475% 1/21/28 (c)
|
5,778
|
5,368
|
|
3.772% 1/24/29 (c)
|
5,000
|
4,739
|
|
4.21% 4/20/28 (c)
|
12,636
|
12,247
|
|
5.449% 7/20/29 (c)
|
7,193
|
7,218
|
|
6.407% 11/1/29 (c)
|
8,500
|
8,846
|
|
Nuveen LLC 5.55% 1/15/30 (b)
|
1,891
|
1,895
|
|
S&P Global, Inc. 2.45% 3/1/27
|
4,416
|
4,115
|
|
State Street Corp. 2.901% 3/30/26 (c)
|
192
|
187
|
|
UBS Group AG:
|
|||
1.305% 2/2/27 (b)(c)
|
5,890
|
5,463
|
|
2.593% 9/11/25 (b)(c)
|
3,276
|
3,246
|
|
4.55% 4/17/26
|
3,276
|
3,221
|
|
6.373% 7/15/26 (b)(c)
|
4,455
|
4,477
|
|
163,573
|
|||
Consumer Finance - 2.7%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.75% 1/30/26
|
3,495
|
3,280
|
|
2.45% 10/29/26
|
1,390
|
1,293
|
|
3% 10/29/28
|
1,456
|
1,316
|
|
5.1% 1/19/29
|
4,311
|
4,251
|
|
5.75% 6/6/28
|
7,897
|
7,962
|
|
6.1% 1/15/27
|
5,500
|
5,579
|
|
6.5% 7/15/25
|
1,093
|
1,101
|
|
Ally Financial, Inc.:
|
|||
2.2% 11/2/28
|
4,756
|
4,101
|
|
4.625% 3/30/25
|
1,892
|
1,874
|
|
4.75% 6/9/27
|
6,877
|
6,677
|
|
5.125% 9/30/24
|
6,184
|
6,169
|
|
5.75% 11/20/25
|
1,287
|
1,281
|
|
Capital One Financial Corp.:
|
|||
1.878% 11/2/27 (c)
|
10,852
|
9,916
|
|
2.359% 7/29/32 (c)
|
6,310
|
4,925
|
|
2.636% 3/3/26 (c)
|
3,155
|
3,080
|
|
3.2% 2/5/25
|
2,208
|
2,171
|
|
4.985% 7/24/26 (c)
|
2,403
|
2,381
|
|
Discover Financial Services 4.5% 1/30/26
|
1,532
|
1,503
|
|
Ford Motor Credit Co. LLC:
|
|||
2.3% 2/10/25
|
2,621
|
2,556
|
|
3.375% 11/13/25
|
8,189
|
7,906
|
|
5.85% 5/17/27
|
9,300
|
9,296
|
|
6.95% 6/10/26
|
7,500
|
7,634
|
|
Synchrony Financial 4.25% 8/15/24
|
3,155
|
3,144
|
|
99,396
|
|||
Financial Services - 1.2%
|
|||
Corebridge Financial, Inc.:
|
|||
3.65% 4/5/27
|
1,748
|
1,669
|
|
3.85% 4/5/29
|
6,197
|
5,777
|
|
3.9% 4/5/32
|
1,306
|
1,166
|
|
Equitable Holdings, Inc. 4.35% 4/20/28
|
11,714
|
11,246
|
|
Jackson Financial, Inc.:
|
|||
3.125% 11/23/31
|
642
|
532
|
|
5.17% 6/8/27
|
1,211
|
1,198
|
|
5.67% 6/8/32
|
4,044
|
4,048
|
|
Jbs U.S.A. Holding Lux/ Jbs U.S.A. F:
|
|||
2.5% 1/15/27
|
3,631
|
3,344
|
|
3% 2/2/29
|
3,155
|
2,790
|
|
5.125% 2/1/28
|
7,571
|
7,441
|
|
Nationwide Building Society 6.557% 10/18/27 (b)(c)
|
6,900
|
7,037
|
|
46,248
|
|||
Insurance - 1.1%
|
|||
AFLAC, Inc. 3.6% 4/1/30
|
708
|
653
|
|
AIA Group Ltd.:
|
|||
3.375% 4/7/30 (b)
|
2,279
|
2,063
|
|
3.9% 4/6/28 (b)
|
5,569
|
5,330
|
|
Equitable Financial Life Global Funding:
|
|||
1.3% 7/12/26 (b)
|
3,155
|
2,883
|
|
1.4% 8/27/27 (b)
|
3,155
|
2,773
|
|
1.7% 11/12/26 (b)
|
4,021
|
3,663
|
|
Five Corners Funding Trust II 2.85% 5/15/30 (b)
|
2,963
|
2,584
|
|
MassMutual Global Funding II 4.85% 1/17/29 (b)
|
10,400
|
10,258
|
|
RGA Global Funding 5.448% 5/24/29 (b)
|
5,525
|
5,526
|
|
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b)
|
2,715
|
2,410
|
|
Willis Group North America, Inc. 4.5% 9/15/28
|
3,470
|
3,353
|
|
41,496
|
|||
TOTAL FINANCIALS
|
752,960
|
||
HEALTH CARE - 1.6%
|
|||
Biotechnology - 0.1%
|
|||
Amgen, Inc.:
|
|||
5.15% 3/2/28
|
1,367
|
1,363
|
|
5.25% 3/2/30
|
1,247
|
1,250
|
|
2,613
|
|||
Health Care Equipment & Supplies - 0.1%
|
|||
Alcon Finance Corp. 2.75% 9/23/26 (b)
|
2,685
|
2,532
|
|
Health Care Providers & Services - 1.0%
|
|||
Centene Corp.:
|
|||
2.45% 7/15/28
|
6,671
|
5,882
|
|
4.25% 12/15/27
|
3,155
|
3,002
|
|
Cigna Group 3.4% 3/1/27
|
2,839
|
2,710
|
|
HCA Holdings, Inc.:
|
|||
3.125% 3/15/27
|
8,266
|
7,788
|
|
3.5% 9/1/30
|
1,577
|
1,411
|
|
5.625% 9/1/28
|
3,155
|
3,169
|
|
5.875% 2/1/29
|
1,739
|
1,764
|
|
Humana, Inc.:
|
|||
1.35% 2/3/27
|
3,786
|
3,414
|
|
3.7% 3/23/29
|
1,002
|
934
|
|
5.375% 4/15/31
|
2,250
|
2,228
|
|
ICON Investments Six Designated Activity 5.849% 5/8/29
|
3,472
|
3,516
|
|
Sabra Health Care LP:
|
|||
3.2% 12/1/31
|
2,504
|
2,063
|
|
3.9% 10/15/29
|
852
|
762
|
|
38,643
|
|||
Pharmaceuticals - 0.4%
|
|||
Bristol-Myers Squibb Co.:
|
|||
4.9% 2/22/29
|
4,417
|
4,390
|
|
5.1% 2/22/31
|
3,569
|
3,561
|
|
Haleon U.S. Capital LLC 3.375% 3/24/27
|
7,000
|
6,662
|
|
Mylan NV 4.55% 4/15/28
|
965
|
926
|
|
Viatris, Inc.:
|
|||
1.65% 6/22/25
|
279
|
267
|
|
2.7% 6/22/30
|
968
|
815
|
|
16,621
|
|||
TOTAL HEALTH CARE
|
60,409
|
||
INDUSTRIALS - 2.7%
|
|||
Aerospace & Defense - 1.1%
|
|||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)
|
1,364
|
1,354
|
|
BAE Systems PLC:
|
|||
3.4% 4/15/30 (b)
|
1,006
|
906
|
|
5.125% 3/26/29 (b)
|
2,932
|
2,908
|
|
5.25% 3/26/31 (b)
|
774
|
767
|
|
5.3% 3/26/34 (b)
|
9,000
|
8,867
|
|
RTX Corp.:
|
|||
5.75% 1/15/29
|
1,653
|
1,696
|
|
6% 3/15/31
|
7,900
|
8,203
|
|
The Boeing Co.:
|
|||
2.7% 2/1/27
|
3,155
|
2,895
|
|
5.04% 5/1/27
|
5,804
|
5,672
|
|
5.15% 5/1/30
|
7,620
|
7,270
|
|
6.298% 5/1/29 (b)
|
1,046
|
1,054
|
|
41,592
|
|||
Building Products - 0.2%
|
|||
Carrier Global Corp. 2.493% 2/15/27
|
6,047
|
5,630
|
|
Machinery - 0.5%
|
|||
Daimler Trucks Finance North America LLC 2% 12/14/26 (b)
|
4,559
|
4,195
|
|
Ingersoll Rand, Inc. 5.176% 6/15/29
|
11,100
|
11,075
|
|
Otis Worldwide Corp. 2.056% 4/5/25
|
3,274
|
3,180
|
|
18,450
|
|||
Passenger Airlines - 0.2%
|
|||
American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29
|
2,345
|
2,166
|
|
Delta Air Lines, Inc. 2.9% 10/28/24
|
3,470
|
3,431
|
|
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29
|
1,423
|
1,319
|
|
United Airlines, Inc. equipment trust certificate 4.6% 9/1/27
|
1,645
|
1,597
|
|
8,513
|
|||
Trading Companies & Distributors - 0.1%
|
|||
Air Lease Corp.:
|
|||
0.8% 8/18/24
|
2,601
|
2,573
|
|
2.2% 1/15/27
|
2,431
|
2,236
|
|
4,809
|
|||
Transportation Infrastructure - 0.6%
|
|||
Avolon Holdings Funding Ltd.:
|
|||
2.875% 2/15/25 (b)
|
4,492
|
4,389
|
|
3.25% 2/15/27 (b)
|
1,761
|
1,641
|
|
3.95% 7/1/24 (b)
|
1,922
|
1,919
|
|
4.375% 5/1/26 (b)
|
645
|
626
|
|
5.5% 1/15/26 (b)
|
1,159
|
1,148
|
|
5.75% 11/15/29 (b)
|
11,100
|
11,017
|
|
6.375% 5/4/28 (b)
|
2,418
|
2,452
|
|
23,192
|
|||
TOTAL INDUSTRIALS
|
102,186
|
||
INFORMATION TECHNOLOGY - 0.9%
|
|||
Electronic Equipment, Instruments & Components - 0.2%
|
|||
Amphenol Corp.:
|
|||
5.05% 4/5/27
|
1,615
|
1,611
|
|
5.05% 4/5/29
|
2,329
|
2,322
|
|
Dell International LLC/EMC Corp. 5.25% 2/1/28
|
1,935
|
1,943
|
|
5,876
|
|||
Semiconductors & Semiconductor Equipment - 0.2%
|
|||
Broadcom, Inc. 1.95% 2/15/28 (b)
|
3,155
|
2,807
|
|
Micron Technology, Inc. 4.185% 2/15/27
|
5,395
|
5,238
|
|
8,045
|
|||
Software - 0.5%
|
|||
Black Knight InfoServ LLC 3.625% 9/1/28 (b)
|
9,500
|
8,883
|
|
Roper Technologies, Inc.:
|
|||
1.4% 9/15/27
|
3,155
|
2,792
|
|
2% 6/30/30
|
3,615
|
3,006
|
|
VMware, Inc.:
|
|||
1% 8/15/24
|
3,856
|
3,818
|
|
1.4% 8/15/26
|
1,693
|
1,550
|
|
20,049
|
|||
TOTAL INFORMATION TECHNOLOGY
|
33,970
|
||
MATERIALS - 0.2%
|
|||
Chemicals - 0.2%
|
|||
International Flavors & Fragrances, Inc.:
|
|||
1.23% 10/1/25 (b)
|
631
|
594
|
|
1.832% 10/15/27 (b)
|
3,155
|
2,797
|
|
LYB International Finance III LLC 1.25% 10/1/25
|
3,039
|
2,866
|
|
6,257
|
|||
REAL ESTATE - 1.0%
|
|||
Equity Real Estate Investment Trusts (REITs) - 1.0%
|
|||
American Homes 4 Rent LP 3.625% 4/15/32
|
1,201
|
1,040
|
|
Boston Properties, Inc. 3.2% 1/15/25
|
1,892
|
1,861
|
|
Brixmor Operating Partnership LP:
|
|||
3.85% 2/1/25
|
1,848
|
1,822
|
|
4.125% 6/15/26
|
849
|
824
|
|
Corporate Office Properties LP 2% 1/15/29
|
2,288
|
1,935
|
|
Hudson Pacific Properties LP 4.65% 4/1/29
|
4,013
|
3,137
|
|
Kite Realty Group Trust 4% 3/15/25
|
1,514
|
1,491
|
|
LXP Industrial Trust (REIT) 4.4% 6/15/24
|
751
|
750
|
|
Omega Healthcare Investors, Inc.:
|
|||
4.5% 1/15/25
|
701
|
694
|
|
4.5% 4/1/27
|
8,075
|
7,802
|
|
5.25% 1/15/26
|
5,148
|
5,092
|
|
Piedmont Operating Partnership LP 2.75% 4/1/32
|
475
|
342
|
|
Realty Income Corp. 2.1% 3/15/28
|
2,984
|
2,660
|
|
SITE Centers Corp.:
|
|||
3.625% 2/1/25
|
857
|
846
|
|
4.25% 2/1/26
|
1,417
|
1,396
|
|
Sun Communities Operating LP 2.3% 11/1/28
|
540
|
471
|
|
Ventas Realty LP:
|
|||
2.65% 1/15/25
|
2,514
|
2,464
|
|
3% 1/15/30
|
1,315
|
1,151
|
|
4% 3/1/28
|
737
|
700
|
|
VICI Properties LP:
|
|||
5.125% 5/15/32
|
556
|
525
|
|
5.75% 4/1/34
|
450
|
443
|
|
Vornado Realty LP 2.15% 6/1/26
|
590
|
542
|
|
WP Carey, Inc. 3.85% 7/15/29
|
400
|
370
|
|
38,358
|
|||
UTILITIES - 2.7%
|
|||
Electric Utilities - 1.5%
|
|||
Cleco Corporate Holdings LLC 3.743% 5/1/26
|
3,786
|
3,645
|
|
Cleveland Electric Illuminating Co. 3.5% 4/1/28 (b)
|
5,961
|
5,549
|
|
Duke Energy Corp. 4.5% 8/15/32
|
9,500
|
8,890
|
|
Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b)
|
7,007
|
5,660
|
|
Exelon Corp.:
|
|||
2.75% 3/15/27
|
491
|
459
|
|
3.35% 3/15/32
|
5,013
|
4,376
|
|
5.15% 3/15/29
|
2,001
|
1,991
|
|
FirstEnergy Corp.:
|
|||
1.6% 1/15/26
|
365
|
343
|
|
2.05% 3/1/25
|
2,045
|
1,987
|
|
Georgia Power Co. 4.65% 5/16/28
|
3,548
|
3,486
|
|
Southern Co.:
|
|||
5.113% 8/1/27 (e)
|
3,155
|
3,137
|
|
5.2% 6/15/33
|
3,560
|
3,490
|
|
5.5% 3/15/29
|
3,579
|
3,618
|
|
Virginia Electric & Power Co. 2.4% 3/30/32
|
3,155
|
2,575
|
|
Vistra Operations Co. LLC 5% 7/31/27 (b)
|
6,060
|
5,861
|
|
55,067
|
|||
Independent Power and Renewable Electricity Producers - 0.4%
|
|||
The AES Corp.:
|
|||
1.375% 1/15/26
|
6,940
|
6,481
|
|
2.45% 1/15/31
|
2,693
|
2,211
|
|
3.3% 7/15/25 (b)
|
3,832
|
3,722
|
|
3.95% 7/15/30 (b)
|
4,133
|
3,724
|
|
16,138
|
|||
Multi-Utilities - 0.8%
|
|||
Berkshire Hathaway Energy Co.:
|
|||
3.25% 4/15/28
|
3,786
|
3,542
|
|
3.7% 7/15/30
|
295
|
272
|
|
NiSource, Inc.:
|
|||
0.95% 8/15/25
|
1,517
|
1,436
|
|
2.95% 9/1/29
|
3,786
|
3,384
|
|
5.25% 3/30/28
|
4,191
|
4,180
|
|
Public Service Enterprise Group, Inc. 2.45% 11/15/31
|
12,500
|
10,240
|
|
Puget Energy, Inc.:
|
|||
3.65% 5/15/25
|
1,892
|
1,854
|
|
4.224% 3/15/32
|
3,155
|
2,805
|
|
WEC Energy Group, Inc. CME Term SOFR 3 Month Index + 2.110% 7.6965% 5/15/67 (c)(d)
|
2,134
|
2,102
|
|
29,815
|
|||
TOTAL UTILITIES
|
101,020
|
||
|
TOTAL NONCONVERTIBLE BONDS
(Cost $1,503,008)
|
1,460,069
|
||
U.S. Treasury Obligations - 44.0%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Treasury Notes:
|
|||
2.625% 7/31/29
|
6,203
|
5,669
|
|
2.75% 8/15/32
|
263,567
|
232,162
|
|
3.125% 11/15/28 (f)
|
103,974
|
98,085
|
|
3.125% 8/31/29
|
49,219
|
46,058
|
|
3.25% 6/30/29
|
48,588
|
45,813
|
|
3.375% 5/15/33
|
28,378
|
26,046
|
|
3.5% 1/31/30
|
11,428
|
10,851
|
|
3.5% 2/15/33
|
59,782
|
55,507
|
|
3.625% 3/31/28
|
13,051
|
12,614
|
|
3.625% 3/31/30
|
64,183
|
61,282
|
|
3.75% 5/31/30
|
84,750
|
81,383
|
|
3.875% 12/31/29
|
51,311
|
49,692
|
|
3.875% 8/15/33
|
51,003
|
48,604
|
|
4% 1/15/27
|
31,621
|
31,057
|
|
4% 10/31/29
|
21,763
|
21,224
|
|
4% 1/31/31
|
45,263
|
43,955
|
|
4% 2/15/34
|
36,266
|
34,866
|
|
4.125% 2/15/27
|
54,850
|
54,040
|
|
4.125% 9/30/27
|
39,854
|
39,236
|
|
4.125% 8/31/30
|
121,542
|
118,969
|
|
4.125% 11/15/32
|
9,586
|
9,335
|
|
4.25% 3/15/27
|
88,608
|
87,583
|
|
4.25% 2/28/31
|
29,043
|
28,624
|
|
4.375% 11/30/30
|
46,541
|
46,187
|
|
4.375% 5/15/34
|
13,193
|
13,076
|
|
4.5% 4/15/27
|
52,000
|
51,748
|
|
4.5% 5/15/27
|
56,124
|
55,861
|
|
4.5% 5/31/29
|
20,547
|
20,550
|
|
4.5% 11/15/33
|
41,173
|
41,179
|
|
4.625% 9/15/26
|
50,360
|
50,163
|
|
4.625% 10/15/26
|
32,855
|
32,737
|
|
4.625% 11/15/26
|
51,854
|
51,688
|
|
4.625% 5/31/31
|
11,133
|
11,213
|
|
4.875% 10/31/28
|
10,960
|
11,101
|
|
4.875% 10/31/30
|
19,158
|
19,538
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,705,352)
|
1,647,696
|
||
U.S. Government Agency - Mortgage Securities - 0.4%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 0.4%
|
|||
2.5% 10/1/31 to 1/1/33
|
2,036
|
1,879
|
|
3% 11/1/32 to 12/1/32
|
7,186
|
6,734
|
|
3.5% 9/1/34 to 10/1/34
|
2,579
|
2,446
|
|
4.5% 3/1/39 to 8/1/39
|
648
|
626
|
|
5.5% 11/1/34 to 6/1/36
|
563
|
569
|
|
6.5% 7/1/32 to 8/1/36
|
334
|
343
|
|
7% 8/1/25 to 7/1/28
|
1
|
1
|
|
7.5% 11/1/24 to 8/1/29
|
6
|
6
|
|
TOTAL FANNIE MAE
|
12,604
|
||
Freddie Mac - 0.0%
|
|||
5.5% 3/1/34 to 7/1/35
|
954
|
965
|
|
7.5% 7/1/27 to 9/1/31
|
2
|
2
|
|
TOTAL FREDDIE MAC
|
967
|
||
Ginnie Mae - 0.0%
|
|||
7% to 7% 1/15/28 to 11/15/32
|
305
|
312
|
|
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $14,995)
|
13,883
|
||
Asset-Backed Securities - 10.9%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
AASET Trust:
|
|||
Series 2019-1 Class A, 3.844% 5/15/39 (b)
|
178
|
157
|
|
Series 2019-2 Class A, 3.376% 10/16/39 (b)
|
1,078
|
1,012
|
|
Series 2021-1A Class A, 2.95% 11/16/41 (b)
|
2,554
|
2,332
|
|
Series 2021-2A Class A, 2.798% 1/15/47 (b)
|
3,193
|
2,818
|
|
American Express Credit Account Master Trust Series 2024-2 Class A, 5.24% 4/15/31
|
10,741
|
10,853
|
|
Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (b)
|
365
|
336
|
|
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(c)(d)
|
3,399
|
3,402
|
|
Ares LII CLO Ltd. Series 2021-52A Class A1R, CME Term SOFR 3 Month Index + 1.310% 6.6362% 4/22/31 (b)(c)(d)
|
5,438
|
5,448
|
|
Ares XXXIV CLO Ltd. Series 2024-2A Class AR3, CME Term SOFR 3 Month Index + 1.320% 6.6371% 4/17/33 (b)(c)(d)
|
15,541
|
15,560
|
|
Bank of America Credit Card Master Trust:
|
|||
Series 2023-A1 Class A1, 4.79% 5/15/28
|
2,593
|
2,572
|
|
Series 2023-A2 Class A2, 4.98% 11/15/28
|
4,812
|
4,791
|
|
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, CME Term SOFR 1 Month Index + 1.230% 6.5644% 2/25/35 (c)(d)
|
219
|
217
|
|
Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b)
|
2,414
|
2,133
|
|
BMW Vehicle Owner Trust Series 2023-A Class A3, 5.47% 2/25/28
|
975
|
975
|
|
Carmax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/29
|
1,250
|
1,253
|
|
Castlelake Aircraft Securitization Trust:
|
|||
Series 2019-1A Class A, 3.967% 4/15/39 (b)
|
1,615
|
1,454
|
|
Series 2021-1R Class A, 2.741% 8/15/41 (b)
|
1,606
|
1,500
|
|
Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/46 (b)
|
3,134
|
2,947
|
|
Cedar Funding Ltd. Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(c)(d)
|
6,373
|
6,382
|
|
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(c)(d)
|
3,008
|
3,010
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
|
655
|
641
|
|
Chase Auto Owner Trust 2024-2 Series 2024-2A Class A4, 5.48% 11/26/29 (b)
|
1,500
|
1,508
|
|
Chase Issuance Trust:
|
|||
Series 2023-A1 Class A, 5.16% 9/15/28
|
9,348
|
9,327
|
|
Series 2023-A2 Class A, 5.08% 9/15/30
|
8,477
|
8,507
|
|
Series 2024-A2 Class A, 4.63% 1/15/31
|
13,000
|
12,824
|
|
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30
|
10,727
|
10,265
|
|
Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/28 (b)
|
2,028
|
2,024
|
|
DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/51 (b)
|
7,320
|
6,685
|
|
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)
|
529
|
531
|
|
DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b)
|
546
|
545
|
|
Dominos Pizza Master Issuer LLC Series 2018-1A Class A2I, 4.116% 7/25/48 (b)
|
4,670
|
4,550
|
|
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6902% 4/15/31 (b)(c)(d)
|
5,454
|
5,468
|
|
Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/28 (b)
|
1,144
|
1,146
|
|
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
|
2,053
|
2,073
|
|
Flatiron Clo 28 Ltd. / Flatiron Series 2024-1A Class A1, CME Term SOFR 3 Month Index + 1.320% 1.32% 7/15/36 (b)(c)(d)(g)
|
10,126
|
10,138
|
|
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2024-1A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6613% 5/20/36 (b)(c)(d)
|
5,033
|
5,061
|
|
Ford Crdt Auto Owner Trust 202 Series 2024-A Class A4, 5.01% 9/15/29
|
2,800
|
2,783
|
|
Ford Credit Auto Owner Trust:
|
|||
Series 2020-1 Class B, 2.29% 8/15/31 (b)
|
2,000
|
1,951
|
|
Series 2023-2 Class A, 5.28% 2/15/36 (b)
|
7,988
|
8,004
|
|
Series 2024-1 Class A, 4.87% 8/15/36 (b)
|
7,176
|
7,068
|
|
Ford Credit Auto Owner Trust 2 Series 2023-1 Class A, 4.85% 8/15/35 (b)
|
11,603
|
11,427
|
|
Ford Credit Floorplan Master Owner Trust:
|
|||
Series 2018-4 Class A, 4.06% 11/15/30
|
1,475
|
1,406
|
|
Series 2023-1 Class A1, 4.92% 5/15/28 (b)
|
4,184
|
4,142
|
|
Series 2024-1:
|
|||
Class A1, 5.29% 4/15/29 (b)
|
8,539
|
8,543
|
|
Class B, 5.48% 4/15/29 (b)
|
5,501
|
5,471
|
|
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28
|
1,115
|
1,117
|
|
Gm Financial Revolving Receiva:
|
|||
Series 2023-1 Class A, 5.12% 4/11/35 (b)
|
7,253
|
7,209
|
|
Series 2023-2 Class A, 5.77% 8/11/36 (b)
|
11,424
|
11,671
|
|
Series 2024-1 Class A, 4.98% 12/11/36 (b)
|
5,692
|
5,634
|
|
GMF Floorplan Owner Revolving Trust:
|
|||
Series 2023-1:
|
|||
Class A1, 5.34% 6/15/28 (b)
|
5,924
|
5,911
|
|
Class B, 5.73% 6/15/28 (b)
|
4,517
|
4,514
|
|
Series 2024-1A:
|
|||
Class A1, 5.13% 3/15/29 (b)
|
10,783
|
10,732
|
|
Class B, 5.33% 3/15/29 (b)
|
5,100
|
5,074
|
|
Series 2024-2A:
|
|||
Class A, 5.06% 3/15/31 (b)
|
12,352
|
12,270
|
|
Class B, 5.35% 3/15/31 (b)
|
1,275
|
1,264
|
|
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b)
|
565
|
514
|
|
Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/28
|
1,125
|
1,126
|
|
Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/31 (b)(c)(d)
|
4,490
|
4,495
|
|
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, CME Term SOFR 3 Month Index + 1.260% 6.5862% 1/22/31 (b)(c)(d)
|
7,481
|
7,498
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A4, 5.32% 2/15/30
|
6,065
|
6,050
|
|
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b)
|
185
|
179
|
|
Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, CME Term SOFR 1 Month Index + 5.360% 10.6894% 8/25/34 (c)(d)(h)
|
95
|
121
|
|
Niagara Park CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.260% 6.5787% 7/17/32 (b)(c)(d)
|
6,158
|
6,170
|
|
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b)
|
3,127
|
3,103
|
|
Palmer Square Loan Funding 202 Series 2024-3A Class A1, CME Term SOFR 3 Month Index + 1.080% 0% 8/8/32 (b)(c)(d)(g)
|
5,721
|
5,725
|
|
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, CME Term SOFR 3 Month Index + 1.060% 6.3874% 5/20/29 (b)(c)(d)
|
1,246
|
1,247
|
|
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6844% 1/25/36 (c)(d)
|
56
|
55
|
|
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)
|
2,699
|
2,628
|
|
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(c)(d)
|
4,777
|
4,789
|
|
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26
|
839
|
838
|
|
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (b)
|
2,575
|
2,343
|
|
SBA Tower Trust:
|
|||
Series 2019, 2.836% 1/15/50 (b)
|
1,805
|
1,769
|
|
1.631% 5/15/51 (b)
|
9,464
|
8,541
|
|
1.884% 7/15/50 (b)
|
703
|
657
|
|
SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/46 (b)
|
1,297
|
1,143
|
|
Subway Funding LLC Issuer Series 2024-1A:
|
|||
Class A2I, 6.028% 7/30/54 (b)
|
2,683
|
2,683
|
|
Class A2II, 6.268% 7/30/54 (b)
|
2,843
|
2,843
|
|
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6502% 7/15/32 (b)(c)(d)
|
4,706
|
4,713
|
|
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.280% 6.6102% 1/15/34 (b)(c)(d)
|
6,275
|
6,283
|
|
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.220% 6.5509% 11/18/30 (b)(c)(d)
|
2,818
|
2,825
|
|
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5202% 7/15/30 (b)(c)(d)
|
5,389
|
5,399
|
|
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2994% 9/25/34 (c)(d)
|
70
|
71
|
|
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 6.212% 5/17/32 (b)(c)
|
391
|
384
|
|
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b)
|
1,787
|
1,556
|
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, CME Term SOFR 3 Month Index + 0.820% 6.1235% 4/6/42 (b)(c)(d)
|
1,143
|
817
|
|
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b)
|
888
|
883
|
|
VCAT Asset Securitization, LLC:
|
|||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b)
|
277
|
275
|
|
Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b)
|
1,787
|
1,759
|
|
Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(c)
|
2,860
|
2,780
|
|
Verizon Master Trust:
|
|||
Series 2023-4 Class A1A, 5.16% 6/20/29
|
6,694
|
6,676
|
|
Series 2023-7 Class A1A, 5.67% 11/20/29
|
10,000
|
10,089
|
|
Series 2024-2 Class A, 4.83% 12/22/31 (b)
|
7,262
|
7,143
|
|
Volkswagen Auto Loan Enhanced:
|
|||
Series 2023-1 Class A3, 5.02% 6/20/28
|
3,045
|
3,024
|
|
Series 2023-2:
|
|||
Class A3, 5.48% 12/20/28
|
5,281
|
5,304
|
|
Class A4, 5.57% 4/22/30
|
4,900
|
4,949
|
|
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b)
|
6,255
|
6,310
|
|
World Omni Automobile Lease Se Series 2024-A Class A3, 5.26% 10/15/27
|
4,080
|
4,072
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $409,671)
|
406,465
|
||
Collateralized Mortgage Obligations - 1.3%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Private Sponsor - 1.3%
|
|||
Ajax Mortgage Loan Trust sequential payer Series 2021-C Class A, 2.115% 1/25/61 (b)
|
1,075
|
1,033
|
|
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)
|
3,363
|
2,878
|
|
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b)
|
1,778
|
1,598
|
|
BRAVO Residential Funding Trust sequential payer:
|
|||
Series 2020-RPL2 Class A1, 2% 5/25/59 (b)
|
1,567
|
1,408
|
|
Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b)
|
7,104
|
6,292
|
|
Cascade Funding Mortgage Trust:
|
|||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
|
296
|
285
|
|
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
|
979
|
958
|
|
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c)
|
1,487
|
1,418
|
|
CFMT LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)
|
3,008
|
2,960
|
|
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b)
|
458
|
398
|
|
Csmc Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)
|
5,631
|
5,426
|
|
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)
|
1,990
|
1,943
|
|
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)
|
1,728
|
1,530
|
|
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)
|
3,916
|
3,752
|
|
New Residential Mortgage Loan Trust:
|
|||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b)
|
661
|
602
|
|
Series 2020-1A Class A1B, 3.5% 10/25/59 (b)
|
622
|
564
|
|
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)
|
1,332
|
1,249
|
|
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)
|
88
|
79
|
|
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)
|
238
|
229
|
|
Preston Ridge Partners Mortgage Trust:
|
|||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)
|
3,139
|
3,019
|
|
Series 2021-2 Class A1, 5.115% 3/25/26 (b)
|
3,364
|
3,309
|
|
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)
|
534
|
473
|
|
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
|
754
|
665
|
|
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)
|
2,636
|
2,576
|
|
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(c)
|
4,271
|
4,019
|
|
RMF Buyout Issuance Trust sequential payer:
|
|||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)
|
556
|
542
|
|
Series 2022-HB1 Class A, 4.272% 4/25/32 (b)
|
49
|
49
|
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)
|
1
|
1
|
|
TOTAL PRIVATE SPONSOR
|
49,255
|
||
U.S. Government Agency - 0.0%
|
|||
Fannie Mae Series 2013-16 Class GP, 3% 3/25/33
|
597
|
575
|
|
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34
|
151
|
147
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
722
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $53,192)
|
49,977
|
||
Commercial Mortgage Securities - 3.7%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
BAMLL Commercial Mortgage Securities Trust:
|
|||
floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.467% 1/15/39 (b)(c)(d)
|
1,605
|
1,594
|
|
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)
|
1,164
|
1,047
|
|
BANK sequential payer Series 2018-BN15 Class ASB, 4.285% 11/15/61
|
2,112
|
2,063
|
|
Bank sequential payer Series 2021-BN36 Class ASB, 2.283% 9/15/64
|
10,250
|
9,002
|
|
BANK:
|
|||
Series 2021-BN33 Class XA, 1.0514% 5/15/64 (c)(i)
|
12,381
|
607
|
|
Series 2022-BNK41 Class ASB, 3.7902% 4/15/65 (c)
|
6,700
|
6,247
|
|
BBCMS Mortgage Trust sequential payer:
|
|||
Series 2019-C5 Class ASB, 2.99% 11/15/52
|
3,470
|
3,275
|
|
Series 2022-C14 Class ASB, 2.901% 2/15/55
|
1,300
|
1,160
|
|
BCP Trust floater Series 2021-330N Class A, CME Term SOFR 1 Month Index + 0.910% 6.2305% 6/15/38 (b)(c)(d)
|
7,697
|
7,299
|
|
Benchmark Mortgage Trust:
|
|||
sequential payer Series 2021-B31 Class AAB, 2.615% 12/15/54
|
8,000
|
7,044
|
|
Series 2018-B7 Class A2, 4.377% 5/15/53
|
1,695
|
1,669
|
|
Series 2019-B12 Class XA, 1.0238% 8/15/52 (c)(i)
|
15,964
|
507
|
|
Series 2019-B14 Class XA, 0.7684% 12/15/62 (c)(i)
|
16,093
|
383
|
|
Series 2020-B17 Class XA, 1.4131% 3/15/53 (c)(i)
|
30,834
|
1,418
|
|
Series 2020-B19 Class XA, 1.7575% 9/15/53 (c)(i)
|
20,853
|
1,251
|
|
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1815% 9/15/26 (b)(c)(d)
|
3,041
|
2,947
|
|
BLP Commercial Mortgage Trust sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6589% 3/15/41 (b)(c)(d)
|
1,522
|
1,523
|
|
BX Commercial Mortgage Trust:
|
|||
floater:
|
|||
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0674% 10/15/26 (b)(c)(d)
|
2,587
|
2,561
|
|
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1206% 10/15/36 (b)(c)(d)
|
5,672
|
5,616
|
|
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0838% 5/15/38 (b)(c)(d)
|
1,701
|
1,688
|
|
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0782% 12/9/40 (b)(c)(d)
|
2,217
|
2,230
|
|
floater sequential payer:
|
|||
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3633% 4/15/34 (b)(c)(d)
|
665
|
659
|
|
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1015% 6/15/38 (b)(c)(d)
|
2,339
|
2,323
|
|
BX Trust:
|
|||
floater:
|
|||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2815% 11/15/38 (b)(c)(d)
|
2,778
|
2,766
|
|
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(c)(d)
|
1,603
|
1,610
|
|
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(d)
|
5,461
|
5,464
|
|
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 1/15/34 (b)(c)(d)
|
770
|
766
|
|
CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50
|
992
|
955
|
|
CF Hippolyta Issuer LLC sequential payer:
|
|||
Series 2020-1 Class A1, 1.69% 7/15/60 (b)
|
3,980
|
3,754
|
|
Series 2021-1A Class A1, 1.53% 3/15/61 (b)
|
2,861
|
2,604
|
|
Citigroup Commercial Mortgage Trust sequential payer Series 2016-GC37 Class AAB, 3.098% 4/10/49
|
222
|
217
|
|
Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
|
879
|
828
|
|
CSAIL Commercial Mortgage Trust sequential payer Series 2020-C19 Class ASB, 2.5501% 3/15/53
|
11,986
|
11,061
|
|
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 11/15/38 (b)(c)(d)
|
3,944
|
3,912
|
|
Extended Stay America Trust floater Series 2021-ESH Class A, CME Term SOFR 1 Month Index + 1.190% 6.5115% 7/15/38 (b)(c)(d)
|
1,191
|
1,190
|
|
GS Mortgage Securities Trust:
|
|||
floater Series 2021-IP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3815% 10/15/36 (b)(c)(d)
|
1,714
|
1,699
|
|
sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48
|
241
|
237
|
|
Series 2011-GC5 Class A/S, 5.1513% 8/10/44 (b)(c)
|
2,357
|
2,286
|
|
Series 2013-GC13 Class A/S, 3.8427% 7/10/46 (b)(c)
|
4,156
|
3,967
|
|
Series 2015-GC30 Class A/S, 3.777% 5/10/50
|
519
|
502
|
|
JPMBB Commercial Mortgage Securities Trust sequential payer Series 2014-C22 Class A4, 3.8012% 9/15/47
|
1,256
|
1,249
|
|
JPMorgan Chase Commercial Mortgage Securities Trust:
|
|||
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9315% 9/15/29 (b)(c)(d)
|
841
|
802
|
|
Series 2013-LC11 Class A/S, 3.216% 4/15/46
|
174
|
160
|
|
Series 2018-AON Class D, 4.6132% 7/5/31 (b)(c)
|
3,378
|
2,052
|
|
Series 2018-WPT Class AFX, 4.2475% 7/5/33 (b)
|
2,058
|
1,904
|
|
LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 3/15/38 (b)(c)(d)
|
2,260
|
2,227
|
|
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(d)
|
1,380
|
1,376
|
|
Morgan Stanley Capital I Trust:
|
|||
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
|
2,448
|
2,310
|
|
Series 2021-L6 Class XA, 1.2029% 6/15/54 (c)(i)
|
4,336
|
226
|
|
Open Trust 2023-Air sequential payer Series 2023-AIR Class A, CME Term SOFR 1 Month Index + 3.080% 8.4059% 10/15/28 (b)(c)(d)
|
1,829
|
1,855
|
|
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9155% 10/15/36 (b)(c)(d)
|
3,741
|
3,704
|
|
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(d)
|
2,640
|
2,630
|
|
UBS Commercial Mortgage Trust:
|
|||
sequential payer Series 2018-C8 Class ASB, 3.903% 2/15/51
|
4,594
|
4,465
|
|
Series 2017-C7 Class XA, 0.9864% 12/15/50 (c)(i)
|
46,866
|
1,317
|
|
VLS Commercial Mortgage Trust:
|
|||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b)
|
1,920
|
1,535
|
|
Series 2020-LAB Class X, 0.4294% 10/10/42 (b)(c)(i)
|
57,901
|
1,283
|
|
Wells Fargo Commercial Mortgage Trust sequential payer:
|
|||
Series 2017-C41 Class ASB, 3.39% 11/15/50
|
211
|
205
|
|
Series 2017-RC1 Class ASB, 3.453% 1/15/60
|
949
|
925
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $146,250)
|
138,156
|
||
Foreign Government and Government Agency Obligations - 0.1%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
United Mexican States:
|
|||
3.25% 4/16/30
|
2,368
|
2,079
|
|
3.5% 2/12/34
|
1,965
|
1,608
|
|
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $4,316)
|
3,687
|
||
Bank Notes - 0.1%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
First Citizens Bank & Trust Co. 2.969% 9/27/25 (c)
(Cost $4,416)
|
4,416
|
4,367
|
|
Money Market Funds - 1.4%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 5.39% (j)
(Cost $51,757)
|
51,746,585
|
51,757
|
|
|
TOTAL INVESTMENT IN SECURITIES - 100.9%
(Cost $3,892,957)
|
3,776,057
|
NET OTHER ASSETS (LIABILITIES) - (0.9)%
|
(33,156)
|
NET ASSETS - 100.0%
|
3,742,901
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
442
|
Sep 2024
|
90,037
|
(84)
|
(84)
|
The notional amount of futures purchased as a percentage of Net Assets is 2.4%
|
|||||
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $717,340,000 or 19.2% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(e)
|
Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
|
(f)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $640,000.
|
(g)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(h)
|
Level 3 security
|
(i)
|
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
|
(j)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
% ownership,
end
of period
|
Fidelity Cash Central Fund 5.39%
|
28,002
|
855,179
|
831,424
|
976
|
-
|
-
|
51,757
|
0.1%
|
Fidelity Securities Lending Cash Central Fund 5.39%
|
10,752
|
310,157
|
320,909
|
15
|
-
|
-
|
-
|
0.0%
|
Total
|
38,754
|
1,165,336
|
1,152,333
|
991
|
-
|
-
|
51,757
|
|