Nonconvertible Bonds - 43.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
COMMUNICATION SERVICES - 0.8%
|
|||
Media - 0.3%
|
|||
Warnermedia Holdings, Inc. 3.638% 3/15/25
|
23,000,000
|
22,609,373
|
|
Wireless Telecommunication Services - 0.5%
|
|||
Sprint Corp. 7.625% 2/15/25
|
18,400,000
|
18,545,323
|
|
T-Mobile U.S.A., Inc. 3.5% 4/15/25
|
23,150,000
|
22,714,566
|
|
41,259,889
|
|||
TOTAL COMMUNICATION SERVICES
|
63,869,262
|
||
CONSUMER DISCRETIONARY - 3.1%
|
|||
Automobiles - 2.8%
|
|||
American Honda Finance Corp. 4.95% 1/9/26
|
13,259,000
|
13,191,682
|
|
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 6.1808% 4/1/25 (b)(c)(d)
|
13,000,000
|
13,061,476
|
|
General Motors Financial Co., Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 6.6346% 4/7/25 (c)(d)
|
13,000,000
|
13,091,821
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.9515% 10/15/24 (c)(d)
|
13,310,000
|
13,318,851
|
|
1.2% 10/15/24
|
12,700,000
|
12,491,490
|
|
2.75% 6/20/25
|
14,573,000
|
14,132,169
|
|
2.9% 2/26/25
|
14,000,000
|
13,713,092
|
|
3.5% 11/7/24
|
10,000,000
|
9,900,417
|
|
4% 1/15/25
|
12,000,000
|
11,874,704
|
|
Hyundai Capital America 5.8% 6/26/25 (b)
|
16,468,000
|
16,474,945
|
|
Mercedes-Benz Finance North America LLC:
|
|||
2.7% 6/14/24 (b)
|
5,000,000
|
4,995,036
|
|
4.9% 1/9/26 (b)
|
12,000,000
|
11,941,836
|
|
5.5% 11/27/24 (b)
|
18,800,000
|
18,763,010
|
|
Volkswagen Group of America Finance LLC:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 6.298% 6/7/24 (b)(c)(d)
|
13,000,000
|
13,001,076
|
|
3.35% 5/13/25 (b)
|
6,200,000
|
6,071,282
|
|
5.8% 9/12/25 (b)
|
27,000,000
|
27,041,746
|
|
213,064,633
|
|||
Distributors - 0.2%
|
|||
Genuine Parts Co. 1.75% 2/1/25
|
20,000,000
|
19,482,229
|
|
Household Durables - 0.1%
|
|||
Lennar Corp. 4.75% 5/30/25
|
7,237,000
|
7,174,456
|
|
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Tapestry, Inc. 7.05% 11/27/25
|
855,000
|
869,144
|
|
TOTAL CONSUMER DISCRETIONARY
|
240,590,462
|
||
CONSUMER STAPLES - 2.3%
|
|||
Beverages - 0.2%
|
|||
PepsiCo, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.7207% 11/12/24 (c)(d)
|
14,429,000
|
14,444,166
|
|
Consumer Staples Distribution & Retail - 0.7%
|
|||
Dollar General Corp.:
|
|||
4.15% 11/1/25
|
12,000,000
|
11,760,994
|
|
4.25% 9/20/24
|
27,687,000
|
27,553,511
|
|
Dollar Tree, Inc. 4% 5/15/25
|
15,923,000
|
15,695,322
|
|
55,009,827
|
|||
Food Products - 0.3%
|
|||
Campbell Soup Co.:
|
|||
3.3% 3/19/25
|
9,000,000
|
8,835,550
|
|
3.95% 3/15/25
|
9,355,000
|
9,228,728
|
|
5.3% 3/20/26
|
3,502,000
|
3,494,095
|
|
21,558,373
|
|||
Personal Care Products - 0.2%
|
|||
Kenvue, Inc. 5.5% 3/22/25
|
13,500,000
|
13,499,000
|
|
Tobacco - 0.9%
|
|||
Altria Group, Inc. 2.35% 5/6/25
|
24,328,000
|
23,603,391
|
|
BAT Capital Corp. 3.222% 8/15/24
|
25,000,000
|
24,867,509
|
|
Philip Morris International, Inc. 5.125% 11/15/24
|
12,200,000
|
12,178,503
|
|
Reynolds American, Inc. 4.45% 6/12/25
|
12,850,000
|
12,692,456
|
|
73,341,859
|
|||
TOTAL CONSUMER STAPLES
|
177,853,225
|
||
ENERGY - 2.7%
|
|||
Oil, Gas & Consumable Fuels - 2.7%
|
|||
DCP Midstream Operating LP 5.375% 7/15/25
|
12,000,000
|
11,944,954
|
|
Devon Energy Corp. 5.25% 9/15/24
|
3,300,000
|
3,292,776
|
|
Enbridge, Inc. 2.5% 2/14/25
|
21,300,000
|
20,832,120
|
|
Energy Transfer LP:
|
|||
2.9% 5/15/25
|
13,365,000
|
13,011,916
|
|
4.05% 3/15/25
|
12,200,000
|
12,030,238
|
|
Marathon Petroleum Corp. 4.7% 5/1/25
|
23,000,000
|
22,792,088
|
|
MPLX LP 4.875% 12/1/24
|
13,697,000
|
13,647,201
|
|
Phillips 66 Co. 3.85% 4/9/25
|
23,000,000
|
22,665,144
|
|
Spectra Energy Partners LP 3.5% 3/15/25
|
24,000,000
|
23,590,498
|
|
The Williams Companies, Inc. 3.9% 1/15/25
|
6,000,000
|
5,935,952
|
|
TransCanada PipeLines Ltd. 1% 10/12/24
|
42,700,000
|
41,967,853
|
|
Western Midstream Operating LP 3.1% 2/1/25
|
18,000,000
|
17,636,782
|
|
209,347,522
|
|||
FINANCIALS - 25.3%
|
|||
Banks - 16.7%
|
|||
ABN AMRO Bank NV U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 7.125% 9/18/27 (b)(c)(d)
|
17,900,000
|
18,195,350
|
|
Bank of America Corp.:
|
|||
0.981% 9/25/25 (c)
|
12,700,000
|
12,511,092
|
|
1.658% 3/11/27 (c)
|
10,000,000
|
9,348,067
|
|
2.015% 2/13/26 (c)
|
14,705,000
|
14,322,779
|
|
3.366% 1/23/26 (c)
|
24,000,000
|
23,633,923
|
|
3.384% 4/2/26 (c)
|
20,000,000
|
19,607,970
|
|
Bank of America NA 5.65% 8/18/25
|
20,000,000
|
20,078,619
|
|
Bank of Ireland Group PLC 6.253% 9/16/26 (b)(c)
|
15,000,000
|
15,061,950
|
|
Bank of Montreal 5.92% 9/25/25
|
18,000,000
|
18,100,544
|
|
Bank of Nova Scotia:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.707% 7/31/24 (c)(d)
|
17,300,000
|
17,304,431
|
|
5.45% 6/12/25
|
24,400,000
|
24,370,870
|
|
Barclays PLC:
|
|||
2.852% 5/7/26 (c)
|
40,239,000
|
39,164,279
|
|
3.65% 3/16/25
|
10,000,000
|
9,839,655
|
|
5.304% 8/9/26 (c)
|
27,658,000
|
27,493,678
|
|
BNP Paribas SA U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(c)(d)
|
10,214,000
|
9,524,919
|
|
BPCE SA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9015% 1/14/25 (b)(c)(d)
|
9,396,000
|
9,407,596
|
|
2.375% 1/14/25 (b)
|
7,962,000
|
7,787,692
|
|
Canadian Imperial Bank of Commerce U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.940% 6.2746% 4/7/25 (c)(d)
|
18,000,000
|
18,083,950
|
|
Citibank NA 5.864% 9/29/25
|
18,750,000
|
18,875,431
|
|
Citigroup, Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.0218% 1/25/26 (c)(d)
|
17,500,000
|
17,520,526
|
|
3.29% 3/17/26 (c)
|
24,000,000
|
23,533,729
|
|
Cooperatieve Rabobank UA:
|
|||
1.004% 9/24/26 (b)(c)
|
19,741,000
|
18,586,930
|
|
1.339% 6/24/26 (b)(c)
|
6,400,000
|
6,111,181
|
|
2.625% 7/22/24 (b)
|
11,000,000
|
10,956,924
|
|
Cooperatieve Rabobank UA/NY 3.875% 8/22/24
|
18,000,000
|
17,931,627
|
|
Credit Agricole SA 1.247% 1/26/27 (b)(c)
|
3,700,000
|
3,446,014
|
|
Danske Bank A/S:
|
|||
6.259% 9/22/26 (b)(c)
|
27,404,000
|
27,582,786
|
|
6.466% 1/9/26 (b)(c)
|
14,604,000
|
14,639,542
|
|
DNB Bank ASA 5.896% 10/9/26 (b)(c)
|
11,900,000
|
11,937,991
|
|
HSBC Holdings PLC:
|
|||
1.645% 4/18/26 (c)
|
8,000,000
|
7,716,853
|
|
2.633% 11/7/25 (c)
|
12,500,000
|
12,329,397
|
|
2.999% 3/10/26 (c)
|
16,000,000
|
15,663,270
|
|
4.18% 12/9/25 (c)
|
15,000,000
|
14,861,553
|
|
4.292% 9/12/26 (c)
|
8,000,000
|
7,852,540
|
|
Huntington National Bank 5.699% 11/18/25 (c)
|
23,850,000
|
23,798,789
|
|
ING Groep NV 3.869% 3/28/26 (c)
|
30,500,000
|
30,046,866
|
|
JPMorgan Chase & Co.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.8846% 6/1/25 (c)(d)
|
18,475,000
|
18,475,000
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 6.2409% 2/24/26 (c)(d)
|
15,958,000
|
16,013,103
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.970% 6.3156% 6/14/25 (c)(d)
|
17,000,000
|
17,006,256
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6475% 4/26/26 (c)(d)
|
14,956,000
|
15,074,809
|
|
0.824% 6/1/25 (c)
|
15,000,000
|
15,000,000
|
|
0.969% 6/23/25 (c)
|
24,600,000
|
24,523,549
|
|
1.561% 12/10/25 (c)
|
9,000,000
|
8,806,605
|
|
5.546% 12/15/25 (c)
|
15,000,000
|
14,982,097
|
|
KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.6656% 6/14/24 (c)(d)
|
26,050,000
|
26,046,900
|
|
Lloyds Banking Group PLC:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.560% 6.8804% 8/7/27 (c)(d)
|
18,000,000
|
18,246,748
|
|
3.511% 3/18/26 (c)
|
8,000,000
|
7,854,592
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.7301% 9/12/25 (c)(d)
|
12,955,000
|
12,995,566
|
|
0.962% 10/11/25 (c)
|
20,191,000
|
19,840,335
|
|
2.801% 7/18/24
|
12,300,000
|
12,256,849
|
|
3.837% 4/17/26 (c)
|
12,000,000
|
11,806,627
|
|
4.788% 7/18/25 (c)
|
10,000,000
|
9,985,582
|
|
5.063% 9/12/25 (c)
|
12,000,000
|
11,969,841
|
|
Mizuho Financial Group, Inc.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.2729% 5/22/26 (c)(d)
|
21,000,000
|
21,092,398
|
|
2.555% 9/13/25 (c)
|
18,750,000
|
18,577,547
|
|
2.651% 5/22/26 (c)
|
16,000,000
|
15,547,439
|
|
Morgan Stanley Bank, West Valley City Utah 5.479% 7/16/25
|
20,000,000
|
20,018,236
|
|
NatWest Markets PLC:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.8507% 8/12/24 (b)(c)(d)
|
19,209,000
|
19,215,723
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7931% 3/22/25 (b)(c)(d)
|
11,324,000
|
11,413,669
|
|
0.8% 8/12/24 (b)
|
6,300,000
|
6,240,443
|
|
PNC Financial Services Group, Inc. 5.671% 10/28/25 (c)
|
9,000,000
|
8,998,280
|
|
Royal Bank of Canada:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 5.6746% 10/7/24 (c)(d)
|
2,000,000
|
2,001,301
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.360% 5.6872% 7/29/24 (c)(d)
|
3,000,000
|
3,000,600
|
|
2.55% 7/16/24
|
10,000,000
|
9,963,965
|
|
3.97% 7/26/24
|
20,733,000
|
20,683,574
|
|
Santander Holdings U.S.A., Inc. 3.45% 6/2/25
|
11,000,000
|
10,738,404
|
|
Societe Generale:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.379% 1/21/26 (b)(c)(d)
|
18,000,000
|
18,026,982
|
|
2.625% 1/22/25 (b)
|
13,000,000
|
12,725,069
|
|
Sumitomo Mitsui Financial Group, Inc. 2.696% 7/16/24
|
20,300,000
|
20,227,604
|
|
Sumitomo Mitsui Trust Bank Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 5.7846% 9/16/24 (b)(c)(d)
|
2,000,000
|
2,001,960
|
|
Swedbank AB U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 6.246% 4/4/25 (b)(c)(d)
|
11,081,000
|
11,128,334
|
|
The Toronto-Dominion Bank:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 5.8126% 10/10/25 (c)(d)
|
25,250,000
|
25,291,736
|
|
2.65% 6/12/24
|
10,000,000
|
9,992,496
|
|
Truist Financial Corp.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.7473% 6/9/25 (c)(d)
|
16,000,000
|
15,999,200
|
|
4.26% 7/28/26 (c)
|
12,300,000
|
12,096,268
|
|
5.9% 10/28/26 (c)
|
15,000,000
|
15,036,401
|
|
U.S. Bancorp 1.45% 5/12/25
|
15,000,000
|
14,446,295
|
|
Wells Fargo & Co.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.6478% 4/25/26 (c)(d)
|
13,951,000
|
14,054,876
|
|
2.164% 2/11/26 (c)
|
8,000,000
|
7,804,942
|
|
2.188% 4/30/26 (c)
|
23,600,000
|
22,857,031
|
|
2.406% 10/30/25 (c)
|
12,500,000
|
12,328,814
|
|
3.3% 9/9/24
|
25,400,000
|
25,238,570
|
|
Wells Fargo Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.800% 6.1253% 8/1/25 (c)(d)
|
15,000,000
|
15,051,943
|
|
1,279,913,872
|
|||
Capital Markets - 5.2%
|
|||
Athene Global Funding:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.560% 5.8797% 8/19/24 (b)(c)(d)
|
2,000,000
|
2,001,378
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 6.0502% 1/7/25 (b)(c)(d)
|
20,600,000
|
20,634,467
|
|
5.684% 2/23/26 (b)
|
20,000,000
|
19,985,122
|
|
Bank of New York Mellon Corp. 4.414% 7/24/26 (c)
|
10,226,000
|
10,105,314
|
|
Bank of New York, New York:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7956% 3/13/26 (c)(d)
|
12,722,000
|
12,732,854
|
|
5.224% 11/21/25 (c)
|
8,260,000
|
8,246,850
|
|
Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5795% 2/21/25 (c)(d)
|
14,000,000
|
14,068,723
|
|
Deutsche Bank AG New York Branch:
|
|||
3.961% 11/26/25 (c)
|
28,000,000
|
27,729,661
|
|
6.119% 7/14/26 (c)
|
20,901,000
|
20,925,744
|
|
Goldman Sachs Group, Inc.:
|
|||
0.855% 2/12/26 (c)
|
22,000,000
|
21,260,244
|
|
3.272% 9/29/25 (c)
|
12,200,000
|
12,099,748
|
|
5.7% 11/1/24
|
28,500,000
|
28,500,252
|
|
Moody's Corp. 3.75% 3/24/25
|
17,919,000
|
17,666,927
|
|
Morgan Stanley:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.8379% 1/22/25 (c)(d)
|
9,000,000
|
9,006,300
|
|
2.188% 4/28/26 (c)
|
31,016,000
|
30,049,697
|
|
2.63% 2/18/26 (c)
|
22,000,000
|
21,518,473
|
|
3.7% 10/23/24
|
15,900,000
|
15,779,245
|
|
State Street Corp. 2.901% 3/30/26 (c)
|
12,000,000
|
11,717,572
|
|
UBS AG London Branch:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7713% 8/9/24 (b)(c)(d)
|
10,000,000
|
10,004,100
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.8015% 1/13/25 (b)(c)(d)
|
24,000,000
|
24,006,308
|
|
UBS Group AG:
|
|||
1.364% 1/30/27 (b)(c)
|
25,000,000
|
23,248,795
|
|
2.193% 6/5/26 (b)(c)
|
6,300,000
|
6,074,884
|
|
3.75% 3/26/25
|
12,000,000
|
11,813,488
|
|
6.373% 7/15/26 (b)(c)
|
22,000,000
|
22,107,555
|
|
401,283,701
|
|||
Consumer Finance - 2.3%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.65% 10/29/24
|
24,000,000
|
23,595,450
|
|
3.5% 1/15/25
|
3,365,000
|
3,315,490
|
|
6.5% 7/15/25
|
15,000,000
|
15,114,406
|
|
American Express Co.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.930% 6.2798% 3/4/25 (c)(d)
|
20,000,000
|
20,093,965
|
|
3.625% 12/5/24
|
18,000,000
|
17,817,348
|
|
4.99% 5/1/26 (c)
|
24,000,000
|
23,841,631
|
|
6.338% 10/30/26 (c)
|
15,655,000
|
15,822,359
|
|
Capital One Financial Corp.:
|
|||
2.636% 3/3/26 (c)
|
24,000,000
|
23,430,342
|
|
3.3% 10/30/24
|
7,000,000
|
6,929,762
|
|
John Deere Capital Corp. 3.35% 6/12/24
|
8,000,000
|
7,994,750
|
|
Toyota Motor Credit Corp.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.260% 5.605% 6/18/24 (c)(d)
|
2,000,000
|
2,000,038
|
|
5.6% 9/11/25
|
19,000,000
|
19,074,366
|
|
179,029,907
|
|||
Financial Services - 0.7%
|
|||
CNH Industrial Capital LLC 3.95% 5/23/25
|
10,000,000
|
9,838,601
|
|
Corebridge Financial, Inc. 3.5% 4/4/25
|
28,000,000
|
27,484,608
|
|
Fiserv, Inc. 3.85% 6/1/25
|
12,200,000
|
11,980,397
|
|
49,303,606
|
|||
Insurance - 0.4%
|
|||
Equitable Financial Life Global Funding 1% 1/9/26 (b)
|
20,200,000
|
18,777,437
|
|
Protective Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 6.3213% 3/28/25 (b)(c)(d)
|
13,000,000
|
13,060,799
|
|
31,838,236
|
|||
TOTAL FINANCIALS
|
1,941,369,322
|
||
HEALTH CARE - 2.7%
|
|||
Biotechnology - 0.8%
|
|||
AbbVie, Inc. 2.6% 11/21/24
|
18,000,000
|
17,748,092
|
|
Amgen, Inc. 5.25% 3/2/25
|
39,415,000
|
39,319,115
|
|
57,067,207
|
|||
Health Care Equipment & Supplies - 0.2%
|
|||
Becton, Dickinson & Co. 3.363% 6/6/24
|
11,000,000
|
10,997,617
|
|
Health Care Providers & Services - 1.6%
|
|||
CVS Health Corp.:
|
|||
3.375% 8/12/24
|
20,000,000
|
19,908,301
|
|
4.1% 3/25/25
|
24,000,000
|
23,693,754
|
|
Elevance Health, Inc. 3.35% 12/1/24
|
18,263,000
|
18,059,901
|
|
HCA Holdings, Inc.:
|
|||
5.375% 2/1/25
|
23,075,000
|
22,996,485
|
|
5.875% 2/15/26
|
17,900,000
|
17,927,067
|
|
Humana, Inc.:
|
|||
3.85% 10/1/24
|
15,640,000
|
15,539,199
|
|
4.5% 4/1/25
|
6,231,000
|
6,183,609
|
|
124,308,316
|
|||
Pharmaceuticals - 0.1%
|
|||
Bristol-Myers Squibb Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.8096% 2/20/26 (c)(d)
|
10,569,000
|
10,613,485
|
|
TOTAL HEALTH CARE
|
202,986,625
|
||
INDUSTRIALS - 2.1%
|
|||
Aerospace & Defense - 0.4%
|
|||
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)
|
12,100,000
|
12,014,519
|
|
The Boeing Co. 4.875% 5/1/25
|
21,699,000
|
21,467,107
|
|
33,481,626
|
|||
Ground Transportation - 0.3%
|
|||
Canadian Pacific Railway Co.:
|
|||
1.35% 12/2/24
|
13,000,000
|
12,728,898
|
|
2.9% 2/1/25
|
12,000,000
|
11,793,374
|
|
24,522,272
|
|||
Machinery - 0.8%
|
|||
Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.7705% 11/14/24 (c)(d)
|
20,800,000
|
20,828,902
|
|
Daimler Trucks Finance North America LLC:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.0948% 12/13/24 (b)(c)(d)
|
2,000,000
|
2,005,456
|
|
3.5% 4/7/25 (b)
|
24,000,000
|
23,556,573
|
|
5.2% 1/17/25 (b)
|
5,340,000
|
5,321,767
|
|
Parker Hannifin Corp. 3.65% 6/15/24
|
5,000,000
|
4,994,369
|
|
56,707,067
|
|||
Trading Companies & Distributors - 0.3%
|
|||
Air Lease Corp.:
|
|||
0.8% 8/18/24
|
12,000,000
|
11,868,815
|
|
3.25% 3/1/25
|
13,926,000
|
13,648,758
|
|
25,517,573
|
|||
Transportation Infrastructure - 0.3%
|
|||
Avolon Holdings Funding Ltd. 2.125% 2/21/26 (b)
|
20,000,000
|
18,721,634
|
|
TOTAL INDUSTRIALS
|
158,950,172
|
||
INFORMATION TECHNOLOGY - 1.1%
|
|||
Electronic Equipment, Instruments & Components - 0.1%
|
|||
Dell International LLC/EMC Corp. 4% 7/15/24
|
9,000,000
|
8,981,678
|
|
Semiconductors & Semiconductor Equipment - 0.4%
|
|||
Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.5908% 10/1/24 (c)(d)
|
5,416,000
|
5,416,901
|
|
Micron Technology, Inc. 4.975% 2/6/26
|
8,000,000
|
7,934,177
|
|
NXP BV/NXP Funding LLC 5.35% 3/1/26
|
15,000,000
|
14,941,800
|
|
28,292,878
|
|||
Software - 0.6%
|
|||
Oracle Corp. 2.5% 4/1/25
|
30,600,000
|
29,810,299
|
|
VMware, Inc. 1% 8/15/24
|
13,844,000
|
13,707,504
|
|
43,517,803
|
|||
TOTAL INFORMATION TECHNOLOGY
|
80,792,359
|
||
MATERIALS - 1.2%
|
|||
Chemicals - 1.2%
|
|||
Celanese U.S. Holdings LLC 6.05% 3/15/25
|
30,000,000
|
30,024,008
|
|
Eastman Chemical Co. 3.8% 3/15/25
|
20,000,000
|
19,726,734
|
|
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b)
|
25,000,000
|
23,546,073
|
|
Nutrien Ltd. 5.9% 11/7/24
|
17,256,000
|
17,267,223
|
|
90,564,038
|
|||
REAL ESTATE - 0.6%
|
|||
Equity Real Estate Investment Trusts (REITs) - 0.6%
|
|||
Alexandria Real Estate Equities, Inc. 3.45% 4/30/25
|
21,500,000
|
21,063,073
|
|
Kite Realty Group Trust 4% 3/15/25
|
10,773,000
|
10,607,278
|
|
Ventas Realty LP 2.65% 1/15/25
|
12,000,000
|
11,759,111
|
|
43,429,462
|
|||
UTILITIES - 1.1%
|
|||
Electric Utilities - 0.3%
|
|||
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.6413% 6/28/24 (c)(d)
|
15,012,000
|
15,012,051
|
|
Tampa Electric Co. 3.875% 7/12/24
|
11,110,000
|
11,085,414
|
|
26,097,465
|
|||
Multi-Utilities - 0.8%
|
|||
Dominion Energy, Inc. 3.3% 3/15/25
|
11,936,000
|
11,697,798
|
|
DTE Energy Co.:
|
|||
1.05% 6/1/25
|
12,700,000
|
12,149,540
|
|
2.529% 10/1/24
|
12,975,000
|
12,836,839
|
|
Public Service Enterprise Group, Inc. 2.875% 6/15/24
|
2,000,000
|
1,997,246
|
|
Sempra 3.3% 4/1/25
|
16,000,000
|
15,682,738
|
|
WEC Energy Group, Inc. 5% 9/27/25
|
6,000,000
|
5,959,173
|
|
60,323,334
|
|||
TOTAL UTILITIES
|
86,420,799
|
||
|
TOTAL NONCONVERTIBLE BONDS
(Cost $3,292,216,974)
|
3,296,173,248
|
||
U.S. Treasury Obligations - 18.3%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Bills, yield at date of purchase 5.31% 6/13/24
|
85,000,000
|
84,875,688
|
|
U.S. Treasury Notes:
|
|||
3% 6/30/24 (e)
|
358,450,000
|
357,807,321
|
|
4.125% 1/31/25
|
336,500,000
|
333,969,678
|
|
4.25% 1/31/26
|
230,100,000
|
227,457,444
|
|
4.75% 7/31/25
|
403,000,000
|
401,299,834
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,410,053,690)
|
1,405,409,965
|
||
Asset-Backed Securities - 21.6%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (b)
|
2,905,000
|
2,908,168
|
|
Aimco Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6462% 7/22/32 (b)(c)(d)
|
10,424,000
|
10,434,424
|
|
AIMCO CLO Ltd. Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4871% 1/17/32 (b)(c)(d)
|
12,575,737
|
12,601,493
|
|
Ally Auto Receivables Trust:
|
|||
Series 2022-2:
|
|||
Class A2, 4.62% 10/15/25
|
114,201
|
114,142
|
|
Class A3, 4.76% 5/17/27
|
11,311,000
|
11,239,840
|
|
Series 2024-1 Class A2, 5.32% 1/15/27
|
18,000,000
|
17,964,509
|
|
American Express Credit Account Master Trust Series 2022-3 Class A, 3.75% 8/15/27
|
20,000,000
|
19,604,814
|
|
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(c)(d)
|
7,166,000
|
7,173,245
|
|
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)
|
8,970,000
|
8,985,159
|
|
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)
|
26,524,000
|
26,557,155
|
|
ARI Fleet Lease Trust Series 2024-A Class A2, 5.3% 11/15/32 (b)
|
12,866,000
|
12,796,141
|
|
BMW Vechicle Lease Trust Series 2023-1 Class A3, 5.16% 11/25/25
|
19,130,314
|
19,089,862
|
|
BMW Vehicle Lease Trust:
|
|||
Series 2023-2 Class A3, 5.99% 9/25/26
|
12,000,000
|
12,058,315
|
|
Series 2024-1 Class A2A, 5.1% 7/27/26
|
13,024,000
|
12,978,133
|
|
BMW Vehicle Owner Trust:
|
|||
Series 2022-A Class A3, 3.21% 8/25/26
|
1,770,039
|
1,742,668
|
|
Series 2023-A Class A2A, 5.72% 4/27/26
|
12,969,921
|
12,974,738
|
|
Bofa Auto Trust 2024-1 Series 2024-1A Class A2, 5.57% 12/15/26 (b)
|
11,953,000
|
11,946,735
|
|
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A, 3.49% 5/15/27
|
20,000,000
|
19,617,414
|
|
Capital One Prime Auto Receivables Series 2023-1 Class A2, 5.2% 5/15/26
|
9,264,759
|
9,249,569
|
|
CarMax Auto Owner Trust Series 2021-3 Class A3, 0.55% 6/15/26
|
8,109,471
|
7,921,937
|
|
Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25
|
1,041,690
|
1,041,256
|
|
CarMax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26
|
9,731,431
|
9,724,397
|
|
Carmax Auto Owner Trust:
|
|||
Series 2024-1 Class A2A, 5.3% 3/15/27
|
15,111,000
|
15,073,912
|
|
Series 2024-2 Class A2A, 5.65% 5/17/27
|
18,903,000
|
18,909,741
|
|
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A2A, 6.08% 12/15/26
|
12,968,365
|
12,994,684
|
|
Carmax Owner Trust Series 2023-1 Class A2A, 5.23% 1/15/26
|
2,207,823
|
2,206,392
|
|
Cedar Funding Ltd.:
|
|||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6862% 10/20/32 (b)(c)(d)
|
2,864,000
|
2,871,323
|
|
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(c)(d)
|
10,797,000
|
10,812,235
|
|
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(c)(d)
|
3,056,907
|
3,059,020
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
|
1,430,620
|
1,399,994
|
|
Chase Auto Owner Trust Series 2024-1A Class A2, 5.48% 4/26/27 (b)
|
13,143,000
|
13,128,589
|
|
Chesapeake Funding II LLC:
|
|||
Series 2021-1A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.6682% 4/15/33 (b)(c)(d)
|
1,427,818
|
1,426,463
|
|
Series 2023 1A Class A1, 5.65% 5/15/35 (b)
|
9,132,022
|
9,125,512
|
|
Series 2023-2A Class A1, 6.16% 10/15/35 (b)
|
1,779,104
|
1,788,814
|
|
Citizens Auto Receivables Trust:
|
|||
Series 2024-1 Class A2A, 5.43% 10/15/26 (b)
|
16,140,000
|
16,114,764
|
|
Series 2024-2 Class A2A, 5.54% 11/16/26 (b)
|
14,638,000
|
14,627,819
|
|
Daimler Trucks Retail Trust 20:
|
|||
Series 2023-1 Class A2, 6.03% 9/15/25
|
5,157,490
|
5,161,769
|
|
Series 2024-1 Class A2, 5.6% 4/15/26
|
30,900,000
|
30,885,557
|
|
Dell Equipment Finance Trust 2:
|
|||
Series 2023-3 Class A2, 6.1% 4/23/29 (b)
|
14,711,654
|
14,732,168
|
|
Series 2024-1 Class A2, 5.58% 3/22/30 (b)
|
15,034,000
|
15,041,696
|
|
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A2, 5.84% 1/22/29 (b)
|
6,704,769
|
6,708,419
|
|
Discover Card Execution Note Trust:
|
|||
Series 2022-A1 Class A1, 1.96% 2/15/27
|
18,000,000
|
17,546,486
|
|
Series 2022-A3 Class A3, 3.56% 7/15/27
|
18,430,000
|
18,047,705
|
|
Dllaa 2023-1A Series 2023-1A Class A2, 5.93% 7/20/26 (b)
|
1,291,190
|
1,292,435
|
|
DLLAD:
|
|||
Series 2023-1A Class A2, 5.19% 4/20/26 (b)
|
6,213,617
|
6,198,628
|
|
Series 2024-1A Class A2, 5.5% 8/20/27 (b)
|
7,756,000
|
7,751,778
|
|
Dllmt 2023-1 LLC Series 2023-1A Class A2, 5.78% 11/20/25 (b)
|
9,435,554
|
9,433,602
|
|
DLLST Series 2024-1A Class A2, 5.33% 1/20/26 (b)
|
9,067,000
|
9,039,244
|
|
Drive Auto Receivables Trust Series 2024-1 Class A2, 5.83% 12/15/26
|
10,482,000
|
10,483,182
|
|
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, CME Term SOFR 3 Month Index + 1.360% 6.6787% 7/17/34 (b)(c)(d)
|
4,908,000
|
4,917,389
|
|
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)
|
9,297,000
|
9,320,494
|
|
Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/26 (b)
|
3,535,000
|
3,539,802
|
|
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
|
4,527,000
|
4,570,474
|
|
Enterprise Fleet Financing LLC:
|
|||
Series 2021-2 Class A2, 0.48% 5/20/27 (b)
|
1,147,871
|
1,131,730
|
|
Series 2022-3 Class A2, 4.38% 7/20/29 (b)
|
1,055,830
|
1,044,366
|
|
Series 2023-1 Class A2, 5.51% 1/22/29 (b)
|
7,569,567
|
7,550,868
|
|
Series 2024-1 Class A2, 5.23% 3/20/30 (b)
|
15,485,000
|
15,389,018
|
|
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)(f)
|
21,514,000
|
21,539,365
|
|
Ford Credit Auto Lease Trust:
|
|||
Series 2023-B Class A2A, 5.9% 2/15/26
|
7,728,918
|
7,735,533
|
|
Series 2024-A Class A2A, 5.24% 7/15/26
|
10,738,000
|
10,715,024
|
|
Ford Credit Auto Owner Trust:
|
|||
Series 2018-1 Class A, 3.19% 7/15/31 (b)
|
4,515,000
|
4,445,385
|
|
Series 2020-1 Class A, 2.04% 8/15/31 (b)
|
13,000,000
|
12,676,908
|
|
Series 2022-D, Class A2A, 5.37% 8/15/25
|
1,902,472
|
1,902,020
|
|
Series 2023-B Class A2A, 5.57% 6/15/26
|
16,119,316
|
16,113,571
|
|
Ford Credit Floorplan Master Owner Trust Series 2019-4 Class A, 2.44% 9/15/26
|
19,000,000
|
18,824,195
|
|
Fordl 2023-A Series 2023-A Class A2A, 5.19% 6/15/25
|
88,883
|
88,858
|
|
FORDO Series 2022-B Class A3, 3.74% 9/15/26
|
6,554,817
|
6,487,470
|
|
GM Financial Automobile Leasing Trust:
|
|||
Series 2022-2 Class A3, 3.42% 6/20/25
|
2,379,211
|
2,375,315
|
|
Series 2023-1 Class A3, 5.16% 4/20/26
|
22,061,000
|
22,002,836
|
|
Series 2023-2 Class A2A, 5.44% 10/20/25
|
787,727
|
787,207
|
|
Series 2023-A Class A2A, 5.27% 6/20/25
|
2,032,741
|
2,031,884
|
|
Gm Financial Consumer Automobi Series 2024-2 Class A2A, 5.33% 3/16/27
|
14,632,000
|
14,603,798
|
|
GM Financial Consumer Automobile Series 2024-1 Class ASB, 5.12% 2/16/27
|
13,080,000
|
13,040,229
|
|
Gm Financial Consumer Automobile Re:
|
|||
Series 2023-1 Class A2A, 5.19% 3/16/26
|
2,301,089
|
2,297,862
|
|
Series 2023-3 Class A2A, 5.74% 9/16/26
|
11,315,243
|
11,318,175
|
|
GM Financial Consumer Automobile Receivables Series 2023 2 Class A2A, 5.1% 5/18/26
|
6,655,566
|
6,643,463
|
|
GM Financial Consumer Automobile Receivables Trust:
|
|||
Series 2022-2 Class A3, 3.1% 2/16/27
|
15,974,471
|
15,730,253
|
|
Series 2022-3 Class A2A, 3.5% 9/16/25
|
291,941
|
291,647
|
|
Series 2022-4 Class A2A, 4.6% 11/17/25
|
1,162,440
|
1,161,127
|
|
GM Financial Leasing Trust Series 2024-1 Class A2A, 5.18% 6/22/26
|
19,202,000
|
19,135,980
|
|
Gm Financial Leasing Trust 202 Series 2023-3 Class A2A, 5.58% 1/20/26
|
13,721,778
|
13,717,092
|
|
GMF Floorplan Owner Revolving Trust Series 2024-1A Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 6.0737% 3/15/29 (b)(c)(d)
|
16,000,000
|
15,999,877
|
|
Harot 2023-4 Series 2023-4 Class A2, 5.87% 6/22/26
|
14,563,000
|
14,584,406
|
|
Honda Auto Receivables:
|
|||
Series 2023-1 Class A2, 5.22% 10/21/25
|
7,123,065
|
7,114,153
|
|
Series 2023-2 Class A2, 5.41% 4/15/26
|
12,985,275
|
12,972,412
|
|
Honda Auto Receivables 2023-3 Series 2023-3 Class A2, 5.71% 3/18/26
|
11,675,601
|
11,679,887
|
|
Honda Auto Receivables 2024-2 Series 2024-2 Class A2, 5.48% 11/18/26
|
18,213,000
|
18,205,447
|
|
HPEFS Equipment Trust:
|
|||
Series 2022-3A Class A2, 5.26% 8/20/29 (b)
|
1,586,369
|
1,585,196
|
|
Series 2024-1A Class A2, 5.38% 5/20/31 (b)
|
24,540,000
|
24,477,205
|
|
Huntington Auto Trust Series 2024-1A Class A2, 5.5% 3/15/27 (b)
|
17,946,000
|
17,922,835
|
|
Hyundai Auto Lease Securitizat:
|
|||
Series 2023-B:
|
|||
Class A2A, 5.47% 9/15/25 (b)
|
2,220,698
|
2,219,559
|
|
Class A3, 5.15% 6/15/26 (b)
|
750,000
|
747,073
|
|
Series 2023-C Class A2A, 5.85% 3/16/26 (b)
|
14,352,680
|
14,368,462
|
|
Series 2024-B Class A2A, 5.51% 10/15/26 (b)
|
18,184,000
|
18,159,806
|
|
Hyundai Auto Lease Securitization Series 2024-A Class A2A, 5.15% 6/15/26 (b)
|
11,454,000
|
11,416,123
|
|
Hyundai Auto Lease Securitization Trust Series 2023-A Class A2A, 5.2% 4/15/25 (b)
|
1,596,268
|
1,595,832
|
|
Hyundai Auto Receivables Trust:
|
|||
Series 2022-C, Class A2A, 5.35% 11/17/25
|
2,846,783
|
2,845,642
|
|
Series 2023 A Class A2A, 5.19% 12/15/25
|
7,099,317
|
7,091,137
|
|
Series 2023-B Class A2A, 5.77% 5/15/26
|
10,193,645
|
10,199,164
|
|
Series 2023-C Class A2A, 5.8% 1/15/27
|
12,561,796
|
12,577,838
|
|
Series 2024-A Class A2A, 5.29% 4/15/27
|
14,591,000
|
14,561,949
|
|
John Deere Owner Trust:
|
|||
Series 2021-A Class A3, 0.36% 9/15/25
|
1,727,300
|
1,713,311
|
|
Series 2024-A Class A2A, 5.19% 2/16/27
|
24,304,000
|
24,237,470
|
|
John Deere Owner Trust 2023-B Series 2023-B Class A2, 5.59% 6/15/26
|
11,144,209
|
11,138,920
|
|
John Deere Owner Trust 23-C Series 2023-C Class A2, 5.76% 8/17/26
|
15,778,832
|
15,782,004
|
|
Juniper Valley Park CLO LLC Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.850% 7.1746% 7/20/35 (b)(c)(d)
|
19,000,000
|
19,028,880
|
|
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)
|
7,385,180
|
7,402,284
|
|
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b)
|
1,215,762
|
1,216,527
|
|
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b)
|
1,362,000
|
1,362,106
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/27
|
22,726,000
|
22,705,558
|
|
Mercedes-Benz Auto Receivables:
|
|||
Series 2022-1, Class A2, 5.26% 10/15/25
|
1,631,306
|
1,630,788
|
|
Series 2023-1 Class A2, 5.09% 1/15/26
|
1,758,195
|
1,756,832
|
|
Series 2024-1 Class A2A, 5.06% 5/17/27
|
15,907,000
|
15,844,673
|
|
MMAF Equipment Finance LLC Series 2023-A Class A2, 5.79% 11/13/26 (b)
|
10,642,807
|
10,643,843
|
|
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)
|
11,000,000
|
11,020,229
|
|
Nissan Auto Receivables Series 2022-B Class A2, 4.5% 8/15/25
|
1,927,891
|
1,925,856
|
|
Nissan Master Owner Trust Receiva Series 2024-A Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.9937% 2/15/28 (b)(c)(d)
|
24,000,000
|
24,007,740
|
|
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)
|
10,248,639
|
9,915,031
|
|
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)(f)
|
11,952,000
|
11,960,283
|
|
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)
|
2,214,574
|
2,215,239
|
|
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.3786% 4/15/30 (b)(c)(d)
|
6,415,933
|
6,426,032
|
|
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(c)(d)
|
7,999,000
|
8,019,909
|
|
Sbna Auto Lease Trust Series 2024-B Class A2, 5.67% 11/20/26 (b)
|
13,660,000
|
13,664,944
|
|
SBNA Auto Lease Trust 2024-A Series 2024-A Class A2, 5.45% 1/20/26 (b)
|
11,106,000
|
11,092,309
|
|
Sfs Auto Receivables Securitiz Series 2023-1A Class A2A, 5.89% 3/22/27 (b)
|
1,333,157
|
1,334,179
|
|
Sfs Auto Receivables Securitization Trust:
|
|||
Series 2024-1A Class A2, 5.35% 6/21/27 (b)
|
6,111,246
|
6,097,386
|
|
Series 2024-2A Class A2, 5.71% 10/20/27 (b)
|
19,143,000
|
19,150,575
|
|
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)
|
972,743
|
972,340
|
|
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)
|
7,764,000
|
7,775,141
|
|
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)
|
10,469,613
|
10,482,773
|
|
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)
|
4,801,096
|
4,812,263
|
|
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5202% 7/15/30 (b)(c)(d)
|
8,969,019
|
8,984,589
|
|
Tesla Series 2024-A Class A2A, 5.37% 6/22/26 (b)
|
1,222,000
|
1,219,038
|
|
Tesla Auto Lease Trust 2023-B Series 2023-B Class A2, 6.02% 9/22/25 (b)
|
4,593,201
|
4,598,738
|
|
Tesla Auto Lease Trust 23-A Series 2023-A:
|
|||
Class A2, 5.86% 8/20/25 (b)
|
10,564,017
|
10,569,048
|
|
Class A3, 5.89% 6/22/26 (b)
|
7,780,000
|
7,788,927
|
|
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A2A, 5.54% 12/21/26 (b)
|
17,890,000
|
17,879,057
|
|
Toyota Auto Receivables:
|
|||
Series 2021-D Class A3, 0.71% 4/15/26
|
1,488,306
|
1,456,097
|
|
Series 2022-D Class A2A, 5.27% 1/15/26
|
4,656,705
|
4,652,980
|
|
Toyota Auto Receivables 2023-D Series 2023-D Class A2A, 5.8% 11/16/26
|
10,019,924
|
10,030,249
|
|
Toyota Auto Receivables 2024-B Series 2024-B Class A2A, 5.41% 3/15/27
|
20,986,000
|
20,971,123
|
|
Toyota Auto Receivables Owner Trust:
|
|||
Series 2022-C Class A2A, 3.83% 8/15/25
|
389,920
|
389,453
|
|
Series 2023-A Class A2, 5.05% 1/15/26
|
4,386,347
|
4,380,527
|
|
Series 2023-C Class A2A, 5.6% 8/17/26
|
12,927,653
|
12,925,882
|
|
Toyota Lease Owner Trust Series 2024-A Class A2A, 5.33% 7/20/26 (b)
|
23,392,000
|
23,345,857
|
|
Toyota Lease Owner Trust 2023- Series 2023-B Class A2A, 5.73% 4/20/26 (b)
|
9,250,523
|
9,256,665
|
|
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)
|
7,570,746
|
7,633,729
|
|
Usaa Auto Owner Trust 2023-A Series 2023-A Class A2, 5.83% 7/15/26 (b)
|
9,037,047
|
9,041,581
|
|
Verizon Master Trust:
|
|||
Series 2022-2 Class A, 1.53% 7/20/28
|
25,200,000
|
24,545,193
|
|
Series 2022-4 Class A, 3.4% 11/20/28 (c)
|
23,454,000
|
22,977,642
|
|
Series 2023-5 Class A1A, 5.61% 9/8/28
|
13,296,000
|
13,319,676
|
|
Volkswagen Auto Lease Trust 20 Series 2023-A Class A2A, 5.87% 1/20/26
|
15,956,987
|
15,969,850
|
|
Volkswagen Auto Loan Enhanced Series 2023-1 Class A2A, 5.5% 12/21/26
|
11,101,474
|
11,090,143
|
|
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.5287% 4/17/30 (b)(c)(d)
|
4,719,152
|
4,723,871
|
|
Wheels Fleet Lease Funding 1 L:
|
|||
Series 2023-2A Class A, 6.46% 8/18/38 (b)
|
13,813,000
|
13,934,798
|
|
Series 2024-1A Class A2, 6.1501% 2/18/39 (b)(c)
|
16,609,000
|
16,614,197
|
|
Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7146% 8/20/29 (b)(c)(d)
|
1,036,688
|
1,036,684
|
|
WOART Series 2023-A Class A2A, 5.18% 7/15/26
|
8,439,879
|
8,425,913
|
|
World Omni Auto Receivables Trust:
|
|||
Series 2021 D Class A3, 0.81% 10/15/26
|
7,911,799
|
7,732,829
|
|
Series 2022-D, Class A2A, 5.51% 3/16/26
|
1,923,275
|
1,922,906
|
|
Series 2023-C Class A2A, 5.57% 12/15/26
|
11,059,891
|
11,057,848
|
|
Series 2023-D Class A2A, 5.91% 2/16/27
|
7,652,581
|
7,665,096
|
|
Series 2024-B Class A2A, 5.48% 9/15/27
|
16,459,000
|
16,451,956
|
|
World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25
|
1,719,353
|
1,718,232
|
|
World Omni Automobile Lease Se Series 2024-A Class A2A, 5.32% 2/16/27
|
17,368,000
|
17,332,298
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $1,654,376,195)
|
1,655,017,483
|
||
Collateralized Mortgage Obligations - 0.2%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 0.2%
|
|||
Cascade Funding Mortgage Trust:
|
|||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
|
459,037
|
441,391
|
|
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
|
1,520,983
|
1,488,710
|
|
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c)
|
3,069,000
|
2,927,519
|
|
CFMT LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)
|
4,334,566
|
4,265,646
|
|
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)
|
3,500,499
|
3,417,216
|
|
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)
|
530,053
|
509,420
|
|
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)
|
403,943
|
383,032
|
|
RMF Buyout Issuance Trust sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)
|
962,563
|
939,392
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $14,560,274)
|
14,372,326
|
||
Commercial Mortgage Securities - 2.3%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
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)
|
2,702,000
|
2,683,424
|
|
BANK Trust sequential payer Series 2017-BNK5 Class ASB, 3.179% 6/15/60
|
1,948,077
|
1,876,429
|
|
Benchmark Mortgage Trust sequential payer Series 2018-B2 Class ASB, 3.7802% 2/15/51
|
3,192,808
|
3,105,567
|
|
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)
|
2,606,000
|
2,607,630
|
|
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)
|
4,243,739
|
4,201,323
|
|
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2315% 2/15/36 (b)(c)(d)
|
591,000
|
588,708
|
|
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3297% 2/15/39 (b)(c)(d)
|
7,404,397
|
7,386,042
|
|
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0782% 12/9/40 (b)(c)(d)
|
3,965,000
|
3,988,542
|
|
floater sequential payer:
|
|||
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1015% 6/15/38 (b)(c)(d)
|
2,349,657
|
2,333,561
|
|
Series 2024-XL5 Class A, CME Term SOFR 1 Month Index + 1.390% 6.7084% 3/15/41 (b)(c)(d)
|
13,692,353
|
13,700,919
|
|
BX Commercial Mortgage Trust 2024-Xl4 floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7588% 2/15/39 (b)(c)(d)
|
5,860,494
|
5,869,651
|
|
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(c)
|
10,234,000
|
10,246,793
|
|
BX Trust floater:
|
|||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2815% 11/15/38 (b)(c)(d)
|
4,485,760
|
4,466,322
|
|
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(c)(d)
|
2,262,555
|
2,272,454
|
|
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(d)
|
9,144,000
|
9,149,715
|
|
CD Mortgage Trust sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50
|
1,331,983
|
1,289,722
|
|
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class A5, 3.137% 2/10/48
|
18,000,000
|
17,775,178
|
|
CSAIL Commercial Mortgage Trust sequential payer Series 2017-CX10 Class ASB, 3.3269% 11/15/50
|
1,248,023
|
1,211,910
|
|
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50
|
2,376,619
|
2,299,267
|
|
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)
|
6,587,332
|
6,533,810
|
|
GS Mortgage Securities Trust sequential payer Series 2017-GS8 Class AAB, 3.313% 11/10/50
|
1,480,646
|
1,434,643
|
|
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2016-C4 Class ASB, 2.9941% 12/15/49
|
687,306
|
664,054
|
|
Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.612% 5/15/39 (b)(c)(d)
|
7,914,000
|
7,775,505
|
|
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)
|
3,836,532
|
3,778,985
|
|
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(d)
|
2,275,000
|
2,268,762
|
|
Morgan Stanley Bank of America Merrill Lynch Trust sequential payer Series 2017-C34 Class ASB, 3.354% 11/15/52
|
3,329,312
|
3,206,466
|
|
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)
|
3,590,733
|
3,642,350
|
|
SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(d)
|
5,130,699
|
5,111,642
|
|
Ubs Commercial Mortgage Trust sequential payer Series 2017-C4 Class ASB, 3.366% 10/15/50
|
2,485,979
|
2,410,391
|
|
UBS Commercial Mortgage Trust sequential payer Series 2017-C7 Class ASB, 3.586% 12/15/50
|
5,600,180
|
5,425,789
|
|
Voya CLO Ltd. floater Series 2024-2A Class AR, CME Term SOFR 3 Month Index + 1.200% 6.5246% 7/20/32 (b)(c)(d)
|
18,000,000
|
18,027,000
|
|
Wells Fargo Commercial Mortgage Trust:
|
|||
floater Series 2016-C32 Class A3FL, CME Term SOFR 1 Month Index + 1.530% 6.855% 1/15/59 (c)(d)
|
13,178,134
|
13,269,327
|
|
sequential payer:
|
|||
Series 2017-C38 Class ASB, 3.261% 7/15/50
|
1,168,082
|
1,137,510
|
|
Series 2017-C42 Class ASB, 3.488% 12/15/50
|
1,231,711
|
1,194,787
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $172,708,055)
|
172,934,178
|
||
Certificates of Deposit - 4.3%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
BMO Harris Bank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 6% 7/8/24 (c)(d)
|
23,700,000
|
23,700,244
|
|
Canadian Imperial Bank of Commerce yankee 5.95% 9/19/24
|
23,600,000
|
23,619,409
|
|
Citibank NA U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 6/17/24 (c)(d)
|
19,000,000
|
19,004,989
|
|
Cooperatieve Rabobank UA/NY yankee 6.05% 7/10/24
|
23,700,000
|
23,708,978
|
|
Lloyds Bank Corporate Markets PLC yankee:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 6.02% 7/8/24 (c)(d)
|
23,700,000
|
23,699,694
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 6/7/24 (c)(d)
|
23,700,000
|
23,702,361
|
|
5.91% 6/17/24
|
23,700,000
|
23,703,268
|
|
Royal Bank of Canada yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 7/3/24 (c)(d)
|
23,700,000
|
23,710,184
|
|
Sumitomo Mitsui Banking Corp. yankee:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 7/11/24 (c)(d)
|
23,700,000
|
23,715,611
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 7/26/24 (c)(d)
|
23,500,000
|
23,521,018
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 6.03% 8/14/24 (c)(d)
|
23,700,000
|
23,727,492
|
|
Svenska Handelsbanken, Inc. yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.9% 8/29/24 (c)(d)
|
23,700,000
|
23,729,286
|
|
Wells Fargo Bank NA:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.630% 5.96% 7/18/24 (c)(d)
|
23,700,000
|
23,717,303
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.98% 7/5/24 (c)(d)
|
23,700,000
|
23,713,004
|
|
|
TOTAL CERTIFICATES OF DEPOSIT
(Cost $326,800,000)
|
326,972,841
|
||
Commercial Paper - 2.7%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Barclays Bank PLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 6.06% 6/5/24 (b)(c)(d)
|
23,700,000
|
23,700,301
|
|
Bayer Corp.:
|
|||
5.9% 8/15/24
|
23,700,000
|
23,416,043
|
|
5.93% 7/9/24
|
23,700,000
|
23,554,783
|
|
5.93% 7/24/24
|
23,500,000
|
23,300,274
|
|
5.94% 9/10/24
|
23,700,000
|
23,318,589
|
|
BPCE SA yankee 5.66% 7/19/24
|
23,700,000
|
23,528,182
|
|
HSBC U.S.A., Inc.:
|
|||
yankee 6.05% 8/14/24
|
23,700,000
|
23,428,438
|
|
5.9% 11/21/24
|
23,700,000
|
23,072,038
|
|
J.P. Morgan Securities, LLC 5.97% 7/12/24 (c)(d)
|
23,700,000
|
23,700,178
|
|
|
TOTAL COMMERCIAL PAPER
(Cost $210,914,664)
|
211,018,826
|
||
Money Market Funds - 11.9%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.39% (g)
|
577,820,170
|
577,935,734
|
|
Fidelity Securities Lending Cash Central Fund 5.39% (g)(h)
|
335,122,738
|
335,156,250
|
|
|
TOTAL MONEY MARKET FUNDS
(Cost $913,091,984)
|
913,091,984
|
||
|
TOTAL INVESTMENT IN SECURITIES - 104.3%
(Cost $7,994,721,836)
|
7,994,990,851
|
NET OTHER ASSETS (LIABILITIES) - (4.3)%
|
(327,330,981)
|
NET ASSETS - 100.0%
|
7,667,659,870
|
(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 $1,502,913,676 or 19.6% of net assets.
|
(c)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(d)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(e)
|
Security or a portion of the security is on loan at period end.
|
(f)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(h)
|
Investment made with cash collateral received from securities on loan.
|
Affiliate
|
Value,
beginning
of period ($)
|
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%
|
259,111,099
|
3,603,536,981
|
3,284,718,466
|
11,244,751
|
6,120
|
-
|
577,935,734
|
1.2%
|
Fidelity Securities Lending Cash Central Fund 5.39%
|
-
|
1,231,899,314
|
896,743,064
|
88,252
|
-
|
-
|
335,156,250
|
1.3%
|
Total
|
259,111,099
|
4,835,436,295
|
4,181,461,530
|
11,333,003
|
6,120
|
-
|
913,091,984
|
|