Nonconvertible Bonds - 47.0%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
COMMUNICATION SERVICES - 1.6%
|
|||
Diversified Telecommunication Services - 0.1%
|
|||
Verizon Communications, Inc. 2.625% 8/15/26
|
4,600,000
|
4,353,981
|
|
Media - 1.0%
|
|||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
|
|||
4.908% 7/23/25
|
510,000
|
504,795
|
|
6.15% 11/10/26
|
10,910,000
|
10,995,209
|
|
Discovery Communications LLC 4.9% 3/11/26
|
4,500,000
|
4,440,788
|
|
Warnermedia Holdings, Inc.:
|
|||
3.638% 3/15/25
|
9,872,000
|
9,704,336
|
|
3.755% 3/15/27
|
15,000,000
|
14,224,668
|
|
39,869,796
|
|||
Wireless Telecommunication Services - 0.5%
|
|||
Rogers Communications, Inc. 2.95% 3/15/25
|
3,029,000
|
2,961,325
|
|
T-Mobile U.S.A., Inc.:
|
|||
1.5% 2/15/26
|
4,800,000
|
4,490,555
|
|
2.625% 4/15/26
|
8,000,000
|
7,584,954
|
|
3.5% 4/15/25
|
3,440,000
|
3,375,296
|
|
18,412,130
|
|||
TOTAL COMMUNICATION SERVICES
|
62,635,907
|
||
CONSUMER DISCRETIONARY - 3.1%
|
|||
Automobiles - 2.7%
|
|||
American Honda Finance Corp. 4.6% 4/17/25
|
6,350,000
|
6,302,546
|
|
General Motors Financial Co., Inc.:
|
|||
1.2% 10/15/24
|
8,300,000
|
8,163,730
|
|
1.25% 1/8/26
|
15,696,000
|
14,666,236
|
|
5.4% 4/6/26
|
5,000,000
|
4,983,428
|
|
5.4% 5/8/27
|
10,000,000
|
9,983,207
|
|
Hyundai Capital America:
|
|||
1% 9/17/24 (b)
|
9,287,000
|
9,155,776
|
|
5.8% 6/26/25 (b)
|
10,000,000
|
10,004,217
|
|
Mercedes-Benz Finance North America LLC:
|
|||
4.8% 1/11/27 (b)
|
9,500,000
|
9,435,055
|
|
4.95% 3/30/25 (b)
|
5,000,000
|
4,976,320
|
|
5.5% 11/27/24 (b)
|
4,250,000
|
4,241,638
|
|
Volkswagen Group of America Finance LLC:
|
|||
3.35% 5/13/25 (b)
|
7,300,000
|
7,148,445
|
|
3.95% 6/6/25 (b)
|
5,735,000
|
5,634,763
|
|
5.7% 9/12/26 (b)
|
8,000,000
|
8,020,672
|
|
6% 11/16/26 (b)
|
5,000,000
|
5,060,805
|
|
107,776,838
|
|||
Distributors - 0.1%
|
|||
Genuine Parts Co. 1.75% 2/1/25
|
3,041,000
|
2,962,273
|
|
Specialty Retail - 0.3%
|
|||
Advance Auto Parts, Inc. 5.9% 3/9/26
|
2,251,000
|
2,253,943
|
|
AutoZone, Inc. 5.05% 7/15/26
|
8,000,000
|
7,952,923
|
|
Lowe's Companies, Inc. 4.8% 4/1/26
|
993,000
|
984,685
|
|
O'Reilly Automotive, Inc. 5.75% 11/20/26
|
2,294,000
|
2,316,291
|
|
13,507,842
|
|||
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Tapestry, Inc. 7.05% 11/27/25
|
447,000
|
454,395
|
|
TOTAL CONSUMER DISCRETIONARY
|
124,701,348
|
||
CONSUMER STAPLES - 2.2%
|
|||
Consumer Staples Distribution & Retail - 0.6%
|
|||
7-Eleven, Inc. 0.95% 2/10/26 (b)
|
4,000,000
|
3,709,709
|
|
Dollar General Corp.:
|
|||
4.25% 9/20/24
|
9,185,000
|
9,140,716
|
|
4.625% 11/1/27
|
8,000,000
|
7,822,651
|
|
Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b)
|
4,326,000
|
4,258,837
|
|
24,931,913
|
|||
Food Products - 0.3%
|
|||
Campbell Soup Co. 5.3% 3/20/26
|
1,834,000
|
1,829,860
|
|
Conagra Brands, Inc. 5.3% 10/1/26
|
6,000,000
|
5,989,227
|
|
JDE Peet's BV 0.8% 9/24/24 (b)
|
3,828,000
|
3,765,379
|
|
11,584,466
|
|||
Tobacco - 1.3%
|
|||
Altria Group, Inc. 2.35% 5/6/25
|
621,000
|
602,504
|
|
BAT Capital Corp.:
|
|||
3.222% 8/15/24
|
9,886,000
|
9,833,608
|
|
3.557% 8/15/27
|
6,000,000
|
5,684,159
|
|
BAT International Finance PLC 1.668% 3/25/26
|
5,786,000
|
5,403,282
|
|
Imperial Tobacco Finance PLC:
|
|||
3.125% 7/26/24 (b)
|
3,612,000
|
3,597,410
|
|
3.5% 7/26/26 (b)
|
10,800,000
|
10,326,348
|
|
Philip Morris International, Inc.:
|
|||
4.75% 2/12/27
|
7,037,000
|
6,972,202
|
|
5% 11/17/25
|
9,757,000
|
9,702,130
|
|
52,121,643
|
|||
TOTAL CONSUMER STAPLES
|
88,638,022
|
||
ENERGY - 3.2%
|
|||
Oil, Gas & Consumable Fuels - 3.2%
|
|||
Canadian Natural Resources Ltd. 2.05% 7/15/25
|
2,208,000
|
2,119,990
|
|
Cenovus Energy, Inc. 4.25% 4/15/27
|
8,606,000
|
8,361,474
|
|
DCP Midstream Operating LP 5.625% 7/15/27
|
12,491,000
|
12,608,365
|
|
Devon Energy Corp. 5.25% 9/15/24
|
6,500,000
|
6,485,772
|
|
Diamondback Energy, Inc. 5.2% 4/18/27
|
10,978,000
|
10,954,453
|
|
Enbridge, Inc.:
|
|||
2.5% 2/14/25
|
769,000
|
752,108
|
|
4.25% 12/1/26
|
4,400,000
|
4,283,371
|
|
5.25% 4/5/27
|
3,961,000
|
3,952,492
|
|
5.9% 11/15/26
|
3,205,000
|
3,239,615
|
|
Energy Transfer LP:
|
|||
2.9% 5/15/25
|
4,750,000
|
4,624,512
|
|
6% 2/1/29 (b)
|
10,000,000
|
10,052,550
|
|
Enterprise Products Operating LP 5.05% 1/10/26
|
3,360,000
|
3,349,871
|
|
EQT Corp. 3.9% 10/1/27
|
9,000,000
|
8,565,883
|
|
Equinor ASA 1.75% 1/22/26
|
690,000
|
653,286
|
|
MPLX LP:
|
|||
1.75% 3/1/26
|
4,929,000
|
4,614,911
|
|
4.25% 12/1/27
|
8,000,000
|
7,731,873
|
|
4.875% 12/1/24
|
8,000,000
|
7,970,914
|
|
4.875% 6/1/25
|
4,300,000
|
4,265,460
|
|
Occidental Petroleum Corp. 2.9% 8/15/24
|
1,348,000
|
1,339,724
|
|
Phillips 66 Co.:
|
|||
1.3% 2/15/26
|
4,900,000
|
4,576,373
|
|
3.85% 4/9/25
|
3,943,000
|
3,885,594
|
|
The Williams Companies, Inc.:
|
|||
4% 9/15/25
|
4,400,000
|
4,312,382
|
|
5.4% 3/2/26
|
1,283,000
|
1,280,639
|
|
TransCanada PipeLines Ltd. 4.25% 5/15/28
|
8,000,000
|
7,699,356
|
|
127,680,968
|
|||
FINANCIALS - 28.3%
|
|||
Banks - 18.4%
|
|||
ABN AMRO Bank NV:
|
|||
1.542% 6/16/27 (b)(c)
|
2,600,000
|
2,386,449
|
|
6.339% 9/18/27 (b)(c)
|
6,100,000
|
6,173,498
|
|
6.575% 10/13/26 (b)(c)
|
7,800,000
|
7,872,386
|
|
Bank of America Corp.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d)
|
2,000,000
|
1,985,634
|
|
1.197% 10/24/26 (c)
|
16,500,000
|
15,518,267
|
|
3.384% 4/2/26 (c)
|
12,550,000
|
12,304,001
|
|
3.559% 4/23/27 (c)
|
6,000,000
|
5,788,185
|
|
4.827% 7/22/26 (c)
|
4,000,000
|
3,960,447
|
|
5.933% 9/15/27 (c)
|
12,000,000
|
12,115,978
|
|
Bank of America NA 5.65% 8/18/25
|
5,000,000
|
5,019,655
|
|
Bank of Montreal:
|
|||
4.25% 9/14/24
|
6,000,000
|
5,975,377
|
|
5.266% 12/11/26
|
6,000,000
|
5,989,176
|
|
5.92% 9/25/25
|
5,000,000
|
5,027,929
|
|
Bank of Nova Scotia:
|
|||
3.45% 4/11/25
|
5,900,000
|
5,794,979
|
|
5.35% 12/7/26
|
4,000,000
|
3,997,604
|
|
5.45% 6/12/25
|
7,710,000
|
7,700,795
|
|
Banque Federative du Credit Mutuel SA:
|
|||
4.524% 7/13/25 (b)
|
3,802,000
|
3,761,339
|
|
5.088% 1/23/27 (b)
|
8,000,000
|
7,960,616
|
|
Barclays PLC:
|
|||
2.852% 5/7/26 (c)
|
6,187,000
|
6,021,755
|
|
5.304% 8/9/26 (c)
|
7,300,000
|
7,256,629
|
|
5.674% 3/12/28 (c)
|
6,000,000
|
6,003,159
|
|
6.496% 9/13/27 (c)
|
5,000,000
|
5,083,116
|
|
7.325% 11/2/26 (c)
|
8,700,000
|
8,866,999
|
|
BNP Paribas SA 2.219% 6/9/26 (b)(c)
|
13,450,000
|
12,977,695
|
|
BPCE SA:
|
|||
1.625% 1/14/25 (b)
|
10,600,000
|
10,346,252
|
|
5.203% 1/18/27 (b)
|
8,000,000
|
7,975,571
|
|
6.612% 10/19/27 (b)(c)
|
2,945,000
|
2,993,229
|
|
Canadian Imperial Bank of Commerce:
|
|||
3.945% 8/4/25
|
9,246,000
|
9,085,358
|
|
5.001% 4/28/28
|
8,000,000
|
7,926,495
|
|
5.926% 10/2/26
|
8,000,000
|
8,105,143
|
|
Citigroup, Inc.:
|
|||
2.014% 1/25/26 (c)
|
11,000,000
|
10,732,971
|
|
3.106% 4/8/26 (c)
|
7,886,000
|
7,712,538
|
|
3.52% 10/27/28 (c)
|
10,000,000
|
9,420,330
|
|
3.887% 1/10/28 (c)
|
6,000,000
|
5,780,192
|
|
5.61% 9/29/26 (c)
|
7,300,000
|
7,297,163
|
|
Cooperatieve Rabobank UA/NY 5.5% 7/18/25
|
7,550,000
|
7,559,716
|
|
Credit Agricole SA 5.134% 3/11/27 (b)
|
7,500,000
|
7,485,047
|
|
Danske Bank A/S:
|
|||
1.621% 9/11/26 (b)(c)
|
7,600,000
|
7,203,842
|
|
4.298% 4/1/28 (b)(c)
|
8,000,000
|
7,720,974
|
|
5.427% 3/1/28 (b)(c)
|
6,000,000
|
5,992,531
|
|
6.259% 9/22/26 (b)(c)
|
10,148,000
|
10,214,207
|
|
6.466% 1/9/26 (b)(c)
|
1,630,000
|
1,633,967
|
|
DNB Bank ASA 0.856% 9/30/25 (b)(c)
|
10,000,000
|
9,837,910
|
|
HSBC Holdings PLC:
|
|||
1.645% 4/18/26 (c)
|
8,331,000
|
8,036,138
|
|
2.633% 11/7/25 (c)
|
4,750,000
|
4,685,171
|
|
4.292% 9/12/26 (c)
|
9,300,000
|
9,128,578
|
|
4.755% 6/9/28 (c)
|
8,000,000
|
7,835,263
|
|
5.597% 5/17/28 (c)
|
12,100,000
|
12,134,228
|
|
7.39% 11/3/28 (c)
|
10,000,000
|
10,561,464
|
|
Huntington National Bank 5.699% 11/18/25 (c)
|
4,528,000
|
4,518,277
|
|
Intesa Sanpaolo SpA 3.25% 9/23/24 (b)
|
8,770,000
|
8,698,112
|
|
JPMorgan Chase & Co.:
|
|||
0.824% 6/1/25 (c)
|
3,418,000
|
3,418,000
|
|
1.045% 11/19/26 (c)
|
22,400,000
|
20,971,629
|
|
3.845% 6/14/25 (c)
|
5,000,000
|
4,996,532
|
|
5.04% 1/23/28 (c)
|
14,000,000
|
13,880,951
|
|
5.571% 4/22/28 (c)
|
6,936,000
|
6,979,419
|
|
6.07% 10/22/27 (c)
|
13,500,000
|
13,722,031
|
|
KeyBank NA 4.15% 8/8/25
|
1,413,000
|
1,382,487
|
|
KeyCorp U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.250% 6.5684% 5/23/25 (c)(d)
|
1,528,000
|
1,528,626
|
|
Lloyds Banking Group PLC:
|
|||
4.716% 8/11/26 (c)
|
9,500,000
|
9,384,007
|
|
5.462% 1/5/28 (c)
|
14,500,000
|
14,461,365
|
|
5.985% 8/7/27 (c)
|
3,905,000
|
3,924,182
|
|
Mitsubishi UFJ Financial Group, Inc.:
|
|||
0.953% 7/19/25 (c)
|
3,500,000
|
3,477,798
|
|
0.962% 10/11/25 (c)
|
5,000,000
|
4,913,163
|
|
2.193% 2/25/25
|
10,466,000
|
10,210,209
|
|
4.788% 7/18/25 (c)
|
4,000,000
|
3,994,233
|
|
5.541% 4/17/26 (c)
|
9,400,000
|
9,384,828
|
|
Mizuho Financial Group, Inc. 2.651% 5/22/26 (c)
|
8,889,000
|
8,637,574
|
|
Morgan Stanley Bank, West Valley City Utah:
|
|||
4.754% 4/21/26
|
4,451,000
|
4,404,995
|
|
5.479% 7/16/25
|
7,000,000
|
7,006,382
|
|
5.882% 10/30/26
|
7,500,000
|
7,591,687
|
|
NatWest Group PLC:
|
|||
1.642% 6/14/27 (c)
|
5,100,000
|
4,709,330
|
|
5.516% 9/30/28 (c)
|
10,000,000
|
9,976,000
|
|
5.847% 3/2/27 (c)
|
5,291,000
|
5,305,263
|
|
NatWest Markets PLC:
|
|||
0.8% 8/12/24 (b)
|
2,224,000
|
2,202,975
|
|
5.416% 5/17/27 (b)
|
10,000,000
|
9,989,461
|
|
PNC Bank NA 2.5% 8/27/24
|
5,418,000
|
5,375,712
|
|
PNC Financial Services Group, Inc.:
|
|||
5.3% 1/21/28 (c)
|
3,461,000
|
3,451,059
|
|
5.582% 6/12/29 (c)
|
10,000,000
|
10,066,144
|
|
Regions Financial Corp. 2.25% 5/18/25
|
1,933,000
|
1,869,535
|
|
Santander Holdings U.S.A., Inc.:
|
|||
2.49% 1/6/28 (c)
|
3,779,000
|
3,464,691
|
|
5.807% 9/9/26 (c)
|
6,909,000
|
6,873,395
|
|
6.124% 5/31/27 (c)
|
2,505,000
|
2,513,952
|
|
Societe Generale:
|
|||
1.488% 12/14/26 (b)(c)
|
5,100,000
|
4,766,005
|
|
2.226% 1/21/26 (b)(c)
|
12,300,000
|
12,000,711
|
|
4.351% 6/13/25 (b)
|
4,200,000
|
4,150,579
|
|
5.519% 1/19/28 (b)(c)
|
7,000,000
|
6,941,480
|
|
Sumitomo Mitsui Financial Group, Inc. 5.464% 1/13/26
|
10,000,000
|
9,999,851
|
|
Swedbank AB 6.136% 9/12/26 (b)
|
10,000,000
|
10,102,165
|
|
The Toronto-Dominion Bank:
|
|||
1.2% 6/3/26
|
5,000,000
|
4,607,171
|
|
4.98% 4/5/27
|
3,000,000
|
2,976,933
|
|
Truist Financial Corp.:
|
|||
U.S. Secured Overnight Fin. Rate (SOFR) Index + 7.160% 7.161% 10/30/29 (c)(d)
|
7,500,000
|
7,943,663
|
|
4.26% 7/28/26 (c)
|
10,500,000
|
10,326,082
|
|
5.9% 10/28/26 (c)
|
6,200,000
|
6,215,046
|
|
U.S. Bancorp:
|
|||
4.653% 2/1/29 (c)
|
10,000,000
|
9,748,221
|
|
5.727% 10/21/26 (c)
|
4,500,000
|
4,507,278
|
|
Wells Fargo & Co.:
|
|||
2.164% 2/11/26 (c)
|
14,358,000
|
14,007,919
|
|
2.188% 4/30/26 (c)
|
9,450,000
|
9,152,498
|
|
4.54% 8/15/26 (c)
|
5,800,000
|
5,730,845
|
|
4.808% 7/25/28 (c)
|
10,000,000
|
9,822,006
|
|
5.707% 4/22/28 (c)
|
12,000,000
|
12,082,138
|
|
741,310,541
|
|||
Capital Markets - 4.2%
|
|||
Athene Global Funding:
|
|||
1.608% 6/29/26 (b)
|
4,900,000
|
4,514,326
|
|
1.716% 1/7/25 (b)
|
3,920,000
|
3,825,422
|
|
5.339% 1/15/27 (b)
|
5,093,000
|
5,158,005
|
|
5.516% 3/25/27 (b)
|
4,000,000
|
3,991,343
|
|
5.684% 2/23/26 (b)
|
5,000,000
|
4,996,280
|
|
Bank of New York, New York 5.224% 11/21/25 (c)
|
3,440,000
|
3,434,524
|
|
Blackstone Private Credit Fund 4.7% 3/24/25
|
4,526,000
|
4,477,396
|
|
Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.5795% 2/21/25 (c)(d)
|
5,000,000
|
5,024,544
|
|
Deutsche Bank AG New York Branch:
|
|||
3.961% 11/26/25 (c)
|
6,000,000
|
5,942,070
|
|
5.706% 2/8/28 (c)
|
9,600,000
|
9,581,054
|
|
7.146% 7/13/27 (c)
|
11,469,000
|
11,756,167
|
|
Goldman Sachs Group, Inc.:
|
|||
4.387% 6/15/27 (c)
|
10,000,000
|
9,785,522
|
|
5.7% 11/1/24
|
35,000,000
|
35,000,309
|
|
Intercontinental Exchange, Inc. 3.65% 5/23/25
|
2,741,000
|
2,692,818
|
|
Morgan Stanley:
|
|||
0.985% 12/10/26 (c)
|
6,200,000
|
5,778,261
|
|
2.63% 2/18/26 (c)
|
5,000,000
|
4,890,562
|
|
4% 7/23/25
|
3,286,000
|
3,232,702
|
|
4.679% 7/17/26 (c)
|
16,533,000
|
16,348,626
|
|
NASDAQ, Inc. 5.65% 6/28/25
|
1,516,000
|
1,516,321
|
|
UBS AG London Branch 1.375% 1/13/25 (b)
|
3,559,000
|
3,469,188
|
|
UBS Group AG:
|
|||
4.49% 8/5/25 (b)(c)
|
4,400,000
|
4,388,132
|
|
4.703% 8/5/27 (b)(c)
|
9,100,000
|
8,923,279
|
|
6.373% 7/15/26 (b)(c)
|
3,000,000
|
3,014,667
|
|
6.442% 8/11/28 (b)(c)
|
9,100,000
|
9,325,832
|
|
171,067,350
|
|||
Consumer Finance - 3.3%
|
|||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:
|
|||
1.65% 10/29/24
|
2,539,000
|
2,496,202
|
|
1.75% 1/30/26
|
7,716,000
|
7,241,086
|
|
6.1% 1/15/27
|
5,050,000
|
5,122,930
|
|
6.45% 4/15/27
|
12,466,000
|
12,760,567
|
|
Ally Financial, Inc.:
|
|||
4.75% 6/9/27
|
4,500,000
|
4,369,050
|
|
5.125% 9/30/24
|
3,126,000
|
3,118,495
|
|
7.1% 11/15/27
|
8,000,000
|
8,324,318
|
|
American Express Co.:
|
|||
2.25% 3/4/25
|
2,216,000
|
2,162,196
|
|
5.098% 2/16/28 (c)
|
5,000,000
|
4,970,958
|
|
5.389% 7/28/27 (c)
|
7,500,000
|
7,491,871
|
|
6.338% 10/30/26 (c)
|
8,000,000
|
8,085,523
|
|
Capital One Financial Corp.:
|
|||
4.985% 7/24/26 (c)
|
10,713,000
|
10,613,813
|
|
5.468% 2/1/29 (c)
|
8,000,000
|
7,935,722
|
|
7.149% 10/29/27 (c)
|
6,500,000
|
6,716,770
|
|
Ford Motor Credit Co. LLC:
|
|||
5.8% 3/5/27
|
8,000,000
|
7,991,613
|
|
5.85% 5/17/27
|
12,000,000
|
11,994,528
|
|
6.95% 6/10/26
|
10,070,000
|
10,249,709
|
|
Synchrony Financial 4.25% 8/15/24
|
4,618,000
|
4,601,744
|
|
Toyota Motor Credit Corp. 5.4% 11/10/25
|
7,275,000
|
7,290,223
|
|
133,537,318
|
|||
Financial Services - 1.0%
|
|||
Corebridge Financial, Inc. 3.5% 4/4/25
|
5,028,000
|
4,935,450
|
|
Corebridge Global Funding 5.75% 7/2/26 (b)
|
6,500,000
|
6,502,165
|
|
Equitable Holdings, Inc. 4.35% 4/20/28
|
8,000,000
|
7,680,049
|
|
Jbs U.S.A. Holding Lux/ Jbs U.S.A. F 5.125% 2/1/28
|
6,000,000
|
5,896,640
|
|
Nationwide Building Society 6.557% 10/18/27 (b)(c)
|
7,800,000
|
7,954,351
|
|
The Western Union Co.:
|
|||
1.35% 3/15/26
|
8,000,000
|
7,411,288
|
|
2.85% 1/10/25
|
775,000
|
760,863
|
|
41,140,806
|
|||
Insurance - 1.4%
|
|||
Aon North America, Inc. 5.125% 3/1/27
|
10,000,000
|
9,970,832
|
|
Equitable Financial Life Global Funding:
|
|||
1.1% 11/12/24 (b)
|
5,000,000
|
4,895,282
|
|
5.5% 12/2/25 (b)
|
5,000,000
|
4,987,779
|
|
Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b)
|
1,726,000
|
1,633,677
|
|
MassMutual Global Funding II:
|
|||
4.15% 8/26/25 (b)
|
3,715,000
|
3,662,015
|
|
4.5% 4/10/26 (b)
|
8,100,000
|
7,994,837
|
|
5.1% 4/9/27 (b)
|
8,570,000
|
8,554,960
|
|
New York Life Global Funding 5.45% 9/18/26 (b)
|
10,200,000
|
10,236,116
|
|
Pacific Life Global Funding II 1.2% 6/24/25 (b)
|
2,709,000
|
2,590,956
|
|
Protective Life Global Funding 3.218% 3/28/25 (b)
|
1,098,000
|
1,077,025
|
|
55,603,479
|
|||
TOTAL FINANCIALS
|
1,142,659,494
|
||
HEALTH CARE - 2.2%
|
|||
Biotechnology - 0.2%
|
|||
Amgen, Inc. 5.25% 3/2/25
|
7,525,000
|
7,506,694
|
|
Health Care Providers & Services - 1.0%
|
|||
Centene Corp. 2.45% 7/15/28
|
3,570,000
|
3,147,817
|
|
CVS Health Corp. 5% 2/20/26
|
10,000,000
|
9,904,556
|
|
HCA Holdings, Inc.:
|
|||
5.625% 9/1/28
|
10,000,000
|
10,045,204
|
|
5.875% 2/15/26
|
6,500,000
|
6,509,829
|
|
ICON Investments Six Designated Activity 5.809% 5/8/27
|
9,924,000
|
10,000,172
|
|
39,607,578
|
|||
Life Sciences Tools & Services - 0.2%
|
|||
Revvity, Inc. 0.85% 9/15/24
|
4,620,000
|
4,553,649
|
|
Thermo Fisher Scientific, Inc. 1.215% 10/18/24
|
5,000,000
|
4,919,082
|
|
9,472,731
|
|||
Pharmaceuticals - 0.8%
|
|||
AstraZeneca Finance LLC 4.8% 2/26/27
|
9,925,000
|
9,869,968
|
|
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b)
|
6,602,000
|
6,439,829
|
|
Haleon UK Capital PLC 3.125% 3/24/25
|
9,140,000
|
8,950,533
|
|
Utah Acquisition Sub, Inc. 3.95% 6/15/26
|
8,000,000
|
7,717,652
|
|
32,977,982
|
|||
TOTAL HEALTH CARE
|
89,564,985
|
||
INDUSTRIALS - 2.6%
|
|||
Aerospace & Defense - 0.7%
|
|||
BAE Systems PLC 5% 3/26/27 (b)
|
2,762,000
|
2,737,228
|
|
L3Harris Technologies, Inc. 5.4% 1/15/27
|
8,000,000
|
8,023,684
|
|
RTX Corp. 5.75% 11/8/26
|
3,461,000
|
3,495,259
|
|
The Boeing Co.:
|
|||
2.196% 2/4/26
|
4,000,000
|
3,754,116
|
|
2.75% 2/1/26
|
2,400,000
|
2,271,225
|
|
4.875% 5/1/25
|
6,107,000
|
6,041,736
|
|
6.259% 5/1/27 (b)
|
893,000
|
898,926
|
|
27,222,174
|
|||
Building Products - 0.1%
|
|||
Carrier Global Corp. 5.8% 11/30/25
|
5,317,000
|
5,340,997
|
|
Commercial Services & Supplies - 0.1%
|
|||
Republic Services, Inc. 0.875% 11/15/25
|
4,500,000
|
4,217,190
|
|
Ground Transportation - 0.2%
|
|||
Canadian Pacific Railway Co. 1.35% 12/2/24
|
7,345,000
|
7,191,827
|
|
Machinery - 0.9%
|
|||
Daimler Trucks Finance North America LLC:
|
|||
1.625% 12/13/24 (b)
|
1,613,000
|
1,579,012
|
|
2% 12/14/26 (b)
|
9,000,000
|
8,282,025
|
|
5% 1/15/27 (b)
|
7,000,000
|
6,945,551
|
|
5.2% 1/17/25 (b)
|
2,360,000
|
2,351,942
|
|
Ingersoll Rand, Inc. 5.197% 6/15/27
|
12,100,000
|
12,100,183
|
|
Parker Hannifin Corp. 3.65% 6/15/24
|
4,730,000
|
4,724,673
|
|
35,983,386
|
|||
Passenger Airlines - 0.1%
|
|||
Delta Air Lines, Inc. 2.9% 10/28/24
|
3,718,000
|
3,676,321
|
|
Trading Companies & Distributors - 0.2%
|
|||
Air Lease Corp.:
|
|||
0.8% 8/18/24
|
6,745,000
|
6,671,263
|
|
3.25% 3/1/25
|
1,900,000
|
1,862,174
|
|
8,533,437
|
|||
Transportation Infrastructure - 0.3%
|
|||
Avolon Holdings Funding Ltd.:
|
|||
2.125% 2/21/26 (b)
|
5,500,000
|
5,148,449
|
|
2.875% 2/15/25 (b)
|
6,000,000
|
5,862,280
|
|
11,010,729
|
|||
TOTAL INDUSTRIALS
|
103,176,061
|
||
INFORMATION TECHNOLOGY - 1.5%
|
|||
Electronic Equipment, Instruments & Components - 0.2%
|
|||
Amphenol Corp. 5.05% 4/5/27
|
1,393,000
|
1,389,637
|
|
Dell International LLC/EMC Corp. 5.85% 7/15/25
|
5,600,000
|
5,617,532
|
|
7,007,169
|
|||
Semiconductors & Semiconductor Equipment - 0.3%
|
|||
Broadcom Corp./Broadcom Cayman LP 3.875% 1/15/27
|
9,300,000
|
8,979,707
|
|
Microchip Technology, Inc. 0.983% 9/1/24
|
4,503,000
|
4,448,025
|
|
13,427,732
|
|||
Software - 1.0%
|
|||
Black Knight InfoServ LLC 3.625% 9/1/28 (b)
|
8,500,000
|
7,947,500
|
|
Oracle Corp.:
|
|||
2.5% 4/1/25
|
5,000,000
|
4,870,964
|
|
5.8% 11/10/25
|
7,380,000
|
7,418,214
|
|
Roper Technologies, Inc. 1% 9/15/25
|
5,000,000
|
4,721,609
|
|
VMware, Inc.:
|
|||
1% 8/15/24
|
2,883,000
|
2,854,575
|
|
4.5% 5/15/25
|
5,800,000
|
5,740,244
|
|
4.65% 5/15/27
|
8,000,000
|
7,846,539
|
|
41,399,645
|
|||
TOTAL INFORMATION TECHNOLOGY
|
61,834,546
|
||
MATERIALS - 0.5%
|
|||
Chemicals - 0.1%
|
|||
Celanese U.S. Holdings LLC 6.05% 3/15/25
|
4,200,000
|
4,203,361
|
|
Metals & Mining - 0.4%
|
|||
Glencore Funding LLC 5.338% 4/4/27 (b)
|
14,000,000
|
13,959,111
|
|
TOTAL MATERIALS
|
18,162,472
|
||
REAL ESTATE - 0.3%
|
|||
Equity Real Estate Investment Trusts (REITs) - 0.3%
|
|||
American Tower Corp.:
|
|||
1.3% 9/15/25
|
1,459,000
|
1,381,755
|
|
5.5% 3/15/28
|
5,000,000
|
5,021,891
|
|
Crown Castle, Inc.:
|
|||
1.35% 7/15/25
|
342,000
|
325,936
|
|
4% 3/1/27
|
2,500,000
|
2,406,547
|
|
Omega Healthcare Investors, Inc. 4.5% 1/15/25
|
3,800,000
|
3,764,636
|
|
12,900,765
|
|||
UTILITIES - 1.5%
|
|||
Electric Utilities - 0.4%
|
|||
Eversource Energy 5.45% 3/1/28
|
5,000,000
|
5,001,927
|
|
FirstEnergy Corp.:
|
|||
1.6% 1/15/26
|
365,000
|
342,590
|
|
2.05% 3/1/25
|
2,028,000
|
1,970,282
|
|
Firstenergy Pennsylvania Elect 5.15% 3/30/26 (b)
|
2,545,000
|
2,516,221
|
|
Florida Power & Light Co. 2.85% 4/1/25
|
926,000
|
907,300
|
|
Georgia Power Co. 5.004% 2/23/27
|
2,642,000
|
2,636,520
|
|
Tampa Electric Co. 3.875% 7/12/24
|
2,786,000
|
2,779,835
|
|
16,154,675
|
|||
Independent Power and Renewable Electricity Producers - 0.2%
|
|||
Emera U.S. Finance LP 0.833% 6/15/24
|
2,029,000
|
2,024,389
|
|
The AES Corp. 5.45% 6/1/28
|
8,000,000
|
7,961,755
|
|
9,986,144
|
|||
Multi-Utilities - 0.9%
|
|||
Dominion Energy, Inc. 2.85% 8/15/26
|
9,000,000
|
8,524,041
|
|
DTE Energy Co. 4.22% 11/1/24
|
5,000,000
|
4,965,951
|
|
NiSource, Inc.:
|
|||
0.95% 8/15/25
|
1,507,000
|
1,426,101
|
|
5.25% 3/30/28
|
8,000,000
|
7,978,421
|
|
Sempra 3.3% 4/1/25
|
1,816,000
|
1,779,991
|
|
WEC Energy Group, Inc.:
|
|||
5% 9/27/25
|
1,702,000
|
1,690,419
|
|
5.15% 10/1/27
|
10,000,000
|
9,954,842
|
|
36,319,766
|
|||
TOTAL UTILITIES
|
62,460,585
|
||
|
TOTAL NONCONVERTIBLE BONDS
(Cost $1,899,642,420)
|
1,894,415,153
|
||
U.S. Treasury Obligations - 32.9%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Notes:
|
|||
3.875% 1/15/26
|
169,311,300
|
166,381,420
|
|
4.125% 10/31/27
|
40,095,700
|
39,458,241
|
|
4.25% 5/31/25
|
7,025,400
|
6,960,772
|
|
4.25% 3/15/27
|
143,700,000
|
142,038,469
|
|
4.375% 12/15/26
|
120,000,000
|
118,935,937
|
|
4.5% 11/15/25
|
19,709,900
|
19,558,996
|
|
4.5% 7/15/26
|
408,603,200
|
405,794,054
|
|
4.5% 4/15/27
|
16,800,000
|
16,718,625
|
|
4.625% 3/15/26 (e)
|
240,209,000
|
238,942,272
|
|
4.625% 11/15/26
|
40,590,300
|
40,460,284
|
|
4.875% 4/30/26
|
80,100,000
|
80,071,840
|
|
5% 10/31/25
|
50,000,000
|
49,958,970
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,335,753,831)
|
1,325,279,880
|
||
U.S. Government Agency - Mortgage Securities - 0.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Fannie Mae - 0.1%
|
|||
4.5% 3/1/39 to 9/1/49
|
2,569,183
|
2,462,809
|
|
5.5% 11/1/34
|
459,543
|
464,375
|
|
7.5% 11/1/31
|
82
|
85
|
|
TOTAL FANNIE MAE
|
2,927,269
|
||
Freddie Mac - 0.0%
|
|||
8.5% 5/1/26 to 7/1/28
|
2,952
|
3,021
|
|
Ginnie Mae - 0.0%
|
|||
7% to 7% 11/15/27 to 8/15/32
|
44,816
|
45,663
|
|
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $3,378,707)
|
2,975,953
|
||
Asset-Backed Securities - 15.5%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/29 (b)
|
1,513,000
|
1,514,650
|
|
Aimco Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6462% 7/22/32 (b)(c)(d)
|
4,510,000
|
4,514,510
|
|
AIMCO CLO Ltd.:
|
|||
Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7087% 10/17/34 (b)(c)(d)
|
5,750,000
|
5,766,382
|
|
Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.4871% 1/17/32 (b)(c)(d)
|
5,400,105
|
5,411,165
|
|
Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28
|
1,512,000
|
1,503,270
|
|
American Express Credit Account Master Trust:
|
|||
Series 2022-4 Class A, 4.95% 10/15/27
|
2,840,000
|
2,822,040
|
|
Series 2023-1 Class A, 4.87% 5/15/28
|
4,153,000
|
4,127,165
|
|
Series 2023-3 Class A, 5.23% 9/15/28
|
9,244,000
|
9,245,902
|
|
Series 2024-1 Class A, 5.23% 4/16/29
|
8,100,000
|
8,131,820
|
|
AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26
|
1,511,738
|
1,487,972
|
|
Ares CLO Series 2024-54A Class AR, CME Term SOFR 3 Month Index + 1.270% 6.5986% 10/15/32 (b)(c)(d)
|
3,730,000
|
3,733,771
|
|
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)
|
3,925,000
|
3,931,633
|
|
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)
|
13,876,000
|
13,893,345
|
|
ARI Fleet Lease Trust Series 2024-A Class A2, 5.3% 11/15/32 (b)
|
6,754,000
|
6,717,328
|
|
Ari Fleet Lease Trust 2023-B Series 2023-B Class A2, 6.05% 7/15/32 (b)
|
5,518,000
|
5,535,153
|
|
Bank of America Credit Card Master Trust:
|
|||
Series 2022-A2, Class A2, 5% 4/15/28
|
3,936,000
|
3,927,891
|
|
Series 2023-A1 Class A1, 4.79% 5/15/28
|
3,022,000
|
2,997,102
|
|
Series 2023-A2 Class A2, 4.98% 11/15/28
|
4,500,000
|
4,480,752
|
|
BMW Vechicle Lease Trust Series 2023-1 Class A3, 5.16% 11/25/25
|
3,259,981
|
3,253,087
|
|
BMW Vehicle Lease Trust:
|
|||
Series 2023-2 Class A3, 5.99% 9/25/26
|
4,909,000
|
4,932,856
|
|
Series 2024-1 Class A3, 4.98% 3/25/27
|
5,392,000
|
5,351,114
|
|
Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (b)
|
717,000
|
714,362
|
|
Capital One Prime Auto Receiva Series 2023-2 Class A3, 5.82% 6/15/28
|
7,279,000
|
7,341,721
|
|
Capital One Prime Auto Receivables Series 2023-1 Class A3, 4.87% 2/15/28
|
6,465,000
|
6,411,312
|
|
Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25
|
458,702
|
458,511
|
|
CarMax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28
|
7,257,000
|
7,204,959
|
|
Carmax Auto Owner Trust:
|
|||
Series 2024-1 Class A3, 4.92% 10/16/28
|
3,478,000
|
3,448,895
|
|
Series 2024-2 Class A3, 5.5% 1/16/29
|
1,385,000
|
1,388,843
|
|
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28
|
1,451,000
|
1,465,189
|
|
Carmax Owner Trust Series 2023-1 Class A2A, 5.23% 1/15/26
|
980,467
|
979,832
|
|
Carvana Auto Receivables Trust:
|
|||
Series 2021-P2 Class A3, 0.49% 3/10/26
|
308,597
|
307,380
|
|
Series 2021-P3 Class A3, 0.7% 11/10/26
|
1,744,855
|
1,705,994
|
|
Cedar Funding Ltd.:
|
|||
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6862% 10/20/32 (b)(c)(d)
|
3,867,000
|
3,876,888
|
|
Series 2021-14A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6902% 7/15/33 (b)(c)(d)
|
5,539,000
|
5,546,816
|
|
Cent CLO LP Series 2021-21A Class A1R3, CME Term SOFR 3 Month Index + 1.230% 6.5565% 7/27/30 (b)(c)(d)
|
1,188,735
|
1,189,556
|
|
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b)
|
706,274
|
691,155
|
|
Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/29 (b)
|
1,410,000
|
1,402,985
|
|
Chase Issuance Trust:
|
|||
Series 2023-A1 Class A, 5.16% 9/15/28
|
10,790,000
|
10,765,530
|
|
Series 2024-A1 Class A, 4.6% 1/16/29 (c)
|
8,858,000
|
8,738,586
|
|
Chesapeake Funding II LLC:
|
|||
Series 2023 1A Class A1, 5.65% 5/15/35 (b)
|
4,500,568
|
4,497,360
|
|
Series 2023-2A Class A1, 6.16% 10/15/35 (b)
|
908,623
|
913,582
|
|
Series 2024-1A Class A1, 5.52% 5/15/36 (b)
|
2,162,670
|
2,157,818
|
|
Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/27
|
3,464,000
|
3,455,051
|
|
Citizens Auto Receivables Trust:
|
|||
Series 2024-1 Class A3, 5.11% 4/17/28 (b)
|
3,483,000
|
3,463,113
|
|
Series 2024-2 Class A3, 5.33% 8/15/28 (b)
|
1,750,000
|
1,746,409
|
|
Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, CME Term SOFR 1 Month Index + 0.610% 5.9394% 7/25/34 (c)(d)
|
56,495
|
54,636
|
|
Daimler Trucks Retail Trust 20 Series 2024-1 Class A3, 5.49% 12/15/27
|
6,525,000
|
6,526,323
|
|
Dell Equipment Finance Trust 2:
|
|||
Series 2023-3 Class A3, 5.93% 4/23/29 (b)
|
3,721,000
|
3,741,896
|
|
Series 2024-1 Class A3, 5.39% 3/22/30 (b)
|
3,031,000
|
3,031,029
|
|
Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b)
|
2,398,000
|
2,397,021
|
|
Discover Card Execution Note Trust Series 2022-A4, Class A, 5.03% 10/15/27
|
4,250,000
|
4,226,679
|
|
Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b)
|
623,000
|
624,946
|
|
DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b)
|
595,000
|
594,346
|
|
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)
|
3,892,000
|
3,899,445
|
|
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)
|
4,077,000
|
4,087,303
|
|
Enterprise Fleet Financing:
|
|||
Series 2023-2 Class A2, 5.56% 4/22/30 (b)
|
6,594,280
|
6,580,314
|
|
Series 2024-2 Class A3, 5.61% 4/20/28 (b)
|
1,257,000
|
1,258,752
|
|
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b)
|
2,337,000
|
2,359,443
|
|
Enterprise Fleet Financing LLC:
|
|||
Series 2021-2 Class A2, 0.48% 5/20/27 (b)
|
502,358
|
495,294
|
|
Series 2022-3 Class A2, 4.38% 7/20/29 (b)
|
471,471
|
466,352
|
|
Series 2023-1 Class A2, 5.51% 1/22/29 (b)
|
3,619,890
|
3,610,948
|
|
Series 2024-1 Class A2, 5.23% 3/20/30 (b)
|
8,000,000
|
7,950,413
|
|
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)
|
11,192,000
|
11,205,195
|
|
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)
|
4,373,000
|
4,396,999
|
|
Ford Credit Auto Lease Trust Series 2023-B Class A3, 5.91% 10/15/26
|
7,722,000
|
7,747,369
|
|
Ford Credit Auto Owner Trust:
|
|||
Series 2020-1 Class A, 2.04% 8/15/31 (b)
|
3,372,000
|
3,288,195
|
|
Series 2021-1 Class A, 1.37% 10/17/33 (b)
|
4,343,000
|
4,030,324
|
|
Series 2023-B Class A3, 5.23% 5/15/28
|
4,689,000
|
4,678,588
|
|
Ford Credit Floorplan Master Owner Trust:
|
|||
Series 2023-1 Class A1, 4.92% 5/15/28 (b)
|
4,708,000
|
4,660,924
|
|
Series 2024-1 Class A1, 5.29% 4/15/29 (b)
|
9,304,000
|
9,308,880
|
|
Fordl 2023-A Series 2023-A Class A2A, 5.19% 6/15/25
|
39,448
|
39,436
|
|
GM Financial Automobile Leasing Trust Series 2023-1 Class A3, 5.16% 4/20/26
|
8,108,000
|
8,086,623
|
|
Gm Financial Consumer Automobi Series 2024-2 Class A2A, 5.33% 3/16/27
|
7,691,000
|
7,676,176
|
|
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28
|
1,671,000
|
1,649,976
|
|
GM Financial Consumer Automobile Receivables Trust:
|
|||
Series 2022-2 Class A3, 3.1% 2/16/27
|
3,457,389
|
3,404,533
|
|
Series 2023-4 Class A3, 5.78% 8/16/28
|
5,981,000
|
6,029,143
|
|
GM Financial Leasing Trust Series 2024-1 Class A3, 5.09% 3/22/27
|
9,242,000
|
9,190,786
|
|
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26
|
646,000
|
645,116
|
|
GMF Floorplan Owner Revolving Trust:
|
|||
Series 2023-1 Class A1, 5.34% 6/15/28 (b)
|
6,911,000
|
6,895,392
|
|
Series 2024-1A Class A1, 5.13% 3/15/29 (b)
|
9,920,000
|
9,872,965
|
|
Harot 2023-4 Series 2023-4 Class A3, 5.67% 6/21/28
|
5,351,000
|
5,386,598
|
|
Honda Auto Receivables Series 2023-1 Class A3, 5.04% 4/21/27
|
4,546,000
|
4,523,844
|
|
Huntington Auto Trust Series 2024-1A Class A3, 5.23% 1/16/29 (b)
|
9,089,000
|
9,053,985
|
|
Hyundai Auto Lease Securitizat:
|
|||
Series 2023-B Class A3, 5.15% 6/15/26 (b)
|
8,000,000
|
7,968,775
|
|
Series 2023-C Class A3, 5.8% 12/15/26 (b)
|
6,380,000
|
6,402,661
|
|
Series 2024-B Class A3, 5.41% 5/17/27 (b)
|
3,302,000
|
3,306,762
|
|
Hyundai Auto Receivables Trust:
|
|||
Series 2023 A Class A3, 4.58% 4/15/27
|
2,025,000
|
2,004,671
|
|
Series 2023-C Class A3, 5.54% 10/16/28
|
4,434,000
|
4,450,590
|
|
Series 2024-A Class A3, 4.99% 2/15/29
|
1,564,000
|
1,554,208
|
|
John Deere Owner Trust Series 2024-A Class A3, 4.96% 11/15/28
|
9,145,000
|
9,079,397
|
|
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)
|
8,000,000
|
8,012,160
|
|
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)
|
3,237,997
|
3,245,496
|
|
Marlette Funding Trust 2023-3 Series 2023-3A Class A, 6.49% 9/15/33 (b)
|
616,975
|
617,362
|
|
Marlette Funding Trust 2024-1 Series 2024-1A Class A, 5.95% 7/17/34 (b)
|
714,000
|
714,055
|
|
Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28
|
2,104,000
|
2,102,198
|
|
Mercedes-Benz Auto Receivables:
|
|||
Series 2023-1 Class A2, 5.09% 1/15/26
|
780,354
|
779,749
|
|
Series 2023-2 Class A3, 5.95% 11/15/28
|
3,438,000
|
3,475,419
|
|
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)
|
4,380,000
|
4,388,055
|
|
Nissan Auto Receivables 2023-B Series 2023-B Class A3, 5.93% 3/15/28
|
4,082,000
|
4,112,991
|
|
Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b)
|
2,761,000
|
2,739,978
|
|
OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b)
|
2,714,081
|
2,625,733
|
|
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)
|
6,247,000
|
6,251,329
|
|
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)
|
969,574
|
969,864
|
|
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)
|
2,801,717
|
2,806,127
|
|
Park Place Securities, Inc. Series 2005-WCH1 Class M4, CME Term SOFR 1 Month Index + 1.350% 6.6844% 1/25/36 (c)(d)
|
32,104
|
31,632
|
|
Porsche Financial Auto Securitization Trust Series 2023-2A Class A3, 5.79% 1/22/29 (b)
|
3,231,000
|
3,248,016
|
|
Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c)
|
1,980,059
|
1,928,682
|
|
Rr 16 Ltd. Series 2021-16A Class A1, CME Term SOFR 3 Month Index + 1.370% 6.7002% 7/15/36 (b)(c)(d)
|
4,187,000
|
4,197,945
|
|
Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26
|
537,627
|
536,836
|
|
Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (b)
|
1,882,000
|
1,881,153
|
|
Sfs Auto Receivables Securitiz Series 2023-1A Class A3, 5.47% 10/20/28 (b)
|
7,535,000
|
7,530,673
|
|
Sfs Auto Receivables Securitization Trust:
|
|||
Series 2024-1A Class A3, 4.95% 5/21/29 (b)
|
2,670,000
|
2,643,594
|
|
Series 2024-2A Class A3, 5.33% 11/20/29 (b)
|
1,072,000
|
1,070,510
|
|
Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b)
|
549,657
|
549,429
|
|
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)
|
3,398,000
|
3,402,876
|
|
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)
|
6,183,773
|
6,191,546
|
|
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)
|
2,104,336
|
2,109,231
|
|
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5202% 7/15/30 (b)(c)(d)
|
3,899,541
|
3,906,311
|
|
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2994% 9/25/34 (c)(d)
|
66,727
|
66,958
|
|
Tesla Series 2024-A Class A3, 5.3% 6/21/27 (b)
|
3,488,000
|
3,475,996
|
|
Tesla Auto Lease Trust 2023-B Series 2023-B Class A3, 6.13% 9/21/26 (b)
|
8,253,000
|
8,294,155
|
|
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)
|
1,501,000
|
1,502,722
|
|
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b)
|
3,567,000
|
3,558,353
|
|
TMUST Series 2024-1A Class A, 5.05% 9/20/29 (b)
|
6,446,000
|
6,400,452
|
|
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b)
|
2,401,000
|
2,304,130
|
|
Toyota Auto Receivables 2023-D Series 2023-D Class A3, 5.54% 8/15/28
|
4,383,000
|
4,407,330
|
|
Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/27 (b)
|
1,557,000
|
1,552,279
|
|
Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b)
|
6,947,000
|
6,967,030
|
|
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b)
|
583,592
|
580,406
|
|
Upstart Securitization Trust 2 Series 2023-3 Class A, 6.9% 10/20/33 (b)
|
3,925,401
|
3,958,058
|
|
Usaa Auto Owner Trust 2023-A Series 2023-A Class A3, 5.58% 5/15/28 (b)
|
7,777,000
|
7,784,840
|
|
VCAT Asset Securitization, LLC:
|
|||
Series 2021-NPL1 Class A1, 5.2891% 12/26/50 (b)
|
204,329
|
202,730
|
|
Series 2021-NPL2 Class A1, 5.115% 3/27/51 (b)
|
1,384,715
|
1,363,256
|
|
Series 2021-NPL3 Class A1, 4.743% 5/25/51 (b)(c)
|
2,115,729
|
2,056,740
|
|
Verizon Master Trust:
|
|||
Series 2021-2 Class A, 0.99% 4/20/28
|
4,700,000
|
4,615,563
|
|
Series 2023 2 Class A, 4.89% 4/13/28
|
5,620,000
|
5,587,614
|
|
Series 2023-4 Class A1A, 5.16% 6/20/29
|
7,552,000
|
7,531,146
|
|
Series 2023-5 Class A1A, 5.61% 9/8/28
|
6,400,000
|
6,411,396
|
|
Volkswagen Auto Lease Trust 20 Series 2023-A Class A3, 5.81% 10/20/26
|
8,000,000
|
8,030,080
|
|
Volkswagen Auto Loan Enhanced:
|
|||
Series 2023-1 Class A3, 5.02% 6/20/28
|
3,407,000
|
3,383,627
|
|
Series 2023-2 Class A3, 5.48% 12/20/28
|
5,119,000
|
5,141,251
|
|
Voya CLO Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.210% 6.5287% 4/17/30 (b)(c)(d)
|
1,881,884
|
1,883,766
|
|
Voya CLO Ltd./Voya CLO LLC Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7482% 7/19/34 (b)(c)(d)
|
4,500,000
|
4,508,474
|
|
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29
|
7,890,000
|
7,851,542
|
|
Wheels Fleet Lease Funding 1 L:
|
|||
Series 2023-2A Class A, 6.46% 8/18/38 (b)
|
7,132,000
|
7,194,887
|
|
Series 2024-1A Class A1, 5.49% 2/18/39 (b)
|
9,625,000
|
9,604,066
|
|
Wheels SPV LLC Series 2021-1A Class A, CME Term SOFR 1 Month Index + 0.390% 5.7146% 8/20/29 (b)(c)(d)
|
454,847
|
454,845
|
|
World Omni Auto Receivables Trust:
|
|||
Series 2021 D Class A3, 0.81% 10/15/26
|
2,327,000
|
2,274,361
|
|
Series 2023-C Class A3, 5.15% 11/15/28
|
794,000
|
790,622
|
|
Series 2023-D Class A3, 5.79% 2/15/29
|
4,879,000
|
4,919,438
|
|
Series 2024-A Class A3, 4.86% 3/15/29
|
8,000,000
|
7,943,497
|
|
Series 2024-B Class A3, 5.27% 9/17/29
|
4,901,000
|
4,892,450
|
|
World Omni Automobile Lease Se Series 2024-A Class A3, 5.26% 10/15/27
|
4,502,000
|
4,493,349
|
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $626,296,149)
|
625,650,365
|
||
Collateralized Mortgage Obligations - 0.9%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Private Sponsor - 0.8%
|
|||
Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b)
|
2,536,843
|
2,170,933
|
|
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c)
|
190,008
|
186,486
|
|
Cascade Funding Mortgage Trust:
|
|||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c)
|
201,029
|
193,301
|
|
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b)
|
665,632
|
651,508
|
|
Cfmt LLC floater sequential payer Series 2024-HB13 Class A, 3% 5/25/34 (b)(c)
|
1,610,000
|
1,535,779
|
|
CFMT LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b)
|
2,167,283
|
2,132,823
|
|
Csmc Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b)
|
3,839,782
|
3,700,446
|
|
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c)
|
1,486,285
|
1,450,924
|
|
GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b)
|
1,300,566
|
1,151,490
|
|
Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c)
|
2,969,449
|
2,845,183
|
|
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b)
|
962,546
|
902,449
|
|
Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b)
|
896,569
|
805,485
|
|
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b)
|
267,674
|
257,254
|
|
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b)
|
212,102
|
201,122
|
|
Preston Ridge Partners Mortgage Trust:
|
|||
sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c)
|
2,358,692
|
2,268,671
|
|
Series 2021-2 Class A1, 5.115% 3/25/26 (b)
|
2,765,849
|
2,720,464
|
|
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b)
|
383,249
|
338,859
|
|
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c)
|
536,305
|
472,807
|
|
PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b)
|
1,978,222
|
1,933,419
|
|
Prpm 2024-Rpl2 LLC Series 2024-RPL2 Class A1, 3.5% 5/25/54 (b)(c)
|
4,613,000
|
4,341,294
|
|
RMF Buyout Issuance Trust sequential payer:
|
|||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b)
|
421,279
|
411,138
|
|
Series 2022-HB1 Class A, 4.272% 4/25/32 (b)
|
32,420
|
32,233
|
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (c)(d)
|
647
|
589
|
|
TOTAL PRIVATE SPONSOR
|
30,704,657
|
||
U.S. Government Agency - 0.1%
|
|||
Fannie Mae:
|
|||
floater Series 2015-27 Class KF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7382% 5/25/45 (c)(d)
|
999,969
|
985,506
|
|
sequential payer Series 2001-40 Class Z, 6% 8/25/31
|
16,165
|
16,073
|
|
Series 2016-27:
|
|||
Class HK, 3% 1/25/41
|
1,183,595
|
1,097,376
|
|
Class KG, 3% 1/25/40
|
534,635
|
494,824
|
|
Series 2016-42 Class FL, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.7882% 7/25/46 (c)(d)
|
1,091,314
|
1,083,701
|
|
Freddie Mac Series 3949 Class MK, 4.5% 10/15/34
|
118,193
|
114,931
|
|
TOTAL U.S. GOVERNMENT AGENCY
|
3,792,411
|
||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $36,036,215)
|
34,497,068
|
||
Commercial Mortgage Securities - 2.6%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
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)
|
1,181,000
|
1,172,881
|
|
sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b)
|
1,099,000
|
989,005
|
|
Benchmark Mortgage Trust sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54
|
2,298,104
|
2,167,204
|
|
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)
|
2,278,000
|
2,207,374
|
|
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)
|
1,365,000
|
1,365,854
|
|
BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 7.2148% 4/15/37 (b)(c)(d)
|
4,067,000
|
4,089,877
|
|
Brookfield floater Series 2024-MF23 Class A, CME Term SOFR 1 Month Index + 1.370% 6.8118% 6/15/41 (b)(c)(d)
|
2,277,000
|
2,272,724
|
|
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)
|
1,815,930
|
1,797,780
|
|
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2315% 2/15/36 (b)(c)(d)
|
310,000
|
308,798
|
|
Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1206% 10/15/36 (b)(c)(d)
|
2,267,000
|
2,244,330
|
|
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0838% 5/15/38 (b)(c)(d)
|
1,225,616
|
1,216,424
|
|
Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3297% 2/15/39 (b)(c)(d)
|
2,318,421
|
2,312,674
|
|
Series 2023-XL3 Class A, CME Term SOFR 1 Month Index + 1.760% 7.0782% 12/9/40 (b)(c)(d)
|
2,073,000
|
2,085,308
|
|
floater sequential payer:
|
|||
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3633% 4/15/34 (b)(c)(d)
|
991,101
|
982,460
|
|
Series 2021-SOAR Class A, CME Term SOFR 1 Month Index + 0.780% 6.1015% 6/15/38 (b)(c)(d)
|
1,664,048
|
1,652,649
|
|
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)
|
3,116,404
|
3,121,273
|
|
BX Commercial Mtg Trust floater Series 2024-MDHS Class A, 6.8415% 5/15/41 (b)(c)
|
5,341,000
|
5,347,676
|
|
BX Trust floater:
|
|||
Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.2815% 11/15/38 (b)(c)(d)
|
1,963,699
|
1,955,190
|
|
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.4818% 8/15/39 (b)(c)(d)
|
2,688,262
|
2,700,023
|
|
Series 2024-CNYN Class A, CME Term SOFR 1 Month Index + 1.440% 6.7586% 4/15/29 (b)(c)(d)
|
4,786,000
|
4,788,991
|
|
CF Hippolyta Issuer LLC sequential payer:
|
|||
Series 2020-1 Class A1, 1.69% 7/15/60 (b)
|
3,643,936
|
3,436,873
|
|
Series 2021-1A Class A1, 1.53% 3/15/61 (b)
|
2,216,637
|
2,017,944
|
|
Citigroup Commercial Mortgage Trust:
|
|||
sequential payer Series 2016-GC36 Class AAB, 3.368% 2/10/49
|
515,056
|
505,759
|
|
Series 2015-GC33 Class AAB, 3.522% 9/10/58
|
769,172
|
757,872
|
|
COMM Mortgage Trust sequential payer:
|
|||
Series 2015 LC19 Class A3, 2.922% 2/10/48
|
2,123,883
|
2,102,275
|
|
Series 2020-SBX Class A, 1.67% 1/10/38 (b)
|
4,412,000
|
4,001,539
|
|
Credit Suisse Mortgage Trust sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b)
|
483,423
|
455,152
|
|
CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class ASB, 4.1628% 8/15/51
|
1,786,696
|
1,725,448
|
|
CSAIL Commercial Mortgage Trust sequential payer Series 2015-C4 Class A3, 3.5438% 11/15/48
|
6,612,003
|
6,444,165
|
|
CSMC Trust Series 2017-CHOP Class A, PRIME RATE - 2.300% 6.194% 7/15/32 (b)(c)(d)
|
874,964
|
854,839
|
|
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)
|
2,883,644
|
2,860,214
|
|
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)
|
844,524
|
843,914
|
|
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)
|
1,243,000
|
1,232,124
|
|
Series 2011-GC5 Class A/S, 5.1513% 8/10/44 (b)(c)
|
1,984,446
|
1,925,144
|
|
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)
|
811,759
|
773,453
|
|
Series 2013-LC11 Class A/S, 3.216% 4/15/46
|
656,644
|
602,865
|
|
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)
|
3,413,000
|
3,353,273
|
|
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)
|
1,683,828
|
1,658,570
|
|
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1315% 7/15/38 (b)(c)(d)
|
995,000
|
992,272
|
|
Morgan Stanley BAML Trust sequential payer Series 2016-C28 Class A3, 3.272% 1/15/49
|
802,735
|
773,929
|
|
Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b)
|
2,396,136
|
2,261,481
|
|
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)
|
1,862,319
|
1,889,090
|
|
OPG Trust floater Series 2021-PORT Class A, CME Term SOFR 1 Month Index + 0.590% 5.9155% 10/15/36 (b)(c)(d)
|
2,811,832
|
2,784,000
|
|
SREIT Trust floater:
|
|||
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.008% 7/15/36 (b)(c)(d)
|
3,000,000
|
2,973,803
|
|
Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1621% 11/15/38 (b)(c)(d)
|
2,309,867
|
2,301,287
|
|
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)
|
11,000,000
|
11,016,500
|
|
Wells Fargo Commercial Mortgage Trust sequential payer:
|
|||
Series 2015-LC22 Class ASB, 3.571% 9/15/58
|
524,703
|
517,280
|
|
Series 2017-RC1 Class ASB, 3.453% 1/15/60
|
941,464
|
917,407
|
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $108,284,863)
|
106,756,967
|
||
Bank Notes - 0.1%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
Citibank NA 5.438% 4/30/26
(Cost $5,000,000)
|
5,000,000
|
5,010,268
|
|
Money Market Funds - 1.2%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.39% (g)
(Cost $49,089,581)
|
49,079,765
|
49,089,581
|
|
|
TOTAL INVESTMENT IN SECURITIES - 100.3%
(Cost $4,063,481,766)
|
4,043,675,235
|
NET OTHER ASSETS (LIABILITIES) - (0.3)%
|
(11,472,355)
|
NET ASSETS - 100.0%
|
4,032,202,880
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
1,696
|
Sep 2024
|
345,480,500
|
(320,926)
|
(320,926)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
187
|
Sep 2024
|
19,784,016
|
(60,221)
|
(60,221)
|
TOTAL FUTURES CONTRACTS
|
(381,147)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 9.1%
|
|||||
(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 $911,469,317 or 22.6% 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 was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,380,437.
|
(f)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
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%
|
27,834,965
|
1,092,670,327
|
1,071,425,338
|
1,674,538
|
9,627
|
-
|
49,089,581
|
0.1%
|
Fidelity Securities Lending Cash Central Fund 5.39%
|
-
|
63,100
|
63,100
|
69
|
-
|
-
|
-
|
0.0%
|
Total
|
27,834,965
|
1,092,733,427
|
1,071,488,438
|
1,674,607
|
9,627
|
-
|
49,089,581
|
|