|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Fixed Income Securities (98.4%)
|
|
|
|
|
Agency Fixed Rate Mortgages (23.7%)
|
|||
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
2.00%, 10/1/51
|
$
|
404
|
$314
|
|
Conventional Pools:
|
|
|
|
|
2.50%, 11/1/49 - 4/1/52 |
|
2,416
|
2,058
|
|
3.00%, 11/1/49 - 12/1/49 |
|
398
|
348
|
|
3.50%, 8/1/49
|
|
153
|
138
|
|
4.00%, 4/1/49 - 11/1/49 |
|
537
|
506
|
|
4.50%, 2/1/49
|
|
304
|
297
|
|
Gold Pools:
|
|
|
|
|
3.00%, 3/1/47 - 6/1/49 |
|
1,141
|
1,022
|
|
3.50%, 1/1/44 - 4/1/49 |
|
764
|
710
|
|
4.00%, 6/1/44 - 1/1/48 |
|
283
|
271
|
|
5.41%, 7/1/37 - 8/1/37 |
|
10
|
10
|
|
5.44%, 1/1/37 - 2/1/38 |
|
40
|
40
|
|
5.46%, 8/1/37 - 1/1/38 |
|
26
|
28
|
|
5.50%, 8/1/37 - 11/1/37 |
|
39
|
40
|
|
5.52%, 10/1/37
|
|
5
|
5
|
|
5.62%, 12/1/36 - 8/1/37 |
|
43
|
44
|
|
6.00%, 10/1/36 - 8/1/38 |
|
37
|
39
|
|
6.50%, 12/1/25 - 8/1/33 |
|
48
|
49
|
|
7.00%, 6/1/28 - 11/1/31 |
|
15
|
17
|
|
Federal National Mortgage Association,
|
|
|
|
|
2.00%, 11/1/51
|
|
2,127
|
1,672
|
|
2.50%, 2/1/50 - 2/1/52 |
|
10,221
|
8,517
|
|
Conventional Pools:
|
|
|
|
|
3.00%, 6/1/40 - 1/1/50 |
|
2,860
|
2,539
|
|
3.50%, 8/1/45 - 1/1/50 |
|
2,896
|
2,660
|
|
4.00%, 11/1/41 - 9/1/49 |
|
2,476
|
2,359
|
|
4.50%, 3/1/41 - 8/1/49 |
|
969
|
946
|
|
5.00%, 3/1/41
|
|
77
|
77
|
|
5.50%, 6/1/35 - 1/1/37 |
|
28
|
28
|
|
5.62%, 12/1/36
|
|
17
|
17
|
|
6.50%, 4/1/24 - 1/1/34 |
|
374
|
382
|
|
7.00%, 5/1/28 - 12/1/33 |
|
56
|
58
|
|
9.50%, 4/1/30
|
|
9
|
9
|
|
July TBA
|
|
|
|
|
2.50%, 7/1/53 (a)
|
|
5,525
|
4,684
|
|
3.00%, 7/1/53 (a)
|
|
6,300
|
5,545
|
|
3.50%, 7/1/53 (a)
|
|
24,675
|
22,483
|
|
4.00%, 7/1/53 (a)
|
|
7,350
|
6,898
|
|
4.50%, 7/1/53 (a)
|
|
24,850
|
23,887
|
|
5.00%, 7/1/53 (a)
|
|
9,050
|
8,869
|
|
5.50%, 7/1/53 (a)
|
|
32,700
|
32,553
|
|
Government National Mortgage Association,
|
|
|
|
|
Various Pools:
|
|
|
|
|
3.50%, 11/20/40 - 7/20/49 |
|
770
|
721
|
|
4.00%, 8/20/41 - 11/20/49 |
|
1,996
|
1,912
|
|
4.50%, 4/20/49 - 7/20/49 |
|
206
|
197
|
|
5.00%, 12/20/48
|
|
23
|
23
|
|
6.50%, 5/15/40
|
|
196
|
201
|
|
|
|
133,173
|
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Asset-Backed Securities (12.5%)
|
|
|
|
|
AASET U.S. Ltd.,
|
|
|
|
|
4.45%, 11/18/38 (b)
|
$
|
2,127
|
$1,871
|
|
AIMCO CLO,
|
|
|
|
|
Series 2018-B
|
|
|
|
|
3 Month USD LIBOR + 1.10%,
6.36%, 1/15/32 (b)(c)
|
|
3,600
|
3,568
|
|
Allegro CLO XI Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.39%,
6.66%, 1/19/33 (b)(c)
|
|
2,150
|
2,133
|
|
American Homes 4 Rent Trust,
|
|
|
|
|
6.07%, 10/17/52 (b)
|
|
1,001
|
979
|
|
Aqua Finance Trust,
|
|
|
|
|
3.47%, 7/16/40 (b)
|
|
794
|
731
|
|
BCMSC Trust,
|
|
|
|
|
7.51%, 1/15/29 (c)
|
|
1,243
|
1,127
|
|
Benefit Street Partners CLO XX Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.17%,
6.43%, 7/15/34 (b)(c)
|
|
3,685
|
3,625
|
|
Blackbird Capital Aircraft,
|
|
|
|
|
2.44%, 7/15/46 (b)
|
|
1,255
|
1,082
|
|
Blackbird Capital Aircraft Lease Securitization
Ltd.,
|
|
|
|
|
5.68%, 12/16/41 (b)(c)
|
|
694
|
486
|
|
Cascade MH Asset Trust,
|
|
|
|
|
4.00%, 11/25/44 (b)(c)
|
|
1,064
|
1,005
|
|
Cologix Canadian Issuer LP,
|
|
|
|
|
4.94%, 1/25/52 (b)
|
CAD
|
3,600
|
2,464
|
|
Cologix Data Centers US Issuer LLC,
|
|
|
|
|
3.30%, 12/26/51 (b)
|
$
|
2,125
|
1,886
|
|
Conn's Receivables Funding LLC,
|
|
|
|
|
2.87%, 5/15/26 (b)
|
|
146
|
145
|
|
9.52%, 12/15/26 (b)
|
|
3,500
|
3,508
|
|
Contimortgage Home Equity Loan Trust,
|
|
|
|
|
8.10%, 8/15/25
|
|
18
|
14
|
|
Diamond Resorts Owner Trust,
|
|
|
|
|
4.02%, 2/20/32 (b)
|
|
304
|
287
|
|
ELFI Graduate Loan Program LLC,
|
|
|
|
|
4.51%, 8/26/47 (b)
|
|
1,441
|
1,372
|
|
Falcon Aerospace Ltd.,
|
|
|
|
|
3.60%, 9/15/39 (b)
|
|
595
|
510
|
|
FortiFi,
|
|
|
|
|
Series 2023-1A, Class A
|
|
|
|
|
6.23%, 9/20/59 (b)
|
|
3,079
|
2,992
|
|
GAIA Aviation Ltd.,
|
|
|
|
|
7.00%, 12/15/44 (b)(c)
|
|
1,540
|
812
|
|
GCI Funding I LLC,
|
|
|
|
|
2.82%, 10/18/45 (b)
|
|
681
|
598
|
|
Golub Capital Partners ABS Funding Ltd.,
|
|
|
|
|
2.77%, 4/20/29 (b)
|
|
875
|
807
|
|
Class A2
|
|
|
|
|
3.21%, 1/22/29 (b)
|
|
3,290
|
3,087
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Asset-Backed Securities (cont'd)
|
|
|
|
|
Goodgreen Trust,
|
|
|
|
|
5.53%, 4/15/55 (b)
|
$
|
1,773
|
$1,491
|
|
5.74%, 10/15/56 (b)
|
|
2,568
|
2,155
|
|
JOL Air Ltd.,
|
|
|
|
|
4.95%, 4/15/44 (b)
|
|
238
|
170
|
|
Lunar Aircraft Ltd.,
|
|
|
|
|
3.38%, 2/15/45 (b)
|
|
359
|
313
|
|
MACH 1 Cayman Ltd.,
|
|
|
|
|
3.47%, 10/15/39 (b)
|
|
797
|
680
|
|
MAPS Ltd.,
|
|
|
|
|
4.21%, 5/15/43 (b)
|
|
339
|
303
|
|
METAL LLC,
|
|
|
|
|
4.58%, 10/15/42 (b)
|
|
568
|
346
|
|
Mosaic Solar Loan Trust,
|
|
|
|
|
2.10%, 4/20/46 (b)
|
|
523
|
449
|
|
Newtek Small Business Loan Trust,
|
|
|
|
|
Daily U.S. Prime Rate - 0.55%,
7.70%, 2/25/44 (b)(c)
|
|
237
|
234
|
|
SOFR30A + 3.00%,
7.75%, 7/25/50 (b)(c)
|
|
1,049
|
1,043
|
|
Octagon Investment Partners 51 Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.15%,
6.40%, 7/20/34 (b)(c)
|
|
5,225
|
5,126
|
|
Oxford Finance Funding LLC,
|
|
|
|
|
5.44%, 2/15/27 (b)
|
|
124
|
123
|
|
PMT Issuer Trust - FMSR,
|
|
|
|
|
1 Month USD LIBOR + 3.00%,
8.15%, 3/25/26 (b)(c)
|
|
3,900
|
3,774
|
|
SOFR30A + 4.19%,
9.26%, 6/25/27 (b)(c)
|
|
2,700
|
2,713
|
|
PRET 2021-NPL6 LLC,
|
|
|
|
|
2.49%, 7/25/51 (b)(c)
|
|
1,154
|
1,070
|
|
Progress Residential Trust,
|
|
|
|
|
2.31%, 5/17/38 (b)
|
|
650
|
569
|
|
Raptor Aircraft Finance I LLC,
|
|
|
|
|
4.21%, 8/23/44 (b)
|
|
2,033
|
1,601
|
|
ReadyCap Lending Small Business Loan Trust,
|
|
|
|
|
Daily U.S. Prime Rate - 0.50%,
7.75%, 12/27/44 (b)(c)
|
|
289
|
278
|
|
Republic Finance Issuance Trust,
|
|
|
|
|
3.54%, 11/20/30 (b)
|
|
1,385
|
1,297
|
|
Sculptor CLO XXVI Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.27%,
6.52%, 7/20/34 (b)(c)
|
|
4,900
|
4,812
|
|
Start II Ltd.,
|
|
|
|
|
4.09%, 3/15/44 (b)
|
|
255
|
225
|
|
Start Ltd.,
|
|
|
|
|
4.09%, 5/15/43 (b)
|
|
2,418
|
2,099
|
|
Sunbird Engine Finance LLC,
|
|
|
|
|
3.67%, 2/15/45 (b)
|
|
874
|
728
|
|
Tricon American Homes Trust,
|
|
|
|
|
5.10%, 1/17/36 (b)
|
|
3,500
|
3,446
|
|
|
|
|
70,134
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Collateralized Mortgage Obligations - Agency Collateral Series (0.4%)
|
|||
|
Federal Home Loan Mortgage Corp., Multifamily
Structured Pass-Through Certificates,
|
|
|
|
|
IO
|
|
|
|
|
4.48%, 11/25/55 (c)
|
$
|
7,625
|
$2,098
|
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
IO REMIC
|
|
|
|
|
6.00% - 1 Month USD LIBOR, 0.81%,
11/15/43 (d)
|
|
377
|
27
|
|
IO STRIPS
|
|
|
|
|
7.50%, 12/15/29
|
|
10
|
2
|
|
Federal National Mortgage Association,
|
|
|
|
|
IO PAC REMIC
|
|
|
|
|
8.00%, 9/18/27
|
|
21
|
2
|
|
IO REMIC
|
|
|
|
|
6.00%, 7/25/33
|
|
28
|
4
|
|
IO STRIPS
|
|
|
|
|
6.50%, 9/25/29 - 12/25/29 |
|
112
|
11
|
|
8.00%, 4/25/24
|
|
—@
|
—@
|
|
8.50%, 10/25/25
|
|
3
|
—@
|
|
9.00%, 11/25/26
|
|
3
|
—@
|
|
REMIC
|
|
|
|
|
7.00%, 9/25/32
|
|
87
|
90
|
|
Government National Mortgage Association,
|
|
|
|
|
IO
|
|
|
|
|
5.00%, 2/16/41
|
|
82
|
18
|
|
|
|
2,252
|
|
|
Commercial Mortgage-Backed Securities (14.6%)
|
|||
|
BANK 2019-BNK21,
|
|
|
|
|
IO
|
|
|
|
|
0.96%, 10/17/52 (c)
|
|
14,053
|
566
|
|
BANK 2020-BNK30,
|
|
|
|
|
3.02%, 12/15/53 (c)
|
|
4,200
|
2,194
|
|
Benchmark Mortgage Trust,
|
|
|
|
|
3.76%, 7/15/53 (b)
|
|
2,000
|
1,780
|
|
IO
|
|
|
|
|
0.99%, 9/15/48 (b)(c)
|
|
31,000
|
758
|
|
BF Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.70%, 6.89%,
12/15/35 (b)(c)
|
|
2,500
|
1,890
|
|
BPR Trust,
|
|
|
|
|
1 Month Term SOFR + 3.00%, 8.15%,
5/15/39 (b)(c)
|
|
3,170
|
3,180
|
|
BXP Trust,
|
|
|
|
|
1 Month USD LIBOR + 3.00%, 8.19%,
11/15/34 (b)(c)
|
|
1,150
|
824
|
|
CG-CCRE Commercial Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.85%, 7.05%,
11/15/31 (b)(c)
|
|
533
|
512
|
|
Citigroup Commercial Mortgage Trust,
|
|
|
|
|
3.62%, 12/10/41 (b)(c)
|
|
1,100
|
703
|
|
IO
|
|
|
|
|
0.87%, 11/10/48 (c)
|
|
2,321
|
30
|
|
1.02%, 9/10/58 (c)
|
|
4,180
|
62
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Commercial Mortgage-Backed Securities (cont'd)
|
|||
|
Commercial Mortgage Trust,
|
|
|
|
|
3.51%, 8/15/57 (b)(c)
|
$
|
1,400
|
$1,228
|
|
IO
|
|
|
|
|
0.81%, 10/10/47 (c)
|
|
2,407
|
14
|
|
1.08%, 7/15/47 (c)
|
|
2,121
|
11
|
|
Credit Suisse Mortgage Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month Term SOFR + 4.08%, 9.23%,
4/15/26 (b)(c)
|
|
2,623
|
2,561
|
|
1 Month USD LIBOR + 3.50%, 8.69%,
12/15/35 (b)(c)
|
|
5,275
|
5,270
|
|
CSWF Corp.,
|
|
|
|
|
1 Month USD LIBOR + 1.57%, 6.76%,
6/15/34 (b)(c)
|
|
2,680
|
2,242
|
|
DROP Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.15%, 6.34%,
10/15/43 (b)(c)
|
|
3,525
|
3,223
|
|
Federal Home Loan Mortgage Corp., Multifamily
Structured Pass-Through Certificates,
|
|
|
|
|
IO
|
|
|
|
|
0.46%, 11/25/27 (c)
|
|
23,072
|
287
|
|
2.72%, 1/25/49 (c)
|
|
17,200
|
2,571
|
|
2.72%, 1/25/49 (c)
|
|
4,091
|
581
|
|
2.74%, 2/25/49 (c)
|
|
9,522
|
1,413
|
|
2.82%, 9/25/48 (c)
|
|
16,800
|
2,488
|
|
2.83%, 8/25/48 (c)
|
|
5,484
|
786
|
|
2.98%, 1/25/49 (c)
|
|
7,514
|
1,298
|
|
3.08%, 1/25/32 (c)
|
|
5,775
|
1,045
|
|
3.17%, 11/25/36 (c)
|
|
4,400
|
1,167
|
|
3.20%, 4/25/39 (c)
|
|
3,200
|
829
|
|
3.32%, 5/25/32 (c)
|
|
11,220
|
2,242
|
|
3.58%, 10/25/38 (c)
|
|
3,500
|
980
|
|
3.69%, 6/25/54 (c)
|
|
6,549
|
1,460
|
|
3.92%, 6/25/50 (c)
|
|
8,000
|
1,886
|
|
4.29%, 8/25/54 (c)
|
|
5,300
|
1,404
|
|
FREMF 2016-KF21 Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 5.25%, 10.44%,
7/25/26 (b)(c)
|
|
45
|
43
|
|
FREMF 2017-KF27 Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 4.35%, 9.54%,
12/25/26 (b)(c)
|
|
61
|
59
|
|
GS Mortgage Securities Trust,
|
|
|
|
|
4.71%, 8/10/46 (b)(c)
|
|
500
|
428
|
|
IO
|
|
|
|
|
0.83%, 9/10/47 (c)
|
|
4,460
|
26
|
|
1.36%, 10/10/48 (c)
|
|
4,474
|
97
|
|
Highways 2021 PLC,
|
|
|
|
|
3 Month GBP SONIA + 1.35%, 6.25%,
12/18/31 (b)(c)
|
GBP
|
2,775
|
3,402
|
|
Jackson Park Trust,
|
|
|
|
|
3.35%, 10/14/39 (b)(c)
|
$
|
1,700
|
1,247
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|||
|
JP Morgan Chase Commercial Mortgage
Securities Trust,
|
|
|
|
|
1 Month Term SOFR + 2.56%, 7.71%,
4/15/38 (b)(c)
|
$
|
2,400
|
$2,312
|
|
IO
|
|
|
|
|
0.65%, 4/15/46 (c)
|
|
6,956
|
20
|
|
0.71%, 12/15/49 (c)
|
|
3,558
|
53
|
|
0.87%, 7/15/47 (c)
|
|
3,016
|
6
|
|
JPMBB Commercial Mortgage Securities Trust,
|
|
|
|
|
4.78%, 4/15/47 (b)(c)
|
|
775
|
679
|
|
IO
|
|
|
|
|
1.09%, 8/15/47 (c)
|
|
2,878
|
14
|
|
Last Mile Logistics Pan Euro Finance DAC,
|
|
|
|
|
3 Month EURIBOR + 1.90%, 5.26%,
8/17/33 (b)(c)
|
EUR
|
736
|
753
|
|
Manhattan West Mortgage Trust,
|
|
|
|
|
2.41%, 9/10/39 (b)(c)
|
$
|
1,500
|
1,224
|
|
MF1 2021-W10X,
|
|
|
|
|
1 Month Term SOFR + 2.82%, 7.97%,
12/15/34 (b)(c)
|
|
4,350
|
4,007
|
|
MFT Mortgage Trust,
|
|
|
|
|
3.39%, 8/10/40 (b)(c)
|
|
1,000
|
653
|
|
3.59%, 2/10/42 (b)(c)
|
|
800
|
496
|
|
MKT 2020-525M Mortgage Trust,
|
|
|
|
|
3.04%, 2/12/40 (b)(c)
|
|
1,000
|
408
|
|
Multifamily Connecticut Avenue Securities Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.95%, 7.10%,
3/25/50 (b)(c)
|
|
195
|
194
|
|
Natixis Commercial Mortgage Securities Trust,
|
|
|
|
|
4.27%, 5/15/39 (b)(c) |
|
2,300
|
1,782
|
|
4.46%, 1/15/43 (b)(c)
|
|
800
|
630
|
|
1 Month Term SOFR + 2.28%, 7.43%,
7/15/36 (b)(c)
|
|
2,300
|
1,966
|
|
Olympic Tower Mortgage Trust,
|
|
|
|
|
3.57%, 5/10/39 (b)
|
|
2,900
|
2,459
|
|
Real Estate Asset Liquidity Trust,
|
|
|
|
|
IO
|
|
|
|
|
1.16%, 2/12/31 (b)(c)
|
CAD
|
31,757
|
972
|
|
SG Commercial Mortgage Securities Trust,
|
|
|
|
|
3.85%, 3/15/37 (b)(c)
|
$
|
1,900
|
1,702
|
|
SLG Office Trust,
|
|
|
|
|
IO
|
|
|
|
|
0.26%, 7/15/41 (b)(c)
|
|
34,800
|
530
|
|
Taubman Centers Commercial Mortgage Trust,
|
|
|
|
|
1 Month Term SOFR + 2.19%, 7.33%,
5/15/37 (b)(c)
|
|
3,950
|
3,852
|
|
Vita Scientia 2022-1 DAC,
|
|
|
|
|
3 Month EURIBOR + 2.49%, 5.95%,
8/27/25 (b)(c)
|
EUR
|
2,125
|
1,957
|
|
VMC Finance 2021-HT1 LLC,
|
|
|
|
|
1 Month USD LIBOR + 1.65%, 6.81%,
1/18/37 (b)(c)
|
$
|
2,387
|
2,316
|
|
WFRBS Commercial Mortgage Trust,
|
|
|
|
|
4.18%, 5/15/45 (b)(c)
|
|
425
|
405
|
|
|
|
82,177
|
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Corporate Bonds (26.2%)
|
|
|
|
|
Finance (10.1%)
|
|
|
|
|
American International Group, Inc.,
|
|
|
|
|
5.13%, 3/27/33 |
$
|
1,208
|
$1,181
|
|
Australia & New Zealand Banking Group Ltd.,
|
|
|
|
|
2.57%, 11/25/35 (b) |
|
875
|
665
|
|
Aviation Capital Group LLC,
|
|
|
|
|
6.25%, 4/15/28 (b) |
|
950
|
949
|
|
6.38%, 7/15/30 (b) |
|
525
|
521
|
|
Banco de Credito e Inversiones SA,
|
|
|
|
|
2.88%, 10/14/31 (b) |
|
2,275
|
1,887
|
|
Banco Santander SA,
|
|
|
|
|
4.18%, 3/24/28 |
|
800
|
749
|
|
5.18%, 11/19/25 |
|
600
|
583
|
|
Bank Hapoalim BM,
|
|
|
|
|
3.26%, 1/21/32 (b) |
|
2,075
|
1,784
|
|
Bank of America Corp.,
|
|
|
|
|
2.69%, 4/22/32 |
|
3,675
|
3,047
|
|
3.85%, 3/8/37 |
|
125
|
107
|
|
4.57%, 4/27/33 |
|
3,225
|
3,034
|
|
Bank of Ireland Group PLC,
|
|
|
|
|
2.03%, 9/30/27 (b) |
|
1,425
|
1,234
|
|
Bank of Montreal,
|
|
|
|
|
3.09%, 1/10/37 |
|
1,725
|
1,357
|
|
BBVA Bancomer SA,
|
|
|
|
|
5 Year CMT + 4.66%, 8.45%, 6/29/38 (b) |
|
600
|
601
|
|
BNP Paribas SA,
|
|
|
|
|
2.22%, 6/9/26 (b) |
|
575
|
532
|
|
2.59%, 1/20/28 (b) |
|
1,525
|
1,364
|
|
BPCE SA,
|
|
|
|
|
5.15%, 7/21/24 (b) |
|
2,750
|
2,701
|
|
CaixaBank SA,
|
|
|
|
|
6.21%, 1/18/29 (b) |
|
1,400
|
1,398
|
|
Capital One Financial Corp.,
|
|
|
|
|
5.82%, 2/1/34 |
|
75
|
72
|
|
6.31%, 6/8/29 |
|
175
|
174
|
|
6.38%, 6/8/34 |
|
525
|
522
|
|
Centene Corp.,
|
|
|
|
|
2.50%, 3/1/31 |
|
3,050
|
2,435
|
|
Charles Schwab Corp.,
|
|
|
|
|
5.85%, 5/19/34 |
|
1,370
|
1,391
|
|
Citigroup, Inc.,
|
|
|
|
|
3.79%, 3/17/33 |
|
1,275
|
1,127
|
|
CNO Financial Group, Inc.,
|
|
|
|
|
5.25%, 5/30/29 |
|
885
|
838
|
|
Coinbase Global, Inc.,
|
|
|
|
|
3.38%, 10/1/28 (b) |
|
1,350
|
904
|
|
Global Atlantic Fin Co.,
|
|
|
|
|
4.70%, 10/15/51 (b) |
|
1,320
|
938
|
|
Grupo Aval Ltd.,
|
|
|
|
|
4.38%, 2/4/30 (b) |
|
561
|
441
|
|
Jefferies Finance LLC/JFIN Co.-Issuer Corp.,
|
|
|
|
|
5.00%, 8/15/28 (b) |
|
1,490
|
1,223
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
SOFR + 1.85%, 5.35%, 6/1/34 (c) |
$
|
3,275
|
$3,302
|
|
Life Storage LP,
|
|
|
|
|
2.40%, 10/15/31 |
|
1,050
|
833
|
|
Lincoln National Corp.,
|
|
|
|
|
3.05%, 1/15/30 (e) |
|
1,275
|
1,056
|
|
Macquarie Group Ltd.,
|
|
|
|
|
2.87%, 1/14/33 (b) |
|
1,350
|
1,079
|
|
Metropolitan Life Global Funding I,
|
|
|
|
|
5.15%, 3/28/33 (b) |
|
1,050
|
1,039
|
|
Nationwide Building Society,
|
|
|
|
|
4.30%, 3/8/29 (b) |
|
1,550
|
1,438
|
|
Nordea Bank Abp,
|
|
|
|
|
5.38%, 9/22/27 (b) |
|
1,200
|
1,186
|
|
Oversea-Chinese Banking Corp., Ltd.,
|
|
|
|
|
1.83%, 9/10/30 (b) |
|
970
|
885
|
|
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc.,
|
|
|
|
|
3.88%, 3/1/31 (b) |
|
1,475
|
1,197
|
|
Societe Generale SA,
|
|
|
|
|
2.63%, 1/22/25 (b) |
|
1,625
|
1,528
|
|
Toronto-Dominion Bank,
|
|
|
|
|
8.13%, 10/31/82 |
|
1,625
|
1,655
|
|
Truist Financial Corp.,
|
|
|
|
|
SOFR + 2.36%, 5.87%, 6/8/34 (c) |
|
2,025
|
2,027
|
|
U.S. Bancorp,
|
|
|
|
|
5.85%, 10/21/33 |
|
1,450
|
1,453
|
|
UBS Group AG,
|
|
|
|
|
6.54%, 8/12/33 (b) |
|
1,550
|
1,589
|
|
United Overseas Bank Ltd.,
|
|
|
|
|
3.86%, 10/7/32 (b) |
|
2,950
|
2,765
|
|
|
|
|
56,791
|
|
Industrials (14.0%)
|
|
|
|
|
Airbnb, Inc.,
|
|
|
|
|
0.00%, 3/15/26 |
|
1,015
|
888
|
|
Alibaba Group Holding Ltd.,
|
|
|
|
|
2.13%, 2/9/31 (e) |
|
825
|
672
|
|
Ashtead Capital, Inc.,
|
|
|
|
|
5.55%, 5/30/33 (b) |
|
1,900
|
1,854
|
|
AT&T, Inc.,
|
|
|
|
|
3.55%, 9/15/55 |
|
375
|
263
|
|
BAT Capital Corp.,
|
|
|
|
|
2.26%, 3/25/28 |
|
2,000
|
1,715
|
|
Boeing Co.,
|
|
|
|
|
3.25%, 2/1/35 |
|
775
|
629
|
|
BP Capital Markets PLC,
|
|
|
|
|
4.88%, 3/22/30 (f) |
|
700
|
638
|
|
Celanese U.S. Holdings LLC,
|
|
|
|
|
6.17%, 7/15/27 |
|
2,150
|
2,140
|
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital,
|
|
|
|
|
2.80%, 4/1/31 |
|
1,275
|
1,026
|
|
3.50%, 3/1/42 |
|
2,575
|
1,725
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
Cheniere Energy Partners LP,
|
|
|
|
|
5.95%, 6/30/33 (b) |
$
|
550
|
$552
|
|
Children's Health System of Texas,
|
|
|
|
|
2.51%, 8/15/50 |
|
800
|
497
|
|
CVS Health Corp.,
|
|
|
|
|
5.88%, 6/1/53 |
|
775
|
795
|
|
Dell International LLC/EMC Corp.,
|
|
|
|
|
3.45%, 12/15/51 (b) |
|
2,575
|
1,729
|
|
Dick's Sporting Goods, Inc.,
|
|
|
|
|
4.10%, 1/15/52 |
|
2,225
|
1,548
|
|
Duke University,
|
|
|
|
|
Series 2020
|
|
|
|
|
2.83%, 10/1/55 |
|
1,600
|
1,116
|
|
Enterprise Products Operating LLC,
|
|
|
|
|
3.30%, 2/15/53 |
|
825
|
590
|
|
5.35%, 1/31/33 |
|
500
|
509
|
|
Ford Motor Co.,
|
|
|
|
|
3.25%, 2/12/32 |
|
525
|
413
|
|
Ford Motor Credit Co. LLC,
|
|
|
|
|
GMTN
|
|
|
|
|
4.39%, 1/8/26 |
|
800
|
758
|
|
Foundry JV Holdco LLC,
|
|
|
|
|
5.88%, 1/25/34 (b) |
|
1,525
|
1,521
|
|
Garda World Security Corp.,
|
|
|
|
|
9.50%, 11/1/27 (b) |
|
925
|
895
|
|
General Motors Co.,
|
|
|
|
|
6.75%, 4/1/46 |
|
925
|
936
|
|
General Motors Financial Co., Inc.,
|
|
|
|
|
5.80%, 6/23/28 |
|
2,825
|
2,816
|
|
Global Partners LP/GLP Finance Corp.,
|
|
|
|
|
7.00%, 8/1/27 |
|
715
|
695
|
|
GLP Capital LP/GLP Financing II, Inc.,
|
|
|
|
|
5.38%, 4/15/26 |
|
1,250
|
1,225
|
|
Grifols SA,
|
|
|
|
|
2.25%, 11/15/27 |
EUR
|
630
|
624
|
|
HCA, Inc.,
|
|
|
|
|
4.63%, 3/15/52 (b) |
$
|
1,550
|
1,275
|
|
Hyundai Capital America,
|
|
|
|
|
1.80%, 1/10/28 (b) |
|
2,650
|
2,236
|
|
5.60%, 3/30/28 (b) |
|
1,675
|
1,667
|
|
Imperial Brands Finance PLC,
|
|
|
|
|
3.13%, 7/26/24 (b) |
|
1,000
|
966
|
|
Intel Corp.,
|
|
|
|
|
5.90%, 2/10/63 |
|
900
|
930
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc.,
|
|
|
|
|
2.50%, 1/15/27 (b) |
|
1,575
|
1,381
|
|
Johns Hopkins University,
|
|
|
|
|
Series A
|
|
|
|
|
2.81%, 1/1/60 |
|
1,170
|
770
|
|
Lowe's Cos., Inc.,
|
|
|
|
|
5.80%, 9/15/62 |
|
525
|
520
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Macy's Retail Holdings LLC,
|
|
|
|
|
5.88%, 3/15/30 (b) |
$
|
690
|
$616
|
|
Marriott International, Inc.,
|
|
|
|
|
4.90%, 4/15/29 |
|
575
|
560
|
|
Matador Resources Co.,
|
|
|
|
|
5.88%, 9/15/26 |
|
846
|
821
|
|
McAfee Corp.,
|
|
|
|
|
7.38%, 2/15/30 (b) |
|
1,075
|
936
|
|
McLaren Health Care Corp.,
|
|
|
|
|
Series A
|
|
|
|
|
4.39%, 5/15/48 (e) |
|
1,175
|
1,041
|
|
Medline Borrower LP,
|
|
|
|
|
3.88%, 4/1/29 (b) |
|
1,410
|
1,227
|
|
NBN Co. Ltd.,
|
|
|
|
|
2.63%, 5/5/31 (b) |
|
2,400
|
2,016
|
|
Newcastle Coal Infrastructure Group Pty Ltd.,
|
|
|
|
|
4.40%, 9/29/27 (b) |
|
2,550
|
2,331
|
|
NOVA Chemicals Corp.,
|
|
|
|
|
4.25%, 5/15/29 (b)(e) |
|
1,510
|
1,234
|
|
ONEOK, Inc.,
|
|
|
|
|
3.40%, 9/1/29 |
|
375
|
327
|
|
Ooredoo International Finance Ltd.,
|
|
|
|
|
2.63%, 4/8/31 (b) |
|
1,268
|
1,095
|
|
Oracle Corp.,
|
|
|
|
|
3.60%, 4/1/50 |
|
2,300
|
1,645
|
|
Peloton Interactive, Inc.,
|
|
|
|
|
0.00%, 2/15/26 |
|
1,215
|
927
|
|
Petrobras Global Finance BV,
|
|
|
|
|
6.50%, 7/3/33 |
|
1,379
|
1,351
|
|
Resorts World Las Vegas LLC/RWLV Capital,
Inc.,
|
|
|
|
|
4.63%, 4/16/29 (b) |
|
1,400
|
1,156
|
|
RingCentral, Inc.,
|
|
|
|
|
0.00%, 3/15/26 |
|
895
|
747
|
|
Rockies Express Pipeline LLC,
|
|
|
|
|
3.60%, 5/15/25 (b) |
|
925
|
875
|
|
Rogers Communications, Inc.,
|
|
|
|
|
4.55%, 3/15/52 (b) |
|
2,550
|
2,053
|
|
Seattle Children's Hospital,
|
|
|
|
|
Series 2021
|
|
|
|
|
2.72%, 10/1/50 |
|
2,750
|
1,825
|
|
Silgan Holdings, Inc.,
|
|
|
|
|
1.40%, 4/1/26 (b) |
|
2,150
|
1,901
|
|
Sirius XM Radio, Inc.,
|
|
|
|
|
3.88%, 9/1/31 (b) |
|
1,450
|
1,123
|
|
Splunk, Inc.,
|
|
|
|
|
1.13%, 6/15/27 |
|
1,075
|
933
|
|
Spotify USA, Inc.,
|
|
|
|
|
0.00%, 3/15/26 |
|
1,190
|
1,017
|
|
Standard Industries, Inc.,
|
|
|
|
|
2.25%, 11/21/26 (b) |
EUR
|
575
|
559
|
|
Syngenta Finance NV,
|
|
|
|
|
4.89%, 4/24/25 (b) |
$
|
975
|
955
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
Uber Technologies, Inc.,
|
|
|
|
|
0.00%, 12/15/25 |
$
|
1,060
|
$972
|
|
Var Energi ASA,
|
|
|
|
|
7.50%, 1/15/28 (b) |
|
1,025
|
1,055
|
|
Verizon Communications, Inc.,
|
|
|
|
|
1.75%, 1/20/31 |
|
3,650
|
2,881
|
|
3.40%, 3/22/41 |
|
275
|
212
|
|
Vontier Corp.,
|
|
|
|
|
2.40%, 4/1/28 |
|
2,700
|
2,252
|
|
Warnermedia Holdings, Inc.,
|
|
|
|
|
4.28%, 3/15/32 |
|
1,750
|
1,553
|
|
5.05%, 3/15/42 |
|
925
|
780
|
|
5.39%, 3/15/62 |
|
1,400
|
1,142
|
|
|
|
|
78,632
|
|
Utilities (2.1%)
|
|
|
|
|
Duke Energy Indiana LLC,
|
|
|
|
|
2.75%, 4/1/50 |
|
460
|
294
|
|
Enel Finance America LLC,
|
|
|
|
|
2.88%, 7/12/41 (b) |
|
1,050
|
692
|
|
Eversource Energy,
|
|
|
|
|
5.13%, 5/15/33 |
|
650
|
641
|
|
Fells Point Funding Trust,
|
|
|
|
|
3.05%, 1/31/27 (b) |
|
2,275
|
2,093
|
|
Jersey Central Power & Light Co.,
|
|
|
|
|
2.75%, 3/1/32 (b) |
|
1,400
|
1,156
|
|
Mississippi Power Co.,
|
|
|
|
|
3.95%, 3/30/28 |
|
2,325
|
2,189
|
|
NextEra Energy Capital Holdings, Inc.,
|
|
|
|
|
3.00%, 1/15/52 |
|
1,350
|
890
|
|
Northern States Power Co.,
|
|
|
|
|
2.90%, 3/1/50 |
|
1,400
|
966
|
|
Public Service Enterprise Group, Inc.,
|
|
|
|
|
2.45%, 11/15/31 |
|
925
|
749
|
|
Southern California Edison Co.,
|
|
|
|
|
5.88%, 12/1/53 |
|
1,075
|
1,097
|
|
Virginia Electric & Power Co.,
|
|
|
|
|
2.95%, 11/15/51 |
|
1,375
|
922
|
|
|
|
|
11,689
|
|
|
|
147,112
|
|
|
Mortgages - Other (15.7%)
|
|
|
|
|
510 Asset Backed 2021-NPL1 Trust,
|
|
|
|
|
2.24%, 6/25/61 (b)(c) |
|
1,538
|
1,421
|
|
Adjustable Rate Mortgage Trust,
|
|
|
|
|
5.50%, 6/25/35 (c) |
|
32
|
31
|
|
Ajax Mortgage Loan Trust,
|
|
|
|
|
1.70%, 5/25/59 (b)(c) |
|
1,335
|
1,169
|
|
2.35%, 9/25/65 (b)(c) |
|
725
|
565
|
|
Alternative Loan Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.36%,
5.51%, 5/25/47 (c)
|
|
68
|
59
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Banc of America Alternative Loan Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.65%,
5.80%, 7/25/46 (c)
|
$
|
94
|
$76
|
|
6.36%, 10/25/36 (c) |
|
396
|
116
|
|
Banc of America Funding Trust,
|
|
|
|
|
5.25%, 7/25/37 |
|
12
|
11
|
|
BBCMS Mortgage Trust,
|
|
|
|
|
IO
|
|
|
|
|
0.64%, 12/15/55 (c) |
|
18,424
|
712
|
|
Bear Stearns ARM Trust,
|
|
|
|
|
3.86%, 2/25/34 (c) |
|
410
|
377
|
|
BRAVO Residential Funding Trust,
|
|
|
|
|
2.00%, 5/25/59 (b)(c) |
|
1,540
|
1,366
|
|
Brean Asset Backed Securities Trust,
|
|
|
|
|
1.40%, 10/25/63 (b)(c) |
|
2,109
|
1,802
|
|
1.75%, 10/25/61 (b)(c) |
|
2,183
|
1,910
|
|
BX Commercial Mortgage Trust,
Class A,
|
|
|
|
|
Series 2023-VLT2
1 Month Term SOFR + 2.28%,
7.43%, 6/15/40 (b)(c)
|
|
2,050
|
2,047
|
|
Cascade Funding Mortgage Trust,
|
|
|
|
|
1.94%, 9/25/50 (b)(c) |
|
2,598
|
2,368
|
|
3.73%, 6/25/36 (b)(c) |
|
3,825
|
3,502
|
|
4.00%, 10/25/68 (b)(c) |
|
2,036
|
1,926
|
|
CFMT 2022-HB8 LLC,
|
|
|
|
|
3.75%, 4/25/25 (b)(c) |
|
2,650
|
2,431
|
|
CFMT LLC,
|
|
|
|
|
2.91%, 2/25/31 (b)(c) |
|
3,800
|
3,497
|
|
3.25%, 9/25/37 (b)(c) |
|
1,840
|
1,437
|
|
ChaseFlex Trust,
|
|
|
|
|
6.00%, 2/25/37 |
|
591
|
245
|
|
COLT 2021-RPL1 Trust,
|
|
|
|
|
1.67%, 9/25/61 (b)(c) |
|
1,301
|
1,118
|
|
E-MAC NL 2004-I BV,
|
|
|
|
|
3 Month EURIBOR + 0.18%,
5.52%, 7/25/36 (c)
|
EUR
|
291
|
291
|
|
Eurosail-NL 2007-2 BV,
|
|
|
|
|
3 Month EURIBOR + 1.80%,
4.98%, 10/17/40 (c)
|
|
700
|
750
|
|
Federal Home Loan Mortgage Corp. Whole
Loan Securities Trust,
|
|
|
|
|
3.00%, 7/25/46 - 5/25/47 |
$
|
952
|
827
|
|
3.50%, 5/25/45 - 5/25/47 |
|
356
|
317
|
|
3.85%, 5/25/45 (b)(c) |
|
—@
|
—@
|
|
4.00%, 5/25/45 |
|
8
|
7
|
|
FMC GMSR Issuer Trust,
|
|
|
|
|
7.90%, 7/25/27 (b) |
|
2,675
|
2,635
|
|
GCAT 2022-NQM3 Trust,
|
|
|
|
|
4.35%, 4/25/67 (b)(c) |
|
4,418
|
4,221
|
|
Headlands Residential 2021-RPL1 LLC,
|
|
|
|
|
2.49%, 9/25/26 (b)(c) |
|
3,320
|
3,088
|
|
IM Pastor 3 FTH,
|
|
|
|
|
3 Month EURIBOR + 0.14%,
3.73%, 3/22/43 (c)
|
EUR
|
287
|
271
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Mortgages - Other (cont'd)
|
|
|
|
|
Imperial Fund Mortgage Trust,
|
|
|
|
|
2.49%, 2/25/67 (b)(c) |
$
|
2,482
|
$2,163
|
|
JP Morgan Mortgage Trust,
|
|
|
|
|
4.40%, 6/25/37 (c) |
|
51
|
40
|
|
6.00%, 6/25/37 |
|
—@
|
—@
|
|
Legacy Mortgage Asset Trust,
|
|
|
|
|
6.25%, 2/25/60 (b)(c) |
|
1,906
|
1,874
|
|
Lehman Mortgage Trust,
|
|
|
|
|
6.50%, 9/25/37 |
|
623
|
224
|
|
NYMT Loan Trust,
|
|
|
|
|
2.94%, 10/25/60 (b)(c) |
|
2,322
|
2,268
|
|
OBX Trust,
|
|
|
|
|
3.50%, 2/25/60 (b)(c) |
|
366
|
321
|
|
Pepper Residential Securities Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.93%,
6.15%, 3/12/61 (b)(c)
|
|
154
|
154
|
|
PMC PLS ESR Issuer LLC,
|
|
|
|
|
5.11%, 2/25/27 (b)(c) |
|
1,975
|
1,878
|
|
Preston Ridge Partners Mortgage LLC,
|
|
|
|
|
1.74%, 9/25/26 (b)(c) |
|
1,843
|
1,659
|
|
2.36%, 10/25/26 (b)(c) |
|
2,031
|
1,891
|
|
5.56%, 6/25/27 (b)(c) |
|
2,228
|
2,161
|
|
Sage AR Funding Holdings Ltd.,
|
|
|
|
|
3 Month GBP SONIA + 1.85%,
6.57%, 11/17/51 (b)(c)
|
GBP
|
3,625
|
4,131
|
|
Seasoned Credit Risk Transfer Trust,
|
|
|
|
|
3.00%, 9/25/55 - 2/25/59 |
$
|
9,161
|
8,028
|
|
4.00%, 7/25/56 - 2/25/59 (b)(c) |
|
2,392
|
2,178
|
|
4.25%, 8/25/59 - 11/25/60 (b)(c) |
|
6,550
|
5,534
|
|
4.50%, 6/25/57 |
|
1,096
|
1,053
|
|
4.75%, 7/25/56 - 10/25/58 (b)(c) |
|
2,701
|
2,435
|
|
Stanwich Mortgage Loan Co. LLC,
|
|
|
|
|
2.74%, 10/16/26 (b)(c) |
|
2,015
|
1,831
|
|
Structured Asset Securities Corp., Reverse
Mortgage Loan Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.85%,
7.00%, 5/25/47 (b)(c)
|
|
1,611
|
1,514
|
|
TDA 27 FTA,
|
|
|
|
|
3 Month EURIBOR + 0.19% ,
3.77%, 12/28/50 (c)
|
EUR
|
1,163
|
1,065
|
|
TVC Mortgage Trust,
|
|
|
|
|
3.47%, 9/25/24 (b) |
$
|
7
|
7
|
|
VOLT CV LLC,
|
|
|
|
|
2.49%, 11/27/51 (b)(c) |
|
1,540
|
1,423
|
|
VOLT XCIII LLC,
|
|
|
|
|
1.89%, 2/27/51 (b)(c) |
|
1,709
|
1,580
|
|
VOLT XCIV LLC,
|
|
|
|
|
2.24%, 2/27/51 (b)(c) |
|
2,104
|
1,944
|
|
|
|
|
87,949
|
|
Municipal Bonds (0.8%)
|
|
|
|
|
Chicago O'Hare International Airport, IL,
O’Hare International Airport Revenue,
|
|
|
|
|
Series 2010B
6.40%, 1/1/40 |
|
255
|
292
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
City of New York, NY,
|
|
|
|
|
Series G-1
5.97%, 3/1/36 |
$
|
270
|
$294
|
|
Illinois State Toll Highway Authority, IL,
Highway Revenue, Build America Bonds,
|
|
|
|
|
Series A
6.18%, 1/1/34 |
|
477
|
520
|
|
Onondaga Civic Development Corp., NY,
|
|
|
|
|
3.07%, 12/1/55 |
|
2,925
|
1,999
|
|
University of Michigan, MI,
|
|
|
|
|
Series A
4.45%, 4/1/2122 |
|
1,645
|
1,431
|
|
|
|
|
4,536
|
|
Sovereign (4.3%)
|
|
|
|
|
Dominican Republic International Bond,
|
|
|
|
|
5.88%, 1/30/60 (b) |
|
700
|
544
|
|
13.63%, 2/3/33 (b) |
DOP
|
117,700
|
2,652
|
|
Egypt Government International Bond,
|
|
|
|
|
6.38%, 4/11/31 (b) |
EUR
|
1,018
|
618
|
|
Export-Import Bank of India,
|
|
|
|
|
3.25%, 1/15/30 (b) |
$
|
670
|
592
|
|
3.88%, 2/1/28 (b) |
|
505
|
474
|
|
Indonesia Treasury Bond,
|
|
|
|
|
8.38%, 3/15/34 |
IDR
|
39,816,000
|
3,060
|
|
Ivory Coast Government International Bond,
|
|
|
|
|
4.88%, 1/30/32 (b) |
EUR
|
1,360
|
1,159
|
|
KSA Sukuk Ltd.,
|
|
|
|
|
4.51%, 5/22/33 (b) |
$
|
1,675
|
1,648
|
|
Mexican Bonos,
|
|
|
|
|
Series M
7.75%, 5/29/31 |
MXN
|
82,500
|
4,562
|
|
Mexico Government International Bond,
|
|
|
|
|
3.25%, 4/16/30 (e) |
$
|
750
|
669
|
|
3.75%, 4/19/71 |
|
850
|
569
|
|
Petroleos Mexicanos,
|
|
|
|
|
6.70%, 2/16/32 |
|
2,727
|
2,076
|
|
Philippine Government International Bond,
|
|
|
|
|
4.20%, 3/29/47 |
|
420
|
362
|
|
Republic of South Africa Government Bond,
|
|
|
|
|
8.00%, 1/31/30 |
ZAR
|
22,750
|
1,068
|
|
8.25%, 3/31/32 |
|
92,280
|
4,122
|
|
|
|
|
24,175
|
|
Supranational (0.2%)
|
|||
|
Banque Ouest Africaine de Developpement,
|
|
|
|
|
2.75%, 1/22/33 (b)
|
EUR
|
270
|
215
|
|
4.70%, 10/22/31 (b)
|
$
|
1,240
|
1,009
|
|
|
|
1,224
|
|
|
Total Fixed Income
Securities (Cost $604,211)
|
|
552,732
|
|
|
|
|
Shares
|
Value (000)
|
|
Short-Term Investments (19.7%)
|
|
|
|
|
Investment Company (11.3%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional
Class (g) (Cost $63,265)
|
|
63,265,191
|
$63,265
|
|
Securities held as Collateral on Loaned Securities (0.4%)
|
|||
|
Investment Company (0.4%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional Class (g)
(Cost $2,526)
|
|
2,526,038
|
2,526
|
|
|
|
Face
Amount
(000)
|
|
|
|
|
|
|
|
U.S. Treasury Securities (8.0%)
|
|
|
|
|
U.S. Treasury Bill,
|
|
|
|
|
5.01%, 11/30/23 (h)
|
$
|
2,300
|
2,250
|
|
5.32%, 12/14/23 (h)
|
|
23,000
|
22,453
|
|
U.S. Treasury Note,
0.25%, 11/15/23
|
|
20,850
|
20,467
|
|
Total U.S. Treasury
Securities (Cost $45,225)
|
|
45,170
|
|
|
Total Short-Term Investments (Cost $111,017)
|
110,961
|
||
|
Total Investments (118.1%) (Cost $715,228)
Including $4,577 of Securities Loaned (i)(j)(k)
|
663,693
|
||
|
Liabilities in Excess of Other Assets (—18.1%)
|
(101,782
)
|
||
|
Net Assets (100.0%)
|
$561,911
|
||
|
@
|
Face Amount/Value is less than $500.
|
|
(a)
|
Security is subject to delayed delivery.
|
|
(b)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(c)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(d)
|
Inverse Floating Rate Security - Interest rate fluctuates with an inverse
relationship to an associated interest rate. Indicated rate is the
effective rate at June 30, 2023.
|
|
(e)
|
All or a portion of this security was on loan. The value of loaned
securities and related collateral outstanding at June 30, 2023, were
approximately $4,577,000 and $4,659,000, respectively. The Fund
received cash collateral of approximately $2,526,000, was
subsequently invested in a Morgan Stanley Institutional Liquidity Funds -
Government Portfolio - Institutional Class as reported in the Portfolio of
Investments. The remaining collateral of approximately
$2,133,000 was received in the form of U.S. Government obligations,
which the Fund cannot sell or re-pledge and accordingly are not
reflected in the Portfolio of Investments. The Fund has the right under
the securities lending agreement to recover the securities from the
borrower on demand.
|
|
(f)
|
Perpetual - One or more securities do not have a predetermined
maturity date. Rates for these securities are fixed for a period of time
after which they revert to a floating rate. Interest rates in effect are as
of June 30, 2023.
|
|
(g)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. both directly and as a portion of the securities held as
collateral on loaned securities. Advisory fees paid by the Fund are
reduced by an amount equal to its pro-rata share of the advisory and
administration fees paid by the Fund due to its investment in the
Liquidity Funds. For the nine months ended June 30, 2023, advisory
fees paid were reduced by approximately $88,000 relating to the
Fund's investment in the Liquidity Funds.
|
|
(h)
|
Rate shown is the yield to maturity at June 30, 2023.
|
|
(i)
|
Securities are available for collateral in connection with securities
purchased on a forward commitment basis, open foreign currency
forward exchange contracts, futures contracts and an swap
agreement.
|
|
(j)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(k)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $2,085,000 and the
aggregate gross unrealized depreciation is approximately
$55,186,000, resulting in net unrealized depreciation of approximately
$53,101,000.
|
|
CLO
|
Collateralized Loan Obligation.
|
|
CMT
|
Constant Maturity Treasury Note Rate.
|
|
DAC
|
Designated Activity Company.
|
|
EURIBOR
|
Euro Interbank Offered Rate.
|
|
IO
|
Interest Only Security.
|
|
LIBOR
|
London Interbank Offered Rate.
|
|
PAC
|
Planned Amortization Class.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
SONIA
|
Sterling Overnight Index Average.
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities.
|
|
TBA
|
To Be Announced.
|
|
USD
|
United States Dollar.
|
|
Foreign Currency Forward Exchange Contracts:
|
||||||
|
The Fund had the following foreign currency forward exchange contracts open at June 30, 2023:
|
||||||
|
Counterparty
|
Contracts
to Deliver
(000)
|
In
Exchange
For
(000)
|
Delivery
Date
|
Unrealized
Appreciation
(Depreciation)
(000)
|
||
|
Bank of America NA
|
GBP
|
5,993
|
$
|
7,581
|
8/10/23
|
$(32
)
|
|
Barclays Bank PLC
|
$
|
278
|
EUR
|
256
|
8/10/23
|
2
|
|
Barclays Bank PLC
|
$
|
185
|
MXN
|
3,232
|
8/10/23
|
3
|
|
BNP Paribas SA
|
EUR
|
85
|
$
|
93
|
7/5/23
|
—
@
|
|
BNP Paribas SA
|
$
|
93
|
EUR
|
85
|
8/10/23
|
—
@
|
|
BNP Paribas SA
|
$
|
50
|
GBP
|
39
|
8/10/23
|
—
@
|
|
Citibank NA
|
EUR
|
618
|
$
|
673
|
8/10/23
|
(2
)
|
|
Goldman Sachs International
|
$
|
1,398
|
NOK
|
14,762
|
8/10/23
|
(21
)
|
|
JPMorgan Chase Bank NA
|
DOP
|
30,305
|
$
|
550
|
8/10/23
|
6
|
|
JPMorgan Chase Bank NA
|
EUR
|
597
|
$
|
648
|
8/10/23
|
(4
)
|
|
JPMorgan Chase Bank NA
|
$
|
35
|
CAD
|
46
|
8/10/23
|
—
@
|
|
JPMorgan Chase Bank NA
|
$
|
1,408
|
JPY
|
187,066
|
8/10/23
|
(104
)
|
|
Royal Bank of Canada
|
$
|
144
|
EUR
|
132
|
8/10/23
|
—
@
|
|
UBS AG
|
CAD
|
4,625
|
$
|
3,442
|
8/10/23
|
(51
)
|
|
UBS AG
|
IDR
|
46,473,437
|
$
|
3,149
|
8/10/23
|
51
|
|
UBS AG
|
MXN
|
63,428
|
$
|
3,503
|
8/10/23
|
(177
)
|
|
UBS AG
|
$
|
22
|
CAD
|
30
|
8/10/23
|
—
@
|
|
UBS AG
|
$
|
11
|
CAD
|
15
|
8/10/23
|
—
@
|
|
UBS AG
|
$
|
177
|
EUR
|
159
|
8/10/23
|
(2
)
|
|
UBS AG
|
$
|
30
|
EUR
|
28
|
8/10/23
|
1
|
|
UBS AG
|
$
|
66
|
GBP
|
52
|
8/10/23
|
1
|
|
UBS AG
|
ZAR
|
101,912
|
$
|
5,490
|
8/10/23
|
95
|
|
Westpac Banking Corp.
|
EUR
|
5,674
|
$
|
6,288
|
8/10/23
|
85
|
|
|
|
|
|
|
|
$(149
)
|
|
Futures Contracts:
|
||||||
|
The Fund had the following futures contracts open at June 30, 2023:
|
||||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Long:
|
|
|
|
|
|
|
|
U.S. Treasury 2 yr. Note (United States)
|
129
|
Sep-23
|
$
|
25,800
|
$26,231
|
$(318
)
|
|
U.S. Treasury 5 yr. Note (United States)
|
318
|
Sep-23
|
|
31,800
|
34,056
|
(592
)
|
|
U.S. Treasury 10 yr. Note (United States)
|
127
|
Sep-23
|
|
12,700
|
14,258
|
(250
)
|
|
U.S. Treasury Long Bond (United States)
|
342
|
Sep-23
|
|
34,200
|
43,402
|
(154
)
|
|
U.S. Treasury Ultra Long Bond (United States)
|
189
|
Sep-23
|
|
18,900
|
25,745
|
317
|
|
U.S. Treasury 10 yr. Ultra Note (United States)
|
3
|
Sep-23
|
|
300
|
355
|
—@
|
|
Short:
|
|
|
|
|
|
|
|
EURO OAT Index (Germany)
|
11
|
Sep-23
|
EUR
|
(1,100)
|
(1,541
)
|
(22
)
|
|
Euro-Buxl 30 yr. Bond (Germany)
|
3
|
Sep-23
|
|
(300)
|
(457
)
|
(24
)
|
|
|
|
|
|
|
|
$(1,043
)
|
|
Credit Default Swap Agreements: |
|||||||||
|
The Fund had the following credit default swap agreement open at June 30, 2023:
|
|||||||||
|
Swap Counterparty
and Reference Obligation
|
Credit
Rating of
Reference
Obligation†
|
Buy/Sell
Protection
|
Pay/
Received
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Upfront
Payment
Paid
(000)
|
Unrealized
Depreciation
(000)
|
|
Morgan Stanley & Co. LLC*
CDX.NA.HY.S40
|
NR
|
Buy
|
5.00%
|
Quarterly
|
6/20/28
|
$11,900
|
$(347
)
|
$26
|
$(374
)
|
|
†
|
Credit rating as issued by Standard & Poor’s.
|
|
*
|
Cleared swap agreement, the broker is Morgan Stanley & Co. LLC.
|
|
@
|
Value is less than $500.
|
|
CAD —
|
Canadian Dollar
|
|
DOP —
|
Dominican Peso
|
|
EUR —
|
Euro
|
|
GBP —
|
British Pound
|
|
IDR —
|
Indonesian Rupiah
|
|
JPY —
|
Japanese Yen
|
|
MXN —
|
Mexican Peso
|
|
NOK —
|
Norwegian Krone
|
|
USD —
|
United States Dollar
|
|
ZAR —
|
South African Rand
|
|
Portfolio Composition*
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Agency Fixed Rate Mortgages
|
20.1
%
|
|
Mortgages - Other
|
13.3
|
|
Commercial Mortgage-Backed Securities
|
12.4
|
|
Industrials
|
11.9
|
|
Asset-Backed Securities
|
10.6
|
|
Investment Company
|
9.6
|
|
Finance
|
8.6
|
|
U.S. Treasury Securities
|
6.8
|
|
Other**
|
6.7
|
|
Total Investments
|
100.0
%***
|
|
*
|
Percentages indicated are based upon total investments (excluding Securities held
as Collateral on Loaned Securities) as of June 30, 2023.
|
|
**
|
Industries and/or investment types representing less than 5% of total investments.
|
|
***
|
Does not include open long/short futures contracts with a value of approximately
$146,045,000 and total unrealized depreciation of approximately $1,043,000.
Does not include open foreign currency forward exchange contracts with net
unrealized depreciation of approximately $149,000. Also does not include open
swap agreements with net unrealized depreciation of approximately $374,000.
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Fixed Income Securities (96.8%)
|
|
|
|
|
Commercial Mortgage-Backed Securities (2.9%)
|
|||
|
Credit Suisse Mortgage Trust,
|
|
|
|
|
1 Month Term SOFR + 3.14%, 8.29%,
9/9/24 (a)(b)
|
$
|
1,100
|
$1,102
|
|
J.P. Morgan Chase Commercial Mortgage
Securities Trust,
|
|
|
|
|
1 Month Term SOFR + 2.18%, 7.33%,
9/15/39 (a)(b)
|
|
1,300
|
1,305
|
|
Taurus 2018-2 UK DAC,
|
|
|
|
|
3 Month GBP SONIA + 1.22%, 5.97%,
5/22/28 (b)
|
GBP
|
581
|
737
|
|
|
|
3,144
|
|
|
Corporate Bonds (93.7%)
|
|
|
|
|
Finance (35.1%)
|
|
|
|
|
Ally Financial, Inc.,
|
|
|
|
|
5.75%, 11/20/25 (c) |
$
|
850
|
819
|
|
American International Group, Inc.,
|
|
|
|
|
5.13%, 3/27/33 |
|
330
|
322
|
|
American National Group LLC,
|
|
|
|
|
6.14%, 6/13/32 (a) |
|
550
|
523
|
|
Assurant, Inc.,
|
|
|
|
|
6.10%, 2/27/26 |
|
300
|
301
|
|
Australia & New Zealand Banking Group Ltd.,
|
|
|
|
|
2.57%, 11/25/35 (a) |
|
300
|
228
|
|
Aviation Capital Group LLC,
|
|
|
|
|
6.25%, 4/15/28 (a) |
|
375
|
374
|
|
6.38%, 7/15/30 (a) |
|
325
|
323
|
|
Banco de Credito e Inversiones SA,
|
|
|
|
|
2.88%, 10/14/31 (a) |
|
200
|
166
|
|
Banco Santander SA,
|
|
|
|
|
1.72%, 9/14/27 |
|
1,000
|
869
|
|
Bank Hapoalim BM,
|
|
|
|
|
3.26%, 1/21/32 (a) |
|
725
|
623
|
|
Bank of America Corp.,
|
|
|
|
|
3.85%, 3/8/37 |
|
800
|
685
|
|
4.38%, 4/27/28 |
|
425
|
408
|
|
4.57%, 4/27/33 |
|
2,450
|
2,305
|
|
Bank of Ireland Group PLC,
|
|
|
|
|
2.03%, 9/30/27 (a) |
|
950
|
823
|
|
Bank of New York Mellon Corp.,
|
|
|
|
|
Series J
|
|
|
|
|
SOFR + 1.61%, 4.97%, 4/26/34 |
|
825
|
806
|
|
BBVA Bancomer SA,
|
|
|
|
|
5 Year CMT + 4.66%, 8.45%, 6/29/38 (a) |
|
200
|
200
|
|
BPCE SA,
|
|
|
|
|
3.12%, 10/19/32 (a) |
|
375
|
290
|
|
3.65%, 1/14/37 (a) |
|
500
|
398
|
|
CaixaBank SA,
|
|
|
|
|
6.21%, 1/18/29 (a) |
|
1,075
|
1,073
|
|
Capital One Financial Corp.,
|
|
|
|
|
6.38%, 6/8/34 |
|
650
|
646
|
|
Centene Corp.,
|
|
|
|
|
2.50%, 3/1/31 |
|
1,025
|
818
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Charles Schwab Corp.,
|
|
|
|
|
5.85%, 5/19/34 |
$
|
325
|
$330
|
|
Series G
|
|
|
|
|
5.38%, 6/1/25 (d) |
|
650
|
624
|
|
CI Financial Corp.,
|
|
|
|
|
4.10%, 6/15/51 |
|
725
|
442
|
|
Citigroup, Inc.,
|
|
|
|
|
3.06%, 1/25/33 |
|
1,175
|
982
|
|
3.79%, 3/17/33 |
|
475
|
420
|
|
Coinbase Global, Inc.,
|
|
|
|
|
3.38%, 10/1/28 (a) |
|
275
|
184
|
|
Corporate Office Properties LP,
|
|
|
|
|
2.75%, 4/15/31 |
|
850
|
647
|
|
Extra Space Storage LP,
|
|
|
|
|
3.90%, 4/1/29 |
|
750
|
684
|
|
5.70%, 4/1/28 |
|
325
|
325
|
|
F&G Annuities & Life, Inc.,
|
|
|
|
|
7.40%, 1/13/28 (a) |
|
1,000
|
1,000
|
|
First-Citizens Bank & Trust Co.,
|
|
|
|
|
2.97%, 9/27/25 |
|
775
|
733
|
|
Global Atlantic Fin Co.,
|
|
|
|
|
4.40%, 10/15/29 (a) |
|
1,100
|
929
|
|
Goldman Sachs Group, Inc.,
|
|
|
|
|
2.62%, 4/22/32 |
|
1,400
|
1,149
|
|
Grupo Aval Ltd.,
|
|
|
|
|
4.38%, 2/4/30 (a) |
|
375
|
294
|
|
High Street Funding Trust I,
|
|
|
|
|
4.11%, 2/15/28 (a) |
|
850
|
791
|
|
HSBC Holdings PLC,
|
|
|
|
|
1.59%, 5/24/27 |
|
375
|
331
|
|
3.97%, 5/22/30 |
|
525
|
472
|
|
Intact Financial Corp.,
|
|
|
|
|
5.46%, 9/22/32 (a) |
|
825
|
823
|
|
Intesa Sanpaolo SpA,
|
|
|
|
|
1 Year CMT + 3.90%, 7.78%, 6/20/54 (a) |
|
325
|
324
|
|
Jefferies Financial Group, Inc.,
|
|
|
|
|
2.63%, 10/15/31 |
|
450
|
349
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
4.57%, 6/14/30 |
|
450
|
433
|
|
SOFR + 1.85%, 5.35%, 6/1/34 |
|
1,850
|
1,865
|
|
KeyBank NA,
|
|
|
|
|
4.15%, 8/8/25 |
|
700
|
647
|
|
5.85%, 11/15/27 |
|
350
|
330
|
|
Lincoln National Corp.,
|
|
|
|
|
3.05%, 1/15/30 (c) |
|
500
|
414
|
|
Macquarie Group Ltd.,
|
|
|
|
|
2.87%, 1/14/33 (a) |
|
575
|
460
|
|
National Australia Bank Ltd.,
|
|
|
|
|
2.33%, 8/21/30 (a) |
|
375
|
293
|
|
Nordea Bank Abp,
|
|
|
|
|
5.38%, 9/22/27 (a) |
|
275
|
272
|
|
Radian Group, Inc.,
|
|
|
|
|
4.88%, 3/15/27 |
|
525
|
496
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Finance (cont'd)
|
|
|
|
|
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc.,
|
|
|
|
|
3.88%, 3/1/31 (a) |
$
|
345
|
$280
|
|
Sabra Health Care LP,
|
|
|
|
|
3.20%, 12/1/31 |
|
600
|
448
|
|
Santander UK Group Holdings PLC,
|
|
|
|
|
6.83%, 11/21/26 |
|
625
|
627
|
|
Shinhan Bank Co. Ltd.,
|
|
|
|
|
4.00%, 4/23/29 (a) |
|
875
|
798
|
|
SMBC Aviation Capital Finance DAC,
|
|
|
|
|
5.45%, 5/3/28 (a) |
|
925
|
913
|
|
Stewart Information Services Corp.,
|
|
|
|
|
3.60%, 11/15/31 |
|
500
|
385
|
|
Synchrony Financial,
|
|
|
|
|
4.50%, 7/23/25 |
|
600
|
566
|
|
Synovus Financial Corp.,
|
|
|
|
|
5.20%, 8/11/25 |
|
475
|
453
|
|
Toronto-Dominion Bank,
|
|
|
|
|
8.13%, 10/31/82 |
|
1,000
|
1,018
|
|
Truist Financial Corp.,
|
|
|
|
|
SOFR + 2.36%, 5.87%, 6/8/34 |
|
950
|
951
|
|
U.S. Bancorp,
|
|
|
|
|
5.85%, 10/21/33 |
|
525
|
526
|
|
UBS Group AG,
|
|
|
|
|
9.02%, 11/15/33 (a) |
|
550
|
660
|
|
UnitedHealth Group, Inc.,
|
|
|
|
|
5.20%, 4/15/63 |
|
225
|
225
|
|
5.88%, 2/15/53 |
|
225
|
250
|
|
Wells Fargo & Co.,
|
|
|
|
|
MTN
|
|
|
|
|
2.88%, 10/30/30 |
|
375
|
324
|
|
Westpac Banking Corp.,
|
|
|
|
|
2.67%, 11/15/35 |
|
225
|
173
|
|
|
|
|
38,640
|
|
Industrials (50.3%)
|
|
|
|
|
AbbVie, Inc.,
|
|
|
|
|
4.05%, 11/21/39 |
|
250
|
218
|
|
4.40%, 11/6/42 |
|
175
|
157
|
|
Adventist Health System,
|
|
|
|
|
5.43%, 3/1/32 |
|
700
|
694
|
|
Alaska Airlines 2020-1 Class A Pass-Through
Trust,
|
|
|
|
|
4.80%, 2/15/29 (a) |
|
1,025
|
986
|
|
Alibaba Group Holding Ltd.,
|
|
|
|
|
2.70%, 2/9/41 |
|
240
|
160
|
|
Amazon.com, Inc.,
|
|
|
|
|
3.10%, 5/12/51 |
|
425
|
317
|
|
Anheuser-Busch Cos. LLC/Anheuser-Busch
InBev Worldwide, Inc.,
|
|
|
|
|
4.90%, 2/1/46 |
|
650
|
622
|
|
Arches Buyer, Inc.,
|
|
|
|
|
4.25%, 6/1/28 (a) |
|
325
|
283
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Ashtead Capital, Inc.,
|
|
|
|
|
5.55%, 5/30/33 (a) |
$
|
725
|
$707
|
|
AT&T, Inc.,
|
|
|
|
|
3.55%, 9/15/55 |
|
1,027
|
720
|
|
4.50%, 5/15/35 |
|
525
|
483
|
|
Baidu, Inc.,
|
|
|
|
|
1.72%, 4/9/26 |
|
450
|
404
|
|
BAT Capital Corp.,
|
|
|
|
|
2.26%, 3/25/28 |
|
575
|
493
|
|
3.73%, 9/25/40 |
|
250
|
178
|
|
4.74%, 3/16/32 |
|
350
|
319
|
|
Berry Global, Inc.,
|
|
|
|
|
5.50%, 4/15/28 (a) |
|
375
|
369
|
|
Boeing Co.,
|
|
|
|
|
2.95%, 2/1/30 |
|
675
|
587
|
|
3.25%, 2/1/35 |
|
600
|
487
|
|
BP Capital Markets America, Inc.,
|
|
|
|
|
4.89%, 9/11/33 |
|
300
|
297
|
|
BP Capital Markets PLC,
|
|
|
|
|
4.88%, 3/22/30 (d) |
|
550
|
502
|
|
Broadcom, Inc.,
|
|
|
|
|
3.19%, 11/15/36 (a) |
|
425
|
321
|
|
Brunswick Corp.,
|
|
|
|
|
5.10%, 4/1/52 |
|
425
|
316
|
|
CBRE Services, Inc.,
|
|
|
|
|
5.95%, 8/15/34 |
|
675
|
667
|
|
Cedars-Sinai Health System,
|
|
|
|
|
Series 2021
|
|
|
|
|
2.29%, 8/15/31 |
|
620
|
508
|
|
Celanese U.S. Holdings LLC,
|
|
|
|
|
6.17%, 7/15/27 |
|
1,075
|
1,070
|
|
Cemex SAB de CV,
|
|
|
|
|
9.13%, 3/14/28 (a)(d) |
|
400
|
406
|
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital,
|
|
|
|
|
2.80%, 4/1/31 |
|
275
|
221
|
|
3.50%, 3/1/42 |
|
500
|
335
|
|
5.13%, 7/1/49 |
|
500
|
394
|
|
Cheniere Energy Partners LP,
|
|
|
|
|
5.95%, 6/30/33 (a) |
|
250
|
251
|
|
Ciena Corp.,
|
|
|
|
|
4.00%, 1/31/30 (a) |
|
300
|
262
|
|
Comcast Corp.,
|
|
|
|
|
2.94%, 11/1/56 |
|
325
|
212
|
|
3.75%, 4/1/40 |
|
575
|
485
|
|
CommonSpirit Health,
|
|
|
|
|
6.07%, 11/1/27 |
|
575
|
586
|
|
Continental Resources, Inc.,
|
|
|
|
|
2.88%, 4/1/32 (a) |
|
875
|
673
|
|
CVS Health Corp.,
|
|
|
|
|
1.75%, 8/21/30 |
|
375
|
299
|
|
5.88%, 6/1/53 |
|
325
|
334
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
Dell International LLC/EMC Corp.,
|
|
|
|
|
3.45%, 12/15/51 (a) |
$
|
500
|
$336
|
|
Delta Air Lines, Inc./SkyMiles IP Ltd.,
|
|
|
|
|
4.75%, 10/20/28 (a) |
|
875
|
850
|
|
Diamondback Energy, Inc.,
|
|
|
|
|
3.13%, 3/24/31 |
|
600
|
514
|
|
Dick's Sporting Goods, Inc.,
|
|
|
|
|
4.10%, 1/15/52 |
|
585
|
407
|
|
DuPont de Nemours, Inc.,
|
|
|
|
|
5.32%, 11/15/38 |
|
225
|
223
|
|
Electricite de France SA,
|
|
|
|
|
6.25%, 5/23/33 (a) |
|
350
|
356
|
|
Enbridge, Inc.,
|
|
|
|
|
2.50%, 8/1/33 |
|
350
|
274
|
|
5.70%, 3/8/33 |
|
500
|
507
|
|
Enterprise Products Operating LLC,
|
|
|
|
|
3.30%, 2/15/53 |
|
375
|
268
|
|
5.35%, 1/31/33 |
|
175
|
178
|
|
EQT Corp.,
|
|
|
|
|
5.70%, 4/1/28 |
|
575
|
568
|
|
Ferrellgas LP/Ferrellgas Finance Corp.,
|
|
|
|
|
5.88%, 4/1/29 (a) |
|
325
|
273
|
|
Fidelity National Information Services, Inc.,
|
|
|
|
|
2.25%, 3/1/31 |
|
600
|
479
|
|
Ford Motor Credit Co. LLC,
|
|
|
|
|
GMTN
|
|
|
|
|
4.39%, 1/8/26 |
|
315
|
298
|
|
Fortune Brands Innovations, Inc.,
|
|
|
|
|
5.88%, 6/1/33 |
|
625
|
626
|
|
Foundry JV Holdco LLC,
|
|
|
|
|
5.88%, 1/25/34 (a) |
|
425
|
424
|
|
General Motors Co.,
|
|
|
|
|
6.60%, 4/1/36 |
|
325
|
334
|
|
6.75%, 4/1/46 |
|
125
|
127
|
|
General Motors Financial Co., Inc.,
|
|
|
|
|
5.80%, 6/23/28 |
|
650
|
648
|
|
Glencore Funding LLC,
|
|
|
|
|
2.50%, 9/1/30 (a)(c) |
|
600
|
492
|
|
Global Partners LP/GLP Finance Corp.,
|
|
|
|
|
7.00%, 8/1/27 |
|
275
|
267
|
|
Grifols SA,
|
|
|
|
|
2.25%, 11/15/27 (a) |
EUR
|
310
|
307
|
|
Hanesbrands, Inc.,
|
|
|
|
|
9.00%, 2/15/31 (a)(c) |
$
|
250
|
252
|
|
HCA, Inc.,
|
|
|
|
|
4.63%, 3/15/52 (a) |
|
575
|
473
|
|
HF Sinclair Corp.,
|
|
|
|
|
5.88%, 4/1/26 |
|
500
|
502
|
|
Hudbay Minerals, Inc.,
|
|
|
|
|
4.50%, 4/1/26 (a) |
|
300
|
280
|
|
Hyundai Capital America,
|
|
|
|
|
3.00%, 2/10/27 (a)(c) |
|
1,200
|
1,095
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Imperial Brands Finance PLC,
|
|
|
|
|
6.13%, 7/27/27 (a) |
$
|
400
|
$401
|
|
Intel Corp.,
|
|
|
|
|
3.25%, 11/15/49 |
|
300
|
212
|
|
5.90%, 2/10/63 |
|
300
|
310
|
|
International Business Machines Corp.,
|
|
|
|
|
2.85%, 5/15/40 |
|
275
|
202
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc.,
|
|
|
|
|
2.50%, 1/15/27 (a) |
|
550
|
482
|
|
JDE Peet's NV,
|
|
|
|
|
1.38%, 1/15/27 (a) |
|
875
|
760
|
|
JetBlue Pass Through Trust,
|
|
|
|
|
Series AA
|
|
|
|
|
2.75%, 11/15/33 |
|
421
|
359
|
|
Kohl's Corp.,
|
|
|
|
|
4.63%, 5/1/31 |
|
375
|
261
|
|
Kyndryl Holdings, Inc.,
|
|
|
|
|
2.70%, 10/15/28 |
|
400
|
326
|
|
3.15%, 10/15/31 |
|
450
|
338
|
|
Level 3 Financing, Inc.,
|
|
|
|
|
3.40%, 3/1/27 (a) |
|
625
|
531
|
|
Lithia Motors, Inc.,
|
|
|
|
|
3.88%, 6/1/29 (a) |
|
325
|
283
|
|
Lowe's Cos., Inc.,
|
|
|
|
|
5.80%, 9/15/62 |
|
450
|
445
|
|
Macy's Retail Holdings LLC,
|
|
|
|
|
5.88%, 3/15/30 (a)(c) |
|
405
|
361
|
|
Marriott International, Inc.,
|
|
|
|
|
Series HH
|
|
|
|
|
2.85%, 4/15/31 |
|
1,075
|
905
|
|
McCormick & Co., Inc.,
|
|
|
|
|
4.95%, 4/15/33 |
|
600
|
589
|
|
Meta Platforms, Inc.,
|
|
|
|
|
5.75%, 5/15/63 |
|
350
|
363
|
|
Micron Technology, Inc.,
|
|
|
|
|
5.88%, 9/15/33 |
|
725
|
719
|
|
Midwest Connector Capital Co. LLC,
|
|
|
|
|
4.63%, 4/1/29 (a) |
|
600
|
549
|
|
Minsur SA,
|
|
|
|
|
4.50%, 10/28/31 (a) |
|
200
|
176
|
|
National Fuel Gas Co.,
|
|
|
|
|
2.95%, 3/1/31 |
|
1,036
|
830
|
|
Newcastle Coal Infrastructure Group Pty Ltd.,
|
|
|
|
|
4.40%, 9/29/27 (a) |
|
1,125
|
1,029
|
|
Newell Brands, Inc.,
|
|
|
|
|
4.70%, 4/1/26 |
|
700
|
658
|
|
Nissan Motor Acceptance Co. LLC,
|
|
|
|
|
1.85%, 9/16/26 (a) |
|
650
|
552
|
|
NOVA Chemicals Corp.,
|
|
|
|
|
4.88%, 6/1/24 (a) |
|
300
|
293
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc.,
|
|
|
|
|
2.65%, 2/15/32 |
|
375
|
304
|
|
5.00%, 1/15/33 |
|
235
|
226
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
Occidental Petroleum Corp.,
|
|
|
|
|
7.50%, 5/1/31 |
$
|
600
|
$656
|
|
ONEOK, Inc.,
|
|
|
|
|
3.10%, 3/15/30 |
|
650
|
559
|
|
3.40%, 9/1/29 |
|
275
|
240
|
|
Oracle Corp.,
|
|
|
|
|
3.60%, 4/1/50 |
|
1,150
|
822
|
|
3.85%, 7/15/36 |
|
225
|
188
|
|
Peloton Interactive, Inc.,
|
|
|
|
|
0.00%, 2/15/26 |
|
415
|
317
|
|
Penske Truck Leasing Co. LP/PTL Finance
Corp.,
|
|
|
|
|
6.20%, 6/15/30 (a) |
|
600
|
604
|
|
Permian Resources Operating LLC,
|
|
|
|
|
5.88%, 7/1/29 (a) |
|
300
|
283
|
|
Pfizer Investment Enterprises Pte. Ltd.,
|
|
|
|
|
5.30%, 5/19/53 |
|
475
|
494
|
|
Philip Morris International, Inc.,
|
|
|
|
|
5.38%, 2/15/33 |
|
300
|
299
|
|
Q-Park Holding I BV,
|
|
|
|
|
1.50%, 3/1/25 (a) |
EUR
|
150
|
157
|
|
Resorts World Las Vegas LLC/RWLV Capital,
Inc.,
|
|
|
|
|
4.63%, 4/16/29 (a) |
$
|
300
|
248
|
|
Rogers Communications, Inc.,
|
|
|
|
|
4.55%, 3/15/52 (a) |
|
675
|
543
|
|
Sabine Pass Liquefaction LLC,
|
|
|
|
|
4.50%, 5/15/30 |
|
575
|
547
|
|
Sigma Alimentos SA de CV,
|
|
|
|
|
4.13%, 5/2/26 |
|
450
|
430
|
|
Silgan Holdings, Inc.,
|
|
|
|
|
1.40%, 4/1/26 (a) |
|
500
|
442
|
|
Sirius XM Radio, Inc.,
|
|
|
|
|
3.88%, 9/1/31 (a) |
|
600
|
465
|
|
Smithfield Foods, Inc.,
|
|
|
|
|
3.00%, 10/15/30 (a) |
|
850
|
667
|
|
Sodexo, Inc.,
|
|
|
|
|
2.72%, 4/16/31 (a) |
|
675
|
559
|
|
Standard Industries, Inc.,
|
|
|
|
|
2.25%, 11/21/26 (a) |
EUR
|
100
|
97
|
|
Syngenta Finance NV,
|
|
|
|
|
4.89%, 4/24/25 (a) |
$
|
300
|
294
|
|
T-Mobile USA, Inc.,
|
|
|
|
|
2.25%, 11/15/31 |
|
400
|
320
|
|
Tencent Holdings Ltd.,
|
|
|
|
|
2.39%, 6/3/30 (a) |
|
200
|
166
|
|
3.60%, 1/19/28 (a) |
|
500
|
466
|
|
3.98%, 4/11/29 (a) |
|
300
|
279
|
|
Transportadora de Gas Internacional SA ESP,
|
|
|
|
|
5.55%, 11/1/28 (a) |
|
400
|
387
|
|
United Airlines Pass-Through Trust,
|
|
|
|
|
Series 2023-1
|
|
|
|
|
5.80%, 7/15/37 |
|
600
|
612
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Var Energi ASA,
|
|
|
|
|
7.50%, 1/15/28 (a) |
$
|
600
|
$618
|
|
Verizon Communications, Inc.,
|
|
|
|
|
1.75%, 1/20/31 |
|
1,025
|
809
|
|
3.40%, 3/22/41 |
|
300
|
232
|
|
VICI Properties LP/VICI Note Co., Inc.,
|
|
|
|
|
3.88%, 2/15/29 (a) |
|
1,100
|
966
|
|
Warnermedia Holdings, Inc.,
|
|
|
|
|
5.05%, 3/15/42 |
|
325
|
274
|
|
5.39%, 3/15/62 |
|
700
|
571
|
|
Williams Cos., Inc.,
|
|
|
|
|
5.30%, 8/15/52 |
|
600
|
554
|
|
|
|
|
55,310
|
|
Utilities (8.3%)
|
|
|
|
|
AEP Transmission Co. LLC,
|
|
|
|
|
5.40%, 3/15/53 |
|
475
|
489
|
|
Calpine Corp.,
|
|
|
|
|
5.13%, 3/15/28 (a) |
|
300
|
268
|
|
Cleveland Electric Illuminating Co.,
|
|
|
|
|
4.55%, 11/15/30 (a) |
|
250
|
236
|
|
Dominion Energy, Inc.,
|
|
|
|
|
5.38%, 11/15/32 |
|
400
|
402
|
|
DTE Electric Co.,
|
|
|
|
|
3.95%, 3/1/49 |
|
450
|
371
|
|
Duke Energy Corp.,
|
|
|
|
|
5.00%, 8/15/52 |
|
350
|
320
|
|
Duke Energy Indiana LLC,
|
|
|
|
|
2.75%, 4/1/50 |
|
330
|
211
|
|
EDP Finance BV,
|
|
|
|
|
6.30%, 10/11/27 (a) |
|
700
|
719
|
|
Enel Finance America LLC,
|
|
|
|
|
2.88%, 7/12/41 (a) |
|
500
|
329
|
|
Entergy Texas, Inc.,
|
|
|
|
|
3.55%, 9/30/49 |
|
200
|
148
|
|
Eversource Energy,
|
|
|
|
|
5.13%, 5/15/33 |
|
250
|
247
|
|
Fells Point Funding Trust,
|
|
|
|
|
3.05%, 1/31/27 (a) |
|
600
|
552
|
|
Georgia Power Co.,
|
|
|
|
|
4.95%, 5/17/33 |
|
550
|
543
|
|
Interstate Power and Light Co.,
|
|
|
|
|
2.30%, 6/1/30 |
|
300
|
250
|
|
Jersey Central Power & Light Co.,
|
|
|
|
|
2.75%, 3/1/32 (a) |
|
375
|
310
|
|
Metropolitan Edison Co.,
|
|
|
|
|
5.20%, 4/1/28 (a) |
|
325
|
322
|
|
New England Power Co.,
|
|
|
|
|
5.94%, 11/25/52 (a) |
|
200
|
209
|
|
NextEra Energy Capital Holdings, Inc.,
|
|
|
|
|
3.00%, 1/15/52 |
|
475
|
313
|
|
Northern States Power Co.,
|
|
|
|
|
2.90%, 3/1/50 |
|
350
|
242
|
|
Pacific Gas & Electric Co.,
|
|
|
|
|
3.30%, 8/1/40 |
|
375
|
253
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Utilities (cont'd)
|
|
|
|
|
PacifiCorp,
|
|
|
|
|
4.15%, 2/15/50 |
$
|
650
|
$504
|
|
PECO Energy Co.,
|
|
|
|
|
3.05%, 3/15/51 |
|
425
|
295
|
|
Pennsylvania Electric Co.,
|
|
|
|
|
5.15%, 3/30/26 (a) |
|
300
|
296
|
|
Public Service Co. of Colorado,
|
|
|
|
|
5.25%, 4/1/53 |
|
100
|
96
|
|
Public Service Enterprise Group, Inc.,
|
|
|
|
|
2.45%, 11/15/31 |
|
350
|
283
|
|
Southern California Edison Co.,
|
|
|
|
|
4.00%, 4/1/47 |
|
250
|
199
|
|
5.88%, 12/1/53 |
|
275
|
281
|
|
Virginia Electric & Power Co.,
|
|
|
|
|
2.45%, 12/15/50 |
|
275
|
165
|
|
2.95%, 11/15/51 |
|
375
|
251
|
|
|
|
|
9,104
|
|
|
|
103,054
|
|
|
Sovereign (0.2%)
|
|
|
|
|
Petroleos Mexicanos,
|
|
|
|
|
10.00%, 2/7/33 (a)(c) |
|
298
|
273
|
|
Total Fixed Income
Securities (Cost $112,447)
|
|
106,471
|
|
|
|
|
Shares
|
|
|
Short-Term Investments (3.7%)
|
|
|
|
|
Investment Company (0.2%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional
Class (e) (Cost $274)
|
|
274,475
|
274
|
|
Securities held as Collateral on Loaned Securities (1.8%)
|
|||
|
Investment Company (1.8%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional Class (e)
(Cost $1,978)
|
|
1,978,035
|
1,978
|
|
|
|
Face
Amount
(000)
|
Value (000)
|
|
|
|
|
|
|
U.S. Treasury Security (1.7%)
|
|
|
|
|
U.S. Treasury Bill,
5.01%, 11/30/23 (f)(g)
(Cost $1,828)
|
$
|
1,865
|
$1,825
|
|
Total Short-Term Investments (Cost $4,080)
|
4,077
|
||
|
Total Investments (100.5%) (Cost $116,527)
Including $2,588 of Securities Loaned (h)(i)(j)
|
110,548
|
||
|
Liabilities in Excess of Other Assets (—0.5%)
|
(530
)
|
||
|
Net Assets (100.0%)
|
$110,018
|
||
|
(a)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(b)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(c)
|
All or a portion of this security was on loan. The value of loaned
securities and related collateral outstanding at June 30, 2023, were
approximately $2,588,000 and $2,638,000, respectively. The Fund
received cash collateral of approximately $1,978,000, was
subsequently invested in a Morgan Stanley Institutional Liquidity Funds -
Government Portfolio - Institutional Class as reported in the Portfolio of
Investments. The remaining collateral of approximately $660,000 was
received in the form of U.S. Government obligations, which the Fund
cannot sell or re-pledge and accordingly are not reflected in the
Portfolio of Investments. The Fund has the right under the securities
lending agreement to recover the securities from the borrower on
demand.
|
|
(d)
|
Perpetual - One or more securities do not have a predetermined
maturity date. Rates for these securities are fixed for a period of time
after which they revert to a floating rate. Interest rates in effect are as
of June 30, 2023.
|
|
(e)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. both directly and as a portion of the securities held as
collateral on loaned securities. Advisory fees paid by the Fund are
reduced by an amount equal to its pro-rata share of the advisory and
administration fees paid by the Fund due to its investment in the
Liquidity Funds. For the nine months ended June 30, 2023, advisory
fees paid were reduced by approximately $2,000 relating to the
Fund's investment in the Liquidity Funds.
|
|
(f)
|
Rate shown is the yield to maturity at June 30, 2023.
|
|
(g)
|
All or a portion of the security was pledged to cover margin
requirements for futures contracts.
|
|
(h)
|
Securities are available for collateral in connection with, purchase of
open foreign currency forward exchange contracts and open futures
contracts.
|
|
(i)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(j)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $1,010,000 and the
aggregate gross unrealized depreciation is approximately
$6,836,000, resulting in net unrealized depreciation of approximately
$5,826,000.
|
|
CMT
|
Constant Maturity Treasury Note Rate.
|
|
DAC
|
Designated Activity Company.
|
|
MTN
|
Medium Term Note.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
SONIA
|
Sterling Overnight Index Average.
|
|
Foreign Currency Forward Exchange Contracts:
|
||||||
|
The Fund had the following foreign currency forward exchange contracts open at June 30, 2023:
|
||||||
|
Counterparty
|
Contracts
to Deliver
(000)
|
In
Exchange
For
(000)
|
Delivery
Date
|
Unrealized
Appreciation
(Depreciation)
(000)
|
||
|
Bank of America NA
|
GBP
|
580
|
$
|
734
|
8/10/23
|
$(3
)
|
|
Westpac Banking Corp.
|
EUR
|
524
|
$
|
581
|
8/10/23
|
8
|
|
|
|
|
|
|
|
$5
|
|
Futures Contracts:
|
||||||
|
The Fund had the following futures contracts open at June 30, 2023:
|
||||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Long:
|
|
|
|
|
|
|
|
U.S. Treasury 2 yr. Note (United States)
|
55
|
Sep-23
|
$
|
11,000
|
$11,184
|
$(101
)
|
|
U.S. Treasury Long Bond (United States)
|
80
|
Sep-23
|
|
8,000
|
10,152
|
(46
)
|
|
U.S. Treasury Ultra Long Bond (United States)
|
39
|
Sep-23
|
|
3,900
|
5,313
|
58
|
|
Short:
|
|
|
|
|
|
|
|
German Euro-Bobl Index (Germany)
|
1
|
Sep-23
|
EUR
|
(100)
|
(126
)
|
1
|
|
German Euro-Bund Index (Germany)
|
1
|
Sep-23
|
|
(100)
|
(146
)
|
—@
|
|
U.S. Treasury 5 yr. Note (United States)
|
33
|
Sep-23
|
$
|
(3,300)
|
(3,534
)
|
35
|
|
U.S. Treasury 10 yr. Note (United States)
|
62
|
Sep-23
|
|
(6,200)
|
(6,960
)
|
115
|
|
U.S. Treasury 10 yr. Ultra Note (United States)
|
86
|
Sep-23
|
|
(8,600)
|
(10,186
)
|
86
|
|
|
|
|
|
|
|
$148
|
|
@
|
Value is less than $500.
|
|
EUR
|
— Euro
|
|
GBP
|
— British Pound
|
|
USD
|
— United States Dollar
|
|
Portfolio Composition*
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Industrials
|
50.9
%
|
|
Finance
|
35.6
|
|
Utilities
|
8.4
|
|
Other**
|
5.1
|
|
Total Investments
|
100.0
%***
|
|
*
|
Percentages indicated are based upon total investments (excluding Securities held
as Collateral on Loaned Securities) as of June 30, 2023.
|
|
**
|
Industries and/or investment types representing less than 5% of total investments.
|
|
***
|
Does not include open long futures contracts with a value of approximately
$47,601,000 and net unrealized appreciation of approximately $148,000. Does
not include open foreign currency forward exchange contracts with net unrealized
appreciation of approximately $5,000.
|
|
|
|
Shares
|
Value
(000)
|
|
Common Stocks (94.6%)
|
|||
|
Biotechnology (2.0%)
|
|||
|
Intellia Therapeutics, Inc. (a)
|
|
109,666
|
$4,472
|
|
ProKidney Corp. (a)(b)
|
|
500,425
|
5,600
|
|
Roivant Sciences Ltd. (a)
|
|
1,003,512
|
10,115
|
|
|
|
|
20,187
|
|
Broadline Retail (8.1%)
|
|||
|
Coupang, Inc. (Korea, Republic of) (a)
|
|
962,093
|
16,740
|
|
Global-e Online Ltd. (Israel) (a)
|
|
1,635,663
|
66,964
|
|
|
|
|
83,704
|
|
Chemicals (0.4%)
|
|||
|
Ginkgo Bioworks Holdings, Inc. (a)(b)
|
|
2,103,065
|
3,912
|
|
Commercial Services & Supplies (0.4%)
|
|||
|
Aurora Innovation, Inc. (a)
|
|
1,391,510
|
4,091
|
|
Entertainment (5.1%)
|
|||
|
ROBLOX Corp., Class A (a)
|
|
1,302,266
|
52,481
|
|
Financial Services (10.3%)
|
|||
|
Adyen NV (Netherlands) (a)
|
|
29,216
|
50,592
|
|
Affirm Holdings, Inc. (a)(b)
|
|
2,653,697
|
40,681
|
|
Toast, Inc., Class A (a)
|
|
701,546
|
15,834
|
|
|
|
|
107,107
|
|
Ground Transportation (1.8%)
|
|||
|
Grab Holdings Ltd., Class A (Singapore) (a)
|
|
5,301,078
|
18,183
|
|
Health Care Equipment & Supplies (0.3%)
|
|||
|
Penumbra, Inc. N (a)
|
|
8,975
|
3,088
|
|
Health Care Providers & Services (3.2%)
|
|||
|
Agilon health, Inc. (a)
|
|
1,903,633
|
33,009
|
|
Health Care Technology (3.7%)
|
|||
|
Doximity, Inc., Class A (a)
|
|
1,124,649
|
38,261
|
|
Hotels, Restaurants & Leisure (6.1%)
|
|||
|
DoorDash, Inc., Class A (a)
|
|
832,014
|
63,583
|
|
Information Technology Services (7.3%)
|
|||
|
Cloudflare, Inc., Class A (a)
|
|
1,162,522
|
75,994
|
|
Leisure Products (1.4%)
|
|||
|
Peloton Interactive, Inc., Class A (a)
|
|
1,933,030
|
14,865
|
|
Life Sciences Tools & Services (5.4%)
|
|||
|
10X Genomics, Inc., Class A (a)
|
|
184,389
|
10,296
|
|
Illumina, Inc. (a)
|
|
243,451
|
45,645
|
|
|
|
|
55,941
|
|
Media (8.4%)
|
|||
|
Trade Desk, Inc., Class A (a)
|
|
1,121,210
|
86,580
|
|
Pharmaceuticals (4.4%)
|
|||
|
Royalty Pharma PLC, Class A (United Kingdom)
|
|
1,496,750
|
46,010
|
|
Semiconductors & Semiconductor Equipment (0.2%)
|
|||
|
Enphase Energy, Inc. (a)
|
|
10,971
|
1,837
|
|
Software (16.0%)
|
|||
|
Bill Holdings, Inc. (a)
|
|
403,683
|
47,170
|
|
Gitlab, Inc., Class A (a)(b)
|
|
548,577
|
28,038
|
|
HubSpot, Inc. (a)
|
|
29,945
|
15,934
|
|
MicroStrategy, Inc., Class A (a)(b)
|
|
21,755
|
7,449
|
|
Procore Technologies, Inc. (a)
|
|
397,295
|
25,852
|
|
Samsara, Inc., Class A (a)
|
|
1,481,885
|
41,063
|
|
|
|
|
165,506
|
|
|
|
Shares
|
Value
(000)
|
|
Specialty Retail (10.1%)
|
|||
|
Carvana Co. (a)
|
|
622,358
|
$16,132
|
|
Chewy, Inc., Class A (a)
|
|
1,209,430
|
47,736
|
|
Floor & Decor Holdings, Inc., Class A (a)
|
|
239,045
|
24,851
|
|
Wayfair, Inc., Class A (a)
|
|
248,060
|
16,126
|
|
|
|
|
104,845
|
|
Total Common Stocks (Cost $1,233,182)
|
|
979,184
|
|
|
Preferred Stock (2.4%)
|
|
|
|
|
Software (2.4%)
|
|
|
|
|
Databricks, Inc., Series H (a)(c)(d)
(acquisition cost — $31,810;
acquired 8/31/21)
|
|
432,882
|
24,873
|
|
Investment Company (1.4%)
|
|
|
|
|
Grayscale Bitcoin Trust (a) (Cost $27,139)
|
|
785,961
|
15,082
|
|
|
|
No. of
Warrants
|
|
|
Warrants (0.0%)‡
|
|
|
|
|
Chemicals (0.0%)‡
|
|
|
|
|
Ginkgo Bioworks Holdings, Inc. expires
12/31/27 (a) (Cost $655)
|
|
196,782
|
52
|
|
|
|
Shares
|
|
|
Short-Term Investments (3.4%)
|
|||
|
Investment Company (2.0%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Treasury Securities Portfolio — Institutional
Class (e) (Cost $20,148)
|
|
20,147,732
|
20,148
|
|
Securities held as Collateral on Loaned Securities (1.4%)
|
|||
|
Investment Company (1.3%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Treasury Securities Portfolio — Institutional
Class (e)
|
|
13,526,304
|
13,526
|
|
|
|
Face
Amount
(000)
|
|
|
|
|||
|
Repurchase Agreements (0.1%)
|
|
|
|
|
Citigroup, Inc., (5.00%, dated 6/30/23, due
7/3/23; proceeds $236; fully collateralized
by U.S. Government obligations; 0.00% due
7/27/23 - 8/10/23; valued at $240)
|
|
236
|
236
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Short-Term Investments (cont'd)
|
|||
|
HSBC Securities USA, Inc., (5.05%, dated
6/30/23, due 7/3/23; proceeds $501; fully
collateralized by U.S. Government
obligations; 0.00% due 8/15/23 - 11/15/25;
valued at $511)
|
|
$ 501
|
$501
|
|
Merrill Lynch & Co., Inc., (5.05%, dated
6/30/23, due 7/3/23; proceeds $401; fully
collateralized by a U.S. Government
obligation; 1.63% due 10/15/27; valued at
$409)
|
|
401
|
401
|
|
|
|
|
1,138
|
|
Total Securities held as Collateral on Loaned
Securities (Cost $14,664)
|
14,664
|
||
|
Total Short-Term Investments (Cost $34,812)
|
34,812
|
||
|
Total Investments Excluding Purchased
Options (101.8%) (Cost $1,327,598)
|
1,054,003
|
||
|
Total Purchased Options Outstanding (0.3%)
(Cost $4,694)
|
2,952
|
||
|
Total Investments (102.1%) (Cost $1,332,292)
Including $16,035 of Securities Loaned (f)(g)(h)(i)
|
1,056,955
|
||
|
Liabilities in Excess of Other Assets (—2.1%)
|
(21,564
)
|
||
|
Net Assets (100.0%)
|
$1,035,391
|
||
|
‡
|
Amount is less than 0.05%.
|
|
(a)
|
Non-income producing security.
|
|
(b)
|
All or a portion of this security was on loan. The value of loaned
securities and related collateral outstanding at June 30, 2023, were
approximately $16,035,000 and $16,264,000, respectively. The Fund
received cash collateral of approximately $14,664,000, which was
subsequently invested in Repurchase Agreements and Morgan Stanley
Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional
Class The remaining collateral of approximately $1,600,000 was
received in the form of U.S. Government obligations, which the Fund
cannot sell or re-pledge and accordingly are not reflected in the
Portfolio of Investments. The Fund has the right under the securities
lending agreement to recover the securities from the borrower on
demand. All or a portion of this security was on loan.
|
|
(c)
|
Security cannot be offered for public resale without first being
registered under the Securities Act of 1933 and related rules
(“restricted security”). Acquisition date represents the day on which an
enforceable right to acquire such security is obtained and is presented
along with related cost in the security description. The Fund has
registration rights for certain restricted securities. Any costs related to
such registration are borne by the issuer. The aggregate value of
restricted securities (excluding 144A holdings) at June 30,
2023 amounts to approximately $24,873,000 and represents 2.4% of
net assets.
|
|
(d)
|
At June 30, 2023, the Trust held fair valued securities valued at
approximately $24,873,000, representing 2.4% of net assets. These
securities have been fair valued as determined in good faith under
procedures established by and under the general supervision of
the Trust's (as defined herein) Trustees.
|
|
(e)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Treasury Securities Portfolio - (the
"Liquidity Funds"), an open-end management investment company
managed by the Adviser, both directly and as a portion of the
securities held as collateral on loaned securities. Advisory fees paid by
the Fund are reduced by an amount equal to its pro-rata share of the
advisory and administration fees paid by the Fund due to its
investment in the Liquidity Funds. For the nine months ended June 30,
2023, advisory fees paid were reduced by approximately $35,000
relating to the Fund's investment in the Liquidity Funds.
|
|
(f)
|
The Trust is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by
the Trustees in compliance with Rule 17a-7 under the Act (the "Rule").
Each cross-trade is executed at the current market price in compliance
with provisions of the Rule. June 30, 2023, the Trust did not engage
in any cross-trade transactions.
|
|
(g)
|
Securities are available for collateral in connection with purchased
options.
|
|
(h)
|
The approximate fair value and percentage of net assets,
$50,592,000 and 4.9%, respectively, represent the securities that
have been fair valued under the fair valuation policy for international
investments as described in the Notes to Consolidated Portfolio of
Investments.
|
|
(i)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $107,705,000 and the
aggregate gross unrealized depreciation is approximately
$383,042,000, resulting in net unrealized
approximatelydepreciation of $275,337,000.
|
|
Call Options Purchased:
|
|||||||||
|
The Fund had the following call options purchased open at June 30, 2023:
|
|||||||||
|
Counterparty
|
Description
|
Strike
Price
|
Expiration
Date
|
Number of
Contracts
|
Notional
Amount
(000)
|
Value (000)
|
Premiums
Paid
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
JPMorgan Chase Bank NA
|
USD/CNH
|
CNH
|
7.43
|
Jan–24
|
202,038,446
|
$202,038
|
$1,315
|
$ 951
|
$ 364
|
|
JPMorgan Chase Bank NA
|
USD/CNH
|
CNH
|
7.53
|
Jul–23
|
279,968,319
|
279,968
|
55
|
1,391
|
(1,336)
|
|
Standard Chartered Bank
|
USD/CNH
|
CNH
|
7.57
|
Aug–23
|
309,556,026
|
309,556
|
218
|
1,382
|
(1,164)
|
|
Standard Chartered Bank
|
USD/CNH
|
CNH
|
7.57
|
May–24
|
226,694,072
|
226,694
|
1,363
|
959
|
404
|
|
Goldman Sachs International
|
USD/CNH
|
CNH
|
7.87
|
Oct–23
|
2,378,602
|
2,379
|
1
|
11
|
(10)
|
|
|
|
|
|
|
|
|
$2,952
|
$4,694
|
$(1,742)
|
|
CNH
|
— Chinese Yuan Renminbi Offshore
|
|
USD
|
— United States Dollar.
|
|
Portfolio Composition*
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Other**
|
22.3
%
|
|
Software
|
18.1
|
|
Financial Services
|
10.1
|
|
Specialty Retail
|
9.9
|
|
Media
|
8.2
|
|
Broadline Retail
|
7.9
|
|
Information Technology Services
|
7.2
|
|
Hotels, Restaurants & Leisure
|
6.0
|
|
Life Sciences Tools & Services
|
5.3
|
|
Entertainment
|
5.0
|
|
Total Investments
|
100.0
%
|
|
*
|
Percentages indicated are based upon total investments (excluding Securities held
as Collateral on Loaned Securities) as of June 30, 2023.
|
|
**
|
Industries and/or investment types representing less than 5% of total investments.
|
|
|
|
Shares
|
Value
(000)
|
|
Common Stocks (95.2%)
|
|||
|
Aerospace & Defense (0.8%)
|
|||
|
Huntington Ingalls Industries, Inc.
|
|
2,301
|
$524
|
|
Textron, Inc.
|
|
7,602
|
514
|
|
|
|
|
1,038
|
|
Automobiles (0.9%)
|
|||
|
General Motors Co.
|
|
14,655
|
565
|
|
Harley-Davidson, Inc.
|
|
15,944
|
562
|
|
|
|
|
1,127
|
|
Banks (5.5%)
|
|||
|
Citizens Financial Group, Inc.
|
|
36,213
|
944
|
|
Comerica, Inc.
|
|
23,280
|
986
|
|
KeyCorp
|
|
99,648
|
921
|
|
New York Community Bancorp, Inc.
|
|
92,034
|
1,034
|
|
Popular, Inc.
|
|
16,234
|
983
|
|
Western Alliance Bancorp
|
|
26,553
|
968
|
|
Zions Bancorp NA
|
|
35,131
|
944
|
|
|
|
|
6,780
|
|
Biotechnology (1.5%)
|
|||
|
Gilead Sciences, Inc.
|
|
12,052
|
929
|
|
United Therapeutics Corp. (a)
|
|
4,244
|
937
|
|
|
|
|
1,866
|
|
Broadline Retail (0.5%)
|
|||
|
Macy's, Inc.
|
|
20,167
|
324
|
|
Nordstrom, Inc.
|
|
16,727
|
342
|
|
|
|
|
666
|
|
Building Products (1.7%)
|
|||
|
Builders FirstSource, Inc. (a)
|
|
3,950
|
537
|
|
Hayward Holdings, Inc. (a)
|
|
44,424
|
571
|
|
Masterbrand, Inc. (a)
|
|
43,673
|
508
|
|
Owens Corning
|
|
4,042
|
527
|
|
|
|
|
2,143
|
|
Capital Markets (3.5%)
|
|||
|
Affiliated Managers Group, Inc.
|
|
5,012
|
751
|
|
Bank of New York Mellon Corp.
|
|
16,585
|
738
|
|
Invesco Ltd.
|
|
44,441
|
747
|
|
State Street Corp.
|
|
10,037
|
735
|
|
Stifel Financial Corp.
|
|
12,382
|
739
|
|
Virtu Financial, Inc., Class A
|
|
39,862
|
681
|
|
|
|
|
4,391
|
|
Chemicals (2.2%)
|
|||
|
Celanese Corp.
|
|
4,025
|
466
|
|
CF Industries Holdings, Inc.
|
|
6,080
|
422
|
|
LyondellBasell Industries NV, Class A
|
|
4,908
|
451
|
|
Mosaic Co.
|
|
12,478
|
437
|
|
Olin Corp.
|
|
9,011
|
463
|
|
Westlake Corp.
|
|
3,918
|
468
|
|
|
|
|
2,707
|
|
Construction & Engineering (0.4%)
|
|||
|
MDU Resources Group, Inc.
|
|
24,752
|
518
|
|
Consumer Finance (3.0%)
|
|||
|
Ally Financial, Inc.
|
|
26,624
|
719
|
|
Capital One Financial Corp.
|
|
6,760
|
739
|
|
Discover Financial Services
|
|
6,339
|
741
|
|
|
|
Shares
|
Value
(000)
|
|
OneMain Holdings, Inc.
|
|
17,172
|
$750
|
|
Synchrony Financial
|
|
22,458
|
762
|
|
|
|
|
3,711
|
|
Consumer Staples Distribution & Retail (1.7%)
|
|||
|
Kroger Co.
|
|
15,215
|
715
|
|
Performance Food Group Co. (a)
|
|
12,545
|
756
|
|
Walgreens Boots Alliance, Inc.
|
|
21,696
|
618
|
|
|
|
|
2,089
|
|
Containers & Packaging (1.1%)
|
|||
|
Berry Global Group, Inc.
|
|
6,960
|
448
|
|
International Paper Co.
|
|
13,965
|
444
|
|
WestRock Co.
|
|
15,458
|
449
|
|
|
|
|
1,341
|
|
Diversified Consumer Services (0.6%)
|
|||
|
ADT, Inc.
|
|
59,924
|
361
|
|
H&R Block, Inc.
|
|
11,004
|
351
|
|
|
|
|
712
|
|
Diversified REITs (0.6%)
|
|||
|
Starwood Property Trust, Inc. REIT
|
|
38,119
|
740
|
|
Diversified Telecommunication Services (1.6%)
|
|||
|
AT&T, Inc.
|
|
121,557
|
1,939
|
|
Electric Utilities (3.6%)
|
|||
|
Edison International
|
|
10,646
|
739
|
|
Evergy, Inc.
|
|
12,588
|
736
|
|
Hawaiian Electric Industries, Inc.
|
|
19,958
|
723
|
|
OGE Energy Corp. (a)
|
|
20,307
|
729
|
|
PG&E Corp. (a)
|
|
43,063
|
744
|
|
Pinnacle West Capital Corp.
|
|
8,925
|
727
|
|
|
|
|
4,398
|
|
Electrical Equipment (0.8%)
|
|||
|
Acuity Brands, Inc.
|
|
3,061
|
499
|
|
Sensata Technologies Holding PLC
|
|
11,298
|
509
|
|
|
|
|
1,008
|
|
Electronic Equipment, Instruments & Components (1.5%)
|
|||
|
Arrow Electronics, Inc. (a)
|
|
3,232
|
463
|
|
Avnet, Inc.
|
|
9,333
|
471
|
|
Jabil, Inc.
|
|
4,231
|
456
|
|
TD SYNNEX Corp.
|
|
4,624
|
435
|
|
|
|
|
1,825
|
|
Financial Services (2.5%)
|
|||
|
Corebridge Financial, Inc.
|
|
44,441
|
785
|
|
Equitable Holdings, Inc.
|
|
27,837
|
756
|
|
MGIC Investment Corp.
|
|
48,003
|
758
|
|
New Residential Investment Corp. REIT
|
|
79,400
|
742
|
|
|
|
|
3,041
|
|
Food Products (3.6%)
|
|||
|
Archer-Daniels-Midland Co.
|
|
10,158
|
768
|
|
Bunge Ltd.
|
|
8,133
|
767
|
|
Conagra Brands, Inc.
|
|
21,866
|
737
|
|
Kraft Heinz Co.
|
|
20,681
|
734
|
|
Post Holdings, Inc. (a)
|
|
8,789
|
762
|
|
Seaboard Corp.
|
|
206
|
733
|
|
|
|
|
4,501
|
|
|
|
Shares
|
Value
(000)
|
|
Gas Utilities (0.6%)
|
|||
|
National Fuel Gas Co.
|
|
14,421
|
$741
|
|
Ground Transportation (1.2%)
|
|||
|
Hertz Global Holdings, Inc. (a)
|
|
20,277
|
373
|
|
Ryder System, Inc.
|
|
4,395
|
373
|
|
U-Haul Holding Co.
|
|
14,293
|
755
|
|
|
|
|
1,501
|
|
Health Care (0.4%)
|
|||
|
Medical Properties Trust, Inc. REIT
|
|
48,467
|
449
|
|
Health Care Equipment & Supplies (1.0%)
|
|||
|
Integra LifeSciences Holdings Corp. (a)
|
|
15,164
|
624
|
|
QuidelOrtho Corp. (a)
|
|
7,168
|
594
|
|
|
|
|
1,218
|
|
Health Care Providers & Services (5.1%)
|
|||
|
Centene Corp. (a)
|
|
9,202
|
621
|
|
Cigna Group
|
|
2,232
|
626
|
|
CVS Health Corp.
|
|
8,868
|
613
|
|
Elevance Health, Inc.
|
|
1,364
|
606
|
|
Enhabit, Inc. (a)
|
|
49,849
|
573
|
|
Laboratory Corp. of America Holdings
|
|
2,637
|
636
|
|
Molina Healthcare, Inc. (a)
|
|
2,187
|
659
|
|
Premier, Inc., Class A
|
|
22,431
|
621
|
|
Tenet Healthcare Corp. (a)
|
|
7,873
|
641
|
|
Universal Health Services, Inc., Class B
|
|
4,128
|
651
|
|
|
|
|
6,247
|
|
Hotel & Resort REITs (0.7%)
|
|||
|
Host Hotels & Resorts, Inc. REIT
|
|
26,101
|
439
|
|
Park Hotels & Resorts, Inc. REIT
|
|
34,461
|
442
|
|
|
|
|
881
|
|
Hotels, Restaurants & Leisure (1.8%)
|
|||
|
Boyd Gaming Corp.
|
|
5,394
|
374
|
|
Marriott Vacations Worldwide Corp.
|
|
2,905
|
357
|
|
MGM Resorts International (a)
|
|
8,548
|
375
|
|
Penn Entertainment, Inc. (a)
|
|
15,091
|
363
|
|
Six Flags Entertainment Corp. (a)
|
|
13,315
|
346
|
|
Travel & Leisure Co.
|
|
9,060
|
365
|
|
|
|
|
2,180
|
|
Household Durables (0.9%)
|
|||
|
Lennar Corp., Class B
|
|
2,098
|
237
|
|
Mohawk Industries, Inc. (a)
|
|
2,206
|
228
|
|
Newell Brands, Inc.
|
|
27,357
|
238
|
|
Pulte Group, Inc.
|
|
2,976
|
231
|
|
Toll Brothers, Inc. (a)
|
|
2,949
|
233
|
|
|
|
|
1,167
|
|
Household Products (0.6%)
|
|||
|
Reynolds Consumer Products, Inc.
|
|
27,864
|
787
|
|
Independent Power & Renewable Electricity Producers (0.6%)
|
|||
|
Vistra Corp.
|
|
29,594
|
777
|
|
Industrial Conglomerates (0.4%)
|
|||
|
3M Co.
|
|
4,959
|
496
|
|
Information Technology Services (2.0%)
|
|||
|
Akamai Technologies, Inc. (a)
|
|
3,084
|
277
|
|
Amdocs Ltd.
|
|
2,872
|
284
|
|
Cognizant Technology Solutions Corp., Class A
|
|
4,306
|
281
|
|
|
|
Shares
|
Value
(000)
|
|
DXC Technology Co. (a)
|
|
10,093
|
$270
|
|
EPAM Systems, Inc. (a)
|
|
1,264
|
284
|
|
GoDaddy, Inc., Class A (a)
|
|
3,770
|
283
|
|
International Business Machines Corp.
|
|
2,043
|
273
|
|
Kyndryl Holdings, Inc. (a)
|
|
20,860
|
277
|
|
Thoughtworks Holding, Inc. (a)
|
|
36,766
|
278
|
|
|
|
|
2,507
|
|
Insurance (3.3%)
|
|||
|
American International Group, Inc.
|
|
8,803
|
507
|
|
CNA Financial Corp.
|
|
12,959
|
500
|
|
F&G Annuities & Life, Inc.
|
|
22,973
|
569
|
|
Fidelity National Financial, Inc.
|
|
14,335
|
516
|
|
Hartford Financial Services Group, Inc.
|
|
7,013
|
505
|
|
Loews Corp.
|
|
8,497
|
505
|
|
Principal Financial Group, Inc.
|
|
6,758
|
513
|
|
Unum Group
|
|
10,840
|
517
|
|
|
|
|
4,132
|
|
Life Sciences Tools & Services (0.8%)
|
|||
|
Avantor, Inc. (a)
|
|
47,143
|
968
|
|
Machinery (2.5%)
|
|||
|
AGCO Corp.
|
|
3,753
|
493
|
|
Allison Transmission Holdings, Inc.
|
|
9,469
|
535
|
|
Cummins, Inc.
|
|
2,156
|
528
|
|
Gates Industrial Corp. PLC (a)
|
|
38,258
|
516
|
|
PACCAR, Inc.
|
|
6,416
|
537
|
|
Timken Co.
|
|
5,788
|
530
|
|
|
|
|
3,139
|
|
Media (6.8%)
|
|||
|
Altice USA, Inc., Class A (a)
|
|
370,289
|
1,118
|
|
Charter Communications, Inc., Class A (a)
|
|
2,618
|
962
|
|
Comcast Corp., Class A
|
|
21,351
|
887
|
|
DISH Network Corp., Class A (a)
|
|
135,226
|
891
|
|
Fox Corp., Class A
|
|
26,179
|
890
|
|
Fox Corp., Class B
|
|
28,007
|
893
|
|
Liberty Media Corp.-Liberty SiriusXM, Class A
(a)
|
|
28,691
|
942
|
|
Liberty Media Corp.-Liberty SiriusXM, Class C
(a)
|
|
28,790
|
942
|
|
Nexstar Media Group, Inc., Class A
|
|
5,367
|
894
|
|
|
|
|
8,419
|
|
Metals & Mining (1.1%)
|
|||
|
Cleveland-Cliffs, Inc. (a)
|
|
27,221
|
456
|
|
Steel Dynamics, Inc.
|
|
4,289
|
467
|
|
United States Steel Corp.
|
|
18,818
|
471
|
|
|
|
|
1,394
|
|
Office REITs (1.8%)
|
|||
|
Boston Properties, Inc. REIT
|
|
8,021
|
462
|
|
Cousins Properties, Inc. REIT
|
|
20,131
|
459
|
|
Douglas Emmett, Inc. REIT
|
|
34,488
|
434
|
|
Highwoods Properties, Inc. REIT
|
|
19,405
|
464
|
|
Kilroy Realty Corp. REIT
|
|
14,459
|
435
|
|
|
|
|
2,254
|
|
Oil, Gas & Consumable Fuels (6.7%)
|
|||
|
Antero Resources Corp. (a)
|
|
46,296
|
1,066
|
|
|
|
Shares
|
Value
(000)
|
|
EQT Corp.
|
|
25,522
|
$1,050
|
|
HF Sinclair Corp.
|
|
22,504
|
1,004
|
|
Marathon Oil Corp.
|
|
43,204
|
994
|
|
Marathon Petroleum Corp.
|
|
8,900
|
1,038
|
|
Ovintiv, Inc.
|
|
26,970
|
1,027
|
|
Phillips 66
|
|
10,646
|
1,015
|
|
Valero Energy Corp.
|
|
8,907
|
1,045
|
|
|
|
|
8,239
|
|
Passenger Airlines (0.6%)
|
|||
|
American Airlines Group, Inc. (a)
|
|
22,166
|
398
|
|
Delta Air Lines, Inc. (a)
|
|
8,419
|
400
|
|
|
|
|
798
|
|
Personal Care Products (0.7%)
|
|||
|
Olaplex Holdings, Inc. (a)
|
|
222,670
|
828
|
|
Pharmaceuticals (6.0%)
|
|||
|
Bristol-Myers Squibb Co.
|
|
14,317
|
916
|
|
Elanco Animal Health, Inc. (a)
|
|
93,213
|
938
|
|
Jazz Pharmaceuticals PLC (a)
|
|
7,347
|
911
|
|
Organon & Co.
|
|
45,155
|
940
|
|
Perrigo Co. PLC
|
|
27,742
|
942
|
|
Pfizer, Inc.
|
|
24,086
|
883
|
|
Royalty Pharma PLC, Class A (United Kingdom)
|
|
30,200
|
928
|
|
Viatris, Inc.
|
|
93,121
|
929
|
|
|
|
|
7,387
|
|
Professional Services (1.4%)
|
|||
|
Concentrix Corp.
|
|
2,902
|
234
|
|
Dun & Bradstreet Holdings, Inc.
|
|
21,513
|
249
|
|
Jacobs Solutions, Inc.
|
|
2,086
|
248
|
|
Leidos Holdings, Inc.
|
|
2,793
|
247
|
|
ManpowerGroup, Inc.
|
|
3,092
|
246
|
|
Robert Half International, Inc.
|
|
3,334
|
251
|
|
Science Applications International Corp.
|
|
2,209
|
248
|
|
|
|
|
1,723
|
|
Real Estate Management & Development (0.2%)
|
|||
|
Jones Lang LaSalle, Inc. (a)
|
|
1,776
|
277
|
|
Residential REITs (0.4%)
|
|||
|
Apartment Income Corp. REIT
|
|
12,100
|
437
|
|
Retail (0.7%)
|
|||
|
Brixmor Property Group, Inc. REIT
|
|
20,376
|
448
|
|
Spirit Realty Capital, Inc. REIT
|
|
11,066
|
436
|
|
|
|
|
884
|
|
Semiconductors & Semiconductor Equipment (2.7%)
|
|||
|
Analog Devices, Inc.
|
|
2,884
|
562
|
|
Cirrus Logic, Inc. (a)
|
|
7,037
|
570
|
|
Microchip Technology, Inc.
|
|
6,445
|
577
|
|
MKS Instruments, Inc.
|
|
5,188
|
561
|
|
QUALCOMM, Inc.
|
|
4,603
|
548
|
|
Skyworks Solutions, Inc.
|
|
5,125
|
567
|
|
|
|
|
3,385
|
|
Software (1.4%)
|
|||
|
AppLovin Corp., Class A (a)
|
|
11,670
|
300
|
|
Dropbox, Inc., Class A (a)
|
|
10,649
|
284
|
|
Gen Digital, Inc.
|
|
14,903
|
276
|
|
NCR Corp. (a)
|
|
11,103
|
280
|
|
|
|
Shares
|
Value
(000)
|
|
RingCentral, Inc., Class A (a)
|
|
8,328
|
$273
|
|
Zoom Video Communications, Inc., Class A (a)
|
|
4,054
|
275
|
|
|
|
|
1,688
|
|
Specialized REITs (0.4%)
|
|||
|
EPR Properties REIT
|
|
9,753
|
456
|
|
Specialty Retail (1.6%)
|
|||
|
Advance Auto Parts, Inc.
|
|
4,504
|
317
|
|
AutoNation, Inc. (a)
|
|
2,058
|
339
|
|
Lithia Motors, Inc., Class A
|
|
1,118
|
340
|
|
Penske Automotive Group, Inc.
|
|
2,001
|
333
|
|
Victoria's Secret & Co. (a)
|
|
16,781
|
292
|
|
Williams-Sonoma, Inc. (a)
|
|
2,581
|
323
|
|
|
|
|
1,944
|
|
Tech Hardware, Storage & Peripherals (1.1%)
|
|||
|
Dell Technologies, Inc., Class C
|
|
8,890
|
481
|
|
Hewlett Packard Enterprise Co.
|
|
26,275
|
442
|
|
HP, Inc.
|
|
14,826
|
455
|
|
|
|
|
1,378
|
|
Textiles, Apparel & Luxury Goods (0.4%)
|
|||
|
Capri Holdings, Ltd. (Virgin Islands, British) (a)
|
|
6,126
|
220
|
|
PVH Corp.
|
|
2,711
|
230
|
|
|
|
|
450
|
|
Trading Companies & Distributors (1.7%)
|
|||
|
Air Lease Corp.
|
|
12,249
|
513
|
|
Core & Main, Inc., Class A (a)
|
|
17,394
|
545
|
|
United Rentals, Inc.
|
|
1,218
|
542
|
|
WESCO International, Inc.
|
|
2,926
|
524
|
|
|
|
|
2,124
|
|
Total Common Stocks (Cost $118,826)
|
|
117,796
|
|
|
Short-Term Investment (4.6%)
|
|||
|
Investment Company (4.6%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional
Class (b) (Cost $5,670)
|
|
5,669,804
|
5,670
|
|
Total Investments (99.8%) (Cost $124,496)(c)(d)(e)
|
123,466
|
||
|
Other Assets in Excess of Liabilities (0.2%)
|
232
|
||
|
Net Assets (100.0%)
|
$123,698
|
||
|
(a)
|
Non-income producing security.
|
|
(b)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. Advisory fees paid by the Fund are reduced by an amount
equal to its pro-rata share of the advisory and administration fees paid
by the Fund due to its investment in the Liquidity Funds. For the nine
months ended June 30, 2023, advisory fees paid were reduced by
approximately $10,000 relating to the Fund's investment in the
Liquidity Funds.
|
|
(c)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(d)
|
Securities are available for collateral in connection with purchase of
swap agreements.
|
|
(e)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $7,027,000 and the
aggregate gross unrealized depreciation is approximately
$8,035,000, resulting in net unrealized depreciation of approximately
$1,008,000.
|
|
REIT
|
Real Estate Investment Trust.
|
|
Total Return Swap Agreements:
|
||||||||||
|
The Fund had the following total return swap agreements open at June 30, 2023:
|
||||||||||
|
Swap Counterparty
|
Index
|
Pay/
Receive
Total Return
of Reference
Index
|
Floating Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Upfront
Payment
Paid
(Received)
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
JPMorgan Chase Bank NA
|
JPM Russell 1000 Anti-Value
Index††
|
Pay
|
SOFR + 0.15%
|
Quarterly
|
6/25/24
|
$
|
18,282
|
$(412
)
|
$—
|
$(412
)
|
|
JPMorgan Chase Bank NA
|
JPM Russell 1000 Value
Index††
|
Pay
|
SOFR + 0.15%
|
Quarterly
|
6/25/24
|
|
24,303
|
434
|
—
|
434
|
|
|
|
|
|
|
|
|
|
$22
|
$—
|
$22
|
|
††
|
See tables below for details of the equity basket holdings underlying the swaps.
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM Russell 1000 Anti-Value Index as of June 30,
2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM Russell 1000 Anti-Value Index
|
|||
|
Align Technology, Inc.
|
120
|
$43
|
0.52
%
|
|
Alteryx, Inc. - Class A
|
917
|
42
|
0.51
|
|
Amphenol Corp. - Class A
|
490
|
42
|
0.51
|
|
Aon PLC - Class A
|
121
|
42
|
0.51
|
|
Apple, Inc.
|
216
|
42
|
0.51
|
|
Arista Networks, Inc.
|
263
|
43
|
0.52
|
|
Azek Co., Inc.
|
1,449
|
44
|
0.53
|
|
Burlington Stores, Inc.
|
267
|
42
|
0.51
|
|
Coinbase Global, Inc. - Class A
|
685
|
49
|
0.60
|
|
Confluent, Inc. - Class A
|
1,187
|
42
|
0.51
|
|
Datadog, Inc. - Class A
|
429
|
42
|
0.51
|
|
Doordash, Inc. - Class A
|
545
|
42
|
0.51
|
|
Doximity, Inc. - Class A
|
1,261
|
43
|
0.52
|
|
Draftkings, Inc. - Class A
|
1,600
|
42
|
0.52
|
|
Floor & Decor Holdings, Inc. -
Class A
|
413
|
43
|
0.52
|
|
Freshpet, Inc.
|
639
|
42
|
0.51
|
|
Frontier Communications Parent, Inc.
|
2,372
|
44
|
0.54
|
|
Grocery Outlet Holding Corp.
|
1,424
|
43
|
0.53
|
|
Intuitive Surgical, Inc.
|
123
|
42
|
0.51
|
|
Lattice Semiconductor Corp.
|
462
|
44
|
0.54
|
|
Madison Square Garden Sports
Corp.
|
225
|
42
|
0.51
|
|
Manhattan Associates, Inc.
|
209
|
42
|
0.51
|
|
Martin Marietta Materials
|
92
|
42
|
0.52
|
|
Mongodb, Inc.
|
106
|
44
|
0.53
|
|
Monolithic Power Systems, Inc.
|
78
|
42
|
0.51
|
|
Motorola Solutions, Inc.
|
142
|
41
|
0.50
|
|
Mp Materials Corp.
|
1,819
|
42
|
0.51
|
|
Nordson Corp.
|
168
|
42
|
0.51
|
|
Old Dominion Freight Line
|
123
|
45
|
0.55
|
|
Opendoor Technologies, Inc.
|
13,009
|
52
|
0.64
|
|
Pinterest, Inc.- Class A
|
1,594
|
44
|
0.53
|
|
Plug Power, Inc.
|
4,039
|
42
|
0.51
|
|
Rayonier, Inc.
|
1,341
|
42
|
0.51
|
|
Rivian Automotive, Inc. - Class A
|
2,716
|
45
|
0.55
|
|
Roblox Corp. - Class A
|
1,039
|
42
|
0.51
|
|
Ryan Specialty Holdings, Inc.
|
930
|
42
|
0.51
|
|
Sherwin-Williams Co.
|
160
|
43
|
0.52
|
|
Shift4 Payments, Inc. - Class A
|
632
|
43
|
0.52
|
|
Take-Two Interactive Software
|
283
|
42
|
0.51
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM Russell 1000 Anti-Value Index (cont'd)
|
|||
|
Targa Resources Corp.
|
553
|
$42
|
0.51
%
|
|
Toast, Inc. - Class A
|
1,867
|
42
|
0.51
|
|
Transdigm Group, Inc.
|
47
|
42
|
0.52
|
|
Trex Company, Inc.
|
665
|
44
|
0.53
|
|
Vornado Realty Trust
|
2,543
|
46
|
0.56
|
|
Vulcan Materials Co.
|
189
|
42
|
0.52
|
|
Wayfair, Inc. - Class A
|
719
|
47
|
0.57
|
|
Williams Cos, Inc.
|
1,285
|
42
|
0.51
|
|
Wolfspeed, Inc.
|
782
|
43
|
0.53
|
|
Yeti Holdings, Inc.
|
1,113
|
43
|
0.53
|
|
Zoominfo Technologies, Inc.
|
1,648
|
42
|
0.51
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM Russell 1000 Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM Russell 1000 Value Index
|
|
|
|
|
Affiliated Managers Group, Inc.
|
442
|
$66
|
0.67
%
|
|
Altice USA, Inc. - Class A
|
32,859
|
99
|
1.00
|
|
Antero Resources Corp.
|
4,183
|
96
|
0.97
|
|
Archer-Daniels-Midland Co.
|
896
|
68
|
0.68
|
|
AT&T, Inc.
|
11,583
|
185
|
1.87
|
|
Avantor, Inc.
|
4,300
|
88
|
0.89
|
|
Bristol-Myers Squibb Co.
|
1,295
|
83
|
0.84
|
|
Bunge Ltd.
|
716
|
67
|
0.68
|
|
Charter Communications, Inc. -
Class A
|
234
|
86
|
0.87
|
|
Citizens Financial Group, Inc.
|
3,313
|
86
|
0.87
|
|
Comcast Corp. - Class A
|
1,909
|
79
|
0.80
|
|
Comerica, Inc.
|
2,122
|
90
|
0.91
|
|
Corebridge Financial, Inc.
|
3,913
|
69
|
0.70
|
|
Dish Network Corp. - Class A
|
11,966
|
79
|
0.80
|
|
Elanco Animal Health, Inc.
|
8,456
|
85
|
0.86
|
|
EQT Corp.
|
2,301
|
95
|
0.96
|
|
Equitable Holdings, Inc.
|
2,442
|
66
|
0.67
|
|
Fox Corp. - Class A
|
2,341
|
80
|
0.80
|
|
Fox Corp. - Class B
|
2,506
|
80
|
0.81
|
|
Gilead Sciences, Inc.
|
1,092
|
84
|
0.85
|
|
HF Sinclair Corp.
|
2,039
|
91
|
0.92
|
|
Invesco Ltd.
|
3,914
|
66
|
0.66
|
|
Jazz Pharmaceuticals PLC
|
663
|
82
|
0.83
|
|
KeyCorp
|
9,081
|
84
|
0.85
|
|
Liberty Media Corp.-Liberty SiriusXM
- Class A
|
2,560
|
84
|
0.85
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM Russell 1000 Value Index
(cont'd)
|
|
|
|
|
Liberty Media Corp.-Liberty SiriusXM
- Class C
|
2,567
|
$84
|
0.85
%
|
|
Marathon Oil Corp.
|
3,931
|
90
|
0.91
|
|
Marathon Petroleum Corp.
|
808
|
94
|
0.95
|
|
MGIC Investment Corp.
|
4,226
|
67
|
0.67
|
|
New York Community Bancorp.
|
8,329
|
94
|
0.95
|
|
Nexstar Media Group, Inc.
|
478
|
80
|
0.80
|
|
Olaplex Holdings, Inc.
|
19,599
|
73
|
0.74
|
|
Onemain Holdings Inc
|
1,509
|
66
|
0.67
|
|
Organon & Co.
|
4,122
|
86
|
0.87
|
|
Ovintiv, Inc.
|
2,468
|
94
|
0.95
|
|
Performance Food Group Co.
|
1,089
|
66
|
0.66
|
|
Perrigo Co. PLC
|
2,505
|
85
|
0.86
|
|
Pfizer, Inc.
|
2,176
|
80
|
0.81
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM Russell 1000 Value Index
(cont'd)
|
|
|
|
|
Phillips 66
|
969
|
$92
|
0.93
%
|
|
Popular, Inc.
|
1,472
|
89
|
0.90
|
|
Post Holdings, Inc.
|
773
|
67
|
0.68
|
|
Reynolds Consumer Products, Inc.
|
2,463
|
70
|
0.70
|
|
Royalty Pharma PLC - Class A
|
2,736
|
84
|
0.85
|
|
Synchrony Financial
|
1,965
|
67
|
0.67
|
|
United Therapeutics Corp.
|
381
|
84
|
0.85
|
|
Valero Energy Corp.
|
810
|
95
|
0.96
|
|
Viatris, Inc.
|
8,467
|
84
|
0.85
|
|
Vistra Corp.
|
2,590
|
68
|
0.69
|
|
Western Alliance Bancorp.
|
2,436
|
89
|
0.90
|
|
Zions Bancorp NA
|
3,187
|
86
|
0.86
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Other*
|
69.9
%
|
|
Media
|
6.8
|
|
Oil, Gas & Consumable Fuels
|
6.7
|
|
Pharmaceuticals
|
6.0
|
|
Banks
|
5.5
|
|
Health Care Providers & Services
|
5.1
|
|
Total Investments
|
100.0
%**
|
|
*
|
Industries and/or investment types representing less than 5% of total investments.
|
|
**
|
Does not include open swap agreements with net unrealized appreciation of
approximately $22,000.
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Fixed Income Securities (46.9%)
|
|||
|
Agency Fixed Rate Mortgages (3.9%)
|
|||
|
United States (3.9%)
|
|
|
|
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
Conventional Pools:
|
|
|
|
|
2.50%, 4/1/52
|
$
|
2,493
|
$2,045
|
|
4.50%, 1/1/49
|
|
59
|
57
|
|
Gold Pools:
|
|
|
|
|
3.50%, 1/1/44 - 6/1/45
|
|
475
|
442
|
|
4.50%, 1/1/49
|
|
16
|
15
|
|
6.50%, 5/1/32
|
|
20
|
21
|
|
7.50%, 5/1/35
|
|
1
|
2
|
|
Federal National Mortgage Association,
|
|
|
|
|
6.00%, 7/13/53
|
|
2,200
|
2,220
|
|
Conventional Pools:
|
|
|
|
|
2.00%, 3/1/52
|
|
1,863
|
1,521
|
|
2.50%, 9/1/52
|
|
2,949
|
2,502
|
|
3.00%, 7/1/49 - 6/1/52
|
|
5,183
|
4,576
|
|
3.50%, 3/1/47 - 1/1/51
|
|
1,021
|
940
|
|
4.00%, 4/1/45 - 9/1/45
|
|
499
|
476
|
|
4.50%, 3/1/41 - 11/1/44
|
|
82
|
81
|
|
5.00%, 1/1/41 - 3/1/41
|
|
210
|
211
|
|
6.00%, 1/1/38
|
|
2
|
2
|
|
6.50%, 12/1/29
|
|
4
|
4
|
|
7.50%, 8/1/37
|
|
3
|
3
|
|
July TBA
|
|
|
|
|
3.00%, 7/1/53 (a)
|
|
300
|
264
|
|
4.00%, 7/1/53 (a)
|
|
300
|
282
|
|
5.00%, 7/1/53 (a)
|
|
2,850
|
2,793
|
|
5.50%, 7/1/53 (a)
|
|
575
|
572
|
|
Government National Mortgage Association,
|
|
|
|
|
Various Pools:
|
|
|
|
|
4.00%, 8/20/41 - 11/20/42
|
|
125
|
120
|
|
4.50%, 6/20/49
|
|
25
|
24
|
|
5.00%, 2/20/49 - 6/20/49
|
|
59
|
58
|
|
5.50%, 8/15/39
|
|
15
|
15
|
|
|
19,246
|
||
|
Asset-Backed Securities (0.2%)
|
|
|
|
|
United States (0.2%)
|
|
|
|
|
Harbor Group International LLC,
|
|
|
|
|
1 Month USD LIBOR + 1.00%,
6.16%, 9/17/36 (b)(c)
|
|
446
|
432
|
|
Renaissance Home Equity Loan Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.76%,
5.91%, 12/25/32 (c)
|
|
490
|
450
|
|
SASCO Mortgage Loan Trust,
|
|
|
|
|
1 Month USD LIBOR + 2.18%,
4.45%, 5/25/34 (c)
|
|
107
|
105
|
|
SLM Student Loan Trust,
|
|
|
|
|
3 Month EURIBOR + 0.55%,
3.81%, 7/25/39 (c)
|
EUR
|
298
|
307
|
|
|
|
|
1,294
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Commercial Mortgage-Backed Securities (0.4%)
|
|||
|
United Kingdom (0.0%)‡
|
|
|
|
|
Taurus 2018-2 UK DAC,
|
|
|
|
|
3 Month GBP SONIA + 1.22%,
5.97%, 5/22/28 (c)
|
GBP
|
145
|
$184
|
|
United States (0.4%)
|
|
|
|
|
Ashford Hospitality Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.85%,
7.17%, 6/15/35 (b)(c)
|
$
|
250
|
241
|
|
Commercial Mortgage Trust,
|
|
|
|
|
4.89%, 7/15/47 (b)(c)
|
|
152
|
136
|
|
Life Mortgage Trust,
|
|
|
|
|
1 Month Term SOFR +1.30%,
6.44%, 5/15/39 (b)(c)
|
|
500
|
491
|
|
Taubman Centers Commercial Mortgage Trust,
|
|
|
|
|
1 Month Term SOFR + 2.19%,
7.33%, 5/15/37 (b)(c)
|
|
500
|
488
|
|
WFRBS Commercial Mortgage Trust,
|
|
|
|
|
4.15%, 10/15/57 (b)(c)
|
|
200
|
124
|
|
5.16%, 9/15/46 (b)(c)
|
|
375
|
333
|
|
|
|
|
1,813
|
|
|
1,997
|
||
|
Corporate Bonds (9.1%)
|
|
|
|
|
Australia (0.5%)
|
|
|
|
|
Australia & New Zealand Banking Group Ltd.,
|
|
|
|
|
2.57%, 11/25/35 (b)
|
|
600
|
456
|
|
Commonwealth Bank of Australia,
|
|
|
|
|
1.94%, 10/3/29
|
EUR
|
400
|
416
|
|
NBN Co. Ltd.,
|
|
|
|
|
2.63%, 5/5/31 (b)
|
$
|
575
|
483
|
|
Transurban Finance Co. Pty Ltd.,
|
|
|
|
|
2.00%, 8/28/25
|
EUR
|
350
|
365
|
|
Westpac Banking Corp.,
|
|
|
|
|
2.67%, 11/15/35
|
$
|
650
|
499
|
|
|
|
|
2,219
|
|
Canada (0.6%)
|
|
|
|
|
Province of Ontario Canada,
|
|
|
|
|
2.30%, 6/15/26
|
|
970
|
906
|
|
Province of Quebec Canada,
|
|
|
|
|
0.00%, 10/29/30
|
EUR
|
1,390
|
1,192
|
|
Rogers Communications, Inc.,
|
|
|
|
|
3.80%, 3/15/32 (b)
|
$
|
1,025
|
897
|
|
|
|
|
2,995
|
|
China (0.1%)
|
|
|
|
|
Alibaba Group Holding Ltd.,
|
|
|
|
|
2.13%, 2/9/31
|
|
400
|
326
|
|
France (0.9%)
|
|
|
|
|
AXA SA,
|
|
|
|
|
3.25%, 5/28/49
|
EUR
|
500
|
489
|
|
Banque Federative du Credit Mutuel SA,
|
|
|
|
|
0.75%, 7/17/25
|
|
400
|
406
|
|
3.75%, 2/1/33
|
|
600
|
636
|
|
BNP Paribas SA,
|
|
|
|
|
1.13%, 6/11/26
|
|
485
|
487
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
France (cont'd)
|
|
|
|
|
1.25%, 7/13/31
|
GBP
|
200
|
$175
|
|
4.38%, 1/13/29
|
EUR
|
400
|
435
|
|
BPCE SA,
|
|
|
|
|
4.00%, 11/29/32
|
|
200
|
215
|
|
5.15%, 7/21/24 (b)
|
$
|
925
|
909
|
|
Credit Agricole SA,
|
|
|
|
|
3.88%, 11/28/34
|
EUR
|
300
|
325
|
|
Orange SA,
|
|
|
|
|
5.00%, 10/1/26 (d)
|
|
250
|
272
|
|
|
|
|
4,349
|
|
Germany (0.4%)
|
|
|
|
|
Deutsche Bank AG,
|
|
|
|
|
2.22%, 9/18/24
|
$
|
250
|
247
|
|
Series E
|
|
|
|
|
0.96%, 11/8/23
|
|
375
|
367
|
|
Kreditanstalt fuer Wiederaufbau,
|
|
|
|
|
1.13%, 9/15/32
|
EUR
|
920
|
860
|
|
Volkswagen International Finance NV,
|
|
|
|
|
Series 10Y
|
|
|
|
|
1.88%, 3/30/27
|
|
500
|
501
|
|
|
|
|
1,975
|
|
Ireland (0.1%)
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust,
|
|
|
|
|
2.45%, 10/29/26
|
$
|
425
|
380
|
|
Italy (0.1%)
|
|
|
|
|
Assicurazioni Generali SpA,
|
|
|
|
|
5.50%, 10/27/47
|
EUR
|
400
|
440
|
|
Japan (0.1%)
|
|
|
|
|
NTT Finance Corp.,
|
|
|
|
|
1.59%, 4/3/28 (b)
|
$
|
800
|
686
|
|
Korea, Republic of (0.4%)
|
|
|
|
|
Korea Electric Power Corp.,
|
|
|
|
|
2.50%, 6/24/24 (b)
|
|
810
|
785
|
|
Korea Hydro & Nuclear Power Co. Ltd.,
|
|
|
|
|
3.75%, 7/25/23 (b)
|
|
510
|
510
|
|
Korea Southern Power Co. Ltd.,
|
|
|
|
|
0.75%, 1/27/26 (b)
|
|
730
|
646
|
|
|
|
|
1,941
|
|
Luxembourg (0.1%)
|
|
|
|
|
Blackstone Property Partners Europe Holdings
Sarl,
|
|
|
|
|
1.25%, 4/26/27
|
EUR
|
400
|
349
|
|
Logicor Financing Sarl,
|
|
|
|
|
1.50%, 7/13/26
|
|
300
|
283
|
|
|
|
|
632
|
|
Netherlands (0.1%)
|
|
|
|
|
ASR Nederland NV,
|
|
|
|
|
5.00%, 9/30/24 (d)
|
|
425
|
457
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Spain (0.2%)
|
|
|
|
|
Banco Santander SA,
|
|
|
|
|
3.13%, 1/19/27
|
EUR
|
400
|
$417
|
|
5.18%, 11/19/25
|
$
|
800
|
777
|
|
|
|
|
1,194
|
|
Sweden (0.1%)
|
|
|
|
|
Akelius Residential Property Financing BV,
|
|
|
|
|
1.13%, 1/11/29
|
EUR
|
400
|
337
|
|
United Arab Emirates (0.1%)
|
|
|
|
|
Galaxy Pipeline Assets Bidco Ltd.,
|
|
|
|
|
2.63%, 3/31/36 (b)
|
$
|
650
|
526
|
|
United Kingdom (0.7%)
|
|
|
|
|
BAT Capital Corp.,
|
|
|
|
|
3.56%, 8/15/27
|
|
675
|
621
|
|
HSBC Holdings PLC,
|
|
|
|
|
2.26%, 11/13/26
|
GBP
|
300
|
340
|
|
2.63%, 11/7/25
|
$
|
525
|
499
|
|
6.16%, 3/9/29
|
|
525
|
530
|
|
Lloyds Banking Group PLC,
|
|
|
|
|
1.75%, 9/7/28
|
EUR
|
330
|
357
|
|
2.25%, 10/16/24
|
GBP
|
400
|
481
|
|
National Grid Electricity Distribution West
Midlands PLC,
|
|
|
|
|
5.75%, 4/16/32
|
|
200
|
248
|
|
Nationwide Building Society,
|
|
|
|
|
4.36%, 8/1/24 (b)
|
$
|
200
|
200
|
|
NGG Finance PLC,
|
|
|
|
|
5.63%, 6/18/73
|
GBP
|
350
|
423
|
|
|
|
|
3,699
|
|
United States (4.6%)
|
|
|
|
|
Amazon.com, Inc.,
|
|
|
|
|
3.10%, 5/12/51
|
$
|
250
|
187
|
|
AT&T, Inc.,
|
|
|
|
|
1.80%, 9/5/26
|
EUR
|
400
|
408
|
|
2.90%, 12/4/26
|
GBP
|
350
|
396
|
|
Bank of America Corp.,
|
|
|
|
|
2.69%, 4/22/32
|
$
|
325
|
269
|
|
3.85%, 3/8/37
|
|
100
|
86
|
|
4.38%, 4/27/28
|
|
575
|
552
|
|
4.57%, 4/27/33
|
|
625
|
588
|
|
CDW LLC/CDW Finance Corp.,
|
|
|
|
|
2.67%, 12/1/26
|
|
100
|
90
|
|
Celanese U.S. Holdings LLC,
|
|
|
|
|
6.17%, 7/15/27
|
|
750
|
747
|
|
Centene Corp.,
|
|
|
|
|
2.50%, 3/1/31
|
|
1,050
|
838
|
|
Charles Schwab Corp.,
|
|
|
|
|
5.85%, 5/19/34
|
|
485
|
493
|
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital,
|
|
|
|
|
2.80%, 4/1/31
|
|
275
|
221
|
|
3.50%, 3/1/42
|
|
125
|
84
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
United States (cont'd)
|
|
|
|
|
5.13%, 7/1/49
|
$
|
250
|
$197
|
|
6.38%, 10/23/35
|
|
150
|
146
|
|
Chubb INA Holdings, Inc.,
|
|
|
|
|
0.88%, 6/15/27
|
EUR
|
400
|
386
|
|
Citigroup, Inc.,
|
|
|
|
|
3.06%, 1/25/33
|
$
|
300
|
251
|
|
3.79%, 3/17/33
|
|
975
|
862
|
|
Comcast Corp.,
|
|
|
|
|
1.95%, 1/15/31
|
|
675
|
553
|
|
Deere & Co.,
|
|
|
|
|
3.10%, 4/15/30
|
|
450
|
412
|
|
Dick's Sporting Goods, Inc.,
|
|
|
|
|
4.10%, 1/15/52
|
|
360
|
250
|
|
Enterprise Products Operating LLC,
|
|
|
|
|
3.95%, 1/31/60
|
|
275
|
212
|
|
5.35%, 1/31/33
|
|
200
|
203
|
|
Estee Lauder Cos., Inc.,
|
|
|
|
|
4.65%, 5/15/33
|
|
475
|
467
|
|
Fidelity National Information Services, Inc.,
|
|
|
|
|
1.65%, 3/1/28
|
|
700
|
591
|
|
Foundry JV Holdco LLC,
|
|
|
|
|
5.88%, 1/25/34 (b)
|
|
275
|
274
|
|
Georgia-Pacific LLC,
|
|
|
|
|
2.30%, 4/30/30 (b)
|
|
950
|
809
|
|
Goldman Sachs Group, Inc.,
|
|
|
|
|
2.62%, 4/22/32
|
|
775
|
636
|
|
HCA, Inc.,
|
|
|
|
|
4.63%, 3/15/52 (b)
|
|
400
|
329
|
|
Intel Corp.,
|
|
|
|
|
5.70%, 2/10/53
|
|
375
|
382
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc.,
|
|
|
|
|
2.50%, 1/15/27 (b)
|
|
350
|
307
|
|
Jersey Central Power & Light Co.,
|
|
|
|
|
2.75%, 3/1/32 (b)
|
|
500
|
413
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
2.55%, 11/8/32
|
|
1,150
|
943
|
|
Level 3 Financing, Inc.,
|
|
|
|
|
3.40%, 3/1/27 (b)
|
|
550
|
467
|
|
Lowe's Cos., Inc.,
|
|
|
|
|
1.30%, 4/15/28
|
|
425
|
359
|
|
1.70%, 10/15/30
|
|
475
|
381
|
|
Marriott International, Inc.,
|
|
|
|
|
4.90%, 4/15/29
|
|
200
|
195
|
|
Medtronic Global Holdings SCA,
|
|
|
|
|
1.00%, 7/2/31
|
EUR
|
250
|
222
|
|
Metropolitan Life Global Funding I,
|
|
|
|
|
2.95%, 4/9/30 (b)
|
$
|
575
|
497
|
|
5.15%, 3/28/33 (b)
|
|
300
|
297
|
|
Micron Technology, Inc.,
|
|
|
|
|
5.88%, 9/15/33
|
|
675
|
669
|
|
NextEra Energy Capital Holdings, Inc.,
|
|
|
|
|
2.75%, 11/1/29
|
|
1,225
|
1,063
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
|
ONEOK, Inc.,
|
|
|
|
|
6.10%, 11/15/32
|
$
|
475
|
$483
|
|
Prologis Euro Finance LLC,
|
|
|
|
|
1.88%, 1/5/29
|
EUR
|
300
|
286
|
|
Republic Services, Inc.,
|
|
|
|
|
5.00%, 4/1/34
|
$
|
275
|
275
|
|
Thermo Fisher Scientific Finance I BV,
|
|
|
|
|
2.00%, 10/18/51
|
EUR
|
100
|
72
|
|
Thermo Fisher Scientific, Inc.,
|
|
|
|
|
0.88%, 10/1/31
|
|
650
|
569
|
|
1.88%, 10/1/49
|
|
100
|
71
|
|
Truist Financial Corp.,
|
|
|
|
|
SOFR + 2.36%,
5.87%, 6/8/34
|
$
|
575
|
576
|
|
U.S. Bancorp,
|
|
|
|
|
5.84%, 6/12/34
|
|
400
|
403
|
|
Upjohn Finance BV,
|
|
|
|
|
1.91%, 6/23/32
|
EUR
|
550
|
463
|
|
Verizon Communications, Inc.,
|
|
|
|
|
1.13%, 11/3/28
|
GBP
|
300
|
296
|
|
3.40%, 3/22/41
|
$
|
375
|
290
|
|
Vontier Corp.,
|
|
|
|
|
2.40%, 4/1/28
|
|
250
|
209
|
|
Walt Disney Co.,
|
|
|
|
|
2.65%, 1/13/31
|
|
300
|
261
|
|
Warnermedia Holdings, Inc.,
|
|
|
|
|
4.28%, 3/15/32
|
|
775
|
688
|
|
5.05%, 3/15/42
|
|
125
|
105
|
|
Wells Fargo & Co.,
|
|
|
|
|
MTN
|
|
|
|
|
2.88%, 10/30/30
|
|
375
|
324
|
|
|
|
|
23,103
|
|
|
|
|
45,259
|
|
Mortgages - Other (1.3%)
|
|
|
|
|
Germany (0.0%)‡
|
|
|
|
|
Berg Finance DAC,
|
|
|
|
|
3 Month EURIBOR + 1.05%,
4.26%, 4/22/33 (c)
|
EUR
|
78
|
79
|
|
Ireland (0.1%)
|
|
|
|
|
Glenbeigh 2 Issuer 2021-2 DAC,
|
|
|
|
|
3 Month EURIBOR + 0.75%,
4.35%, 6/24/50 (b)(c)
|
|
339
|
368
|
|
Netherlands (0.0%)‡
|
|
|
|
|
E-MAC NL 2006-II BV,
|
|
|
|
|
3 Month EURIBOR + 0.13%,
4.48%, 1/25/39 (c)
|
|
129
|
129
|
|
United Kingdom (0.1%)
|
|
|
|
|
Great Hall Mortgages No. 1 PLC,
|
|
|
|
|
3 Month EURIBOR + 0.25%,
3.80%, 6/18/38 (c)
|
|
200
|
208
|
|
Landmark Mortgage Securities No. 3 PLC,
|
|
|
|
|
3 Month GBP SONIA + 2.22%,
6.69%, 4/17/44 (c)
|
GBP
|
173
|
202
|
|
|
|
|
410
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
United States (1.1%)
|
|
|
|
|
Banc of America Alternative Loan Trust,
|
|
|
|
|
6.36%, 10/25/36
|
$
|
22
|
$7
|
|
Bayview MSR Opportunity Master Fund Trust,
|
|
|
|
|
3.00%, 1/25/52 (b)(c)
|
|
645
|
542
|
|
BX Commercial Mortgage Trust,
|
|
|
|
|
1 Month Term SOFR + 2.28%,
7.43%, 6/15/40 (b)(c)
|
|
400
|
399
|
|
ChaseFlex Trust,
|
|
|
|
|
6.00%, 2/25/37
|
|
20
|
8
|
|
Federal Home Loan Mortgage Corp. Whole
Loan Securities Trust,
|
|
|
|
|
3.00%, 9/25/45
|
|
49
|
43
|
|
3.00%, 7/25/46
|
|
17
|
15
|
|
3.00%, 12/25/46
|
|
61
|
53
|
|
3.00%, 5/25/47
|
|
111
|
96
|
|
3.50%, 5/25/45
|
|
18
|
16
|
|
3.50%, 9/25/45
|
|
40
|
36
|
|
3.50%, 7/25/46
|
|
24
|
22
|
|
4.00%, 5/25/45
|
|
5
|
4
|
|
GS Mortgage-Backed Securities Trust,
|
|
|
|
|
2.50%, 1/25/52 (b)(c)
|
|
514
|
415
|
|
GSR Mortgage Loan Trust,
|
|
|
|
|
5.75%, 1/25/37
|
|
7
|
4
|
|
Hundred Acre Wood Trust,
|
|
|
|
|
2.50%, 12/25/51 (b)(c)
|
|
448
|
358
|
|
JP Morgan Mortgage Trust,
|
|
|
|
|
3.00%, 4/25/52 (b)(c)
|
|
496
|
417
|
|
3.00%, 9/25/52 (b)(c)
|
|
539
|
453
|
|
3.25%, 7/25/52 (b)(c)
|
|
631
|
536
|
|
Lehman Mortgage Trust,
|
|
|
|
|
6.50%, 9/25/37
|
|
17
|
6
|
|
Mello Mortgage Capital Acceptance,
|
|
|
|
|
2.50%, 8/25/51 (b)(c)
|
|
517
|
414
|
|
Onslow Bay Financial LLC, Class A1
|
|
|
|
|
3.00%, 1/25/52 (b)(c)
|
|
498
|
414
|
|
PRKCM 2023-AFC1 Trust, Class A1
|
|
|
|
|
6.60%, 2/25/58 (b)
|
|
372
|
375
|
|
PRMI Securitization Trust,
|
|
|
|
|
2.50%, 4/25/51 (b)(c)
|
|
597
|
477
|
|
Seasoned Credit Risk Transfer Trust,
|
|
|
|
|
3.00%, 7/25/58
|
|
230
|
201
|
|
3.00%, 10/25/58
|
|
26
|
23
|
|
4.00%, 10/25/58
|
|
26
|
24
|
|
|
|
|
5,358
|
|
|
|
|
6,344
|
|
Municipal Bond (0.0%)‡%)
|
|
|
|
|
United States (0.0%)‡%)
|
|
|
|
|
University of Michigan, MI,
|
|
|
|
|
Series A
|
|
|
|
|
4.45%, 4/1/2122(Cost $300)
|
|
300
|
261
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Sovereign (25.7%)
|
|
|
|
|
Australia (0.4%)
|
|
|
|
|
Australia Government Bond,
|
|
|
|
|
1.25%, 5/21/32
|
AUD
|
4,030
|
$2,134
|
|
Austria (0.1%)
|
|
|
|
|
Republic of Austria Government Bond,
|
|
|
|
|
0.00%, 2/20/30 (b)
|
EUR
|
360
|
324
|
|
Belgium (0.3%)
|
|
|
|
|
Kingdom of Belgium Government Bond,
|
|
|
|
|
0.90%, 6/22/29 (b)
|
|
170
|
166
|
|
1.70%, 6/22/50 (b)
|
|
480
|
372
|
|
Series 99
|
|
|
|
|
3.45%, 6/22/43 (b)
|
|
650
|
717
|
|
|
|
|
1,255
|
|
Brazil (2.1%)
|
|
|
|
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
10.00%, 1/1/27
|
BRL
|
49,889
|
10,361
|
|
Canada (1.2%)
|
|
|
|
|
Canadian Government Bond,
|
|
|
|
|
1.25%, 6/1/30
|
CAD
|
1,410
|
925
|
|
2.00%, 12/1/51
|
|
100
|
60
|
|
2.25%, 6/1/29
|
|
5,220
|
3,700
|
|
2.50%, 12/1/32
|
|
1,890
|
1,337
|
|
|
|
|
6,022
|
|
China (6.5%)
|
|
|
|
|
Agricultural Development Bank of China,
|
|
|
|
|
2.25%, 4/22/25
|
CNY
|
3,600
|
495
|
|
3.79%, 10/26/30
|
|
3,430
|
503
|
|
China Development Bank,
|
|
|
|
|
3.07%, 3/10/30
|
|
7,380
|
1,034
|
|
3.34%, 7/14/25
|
|
3,430
|
481
|
|
China Government Bond,
|
|
|
|
|
2.37%, 1/20/27
|
|
16,900
|
2,325
|
|
2.76%, 5/15/32
|
|
133,930
|
18,475
|
|
2.80%, 11/15/32
|
|
8,400
|
1,164
|
|
3.12%, 10/25/52
|
|
720
|
100
|
|
3.13%, 11/21/29
|
|
20,150
|
2,857
|
|
3.27%, 11/19/30
|
|
17,160
|
2,476
|
|
3.52%, 4/25/46
|
|
1,430
|
211
|
|
3.53%, 10/18/51
|
|
1,300
|
194
|
|
3.81%, 9/14/50
|
|
4,070
|
634
|
|
3.86%, 7/22/49
|
|
6,000
|
939
|
|
Export-Import Bank of China,
|
|
|
|
|
2.93%, 3/2/25
|
|
3,470
|
482
|
|
|
|
|
32,370
|
|
Czech Republic (0.0%)‡
|
|
|
|
|
Czech Republic Government Bond,
|
|
|
|
|
1.20%, 3/13/31
|
CZK
|
6,000
|
219
|
|
Denmark (0.1%)
|
|
|
|
|
Denmark Government Bond,
|
|
|
|
|
0.50%, 11/15/27
|
DKK
|
3,000
|
398
|
|
Finland (0.1%)
|
|
|
|
|
Finland Government Bond,
|
|
|
|
|
1.13%, 4/15/34 (b)
|
EUR
|
370
|
335
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
France (1.7%)
|
|
|
|
|
Agence Francaise de Developpement EPIC,
|
|
|
|
|
1.50%, 10/31/34
|
EUR
|
500
|
$455
|
|
Banque Federative du Credit Mutuel SA,
|
|
|
|
|
1.25%, 12/5/25
|
GBP
|
400
|
446
|
|
French Republic Government Bond OAT,
|
|
|
|
|
0.00%, 11/25/29
|
EUR
|
7,130
|
6,508
|
|
2.00%, 5/25/48 (b)
|
|
930
|
802
|
|
SNCF Reseau,
|
|
|
|
|
1.88%, 3/30/34
|
|
400
|
378
|
|
|
|
|
8,589
|
|
Germany (1.5%)
|
|
|
|
|
Bundesrepublik Deutschland Bundesanleihe,
|
|
|
|
|
0.00%, 8/15/31 - 5/15/36
|
|
3,280
|
2,951
|
|
0.25%, 2/15/29
|
|
1,630
|
1,573
|
|
4.25%, 7/4/39
|
|
1,230
|
1,649
|
|
State of North Rhine-Westphalia Germany,
|
|
|
|
|
1.65%, 2/22/38
|
|
1,500
|
1,349
|
|
|
|
|
7,522
|
|
Greece (2.6%)
|
|
|
|
|
Hellenic Republic Government Bonds,
|
|
|
|
|
4.25%, 6/15/33 (b)
|
|
11,431
|
13,072
|
|
Hong Kong (0.0%)‡%)
|
|
|
|
|
Hong Kong Government International Bond,
|
|
|
|
|
2.50%, 5/28/24 (b)
|
$
|
250
|
244
|
|
Hungary (0.1%)
|
|
|
|
|
Hungary Government Bond,
|
|
|
|
|
Series 30/A
|
|
|
|
|
3.00%, 8/21/30
|
HUF
|
51,360
|
118
|
|
Series 32/A
|
|
|
|
|
4.75%, 11/24/32
|
|
109,610
|
273
|
|
Series 32/G
|
|
|
|
|
4.50%, 5/27/32
|
|
63,030
|
155
|
|
|
|
|
546
|
|
Indonesia (0.4%)
|
|
|
|
|
Indonesia Treasury Bond,
|
|
|
|
|
6.50%, 2/15/31
|
IDR
|
4,104,000
|
276
|
|
8.25%, 5/15/29
|
|
1,408,000
|
104
|
|
8.38%, 3/15/34
|
|
14,072,000
|
1,081
|
|
Series FR65
|
|
|
|
|
6.63%, 5/15/33
|
|
7,500,000
|
509
|
|
|
|
|
1,970
|
|
Ireland (0.1%)
|
|
|
|
|
Ireland Government Bond,
|
|
|
|
|
0.20%, 10/18/30
|
EUR
|
410
|
372
|
|
Italy (0.6%)
|
|
|
|
|
Italy Buoni Poliennali Del Tesoro,
|
|
|
|
|
0.45%, 2/15/29
|
|
160
|
146
|
|
2.50%, 12/1/32
|
|
1,070
|
1,038
|
|
4.45%, 9/1/43 (b)
|
|
1,052
|
1,167
|
|
Republic of Italy Government International
Bond,
|
|
|
|
|
0.88%, 5/6/24
|
$
|
745
|
713
|
|
|
|
|
3,064
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Japan (4.1%)
|
|
|
|
|
Japan Government Five Year Bond,
|
|
|
|
|
0.10%, 6/20/24
|
JPY
|
605,000
|
$4,202
|
|
Japan Government Ten Year Bond,
|
|
|
|
|
0.10%, 6/20/26 - 6/20/31
|
|
744,000
|
5,122
|
|
Japan Government Thirty Year Bond,
|
|
|
|
|
0.30%, 6/20/46
|
|
224,000
|
1,307
|
|
0.40%, 9/20/49
|
|
131,000
|
746
|
|
0.60%, 6/20/50
|
|
165,300
|
982
|
|
1.70%, 6/20/33
|
|
627,800
|
4,892
|
|
Japan Government Twenty Year Bond,
|
|
|
|
|
0.40%, 6/20/41
|
|
466,000
|
2,952
|
|
|
|
|
20,203
|
|
Korea, Republic of (0.3%)
|
|
|
|
|
Export-Import Bank of Korea,
|
|
|
|
|
0.63%, 2/9/26
|
$
|
640
|
566
|
|
2.38%, 6/25/24
|
|
510
|
495
|
|
Korea Development Bank,
|
|
|
|
|
0.80%, 7/19/26
|
|
590
|
513
|
|
|
|
|
1,574
|
|
Malaysia (0.3%)
|
|
|
|
|
Malaysia Government Bond,
|
|
|
|
|
Series 0219
|
|
|
|
|
3.89%, 8/15/29
|
MYR
|
2,330
|
502
|
|
Series 0122
|
|
|
|
|
3.58%, 7/15/32
|
|
1,200
|
252
|
|
Petronas Capital Ltd.,
|
|
|
|
|
3.50%, 3/18/25 (b)
|
$
|
875
|
845
|
|
|
|
|
1,599
|
|
Mexico (0.3%)
|
|
|
|
|
Mexican Bonos,
|
|
|
|
|
Series M
|
|
|
|
|
7.50%, 6/3/27
|
MXN
|
6,000
|
334
|
|
7.75%, 5/29/31
|
|
18,000
|
995
|
|
8.50%, 5/31/29
|
|
5,900
|
341
|
|
|
|
|
1,670
|
|
Netherlands (0.3%)
|
|
|
|
|
Nederlandse Waterschapsbank NV,
|
|
|
|
|
1.00%, 5/28/30 (b)
|
$
|
376
|
303
|
|
Netherlands Government Bond,
|
|
|
|
|
0.00%, 7/15/30 (b)
|
EUR
|
970
|
879
|
|
2.75%, 1/15/47 (b)
|
|
90
|
100
|
|
|
|
|
1,282
|
|
New Zealand (0.3%)
|
|
|
|
|
New Zealand Government Bond,
|
|
|
|
|
Series 0530
|
|
|
|
|
4.50%, 5/15/30
|
NZD
|
1,300
|
794
|
|
Series 0534
|
|
|
|
|
4.25%, 5/15/34
|
|
900
|
533
|
|
|
|
|
1,327
|
|
Nigeria (0.0%)‡
|
|
|
|
|
Africa Finance Corp.,
|
|
|
|
|
4.38%, 4/17/26 (b)
|
$
|
200
|
186
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Norway (0.0%)‡
|
|
|
|
|
Norway Government Bond,
|
|
|
|
|
2.13%, 5/18/32 (b)
|
NOK
|
790
|
$65
|
|
Saudi Arabia (0.2%)
|
|
|
|
|
KSA Sukuk Ltd.,
|
|
|
|
|
4.51%, 5/22/33 (b)
|
$
|
814
|
801
|
|
Singapore (0.1%)
|
|
|
|
|
Singapore Government Bond,
|
|
|
|
|
2.63%, 8/1/32
|
SGD
|
430
|
307
|
|
Spain (0.9%)
|
|
|
|
|
Spain Government Bond,
|
|
|
|
|
0.00%, 5/31/25 - 1/31/28 (b)
|
EUR
|
2,460
|
2,471
|
|
0.70%, 4/30/32 (b)
|
|
108
|
95
|
|
1.25%, 10/31/30 (b)
|
|
955
|
907
|
|
2.70%, 10/31/48 (b)
|
|
410
|
369
|
|
3.45%, 7/30/66 (b)
|
|
120
|
119
|
|
3.55%, 10/31/33 (b)
|
|
635
|
699
|
|
|
|
|
4,660
|
|
Thailand (0.1%)
|
|
|
|
|
Thailand Government Bond,
|
|
|
|
|
2.00%, 12/17/31
|
THB
|
27,000
|
736
|
|
United Kingdom (1.0%)
|
|
|
|
|
United Kingdom Gilt,
|
|
|
|
|
0.38%, 10/22/30
|
GBP
|
1,030
|
981
|
|
0.63%, 10/22/50
|
|
930
|
480
|
|
0.88%, 7/31/33
|
|
1,030
|
937
|
|
1.25%, 10/22/41
|
|
1,150
|
877
|
|
1.63%, 10/22/28
|
|
650
|
709
|
|
3.50%, 1/22/45
|
|
840
|
918
|
|
|
|
|
4,902
|
|
|
|
|
128,109
|
|
Supranational (0.9%)
|
|
|
|
|
Asian Development Bank,
|
|
|
|
|
2.13%,5/19/31
|
NZD
|
300
|
150
|
|
Banque Ouest Africaine de Developpement,
|
|
|
|
|
4.70%,10/22/31
|
$
|
240
|
195
|
|
European Investment Bank,
|
|
|
|
|
0.00%,1/14/31
|
EUR
|
1,135
|
988
|
|
0.20%,7/15/24
|
|
970
|
1,022
|
|
International Bank for Reconstruction &
Development,
|
|
|
|
|
2.20%,2/27/24
|
AUD
|
3,040
|
1,993
|
|
|
|
|
4,348
|
|
U.S. Treasury Securities (5.4%)
|
|
|
|
|
United States (5.4%)
|
|
|
|
|
U.S. Treasury Bonds,
|
|
|
|
|
1.13%, 5/15/40
|
|
5,330
|
3,460
|
|
1.25%, 5/15/50
|
|
180
|
101
|
|
1.75%, 8/15/41
|
|
600
|
422
|
|
2.50%, 2/15/45
|
|
2,160
|
1,673
|
|
2.75%, 8/15/47
|
|
2,940
|
2,367
|
|
U.S. Treasury Inflation-Indexed Bonds,
1.13%, 1/15/33
|
|
6,354
|
6,092
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
|
U.S. Treasury Notes,
|
|
|
|
|
0.50%, 4/30/27
|
$
|
530
|
$459
|
|
1.13%, 10/31/26
|
|
2,210
|
1,988
|
|
1.38%, 11/15/31
|
|
5,250
|
4,330
|
|
1.88%, 6/30/26
|
|
1,950
|
1,810
|
|
2.13%, 5/15/25
|
|
1,390
|
1,320
|
|
2.50%, 5/15/24
|
|
2,480
|
2,418
|
|
4.13%, 9/30/27
|
|
760
|
756
|
|
|
|
|
27,196
|
|
Total Fixed Income Securities (Cost $257,740)
|
234,054
|
||
|
|
Shares
|
|
|
|
Common Stocks (35.6%)
|
|||
|
Australia (1.1%)
|
|||
|
Ampol Ltd.
|
|
1,127
|
23
|
|
ANZ Group Holdings Ltd.
|
|
14,231
|
225
|
|
APA Group (Units)
|
|
5,675
|
37
|
|
Aristocrat Leisure Ltd.
|
|
2,842
|
74
|
|
ASX Ltd.
|
|
907
|
38
|
|
Aurizon Holdings Ltd.
|
|
8,989
|
24
|
|
BHP Group Ltd.
|
|
24,695
|
742
|
|
BlueScope Steel Ltd.
|
|
2,214
|
30
|
|
Brambles Ltd.
|
|
6,597
|
63
|
|
Cochlear Ltd.
|
|
307
|
47
|
|
Coles Group Ltd.
|
|
6,336
|
78
|
|
Commonwealth Bank of Australia
|
|
8,103
|
542
|
|
Computershare Ltd.
|
|
2,604
|
41
|
|
CSL Ltd.
|
|
2,295
|
425
|
|
Dexus REIT
|
|
5,115
|
27
|
|
Endeavour Group Ltd. (Australia)
|
|
6,761
|
28
|
|
Fortescue Metals Group Ltd.
|
|
8,130
|
121
|
|
Goodman Group REIT
|
|
7,990
|
107
|
|
GPT Group REIT
|
|
9,197
|
25
|
|
IDP Education Ltd.
|
|
994
|
15
|
|
IGO Ltd.
|
|
3,280
|
33
|
|
Insurance Australia Group Ltd.
|
|
11,607
|
44
|
|
James Hardie Industries PLC CDI (e)
|
|
2,103
|
56
|
|
Lendlease Corp. Ltd. REIT (Units)
|
|
3,280
|
17
|
|
Lottery Corp. Ltd.
|
|
10,572
|
36
|
|
Macquarie Group Ltd.
|
|
1,726
|
205
|
|
Medibank Pvt Ltd.
|
|
12,900
|
30
|
|
Mineral Resources Ltd.
|
|
831
|
40
|
|
Mirvac Group REIT
|
|
18,380
|
28
|
|
National Australia Bank Ltd.
|
|
14,946
|
263
|
|
Newcrest Mining Ltd.
|
|
4,131
|
74
|
|
Northern Star Resources Ltd.
|
|
5,340
|
43
|
|
Orica Ltd.
|
|
2,166
|
21
|
|
Origin Energy Ltd.
|
|
8,224
|
46
|
|
Pilbara Minerals Ltd.
|
|
12,512
|
41
|
|
Qantas Airways Ltd. (e)
|
|
4,387
|
18
|
|
QBE Insurance Group Ltd.
|
|
7,153
|
75
|
|
Ramsay Health Care Ltd.
|
|
861
|
32
|
|
REA Group Ltd.
|
|
249
|
24
|
|
Reece Ltd.
|
|
1,112
|
14
|
|
|
Shares
|
Value
(000)
|
|
|
Australia (cont'd)
|
|||
|
Rio Tinto Ltd.
|
|
1,786
|
$137
|
|
Santos Ltd.
|
|
14,775
|
74
|
|
Scentre Group REIT
|
|
24,571
|
43
|
|
SEEK Ltd.
|
|
1,637
|
24
|
|
Sonic Healthcare Ltd.
|
|
2,131
|
51
|
|
South32 Ltd.
|
|
21,770
|
55
|
|
Stockland REIT
|
|
11,190
|
30
|
|
Suncorp Group Ltd.
|
|
6,067
|
55
|
|
Telstra Group Ltd.
|
|
19,146
|
55
|
|
Transurban Group (Units)
|
|
14,569
|
139
|
|
Treasury Wine Estates Ltd.
|
|
3,361
|
25
|
|
Vicinity Ltd. REIT
|
|
18,387
|
23
|
|
Washington H Soul Pattinson & Co. Ltd.
|
|
1,028
|
22
|
|
Wesfarmers Ltd.
|
|
5,375
|
177
|
|
Westpac Banking Corp.
|
|
16,762
|
239
|
|
WiseTech Global Ltd.
|
|
689
|
37
|
|
Woodside Energy Group Ltd.
|
|
9,006
|
208
|
|
Woolworths Group Ltd.
|
|
5,764
|
153
|
|
Xero Ltd. (e)
|
|
632
|
51
|
|
|
|
|
5,450
|
|
Austria (0.1%)
|
|||
|
Erste Group Bank AG
|
|
6,098
|
214
|
|
OMV AG
|
|
776
|
33
|
|
Verbund AG
|
|
357
|
29
|
|
Voestalpine AG
|
|
620
|
22
|
|
|
|
|
298
|
|
Belgium (0.2%)
|
|||
|
Ageas SA
|
|
823
|
33
|
|
Anheuser-Busch InBev SA
|
|
4,448
|
252
|
|
Argenx SE (e)
|
|
274
|
107
|
|
D'ieteren Group
|
|
130
|
23
|
|
Elia Group SA
|
|
168
|
21
|
|
Groupe Bruxelles Lambert NV
|
|
513
|
41
|
|
KBC Group NV
|
|
4,442
|
310
|
|
Sofina SA
|
|
79
|
16
|
|
Solvay SA
|
|
385
|
43
|
|
UCB SA
|
|
634
|
56
|
|
Umicore SA
|
|
1,091
|
31
|
|
Warehouses De Pauw CVA REIT
|
|
844
|
23
|
|
|
|
|
956
|
|
Canada (1.7%)
|
|||
|
Agnico Eagle Mines Ltd.
|
|
2,247
|
112
|
|
Air Canada (e)
|
|
894
|
17
|
|
Algonquin Power & Utilities Corp.
|
|
3,044
|
25
|
|
Alimentation Couche-Tard, Inc.
|
|
3,746
|
192
|
|
AltaGas Ltd.
|
|
1,404
|
25
|
|
ARC Resources Ltd.
|
|
2,870
|
38
|
|
Bank of Montreal
|
|
3,121
|
282
|
|
Bank of Nova Scotia
|
|
5,451
|
273
|
|
Barrick Gold Corp. (LSE)
|
|
6,066
|
103
|
|
Barrick Gold Corp. (NYSE)
|
|
1,893
|
32
|
|
BCE, Inc.
|
|
364
|
17
|
|
Brookfield Asset Management Ltd., Class A
|
|
1,677
|
55
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Brookfield Corp.
|
|
6,532
|
$220
|
|
Brookfield Renewable Corp., Class A
|
|
645
|
20
|
|
BRP, Inc.
|
|
183
|
15
|
|
CAE, Inc. (e)
|
|
1,581
|
35
|
|
Cameco Corp.
|
|
1,962
|
61
|
|
Canadian Apartment Properties REIT
|
|
420
|
16
|
|
Canadian Imperial Bank of Commerce
|
|
4,150
|
177
|
|
Canadian National Railway Co.
|
|
2,663
|
322
|
|
Canadian Natural Resources Ltd.
|
|
5,068
|
285
|
|
Canadian Pacific Kansas City Ltd.
|
|
4,242
|
343
|
|
Canadian Tire Corp. Ltd., Class A
|
|
277
|
38
|
|
Canadian Utilities Ltd., Class A
|
|
638
|
17
|
|
CCL Industries, Inc., Class B
|
|
748
|
37
|
|
Cenovus Energy, Inc.
|
|
6,714
|
114
|
|
CGI, Inc. (e)
|
|
1,053
|
111
|
|
Constellation Software, Inc.
|
|
100
|
207
|
|
Descartes Systems Group, Inc. (e)
|
|
426
|
34
|
|
Dollarama, Inc.
|
|
1,353
|
92
|
|
Element Fleet Management Corp.
|
|
1,897
|
29
|
|
Emera, Inc.
|
|
1,228
|
51
|
|
Empire Co. Ltd., Class A
|
|
802
|
23
|
|
Enbridge, Inc.
|
|
9,181
|
341
|
|
Fairfax Financial Holdings Ltd.
|
|
114
|
85
|
|
First Quantum Minerals Ltd.
|
|
2,773
|
66
|
|
FirstService Corp.
|
|
201
|
31
|
|
Fortis, Inc.
|
|
2,174
|
94
|
|
Franco-Nevada Corp.
|
|
970
|
138
|
|
George Weston Ltd.
|
|
355
|
42
|
|
GFL Environmental, Inc.
|
|
910
|
35
|
|
Gildan Activewear, Inc.
|
|
914
|
29
|
|
Great-West Lifeco, Inc.
|
|
1,307
|
38
|
|
Hydro One Ltd.
|
|
1,526
|
44
|
|
IA Financial Corp., Inc.
|
|
530
|
36
|
|
IGM Financial, Inc.
|
|
411
|
13
|
|
Imperial Oil Ltd.
|
|
1,071
|
55
|
|
Intact Financial Corp.
|
|
874
|
135
|
|
Ivanhoe Mines Ltd., Class A (e)
|
|
2,792
|
25
|
|
Keyera Corp.
|
|
1,107
|
26
|
|
Kinross Gold Corp.
|
|
5,862
|
28
|
|
Loblaw Cos. Ltd.
|
|
809
|
74
|
|
Lundin Mining Corp.
|
|
2,960
|
23
|
|
Magna International, Inc.
|
|
1,388
|
78
|
|
Manulife Financial Corp.
|
|
8,665
|
164
|
|
Metro, Inc.
|
|
1,169
|
66
|
|
National Bank of Canada
|
|
1,691
|
126
|
|
Northland Power, Inc.
|
|
1,221
|
25
|
|
Nutrien Ltd.
|
|
2,351
|
139
|
|
Nuvei Corp. (e)
|
|
332
|
10
|
|
Onex Corp.
|
|
359
|
20
|
|
Open Text Corp.
|
|
1,254
|
52
|
|
Pan American Silver Corp.
|
|
1,605
|
23
|
|
Parkland Corp.
|
|
709
|
18
|
|
Pembina Pipeline Corp.
|
|
2,555
|
80
|
|
Power Corp. of Canada
|
|
2,464
|
66
|
|
|
Shares
|
Value
(000)
|
|
|
Canada (cont'd)
|
|||
|
Quebecor, Inc., Class B
|
|
781
|
$19
|
|
RB Global, Inc.
|
|
909
|
55
|
|
Restaurant Brands International, Inc.
|
|
1,462
|
113
|
|
RioCan Real Estate Investment Trust REIT
|
|
746
|
11
|
|
Rogers Communications, Inc., Class B
|
|
1,671
|
76
|
|
Royal Bank of Canada
|
|
6,350
|
606
|
|
Saputo, Inc.
|
|
1,257
|
28
|
|
Shopify, Inc., Class A (e)
|
|
5,583
|
361
|
|
Sun Life Financial, Inc.
|
|
2,753
|
144
|
|
Suncor Energy, Inc.
|
|
6,213
|
182
|
|
TC Energy Corp.
|
|
4,532
|
183
|
|
Teck Resources Ltd., Class B
|
|
2,144
|
90
|
|
TELUS Corp.
|
|
2,138
|
42
|
|
TFI International, Inc.
|
|
393
|
45
|
|
Thomson Reuters Corp.
|
|
807
|
109
|
|
TMX Group Ltd.
|
|
1,280
|
29
|
|
Toromont Industries Ltd.
|
|
423
|
35
|
|
Toronto-Dominion Bank
|
|
8,601
|
533
|
|
Tourmaline Oil Corp.
|
|
1,611
|
76
|
|
West Fraser Timber Co. Ltd.
|
|
294
|
25
|
|
Wheaton Precious Metals Corp.
|
|
2,077
|
90
|
|
WSP Global, Inc.
|
|
634
|
84
|
|
|
|
|
8,579
|
|
China (0.0%)
|
|||
|
China Common Rich Renewable Energy
Investments Ltd. (e)
|
|
42,000
|
—
|
|
Denmark (0.4%)
|
|||
|
AP Moller - Maersk AS Series B
|
|
40
|
70
|
|
Carlsberg AS Series B
|
|
462
|
74
|
|
Chr Hansen Holding AS
|
|
514
|
36
|
|
Coloplast AS Series B
|
|
553
|
69
|
|
Danske Bank AS (e)
|
|
3,314
|
81
|
|
Demant AS (e)
|
|
440
|
19
|
|
DSV AS
|
|
910
|
191
|
|
Genmab AS (e)
|
|
309
|
117
|
|
Novo Nordisk AS Series B
|
|
7,930
|
1,281
|
|
Novozymes AS Series B
|
|
996
|
46
|
|
Orsted AS
|
|
894
|
85
|
|
Pandora AS
|
|
437
|
39
|
|
ROCKWOOL AS, Class B
|
|
46
|
12
|
|
Tryg AS
|
|
1,713
|
37
|
|
Vestas Wind Systems AS (e)
|
|
4,870
|
129
|
|
|
|
|
2,286
|
|
Finland (0.1%)
|
|||
|
Elisa Oyj
|
|
702
|
37
|
|
Fortum Oyj
|
|
2,198
|
29
|
|
Kesko Oyj, Class B
|
|
1,355
|
26
|
|
Kone Oyj, Class B
|
|
1,703
|
89
|
|
Metso Oyj
|
|
3,285
|
40
|
|
Neste Oyj
|
|
2,084
|
80
|
|
Nokia Oyj
|
|
26,376
|
110
|
|
Orion Oyj, Class B
|
|
529
|
22
|
|
Sampo Oyj, Class A
|
|
2,331
|
105
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Stora Enso Oyj, Class R
|
|
2,728
|
$32
|
|
UPM-Kymmene Oyj
|
|
2,610
|
78
|
|
Wartsila Oyj Abp
|
|
2,349
|
26
|
|
|
|
|
674
|
|
France (2.2%)
|
|||
|
Accor SA
|
|
854
|
32
|
|
Aeroports de Paris
|
|
146
|
21
|
|
Air Liquide SA
|
|
2,602
|
467
|
|
Airbus SE
|
|
2,925
|
423
|
|
Alstom SA
|
|
1,607
|
48
|
|
Amundi SA
|
|
308
|
18
|
|
ArcelorMittal SA
|
|
2,639
|
72
|
|
Arkema SA
|
|
304
|
29
|
|
AXA SA
|
|
9,345
|
276
|
|
BioMerieux
|
|
209
|
22
|
|
BNP Paribas SA
|
|
19,488
|
1,230
|
|
Bollore SE
|
|
4,398
|
27
|
|
Bouygues SA
|
|
1,120
|
38
|
|
Bureau Veritas SA
|
|
1,472
|
40
|
|
Capgemini SE
|
|
817
|
155
|
|
Carrefour SA
|
|
2,976
|
56
|
|
Cie de Saint-Gobain
|
|
2,528
|
154
|
|
Cie Generale des Etablissements Michelin SCA
|
|
3,429
|
101
|
|
Covivio SA REIT
|
|
241
|
11
|
|
Credit Agricole SA
|
|
21,238
|
252
|
|
Danone SA
|
|
3,148
|
193
|
|
Dassault Aviation SA
|
|
124
|
25
|
|
Dassault Systemes SE
|
|
3,306
|
146
|
|
Edenred
|
|
1,218
|
82
|
|
Eiffage SA
|
|
410
|
43
|
|
Engie SA
|
|
9,008
|
150
|
|
EssilorLuxottica SA
|
|
1,411
|
266
|
|
Eurazeo SE
|
|
219
|
15
|
|
Eurofins Scientific SE
|
|
662
|
42
|
|
Euronext NV
|
|
427
|
29
|
|
Gecina SA REIT
|
|
231
|
25
|
|
Getlink SE
|
|
2,181
|
37
|
|
Hermes International
|
|
156
|
339
|
|
Ipsen SA
|
|
186
|
22
|
|
Kering SA
|
|
386
|
213
|
|
Klepierre SA REIT
|
|
1,096
|
27
|
|
L'Oreal SA
|
|
1,201
|
560
|
|
La Francaise des Jeux SAEM
|
|
518
|
20
|
|
Legrand SA
|
|
1,369
|
136
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
|
1,368
|
1,290
|
|
Orange SA
|
|
9,745
|
114
|
|
Pernod Ricard SA
|
|
1,024
|
226
|
|
Publicis Groupe SA
|
|
1,141
|
92
|
|
Remy Cointreau SA
|
|
116
|
19
|
|
Renault SA
|
|
989
|
42
|
|
Safran SA
|
|
1,688
|
265
|
|
Sanofi
|
|
5,622
|
605
|
|
Sartorius Stedim Biotech
|
|
135
|
34
|
|
Schneider Electric SE
|
|
2,765
|
502
|
|
|
Shares
|
Value
(000)
|
|
|
France (cont'd)
|
|||
|
SEB SA
|
|
126
|
$13
|
|
Societe Generale SA
|
|
14,016
|
365
|
|
Sodexo SA
|
|
396
|
44
|
|
STMicroelectronics NV
|
|
3,493
|
174
|
|
Teleperformance
|
|
299
|
50
|
|
Thales SA
|
|
525
|
79
|
|
TotalEnergies SE
|
|
12,290
|
705
|
|
Unibail-Rodamco-Westfield REIT (e)
|
|
596
|
31
|
|
Valeo SA
|
|
1,061
|
23
|
|
Veolia Environnement SA
|
|
3,333
|
106
|
|
Vinci SA
|
|
2,626
|
305
|
|
Vivendi SE
|
|
3,596
|
33
|
|
Wendel SE
|
|
135
|
14
|
|
Worldline SA (e)
|
|
1,201
|
44
|
|
|
|
|
11,017
|
|
Germany (1.4%)
|
|||
|
Adidas AG
|
|
803
|
156
|
|
Allianz SE (Registered)
|
|
1,997
|
465
|
|
Aroundtown SA (e)
|
|
5,304
|
6
|
|
BASF SE
|
|
4,604
|
224
|
|
Bayer AG (Registered)
|
|
4,831
|
267
|
|
Bayerische Motoren Werke AG
|
|
1,664
|
205
|
|
Bayerische Motoren Werke AG (Preference)
|
|
296
|
34
|
|
Bechtle AG
|
|
413
|
16
|
|
Beiersdorf AG
|
|
496
|
66
|
|
Brenntag SE
|
|
776
|
61
|
|
Carl Zeiss Meditec AG
|
|
201
|
22
|
|
Commerzbank AG
|
|
18,809
|
209
|
|
Continental AG
|
|
567
|
43
|
|
Covestro AG (e)
|
|
987
|
51
|
|
Daimler Truck Holding AG
|
|
2,322
|
84
|
|
Delivery Hero SE (e)
|
|
878
|
39
|
|
Deutsche Bank AG (Registered)
|
|
10,209
|
107
|
|
Deutsche Boerse AG
|
|
935
|
173
|
|
Deutsche Lufthansa AG (Registered) (e)
|
|
2,971
|
30
|
|
Deutsche Post AG (Registered)
|
|
4,958
|
242
|
|
Deutsche Telekom AG (Registered)
|
|
15,780
|
344
|
|
Dr Ing hc F Porsche AG (Preference) (e)
|
|
566
|
70
|
|
E.ON SE
|
|
11,019
|
141
|
|
Evonik Industries AG
|
|
1,057
|
20
|
|
Fresenius Medical Care AG & Co. KGaA
|
|
1,013
|
48
|
|
Fresenius SE & Co. KGaA
|
|
2,081
|
58
|
|
GEA Group AG
|
|
755
|
32
|
|
Hannover Rueck SE
|
|
297
|
63
|
|
Heidelberg Materials AG
|
|
731
|
60
|
|
HelloFresh SE (e)
|
|
839
|
21
|
|
Henkel AG & Co. KGaA
|
|
514
|
36
|
|
Henkel AG & Co. KGaA (Preference)
|
|
883
|
71
|
|
Infineon Technologies AG
|
|
6,588
|
271
|
|
Knorr-Bremse AG
|
|
371
|
28
|
|
LEG Immobilien SE (e)
|
|
378
|
22
|
|
Mercedes-Benz Group AG (Registered)
|
|
4,042
|
325
|
|
Merck KGaA
|
|
636
|
105
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
MTU Aero Engines AG
|
|
264
|
$69
|
|
Muenchener Rueckversicherungs-Gesellschaft AG
in Muenchen (Registered)
|
|
689
|
259
|
|
Nemetschek SE
|
|
287
|
21
|
|
Porsche Automobil Holding SE (Preference) (e)
|
|
768
|
46
|
|
Puma SE
|
|
528
|
32
|
|
QIAGEN NV (e)
|
|
1,130
|
51
|
|
Rational AG
|
|
25
|
18
|
|
Rheinmetall AG
|
|
225
|
62
|
|
RWE AG
|
|
3,163
|
138
|
|
SAP SE
|
|
5,137
|
702
|
|
Sartorius AG (Preference)
|
|
119
|
41
|
|
Scout24 SE
|
|
404
|
26
|
|
Siemens AG (Registered)
|
|
3,852
|
642
|
|
Siemens Energy AG (e)
|
|
2,602
|
46
|
|
Siemens Healthineers AG
|
|
1,384
|
78
|
|
Symrise AG
|
|
660
|
69
|
|
Telefonica Deutschland Holding AG
|
|
5,131
|
14
|
|
United Internet AG (Registered)
|
|
437
|
6
|
|
Volkswagen AG
|
|
146
|
24
|
|
Volkswagen AG (Preference)
|
|
931
|
125
|
|
Vonovia SE
|
|
3,660
|
72
|
|
Zalando SE (e)
|
|
1,132
|
33
|
|
|
|
|
6,789
|
|
Hong Kong (0.4%)
|
|||
|
AIA Group Ltd.
|
|
54,233
|
551
|
|
BOC Hong Kong Holdings Ltd.
|
|
17,217
|
53
|
|
Budweiser Brewing Co. APAC Ltd.
|
|
7,840
|
20
|
|
CK Asset Holdings Ltd.
|
|
8,831
|
49
|
|
CK Hutchison Holdings Ltd.
|
|
12,120
|
74
|
|
CK Infrastructure Holdings Ltd.
|
|
3,127
|
17
|
|
CLP Holdings Ltd.
|
|
8,084
|
63
|
|
ESR Group Ltd.
|
|
9,036
|
16
|
|
Futu Holdings Ltd. ADR (e)
|
|
303
|
12
|
|
Galaxy Entertainment Group Ltd. (e)
|
|
10,678
|
68
|
|
Hang Lung Properties Ltd.
|
|
10,028
|
16
|
|
Hang Seng Bank Ltd.
|
|
3,588
|
51
|
|
Henderson Land Development Co. Ltd.
|
|
7,180
|
21
|
|
HKT Trust & HKT Ltd. (Units)
|
|
16,735
|
20
|
|
Hong Kong & China Gas Co. Ltd.
|
|
51,453
|
45
|
|
Hong Kong Exchanges & Clearing Ltd.
|
|
5,639
|
214
|
|
Hongkong Land Holdings Ltd.
|
|
5,140
|
20
|
|
Jardine Matheson Holdings Ltd.
|
|
790
|
40
|
|
Link REIT
|
|
11,563
|
64
|
|
MTR Corp. Ltd.
|
|
7,630
|
35
|
|
New World Development Co. Ltd.
|
|
7,479
|
18
|
|
Power Assets Holdings Ltd.
|
|
6,877
|
36
|
|
Sands China Ltd. (e)
|
|
11,205
|
38
|
|
Sino Land Co. Ltd.
|
|
17,499
|
22
|
|
SITC International Holdings Co. Ltd.
|
|
6,556
|
12
|
|
Sun Hung Kai Properties Ltd.
|
|
7,137
|
90
|
|
Swire Pacific Ltd., Class A
|
|
2,354
|
18
|
|
Swire Properties Ltd.
|
|
5,372
|
13
|
|
Techtronic Industries Co. Ltd.
|
|
6,883
|
75
|
|
|
Shares
|
Value
(000)
|
|
|
Hong Kong (cont'd)
|
|||
|
WH Group Ltd.
|
|
37,700
|
$20
|
|
Wharf Real Estate Investment Co. Ltd.
|
|
8,388
|
42
|
|
Xinyi Glass Holdings Ltd.
|
|
9,483
|
15
|
|
|
|
|
1,848
|
|
Ireland (0.1%)
|
|||
|
AIB Group PLC
|
|
5,428
|
23
|
|
Bank of Ireland Group Plc
|
|
5,347
|
51
|
|
CRH PLC
|
|
3,875
|
214
|
|
Flutter Entertainment PLC (e)
|
|
834
|
168
|
|
Kerry Group PLC, Class A
|
|
799
|
78
|
|
Kingspan Group PLC
|
|
811
|
54
|
|
Smurfit Kappa Group PLC
|
|
1,249
|
41
|
|
|
|
|
629
|
|
Israel (0.1%)
|
|||
|
Azrieli Group Ltd.
|
|
204
|
12
|
|
Bank Hapoalim BM
|
|
6,120
|
50
|
|
Bank Leumi Le-Israel BM
|
|
7,439
|
56
|
|
Bezeq The Israeli Telecommunication Corp. Ltd.
|
|
9,994
|
12
|
|
Check Point Software Technologies Ltd. (e)
|
|
482
|
61
|
|
CyberArk Software Ltd. (e)
|
|
195
|
30
|
|
Elbit Systems Ltd.
|
|
128
|
27
|
|
First International Bank Of Israel Ltd.
|
|
266
|
10
|
|
ICL Group Ltd.
|
|
3,416
|
19
|
|
Israel Discount Bank Ltd., Class A
|
|
5,961
|
30
|
|
Mizrahi Tefahot Bank Ltd.
|
|
743
|
25
|
|
Nice Ltd. (e)
|
|
306
|
63
|
|
Teva Pharmaceutical Industries Ltd. ADR (e)
|
|
5,331
|
40
|
|
Tower Semiconductor Ltd. (e)
|
|
527
|
19
|
|
Wix.com Ltd. (e)
|
|
275
|
22
|
|
|
|
|
476
|
|
Italy (0.7%)
|
|||
|
Amplifon SpA
|
|
611
|
22
|
|
Assicurazioni Generali SpA
|
|
5,463
|
111
|
|
CNH Industrial NV
|
|
5,131
|
74
|
|
Davide Campari-Milano NV
|
|
2,550
|
35
|
|
DiaSorin SpA
|
|
124
|
13
|
|
Enel SpA
|
|
39,704
|
268
|
|
Eni SpA
|
|
12,269
|
177
|
|
EXOR NV
|
|
1,053
|
94
|
|
Ferrari NV
|
|
612
|
200
|
|
FinecoBank Banca Fineco SpA
|
|
10,576
|
142
|
|
Infrastrutture Wireless Italiane SpA
|
|
1,657
|
22
|
|
Intesa Sanpaolo SpA
|
|
287,187
|
753
|
|
Mediobanca Banca di Credito Finanziario SpA
|
|
10,548
|
126
|
|
Moncler SpA
|
|
1,005
|
69
|
|
Nexi SpA (e)
|
|
2,933
|
23
|
|
Poste Italiane SpA
|
|
2,582
|
28
|
|
Prysmian SpA
|
|
1,297
|
54
|
|
Recordati Industria Chimica e Farmaceutica SpA
|
|
519
|
25
|
|
Snam SpA
|
|
9,696
|
51
|
|
Stellantis NV
|
|
11,219
|
197
|
|
Telecom Italia SpA (Milano) (e)
|
|
48,813
|
14
|
|
Tenaris SA
|
|
2,330
|
35
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Terna - Rete Elettrica Nazionale
|
|
6,804
|
$58
|
|
UniCredit SpA
|
|
35,632
|
829
|
|
|
|
|
3,420
|
|
Netherlands (0.9%)
|
|||
|
ABN AMRO Bank NV CVA
|
|
7,345
|
114
|
|
Adyen NV (e)
|
|
109
|
189
|
|
Aegon NV
|
|
8,952
|
45
|
|
AerCap Holdings NV (e)
|
|
828
|
52
|
|
Akzo Nobel NV
|
|
915
|
75
|
|
ASM International NV
|
|
237
|
101
|
|
ASML Holding NV
|
|
2,052
|
1,488
|
|
Coca-Cola Europacific Partners PLC
|
|
1,026
|
66
|
|
Heineken Holding NV
|
|
570
|
50
|
|
Heineken NV
|
|
1,283
|
132
|
|
IMCD NV
|
|
290
|
42
|
|
ING Groep NV
|
|
67,405
|
909
|
|
JDE Peet's NV
|
|
502
|
15
|
|
Just Eat Takeaway.com NV (e)
|
|
942
|
14
|
|
Koninklijke Ahold Delhaize NV
|
|
5,238
|
178
|
|
Koninklijke DSM NV
|
|
890
|
91
|
|
Koninklijke KPN NV
|
|
16,431
|
59
|
|
Koninklijke Philips NV (e)
|
|
4,634
|
100
|
|
NN Group NV
|
|
1,394
|
52
|
|
OCI NV (e)
|
|
528
|
13
|
|
Prosus NV (e)
|
|
3,992
|
292
|
|
Randstad NV
|
|
602
|
32
|
|
Universal Music Group NV
|
|
3,653
|
81
|
|
Wolters Kluwer NV
|
|
1,267
|
161
|
|
|
|
|
4,351
|
|
New Zealand (0.0%)‡
|
|||
|
Auckland International Airport Ltd. (e)
|
|
5,536
|
29
|
|
EBOS Group Ltd.
|
|
712
|
16
|
|
Fisher & Paykel Healthcare Corp. Ltd.
|
|
2,530
|
38
|
|
Mercury NZ Ltd.
|
|
3,025
|
12
|
|
Meridian Energy Ltd.
|
|
5,469
|
19
|
|
Spark New Zealand Ltd.
|
|
8,225
|
26
|
|
|
|
|
140
|
|
Norway (0.1%)
|
|||
|
Adevinta ASA (e)
|
|
1,442
|
10
|
|
Aker BP ASA
|
|
1,546
|
36
|
|
DNB Bank ASA
|
|
4,490
|
84
|
|
Equinor ASA
|
|
4,607
|
134
|
|
Gjensidige Forsikring ASA
|
|
964
|
16
|
|
Kongsberg Gruppen ASA
|
|
425
|
19
|
|
Mowi ASA
|
|
2,008
|
32
|
|
Norsk Hydro ASA
|
|
6,587
|
39
|
|
Orkla ASA
|
|
3,534
|
25
|
|
Salmar ASA
|
|
321
|
13
|
|
Telenor ASA
|
|
3,361
|
34
|
|
Yara International ASA
|
|
800
|
28
|
|
|
|
|
470
|
|
Portugal (0.0%)‡
|
|||
|
EDP - Energias de Portugal SA
|
|
12,507
|
61
|
|
EDP Renovaveis SA
|
|
1,091
|
22
|
|
|
Shares
|
Value
(000)
|
|
|
Portugal (cont'd)
|
|||
|
Galp Energia SGPS SA
|
|
2,152
|
$25
|
|
Jeronimo Martins SGPS SA
|
|
1,254
|
35
|
|
|
|
|
143
|
|
Singapore (0.2%)
|
|||
|
CapitaLand Ascendas REIT
|
|
15,459
|
31
|
|
CapitaLand Ascott Trust REIT (Units)
|
|
718
|
1
|
|
CapitaLand Integrated Commercial Trust REIT
|
|
24,365
|
35
|
|
Capitaland Investment Ltd.
|
|
12,000
|
29
|
|
City Developments Ltd.
|
|
1,900
|
9
|
|
DBS Group Holdings Ltd.
|
|
8,367
|
195
|
|
Genting Singapore Ltd.
|
|
28,160
|
20
|
|
Grab Holdings Ltd., Class A (e)
|
|
5,939
|
20
|
|
Jardine Cycle & Carriage Ltd.
|
|
482
|
12
|
|
Keppel Corp. Ltd.
|
|
6,627
|
33
|
|
Mapletree Logistics Trust REIT
|
|
15,380
|
19
|
|
Mapletree Pan Asia Commercial Trust REIT
|
|
10,956
|
13
|
|
Oversea-Chinese Banking Corp. Ltd.
|
|
15,491
|
141
|
|
Sea Ltd. ADR (e)
|
|
1,666
|
97
|
|
Seatrium Ltd. (e)
|
|
212,177
|
20
|
|
Singapore Airlines Ltd.
|
|
6,172
|
33
|
|
Singapore Exchange Ltd.
|
|
3,960
|
28
|
|
Singapore Technologies Engineering Ltd.
|
|
7,232
|
20
|
|
Singapore Telecommunications Ltd.
|
|
38,144
|
71
|
|
United Overseas Bank Ltd.
|
|
5,413
|
112
|
|
UOL Group Ltd.
|
|
2,171
|
10
|
|
Venture Corp. Ltd.
|
|
1,244
|
14
|
|
Wilmar International Ltd.
|
|
8,969
|
25
|
|
|
|
|
988
|
|
Spain (0.7%)
|
|||
|
Acciona SA
|
|
119
|
20
|
|
ACS Actividades de Construccion y Servicios SA
|
|
1,070
|
38
|
|
Aena SME SA
|
|
367
|
59
|
|
Amadeus IT Group SA (e)
|
|
2,246
|
171
|
|
Banco Bilbao Vizcaya Argentaria SA
|
|
113,696
|
874
|
|
Banco Santander SA
|
|
302,005
|
1,118
|
|
CaixaBank SA
|
|
79,213
|
328
|
|
Cellnex Telecom SA (e)
|
|
2,749
|
111
|
|
Corp. ACCIONA Energias Renovables SA
|
|
329
|
11
|
|
Enagas SA
|
|
1,223
|
24
|
|
Endesa SA
|
|
1,569
|
34
|
|
Ferrovial SE
|
|
2,402
|
76
|
|
Grifols SA (e)
|
|
1,490
|
19
|
|
Iberdrola SA
|
|
29,935
|
391
|
|
Industria de Diseno Textil SA
|
|
5,351
|
208
|
|
Naturgy Energy Group SA
|
|
715
|
21
|
|
Redeia Corp. SA
|
|
1,997
|
34
|
|
Repsol SA
|
|
6,832
|
99
|
|
Siemens Gamesa Renewable Energy SA (e)
|
|
1,133
|
22
|
|
Telefonica SA
|
|
25,647
|
104
|
|
Telepizza Group SA (e)
|
|
156
|
1
|
|
|
|
|
3,763
|
|
Sweden (0.5%)
|
|||
|
Alfa Laval AB
|
|
1,365
|
50
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Assa Abloy AB, Class B
|
|
4,846
|
$116
|
|
Atlas Copco AB, Class A
|
|
19,966
|
273
|
|
Boliden AB
|
|
1,298
|
38
|
|
Electrolux AB, Class B
|
|
1,028
|
14
|
|
Embracer Group AB (e)
|
|
3,218
|
8
|
|
Epiroc AB, Class A
|
|
4,924
|
89
|
|
EQT AB
|
|
1,686
|
32
|
|
Essity AB, Class B
|
|
2,805
|
75
|
|
Evolution AB
|
|
857
|
109
|
|
Fastighets AB Balder, Class B (e)
|
|
3,201
|
12
|
|
Getinge AB, Class B
|
|
1,047
|
18
|
|
H & M Hennes & Mauritz AB, Class B
|
|
3,370
|
58
|
|
Hexagon AB, Class B
|
|
9,249
|
114
|
|
Holmen AB, Class B
|
|
441
|
16
|
|
Husqvarna AB, Class B
|
|
2,014
|
18
|
|
Industrivarden AB, Class A
|
|
1,321
|
37
|
|
Indutrade AB
|
|
1,309
|
29
|
|
Investment AB Latour, Class B
|
|
704
|
14
|
|
Investor AB, Class A
|
|
10,785
|
215
|
|
Kinnevik AB, Class B (e)
|
|
1,145
|
16
|
|
L E Lundbergforetagen AB, Class B
|
|
353
|
15
|
|
Lifco AB, Class B
|
|
1,100
|
24
|
|
Nibe Industrier AB, Class B
|
|
7,016
|
67
|
|
Nordea Bank Abp
|
|
15,331
|
167
|
|
Sagax AB, Class B
|
|
910
|
18
|
|
Sandvik AB
|
|
5,066
|
99
|
|
Skandinaviska Enskilda Banken AB, Class A
|
|
8,041
|
89
|
|
Skanska AB, Class B
|
|
1,609
|
22
|
|
SKF AB, Class B
|
|
1,830
|
32
|
|
Svenska Cellulosa AB SCA, Class B
|
|
2,841
|
36
|
|
Svenska Handelsbanken AB, Class A
|
|
6,831
|
57
|
|
Swedbank AB, Class A
|
|
4,193
|
71
|
|
Swedish Orphan Biovitrum AB (e)
|
|
774
|
15
|
|
Tele2 AB, Class B
|
|
2,626
|
22
|
|
Telefonaktiebolaget LM Ericsson, Class B
|
|
13,412
|
73
|
|
Telia Co. AB
|
|
12,397
|
27
|
|
Volvo AB, Class A
|
|
8,686
|
181
|
|
Volvo Car AB, Class B (e)
|
|
3,025
|
12
|
|
|
|
|
2,378
|
|
Switzerland (1.5%)
|
|||
|
ABB Ltd. (Registered)
|
|
7,559
|
297
|
|
Adecco Group AG (Registered)
|
|
769
|
25
|
|
Alcon, Inc.
|
|
2,403
|
199
|
|
Bachem Holding AG
|
|
155
|
14
|
|
Baloise Holding AG (Registered)
|
|
216
|
32
|
|
Banque Cantonale Vaudoise (Registered)
|
|
139
|
15
|
|
Barry Callebaut AG (Registered)
|
|
18
|
35
|
|
BKW AG
|
|
97
|
17
|
|
Chocoladefabriken Lindt & Spruengli AG
(Registered)
|
|
1
|
124
|
|
Chocoladefabriken Lindt & Sprungli AG
|
|
5
|
63
|
|
Cie Financiere Richemont SA (Registered)
|
|
2,466
|
419
|
|
Clariant AG (Registered) (e)
|
|
1,034
|
15
|
|
EMS-Chemie Holding AG (Registered)
|
|
33
|
25
|
|
|
Shares
|
Value
(000)
|
|
|
Switzerland (cont'd)
|
|||
|
Geberit AG (Registered)
|
|
173
|
$91
|
|
Givaudan SA (Registered)
|
|
44
|
146
|
|
Holcim AG (e)
|
|
2,690
|
181
|
|
Julius Baer Group Ltd.
|
|
1,021
|
64
|
|
Kuehne & Nagel International AG (Registered)
|
|
261
|
77
|
|
Logitech International SA (Registered)
|
|
829
|
50
|
|
Lonza Group AG (Registered)
|
|
351
|
210
|
|
Nestle SA (Registered)
|
|
12,854
|
1,546
|
|
Novartis AG (Registered)
|
|
10,108
|
1,019
|
|
Partners Group Holding AG
|
|
107
|
101
|
|
Roche Holding AG
|
|
125
|
41
|
|
Roche Holding AG (Genusschein)
|
|
3,266
|
998
|
|
Schindler Holding AG
|
|
200
|
47
|
|
Schindler Holding AG (Registered)
|
|
116
|
26
|
|
SGS SA (Registered)
|
|
744
|
70
|
|
SIG Group AG (e)
|
|
1,426
|
39
|
|
Sika AG (Registered)
|
|
712
|
204
|
|
Sonova Holding AG (Registered)
|
|
245
|
65
|
|
Straumann Holding AG (Registered)
|
|
528
|
86
|
|
Swatch Group AG
|
|
137
|
40
|
|
Swatch Group AG (Registered)
|
|
246
|
14
|
|
Swiss Life Holding AG (Registered)
|
|
146
|
86
|
|
Swiss Prime Site AG (Registered)
|
|
365
|
32
|
|
Swiss Re AG
|
|
1,435
|
145
|
|
Swisscom AG (Registered)
|
|
123
|
77
|
|
Temenos AG (Registered)
|
|
304
|
24
|
|
UBS Group AG (Registered)
|
|
16,523
|
335
|
|
VAT Group AG
|
|
129
|
53
|
|
Zurich Insurance Group AG
|
|
703
|
334
|
|
|
|
|
7,481
|
|
United Kingdom (2.3%)
|
|||
|
3i Group PLC
|
|
4,773
|
118
|
|
abrdn PLC
|
|
10,049
|
28
|
|
Admiral Group PLC
|
|
868
|
23
|
|
Anglo American PLC
|
|
6,292
|
179
|
|
Antofagasta PLC
|
|
1,959
|
36
|
|
Ashtead Group PLC
|
|
2,206
|
153
|
|
Associated British Foods PLC
|
|
1,732
|
44
|
|
AstraZeneca PLC
|
|
7,450
|
1,068
|
|
Atlassian Corp. Ltd., Class A (e)
|
|
400
|
67
|
|
Auto Trader Group PLC
|
|
4,658
|
36
|
|
Aviva PLC
|
|
13,741
|
69
|
|
BAE Systems PLC
|
|
15,001
|
177
|
|
Barclays PLC
|
|
76,261
|
149
|
|
Barratt Developments PLC
|
|
4,959
|
26
|
|
Berkeley Group Holdings PLC
|
|
534
|
27
|
|
BP PLC
|
|
87,858
|
512
|
|
British American Tobacco PLC
|
|
10,430
|
347
|
|
British Land Co. PLC REIT
|
|
4,357
|
17
|
|
BT Group PLC
|
|
33,843
|
53
|
|
Bunzl PLC
|
|
1,649
|
63
|
|
Burberry Group PLC
|
|
1,881
|
51
|
|
Coca-Cola HBC AG (e)
|
|
983
|
29
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Compass Group PLC
|
|
8,431
|
$236
|
|
Croda International PLC
|
|
686
|
49
|
|
DCC PLC
|
|
488
|
27
|
|
Diageo PLC
|
|
11,032
|
474
|
|
Dowlais Group PLC (e)
|
|
6,827
|
11
|
|
Entain PLC
|
|
2,863
|
46
|
|
Evraz PLC (e)
|
|
2,495
|
—
|
|
Experian PLC
|
|
4,516
|
173
|
|
G4S PLC (e)
|
|
6,437
|
20
|
|
Glencore PLC
|
|
50,945
|
289
|
|
GSK PLC
|
|
19,665
|
349
|
|
Haleon PLC
|
|
24,325
|
100
|
|
Halma PLC
|
|
1,892
|
55
|
|
Hargreaves Lansdown PLC
|
|
1,765
|
18
|
|
Hikma Pharmaceuticals PLC
|
|
803
|
19
|
|
HSBC Holdings PLC
|
|
97,306
|
770
|
|
Imperial Brands PLC
|
|
4,392
|
97
|
|
Informa PLC
|
|
7,045
|
65
|
|
InterContinental Hotels Group PLC
|
|
860
|
59
|
|
Intertek Group PLC
|
|
795
|
43
|
|
J Sainsbury PLC
|
|
8,592
|
29
|
|
JD Sports Fashion PLC
|
|
12,783
|
24
|
|
Johnson Matthey PLC
|
|
912
|
20
|
|
Kingfisher PLC
|
|
9,802
|
29
|
|
Land Securities Group PLC REIT
|
|
3,477
|
25
|
|
Legal & General Group PLC
|
|
29,463
|
85
|
|
Lloyds Banking Group PLC
|
|
326,385
|
181
|
|
London Stock Exchange Group PLC
|
|
1,843
|
196
|
|
M&G PLC
|
|
10,923
|
27
|
|
Melrose Industries PLC
|
|
6,706
|
43
|
|
Mondi PLC
|
|
2,395
|
37
|
|
National Grid PLC
|
|
17,653
|
234
|
|
NatWest Group PLC
|
|
26,053
|
80
|
|
Next PLC
|
|
641
|
56
|
|
Ocado Group PLC (e)
|
|
2,859
|
21
|
|
Paragon Offshore PLC (e)(f)
|
|
303
|
—
|
|
Pearson PLC
|
|
3,177
|
33
|
|
Persimmon PLC
|
|
1,580
|
21
|
|
Phoenix Group Holdings PLC
|
|
3,683
|
25
|
|
Prudential PLC
|
|
13,487
|
191
|
|
Reckitt Benckiser Group PLC
|
|
3,483
|
262
|
|
RELX PLC
|
|
9,328
|
311
|
|
Rentokil Initial PLC
|
|
12,346
|
97
|
|
Rio Tinto PLC
|
|
5,566
|
354
|
|
Rolls-Royce Holdings PLC (e)
|
|
40,810
|
78
|
|
Royalty Pharma PLC, Class A
|
|
855
|
26
|
|
Sage Group PLC
|
|
5,028
|
59
|
|
Schroders PLC
|
|
4,369
|
24
|
|
Segro PLC REIT
|
|
6,057
|
55
|
|
Severn Trent PLC
|
|
1,206
|
39
|
|
Shell PLC
|
|
34,463
|
1,028
|
|
Smith & Nephew PLC
|
|
4,256
|
69
|
|
Smiths Group PLC
|
|
1,737
|
36
|
|
Spirax-Sarco Engineering PLC
|
|
370
|
49
|
|
|
Shares
|
Value
(000)
|
|
|
United Kingdom (cont'd)
|
|||
|
SSE PLC
|
|
5,233
|
$123
|
|
St. James's Place PLC
|
|
2,715
|
38
|
|
Standard Chartered PLC
|
|
11,996
|
104
|
|
Taylor Wimpey PLC
|
|
17,474
|
23
|
|
Tesco PLC
|
|
36,449
|
115
|
|
Unilever PLC CVA
|
|
12,368
|
644
|
|
United Utilities Group PLC
|
|
3,240
|
40
|
|
Vodafone Group PLC
|
|
128,117
|
121
|
|
Whitbread PLC
|
|
983
|
42
|
|
WPP PLC
|
|
5,339
|
56
|
|
|
|
|
11,322
|
|
United States (20.9%)
|
|||
|
3M Co.
|
|
1,329
|
133
|
|
A O Smith Corp.
|
|
352
|
26
|
|
Abbott Laboratories
|
|
3,999
|
436
|
|
AbbVie, Inc.
|
|
4,065
|
548
|
|
Accenture PLC, Class A
|
|
1,607
|
496
|
|
Activision Blizzard, Inc. (e)
|
|
1,945
|
164
|
|
Adobe, Inc. (e)
|
|
1,243
|
608
|
|
Advance Auto Parts, Inc.
|
|
167
|
12
|
|
Advanced Micro Devices, Inc. (e)
|
|
3,885
|
443
|
|
AECOM
|
|
300
|
25
|
|
AES Corp.
|
|
1,614
|
33
|
|
Aflac, Inc.
|
|
1,416
|
99
|
|
Agilent Technologies, Inc.
|
|
805
|
97
|
|
Air Products & Chemicals, Inc.
|
|
610
|
183
|
|
Airbnb, Inc., Class A (e)
|
|
1,009
|
129
|
|
Akamai Technologies, Inc. (e)
|
|
434
|
39
|
|
Albemarle Corp.
|
|
321
|
72
|
|
Alcoa Corp.
|
|
480
|
16
|
|
Alexandria Real Estate Equities, Inc. REIT
|
|
423
|
48
|
|
Align Technology, Inc. (e)
|
|
201
|
71
|
|
Allegion PLC
|
|
240
|
29
|
|
Alliant Energy Corp.
|
|
590
|
31
|
|
Allstate Corp.
|
|
724
|
79
|
|
Ally Financial, Inc.
|
|
744
|
20
|
|
Alnylam Pharmaceuticals, Inc. (e)
|
|
324
|
62
|
|
Alphabet, Inc., Class A (e)
|
|
27,118
|
3,262
|
|
Altria Group, Inc.
|
|
4,163
|
189
|
|
Amazon.com, Inc. (e)
|
|
22,187
|
2,892
|
|
Amcor PLC
|
|
3,490
|
35
|
|
Ameren Corp.
|
|
610
|
50
|
|
American Electric Power Co., Inc.
|
|
1,214
|
102
|
|
American Express Co.
|
|
1,439
|
251
|
|
American Financial Group, Inc.
|
|
195
|
23
|
|
American Homes 4 Rent, Class A REIT
|
|
858
|
30
|
|
American International Group, Inc.
|
|
1,741
|
100
|
|
American Tower Corp. REIT
|
|
1,176
|
228
|
|
American Water Works Co., Inc.
|
|
500
|
71
|
|
Ameriprise Financial, Inc.
|
|
294
|
98
|
|
AmerisourceBergen Corp.
|
|
424
|
82
|
|
AMETEK, Inc.
|
|
626
|
101
|
|
Amgen, Inc.
|
|
1,371
|
304
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Amphenol Corp., Class A
|
|
1,527
|
$130
|
|
Analog Devices, Inc.
|
|
1,312
|
256
|
|
Annaly Capital Management, Inc. REIT
|
|
1,178
|
24
|
|
ANSYS, Inc. (e)
|
|
237
|
78
|
|
Aon PLC, Class A
|
|
576
|
199
|
|
APA Corp.
|
|
797
|
27
|
|
Apollo Global Management, Inc.
|
|
1,090
|
84
|
|
Apple, Inc.
|
|
37,789
|
7,330
|
|
Applied Materials, Inc.
|
|
2,061
|
298
|
|
Aptiv PLC (e)
|
|
738
|
75
|
|
Aramark
|
|
639
|
28
|
|
Arch Capital Group Ltd. (e)
|
|
989
|
74
|
|
Archer-Daniels-Midland Co.
|
|
1,430
|
108
|
|
Ares Management Corp., Class A
|
|
421
|
41
|
|
Arista Networks, Inc. (e)
|
|
670
|
109
|
|
Arrow Electronics, Inc. (e)
|
|
175
|
25
|
|
Arthur J Gallagher & Co.
|
|
570
|
125
|
|
Aspen Technology, Inc. (e)
|
|
78
|
13
|
|
Assurant, Inc.
|
|
147
|
18
|
|
AT&T, Inc.
|
|
16,621
|
265
|
|
Atmos Energy Corp.
|
|
385
|
45
|
|
Autodesk, Inc. (e)
|
|
594
|
122
|
|
Automatic Data Processing, Inc.
|
|
1,047
|
230
|
|
AutoZone, Inc. (e)
|
|
53
|
132
|
|
AvalonBay Communities, Inc. REIT
|
|
386
|
73
|
|
Avantor, Inc. (e)
|
|
1,641
|
34
|
|
Avery Dennison Corp.
|
|
221
|
38
|
|
Axon Enterprise, Inc. (e)
|
|
200
|
39
|
|
Baker Hughes Co.
|
|
2,421
|
77
|
|
Ball Corp.
|
|
855
|
50
|
|
Bank of America Corp.
|
|
17,274
|
496
|
|
Bank of New York Mellon Corp.
|
|
1,794
|
80
|
|
Bath & Body Works, Inc.
|
|
629
|
24
|
|
Baxter International, Inc.
|
|
1,277
|
58
|
|
Becton Dickinson & Co.
|
|
676
|
178
|
|
Bentley Systems, Inc., Class B
|
|
531
|
29
|
|
Berkshire Hathaway, Inc., Class B (e)
|
|
3,151
|
1,074
|
|
Best Buy Co., Inc.
|
|
560
|
46
|
|
Bill Holdings, Inc. (e)
|
|
253
|
30
|
|
Biogen, Inc. (e)
|
|
393
|
112
|
|
BioMarin Pharmaceutical, Inc. (e)
|
|
509
|
44
|
|
Bio-Rad Laboratories, Inc., Class A (e)
|
|
61
|
23
|
|
Bio-Techne Corp.
|
|
430
|
35
|
|
Black Knight, Inc. (e)
|
|
430
|
26
|
|
BlackRock, Inc.
|
|
414
|
286
|
|
Blackstone, Inc.
|
|
1,613
|
150
|
|
Block, Inc., Class A (e)
|
|
1,418
|
94
|
|
Boeing Co. (e)
|
|
1,528
|
323
|
|
Booking Holdings, Inc. (e)
|
|
108
|
292
|
|
Booz Allen Hamilton Holding Corp.
|
|
361
|
40
|
|
BorgWarner, Inc.
|
|
647
|
32
|
|
Boston Properties, Inc. REIT
|
|
403
|
23
|
|
Boston Scientific Corp. (e)
|
|
3,315
|
179
|
|
Bristol-Myers Squibb Co.
|
|
5,000
|
320
|
|
|
Shares
|
Value
(000)
|
|
|
United States (cont'd)
|
|||
|
Broadcom, Inc.
|
|
1,121
|
$972
|
|
Broadridge Financial Solutions, Inc.
|
|
321
|
53
|
|
Brown & Brown, Inc.
|
|
653
|
45
|
|
Brown-Forman Corp., Class B
|
|
753
|
50
|
|
Bunge Ltd.
|
|
416
|
39
|
|
Burlington Stores, Inc. (e)
|
|
179
|
28
|
|
Cadence Design Systems, Inc. (e)
|
|
745
|
175
|
|
Caesars Entertainment, Inc. (e)
|
|
587
|
30
|
|
Camden Property Trust REIT
|
|
278
|
30
|
|
Campbell Soup Co.
|
|
486
|
22
|
|
Capital One Financial Corp.
|
|
1,045
|
114
|
|
Cardinal Health, Inc.
|
|
640
|
61
|
|
Carlisle Cos., Inc.
|
|
141
|
36
|
|
Carlyle Group, Inc.
|
|
544
|
17
|
|
CarMax, Inc. (e)
|
|
441
|
37
|
|
Carnival Corp. (e)
|
|
2,417
|
46
|
|
Carrier Global Corp.
|
|
1,912
|
95
|
|
Catalent, Inc. (e)
|
|
466
|
20
|
|
Caterpillar, Inc.
|
|
1,336
|
329
|
|
Cboe Global Markets, Inc.
|
|
292
|
40
|
|
CBRE Group, Inc., Class A (e)
|
|
778
|
63
|
|
CDW Corp.
|
|
371
|
68
|
|
Celanese Corp.
|
|
299
|
35
|
|
Centene Corp. (e)
|
|
1,270
|
86
|
|
CenterPoint Energy, Inc.
|
|
1,429
|
42
|
|
Ceridian HCM Holding, Inc. (e)
|
|
377
|
25
|
|
CF Industries Holdings, Inc.
|
|
543
|
38
|
|
CH Robinson Worldwide, Inc.
|
|
345
|
33
|
|
Charles River Laboratories International, Inc. (e)
|
|
140
|
29
|
|
Charles Schwab Corp.
|
|
3,514
|
199
|
|
Charter Communications, Inc., Class A (e)
|
|
307
|
113
|
|
Cheniere Energy, Inc.
|
|
618
|
94
|
|
Chesapeake Energy Corp.
|
|
282
|
24
|
|
Chevron Corp.
|
|
4,332
|
682
|
|
Chewy, Inc., Class A (e)
|
|
254
|
10
|
|
Chipotle Mexican Grill, Inc. (e)
|
|
75
|
160
|
|
Chubb Ltd.
|
|
1,030
|
198
|
|
Church & Dwight Co., Inc.
|
|
670
|
67
|
|
Cigna Group
|
|
737
|
207
|
|
Cincinnati Financial Corp.
|
|
410
|
40
|
|
Cintas Corp.
|
|
251
|
125
|
|
Cisco Systems, Inc.
|
|
9,571
|
495
|
|
Citigroup, Inc.
|
|
4,591
|
211
|
|
Citizens Financial Group, Inc.
|
|
1,258
|
33
|
|
Clarivate PLC (e)
|
|
825
|
8
|
|
Cleveland-Cliffs, Inc. (e)
|
|
1,309
|
22
|
|
Clorox Co.
|
|
345
|
55
|
|
Cloudflare, Inc., Class A (e)
|
|
683
|
45
|
|
CME Group, Inc.
|
|
891
|
165
|
|
CMS Energy Corp.
|
|
695
|
41
|
|
Coca-Cola Co.
|
|
9,454
|
569
|
|
Cognex Corp.
|
|
474
|
27
|
|
Cognizant Technology Solutions Corp., Class A
|
|
1,309
|
85
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Coinbase Global, Inc., Class A (e)
|
|
337
|
$24
|
|
Colgate-Palmolive Co.
|
|
1,887
|
145
|
|
Comcast Corp., Class A
|
|
10,120
|
420
|
|
Conagra Brands, Inc.
|
|
1,216
|
41
|
|
ConocoPhillips
|
|
3,023
|
313
|
|
Consolidated Edison, Inc.
|
|
877
|
79
|
|
Constellation Brands, Inc., Class A
|
|
439
|
108
|
|
Constellation Energy Corp.
|
|
797
|
73
|
|
Contra Abiomed, Inc. (e)
|
|
90
|
—@
|
|
Cooper Cos., Inc.
|
|
134
|
51
|
|
Copart, Inc. (e)
|
|
1,078
|
98
|
|
Corning, Inc.
|
|
1,806
|
63
|
|
Corteva, Inc.
|
|
1,746
|
100
|
|
CoStar Group, Inc. (e)
|
|
1,090
|
97
|
|
Costco Wholesale Corp.
|
|
1,115
|
600
|
|
Coterra Energy, Inc.
|
|
1,785
|
45
|
|
Crowdstrike Holdings, Inc., Class A (e)
|
|
549
|
81
|
|
Crown Castle, Inc. REIT
|
|
1,081
|
123
|
|
Crown Holdings, Inc.
|
|
330
|
29
|
|
CSX Corp.
|
|
4,974
|
170
|
|
Cummins, Inc.
|
|
386
|
95
|
|
CVS Health Corp.
|
|
3,108
|
215
|
|
Danaher Corp.
|
|
1,713
|
411
|
|
Darden Restaurants, Inc.
|
|
333
|
56
|
|
Darling Ingredients, Inc. (e)
|
|
433
|
28
|
|
Datadog, Inc., Class A (e)
|
|
671
|
66
|
|
DaVita, Inc. (e)
|
|
152
|
15
|
|
Deere & Co.
|
|
793
|
321
|
|
Dell Technologies, Inc., Class C
|
|
631
|
34
|
|
Delta Air Lines, Inc. (e)
|
|
438
|
21
|
|
Dentsply Sirona, Inc.
|
|
585
|
23
|
|
Devon Energy Corp.
|
|
1,610
|
78
|
|
Dexcom, Inc. (e)
|
|
956
|
123
|
|
Diamondback Energy, Inc.
|
|
461
|
61
|
|
Digital Realty Trust, Inc. REIT
|
|
783
|
89
|
|
Discover Financial Services
|
|
739
|
86
|
|
DISH Network Corp., Class A (e)
|
|
678
|
4
|
|
DocuSign, Inc. (e)
|
|
549
|
28
|
|
Dollar General Corp.
|
|
623
|
106
|
|
Dollar Tree, Inc. (e)
|
|
614
|
88
|
|
Dominion Energy, Inc.
|
|
1,884
|
98
|
|
Domino's Pizza, Inc.
|
|
99
|
33
|
|
DoorDash, Inc., Class A (e)
|
|
632
|
48
|
|
Dover Corp.
|
|
392
|
58
|
|
Dow, Inc.
|
|
1,661
|
88
|
|
DR Horton, Inc.
|
|
805
|
98
|
|
Dropbox, Inc., Class A (e)
|
|
749
|
20
|
|
DTE Energy Co.
|
|
532
|
59
|
|
Duke Energy Corp.
|
|
1,718
|
154
|
|
DuPont de Nemours, Inc.
|
|
1,262
|
90
|
|
Dynatrace, Inc. (e)
|
|
543
|
28
|
|
Eastman Chemical Co.
|
|
338
|
28
|
|
Eaton Corp. PLC
|
|
1,090
|
219
|
|
eBay, Inc.
|
|
1,320
|
59
|
|
|
Shares
|
Value
(000)
|
|
|
United States (cont'd)
|
|||
|
Ecolab, Inc.
|
|
703
|
$131
|
|
Edison International
|
|
953
|
66
|
|
Edwards Lifesciences Corp. (e)
|
|
1,586
|
150
|
|
Elanco Animal Health, Inc. (e)
|
|
1,155
|
12
|
|
Electronic Arts, Inc.
|
|
660
|
86
|
|
Elevance Health, Inc.
|
|
559
|
248
|
|
Eli Lilly & Co.
|
|
1,905
|
893
|
|
Emerson Electric Co.
|
|
1,409
|
127
|
|
Enphase Energy, Inc. (e)
|
|
370
|
62
|
|
Entegris, Inc.
|
|
407
|
45
|
|
Entergy Corp.
|
|
560
|
55
|
|
EOG Resources, Inc.
|
|
1,495
|
171
|
|
EPAM Systems, Inc. (e)
|
|
155
|
35
|
|
EQT Corp.
|
|
824
|
34
|
|
Equifax, Inc.
|
|
339
|
80
|
|
Equinix, Inc. REIT
|
|
251
|
197
|
|
Equitable Holdings, Inc.
|
|
1,029
|
28
|
|
Equity Lifestyle Properties, Inc. REIT
|
|
483
|
32
|
|
Equity Residential REIT
|
|
889
|
59
|
|
Erie Indemnity Co., Class A
|
|
69
|
14
|
|
Essential Utilities, Inc.
|
|
580
|
23
|
|
Essex Property Trust, Inc. REIT
|
|
179
|
42
|
|
Estee Lauder Cos., Inc., Class A
|
|
638
|
125
|
|
Etsy, Inc. (e)
|
|
347
|
29
|
|
Everest Re Group Ltd.
|
|
107
|
37
|
|
Evergy, Inc.
|
|
530
|
31
|
|
Eversource Energy
|
|
853
|
60
|
|
Exact Sciences Corp. (e)
|
|
468
|
44
|
|
Exelon Corp.
|
|
2,306
|
94
|
|
Expedia Group, Inc. (e)
|
|
418
|
46
|
|
Expeditors International of Washington, Inc.
|
|
454
|
55
|
|
Extra Space Storage, Inc. REIT
|
|
367
|
55
|
|
Exxon Mobil Corp.
|
|
9,666
|
1,037
|
|
F5, Inc. (e)
|
|
162
|
24
|
|
Factset Research Systems, Inc.
|
|
107
|
43
|
|
Fair Isaac Corp. (e)
|
|
68
|
55
|
|
Fastenal Co.
|
|
1,381
|
81
|
|
FedEx Corp.
|
|
586
|
145
|
|
Ferguson PLC
|
|
579
|
91
|
|
Fidelity National Financial, Inc.
|
|
617
|
22
|
|
Fidelity National Information Services, Inc.
|
|
1,555
|
85
|
|
Fifth Third Bancorp
|
|
1,679
|
44
|
|
First Citizens BancShares, Inc., Class A
|
|
33
|
42
|
|
First Horizon Corp.
|
|
1,367
|
15
|
|
First Republic Bank
|
|
501
|
—@
|
|
First Solar, Inc. (e)
|
|
261
|
50
|
|
FirstEnergy Corp.
|
|
1,384
|
54
|
|
Fiserv, Inc. (e)
|
|
1,547
|
195
|
|
FleetCor Technologies, Inc. (e)
|
|
194
|
49
|
|
FMC Corp.
|
|
344
|
36
|
|
Ford Motor Co.
|
|
9,552
|
145
|
|
Fortinet, Inc. (e)
|
|
1,621
|
123
|
|
Fortive Corp.
|
|
826
|
62
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Fortune Brands Innovations, Inc.
|
|
353
|
$25
|
|
Fox Corp., Class A
|
|
1,133
|
38
|
|
Franklin Resources, Inc.
|
|
815
|
22
|
|
Freeport-McMoRan, Inc.
|
|
3,367
|
135
|
|
Gaming and Leisure Properties, Inc. REIT
|
|
700
|
34
|
|
Garmin Ltd.
|
|
425
|
44
|
|
Gartner, Inc. (e)
|
|
220
|
77
|
|
GE HealthCare, Inc.
|
|
978
|
79
|
|
Gen Digital, Inc.
|
|
1,351
|
25
|
|
Generac Holdings, Inc. (e)
|
|
177
|
26
|
|
General Dynamics Corp.
|
|
5,597
|
1,204
|
|
General Electric Co.
|
|
2,636
|
290
|
|
General Mills, Inc.
|
|
1,409
|
108
|
|
General Motors Co.
|
|
3,522
|
136
|
|
Genuine Parts Co.
|
|
387
|
65
|
|
Gilead Sciences, Inc.
|
|
2,919
|
225
|
|
Global Payments, Inc.
|
|
652
|
64
|
|
Globe Life, Inc.
|
|
254
|
28
|
|
GoDaddy, Inc., Class A (e)
|
|
424
|
32
|
|
Goldman Sachs Group, Inc.
|
|
835
|
269
|
|
Graco, Inc.
|
|
400
|
35
|
|
Halliburton Co.
|
|
2,235
|
74
|
|
Hartford Financial Services Group, Inc.
|
|
772
|
56
|
|
Hasbro, Inc.
|
|
366
|
24
|
|
HCA Healthcare, Inc.
|
|
529
|
161
|
|
Healthcare Realty Trust, Inc. REIT
|
|
949
|
18
|
|
Healthpeak Properties, Inc. REIT
|
|
1,384
|
28
|
|
HEICO Corp.
|
|
313
|
48
|
|
Henry Schein, Inc. (e)
|
|
374
|
30
|
|
Hershey Co.
|
|
405
|
101
|
|
Hess Corp.
|
|
756
|
103
|
|
Hewlett Packard Enterprise Co.
|
|
3,142
|
53
|
|
HF Sinclair Corp.
|
|
341
|
15
|
|
Hilton Worldwide Holdings, Inc.
|
|
659
|
96
|
|
Hologic, Inc. (e)
|
|
580
|
47
|
|
Home Depot, Inc.
|
|
2,424
|
753
|
|
Honeywell International, Inc.
|
|
1,529
|
317
|
|
Horizon Therapeutics PLC (e)
|
|
599
|
62
|
|
Hormel Foods Corp.
|
|
732
|
29
|
|
Host Hotels & Resorts, Inc. REIT
|
|
1,747
|
29
|
|
Howmet Aerospace, Inc.
|
|
910
|
45
|
|
HP, Inc.
|
|
2,347
|
72
|
|
Hubbell, Inc.
|
|
147
|
49
|
|
HubSpot, Inc. (e)
|
|
124
|
66
|
|
Humana, Inc.
|
|
347
|
155
|
|
Huntington Bancshares, Inc.
|
|
3,425
|
37
|
|
Huntington Ingalls Industries, Inc.
|
|
849
|
193
|
|
IDEX Corp.
|
|
206
|
44
|
|
IDEXX Laboratories, Inc. (e)
|
|
226
|
114
|
|
Illinois Tool Works, Inc.
|
|
846
|
212
|
|
Illumina, Inc. (e)
|
|
428
|
80
|
|
Incyte Corp. (e)
|
|
518
|
32
|
|
Ingersoll Rand, Inc.
|
|
1,091
|
71
|
|
Insulet Corp. (e)
|
|
187
|
54
|
|
|
Shares
|
Value
(000)
|
|
|
United States (cont'd)
|
|||
|
Intel Corp.
|
|
9,851
|
$329
|
|
Intercontinental Exchange, Inc.
|
|
1,323
|
150
|
|
International Business Machines Corp.
|
|
2,052
|
275
|
|
International Flavors & Fragrances, Inc.
|
|
697
|
55
|
|
International Paper Co.
|
|
846
|
27
|
|
Interpublic Group of Cos., Inc.
|
|
1,068
|
41
|
|
Intuit, Inc.
|
|
724
|
332
|
|
Intuitive Surgical, Inc. (e)
|
|
877
|
300
|
|
Invesco Ltd.
|
|
936
|
16
|
|
Invitation Homes, Inc. REIT
|
|
1,572
|
54
|
|
IQVIA Holdings, Inc. (e)
|
|
507
|
114
|
|
Iron Mountain, Inc. REIT
|
|
699
|
40
|
|
J M Smucker Co.
|
|
294
|
43
|
|
Jack Henry & Associates, Inc.
|
|
199
|
33
|
|
Jacobs Solutions, Inc.
|
|
348
|
41
|
|
Jazz Pharmaceuticals PLC (e)
|
|
172
|
21
|
|
JB Hunt Transport Services, Inc.
|
|
233
|
42
|
|
Johnson & Johnson
|
|
5,991
|
992
|
|
Johnson Controls International PLC
|
|
1,786
|
122
|
|
JPMorgan Chase & Co.
|
|
6,967
|
1,013
|
|
Juniper Networks, Inc.
|
|
783
|
25
|
|
Kellogg Co.
|
|
609
|
41
|
|
Keurig Dr Pepper, Inc.
|
|
1,738
|
54
|
|
KeyCorp
|
|
2,353
|
22
|
|
Keysight Technologies, Inc. (e)
|
|
490
|
82
|
|
Kimberly-Clark Corp.
|
|
836
|
115
|
|
Kimco Realty Corp. REIT
|
|
1,501
|
30
|
|
Kinder Morgan, Inc.
|
|
4,777
|
82
|
|
KKR & Co., Inc.
|
|
1,531
|
86
|
|
KLA Corp.
|
|
386
|
187
|
|
Knight-Swift Transportation Holdings, Inc.
|
|
428
|
24
|
|
Kraft Heinz Co.
|
|
1,640
|
58
|
|
Kroger Co.
|
|
1,561
|
73
|
|
L3Harris Technologies, Inc.
|
|
4,480
|
877
|
|
Laboratory Corp. of America Holdings
|
|
247
|
60
|
|
Lam Research Corp.
|
|
377
|
242
|
|
Lamb Weston Holdings, Inc.
|
|
393
|
45
|
|
Las Vegas Sands Corp. (e)
|
|
941
|
55
|
|
Lear Corp.
|
|
161
|
23
|
|
Leidos Holdings, Inc.
|
|
354
|
31
|
|
Lennar Corp., Class A
|
|
705
|
88
|
|
Lennox International, Inc.
|
|
87
|
28
|
|
Liberty Broadband Corp., Class C (e)
|
|
345
|
28
|
|
Liberty Global PLC Series C (e)
|
|
1,129
|
20
|
|
Liberty Media Corp.-Liberty Formula One,
Class C (e)
|
|
537
|
40
|
|
Liberty Media Corp.-Liberty SiriusXM, Class A (e)
|
|
652
|
22
|
|
Linde PLC
|
|
1,263
|
481
|
|
Live Nation Entertainment, Inc. (e)
|
|
470
|
43
|
|
LKQ Corp.
|
|
714
|
42
|
|
Lockheed Martin Corp.
|
|
4,504
|
2,074
|
|
Loews Corp.
|
|
549
|
33
|
|
Lowe's Cos., Inc.
|
|
1,416
|
320
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
LPL Financial Holdings, Inc.
|
|
217
|
$47
|
|
Lucid Group, Inc. (e)
|
|
1,110
|
8
|
|
Lululemon Athletica, Inc. (e)
|
|
325
|
123
|
|
LyondellBasell Industries NV, Class A
|
|
712
|
65
|
|
M&T Bank Corp.
|
|
480
|
59
|
|
Marathon Oil Corp.
|
|
1,444
|
33
|
|
Marathon Petroleum Corp.
|
|
1,143
|
133
|
|
Markel Group, Inc. (e)
|
|
36
|
50
|
|
MarketAxess Holdings, Inc.
|
|
105
|
27
|
|
Marriott International, Inc., Class A
|
|
659
|
121
|
|
Marsh & McLennan Cos., Inc.
|
|
1,249
|
235
|
|
Martin Marietta Materials, Inc.
|
|
172
|
79
|
|
Marvell Technology, Inc.
|
|
2,082
|
124
|
|
Masco Corp.
|
|
625
|
36
|
|
Masimo Corp. (e)
|
|
131
|
22
|
|
Mastercard, Inc., Class A
|
|
2,054
|
808
|
|
Match Group, Inc. (e)
|
|
770
|
32
|
|
McCormick & Co., Inc.
|
|
590
|
51
|
|
McDonald's Corp.
|
|
1,713
|
511
|
|
McKesson Corp.
|
|
391
|
167
|
|
Medical Properties Trust, Inc. REIT
|
|
1,439
|
13
|
|
Medtronic PLC
|
|
3,163
|
279
|
|
MercadoLibre, Inc. (e)
|
|
124
|
147
|
|
Merck & Co., Inc.
|
|
5,811
|
671
|
|
Meta Platforms, Inc., Class A (e)
|
|
5,361
|
1,538
|
|
MetLife, Inc.
|
|
1,640
|
93
|
|
Mettler-Toledo International, Inc. (e)
|
|
61
|
80
|
|
MGM Resorts International
|
|
756
|
33
|
|
Microchip Technology, Inc.
|
|
1,313
|
118
|
|
Micron Technology, Inc.
|
|
2,583
|
163
|
|
Microsoft Corp.
|
|
16,809
|
5,724
|
|
Mid-America Apartment Communities, Inc. REIT
|
|
318
|
48
|
|
Moderna, Inc. (e)
|
|
862
|
105
|
|
Mohawk Industries, Inc. (e)
|
|
141
|
15
|
|
Molina Healthcare, Inc. (e)
|
|
160
|
48
|
|
Molson Coors Beverage Co., Class B
|
|
530
|
35
|
|
Mondelez International, Inc., Class A
|
|
3,146
|
229
|
|
MongoDB, Inc. (e)
|
|
179
|
74
|
|
Monolithic Power Systems, Inc.
|
|
121
|
65
|
|
Monster Beverage Corp. (e)
|
|
1,754
|
101
|
|
Moody's Corp.
|
|
453
|
158
|
|
Mosaic Co.
|
|
836
|
29
|
|
Motorola Solutions, Inc.
|
|
457
|
134
|
|
MSCI, Inc.
|
|
221
|
104
|
|
Nasdaq, Inc.
|
|
848
|
42
|
|
NetApp, Inc.
|
|
599
|
46
|
|
Netflix, Inc. (e)
|
|
1,218
|
537
|
|
Neurocrine Biosciences, Inc. (e)
|
|
259
|
24
|
|
Newell Brands, Inc.
|
|
992
|
9
|
|
Newmont Corp.
|
|
1,876
|
80
|
|
News Corp., Class A
|
|
958
|
19
|
|
NextEra Energy, Inc.
|
|
4,575
|
339
|
|
NIKE, Inc., Class B
|
|
3,087
|
341
|
|
NiSource, Inc.
|
|
1,013
|
28
|
|
|
Shares
|
Value
(000)
|
|
|
United States (cont'd)
|
|||
|
Nordson Corp.
|
|
141
|
$35
|
|
Norfolk Southern Corp.
|
|
552
|
125
|
|
Northern Trust Corp.
|
|
540
|
40
|
|
Northrop Grumman Corp.
|
|
3,146
|
1,434
|
|
Novocure Ltd. (e)
|
|
253
|
10
|
|
NRG Energy, Inc.
|
|
546
|
20
|
|
Nucor Corp.
|
|
702
|
115
|
|
NVIDIA Corp.
|
|
5,993
|
2,535
|
|
NVR, Inc. (e)
|
|
8
|
51
|
|
NXP Semiconductors NV
|
|
720
|
147
|
|
Occidental Petroleum Corp.
|
|
1,752
|
103
|
|
Okta, Inc. (e)
|
|
405
|
28
|
|
Old Dominion Freight Line, Inc.
|
|
267
|
99
|
|
Omnicom Group, Inc.
|
|
561
|
53
|
|
ON Semiconductor Corp. (e)
|
|
1,184
|
112
|
|
ONEOK, Inc.
|
|
1,128
|
70
|
|
Oracle Corp.
|
|
3,858
|
459
|
|
O'Reilly Automotive, Inc. (e)
|
|
171
|
163
|
|
Otis Worldwide Corp.
|
|
1,051
|
94
|
|
Ovintiv, Inc.
|
|
600
|
23
|
|
Owens Corning
|
|
267
|
35
|
|
PACCAR, Inc.
|
|
1,426
|
119
|
|
Packaging Corp. of America
|
|
259
|
34
|
|
Palantir Technologies, Inc., Class A (e)
|
|
4,152
|
64
|
|
Palo Alto Networks, Inc. (e)
|
|
825
|
211
|
|
Paramount Global, Class B
|
|
1,577
|
25
|
|
Parker Hannifin Corp.
|
|
348
|
136
|
|
Paychex, Inc.
|
|
795
|
89
|
|
Paycom Software, Inc.
|
|
139
|
45
|
|
Paylocity Holding Corp. (e)
|
|
113
|
21
|
|
PayPal Holdings, Inc. (e)
|
|
2,597
|
173
|
|
Pentair PLC
|
|
453
|
29
|
|
PepsiCo, Inc.
|
|
3,184
|
590
|
|
Pfizer, Inc.
|
|
12,966
|
476
|
|
PG&E Corp. (e)
|
|
3,461
|
60
|
|
Philip Morris International, Inc.
|
|
3,642
|
356
|
|
Phillips 66
|
|
1,200
|
114
|
|
Pinterest, Inc., Class A (e)
|
|
1,384
|
38
|
|
Pioneer Natural Resources Co.
|
|
620
|
128
|
|
Plug Power, Inc. (e)
|
|
1,418
|
15
|
|
PNC Financial Services Group, Inc.
|
|
1,009
|
127
|
|
Pool Corp.
|
|
110
|
41
|
|
PPG Industries, Inc.
|
|
652
|
97
|
|
PPL Corp.
|
|
1,712
|
45
|
|
Principal Financial Group, Inc.
|
|
678
|
51
|
|
Procter & Gamble Co.
|
|
5,459
|
828
|
|
Progressive Corp.
|
|
1,390
|
184
|
|
Prologis, Inc. REIT
|
|
2,214
|
271
|
|
Prudential Financial, Inc.
|
|
910
|
80
|
|
PTC, Inc. (e)
|
|
305
|
43
|
|
Public Service Enterprise Group, Inc.
|
|
1,270
|
80
|
|
Public Storage REIT
|
|
431
|
126
|
|
Pulte Group, Inc.
|
|
639
|
50
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Qorvo, Inc. (e)
|
|
286
|
$29
|
|
QUALCOMM, Inc.
|
|
2,689
|
320
|
|
Quanta Services, Inc.
|
|
386
|
76
|
|
Quest Diagnostics, Inc.
|
|
321
|
45
|
|
Raymond James Financial, Inc.
|
|
528
|
55
|
|
Raytheon Technologies Corp.
|
|
25,263
|
2,475
|
|
Realty Income Corp. REIT
|
|
1,497
|
90
|
|
Regency Centers Corp. REIT
|
|
424
|
26
|
|
Regeneron Pharmaceuticals, Inc. (e)
|
|
289
|
208
|
|
Regions Financial Corp.
|
|
2,241
|
40
|
|
Reliance Steel & Aluminum Co.
|
|
200
|
54
|
|
Repligen Corp. (e)
|
|
144
|
20
|
|
Republic Services, Inc.
|
|
606
|
93
|
|
ResMed, Inc.
|
|
401
|
88
|
|
Revvity, Inc.
|
|
346
|
41
|
|
Rivian Automotive, Inc., Class A (e)
|
|
891
|
15
|
|
Robert Half International, Inc.
|
|
305
|
23
|
|
ROBLOX Corp., Class A (e)
|
|
952
|
38
|
|
Rockwell Automation, Inc.
|
|
313
|
103
|
|
Roku, Inc. (e)
|
|
341
|
22
|
|
Rollins, Inc.
|
|
505
|
22
|
|
Roper Technologies, Inc.
|
|
291
|
140
|
|
Ross Stores, Inc.
|
|
859
|
96
|
|
Royal Caribbean Cruises Ltd. (e)
|
|
633
|
66
|
|
RPM International, Inc.
|
|
354
|
32
|
|
S&P Global, Inc.
|
|
838
|
336
|
|
Salesforce, Inc. (e)
|
|
2,432
|
514
|
|
SBA Communications Corp. REIT
|
|
293
|
68
|
|
Schlumberger NV
|
|
3,370
|
166
|
|
Seagate Technology Holdings PLC
|
|
546
|
34
|
|
Seagen, Inc. (e)
|
|
372
|
72
|
|
Sealed Air Corp.
|
|
401
|
16
|
|
SEI Investments Co.
|
|
317
|
19
|
|
Sempra Energy
|
|
767
|
112
|
|
Sensata Technologies Holding PLC
|
|
426
|
19
|
|
ServiceNow, Inc. (e)
|
|
551
|
310
|
|
Sherwin-Williams Co.
|
|
677
|
180
|
|
Simon Property Group, Inc. REIT
|
|
897
|
104
|
|
Sirius XM Holdings, Inc.
|
|
1,745
|
8
|
|
Skyworks Solutions, Inc.
|
|
446
|
49
|
|
Snap, Inc., Class A (e)
|
|
2,722
|
32
|
|
Snap-on, Inc.
|
|
146
|
42
|
|
Snowflake, Inc., Class A (e)
|
|
597
|
105
|
|
SolarEdge Technologies, Inc. (e)
|
|
151
|
41
|
|
Southern Co.
|
|
2,552
|
179
|
|
Southwest Airlines Co.
|
|
406
|
15
|
|
Splunk, Inc. (e)
|
|
438
|
46
|
|
SS&C Technologies Holdings, Inc.
|
|
623
|
38
|
|
Stanley Black & Decker, Inc.
|
|
406
|
38
|
|
Starbucks Corp.
|
|
2,758
|
273
|
|
State Street Corp.
|
|
902
|
66
|
|
Steel Dynamics, Inc.
|
|
487
|
53
|
|
Steris PLC
|
|
272
|
61
|
|
Stryker Corp.
|
|
836
|
255
|
|
|
Shares
|
Value
(000)
|
|
|
United States (cont'd)
|
|||
|
Sun Communities, Inc. REIT
|
|
340
|
$44
|
|
Synchrony Financial
|
|
1,112
|
38
|
|
Synopsys, Inc. (e)
|
|
417
|
182
|
|
Sysco Corp.
|
|
1,283
|
95
|
|
T Rowe Price Group, Inc.
|
|
620
|
69
|
|
Take-Two Interactive Software, Inc. (e)
|
|
456
|
67
|
|
Targa Resources Corp.
|
|
587
|
45
|
|
Target Corp.
|
|
1,175
|
155
|
|
TE Connectivity Ltd.
|
|
782
|
110
|
|
Teledyne Technologies, Inc. (e)
|
|
128
|
53
|
|
Teleflex, Inc.
|
|
129
|
31
|
|
Teradyne, Inc.
|
|
428
|
48
|
|
Tesla, Inc. (e)
|
|
6,505
|
1,703
|
|
Texas Instruments, Inc.
|
|
2,112
|
380
|
|
Texas Pacific Land Corp.
|
|
17
|
22
|
|
Textron, Inc.
|
|
577
|
39
|
|
Thermo Fisher Scientific, Inc.
|
|
982
|
512
|
|
TJX Cos., Inc.
|
|
2,784
|
236
|
|
T-Mobile US, Inc. (e)
|
|
1,530
|
213
|
|
Toast, Inc., Class A (e)
|
|
670
|
15
|
|
Toro Co.
|
|
300
|
30
|
|
Tractor Supply Co.
|
|
307
|
68
|
|
Trade Desk, Inc., Class A (e)
|
|
1,159
|
89
|
|
Tradeweb Markets, Inc., Class A
|
|
297
|
20
|
|
Trane Technologies PLC
|
|
637
|
122
|
|
TransDigm Group, Inc.
|
|
140
|
125
|
|
TransUnion
|
|
533
|
42
|
|
Travelers Cos., Inc.
|
|
643
|
112
|
|
Trimble, Inc. (e)
|
|
684
|
36
|
|
Truist Financial Corp.
|
|
3,209
|
97
|
|
Twilio, Inc., Class A (e)
|
|
467
|
30
|
|
Tyler Technologies, Inc. (e)
|
|
114
|
47
|
|
Tyson Foods, Inc., Class A
|
|
784
|
40
|
|
Uber Technologies, Inc. (e)
|
|
3,601
|
155
|
|
UDR, Inc. REIT
|
|
799
|
34
|
|
UGI Corp.
|
|
579
|
16
|
|
U-Haul Holding Co.
|
|
232
|
12
|
|
Ulta Beauty, Inc. (e)
|
|
140
|
66
|
|
Union Pacific Corp.
|
|
1,628
|
333
|
|
United Parcel Service, Inc., Class B
|
|
1,752
|
314
|
|
United Rentals, Inc.
|
|
192
|
86
|
|
United Therapeutics Corp. (e)
|
|
100
|
22
|
|
UnitedHealth Group, Inc.
|
|
2,171
|
1,043
|
|
Unity Software, Inc. (e)
|
|
683
|
30
|
|
Universal Health Services, Inc., Class B
|
|
179
|
28
|
|
US Bancorp
|
|
3,363
|
111
|
|
Vail Resorts, Inc.
|
|
111
|
28
|
|
Valero Energy Corp.
|
|
964
|
113
|
|
Veeva Systems, Inc., Class A (e)
|
|
390
|
77
|
|
Ventas, Inc. REIT
|
|
1,091
|
52
|
|
VeriSign, Inc. (e)
|
|
263
|
59
|
|
Verisk Analytics, Inc.
|
|
432
|
98
|
|
Verizon Communications, Inc.
|
|
9,748
|
363
|
|
|
Shares
|
Value
(000)
|
|
|
|
|||
|
Vertex Pharmaceuticals, Inc. (e)
|
|
600
|
$211
|
|
VF Corp.
|
|
832
|
16
|
|
Viatris, Inc.
|
|
2,838
|
28
|
|
VICI Properties, Inc. REIT
|
|
2,243
|
70
|
|
Visa, Inc., Class A
|
|
3,771
|
896
|
|
Vistra Corp.
|
|
925
|
24
|
|
VMware, Inc., Class A (e)
|
|
580
|
83
|
|
Vulcan Materials Co.
|
|
363
|
82
|
|
W R Berkley Corp.
|
|
572
|
34
|
|
Walgreens Boots Alliance, Inc.
|
|
1,795
|
51
|
|
Walmart, Inc.
|
|
3,496
|
549
|
|
Walt Disney Co. (e)
|
|
4,252
|
380
|
|
Warner Bros Discovery, Inc. (e)
|
|
5,526
|
69
|
|
Waste Connections, Inc.
|
|
706
|
101
|
|
Waste Management, Inc.
|
|
1,035
|
179
|
|
Waters Corp. (e)
|
|
162
|
43
|
|
Webster Financial Corp.
|
|
478
|
18
|
|
WEC Energy Group, Inc.
|
|
764
|
67
|
|
Wells Fargo & Co.
|
|
9,028
|
385
|
|
Welltower, Inc. REIT
|
|
1,177
|
95
|
|
West Pharmaceutical Services, Inc.
|
|
203
|
78
|
|
Western Digital Corp. (e)
|
|
845
|
32
|
|
Westinghouse Air Brake Technologies Corp.
|
|
474
|
52
|
|
Westlake Corp.
|
|
106
|
13
|
|
WestRock Co.
|
|
699
|
20
|
|
Weyerhaeuser Co. REIT
|
|
1,821
|
61
|
|
Whirlpool Corp.
|
|
152
|
23
|
|
Williams Cos., Inc.
|
|
2,939
|
96
|
|
Willis Towers Watson PLC
|
|
299
|
70
|
|
Wolfspeed, Inc. (e)
|
|
337
|
19
|
|
Workday, Inc., Class A (e)
|
|
543
|
123
|
|
WP Carey, Inc. REIT
|
|
533
|
36
|
|
WW Grainger, Inc.
|
|
125
|
99
|
|
Wynn Resorts Ltd.
|
|
297
|
31
|
|
Xcel Energy, Inc.
|
|
1,398
|
87
|
|
Xylem, Inc.
|
|
493
|
56
|
|
Yum! Brands, Inc.
|
|
683
|
95
|
|
Zebra Technologies Corp., Class A (e)
|
|
140
|
41
|
|
Zillow Group, Inc., Class C (e)
|
|
441
|
22
|
|
Zimmer Biomet Holdings, Inc.
|
|
577
|
84
|
|
Zoetis, Inc.
|
|
1,094
|
188
|
|
Zoom Video Communications, Inc., Class A (e)
|
|
620
|
42
|
|
ZoomInfo Technologies, Inc., Class A (e)
|
|
697
|
18
|
|
Zscaler, Inc. (e)
|
|
231
|
34
|
|
|
|
|
104,064
|
|
|
No. of
Rights
|
|
|
|
Rights (0.0%)‡
|
|||
|
Sweden (0.0%)‡
|
|||
|
Securitas AB, expires 11/17/23 (Cost $24)
|
|
2,282
|
19
|
|
|
Shares
|
Value (000)
|
|
|
Short-Term Investments (14.4%)
|
|||
|
Investment Company (13.8%)
|
|||
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional Class
(g) (Cost $68,723)
|
|
68,723,461
|
$68,723
|
|
|
Face
Amount
(000)
|
|
|
|
|
|||
|
U.S. Treasury Securities (0.6%)
|
|||
|
U.S. Treasury Bill,
|
|
|
|
|
5.01%, 11/30/23 (h)
|
$
|
2,291
|
2,241
|
|
5.33%, 11/30/23 (h)
|
|
550
|
538
|
|
5.38%, 11/30/23 (h)
|
|
150
|
147
|
|
5.43%, 11/30/23 (h)
|
|
150
|
147
|
|
Total U.S. Treasury
Securities (Cost $3,076)
|
|
|
3,073
|
|
Total Short-Term Investments (Cost $71,799)
|
71,796
|
||
|
Total Investments (96.9%) (Cost $444,336) (i)(j)(k)(l)
|
483,391
|
||
|
Other Assets in Excess of Liabilities 3.1%
|
15,264
|
||
|
Net Assets (100.0%)
|
|
$498,655
|
|
|
@
|
Value is less than $500.
|
|
‡
|
Amount is less than 0.05%.
|
|
(a)
|
Security is subject to delayed delivery.
|
|
(b)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(c)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Consolidated Portfolio of Investments. Certain variable rate
securities may not be based on a published reference rate and spread
but are determined by the issuer or agent and are based on current
market conditions. These securities do not indicate a reference rate
and spread in their description in the Consolidated Portfolio of
Investments.
|
|
(d)
|
Perpetual - One or more securities do not have a predetermined
maturity date. Rates for these securities are fixed for a period of time
after which they revert to a floating rate. Interest rates in effect are as
of June 30, 2023.
|
|
(e)
|
Non-income producing security.
|
|
(f)
|
At June 30, 2023, the Fund held a fair valued security valued at $0,
representing 0.0% of net assets. This security has been fair valued as
determined in good faith under procedures established by and under
the general supervision of the Trust’s (as defined herein) Trustees.
|
|
(g)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. Advisory fees paid by the Fund are reduced by an amount
equal to its pro-rata share of the advisory and administration fees paid
by the Fund due to its investment in the Liquidity Funds. For the nine
months ended June 30, 2023, advisory fees paid were reduced by
approximately $87,000 relating to the Fund's investment in the
Liquidity Funds.
|
|
(h)
|
Rate shown is the yield to maturity at June 30, 2023.
|
|
(i)
|
The approximate fair value and percentage of net assets,
$64,216,000 and 12.9%, respectively, represent the securities that
have been fair valued under the fair valuation policy for international
investments as described in Note A-1 within the Notes to the
Consolidated Portfolio of Investments.
|
|
(j)
|
Securities are available for collateral in connection with securities
purchased on a forward commitment basis, open foreign currency
forward exchange contracts, futures contracts and swap agreements.
|
|
(k)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(l)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $78,405,000 and the
aggregate gross unrealized depreciation is approximately
$36,438,000, resulting in net unrealized appreciation of approximately
$41,967,000.
|
|
ADR
|
American Depositary Receipt.
|
|
CDI
|
CHESS Depositary Interest.
|
|
CLO
|
Collateralized Loan Obligation.
|
|
CVA
|
Certificaten Van Aandelen.
|
|
DAC
|
Designated Activity Company.
|
|
EURIBOR
|
Euro Interbank Offered Rate.
|
|
LIBOR
|
London Interbank Offered Rate.
|
|
LSE
|
London Stock Exchange.
|
|
MTN
|
Medium Term Note.
|
|
NYSE
|
New York Stock Exchange.
|
|
OAT
|
Obligations Assimilables du Trésor (French Treasury Obligation).
|
|
REIT
|
Real Estate Investment Trust.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
SONIA
|
Sterling Overnight Index Average.
|
|
TBA
|
To Be Announced.
|
|
USD
|
United States Dollar.
|
|
Foreign Currency Forward Exchange Contracts:
|
||||||
|
The Fund had the following foreign currency forward exchange contracts open at June 30, 2023:
|
||||||
|
Counterparty
|
Contracts
to Deliver
(000)
|
In
Exchange
For
(000)
|
Delivery
Date
|
Unrealized
Appreciation
(Depreciation)
(000)
|
||
|
Bank of America NA
|
CNH
|
3,538
|
$
|
498
|
9/14/23
|
$8
|
|
Bank of America NA
|
GBP
|
238
|
$
|
301
|
8/10/23
|
(1
)
|
|
Bank of America NA
|
PLN
|
252
|
$
|
60
|
9/14/23
|
(1
)
|
|
Bank of America NA
|
$
|
140
|
ILS
|
496
|
9/14/23
|
(6
)
|
|
Bank of America NA
|
$
|
954
|
JPY
|
131,445
|
9/14/23
|
(33
)
|
|
Bank of America NA
|
$
|
57
|
SEK
|
607
|
9/14/23
|
(—@
)
|
|
Barclays Bank PLC
|
EUR
|
1,383
|
$
|
1,501
|
9/14/23
|
(13
)
|
|
Barclays Bank PLC
|
HKD
|
4
|
$
|
1
|
9/14/23
|
—@
|
|
Barclays Bank PLC
|
JPY
|
147,156
|
$
|
1,067
|
8/10/23
|
42
|
|
Barclays Bank PLC
|
NZD
|
818
|
$
|
514
|
8/10/23
|
12
|
|
Barclays Bank PLC
|
THB
|
14,195
|
$
|
413
|
8/10/23
|
11
|
|
Barclays Bank PLC
|
THB
|
10,785
|
$
|
311
|
8/10/23
|
6
|
|
Barclays Bank PLC
|
$
|
554
|
EUR
|
513
|
8/10/23
|
7
|
|
Barclays Bank PLC
|
$
|
2,367
|
JPY
|
326,287
|
9/14/23
|
(81
)
|
|
Barclays Bank PLC
|
$
|
68
|
MXN
|
1,186
|
8/10/23
|
1
|
|
Barclays Bank PLC
|
$
|
332
|
MXN
|
5,830
|
9/14/23
|
4
|
|
Barclays Bank PLC
|
$
|
1,799
|
SEK
|
19,174
|
9/14/23
|
(16
)
|
|
BNP Paribas SA
|
CAD
|
487
|
$
|
367
|
9/14/23
|
(1
)
|
|
BNP Paribas SA
|
CNH
|
1,336
|
$
|
188
|
9/14/23
|
3
|
|
BNP Paribas SA
|
EUR
|
1,132
|
$
|
1,229
|
9/14/23
|
(11
)
|
|
BNP Paribas SA
|
EUR
|
1,753
|
$
|
1,925
|
8/10/23
|
9
|
|
BNP Paribas SA
|
EUR
|
168
|
$
|
184
|
8/10/23
|
—@
|
|
BNP Paribas SA
|
GBP
|
48
|
$
|
61
|
9/14/23
|
(—
@)
|
|
BNP Paribas SA
|
HKD
|
299
|
$
|
38
|
9/14/23
|
—@
|
|
BNP Paribas SA
|
IDR
|
8,489,705
|
$
|
567
|
8/10/23
|
—@
|
|
BNP Paribas SA
|
INR
|
6,880
|
$
|
83
|
9/14/23
|
(1
)
|
|
BNP Paribas SA
|
JPY
|
191,447
|
$
|
1,348
|
9/14/23
|
6
|
|
BNP Paribas SA
|
JPY
|
56,846
|
$
|
395
|
8/10/23
|
(1
)
|
|
BNP Paribas SA
|
NZD
|
886
|
$
|
547
|
8/10/23
|
3
|
|
BNP Paribas SA
|
$
|
170
|
AUD
|
254
|
9/14/23
|
—@
|
|
BNP Paribas SA
|
$
|
4,168
|
CNY
|
28,661
|
8/10/23
|
(207
)
|
|
BNP Paribas SA
|
$
|
57
|
COP
|
242,881
|
9/14/23
|
—@
|
|
BNP Paribas SA
|
$
|
211
|
COP
|
892,795
|
8/10/23
|
1
|
|
BNP Paribas SA
|
$
|
184
|
EUR
|
168
|
7/5/23
|
(—
@)
|
|
BNP Paribas SA
|
$
|
33
|
GBP
|
26
|
8/10/23
|
(—
@)
|
|
BNP Paribas SA
|
$
|
562
|
JPY
|
80,274
|
9/14/23
|
1
|
|
BNP Paribas SA
|
$
|
2,858
|
MXN
|
50,138
|
9/14/23
|
32
|
|
Citibank NA
|
$
|
1,016
|
CHF
|
900
|
8/10/23
|
(7
)
|
|
Citibank NA
|
$
|
293
|
CNY
|
2,070
|
8/10/23
|
(7
)
|
|
Citibank NA
|
$
|
10
|
CZK
|
229
|
9/14/23
|
—@
|
|
Citibank NA
|
$
|
64
|
ILS
|
228
|
9/14/23
|
(3
)
|
|
Credit Agricole CIB
|
$
|
430
|
SGD
|
569
|
8/10/23
|
(9
)
|
|
Goldman Sachs International
|
BRL
|
103,646
|
$
|
20,784
|
9/14/23
|
(588
)
|
|
Goldman Sachs International
|
BRL
|
1,955
|
$
|
401
|
9/14/23
|
(2
)
|
|
Goldman Sachs International
|
DKK
|
62
|
$
|
9
|
9/14/23
|
(—
@)
|
|
Goldman Sachs International
|
HKD
|
—@
|
$
|
—@
|
9/14/23
|
(—
@)
|
|
Goldman Sachs International
|
NOK
|
583
|
$
|
55
|
9/14/23
|
1
|
|
Goldman Sachs International
|
NZD
|
253
|
$
|
156
|
9/14/23
|
1
|
|
Goldman Sachs International
|
SGD
|
83
|
$
|
62
|
9/14/23
|
1
|
|
Goldman Sachs International
|
$
|
187
|
AUD
|
274
|
9/14/23
|
(4
)
|
|
Goldman Sachs International
|
$
|
13,663
|
BRL
|
66,930
|
9/14/23
|
138
|
|
Goldman Sachs International
|
$
|
1,490
|
CHF
|
1,336
|
9/14/23
|
14
|
|
Goldman Sachs International
|
$
|
93
|
CLP
|
74,031
|
9/14/23
|
(1
)
|
|
Foreign Currency Forward Exchange Contracts: (cont'd)
|
||||||
|
|
||||||
|
Counterparty
|
Contracts
to Deliver
(000)
|
In
Exchange
For
(000)
|
Delivery
Date
|
Unrealized
Appreciation
(Depreciation)
(000)
|
||
|
Goldman Sachs International
|
$
|
13
|
CZK
|
278
|
9/14/23
|
—@
|
|
Goldman Sachs International
|
$
|
301
|
JPY
|
41,623
|
8/10/23
|
$(11
)
|
|
Goldman Sachs International
|
$
|
3,891
|
JPY
|
536,423
|
9/14/23
|
(133
)
|
|
Goldman Sachs International
|
$
|
641
|
MXN
|
11,239
|
9/14/23
|
7
|
|
Goldman Sachs International
|
$
|
89
|
NOK
|
943
|
8/10/23
|
(1
)
|
|
Goldman Sachs International
|
$
|
2
|
NOK
|
17
|
8/10/23
|
(—
@)
|
|
Goldman Sachs International
|
$
|
110
|
PEN
|
411
|
8/10/23
|
3
|
|
Goldman Sachs International
|
$
|
358
|
PLN
|
1,497
|
8/10/23
|
10
|
|
Goldman Sachs International
|
$
|
482
|
SEK
|
5,139
|
9/14/23
|
(4
)
|
|
JPMorgan Chase Bank NA
|
CAD
|
127
|
$
|
96
|
9/14/23
|
(—
@)
|
|
JPMorgan Chase Bank NA
|
CHF
|
136
|
$
|
153
|
9/14/23
|
—@
|
|
JPMorgan Chase Bank NA
|
EUR
|
2,058
|
$
|
2,249
|
9/14/23
|
(4
)
|
|
JPMorgan Chase Bank NA
|
EUR
|
2,590
|
$
|
2,831
|
9/14/23
|
(6
)
|
|
JPMorgan Chase Bank NA
|
EUR
|
2,860
|
$
|
3,125
|
9/14/23
|
(7
)
|
|
JPMorgan Chase Bank NA
|
EUR
|
1,064
|
$
|
1,165
|
9/14/23
|
—@
|
|
JPMorgan Chase Bank NA
|
GBP
|
463
|
$
|
585
|
9/14/23
|
(4
)
|
|
JPMorgan Chase Bank NA
|
GBP
|
167
|
$
|
212
|
8/10/23
|
—@
|
|
JPMorgan Chase Bank NA
|
GBP
|
79
|
$
|
101
|
8/10/23
|
—@
|
|
JPMorgan Chase Bank NA
|
GBP
|
246
|
$
|
312
|
9/14/23
|
—@
|
|
JPMorgan Chase Bank NA
|
JPY
|
14,697
|
$
|
107
|
8/10/23
|
4
|
|
JPMorgan Chase Bank NA
|
NOK
|
449
|
$
|
42
|
9/14/23
|
—@
|
|
JPMorgan Chase Bank NA
|
NZD
|
4,028
|
$
|
2,479
|
9/14/23
|
8
|
|
JPMorgan Chase Bank NA
|
NZD
|
401
|
$
|
246
|
9/14/23
|
(—
@)
|
|
JPMorgan Chase Bank NA
|
SGD
|
131
|
$
|
98
|
9/14/23
|
1
|
|
JPMorgan Chase Bank NA
|
$
|
1,838
|
AUD
|
2,700
|
9/14/23
|
(36
)
|
|
JPMorgan Chase Bank NA
|
$
|
1,001
|
CHF
|
898
|
9/14/23
|
9
|
|
JPMorgan Chase Bank NA
|
$
|
208
|
EUR
|
189
|
9/14/23
|
(1
)
|
|
JPMorgan Chase Bank NA
|
$
|
101
|
GBP
|
79
|
7/5/23
|
(—
@)
|
|
JPMorgan Chase Bank NA
|
$
|
2,979
|
JPY
|
395,784
|
8/10/23
|
(221
)
|
|
JPMorgan Chase Bank NA
|
$
|
2,281
|
JPY
|
314,483
|
9/14/23
|
(78
)
|
|
JPMorgan Chase Bank NA
|
$
|
47
|
JPY
|
6,584
|
8/10/23
|
(1
)
|
|
JPMorgan Chase Bank NA
|
$
|
681
|
MXN
|
11,948
|
9/14/23
|
8
|
|
JPMorgan Chase Bank NA
|
$
|
163
|
SEK
|
1,739
|
9/14/23
|
(1
)
|
|
Standard Chartered Bank
|
NZD
|
320
|
$
|
197
|
9/14/23
|
1
|
|
State Street Bank and Trust Co.
|
EUR
|
234
|
$
|
254
|
9/14/23
|
(2
)
|
|
UBS AG
|
AUD
|
2,116
|
$
|
1,424
|
8/10/23
|
13
|
|
UBS AG
|
CAD
|
870
|
$
|
647
|
8/10/23
|
(10
)
|
|
UBS AG
|
CAD
|
192
|
$
|
144
|
9/14/23
|
(—
@)
|
|
UBS AG
|
CNY
|
112,923
|
$
|
15,988
|
9/14/23
|
321
|
|
UBS AG
|
DKK
|
493
|
$
|
73
|
8/10/23
|
1
|
|
UBS AG
|
DKK
|
370
|
$
|
54
|
9/14/23
|
(—@
)
|
|
UBS AG
|
EUR
|
422
|
$
|
454
|
8/10/23
|
(8
)
|
|
UBS AG
|
EUR
|
401
|
$
|
433
|
8/10/23
|
(5
)
|
|
UBS AG
|
EUR
|
2,377
|
$
|
2,580
|
9/14/23
|
(23
)
|
|
UBS AG
|
HKD
|
4
|
$
|
1
|
9/14/23
|
—@
|
|
UBS AG
|
HUF
|
37,953
|
$
|
108
|
8/10/23
|
(2
)
|
|
UBS AG
|
HUF
|
58,917
|
$
|
168
|
8/10/23
|
(3
)
|
|
UBS AG
|
HUF
|
11
|
$
|
—@
|
8/10/23
|
(—
@)
|
|
UBS AG
|
HUF
|
36,924
|
$
|
106
|
8/10/23
|
(1
)
|
|
UBS AG
|
HUF
|
10,170
|
$
|
29
|
8/10/23
|
(—
@)
|
|
UBS AG
|
HUF
|
14,234
|
$
|
41
|
8/10/23
|
(—
@)
|
|
UBS AG
|
HUF
|
28,218
|
$
|
81
|
8/10/23
|
(1
)
|
|
UBS AG
|
IDR
|
8,548,434
|
$
|
579
|
8/10/23
|
9
|
|
UBS AG
|
IDR
|
419,892
|
$
|
28
|
9/14/23
|
—@
|
|
Foreign Currency Forward Exchange Contracts: (cont'd)
|
||||||
|
|
||||||
|
Counterparty
|
Contracts
to Deliver
(000)
|
In
Exchange
For
(000)
|
Delivery
Date
|
Unrealized
Appreciation
(Depreciation)
(000)
|
||
|
UBS AG
|
KRW
|
38,468
|
$
|
30
|
9/14/23
|
1
|
|
UBS AG
|
MXN
|
18,781
|
$
|
1,037
|
8/10/23
|
$(52
)
|
|
UBS AG
|
NZD
|
13,134
|
$
|
8,083
|
9/14/23
|
25
|
|
UBS AG
|
SGD
|
423
|
$
|
316
|
8/10/23
|
3
|
|
UBS AG
|
THB
|
549
|
$
|
16
|
9/14/23
|
—@
|
|
UBS AG
|
TRY
|
458
|
$
|
18
|
9/14/23
|
1
|
|
UBS AG
|
$
|
17
|
AUD
|
25
|
8/10/23
|
—@
|
|
UBS AG
|
$
|
215
|
AUD
|
316
|
9/14/23
|
(4
)
|
|
UBS AG
|
$
|
68
|
CAD
|
92
|
8/10/23
|
2
|
|
UBS AG
|
$
|
138
|
HUF
|
47,799
|
8/10/23
|
1
|
|
UBS AG
|
$
|
14
|
HUF
|
4,751
|
9/14/23
|
—@
|
|
UBS AG
|
$
|
1,906
|
KRW
|
2,515,849
|
8/10/23
|
7
|
|
UBS AG
|
$
|
1,373
|
MXN
|
24,090
|
9/14/23
|
15
|
|
UBS AG
|
$
|
20
|
NZD
|
32
|
8/10/23
|
—@
|
|
UBS AG
|
$
|
141
|
RON
|
632
|
8/10/23
|
(2
)
|
|
UBS AG
|
$
|
688
|
SEK
|
6,999
|
8/10/23
|
(38
)
|
|
UBS AG
|
$
|
186
|
SEK
|
1,985
|
9/14/23
|
(2
)
|
|
UBS AG
|
$
|
617
|
THB
|
20,723
|
8/10/23
|
(30
)
|
|
UBS AG
|
$
|
55
|
TWD
|
1,669
|
9/14/23
|
(1
)
|
|
UBS AG
|
ZAR
|
1,082
|
$
|
58
|
9/14/23
|
1
|
|
Westpac Banking Corp.
|
$
|
4,393
|
EUR
|
3,964
|
8/10/23
|
(59
)
|
|
|
|
|
|
|
|
$(992
)
|
|
Futures Contracts:
|
||||||
|
The Fund had the following futures contracts open at June 30, 2023:
|
||||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Long:
|
|
|
|
|
|
|
|
German Euro-BTP Index (Germany)
|
19
|
Sep-23
|
EUR
|
1,900
|
$2,407
|
$41
|
|
German Euro-Bobl Index (Germany)
|
19
|
Sep-23
|
|
1,900
|
2,399
|
(21
)
|
|
German Euro-Schatz Index (Germany)
|
136
|
Sep-23
|
|
13,600
|
15,560
|
(111
)
|
|
ICE Brent Crude Oil Index (United States)
|
60
|
Oct-23
|
$
|
60
|
4,495
|
(286
)
|
|
KFE 10 yr. Treasury Bond (Korea,
Republic of)
|
24
|
Sep-23
|
KRW
|
2,400,000
|
2,021
|
(6
)
|
|
Long Gilt Index (United Kingdom)
|
2
|
Sep-23
|
GBP
|
200
|
242
|
(1
)
|
|
MSCI Emerging Market Index
(United States)
|
42
|
Sep-23
|
$
|
2
|
2,096
|
(23
)
|
|
Montreal Exchange 10 yr. Canadian Bond
(Canada)
|
7
|
Sep-23
|
CAD
|
700
|
647
|
10
|
|
Nikkei 225 Index (United States)
|
15
|
Sep-23
|
JPY
|
8
|
1,738
|
72
|
|
SFE 10 yr. Australian Bond (Australia)
|
152
|
Sep-23
|
AUD
|
15,200
|
11,763
|
(100
)
|
|
SGX MSCI Singapore Index (Singapore)
|
2
|
Jul-23
|
SGD
|
—@
|
43
|
—@
|
|
TSE TOPIX Index (Japan)
|
25
|
Sep-23
|
JPY
|
250
|
3,964
|
119
|
|
U.S. Treasury 5 yr. Note (United States)
|
71
|
Sep-23
|
$
|
7,100
|
7,604
|
(161
)
|
|
U.S. Treasury 10 yr. Note (United States)
|
43
|
Sep-23
|
|
4,300
|
4,827
|
(20
)
|
|
U.S. Treasury Long Bond (United States)
|
15
|
Sep-23
|
|
1,500
|
1,904
|
(7
)
|
|
Short:
|
|
|
|
|
|
|
|
Euro Stoxx 50 Index (Germany)
|
48
|
Sep-23
|
EUR
|
(—@)
|
(2,319
)
|
(7
)
|
|
FTSE 100 Index (United Kingdom)
|
5
|
Sep-23
|
GBP
|
(—@)
|
(479
)
|
2
|
|
German Euro-BTP Index (Germany)
|
105
|
Sep-23
|
EUR
|
(10,500)
|
(13,304
)
|
(68
)
|
|
German Euro-Bund Index (Germany)
|
55
|
Sep-23
|
|
(5,500)
|
(8,027
)
|
20
|
|
German Short Euro-BTP Index (Germany)
|
36
|
Sep-23
|
|
(3,600)
|
(4,111
)
|
26
|
|
Futures Contracts: (cont'd)
|
||||||
|
|
||||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
S&P 500 E Mini Index (United States)
|
64
|
Sep-23
|
$
|
(3)
|
$(14,362
)
|
$(409
)
|
|
TSE Japanese 10 yr. Bond index (Japan)
|
53
|
Sep-23
|
JPY
|
(5,300,000)
|
(54,563
)
|
(217
)
|
|
U.S. Treasury 5 yr. Note (United States)
|
181
|
Sep-23
|
$
|
(18,100)
|
(19,384
)
|
390
|
|
U.S. Treasury 10 yr. Ultra Note
(United States)
|
60
|
Sep-23
|
|
(6,000)
|
(7,106
)
|
53
|
|
|
|
|
|
|
|
$(704
)
|
|
Interest Rate Swap Agreements:
|
||||||||||
|
The Fund had the following interest rate swap agreements open at June 30, 2023:
|
||||||||||
|
Swap
Counterparty
|
Floating
Rate
Index
|
Pay/
Receive
Floating
Rate
|
Fixed Rate
|
Payment
Frequency
Paid/
Received
|
Maturity
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Upfront
Payment
Paid
(Received)
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Morgan Stanley & Co. LLC*
|
1 Week CNY
|
Pay
|
2.56
%
|
Quarterly/
Quarterly
|
5/16/28
|
CNY
|
70,937
|
$80
|
$—
|
$80
|
|
Morgan Stanley & Co. LLC*
|
1 Week CNY
|
Pay
|
2.56
|
Quarterly/
Quarterly
|
5/16/28
|
|
70,937
|
79
|
—
|
79
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
6.68
|
Monthly/
Monthly
|
6/29/26
|
MXN
|
32,653
|
(121
)
|
—
|
(121
)
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
6.68
|
Monthly/
Monthly
|
6/29/26
|
|
32,653
|
(119
)
|
—
|
(119
)
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
7.36
|
Monthly/
Monthly
|
12/22/26
|
|
57,378
|
(144
)
|
—
|
(144
)
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
7.38
|
Monthly/
Monthly
|
12/22/26
|
|
57,378
|
(143
)
|
—
|
(143
)
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
9.96
|
Monthly/
Monthly
|
2/26/26
|
|
108,941
|
113
|
—
|
113
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
9.96
|
Monthly/
Monthly
|
2/26/26
|
|
108,941
|
112
|
—
|
112
|
|
Morgan Stanley & Co. LLC*
|
1 Month TIIE
|
Pay
|
10.02
|
Monthly/
Monthly
|
2/26/26
|
|
107,315
|
121
|
—
|
121
|
|
|
|
|
|
|
|
|
|
$(22
)
|
$—
|
$(22
)
|
|
Total Return Swap Agreements:
|
||||||||||
|
The Fund had the following total return swap agreements open at June 30, 2023:
|
||||||||||
|
Swap Counterparty
|
Index
|
Pay/
Receive
Total Return
of Reference
Index
|
Floating Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Upfront
Payment
Paid
(Received)
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Barclays Bank PLC
|
E&P Index
|
Pay
|
SOFR + 0.20%
|
Quarterly
|
4/10/24
|
$
|
(929
)
|
$10
|
$—
|
$10
|
|
Barclays Bank PLC
|
E&P Index
|
Pay
|
SOFR + 0.20%
|
Quarterly
|
4/10/24
|
|
(2,132
)
|
28
|
—
|
28
|
|
Barclays Bank PLC
|
MSCI Daily Total Return
World Gross Consumer
Staples Index
|
Receive
|
SOFR + 0.10%
|
Quarterly
|
5/20/24
|
|
5,247
|
141
|
—
|
141
|
|
Barclays Bank PLC
|
MSCI World Tobacco Index
|
Pay
|
SOFR + 0.25%
|
Quarterly
|
5/20/24
|
|
(5,283
)
|
(20
)
|
—
|
(20
)
|
|
BNP Paribas SA
|
BNP EU Luxury Index††
|
Receive
|
SOFR + 0.24%
|
Quarterly
|
5/30/24
|
|
2,749
|
(113
)
|
—
|
(113
)
|
|
BNP Paribas SA
|
BNP EU Luxury Index††
|
Receive
|
SOFR + 0.24%
|
Quarterly
|
5/30/24
|
|
4,955
|
(311
)
|
—
|
(311
)
|
|
BNP Paribas SA
|
EMU IMI Anti-Value Index††
|
Receive
|
SOFR + 0.04%
|
Quarterly
|
9/28/23
|
EUR
|
3,563
|
(92
)
|
—
|
(92
)
|
|
BNP Paribas SA
|
EMU IMI Anti-Value Index††
|
Receive
|
SOFR + 0.04%
|
Quarterly
|
9/28/23
|
|
3,550
|
(91
)
|
—
|
(91
)
|
|
BNP Paribas SA
|
EMU IMI Anti-Value Index††
|
Receive
|
SOFR + 0.04%
|
Quarterly
|
9/28/23
|
|
3,562
|
(92
)
|
—
|
(92
)
|
|
BNP Paribas SA
|
EMU IMI Anti-Value Index††
|
Receive
|
SOFR + 0.04%
|
Quarterly
|
9/28/23
|
|
3,559
|
(92
)
|
—
|
(92
)
|
|
BNP Paribas SA
|
EMU IMI Anti-Value Index††
|
Receive
|
SOFR + 0.04%
|
Quarterly
|
9/28/23
|
|
3,672
|
(95
)
|
—
|
(95
)
|
|
BNP Paribas SA
|
EMU IMI Value Index††
|
Pay
|
SOFR + 0.42%
|
Quarterly
|
9/28/23
|
|
(3,618
)
|
59
|
—
|
59
|
|
BNP Paribas SA
|
EMU IMI Value Index††
|
Pay
|
SOFR + 0.42%
|
Quarterly
|
9/28/23
|
|
(3,583
)
|
58
|
—
|
58
|
|
BNP Paribas SA
|
EMU IMI Value Index††
|
Pay
|
SOFR + 0.42%
|
Quarterly
|
9/28/23
|
|
(3,560
)
|
58
|
—
|
58
|
|
BNP Paribas SA
|
EMU IMI Value Index††
|
Pay
|
SOFR + 0.42%
|
Quarterly
|
9/28/23
|
|
(3,532
)
|
58
|
—
|
58
|
|
BNP Paribas SA
|
EMU IMI Value Index††
|
Pay
|
SOFR + 0.42%
|
Quarterly
|
9/28/23
|
|
(3,514
)
|
57
|
—
|
57
|
|
BNP Paribas SA
|
MSCI Japan Net Total
Return Index
|
Pay
|
SOFR + 0.01%
|
Quarterly
|
2/12/24
|
$
|
(15,422
)
|
563
|
—
|
563
|
|
BNP Paribas SA
|
MSCI USA Index
|
Pay
|
SOFR + 0.35%
|
Quarterly
|
7/14/23
|
|
(42,075
)
|
3,447
|
—
|
3,447
|
|
Goldman Sachs
International
|
MSCI Emerging Markets
Net Total Return Index
|
Pay
|
SOFR + 0.21%
|
Quarterly
|
1/26/24
|
|
(30,058
)
|
355
|
—
|
355
|
|
Total Return Swap Agreements: (cont'd)
|
||||||||||
|
|
||||||||||
|
Swap Counterparty
|
Index
|
Pay/
Receive
Total Return
of Reference
Index
|
Floating Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Upfront
Payment
Paid
(Received)
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Goldman Sachs
International
|
MSCI USA Index
|
Pay
|
SOFR + 0.30%
|
Quarterly
|
9/22/23
|
$
|
(43,172
)
|
$695
|
$—
|
$695
|
|
JPMorgan Chase Bank NA
|
Japan Growth Index††
|
Receive
|
SOFR + 0.19%
|
Quarterly
|
6/26/24
|
|
7,805
|
235
|
—
|
235
|
|
JPMorgan Chase Bank NA
|
Japan Value Index††
|
Pay
|
SOFR + 0.00%
|
Quarterly
|
6/26/24
|
|
(7,844
)
|
(183
)
|
—
|
(183
)
|
|
JPMorgan Chase Bank NA
|
JPM SPX 1500 Growth
Index††
|
Receive
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
3,559
|
(72
)
|
—
|
(72
)
|
|
JPMorgan Chase Bank NA
|
JPM SPX 1500 Growth
Index††
|
Receive
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
5,409
|
(86
)
|
—
|
(86
)
|
|
JPMorgan Chase Bank NA
|
JPM SPX 1500 Value
Index††
|
Pay
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
(3,547
)
|
59
|
—
|
59
|
|
JPMorgan Chase Bank NA
|
JPM SPX 1500 Value
Index††
|
Pay
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
(5,418
)
|
66
|
—
|
66
|
|
JPMorgan Chase Bank NA
|
JPM SPX Broad Growth
Index††
|
Receive
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
3,318
|
(73
)
|
—
|
(73
)
|
|
JPMorgan Chase Bank NA
|
JPM SPX Broad Growth
Index††
|
Receive
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
5,053
|
(80
)
|
—
|
(80
)
|
|
JPMorgan Chase Bank NA
|
JPM SPX Broad Value
Index††
|
Pay
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
(3,309
)
|
52
|
—
|
52
|
|
JPMorgan Chase Bank NA
|
JPM SPX Broad Value
Index††
|
Pay
|
SOFR + 0.05%
|
Quarterly
|
6/12/24
|
|
(5,047
)
|
60
|
—
|
60
|
|
JPMorgan Chase Bank NA
|
Korea Growth Index
|
Receive
|
SOFR + 0.30%
|
Quarterly
|
6/25/24
|
|
1,940
|
93
|
—
|
93
|
|
JPMorgan Chase Bank NA
|
Korea Value Index
|
Pay
|
SOFR + 0.16%
|
Quarterly
|
6/25/24
|
|
(1,946
)
|
(64
)
|
—
|
(64
)
|
|
|
|
|
|
|
|
|
|
$4,630
|
$—
|
$4,630
|
|
††
|
See tables below for details of the equity basket holdings underlying the swaps.
|
|
The following table represents the equity basket holdings underlying the
total return swap with BNP EU Luxury Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
BNP EU Luxury Index
|
|||
|
Brunello Cucinelli SpA
|
199
|
$18
|
1.73
%
|
|
Burberry Group PLC
|
1,109
|
31
|
2.96
|
|
Cie Financiere Richemo - Class A Reg
|
1,319
|
218
|
21.14
|
|
Hermes International
|
93
|
194
|
18.86
|
|
Hugo Boss AG
|
210
|
16
|
1.55
|
|
Kering SA
|
342
|
192
|
18.65
|
|
LVMH Moet Hennessy Louis
Vuitton SE
|
239
|
220
|
21.30
|
|
Moncler SpA
|
813
|
57
|
5.49
|
|
Salvatore Ferragamo SpA
|
530
|
9
|
0.84
|
|
Swatch Group AG
|
150
|
43
|
4.18
|
|
Tapestry, Inc.
|
693
|
30
|
2.89
|
|
Tod's SpA
|
104
|
4
|
0.42
|
|
The following table represents the equity basket holdings underlying the
total return swap with EMU IMI Anti-Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
EMU IMI Anti-Value Index
|
|
|
|
|
Adidas AG
|
46
|
$8
|
0.86
%
|
|
Adyen NV
|
7
|
10
|
1.07
|
|
AIB Group PLC
|
2,274
|
9
|
0.93
|
|
Air Liquide SA
|
51
|
8
|
0.85
|
|
Airbus SE
|
61
|
8
|
0.81
|
|
Akzo Nobel NV
|
111
|
8
|
0.82
|
|
Allfunds Group PLC
|
1,483
|
9
|
0.89
|
|
Amplifon SpA
|
234
|
8
|
0.81
|
|
ASM International NV
|
23
|
9
|
0.90
|
|
ASML Holding NV
|
14
|
9
|
0.92
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
EMU IMI Anti-Value Index (cont'd)
|
|
|
|
|
Auto1 Group SE
|
1,089
|
$8
|
0.87
%
|
|
Banca Generali SpA
|
307
|
9
|
0.97
|
|
Barco NV
|
339
|
8
|
0.81
|
|
Bawag Group AG
|
194
|
8
|
0.87
|
|
CA Immobilien Anlagen AG
|
349
|
9
|
0.92
|
|
Credit Agricole SA
|
782
|
8
|
0.86
|
|
CTS Eventim AG & Co. KGaA
|
140
|
8
|
0.82
|
|
Dassault Systemes SE
|
257
|
10
|
1.06
|
|
Davide Campari-Milano NV
|
650
|
8
|
0.82
|
|
Delivery Hero SE
|
236
|
8
|
0.87
|
|
Deutsche Boerse AG
|
49
|
8
|
0.85
|
|
Edenred
|
171
|
10
|
1.06
|
|
Evotec SE
|
383
|
8
|
0.81
|
|
Ferrari NV
|
29
|
8
|
0.85
|
|
Flutter Entertainment PLC
|
44
|
8
|
0.82
|
|
Galapagos NV
|
211
|
8
|
0.81
|
|
Gecina SA
|
90
|
9
|
0.89
|
|
Getlink SE
|
498
|
8
|
0.81
|
|
Groupe Bruxelles Lambert NV
|
114
|
8
|
0.85
|
|
Hannover Rueck SE
|
43
|
8
|
0.84
|
|
Industrie De Nora SpA
|
452
|
9
|
0.91
|
|
ING Groep NV
|
723
|
9
|
0.90
|
|
Inmobiliaria Colonial Socimi SA
|
1,487
|
8
|
0.85
|
|
Inpost SA
|
826
|
8
|
0.83
|
|
Interparfums SA
|
109
|
8
|
0.81
|
|
MARR SpA
|
551
|
8
|
0.81
|
|
Nemetschek SE
|
148
|
10
|
1.06
|
|
Redcare Pharmacy NV
|
84
|
8
|
0.81
|
|
Safran SA
|
56
|
8
|
0.81
|
|
Salcef Group SpA
|
364
|
8
|
0.87
|
|
Schneider Electric SE
|
52
|
8
|
0.85
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
EMU IMI Anti-Value Index (cont'd)
|
|
|
|
|
Scout24 SE
|
146
|
$9
|
0.88
%
|
|
SES Imagotag
|
84
|
14
|
1.45
|
|
Siemens AG - Reg
|
53
|
9
|
0.88
|
|
Siemens Energy AG
|
362
|
8
|
0.87
|
|
Tomtom NV
|
1,281
|
9
|
0.91
|
|
Verbio Vereinigte Bioenergie AG
|
201
|
8
|
0.80
|
|
Voltalia SA - Reg
|
528
|
8
|
0.83
|
|
Vonovia SE
|
468
|
8
|
0.85
|
|
Warehouses De Pauw SA
|
311
|
8
|
0.80
|
|
The following table represents the equity basket holdings underlying the
total return swap with EMU IMI Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
EMU IMI Value Index
|
|
|
|
|
Acerinox SA
|
892
|
$9
|
0.92
%
|
|
Air France-KLM
|
5,105
|
9
|
0.95
|
|
Aperam
|
261
|
8
|
0.86
|
|
Applus Services SA
|
1,080
|
10
|
1.02
|
|
Atos SE
|
830
|
11
|
1.14
|
|
Banca Monte dei Paschi di Siena SpA
|
3,640
|
8
|
0.88
|
|
Bayerische Motoren Werke AG
|
73
|
8
|
0.83
|
|
Bekaert NV
|
204
|
8
|
0.87
|
|
Beneteau
|
587
|
9
|
0.92
|
|
Bouygues SA
|
305
|
9
|
0.94
|
|
Bper Banca
|
3,112
|
9
|
0.89
|
|
Cancom SE
|
312
|
9
|
0.93
|
|
Casino Guichard Perrachon SA
|
1,176
|
9
|
0.98
|
|
Clariane SE
|
1,241
|
8
|
0.88
|
|
Compagnie De Saint Gobain
|
190
|
10
|
1.07
|
|
Construcciones y Auxiliar de
Ferrocarriles
|
364
|
11
|
1.17
|
|
Daimler Truck Holding AG
|
322
|
10
|
1.03
|
|
Dalata Hotel Group PLC
|
1,736
|
8
|
0.84
|
|
Dermapharm Holding SE
|
207
|
9
|
0.96
|
|
Deutz AG
|
1,654
|
9
|
0.89
|
|
Eiffage
|
94
|
9
|
0.94
|
|
Fresenius Medical Care AG
|
215
|
9
|
0.97
|
|
Fresenius Se & Co KGaA
|
346
|
9
|
0.90
|
|
Fugro NV
|
761
|
11
|
1.12
|
|
Glanbia PLC
|
729
|
10
|
1.03
|
|
Grifols SA
|
900
|
11
|
1.10
|
|
Indra Sistemas SA
|
740
|
8
|
0.87
|
|
Ipsen
|
81
|
9
|
0.90
|
|
Iveco Group NV
|
1,214
|
10
|
1.03
|
|
Koninklijke Bam Groep NV
|
4,565
|
8
|
0.88
|
|
Leonardo SpA
|
825
|
9
|
0.91
|
|
Melia Hotels International
|
1,272
|
8
|
0.84
|
|
Nexi SpA
|
1,260
|
9
|
0.93
|
|
Outokumpu Oyj
|
1,662
|
9
|
0.91
|
|
Ovs SpA
|
3,497
|
9
|
0.89
|
|
Rexel SA
|
489
|
11
|
1.11
|
|
Sanofi
|
85
|
8
|
0.86
|
|
Signify NV
|
339
|
9
|
0.89
|
|
Siltronic AG
|
125
|
9
|
0.93
|
|
Sopra Steria Group
|
48
|
9
|
0.90
|
|
STMicroelectronics NV
|
186
|
8
|
0.85
|
|
Suedzucker AG
|
634
|
11
|
1.09
|
|
Tag Immobilien AG
|
1,291
|
11
|
1.11
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
EMU IMI Value Index (cont'd)
|
|
|
|
|
Telenet Group Holding NV
|
412
|
$9
|
0.89
%
|
|
Thyssenkrupp AG
|
1,184
|
8
|
0.84
|
|
Tietoevry Oyj
|
315
|
8
|
0.82
|
|
Unibail-Rodamco-Westfield
|
188
|
9
|
0.90
|
|
Unicredit SpA
|
397
|
8
|
0.84
|
|
Voestalpine AG
|
265
|
9
|
0.89
|
|
Xior Student Housing NV
|
320
|
9
|
0.95
|
|
The following table represents the equity basket holdings underlying the
total return swap with Japan Growth Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
Japan Growth Index
|
|
|
|
|
Advantest Corp.
|
1,522
|
$197
|
1.99
%
|
|
Asahi Intecc Co. Ltd.
|
10,810
|
212
|
2.14
|
|
Bandai Namco Holdings, Inc.
|
8,850
|
211
|
2.13
|
|
Baycurrent Consulting, Inc.
|
5,221
|
211
|
2.13
|
|
Capcom Co. Ltd.
|
5,453
|
212
|
2.13
|
|
Chubu Electric Power Co., Inc.
|
17,970
|
215
|
2.16
|
|
Daifuku Co. Ltd.
|
9,865
|
208
|
2.09
|
|
Daiichi Sankyo Co. Ltd.
|
6,437
|
209
|
2.11
|
|
Daikin Industries Ltd.
|
1,038
|
213
|
2.14
|
|
Daiwa House Reit Investment
|
109
|
213
|
2.14
|
|
Disco Corp.
|
1,294
|
202
|
2.04
|
|
Fanuc Corp.
|
5,795
|
209
|
2.11
|
|
Fast Retailing Co. Ltd.
|
822
|
212
|
2.14
|
|
GLP J-REIT
|
208
|
212
|
2.14
|
|
Gmo Payment Gateway, Inc.
|
2,598
|
209
|
2.11
|
|
Hoshizaki Corp.
|
5,756
|
214
|
2.16
|
|
Japan Exchange Group, Inc.
|
11,970
|
218
|
2.20
|
|
JSR Corp.
|
9,241
|
212
|
2.14
|
|
Keio Corp.
|
6,452
|
214
|
2.15
|
|
Keisei Electric Railway Co.
|
5,140
|
213
|
2.14
|
|
Keyence Corp.
|
443
|
213
|
2.15
|
|
Kobe Bussan Co. Ltd.
|
8,186
|
214
|
2.16
|
|
Koei Tecmo Holdings Co. Ltd.
|
12,420
|
212
|
2.14
|
|
Kose Corp.
|
2,086
|
206
|
2.08
|
|
Lasertec Corp.
|
1,395
|
202
|
2.04
|
|
M3, Inc.
|
9,326
|
208
|
2.10
|
|
Mcdonald's Holdings Co. Japan
|
5,221
|
211
|
2.13
|
|
Monotaro Co. Ltd.
|
15,931
|
209
|
2.11
|
|
Nidec Corp.
|
3,778
|
207
|
2.09
|
|
Nippon Paint Holdings Co. Ltd.
|
25,417
|
213
|
2.15
|
|
Nippon Prologis REIT, Inc.
|
104
|
211
|
2.13
|
|
Nissan Chemical Corp.
|
4,882
|
212
|
2.14
|
|
Obic Co. Ltd.
|
1,301
|
214
|
2.15
|
|
Oracle Corp. Japan
|
2,581
|
215
|
2.17
|
|
Oriental Land Co. Ltd.
|
5,718
|
212
|
2.14
|
|
Rakuten Group, Inc.
|
61,125
|
213
|
2.15
|
|
Recruit Holdings Co. Ltd.
|
6,490
|
209
|
2.11
|
|
Shiseido Co. Ltd.
|
4,326
|
204
|
2.06
|
|
SMC Corp.
|
369
|
207
|
2.09
|
|
Sompo Holdings, Inc.
|
4,810
|
221
|
2.23
|
|
T&D Holdings, Inc.
|
14,362
|
212
|
2.14
|
|
Toho Co. Ltd.
|
5,512
|
211
|
2.12
|
|
Tokio Marine Holdings, Inc.
|
9,185
|
216
|
2.18
|
|
Trend Micro, Inc.
|
4,207
|
211
|
2.12
|
|
Unicharm Corp.
|
5,666
|
216
|
2.17
|
|
Yaskawa Electric Corp.
|
4,511
|
209
|
2.10
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
Japan Growth Index (cont'd)
|
|
|
|
|
Zozo, Inc.
|
10,120
|
$216
|
2.17
%
|
|
The following table represents the equity basket holdings underlying the
total return swap with Japan Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
Japan Value Index
|
|
|
|
|
Agc, Inc.
|
6,399
|
$235
|
2.13
%
|
|
Asahi Group Holdings Ltd.
|
5,896
|
233
|
2.12
|
|
Brother Industries Ltd.
|
15,041
|
233
|
2.11
|
|
Canon, Inc.
|
8,669
|
234
|
2.13
|
|
Daiwa House Industry Co. Ltd.
|
8,781
|
236
|
2.14
|
|
Dentsu Group, Inc.
|
7,145
|
239
|
2.16
|
|
Hitachi Construction Machinery Co.
Ltd.
|
8,395
|
236
|
2.14
|
|
Honda Motor Co. Ltd.
|
7,550
|
233
|
2.12
|
|
Iida Group Holdings Co. Ltd.
|
13,955
|
238
|
2.16
|
|
Isuzu Motors Ltd.
|
18,952
|
232
|
2.10
|
|
Japan Post Holdings Co. Ltd.
|
32,564
|
233
|
2.12
|
|
Japan Post Insurance Co. Ltd.
|
15,524
|
233
|
2.11
|
|
JFE Holdings, Inc.
|
16,533
|
234
|
2.12
|
|
Kajima Corp.
|
16,096
|
239
|
2.17
|
|
Kawasaki Kisen Kaisha Ltd.
|
10,350
|
237
|
2.15
|
|
Kirin Holdings Co. Ltd.
|
15,377
|
234
|
2.13
|
|
Mazda Motor Corp.
|
24,189
|
233
|
2.11
|
|
Meiji Holdings Co. Ltd.
|
10,320
|
233
|
2.12
|
|
Mitsubishi Chemical Group Co.
|
40,306
|
234
|
2.12
|
|
Mitsubishi Corp.
|
4,627
|
237
|
2.15
|
|
Mitsui & Co. Ltd.
|
5,807
|
236
|
2.14
|
|
Mitsui Osk Lines Ltd.
|
10,151
|
236
|
2.14
|
|
Mizuho Financial Group, Inc.
|
15,786
|
238
|
2.16
|
|
NEC Corp.
|
4,831
|
233
|
2.11
|
|
NGK Insulators Ltd.
|
18,658
|
232
|
2.11
|
|
Nippon Express Holdings, Inc.
|
4,015
|
237
|
2.16
|
|
Nippon Telegraph & Telephone Corp.
|
8,103
|
234
|
2.13
|
|
Nippon Yusen Kabushiki Kaisha
|
10,988
|
235
|
2.13
|
|
Nissan Motor Co. Ltd.
|
62,173
|
234
|
2.12
|
|
Nomura Real Estate Holdings, Inc.
|
9,525
|
238
|
2.16
|
|
Oji Holdings Corp.
|
59,754
|
235
|
2.14
|
|
Ono Pharmaceutical Co. Ltd.
|
12,059
|
234
|
2.12
|
|
Orix Corp.
|
13,246
|
241
|
2.18
|
|
Otsuka Holdings Co. Ltd.
|
6,007
|
233
|
2.12
|
|
Ricoh Co. Ltd.
|
27,630
|
234
|
2.13
|
|
SBI Holdings, Inc.
|
12,002
|
234
|
2.12
|
|
Seiko Epson Corp.
|
14,848
|
234
|
2.12
|
|
Seven & I Holdings Co. Ltd.
|
5,443
|
228
|
2.07
|
|
Shionogi & Co. Ltd.
|
5,390
|
234
|
2.12
|
|
Softbank Corp.
|
21,833
|
232
|
2.11
|
|
Subaru Corp.
|
12,436
|
233
|
2.11
|
|
Sumco Corp.
|
16,138
|
227
|
2.06
|
|
Sumitomo Corp.
|
10,775
|
238
|
2.16
|
|
Sumitomo Realty & Development Co.
Ltd.
|
8,992
|
234
|
2.12
|
|
TDK Corp.
|
5,985
|
228
|
2.07
|
|
Tokyo Gas Co. Ltd.
|
10,586
|
236
|
2.14
|
|
Toyota Tsusho Corp.
|
4,681
|
235
|
2.13
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM SPX 1500 Growth Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX 1500 Growth Index
|
|
|
|
|
Amazon.com, Inc.
|
391
|
$51
|
0.51
%
|
|
Aon PLC - Class A
|
155
|
52
|
0.52
|
|
Apple, Inc.
|
269
|
50
|
0.51
|
|
Arthur J Gallagher & Co.
|
237
|
50
|
0.51
|
|
Celsius Holdings, Inc.
|
344
|
51
|
0.51
|
|
Cogent Communications Holdings,
Inc.
|
773
|
50
|
0.50
|
|
Copart, Inc.
|
560
|
50
|
0.50
|
|
Dexcom, Inc.
|
401
|
51
|
0.51
|
|
Elf Beauty, Inc.
|
457
|
52
|
0.52
|
|
Fastenal Co.
|
891
|
51
|
0.51
|
|
Five Below
|
258
|
51
|
0.51
|
|
Hawaiian Holdings, Inc.
|
5,382
|
53
|
0.53
|
|
HCI Group, Inc.
|
828
|
50
|
0.51
|
|
Installed Building Products
|
409
|
53
|
0.53
|
|
Insulet Corp.
|
173
|
50
|
0.51
|
|
Intuitive Surgical, Inc.
|
156
|
51
|
0.52
|
|
Jack Henry & Associates, Inc.
|
311
|
50
|
0.51
|
|
Lattice Semiconductor Corp.
|
598
|
53
|
0.53
|
|
Linde PLC
|
134
|
50
|
0.50
|
|
Marsh & Mclennan Cos
|
275
|
50
|
0.51
|
|
Mccormick & Co.-Non Voting Shares
|
539
|
50
|
0.51
|
|
Mercury General Corp.
|
1,582
|
50
|
0.51
|
|
Meta Platforms, Inc. - Class A
|
183
|
52
|
0.53
|
|
Monolithic Power Systems, Inc.
|
98
|
50
|
0.50
|
|
Monster Beverage Corp.
|
844
|
50
|
0.51
|
|
Msa Safety, Inc.
|
328
|
54
|
0.54
|
|
Nike, Inc. - Class B
|
457
|
50
|
0.51
|
|
Novanta, Inc.
|
288
|
51
|
0.51
|
|
Nvidia Corp.
|
126
|
54
|
0.55
|
|
Old Dominion Freight Line
|
153
|
51
|
0.51
|
|
Payoneer Global, Inc.
|
10,860
|
52
|
0.52
|
|
Penumbra, Inc.
|
154
|
52
|
0.53
|
|
Quanta Services, Inc.
|
265
|
50
|
0.50
|
|
R1 RCM, Inc.
|
2,895
|
50
|
0.51
|
|
Rockwell Automation, Inc.
|
160
|
50
|
0.51
|
|
Ross Stores, Inc.
|
470
|
51
|
0.51
|
|
Saia, Inc.
|
159
|
50
|
0.50
|
|
Shake Shack, Inc. - Class A
|
703
|
53
|
0.53
|
|
Sitime Corp.
|
443
|
53
|
0.54
|
|
SPS Commerce, Inc.
|
285
|
52
|
0.53
|
|
Take-Two Interactive Software
|
365
|
51
|
0.52
|
|
TJX Companies, Inc.
|
624
|
51
|
0.51
|
|
Transdigm Group, Inc.
|
60
|
51
|
0.52
|
|
Vericel Corp.
|
1,434
|
51
|
0.52
|
|
Verisk Analytics, Inc.
|
221
|
50
|
0.51
|
|
Watsco, Inc.
|
139
|
50
|
0.51
|
|
World Acceptance Corp.
|
385
|
51
|
0.51
|
|
Xpel, Inc.
|
636
|
52
|
0.52
|
|
Xylem, Inc.
|
445
|
50
|
0.50
|
|
Zoetis, Inc.
|
295
|
50
|
0.51
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM SPX 1500 Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX 1500 Value Index
|
|
|
|
|
Agco Corp.
|
395
|
$53
|
0.54
%
|
|
Alpha & Omega Semiconductor
|
1,645
|
51
|
0.52
|
|
American Airlines Group, Inc.
|
3,173
|
52
|
0.53
|
|
American Axle & Manufacturing, Inc.
|
6,371
|
51
|
0.51
|
|
American Woodmark Corp.
|
708
|
51
|
0.51
|
|
Andersons, Inc.
|
1,106
|
50
|
0.50
|
|
Arrow Electronics, Inc.
|
362
|
50
|
0.50
|
|
B&G Foods, Inc.
|
3,609
|
51
|
0.52
|
|
Baxter International, Inc.
|
1,174
|
53
|
0.54
|
|
Benchmark Electronics, Inc.
|
1,965
|
50
|
0.50
|
|
Boise Cascade Co.
|
618
|
50
|
0.51
|
|
Bunge Ltd.
|
532
|
50
|
0.50
|
|
Caleres, Inc.
|
2,093
|
52
|
0.53
|
|
Catalyst Pharmaceuticals, Inc.
|
4,093
|
54
|
0.55
|
|
CF Industries Holdings, Inc.
|
721
|
51
|
0.52
|
|
Clearfield, Inc.
|
1,088
|
51
|
0.52
|
|
Designer Brands, Inc. - Class A
|
5,612
|
53
|
0.53
|
|
Dynavax Technologies Corp.
|
4,110
|
53
|
0.54
|
|
Eagle Pharmaceuticals, Inc.
|
2,574
|
51
|
0.52
|
|
Ebix, Inc.
|
2,202
|
50
|
0.51
|
|
Enovis Corp.
|
844
|
51
|
0.52
|
|
Genesco, Inc.
|
2,246
|
55
|
0.56
|
|
Greenbrier Companies, Inc.
|
1,581
|
51
|
0.52
|
|
Hewlett Packard Enterprise
|
3,072
|
52
|
0.52
|
|
Ichor Holdings Ltd.
|
1,403
|
51
|
0.51
|
|
Interface, Inc.
|
6,076
|
51
|
0.52
|
|
Iqvia Holdings, Inc.
|
235
|
50
|
0.51
|
|
KB Home
|
1,007
|
52
|
0.53
|
|
Lithia Motors, Inc.
|
188
|
53
|
0.54
|
|
M/I Homes, Inc.
|
644
|
53
|
0.54
|
|
Manpowergroup, Inc.
|
634
|
50
|
0.50
|
|
Masterbrand, Inc.
|
4,486
|
51
|
0.52
|
|
Medifast, Inc.
|
592
|
52
|
0.53
|
|
Organon & Co.
|
2,426
|
51
|
0.51
|
|
Par Pacific Holdings, Inc.
|
2,040
|
51
|
0.51
|
|
Photronics, Inc.
|
2,107
|
51
|
0.51
|
|
Preferred Bank
|
920
|
50
|
0.50
|
|
Principal Financial Group
|
685
|
50
|
0.50
|
|
Revvity, Inc.
|
436
|
50
|
0.51
|
|
Suncoke Energy, Inc.
|
6,362
|
51
|
0.52
|
|
TD Synnex Corp.
|
518
|
50
|
0.50
|
|
Terex Corp.
|
872
|
50
|
0.50
|
|
The Cigna Group
|
184
|
51
|
0.51
|
|
Timken Co.
|
579
|
50
|
0.51
|
|
Titan International, Inc.
|
4,369
|
51
|
0.52
|
|
United States Steel Corp.
|
2,136
|
50
|
0.51
|
|
Veritiv Corp.
|
415
|
51
|
0.52
|
|
Viatris, Inc.
|
5,099
|
51
|
0.52
|
|
Wabash National Corp.
|
1,823
|
50
|
0.51
|
|
Warrior Met Coal, Inc.
|
1,360
|
51
|
0.52
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM SPX Broad Growth Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX Broad Growth Index
|
|
|
|
|
Alnylam Pharmaceuticals, Inc.
|
215
|
$43
|
0.43
%
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX Broad Growth Index
(cont'd)
|
|
|
|
|
Amazon.com, Inc.
|
330
|
$43
|
0.43
%
|
|
Arthur J Gallagher & Co.
|
200
|
43
|
0.43
|
|
Burlington Stores, Inc.
|
278
|
43
|
0.43
|
|
Celsius Holdings, Inc.
|
291
|
43
|
0.43
|
|
Coinbase Global, Inc. - Class A
|
747
|
43
|
0.43
|
|
Costar Group, Inc.
|
506
|
44
|
0.44
|
|
Dexcom, Inc.
|
338
|
43
|
0.43
|
|
Doordash, Inc. - Class A
|
586
|
43
|
0.43
|
|
Elf Beauty, Inc.
|
386
|
44
|
0.44
|
|
Fastenal Co.
|
752
|
43
|
0.43
|
|
Five Below
|
217
|
43
|
0.43
|
|
Guardant Health, Inc.
|
1,258
|
47
|
0.47
|
|
Hawaiian Holdings, Inc.
|
4,544
|
45
|
0.45
|
|
HCI Group, Inc.
|
699
|
42
|
0.43
|
|
Heico Corp.
|
249
|
43
|
0.43
|
|
Installed Building Products
|
345
|
45
|
0.45
|
|
Insulet Corp.
|
146
|
42
|
0.43
|
|
Intuitive Surgical, Inc.
|
132
|
43
|
0.43
|
|
Lattice Semiconductor Corp.
|
505
|
45
|
0.45
|
|
Lululemon Athletica, Inc.
|
115
|
44
|
0.44
|
|
Marsh & Mclennan Cos
|
232
|
42
|
0.43
|
|
Mccormick & Co.-Non Voting Shares
|
455
|
43
|
0.43
|
|
Mongodb, Inc.
|
109
|
42
|
0.43
|
|
Msa Safety, Inc.
|
277
|
46
|
0.46
|
|
Nike, Inc. - Class B
|
386
|
43
|
0.43
|
|
Novanta, Inc.
|
244
|
43
|
0.43
|
|
Nvidia Corp.
|
106
|
46
|
0.46
|
|
Old Dominion Freight Line
|
129
|
43
|
0.43
|
|
Opendoor Technologies, Inc.
|
16,459
|
52
|
0.52
|
|
Penumbra, Inc.
|
130
|
44
|
0.44
|
|
Pinterest, Inc. - Class A
|
1,712
|
45
|
0.45
|
|
Pure Storage, Inc. - Class A
|
1,186
|
43
|
0.44
|
|
R1 RCM, Inc.
|
2,444
|
42
|
0.43
|
|
Rockwell Automation, Inc.
|
135
|
43
|
0.43
|
|
Ross Stores, Inc.
|
397
|
43
|
0.43
|
|
Shake Shack, Inc. - Class A
|
594
|
45
|
0.45
|
|
Siteone Landscape Supply, Inc.
|
273
|
43
|
0.44
|
|
Sitime Corp.
|
374
|
45
|
0.45
|
|
Sofi Technologies, Inc.
|
5,047
|
43
|
0.43
|
|
Southwest Airlines Co.
|
1,340
|
46
|
0.46
|
|
Tesla, Inc.
|
175
|
46
|
0.46
|
|
TJX Companies, Inc.
|
527
|
43
|
0.43
|
|
Transdigm Group, Inc.
|
51
|
43
|
0.43
|
|
Uber Technologies, Inc.
|
1,018
|
44
|
0.44
|
|
Verisk Analytics, Inc.
|
186
|
42
|
0.43
|
|
Wayfair, Inc. - Class A
|
774
|
44
|
0.44
|
|
World Acceptance Corp.
|
325
|
43
|
0.43
|
|
Xpel, Inc.
|
537
|
44
|
0.44
|
|
Zoetis, Inc.
|
249
|
42
|
0.43
|
|
The following table represents the equity basket holdings underlying the
total return swap with JPM SPX Broad Value Index as of June 30, 2023:
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX Broad Value Index
|
|
|
|
|
Agco Corp.
|
334
|
$45
|
0.45
%
|
|
Alpha & Omega Semiconductor
|
1,389
|
43
|
0.44
|
|
American Airlines Group, Inc.
|
2,679
|
44
|
0.44
|
|
|
|||
|
Security Description
|
Shares
|
Value
(000)
|
Index Weight
|
|
JPM SPX Broad Value Index
(cont'd)
|
|
|
|
|
American Axle & Manufacturing
Holdings, Inc.
|
5,378
|
$43
|
0.43
%
|
|
Andersons, Inc.
|
934
|
42
|
0.43
|
|
Applovin Corp. - Class A
|
1,822
|
43
|
0.44
|
|
Arrow Electronics, Inc.
|
306
|
42
|
0.43
|
|
B&G Foods, Inc.
|
3,047
|
43
|
0.44
|
|
Baxter International, Inc.
|
991
|
45
|
0.46
|
|
Boise Cascade Co.
|
522
|
42
|
0.43
|
|
Caleres, Inc.
|
1,767
|
44
|
0.45
|
|
Catalyst Pharmaceuticals, Inc.
|
3,456
|
45
|
0.46
|
|
CF Industries Holdings, Inc.
|
608
|
43
|
0.44
|
|
Clearfield, Inc.
|
919
|
43
|
0.44
|
|
Delta Air Lines, Inc.
|
1,048
|
45
|
0.46
|
|
Designer Brands, Inc. - Class A
|
4,738
|
44
|
0.45
|
|
Dropbox, Inc. - Class A
|
1,734
|
46
|
0.47
|
|
Dynavax Technologies Corp.
|
3,470
|
45
|
0.46
|
|
Eagle Pharmaceuticals, Inc.
|
2,173
|
43
|
0.44
|
|
Ebix, Inc.
|
1,859
|
43
|
0.43
|
|
Elanco Animal Health, Inc.
|
4,383
|
44
|
0.44
|
|
Enovis Corp.
|
713
|
43
|
0.44
|
|
Genesco, Inc.
|
1,897
|
46
|
0.47
|
|
Greenbrier Companies, Inc.
|
1,335
|
43
|
0.44
|
|
Hewlett Packard Enterprise
|
2,594
|
44
|
0.44
|
|
Ichor Holdings Ltd.
|
1,184
|
43
|
0.43
|
|
Interface, Inc.
|
5,129
|
43
|
0.44
|
|
KB Home
|
850
|
44
|
0.45
|
|
Kyndryl Holdings, Inc.
|
3,321
|
44
|
0.45
|
|
Lithia Motors, Inc.
|
158
|
45
|
0.45
|
|
M/I Homes, Inc.
|
544
|
45
|
0.45
|
|
Masterbrand, Inc.
|
3,788
|
43
|
0.44
|
|
Maxlinear, Inc.
|
1,430
|
43
|
0.43
|
|
Medifast, Inc.
|
500
|
44
|
0.45
|
|
Organon & Co.
|
2,048
|
43
|
0.43
|
|
Par Pacific Holdings, Inc.
|
1,722
|
43
|
0.43
|
|
Photronics, Inc.
|
1,779
|
43
|
0.43
|
|
Playtika Holding Corp.
|
3,781
|
43
|
0.43
|
|
Revvity, Inc.
|
368
|
42
|
0.43
|
|
Rithm Capital Corp.
|
4,595
|
42
|
0.43
|
|
Sanmina Corp.
|
741
|
43
|
0.44
|
|
Suncoke Energy, Inc.
|
5,371
|
43
|
0.44
|
|
TD Synnex Corp.
|
438
|
42
|
0.43
|
|
The Cigna Group
|
155
|
43
|
0.43
|
|
Titan International, Inc.
|
3,689
|
43
|
0.44
|
|
Universal Health Services - Class B
|
297
|
45
|
0.45
|
|
Veritiv Corp.
|
350
|
43
|
0.44
|
|
Viatris, Inc.
|
4,305
|
43
|
0.44
|
|
Wabash National Corp.
|
1,539
|
42
|
0.43
|
|
Warrior Met Coal, Inc.
|
1,148
|
43
|
0.44
|
|
@
|
Value is less than $500.
|
|
*
|
Cleared swap agreement, the broker is Morgan Stanley & Co. LLC.
|
|
AGC
|
Assured Guaranty Corporation.
|
|
FTSE
|
Financial Times Stock Exchange.
|
|
ICE
|
Intercontinental Exchange.
|
|
KFE
|
Korean Futures Exchange.
|
|
MSCI
|
Morgan Stanley Capital International.
|
|
REIT
|
Real Estate Investment Trust.
|
|
SFE
|
Sydney Futures Exchange.
|
|
SGX
|
Singapore Exchange Ltd.
|
|
TIIE
|
Interbank Equilibrium Interest Rate.
|
|
TSE
|
Toronto Stock Exchange.
|
|
AUD —
|
Australian Dollar
|
|
BRL —
|
Brazilian Real
|
|
CAD —
|
Canadian Dollar
|
|
CHF —
|
Swiss Franc
|
|
CLP —
|
Chilean Peso
|
|
CNH —
|
Chinese Yuan Renminbi Offshore
|
|
CNY —
|
Chinese Yuan Renminbi
|
|
COP —
|
Colombian Peso
|
|
CZK —
|
Czech Koruna
|
|
DKK —
|
Danish Krone
|
|
EUR —
|
Euro
|
|
GBP —
|
British Pound
|
|
HKD —
|
Hong Kong Dollar
|
|
HUF —
|
Hungarian Forint
|
|
IDR —
|
Indonesian Rupiah
|
|
ILS —
|
Israeli Shekel
|
|
INR —
|
Indian Rupee
|
|
JPY —
|
Japanese Yen
|
|
KRW —
|
South Korean Won
|
|
MXN —
|
Mexican Peso
|
|
MYR —
|
Malaysian Ringgit
|
|
NOK —
|
Norwegian Krone
|
|
NZD —
|
New Zealand Dollar
|
|
PEN —
|
Peruvian Nuevo Sol
|
|
PLN —
|
Polish Zloty
|
|
RON —
|
Romanian New Leu
|
|
SEK —
|
Swedish Krona
|
|
SGD —
|
Singapore Dollar
|
|
THB —
|
Thai Baht
|
|
TRY —
|
Turkish Lira
|
|
TWD —
|
Taiwan Dollar
|
|
USD —
|
United States Dollar
|
|
ZAR —
|
South African Rand
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Fixed Income Securities
|
48.4
%
|
|
Common Stocks
|
36.7
|
|
Short-Term Investments
|
14.9
|
|
Total Investments
|
100.0
%**
|
|
**
|
Does not include open long/short futures contracts with a value of approximately
$185,365,000 and net unrealized depreciation of approximately $704,000. Does
not include open foreign currency forward exchange contracts with net unrealized
depreciation of approximately $992,000. Also does not include open swap
agreements with net unrealized appreciation of approximately $4,608,000.
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Fixed Income Securities (98.2%)
|
|
|
|
|
Corporate Bonds (96.8%)
|
|||
|
Basic Materials (6.0%)
|
|
|
|
|
ASP Unifrax Holdings, Inc.
|
|
|
|
|
5.25%, 9/30/28 (a)
|
$
|
651
|
$471
|
|
Eldorado Gold Corp.
|
|
|
|
|
6.25%, 9/1/29 (a)
|
|
500
|
448
|
|
HB Fuller Co.
|
|
|
|
|
4.25%, 10/15/28
|
|
675
|
602
|
|
Herens Holdco Sarl
|
|
|
|
|
4.75%, 5/15/28 (a)
|
|
600
|
466
|
|
Hudbay Minerals, Inc.
|
|
|
|
|
4.50%, 4/1/26 (a)
|
|
359
|
335
|
|
IAMGOLD Corp.
|
|
|
|
|
5.75%, 10/15/28 (a)
|
|
574
|
430
|
|
Iris Holding, Inc.
|
|
|
|
|
10.00%, 12/15/28 (a)
|
|
600
|
441
|
|
Kaiser Aluminum Corp.
|
|
|
|
|
4.50%, 6/1/31 (a)
|
|
250
|
200
|
|
4.63%, 3/1/28 (a)
|
|
300
|
263
|
|
Minerals Technologies, Inc.
|
|
|
|
|
5.00%, 7/1/28 (a)
|
|
500
|
455
|
|
NOVA Chemicals Corp.
|
|
|
|
|
4.25%, 5/15/29 (a)
|
|
300
|
245
|
|
Novelis Corp.
|
|
|
|
|
4.75%, 1/30/30 (a)
|
|
375
|
334
|
|
Nufarm Australia Ltd./Nufarm Americas, Inc.
|
|
|
|
|
5.00%, 1/27/30 (a)
|
|
500
|
443
|
|
Tacora Resources, Inc.
|
|
|
|
|
8.25%, 5/15/26 (a)
|
|
500
|
378
|
|
TMS International Corp.
|
|
|
|
|
6.25%, 4/15/29 (a)
|
|
925
|
778
|
|
Trinseo Materials Operating SCA/Trinseo
Materials Finance, Inc.
|
|
|
|
|
5.13%, 4/1/29 (a)
|
|
525
|
243
|
|
5.38%, 9/1/25 (a)
|
|
350
|
293
|
|
|
|
|
6,825
|
|
Communications (9.3%)
|
|
|
|
|
Altice France SA
|
|
|
|
|
5.13%, 7/15/29 (a)
|
|
600
|
427
|
|
Arches Buyer, Inc.
|
|
|
|
|
4.25%, 6/1/28 (a)
|
|
175
|
152
|
|
6.13%, 12/1/28 (a)
|
|
310
|
267
|
|
Audacy Capital Corp.
|
|
|
|
|
6.50%, 5/1/27 (a)
|
|
900
|
18
|
|
Banijay Entertainment SASU
|
|
|
|
|
5.38%, 3/1/25 (a)
|
|
425
|
417
|
|
Block Communications, Inc.
|
|
|
|
|
4.88%, 3/1/28 (a)
|
|
693
|
574
|
|
C&W Senior Financing DAC
|
|
|
|
|
6.88%, 9/15/27 (a)
|
|
250
|
218
|
|
CCO Holdings LLC/CCO Holdings Capital
Corp.
|
|
|
|
|
5.00%, 2/1/28 (a)
|
|
450
|
410
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Ciena Corp.
|
|
|
|
|
4.00%, 1/31/30 (a)
|
$
|
785
|
$685
|
|
Clear Channel Outdoor Holdings, Inc.
|
|
|
|
|
7.75%, 4/15/28 (a)
|
|
785
|
617
|
|
CSC Holdings LLC
|
|
|
|
|
5.75%, 1/15/30 (a)
|
|
300
|
142
|
|
7.50%, 4/1/28 (a)
|
|
500
|
286
|
|
11.25%, 5/15/28 (a)
|
|
680
|
660
|
|
EquipmentShare.com, Inc.
|
|
|
|
|
9.00%, 5/15/28 (a)
|
|
540
|
525
|
|
GCI LLC
|
|
|
|
|
4.75%, 10/15/28 (a)
|
|
300
|
256
|
|
Gray Escrow II, Inc.
|
|
|
|
|
5.38%, 11/15/31 (a)
|
|
500
|
332
|
|
Gray Television, Inc.
|
|
|
|
|
4.75%, 10/15/30 (a)
|
|
50
|
34
|
|
iHeartCommunications, Inc.
|
|
|
|
|
5.25%, 8/15/27 (a)
|
|
80
|
61
|
|
Iliad Holding SASU
|
|
|
|
|
7.00%, 10/15/28 (a)
|
|
200
|
185
|
|
Lamar Media Corp.
|
|
|
|
|
4.00%, 2/15/30
|
|
300
|
263
|
|
LCPR Senior Secured Financing DAC
|
|
|
|
|
6.75%, 10/15/27 (a)
|
|
520
|
488
|
|
Midcontinent Communications/Midcontinent
Finance Corp.
|
|
|
|
|
5.38%, 8/15/27 (a)
|
|
376
|
353
|
|
National CineMedia LLC
|
|
|
|
|
5.75%, 8/15/26
|
|
600
|
25
|
|
Outfront Media Capital LLC/Outfront Media
Capital Corp.
|
|
|
|
|
4.63%, 3/15/30 (a)
|
|
350
|
292
|
|
Radiate Holdco LLC/Radiate Finance, Inc.
|
|
|
|
|
6.50%, 9/15/28 (a)
|
|
525
|
307
|
|
Sable International Finance Ltd.
|
|
|
|
|
5.75%, 9/7/27 (a)
|
|
249
|
234
|
|
Sirius XM Radio, Inc.
|
|
|
|
|
4.00%, 7/15/28 (a)
|
|
325
|
283
|
|
Spotify USA, Inc.
|
|
|
|
|
0.00%, 3/15/26
|
|
500
|
427
|
|
TEGNA, Inc.
|
|
|
|
|
5.00%, 9/15/29
|
|
300
|
259
|
|
Townsquare Media, Inc.
|
|
|
|
|
6.88%, 2/1/26 (a)
|
|
100
|
96
|
|
Urban One, Inc.
|
|
|
|
|
7.38%, 2/1/28 (a)
|
|
300
|
262
|
|
Viavi Solutions, Inc.
|
|
|
|
|
3.75%, 10/1/29 (a)
|
|
600
|
510
|
|
Virgin Media Finance PLC
|
|
|
|
|
5.00%, 7/15/30 (a)
|
|
400
|
319
|
|
Ziggo BV
|
|
|
|
|
4.88%, 1/15/30 (a)
|
|
350
|
291
|
|
|
|
|
10,675
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Consumer, Cyclical (25.6%)
|
|
|
|
|
Air Canada
|
|
|
|
|
3.88%, 8/15/26 (a)
|
$
|
300
|
$278
|
|
Allwyn Entertainment Financing UK PLC
|
|
|
|
|
7.88%, 4/30/29 (a)
|
|
245
|
249
|
|
American Airlines, Inc.
|
|
|
|
|
7.25%, 2/15/28 (a)
|
|
117
|
116
|
|
American Airlines, Inc./AAdvantage Loyalty IP
Ltd.
|
|
|
|
|
5.75%, 4/20/29 (a)
|
|
575
|
559
|
|
Arko Corp.
|
|
|
|
|
5.13%, 11/15/29 (a)
|
|
675
|
549
|
|
Ashton Woods USA LLC/Ashton Woods
Finance Co.
|
|
|
|
|
4.63%, 4/1/30 (a)
|
|
500
|
427
|
|
At Home Group, Inc.
|
|
|
|
|
4.88%, 7/15/28 (a)
|
|
255
|
135
|
|
Boyne USA, Inc.
|
|
|
|
|
4.75%, 5/15/29 (a)
|
|
750
|
677
|
|
Brinker International, Inc.
|
|
|
|
|
8.25%, 7/15/30 (a)
|
|
510
|
503
|
|
Caesars Entertainment, Inc.
|
|
|
|
|
4.63%, 10/15/29 (a)
|
|
300
|
262
|
|
Carrols Restaurant Group, Inc.
|
|
|
|
|
5.88%, 7/1/29 (a)
|
|
1,075
|
886
|
|
Cars.com, Inc.
|
|
|
|
|
6.38%, 11/1/28 (a)
|
|
570
|
526
|
|
CCM Merger, Inc.
|
|
|
|
|
6.38%, 5/1/26 (a)
|
|
750
|
728
|
|
CD&R Smokey Buyer, Inc.
|
|
|
|
|
6.75%, 7/15/25 (a)
|
|
885
|
824
|
|
CDI Escrow Issuer, Inc.
|
|
|
|
|
5.75%, 4/1/30 (a)
|
|
425
|
396
|
|
Cushman & Wakefield U.S. Borrower LLC
|
|
|
|
|
6.75%, 5/15/28 (a)
|
|
250
|
226
|
|
Dana, Inc.
|
|
|
|
|
4.25%, 9/1/30
|
|
300
|
250
|
|
Dealer Tire LLC/DT Issuer LLC
|
|
|
|
|
8.00%, 2/1/28 (a)
|
|
750
|
684
|
|
DraftKings Holdings, Inc.
|
|
|
|
|
0.00%, 3/15/28
|
|
465
|
351
|
|
Evergreen Acqco 1 LP/TVI, Inc.
|
|
|
|
|
9.75%, 4/26/28 (a)
|
|
441
|
456
|
|
Everi Holdings, Inc.
|
|
|
|
|
5.00%, 7/15/29 (a)
|
|
300
|
263
|
|
Ferrellgas LP/Ferrellgas Finance Corp.
|
|
|
|
|
5.88%, 4/1/29 (a)
|
|
1,075
|
902
|
|
Fertitta Entertainment LLC/Fertitta
Entertainment Finance Co., Inc.
|
|
|
|
|
6.75%, 1/15/30 (a)
|
|
200
|
170
|
|
Ford Motor Co.
|
|
|
|
|
3.25%, 2/12/32
|
|
1,470
|
1,158
|
|
GYP Holdings III Corp.
|
|
|
|
|
4.63%, 5/1/29 (a)
|
|
260
|
229
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Hanesbrands, Inc.
|
|
|
|
|
4.88%, 5/15/26 (a)
|
$
|
320
|
$299
|
|
9.00%, 2/15/31 (a)
|
|
165
|
166
|
|
Hilton Domestic Operating Co., Inc.
|
|
|
|
|
3.63%, 2/15/32 (a)
|
|
250
|
209
|
|
Jacobs Entertainment, Inc.
|
|
|
|
|
6.75%, 2/15/29 (a)
|
|
620
|
556
|
|
JB Poindexter & Co., Inc.
|
|
|
|
|
7.13%, 4/15/26 (a)
|
|
750
|
734
|
|
Ken Garff Automotive LLC
|
|
|
|
|
4.88%, 9/15/28 (a)
|
|
275
|
242
|
|
Kohl's Corp.
|
|
|
|
|
4.63%, 5/1/31
|
|
600
|
418
|
|
LCM Investments Holdings II LLC
|
|
|
|
|
4.88%, 5/1/29 (a)
|
|
275
|
236
|
|
LGI Homes, Inc.
|
|
|
|
|
4.00%, 7/15/29 (a)
|
|
500
|
417
|
|
Lindblad Expeditions Holdings, Inc.
|
|
|
|
|
9.00%, 5/15/28 (a)
|
|
199
|
202
|
|
Lindblad Expeditions LLC
|
|
|
|
|
6.75%, 2/15/27 (a)
|
|
395
|
377
|
|
Lithia Motors, Inc.
|
|
|
|
|
3.88%, 6/1/29 (a)
|
|
400
|
348
|
|
Macy's Retail Holdings LLC
|
|
|
|
|
5.88%, 3/15/30 (a)
|
|
500
|
446
|
|
Marriott Ownership Resorts, Inc.
|
|
|
|
|
4.50%, 6/15/29 (a)
|
|
400
|
346
|
|
Mattamy Group Corp.
|
|
|
|
|
5.25%, 12/15/27 (a)
|
|
250
|
233
|
|
Mclaren Finance PLC
|
|
|
|
|
7.50%, 8/1/26 (a)
|
|
450
|
386
|
|
Michaels Cos., Inc.
|
|
|
|
|
7.88%, 5/1/29 (a)
|
|
520
|
351
|
|
Midwest Gaming Borrower LLC/Midwest
Gaming Finance Corp.
|
|
|
|
|
4.88%, 5/1/29 (a)
|
|
500
|
442
|
|
New Home Co., Inc.
|
|
|
|
|
7.25%, 10/15/25 (a)
|
|
755
|
701
|
|
Newell Brands, Inc.
|
|
|
|
|
4.70%, 4/1/26
|
|
320
|
301
|
|
Patrick Industries, Inc.
|
|
|
|
|
4.75%, 5/1/29 (a)
|
|
150
|
129
|
|
Peloton Interactive, Inc.
|
|
|
|
|
0.00%, 2/15/26
|
|
595
|
454
|
|
Penn Entertainment, Inc.
|
|
|
|
|
4.13%, 7/1/29 (a)
|
|
300
|
246
|
|
PetSmart, Inc./PetSmart Finance Corp.
|
|
|
|
|
4.75%, 2/15/28 (a)
|
|
275
|
254
|
|
7.75%, 2/15/29 (a)
|
|
250
|
249
|
|
Premier Entertainment Sub LLC/Premier
Entertainment Finance Corp.
|
|
|
|
|
5.88%, 9/1/31 (a)
|
|
850
|
628
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Consumer, Cyclical (cont'd)
|
|
|
|
|
Raptor Acquisition
Corp./Raptor Co.-Issuer LLC
|
|
|
|
|
4.88%, 11/1/26 (a)
|
$
|
395
|
$373
|
|
Real Hero Merger Sub 2, Inc.
|
|
|
|
|
6.25%, 2/1/29 (a)
|
|
745
|
612
|
|
Resorts World Las Vegas LLC/RWLV Capital,
Inc.
|
|
|
|
|
4.63%, 4/16/29
|
|
600
|
496
|
|
Rite Aid Corp.
|
|
|
|
|
7.50%, 7/1/25 (a)
|
|
576
|
343
|
|
8.00%, 11/15/26 (a)
|
|
380
|
187
|
|
Rivian Holdings LLC/Rivian LLC/Rivian
Automotive LLC
|
|
|
|
|
6 Month USD LIBOR + 5.63%, 10.93%,
10/15/26 (a)(b)
|
|
730
|
711
|
|
Speedway Motorsports LLC/Speedway
Funding II, Inc.
|
|
|
|
|
4.88%, 11/1/27 (a)
|
|
900
|
834
|
|
Station Casinos LLC
|
|
|
|
|
4.50%, 2/15/28 (a)
|
|
300
|
270
|
|
Sugarhouse HSP Gaming Prop
Mezz LP/Sugarhouse
HSP Gaming Finance Corp.
|
|
|
|
|
5.88%, 5/15/25 (a)
|
|
660
|
638
|
|
Superior Plus LP/Superior General Partner,
Inc.
|
|
|
|
|
4.50%, 3/15/29 (a)
|
|
400
|
351
|
|
Tempur Sealy International, Inc.
|
|
|
|
|
3.88%, 10/15/31 (a)
|
|
250
|
204
|
|
4.00%, 4/15/29 (a)
|
|
200
|
173
|
|
Thor Industries, Inc.
|
|
|
|
|
4.00%, 10/15/29 (a)
|
|
275
|
234
|
|
Titan International, Inc.
|
|
|
|
|
7.00%, 4/30/28
|
|
475
|
445
|
|
United Airlines, Inc.
|
|
|
|
|
4.63%, 4/15/29 (a)
|
|
475
|
433
|
|
Viking Cruises Ltd.
|
|
|
|
|
5.88%, 9/15/27 (a)
|
|
630
|
580
|
|
VistaJet Malta Finance PLC/Vista Management
Holding, Inc.
|
|
|
|
|
9.50%, 6/1/28 (a)
|
|
165
|
152
|
|
Wheel Pros, Inc.
|
|
|
|
|
6.50%, 5/15/29 (a)
|
|
600
|
182
|
|
White Cap Buyer LLC
|
|
|
|
|
6.88%, 10/15/28 (a)
|
|
400
|
363
|
|
ZF North America Capital, Inc.
|
|
|
|
|
6.88%, 4/14/28 (a)
|
|
535
|
542
|
|
|
|
|
29,297
|
|
Consumer, Non-Cyclical (14.5%)
|
|
|
|
|
AHP Health Partners, Inc.
|
|
|
|
|
5.75%, 7/15/29 (a)
|
|
985
|
850
|
|
Air Methods Corp.
|
|
|
|
|
8.00%, 5/15/25 (a)
|
|
800
|
7
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Alta Equipment Group, Inc.
|
|
|
|
|
5.63%, 4/15/26 (a)
|
$
|
610
|
$567
|
|
AMN Healthcare, Inc.
|
|
|
|
|
4.00%, 4/15/29 (a)
|
|
450
|
393
|
|
APi Group DE, Inc.
|
|
|
|
|
4.13%, 7/15/29 (a)
|
|
350
|
303
|
|
4.75%, 10/15/29 (a)
|
|
200
|
180
|
|
Cano Health LLC
|
|
|
|
|
6.25%, 10/1/28 (a)
|
|
970
|
608
|
|
Carriage Services, Inc.
|
|
|
|
|
4.25%, 5/15/29 (a)
|
|
250
|
215
|
|
Catalent Pharma Solutions, Inc.
|
|
|
|
|
3.13%, 2/15/29 (a)
|
|
228
|
186
|
|
Chobani LLC/Chobani Finance Corp., Inc.
|
|
|
|
|
4.63%, 11/15/28 (a)
|
|
425
|
387
|
|
7.50%, 4/15/25 (a)
|
|
275
|
274
|
|
CoreLogic, Inc.
|
|
|
|
|
4.50%, 5/1/28 (a)
|
|
250
|
202
|
|
CPI CG, Inc.
|
|
|
|
|
8.63%, 3/15/26 (a)
|
|
448
|
432
|
|
Darling Ingredients, Inc.
|
|
|
|
|
6.00%, 6/15/30 (a)
|
|
200
|
196
|
|
Edgewell Personal Care Co.
|
|
|
|
|
5.50%, 6/1/28 (a)
|
|
250
|
237
|
|
Fortrea Holdings, Inc.
|
|
|
|
|
7.50%, 7/1/30 (a)
|
|
225
|
231
|
|
Garda World Security Corp.
|
|
|
|
|
9.50%, 11/1/27 (a)
|
|
450
|
435
|
|
Grifols Escrow Issuer SA
|
|
|
|
|
4.75%, 10/15/28 (a)
|
|
625
|
543
|
|
GXO Logistics, Inc.
|
|
|
|
|
1.65%, 7/15/26
|
|
325
|
283
|
|
Heartland Dental LLC/Heartland Dental
Finance Corp.
|
|
|
|
|
8.50%, 5/1/26 (a)
|
|
491
|
440
|
|
10.50%, 4/30/28 (a)
|
|
460
|
458
|
|
H-Food Holdings LLC/Hearthside Finance Co.,
Inc.
|
|
|
|
|
8.50%, 6/1/26 (a)
|
|
400
|
159
|
|
Ingles Markets, Inc.
|
|
|
|
|
4.00%, 6/15/31 (a)
|
|
500
|
420
|
|
Medline Borrower LP
|
|
|
|
|
5.25%, 10/1/29 (a)
|
|
1,050
|
912
|
|
Metis Merger Sub LLC
|
|
|
|
|
6.50%, 5/15/29 (a)
|
|
400
|
345
|
|
ModivCare Escrow Issuer, Inc.
|
|
|
|
|
5.00%, 10/1/29 (a)
|
|
600
|
445
|
|
ModivCare, Inc.
|
|
|
|
|
5.88%, 11/15/25 (a)
|
|
250
|
232
|
|
Nathan's Famous, Inc.
|
|
|
|
|
6.63%, 11/1/25 (a)
|
|
909
|
908
|
|
Option Care Health, Inc.
|
|
|
|
|
4.38%, 10/31/29 (a)
|
|
380
|
335
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Consumer, Non-Cyclical (cont'd)
|
|
|
|
|
P&L Development LLC/PLD Finance Corp.
|
|
|
|
|
7.75%, 11/15/25 (a)
|
$
|
1,085
|
$883
|
|
Performance Food Group, Inc.
|
|
|
|
|
4.25%, 8/1/29 (a)
|
|
300
|
267
|
|
Perrigo Finance Unlimited Co.
|
|
|
|
|
4.90%, 12/15/44
|
|
214
|
166
|
|
PROG Holdings, Inc.
|
|
|
|
|
6.00%, 11/15/29 (a)
|
|
325
|
286
|
|
RegionalCare Hospital Partners Holdings,
Inc./LifePoint Health, Inc.
|
|
|
|
|
9.75%, 12/1/26 (a)
|
|
550
|
462
|
|
Signal Parent, Inc.
|
|
|
|
|
6.13%, 4/1/29 (a)
|
|
670
|
374
|
|
Sotheby's
|
|
|
|
|
7.38%, 10/15/27 (a)
|
|
450
|
405
|
|
Surgery Center Holdings, Inc.
|
|
|
|
|
6.75%, 7/1/25 (a)
|
|
150
|
150
|
|
10.00%, 4/15/27 (a)
|
|
455
|
466
|
|
Tenet Healthcare Corp.
|
|
|
|
|
6.13%, 10/1/28
|
|
275
|
265
|
|
U.S. Acute Care Solutions LLC
|
|
|
|
|
6.38%, 3/1/26 (a)
|
|
825
|
707
|
|
WASH Multifamily Acquisition, Inc.
|
|
|
|
|
5.75%, 4/15/26 (a)
|
|
500
|
467
|
|
ZipRecruiter, Inc.
|
|
|
|
|
5.00%, 1/15/30 (a)
|
|
685
|
584
|
|
|
|
|
16,665
|
|
Energy (10.7%)
|
|
|
|
|
Archrock Partners LP/Archrock Partners
Finance Corp.
|
|
|
|
|
6.25%, 4/1/28 (a)
|
|
200
|
188
|
|
6.88%, 4/1/27 (a)
|
|
300
|
288
|
|
Baytex Energy Corp.
|
|
|
|
|
8.50%, 4/30/30 (a)
|
|
105
|
103
|
|
8.75%, 4/1/27 (a)
|
|
556
|
564
|
|
Blue Racer Midstream LLC/Blue Racer Finance
Corp.
|
|
|
|
|
6.63%, 7/15/26 (a)
|
|
512
|
507
|
|
CITGO Petroleum Corp.
|
|
|
|
|
6.38%, 6/15/26 (a)
|
|
610
|
588
|
|
CNX Midstream Partners LP
|
|
|
|
|
4.75%, 4/15/30 (a)
|
|
450
|
382
|
|
Continental Resources, Inc.
|
|
|
|
|
2.88%, 4/1/32 (a)
|
|
825
|
634
|
|
CQP Holdco LP/BIP-V Chinook Holdco LLC
|
|
|
|
|
5.50%, 6/15/31 (a)
|
|
250
|
223
|
|
CrownRock LP/CrownRock Finance, Inc.
|
|
|
|
|
5.00%, 5/1/29 (a)
|
|
450
|
422
|
|
Diamondback Energy, Inc.
|
|
|
|
|
4.25%, 3/15/52
|
|
300
|
230
|
|
Earthstone Energy Holdings LLC
|
|
|
|
|
9.88%, 7/15/31 (a)
|
|
600
|
594
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Global Partners LP/GLP Finance Corp.
|
|
|
|
|
7.00%, 8/1/27
|
$
|
690
|
$671
|
|
ITT Holdings LLC
|
|
|
|
|
6.50%, 8/1/29 (a)
|
|
670
|
565
|
|
Kinetik Holdings LP
|
|
|
|
|
5.88%, 6/15/30 (a)
|
|
549
|
522
|
|
Magnolia Oil & Gas Operating LLC/Magnolia
Oil & Gas Finance Corp.
|
|
|
|
|
6.00%, 8/1/26 (a)
|
|
550
|
533
|
|
Martin Midstream Partners LP/Martin
Midstream Finance Corp.
|
|
|
|
|
11.50%, 2/15/28 (a)
|
|
545
|
526
|
|
Matador Resources Co.
|
|
|
|
|
5.88%, 9/15/26
|
|
274
|
266
|
|
6.88%, 4/15/28 (a)
|
|
390
|
386
|
|
Oceaneering International, Inc.
|
|
|
|
|
4.65%, 11/15/24
|
|
325
|
318
|
|
6.00%, 2/1/28
|
|
875
|
830
|
|
Permian Resources Operating LLC
|
|
|
|
|
5.88%, 7/1/29 (a)
|
|
450
|
424
|
|
Plains All American Pipeline LP
|
|
|
|
|
Series B
|
|
|
|
|
3 Month USD LIBOR + 4.11%, 9.43%,
7/31/23 (b)(c)
|
|
499
|
447
|
|
Rockies Express Pipeline LLC
|
|
|
|
|
3.60%, 5/15/25 (a)
|
|
300
|
284
|
|
Southwestern Energy Co.
|
|
|
|
|
4.75%, 2/1/32
|
|
300
|
265
|
|
Tallgrass Energy Partners LP/Tallgrass Energy
Finance Corp.
|
|
|
|
|
6.00%, 12/31/30 (a)
|
|
500
|
441
|
|
Targa Resources Partners LP/Targa Resources
Partners Finance Corp.
|
|
|
|
|
4.00%, 1/15/32
|
|
600
|
520
|
|
Vermilion Energy, Inc.
|
|
|
|
|
5.63%, 3/15/25 (a)
|
|
575
|
563
|
|
|
|
|
12,284
|
|
Finance (7.3%)
|
|
|
|
|
AG TTMT Escrow Issuer LLC
|
|
|
|
|
8.63%, 9/30/27 (a)
|
|
200
|
205
|
|
BroadStreet Partners, Inc.
|
|
|
|
|
5.88%, 4/15/29 (a)
|
|
275
|
239
|
|
Coinbase Global, Inc.
|
|
|
|
|
3.38%, 10/1/28 (a)
|
|
425
|
285
|
|
Compass Group Diversified Holdings LLC
|
|
|
|
|
5.25%, 4/15/29 (a)
|
|
685
|
601
|
|
CTR Partnership LP/CareTrust Capital Corp.
|
|
|
|
|
3.88%, 6/30/28 (a)
|
|
900
|
775
|
|
Global Net Lease, Inc./Global Net
Lease Operating Partnership LP
|
|
|
|
|
3.75%, 12/15/27 (a)
|
|
300
|
220
|
|
Howard Hughes Corp.
|
|
|
|
|
4.13%, 2/1/29 (a)
|
|
200
|
166
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Finance (cont'd)
|
|
|
|
|
Icahn Enterprises LP/Icahn Enterprises
Finance Corp.
|
|
|
|
|
4.75%, 9/15/24
|
$
|
245
|
$234
|
|
6.25%, 5/15/26
|
|
475
|
433
|
|
6.38%, 12/15/25
|
|
60
|
56
|
|
Iron Mountain, Inc.
|
|
|
|
|
5.25%, 7/15/30 (a)
|
|
300
|
270
|
|
Jane Street Group/JSG Finance, Inc.
|
|
|
|
|
4.50%, 11/15/29 (a)
|
|
700
|
603
|
|
Jefferies Finance LLC/JFIN Co.-Issuer Corp.
|
|
|
|
|
5.00%, 8/15/28 (a)
|
|
500
|
410
|
|
Jefferson Capital Holdings LLC
|
|
|
|
|
6.00%, 8/15/26 (a)
|
|
731
|
595
|
|
LPL Holdings, Inc.
|
|
|
|
|
4.00%, 3/15/29 (a)
|
|
430
|
378
|
|
Macquarie Airfinance Holdings Ltd.
|
|
|
|
|
8.38%, 5/1/28 (a)
|
|
450
|
457
|
|
MGIC Investment Corp.
|
|
|
|
|
5.25%, 8/15/28
|
|
275
|
260
|
|
Oxford Finance LLC/Oxford Finance Co-Issuer
II Inc.
|
|
|
|
|
6.38%, 2/1/27 (a)
|
|
750
|
699
|
|
RHP Hotel Properties LP/RHP Finance Corp.
|
|
|
|
|
4.75%, 10/15/27
|
|
250
|
233
|
|
RLJ Lodging Trust LP
|
|
|
|
|
3.75%, 7/1/26 (a)
|
|
250
|
230
|
|
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc.
|
|
|
|
|
3.88%, 3/1/31 (a)
|
|
85
|
69
|
|
StoneX Group, Inc.
|
|
|
|
|
8.63%, 6/15/25 (a)
|
|
122
|
123
|
|
VistaJet Malta Finance PLC/Vista Management
Holding, Inc.
|
|
|
|
|
6.38%, 2/1/30 (a)
|
|
1,075
|
866
|
|
|
|
|
8,407
|
|
Industrials (18.1%)
|
|
|
|
|
Ball Corp.
|
|
|
|
|
3.13%, 9/15/31
|
|
190
|
156
|
|
Bombardier, Inc.
|
|
|
|
|
6.00%, 2/15/28 (a)
|
|
525
|
497
|
|
Brundage-Bone Concrete Pumping Holdings,
Inc.
|
|
|
|
|
6.00%, 2/1/26 (a)
|
|
400
|
379
|
|
Builders FirstSource, Inc.
|
|
|
|
|
5.00%, 3/1/30 (a)
|
|
250
|
234
|
|
Cargo Aircraft Management, Inc.
|
|
|
|
|
4.75%, 2/1/28 (a)
|
|
500
|
438
|
|
Carriage Purchaser, Inc.
|
|
|
|
|
7.88%, 10/15/29 (a)
|
|
1,330
|
1,004
|
|
Clean Harbors, Inc.
|
|
|
|
|
4.88%, 7/15/27 (a)
|
|
300
|
288
|
|
Coherent Corp.
|
|
|
|
|
5.00%, 12/15/29 (a)
|
|
450
|
407
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Covanta Holding Corp.
|
|
|
|
|
4.88%, 12/1/29 (a)
|
$
|
450
|
$390
|
|
CP Atlas Buyer, Inc.
|
|
|
|
|
7.00%, 12/1/28 (a)
|
|
425
|
334
|
|
CryoPort, Inc.
|
|
|
|
|
0.75%, 12/1/26 (a)
|
|
680
|
544
|
|
Dycom Industries, Inc.
|
|
|
|
|
4.50%, 4/15/29 (a)
|
|
760
|
691
|
|
EnerSys
|
|
|
|
|
4.38%, 12/15/27 (a)
|
|
350
|
323
|
|
EnPro Industries, Inc.
|
|
|
|
|
5.75%, 10/15/26
|
|
500
|
485
|
|
Enviri Corp.
|
|
|
|
|
5.75%, 7/31/27 (a)
|
|
975
|
850
|
|
Fly Leasing Ltd.
|
|
|
|
|
7.00%, 10/15/24 (a)
|
|
1,645
|
1,479
|
|
GFL Environmental, Inc.
|
|
|
|
|
4.75%, 6/15/29 (a)
|
|
300
|
274
|
|
Great Lakes Dredge & Dock Corp.
|
|
|
|
|
5.25%, 6/1/29 (a)
|
|
880
|
736
|
|
Hillenbrand, Inc.
|
|
|
|
|
3.75%, 3/1/31
|
|
250
|
210
|
|
Intelligent Packaging Ltd. Finco, Inc./Intelligent
Packaging Ltd. Co.-Issuer LLC
|
|
|
|
|
6.00%, 9/15/28 (a)
|
|
500
|
426
|
|
JPW Industries Holding Corp.
|
|
|
|
|
9.00%, 10/1/24 (a)
|
|
950
|
864
|
|
Madison IAQ LLC
|
|
|
|
|
5.88%, 6/30/29 (a)
|
|
750
|
608
|
|
Manitowoc Co., Inc.
|
|
|
|
|
9.00%, 4/1/26 (a)
|
|
750
|
747
|
|
MIWD Holdco II LLC/MIWD Finance Corp.
|
|
|
|
|
5.50%, 2/1/30 (a)
|
|
600
|
496
|
|
Moog, Inc.
|
|
|
|
|
4.25%, 12/15/27 (a)
|
|
500
|
463
|
|
Mueller Water Products, Inc.
|
|
|
|
|
4.00%, 6/15/29 (a)
|
|
450
|
400
|
|
New Enterprise Stone & Lime Co., Inc.
|
|
|
|
|
5.25%, 7/15/28 (a)
|
|
450
|
410
|
|
9.75%, 7/15/28 (a)
|
|
400
|
387
|
|
OI European Group BV
|
|
|
|
|
4.75%, 2/15/30 (a)
|
|
250
|
226
|
|
PGT Innovations, Inc.
|
|
|
|
|
4.38%, 10/1/29 (a)
|
|
635
|
593
|
|
Roller Bearing Co. of America, Inc.
|
|
|
|
|
4.38%, 10/15/29 (a)
|
|
250
|
224
|
|
Seaspan Corp.
|
|
|
|
|
5.50%, 8/1/29 (a)
|
|
650
|
510
|
|
Smyrna Ready Mix Concrete LLC
|
|
|
|
|
6.00%, 11/1/28 (a)
|
|
400
|
378
|
|
TK Elevator U.S. Newco, Inc.
|
|
|
|
|
5.25%, 7/15/27 (a)
|
|
325
|
301
|
|
TopBuild Corp.
|
|
|
|
|
3.63%, 3/15/29 (a)
|
|
250
|
218
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
TransDigm, Inc.
|
|
|
|
|
5.50%, 11/15/27
|
$
|
300
|
$283
|
|
Trident TPI Holdings, Inc.
|
|
|
|
|
12.75%, 12/31/28 (a)
|
|
270
|
280
|
|
TriMas Corp.
|
|
|
|
|
4.13%, 4/15/29 (a)
|
|
400
|
357
|
|
Trivium Packaging Finance BV
|
|
|
|
|
8.50%, 8/15/27 (a)
|
|
300
|
289
|
|
TTM Technologies, Inc.
|
|
|
|
|
4.00%, 3/1/29 (a)
|
|
250
|
213
|
|
Victors Merger Corp.
|
|
|
|
|
6.38%, 5/15/29 (a)
|
|
625
|
426
|
|
VM Consolidated, Inc.
|
|
|
|
|
5.50%, 4/15/29 (a)
|
|
325
|
300
|
|
Vontier Corp.
|
|
|
|
|
2.95%, 4/1/31
|
|
675
|
541
|
|
Waste Pro USA, Inc.
|
|
|
|
|
5.50%, 2/15/26 (a)
|
|
475
|
441
|
|
Watco Cos. LLC/Watco Finance Corp.
|
|
|
|
|
6.50%, 6/15/27 (a)
|
|
425
|
404
|
|
XPO Escrow Sub LLC
|
|
|
|
|
7.50%, 11/15/27 (a)
|
|
200
|
205
|
|
|
|
|
20,709
|
|
Technology (3.9%)
|
|
|
|
|
AthenaHealth Group, Inc.
|
|
|
|
|
6.50%, 2/15/30 (a)
|
|
400
|
337
|
|
Booz Allen Hamilton, Inc.
|
|
|
|
|
4.00%, 7/1/29 (a)
|
|
250
|
224
|
|
Clarivate Science Holdings Corp.
|
|
|
|
|
4.88%, 7/1/29 (a)
|
|
450
|
400
|
|
Cloud Software Group, Inc.
|
|
|
|
|
9.00%, 9/30/29 (a)
|
|
238
|
208
|
|
Crowdstrike Holdings, Inc.
|
|
|
|
|
3.00%, 2/15/29
|
|
495
|
427
|
|
KBR, Inc.
|
|
|
|
|
4.75%, 9/30/28 (a)
|
|
330
|
301
|
|
Kyndryl Holdings, Inc.
|
|
|
|
|
2.70%, 10/15/28
|
|
250
|
204
|
|
McAfee Corp.
|
|
|
|
|
7.38%, 2/15/30 (a)
|
|
330
|
287
|
|
NCR Corp.
|
|
|
|
|
5.13%, 4/15/29 (a)
|
|
100
|
89
|
|
ON Semiconductor Corp.
|
|
|
|
|
3.88%, 9/1/28 (a)
|
|
400
|
364
|
|
Playtika Holding Corp.
|
|
|
|
|
4.25%, 3/15/29 (a)
|
|
640
|
569
|
|
Rackspace Technology Global, Inc.
|
|
|
|
|
5.38%, 12/1/28 (a)
|
|
625
|
195
|
|
Rocket Software, Inc.
|
|
|
|
|
6.50%, 2/15/29 (a)
|
|
745
|
628
|
|
Unisys Corp.
|
|
|
|
|
6.88%, 11/1/27 (a)
|
|
375
|
270
|
|
|
|
|
4,503
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Utilities (1.4%)
|
|
|
|
|
Leeward Renewable Energy Operations LLC
|
|
|
|
|
4.25%, 7/1/29 (a)
|
$
|
685
|
$611
|
|
Pike Corp.
|
|
|
|
|
5.50%, 9/1/28 (a)
|
|
545
|
490
|
|
TransAlta Corp.
|
|
|
|
|
7.75%, 11/15/29
|
|
525
|
541
|
|
|
|
|
1,642
|
|
|
|
111,007
|
|
|
Variable Rate Senior Loan Interests (1.4%)
|
|||
|
Consumer, Cyclical (0.3%)
|
|
|
|
|
Peloton Interactive, Inc.
|
|
|
|
|
Term Loan
|
|
|
|
|
6 Month USD SOFR + 6.50%,
12.26%, 5/25/27 (b)
|
|
396
|
396
|
|
Consumer, Non-Cyclical (0.5%)
|
|
|
|
|
Surgery Center Holdings, Inc.
|
|
|
|
|
2021 Term Loan
|
|
|
|
|
3 Month USD LIBOR + 3.75%,
8.90%, 8/31/26 (b)
|
|
550
|
550
|
|
Industrials (0.6%)
|
|
|
|
|
Grinding Media, Inc.
|
|
|
|
|
2021 Term Loan B
|
|
|
|
|
1 Month USD SOFR + 4.00%,
9.22%, 10/12/28 (b)
|
|
698
|
682
|
|
|
|
1,628
|
|
|
Total Fixed Income
Securities (Cost $124,822)
|
|
112,635
|
|
|
|
|
Shares
|
|
|
Common Stocks (0.1%)
|
|||
|
Automobile Components (0.0%)
|
|||
|
Exide Technologies (d)
|
|
592
|
—
|
|
Diversified REITs (0.0%)‡
|
|||
|
American Gilsonite Co. (d)
|
|
500
|
3
|
|
Machinery (0.1%)
|
|||
|
Iracore Investment Holdings, Inc., Class A (d)
|
|
470
|
40
|
|
Semiconductors & Semiconductor Equipment (0.0%)‡
|
|||
|
UC Holdings, Inc. (d)
|
|
2,826
|
14
|
|
Total Common Stocks (Cost $151)
|
|
57
|
|
|
Short-Term Investment (0.1%)
|
|||
|
Investment Company (0.1%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional
Class (e) (Cost $78)
|
|
78,163
|
78
|
|
Total Investments (98.4%) (Cost $125,050)(f)(g)
|
112,770
|
||
|
Other Assets in Excess of Liabilities (1.6%)
|
1,874
|
||
|
Net Assets (100.0%)
|
$114,644
|
||
|
‡
|
Amount is less than 0.05%.
|
|
(a)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(b)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(c)
|
Perpetual - One or more securities do not have a predetermined
maturity date. Rates for these securities are fixed for a period of time
after which they revert to a floating rate. Interest rates in effect are as
of June 30, 2023.
|
|
(d)
|
Non-income producing security.
|
|
(e)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. Advisory fees paid by the Fund are reduced by an amount
equal to its pro-rata share of the advisory and administration fees paid
by the Fund due to its investment in the Liquidity Funds. For the nine
months ended June 30, 2023, advisory fees paid were reduced by
approximately $1,000 relating to the Fund's investment in the Liquidity
Funds.
|
|
(f)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(g)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $666,000 and the
aggregate gross unrealized depreciation is approximately
$12,946,000, resulting in net unrealized approximatelydepreciation of
$12,280,000.
|
|
CDI
|
CHESS Depositary Interest.
|
|
DAC
|
Designated Activity Company.
|
|
LIBOR
|
London Interbank Offered Rate.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
USD
|
United States Dollar.
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Consumer, Cyclical
|
26.4
%
|
|
Industrials
|
19.0
|
|
Consumer, Non-Cyclical
|
15.3
|
|
Energy
|
10.9
|
|
Communications
|
9.5
|
|
Finance
|
7.4
|
|
Basic Materials
|
6.0
|
|
Other*
|
5.5
|
|
Total Investments
|
100.0
%
|
|
*
|
Industries and/or investment types representing less than 5% of total investments.
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Fixed Income Securities (98.0%)
|
|
|
|
|
Agency Adjustable Rate Mortgages (0.1%)
|
|||
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
Conventional Pools:
|
|
|
|
|
1 Year CMT + 2.18%, 4.80%, 6/1/38 (a)
|
$
|
54
|
$55
|
|
1 Year CMT + 2.31%, 4.46%, 3/1/37 (a)
|
|
144
|
146
|
|
1 Year CMT + 2.33%, 4.59%, 7/1/38 (a)
|
|
120
|
122
|
|
1 Year CMT + 2.33%, 4.75%, 1/1/36 (a)
|
|
124
|
127
|
|
|
|
450
|
|
|
Agency Fixed Rate Mortgages (0.1%)
|
|||
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
Gold Pools:
|
|
|
|
|
4.50%, 12/1/24
|
|
22
|
21
|
|
7.50%, 5/1/35
|
|
9
|
9
|
|
8.00%, 8/1/32
|
|
5
|
5
|
|
8.50%, 8/1/31
|
|
6
|
6
|
|
Federal National Mortgage Association,
|
|
|
|
|
Conventional Pools:
|
|
|
|
|
4.50%, 6/1/24 - 7/1/24 |
|
35
|
35
|
|
5.00%, 12/1/24
|
|
21
|
21
|
|
6.00%, 9/1/37
|
|
24
|
25
|
|
6.50%, 2/1/28 - 10/1/32 |
|
82
|
85
|
|
7.00%, 7/1/29 - 3/1/37 |
|
94
|
99
|
|
7.50%, 8/1/37
|
|
12
|
12
|
|
8.00%, 4/1/33
|
|
21
|
22
|
|
8.50%, 10/1/32
|
|
11
|
11
|
|
Government National Mortgage Association,
|
|
|
|
|
Various Pools:
|
|
|
|
|
6.00%, 11/15/38
|
|
44
|
46
|
|
8.50%, 7/15/30
|
|
3
|
3
|
|
|
|
400
|
|
|
Asset-Backed Securities (18.5%)
|
|
|
|
|
Affirm Asset Securitization Trust,
|
|
|
|
|
4.55%, 6/15/27 (b)
|
|
609
|
601
|
|
AIMCO CLO,
|
|
|
|
|
Series 2018-B
|
|
|
|
|
3 Month USD LIBOR + 1.10%,
6.36%, 1/15/32 (a)(b)
|
|
1,725
|
1,710
|
|
AMSR Trust,
|
|
|
|
|
2.11%, 9/17/37 (b)
|
|
975
|
881
|
|
Amur Equipment Finance Receivables XII LLC,
|
|
|
|
|
Series 2023-1A Class A2
|
|
|
|
|
6.09%, 12/20/29 (b)
|
|
570
|
569
|
|
Aqua Finance Trust,
|
|
|
|
|
1.54%, 7/17/46 (b)
|
|
504
|
445
|
|
Arbor Realty Commercial Real Estate Notes
2021-FL3 Ltd.,
|
|
|
|
|
1 Month USD LIBOR + 1.07%,
6.26%, 8/15/34 (a)(b)
|
|
1,200
|
1,174
|
|
BHG Securitization Trust,
|
|
|
|
|
Series 2023-A Class A
|
|
|
|
|
5.55%, 4/17/36 (b)
|
|
1,464
|
1,443
|
|
Blackbird Capital Aircraft,
|
|
|
|
|
2.44%, 7/15/46 (b)
|
|
663
|
572
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Carlyle U.S. CLO Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.05%,
6.30%, 7/20/31 (a)(b)
|
$
|
2,225
|
$2,210
|
|
Cartiga Asset Finance Trust LLC,
|
|
|
|
|
Series 2023-1 Class A
|
|
|
|
|
7.00%, 3/15/35 (b)
|
|
1,105
|
1,096
|
|
Cascade MH Asset Trust,
|
|
|
|
|
4.25%, 8/25/54 (b)
|
|
1,534
|
1,351
|
|
Cologix Data Centers US Issuer LLC,
|
|
|
|
|
3.30%, 12/26/51 (b)
|
|
1,225
|
1,087
|
|
Commonbond Student Loan Trust,
|
|
|
|
|
1.20%, 3/25/52 (b)
|
|
965
|
791
|
|
Dryden 58 CLO Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.00%,
6.26%, 7/17/31 (a)(b)
|
|
750
|
741
|
|
ECMC Group Student Loan Trust,
|
|
|
|
|
Class A1B
|
|
|
|
|
1 Month USD LIBOR + 1.00%,
6.15%, 1/27/70 (a)(b)
|
|
615
|
602
|
|
ELFI Graduate Loan Program 2021-A LLC,
|
|
|
|
|
1.53%, 12/26/46 (b)
|
|
1,379
|
1,173
|
|
Elmwood CLO IV Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.24%,
6.50%, 4/15/33 (a)(b)
|
|
2,200
|
2,188
|
|
Falcon Aerospace Ltd.,
|
|
|
|
|
3.60%, 9/15/39 (b)
|
|
248
|
213
|
|
FCI Funding LLC,
|
|
|
|
|
1.13%, 4/15/33 (b)
|
|
131
|
125
|
|
FHF Trust,
|
|
|
|
|
1.27%, 3/15/27 (b)
|
|
184
|
177
|
|
Finance of America HECM Buyout,
|
|
|
|
|
4.00%, 8/1/32 (a)(b)
|
|
2,238
|
2,162
|
|
GAIA Aviation Ltd.,
|
|
|
|
|
3.97%, 12/15/44 (b)
|
|
436
|
382
|
|
GCI Funding I LLC,
|
|
|
|
|
2.82%, 10/18/45 (b)
|
|
954
|
837
|
|
Golub Capital Partners ABS Funding Ltd.,
|
|
|
|
|
2.77%, 4/20/29 (b)
|
|
1,725
|
1,591
|
|
Class A2
|
|
|
|
|
3.21%, 1/22/29 (b)
|
|
1,360
|
1,276
|
|
Kubota Credit Owner Trust,
|
|
|
|
|
0.59%, 10/15/24 (b)
|
|
188
|
185
|
|
LCM 38 Ltd.,
|
|
|
|
|
3 Month Term SOFR + 2.10%,
7.09%, 7/15/34 (a)(b)
|
|
2,000
|
1,997
|
|
Loanpal Solar Loan Ltd.,
|
|
|
|
|
2.22%, 3/20/48 (b)
|
|
1,278
|
930
|
|
2.29%, 1/20/48 (b)
|
|
984
|
736
|
|
Lunar 2021-1 Structured Aircraft Portfolio
Notes,
|
|
|
|
|
2.64%, 10/15/46 (b)
|
|
1,580
|
1,376
|
|
MACH 1 Cayman Ltd.,
|
|
|
|
|
3.47%, 10/15/39 (b)
|
|
365
|
312
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Asset-Backed Securities (cont'd)
|
|
|
|
|
Madison Park Funding XXIV Ltd.,
|
|
|
|
|
3 Month Term SOFR + 1.42%,
6.47%, 10/20/29 (a)(b)
|
$
|
2,184
|
$2,167
|
|
MAPS Trust,
|
|
|
|
|
2.52%, 6/15/46 (b)
|
|
700
|
609
|
|
Marlette Funding Trust,
|
|
|
|
|
Series 2023-1A Class A
|
|
|
|
|
6.07%, 4/15/33 (b)
|
|
1,823
|
1,817
|
|
Mercedes-Benz Auto Receivables Trust,
|
|
|
|
|
0.55%, 2/18/25
|
|
46
|
45
|
|
MFA 2021-NPL1 LLC,
|
|
|
|
|
2.36%, 3/25/60 (b)
|
|
695
|
663
|
|
Monroe Capital ABS Funding 2021-1 Ltd.,
|
|
|
|
|
2.82%, 4/22/31 (b)
|
|
1,625
|
1,538
|
|
Mosaic Solar Loan Trust,
|
|
|
|
|
2.05%, 12/20/46 (b)
|
|
886
|
694
|
|
2.10%, 4/20/46 (b)
|
|
190
|
163
|
|
Navient Private Education Refi Loan Trust,
|
|
|
|
|
0.94%, 7/15/69 (b)
|
|
937
|
810
|
|
Nelnet Student Loan Trust,
|
|
|
|
|
1.32%, 4/20/62 (b)
|
|
835
|
742
|
|
Neuberger Berman Loan Advisers CLO
31 Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.04%,
6.29%, 4/20/31 (a)(b)
|
|
2,475
|
2,447
|
|
New Residential Advance Receivables Trust
Advance Receivables Backed,
|
|
|
|
|
1.43%, 8/15/53 (b)
|
|
1,170
|
1,161
|
|
Newday Funding Master Issuer PLC,
|
|
|
|
|
SOFR + 0.95%,
6.02%, 7/15/29 (a)(b)
|
|
1,175
|
1,167
|
|
SOFR + 1.10%,
6.17%, 3/15/29 (a)(b)
|
|
1,760
|
1,753
|
|
Newtek Small Business Loan Trust,
|
|
|
|
|
SOFR30A + 3.00%,
7.75%, 7/25/50 (b)
|
|
732
|
728
|
|
NRZ Advance Receivables Trust,
|
|
|
|
|
1.48%, 9/15/53 (b)
|
|
1,380
|
1,362
|
|
NRZ Excess Spread-Collateralized Notes,
|
|
|
|
|
Class A
|
|
|
|
|
2.98%, 3/25/26 (b)
|
|
958
|
865
|
|
3.10%, 7/25/26 (b)
|
|
711
|
634
|
|
3.23%, 5/25/26 (b)
|
|
1,206
|
1,087
|
|
3.47%, 11/25/26 (b)
|
|
1,094
|
986
|
|
NRZ FHT Excess LLC,
|
|
|
|
|
Class A
|
|
|
|
|
4.21%, 11/25/25 (b)
|
|
318
|
295
|
|
Octane Receivables Trust,
|
|
|
|
|
1.21%, 9/20/28 (b)
|
|
226
|
218
|
|
Series 2023-1A Class A
|
|
|
|
|
5.87%, 5/21/29 (b)
|
|
776
|
772
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Option One Mortgage Loan Trust Asset-Backed
Certificates,
|
|
|
|
|
1 Month USD LIBOR + 0.50%,
5.66%, 8/20/30 (a)
|
$
|
34
|
$34
|
|
Oxford Finance Funding LLC,
|
|
|
|
|
3.10%, 2/15/28 (b)
|
|
126
|
125
|
|
Palmer Square CLO Ltd.,
|
|
|
|
|
3 Month USD LIBOR + 1.10%,
6.36%, 7/16/31 (a)(b)
|
|
1,225
|
1,217
|
|
PFS Financing Corp.,
|
|
|
|
|
0.77%, 8/15/26 (b)
|
|
1,310
|
1,234
|
|
0.97%, 2/15/26 (b)
|
|
960
|
929
|
|
4.27%, 8/15/27 (b)
|
|
2,225
|
2,157
|
|
PNMAC GMSR Issuer Trust,
|
|
|
|
|
1 Month USD LIBOR + 3.35%,
8.50%, 4/25/25 (a)(b)
|
|
1,000
|
993
|
|
PRET 2021-NPL6 LLC,
|
|
|
|
|
2.49%, 7/25/51 (b)
|
|
671
|
622
|
|
Pretium Mortgage Credit Partners I LLC,
|
|
|
|
|
2.24%, 9/27/60 (b)
|
|
479
|
453
|
|
ReadyCap Lending Small Business Loan Trust,
|
|
|
|
|
Daily U.S. Prime Rate - 0.50%,
7.75%, 12/27/44 (a)(b)
|
|
87
|
83
|
|
Republic Finance Issuance Trust,
|
|
|
|
|
2.47%, 11/20/30 (b)
|
|
500
|
480
|
|
SMB Private Education Loan Trust,
|
|
|
|
|
1.34%, 3/17/53 (b)
|
|
563
|
497
|
|
1.68%, 2/15/51 (b)
|
|
649
|
579
|
|
Southwick Park CLO LLC,
|
|
|
|
|
3 Month USD LIBOR + 1.06%,
6.31%, 7/20/32 (a)(b)
|
|
2,000
|
1,975
|
|
SPS Servicer Advance Receivables Trust,
|
|
|
|
|
1.83%, 11/15/55 (b)
|
|
2,100
|
1,884
|
|
Start II Ltd.,
|
|
|
|
|
4.09%, 3/15/44 (b)
|
|
602
|
531
|
|
Start Ltd.,
|
|
|
|
|
4.09%, 5/15/43 (b)
|
|
1,161
|
1,008
|
|
Theorem Funding Trust,
|
|
|
|
|
7.60%, 4/15/29 (b)
|
|
339
|
341
|
|
Series 2023-1A Class A
|
|
|
|
|
7.58%, 4/15/29 (b)
|
|
409
|
410
|
|
Towd Point HE Trust,
|
|
|
|
|
0.92%, 2/25/63 (a)(b)
|
|
795
|
743
|
|
VCP RRL ABS I Ltd.,
|
|
|
|
|
Class A
|
|
|
|
|
2.15%, 10/20/31 (b)
|
|
372
|
337
|
|
VOLT XCIX LLC,
|
|
|
|
|
2.12%, 4/25/51 (b)
|
|
1,150
|
1,049
|
|
VOLT XCVI LLC,
|
|
|
|
|
2.12%, 3/27/51 (b)
|
|
786
|
739
|
|
|
|
|
72,076
|
|
Collateralized Mortgage Obligations - Agency Collateral Series (0.2%)
|
|||
|
Federal Home Loan Mortgage Corporation,
|
|
|
|
|
REMIC
|
|
|
|
|
7.50%, 9/15/29
|
|
131
|
133
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Collateralized Mortgage Obligations - Agency Collateral Series (cont'd)
|
|||
|
Government National Mortgage Association,
|
|
|
|
|
1 Month USD LIBOR + 0.28%, 4.91%,
5/20/63 (a)
|
$
|
3
|
$3
|
|
1 Month USD LIBOR + 0.45%, 5.50%,
5/20/62 (a)
|
|
—@
|
—@
|
|
1 Month USD LIBOR + 0.60%, 5.69%,
1/20/64 (a)
|
|
45
|
45
|
|
REMIC
|
|
|
|
|
1 Month USD LIBOR + 0.50%, 5.59%,
3/20/61 (a)
|
|
61
|
61
|
|
1 Month USD LIBOR + 0.56%, 5.65%,
9/20/62 (a)
|
|
131
|
131
|
|
Seasoned Credit Risk Transfer Trust,
|
|
|
|
|
3.00%, 2/25/59
|
|
541
|
475
|
|
|
|
848
|
|
|
Commercial Mortgage-Backed Securities (5.6%)
|
|||
|
Alen Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.15%, 6.34%,
4/15/34 (a)(b)
|
|
1,200
|
1,111
|
|
Angel Oak SB Commercial Mortgage Trust,
|
|
|
|
|
2.07%, 5/25/50 (a)(b)
|
|
641
|
567
|
|
BX Commercial Mortgage Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month Term SOFR + 0.81%, 5.96%,
4/15/34 (a)(b)
|
|
2,100
|
1,981
|
|
BX Trust,
|
|
|
|
|
1 Month Term SOFR + 1.58%, 6.73%,
1/15/39 (a)(b)
|
|
820
|
796
|
|
Credit Suisse Mortgage Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month USD LIBOR + 3.50%, 8.69%,
12/15/35 (a)(b)
|
|
2,125
|
2,123
|
|
CSMC 2022-MARK,
|
|
|
|
|
1 Month Term SOFR + 2.70%, 7.84%,
6/15/39 (a)(b)
|
|
1,570
|
1,568
|
|
CSMC Trust,
|
|
|
|
|
3.53%, 8/15/37 (b)
|
|
575
|
502
|
|
CSWF Corp.,
|
|
|
|
|
1 Month USD LIBOR + 0.97%, 6.16%,
6/15/34 (a)(b)
|
|
1,787
|
1,619
|
|
DROP Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 1.15%, 6.34%,
10/15/43 (a)(b)
|
|
1,700
|
1,554
|
|
HPLY Trust,
|
|
|
|
|
1 Month USD LIBOR + 2.35%, 7.54%,
11/15/36 (a)(b)
|
|
383
|
370
|
|
J.P. Morgan Chase Commercial Mortgage
Securities Trust,
|
|
|
|
|
4.13%, 7/5/31 (b)
|
|
1,100
|
997
|
|
JP Morgan Chase Commercial Mortgage
Securities Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month USD LIBOR + 1.12%, 6.31%,
11/15/38 (a)(b)
|
|
2,450
|
2,400
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|||
|
Natixis Commercial Mortgage Securities Trust,
|
|
|
|
|
1 Month Term SOFR + 2.28%, 7.43%,
7/15/36 (a)(b)
|
$
|
850
|
$727
|
|
1 Month USD LIBOR + 0.95%, 6.14%,
8/15/38 (a)(b)
|
|
2,080
|
1,974
|
|
Silver Hill Trust,
|
|
|
|
|
3.10%, 11/25/49 (a)(b)
|
|
346
|
334
|
|
TPGI Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month USD LIBOR + 0.70%, 5.89%,
6/15/26 (a)(b)
|
|
1,084
|
1,057
|
|
TTAN 2021-MHC,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month USD LIBOR + 0.85%, 6.04%,
3/15/38 (a)(b)
|
|
743
|
729
|
|
VMC Finance 2021-HT1 LLC,
|
|
|
|
|
1 Month USD LIBOR + 1.65%, 6.81%,
1/18/37 (a)(b)
|
|
1,380
|
1,339
|
|
|
|
21,748
|
|
|
Corporate Bonds (61.3%)
|
|
|
|
|
Finance (31.2%)
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust,
|
|
|
|
|
1.65%, 10/29/24 |
|
2,000
|
1,880
|
|
2.45%, 10/29/26 |
|
850
|
760
|
|
Air Lease Corp.,
|
|
|
|
|
0.80%, 8/18/24 |
|
2,895
|
2,728
|
|
Assurant, Inc.,
|
|
|
|
|
6.10%, 2/27/26 |
|
925
|
929
|
|
Athene Global Funding,
|
|
|
|
|
2.75%, 6/25/24 (b) |
|
2,280
|
2,194
|
|
Australia & New Zealand Banking Group Ltd.,
|
|
|
|
|
4.40%, 5/19/26 (b) |
|
2,500
|
2,374
|
|
Banco Bilbao Vizcaya Argentaria SA,
|
|
|
|
|
0.88%, 9/18/23 |
|
1,600
|
1,584
|
|
Banco Santander Chile,
|
|
|
|
|
2.70%, 1/10/25 (b) |
|
800
|
766
|
|
Bank of America Corp.,
|
|
|
|
|
3.38%, 4/2/26 |
|
2,310
|
2,215
|
|
5.08%, 1/20/27 |
|
2,000
|
1,970
|
|
Bank of Nova Scotia,
|
|
|
|
|
1.05%, 3/2/26 |
|
5,050
|
4,498
|
|
Banque Federative du Credit Mutuel SA,
|
|
|
|
|
2.38%, 11/21/24 (b) |
|
3,480
|
3,305
|
|
4.52%, 7/13/25 (b) |
|
3,210
|
3,122
|
|
Barclays PLC,
|
|
|
|
|
5.30%, 8/9/26 |
|
2,000
|
1,952
|
|
BNP Paribas SA,
|
|
|
|
|
2.22%, 6/9/26 (b) |
|
3,150
|
2,915
|
|
BPCE SA,
|
|
|
|
|
2.38%, 1/14/25 (b) |
|
2,635
|
2,472
|
|
Canadian Imperial Bank of Commerce,
|
|
|
|
|
2.25%, 1/28/25 |
|
1,130
|
1,072
|
|
3.30%, 4/7/25 |
|
2,270
|
2,180
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Finance (cont'd)
|
|
|
|
|
Citigroup, Inc.,
|
|
|
|
|
3.11%, 4/8/26 |
$
|
2,000
|
$1,911
|
|
3.35%, 4/24/25 |
|
3,770
|
3,687
|
|
Corebridge Financial, Inc.,
|
|
|
|
|
3.50%, 4/4/25 |
|
2,280
|
2,174
|
|
Deutsche Bank AG,
|
|
|
|
|
Series E
|
|
|
|
|
0.96%, 11/8/23 |
|
3,950
|
3,871
|
|
Elevance Health, Inc.,
|
|
|
|
|
1.50%, 3/15/26 |
|
2,830
|
2,560
|
|
Equitable Financial Life Global Funding,
|
|
|
|
|
1.40%, 7/7/25 (b) |
|
3,300
|
3,004
|
|
F&G Annuities & Life, Inc.,
|
|
|
|
|
7.40%, 1/13/28 (b) |
|
1,650
|
1,650
|
|
GA Global Funding Trust,
|
|
|
|
|
1.63%, 1/15/26 (b) |
|
4,070
|
3,614
|
|
Goldman Sachs Group, Inc.,
|
|
|
|
|
3.50%, 1/23/25 |
|
1,750
|
1,689
|
|
Guardian Life Global Funding,
|
|
|
|
|
0.88%, 12/10/25 (b) |
|
2,450
|
2,183
|
|
HSBC Holdings Plc,
|
|
|
|
|
3.80%, 3/11/25 |
|
3,350
|
3,285
|
|
HSBC Holdings PLC,
|
|
|
|
|
2.63%, 11/7/25 |
|
1,850
|
1,758
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
2.01%, 3/13/26 |
|
2,000
|
1,879
|
|
2.08%, 4/22/26 |
|
4,500
|
4,216
|
|
5.55%, 12/15/25 |
|
2,120
|
2,112
|
|
LeasePlan Corp. NV,
|
|
|
|
|
2.88%, 10/24/24 (b) |
|
1,275
|
1,215
|
|
Macquarie Bank Ltd.,
|
|
|
|
|
2.30%, 1/22/25 (b) |
|
3,475
|
3,299
|
|
Macquarie Group Ltd.,
|
|
|
|
|
1.34%, 1/12/27 (b) |
|
3,060
|
2,725
|
|
Nordea Bank Abp,
|
|
|
|
|
1.50%, 9/30/26 (b) |
|
5,075
|
4,440
|
|
Royal Bank of Canada,
|
|
|
|
|
1.20%, 4/27/26 |
|
4,370
|
3,898
|
|
Safina Ltd.,
|
|
|
|
|
2.00%, 12/30/23 |
|
46
|
45
|
|
Santander UK Group Holdings PLC,
|
|
|
|
|
4.80%, 11/15/24 |
|
5,510
|
5,469
|
|
SMBC Aviation Capital Finance DAC,
|
|
|
|
|
5.45%, 5/3/28 (b) |
|
1,775
|
1,753
|
|
Societe Generale SA,
|
|
|
|
|
2.63%, 1/22/25 (b) |
|
1,175
|
1,105
|
|
Standard Chartered PLC,
|
|
|
|
|
0.99%, 1/12/25 (b) |
|
4,795
|
4,651
|
|
Sumitomo Mitsui Financial Group, Inc.,
|
|
|
|
|
2.35%, 1/15/25 |
|
6,480
|
6,147
|
|
Suncorp-Metway Ltd.,
|
|
|
|
|
3.30%, 4/15/24 (b) |
|
1,980
|
1,939
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Synchrony Bank,
|
|
|
|
|
5.40%, 8/22/25 |
$
|
1,480
|
$1,417
|
|
Truist Financial Corp.,
|
|
|
|
|
SOFR + 2.05%, 6.05%, 6/8/27 |
|
985
|
986
|
|
Wells Fargo & Co.,
|
|
|
|
|
3.91%, 4/25/26 |
|
1,975
|
1,910
|
|
Woori Bank,
|
|
|
|
|
4.88%, 1/26/28 (b) |
|
2,165
|
2,145
|
|
|
|
|
121,653
|
|
Industrials (26.7%)
|
|
|
|
|
Altria Group, Inc.,
|
|
|
|
|
2.35%, 5/6/25 |
|
1,500
|
1,412
|
|
American Tower Corp.,
|
|
|
|
|
1.60%, 4/15/26 |
|
450
|
404
|
|
Bayer US Finance LLC,
|
|
|
|
|
3.38%, 10/8/24 (b) |
|
1,740
|
1,685
|
|
Boeing Co.,
|
|
|
|
|
5.04%, 5/1/27 |
|
1,475
|
1,458
|
|
CDW LLC/CDW Finance Corp.,
|
|
|
|
|
2.67%, 12/1/26 |
|
250
|
225
|
|
Celanese U.S. Holdings LLC,
|
|
|
|
|
6.17%, 7/15/27 |
|
1,110
|
1,105
|
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital,
|
|
|
|
|
4.91%, 7/23/25 |
|
850
|
834
|
|
Cigna Group,
|
|
|
|
|
4.50%, 2/25/26 |
|
3,025
|
2,960
|
|
Continental Resources, Inc.,
|
|
|
|
|
2.27%, 11/15/26 (b) |
|
1,000
|
891
|
|
Daimler Truck Finance North America LLC,
|
|
|
|
|
1.13%, 12/14/23 (b) |
|
575
|
563
|
|
2.00%, 12/14/26 (b) |
|
2,025
|
1,809
|
|
DuPont de Nemours, Inc.,
|
|
|
|
|
4.49%, 11/15/25 |
|
875
|
857
|
|
Eastern Energy Gas Holdings LLC,
|
|
|
|
|
3.55%, 11/1/23 |
|
2,050
|
2,028
|
|
Energy Transfer LP,
|
|
|
|
|
2.90%, 5/15/25 |
|
4,130
|
3,915
|
|
4.75%, 1/15/26 |
|
325
|
318
|
|
Enterprise Products Operating LLC,
|
|
|
|
|
3.90%, 2/15/24 |
|
1,200
|
1,187
|
|
Fox Corp.,
|
|
|
|
|
4.03%, 1/25/24 |
|
1,200
|
1,188
|
|
General Motors Financial Co., Inc.,
|
|
|
|
|
1.50%, 6/10/26 |
|
2,890
|
2,555
|
|
3.95%, 4/13/24 |
|
1,250
|
1,231
|
|
Genuine Parts Co.,
|
|
|
|
|
1.75%, 2/1/25 |
|
740
|
694
|
|
Georgia-Pacific LLC,
|
|
|
|
|
1.75%, 9/30/25 (b) |
|
4,080
|
3,747
|
|
Glencore Funding LLC,
|
|
|
|
|
4.13%, 3/12/24 (b) |
|
2,050
|
2,026
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Industrials (cont'd)
|
|
|
|
|
Global Payments, Inc.,
|
|
|
|
|
4.95%, 8/15/27 |
$
|
1,250
|
$1,219
|
|
Haleon U.S. Capital LLC,
|
|
|
|
|
3.02%, 3/24/24 |
|
750
|
734
|
|
HCA, Inc.,
|
|
|
|
|
5.00%, 3/15/24 |
|
1,600
|
1,590
|
|
Hewlett Packard Enterprise Co.,
|
|
|
|
|
4.90%, 10/15/25 |
|
2,000
|
1,976
|
|
Hyatt Hotels Corp.,
|
|
|
|
|
5.75%, 1/30/27 (c) |
|
1,275
|
1,272
|
|
Hyundai Capital America,
|
|
|
|
|
1.30%, 1/8/26 (b) |
|
2,780
|
2,489
|
|
5.50%, 3/30/26 (b) |
|
675
|
669
|
|
Hyundai Capital Services, Inc.,
|
|
|
|
|
2.13%, 4/24/25 (b) |
|
1,000
|
937
|
|
Imperial Brands Finance PLC,
|
|
|
|
|
3.13%, 7/26/24 (b) |
|
2,015
|
1,948
|
|
JDE Peet's NV,
|
|
|
|
|
0.80%, 9/24/24 (b) |
|
3,025
|
2,838
|
|
Kinder Morgan, Inc.,
|
|
|
|
|
1.75%, 11/15/26 |
|
2,640
|
2,339
|
|
Mitsubishi Corp.,
|
|
|
|
|
1.13%, 7/15/26 (b) |
|
2,610
|
2,305
|
|
Mondelez International Holdings Netherlands
BV,
|
|
|
|
|
1.25%, 9/24/26 (b) |
|
2,910
|
2,559
|
|
2.25%, 9/19/24 (b) |
|
950
|
909
|
|
National Fuel Gas Co.,
|
|
|
|
|
5.50%, 10/1/26 |
|
1,565
|
1,527
|
|
NBN Co. Ltd.,
|
|
|
|
|
1.45%, 5/5/26 (b) |
|
2,770
|
2,492
|
|
Nissan Motor Co. Ltd.,
|
|
|
|
|
3.04%, 9/15/23 (b) |
|
2,640
|
2,622
|
|
NongHyup Bank,
|
|
|
|
|
1.25%, 7/20/25 (b) |
|
690
|
631
|
|
NTT Finance Corp.,
|
|
|
|
|
1.16%, 4/3/26 (b) |
|
6,790
|
6,079
|
|
Nucor Corp.,
|
|
|
|
|
2.00%, 6/1/25 |
|
975
|
912
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc.,
|
|
|
|
|
2.70%, 5/1/25 |
|
1,540
|
1,460
|
|
Penske Truck Leasing Co. LP/PTL Finance
Corp.,
|
|
|
|
|
5.75%, 5/24/26 (b) |
|
1,825
|
1,809
|
|
Pfizer Investment Enterprises Pte. Ltd.,
|
|
|
|
|
4.45%, 5/19/26 |
|
1,705
|
1,685
|
|
Pioneer Natural Resources Co.,
|
|
|
|
|
1.13%, 1/15/26 |
|
4,490
|
4,045
|
|
Revvity, Inc.,
|
|
|
|
|
0.85%, 9/15/24 |
|
3,440
|
3,235
|
|
Royalty Pharma PLC,
|
|
|
|
|
1.20%, 9/2/25 |
|
1,475
|
1,331
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Siemens Financieringsmaatschappij NV,
|
|
|
|
|
3.25%, 5/27/25 (b) |
$
|
1,000
|
$966
|
|
Silgan Holdings, Inc.,
|
|
|
|
|
1.40%, 4/1/26 (b) |
|
1,875
|
1,658
|
|
Sonoco Products Co.,
|
|
|
|
|
1.80%, 2/1/25 |
|
1,460
|
1,364
|
|
TD SYNNEX Corp.,
|
|
|
|
|
1.25%, 8/9/24 |
|
5,815
|
5,502
|
|
VICI Properties LP,
|
|
|
|
|
4.38%, 5/15/25 |
|
1,880
|
1,819
|
|
Vontier Corp.,
|
|
|
|
|
1.80%, 4/1/26 |
|
2,375
|
2,113
|
|
Warnermedia Holdings, Inc.,
|
|
|
|
|
3.43%, 3/15/24 |
|
2,110
|
2,072
|
|
Williams Cos., Inc.,
|
|
|
|
|
4.30%, 3/4/24 |
|
1,330
|
1,315
|
|
Zimmer Biomet Holdings, Inc.,
|
|
|
|
|
1.45%, 11/22/24 |
|
2,400
|
2,261
|
|
|
|
|
103,774
|
|
Utilities (3.4%)
|
|
|
|
|
Ameren Corp.,
|
|
|
|
|
2.50%, 9/15/24 |
|
2,510
|
2,406
|
|
American Electric Power Co., Inc.,
|
|
|
|
|
Series N
|
|
|
|
|
1.00%, 11/1/25 |
|
1,500
|
1,355
|
|
Dominion Energy, Inc.,
|
|
|
|
|
Series A
|
|
|
|
|
1.45%, 4/15/26 |
|
2,355
|
2,116
|
|
Eversource Energy,
|
|
|
|
|
4.75%, 5/15/26 |
|
1,410
|
1,383
|
|
ITC Holdings Corp.,
|
|
|
|
|
4.95%, 9/22/27 (b) |
|
1,970
|
1,941
|
|
NextEra Energy Capital Holdings, Inc.,
|
|
|
|
|
1.88%, 1/15/27 |
|
2,825
|
2,520
|
|
6.05%, 3/1/25 |
|
360
|
361
|
|
Southern Co.,
|
|
|
|
|
4.48%, 8/1/24 (d) |
|
1,175
|
1,154
|
|
|
|
|
13,236
|
|
|
|
238,663
|
|
|
Mortgages - Other (11.4%)
|
|
|
|
|
Ajax Mortgage Loan Trust,
|
|
|
|
|
1.07%, 9/25/65 (a)(b) |
|
690
|
589
|
|
1.70%, 5/25/59 (b) |
|
509
|
445
|
|
BRAVO Residential Funding Trust,
|
|
|
|
|
2.00%, 5/25/59 (a)(b) |
|
643
|
571
|
|
Brean Asset Backed Securities Trust,
|
|
|
|
|
1.40%, 10/25/63 (a)(b) |
|
1,745
|
1,492
|
|
1.75%, 10/25/61 (a)(b) |
|
1,801
|
1,575
|
|
Brean Asset-Backed Securities Trust,
|
|
|
|
|
Series 2023-RM6 Class A1
|
|
|
|
|
5.25%, 1/25/63 (b) |
|
1,849
|
1,723
|
|
Bunker Hill Loan Depositary Trust,
|
|
|
|
|
1.72%, 2/25/55 (a)(b) |
|
196
|
182
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Mortgages - Other (cont'd)
|
|
|
|
|
BX Commercial Mortgage Trust,
|
|
|
|
|
Class A
|
|
|
|
|
1 Month Term SOFR + 2.28%,
7.43%, 6/15/40 (b)
|
$
|
1,450
|
$1,448
|
|
Cascade Funding Mortgage Trust,
|
|
|
|
|
0.90%, 6/25/36 (a)(b) |
|
1,081
|
1,025
|
|
1.94%, 9/25/50 (a)(b) |
|
1,036
|
944
|
|
2.80%, 6/25/69 (a)(b) |
|
187
|
181
|
|
4.00%, 10/25/68 (a)(b) |
|
232
|
225
|
|
CFMT LLC,
|
|
|
|
|
1.37%, 2/25/31 (a)(b) |
|
1,600
|
1,501
|
|
Series 2023-HB12 Class M1
|
|
|
|
|
4.25%, 4/25/33 (a)(b) |
|
2,025
|
1,811
|
|
CHL Mortgage Pass-Through Trust,
|
|
|
|
|
5.50%, 5/25/34 |
|
36
|
35
|
|
CIM Trust,
|
|
|
|
|
2.57%, 7/25/59 (b) |
|
850
|
816
|
|
CSMC Trust,
|
|
|
|
|
0.94%, 5/25/66 (a)(b) |
|
865
|
668
|
|
1.18%, 2/25/66 (a)(b) |
|
761
|
633
|
|
Series 2022-RPL4 Class A1
|
|
|
|
|
3.90%, 4/25/62 (b) |
|
1,499
|
1,382
|
|
FMC GMSR Issuer Trust,
|
|
|
|
|
3.85%, 10/25/26 (a)(b) |
|
1,700
|
1,391
|
|
4.45%, 1/25/26 (a)(b) |
|
1,500
|
1,290
|
|
7.90%, 7/25/27 (b) |
|
1,600
|
1,576
|
|
Class A
|
|
|
|
|
3.62%, 7/25/26 (a)(b) |
|
1,550
|
1,263
|
|
Headlands Residential 2021-RPL1 LLC,
|
|
|
|
|
2.49%, 9/25/26 (a)(b) |
|
1,940
|
1,804
|
|
Homeward Opportunities Fund Trust,
|
|
|
|
|
3.23%, 8/25/25 (b) |
|
219
|
212
|
|
Imperial Fund Mortgage Trust,
|
|
|
|
|
1.38%, 10/25/55 (a)(b) |
|
409
|
361
|
|
1.60%, 11/25/56 (a)(b) |
|
877
|
720
|
|
2.49%, 2/25/67 (a)(b) |
|
1,301
|
1,134
|
|
J.P. Morgan Mortgage Trust,
|
|
|
|
|
Series 2023-4 Class 1A4
|
|
|
|
|
6.00%, 11/25/53 (b) |
|
1,880
|
1,856
|
|
Legacy Mortgage Asset Trust,
|
|
|
|
|
6.25%, 2/25/60 (b) |
|
810
|
797
|
|
LHOME Mortgage Trust,
|
|
|
|
|
2.09%, 2/25/26 (a)(b) |
|
377
|
366
|
|
New Residential Mortgage Loan Trust,
|
|
|
|
|
3.75%, 5/28/52 - 8/25/55 (a)(b) |
|
110
|
101
|
|
3.91%, 9/25/57 (a)(b) |
|
205
|
188
|
|
NewRez Warehouse Securitization Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.75%,
5.90%, 5/25/55 (a)(b)
|
|
1,105
|
1,101
|
|
NYMT Loan Trust,
|
|
|
|
|
2.94%, 10/25/60 (a)(b) |
|
1,451
|
1,418
|
|
Oceanview Mortgage Loan Trust,
|
|
|
|
|
1.73%, 5/28/50 (a)(b) |
|
254
|
226
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
Pepper Residential Securities Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.95%,
6.11%, 8/18/60 (a)(b)
|
$
|
30
|
$30
|
|
1 Month USD LIBOR + 0.93%,
6.15%, 3/12/61 (a)(b)
|
|
60
|
60
|
|
1 Month USD LIBOR + 1.00%,
6.16%, 6/20/60 (a)(b)
|
|
21
|
21
|
|
Preston Ridge Partners Mortgage LLC,
|
|
|
|
|
1.74%, 9/25/26 (a)(b) |
|
961
|
865
|
|
2.12%, 1/25/26 - 3/25/26 (a)(b) |
|
1,059
|
1,004
|
|
2.36%, 10/25/26 (b) |
|
1,218
|
1,134
|
|
Residential Mortgage Loan Trust,
|
|
|
|
|
1.65%, 5/25/60 (a)(b) |
|
170
|
167
|
|
RESIMAC Bastille Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.93%,
6.09%, 9/5/57 (a)(b)
|
|
51
|
51
|
|
RESIMAC Premier,
|
|
|
|
|
1 Month USD LIBOR + 0.95%,
6.17%, 2/10/51 (a)(b)
|
|
19
|
19
|
|
RMF Buyout Issuance Trust,
|
|
|
|
|
1.72%, 10/25/50 (a)(b) |
|
1,237
|
1,146
|
|
RMF Proprietary Issuance Trust,
|
|
|
|
|
2.13%, 9/25/61 (a)(b) |
|
1,567
|
1,102
|
|
4.00%, 8/25/62 (a)(b) |
|
2,225
|
1,740
|
|
Sequoia Mortgage Trust,
|
|
|
|
|
1 Month USD LIBOR + 0.62%,
5.78%, 8/20/34 (a)
|
|
77
|
71
|
|
Stanwich Mortgage Loan Co. LLC,
|
|
|
|
|
2.74%, 10/16/26 (b) |
|
1,292
|
1,174
|
|
Towd Point Mortgage Trust,
|
|
|
|
|
1.75%, 10/25/60 (b) |
|
519
|
450
|
|
2.75%, 4/25/57 (a)(b) |
|
7
|
6
|
|
1 Month USD LIBOR + 0.60%,
4.60%, 2/25/57 (a)(b)
|
|
55
|
55
|
|
TVC Mortgage Trust,
|
|
|
|
|
3.47%, 9/25/24 (b) |
|
2
|
3
|
|
Verus Securitization Trust,
|
|
|
|
|
1.03%, 2/25/66 (a)(b) |
|
597
|
498
|
|
VOLT XCIII LLC,
|
|
|
|
|
1.89%, 2/27/51 (b) |
|
752
|
695
|
|
VOLT XCIV LLC,
|
|
|
|
|
2.24%, 2/27/51 (b) |
|
877
|
810
|
|
|
|
|
44,151
|
|
Sovereign (0.8%)
|
|
|
|
|
Corp. Andina de Fomento,
|
|
|
|
|
1.63%, 9/23/25 |
|
1,750
|
1,608
|
|
Korea National Oil Corp.,
|
|
|
|
|
0.88%, 10/5/25 (b) |
|
1,680
|
1,513
|
|
|
|
|
3,121
|
|
Total Fixed Income
Securities (Cost $405,811)
|
|
381,457
|
|
|
|
|
Shares
|
Value (000)
|
|
Short-Term Investments (1.8%)
|
|
|
|
|
Investment Company (1.4%)
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds —
Government Portfolio — Institutional
Class (e) (Cost $5,465)
|
|
5,465,460
|
$5,465
|
|
|
|
Face
Amount
(000)
|
|
|
|
|
|
|
|
U.S. Treasury Security (0.4%)
|
|
|
|
|
U.S. Treasury Bill,
5.01%, 11/30/23 (f)(g)
(Cost $1,499)
|
$
|
1,530
|
1,497
|
|
Total Short-Term Investments (Cost $6,965)
|
6,962
|
||
|
Total Investments (99.8%) (Cost $412,775)(h)(i)(j)
|
388,419
|
||
|
Other Assets in Excess of Liabilities (0.2%)
|
749
|
||
|
Net Assets (100.0%)
|
$389,168
|
||
|
(a)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(b)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(c)
|
When-issued security.
|
|
(d)
|
Multi-step — Coupon rate changes in predetermined increments to
maturity. Rate disclosed is as of June 30, 2023. Maturity date
disclosed is the ultimate maturity date.
|
|
(e)
|
The Fund invests in the Institutional Class of the Morgan Stanley
Institutional Liquidity Funds - Government Portfolio - (the "Liquidity
Funds"), an open-end management investment company managed by
the Adviser. Advisory fees paid by the Fund are reduced by an amount
equal to its pro-rata share of the advisory and administration fees paid
by the Fund due to its investment in the Liquidity Funds. For the nine
months ended June 30, 2023, advisory fees paid were reduced by
approximately $6,000 relating to the Fund's investment in the Liquidity
Funds.
|
|
(f)
|
Rate shown is the yield to maturity at June 30, 2023.
|
|
(g)
|
All or a portion of the security was pledged to cover margin
requirements for futures contracts.
|
|
(h)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(i)
|
Securities are available for collateral in connection with purchase of
when-issued security and open futures contracts.
|
|
(j)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $998,000 and the
aggregate gross unrealized depreciation is approximately
$26,304,000, resulting in net unrealized depreciation of approximately
$25,306,000.
|
|
CLO
|
Collateralized Loan Obligation.
|
|
CMT
|
Constant Maturity Treasury Note Rate.
|
|
DAC
|
Designated Activity Company.
|
|
LIBOR
|
London Interbank Offered Rate.
|
|
REMIC
|
Real Estate Mortgage Investment Conduit.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
USD
|
United States Dollar.
|
|
Futures Contracts:
|
||||||
|
The Fund had the following futures contracts open at June 30, 2023:
|
||||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
(000)
|
Value
(000)
|
Unrealized
Appreciation
(Depreciation)
(000)
|
|
|
Long:
|
|
|
|
|
|
|
|
U.S. Treasury 2 yr. Note (United States)
|
587
|
Sep-23
|
$
|
117,400
|
$119,363
|
$(1,735
)
|
|
Short:
|
|
|
|
|
|
|
|
U.S. Treasury 5 yr. Note (United States)
|
254
|
Sep-23
|
|
(25,400)
|
(27,202
)
|
612
|
|
U.S. Treasury 10 yr. Note (United States)
|
76
|
Sep-23
|
|
(7,600)
|
(8,532
)
|
173
|
|
|
|
|
|
|
|
$(950
)
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Finance
|
31.3
%
|
|
Industrials
|
26.7
|
|
Asset-Backed Securities
|
18.6
|
|
Mortgages - Other
|
11.4
|
|
Other*
|
6.4
|
|
Commercial Mortgage-Backed Securities
|
5.6
|
|
Total Investments
|
100.0
%**
|
|
*
|
Industries and/or investment types representing less than 5% of total investments.
|
|
**
|
Does not include open long/short futures contracts with a value of approximately
$155,097,000 and net unrealized appreciation of approximately $950,000.
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Certificates of Deposit(10.2%)
|
|
|
|
|
Domestic Banks (1.9%)
|
|
|
|
|
Bank of America NA
5.80%, 5/28/24
|
$
|
100,000
|
$99,833
|
|
Citibank NA
5.79%, 7/8/24
|
|
112,000
|
111,719
|
|
|
|
|
211,552
|
|
International Banks (8.3%)
|
|
|
|
|
Bank of Nova Scotia
5.55%, 5/17/24
|
|
131,000
|
130,414
|
|
Canadian Imperial Bank of Commerce
5.77%, 6/12/24
|
|
150,000
|
149,664
|
|
National Bank of Kuwait SAKP,
|
|
|
|
|
5.75%, 1/19/24
|
|
150,000
|
149,825
|
|
5.95%, 12/14/23
|
|
200,000
|
199,982
|
|
Natixis SA
5.29%, 12/13/23
|
|
10,000
|
9,977
|
|
Oversea-Chinese Banking Corp. Ltd.
5.50%, 9/25/23
|
|
75,000
|
75,007
|
|
Toronto-Dominion Bank,
|
|
|
|
|
5.48%, 4/19/24
|
|
116,500
|
116,010
|
|
5.80%, 5/16/24 - 7/15/24
|
|
86,000
|
85,828
|
|
Westpac Banking Corp.
5.58%, 3/8/24
|
|
4,310
|
4,300
|
|
|
|
|
921,007
|
|
Total Certificates of Deposit (Cost $1,134,828)
|
1,132,559
|
||
|
Commercial Paper (a)(41.8%)
|
|
|
|
|
Asset-Backed Diversified Financial Services
(6.7%)
|
|
|
|
|
Atlantic Asset Securitization LLC
5.42%, 12/5/23
|
|
50,000
|
48,779
|
|
Cabot Trail Funding LLC
5.52%, 2/9/24
|
|
15,000
|
14,472
|
|
Collateralized Commercial Paper FLEX Co. LLC
5.25%, 10/23/23 (b)
|
|
60,000
|
59,929
|
|
Equitable Short Term Funding LLC
5.53%, 9/21/23 (b)
|
|
100,000
|
98,770
|
|
LMA Americas LLC,
|
|
|
|
|
5.00%, 9/21/23
|
|
50,000
|
49,369
|
|
5.09%, 7/7/23
|
|
25,000
|
24,975
|
|
5.60%, 7/21/23
|
|
15,663
|
15,615
|
|
5.71%, 9/18/23
|
|
85,000
|
83,968
|
|
Old Line Funding LLC,
|
|
|
|
|
5.50%, 9/26/23
|
|
90,000
|
88,799
|
|
5.73%, 1/8/24 (b)
|
|
40,000
|
38,807
|
|
Pacific Life Short Term Funding LLC
5.38%, 5/6/24 (b)
|
|
10,000
|
9,505
|
|
Podium Funding Corp.,
|
|
|
|
|
5.42%, 12/1/23
|
|
34,000
|
33,178
|
|
5.52%, 9/20/23
|
|
40,000
|
39,507
|
|
Thunder Bay Funding LLC,
|
|
|
|
|
5.71%, 1/10/24
|
|
60,000
|
58,189
|
|
5.72%, 12/7/23
|
|
50,000
|
48,765
|
|
5.73%, 1/8/24
|
|
40,000
|
38,805
|
|
|
|
|
751,432
|
|
Automobile (5.0%)
|
|
|
|
|
American Honda Finance Corp.,
|
|
|
|
|
4.05%, 9/21/23
|
|
23,000
|
22,704
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
|
|
|
|
|
5.68%, 9/18/23
|
$
|
29,000
|
$28,641
|
|
5.74%, 9/21/23
|
|
51,000
|
50,344
|
|
5.76%, 9/18/23
|
|
10,000
|
9,876
|
|
BMW US Capital LLC,
|
|
|
|
|
5.13%, 7/5/23
|
|
60,000
|
59,958
|
|
5.20%, 7/5/23
|
|
103,000
|
102,928
|
|
Mercedes Benz Finance North America,
|
|
|
|
|
5.14%, 7/6/23
|
|
46,500
|
46,462
|
|
5.22%, 7/27/23
|
|
72,590
|
72,308
|
|
Toyota Credit de Puerto Rico Corp.
5.41%, 10/5/23
|
|
22,000
|
21,680
|
|
Volvo Treasury NA LP
|
|
|
|
|
5.27%, 7/13/23 - 7/17/23
|
|
148,000
|
147,690
|
|
|
|
|
562,591
|
|
Chemicals (2.5%)
|
|
|
|
|
BASF SE,
|
|
|
|
|
5.57%, 11/20/23
|
|
147,000
|
143,740
|
|
5.58%, 11/21/23
|
|
40,000
|
39,106
|
|
5.77%, 12/6/23
|
|
25,000
|
24,378
|
|
EIDP, Inc.,
|
|
|
|
|
5.77%, 10/13/23 - 10/17/23
|
|
57,000
|
56,086
|
|
5.84%, 12/7/23
|
|
5,000
|
4,876
|
|
5.93%, 12/4/23
|
|
15,000
|
14,634
|
|
|
|
|
282,820
|
|
Communications (1.6%)
|
|
|
|
|
AT&T, Inc.,
|
|
|
|
|
5.68%, 12/19/23
|
|
82,000
|
79,757
|
|
5.80%, 2/23/24
|
|
21,625
|
20,793
|
|
5.93%, 3/19/24
|
|
15,000
|
14,359
|
|
Walt Disney Co.
5.71%, 3/26/24
|
|
65,000
|
62,268
|
|
|
|
|
177,177
|
|
Consumer, Non-Cyclical (3.9%)
|
|
|
|
|
LVMH Moet Hennessy Louis Vuitton,
|
|
|
|
|
5.58%, 5/22/24 - 5/23/24 (b)
|
|
105,000
|
99,721
|
|
5.77%, 6/6/24
|
|
80,000
|
75,805
|
|
5.78%, 6/6/24 - 6/7/24
|
|
85,000
|
80,533
|
|
5.80%, 5/29/24 - 6/10/24
|
|
165,000
|
156,429
|
|
5.83%, 6/13/24 (b)
|
|
22,000
|
20,823
|
|
|
|
|
433,311
|
|
Diversified Financial Services (1.1%)
|
|
|
|
|
PSP Capital, Inc.,
|
|
|
|
|
4.01%, 8/16/23
|
|
25,000
|
24,830
|
|
4.04%, 8/17/23
|
|
96,000
|
95,335
|
|
|
|
|
120,165
|
|
Domestic Banks (4.7%)
|
|
|
|
|
HSBC USA, Inc.,
|
|
|
|
|
4.17%, 8/4/23
|
|
35,000
|
34,822
|
|
5.72%, 5/7/24
|
|
22,000
|
20,841
|
|
5.85%, 1/12/24
|
|
50,000
|
48,403
|
|
5.93%, 5/17/24
|
|
35,000
|
33,093
|
|
5.98%, 12/15/23
|
|
75,000
|
72,977
|
|
6.01%, 12/8/23
|
|
74,000
|
72,100
|
|
6.02%, 11/14/23
|
|
25,000
|
24,464
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Commercial Paper (cont'd)
|
|
|
|
|
Domestic Banks (cont'd)
|
|
|
|
|
6.07%, 3/1/24
|
$
|
14,500
|
$13,910
|
|
6.25%, 6/3/24 - 6/6/24 (b)
|
|
73,000
|
68,776
|
|
6.26%, 6/7/24
|
|
25,000
|
23,545
|
|
6.35%, 6/10/24
|
|
42,000
|
39,532
|
|
6.46%, 6/28/24
|
|
75,000
|
70,356
|
|
|
|
|
522,819
|
|
Finance (3.2%)
|
|
|
|
|
Barclays Capital, Inc.,
|
|
|
|
|
5.68%, 12/19/23
|
|
100,000
|
97,324
|
|
5.73%, 12/28/23
|
|
100,000
|
97,178
|
|
5.75%, 12/18/23
|
|
32,000
|
31,149
|
|
5.87%, 11/22/23
|
|
75,000
|
73,323
|
|
CDP Financial, Inc.
4.07%, 8/21/23
|
|
50,000
|
49,624
|
|
Citigroup Global Markets, Inc.
5.47%, 12/14/23
|
|
9,350
|
9,107
|
|
|
|
|
357,705
|
|
Health Care Services (1.0%)
|
|
|
|
|
Catholic Health Initiatives,
|
|
|
|
|
5.68%, 12/7/23
|
|
14,154
|
13,769
|
|
5.73%, 9/13/23
|
|
35,000
|
34,569
|
|
5.78%, 9/21/23
|
|
15,000
|
14,795
|
|
CommonSpirit Health,
|
|
|
|
|
5.45%, 7/6/23
|
|
25,000
|
24,978
|
|
5.71%, 9/18/23
|
|
20,000
|
19,737
|
|
|
|
|
107,848
|
|
Industrials (0.0%)‡
|
|
|
|
|
Parker Hannifin Corp.
5.50%, 8/15/23 (b)
|
|
2,000
|
1,986
|
|
Insurance (0.9%)
|
|
|
|
|
Marsh & McLennan Cos., Inc.
5.50%, 9/5/23
|
|
79,000
|
78,179
|
|
Pricoa Short Term Funding LLC
5.38%, 5/1/24
|
|
15,000
|
14,273
|
|
Prudential Financial, Inc.
5.10%, 7/3/23
|
|
9,000
|
8,996
|
|
|
|
|
101,448
|
|
International Banks (11.2%)
|
|
|
|
|
Australia & New Zealand Banking Group Ltd.
5.85%, 4/22/24
|
|
4,000
|
3,817
|
|
Barclays Bank PLC,
|
|
|
|
|
5.56%, 9/22/23 (b)
|
|
75,000
|
74,053
|
|
5.77%, 8/10/23 (b)
|
|
7,250
|
7,206
|
|
BPCE SA
5.45%, 9/8/23
|
|
45,000
|
44,531
|
|
Landesbank Baden-Wuerttemberg,
|
|
|
|
|
5.06%, 7/3/23
|
|
200,000
|
199,916
|
|
5.08%, 7/5/23
|
|
110,000
|
109,922
|
|
Lloyds Bank PLC
5.95%, 6/28/24
|
|
4,000
|
3,768
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
|
|
|
|
|
Macquarie Bank Ltd.,
|
|
|
|
|
5.41%, 10/4/23 (b)
|
$
|
85,000
|
$83,769
|
|
5.49%, 11/24/23
|
|
75,000
|
73,287
|
|
Nationwide Building Society
5.08%, 7/7/23
|
|
203,000
|
202,799
|
|
Societe Generale SA,
|
|
|
|
|
5.62%, 2/26/24 (b)
|
|
15,000
|
14,473
|
|
5.82%, 11/10/23 (b)
|
|
110,000
|
107,819
|
|
6.38%, 7/1/24 (b)
|
|
80,000
|
75,155
|
|
Sumitomo Mitsui Banking Corp.
5.52%, 1/5/24
|
|
16,000
|
15,548
|
|
Suncorp Group Ltd.
|
|
|
|
|
5.52%, 11/6/23 - 11/7/23
|
|
88,000
|
86,167
|
|
UBS AG London
5.79%, 1/3/24
|
|
71,000
|
68,920
|
|
United Overseas Bank Ltd.
5.48%, 9/26/23
|
|
75,000
|
73,990
|
|
|
|
|
1,245,140
|
|
Total Commercial Paper (Cost $4,669,478)
|
4,664,442
|
||
|
Corporate Bonds(0.4%)
|
|
|
|
|
Consumer, Non-Cyclical (0.1%)
|
|
|
|
|
GlaxoSmithKline Capital PLC
0.53%, 10/1/23
|
|
5,000
|
4,942
|
|
International Banks (0.3%)
|
|
|
|
|
Bank of Nova Scotia
0.55%, 9/15/23
|
|
9,000
|
8,905
|
|
Banque Federative du Credit Mutuel SA
3.75%, 7/20/23 (b)
|
|
3,000
|
2,997
|
|
Sumitomo Mitsui Trust Bank Ltd.
0.80%, 9/12/23 (b)
|
|
18,725
|
18,555
|
|
Toronto-Dominion Bank
0.45%, 9/11/23
|
|
4,112
|
4,072
|
|
|
|
|
34,529
|
|
Total Corporate Bonds (Cost $39,455)
|
39,471
|
||
|
Floating Rate Notes (c)(35.1%)
|
|
|
|
|
Asset-Backed Diversified Financial Services
(0.5%)
|
|
|
|
|
Barclays Bank PLC,
|
|
|
|
|
SOFR + 0.75%, 5.81%, 10/4/23 (b)
|
|
25,000
|
25,026
|
|
Thunder Bay Funding LLC,
|
|
|
|
|
SOFR + 0.42%, 5.48%, 9/27/23 (b)
|
|
27,000
|
27,006
|
|
|
|
|
52,032
|
|
Diversified Financial Services (0.4%)
|
|
|
|
|
Mizuho Markets Cayman LP,
|
|
|
|
|
MTN
|
|
|
|
|
SOFR + 0.52%, 5.64%, 12/22/23 (b)
|
|
50,000
|
50,044
|
|
Domestic Banks (4.5%)
|
|
|
|
|
Bank of America NA,
|
|
|
|
|
5.81%, 8/4/23
|
|
95,000
|
95,055
|
|
Bank of America Securities, Inc.,
|
|
|
|
|
5.88%, 10/20/23
|
|
125,000
|
125,200
|
|
Barton Capital Corp.,
|
|
|
|
|
SOFR + 0.47%, 5.53%, 12/1/23
|
|
100,000
|
100,033
|
|
Citibank NA,
|
|
|
|
|
SOFR + 0.68%, 5.74%, 6/12/24
|
|
65,000
|
65,021
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Floating Rate Notes (c) (cont'd)
|
|
|
|
|
Domestic Banks (cont'd)
|
|
|
|
|
Wells Fargo Bank NA,
|
|
|
|
|
5.88%, 7/3/24 (d)
|
$
|
114,500
|
$114,500
|
|
|
|
|
499,809
|
|
Finance (1.0%)
|
|
|
|
|
American Express Co.,
|
|
|
|
|
SOFR + 0.23%, 5.34%, 11/3/23
|
|
15,999
|
15,987
|
|
J.P Morgan Securities LLC,
|
|
|
|
|
SOFR + 0.65%, 5.71%, 6/7/24 (b)
|
|
100,000
|
99,971
|
|
|
|
|
115,958
|
|
International Banks (28.7%)
|
|
|
|
|
Australia & New Zealand Banking Group Ltd.,
|
|
|
|
|
SOFR + 0.50%, 5.56%, 3/22/24 (b)
|
|
90,000
|
89,997
|
|
Bank of Montreal,
|
|
|
|
|
SOFR + 0.27%, 5.34%, 9/15/23
|
|
48,548
|
48,542
|
|
SOFR + 0.75%, 5.81%, 12/1/23
|
|
200,000
|
200,338
|
|
SOFR + 0.80%, 5.86%, 11/7/23
|
|
75,500
|
75,626
|
|
MTN
|
|
|
|
|
SOFR + 0.35%, 5.43%, 12/8/23
|
|
52,177
|
52,163
|
|
SOFR + 0.71%, 5.79%, 3/8/24
|
|
23,600
|
23,612
|
|
Bank of Nova Scotia,
|
|
|
|
|
SOFR + 0.75%, 5.81%, 12/4/23
|
|
94,000
|
94,170
|
|
MTN
|
|
|
|
|
SOFR + 0.96%, 6.04%, 3/11/24
|
|
15,882
|
15,932
|
|
Barclays Bank PLC,
|
|
|
|
|
SOFR + 0.75%, 5.81%, 10/5/23 (b)
|
|
50,000
|
50,053
|
|
Canadian Imperial Bank of Commerce,
|
|
|
|
|
SOFR + 0.40%, 5.46%, 12/14/23
|
|
26,061
|
26,037
|
|
SOFR + 0.66%, 5.72%, 6/7/24
|
|
150,000
|
150,062
|
|
SOFR + 0.70%, 5.76%, 4/5/24
|
|
175,000
|
175,212
|
|
Macquarie Bank Ltd.,
|
|
|
|
|
SOFR + 0.77%, 5.83%, 8/2/23 (b)
|
|
148,000
|
148,085
|
|
SOFR + 0.78%, 5.84%, 8/4/23 (b)
|
|
95,000
|
95,059
|
|
Mizuho Bank Ltd.,
|
|
|
|
|
SOFR + 0.56%, 5.62%, 3/14/24
|
|
100,000
|
100,016
|
|
SOFR + 0.60%, 5.66%, 2/26/24
|
|
175,000
|
175,112
|
|
Nordea Bank AB,
|
|
|
|
|
SOFR + 0.50%, 5.56%, 3/18/24 (b)
|
|
40,000
|
40,008
|
|
Nordea Bank Abp,
|
|
|
|
|
SOFR + 0.50%, 5.56%, 3/18/24
|
|
50,000
|
50,010
|
|
Nordea Bank ABP (New York Branch),
|
|
|
|
|
SOFR + 0.50%, 5.56%, 3/12/24
|
|
90,000
|
90,032
|
|
SOFR + 0.51%, 5.57%, 3/15/24
|
|
50,000
|
50,017
|
|
Royal Bank of Canada,
|
|
|
|
|
SOFR + 0.30%, 5.42%, 1/19/24
|
|
1,045
|
1,044
|
|
MTN
|
|
|
|
|
SOFR + 0.75%, 5.81%, 11/29/23 (b)
|
|
100,000
|
100,173
|
|
Skandinaviska Enskilda Banken AB,
|
|
|
|
|
SOFR + 0.65%, 5.71%, 6/12/24 (b)
|
|
131,000
|
131,035
|
|
Societe Generale SA,
|
|
|
|
|
SOFR + 0.68%, 5.74%, 6/27/24 (b)
|
|
35,000
|
34,997
|
|
SOFR + 0.82%, 5.88%, 12/11/23 (b)
|
|
22,000
|
22,045
|
|
SOFR + 0.90%, 5.96%, 11/20/23 (b)
|
|
90,000
|
90,213
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|
|
|
|
|
|
|
|
Sumitomo Mitsui Banking Corp.,
|
|
|
|
|
SOFR + 0.58%, 5.64%, 2/23/24
|
$
|
18,000
|
$18,008
|
|
SOFR + 0.60%, 5.66%, 12/5/23
|
|
125,000
|
125,096
|
|
SOFR + 0.70%, 5.76%, 6/6/24
|
|
100,000
|
100,021
|
|
SOFR + 0.92%, 5.98%, 11/30/23
|
|
150,000
|
150,318
|
|
SOFR + 0.95%, 6.01%, 10/25/23
|
|
101,000
|
101,190
|
|
Svenska Handelsbanken AB,
|
|
|
|
|
SOFR + 0.67%, 5.73%, 4/5/24
|
|
183,000
|
183,190
|
|
SOFR + 0.72%, 5.78%, 12/5/23
|
|
180,000
|
180,274
|
|
Toronto-Dominion Bank,
|
|
|
|
|
SOFR + 0.36%, 5.44%, 3/4/24
|
|
29,500
|
29,478
|
|
MTN
|
|
|
|
|
SOFR + 0.91%, 5.99%, 3/8/24
|
|
2,750
|
2,757
|
|
UBS AG,
|
|
|
|
|
SOFR + 0.82%, 5.95%, 10/17/23 (b)
|
|
96,000
|
96,014
|
|
Westpac Banking Corp.,
|
|
|
|
|
SOFR + 0.50%, 5.56%, 3/14/24 (b)
|
|
85,000
|
85,028
|
|
|
|
|
3,200,964
|
|
Total Floating Rate Notes (Cost $3,915,532)
|
3,918,807
|
||
|
Repurchase Agreements(10.7%)
|
|
|
|
|
Bank of America Securities, Inc., (5.52% (c),
dated 1/27/23, due 9/28/23; proceeds
$228,231; fully collateralized by various
Common Stocks and Preferred Stocks; valued
at $231,000) (Demand 7/3/23) (e)
|
|
220,000
|
220,000
|
|
BMO Capital Markets Corp., (5.17%, dated
6/30/23, due 7/3/23; proceeds $1,000; fully
collateralized by various Corporate Bonds,
3.10% - 5.10% due 1/17/25 - 3/15/42;
valued at $1,050)
|
|
1,000
|
1,000
|
|
BNP Paribas SA, (5.28% (c), dated 6/29/22, due
7/7/23; proceeds $242,583; fully
collateralized by various Corporate Bonds,
0.63% - 12.75% due 7/1/23 - 12/31/79;
valued at $243,760) (Demand 7/3/23) (e)
|
|
230,000
|
230,000
|
|
Citigroup Global Markets, Inc., (5.69% (c), dated
11/14/22, due 10/3/23; proceeds
$210,210; fully collateralized by various
Corporate Bonds, 3.38% - 13.38% due
9/15/24 - 7/15/48; valued at $212,001)
(Demand 7/3/23) (e)
|
|
200,000
|
200,000
|
|
ING Financial Markets LLC, (5.15%, dated
6/30/23, due 7/3/23; proceeds $5,002; fully
collateralized by various Corporate Bonds,
0.25% - 5.55% due 9/15/23 - 12/31/79;
valued at $5,251)
|
|
5,000
|
5,000
|
|
JP Morgan Securities LLC, (5.32% (c), dated
11/17/21, due 7/7/23; proceeds $76,176;
fully collateralized by various Common Stocks
and Preferred Stocks; valued at $73,847)
(Demand 7/3/23) (e)
|
|
70,000
|
70,000
|
|
JP Morgan Securities LLC, (5.52% (c), dated
1/5/23, due 9/28/23; proceeds $301,828;
fully collateralized by various Corporate
Bonds, 2.05% - 11.50% due
9/16/23 - 1/6/47; valued at $308,892)
(Demand 7/3/23) (e)
|
|
290,000
|
290,000
|
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
Repurchase Agreements (cont'd)
|
|
|
|
|
Pershing LLC, (5.39%, dated 6/30/23, due
7/3/23; proceeds $25,011; fully
collateralized by various Corporate Bonds,
0.95% - 9.29% due 7/21/23 - 1/22/78;
valued at $26,406) (e)
|
$
|
25,000
|
$25,000
|
|
Societe Generale SA, (5.22%, dated 6/30/23,
due 7/3/23; proceeds $55,024; fully
collateralized by various Corporate Bonds,
3.13% - 13.00% due 4/1/24 - 6/15/76;
valued at $58,181)
|
|
55,000
|
55,000
|
|
Wells Fargo Securities LLC, (5.59%, dated
6/7/23, due 9/1/23; proceeds $101,335;
fully collateralized by various Common Stocks
and Preferred Stocks; valued at $105,000) (e)
|
|
100,000
|
100,000
|
|
Total Repurchase Agreements (Cost $1,196,000)
|
1,196,000
|
||
|
Time Deposits(1.9%)
|
|
|
|
|
International Banks (1.9%)
|
|
|
|
|
Credit Agricole Corporate and Investment Bank
5.05%, 7/3/23
|
|
5,000
|
5,000
|
|
DNB Bank ASA (New York Branch)
5.04%, 7/3/23
|
|
202,000
|
202,000
|
|
Total Time Deposits (Cost $207,000)
|
207,000
|
||
|
Total Investments (100.1%) (Cost $11,162,293) (f)(g)(h)
|
11,158,279
|
||
|
Liabilities in Excess of Other Assets (-0.1%)
|
(9,652
)
|
||
|
Net Assets (100.0%)
|
$11,148,627
|
||
|
‡
|
Amount is less than 0.05%.
|
|
(a)
|
The rates shown are the effective yields at the date of purchase.
|
|
(b)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(c)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(d)
|
Security is subject to delayed delivery.
|
|
(e)
|
Perpetual - One or more securities do not have a predetermined
maturity date. Rates for these securities are fixed for a period of time
after which they revert to a floating rate. Interest rates in effect are as
of June 30, 2023.
|
|
(f)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(g)
|
Securities are available for collateral in connection with purchase of
securities on a forward commitment basis.
|
|
(h)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $3,389,000 and the
aggregate gross unrealized depreciation is approximately
$7,403,000, resulting in net unrealized depreciation of approximately
$4,014,000.
|
|
MTN
|
Medium Term Note.
|
|
SOFR
|
Secured Overnight Financing Rate.
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Commercial Paper
|
41.8
%
|
|
Floating Rate Notes
|
35.1
|
|
Repurchase Agreements
|
10.7
|
|
Certificates of Deposit
|
10.1
|
|
Other*
|
2.3
|
|
Total Investments
|
100.0
%
|
|
*
|
Industries and/or investment types representing less than 5% of total investments.
|
|
|
Face Amount
(000)
|
Value (000)
|
|
|
Weekly Variable Rate Bonds (a) (61.1%)
|
|||
|
Broward County, FL,
Industrial Development Revenue,
Florida Power & Light Company Ser 2018 B
|
|
|
|
|
4.35%, 12/1/48
|
$
|
10,500
|
$10,500
|
|
City of Colorado Springs, CO,
Colorado Variable Rate Demand Utilities
System Subordinate Lien Improvement
Revenue Bonds, Ser 2005A
|
|
|
|
|
3.94%, 11/1/35
|
|
8,000
|
8,000
|
|
County of Clark, NV,
Nevada Industrial Development Revenue Bonds
|
|
|
|
|
Ser 2003A
4.20%, 3/1/38
|
|
10,000
|
10,000
|
|
County of Hamilton, OH,
Ohio Hospital Facilities Revenue Refunding And
Improvement Bonds (Trihealth, Inc. Obligated
Group Project)
|
|
|
|
|
Ser 2021B
4.28%, 8/15/51
|
|
9,625
|
9,625
|
|
County of Liberty, FL,
Industrial Development Revenue Bonds
Georgia Pacific Corp. Ser 2004
|
|
|
|
|
4.06%, 10/1/28 (b)
|
|
4,500
|
4,500
|
|
County of Perry, MS,
Mississippi Pollution Control Refunding
Revenue Bonds Leaf River Cellulose, LLC
Project Ser 2021
|
|
|
|
|
4.11%, 10/1/41 (b)
|
|
4,000
|
4,000
|
|
Daviess County, KY,
Solid Waste Disposal Facilities Revenue
Ser 1993-A (AMT)
|
|
|
|
|
3.90%, 12/1/23
|
|
5,000
|
5,000
|
|
Gibson Country, IN,
Industrial Pollution Control Revenue Adjustable
Rate Bonds, Toyota Motor Manufacturing Ser
1999A
|
|
|
|
|
3.73%, 1/1/29
|
|
3,000
|
3,000
|
|
Hospital Authority of Cobb County, GA
Revenue Anticipation Certificates Equipment
Pool Project Ser 2004
|
|
|
|
|
4.12%, 4/1/34
|
|
5,800
|
5,800
|
|
Iowa State Finance Authority, LA,
|
|
|
|
|
Midwestern Disaster Area Revenue Bonds
Archer-Daniels-Midland Company Project
Ser 2012
|
|
|
|
|
4.15%, 12/1/45
|
|
4,115
|
4,115
|
|
Solid Waste Facilities Revenue Bonds Mid
America Energy Company Project
|
|
|
|
|
Ser 2017 (AMT)
4.18%, 12/1/47
|
|
3,000
|
3,000
|
|
Ser 2016B (AMT)
4.23%, 12/1/46
|
|
3,500
|
3,500
|
|
Kentucky Economic Development Finance
Authority, KY,
Catholic Health Initiatives Ser 2004C
|
|
|
|
|
4.15%, 5/1/34
|
|
7,200
|
7,200
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|||
|
Metropolitan Washington Airports Authority, DC,
Airport System Subser 2011A-1
|
|
|
|
|
3.98%, 10/1/39
|
$
|
10,000
|
$10,000
|
|
Parish of St. James, LA,
State of Louisiana Revenue Bonds, Nucor
Steel Louisiana LLC Project, Gulf Opportunity
Zone Bonds Ser 2010B-1
|
|
|
|
|
4.40%, 11/1/40
|
|
5,000
|
5,000
|
|
Pennsylvania Turnpike Commission Variable Rate
Turnpike Revenue Bonds Second Series of
2019
|
|
|
|
|
Ser 2
3.95%, 12/1/38
|
|
10,000
|
10,000
|
|
RBC Municipal Products Inc Trust, MO,
Health And Educational Facilities Authority of
The State of Missouri SSM Health Ser 2019 A
Floater Certificates Ser 2019-C17
|
|
|
|
|
4.05%, 12/1/39 (b)
|
|
3,000
|
3,000
|
|
RBC Municipal Products Inc Trust, NY,
New York City Variable Ser 2006 Subser I-5
Floater Certificates Ser 2019-E133
|
|
|
|
|
4.04%, 5/16/24 (b)
|
|
4,000
|
4,000
|
|
RBC Municipal Products Inc Trust, TX,
Various States Certificates
|
|
|
|
|
E-150
4.04%, 10/15/23 (b)
|
|
4,000
|
4,000
|
|
E-154
4.11%, 7/12/23 (b)
|
|
7,800
|
7,800
|
|
Tender Option Bond Trust, Various States
Certificates 2023-BAML Ser 6005
|
|
|
|
|
4.16%, 12/1/37 (b)
|
|
8,200
|
8,200
|
|
Utah Water Finance Agency, UT,
Ser 2008 B
|
|
|
|
|
4.00%, 10/1/37
|
|
5,840
|
5,840
|
|
Washington County, NE,
Nebraska Industrial Development Revenue
Bonds
Ser 2010 B
|
|
|
|
|
4.04%, 12/1/40
|
|
1,500
|
1,500
|
|
Total Weekly Variable Rate Bonds (Cost $137,580)
|
137,580
|
||
|
Commercial Paper (c) (12.0%)
|
|||
|
Atlanta GA,
Airport Third Lien General Revenue
3/A2 Ser O2 (AMT)
|
|
|
|
|
3.65%, 9/7/23
|
|
3,936
|
3,936
|
|
Mercer Country, ND,
Pollution Control Revenue
Ser 1
|
|
|
|
|
3.50%, 7/12/23
|
|
5,000
|
4,999
|
|
Oregon State Department of Transportation, OR,
Highway User Tax Revenue
Ser A1
|
|
|
|
|
3.33%, 9/13/23
|
|
8,000
|
7,998
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
Commercial Paper (cont'd)
|
|||
|
San Antonio, TX,
Electricity & Gas Revenue
3/A2 Ser A
|
|
|
|
|
3.60%, 10/26/23
|
$
|
10,000
|
$10,000
|
|
Total Commercial Paper (Cost $26,936)
|
26,933
|
||
|
Daily Variable Rate Bonds (a) (10.4%)
|
|||
|
Columbia, AL,
Industrial Development Board Pollution Control
Revenue Refunding Bonds (Alabama Power
Company Project)
|
|
|
|
|
Ser 2014B
3.95%, 12/1/37
|
|
5,700
|
5,700
|
|
Ser 1998 (AMT)
3.95%, 6/1/28
|
|
4,300
|
4,300
|
|
County of Meade, KY,
Industrial Building Revenue Bonds (Nucor Steel
Brandenburg Project) (Green Bonds)
Ser 2021B-1
|
|
|
|
|
4.65%, 8/1/61
|
|
5,500
|
5,500
|
|
Louisville and Jefferson County, KY,
Regional Airport UPS Worldwide Forwarding
Ser 1999-C (AMT)
|
|
|
|
|
3.90%, 1/1/29
|
|
8,000
|
8,000
|
|
Total Daily Variable Rate Bonds (Cost $23,500)
|
23,500
|
||
|
Closed-End Investment Companies (a) (8.9%)
|
|||
|
Nuveen AMT-Free Municipal Credit Income Fund,
OT,
MFP Share Ser B
|
|
|
|
|
4.46%, 3/1/29
|
|
5,000
|
5,000
|
|
Nuveen AMT-Free Municipal Income Fund, OT,
MFP NEA 1
|
|
|
|
|
Ser 4-4895
4.06%, 9/11/26 (b)
|
|
10,000
|
10,000
|
|
Nuveen New York AMT-Free Quality Municipal
Income Fund,
MFP 800 Ser E (AMT)
|
|
|
|
|
4.46%, 5/1/47 (b)
|
|
5,000
|
5,000
|
|
Total Closed-End Investment
Companies (Cost $20,000)
|
20,000
|
||
|
Quarterly Variable Rate Bonds (6.0%)
|
|||
|
Indiana Finance Authority, IN,
Economic Development Refunding Revenue
Bonds
Ser 2010A (AMT)
|
|
|
|
|
4.05%, 5/1/34
|
|
3,000
|
3,000
|
|
New York State Environmental Facilities Corp.,
NY,
Solid Waste Disposal Refunding Revenue
Bonds
Waste Management Inc. Project 2012 (AMT)
|
|
|
|
|
3.88%, 5/1/30
|
|
6,000
|
6,000
|
|
|
Face
Amount
(000)
|
Value
(000)
|
|
|
|
|||
|
Pennsylvania Economic Development Financing
Authority, PA,
Solid Waste Disposal Refunding Revenue
Bonds
Ser 2019A (AMT)
|
|
|
|
|
3.70%, 4/1/34
|
$
|
1,500
|
$1,500
|
|
The Industrial Development Authority of The City
of Phoenix, AZ,
Solid Waste Disposal Revenue Refunding
Bonds Ser 2013D
|
|
|
|
|
3.88%, 12/1/35
|
|
3,000
|
3,000
|
|
Total Quarterly Variable Rate Bonds (Cost $13,500)
|
13,500
|
||
|
Municipal Bonds & Notes (1.1%)
|
|||
|
County of Clark, NV,
Airport System Junior Subordinate Lien
Revenue Notes Ser 2021B
|
|
|
|
|
5.00%, 7/1/23 (Cost $2,400)
|
|
2,400
|
2,400
|
|
Floating Rate Note (a) (0.9%)
|
|||
|
Michigan Finance Authority, MI,
Hospital Revenue Bonds Trinity Health Credit
Group, Ser 2015
|
|
|
|
|
4.86%, 12/1/39 (Cost $2,003)
|
|
2,000
|
2,002
|
|
Total Investments (100.4%) (Cost $225,919) (d)(e)
|
225,915
|
||
|
Liabilities in Excess of Other Assets -0.4%
|
(983
)
|
||
|
Net Assets (100.0%)
|
|
$224,932
|
|
|
(a)
|
Floating or variable rate securities: The rates disclosed are as of
June 30, 2023. For securities based on a published reference rate and
spread, the reference rate and spread are indicated in the description
in the Portfolio of Investments. Certain variable rate securities may not
be based on a published reference rate and spread but are determined
by the issuer or agent and are based on current market conditions.
These securities do not indicate a reference rate and spread in their
description in the Portfolio of Investments.
|
|
(b)
|
144A security − Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
|
|
(c)
|
The rates shown are the effective yields at the date of purchase.
|
|
(d)
|
The Fund is permitted to purchase and sell securities ("cross-trade")
from and to other Morgan Stanley Funds as well as other funds and
client accounts for which the Adviser or an affiliate of the Adviser
serves as investment adviser, pursuant to procedures approved by the
Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each
cross-trade is executed at the current market price in compliance with
provisions of the Rule. For the nine months ended June 30, 2023, the
Fund did not engage in any cross-trade transactions.
|
|
(e)
|
At June 30, 2023, the aggregate cost for federal income tax purposes
approximates the aggregate cost for book purposes. The aggregate
gross unrealized appreciation is approximately $1,000 and the
aggregate gross unrealized depreciation is approximately $5,000,
resulting in net unrealized depreciation of approximately $4,000.
|
|
AMT
|
Alternative Minimum Tax.
|
|
MFP
|
Municipal Fund Preferred.
|
|
Portfolio Composition
|
|
|
Classification
|
Percentage of
Total Investments
|
|
Weekly Variable Rate Bonds
|
60.9
%
|
|
Commercial Paper
|
11.9
|
|
Daily Variable Rate Bonds
|
10.4
|
|
Closed-End Investment Companies
|
8.8
|
|
Quarterly Variable Rate Bonds
|
6.0
|
|
Other*
|
2.0
|
|
Total Investments
|
100.0
%
|
|
*
|
Industries and/or investment types representing less than 5% of total investments.
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Core Plus Fixed Income
|
||||
|
Assets:
|
||||
|
Fixed Income Securities
|
|
|
|
|
|
Agency Fixed Rate Mortgages
|
$—
|
$133,173
|
$—
|
$133,173
|
|
Asset-Backed Securities
|
—
|
70,134
|
—
|
70,134
|
|
Collateralized Mortgage Obligations - Agency Collateral Series
|
—
|
2,252
|
—
|
2,252
|
|
Commercial Mortgage-Backed Securities
|
—
|
82,177
|
—
|
82,177
|
|
Corporate Bonds
|
—
|
147,112
|
—
|
147,112
|
|
Mortgages - Other
|
—
|
87,949
|
—
|
87,949
|
|
Municipal Bonds
|
—
|
4,536
|
—
|
4,536
|
|
Sovereign
|
—
|
24,175
|
—
|
24,175
|
|
Supranational
|
—
|
1,224
|
—
|
1,224
|
|
Total Fixed Income Securities
|
—
|
552,732
|
—
|
552,732
|
|
Short-Term Investments
|
||||
|
Investment Company
|
65,791
|
—
|
—
|
65,791
|
|
U.S. Treasury Securities
|
—
|
45,170
|
—
|
45,170
|
|
Total Short-Term Investments
|
65,791
|
45,170
|
—
|
110,961
|
|
Foreign Currency Forward Exchange Contracts
|
—
|
244
|
—
|
244
|
|
Futures Contracts
|
317
|
—
|
—
|
317
|
|
Total Assets
|
66,108
|
598,146
|
—
|
664,254
|
|
Liabilities:
|
||||
|
Foreign Currency Forward Exchange Contracts
|
—
|
(393
)
|
—
|
(393
)
|
|
Futures Contracts
|
(1,360
)
|
—
|
—
|
(1,360
)
|
|
Credit Default Swap Agreement
|
—
|
(374
)
|
—
|
(374
)
|
|
Total Liabilities
|
(1,360
)
|
(767
)
|
—
|
(2,127
)
|
|
Total
|
$64,748
|
$597,379
|
$—
|
$662,127
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Corporate Bond
|
||||
|
Assets:
|
||||
|
Fixed Income Securities
|
|
|
|
|
|
Commercial Mortgage-Backed Securities
|
$—
|
$3,144
|
$—
|
$3,144
|
|
Corporate Bonds
|
—
|
103,054
|
—
|
103,054
|
|
Sovereign
|
—
|
273
|
—
|
273
|
|
Total Fixed Income Securities
|
—
|
106,471
|
—
|
106,471
|
|
Short-Term Investments
|
||||
|
Investment Company
|
2,252
|
—
|
—
|
2,252
|
|
U.S. Treasury Security
|
—
|
1,825
|
—
|
1,825
|
|
Total Short-Term Investments
|
2,252
|
1,825
|
—
|
4,077
|
|
Foreign Currency Forward Exchange Contract
|
—
|
8
|
—
|
8
|
|
Futures Contracts
|
295
|
—
|
—
|
295
|
|
Total Assets
|
2,547
|
108,304
|
—
|
110,851
|
|
Liabilities:
|
||||
|
Foreign Currency Forward Exchange Contract
|
—
|
(3
)
|
—
|
(3
)
|
|
Futures Contracts
|
(147
)
|
—
|
—
|
(147
)
|
|
Total Liabilities
|
(147
)
|
(3
)
|
—
|
(150
)
|
|
Total
|
$2,400
|
$108,301
|
$—
|
$110,701
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Discovery
|
||||
|
Assets:
|
||||
|
Common Stocks
|
||||
|
Biotechnology
|
$20,187
|
$—
|
$—
|
$20,187
|
|
Broadline Retail
|
83,704
|
—
|
—
|
83,704
|
|
Chemicals
|
3,912
|
—
|
—
|
3,912
|
|
Commercial Services & Supplies
|
4,091
|
—
|
—
|
4,091
|
|
Entertainment
|
52,481
|
—
|
—
|
52,481
|
|
Financial Services
|
56,515
|
50,592
|
—
|
107,107
|
|
Ground Transportation
|
18,183
|
—
|
—
|
18,183
|
|
Health Care Equipment & Supplies
|
3,088
|
—
|
—
|
3,088
|
|
Health Care Providers & Services
|
33,009
|
—
|
—
|
33,009
|
|
Health Care Technology
|
38,261
|
—
|
—
|
38,261
|
|
Hotels, Restaurants & Leisure
|
63,583
|
—
|
—
|
63,583
|
|
Information Technology Services
|
75,994
|
—
|
—
|
75,994
|
|
Leisure Products
|
14,865
|
—
|
—
|
14,865
|
|
Life Sciences Tools & Services
|
55,941
|
—
|
—
|
55,941
|
|
Media
|
86,580
|
—
|
—
|
86,580
|
|
Pharmaceuticals
|
46,010
|
—
|
—
|
46,010
|
|
Semiconductors & Semiconductor Equipment
|
1,837
|
—
|
—
|
1,837
|
|
Software
|
165,506
|
—
|
—
|
165,506
|
|
Specialty Retail
|
104,845
|
—
|
—
|
104,845
|
|
Total Common Stocks
|
928,592
|
50,592
|
—
|
979,184
|
|
Preferred Stock
|
||||
|
Software
|
—
|
—
|
24,873
|
24,873
|
|
Investment Company
|
15,082
|
—
|
—
|
15,082
|
|
Warrants
|
|
|
|
|
|
Chemicals
|
52
|
—
|
—
|
52
|
|
Call Options Purchased
|
—
|
2,952
|
—
|
2,952
|
|
Short-Term Investments
|
||||
|
Investment Company
|
33,674
|
—
|
—
|
33,674
|
|
Repurchase Agreements
|
—
|
1,138
|
—
|
1,138
|
|
Total Short-Term Investments
|
33,674
|
1,138
|
—
|
34,812
|
|
Total
|
$977,400
|
$54,682
|
$24,873
|
$1,056,955
|
|
Discovery
|
Preferred
Stock
(000)
|
|
Beginning Balance
|
$25,782
|
|
Purchases
|
—
|
|
Sales
|
—
|
|
Amortization of discount
|
—
|
|
Transfers in
|
—
|
|
Transfers out
|
—
|
|
Corporate actions
|
—
|
|
Change in unrealized appreciation (depreciation)
|
(909
)
|
|
Realized gains (losses)
|
—
|
|
Ending Balance
|
$24,873
|
|
Net change in unrealized appreciation
(depreciation) from investments still held as of June 30, 2023
|
$(909
)
|
|
Discovery
|
Fair Value at
June 30, 2023
(000)
|
Valuation
Technique
|
Unobservable
Input
|
Amount*
|
Impact to
Valuation from an
Increase in Input**
|
|
Preferred Stock
|
$24,873
|
Market Transaction
Method
|
Precedent
Transaction
|
$60.00
|
Increase
|
|
|
|
Discounted Cash
Flow
|
Weighted Average
Cost of Capital
|
14.5%
|
Decrease
|
|
|
|
|
Perpetual Growth
Rate
|
3.5%
|
Increase
|
|
|
|
Market Comparable
Companies
|
Enterprise
Value/Revenue
|
15.8x
|
Increase
|
|
|
|
|
Discount for
Lack of Marketability
|
15.0%
|
Decrease
|
|
*
|
Amount is indicative of the weighted average.
|
|
**
|
Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase
in the corresponding input. A
decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly
higher or lower fair
value measurements.
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Dynamic Value
|
||||
|
Assets:
|
||||
|
Common Stocks
|
||||
|
Aerospace & Defense
|
$1,038
|
$—
|
$—
|
$1,038
|
|
Automobiles
|
1,127
|
—
|
—
|
1,127
|
|
Banks
|
6,780
|
—
|
—
|
6,780
|
|
Biotechnology
|
1,866
|
—
|
—
|
1,866
|
|
Broadline Retail
|
666
|
—
|
—
|
666
|
|
Building Products
|
2,143
|
—
|
—
|
2,143
|
|
Capital Markets
|
4,391
|
—
|
—
|
4,391
|
|
Chemicals
|
2,707
|
—
|
—
|
2,707
|
|
Construction & Engineering
|
518
|
—
|
—
|
518
|
|
Consumer Finance
|
3,711
|
—
|
—
|
3,711
|
|
Consumer Staples Distribution & Retail
|
2,089
|
—
|
—
|
2,089
|
|
Containers & Packaging
|
1,341
|
—
|
—
|
1,341
|
|
Diversified Consumer Services
|
712
|
—
|
—
|
712
|
|
Diversified REITs
|
740
|
—
|
—
|
740
|
|
Diversified Telecommunication Services
|
1,939
|
—
|
—
|
1,939
|
|
Electric Utilities
|
4,398
|
—
|
—
|
4,398
|
|
Electrical Equipment
|
1,008
|
—
|
—
|
1,008
|
|
Electronic Equipment, Instruments & Components
|
1,825
|
—
|
—
|
1,825
|
|
Financial Services
|
3,041
|
—
|
—
|
3,041
|
|
Food Products
|
4,501
|
—
|
—
|
4,501
|
|
Gas Utilities
|
741
|
—
|
—
|
741
|
|
Ground Transportation
|
1,501
|
—
|
—
|
1,501
|
|
Health Care
|
449
|
—
|
—
|
449
|
|
Health Care Equipment & Supplies
|
1,218
|
—
|
—
|
1,218
|
|
Health Care Providers & Services
|
6,247
|
—
|
—
|
6,247
|
|
Hotel & Resort REITs
|
881
|
—
|
—
|
881
|
|
Hotels, Restaurants & Leisure
|
2,180
|
—
|
—
|
2,180
|
|
Household Durables
|
1,167
|
—
|
—
|
1,167
|
|
Household Products
|
787
|
—
|
—
|
787
|
|
Independent Power & Renewable Electricity Producers
|
777
|
—
|
—
|
777
|
|
Industrial Conglomerates
|
496
|
—
|
—
|
496
|
|
Information Technology Services
|
2,507
|
—
|
—
|
2,507
|
|
Insurance
|
4,132
|
—
|
—
|
4,132
|
|
Life Sciences Tools & Services
|
968
|
—
|
—
|
968
|
|
Machinery
|
3,139
|
—
|
—
|
3,139
|
|
Media
|
8,419
|
—
|
—
|
8,419
|
|
Metals & Mining
|
1,394
|
—
|
—
|
1,394
|
|
Office REITs
|
2,254
|
—
|
—
|
2,254
|
|
Oil, Gas & Consumable Fuels
|
8,239
|
—
|
—
|
8,239
|
|
Passenger Airlines
|
798
|
—
|
—
|
798
|
|
Personal Care Products
|
828
|
—
|
—
|
828
|
|
Pharmaceuticals
|
7,387
|
—
|
—
|
7,387
|
|
Professional Services
|
1,723
|
—
|
—
|
1,723
|
|
Real Estate Management & Development
|
277
|
—
|
—
|
277
|
|
Residential REITs
|
437
|
—
|
—
|
437
|
|
Retail
|
884
|
—
|
—
|
884
|
|
Semiconductors & Semiconductor Equipment
|
3,385
|
—
|
—
|
3,385
|
|
Software
|
1,688
|
—
|
—
|
1,688
|
|
Specialized REITs
|
456
|
—
|
—
|
456
|
|
Specialty Retail
|
1,944
|
—
|
—
|
1,944
|
|
Tech Hardware, Storage & Peripherals
|
1,378
|
—
|
—
|
1,378
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Assets: (cont’d)
|
||||
|
Textiles, Apparel & Luxury Goods
|
$450
|
$—
|
$—
|
$450
|
|
Trading Companies & Distributors
|
2,124
|
—
|
—
|
2,124
|
|
Total Common Stocks
|
117,796
|
—
|
—
|
117,796
|
|
Short-Term Investment
|
||||
|
Investment Company
|
5,670
|
—
|
—
|
5,670
|
|
Total Return Swap Agreement
|
—
|
434
|
—
|
434
|
|
Total Assets
|
123,466
|
434
|
—
|
123,900
|
|
Liabilities:
|
||||
|
Total Return Swap Agreement
|
—
|
(412
)
|
—
|
(412
)
|
|
Total
|
$123,466
|
$22
|
$—
|
$123,488
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Global Strategist
|
||||
|
Assets:
|
||||
|
Fixed Income Securities
|
|
|
|
|
|
Agency Fixed Rate Mortgages
|
$—
|
$19,246
|
$—
|
$19,246
|
|
Asset-Backed Securities
|
—
|
1,294
|
—
|
1,294
|
|
Commercial Mortgage-Backed Securities
|
—
|
1,997
|
—
|
1,997
|
|
Corporate Bonds
|
—
|
45,259
|
—
|
45,259
|
|
Mortgages - Other
|
—
|
6,344
|
—
|
6,344
|
|
Municipal Bond
|
—
|
261
|
—
|
261
|
|
Sovereign
|
—
|
128,109
|
—
|
128,109
|
|
Supranational
|
—
|
4,348
|
—
|
4,348
|
|
U.S. Treasury Securities
|
—
|
27,196
|
—
|
27,196
|
|
Total Fixed Income Securities
|
—
|
234,054
|
—
|
234,054
|
|
Common Stocks
|
||||
|
Aerospace & Defense
|
8,911
|
1,287
|
—
|
10,198
|
|
Air Freight & Logistics
|
547
|
433
|
—
|
980
|
|
Automobile Components
|
219
|
167
|
—
|
386
|
|
Automobiles
|
2,007
|
1,280
|
—
|
3,287
|
|
Banks
|
4,747
|
11,687
|
—
|
16,434
|
|
Beverages
|
1,573
|
1,336
|
—
|
2,909
|
|
Biotechnology
|
2,075
|
683
|
—
|
2,758
|
|
Broadline Retail
|
3,257
|
525
|
—
|
3,782
|
|
Building Products
|
554
|
509
|
—
|
1,063
|
|
Capital Markets
|
3,018
|
1,766
|
—
|
4,784
|
|
Chemicals
|
1,892
|
1,722
|
—
|
3,614
|
|
Commercial Services & Supplies
|
708
|
180
|
—
|
888
|
|
Communications Equipment
|
787
|
183
|
—
|
970
|
|
Construction & Engineering
|
261
|
446
|
—
|
707
|
|
Construction Materials
|
161
|
511
|
—
|
672
|
|
Consumer Finance
|
509
|
—
|
—
|
509
|
|
Consumer Staples Distribution & Retail
|
2,114
|
740
|
—
|
2,854
|
|
Containers & Packaging
|
286
|
80
|
—
|
366
|
|
Distributors
|
148
|
23
|
—
|
171
|
|
Diversified Consumer Services
|
—
|
48
|
—
|
48
|
|
Diversified REITs
|
36
|
125
|
—
|
161
|
|
Diversified Telecommunication Services
|
707
|
1,200
|
—
|
1,907
|
|
Electric Utilities
|
1,639
|
1,344
|
—
|
2,983
|
|
Electrical Equipment
|
659
|
1,186
|
—
|
1,845
|
|
Electronic Equipment, Instruments & Components
|
635
|
183
|
—
|
818
|
|
Energy Equipment & Services
|
317
|
35
|
—
†
|
352†
|
|
Entertainment
|
1,543
|
116
|
—
|
1,659
|
|
Financial Services
|
3,661
|
850
|
—
|
4,511
|
|
Food Products
|
1,011
|
2,213
|
—
|
3,224
|
|
Gas Utilities
|
86
|
178
|
—
|
264
|
|
Ground Transportation
|
1,690
|
59
|
—
|
1,749
|
|
Health Care
|
206
|
—
|
—
|
206
|
|
Health Care Equipment & Supplies
|
2,693
|
1,111
†
|
—
|
3,804
†
|
|
Health Care Providers & Services
|
2,651
|
227
|
—
|
2,878
|
|
Health Care Technology
|
77
|
—
|
—
|
77
|
|
Hotel & Resort REITs
|
29
|
1
|
—
|
30
|
|
Hotels, Restaurants & Leisure
|
2,290
|
1,217
|
—
|
3,507
|
|
Household Durables
|
378
|
124
|
—
|
502
|
|
Household Products
|
1,210
|
444
|
—
|
1,654
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Assets: (cont’d)
|
||||
|
Independent Power & Renewable Electricity Producers
|
$102
|
$179
|
$—
|
$281
|
|
Independent Power Producers & Energy Traders
|
—
|
11
|
—
|
11
|
|
Industrial Conglomerates
|
740
|
902
|
—
|
1,642
|
|
Industrial REITs
|
271
|
235
|
—
|
506
|
|
Information Technology Services
|
1,874
|
171
|
—
|
2,045
|
|
Insurance
|
2,767
|
3,235
|
—
|
6,002
|
|
Interactive Media & Services
|
4,920
|
120
|
—
|
5,040
|
|
Investment Company
|
—
|
—
†
|
—
|
—
†
|
|
Leisure Products
|
39
|
—
|
—
|
39
|
|
Life Sciences Tools & Services
|
1,597
|
392
|
—
|
1,989
|
|
Machinery
|
1,858
|
1,480
|
—
|
3,338
|
|
Marine Transportation
|
—
|
159
|
—
|
159
|
|
Media
|
879
|
246
|
—
|
1,125
|
|
Metals & Mining
|
1,173
|
2,377
†
|
—
|
3,550
†
|
|
Multi-Utilities
|
698
|
631
|
—
|
1,329
|
|
Office REITs
|
71
|
63
|
—
|
134
|
|
Oil, Gas & Consumable Fuels
|
5,105
|
3,134
|
—
|
8,239
|
|
Paper & Forest Products
|
25
|
199
|
—
|
224
|
|
Passenger Airlines
|
53
|
81
|
—
|
134
|
|
Personal Care Products
|
125
|
1,370
|
—
|
1,495
|
|
Pharmaceuticals
|
3,687
|
5,877
|
—
|
9,564
|
|
Professional Services
|
1,049
|
946
|
—
|
1,995
|
|
Real Estate Management & Development
|
116
|
564
|
—
|
680
|
|
Residential REITs
|
462
|
—
|
—
|
462
|
|
Retail
|
261
|
236
|
—
|
497
|
|
Semiconductors & Semiconductor Equipment
|
7,034
|
2,053
|
—
|
9,087
|
|
Software
|
10,429
|
1,103
|
—
|
11,532
|
|
Specialized REITs
|
981
|
—
|
—
|
981
|
|
Specialty Retail
|
2,101
|
352
|
—
|
2,453
|
|
Tech Hardware, Storage & Peripherals
|
7,601
|
50
|
—
|
7,651
|
|
Textiles, Apparel & Luxury Goods
|
509
|
2,662
|
—
|
3,171
|
|
Tobacco
|
545
|
444
|
—
|
989
|
|
Trading Companies & Distributors
|
444
|
333
|
—
|
777
|
|
Transportation Infrastructure
|
—
|
285
|
—
|
285
|
|
Water Utilities
|
94
|
79
|
—
|
173
|
|
Wireless Telecommunication Services
|
289
|
143
|
—
|
432
|
|
Total Common Stocks
|
113,191
|
64,331
†
|
—
†
|
177,522†
|
|
Rights
|
—
|
19
|
—
|
19
|
|
Short-Term Investments
|
||||
|
Investment Company
|
68,723
|
—
|
—
|
68,723
|
|
U.S. Treasury Securities
|
—
|
3,073
|
—
|
3,073
|
|
Total Short-Term Investments
|
68,723
|
3,073
|
—
|
71,796
|
|
Foreign Currency Forward Exchange Contracts
|
—
|
752
|
—
|
752
|
|
Futures Contracts
|
733
|
—
|
—
|
733
|
|
Interest Rate Swap Agreements
|
—
|
505
|
—
|
505
|
|
Total Return Swap Agreements
|
—
|
6,094
|
—
|
6,094
|
|
Total Assets
|
182,647
|
308,828
†
|
—
†
|
491,475†
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Liabilities:
|
||||
|
Foreign Currency Forward Exchange Contracts
|
$—
|
$(1,744
)
|
$—
|
$(1,744
)
|
|
Futures Contracts
|
(1,437
)
|
—
|
—
|
(1,437
)
|
|
Interest Rate Swap Agreements
|
—
|
(527
)
|
—
|
(527
)
|
|
Total Return Swap Agreements
|
—
|
(1,464
)
|
—
|
(1,464
)
|
|
Total Liabilities
|
(1,437
)
|
(3,735
)
|
—
|
(5,172
)
|
|
Total
|
$181,210
|
$305,093
†
|
$—
†
|
$486,303
†
|
|
†
|
Includes one or more securities valued at zero.
|
|
Global Strategist
|
Fixed Income
(000)
|
Common Stock
(000)
|
|
Beginning Balance
|
$59
|
$—
†
|
|
Purchases
|
—
|
—
|
|
Sales
|
—
|
—
|
|
Amortization of discount
|
—
|
—
|
|
Transfers in
|
—
|
—
|
|
Transfers out
|
(59
)
|
—
|
|
Corporate actions
|
—
|
—
|
|
Change in unrealized appreciation (depreciation)
|
—
|
—
|
|
Realized gains (losses)
|
—
|
—
|
|
Ending Balance
|
$—
|
$—
†
|
|
Net change in unrealized appreciation
(depreciation) from investments still held as of June 30, 2023
|
$—
|
$—
|
|
†
|
Includes a security valued at zero.
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
High Yield
|
||||
|
Assets:
|
||||
|
Fixed Income Securities
|
||||
|
Corporate Bonds
|
$—
|
$111,007
|
$—
|
$111,007
|
|
Variable Rate Senior Loan Interests
|
—
|
1,628
|
—
|
1,628
|
|
Total Fixed Income Securities
|
—
|
112,635
|
—
|
112,635
|
|
Common Stocks
|
||||
|
Automobile Components
|
—
|
—
|
—
†
|
—
†
|
|
Diversified REITs
|
—
|
3
|
—
|
3
|
|
Machinery
|
—
|
40
|
—
|
40
|
|
Semiconductors & Semiconductor Equipment
|
—
|
14
|
—
|
14
|
|
Total Common Stocks
|
—
|
57
|
—
†
|
57
†
|
|
Short-Term Investment
|
||||
|
Investment Company
|
78
|
—
|
—
|
78
|
|
Total Assets
|
$78
|
$112,692
|
$—
†
|
$112,770
†
|
|
†
|
Includes a security valued at zero.
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Short Duration Income
|
||||
|
Assets:
|
||||
|
Fixed Income Securities
|
|
|
|
|
|
Agency Adjustable Rate Mortgages
|
$—
|
$450
|
$—
|
$450
|
|
Agency Fixed Rate Mortgages
|
—
|
400
|
—
|
400
|
|
Asset-Backed Securities
|
—
|
72,076
|
—
|
72,076
|
|
Collateralized Mortgage Obligations - Agency Collateral Series
|
—
|
848
|
—
|
848
|
|
Commercial Mortgage-Backed Securities
|
—
|
21,748
|
—
|
21,748
|
|
Corporate Bonds
|
—
|
238,663
|
—
|
238,663
|
|
Mortgages - Other
|
—
|
44,151
|
—
|
44,151
|
|
Sovereign
|
—
|
3,121
|
—
|
3,121
|
|
Total Fixed Income Securities
|
—
|
381,457
|
—
|
381,457
|
|
Short-Term Investments
|
||||
|
Investment Company
|
5,465
|
—
|
—
|
5,465
|
|
U.S. Treasury Security
|
—
|
1,497
|
—
|
1,497
|
|
Total Short-Term Investments
|
5,465
|
1,497
|
—
|
6,962
|
|
Futures Contracts
|
785
|
—
|
—
|
785
|
|
Total Assets
|
6,250
|
382,954
|
—
|
389,204
|
|
Liabilities:
|
||||
|
Future Contract
|
(1,735
)
|
—
|
—
|
(1,735
)
|
|
Total
|
$4,515
|
$382,954
|
$—
|
$387,469
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Ultra-Short Income
|
||||
|
Assets:
|
||||
|
Short-Term Investments
|
||||
|
Certificates of Deposit
|
$—
|
$1,132,559
|
$—
|
$1,132,559
|
|
Commercial Paper
|
—
|
4,664,442
|
—
|
4,664,442
|
|
Corporate Bonds
|
—
|
39,471
|
—
|
39,471
|
|
Floating Rate Notes
|
—
|
3,918,807
|
—
|
3,918,807
|
|
Repurchase Agreements
|
—
|
1,196,000
|
—
|
1,196,000
|
|
Time Deposits
|
—
|
207,000
|
—
|
207,000
|
|
Total Short-Term Investments
|
—
|
11,158,279
|
—
|
11,158,279
|
|
Total Assets
|
$—
|
$11,158,279
|
$—
|
$11,158,279
|
|
Investment Type
|
Level 1
Unadjusted
Quoted
Prices
(000)
|
Level 2
Other
Significant
Observable
Inputs
(000)
|
Level 3
Significant
Unobservable
Inputs
(000)
|
Total
(000)
|
|
Ultra-Short Municipal Income
|
||||
|
Assets:
|
||||
|
Short-Term Investments
|
||||
|
Weekly Variable Rate Bonds
|
$—
|
$137,580
|
$—
|
$137,580
|
|
Commercial Paper
|
—
|
26,933
|
—
|
26,933
|
|
Daily Variable Rate Bonds
|
—
|
23,500
|
—
|
23,500
|
|
Closed-End Investment Companies
|
—
|
20,000
|
—
|
20,000
|
|
Quarterly Variable Rate Bonds
|
—
|
13,500
|
—
|
13,500
|
|
Municipal Bonds & Notes
|
—
|
2,400
|
—
|
2,400
|
|
Floating Rate Note
|
—
|
2,002
|
—
|
2,002
|
|
Total Short-Term Investments
|
—
|
225,915
|
—
|
225,915
|
|
Total Assets
|
$—
|
$225,915
|
$—
|
$225,915
|