Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 97.9% | |||||
Asset-Backed Securities 17.2% | |||||
Cayman Islands 12.6% | |||||
Atlas Static Senior Loan Fund Ltd., Series 2022-01A, Class A, 144A, 3 Month SOFR + 2.600% (Cap N/A, Floor 2.600%) | 7.908 %(c) | 07/15/30 | 441 | $442,969 | |
Bain Capital Credit CLO Ltd., | |||||
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.960% (Cap N/A, Floor 0.000%) | 6.567(c) | 04/23/31 | 248 | 246,343 | |
Series 2019-03A, Class AR, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) | 6.755(c) | 10/21/34 | 500 | 491,576 | |
Balboa Bay Loan Funding Ltd., Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.120%) | 6.715(c) | 01/20/32 | 1,000 | 990,950 | |
Battalion CLO Ltd., Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) | 6.400(c) | 05/17/31 | 250 | 248,128 | |
Broad River BSL Funding CLO Ltd., Series 2020-01A, Class AR, 144A, 3 Month SOFR + 1.432% (Cap N/A, Floor 1.170%) | 6.758(c) | 07/20/34 | 750 | 737,250 | |
Carlyle CLO Ltd., Series C17A, Class A1AR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%) | 6.661(c) | 04/30/31 | 250 | 248,387 | |
Carlyle Global Market Strategies CLO Ltd., Series 2014-01A, Class A1R2, 144A, 3 Month SOFR + 1.232% (Cap N/A, Floor 0.970%) | 6.540(c) | 04/17/31 | 248 | 246,948 | |
CIFC Funding Ltd., Series 2014-02RA, Class A1, 144A, 3 Month SOFR + 1.312% (Cap N/A, Floor 1.050%) | 6.657(c) | 04/24/30 | 453 | 449,880 | |
Clover CLO Ltd., Series 2019-02A, Class AR, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.362%) | 6.713(c) | 10/25/33 | 500 | 495,182 | |
Greenwood Park CLO Ltd., Series 2018-01A, Class A2, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 0.000%) | 6.580(c) | 04/15/31 | 250 | 247,884 | |
Greywolf CLO Ltd., Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.290% (Cap N/A, Floor 0.000%) | 6.641(c) | 04/26/31 | 750 | 739,846 | |
Jamestown CLO Ltd., Series 2019-14A, Class A1AR, 144A, 3 Month SOFR + 1.462% (Cap N/A, Floor 1.200%) | 6.788(c) | 10/20/34 | 250 | 243,921 | |
Madison Park Funding Ltd., Series 2019-33A, Class AR, 144A, 3 Month SOFR + 1.290% (Cap N/A, Floor 1.290%) | 6.598(c) | 10/15/32 | 750 | 742,936 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Cayman Islands (cont’d.) | |||||
MidOcean Credit CLO, Series 2018-08A, Class B, 144A, 3 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) | 7.029 %(c) | 02/20/31 | 250 | $243,986 | |
Oaktree CLO Ltd., Series 2019-01A, Class A1R, 144A, 3 Month SOFR + 1.372% (Cap N/A, Floor 1.110%) | 6.717(c) | 04/22/30 | 900 | 893,700 | |
OZLM Ltd., Series 2014-06A, Class A2AS, 144A, 3 Month SOFR + 2.012% (Cap N/A, Floor 0.000%) | 7.320(c) | 04/17/31 | 250 | 246,950 | |
Palmer Square CLO Ltd., Series 2015-01A, Class A1A4, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) | 6.509(c) | 05/21/34 | 750 | 739,950 | |
TCW CLO Ltd., | |||||
Series 2017-01A, Class A1RR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) | 6.811(c) | 10/29/34 | 250 | 244,210 | |
Series 2020-01A, Class A1RR, 144A, 3 Month LIBOR + 1.160% (Cap N/A, Floor 1.160%) | 6.748(c) | 04/20/34 | 750 | 742,519 | |
Telos CLO Ltd., Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 0.000%) | 6.810(c) | 01/17/30 | 165 | 163,407 | |
Trimaran Cavu Ltd., Series 2021-01A, Class A, 144A, 3 Month SOFR + 1.472% (Cap N/A, Floor 1.210%) | 6.817(c) | 04/23/32 | 500 | 495,438 | |
Voya CLO Ltd., Series 2013-02A, Class A1R, 144A, 3 Month SOFR + 1.232% (Cap N/A, Floor 0.970%) | 6.583(c) | 04/25/31 | 238 | 236,693 | |
Wellfleet CLO Ltd., Series 2018-03A, Class A1A, 144A, 3 Month SOFR + 1.512% (Cap N/A, Floor 1.250%) | 6.838(c) | 01/20/32 | 750 | 745,973 | |
Wind River CLO Ltd., Series 2016-01KRA, Class A1R2, 144A, 3 Month SOFR + 1.472% (Cap N/A, Floor 1.210%) | 6.780(c) | 10/15/34 | 250 | 244,270 | |
11,569,296 | |||||
Ireland 1.7% | |||||
Ares European CLO DAC, Series 11A, Class B2R, 144A | 1.950 | 04/15/32 | EUR | 500 | 487,827 |
Armada Euro CLO DAC, Series 02A, Class A3, 144A | 1.500 | 11/15/31 | EUR | 230 | 237,898 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Ireland (cont’d.) | |||||
Carlyle Euro CLO DAC, Series 2021-02A, Class A1, 144A, 3 Month EURIBOR + 0.990% (Cap N/A, Floor 0.990%) | 4.653 %(c) | 10/15/35 | EUR | 300 | $320,877 |
Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-02A, Class AR1, 144A, 3 Month EURIBOR + 0.750% (Cap N/A, Floor 0.750%) | 4.073(c) | 11/15/31 | EUR | 500 | 539,097 |
1,585,699 | |||||
Spain 0.1% | |||||
TFS, | |||||
Series 2018-03, Class A1^ | 0.000(cc) | 04/16/40 | EUR | —(r) | 1 |
Series 2018-03, Class A1, 1 Month EURIBOR + 3.000%^ | 6.446(c) | 03/15/26 | EUR | 53 | 49,783 |
49,784 | |||||
United States 2.8% | |||||
Chase Auto Owner Trust, Series 2022-AA, Class D, 144A | 5.400 | 06/25/30 | 200 | 191,178 | |
Enterprise Fleet Financing LLC, Series 2023-02, Class A2, 144A | 5.560 | 04/22/30 | 200 | 199,198 | |
Exeter Automobile Receivables Trust, Series 2021-03A, Class D | 1.550 | 06/15/27 | 100 | 91,892 | |
Ford Credit Floorplan Master Owner Trust A, Series 2023-01, Class A1, 144A | 4.920 | 05/15/28 | 200 | 197,550 | |
Mariner Finance Issuance Trust, Series 2020-AA, Class A, 144A | 2.190 | 08/21/34 | 100 | 96,407 | |
OneMain Direct Auto Receivables Trust, | |||||
Series 2019-01A, Class A, 144A | 3.630 | 09/14/27 | 100 | 96,483 | |
Series 2019-01A, Class D, 144A | 4.680 | 04/14/31 | 100 | 93,159 | |
Series 2023-01A, Class D, 144A | 7.070 | 02/14/33 | 200 | 199,891 | |
OneMain Financial Issuance Trust, Series 2023-01A, Class A, 144A | 5.500 | 06/14/38 | 300 | 298,347 | |
Oportun Issuance Trust, Series 2022-02, Class A, 144A | 5.940 | 10/09/29 | 66 | 66,142 | |
Regional Management Issuance Trust, Series 2022-01, Class A, 144A | 3.070 | 03/15/32 | 100 | 93,095 | |
Santander Drive Auto Receivables Trust, | |||||
Series 2022-05, Class C | 4.740 | 10/16/28 | 200 | 194,863 | |
Series 2022-06, Class C | 4.960 | 11/15/28 | 100 | 97,257 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
United States (cont’d.) | |||||
TSTAT Ltd., Series 2022-01A, Class A1, 144A, 3 Month SOFR + 2.300% (Cap N/A, Floor 2.300%) | 7.626 %(c) | 07/20/31 | 675 | $678,104 | |
2,593,566 | |||||
Total Asset-Backed Securities (cost $16,156,087) | 15,798,345 | ||||
Commercial Mortgage-Backed Securities 9.4% | |||||
Canada 0.0% | |||||
Real Estate Asset Liquidity Trust, Series 2020-01A, Class A1, 144A | 2.381(cc) | 02/12/55 | CAD | 18 | 12,344 |
Ireland 0.1% | |||||
Last Mile Logistics Pan Euro Finance DAC, Series 01A, Class D, 144A, 3 Month EURIBOR + 1.900% (Cap N/A, Floor 1.900%) | 5.258(c) | 08/17/33 | EUR | 98 | 97,852 |
United Kingdom 0.6% | |||||
Deco DAC, Series 2019-RAM, Class B, SONIA + 3.607% (Cap N/A, Floor 3.607%) | 8.262(c) | 08/07/30 | GBP | 171 | 207,062 |
Taurus DAC, | |||||
Series 2021-UK4A, Class B, 144A, SONIA + 1.500% (Cap N/A, Floor 1.500%) | 6.220(c) | 08/17/31 | GBP | 94 | 114,432 |
Series 2021-UK4A, Class C, 144A, SONIA + 1.750% (Cap N/A, Floor 1.750%) | 6.470(c) | 08/17/31 | GBP | 94 | 111,950 |
Series 2021-UK4A, Class D, 144A, SONIA + 2.100% (Cap N/A, Floor 2.100%) | 6.820(c) | 08/17/31 | GBP | 94 | 109,419 |
542,863 | |||||
United States 8.7% | |||||
BANK, | |||||
Series 2018-BN10, Class A4 | 3.428 | 02/15/61 | 243 | 223,826 | |
Series 2020-BN26, Class A3 | 2.155 | 03/15/63 | 200 | 165,438 | |
Barclays Commercial Mortgage Securities Trust, Series 2018-CHRS, Class C, 144A | 4.267(cc) | 08/05/38 | 380 | 286,487 | |
Benchmark Mortgage Trust, | |||||
Series 2018-B02, Class A3 | 3.544 | 02/15/51 | 200 | 187,451 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
United States (cont’d.) | |||||
Benchmark Mortgage Trust, (cont’d.) | |||||
Series 2020-B17, Class A4 | 2.042 % | 03/15/53 | 75 | $60,368 | |
Series 2020-B20, Class A3 | 1.945 | 10/15/53 | 100 | 82,301 | |
BX Commercial Mortgage Trust, | |||||
Series 2019-XL, Class F, 144A, 1 Month SOFR + 2.114% (Cap N/A, Floor 2.000%) | 7.336(c) | 10/15/36 | 85 | 83,824 | |
Series 2019-XL, Class G, 144A, 1 Month SOFR + 2.414% (Cap N/A, Floor 2.300%) | 7.636(c) | 10/15/36 | 85 | 83,503 | |
Series 2019-XL, Class J, 144A, 1 Month SOFR + 2.764% (Cap N/A, Floor 2.650%) | 7.986(c) | 10/15/36 | 517 | 500,311 | |
Series 2022-AHP, Class E, 144A, 1 Month SOFR + 3.040% (Cap N/A, Floor 3.040%) | 8.262(c) | 01/17/39 | 400 | 382,411 | |
BX Trust, Series 2022-LBA06, Class E, 144A, 1 Month SOFR + 2.700% (Cap N/A, Floor 2.700%) | 7.922(c) | 01/15/39 | 350 | 335,972 | |
Citigroup Commercial Mortgage Trust, Series 2018-B02, Class A3 | 3.744 | 03/10/51 | 150 | 137,907 | |
Cold Storage Trust, Series 2020-ICE05, Class E, 144A, 1 Month SOFR + 2.880% (Cap N/A, Floor 2.766%) | 8.102(c) | 11/15/37 | 98 | 97,035 | |
Commercial Mortgage Trust, | |||||
Series 2014-CR17, Class A5 | 3.977 | 05/10/47 | 1,000 | 978,583 | |
Series 2014-UBS04, Class A5 | 3.694 | 08/10/47 | 1,000 | 966,772 | |
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE04, Class E, 144A, 1 Month SOFR + 2.197% (Cap N/A, Floor 2.150%) | 7.419(c) | 05/15/36 | 199 | 197,346 | |
FHLMC Multifamily Structured Pass-Through Certificates, | |||||
Series K052, Class X1, IO | 0.631(cc) | 11/25/25 | 4,244 | 47,164 | |
Series K111, Class X1, IO | 1.571(cc) | 05/25/30 | 318 | 26,329 | |
Series K113, Class X1, IO | 1.380(cc) | 06/25/30 | 915 | 66,700 | |
Series KG03, Class X1, IO | 1.378(cc) | 06/25/30 | 1,049 | 73,212 | |
GS Mortgage Securities Trust, | |||||
Series 2014-GC26, Class A5 | 3.629 | 11/10/47 | 1,000 | 959,212 | |
Series 2018-GS09, Class A3 | 3.727 | 03/10/51 | 125 | 115,683 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class G, 144A, 1 Month SOFR + 2.754% (Cap N/A, Floor 2.640%) | 7.976(c) | 06/15/38 | 150 | 127,920 | |
MKT Mortgage Trust, Series 2020-525M, Class F, 144A | 2.941(cc) | 02/12/40 | 100 | 30,027 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
United States (cont’d.) | |||||
ONE Mortgage Trust, Series 2021-PARK, Class E, 144A, 1 Month SOFR + 1.864% (Cap N/A, Floor 1.750%) | 7.086 %(c) | 03/15/36 | 100 | $90,589 | |
One New York Plaza Trust, | |||||
Series 2020-01NYP, Class C, 144A, 1 Month SOFR + 2.314% (Cap N/A, Floor 2.200%) | 7.536(c) | 01/15/36 | 100 | 87,039 | |
Series 2020-01NYP, Class D, 144A, 1 Month SOFR + 2.864% (Cap N/A, Floor 2.750%) | 8.086(c) | 01/15/36 | 100 | 77,085 | |
UBS Commercial Mortgage Trust, Series 2018-C08, Class A3 | 3.720 | 02/15/51 | 200 | 182,688 | |
Wells Fargo Commercial Mortgage Trust, | |||||
Series 2016-LC24, Class A3 | 2.684 | 10/15/49 | 213 | 196,156 | |
Series 2021-C59, Class A3 | 1.958 | 04/15/54 | 600 | 508,914 | |
Series 2021-FCMT, Class C, 144A, 1 Month SOFR + 2.514% (Cap N/A, Floor 2.400%) | 7.736(c) | 05/15/31 | 100 | 91,731 | |
Series 2021-FCMT, Class E, 144A, 1 Month SOFR + 4.614% (Cap N/A, Floor 4.500%) | 9.836(c) | 05/15/31 | 600 | 517,534 | |
7,967,518 | |||||
Total Commercial Mortgage-Backed Securities (cost $9,309,140) | 8,620,577 | ||||
Convertible Bond 0.0% | |||||
Jamaica | |||||
Digicel Group Holdings Ltd., Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A (original cost $763; purchased 03/21/23 - 04/03/23)(f) (cost $762) | 7.000 | 08/16/23(oo) | 5 | 569 | |
Corporate Bonds 38.6% | |||||
Belgium 0.1% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes | 4.900 | 02/01/46 | 140 | 132,749 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Brazil 0.5% | |||||
Petrobras Global Finance BV, | |||||
Gtd. Notes | 5.375 % | 10/01/29 | GBP | 100 | $111,778 |
Gtd. Notes | 6.625 | 01/16/34 | GBP | 300 | 334,712 |
446,490 | |||||
Bulgaria 0.3% | |||||
Bulgarian Energy Holding EAD, Sr. Unsec’d. Notes | 2.450 | 07/22/28 | EUR | 300 | 276,240 |
Canada 1.2% | |||||
Bombardier, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 7.125 | 06/15/26 | 25 | 24,719 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 9 | 9,000 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 02/01/29 | 25 | 24,658 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 80 | 79,700 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC, Gtd. Notes, 144A | 4.875 | 02/15/30 | 35 | 28,263 | |
Cenovus Energy, Inc., | |||||
Sr. Unsec’d. Notes | 2.650 | 01/15/32 | 15 | 12,117 | |
Sr. Unsec’d. Notes | 3.750 | 02/15/52 | 10 | 7,099 | |
Fairfax Financial Holdings Ltd., Sr. Unsec’d. Notes | 5.625 | 08/16/32 | 300 | 283,791 | |
Hydro-Quebec, | |||||
Local Gov’t. Gtd. Notes, Series HK | 9.375 | 04/15/30 | 150 | 184,496 | |
Local Gov’t. Gtd. Notes, Series JN | 5.000 | 02/15/50 | CAD | 50 | 42,354 |
Mattamy Group Corp., Sr. Unsec’d. Notes, 144A | 4.625 | 03/01/30 | 125 | 109,362 | |
Ontario Teachers’ Cadillac Fairview Properties Trust, Sr. Unsec’d. Notes, 144A | 3.875 | 03/20/27 | 300 | 277,397 | |
Teck Resources Ltd., Sr. Unsec’d. Notes | 5.400 | 02/01/43 | 60 | 54,023 | |
1,136,979 | |||||
China 2.0% | |||||
Agricultural Development Bank of China, Sr. Unsec’d. Notes | 3.800 | 10/27/30 | CNH | 6,000 | 880,156 |
Aircraft Finance Co. Ltd., Sr. Sec’d. Notes, Series B | 4.100 | 03/29/26 | 54 | 51,687 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
China (cont’d.) | |||||
China Development Bank, | |||||
Sr. Unsec’d. Notes | 4.300 % | 08/02/32 | CNH | 5,000 | $768,538 |
Unsec’d. Notes | 4.200 | 01/19/27 | CNH | 1,000 | 146,772 |
1,847,153 | |||||
Denmark 0.2% | |||||
Danske Bank A/S, Sub. Notes, EMTN | 2.500(ff) | 06/21/29 | EUR | 150 | 160,048 |
France 2.5% | |||||
Banque Federative du Credit Mutuel SA, Sr. Unsec’d. Notes, 144A | 1.604 | 10/04/26 | 200 | 176,499 | |
BNP Paribas SA, | |||||
Sr. Unsec’d. Notes, 144A | 2.159(ff) | 09/15/29 | 200 | 167,961 | |
Sr. Unsec’d. Notes, 144A | 2.871(ff) | 04/19/32 | 400 | 328,704 | |
BPCE SA, Sr. Unsec’d. Notes, 144A | 2.045(ff) | 10/19/27 | 250 | 220,552 | |
Credit Agricole Assurances SA, Sub. Notes | 4.250(ff) | 01/13/25(oo) | EUR | 100 | 106,926 |
La Poste SA, Sr. Unsec’d. Notes, EMTN | 1.375 | 04/21/32 | EUR | 200 | 182,088 |
Regie Autonome des Transports Parisiens, Sr. Unsec’d. Notes, EMTN | 0.400 | 12/19/36 | EUR | 63 | 57,863 |
SNCF Reseau, Sr. Unsec’d. Notes, Series MPLE | 4.700 | 06/01/35 | CAD | 100 | 77,962 |
Societe Generale SA, | |||||
Sr. Unsec’d. Notes, 144A | 1.488(ff) | 12/14/26 | 200 | 178,671 | |
Sr. Unsec’d. Notes, 144A | 2.797(ff) | 01/19/28 | 200 | 178,370 | |
Sr. Unsec’d. Notes, 144A, MTN | 2.625 | 01/22/25 | 255 | 241,922 | |
Sr. Unsec’d. Notes, EMTN | 0.250 | 07/08/27 | EUR | 400 | 379,072 |
2,296,590 | |||||
Germany 1.3% | |||||
Allianz SE, Jr. Sub. Notes | 3.375(ff) | 09/18/24(oo) | EUR | 100 | 107,201 |
Deutsche Bahn Finance GMBH, Gtd. Notes, MTN | 3.800 | 09/27/27 | AUD | 100 | 63,686 |
Deutsche Bank AG, | |||||
Sr. Unsec’d. Notes | 0.898 | 05/28/24 | 265 | 253,726 | |
Sr. Unsec’d. Notes | 1.447(ff) | 04/01/25 | 210 | 201,888 | |
Sr. Unsec’d. Notes | 2.552(ff) | 01/07/28 | 150 | 131,068 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Germany (cont’d.) | |||||
Deutsche Bank AG, (cont’d.) | |||||
Sub. Notes, EMTN | 3.662 %(ff) | 04/10/25 | CNH | 1,000 | $137,800 |
TK Elevator Midco GmbH, Sr. Sec’d. Notes | 4.375 | 07/15/27 | EUR | 153 | 152,663 |
Volkswagen International Finance NV, Gtd. Notes | 4.625(ff) | 03/24/26(oo) | EUR | 100 | 105,414 |
1,153,446 | |||||
Hong Kong 0.4% | |||||
HKT Capital No. 3 Ltd., Gtd. Notes | 1.650 | 04/10/27 | EUR | 200 | 192,432 |
Sun Hung Kai Properties Capital Market Ltd., Gtd. Notes, EMTN | 3.200 | 08/14/27 | CNH | 1,000 | 138,879 |
331,311 | |||||
Hungary 0.1% | |||||
MFB Magyar Fejlesztesi Bank Zrt, Gov’t. Gtd. Notes | 0.375 | 06/09/26 | EUR | 100 | 95,631 |
India 0.4% | |||||
NTPC Ltd., Sr. Unsec’d. Notes, EMTN | 2.750 | 02/01/27 | EUR | 200 | 203,713 |
Power Finance Corp. Ltd., Sr. Unsec’d. Notes, GMTN | 1.841 | 09/21/28 | EUR | 200 | 182,693 |
386,406 | |||||
Indonesia 0.1% | |||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Sr. Unsec’d. Notes, 144A | 1.875 | 11/05/31 | EUR | 100 | 84,202 |
Israel 0.3% | |||||
Energian Israel Finance Ltd., Sr. Sec’d. Notes, 144A | 4.500 | 03/30/24 | 100 | 98,785 | |
Israel Electric Corp. Ltd., Sec’d. Notes, 144A, GMTN | 3.750 | 02/22/32 | 200 | 169,260 | |
268,045 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Italy 0.8% | |||||
Cassa Depositi e Prestiti SpA, Sr. Unsec’d. Notes, 144A | 5.750 % | 05/05/26 | 200 | $197,292 | |
Nexi SpA, Sr. Unsec’d. Notes | 2.125 | 04/30/29 | EUR | 414 | 391,466 |
Rossini Sarl, Sr. Sec’d. Notes, 144A | 6.750 | 10/30/25 | EUR | 100 | 110,716 |
699,474 | |||||
Jamaica 0.3% | |||||
Digicel Group Holdings Ltd., Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% (original cost $7,850; purchased 03/21/23 - 03/22/23)(f) | 8.000 | 04/01/25 | 20 | 8,684 | |
Digicel International Finance Ltd./Digicel International Holdings Ltd., | |||||
Gtd. Notes, 144A (original cost $97,375; purchased 04/16/21)(f) | 8.000 | 12/31/26(d) | 100 | 21,002 | |
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% (original cost $3,150; purchased 03/17/23)(f) | 13.000 | 12/31/25 | 5 | 3,563 | |
Sr. Sec’d. Notes, 144A (original cost $184,500; purchased 03/15/23)(f) | 8.750 | 05/25/24 | 200 | 181,448 | |
Digicel Ltd., Gtd. Notes, 144A (original cost $42,000; purchased 03/15/23)(f) | 6.750 | 12/31/23 | 200 | 38,000 | |
252,697 | |||||
Japan 0.4% | |||||
Mitsubishi UFJ Financial Group, Inc., Sr. Unsec’d. Notes | 1.538(ff) | 07/20/27 | 210 | 186,915 | |
Nomura Holdings, Inc., Sr. Unsec’d. Notes | 2.999 | 01/22/32 | 200 | 161,555 | |
348,470 | |||||
Kazakhstan 0.2% | |||||
Kazakhstan Temir Zholy National Co. JSC, Gtd. Notes | 3.250 | 12/05/23 | CHF | 150 | 168,568 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Luxembourg 0.5% | |||||
Blackstone Property Partners Europe Holdings Sarl, Sr. Unsec’d. Notes, EMTN | 1.000 % | 05/04/28 | EUR | 400 | $343,805 |
Matterhorn Telecom SA, Sr. Sec’d. Notes | 3.125 | 09/15/26 | EUR | 100 | 103,396 |
447,201 | |||||
Malta 0.2% | |||||
Freeport Terminal Malta PLC, Gov’t. Gtd. Notes, 144A | 7.250 | 05/15/28 | 200 | 216,414 | |
Mexico 0.9% | |||||
Comision Federal de Electricidad, Sr. Unsec’d. Notes | 5.000 | 09/29/36 | 150 | 127,160 | |
Petroleos Mexicanos, | |||||
Gtd. Notes | 3.625 | 11/24/25 | EUR | 200 | 199,033 |
Gtd. Notes, EMTN | 2.750 | 04/21/27 | EUR | 200 | 174,768 |
Gtd. Notes, EMTN | 4.875 | 02/21/28 | EUR | 400 | 362,523 |
863,484 | |||||
Netherlands 0.5% | |||||
Cooperatieve Rabobank UA, Sr. Unsec’d. Notes, GMTN | 3.500 | 12/14/26 | AUD | 90 | 56,718 |
JDE Peet’s NV, Gtd. Notes, 144A | 1.375 | 01/15/27 | 150 | 130,128 | |
OCI NV, Sr. Sec’d. Notes | 3.625 | 10/15/25 | EUR | 225 | 239,038 |
425,884 | |||||
Norway 0.2% | |||||
Aker BP ASA, Sr. Unsec’d. Notes, 144A | 5.600 | 06/13/28 | 155 | 153,936 | |
Peru 0.0% | |||||
Peru Enhanced Pass-Through Finance Ltd., Pass-Through Certificates | 1.962(s) | 06/02/25 | 37 | 34,581 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Philippines 0.5% | |||||
Bangko Sentral ng Pilipinas International Bond, Sr. Unsec’d. Notes, Series A | 8.600 % | 06/15/27 | 276 | $309,197 | |
Power Sector Assets & Liabilities Management Corp., Gov’t. Gtd. Notes | 7.390 | 12/02/24 | 123 | 125,709 | |
434,906 | |||||
Poland 0.3% | |||||
Bank Gospodarstwa Krajowego, | |||||
Gov’t. Gtd. Notes, 144A, MTN | 5.375 | 05/22/33 | 200 | 199,500 | |
Gov’t. Gtd. Notes, EMTN | 3.000 | 05/30/29 | EUR | 100 | 102,769 |
302,269 | |||||
Portugal 0.1% | |||||
CP - Comboios de Portugal EPE, Sr. Unsec’d. Notes | 5.700 | 03/05/30 | EUR | 100 | 118,579 |
Russia 0.4% | |||||
Gazprom PJSC Via Gaz Capital SA, Sr. Unsec’d. Notes | 4.250 | 04/06/24 | GBP | 300 | 323,404 |
Saudi Arabia 0.3% | |||||
Gaci First Investment Co., Gtd. Notes | 4.750 | 02/14/30 | 300 | 294,942 | |
Singapore 0.1% | |||||
Singapore Telecommunications Ltd., Sr. Unsec’d. Notes, 144A | 7.375 | 12/01/31 | 67 | 77,815 | |
Slovenia 0.1% | |||||
United Group BV, Sr. Sec’d. Notes, 144A | 5.250 | 02/01/30 | EUR | 150 | 132,707 |
South Africa 0.6% | |||||
Eskom Holdings SOC Ltd., Gov’t. Gtd. Notes, MTN | 6.350 | 08/10/28 | 600 | 572,214 | |
Spain 1.0% | |||||
Banco Santander SA, | |||||
Sr. Unsec’d. Notes | 1.722(ff) | 09/14/27 | 200 | 175,377 | |
Sr. Unsec’d. Notes | 5.147 | 08/18/25 | 200 | 197,361 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Spain (cont’d.) | |||||
Cellnex Finance Co. SA, Gtd. Notes, EMTN | 2.000 % | 02/15/33 | EUR | 300 | $261,802 |
Cellnex Telecom SA, Sr. Unsec’d. Notes, EMTN | 1.750 | 10/23/30 | EUR | 100 | 90,156 |
Iberdrola International BV, Gtd. Notes, Series NC6 | 1.450(ff) | 11/09/26(oo) | EUR | 200 | 192,688 |
917,384 | |||||
Supranational Bank 0.4% | |||||
Corp. Andina de Fomento, Sr. Unsec’d. Notes | 4.500 | 03/07/28 | EUR | 200 | 222,708 |
European Bank for Reconstruction & Development, Sr. Unsec’d. Notes, EMTN | 4.250 | 02/07/28 | IDR | 300,000 | 18,496 |
European Investment Bank, Sr. Unsec’d. Notes, 144A, EMTN | 5.400 | 01/05/45 | CAD | 50 | 43,150 |
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes | 1.820(ff) | 08/11/26 | 100 | 90,438 | |
374,792 | |||||
Switzerland 1.4% | |||||
Credit Suisse AG, | |||||
Sr. Unsec’d. Notes | 5.000 | 07/09/27 | 450 | 433,650 | |
Sr. Unsec’d. Notes | 7.500 | 02/15/28 | 250 | 264,461 | |
UBS Group AG, | |||||
Sr. Unsec’d. Notes, 144A | 1.364(ff) | 01/30/27 | 200 | 177,409 | |
Sr. Unsec’d. Notes, 144A | 1.494(ff) | 08/10/27 | 200 | 174,830 | |
Sr. Unsec’d. Notes, 144A | 2.593(ff) | 09/11/25 | 250 | 239,688 | |
1,290,038 | |||||
United Arab Emirates 0.9% | |||||
DP World Ltd., | |||||
Sr. Unsec’d. Notes | 2.375 | 09/25/26 | EUR | 200 | 206,416 |
Sr. Unsec’d. Notes | 4.250 | 09/25/30 | GBP | 100 | 114,668 |
Emirates NBD Bank PJSC, Sr. Unsec’d. Notes, MTN | 4.750 | 02/09/28 | AUD | 400 | 261,466 |
MDGH GMTN RSC Ltd., | |||||
Gtd. Notes, EMTN | 6.875 | 03/14/26 | GBP | 100 | 129,676 |
Gtd. Notes, GMTN | 0.375 | 03/10/27 | EUR | 100 | 96,734 |
808,960 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United Kingdom 3.8% | |||||
Barclays Bank PLC, Sr. Unsec’d. Notes, EMTN | 0.500 % | 01/28/33 | MXN | 10,000 | $239,162 |
Barclays PLC, | |||||
Sr. Unsec’d. Notes | 3.932(ff) | 05/07/25 | 200 | 196,318 | |
Sr. Unsec’d. Notes | 5.501(ff) | 08/09/28 | 240 | 236,089 | |
BAT Capital Corp., Gtd. Notes | 2.259 | 03/25/28 | 80 | 69,151 | |
Bellis Acquisition Co. PLC, Sr. Sec’d. Notes, 144A | 3.250 | 02/16/26 | GBP | 200 | 219,774 |
Bellis Finco PLC, Sr. Unsec’d. Notes, 144A | 4.000 | 02/16/27 | GBP | 100 | 98,657 |
BP Capital Markets PLC, Gtd. Notes | 4.375(ff) | 06/22/25(oo) | 150 | 144,375 | |
DS Smith PLC, Sr. Unsec’d. Notes, EMTN | 0.875 | 09/12/26 | EUR | 100 | 98,876 |
eG Global Finance PLC, | |||||
Sr. Sec’d. Notes | 6.250 | 10/30/25 | EUR | 185 | 195,465 |
Sr. Sec’d. Notes, 144A | 6.250 | 10/30/25 | EUR | 92 | 97,733 |
HSBC Holdings PLC, | |||||
Sr. Unsec’d. Notes | 1.589(ff) | 05/24/27 | 200 | 177,834 | |
Sr. Unsec’d. Notes | 2.013(ff) | 09/22/28 | 200 | 172,366 | |
Sr. Unsec’d. Notes | 2.804(ff) | 05/24/32 | 200 | 161,618 | |
Kane Bidco Ltd., Sr. Sec’d. Notes, 144A | 6.500 | 02/15/27 | GBP | 150 | 175,899 |
Lloyds Bank PLC, Sr. Unsec’d. Notes, EMTN | 0.000 | 04/02/32 | 200 | 124,162 | |
Market Bidco Finco PLC, Sr. Sec’d. Notes, 144A | 5.500 | 11/04/27 | GBP | 100 | 100,204 |
Santander UK Group Holdings PLC, Sr. Unsec’d. Notes | 1.673(ff) | 06/14/27 | 350 | 306,243 | |
Sherwood Financing PLC, Sr. Sec’d. Notes, 144A | 6.000 | 11/15/26 | GBP | 175 | 185,845 |
TalkTalk Telecom Group Ltd., Gtd. Notes | 3.875 | 02/20/25 | GBP | 200 | 213,678 |
Virgin Media Secured Finance PLC, Sr. Sec’d. Notes | 4.250 | 01/15/30 | GBP | 300 | 310,739 |
3,524,188 | |||||
United States 15.3% | |||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.050 | 11/21/39 | 50 | 43,478 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC, Gtd. Notes, 144A | 3.500 % | 03/15/29 | 25 | $21,757 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 175 | 167,319 | |
American Axle & Manufacturing, Inc., Gtd. Notes | 6.500 | 04/01/27 | 50 | 48,735 | |
American International Group, Inc., Sr. Unsec’d. Notes | 1.875 | 06/21/27 | EUR | 100 | 101,557 |
American Medical Systems Europe BV, Gtd. Notes | 1.625 | 03/08/31 | EUR | 100 | 94,670 |
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.875 | 08/20/26 | 75 | 70,643 | |
Amgen, Inc., Sr. Unsec’d. Notes | 5.250 | 03/02/30 | 125 | 125,652 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 7.875 | 05/15/26 | 150 | 153,295 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., | |||||
Gtd. Notes, 144A | 7.000 | 11/01/26 | 25 | 24,458 | |
Gtd. Notes, 144A | 9.000 | 11/01/27 | 25 | 31,261 | |
Ashton Woods USA LLC/Ashton Woods Finance Co., | |||||
Sr. Unsec’d. Notes, 144A | 4.625 | 08/01/29 | 25 | 21,632 | |
Sr. Unsec’d. Notes, 144A | 4.625 | 04/01/30 | 25 | 21,405 | |
AT&T, Inc., | |||||
Sr. Unsec’d. Notes | 3.550 | 09/15/55 | 40 | 26,889 | |
Sr. Unsec’d. Notes | 3.650 | 09/15/59 | 69 | 46,012 | |
Sr. Unsec’d. Notes | 3.950 | 04/30/31 | EUR | 200 | 214,675 |
Sr. Unsec’d. Notes | 4.100 | 01/19/26 | AUD | 100 | 65,323 |
B&G Foods, Inc., Gtd. Notes | 5.250 | 04/01/25 | 50 | 47,560 | |
Ball Corp., Gtd. Notes | 6.000 | 06/15/29 | 50 | 50,000 | |
Bank of America Corp., | |||||
Sr. Unsec’d. Notes | 1.734(ff) | 07/22/27 | 270 | 241,966 | |
Sr. Unsec’d. Notes | 2.572(ff) | 10/20/32 | 130 | 105,560 | |
Sr. Unsec’d. Notes | 2.687(ff) | 04/22/32 | 195 | 161,456 | |
Sr. Unsec’d. Notes, MTN | 2.087(ff) | 06/14/29 | 300 | 257,508 | |
Sr. Unsec’d. Notes, MTN | 3.194(ff) | 07/23/30 | 85 | 75,290 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Bausch Health Americas, Inc., Gtd. Notes, 144A | 8.500 % | 01/31/27 | 135 | $76,974 | |
Bausch Health Cos., Inc., | |||||
Gtd. Notes, 144A | 5.000 | 01/30/28 | 5 | 2,312 | |
Gtd. Notes, 144A | 5.250 | 01/30/30 | 25 | 11,250 | |
Gtd. Notes, 144A | 6.250 | 02/15/29 | 10 | 4,675 | |
Beazer Homes USA, Inc., | |||||
Gtd. Notes | 6.750 | 03/15/25 | 50 | 49,860 | |
Gtd. Notes | 7.250 | 10/15/29 | 20 | 19,673 | |
Black Knight InfoServ LLC, Gtd. Notes, 144A | 3.625 | 09/01/28 | 100 | 91,478 | |
Bristol-Myers Squibb Co., Sr. Unsec’d. Notes | 2.350 | 11/13/40 | 10 | 6,940 | |
Brixmor Operating Partnership LP, | |||||
Sr. Unsec’d. Notes | 2.500 | 08/16/31 | 10 | 7,827 | |
Sr. Unsec’d. Notes | 4.125 | 05/15/29 | 65 | 58,641 | |
Broadcom, Inc., | |||||
Gtd. Notes | 4.150 | 11/15/30 | 230 | 211,226 | |
Gtd. Notes, 144A | 3.500 | 02/15/41 | 30 | 22,278 | |
Sr. Unsec’d. Notes, 144A | 3.137 | 11/15/35 | 102 | 78,283 | |
Sr. Unsec’d. Notes, 144A | 3.419 | 04/15/33 | 65 | 54,345 | |
Caledonia Generating LLC, Sr. Sec’d. Notes, 144A | 1.950 | 02/28/34 | 337 | 281,620 | |
Calpine Corp., | |||||
Sr. Sec’d. Notes, 144A | 3.750 | 03/01/31 | 75 | 61,515 | |
Sr. Unsec’d. Notes, 144A | 4.625 | 02/01/29 | 60 | 51,706 | |
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/31 | 10 | 8,411 | |
Sr. Unsec’d. Notes, 144A | 5.125 | 03/15/28 | 50 | 45,341 | |
Cantor Fitzgerald LP, Sr. Unsec’d. Notes, 144A | 4.500 | 04/14/27 | 235 | 221,371 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
Sr. Unsec’d. Notes, 144A | 4.250 | 02/01/31 | 50 | 41,048 | |
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/28 | 75 | 69,334 | |
CDW LLC/CDW Finance Corp., Gtd. Notes | 2.670 | 12/01/26 | 100 | 90,551 | |
CF Industries, Inc., | |||||
Gtd. Notes | 4.950 | 06/01/43 | 40 | 34,663 | |
Gtd. Notes | 5.375 | 03/15/44 | 40 | 36,365 | |
Chart Industries, Inc., Sr. Sec’d. Notes, 144A | 7.500 | 01/01/30 | 25 | 25,649 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||||
Sr. Sec’d. Notes | 2.300 % | 02/01/32 | 40 | $30,252 | |
Sr. Sec’d. Notes | 3.900 | 06/01/52 | 135 | 88,346 | |
Sr. Sec’d. Notes | 4.800 | 03/01/50 | 35 | 26,475 | |
Sr. Sec’d. Notes | 6.384 | 10/23/35 | 100 | 98,226 | |
Cigna Group (The), Sr. Unsec’d. Notes | 2.400 | 03/15/30 | 25 | 21,190 | |
Citigroup, Inc., | |||||
Jr. Sub. Notes | 3.875(ff) | 02/18/26(oo) | 150 | 130,428 | |
Sr. Unsec’d. Notes | 1.462(ff) | 06/09/27 | 300 | 267,258 | |
Sr. Unsec’d. Notes | 2.520(ff) | 11/03/32 | 35 | 28,181 | |
Sr. Unsec’d. Notes | 2.561(ff) | 05/01/32 | 100 | 81,554 | |
Sr. Unsec’d. Notes | 3.106(ff) | 04/08/26 | 300 | 287,246 | |
Sub. Notes | 6.174(ff) | 05/25/34 | 35 | 35,508 | |
CNA Financial Corp., Sr. Unsec’d. Notes | 3.900 | 05/01/29 | 100 | 92,475 | |
Corebridge Financial, Inc., Sr. Unsec’d. Notes | 3.900 | 04/05/32 | 230 | 202,835 | |
Cox Communications, Inc., Gtd. Notes, 144A | 5.450 | 09/15/28 | 135 | 134,949 | |
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A | 4.625 | 12/01/30 | 200 | 100,885 | |
Dana, Inc., | |||||
Sr. Unsec’d. Notes | 4.500 | 02/15/32 | 50 | 41,837 | |
Sr. Unsec’d. Notes | 5.375 | 11/15/27 | 25 | 23,962 | |
DaVita, Inc., | |||||
Gtd. Notes, 144A | 3.750 | 02/15/31 | 50 | 39,960 | |
Gtd. Notes, 144A | 4.625 | 06/01/30 | 100 | 85,391 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., Gtd. Notes, 144A (original cost $43,125; purchased 07/18/19 - 12/04/19)(f) | 6.625 | 08/15/27(d) | 45 | 1,306 | |
Discovery Communications LLC, Gtd. Notes | 5.300 | 05/15/49 | 60 | 49,599 | |
DISH DBS Corp., Gtd. Notes | 7.750 | 07/01/26 | 100 | 64,684 | |
Diversified Healthcare Trust, Gtd. Notes | 9.750 | 06/15/25 | 37 | 36,612 | |
Elevance Health, Inc., Sr. Unsec’d. Notes | 2.875 | 09/15/29 | 100 | 88,929 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 5.750 % | 01/30/28 | 75 | $73,133 | |
Energy Transfer LP, | |||||
Jr. Sub. Notes, Series G | 7.125(ff) | 05/15/30(oo) | 100 | 88,042 | |
Jr. Sub. Notes, Series H | 6.500(ff) | 11/15/26(oo) | 50 | 45,533 | |
Sr. Unsec’d. Notes | 5.000 | 05/15/50 | 20 | 16,908 | |
Sr. Unsec’d. Notes | 6.250 | 04/15/49 | 25 | 24,606 | |
Enterprise Products Operating LLC, | |||||
Gtd. Notes | 3.700 | 01/31/51 | 15 | 11,392 | |
Gtd. Notes | 4.450 | 02/15/43 | 20 | 17,520 | |
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 1.500 | 05/21/27 | EUR | 100 | 100,797 |
Ford Motor Co., Sr. Unsec’d. Notes | 5.291 | 12/08/46 | 125 | 103,087 | |
Gen Digital, Inc., Sr. Unsec’d. Notes, 144A | 5.000 | 04/15/25 | 75 | 73,948 | |
General Motors Co., Sr. Unsec’d. Notes | 5.150 | 04/01/38 | 50 | 45,101 | |
General Motors Financial Co., Inc., Sr. Unsec’d. Notes | 2.700 | 06/10/31 | 75 | 60,247 | |
Goldman Sachs Group, Inc. (The), | |||||
Jr. Sub. Notes, Series U | 3.650(ff) | 08/10/26(oo) | 130 | 106,196 | |
Sr. Unsec’d. Notes | 1.542(ff) | 09/10/27 | 300 | 264,889 | |
Sr. Unsec’d. Notes | 1.992(ff) | 01/27/32 | 20 | 15,733 | |
Sr. Unsec’d. Notes | 2.615(ff) | 04/22/32 | 195 | 159,873 | |
Sr. Unsec’d. Notes | 4.482(ff) | 08/23/28 | 375 | 363,131 | |
HCA, Inc., Gtd. Notes | 5.250 | 04/15/25 | 100 | 99,175 | |
Hilcorp Energy I LP/Hilcorp Finance Co., | |||||
Sr. Unsec’d. Notes, 144A | 6.000 | 04/15/30 | 25 | 23,075 | |
Sr. Unsec’d. Notes, 144A | 6.250 | 04/15/32 | 25 | 22,768 | |
Honeywell International, Inc., Sr. Unsec’d. Notes | 3.750 | 05/17/32 | EUR | 100 | 107,504 |
Hunt Cos., Inc., Sr. Sec’d. Notes, 144A | 5.250 | 04/15/29 | 50 | 39,913 | |
Jefferies Financial Group, Inc., Sr. Unsec’d. Notes | 2.625 | 10/15/31 | 150 | 117,333 | |
JPMorgan Chase & Co., | |||||
Jr. Sub. Notes, Series HH | 4.600(ff) | 02/01/25(oo) | 200 | 189,000 | |
Sr. Unsec’d. Notes | 2.069(ff) | 06/01/29 | 190 | 163,818 | |
Sr. Unsec’d. Notes | 2.083(ff) | 04/22/26 | 90 | 84,732 | |
Sr. Unsec’d. Notes | 2.545(ff) | 11/08/32 | 90 | 73,979 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
JPMorgan Chase & Co., (cont’d.) | |||||
Sr. Unsec’d. Notes | 2.580 %(ff) | 04/22/32 | 105 | $87,118 | |
Sr. Unsec’d. Notes | 3.702(ff) | 05/06/30 | 65 | 59,755 | |
Kimco Realty OP LLC, Gtd. Notes | 1.900 | 03/01/28 | 135 | 114,818 | |
Kontoor Brands, Inc., Gtd. Notes, 144A | 4.125 | 11/15/29 | 53 | 45,605 | |
Kraft Heinz Foods Co., Gtd. Notes | 3.000 | 06/01/26 | 93 | 87,909 | |
Lamb Weston Holdings, Inc., Gtd. Notes, 144A | 4.375 | 01/31/32 | 50 | 44,006 | |
Marathon Petroleum Corp., Sr. Unsec’d. Notes | 6.500 | 03/01/41 | 50 | 51,860 | |
Marriott International, Inc., Sr. Unsec’d. Notes, Series HH | 2.850 | 04/15/31 | 75 | 63,479 | |
Masonite International Corp., Gtd. Notes, 144A | 3.500 | 02/15/30 | 50 | 42,125 | |
Medline Borrower LP, | |||||
Sr. Sec’d. Notes, 144A | 3.875 | 04/01/29 | 50 | 43,813 | |
Sr. Unsec’d. Notes, 144A | 5.250 | 10/01/29 | 25 | 22,198 | |
Morgan Stanley, | |||||
Sr. Unsec’d. Notes | 0.406(ff) | 10/29/27 | EUR | 200 | 194,418 |
Sr. Unsec’d. Notes | 1.593(ff) | 05/04/27 | 110 | 98,709 | |
Sr. Unsec’d. Notes | 4.656(ff) | 03/02/29 | EUR | 300 | 333,641 |
Sr. Unsec’d. Notes, EMTN | 7.500 | 12/15/27 | MXN | 1,000 | 53,439 |
Sr. Unsec’d. Notes, GMTN | 2.239(ff) | 07/21/32 | 50 | 39,772 | |
Sr. Unsec’d. Notes, MTN | 1.928(ff) | 04/28/32 | 180 | 140,629 | |
MPLX LP, | |||||
Sr. Unsec’d. Notes | 4.000 | 03/15/28 | 25 | 23,641 | |
Sr. Unsec’d. Notes | 4.950 | 09/01/32 | 450 | 430,474 | |
Nationstar Mortgage Holdings, Inc., | |||||
Gtd. Notes, 144A | 5.500 | 08/15/28 | 15 | 13,599 | |
Gtd. Notes, 144A | 6.000 | 01/15/27 | 35 | 33,466 | |
NRG Energy, Inc., | |||||
Gtd. Notes | 5.750 | 01/15/28 | 53 | 50,473 | |
Jr. Sub. Notes, 144A | 10.250(ff) | 03/15/28(oo) | 25 | 24,305 | |
OneMain Finance Corp., Gtd. Notes | 4.000 | 09/15/30 | 25 | 19,668 | |
ONEOK, Inc., Gtd. Notes | 4.450 | 09/01/49 | 120 | 91,809 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, Sr. Sec’d. Notes, 144A | 4.000 % | 10/15/27 | 50 | $45,063 | |
Penn Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 5.625 | 01/15/27 | 75 | 70,792 | |
Post Holdings, Inc., Sr. Unsec’d. Notes, 144A | 4.500 | 09/15/31 | 50 | 42,596 | |
Realty Income Corp., | |||||
Sr. Unsec’d. Notes | 2.200 | 06/15/28 | 5 | 4,353 | |
Sr. Unsec’d. Notes | 2.850 | 12/15/32 | 5 | 4,079 | |
Sr. Unsec’d. Notes | 4.875 | 07/06/30 | EUR | 200 | 223,322 |
Skyworks Solutions, Inc., Sr. Unsec’d. Notes | 3.000 | 06/01/31 | 75 | 62,249 | |
Smyrna Ready Mix Concrete LLC, Sr. Sec’d. Notes, 144A | 6.000 | 11/01/28 | 60 | 57,156 | |
Southwest Airlines Co., Sr. Unsec’d. Notes | 5.125 | 06/15/27 | 180 | 179,523 | |
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A | 4.375 | 07/15/30 | 25 | 21,728 | |
Stryker Corp., Sr. Unsec’d. Notes | 2.625 | 11/30/30 | EUR | 100 | 102,188 |
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 5.875 | 03/01/27 | 50 | 49,163 | |
Swiss Re Finance UK PLC, Gtd. Notes, EMTN | 2.714(ff) | 06/04/52 | EUR | 100 | 89,915 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | |||||
Gtd. Notes, 144A | 5.500 | 01/15/28 | 50 | 46,120 | |
Gtd. Notes, 144A | 7.500 | 10/01/25 | 50 | 50,190 | |
Targa Resources Corp., Gtd. Notes | 4.200 | 02/01/33 | 40 | 35,743 | |
Taylor Morrison Communities, Inc., | |||||
Gtd. Notes, 144A | 5.875 | 06/15/27 | 25 | 24,637 | |
Sr. Unsec’d. Notes, 144A | 5.125 | 08/01/30 | 10 | 9,336 | |
Tenet Healthcare Corp., Gtd. Notes | 6.125 | 10/01/28 | 50 | 47,643 | |
Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes | 3.650 | 11/21/34 | EUR | 100 | 108,125 |
T-Mobile USA, Inc., | |||||
Gtd. Notes | 4.375 | 04/15/40 | 30 | 26,476 | |
Gtd. Notes | 4.500 | 04/15/50 | 40 | 34,156 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Tri Pointe Homes, Inc., Gtd. Notes | 5.700 % | 06/15/28 | 50 | $48,025 | |
Truist Financial Corp., Sr. Unsec’d. Notes, MTN | 5.867(ff) | 06/08/34 | 25 | 25,212 | |
U.S. Bancorp, Jr. Sub. Notes | 3.700(ff) | 01/15/27(oo) | 200 | 155,848 | |
UGI International LLC, Gtd. Notes, 144A | 2.500 | 12/01/29 | EUR | 150 | 126,992 |
United Airlines 2019-2 Class AA Pass-Through Trust, Pass-Through Certificates | 2.700 | 11/01/33 | 21 | 18,210 | |
United Airlines, Inc., | |||||
Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 60 | 56,831 | |
Sr. Sec’d. Notes, 144A | 4.625 | 04/15/29 | 10 | 9,066 | |
United Rentals North America, Inc., Gtd. Notes | 5.250 | 01/15/30 | 60 | 57,149 | |
Vector Group Ltd., Sr. Sec’d. Notes, 144A | 5.750 | 02/01/29 | 125 | 108,795 | |
Ventas Realty LP, Gtd. Notes | 2.500 | 09/01/31 | 130 | 103,030 | |
Venture Global Calcasieu Pass LLC, | |||||
Sr. Sec’d. Notes, 144A | 3.875 | 08/15/29 | 5 | 4,333 | |
Sr. Sec’d. Notes, 144A | 4.125 | 08/15/31 | 5 | 4,242 | |
Verizon Communications, Inc., | |||||
Sr. Unsec’d. Notes | 2.550 | 03/21/31 | 45 | 37,314 | |
Sr. Unsec’d. Notes | 2.650 | 11/20/40 | 45 | 30,767 | |
Sr. Unsec’d. Notes | 3.400 | 03/22/41 | 20 | 15,197 | |
Viatris, Inc., | |||||
Gtd. Notes | 3.850 | 06/22/40 | 110 | 78,048 | |
Gtd. Notes | 4.000 | 06/22/50 | 15 | 10,145 | |
VICI Properties LP, Sr. Unsec’d. Notes | 4.950 | 02/15/30 | 160 | 151,685 | |
Vistra Corp., | |||||
Jr. Sub. Notes, 144A | 7.000(ff) | 12/15/26(oo) | 25 | 22,526 | |
Jr. Sub. Notes, 144A | 8.000(ff) | 10/15/26(oo) | 125 | 118,897 | |
Vistra Operations Co. LLC, | |||||
Gtd. Notes, 144A | 5.000 | 07/31/27 | 45 | 42,339 | |
Gtd. Notes, 144A | 5.625 | 02/15/27 | 75 | 72,521 | |
Warner Media LLC, Gtd. Notes | 4.050 | 12/15/23 | 150 | 148,699 | |
Warnermedia Holdings, Inc., | |||||
Gtd. Notes | 3.755 | 03/15/27 | 100 | 93,612 | |
Gtd. Notes | 5.050 | 03/15/42 | 65 | 54,154 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
United States (cont’d.) | |||||
Warnermedia Holdings, Inc., (cont’d.) | |||||
Gtd. Notes | 5.141 % | 03/15/52 | 130 | $105,322 | |
Wells Fargo & Co., | |||||
Sr. Unsec’d. Notes, MTN | 2.164(ff) | 02/11/26 | 85 | 80,346 | |
Sr. Unsec’d. Notes, MTN | 2.879(ff) | 10/30/30 | 130 | 112,485 | |
Welltower OP LLC, | |||||
Gtd. Notes | 2.050 | 01/15/29 | 50 | 41,983 | |
Gtd. Notes | 3.100 | 01/15/30 | 70 | 61,254 | |
Williams Cos., Inc. (The), Sr. Unsec’d. Notes | 3.500 | 10/15/51 | 30 | 20,909 | |
WPC Eurobond BV, Gtd. Notes | 0.950 | 06/01/30 | EUR | 100 | 84,951 |
14,077,127 | |||||
Total Corporate Bonds (cost $39,706,505) | 35,475,324 | ||||
Floating Rate and Other Loans 0.0% | |||||
Jamaica 0.0% | |||||
Digicel International Finance Ltd., First Lien Initial Term B Loan, 6 Month LIBOR + 3.250% | 8.981(c) | 05/27/24 | 10 | 8,969 | |
United States 0.0% | |||||
Diamond Sports Group LLC, | |||||
First Lien Term Loan, 1 Month SOFR + 10.100% | 12.775(c) | 05/25/26 | 5 | 4,024 | |
Second Lien Term Loan | 8.025 | 08/24/26 | 149 | 4,211 | |
8,235 | |||||
Total Floating Rate and Other Loans (cost $70,064) | 17,204 | ||||
Municipal Bond 0.2% | |||||
Puerto Rico | |||||
Commonwealth of Puerto Rico, General Obligation, Sub-Series C (cost $158,754) | 0.000(cc) | 11/01/43 | 283 | 145,110 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities 2.5% | |||||
Spain 0.0% | |||||
Retiro Mortgage Securities DAC, Series 01A, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap 5.000%, Floor 0.000%) | 5.000 %(c) | 07/30/75 | EUR | 16 | $17,282 |
United States 2.5% | |||||
Bellemeade Re Ltd., Series 2021-01A, Class M1A, 144A, 30 Day Average SOFR + 1.750% (Cap N/A, Floor 1.750%) | 6.819(c) | 03/25/31 | 17 | 17,282 | |
BVRT Financing Trust, Series 2021-04, Class F, 144A, 1 Month SOFR + 2.000%^ | 7.067(c) | 09/12/26 | 23 | 23,174 | |
Connecticut Avenue Securities Trust, | |||||
Series 2022-R01, Class 1B1, 144A, 30 Day Average SOFR + 3.150% (Cap N/A, Floor 0.000%) | 8.219(c) | 12/25/41 | 110 | 110,579 | |
Series 2022-R03, Class 1B1, 144A, 30 Day Average SOFR + 6.250% (Cap N/A, Floor 0.000%) | 11.319(c) | 03/25/42 | 25 | 27,330 | |
Series 2022-R04, Class 1B1, 144A, 30 Day Average SOFR + 5.250% (Cap N/A, Floor 0.000%) | 10.319(c) | 03/25/42 | 20 | 21,069 | |
Series 2023-R05, Class 1M2, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 3.100%) | 8.169(c) | 06/25/43 | 100 | 102,390 | |
Series 2023-R06, Class 1M2, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 0.000%) | 7.769(c) | 07/25/43 | 100 | 100,734 | |
FHLMC Structured Agency Credit Risk Debt Notes, | |||||
Series 2020-HQA05, Class B1, 144A, 30 Day Average SOFR + 4.000% (Cap N/A, Floor 0.000%) | 9.069(c) | 11/25/50 | 35 | 36,223 | |
Series 2020-HQA05, Class M2, 144A, 30 Day Average SOFR + 2.600% (Cap N/A, Floor 0.000%) | 7.669(c) | 11/25/50 | 85 | 86,236 | |
FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
Series 2021-DNA01, Class B1, 144A, 30 Day Average SOFR + 2.650% (Cap N/A, Floor 0.000%) | 7.719(c) | 01/25/51 | 10 | 9,803 | |
Series 2021-DNA01, Class M2, 144A, 30 Day Average SOFR + 1.800% (Cap N/A, Floor 0.000%) | 6.869(c) | 01/25/51 | 59 | 58,971 | |
Series 2021-DNA03, Class B1, 144A, 30 Day Average SOFR + 3.500% (Cap N/A, Floor 0.000%) | 8.569(c) | 10/25/33 | 45 | 46,373 | |
Series 2021-DNA05, Class B1, 144A, 30 Day Average SOFR + 3.050% (Cap N/A, Floor 0.000%) | 8.119(c) | 01/25/34 | 30 | 30,094 | |
Series 2021-DNA05, Class M2, 144A, 30 Day Average SOFR + 1.650% (Cap N/A, Floor 0.000%) | 6.719(c) | 01/25/34 | 14 | 14,190 | |
Series 2021-DNA06, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 8.469(c) | 10/25/41 | 100 | 100,500 | |
Series 2021-HQA03, Class B1, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 8.419(c) | 09/25/41 | 30 | 29,888 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
United States (cont’d.) | |||||
FHLMC Structured Agency Credit Risk REMIC Trust, (cont’d.) | |||||
Series 2021-HQA03, Class M2, 144A, 30 Day Average SOFR + 2.100% (Cap N/A, Floor 0.000%) | 7.169 %(c) | 09/25/41 | 70 | $68,600 | |
Series 2022-DNA03, Class M1B, 144A, 30 Day Average SOFR + 2.900% (Cap N/A, Floor 0.000%) | 7.969(c) | 04/25/42 | 140 | 142,431 | |
GCAT Asset-Backed Notes, Series 2021-01, Class A1, 144A | 2.487 | 11/25/49 | 139 | 126,253 | |
Home Re Ltd., Series 2021-01, Class M1B, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) | 6.962(c) | 07/25/33 | 24 | 24,189 | |
Legacy Mortgage Asset Trust, | |||||
Series 2019-PR01, Class A1, 144A | 6.858 | 09/25/59 | 53 | 52,573 | |
Series 2020-GS01, Class A1, 144A | 5.882 | 10/25/59 | 63 | 62,783 | |
MFA Trust, Series 2021-RPL01, Class A1, 144A | 1.131(cc) | 07/25/60 | 153 | 134,451 | |
Oaktown Re VII Ltd., Series 2021-02, Class M1A, 144A, 30 Day Average SOFR + 1.600% (Cap N/A, Floor 1.600%) | 6.669(c) | 04/25/34 | 271 | 268,924 | |
PMT Credit Risk Transfer Trust, Series 2023-1R, Class A, 144A, 30 Day Average SOFR + 4.400% (Cap N/A, Floor 0.000%) | 9.469(c) | 03/27/25 | 192 | 192,445 | |
PNMAC GMSR Issuer Trust, | |||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 3.850% (Cap N/A, Floor 2.850%) | 9.262(c) | 02/25/25 | 100 | 99,950 | |
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 8.062(c) | 08/25/25 | 100 | 99,130 | |
Radnor Re Ltd., Series 2023-01, Class M1A, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 2.700%) | 7.767(c) | 07/25/33 | 150 | 150,375 | |
2,236,940 | |||||
Total Residential Mortgage-Backed Securities (cost $2,277,960) | 2,254,222 | ||||
Sovereign Bonds 23.3% | |||||
Andorra 0.2% | |||||
Andorra International Bond, Sr. Unsec’d. Notes, EMTN | 1.250 | 05/06/31 | EUR | 200 | 177,618 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Austria 0.2% | |||||
Republic of Austria Government International Bond, Sr. Unsec’d. Notes, 144A, MTN | 5.375 % | 12/01/34 | CAD | 280 | $228,124 |
Brazil 0.8% | |||||
Brazil Minas SPE via State of Minas Gerais, Gov’t. Gtd. Notes | 5.333 | 02/15/28 | 733 | 718,428 | |
Bulgaria 0.3% | |||||
Bulgaria Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.375 | 09/23/50 | EUR | 100 | 60,231 |
Sr. Unsec’d. Notes | 4.125 | 09/23/29 | EUR | 100 | 109,005 |
Sr. Unsec’d. Notes, GMTN | 3.125 | 03/26/35 | EUR | 100 | 95,917 |
265,153 | |||||
Canada 0.1% | |||||
Province of Nova Scotia, Unsec’d. Notes | 3.450 | 06/01/45 | CAD | 50 | 32,654 |
Province of Saskatchewan, Unsec’d. Notes | 3.300 | 06/02/48 | CAD | 100 | 63,735 |
96,389 | |||||
Chile 0.1% | |||||
Chile Government International Bond, Sr. Unsec’d. Notes | 1.440 | 02/01/29 | EUR | 115 | 110,560 |
China 1.0% | |||||
China Government Bond, | |||||
Sr. Unsec’d. Notes | 3.600 | 06/27/28 | CNH | 2,000 | 291,566 |
Sr. Unsec’d. Notes | 3.950 | 06/29/43 | CNH | 1,500 | 230,299 |
Sr. Unsec’d. Notes | 4.000 | 11/30/35 | CNH | 500 | 76,664 |
Sr. Unsec’d. Notes | 4.400 | 12/12/46 | CNH | 500 | 81,170 |
China Government International Bond, Sr. Unsec’d. Notes | 0.250 | 11/25/30 | EUR | 100 | 86,678 |
Export-Import Bank of China (The), Sr. Unsec’d. Notes | 4.400 | 05/14/24 | CNH | 1,000 | 141,971 |
908,348 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Colombia 0.9% | |||||
Colombia Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.000 % | 01/30/30 | 200 | $160,620 | |
Sr. Unsec’d. Notes | 9.850 | 06/28/27 | COP | 200,000 | 49,455 |
Sr. Unsec’d. Notes, EMTN | 3.875 | 03/22/26 | EUR | 600 | 632,580 |
842,655 | |||||
Croatia 0.5% | |||||
Croatia Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.125 | 06/19/29 | EUR | 200 | 191,871 |
Sr. Unsec’d. Notes | 1.125 | 03/04/33 | EUR | 300 | 258,883 |
450,754 | |||||
Cyprus 0.9% | |||||
Cyprus Government International Bond, | |||||
Sr. Unsec’d. Notes, EMTN | 0.625 | 01/21/30 | EUR | 100 | 91,749 |
Sr. Unsec’d. Notes, EMTN | 0.950 | 01/20/32 | EUR | 300 | 266,522 |
Sr. Unsec’d. Notes, EMTN | 1.250 | 01/21/40 | EUR | 20 | 14,587 |
Sr. Unsec’d. Notes, EMTN | 2.375 | 09/25/28 | EUR | 100 | 104,220 |
Sr. Unsec’d. Notes, EMTN | 2.750 | 06/27/24 | EUR | 100 | 109,220 |
Sr. Unsec’d. Notes, EMTN | 2.750 | 02/26/34 | EUR | 200 | 197,241 |
Sr. Unsec’d. Notes, EMTN | 2.750 | 05/03/49 | EUR | 30 | 26,413 |
Sr. Unsec’d. Notes, EMTN | 4.250 | 11/04/25 | EUR | 50 | 55,943 |
865,895 | |||||
Denmark 0.0% | |||||
Denmark Government Bond, Bonds, Series 30YR | 0.250 | 11/15/52 | DKK | 300 | 22,436 |
Dominican Republic 0.1% | |||||
Dominican Republic International Bond, Sr. Unsec’d. Notes | 5.950 | 01/25/27 | 100 | 98,728 | |
Estonia 0.2% | |||||
Estonia Government International Bond, Sr. Unsec’d. Notes | 4.000 | 10/12/32 | EUR | 200 | 224,850 |
France 0.2% | |||||
Caisse Francaise de Financement Local, Covered Bonds, EMTN | 4.680 | 03/09/29 | CAD | 200 | 150,377 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Germany 0.2% | |||||
Bundesrepublik Deutschland Bundesanleihe, | |||||
Bonds(k) | 0.000 % | 08/15/31 | EUR | 100 | $90,808 |
Bonds | 1.700 | 08/15/32 | EUR | 110 | 113,842 |
204,650 | |||||
Greece 2.4% | |||||
Hellenic Republic Government Bond, | |||||
Bonds | 4.300 | 02/24/24 | EUR | 21 | 22,485 |
Bonds | 4.300 | 02/24/25 | EUR | 13 | 14,398 |
Bonds | 4.300 | 02/24/26 | EUR | 34 | 36,260 |
Bonds | 4.300 | 02/24/27 | EUR | 65 | 69,238 |
Bonds | 4.300 | 02/24/28 | EUR | 42 | 46,213 |
Bonds | 4.300 | 02/24/29 | EUR | 25 | 26,655 |
Bonds | 4.300 | 02/24/30 | EUR | 10 | 10,605 |
Bonds | 4.300 | 02/24/31 | EUR | 23 | 24,302 |
Bonds | 4.300 | 02/24/32 | EUR | 24 | 25,256 |
Bonds | 4.300 | 02/24/33 | EUR | 46 | 47,923 |
Bonds | 4.300 | 02/24/34 | EUR | 22 | 22,722 |
Bonds | 4.300 | 02/24/35 | EUR | 33 | 33,812 |
Bonds | 4.300 | 02/24/36 | EUR | 24 | 23,924 |
Bonds | 4.300 | 02/24/37 | EUR | 16 | 16,430 |
Bonds | 4.300 | 02/24/38 | EUR | 15 | 15,746 |
Bonds | 4.300 | 02/24/39 | EUR | 23 | 24,573 |
Bonds | 4.300 | 02/24/40 | EUR | 23 | 21,554 |
Bonds | 4.300 | 02/24/41 | EUR | 23 | 21,275 |
Bonds | 4.300 | 02/24/42 | EUR | 37 | 39,049 |
Bonds, 144A | 0.750 | 06/18/31 | EUR | 500 | 443,953 |
Sr. Unsec’d. Notes, 144A | 1.875 | 02/04/35 | EUR | 1,019 | 911,229 |
Sr. Unsec’d. Notes, 144A | 1.875 | 01/24/52 | EUR | 345 | 238,090 |
Hellenic Republic Government International Bond, Sr. Unsec’d. Notes | 5.200 | 07/17/34 | EUR | 50 | 58,302 |
2,193,994 | |||||
Hong Kong 0.4% | |||||
Airport Authority, Sr. Unsec’d. Notes, 144A | 2.500 | 01/12/32 | 245 | 206,119 | |
Hong Kong Government International Bond, Sr. Unsec’d. Notes, GMTN | 1.000 | 11/24/41 | EUR | 200 | 138,413 |
344,532 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Hungary 0.4% | |||||
Hungary Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.750 % | 10/10/27 | EUR | 100 | $98,841 |
Sr. Unsec’d. Notes | 1.750 | 06/05/35 | EUR | 100 | 78,226 |
Sr. Unsec’d. Notes, 144A | 2.125 | 09/22/31 | 200 | 156,076 | |
333,143 | |||||
Iceland 0.1% | |||||
Iceland Government International Bond, Sr. Unsec’d. Notes | 0.000 | 04/15/28 | EUR | 100 | 91,544 |
India 0.1% | |||||
Export-Import Bank of India, Sr. Unsec’d. Notes, EMTN | 3.450 | 06/25/26 | CNH | 1,000 | 136,958 |
Indonesia 1.3% | |||||
Indonesia Government International Bond, | |||||
Sr. Unsec’d. Notes | 0.900 | 02/14/27 | EUR | 100 | 97,983 |
Sr. Unsec’d. Notes | 1.100 | 03/12/33 | EUR | 300 | 243,423 |
Sr. Unsec’d. Notes | 1.300 | 03/23/34 | EUR | 300 | 242,064 |
Sr. Unsec’d. Notes | 1.450 | 09/18/26 | EUR | 100 | 100,860 |
Sr. Unsec’d. Notes | 1.750 | 04/24/25 | EUR | 200 | 210,189 |
Sr. Unsec’d. Notes | 3.375 | 07/30/25 | EUR | 100 | 107,998 |
Sr. Unsec’d. Notes, EMTN | 3.750 | 06/14/28 | EUR | 200 | 217,057 |
1,219,574 | |||||
Israel 0.5% | |||||
Israel Government Bond - Fixed, Bonds, Series 0537 | 1.500 | 05/31/37 | ILS | 300 | 60,181 |
Israel Government International Bond, | |||||
Sr. Unsec’d. Notes, EMTN | 1.500 | 01/18/27 | EUR | 100 | 101,419 |
Sr. Unsec’d. Notes, EMTN | 1.500 | 01/16/29 | EUR | 270 | 264,397 |
425,997 | |||||
Italy 2.9% | |||||
Italy Buoni Poliennali Del Tesoro, | |||||
Sr. Unsec’d. Notes, Series 10Y, 144A | 0.950 | 12/01/31 | EUR | 100 | 87,387 |
Sr. Unsec’d. Notes, Series 16YR, 144A | 1.450 | 03/01/36 | EUR | 120 | 97,145 |
Sr. Unsec’d. Notes, Series 21YR, 144A | 1.800 | 03/01/41 | EUR | 715 | 546,094 |
Sr. Unsec’d. Notes, Series 26YR, 144A | 3.350 | 03/01/35 | EUR | 335 | 340,877 |
Sr. Unsec’d. Notes, Series 31Y, 144A | 1.700 | 09/01/51 | EUR | 150 | 97,009 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Italy (cont’d.) | |||||
Italy Buoni Poliennali Del Tesoro, (cont’d.) | |||||
Sr. Unsec’d. Notes, Series 50YR, 144A | 2.800 % | 03/01/67 | EUR | 105 | $80,578 |
Region of Lazio, Sr. Unsec’d. Notes | 3.088 | 03/31/43 | EUR | 170 | 161,031 |
Repubic of Italy Government International Bond Coupon Strips, Sr. Unsec’d. Notes | 1.737(s) | 02/20/31 | EUR | 85 | 68,994 |
Republic of Italy Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.875 | 10/17/29 | 200 | 173,439 | |
Sr. Unsec’d. Notes, EMTN | 5.200 | 07/31/34 | EUR | 300 | 349,851 |
Sr. Unsec’d. Notes, EMTN | 5.345 | 01/27/48 | EUR | 50 | 57,711 |
Sr. Unsec’d. Notes, EMTN | 6.000 | 08/04/28 | GBP | 100 | 127,995 |
Sr. Unsec’d. Notes, MTN | 5.125 | 07/31/24 | EUR | 350 | 388,847 |
Sr. Unsec’d. Notes, MTN | 5.375 | 06/15/33 | 100 | 98,848 | |
2,675,806 | |||||
Kazakhstan 0.3% | |||||
Kazakhstan Government International Bond, | |||||
Sr. Unsec’d. Notes, EMTN | 0.600 | 09/30/26 | EUR | 200 | 194,778 |
Sr. Unsec’d. Notes, EMTN | 2.375 | 11/09/28 | EUR | 115 | 114,901 |
309,679 | |||||
Latvia 0.3% | |||||
Latvia Government International Bond, Sr. Unsec’d. Notes, GMTN | 0.250 | 01/23/30 | EUR | 300 | 261,416 |
Lithuania 0.2% | |||||
Lithuania Government International Bond, Sr. Unsec’d. Notes, EMTN | 2.125 | 10/22/35 | EUR | 200 | 183,410 |
Mexico 1.3% | |||||
Mexico Government International Bond, | |||||
Sr. Unsec’d. Notes | 2.375 | 02/11/30 | EUR | 100 | 96,878 |
Sr. Unsec’d. Notes | 2.875 | 04/08/39 | EUR | 200 | 163,632 |
Sr. Unsec’d. Notes, EMTN | 1.750 | 04/17/28 | EUR | 100 | 98,418 |
Sr. Unsec’d. Notes, GMTN | 6.750 | 02/06/24 | GBP | 100 | 128,335 |
Sr. Unsec’d. Notes, Series 19 | 1.440 | 07/24/24 | JPY | 100,000 | 707,282 |
1,194,545 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
New Zealand 0.1% | |||||
New Zealand Local Government Funding Agency Bond, Local Gov’t. Gtd. Notes | 3.500 % | 04/14/33 | NZD | 100 | $53,259 |
Panama 0.4% | |||||
Panama Government International Bond, | |||||
Sr. Unsec’d. Notes | 3.160 | 01/23/30 | 200 | 175,034 | |
Sr. Unsec’d. Notes | 3.875 | 03/17/28 | 200 | 188,400 | |
363,434 | |||||
Peru 0.5% | |||||
Peru Government Bond, Sr. Unsec’d. Notes | 6.150 | 08/12/32 | PEN | 30 | 8,039 |
Peruvian Government International Bond, | |||||
Sr. Unsec’d. Notes | 1.250 | 03/11/33 | EUR | 105 | 87,689 |
Sr. Unsec’d. Notes | 2.750 | 01/30/26 | EUR | 300 | 319,245 |
Sr. Unsec’d. Notes | 6.900 | 08/12/37 | PEN | 100 | 27,875 |
442,848 | |||||
Philippines 0.6% | |||||
Philippine Government International Bond, | |||||
Sr. Unsec’d. Notes | 0.700 | 02/03/29 | EUR | 500 | 456,342 |
Sr. Unsec’d. Notes | 1.750 | 04/28/41 | EUR | 100 | 72,380 |
528,722 | |||||
Portugal 0.9% | |||||
Portugal Obrigacoes do Tesouro OT, | |||||
Sr. Unsec’d. Notes, 144A | 0.300 | 10/17/31 | EUR | 200 | 175,334 |
Sr. Unsec’d. Notes, 144A | 1.150 | 04/11/42 | EUR | 85 | 62,720 |
Sr. Unsec’d. Notes, 144A | 4.100 | 04/15/37 | EUR | 195 | 227,478 |
Sr. Unsec’d. Notes, 144A | 4.100 | 02/15/45 | EUR | 135 | 159,248 |
Sr. Unsec’d. Notes, Series 15YR, 144A | 2.250 | 04/18/34 | EUR | 50 | 49,643 |
Unsec’d. Notes, 144A | 1.000 | 04/12/52 | EUR | 260 | 153,206 |
827,629 | |||||
Qatar 0.2% | |||||
Qatar Government International Bond, Sr. Unsec’d. Notes, 144A | 3.400 | 04/16/25 | 200 | 194,020 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Romania 0.6% | |||||
Romanian Government International Bond, | |||||
Sr. Unsec’d. Notes, 144A, MTN | 2.125 % | 03/07/28 | EUR | 180 | $174,054 |
Sr. Unsec’d. Notes, EMTN | 1.750 | 07/13/30 | EUR | 200 | 170,493 |
Sr. Unsec’d. Notes, EMTN | 3.500 | 04/03/34 | EUR | 50 | 44,248 |
Sr. Unsec’d. Notes, EMTN | 3.875 | 10/29/35 | EUR | 100 | 89,613 |
Unsec’d. Notes, 144A, MTN | 2.124 | 07/16/31 | EUR | 50 | 42,375 |
520,783 | |||||
Saudi Arabia 0.4% | |||||
Saudi Government International Bond, Sr. Unsec’d. Notes | 2.000 | 07/09/39 | EUR | 425 | 337,022 |
Serbia 0.5% | |||||
Serbia International Bond, | |||||
Sr. Unsec’d. Notes | 1.650 | 03/03/33 | EUR | 100 | 75,411 |
Sr. Unsec’d. Notes | 3.125 | 05/15/27 | EUR | 250 | 251,071 |
Sr. Unsec’d. Notes, 144A | 2.125 | 12/01/30 | 200 | 154,762 | |
481,244 | |||||
Singapore 0.0% | |||||
Singapore Government Bond, Bonds | 2.750 | 03/01/46 | SGD | 40 | 30,100 |
Slovakia 0.2% | |||||
Slovakia Government Bond, Unsec’d. Notes, Series 242 | 0.375 | 04/21/36 | EUR | 200 | 141,308 |
Slovenia 0.3% | |||||
Slovenia Government Bond, Unsec’d. Notes, Series RS86 | 0.000 | 02/12/31 | EUR | 300 | 257,328 |
Spain 1.5% | |||||
Autonomous Community of Catalonia, | |||||
Sr. Unsec’d. Notes | 4.220 | 04/26/35 | EUR | 100 | 107,871 |
Sr. Unsec’d. Notes, EMTN | 5.900 | 05/28/30 | EUR | 50 | 59,209 |
Spain Government Bond, | |||||
Sr. Unsec’d. Notes, 144A | 0.500 | 04/30/30 | EUR | 35 | 32,169 |
Sr. Unsec’d. Notes, 144A(k) | 0.500 | 10/31/31 | EUR | 250 | 219,335 |
Sr. Unsec’d. Notes, 144A | 0.850 | 07/30/37 | EUR | 110 | 83,477 |
Sr. Unsec’d. Notes, 144A(k) | 1.000 | 10/31/50 | EUR | 190 | 108,978 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Spain (cont’d.) | |||||
Spain Government Bond, (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A | 1.850 % | 07/30/35 | EUR | 285 | $260,851 |
Sr. Unsec’d. Notes, 144A | 3.450 | 07/30/43 | EUR | 300 | 309,117 |
Sr. Unsec’d. Notes, 144A | 3.450 | 07/30/66 | EUR | 60 | 58,525 |
Spain Government International Bond, Sr. Unsec’d. Notes, EMTN | 5.250 | 04/06/29 | GBP | 100 | 126,715 |
1,366,247 | |||||
Ukraine 0.3% | |||||
Ukraine Government International Bond, | |||||
Sr. Unsec’d. Notes | 4.375 | 01/27/32(d) | EUR | 641 | 198,043 |
Sr. Unsec’d. Notes | 6.750 | 06/20/28(d) | EUR | 200 | 63,221 |
261,264 | |||||
United Arab Emirates 0.2% | |||||
UAE International Government Bond, Sr. Unsec’d. Notes, 144A, MTN | 2.000 | 10/19/31 | 205 | 171,770 | |
United Kingdom 0.7% | |||||
Isle of Man Government International Bond, | |||||
Unsec’d. Notes | 5.375 | 08/14/34 | GBP | 100 | 129,758 |
Unsec’d. Notes | 5.625 | 03/29/30 | GBP | 100 | 132,125 |
United Kingdom Gilt, Bonds(k) | 4.250 | 12/07/46 | GBP | 330 | 407,916 |
669,799 | |||||
Uruguay 0.0% | |||||
Uruguay Government International Bond, Sr. Unsec’d. Notes | 4.375 | 10/27/27 | 39 | 38,942 | |
Total Sovereign Bonds (cost $26,363,494) | 21,421,282 | ||||
U.S. Government Agency Obligations 0.1% | |||||
Federal Home Loan Bank | 3.280 | 03/28/29 | USD | 9 | 7,889 |
Tennessee Valley Authority Sr. Unsec’d. Notes | 5.625 | 06/07/32 | GBP | 100 | 131,128 |
Total U.S. Government Agency Obligations (cost $193,564) | 139,017 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
U.S. Treasury Obligations 5.5% | |||||
U.S. Treasury Bonds(h)(k) | 1.875 % | 02/15/41 | 2,255 | $1,604,573 | |
U.S. Treasury Bonds(k) | 2.375 | 05/15/51 | 145 | 104,672 | |
U.S. Treasury Bonds(k) | 2.750 | 08/15/47 | 280 | 219,188 | |
U.S. Treasury Bonds | 3.000 | 02/15/47 | 1,650 | 1,354,031 | |
U.S. Treasury Bonds | 3.875 | 05/15/43 | 600 | 573,562 | |
U.S. Treasury Notes(k) | 1.125 | 02/15/31 | 1,490 | 1,218,308 | |
Total U.S. Treasury Obligations (cost $5,484,062) | 5,074,334 |
Shares | |||||
Unaffiliated Exchange-Traded Funds 1.1% | |||||
iShares Floating Rate Bond ETF | 13,700 | 696,782 | |||
iShares Preferred & Income Securities ETF | 10,000 | 312,200 | |||
Total Unaffiliated Exchange-Traded Funds (cost $1,011,465) | 1,008,982 | ||||
Total Long-Term Investments (cost $100,731,857) | 89,954,966 | ||||
Short-Term Investment 1.9% | |||||
Affiliated Mutual Fund | |||||
PGIM Core Government Money Market Fund (cost $1,719,219)(wj) | 1,719,219 | 1,719,219 | |||
TOTAL INVESTMENTS 99.8% (cost $102,451,076) | 91,674,185 | ||||
Other assets in excess of liabilities(z) 0.2% | 228,192 | ||||
Net Assets 100.0% | $91,902,377 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
AUD—Australian Dollar | |
CAD—Canadian Dollar | |
CHF—Swiss Franc | |
CLP—Chilean Peso | |
CNH—Chinese Renminbi | |
COP—Colombian Peso | |
CZK—Czech Koruna | |
DKK—Danish Krone | |
EUR—Euro | |
GBP—British Pound | |
HUF—Hungarian Forint |
IDR—Indonesian Rupiah | |
ILS—Israeli Shekel | |
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 | |
SEK—Swedish Krona | |
SGD—Singapore Dollar | |
THB—Thai Baht | |
TWD—New Taiwanese Dollar | |
USD—US Dollar |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A—Annual payment frequency for swaps | |
BARC—Barclays Bank PLC | |
BBR—New Zealand Bank Bill Rate | |
BBSW—Australian Bank Bill Swap Reference Rate | |
BNP—BNP Paribas S.A. | |
BNYM—Bank of New York Mellon | |
BOA—Bank of America, N.A. | |
BUBOR—Budapest Interbank Offered Rate | |
CDOR—Canadian Dollar Offered Rate | |
CDX—Credit Derivative Index | |
CIBOR—Copenhagen Interbank Offered Rate | |
CITI—Citibank, N.A. | |
CLO—Collateralized Loan Obligation | |
CLOIS—Sinacofi Chile Interbank Rate Average | |
CORRA—Canadian Overnight Repo Rate Average | |
DAC—Designated Activity Company | |
DB—Deutsche Bank AG | |
EMTN—Euro Medium Term Note | |
ETF—Exchange-Traded Fund | |
EURIBOR—Euro Interbank Offered Rate | |
EuroSTR—Euro Short-Term Rate | |
FHLMC—Federal Home Loan Mortgage Corporation | |
GMTN—Global Medium Term Note | |
GSI—Goldman Sachs International | |
HSBC—HSBC Bank PLC | |
IO—Interest Only (Principal amount represents notional) | |
iTraxx—International Credit Derivative Index | |
JPM—JPMorgan Chase Bank N.A. | |
KLIBOR—Kuala Lumpur Interbank Offered Rate | |
KWCDC—Korean Won Certificate of Deposit | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
MPLE—Maple Bonds | |
MSI—Morgan Stanley & Co International PLC | |
MTN—Medium Term Note |
NIBOR—Norwegian Interbank Offered Rate | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
PJSC—Public Joint-Stock Company | |
PRIBOR—Prague Interbank Offered Rate | |
Q—Quarterly payment frequency for swaps | |
REMIC—Real Estate Mortgage Investment Conduit | |
S—Semiannual payment frequency for swaps | |
SARON—Swiss Average Rate Overnight | |
SCB—Standard Chartered Bank | |
SOFR—Secured Overnight Financing Rate | |
SONIA—Sterling Overnight Index Average | |
SORA—Singapore Overnight Rate Average | |
SSB—State Street Bank & Trust Company | |
STIBOR—Stockholm Interbank Offered Rate | |
T—Swap payment upon termination | |
TAIBOR—Taiwan Interbank Offered Rate | |
THOR—Thai Overnight Repurchase Rate | |
TONAR—Tokyo Overnight Average Rate | |
WIBOR—Warsaw Interbank Offered Rate |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $72,958 and 0.1% of net assets. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at July 31, 2023. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of July 31, 2023. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $378,763. The aggregate value of $254,572 is 0.3% of net assets. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(oo) | Perpetual security. Maturity date represents next call date. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(wj) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Government Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at July 31, 2023: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
26 | 20 Year U.S. Treasury Bonds | Sep. 2023 | $3,235,375 | $(60,043) | ||||
16 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2023 | 2,115,500 | (54,895) | ||||
(114,938) | ||||||||
Short Positions: | ||||||||
34 | 2 Year U.S. Treasury Notes | Sep. 2023 | 6,903,063 | 109,158 | ||||
6 | 5 Year Euro-Bobl | Sep. 2023 | 764,526 | 3,869 | ||||
103 | 5 Year U.S. Treasury Notes | Sep. 2023 | 11,002,492 | 206,192 | ||||
35 | 10 Year Euro-Bund | Sep. 2023 | 5,118,172 | 84,806 | ||||
30 | 10 Year U.S. Treasury Notes | Sep. 2023 | 3,342,188 | 50,005 | ||||
2 | 10 Year U.S. Ultra Treasury Notes | Sep. 2023 | 233,969 | 5,419 | ||||
32 | British Pound Currency | Sep. 2023 | 2,568,200 | (75,893) | ||||
113 | Euro Currency | Sep. 2023 | 15,572,106 | (351,662) | ||||
43 | Euro Schatz Index | Sep. 2023 | 4,966,606 | 32,607 | ||||
64,501 | ||||||||
$(50,437) |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 08/02/23 | JPM | AUD | 375 | $254,642 | $252,051 | $— | $(2,591) | ||||||
British Pound, | |||||||||||||
Expiring 08/02/23 | SSB | GBP | 1,013 | 1,302,600 | 1,300,588 | — | (2,012) | ||||||
Euro, | |||||||||||||
Expiring 08/02/23 | BNP | EUR | 9,117 | 10,092,654 | 10,025,256 | — | (67,398) | ||||||
Hungarian Forint, | |||||||||||||
Expiring 10/19/23 | CITI | HUF | 71,672 | 200,035 | 200,165 | 130 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 09/20/23 | BOA | ILS | 625 | 170,240 | 170,255 | 15 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 08/02/23 | BARC | JPY | 93,925 | 666,796 | 660,414 | — | (6,382) | ||||||
Expiring 10/19/23 | BOA | JPY | 21,540 | 153,466 | 153,312 | — | (154) | ||||||
Norwegian Krone, | |||||||||||||
Expiring 10/19/23 | BNYM | NOK | 553 | 54,813 | 54,681 | — | (132) | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/19/23 | HSBC | PLN | 912 | 229,072 | 226,810 | — | (2,262) | ||||||
South Korean Won, | |||||||||||||
Expiring 09/20/23 | BARC | KRW | 60,173 | 45,860 | 47,231 | 1,371 | — |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
South Korean Won (cont’d.), | |||||||||||||
Expiring 09/20/23 | CITI | KRW | 132,582 | $104,266 | $104,067 | $— | $(199) | ||||||
Swedish Krona, | |||||||||||||
Expiring 10/19/23 | HSBC | SEK | 258 | 25,008 | 24,634 | — | (374) | ||||||
$13,299,452 | $13,219,464 | 1,516 | (81,504) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 08/02/23 | BOA | AUD | 375 | $250,720 | $252,052 | $— | $(1,332) | ||||||
Expiring 09/05/23 | JPM | AUD | 375 | 254,915 | 252,368 | 2,547 | — | ||||||
British Pound, | |||||||||||||
Expiring 08/02/23 | BARC | GBP | 1,013 | 1,287,973 | 1,300,587 | — | (12,614) | ||||||
Expiring 09/05/23 | SSB | GBP | 1,013 | 1,302,763 | 1,300,803 | 1,960 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 10/19/23 | HSBC | CAD | 468 | 354,004 | 355,392 | — | (1,388) | ||||||
Expiring 10/19/23 | HSBC | CAD | 109 | 82,253 | 82,461 | — | (208) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 08/23/23 | MSI | CNH | 21,824 | 3,126,565 | 3,060,247 | 66,318 | — | ||||||
Expiring 08/23/23 | MSI | CNH | 626 | 88,449 | 87,765 | 684 | — | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/20/23 | MSI | COP | 273,723 | 60,275 | 68,798 | — | (8,523) | ||||||
Euro, | |||||||||||||
Expiring 08/02/23 | BNP | EUR | 206 | 225,727 | 226,012 | — | (285) | ||||||
Expiring 08/02/23 | BOA | EUR | 199 | 216,049 | 218,647 | — | (2,598) | ||||||
Expiring 08/02/23 | BOA | EUR | 76 | 84,819 | 83,042 | 1,777 | — | ||||||
Expiring 08/02/23 | HSBC | EUR | 458 | 515,038 | 503,679 | 11,359 | — | ||||||
Expiring 08/02/23 | SSB | EUR | 7,844 | 8,577,465 | 8,625,010 | — | (47,545) | ||||||
Expiring 08/02/23 | SSB | EUR | 335 | 366,759 | 368,864 | — | (2,105) | ||||||
Expiring 09/05/23 | BNP | EUR | 9,117 | 10,109,201 | 10,042,888 | 66,313 | — | ||||||
Expiring 10/19/23 | BOA | EUR | 188 | 207,818 | 207,269 | 549 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/20/23 | MSI | IDR | 1,526,380 | 102,202 | 101,003 | 1,199 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 09/20/23 | CITI | ILS | 791 | 217,478 | 215,668 | 1,810 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 08/02/23 | BOA | JPY | 85,945 | 602,250 | 604,305 | — | (2,055) | ||||||
Expiring 08/02/23 | MSI | JPY | 7,980 | 57,583 | 56,109 | 1,474 | — | ||||||
Expiring 09/05/23 | BARC | JPY | 93,925 | 670,324 | 664,158 | 6,166 | — |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Mexican Peso, | |||||||||||||
Expiring 09/20/23 | BARC | MXN | 3,835 | $215,915 | $226,857 | $— | $(10,942) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 09/20/23 | GSI | SGD | 41 | 30,176 | 30,543 | — | (367) | ||||||
Swiss Franc, | |||||||||||||
Expiring 10/19/23 | BNP | CHF | 132 | 154,228 | 153,211 | 1,017 | — | ||||||
$29,160,949 | $29,087,738 | 163,173 | (89,962) | ||||||||||
$164,689 | $(171,466) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
Gazprom PAO | 06/20/24 | 1.000%(Q) | 134 | $27,380 | $23,826 | $3,554 | HSBC | |||||||||
Gazprom PAO | 06/20/24 | 1.000%(Q) | 121 | 24,724 | 34,471 | (9,747) | BARC | |||||||||
Kingdom of Morocco | 12/20/27 | 1.000%(Q) | 115 | 879 | 2,716 | (1,837) | BNP | |||||||||
Republic of Italy | 12/20/27 | 1.000%(Q) | EUR | 70 | (1,495) | (2,328) | 833 | BARC | ||||||||
Republic of South Africa | 12/20/28 | 1.000%(Q) | 400 | 26,755 | 41,246 | (14,491) | MSI | |||||||||
$78,243 | $99,931 | $(21,688) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2023(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
DP World PLC | 12/20/24 | 1.000%(Q) | 100 | 1.004% | $111 | $131 | $(20) | BARC | |||||||||
Emirate of Abu Dhabi | 06/20/24 | 1.000%(Q) | 110 | 0.078% | 1,015 | 845 | 170 | BNP | |||||||||
Generalitat de Catalunya | 12/20/25 | 1.000%(Q) | 100 | * | 1,507 | (456) | 1,963 | DB | |||||||||
Halliburton Co. | 12/20/26 | 1.000%(Q) | 50 | 0.443% | 931 | 325 | 606 | GSI | |||||||||
Hellenic Republic | 12/20/31 | 1.000%(Q) | 140 | 1.156% | (1,325) | (3,585) | 2,260 | BARC | |||||||||
International Bank for Reconstruction & Development | 03/20/24 | 0.250%(Q) | 740 | 0.277% | 91 | 465 | (374) | BOA |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2023(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)(cont’d.): | |||||||||||||||||
Kingdom of Spain | 06/20/25 | 1.000%(Q) | 1,000 | 0.199% | $15,664 | $(3,483) | $19,147 | BOA | |||||||||
Kingdom of Spain | 06/20/25 | 1.000%(Q) | 170 | 0.199% | 2,663 | (618) | 3,281 | BOA | |||||||||
Kingdom of Spain | 06/20/25 | 1.000%(Q) | 15 | 0.199% | 235 | 74 | 161 | BARC | |||||||||
Republic of Estonia | 12/20/26 | 1.000%(Q) | 50 | 0.658% | 593 | 321 | 272 | JPM | |||||||||
Republic of Italy | 06/20/30 | 1.000%(Q) | 100 | 1.144% | (716) | (1,982) | 1,266 | BARC | |||||||||
Republic of Panama | 12/20/26 | 1.000%(Q) | 45 | 0.631% | 572 | 88 | 484 | CITI | |||||||||
Republic of Poland | 06/20/24 | 1.000%(Q) | 145 | 0.198% | 1,185 | 100 | 1,085 | BNP | |||||||||
Republic of South Africa | 12/20/23 | 1.000%(Q) | 300 | 0.314% | 1,147 | (1,248) | 2,395 | BOA | |||||||||
Verizon Communications, Inc. | 06/20/26 | 1.000%(Q) | 170 | 0.786% | 1,174 | 2,060 | (886) | GSI | |||||||||
$24,847 | $(6,963) | $31,810 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2023(4) | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | |||||||||||||||
CDX.NA.HY.40.V1 | 06/20/28 | 5.000%(Q) | 8,775 | 4.094% | $179,547 | $359,484 | $179,937 | ||||||||
iTraxx.XO.39.V1 | 06/20/28 | 5.000%(Q) | EUR | 1,655 | 3.802% | (36,642) | 96,506 | 133,148 | |||||||
$142,905 | $455,990 | $313,085 |
(1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of |
that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | |
(3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Currency swap agreement outstanding at July 31, 2023: | ||||||||||||||||||
Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||
OTC Currency Swap Agreement: | ||||||||||||||||||
IDR | 1,400,000 | 8.22%(S) | 97 | 6 Month LIBOR(S)/ 5.861% | CITI | 11/29/23 | $(3,076) | $— | $(3,076) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
AUD | 970 | 02/19/31 | 1.398%(S) | 6 Month BBSW(2)(S)/ 4.665% | $(2,503) | $(130,674) | $(128,171) | |||||||
AUD | 225 | 12/03/33 | 2.800%(S) | 6 Month BBSW(2)(S)/ 4.665% | (19,316) | (20,999) | (1,683) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
AUD | 85 | 12/03/38 | 2.900%(S) | 6 Month BBSW(2)(S)/ 4.665% | $(9,720) | $(10,549) | $(829) | |||||||
CAD | 1,230 | 04/03/25 | 0.970%(S) | 3 Month CDOR(2)(S)/ 5.500% | (1,981) | (77,677) | (75,696) | |||||||
CAD | 455 | 12/03/27 | 3.650%(S) | 1 Day CORRA(2)(S)/ 5.000% | 4,196 | (6,810) | (11,006) | |||||||
CAD | 80 | 12/03/28 | 2.600%(S) | 3 Month CDOR(2)(S)/ 5.500% | 438 | (4,997) | (5,435) | |||||||
CAD | 340 | 12/03/29 | 2.650%(S) | 3 Month CDOR(2)(S)/ 5.500% | (13,339) | (22,426) | (9,087) | |||||||
CAD | 70 | 12/03/29 | 3.500%(S) | 1 Day CORRA(2)(S)/ 5.000% | 907 | (1,059) | (1,966) | |||||||
CAD | 165 | 12/03/30 | 3.500%(S) | 1 Day CORRA(2)(S)/ 5.000% | (855) | (2,355) | (1,500) | |||||||
CAD | 60 | 12/03/32 | 2.700%(S) | 3 Month CDOR(2)(S)/ 5.500% | (2,561) | (4,861) | (2,300) | |||||||
CAD | 50 | 01/09/38 | 2.720%(S) | 3 Month CDOR(2)(S)/ 5.500% | (1) | (5,559) | (5,558) | |||||||
CAD | 120 | 12/03/40 | 2.800%(S) | 3 Month CDOR(2)(S)/ 5.500% | 15,832 | (14,522) | (30,354) | |||||||
CAD | 50 | 05/30/47 | 2.240%(S) | 3 Month CDOR(2)(S)/ 5.500% | (1,389) | (10,246) | (8,857) | |||||||
CAD | 295 | 12/03/51 | 2.800%(S) | 3 Month CDOR(2)(S)/ 5.500% | (28,634) | (40,314) | (11,680) | |||||||
CAD | 45 | 12/03/53 | 3.300%(S) | 1 Day CORRA(2)(S)/ 5.000% | (55) | (893) | (838) | |||||||
CHF | 70 | 04/03/28 | 0.410%(A) | 1 Day SARON(2)(S)/ 1.702% | (219) | (5,670) | (5,451) | |||||||
CHF | 130 | 01/31/29 | 0.260%(A) | 1 Day SARON(2)(S)/ 1.702% | (481) | (12,387) | (11,906) | |||||||
CHF | 40 | 04/03/33 | 0.687%(A) | 1 Day SARON(2)(S)/ 1.702% | (214) | (4,984) | (4,770) | |||||||
CHF | 100 | 12/15/41 | 0.025%(A) | 1 Day SARON(2)(A)/ 1.702% | (19,952) | (33,274) | (13,322) | |||||||
CLP | 30,200 | 07/12/29 | 3.135%(S) | 1 Day CLOIS(2)(S)/ 10.250% | — | (3,678) | (3,678) | |||||||
CLP | 190,000 | 02/06/33 | 5.200%(S) | 1 Day CLOIS(1)(S)/ 10.250% | — | 4,403 | 4,403 | |||||||
CLP | 76,000 | 02/23/33 | 5.570%(S) | 1 Day CLOIS(1)(S)/ 10.250% | — | (1,224) | (1,224) | |||||||
CLP | 157,000 | 02/27/33 | 5.550%(S) | 1 Day CLOIS(1)(S)/ 10.250% | — | (2,354) | (2,354) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
CNH | 700 | 08/15/23 | 3.115%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | $3 | $270 | $267 | |||||||
CNH | 700 | 03/13/24 | 2.945%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (1) | 683 | 684 | |||||||
CNH | 1,400 | 04/01/24 | 2.923%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 1,355 | 1,355 | |||||||
CNH | 1,440 | 06/03/24 | 2.975%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 1,940 | 1,940 | |||||||
CNH | 2,220 | 06/20/24 | 2.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (3) | 2,700 | 2,703 | |||||||
CNH | 1,500 | 09/03/24 | 2.860%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (1) | 2,192 | 2,193 | |||||||
CNH | 1,500 | 10/10/24 | 2.860%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (1) | 2,148 | 2,149 | |||||||
CNH | 1,680 | 11/01/24 | 3.120%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (5) | 3,775 | 3,780 | |||||||
CNH | 1,200 | 02/04/25 | 2.600%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 1,584 | 1,584 | |||||||
CNH | 2,800 | 03/06/25 | 2.425%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | 1 | 2,374 | 2,373 | |||||||
CNH | 5,000 | 03/12/25 | 2.400%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (2) | 3,873 | 3,875 | |||||||
CNH | 3,200 | 07/13/25 | 2.653%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (4) | 4,777 | 4,781 | |||||||
CNH | 5,910 | 11/02/25 | 2.588%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | 7 | 9,035 | 9,028 | |||||||
CNH | 5,280 | 04/12/26 | 2.810%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (11) | 11,865 | 11,876 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
CNH | 7,230 | 08/04/27 | 2.388%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | $— | $967 | $967 | |||||||
CNH | 2,000 | 01/09/28 | 2.757%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | (83) | 4,002 | 4,085 | |||||||
CNH | 4,750 | 03/01/28 | 2.955%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 15,679 | 15,679 | |||||||
CNH | 1,925 | 04/26/28 | 2.790%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 4,032 | 4,032 | |||||||
CNH | 5,740 | 05/11/28 | 2.600%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | 5,589 | 6,068 | 479 | |||||||
CNH | 5,400 | 06/01/28 | 2.473%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | — | 750 | 750 | |||||||
CZK | 5,145 | 03/31/30 | 0.710%(A) | 6 Month PRIBOR(2)(S)/ 7.100% | — | (52,118) | (52,118) | |||||||
DKK | 500 | 04/08/32 | 1.581%(A) | 6 Month CIBOR(2)(S)/ 4.010% | (3,248) | (9,629) | (6,381) | |||||||
EUR | 5,485 | 11/23/24 | (0.046)%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | — | (228,797) | (228,797) | |||||||
EUR | 3,245 | 12/02/24 | (0.285)%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | — | (219,650) | (219,650) | |||||||
EUR | 200 | 05/11/25 | 0.100%(A) | 1 Day EuroSTR(1)(A)/ 3.392% | 692 | 14,600 | 13,908 | |||||||
EUR | 350 | 04/27/30 | (0.016)%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | — | (75,813) | (75,813) | |||||||
EUR | 342 | 08/15/30 | (0.191)%(A) | 1 Day EuroSTR(2)(A)/ 3.392% | (133) | (81,151) | (81,018) | |||||||
EUR | 100 | 05/11/31 | 0.750%(A) | 1 Day EuroSTR(1)(A)/ 3.392% | 683 | 16,736 | 16,053 | |||||||
EUR | 235 | 10/30/32 | 1.302%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | 4,231 | (36,161) | (40,392) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
EUR | 820 | 03/20/33 | 2.996%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | $— | $(4,616) | $(4,616) | |||||||
EUR | 430 | 05/11/33 | 1.000%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | (7,506) | (84,354) | (76,848) | |||||||
EUR | 590 | 03/20/38 | 2.982%(A) | 6 Month EURIBOR(1)(S)/ 3.929% | — | 6,291 | 6,291 | |||||||
EUR | 150 | 11/24/41 | 0.565%(A) | 6 Month EURIBOR(1)(S)/ 3.929% | — | 26,162 | 26,162 | |||||||
EUR | 150 | 11/24/41 | 0.600%(A) | 3 Month EURIBOR(2)(Q)/ 3.715% | — | (27,349) | (27,349) | |||||||
EUR | 364 | 11/25/41 | 0.629%(A) | 6 Month EURIBOR(1)(S)/ 3.929% | — | 61,739 | 61,739 | |||||||
EUR | 364 | 11/25/41 | 0.663%(A) | 3 Month EURIBOR(2)(Q)/ 3.715% | — | (64,660) | (64,660) | |||||||
EUR | 570 | 03/22/42 | 1.257%(A) | 6 Month EURIBOR(1)(S)/ 3.929% | — | 68,792 | 68,792 | |||||||
EUR | 570 | 03/22/42 | 1.310%(A) | 3 Month EURIBOR(2)(Q)/ 3.715% | — | (72,735) | (72,735) | |||||||
EUR | 400 | 02/24/43 | 2.910%(A) | 6 Month EURIBOR(1)(S)/ 3.929% | 332 | 4,315 | 3,983 | |||||||
EUR | 400 | 02/24/43 | 2.960%(A) | 3 Month EURIBOR(2)(Q)/ 3.715% | (205) | (1,188) | (983) | |||||||
EUR | 120 | 05/11/49 | 1.450%(A) | 6 Month EURIBOR(2)(S)/ 3.929% | 5,452 | (32,431) | (37,883) | |||||||
GBP | 35 | 05/08/30 | 1.100%(A) | 1 Day SONIA(1)(A)/ 4.930% | 5,939 | 9,094 | 3,155 | |||||||
GBP | 155 | 05/08/37 | 1.200%(A) | 1 Day SONIA(2)(A)/ 4.930% | (49,436) | (61,108) | (11,672) | |||||||
GBP | 160 | 05/08/38 | 1.200%(A) | 1 Day SONIA(2)(A)/ 4.930% | (53,505) | (65,992) | (12,487) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
GBP | 225 | 05/08/46 | 1.250%(A) | 1 Day SONIA(2)(A)/ 4.930% | $46,975 | $(117,019) | $(163,994) | |||||||
GBP | 170 | 05/08/47 | 1.250%(A) | 1 Day SONIA(2)(A)/ 4.930% | (33,201) | (90,479) | (57,278) | |||||||
GBP | 90 | 05/08/48 | 1.250%(A) | 1 Day SONIA(2)(A)/ 4.930% | (42,358) | (48,796) | (6,438) | |||||||
GBP | 35 | 09/03/50 | 0.328%(A) | 1 Day SONIA(2)(A)/ 4.930% | — | (27,466) | (27,466) | |||||||
GBP | 60 | 05/08/52 | 1.250%(A) | 1 Day SONIA(2)(A)/ 4.930% | (3,635) | (34,817) | (31,182) | |||||||
HUF | 90,865 | 06/12/28 | 3.750%(A) | 6 Month BUBOR(2)(S)/ 13.810% | — | (44,691) | (44,691) | |||||||
JPY | 130,000 | 03/06/25 | 0.197%(A) | 1 Day TONAR(2)(A)/ (0.061)% | — | 2,864 | 2,864 | |||||||
JPY | 179,000 | 04/08/26 | 0.018%(S) | 1 Day TONAR(2)(S)/ (0.061)% | 8 | (7,701) | (7,709) | |||||||
JPY | 59,000 | 12/18/27 | 0.290%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (491) | (1,878) | (1,387) | |||||||
JPY | 110,000 | 07/08/28 | (0.050)%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (13,074) | (16,829) | (3,755) | |||||||
JPY | 119,700 | 07/31/28 | 0.268%(A) | 1 Day TONAR(2)(A)/ (0.061)% | — | (5,477) | (5,477) | |||||||
JPY | 163,000 | 11/12/28 | 0.011%(S) | 1 Day TONAR(2)(S)/ (0.061)% | 5 | (28,423) | (28,428) | |||||||
JPY | 25,000 | 07/08/29 | (0.050)%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (3,344) | (5,551) | (2,207) | |||||||
JPY | 85,000 | 07/08/30 | (0.050)%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (20,608) | (25,828) | (5,220) | |||||||
JPY | 60,000 | 07/08/31 | 0.000%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (17,531) | (21,849) | (4,318) | |||||||
JPY | 130,000 | 07/08/32 | 0.050%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (9,760) | (55,061) | (45,301) | |||||||
JPY | 53,000 | 12/18/32 | 0.516%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (937) | (10,489) | (9,552) | |||||||
JPY | 111,500 | 12/18/37 | 0.715%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (2,901) | (39,878) | (36,977) | |||||||
JPY | 57,555 | 01/04/38 | 0.757%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (1,448) | (18,572) | (17,124) | |||||||
JPY | 11,780 | 12/03/38 | 0.600%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (6) | (6,304) | (6,298) | |||||||
JPY | 10,000 | 10/04/39 | 0.203%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (25) | (10,227) | (10,202) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
JPY | 21,500 | 12/03/39 | 0.650%(S) | 1 Day TONAR(2)(S)/ (0.061)% | $(12) | $(11,947) | $(11,935) | |||||||
JPY | 20,000 | 02/06/40 | 0.223%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (106) | (20,649) | (20,543) | |||||||
JPY | 25,000 | 07/08/42 | 0.300%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (18,324) | (27,671) | (9,347) | |||||||
JPY | 5,000 | 07/04/43 | 0.763%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (130) | (3,342) | (3,212) | |||||||
JPY | 30,000 | 07/08/43 | 0.300%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (26,933) | (35,639) | (8,706) | |||||||
JPY | 38,600 | 07/08/45 | 0.350%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (42,548) | (48,816) | (6,268) | |||||||
JPY | 91,700 | 12/18/47 | 0.918%(S) | 1 Day TONAR(2)(S)/ (0.061)% | (3,204) | (58,682) | (55,478) | |||||||
JPY | 45,000 | 07/08/48 | 0.450%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (50,691) | (58,260) | (7,569) | |||||||
JPY | 30,000 | 07/08/52 | 0.450%(A) | 1 Day TONAR(2)(A)/ (0.061)% | (25,452) | (44,544) | (19,092) | |||||||
JPY | 22,800 | 07/31/53 | 1.102%(A) | 1 Day TONAR(1)(A)/ (0.061)% | — | 8,498 | 8,498 | |||||||
KRW | 761,000 | 08/04/24 | 3.145%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | — | (4,710) | (4,710) | |||||||
KRW | 230,000 | 04/19/28 | 3.135%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | — | (3,534) | (3,534) | |||||||
KRW | 979,000 | 09/10/28 | 2.043%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | (21,131) | (57,131) | (36,000) | |||||||
KRW | 118,000 | 02/13/29 | 1.780%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | — | (8,720) | (8,720) | |||||||
KRW | 33,500 | 04/17/29 | 1.740%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | — | (2,512) | (2,512) | |||||||
KRW | 470,000 | 04/27/30 | 1.065%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | (9,270) | (55,444) | (46,174) | |||||||
KRW | 261,780 | 03/10/33 | 3.150%(Q) | 3 Month KWCDC(2)(Q)/ 3.740% | (4,221) | (6,519) | (2,298) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2023 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
NOK | 1,680 | 03/15/27 | 2.103%(A) | 6 Month NIBOR(2)(S)/ 5.070% | $3,055 | $(14,308) | $(17,363) | |||||||
NZD | 100 | 11/05/29 | 1.393%(S) | 3 Month BBR(2)(Q)/ 5.665% | — | (11,564) | (11,564) | |||||||
PLN | 890 | 07/11/28 | 2.935%(A) | 6 Month WIBOR(2)(S)/ 6.600% | 15,681 | (16,361) | (32,042) | |||||||
PLN | 760 | 08/30/31 | 1.765%(A) | 6 Month WIBOR(2)(S)/ 6.600% | — | (37,033) | (37,033) | |||||||
SEK | 2,200 | 11/05/29 | 0.457%(A) | 3 Month STIBOR(2)(Q)/ 3.923% | (3,236) | (33,158) | (29,922) | |||||||
SGD | 165 | 07/29/31 | 1.120%(S) | 1 Day SORA(2)(S)/ 3.550% | 923 | (17,192) | (18,115) | |||||||
THB | 6,000 | 07/04/24 | 1.590%(Q) | 1 Day THOR(2)(Q)/ 1.986% | — | (1,233) | (1,233) | |||||||
THB | 3,000 | 07/03/30 | 1.028%(Q) | 1 Day THOR(2)(Q)/ 1.986% | — | (8,880) | (8,880) | |||||||
TWD | 14,600 | 02/17/28 | 1.390%(Q) | 3 Month TAIBOR(1)(Q)/ 1.494% | — | 1,990 | 1,990 | |||||||
TWD | 8,480 | 07/21/33 | 1.410%(Q) | 3 Month TAIBOR(1)(Q)/ 1.494% | — | 1,547 | 1,547 | |||||||
7,960 | 12/23/23 | 4.758%(T) | 1 Day SOFR(2)(T)/ 5.310% | — | (26,121) | (26,121) | ||||||||
12,055 | 02/21/24 | 5.170%(T) | 1 Day SOFR(2)(T)/ 5.310% | — | (11,741) | (11,741) | ||||||||
3,760 | 07/10/24 | 5.435%(T) | 1 Day SOFR(2)(T)/ 5.310% | — | 1,526 | 1,526 | ||||||||
10,265 | 07/31/24 | 5.406%(T) | 1 Day SOFR(2)(T)/ 5.310% | — | 2,761 | 2,761 | ||||||||
3,604 | 03/08/25 | 4.919%(A) | 1 Day SOFR(2)(A)/ 5.310% | — | (8,126) | (8,126) | ||||||||
10,150 | 04/22/25 | 3.595%(T) | 1 Day SOFR(1)(T)/ 5.310% | (15,992) | 93,439 | 109,431 | ||||||||
493 | 08/15/28 | 1.220%(A) | 1 Day SOFR(1)(A)/ 5.310% | — | 75,512 | 75,512 | ||||||||
$(474,984) | $(2,306,098) | $(1,831,114) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
OTC Interest Rate Swap Agreements: | |||||||||||||||
CNH | 2,100 | 07/31/30 | 2.515%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | $(885) | $— | $(885) | MSI | |||||||
CNH | 3,000 | 10/14/31 | 2.675%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.970% | 2,452 | — | 2,452 | SCB | |||||||
MYR | 450 | 04/09/26 | 2.625%(Q) | 3 Month KLIBOR(2)(Q)/ 3.510% | (2,729) | (8) | (2,721) | MSI | |||||||
MYR | 900 | 08/12/26 | 2.605%(Q) | 3 Month KLIBOR(2)(Q)/ 3.510% | (6,522) | (8) | (6,514) | HSBC | |||||||
MYR | 200 | 07/11/29 | 3.528%(Q) | 3 Month KLIBOR(2)(Q)/ 3.510% | (619) | — | (619) | MSI | |||||||
MYR | 200 | 04/07/32 | 3.870%(Q) | 3 Month KLIBOR(2)(Q)/ 3.510% | (109) | (2) | (107) | CITI | |||||||
MYR | 230 | 07/12/32 | 3.650%(Q) | 3 Month KLIBOR(2)(Q)/ 3.510% | (1,071) | (1) | (1,070) | GSI | |||||||
$(9,483) | $(19) | $(9,464) |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |