|
Retirement
Class
|
Institutional
Class
|
Administrative
Class
|
Investor
Class
|
Harbor Bond Fund
|
HBFRX
|
HABDX
|
HRBDX
|
–
|
Harbor Convertible Securities
Fund
|
HNCVX
|
HACSX
|
HRCSX
|
HICSX
|
Harbor Core Bond Fund
|
HCBRX
|
HACBX
|
–
|
–
|
Harbor High-Yield Bond Fund
|
HNHYX
|
HYFAX
|
HYFRX
|
HYFIX
|
|
|
|
|
|
ASSET-BACKED SECURITIES—11.8%
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Air Canada Pass-Through Trust
|
|
|
|
Series 2017-1AA Cl. PTT
|
|
$
|
3,555
|
3.300%—07/15/20311
|
$3,644
|
|
|
Aircastle Ltd.
|
|
|
6,200
|
2.850%—01/26/20281
|
6,370
|
|
|
Alaska Airlines Pass-Through Trust
|
|
|
|
Series 2020-TR Cl. EETC
|
|
|
3,459
|
4.800%—02/15/20291
|
3,850
|
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 15-2 Cl. AA
|
|
|
1,594
|
3.600%—03/22/2029
|
1,662
|
|
|
AMMC CLO 20 Ltd.2
|
|
|
|
Series 17-20A Cl. AR
|
|
|
4,400
|
0.996% (3 Month USD Libor + 0.870)
04/17/20291,3
|
4,400x
|
|
|
AMMC CLO XII Ltd.2
|
|
|
|
Series 2013-12A Cl. AR2
|
|
|
4,200
|
1.095% (3 Month USD Libor + 0.950)
11/10/20301,3
|
4,196
|
|
|
Anchorage Capital CLO 11 Ltd.2
|
|
|
4,000
|
1.278% (3 Month USD Libor + 1.140)
07/22/20321,3
|
4,000
|
|
|
Anchorage Capital CLO Ltd.2
|
|
|
|
Series 2020-16A Cl. A
|
|
|
4,100
|
1.534% (3 Month USD Libor + 1.400)
10/20/20311,3
|
4,108
|
|
|
Apidos CLO XXVI2
|
|
|
4,000
|
1.046% (3 Month USD Libor + 0.900)
07/18/20291,3
|
4,000
|
|
|
Ares LII CLO Ltd.2
|
|
|
4,000
|
1.051% (3 Month USD Libor + 1.050)
04/22/20311,3
|
4,000
|
|
|
Argent Securities Inc.
|
|
|
|
Series 2006-W4 Cl. A2C
|
|
|
5,940
|
0.409% (1 Month USD Libor + 0.160)
05/25/20363
|
2,175
|
|
|
Series 2004-W11 Cl. M3
|
|
|
939
|
1.214% (1 Month USD Libor + 0.750)
11/25/20343
|
945
|
|
|
|
3,120
|
|
|
Asset Backed Securities Corp. Home Equity
Loan Trust
|
|
|
|
Series 2003-HE4 Cl. M1
|
|
|
4,115
|
1.338% (1 Month USD Libor + 0.830)
08/15/20333
|
4,158
|
|
|
Birch Grove CLO Ltd.2
|
|
|
4,000
|
1.248% (3 Month USD Libor + 1.130)
06/15/20311,3
|
4,000
|
|
|
BlueMountain Fuji EUR CLO III DAC2
|
|
EUR
|
3,400
|
0.720% (3 Month EUR Libor + 0.720)
01/15/20311,3
|
4,035
|
|
|
Carlyle Global Market Strategies CLO Ltd.2
|
|
|
|
Series 2013-1A Cl. A1
|
|
$
|
4,300
|
1.061% (3 Month USD Libor + 0.950)
08/14/20301,3
|
4,300
|
|
|
Carlyle US CLO 2017-1 Ltd.2
|
|
|
4,000
|
1.134% (3 Month USD Libor + 1.000)
04/20/20311,3
|
3,996
|
|
|
Catamaran CLO Ltd.2
|
|
|
|
Series 2014-1A Cl. A1
|
|
|
4,974
|
1.482% (3 Month USD Libor + 1.100)
04/22/20301,3
|
4,978
|
ASSET-BACKED SECURITIES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Countrywide Asset-Backed Certificates
|
|
|
|
Series 2006-21 Cl. 2A3
|
|
$
|
213
|
0.239% (1 Month USD Libor + 0.150)
05/25/20373
|
$213
|
|
|
Series 2006-ABC1 Cl. A3
|
|
|
4,319
|
0.569% (1 Month USD Libor + 0.240)
05/25/20363
|
3,798
|
|
|
Series 2006-2 Cl. M1
|
|
|
901
|
0.689% (1 Month USD Libor + 0.400)
06/25/20363
|
895
|
|
|
|
4,906
|
|
|
Crestline Denali CLO XV Ltd.2
|
|
|
4,000
|
1.163% (3 Month USD Libor + 1.030)
04/20/20301,3
|
4,000
|
|
|
DAE Funding LLC
|
|
|
5,200
|
1.625%—02/15/20241
|
5,202
|
|
|
Dryden CLO DAC2
|
|
|
|
Series 2017-52A Cl. AR
|
|
EUR
|
3,000
|
0.860% (3 Month EUR Libor + 0.860)
05/15/20341,3
|
3,558
|
|
|
Dryden XXV Senior Loan Fund
|
|
|
|
Series 2012-25A Cl. ARR
|
|
$
|
3,938
|
1.026% (3 Month USD Libor + 0.900)
10/15/20271,3
|
3,939
|
|
|
Evergreen Credit Card Trust
|
|
|
|
Series 2019-2 Cl. A
|
|
|
6,000
|
1.900%—09/16/20241
|
6,116
|
|
|
Exantas Capital Corp.
|
|
|
|
Series 2020-RSO9 Cl. A
|
|
|
1,067
|
2.660% (Sofr 30 Day Moving Average + 2.615)
04/17/20371,3
|
1,070
|
|
|
First Franklin Mortgage Loan Trust
|
|
|
|
Series 2006-FF14 Cl. A6
|
|
|
8,000
|
0.399% (1 Month USD Libor + 0.310)
10/25/20363
|
6,935
|
|
|
GSAA Home Equity Trust
|
|
|
|
Series 2006-20 Cl. 1A2
|
|
|
3,637
|
0.449% (1 Month USD Libor + 0.180)
12/25/20463
|
1,486
|
|
|
Series 2007-9 Cl. A1A
|
|
|
579
|
6.000%—08/25/2047
|
569
|
|
|
|
2,055
|
|
|
GSAMP Trust
|
|
|
|
Series 2007-FM1 Cl. 2A2
|
|
|
100
|
0.159% (1 Month USD Libor + 0.070)
12/25/20363
|
62
|
|
|
HSI Asset Securitization Corp. Trust
|
|
|
|
Series 2006-HE2 Cl. 2A3
|
|
|
4,665
|
0.429% (1 Month USD Libor + 0.170)
12/25/20363
|
1,789
|
|
|
IXIS Real Estate Capital Trust
|
|
|
|
Series 2005-HE1 Cl. M4
|
|
|
1,368
|
1.139% (1 Month USD Libor + 1.050)
06/25/20353
|
1,371
|
|
|
JPMorgan Mortgage Acquisition Corp.
|
|
|
|
Series 2006-ACC1 Cl. M1
|
|
|
289
|
0.494% (1 Month USD Libor + 0.270)
05/25/20363
|
289
|
|
|
Series 2006-HE1 Cl. A4
|
|
|
1,043
|
0.669% (1 Month USD Libor + 0.290)
01/25/20363
|
1,045
|
|
|
Series 2007-HE1 Cl. AF3
|
|
|
772
|
4.214%—05/25/20354
|
637
|
|
|
|
1,971
|
ASSET-BACKED SECURITIES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
LoanCore Ltd.
|
|
|
|
Series 2018-CRE1 Cl. A
|
|
$
|
1,800
|
1.223% (1 Month USD Libor + 1.130)
05/15/20281,3
|
$1,800
|
|
|
MASTR Asset Backed Securities Trust
|
|
|
|
Series 2006-HE2 Cl. A4
|
|
|
4,693
|
0.569% (1 Month USD Libor + 0.240)
06/25/20363
|
2,648
|
|
|
MF1 Multi Family Housing Mortgage Trust
|
|
|
|
Series 2020-FL4 Cl. A
|
|
|
5,100
|
1.859% (Sofr 30 Day Moving Average + 1.815)
11/15/20351,3
|
5,166
|
|
|
Mid-State Capital Corp Trust
|
|
|
|
Series 2004-1 Cl. A
|
|
|
580
|
6.005%—08/15/2037
|
614
|
|
|
Morgan Stanley Capital Inc.
|
|
|
|
Series 2007-HE1 Cl. A2C
|
|
|
1,814
|
0.239% (1 Month USD Libor + 0.150)
11/25/20363
|
1,333
|
|
|
Series 2007-HE6 Cl. A3
|
|
|
3,810
|
0.269% (1 Month USD Libor + 0.180)
05/25/20373
|
3,497
|
|
|
|
4,830
|
|
|
Mountain View CLO Ltd.2
|
|
|
|
Series 2014-1A Cl. ARR
|
|
|
111
|
0.926% (3 Month USD Libor + 0.800)
10/15/20261,3
|
111
|
|
|
Nassau Ltd.
|
|
|
|
Series 2020-1A Cl. A1
|
|
|
3,000
|
2.284% (3 Month USD Libor + 2.150)
07/20/20291,3
|
3,008
|
|
|
Option One Mortgage Loan Trust
|
|
|
|
Series 2007-6 Cl. 2A4
|
|
|
3,777
|
0.339% (1 Month USD Libor + 0.250)
07/25/20373
|
3,088
|
|
|
Park Place Securities Inc.
|
|
|
|
Series 2005-WCW3 Cl. M1
|
|
|
2,251
|
0.809% (1 Month USD Libor + 0.480)
08/25/20353
|
2,263
|
|
|
People's Financial Realty Mortgage Securities
Trust
|
|
|
|
Series 2006-1 Cl. 1A2
|
|
|
4,514
|
0.219% (1 Month USD Libor + 0.130)
09/25/20363
|
1,344
|
|
|
RAMP Trust
|
|
|
|
Series 2004-RS8 Cl. MII1
|
|
|
129
|
0.989% (1 Month USD Libor + 0.600)
08/25/20343
|
129
|
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2020-2 Cl. A3
|
|
|
925
|
0.670%—04/15/2024
|
926
|
|
|
Saxon Asset Securities Trust
|
|
|
|
Series 2006-3 Cl. A3
|
|
|
3,327
|
0.259% (1 Month USD Libor + 0.170)
10/25/20463
|
3,276
|
|
|
Securitized Asset Backed Receivables LLC Trust
|
|
|
|
Series 2005-FR5 Cl. M1
|
|
|
5,945
|
0.749% (1 Month USD Libor + 0.440)
08/25/20353
|
4,881
|
|
|
Small Business Administration Participation
Certificates
|
|
|
|
Series 2003-20I Cl. 1
|
|
|
16
|
5.130%—09/01/2023
|
17
|
|
|
Series 2009-20A Cl. 1
|
|
|
1,013
|
5.720%—01/01/2029
|
1,133
|
ASSET-BACKED SECURITIES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Series 2008-20H Cl. 1
|
|
$
|
2,309
|
6.020%—08/01/2028
|
$2,561
|
|
|
|
3,711
|
|
|
Sound Point CLO XII Ltd.2
|
|
|
|
Series 2016-2A Cl. AR2
|
|
|
5,521
|
1.184% (3 Month USD Libor + 1.050)
10/20/20281,3
|
5,529
|
|
|
Specialty Underwriting & Residential Finance
Trust
|
|
|
|
Series 2006-BC4 Cl. A2B
|
|
|
2,575
|
0.312% (1 Month USD Libor + 0.110)
09/25/20373
|
1,295
|
|
|
Structured Asset Securities Co.
|
|
|
|
Series 2007-MN1A Cl. A1
|
|
|
18,441
|
0.319% (1 Month USD Libor + 0.230)
01/25/20371,3
|
13,464
|
|
|
TPG Real Estate Finance Trust
|
|
|
|
Series 2019-Fl3 Cl. A
|
|
|
5,000
|
1.310% (Sofr 30 Day Moving Average + 1.265)
10/15/20341,3
|
5,003
|
|
|
Tralee CLO V Ltd.2
|
|
|
|
Series 2018-5A Cl. A1
|
|
|
5,516
|
1.244% (3 Month USD Libor + 1.110)
10/20/20281,3
|
5,517
|
|
|
Venture XXVI CLO Ltd.2
|
|
|
|
Series 2017-26A Cl. AR
|
|
|
6,200
|
1.234% (3 Month USD Libor + 1.100)
01/20/20291,3
|
6,206
|
|
|
Voya CLO Ltd.2
|
|
|
|
Series 2016-4A Cl. ARR
|
|
|
3,846
|
1.034% (3 Month USD Libor + 0.900)
07/20/20291,3
|
3,845
|
TOTAL ASSET-BACKED SECURITIES
|
|||
(Cost $187,380)
|
190,445
|
||
|
|||
COLLATERALIZED MORTGAGE OBLIGATIONS—12.4%
|
|||
|
|
Adjustable Rate Mortgage Trust
|
|
|
|
Series 2006-3 Cl. 4A2
|
|
|
2,382
|
0.329% (1 Month USD Libor + 0.240)
08/25/20363
|
1,159
|
|
|
Alba plc
|
|
|
|
Series 2007-1 Cl. A3
|
|
GBP
|
2,137
|
0.252% (3 Month GBP Libor + 0.170)
03/17/20393
|
2,882
|
|
|
Arbor Multifamily Mortgage Trust
|
|
|
|
Series 2020-MF1 Cl. A5
|
|
$
|
2,900
|
2.756%—05/15/20531
|
3,122
|
|
|
Banc of America Alternative Loan Trust
|
|
|
|
Series 2006 -7 Cl. A3
|
|
|
7,573
|
5.913%—10/25/20363
|
3,386
|
|
|
Banc of America Funding Corp.
|
|
|
|
Series 2007-C Cl. 7A5
|
|
|
587
|
0.684% (1 Month USD Libor + 0.600)
05/20/20473
|
591
|
|
|
BCAP LLC Trust
|
|
|
|
Series 2007-AA2 Cl. 12A1
|
|
|
4,258
|
0.509% (1 Month USD Libor + 0.420)
05/25/20473
|
4,109
|
|
|
Series 2011-RR5 Cl. 12A1
|
|
|
297
|
4.834%—03/26/20371,4
|
300
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Series 2011-RR4 Cl. 8A1
|
|
$
|
1,384
|
5.250%—02/26/20361,3
|
$877
|
|
|
|
5,286
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust
|
|
|
|
Series 2000-2 Cl. A1
|
|
|
13
|
2.780%—11/25/20303
|
13
|
|
|
Series 2004-1 Cl. 12A5
|
|
|
200
|
2.782%—04/25/20343
|
201
|
|
|
Series 2004-10 Cl. 12A3
|
|
|
17
|
2.865%—01/25/20353
|
17
|
|
|
Series 2006-4 Cl. 1A1
|
|
|
149
|
3.050%—10/25/20363
|
146
|
|
|
|
377
|
|
|
Benchmark Mortgage Trust
|
|
|
|
Series 2019-B9 Cl. A5
|
|
|
5,200
|
4.016%—03/15/2052
|
6,035
|
|
|
Chase Mortgage Finance Corp Trust
|
|
|
|
Series 2006-A1 Cl. 4A1
|
|
|
1,004
|
2.990%—09/25/20363
|
915
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
Series 2015-GC33 Cl. A4
|
|
|
4,900
|
3.778%—09/10/2058
|
5,419
|
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
Series 2007-10 Cl.2A
|
|
|
2,831
|
3.158%—09/25/20373
|
2,763
|
|
|
COMM Mortgage Trust
|
|
|
|
Series 2016-787S Cl. A
|
|
|
5,400
|
3.545%—02/10/20361
|
5,895
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
Series 2006-6BC Cl. 1A2
|
|
|
2,228
|
0.489% (1 Month USD Libor + 0.400)
05/25/20363
|
1,810
|
|
|
Series 2005-84 Cl. 1A1
|
|
|
1,289
|
2.334%—02/25/20363
|
1,177
|
|
|
Series 2005-20CB Cl. 2A5
|
|
|
1,593
|
5.500%—07/25/2035
|
1,381
|
|
|
Series 2006-36T2 Cl. 1A4
|
|
|
1,054
|
5.750%—12/25/2036
|
681
|
|
|
Series 2006-1R Cl. 2A3
|
|
|
3,221
|
6.000%—08/25/2037
|
2,328
|
|
|
|
7,377
|
|
|
Countrywide Home Loan Mortgage Pass
Through Trust
|
|
|
|
Series 2007-HY5 Cl. 1A1
|
|
|
511
|
3.600%—09/25/20473
|
479
|
|
|
Credit Suisse First Boston Mortgage Securities
Corp.
|
|
|
|
Series 2006-C2 Cl. A3
|
|
|
253
|
6.000%—11/25/2035
|
210
|
|
|
DC Office Trust
|
|
|
|
Series 2019-MTC Cl. A
|
|
|
4,900
|
2.965%—09/15/20451
|
5,315
|
|
|
Deutsche Alt-A Securities Inc. Mortgage Loan
Trust
|
|
|
|
Series 2007-AR2 Cl. A1
|
|
|
3,515
|
0.239% (1 Month USD Libor + 0.150)
03/25/20373
|
3,528
|
|
|
DSLA Mortgage Loan Trust
|
|
|
|
Series 2006-AR1 Cl. 1A1A
|
|
|
1,231
|
1.027% (Fed 12 Month Treasury Average
Constant Maturity Treasury + 0.920)
3/19/20463
|
1,099
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Eurohome UK Mortgages plc
|
|
|
|
Series 2007-1 Cl. A
|
|
GBP
|
1,628
|
0.231% (3 Month GBP Libor + 0.150)
06/15/20443
|
$2,220
|
|
|
First Horizon Asset Securities Inc.
|
|
|
|
Series 2005-AR6 Cl. 4A1
|
|
$
|
418
|
2.685%—02/25/20363
|
393
|
|
|
First Nationwide Trust
|
|
|
|
Series 2001-3 Cl. 1A1
|
|
|
—
|
6.750%—08/21/2031
|
—
|
|
|
GSMPS Mortgage Loan Trust
|
|
|
|
Series 2006-RP2 Cl. 1AF1
|
|
|
3,928
|
0.489% (1 Month USD Libor + 0.400)
04/25/20361,3
|
3,386
|
|
|
GSR Mortgage Loan Trust
|
|
|
|
Series 2005-AR3 Cl. 3A1
|
|
|
273
|
2.771%—05/25/20353
|
230
|
|
|
Series 2005-AR7 Cl. 6A1
|
|
|
150
|
2.830%—11/25/20353
|
149
|
|
|
|
379
|
|
|
HarborView Mortgage Loan Trust
|
|
|
|
Series 2004-8 Cl. 2A3
|
|
|
437
|
0.909% (1 Month USD Libor + 0.820)
11/19/20343
|
392
|
|
|
Hawksmoor Mortgages
|
|
|
|
Series 2019-1A Cl. A
|
|
GBP
|
19,730
|
1.100% (3 Month Sonia + 1.050) 05/25/20531,3
|
27,567
|
|
|
HomeBanc Mortgage Trust
|
|
|
|
Series 2006-H2 Cl. A2
|
|
$
|
1,208
|
0.449% (1 Month USD Libor + 0.360)
12/25/20363
|
1,208
|
|
|
IndyMac ARM Trust
|
|
|
|
Series 2001-H2 Cl. A2
|
|
|
2
|
1.762%—01/25/20323
|
2
|
|
|
IndyMac IMSC Mortgage Loan Trust
|
|
|
|
Series 2007-F2 Cl. 2A1
|
|
|
2,901
|
6.500%—07/25/2037
|
1,501
|
|
|
IndyMac INDX Mortgage Loan Trust
|
|
|
|
Series 2007-AR13 Cl. 4A1
|
|
|
11,462
|
2.823%—07/25/20373
|
9,421
|
|
|
Series 2005-AR31 Cl. 1A1
|
|
|
811
|
3.048%—01/25/20363
|
804
|
|
|
|
10,225
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
Series 2006-A6 Cl. 1A4L
|
|
|
1,311
|
3.200%—10/25/20363
|
1,135
|
|
|
Series 2006-S1 Cl. 3A1
|
|
|
208
|
5.500%—04/25/2036
|
213
|
|
|
|
1,348
|
|
|
JPMDB Commercial Mortgage Securities Trust
|
|
|
|
Series 2016-C2 Cl. A4
|
|
|
4,225
|
3.144%—06/15/2049
|
4,549
|
|
|
Manhattan West
|
|
|
|
Series 2020-1MW Cl. A
|
|
|
4,900
|
2.130%—09/10/20391
|
5,085
|
|
|
Mansard Mortgages plc
|
|
|
|
Series 2007-2X Cl. A1
|
|
GBP
|
806
|
0.731% (3 Month GBP Libor + 0.650)
12/15/20493
|
1,116
|
|
|
Merrill Lynch Alternative Note Asset Trust
|
|
|
|
Series 2007-F1 Cl. 2A6
|
|
$
|
471
|
6.000%—03/25/2037
|
287
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
MetLife Securitization Trust
|
|
|
|
Series 2018-1A Cl. A
|
|
$
|
3,128
|
3.750%—03/25/20571,3
|
$3,269
|
|
|
Morgan Stanley Bank of America Merrill Lynch
Trust
|
|
|
|
Series 2015-C22 Cl. ASB
|
|
|
4,618
|
3.040%—04/15/2048
|
4,816
|
|
|
Onslow Bay Financial LLC
|
|
|
|
Series 2018-1 Cl. A2
|
|
|
3,796
|
0.739% (1 Month USD Libor + 0.700)
06/25/20571,3
|
3,804
|
|
|
Ready Capital Mortgage Financing LLC
|
|
|
|
Series 2020-FL4 Cl. A
|
|
|
5,800
|
2.239% (1 Month USD Libor + 2.150)
02/25/20351,3
|
5,821
|
|
|
Residential Accredit Loans Inc.
|
|
|
|
Series 2007-QS4 Cl. 3A9
|
|
|
2,458
|
6.000%—03/25/2037
|
2,388
|
|
|
Residential Asset Securitization Trust
|
|
|
|
Series 2007-A8 Cl. 2A1
|
|
|
17,814
|
6.250%—08/25/2037
|
7,101
|
|
|
Residential Funding Mortgage Securities I
|
|
|
|
Series 2007-SA1 Cl. 2A2
|
|
|
178
|
3.868%—02/25/20373
|
144
|
|
|
Series 2006-SA1 Cl. 2A1
|
|
|
162
|
4.756%—02/25/20363
|
145
|
|
|
|
289
|
|
|
Ripon Mortgages plc
|
|
|
|
Series 1A Cl. A1
|
|
GBP
|
5,673
|
0.881% (3 Month GBP Libor + 0.800)
08/20/20561,3
|
7,899
|
|
|
RMAC Securities plc
|
|
|
|
Series 2006-NS4X Cl. A3A
|
|
|
1,421
|
0.254% (3 Month GBP Libor + 0.170)
06/12/20443
|
1,919
|
|
|
Structured Adjustable Rate Mortgage Loan
Trust
|
|
|
|
Series 2007-1 Cl. 1A1
|
|
$
|
1,151
|
0.389% (1 Month USD Libor + 0.300)
02/25/20373
|
1,163
|
|
|
Series 2005-21A Cl. 3A1
|
|
|
290
|
2.817%—04/25/20353
|
296
|
|
|
|
1,459
|
|
|
Structured Asset Mortgage Investments Inc.
|
|
|
|
Series 2005-AR5 Cl. A2
|
|
|
246
|
0.589% (1 Month USD Libor + 0.500)
07/19/20353
|
239
|
|
|
Suntrust Adjustable Rate Mortgage Loan Trust
|
|
|
|
Series 2007-S1 Cl. 1A
|
|
|
309
|
2.446%—01/25/20373
|
271
|
|
|
Towd Point Mortgage Funding plc
|
|
|
|
Series 2020-14X Cl. A
|
|
GBP
|
5,114
|
0.950% (3 Month Sonia + 0.900) 05/20/20453
|
7,134
|
|
|
Series 2019-A13A Cl. A1
|
|
|
14,401
|
0.951% (3 Month Sonia + 0.900) 07/20/20451,3
|
20,090
|
|
|
Series 2019-GR4A Cl. A1
|
|
|
4,530
|
1.097% (3 Month GBP Libor + 1.025)
10/20/20511,3
|
6,333
|
|
|
|
33,557
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Washington Mutual Mortgage Pass Through
Certificates Trust
|
|
|
|
Series 2005-AR6 Cl. 2A1A
|
|
$
|
233
|
0.549% (1 Month USD Libor + 0.460)
04/25/20453
|
$230
|
|
|
Series 2005-AR13 Cl. A1A1
|
|
|
112
|
0.669% (1 Month USD Libor + 0.580)
10/25/20453
|
112
|
|
|
Series 2006-AR11 Cl. 3A1A
|
|
|
1,282
|
1.027% (Fed 12 Month Treasury Average
Constant Maturity Treasury + 0.920)
09/25/20463
|
1,265
|
|
|
Series 2006-AR8 Cl. 1A4
|
|
|
1,894
|
2.955%—08/25/20463
|
1,886
|
|
|
|
3,493
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
Series 2018-C48 Cl. D
|
|
|
7,117
|
4.302%—01/15/2052
|
8,379
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||
(Cost $190,741)
|
200,200
|
||
|
|||
CORPORATE BONDS & NOTES—36.0%
|
|||
AEROSPACE & DEFENSE—0.4%
|
|||
|
|
Boeing Co.
|
|
|
6,100
|
1.950%—02/01/2024
|
6,259
|
AIRLINES—0.3%
|
|||
|
|
Jetblue Airways Corp.
|
|
|
4,353
|
4.000%—05/15/2034
|
4,836
|
AUTOMOBILES—2.6%
|
|||
|
|
Ford Motor Credit Co. LLC
|
|
|
4,000
|
3.375%—11/13/2025
|
4,181
|
|
2,900
|
4.375%—08/06/2023
|
3,046
|
|
|
|
7,227
|
|
|
Ford Motor Credit Co. LLC MTN5
|
|
EUR
|
5,700
|
1.744%—07/19/2024
|
6,933
|
|
|
Hyundai Capital America MTN5
|
|
$
|
5,200
|
0.800%—01/08/20241
|
5,182
|
|
|
Nissan Motor Acceptance Corp.
|
|
|
1,900
|
3.875%—09/21/20231
|
2,014
|
|
|
Nissan Motor Co. Ltd.
|
|
|
2,700
|
3.522%—09/17/20251
|
2,898
|
|
3,900
|
4.810%—09/17/20301
|
4,458
|
|
|
|
7,356
|
|
|
Volkswagen Group of America Finance LLC
|
|
|
4,700
|
3.350%—05/13/20251
|
5,092
|
|
4,800
|
4.750%—11/13/20281
|
5,745
|
|
|
|
10,837
|
|
|
Volkswagen International Finance NV
|
|
EUR
|
1,800
|
1.003% (3 Month EUR Libor + 1.550)
11/16/20243
|
2,218
|
|
|
|
41,767
|
BANKS—7.1%
|
|||
|
|
Banco Bilbao Vizcaya Argentaria SA
|
|
$
|
1,600
|
0.875%—09/18/2023
|
1,609
|
|
1,500
|
1.125%—09/18/2025
|
1,498
|
|
|
|
3,107
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
BANKS—Continued
|
|||
|
|
Banco Espirito Santo SA MTN5
|
|
EUR
|
3,500
|
0.000%—01/15/2049*
|
$664
|
|
|
Banco Santander SA
|
|
|
700
|
6.750%—12/31/20996,7
|
864
|
|
|
Bank of America Corp. MTN5
|
|
$
|
4,800
|
0.981%—09/25/20257
|
4,811
|
|
|
Banque Federative du Credit Mutuel SA
|
|
|
6,300
|
3.750%—07/20/20231
|
6,705
|
|
|
Barclays plc
|
|
|
4,200
|
3.684%—01/10/2023
|
4,260
|
|
3,700
|
4.610%—02/15/20237
|
3,782
|
|
4,400
|
7.875%—12/29/20496,7
|
4,569
|
|
|
|
12,611
|
|
|
Barclays plc MTN5
|
|
GBP
|
4,000
|
3.250%—02/12/2027
|
6,067
|
|
|
BBVA USA
|
|
$
|
2,900
|
2.500%—08/27/2024
|
3,068
|
|
|
Citigroup Inc.
|
|
|
4,700
|
2.572%—06/03/20317
|
4,872
|
|
|
Deutsche Bank AG/New York
|
|
|
5,500
|
3.300%—11/16/2022
|
5,689
|
|
4,500
|
3.961%—11/26/20257
|
4,891
|
|
|
|
10,580
|
|
|
Deutsche Bank AG/New York MTN5
|
|
EUR
|
3,200
|
1.750%—01/17/2028
|
4,069
|
|
|
Intesa Sanpaolo SpA
|
|
$
|
2,800
|
4.000%—09/23/20291
|
3,114
|
|
|
Lloyds Banking Group plc
|
|
|
6,000
|
2.858%—03/17/20237
|
6,093
|
|
|
Lloyds Banking Group plc MTN5
|
|
EUR
|
1,500
|
1.741%—04/01/20267
|
2,012
|
|
|
Mitsubishi UFJ Financial Group Inc.
|
|
$
|
5,800
|
1.412%—07/17/2025
|
5,894
|
|
|
Mizuho Financial Group Inc.
|
|
|
5,100
|
0.849%—09/08/20247
|
5,132
|
|
4,900
|
2.555%—09/13/20257
|
5,151
|
|
|
|
10,283
|
|
|
NatWest Group PLC
|
|
|
700
|
1.626% (3 Month USD Libor + 1.470)
05/15/20233
|
707
|
|
200
|
4.519%—06/25/20247
|
214
|
|
200
|
4.892%—05/18/20297
|
236
|
|
4,300
|
8.625%—12/29/20496,7
|
4,314
|
|
|
|
5,471
|
|
|
NatWest Group PLC MTN5
|
|
EUR
|
600
|
1.009%—03/04/20257
|
750
|
|
|
Nordea Bank Abp
|
|
$
|
2,500
|
3.750%—08/30/20231
|
2,669
|
|
|
Societe Generale SA MTN5
|
|
|
4,100
|
4.250%—09/14/20231
|
4,402
|
|
|
Sumitomo Mitsui Financial Group Inc.
|
|
|
5,000
|
1.474%—07/08/2025
|
5,084
|
|
|
UniCredit SpA MTN5
|
|
|
5,600
|
7.830%—12/04/20231
|
6,471
|
|
|
Wells Fargo & Co. MTN5
|
|
EUR
|
3,300
|
1.741%—05/04/20307
|
4,283
|
|
|
|
113,944
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
BEVERAGES—0.9%
|
|||
|
|
Anheuser-Busch InBev Worldwide Inc.
|
|
$
|
5,100
|
4.500%—06/01/2050
|
$6,350
|
|
|
Bacardi Ltd.
|
|
|
4,700
|
4.450%—05/15/20251
|
5,244
|
|
|
Constellation Brands Inc.
|
|
|
2,600
|
3.700%—12/06/2026
|
2,902
|
|
|
|
14,496
|
BUILDING PRODUCTS—0.8%
|
|||
|
|
CRH America Finance Inc.
|
|
|
3,200
|
3.950%—04/04/20281
|
3,661
|
|
3,200
|
4.500%—04/04/20481
|
4,016
|
|
|
|
7,677
|
|
|
Fortune Brands Home & Security Inc.
|
|
|
4,700
|
3.250%—09/15/2029
|
5,137
|
|
|
Owens Corning
|
|
|
300
|
4.200%—12/01/2024
|
330
|
|
|
|
13,144
|
CAPITAL MARKETS—2.0%
|
|||
|
|
BGC Partners Inc.
|
|
|
6,300
|
5.375%—07/24/2023
|
6,810
|
|
|
Block Financial LLC Co.
|
|
|
3,600
|
3.875%—08/15/2030
|
3,960
|
|
|
Credit Agricole SA MTN5
|
|
|
4,900
|
3.750%—04/24/20231
|
5,176
|
|
|
Credit Suisse Group AG
|
|
|
5,100
|
2.997%—12/14/20231,7
|
5,264
|
|
4,900
|
3.750%—03/26/2025
|
5,335
|
|
3,400
|
7.500%—12/31/20993,6
|
3,689
|
|
|
|
14,288
|
|
|
UBS Group AG
|
|
|
2,200
|
2.859%—08/15/20231,3
|
2,254
|
|
|
|
32,488
|
CHEMICALS—0.2%
|
|||
|
|
International Flavors & Fragrances Inc.
|
|
|
3,700
|
3.200%—05/01/2023
|
3,852
|
COMMERCIAL SERVICES & SUPPLIES—0.2%
|
|||
|
|
Sitka Holdings LLC
|
|
|
4,000
|
4.642%—07/06/20261,3
|
4,025
|
CONSUMER FINANCE—0.5%
|
|||
|
|
Daimler Finance North America LLC
|
|
|
5,300
|
3.700%—05/04/20231
|
5,595
|
|
|
Springleaf Finance Corp.
|
|
|
2,800
|
6.875%—03/15/2025
|
3,183
|
|
|
|
8,778
|
DIVERSIFIED CONSUMER SERVICES—0.1%
|
|||
|
|
Mitsubishi UFJ Lease & Finance Co. Ltd. MTN5
|
|
|
1,500
|
2.250%—09/07/2021
|
1,503
|
DIVERSIFIED FINANCIAL SERVICES—1.5%
|
|||
|
|
Cantor Fitzgerald LP
|
|
|
5,400
|
6.500%—06/17/20221
|
5,672
|
|
|
Imperial Brands Finance plc
|
|
|
2,100
|
3.500%—02/11/20231
|
2,171
|
|
5,600
|
3.875%—07/26/20291
|
6,150
|
|
|
|
8,321
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
DIVERSIFIED FINANCIAL SERVICES—Continued
|
|||
|
|
Intercontinental Exchange
|
|
$
|
3,600
|
1.850%—09/15/2032
|
$3,498
|
|
|
Rio Oil Finance Trust
|
|
|
1,026
|
9.250%—07/06/20241
|
1,142
|
|
4,812
|
9.750%—01/06/20271
|
5,707
|
|
|
|
6,849
|
|
|
|
24,340
|
DIVERSIFIED TELECOMMUNICATION SERVICES—0.9%
|
|||
|
|
Altice France SA
|
|
|
440
|
7.375%—05/01/20261
|
458
|
|
|
AT&T Inc.
|
|
|
4,900
|
1.650%—02/01/2028
|
4,909
|
|
|
British Telecommunications plc
|
|
|
1,300
|
4.500%—12/04/2023
|
1,413
|
|
|
Verizon Communications Inc.
|
|
|
6,695
|
3.376%—02/15/2025
|
7,288
|
|
|
|
14,068
|
ELECTRIC UTILITIES—2.2%
|
|||
|
|
Exelon Corp.
|
|
|
3,100
|
4.050%—04/15/2030
|
3,586
|
|
|
FirstEnergy Corp.
|
|
|
1,100
|
3.350%—07/15/2022
|
1,114
|
|
|
Greenko Solar Mauritius Ltd.
|
|
|
4,900
|
5.550%—01/29/20251
|
4,981
|
|
|
Jersey Central Power & Light Co.
|
|
|
900
|
4.300%—01/15/20261
|
1,007
|
|
1,600
|
4.700%—04/01/20241
|
1,745
|
|
|
|
2,752
|
|
|
Nextera Energy Capital Holdings Inc.
|
|
|
6,000
|
2.250%—06/01/2030
|
6,172
|
|
|
Pacific Gas & Electric Co.
|
|
|
5,100
|
1.531% (3 Month USD Libor + 1.375)
11/15/20213
|
5,106
|
|
2,900
|
3.150%—01/01/2026
|
2,977
|
|
300
|
3.300%—12/01/2027
|
307
|
|
1,700
|
3.400%—08/15/2024
|
1,776
|
|
2,000
|
3.450%—07/01/2025
|
2,088
|
|
1,800
|
3.500%—06/15/2025
|
1,888
|
|
1,500
|
4.250%—08/01/2023
|
1,584
|
|
600
|
4.550%—07/01/2030
|
641
|
|
|
|
16,367
|
|
|
|
34,972
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS—0.1%
|
|||
|
|
Arrow Electronics Inc.
|
|
|
2,100
|
3.500%—04/01/2022
|
2,132
|
ENTERTAINMENT—0.3%
|
|||
|
|
Walt Disney Co.
|
|
|
3,900
|
2.650%—01/13/2031
|
4,160
|
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)—4.0%
|
|||
|
|
Agree LP Co.
|
|
|
1,400
|
2.900%—10/01/2030
|
1,493
|
|
|
Alexandria Real Estate Equities Inc.
|
|
|
2,100
|
2.750%—12/15/2029
|
2,233
|
|
|
American Tower Corp.
|
|
|
5,000
|
2.750%—01/15/2027
|
5,330
|
|
|
Boston Properties LP
|
|
|
4,905
|
2.750%—10/01/2026
|
5,269
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)—Continued
|
|||
|
|
Brandywine Operating Partnership LP
|
|
$
|
5,000
|
4.100%—10/01/2024
|
$5,418
|
|
|
Crown Castle International Corp.
|
|
|
4,000
|
3.700%—06/15/2026
|
4,441
|
|
|
Digital Realty Trust LP
|
|
|
5,500
|
4.450%—07/15/2028
|
6,467
|
|
|
EPR Properties
|
|
|
1,900
|
4.500%—06/01/2027
|
2,025
|
|
600
|
4.950%—04/15/2028
|
649
|
|
|
|
2,674
|
|
|
Equinix Inc.
|
|
|
5,000
|
1.000%—09/15/2025
|
5,001
|
|
|
GLP Capital LP / GLP Financing II Inc.
|
|
|
4,500
|
4.000%—01/15/2030
|
4,914
|
|
|
Highwoods Realty LP
|
|
|
2,500
|
2.600%—02/01/2031
|
2,588
|
|
|
OMEGA Healthcare Investors Inc.
|
|
|
309
|
4.375%—08/01/2023
|
329
|
|
|
Physicians Realty LP
|
|
|
1,400
|
3.950%—01/15/2028
|
1,558
|
|
|
Scentre Group Trust
|
|
|
5,700
|
4.375%—05/28/20301
|
6,729
|
|
|
Service Properties Trust
|
|
|
4,800
|
4.350%—10/01/2024
|
4,840
|
|
|
Spirit Realty LP
|
|
|
4,700
|
3.400%—01/15/2030
|
5,091
|
|
|
|
64,375
|
FOOD & STAPLES RETAILING—0.3%
|
|||
|
|
7-Eleven Inc.
|
|
|
5,200
|
1.800%—02/10/20311
|
5,080
|
|
|
CVS Pass-Through Trust
|
|
|
455
|
6.943%—01/10/2030
|
556
|
|
|
|
5,636
|
HEALTH CARE EQUIPMENT & SUPPLIES—0.4%
|
|||
|
|
Boston Scientific Corp.
|
|
|
5,700
|
2.650%—06/01/2030
|
6,004
|
HEALTH CARE PROVIDERS & SERVICES—0.6%
|
|||
|
|
CVS Health Corp.
|
|
|
3,900
|
4.125%—04/01/2040
|
4,627
|
|
|
HCA Inc.
|
|
|
4,000
|
5.375%—09/01/2026
|
4,655
|
|
100
|
5.875%—02/01/2029
|
123
|
|
|
|
4,778
|
|
|
|
9,405
|
HOTELS, RESTAURANTS & LEISURE—0.9%
|
|||
|
|
Expedia Group Inc.
|
|
|
3,450
|
6.250%—05/01/20251
|
4,027
|
|
|
Marriott International Inc.
|
|
|
5,000
|
3.500%—10/15/2032
|
5,404
|
|
|
Wynn Las Vegas LLC / Wynn Las Vegas Capital
Corp.
|
|
|
5,200
|
4.250%—05/30/20231
|
5,336
|
|
|
|
14,767
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS—0.5%
|
|||
|
|
ENEL Finance International NV
|
|
$
|
4,100
|
1.875%—07/12/20281
|
$4,152
|
|
4,100
|
2.250%—07/12/20311
|
4,166
|
|
|
|
8,318
|
INDUSTRIAL CONGLOMERATES—0.2%
|
|||
|
|
Textron Inc.
|
|
|
3,800
|
2.450%—03/15/2031
|
3,895
|
INSURANCE—1.1%
|
|||
|
|
AIA Group Ltd.
|
|
|
5,900
|
0.655% (3 Month USD Libor + 0.520)
09/20/20211,3
|
5,901
|
|
2,700
|
3.375%—04/07/20301
|
3,010
|
|
|
|
8,911
|
|
|
Allstate Corp.
|
|
|
4,300
|
1.450%—12/15/2030
|
4,190
|
|
|
American International Group
|
|
|
3,800
|
2.500%—06/30/2025
|
4,014
|
|
|
|
17,115
|
IT SERVICES—0.6%
|
|||
|
|
Amdocs Ltd.
|
|
|
3,600
|
2.538%—06/15/2030
|
3,666
|
|
|
Paypal Holdings Inc.
|
|
|
5,000
|
2.850%—10/01/2029
|
5,449
|
|
|
|
9,115
|
MACHINERY—0.0%
|
|||
|
|
CNH Industrial Capital LLC
|
|
|
500
|
3.875%—10/15/2021
|
503
|
MEDIA—0.3%
|
|||
|
|
Charter Communications Operating LLC
|
|
|
4,800
|
4.464%—07/23/2022
|
4,955
|
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs)—0.1%
|
|||
|
|
ERP Operating LP
|
|
|
2,100
|
3.375%—06/01/2025
|
2,286
|
OIL, GAS & CONSUMABLE FUELS—1.4%
|
|||
|
|
EQM Midstream Partners LP
|
|
|
522
|
4.750%—07/15/2023
|
545
|
|
|
Equinor ASA
|
|
|
200
|
3.125%—04/06/2030
|
222
|
|
|
MPLX LP
|
|
|
3,300
|
4.900%—04/15/2058
|
4,042
|
|
|
Odebrecht Drilling Norbe VIII/IX Ltd.
|
|
|
74
|
6.350%—12/01/2021
|
74
|
|
3,593
|
7.350%—12/01/2026
|
1,940
|
|
9
|
7.350%—12/01/20261
|
5
|
|
|
|
2,019
|
|
|
Odebrecht Offshore Drilling Finance Ltd.
|
|
|
346
|
6.720%—12/01/2022
|
344
|
|
3,779
|
7.720%—12/01/2026
|
938
|
|
|
|
1,282
|
|
|
Odebrecht Oil & Gas Finance Ltd.
|
|
|
2,183
|
0.000%—09/12/20991,6,8
|
38
|
|
|
Rio Oil Finance Trust
|
|
|
1,562
|
9.250%—07/06/2024
|
1,740
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
OIL, GAS & CONSUMABLE FUELS—Continued
|
|||
|
|
Sabine Pass Liquefaction LLC
|
|
$
|
900
|
4.200%—03/15/2028
|
$1,022
|
|
5,100
|
4.500%—05/15/2030
|
5,972
|
|
|
|
6,994
|
|
|
Shell International Finance BV
|
|
|
5,200
|
2.750%—04/06/2030
|
5,623
|
|
|
|
22,505
|
PHARMACEUTICALS—1.7%
|
|||
|
|
Abbvie Inc.
|
|
|
4,900
|
2.600%—11/21/2024
|
5,188
|
|
1,000
|
3.200%—11/06/2022
|
1,031
|
|
|
|
6,219
|
|
|
Bayer US Finance II LLC
|
|
|
6,300
|
3.875%—12/15/20231
|
6,743
|
|
2,800
|
4.250%—12/15/20251
|
3,131
|
|
|
|
9,874
|
|
|
Mylan NV
|
|
EUR
|
5,100
|
2.250%—11/22/2024
|
6,488
|
|
|
Takeda Pharmaceutical Co. Ltd.
|
|
$
|
1,500
|
2.050%—03/31/2030
|
1,512
|
|
|
Teva Pharmaceutical Finance Netherlands III
BV
|
|
|
3,000
|
6.750%—03/01/20289
|
3,326
|
|
|
|
27,419
|
REAL ESTATE MANAGEMENT & DEVELOPMENT—0.3%
|
|||
|
|
Tesco Property Finance 5 plc
|
|
GBP
|
2,246
|
5.661%—10/13/2041
|
4,263
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—1.1%
|
|||
|
|
Broadcom Corp. / Broadcom Cayman Finance
Ltd.
|
|
$
|
1,797
|
3.875%—01/15/2027
|
1,994
|
|
|
Broadcom Inc.
|
|
|
800
|
3.419%—04/15/20331
|
854
|
|
5,107
|
3.459%—09/15/2026
|
5,581
|
|
4,003
|
3.469%—04/15/20341
|
4,267
|
|
|
|
10,702
|
|
|
NXP BV / NXP Funding LLC / NXP USA Inc.
|
|
|
4,600
|
3.875%—06/18/20261
|
5,150
|
|
|
|
17,846
|
SOFTWARE—0.5%
|
|||
|
|
Oracle Corp.
|
|
|
400
|
2.950%—04/01/2030
|
428
|
|
3,500
|
3.600%—04/01/2040
|
3,754
|
|
|
|
4,182
|
|
|
VMware Inc.
|
|
|
3,600
|
4.650%—05/15/2027
|
4,184
|
|
|
|
8,366
|
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—0.7%
|
|||
|
|
Dell International LLC / EMC Corp.
|
|
|
4,000
|
5.450%—06/15/2023
|
4,325
|
|
800
|
5.850%—07/15/2025
|
942
|
|
3,300
|
6.020%—06/15/2026
|
3,975
|
|
|
|
9,242
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—Continued
|
|||
|
|
NetApp Inc.
|
|
$
|
1,500
|
1.875%—06/22/2025
|
$1,550
|
|
|
|
10,792
|
TRADING COMPANIES & DISTRIBUTORS—0.4%
|
|||
|
|
AerCap Ireland Capital DAC / AerCap Global
Aviation Trust
|
|
|
403
|
3.500%—05/26/2022
|
412
|
|
|
Aviation Capital Group LLC
|
|
|
5,300
|
4.125%—08/01/20251
|
5,771
|
|
|
|
6,183
|
TRANSPORTATION INFRASTRUCTURE—0.1%
|
|||
|
|
Central Nippon Expressway Co. Ltd.
|
|
|
1,150
|
2.849%—03/03/2022
|
1,167
|
WATER UTILITIES—0.3%
|
|||
|
|
Essential Utilities Inc.
|
|
|
4,100
|
2.400%—05/01/2031
|
4,237
|
WIRELESS TELECOMMUNICATION SERVICES—0.4%
|
|||
|
|
Sprint Communications Inc.
|
|
|
800
|
6.000%—11/15/2022
|
849
|
|
|
Sprint Corp.
|
|
|
1,390
|
7.250%—09/15/2021
|
1,401
|
|
|
T-Mobile USA Inc.
|
|
|
3,500
|
2.050%—02/15/2028
|
3,585
|
|
|
|
5,835
|
TOTAL CORPORATE BONDS & NOTES
|
|||
(Cost $550,850)
|
579,751
|
||
|
|||
FOREIGN GOVERNMENT OBLIGATIONS—6.9%
|
|||
|
|
Abu Dhabi Government International Bond5
|
|
|
3,600
|
3.125%—04/16/20301
|
3,947
|
|
|
Bank of Israel Bill - Makam
|
|
ILS
|
26,500
|
0.000%—04/06/20228
|
8,200
|
|
|
Brazil Letras Do Tesouro Nacional
|
|
BRL
|
212,400
|
0.000%—10/01/20218
|
40,419
|
|
|
Israel Government International Bond
|
|
$
|
4,800
|
2.750%—07/03/2030
|
5,179
|
|
4,600
|
3.875%—07/03/2050
|
5,456
|
|
|
|
10,635
|
|
|
Japan International Cooperation Agency
|
|
|
6,900
|
2.750%—04/27/2027
|
7,559
|
|
|
Peruvian Government International Bond
|
|
|
5,600
|
2.783%—01/23/2031
|
5,634
|
PEN
|
8,600
|
5.940%—02/12/2029
|
2,206
|
|
15,000
|
6.350%—08/12/2028
|
3,971
|
|
5,600
|
8.200%—08/12/2026
|
1,647
|
|
|
|
13,458
|
|
|
Province of Ontario Canada
|
|
CAD
|
5,600
|
3.150%—06/02/2022
|
4,596
|
|
|
Province of Quebec Canada
|
|
|
3,800
|
3.500%—12/01/2022
|
3,174
|
|
13,900
|
4.250%—12/01/2021
|
11,288
|
|
|
|
14,462
|
FOREIGN GOVERNMENT OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Provincia de Buenos Aires
|
|
ARS
|
310
|
37.875% (Argentina Deposit Rates Badlar
Private Banks ARS 30 to 35 Days + 3.750)
04/12/20251,3
|
$3
|
|
|
Qatar Government International Bond
|
|
$
|
5,500
|
3.375%—03/14/2024
|
5,902
|
|
2,000
|
4.500%—01/20/2022
|
2,038
|
|
|
|
7,940
|
|
|
Republic of Argentina Bills
|
|
ARS
|
5,765
|
0.000%—09/13/20218,10
|
60
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
|
|||
(Cost $113,642)
|
111,279
|
||
|
|||
MORTGAGE PASS-THROUGH—21.8%
|
|||
|
|
Federal Home Loan Mortgage Corp.
|
|
$
|
1
|
2.383% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 2.248)
06/01/20243
|
1
|
|
16
|
2.505% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 2.250)
08/01/20353
|
16
|
|
5,900
|
2.700%—08/01/2023
|
5,953
|
|
463
|
3.500%—01/01/2026-02/01/2035
|
496
|
|
1,392
|
4.000%—03/01/2025-04/01/2048
|
1,491
|
|
183
|
4.500%—12/01/2040-09/01/2041
|
203
|
|
579
|
5.500%—02/01/2038-07/01/2038
|
676
|
|
2,130
|
6.000%—01/01/2029-05/01/2040
|
2,524
|
|
|
|
11,360
|
|
|
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass Through Certificates
|
|
|
17,314
|
1.208%—08/25/20223
|
182
|
|
|
Federal Home Loan Mortgage Corp. REMIC11
|
|
|
4,256
|
0.442% (1 Month USD Libor + 0.350)
08/15/2040-10/15/20403
|
4,274
|
|
7
|
0.543% (1 Month USD Libor + 0.450)
11/15/20303
|
7
|
|
7
|
8.000%—08/15/2022
|
7
|
|
|
|
4,288
|
|
|
Federal Home Loan Mortgage Corp. Structured
Pass Through Certificates
|
|
|
|
Series T-63 Cl. 1A1
|
|
|
62
|
1.328% (Fed 12 Month Treasury Average
Constant Maturity Treasury + 1.200)
02/25/20453
|
62
|
|
|
Series E3 Cl. A
|
|
|
16
|
3.823%—08/15/20323
|
16
|
|
|
|
78
|
|
|
Federal National Mortgage Association
|
|
|
129
|
1.508% (Fed 12 Month Treasury Average
Constant Maturity Treasury + 1.400)
10/01/20403
|
131
|
|
282
|
1.943% (12 Month USD Libor + 1.693)
08/01/20353
|
285
|
|
20
|
1.945% (12 Month USD Libor + 1.695)
05/01/20353
|
21
|
|
355
|
2.090% (12 Month USD Libor + 1.715)
06/01/20353
|
377
|
|
5,095
|
2.310%—08/01/2022
|
5,153
|
|
13
|
3.000%—08/01/2021-11/01/2025
|
14
|
|
5,375
|
3.500%—10/01/2021-05/01/2035
|
5,743
|
|
5,313
|
4.000%—09/01/2023-02/01/2048
|
5,692
|
MORTGAGE PASS-THROUGH—Continued
|
|||
Principal
Amount
|
|
Value
|
|
$
|
4,119
|
4.500%—11/01/2022-10/01/2042
|
$4,433
|
|
1,428
|
5.000%—10/01/2031-06/01/2044
|
1,592
|
|
15,401
|
5.500%—01/01/2025-09/01/2041
|
17,842
|
|
5,031
|
6.000%—07/01/2023-06/01/2040
|
5,879
|
|
|
|
47,162
|
|
|
Federal National Mortgage Association
REMIC11
|
|
|
|
Series 2015-38 Cl. DF
|
|
|
2,623
|
0.402% (1 Month USD Libor + 0.310)
06/25/20553
|
2,633
|
|
|
Series 2006-5 Cl. 3A2
|
|
|
34
|
2.075%—05/25/20353
|
35
|
|
|
Series 2020-M1 Cl. A2
|
|
|
4,400
|
2.444%—10/25/2029
|
4,753
|
|
|
Series 2011-98 Cl. ZL
|
|
|
47,065
|
3.500%—10/25/2041
|
49,928
|
|
|
Series 2003-25 Cl. KP
|
|
|
304
|
5.000%—04/25/2033
|
343
|
|
|
Series 2003-W1 Cl. 1A1
|
|
|
123
|
5.226%—12/25/20423
|
135
|
|
|
|
57,827
|
|
|
Federal National Mortgage Association TBA12
|
|
|
153,800
|
2.000%—09/16/2036-10/14/2050
|
156,877
|
|
20,400
|
2.500%—09/14/2050
|
21,207
|
|
12,900
|
3.500%—09/12/20493
|
13,645
|
|
|
|
191,729
|
|
|
Government National Mortgage Association12
|
|
|
5,000
|
4.000%—09/21/2045
|
5,360
|
|
|
Government National Mortgage Association
|
|
|
1,009
|
3.000%—11/15/2049
|
1,056
|
|
2,083
|
5.000%—08/15/2033-06/15/2041
|
2,389
|
|
|
|
3,445
|
|
|
Government National Mortgage Association II
|
|
|
13
|
1.875% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 1.500)
05/20/20243
|
13
|
|
160
|
2.000% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 1.500)
01/20/2025-02/20/20323
|
166
|
|
55
|
2.125% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 1.500)
10/20/2025-11/20/20293
|
57
|
|
48
|
2.250% (U.S. Treasury Yield Curve Rate T Note
1 Year Constant Maturity Treasury + 1.500)
08/20/2022-07/20/20273
|
49
|
|
2,580
|
4.500%—02/20/2049
|
2,750
|
|
112
|
5.000%—01/20/2049
|
121
|
|
|
|
3,156
|
|
|
Government National Mortgage Association
TBA12
|
|
|
23,500
|
5.000%—9/19/2043
|
26,415
|
TOTAL MORTGAGE PASS-THROUGH
|
|||
(Cost $343,272)
|
351,002
|
||
|
|||
MUNICIPAL BONDS—0.6%
|
|||
|
|
Chicago Transit Authority
|
|
|
75
|
6.300%—12/01/2021
|
77
|
|
|
City of Chicago, IL
|
|
|
816
|
7.750%—01/01/2042
|
938
|
MUNICIPAL BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
New Jersey Transportation Trust Fund Authority
|
|
$
|
1,400
|
2.551%—06/15/2023
|
$1,446
|
|
|
New York State Urban Development Corp.
|
|
|
3,900
|
1.496%—03/15/2027
|
3,940
|
|
|
University of California
|
|
|
3,600
|
1.316%—05/15/2027
|
3,636
|
TOTAL MUNICIPAL BONDS
|
|||
(Cost $9,774)
|
10,037
|
||
|
|||
PREFERRED STOCKS—1.1%
|
|||
(Cost $17,744)
|
|
||
Shares
|
|
|
|
|
656,033
|
AT&T Mobility II LLC13
|
17,128x
|
|
|||
U.S. GOVERNMENT OBLIGATIONS—20.3%
|
|||
Principal
Amount
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
$
|
54,700
|
1.375%—11/15/2040-08/15/2050
|
48,629
|
|
2,500
|
1.625%—11/15/2050
|
2,338
|
|
10,600
|
1.875%—02/15/2041
|
10,722
|
|
32,500
|
2.500%—02/15/2045
|
36,372
|
|
7,300
|
2.875%—05/15/2043-08/15/2045
|
8,718
|
|
5,700
|
3.000%—02/15/2048
|
7,034
|
|
70,000
|
3.125%—08/15/2044
|
86,696
|
|
13,400
|
3.375%—05/15/2044
|
17,231
|
|
4,200
|
4.250%—05/15/2039
|
5,904
|
|
|
|
223,644
|
|
|
U.S. Treasury Notes
|
|
|
13,100
|
1.875%—07/31/20229
|
13,334
|
|
41,000
|
2.000%—08/31/2021
|
41,064
|
|
49,500
|
2.000%—10/31/2021-12/31/20219
|
49,870
|
|
|
|
104,268
|
TOTAL U.S. GOVERNMENT OBLIGATIONS
|
|||
(Cost $317,238)
|
327,912
|
||
|
|||
SHORT-TERM INVESTMENTS—2.2%
|
|||
(Cost $36,099)
|
|
||
U.S. TREASURY BILLS—2.2%
|
|||
|
|
U.S. Treasury Bills
|
|
$
|
17,800
|
0.030%—09/16/2021†,9
|
17,799
|
|
18,300
|
0.047%—09/07/2021†
|
18,299
|
|
|
|
36,098
|
TOTAL INVESTMENTS—113.1%
|
|||
(Cost $1,766,740)
|
1,823,852
|
||
CASH AND OTHER ASSETS, LESS LIABILITIES—(13.1)%
|
(211,566)
|
||
TOTAL NET ASSETS—100.0%
|
$1,612,286
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Current Notional
Value
(000s)
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
Euro-Bund Future (Short)
|
10
|
09/08/2021
|
EUR 1,766
|
$ (59)
|
Euro-Buxl Futures (Short)
|
36
|
09/08/2021
|
7,742
|
(656)
|
United Kingdom GILT Futures 90 day (Short)
|
20
|
09/28/2021
|
GBP 2,596
|
(72)
|
U.S. Treasury Bond Futures 30 year (Short)
|
106
|
09/21/2021
|
$ 17,460
|
(959)
|
U.S. Treasury Note Futures 5 year (Short)
|
436
|
09/30/2021
|
54,258
|
(321)
|
U.S. Treasury Note Futures 10 year (Long)
|
1,254
|
09/21/2021
|
168,604
|
2,835
|
Total Futures Contracts
|
$768
|
Description
|
Counterparty
|
Strike Price
|
Expiration
Date
|
Number of
Contracts/ Notional
|
Premiums
Paid
(000s)
|
Value
(000s)
|
Federal National Mortgage Association Future Option 30 year (Put)
|
JP Morgan Chase Bank NA
|
$ 103.23
|
08/05/2021
|
4,000,000
|
$23
|
$—
|
Description
|
Counterparty
|
Floating
Rate Index
|
Pay/Receive
Floating
Rate
|
Strike
Rate
|
Expiration
Date
|
Number of
Contracts/
Notional
|
Premiums
Paid
(000s)
|
Value
(000s)
|
Interest Rate Swap Option (Put)
|
Goldman Sachs Bank USA
|
Sonia Overnight Deposit Rates Swap
|
Receive
|
0.900%
|
03/15/2022
|
5,000,000
|
$528
|
$188
|
Total Purchased Options
|
|
|
|
|
|
|
$551
|
$188
|
Description
|
Counterparty
|
Strike
Price
|
Expiration
Date
|
Number of
Contracts/
Notional
|
Premiums
Received
(000s)
|
Value
(000s)
|
Federal National Mortgage Association Future Option 30 year (Call)
|
Goldman Sachs & Co. LLC
|
$ 101.02
|
09/07/2021
|
6,000,000
|
$26
|
$(61)
|
Federal National Mortgage Association Future Option 30 year (Call)
|
Goldman Sachs & Co. LLC
|
101.37
|
08/05/2021
|
5,000,000
|
17
|
(34)
|
Federal National Mortgage Association Future Option 30 year (Put)
|
Goldman Sachs & Co. LLC
|
99.02
|
09/07/2021
|
6,000,000
|
37
|
(3)
|
Federal National Mortgage Association Future Option 30 year (Call)
|
JP Morgan Chase Bank NA
|
103.73
|
10/07/2021
|
4,000,000
|
11
|
(19)
|
Federal National Mortgage Association Future Option 30 year (Put)
|
JP Morgan Chase Bank NA
|
102.23
|
08/05/2021
|
8,000,000
|
25
|
—
|
Federal National Mortgage Association Future Option 30 year (Put)
|
JP Morgan Chase Bank NA
|
102.23
|
08/12/2021
|
4,000,000
|
13
|
—
|
Total Written Options Not Settled Through Variation Margin
|
$129
|
$(117)
|
Description
|
Counterparty
|
Floating
Rate
Index
|
Pay/Receive
Floating Rate
|
Strike
Rate
|
Expiration
Date
|
Number of
Contracts/
Notional
|
Premiums
Received
(000s)
|
Value
(000s)
|
Interest Rate Swap Option (Put)
|
Goldman Sachs Bank USA
|
Sonia Overnight Deposit Rates Swap
|
Pay
|
0.800%
|
03/15/2022
|
13,500,000
|
$513
|
$(205)
|
Total Written Options
|
$642
|
$(322)
|
Counterparty
|
Amount to
be Delivered
(000s)
|
Amount to
be Received
(000s)
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
Citibank NA
|
$ 12,202
|
BRL 62,496
|
08/03/2021
|
$ (208)
|
Citibank NA
|
$ 11,973
|
BRL 62,496
|
09/02/2021
|
(27)
|
Goldman Sachs Bank USA
|
$ 12,369
|
BRL 62,496
|
08/03/2021
|
(374)
|
Citibank NA
|
BRL 62,496
|
$ 12,018
|
08/03/2021
|
23
|
Goldman Sachs Bank USA
|
BRL 62,496
|
$ 12,202
|
08/03/2021
|
208
|
JP Morgan Chase Bank NA
|
BRL 212,400
|
$ 37,551
|
10/04/2021
|
(2,875)
|
HSBC Bank USA
|
$ 1,178
|
GBP 857
|
08/17/2021
|
13
|
Counterparty
|
Amount to
be Delivered
(000s)
|
Amount to
be Received
(000s)
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
HSBC Bank USA
|
$ 2,154
|
GBP 1,529
|
08/17/2021
|
$(28)
|
BNP Paribas SA
|
GBP 1,309
|
$ 1,788
|
08/17/2021
|
(31)
|
HSBC Bank USA
|
GBP 66,725
|
$ 94,327
|
08/17/2021
|
1,575
|
BNP Paribas SA
|
CAD 24,483
|
$ 19,611
|
09/02/2021
|
(12)
|
Citibank NA
|
CAD 24,483
|
$ 19,907
|
08/03/2021
|
284
|
Citibank NA
|
$ 6,864
|
CLP 4,937,937
|
09/07/2021
|
(365)
|
JP Morgan Chase Bank NA
|
$ 7,239
|
EUR 5,918
|
08/17/2021
|
(216)
|
Goldman Sachs Bank USA
|
EUR 30,414
|
$ 36,913
|
08/17/2021
|
823
|
JP Morgan Chase Bank NA
|
EUR 6,413
|
$ 7,731
|
08/17/2021
|
121
|
BNP Paribas SA
|
$ 136
|
INR 10,030
|
09/15/2021
|
(2)
|
HSBC Bank USA
|
JPY 26,499
|
$ 1,441
|
08/17/2021
|
14
|
HSBC Bank USA
|
$ 7,138
|
MXN 150,107
|
09/03/2021
|
369
|
Citibank NA
|
ILS 13,500
|
$ 8,125
|
04/06/2022
|
(107)
|
Citibank NA
|
$ 1,068
|
PEN 4,220
|
08/04/2021
|
(29)
|
Citibank NA
|
$ 2,557
|
PEN 10,072
|
08/11/2021
|
(77)
|
Citibank NA
|
$ 1,765
|
PEN 6,963
|
08/18/2021
|
(51)
|
Citibank NA
|
$ 1,293
|
PEN 5,057
|
09/02/2021
|
(49)
|
BNP Paribas SA
|
PEN 4,220
|
$ 1,143
|
08/04/2021
|
104
|
Citibank NA
|
PEN 10,072
|
$ 2,545
|
08/11/2021
|
66
|
Citibank NA
|
PEN 6,963
|
$ 1,900
|
08/18/2021
|
186
|
Citibank NA
|
PEN 5,056
|
$ 1,337
|
09/02/2021
|
92
|
Citibank NA
|
PEN 1,810
|
$ 488
|
09/20/2021
|
42
|
Citibank NA
|
PEN 10,072
|
$ 2,556
|
09/21/2021
|
76
|
Citibank NA
|
PEN 4,467
|
$ 1,158
|
10/04/2021
|
58
|
Citibank NA
|
PEN 4,220
|
$ 1,067
|
10/12/2021
|
28
|
Citibank NA
|
PEN 6,963
|
$ 1,764
|
10/19/2021
|
49
|
Citibank NA
|
PEN 5,056
|
$ 1,293
|
10/27/2021
|
48
|
Goldman Sachs Bank USA
|
PEN 2,803
|
$ 748
|
11/12/2021
|
58
|
Total Forward Currency Contracts
|
$(214)
|
Counterparty
|
Floating Rate Index
|
Pay/
Receive
Floating
Rate
|
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Notional
Amount
(000s)
|
Value
(000s)
|
Upfront
Premiums
(Received)/
Paid
(000s)
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.850%
|
At maturity
|
01/03/2022
|
BRL 74,900
|
$198
|
$—
|
$198
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.859
|
At maturity
|
01/03/2022
|
51,000
|
132
|
—
|
132
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.860
|
At maturity
|
01/03/2022
|
59,300
|
156
|
(1)
|
157
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.870
|
At maturity
|
01/03/2022
|
16,900
|
44
|
—
|
44
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.871
|
At maturity
|
01/03/2022
|
27,000
|
70
|
—
|
70
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Receive
|
2.883
|
At maturity
|
01/03/2022
|
17,000
|
43
|
—
|
43
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Pay
|
3.345
|
At maturity
|
01/03/2022
|
7,800
|
(15)
|
—
|
(15)
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Pay
|
3.350
|
At maturity
|
01/03/2022
|
153,200
|
(287)
|
(6)
|
(281)
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Pay
|
3.360
|
At maturity
|
01/03/2022
|
945,100
|
(1,030)
|
276
|
(1,306)
|
CME Group
|
Brazil CETIP Interbank Deposit
|
Pay
|
3.700
|
At maturity
|
01/03/2022
|
124,000
|
(197)
|
(73)
|
(124)
|
LCH Group
|
Sonia Overnight Deposit Rates
Swap
|
Receive
|
0.750
|
Annual
|
09/15/2051
|
GBP 23,400
|
(1,213)
|
1,249
|
(2,462)
|
CME Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.300
|
Semi-annual
|
03/18/2026
|
JPY 980,000
|
(148)
|
(41)
|
(107)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.300
|
Semi-annual
|
09/20/2027
|
2,180,000
|
(413)
|
(114)
|
(299)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Pay
|
0.380
|
Semi-annual
|
06/18/2028
|
3,770,000
|
948
|
162
|
786
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.450
|
Semi-annual
|
03/20/2029
|
660,000
|
(218)
|
(48)
|
(170)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.750
|
Semi-annual
|
03/20/2038
|
104,000
|
(90)
|
5
|
(95)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.800
|
Semi-annual
|
10/22/2038
|
210,100
|
(198)
|
—
|
(198)
|
Counterparty
|
Floating Rate Index
|
Pay/
Receive
Floating
Rate
|
Fixed
Rate
|
Payment
Frequency
|
Expiration
Date
|
Notional
Amount
(000s)
|
Value
(000s)
|
Upfront
Premiums
(Received)/
Paid
(000s)
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.750%
|
Semi-annual
|
12/20/2038
|
JPY 27,800
|
$(24)
|
$1
|
$(25)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.538
|
Semi-annual
|
03/15/2051
|
542,480
|
(151)
|
(4)
|
(147)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.520
|
Semi-annual
|
03/16/2051
|
206,000
|
(48)
|
—
|
(48)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.350
|
Semi-annual
|
03/17/2051
|
184,000
|
40
|
101
|
(61)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.557
|
Semi-annual
|
03/17/2051
|
695,000
|
(229)
|
—
|
(229)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.570
|
Semi-annual
|
03/19/2051
|
176,000
|
(64)
|
—
|
(64)
|
LCH Group
|
British Bankers' Association
Libor JPY 6-Month
|
Receive
|
0.572
|
Semi-annual
|
04/07/2051
|
78,000
|
(28)
|
1
|
(29)
|
CME Group
|
British Bankers' Association
Libor USD 3-Month
|
Pay
|
2.800
|
Semi-annual
|
08/22/2023
|
$ 86,000
|
5,511
|
(1,932)
|
7,443
|
Centrally Cleared Interest Rate Swaps
|
$3,213
|
||||||||
Interest Rate Swaps
|
$3,213
|
Counterparty
|
Reference Entity
|
Buy/
Sella,b
|
Pay/Receive
Fixed Rate
|
Expiration
Date
|
Implied
Credit
Spreadc
|
Payment
Frequency
|
Notional
Amountd
(000s)
|
Valuee
(000s)
|
Upfront
Premiums
(Received)/Paid
(000s)
|
Unrealized
Appreciation/
(Depreciation)
(000s)
|
ICE Group
|
iTraxx Europe Crossover
Series 35 Version 1
0.001%
|
Sell
|
5.000%
|
06/20/2026
|
2.357%
|
Quarterly
|
EUR 20,400
|
$3,051
|
$2,874
|
$177
|
ICE Group
|
Rolls-Royce PLC
2.130% due 06/18/2021
|
Sell
|
1.000
|
06/20/2025
|
2.107
|
Quarterly
|
5,000
|
(241)
|
(892)
|
651
|
ICE Group
|
Tesco PLC
6.000% due 12/14/2029
|
Sell
|
1.000
|
06/20/2022
|
0.143
|
Quarterly
|
2,300
|
24
|
(112)
|
136
|
ICE Group
|
General Electric Company
2.700% due 10/09/2022
|
Sell
|
1.000
|
12/20/2023
|
0.396
|
Quarterly
|
$ 2,700
|
42
|
(120)
|
162
|
ICE Group
|
General Electric Company
2.700% due 10/09/2022
|
Sell
|
1.000
|
06/20/2024
|
0.432
|
Quarterly
|
1,200
|
21
|
(4)
|
25
|
ICE Group
|
General Electric Company
2.700% due 10/09/2022
|
Sell
|
1.000
|
12/20/2024
|
0.513
|
Quarterly
|
2,600
|
46
|
(37)
|
83
|
ICE Group
|
General Electric Company
2.700% due 10/09/2022
|
Sell
|
1.000
|
06/20/2026
|
0.730
|
Quarterly
|
4,000
|
57
|
33
|
24
|
ICE Group
|
Markit CDX North
America High Yield
Index Series 35
0.001%
|
Buy
|
5.000
|
12/20/2025
|
2.742
|
Quarterly
|
3,300
|
(320)
|
(239)
|
(81)
|
ICE Group
|
Markit CDX North
America High Yield
Index Series 36
0.001%
|
Buy
|
5.000
|
06/20/2026
|
2.925
|
Quarterly
|
6,300
|
(613)
|
(600)
|
(13)
|
ICE Group
|
The Boeing Company
8.750% due 08/15/2021
|
Sell
|
1.000
|
12/20/2022
|
0.665
|
Quarterly
|
5,200
|
30
|
1
|
29
|
ICE Group
|
The Boeing Company
2.600% due 10/30/2025
|
Sell
|
1.000
|
06/20/2023
|
0.732
|
Quarterly
|
4,200
|
26
|
11
|
15
|
Credit Default Swaps
|
$1,208
|
|||||||||
Total Swaps
|
$4,421
|
Principal
Amount
(000s)
|
Security
|
Proceeds
(000s)
|
Value
(000s)
|
$ 23,000
|
Federal National Mortgage Association TBA12 4.000%—08/12/2051
|
$24,518
|
$(24,579)
|
Counterparty
|
Borrowing Rate
|
Borrowing Date
|
Maturity Date
|
Proceeds
(000s)
|
Payable for
Reverse
Repurchase
Agreements
(000s)
|
Barclays Bank PLC
|
(0.450)%
|
03/16/2021
|
03/17/2023
|
$3,347
|
$(3,347)
|
Asset Category
|
Quoted Prices
Level 1
(000s)
|
Other Significant
Observable Inputs
Level 2
(000s)
|
Significant
Unobservable
Inputs
Level 3
(000s)
|
Total
(000s)
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$186,045
|
$4,400
|
$190,445
|
Collateralized Mortgage Obligations
|
—
|
200,200
|
—
|
200,200
|
Corporate Bonds & Notes
|
—
|
579,751
|
—
|
579,751
|
Foreign Government Obligations
|
—
|
111,279
|
—
|
111,279
|
Mortgage Pass-Through
|
—
|
351,002
|
—
|
351,002
|
Municipal Bonds
|
—
|
10,037
|
—
|
10,037
|
Preferred Stocks
|
—
|
—
|
17,128
|
17,128
|
U.S. Government Obligations
|
—
|
327,912
|
—
|
327,912
|
Short-Term Investments
|
|
|
|
|
U.S. Treasury Bills
|
—
|
36,098
|
—
|
36,098
|
Total Investments in Securities
|
$—
|
$1,802,324
|
$21,528
|
$1,823,852
|
Financial Derivative Instruments - Assets
|
|
|
|
|
Forward Currency Contracts
|
$—
|
$4,237
|
$—
|
$4,237
|
Futures Contracts
|
2,835
|
—
|
—
|
2,835
|
Purchased Options
|
—
|
188
|
—
|
188
|
Swap Agreements
|
—
|
10,175
|
—
|
10,175
|
Total Financial Derivative Instruments - Assets
|
$2,835
|
$14,600
|
$—
|
$17,435
|
Liability Category
|
||||
Fixed Income Investments Sold Short
|
$—
|
$(24,579)
|
$—
|
$(24,579)
|
Financial Derivative Instruments - Liabilities
|
|
|
|
|
Forward Currency Contracts
|
$—
|
$(4,451)
|
$—
|
$(4,451)
|
Futures Contracts
|
(2,067)
|
—
|
—
|
(2,067)
|
Swap Agreements
|
—
|
(5,754)
|
—
|
(5,754)
|
Written Options
|
—
|
(322)
|
—
|
(322)
|
Total Financial Derivative Instruments - Liabilities
|
$(2,067)
|
$(10,527)
|
$—
|
$(12,594)
|
Total Investments
|
$768
|
$1,781,818
|
$21,527
|
$1,804,114
|
Valuation Description
|
Beginning
Balance
as of
11/01/2020
(000s)
|
Purchases
(000s)
|
Sales
(000s)
|
Discount/
(Premium)
(000s)
|
Total Realized
Gain/(Loss)
(000s)
|
Change in
Unrealized
Appreciation/
(Depreciation)
(000s)
|
Transfers
Into
Level 3
(000s)
|
Transfers
Out of
Level 3h
(000s)
|
Ending
Balance
as of
07/31/2021
(000s)
|
Unrealized
Gain/(Loss)
as of
07/31/2021
(000s)
|
Asset-Backed Securities
|
$5,099
|
$4,400
|
$—
|
$—
|
$—
|
$67
|
$—
|
$(5,166)
|
$4,400
|
$—
|
Escrow
|
—
|
—
|
—
|
—
|
(12)
|
12
|
—
|
—
|
—
|
—
|
Preferred Stocks
|
17,513
|
—
|
—
|
—
|
—
|
(385)
|
—
|
—
|
17,128
|
(616)
|
|
$22,612
|
$4,400
|
$—
|
$—
|
$(12)
|
$(306)
|
$—
|
$(5,166)
|
$21,528
|
$(616)
|
Valuation Descriptions
|
Ending Balance
as of 07/31/2021
(000s)
|
Valuation
Technique
|
Unobservable
Input(s)
|
Input
Value(s)
|
Investments in Securities
|
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
AMMC CLO 20 Ltd.1
Series 2017-20A Cl. AR
|
$ 4,400
|
Market Approach
|
Trade Price
|
$ 100.00
|
Preferred Stocks
|
|
|
|
|
AT&T Mobility II LLC
|
17,128
|
Market Approach
|
Trade Price
|
$ 27.05
|
|
|
|
|
|
|
$21,528
|
|
|
|
*
|
Security in default
|
†
|
Coupon represents yield to maturity
|
x
|
Fair valued in accordance with Harbor Funds' Valuation Procedures.
|
1
|
Securities purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt
from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities.
At July 31, 2021, the aggregate value
of these securities was $413,502 or 26% of net assets.
|
2
|
CLO after the name of a security stands for Collateralized Loan Obligation.
|
3
|
Variable or floating rate security; the stated rate represents the rate in effect at July 31, 2021. The variable rate for
such securities may be based on the indicated
reference rate and spread or on an underlying asset or pool of assets rather than a reference rate and may be determined by
current interest rates, prepayments
or other financial indicators.
|
4
|
Step coupon security; the stated rate represents the rate in effect at July 31, 2021.
|
5
|
MTN after the name of a security stands for Medium Term Note.
|
6
|
Perpetuity bond; the maturity date represents the next callable date.
|
7
|
Rate changes from fixed to variable rate at a specified date prior to its final maturity. Stated rate is fixed rate currently
in effect and stated date is the final maturity
date, except for perpetuity bonds.
|
8
|
Zero coupon bond
|
9
|
At July 31, 2021, a portion of securities held by the Fund were pledged as collateral for exchange traded and centrally cleared
derivatives, over-the-counter (OTC)
derivatives, forward commitments, or secured borrowings. The securities pledged had an aggregate value of $20,219 or 1% of
net assets.
|
10
|
Inflation-protected securities (“IPS”) are securities in which the principal amount is adjusted for inflation and interest payments are applied to the inflation-adjusted
principal.
|
11
|
REMICs are collateralized mortgage obligations which can hold mortgages secured by any type of real property and issue multiple-class
securities backed by
those mortgages.
|
12
|
TBAs are mortgage-backed securities traded under delayed delivery commitments, settling after July 31, 2021. Although the
unit price for the trades has been
established, the principal value has not been finalized. However, the amount of the commitments will not fluctuate more than
2% from the principal amount. Income
on TBAs is not earned until settlement date.
|
13
|
Security is a private placement with contractual transfer and sale limitations. The Security was purchased on September 24,
2020, at a net cost of $17,744. As of
July 31, 2021, the value of the security was $17,128 or 1% of net assets.
|
a
|
If the Fund is a buyer of protection and 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 deliver 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.
|
b
|
If the Fund is a seller of protection and 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.
|
c
|
Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements
on corporate issues or sovereign issues
of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent
the likelihood or 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 upfront 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
or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event
has occurred for the referenced entity or obligation.
|
d
|
The maximum potential amount the Fund could be required to make 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. As of July 31, 2021, the maximum exposure to loss of the notional
value as the seller of credit default
swaps outstanding was $52,759.
|
e
|
The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices
serve as an indicator of the current
status of the payment/performance risk and represent 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 period end. Increasing values, in absolute terms when compared to the notional amount
of the swap, represent a deterioration
of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
h
|
Transferred from Level 3 to Level 2 due to the availability of observable market data pricing
|
ARS
|
Argentine Peso
|
BRL
|
Brazilian Real
|
CAD
|
Canadian Dollar
|
CLP
|
Chilean Peso
|
EUR
|
Euro
|
GBP
|
British Pound
|
ILS
|
Israeli New Shekel
|
INR
|
Indian Rupee
|
JPY
|
Japanese Yen
|
MXN
|
Mexican Peso
|
PEN
|
Peruvian Nuevo Sol
|
CONVERTIBLE BONDS—94.9%
|
|||
Principal
Amount
|
|
Value
|
|
AEROSPACE & DEFENSE—0.5%
|
|||
|
|
Parsons Corp.
|
|
$
|
840
|
0.250%—08/15/20251
|
$888
|
AIRLINES—1.9%
|
|||
|
|
Jetblue Airways Corp.
|
|
|
1,637
|
0.500%—04/01/20261
|
1,614
|
|
|
Southwest Airlines Co.
|
|
|
602
|
1.250%—05/01/2025
|
885
|
|
|
Spirit Airlines Inc.
|
|
|
1,407
|
1.000%—05/15/2026
|
1,324
|
|
|
|
3,823
|
AUTO COMPONENTS—0.8%
|
|||
|
|
CIE Generale des Etablissements Michelin SCA
|
|
|
800
|
0.000%—01/10/20222
|
870
|
|
|
LCI Industries
|
|
|
600
|
1.125%—05/15/20261
|
650
|
|
|
|
1,520
|
AUTOMOBILES—1.5%
|
|||
|
|
Ford Motor Co.
|
|
|
1,427
|
0.000%—03/15/20261,2
|
1,534
|
|
|
Winnebago Industries Inc.
|
|
|
1,079
|
1.500%—04/01/2025
|
1,434
|
|
|
|
2,968
|
BANKS—0.4%
|
|||
|
|
BofA Finance LLC MTN3
|
|
|
643
|
0.250%—05/01/2023
|
696
|
BIOTECHNOLOGY—4.2%
|
|||
|
|
BioMarin Pharmaceutical Inc.
|
|
|
2,515
|
0.599%—08/01/2024
|
2,573
|
|
|
Coherus Biosciences Inc.
|
|
|
586
|
1.500%—04/15/2026
|
587
|
|
|
Exact Sciences Corp.
|
|
|
756
|
0.375%—03/15/2027
|
919
|
|
44
|
1.000%—01/15/2025
|
70
|
|
|
|
989
|
|
|
Halozyme Therapeutics Inc.
|
|
|
820
|
0.250%—03/01/20271
|
751
|
|
|
Ionis Pharmaceuticals Inc.
|
|
|
560
|
0.125%—12/15/2024
|
517
|
|
|
Ironwood Pharmaceuticals Inc.
|
|
|
460
|
0.750%—06/15/2024
|
554
|
|
451
|
1.500%—06/15/2026
|
550
|
|
|
|
1,104
|
|
|
Neurocrine Biosciences Inc.
|
|
|
414
|
2.250%—05/15/2024
|
538
|
|
|
Qiagen NV
|
|
|
1,200
|
0.000%—12/17/20272
|
1,194
|
|
|
|
8,253
|
CAPITAL MARKETS—0.8%
|
|||
|
|
Ares Capital Corp.
|
|
|
1,191
|
3.750%—02/01/2022
|
1,256
|
|
233
|
4.625%—03/01/2024
|
253
|
|
|
|
1,509
|
COMMUNICATIONS EQUIPMENT—0.7%
|
|||
|
|
Lumentum Holdings Inc.
|
|
|
1,237
|
0.500%—12/15/2026
|
1,364
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
CONSTRUCTION & ENGINEERING—0.8%
|
|||
|
|
Vinci SA
|
|
$
|
1,400
|
0.375%—02/16/2022
|
$1,574
|
CONSUMER FINANCE—0.6%
|
|||
|
|
LendingTree Inc.
|
|
|
1,254
|
0.500%—07/15/2025
|
1,134
|
DIVERSIFIED CONSUMER SERVICES—1.5%
|
|||
|
|
Chegg Inc.
|
|
|
1,755
|
0.000%—09/01/20261,2
|
1,903
|
|
|
K12 Inc.
|
|
|
1,047
|
1.125%—09/01/20271
|
959
|
|
|
|
2,862
|
DIVERSIFIED TELECOMMUNICATION SERVICES—1.9%
|
|||
|
|
Cable One Inc.
|
|
|
944
|
0.000%—03/15/20261,2
|
943
|
|
|
Liberty Broadband Corp.
|
|
|
514
|
1.250%—09/30/20501
|
524
|
|
1,124
|
2.750%—09/30/20501
|
1,209
|
|
|
|
1,733
|
|
|
Liberty Latin America Ltd.
|
|
|
647
|
2.000%—07/15/2024
|
651
|
|
|
Vonage Holdings Corp.
|
|
|
410
|
1.750%—06/01/2024
|
456
|
|
|
|
3,783
|
ELECTRICAL EQUIPMENT—0.3%
|
|||
|
|
Sunrun Inc.
|
|
|
607
|
0.000%—02/01/20261,2
|
536
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS—1.8%
|
|||
|
|
II-VI Inc.
|
|
|
459
|
0.250%—09/01/2022
|
698
|
|
|
Insight Enterprises Inc.
|
|
|
1,217
|
0.750%—02/15/2025
|
1,868
|
|
|
Itron Inc.
|
|
|
975
|
0.000%—03/15/20261,2
|
1,004
|
|
|
|
3,570
|
ENTERTAINMENT—2.9%
|
|||
|
|
iQIYI Inc.
|
|
|
868
|
2.000%—04/01/2025
|
739
|
|
|
Live Nation Entertainment Inc.
|
|
|
1,499
|
2.000%—02/15/2025
|
1,613
|
|
1,387
|
2.500%—03/15/2023
|
1,808
|
|
|
|
3,421
|
|
|
Zynga Inc.
|
|
|
643
|
0.000%—12/15/20261,2
|
676
|
|
687
|
0.250%—06/01/2024
|
916
|
|
|
|
1,592
|
|
|
|
5,752
|
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)—0.7%
|
|||
|
|
IH Merger Sub LLC
|
|
|
729
|
3.500%—01/15/2022
|
1,303
|
FOOD & STAPLES RETAILING—0.6%
|
|||
|
|
Shake Shack Inc.
|
|
|
1,367
|
0.000%—03/01/20281,2
|
1,275
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
FOOD PRODUCTS—0.9%
|
|||
|
|
Beyond Meat Inc.
|
|
$
|
1,927
|
0.000%—03/15/20271,2
|
$1,774
|
HEALTH CARE EQUIPMENT & SUPPLIES—4.5%
|
|||
|
|
CONMED Corp.
|
|
|
975
|
2.625%—02/01/2024
|
1,575
|
|
|
Dexcom Inc.
|
|
|
1,690
|
0.250%—11/15/2025
|
1,925
|
|
|
Haemonetics Corp.
|
|
|
831
|
0.000%—03/01/20261,2
|
712
|
|
|
Insulet Corp.
|
|
|
993
|
0.375%—09/01/2026
|
1,376
|
|
|
Integra Lifesciences Holdings Corp.
|
|
|
773
|
0.500%—08/15/2025
|
882
|
|
|
Nuvasive Inc.
|
|
|
1,686
|
1.000%—06/01/2023
|
1,737
|
|
|
Tandem Diabetes Care Inc.
|
|
|
556
|
1.500%—05/01/20251
|
672
|
|
|
|
8,879
|
HEALTH CARE PROVIDERS & SERVICES—0.4%
|
|||
|
|
Guardant Health Inc.
|
|
|
747
|
0.000%—11/15/20271,2
|
808
|
HEALTH CARE TECHNOLOGY—1.9%
|
|||
|
|
Allscripts Healthcare Solutions Inc.
|
|
|
1,209
|
0.875%—01/01/2027
|
1,697
|
|
|
Novocure Ltd.
|
|
|
626
|
0.000%—11/01/20251,2
|
746
|
|
|
Teladoc Health Inc.
|
|
|
1,185
|
1.250%—06/01/2027
|
1,269
|
|
|
|
3,712
|
HOTELS, RESTAURANTS & LEISURE—7.4%
|
|||
|
|
Booking Holdings Inc.
|
|
|
938
|
0.750%—05/01/2025
|
1,329
|
|
|
Draftkings Inc.
|
|
|
2,368
|
0.000%—03/15/20281,2
|
2,087
|
|
|
Huazhu Group Ltd.
|
|
|
1,145
|
3.000%—05/01/20261
|
1,474
|
|
|
IMAX Corp.
|
|
|
2,110
|
0.500%—04/01/20261
|
1,965
|
|
|
Marriott Vacations Worldwide Corp.
|
|
|
1,259
|
0.000%—01/15/20261,2
|
1,347
|
|
763
|
1.500%—09/15/2022
|
873
|
|
|
|
2,220
|
|
|
NCL Corp. Ltd.
|
|
|
678
|
5.375%—08/01/20251
|
1,077
|
|
|
Royal Caribbean Cruises Ltd.
|
|
|
693
|
2.875%—11/15/20231
|
828
|
|
|
The Cheesecake Factory Inc.
|
|
|
1,429
|
0.375%—06/15/2026
|
1,342
|
|
|
Vail Resorts Inc.
|
|
|
2,219
|
0.000%—01/01/20261,2
|
2,238
|
|
|
|
14,560
|
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS—0.6%
|
|||
|
|
Nextera Energy Partners LP
|
|
|
1,132
|
0.000%—11/15/20251,2
|
1,234
|
INTERACTIVE MEDIA & SERVICES—5.8%
|
|||
|
|
Airbnb Inc.
|
|
|
765
|
0.000%—03/15/20261,2
|
719
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
INTERACTIVE MEDIA & SERVICES—Continued
|
|||
|
|
Expedia Group Inc.
|
|
$
|
1,355
|
0.000%—02/15/20261,2
|
$1,453
|
|
|
IAC FinanceCo 3 Inc.
|
|
|
378
|
2.000%—01/15/20301
|
762
|
|
|
Liberty Tripadvisor Holdings Inc.
|
|
|
1,170
|
0.500%—06/30/20511
|
1,001
|
|
|
Snap Inc.
|
|
|
1,486
|
0.000%—05/01/20271,2
|
1,713
|
|
|
Spotify USA Inc.
|
|
|
1,361
|
0.000%—03/15/20261,2
|
1,230
|
|
|
Square Inc.
|
|
|
949
|
0.250%—11/01/20271
|
1,122
|
|
|
Tripadvisor Inc.
|
|
|
939
|
0.250%—04/01/20261
|
869
|
|
|
Twitter Inc.
|
|
|
1,683
|
0.000%—03/15/20261,2
|
1,625
|
|
609
|
0.250%—06/15/2024
|
842
|
|
|
|
2,467
|
|
|
|
11,336
|
INTERNET & DIRECT MARKETING RETAIL—2.2%
|
|||
|
|
Etsy Inc.
|
|
|
682
|
0.125%—09/01/20271
|
822
|
|
946
|
0.250%—06/15/20281
|
993
|
|
|
|
1,815
|
|
|
Fiverr International Ltd.
|
|
|
808
|
0.000%—11/01/20251,2
|
1,100
|
|
|
Wayfair Inc.
|
|
|
1,438
|
0.625%—10/01/20251
|
1,402
|
|
|
|
4,317
|
IT SERVICES—5.3%
|
|||
|
|
Akamai Technologies Inc.
|
|
|
693
|
0.125%—05/01/2025
|
929
|
|
1,625
|
0.375%—09/01/2027
|
1,921
|
|
|
|
2,850
|
|
|
Euronet Worldwide Inc.
|
|
|
1,858
|
0.750%—03/15/2049
|
2,169
|
|
|
KBR Inc.
|
|
|
632
|
2.500%—11/01/2023
|
1,005
|
|
|
Shift4 Payments Inc.
|
|
|
499
|
0.000%—12/15/20251,2
|
650
|
|
112
|
0.500%—08/01/20271
|
117
|
|
|
|
767
|
|
|
Shopify Inc.
|
|
|
723
|
0.125%—11/01/2025
|
954
|
|
|
Wix.com Ltd.
|
|
|
1,638
|
0.000%—08/15/20251,2
|
1,793
|
|
|
Zscaler Inc.
|
|
|
516
|
0.125%—07/01/2025
|
863
|
|
|
|
10,401
|
LEISURE PRODUCTS—0.7%
|
|||
|
|
Peloton Interactive Inc.
|
|
|
1,416
|
0.000%—02/15/20261,2
|
1,350
|
LIFE SCIENCES TOOLS & SERVICES—1.0%
|
|||
|
|
Illumina Inc.
|
|
|
1,154
|
0.000%—08/15/20232
|
1,464
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
LIFE SCIENCES TOOLS & SERVICES—Continued
|
|||
|
|
Repligen Corp.
|
|
$
|
269
|
0.375%—07/15/2024
|
$582
|
|
|
|
2,046
|
MACHINERY—1.5%
|
|||
|
|
Greenbrier Cos. Inc.
|
|
|
1,735
|
2.875%—04/15/20281
|
1,822
|
|
|
John Bean Technologies Corp.
|
|
|
340
|
0.250%—05/15/20261
|
366
|
|
|
Meritor Inc.
|
|
|
673
|
3.250%—10/15/2037
|
724
|
|
|
|
2,912
|
MEDIA—4.0%
|
|||
|
|
Dish Network Corp.
|
|
|
792
|
0.000%—12/15/20251,2
|
930
|
|
3,061
|
3.375%—08/15/2026
|
3,145
|
|
|
|
4,075
|
|
|
Liberty Media Corp.
|
|
|
702
|
1.000%—01/30/2023
|
928
|
|
251
|
1.375%—10/15/2023
|
335
|
|
2,042
|
2.125%—03/31/20481
|
2,134
|
|
|
|
3,397
|
|
|
Pandora Media LLC
|
|
|
269
|
1.750%—12/01/2023
|
315
|
|
|
|
7,787
|
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs)—0.7%
|
|||
|
|
Blackstone Mortgage Trust Inc.
|
|
|
1,286
|
4.750%—03/15/2023
|
1,337
|
OIL, GAS & CONSUMABLE FUELS—2.1%
|
|||
|
|
Equities Corp.
|
|
|
773
|
1.750%—05/01/2026
|
1,146
|
|
|
Pioneer Natural Resources Co.
|
|
|
717
|
0.250%—05/15/2025
|
1,057
|
|
|
Total SA MTN3
|
|
|
1,800
|
0.500%—12/02/2022
|
1,823
|
|
|
|
4,026
|
PERSONAL PRODUCTS—0.2%
|
|||
|
|
Herbalife Nutrition Ltd.
|
|
|
316
|
2.625%—03/15/2024
|
339
|
PHARMACEUTICALS—2.4%
|
|||
|
|
Jazz Investments I Ltd.
|
|
|
2,700
|
1.500%—08/15/2024
|
2,923
|
|
1,059
|
2.000%—06/15/2026
|
1,376
|
|
|
|
4,299
|
|
|
Supernus Pharmaceuticals Inc.
|
|
|
448
|
0.625%—04/01/2023
|
439
|
|
|
|
4,738
|
PROFESSIONAL SERVICES—0.5%
|
|||
|
|
FTI Consulting Inc.
|
|
|
660
|
2.000%—08/15/2023
|
994
|
REAL ESTATE MANAGEMENT & DEVELOPMENT—1.3%
|
|||
|
|
Realogy Group LLC / Realogy Co.-Issuer Corp.
|
|
|
1,012
|
0.250%—06/15/20261
|
1,030
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
REAL ESTATE MANAGEMENT & DEVELOPMENT—Continued
|
|||
|
|
Redfin Corp.
|
|
$
|
827
|
0.000%—10/15/20251,2
|
$897
|
|
727
|
0.500%—04/01/20271
|
699
|
|
|
|
1,596
|
|
|
|
2,626
|
ROAD & RAIL—0.4%
|
|||
|
|
Uber Technologies Inc.
|
|
|
843
|
0.000%—12/15/20251,2
|
827
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—4.9%
|
|||
|
|
Enphase Energy Inc.
|
|
|
2,186
|
0.000%—03/01/2026-03/01/20281,2
|
2,213
|
|
|
MACOM Technology Solutions Holdings Inc.
|
|
|
810
|
0.250%—03/15/20261
|
841
|
|
|
Microchip Technology Inc.
|
|
|
1,280
|
0.125%—11/15/2024
|
1,407
|
|
|
ON Semiconductor Corp.
|
|
|
915
|
0.000%—05/01/20271,2
|
975
|
|
137
|
1.625%—10/15/2023
|
267
|
|
|
|
1,242
|
|
|
Silicon Laboratories Inc.
|
|
|
791
|
0.625%—06/15/2025
|
1,075
|
|
|
SolarEdge Technologies Inc.
|
|
|
956
|
0.000%—09/15/20251,2
|
1,145
|
|
|
STMicroelectronics NV
|
|
|
1,400
|
0.000%—08/04/20252
|
1,756
|
|
|
|
9,679
|
SOFTWARE—21.5%
|
|||
|
|
Alarm.Com Holdings Inc.
|
|
|
1,392
|
0.000%—01/15/20261,2
|
1,274
|
|
|
Altair Engineering Inc.
|
|
|
298
|
0.250%—06/01/2024
|
467
|
|
|
Alteryx Inc.
|
|
|
773
|
0.500%—08/01/2024
|
735
|
|
326
|
1.000%—08/01/2026
|
302
|
|
|
|
1,037
|
|
|
Bentley Systems Inc.
|
|
|
918
|
0.125%—01/15/20261
|
1,060
|
|
947
|
0.375%—07/01/20271
|
953
|
|
|
|
2,013
|
|
|
Blackline Inc.
|
|
|
1,797
|
0.000%—03/15/20261,2
|
1,762
|
|
|
Box Inc.
|
|
|
1,577
|
0.000%—01/15/20261,2
|
1,813
|
|
|
Ceridian HCM Holding Inc.
|
|
|
851
|
0.250%—03/15/20261
|
869
|
|
|
Coupa Software Inc.
|
|
|
944
|
0.375%—06/15/2026
|
1,013
|
|
|
CyberArk Software Ltd.
|
|
|
1,599
|
0.000%—11/15/20242
|
1,828
|
|
|
Datadog Inc.
|
|
|
759
|
0.125%—06/15/2025
|
1,055
|
|
|
DocuSign Inc.
|
|
|
1,464
|
0.000%—01/15/20241,2
|
1,567
|
|
|
Dropbox Inc.
|
|
|
1,612
|
0.000%—03/01/2026-03/01/20281,2
|
1,790
|
|
|
Envestnet Inc.
|
|
|
1,382
|
0.750%—08/15/20251
|
1,375
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
SOFTWARE—Continued
|
|||
|
|
FireEye Inc.
|
|
$
|
653
|
0.875%—06/01/2024
|
$739
|
|
|
Five9 Inc.
|
|
|
268
|
0.500%—06/01/2025
|
433
|
|
|
InterDigital Inc.
|
|
|
612
|
2.000%—06/01/2024
|
661
|
|
|
J2 Global Inc.
|
|
|
1,352
|
1.750%—11/01/20261
|
1,751
|
|
|
Medallia Inc.
|
|
|
716
|
0.125%—09/15/20251
|
771
|
|
|
New Relic Inc.
|
|
|
160
|
0.500%—05/01/2023
|
160
|
|
|
NICE Ltd.
|
|
|
1,472
|
0.000%—09/15/20251,2
|
1,651
|
|
|
NortonLifeLock Inc.
|
|
|
726
|
2.000%—08/15/20221
|
922
|
|
|
Okta Inc.
|
|
|
1,338
|
0.375%—06/15/2026
|
1,689
|
|
|
Palo Alto Networks Inc.
|
|
|
1,341
|
0.750%—07/01/2023
|
2,075
|
|
|
Pegasystems Inc.
|
|
|
1,410
|
0.750%—03/01/2025
|
1,606
|
|
|
Q2 Holdings Inc.
|
|
|
675
|
0.125%—11/15/20251
|
676
|
|
4
|
0.750%—06/01/2026
|
5
|
|
|
|
681
|
|
|
Rapid7 Inc.
|
|
|
1,153
|
0.250%—03/15/20271
|
1,444
|
|
317
|
2.250%—05/01/2025
|
614
|
|
|
|
2,058
|
|
|
RingCentral Inc.
|
|
|
1,873
|
0.000%—03/01/20252
|
1,985
|
|
611
|
0.000%—03/15/20261,2
|
600
|
|
|
|
2,585
|
|
|
Splunk Inc.
|
|
|
204
|
0.500%—09/15/2023
|
236
|
|
3,316
|
1.125%—06/15/2027
|
3,241
|
|
|
|
3,477
|
|
|
Verint Systems Inc.
|
|
|
576
|
0.250%—04/15/20261
|
558
|
|
|
Workiva Inc.
|
|
|
652
|
1.125%—08/15/2026
|
1,130
|
|
|
Zendesk Inc.
|
|
|
1,046
|
0.625%—06/15/2025
|
1,431
|
|
|
|
42,241
|
SPECIALTY RETAIL—2.1%
|
|||
|
|
American Eagle Outfitters Inc.
|
|
|
261
|
3.750%—04/15/2025
|
1,059
|
|
|
Burlington Stores Inc.
|
|
|
1,191
|
2.250%—04/15/2025
|
1,952
|
|
|
National Vision Holdings
|
|
|
611
|
2.500%—05/15/2025
|
1,124
|
|
|
|
4,135
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—0.7%
|
|||
|
|
Pure Storage Inc.
|
|
$
|
1,357
|
0.125%—04/15/2023
|
$1,429
|
TOTAL CONVERTIBLE BONDS
|
|||
(Cost $170,703)
|
186,297
|
||
TOTAL INVESTMENTS—94.9%
|
|||
(Cost $170,703)
|
186,297
|
||
CASH AND OTHER ASSETS, LESS LIABILITIES—5.1%
|
10,107
|
||
TOTAL NET ASSETS—100.0%
|
$196,404
|
1
|
Securities purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt
from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities.
At July 31, 2021, the aggregate value of
these securities was $84,864 or 43% of net assets.
|
2
|
Zero coupon bond
|
3
|
MTN after the name of a security stands for Medium Term Note.
|
ASSET-BACKED SECURITIES—12.0%
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Air Canada Pass-Through Trust
|
|
|
|
Series 2015-1 Cl. A
|
|
$
|
297
|
3.600%—03/15/20271
|
$305
|
|
|
AMSR Trust
|
|
|
|
Series 2020-SFR4 Cl. A
|
|
|
479
|
1.355%—11/17/20371
|
482
|
|
|
CF Hippolyta Issuer LLC
|
|
|
|
Series 2021-1A Cl. A1
|
|
|
529
|
1.530%—03/15/20611
|
539
|
|
|
Series 2020-1 Cl. A1
|
|
|
323
|
1.690%—07/15/20601
|
330
|
|
|
|
869
|
|
|
CNH Equipment Trust
|
|
|
|
Series 2018-A Cl. A3
|
|
|
102
|
3.120%—07/17/2023
|
103
|
|
|
Series 2018-B Cl. A3
|
|
|
90
|
3.190%—11/15/2023
|
91
|
|
|
|
194
|
|
|
CVS Pass-Through Trust
|
|
|
255
|
5.773%—01/10/20331
|
304
|
|
109
|
5.880%—01/10/2028
|
126
|
|
|
Series 2009 Cl. CE
|
|
|
478
|
8.353%—07/10/20311
|
629
|
|
|
|
1,059
|
|
|
DB Master Finance LLC
|
|
|
|
Series 2017-1A Cl. A2I
|
|
|
242
|
3.629%—11/20/20471
|
245
|
|
342
|
3.787%—05/20/20491
|
347
|
|
|
|
592
|
|
|
Delta Air Lines Pass-Through Trust
|
|
|
|
Series 2015-1 Cl. AA
|
|
|
266
|
3.625%—07/30/2027
|
289
|
|
|
Domino's Pizza Master Issuer LLC
|
|
|
|
Series 2021-1A Cl. A2I
|
|
|
397
|
2.662%—04/25/20511
|
416
|
|
|
Series 2019-1A Cl. A2
|
|
|
59
|
3.668%—10/25/20491
|
64
|
|
|
|
480
|
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR2 Cl. A
|
|
|
363
|
1.266%—10/19/20371
|
365
|
|
|
Series 2020-SFR1 Cl. A
|
|
|
634
|
1.339%—08/17/20371
|
640
|
|
|
|
1,005
|
|
|
Ford Credit Auto Owner Trust
|
|
|
|
Series 2020-1 Cl. A
|
|
|
500
|
2.040%—08/15/20311
|
522
|
|
|
Home Partners of America Trust
|
|
|
|
Series 2020-2 Cl. A
|
|
|
328
|
1.532%—01/17/20411
|
329
|
|
|
MMAF Equipment Finance LLC
|
|
|
|
Series 2021 Cl. A
|
|
|
584
|
0.560%—06/13/20281
|
585
|
|
|
Series 2019-A Cl. A3
|
|
|
241
|
2.840%—11/13/20231
|
245
|
|
|
|
830
|
|
|
Navient Private Education Loan Trust
|
|
|
|
Series 2021-A Cl. A
|
|
|
240
|
0.840%—05/15/20691
|
240
|
ASSET-BACKED SECURITIES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
NextGear Floorplan Master Owner Trust
|
|
|
|
Series 2019-2A Cl. A2
|
|
$
|
880
|
2.070%—10/15/20241
|
$899
|
|
|
Oak Street Investment Grade Net Lease Fund
|
|
|
|
Series 2020-1A Cl. A1
|
|
|
345
|
1.850%—11/20/20501
|
353
|
|
|
Palmer Square CLO Ltd.2
|
|
|
|
Series 2013 Cl. 2A
|
|
|
447
|
1.134% (3 Month USD Libor + 1.126) 10/17/20311,3
|
447
|
|
|
Progress Residential Trust
|
|
|
|
Series 2021-SFR1 Cl. A
|
|
|
385
|
1.052%—04/17/20381
|
381
|
|
|
Series 2021-SFR3 Cl. A
|
|
|
349
|
1.637%—05/17/20261
|
355
|
|
|
Series 2019-SFR3 Cl. A
|
|
|
443
|
2.271%—09/17/20361
|
453
|
|
|
|
1,189
|
|
|
Sabey Data Center Issuer LLC
|
|
|
|
Series 2020-1 Cl. A2
|
|
|
202
|
3.812%—04/20/20451
|
216
|
|
|
Stack Infrastructure Issuer LLC
|
|
|
|
Series 2021-1A Cl. A2
|
|
|
613
|
1.877%—03/26/20461
|
622
|
|
|
Series 2019-2A Cl. A2
|
|
|
185
|
3.080%—10/25/20441
|
191
|
|
|
Series 2019-1A Cl. A2
|
|
|
223
|
4.540%—02/25/20441
|
237
|
|
|
|
1,050
|
|
|
Store Master Funding I-VII
|
|
|
|
Series 2019-1 Cl. A1
|
|
|
166
|
2.820%—11/20/20491
|
176
|
|
|
Series 2018-1A Cl. A1
|
|
|
197
|
3.960%—10/20/20481
|
205
|
|
|
|
381
|
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2016-1 Cl. AA
|
|
|
170
|
3.100%—01/07/2030
|
181
|
|
|
Series 2014-1 Cl. A
|
|
|
726
|
4.000%—04/11/2026
|
770
|
|
|
|
951
|
|
|
Vantage Data Centers LLC
|
|
|
|
Series 2020-1A Cl. A2
|
|
|
567
|
1.645%—09/15/20451
|
573
|
|
|
Verizon Owner Trust
|
|
|
|
Series 2019-B Cl. A1A
|
|
|
333
|
2.330%—12/20/2023
|
337
|
|
|
Series 2018-A Cl. A1A
|
|
|
118
|
3.230%—04/20/2023
|
119
|
|
|
|
456
|
|
|
Wendy's Funding LLC
|
|
|
|
Series 2019-1A Cl. A2I
|
|
|
168
|
3.783%—06/15/20491
|
181
|
|
|
World Omni Auto Receivables Trust
|
|
|
|
Series 2020-A Cl. A3
|
|
|
1,012
|
1.700%—01/17/2023
|
1,026
|
|
|
Series 2017-B Cl. A3
|
|
|
49
|
1.950%—02/15/2023
|
49
|
|
|
Series 2019-A Cl. A3
|
|
|
144
|
3.040%—05/15/2024
|
146
|
ASSET-BACKED SECURITIES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Series 2018-D Cl. A3
|
|
$
|
358
|
3.330%—04/15/2024
|
$363
|
|
|
|
1,584
|
TOTAL ASSET-BACKED SECURITIES
|
|||
(Cost $15,057)
|
15,476
|
||
|
|||
COLLATERALIZED MORTGAGE OBLIGATIONS—11.6%
|
|||
|
|
BANK 2019-BNK16
|
|
|
|
Series 2019-BN16 Cl. ASB
|
|
|
651
|
3.898%—02/15/2052
|
731
|
|
|
Barclays Commerical Mortgage Securities LLC
|
|
|
|
Series 2012-C2 Cl. A4
|
|
|
517
|
3.525%—05/10/2063
|
526
|
|
|
BBCMS Mortgage Trust
|
|
|
|
Series 2020-C6 Cl. A2
|
|
|
380
|
2.690%—02/15/2053
|
399
|
|
|
Benchmark Mortgage Trust
|
|
|
|
Series 2021-B26 Cl. A3
|
|
|
387
|
2.391%—06/15/2054
|
406
|
|
|
Series 2019-B15 Cl. A5
|
|
|
212
|
2.928%—12/15/2072
|
231
|
|
|
|
637
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
Series 2019-XL Cl. A
|
|
|
500
|
1.013% (1 Month USD Libor + 0.990) 10/15/20361,3
|
501
|
|
|
CIM Trust Corp.
|
|
|
|
Series 2020-INV1 Cl. A2
|
|
|
143
|
2.500%—04/25/20501,3
|
147
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
Series 2015-GC27 Cl. AAB
|
|
|
314
|
2.944%—02/10/2048
|
325
|
|
|
Commercial Mortgage Pass-Through Certificates
|
|
|
|
Series 2014-CR14 Cl. A2
|
|
|
195
|
3.147%—02/10/2047
|
198
|
|
|
Series 2014-CR21 Cl. A3
|
|
|
239
|
3.528%—12/10/2047
|
256
|
|
|
Series 2014-UBS3 Cl. A3
|
|
|
443
|
3.546%—06/10/2047
|
471
|
|
|
Series 2013-CR8 Cl. A5
|
|
|
502
|
3.612%—06/10/2046
|
528
|
|
|
|
1,453
|
|
|
Freddie Mac Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2020-2 Cl. MA
|
|
|
224
|
2.000%—11/25/2059
|
228
|
|
|
Series 2020-3 Cl. MA
|
|
|
256
|
2.000%—05/25/2060
|
262
|
|
|
Series 2021-1 Cl. MA
|
|
|
351
|
2.000%—09/25/2060
|
358
|
|
|
Series 2020-1 Cl. MA
|
|
|
246
|
2.500%—08/25/2059
|
255
|
|
|
Series 2018-1 Cl. MA
|
|
|
174
|
3.000%—05/25/2057
|
183
|
|
|
Series 2018-4 Cl. MA
|
|
|
525
|
3.500%—03/25/2058
|
555
|
|
|
Series 2019-2 Cl. MA
|
|
|
265
|
3.500%—08/25/2058
|
280
|
|
|
|
2,121
|
|
|
FRESB Mortgage Trust
|
|
|
|
Series 2019-SB63 Cl. A5H
|
|
|
311
|
2.550% (1 Month USD Libor + 0.653) 02/25/20393
|
321
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
GS Mortgage Backed Securities Trust
|
|
|
|
Series 2021-PJ2 Cl. A2
|
|
$
|
393
|
2.500%—07/25/20511,3
|
$402
|
|
|
Series 2020-INV1 Cl. A14
|
|
|
271
|
2.984%—10/25/20501,3
|
277
|
|
|
Series 2020-PJ4 Cl. A2
|
|
|
188
|
3.000%—01/25/20511,3
|
193
|
|
|
Series 2020-PJ1 Cl. A6
|
|
|
29
|
3.500%—05/25/20501,3
|
29
|
|
|
|
901
|
|
|
GS Mortgage Securities Trust
|
|
|
|
Series 2012-GCJ7 Cl. A4
|
|
|
104
|
3.377%—05/10/2045
|
105
|
|
|
Series 2012-GC6 Cl. A3
|
|
|
102
|
3.482%—01/10/2045
|
102
|
|
|
|
207
|
|
|
Invitation Homes Trust
|
|
|
|
Series 2018-SFR1 Cl. A
|
|
|
106
|
0.789% (1 Month USD Libor + 1.962) 03/17/20371,4
|
105
|
|
|
JPMBB Commercial Mortgage Securities Trust
|
|
|
|
Series 2015-C32 Cl. A2
|
|
|
220
|
2.816%—11/15/2048
|
222
|
|
|
Series 2019-C6 Cl. A4
|
|
|
351
|
3.057%—11/13/2052
|
385
|
|
|
|
607
|
|
|
JPMorgan Chase Commercial Mortgage Securities
Trust
|
|
|
|
Series 2019-COR5 Cl. A2
|
|
|
635
|
3.150%—06/13/2052
|
665
|
|
|
Series 2012-CBX Cl. A4
|
|
|
95
|
3.483%—06/15/2045
|
96
|
|
|
|
761
|
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2021-1 Cl. A3
|
|
|
311
|
2.500%—06/25/20511,3
|
319
|
|
|
Series 2021-3 Cl. A3
|
|
|
529
|
2.500%—07/01/20511,3
|
543
|
|
|
|
862
|
|
|
MetLife Securitization Trust
|
|
|
|
Series 2020-INV1 Cl. A2A
|
|
|
237
|
2.500%—05/25/20501,3
|
244
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
Series 2015-C22 Cl. A4
|
|
|
532
|
3.306%—04/15/2048
|
571
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
Series 2012-C4 Cl. A4
|
|
|
184
|
3.244%—03/15/2045
|
185
|
|
|
Series 2015-UBS8 Cl. A4
|
|
|
438
|
3.809%—12/15/2048
|
484
|
|
|
|
669
|
|
|
Progress Residential Trust
|
|
|
|
Series 2018-SFR3 Cl. A
|
|
|
432
|
3.880%—10/17/20351
|
438
|
|
|
PSMC Trust
|
|
|
|
Series 2021-2 Cl. A3
|
|
|
603
|
2.500%—05/25/20511,3
|
624
|
|
|
Series 2020-2 Cl. A2
|
|
|
139
|
3.000%—05/25/20501,3
|
141
|
|
|
|
765
|
COLLATERALIZED MORTGAGE OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
Sequoia Mortgage Trust
|
|
|
|
Series 2021-1 Cl. A1
|
|
$
|
422
|
2.500%—03/25/20511,3
|
$432
|
|
|
Tricon American Homes Trust
|
|
|
|
Series 2020-SFR1 Cl. A
|
|
|
335
|
1.499%—07/17/20381
|
338
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
Series 2021-C59 Cl. A5
|
|
|
639
|
2.626%—04/15/2054
|
682
|
|
|
WF RBS Commercial Mortgage Trust
|
|
|
|
Series 2012-C10 Cl. A3
|
|
|
244
|
2.875%—12/15/2045
|
250
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
|
|||
(Cost $14,871)
|
14,993
|
||
|
|||
CORPORATE BONDS & NOTES—31.2%
|
|||
AEROSPACE & DEFENSE—1.6%
|
|||
|
|
BAE Systems Holdings Inc.
|
|
|
400
|
3.400%—04/15/20301
|
443
|
|
489
|
3.800%—10/07/20241
|
533
|
|
|
|
976
|
|
|
General Dynamics Corp.
|
|
|
59
|
4.250%—04/01/2050
|
77
|
|
|
Lockheed Martin Corp.
|
|
|
198
|
2.800%—06/15/2050
|
205
|
|
225
|
4.700%—05/15/2046
|
305
|
|
|
|
510
|
|
|
Northrop Grumman Corp.
|
|
|
107
|
5.250%—05/01/2050
|
154
|
|
|
Textron Inc.
|
|
|
370
|
3.000%—06/01/2030
|
397
|
|
|
|
2,114
|
AIR FREIGHT & LOGISTICS—0.3%
|
|||
|
|
FedEx Corp.
|
|
|
270
|
4.050%—02/15/2048
|
316
|
|
|
United Parcel Service Inc.
|
|
|
73
|
5.300%—04/01/2050
|
109
|
|
|
|
425
|
AUTOMOBILES—1.6%
|
|||
|
|
General Motors Co.
|
|
|
248
|
5.400%—10/02/2023
|
272
|
|
|
Hyundai Capital America Co.
|
|
|
468
|
5.750%—04/06/20231
|
507
|
|
|
Toyota Motor Credit Corp. MTN5
|
|
|
572
|
3.000%—04/01/2025
|
617
|
|
197
|
3.375%—04/01/2030
|
225
|
|
|
|
842
|
|
|
Volkswagen Group of America Finance LLC
|
|
|
413
|
2.900%—05/13/20221
|
421
|
|
|
|
2,042
|
BANKS—3.0%
|
|||
|
|
Bank of America Corp. MTN5
|
|
|
500
|
3.500%—04/19/2026
|
553
|
|
206
|
4.330%—03/15/20504
|
258
|
|
|
|
811
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
BANKS—Continued
|
|||
|
|
Citigroup Inc.
|
|
$
|
421
|
3.400%—05/01/2026
|
$464
|
|
169
|
3.520%—10/27/20284
|
186
|
|
279
|
4.412%—03/31/20314
|
328
|
|
|
|
978
|
|
|
JPMorgan Chase & Co.
|
|
|
476
|
4.203%—07/23/20294
|
550
|
|
330
|
4.493%—03/24/20314
|
395
|
|
|
|
945
|
|
|
Lloyds Banking Group plc
|
|
|
300
|
2.438% (U.S. Treasury 1 Year Constant Maturity Yield
+ 0.604) 02/05/20263
|
314
|
|
|
PNC Bank NA
|
|
|
250
|
3.500%—06/08/2023
|
265
|
|
|
Toronto Dominion Bank MTN5
|
|
|
600
|
0.750%—09/11/2025
|
597
|
|
|
|
3,910
|
BEVERAGES—0.7%
|
|||
|
|
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev
Worldwide Inc.
|
|
|
358
|
4.900%—02/01/2046
|
460
|
|
|
Coca-Cola Co.
|
|
|
270
|
3.000%—03/05/2051
|
293
|
|
|
PepsiCo Inc.
|
|
|
145
|
3.625%—03/19/2050
|
174
|
|
|
|
927
|
BIOTECHNOLOGY—0.3%
|
|||
|
|
Abbvie Inc.
|
|
|
300
|
4.500%—05/14/2035
|
369
|
CAPITAL MARKETS—4.3%
|
|||
|
|
Apollo Management Holdings LP
|
|
|
250
|
4.000%—05/30/20241
|
273
|
|
|
Blackstone Holdings Finance Co. LLC
|
|
|
223
|
2.800%—09/30/20501
|
225
|
|
205
|
3.150%—10/02/20271
|
224
|
|
286
|
3.500%—09/10/20491
|
329
|
|
|
|
778
|
|
|
Credit Suisse Group AG
|
|
|
291
|
1.305%—02/02/20271,3
|
287
|
|
|
Goldman Sachs Group Inc.
|
|
|
291
|
3.800%—03/15/2030
|
331
|
|
420
|
5.750%—01/24/2022
|
431
|
|
|
|
762
|
|
|
KKR Group Finance Co. II LLC
|
|
|
289
|
5.500%—02/01/20431
|
397
|
|
|
KKR Group Finance Co. III LLC
|
|
|
140
|
5.125%—06/01/20441
|
187
|
|
|
Macquarie Group Ltd.
|
|
|
363
|
1.340%—01/12/20271,4
|
362
|
|
165
|
3.189%—11/28/20231,4
|
171
|
|
|
|
533
|
|
|
Macquarie Group Ltd. MTN5
|
|
|
250
|
4.150%—03/27/20241,4
|
264
|
|
|
Moody's Corp.
|
|
|
248
|
2.550%—08/18/2060
|
229
|
|
|
Morgan Stanley MTN5
|
|
|
645
|
3.125%—07/27/2026
|
702
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
CAPITAL MARKETS—Continued
|
|||
$
|
285
|
3.622%—04/01/20314
|
$321
|
|
252
|
3.875%—01/27/2026
|
283
|
|
|
|
1,306
|
|
|
State Street Corp.
|
|
|
110
|
2.901%—03/30/20264
|
118
|
|
95
|
3.152%—03/30/20314
|
106
|
|
|
|
224
|
|
|
UBS Group AG
|
|
|
300
|
4.125%—04/15/20261
|
338
|
|
|
|
5,578
|
COMMUNICATIONS EQUIPMENT—0.3%
|
|||
|
|
Juniper Networks Inc.
|
|
|
365
|
1.200%—12/10/2025
|
366
|
CONSUMER FINANCE—0.9%
|
|||
|
|
American Express Co.
|
|
|
150
|
3.400%—02/27/2023
|
157
|
|
|
Capital One Financial Corp.
|
|
|
450
|
3.300%—10/30/2024
|
485
|
|
|
General Motors Financial Co. Inc.
|
|
|
444
|
4.150%—06/19/2023
|
473
|
|
|
Mastercard Inc.
|
|
|
71
|
3.850%—03/26/2050
|
88
|
|
|
|
1,203
|
DIVERSIFIED FINANCIAL SERVICES—0.6%
|
|||
|
|
Cooperatieve Rabobank U.A.
|
|
|
400
|
3.875%—09/26/20231
|
429
|
|
|
Ferguson Finance plc
|
|
|
310
|
3.250%—06/02/20301
|
339
|
|
|
|
768
|
DIVERSIFIED TELECOMMUNICATION SERVICES—1.2%
|
|||
|
|
AT&T Inc.
|
|
|
664
|
1.299% (3 Month USD Libor + 0.419) 06/12/20243
|
681
|
|
306
|
3.500%—06/01/2041
|
325
|
|
|
|
1,006
|
|
|
Verizon Communications Inc.
|
|
|
162
|
4.500%—08/10/2033
|
198
|
|
247
|
4.522%—09/15/2048
|
313
|
|
|
|
511
|
|
|
|
1,517
|
ELECTRIC UTILITIES—3.1%
|
|||
|
|
Berkshire Hathaway Energy Co.
|
|
|
195
|
4.050%—04/15/2025
|
217
|
|
525
|
6.125%—04/01/2036
|
753
|
|
|
|
970
|
|
|
CenterPoint Energy Inc.
|
|
|
401
|
1.450%—06/01/2026
|
406
|
|
|
Duke Energy Carolinas, LLC
|
|
|
111
|
3.950%—03/15/2048
|
134
|
|
|
Eversource Energy
|
|
|
260
|
2.750%—03/15/2022
|
264
|
|
200
|
2.900%—10/01/2024
|
213
|
|
|
|
477
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
ELECTRIC UTILITIES—Continued
|
|||
|
|
Exelon Corp.
|
|
$
|
82
|
4.700%—04/15/2050
|
$107
|
|
368
|
5.100%—06/15/2045
|
494
|
|
|
|
601
|
|
|
Southern Co.
|
|
|
430
|
3.250%—07/01/2026
|
470
|
|
298
|
4.250%—07/01/2036
|
353
|
|
|
|
823
|
|
|
Virginia Electric & Power Co.
|
|
|
305
|
3.150%—01/15/2026
|
335
|
|
|
Xcel Energy Inc.
|
|
|
220
|
3.400%—06/01/2030
|
245
|
|
|
|
3,991
|
ENTERTAINMENT—0.2%
|
|||
|
|
Walt Disney Co.
|
|
|
164
|
4.700%—03/23/2050
|
224
|
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)—1.3%
|
|||
|
|
Boston Properties LP
|
|
|
468
|
4.500%—12/01/2028
|
553
|
|
|
Digital Realty Trust LP
|
|
|
491
|
3.700%—08/15/2027
|
554
|
|
|
Federal Realty Investment Trust
|
|
|
582
|
1.250%—02/15/2026
|
585
|
|
|
|
1,692
|
FOOD & STAPLES RETAILING—0.2%
|
|||
|
|
Walmart Inc.
|
|
|
166
|
3.950%—06/28/2038
|
203
|
HEALTH CARE PROVIDERS & SERVICES—1.3%
|
|||
|
|
Cigna Corp.
|
|
|
495
|
3.400%—03/01/2027
|
548
|
|
|
CommonSpirit Health
|
|
|
225
|
3.910%—10/01/2050
|
256
|
|
232
|
4.187%—10/01/2049
|
275
|
|
|
|
531
|
|
|
PeaceHealth Obligated Group
|
|
|
580
|
1.375%—11/15/2025
|
590
|
|
|
|
1,669
|
HOTELS, RESTAURANTS & LEISURE—0.2%
|
|||
|
|
McDonald's Corp. MTN5
|
|
|
225
|
3.500%—07/01/2027
|
251
|
INSURANCE—1.8%
|
|||
|
|
American International Group Inc.
|
|
|
465
|
4.125%—02/15/2024
|
506
|
|
|
Equitable Financial Life Global Funding
|
|
|
425
|
1.400%—07/07/20251
|
432
|
|
|
Five Corners Funding Trust
|
|
|
250
|
4.419%—11/15/20231
|
272
|
|
|
Liberty Mutual Group Inc.
|
|
|
400
|
4.569%—02/01/20291
|
472
|
|
|
Lincoln National Corp.
|
|
|
266
|
3.400%—01/15/2031
|
296
|
|
173
|
3.625%—12/12/2026
|
193
|
|
|
|
489
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
INSURANCE—Continued
|
|||
|
|
Mass Mutual Life Insurance Co.
|
|
$
|
170
|
3.375%—04/15/20501
|
$183
|
|
|
|
2,354
|
MEDIA—1.3%
|
|||
|
|
Charter Communications Operating LLC / Charter
Communications Operating Capital
|
|
|
478
|
6.384%—10/23/2035
|
647
|
|
|
Comcast Corp.
|
|
|
146
|
3.300%—04/01/2027
|
162
|
|
392
|
3.400%—04/01/2030
|
438
|
|
|
|
600
|
|
|
COX Communications Inc.
|
|
|
390
|
1.800%—10/01/20301
|
379
|
|
|
|
1,626
|
MULTI-UTILITIES—0.3%
|
|||
|
|
WEC Energy Group Inc.
|
|
|
348
|
1.375%—10/15/2027
|
346
|
OIL, GAS & CONSUMABLE FUELS—2.2%
|
|||
|
|
Chevron Corp.
|
|
|
179
|
1.995%—05/11/2027
|
187
|
|
|
Dominion Energy Gas Holdings LLC
|
|
|
170
|
2.500%—11/15/2024
|
178
|
|
|
Exxon Mobil Corp.
|
|
|
291
|
2.992%—03/19/2025
|
313
|
|
|
Occidental Petroleum Corp.
|
|
|
1,313
|
0.000%—10/10/20366
|
691
|
|
|
Phillips 66 Partners LP
|
|
|
197
|
3.605%—02/15/2025
|
213
|
|
|
Schlumberger Holdings Corp.
|
|
|
252
|
3.900%—05/17/20281
|
283
|
|
|
Shell International Finance BV
|
|
|
267
|
2.375%—04/06/2025
|
281
|
|
|
Southern Co. Gas Capital Corp.
|
|
|
220
|
1.750%—01/15/2031
|
215
|
|
|
Sunoco Logistics Partners Operations LP
|
|
|
375
|
3.900%—07/15/2026
|
413
|
|
|
|
2,774
|
PHARMACEUTICALS—0.2%
|
|||
|
|
Pfizer Inc.
|
|
|
297
|
2.550%—05/28/2040
|
306
|
PROFESSIONAL SERVICES—0.5%
|
|||
|
|
Verisk Analytics Inc.
|
|
|
610
|
3.625%—05/15/2050
|
672
|
ROAD & RAIL—1.4%
|
|||
|
|
Canadian National Railway Co.
|
|
|
172
|
3.650%—02/03/2048
|
197
|
|
|
Canadian Pacific Railway Co.
|
|
|
190
|
6.125%—09/15/2115
|
304
|
|
|
Norfolk Southern Corp.
|
|
|
310
|
4.837%—10/01/2041
|
403
|
|
|
Penske Truck Leasing Co. LP / PTL Finance Corp.
|
|
|
500
|
3.900%—02/01/20241
|
537
|
|
|
Ryder System Inc. MTN5
|
|
|
307
|
3.650%—03/18/2024
|
330
|
|
|
|
1,771
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—0.7%
|
|||
|
|
Broadcom Inc.
|
|
$
|
272
|
4.110%—09/15/2028
|
$307
|
|
|
LAM Research Corp.
|
|
|
110
|
2.875%—06/15/2050
|
115
|
|
|
NXP BV / NXP Funding LLC
|
|
|
251
|
4.625%—06/01/20231
|
269
|
|
|
NXP BV / NXP Funding LLC / NXP USA Inc.
|
|
|
255
|
2.700%—05/01/20251
|
270
|
|
|
|
961
|
SOFTWARE—0.4%
|
|||
|
|
Oracle Corp.
|
|
|
443
|
2.500%—04/01/2025
|
467
|
SPECIALTY RETAIL—0.3%
|
|||
|
|
Home Depot Inc.
|
|
|
220
|
3.300%—04/15/2040
|
246
|
|
|
Lowe's Cos. Inc.
|
|
|
107
|
3.700%—04/15/2046
|
120
|
|
59
|
5.000%—04/15/2040
|
78
|
|
|
|
198
|
|
|
|
444
|
TRADING COMPANIES & DISTRIBUTORS—0.7%
|
|||
|
|
AerCap Ireland Capital DAC / AerCap Global Aviation
Trust
|
|
|
272
|
4.125%—07/03/2023
|
288
|
|
|
Air Lease Corp.
|
|
|
374
|
3.875%—07/03/2023
|
397
|
|
|
Ferguson Finance plc
|
|
|
236
|
4.500%—10/24/20281
|
277
|
|
|
|
962
|
WATER UTILITIES—0.2%
|
|||
|
|
Aquarion Co.
|
|
|
238
|
4.000%—08/15/20241
|
259
|
WIRELESS TELECOMMUNICATION SERVICES—0.1%
|
|||
|
|
T-Mobile USA Inc.
|
|
|
132
|
3.500%—04/15/2025
|
144
|
TOTAL CORPORATE BONDS & NOTES
|
|||
(Cost $36,959)
|
40,335
|
||
|
|||
MORTGAGE PASS-THROUGH—25.3%
|
|||
|
|
Federal Home Loan Mortgage Corp.
|
|
|
570
|
2.000%—06/01/2050-08/01/2050
|
586
|
|
286
|
2.041%—06/01/20473
|
299
|
|
4,508
|
2.500%—08/01/2030-02/01/2051
|
4,713
|
|
309
|
2.769%—01/01/20493
|
322
|
|
4,029
|
3.000%—06/01/2034-09/01/2050
|
4,324
|
|
1,934
|
3.500%—01/01/2048-05/01/2050
|
2,066
|
|
679
|
4.000%—02/01/2046-05/01/2049
|
734
|
|
265
|
4.500%—03/01/2049
|
287
|
|
|
|
13,331
|
|
|
Federal National Mortgage Association
|
|
|
3,933
|
2.000%—08/01/2050-08/01/2051
|
4,027
|
|
1,262
|
2.500%—08/01/2035-10/01/2050
|
1,327
|
|
365
|
2.670%—04/01/20473
|
382
|
|
3,502
|
3.000%—11/01/2034-08/01/2050
|
3,726
|
|
2,068
|
3.500%—10/01/2037-06/01/2050
|
2,238
|
MORTGAGE PASS-THROUGH—Continued
|
|||
Principal
Amount
|
|
Value
|
|
$
|
1,671
|
4.000%—04/01/2045-04/01/2050
|
$1,817
|
|
1,712
|
4.500%—05/01/2046-02/01/2050
|
1,888
|
|
562
|
5.000%—08/01/2049
|
617
|
|
|
|
16,022
|
|
|
Government National Mortgage Association
|
|
|
1,150
|
2.500%—01/20/2051
|
1,214
|
|
541
|
4.000%—09/20/2041-09/15/2046
|
598
|
|
1,324
|
4.500%—01/15/2042-08/20/2047
|
1,459
|
|
|
|
3,271
|
TOTAL MORTGAGE PASS-THROUGH
|
|||
(Cost $32,112)
|
32,624
|
||
|
|||
MUNICIPAL BONDS—2.2%
|
|||
|
|
City & County of Denver Co. Airport System
|
|
|
375
|
1.722%—11/15/2027
|
385
|
|
|
Florida State Board of Administration Finance Corp.
|
|
|
274
|
1.258%—07/01/2025
|
279
|
|
|
Metropolitan Transportation Authority
|
|
|
195
|
5.871%—11/15/2039
|
263
|
|
|
Metropolitan Water Reclamation District of Greater
Chicago
|
|
|
145
|
5.720%—12/01/2038
|
209
|
|
|
New York State Urban Development Corp.
|
|
|
555
|
5.770%—03/15/2039
|
707
|
|
|
Port Authority of New York and New Jersey
|
|
|
555
|
1.086%—07/01/2023
|
563
|
|
|
State of California
|
|
|
300
|
7.500%—04/01/2034
|
480
|
TOTAL MUNICIPAL BONDS
|
|||
(Cost $2,653)
|
2,886
|
||
|
|||
U.S. GOVERNMENT OBLIGATIONS—16.8%
|
|||
|
|
U.S. Small Business Administration
|
|
|
|
Series 2012-20C Cl. 1
|
|
|
132
|
2.510%—03/01/2032
|
138
|
|
|
Series 2017-20H Cl. 1
|
|
|
146
|
2.750%—08/01/2037
|
158
|
|
|
Series 2014-20K Cl. 1
|
|
|
276
|
2.800%—11/01/2034
|
296
|
|
|
Series 2016-20L Cl. 1
|
|
|
956
|
2.810%—12/01/2036
|
1,037
|
|
|
Series 2015-20H Cl. 1
|
|
|
304
|
2.820%—08/01/2035
|
326
|
|
|
Series 2017-20J Cl. 1
|
|
|
220
|
2.850%—10/01/2037
|
236
|
|
|
Series 2018-20B Cl. 1
|
|
|
279
|
3.220%—02/01/2038
|
309
|
|
|
Series 2018-20G Cl. 1
|
|
|
374
|
3.540%—07/01/2038
|
420
|
|
|
Series 2018-20F Cl. 1
|
|
|
584
|
3.600%—06/01/2038
|
657
|
|
|
|
3,577
|
|
|
U.S. Treasury Bonds
|
|
|
3,786
|
1.125%—08/15/2040
|
3,372
|
|
1,744
|
1.375%—08/15/2050
|
1,532
|
|
2,711
|
1.875%—02/15/2041-02/15/2051
|
2,710
|
|
1,339
|
3.000%—08/15/2048
|
1,655
|
|
|
|
9,269
|
U.S. GOVERNMENT OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
|
|
U.S. Treasury Inflation Index Notes7
|
|
$
|
583
|
0.125%—01/15/2030
|
$659
|
|
134
|
1.000%—02/15/2049
|
187
|
|
|
|
846
|
|
|
U.S. Treasury Notes
|
|
|
4,368
|
0.750%—04/30/2026
|
4,387
|
|
3,221
|
1.125%—02/15/2031-05/15/2040
|
3,047
|
|
691
|
1.250%—05/15/2050
|
588
|
|
|
|
8,022
|
TOTAL U.S. GOVERNMENT OBLIGATIONS
|
|||
(Cost $21,208)
|
21,714
|
||
TOTAL INVESTMENTS—99.1%
|
|||
(Cost $122,860)
|
128,028
|
||
CASH AND OTHER ASSETS, LESS LIABILITIES—0.9%
|
1,185
|
||
TOTAL NET ASSETS—100.0%
|
$129,213
|
Valuation Description
|
Beginning
Balance
as of 11/01/2020
(000s)
|
Purchases
(000s)
|
Sales
(000s)
|
Discount/
(Premium)
(000s)
|
Total Realized
Gain/(Loss)
(000s)
|
Change in
Unrealized
Appreciation/
(Depreciation)
(000s)
|
Transfers
Into
Level 3
(000s)
|
Transfers
Out of
Level 3h
(000s)
|
Ending
Balance
as of
07/31/2021
(000s)
|
Unrealized
Gain/(Loss)
as of
07/31/2021
(000s)
|
Asset-Backed Securities
|
$349
|
$—
|
$—
|
$(20)
|
$—
|
$—
|
$—
|
$(329)
|
$—
|
$—
|
Collateralized Mortgage
Obligations
|
327
|
—
|
—
|
(60)
|
—
|
(5)
|
—
|
(262)
|
—
|
$—
|
|
$676
|
$—
|
$—
|
$(80)
|
$—
|
$(5)
|
$—
|
$(591)
|
$—
|
$—
|
1
|
Securities purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt
from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities.
At July 31, 2021, the aggregate value of
these securities was $25,971 or 20% of net assets.
|
2
|
CLO after the name of a security stands for Collateralized Loan Obligation.
|
3
|
Variable or floating rate security; the stated rate represents the rate in effect at July 31, 2021. The variable rate for
such securities may be based on the indicated
reference rate and spread or on an underlying asset or pool of assets rather than a reference rate and may be determined by
current interest rates, prepayments or
other financial indicators.
|
4
|
Rate changes from fixed to variable rate at a specified date prior to its final maturity. Stated rate is fixed rate currently
in effect and stated date is the final maturity
date.
|
5
|
MTN after the name of a security stands for Medium Term Note.
|
6
|
Zero coupon bond
|
7
|
Inflation-protected securities (“IPS”) are securities in which the principal amount is adjusted for inflation and interest payments are applied to the inflation-adjusted
principal.
|
h
|
Transferred from Level 3 to Level 2 due to the availability of observable market data pricing
|
BANK LOAN OBLIGATIONS—5.8%
|
|||
Principal
Amount
|
|
Value
|
|
AUTO COMPONENTS—0.1%
|
|||
|
|
Mavis Tire Express Services Corp.
|
|
|
|
Term Loan B
|
|
$
|
313
|
4.750% (Libor Floor + 4.000) 05/04/20281
|
$313
|
CAPITAL MARKETS—0.1%
|
|||
|
|
Skopima Merger Sub Inc.
|
|
|
|
Term Loan B
|
|
|
500
|
4.500% (Libor Floor + 4.000) 04/30/20281
|
497
|
CHEMICALS—0.8%
|
|||
|
|
Gibraltar Industries Inc.
|
|
|
|
Bridge Loan
|
|
|
2,419
|
0.000%—7/28/2022
|
2,419
|
|
|
Solenis International LP
|
|
|
|
Initial First-Lien Term Loan
|
|
|
597
|
4.135% (3 Month USD Libor + 4.000) 06/26/20251
|
597
|
|
|
|
3,016
|
COMMUNICATIONS EQUIPMENT—0.1%
|
|||
|
|
PQ Group Holdings Inc.
|
|
|
|
Term Loan
|
|
|
265
|
4.250% (Libor Floor + 3.500) 05/04/20281
|
265
|
CONTAINERS & PACKAGING—0.7%
|
|||
|
|
Cubic Corp.
|
|
|
|
Term Loan B
|
|
|
555
|
5.000% (Libor Floor + 4.250) 05/25/20281
|
557
|
|
|
Term Loan C
|
|
|
113
|
5.000% (Libor Floor + 4.250) 05/25/20281
|
113
|
|
|
|
670
|
|
|
Mauser Packaging Solutions Holding Co.
|
|
|
|
Term Loan B
|
|
|
2,024
|
3.342% (1 Month USD Libor + 3.250) 04/03/20241
|
1,963
|
|
|
|
2,633
|
DIVERSIFIED TELECOMMUNICATION SERVICES—0.2%
|
|||
|
|
Intrado Corp.
|
|
|
|
Term Loan B
|
|
|
610
|
5.000% (Libor Floor + 4.000) 10/10/20241
|
596
|
ENTERTAINMENT—0.3%
|
|||
|
|
William Morris Endeavor Entertainment LLC
|
|
|
|
First-Lien Term Loan B
|
|
|
1,119
|
2.850% (1 Month USD Libor + 2.750) 05/18/20251
|
1,091
|
HEALTH CARE PROVIDERS & SERVICES—0.4%
|
|||
|
|
ADMI Corp.
|
|
|
|
Term Loan B2
|
|
|
767
|
3.625% (Libor Floor + 3.125) 12/23/20271
|
762
|
|
|
AHP Health Partners Inc.
|
|
|
|
Term Loan
|
|
|
625
|
4.750% (Libor Floor + 3.750) 06/30/20251
|
627
|
|
|
|
1,389
|
HEALTH CARE TECHNOLOGY—0.4%
|
|||
|
|
AthenaHealth Inc.
|
|
|
|
Term Loan
|
|
|
1,213
|
4.410% (3 Month USD Libor + 4.250) 02/11/20261
|
1,215
|
|
|
Verscend Holding Corp.
|
|
|
|
Term Loan B
|
|
|
267
|
4.092% (1 Month USD Libor + 4.000) 08/27/20251
|
267
|
|
|
|
1,482
|
BANK LOAN OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
HOTELS, RESTAURANTS & LEISURE—0.3%
|
|||
|
|
IRB Holding Corp.
|
|
|
|
Incremental Term Loan
|
|
$
|
1,043
|
4.250% (Libor Floor + 3.250) 12/15/20271
|
$1,041
|
INSURANCE—0.3%
|
|||
|
|
Asurion LLC
|
|
|
|
Second-Lien Term Loan
|
|
|
716
|
5.342% (1 Month USD Libor + 5.250) 01/20/2029
|
714
|
|
|
Term Loan B3
|
|
|
249
|
5.342% (1 Month USD Libor + 5.250) 02/03/20281
|
248
|
|
|
|
962
|
IT SERVICES—0.2%
|
|||
|
|
Optiv Security Inc.
|
|
|
|
First-Lien Term Loan
|
|
|
566
|
4.250% (Libor Floor + 3.250) 02/01/20241
|
555
|
MEDIA—0.4%
|
|||
|
|
DIRECTV Financing LLC
|
|
|
|
Term Loan
|
|
|
525
|
5.750% (Libor Floor + 5.000) 07/21/2027
|
525
|
|
|
Triton Water Holdings Inc.
|
|
|
|
Term Loan
|
|
|
595
|
4.000% (Libor Floor + 3.500) 03/31/20281
|
591
|
|
|
Univision Communications Inc.
|
|
|
|
Term Loan
|
|
|
203
|
3.750% (Libor Floor + 2.750) 03/15/20241
|
202
|
|
|
|
1,318
|
PROFESSIONAL SERVICES—0.1%
|
|||
|
|
Indy US Bidco LLC
|
|
|
|
Term Loan B
|
|
|
469
|
4.103% (1 Month USD Libor + 4.000) 03/05/20281
|
469
|
SOFTWARE—1.4%
|
|||
|
|
Finastra USA Inc.
|
|
|
|
Term Loan B
|
|
|
1,366
|
4.500% (Libor Floor + 3.500) 06/13/20241
|
1,345
|
|
|
Term Loan
|
|
|
553
|
8.250% (Libor Floor + 7.250) 06/13/20251
|
558
|
|
|
|
1,903
|
|
|
Informatica LLC
|
|
|
|
Second-Lien Term Loan
|
|
|
290
|
7.125%—02/25/2025
|
297
|
|
|
Kenan Advantage Group Inc.
|
|
|
|
Term Loan B1
|
|
|
525
|
4.500% (Libor Floor + 3.750) 03/24/20261
|
526
|
|
|
Project Alpha Intermediate Holding Inc.
|
|
|
|
Term Loan B
|
|
|
227
|
4.100% (1 Month USD Libor + 4.000) 04/26/20241
|
227
|
|
|
RealPage Inc.
|
|
|
|
First-Lien Term Loan
|
|
|
540
|
3.750% (Libor Floor + 3.250) 04/22/20281
|
537
|
|
|
TIBCO Software Inc.
|
|
|
|
Term Loan B
|
|
|
546
|
3.850% (1 Month USD Libor + 3.750) 07/03/20261
|
541
|
BANK LOAN OBLIGATIONS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
SOFTWARE—Continued
|
|||
|
|
Second-Lien Term Loan
|
|
$
|
1,049
|
7.350% (1 Month USD Libor + 7.250) 03/04/20281
|
$1,063
|
|
|
|
1,604
|
|
|
|
5,094
|
TOTAL BANK LOAN OBLIGATIONS
|
|||
(Cost $20,633)
|
20,721
|
||
|
|||
CONVERTIBLE BONDS—6.1%
|
|||
AEROSPACE & DEFENSE—0.1%
|
|||
|
|
Parsons Corp.
|
|
|
171
|
0.250%—08/15/20252
|
181
|
AIRLINES—0.2%
|
|||
|
|
Spirit Airlines Inc.
|
|
|
775
|
1.000%—05/15/2026
|
729
|
AUTOMOBILES—0.1%
|
|||
|
|
Ford Motor Co.
|
|
|
384
|
0.000%—03/15/20262,3
|
413
|
CONSUMER FINANCE—0.2%
|
|||
|
|
LendingTree Inc.
|
|
|
782
|
0.500%—07/15/2025
|
707
|
DIVERSIFIED CONSUMER SERVICES—0.3%
|
|||
|
|
Chegg Inc.
|
|
|
175
|
0.000%—09/01/20262,3
|
190
|
|
|
K12 Inc.
|
|
|
864
|
1.125%—09/01/20272
|
791
|
|
|
|
981
|
DIVERSIFIED TELECOMMUNICATION SERVICES—0.1%
|
|||
|
|
Vonage Holdings Corp.
|
|
|
450
|
1.750%—06/01/2024
|
501
|
HEALTH CARE EQUIPMENT & SUPPLIES—0.6%
|
|||
|
|
Dexcom Inc.
|
|
|
602
|
0.250%—11/15/2025
|
685
|
|
|
Haemonetics Corp.
|
|
|
850
|
0.000%—03/01/20262,3
|
729
|
|
|
Integra Lifesciences Holdings Corp.
|
|
|
169
|
0.500%—08/15/2025
|
193
|
|
|
Nuvasive Inc.
|
|
|
675
|
1.000%—06/01/2023
|
695
|
|
|
|
2,302
|
HOTELS, RESTAURANTS & LEISURE—0.5%
|
|||
|
|
DraftKings Inc.
|
|
|
1,271
|
0.000%—03/15/20282,3
|
1,120
|
|
|
The Cheesecake Factory Inc.
|
|
|
540
|
0.375%—06/15/2026
|
507
|
|
|
Vail Resorts Inc.
|
|
|
349
|
0.000%—01/01/20262,3
|
352
|
|
|
|
1,979
|
INTERACTIVE MEDIA & SERVICES—1.0%
|
|||
|
|
Liberty Tripadvisor Holdings Inc.
|
|
|
722
|
0.500%—06/30/20512
|
618
|
|
|
Spotify USA Inc.
|
|
|
1,187
|
0.000%—03/15/20262,3
|
1,072
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
INTERACTIVE MEDIA & SERVICES—Continued
|
|||
|
|
Tripadvisor Inc.
|
|
$
|
1,023
|
0.250%—04/01/20262
|
$947
|
|
|
Twitter Inc.
|
|
|
933
|
0.000%—03/15/20262,3
|
901
|
|
|
|
3,538
|
INTERNET & DIRECT MARKETING RETAIL—0.2%
|
|||
|
|
Wayfair Inc.
|
|
|
660
|
0.625%—10/01/20252
|
644
|
IT SERVICES—0.2%
|
|||
|
|
Euronet Worldwide Inc.
|
|
|
163
|
0.750%—03/15/2049
|
191
|
|
|
Wix.com Ltd.
|
|
|
520
|
0.000%—08/15/20252,3
|
569
|
|
|
|
760
|
MACHINERY—0.1%
|
|||
|
|
Fortive Corp.
|
|
|
430
|
0.875%—02/15/2022
|
433
|
MEDIA—0.3%
|
|||
|
|
Dish Network Corp.
|
|
|
1,130
|
3.375%—08/15/2026
|
1,161
|
PHARMACEUTICALS—0.3%
|
|||
|
|
BioMarin Pharmaceutical Inc.
|
|
|
976
|
1.250%—05/15/2027
|
965
|
REAL ESTATE MANAGEMENT & DEVELOPMENT—0.1%
|
|||
|
|
Realogy Group LLC / Realogy Co.-Issuer Corp.
|
|
|
500
|
0.250%—06/15/20262
|
509
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—0.4%
|
|||
|
|
Enphase Energy Inc.
|
|
|
1,581
|
0.000%—03/01/2026-03/01/20282,3
|
1,598
|
SOFTWARE—0.9%
|
|||
|
|
Bentley Systems Inc.
|
|
|
195
|
0.125%—01/15/20262
|
225
|
|
374
|
0.375%—07/01/20272
|
376
|
|
|
|
601
|
|
|
Box Inc.
|
|
|
169
|
0.000%—01/15/20262,3
|
194
|
|
|
CyberArk Software Ltd.
|
|
|
165
|
0.000%—11/15/20243
|
189
|
|
|
Envestnet Inc.
|
|
|
650
|
0.750%—08/15/20252
|
647
|
|
|
J2 Global Inc.
|
|
|
157
|
1.750%—11/01/20262
|
203
|
|
|
RingCentral Inc.
|
|
|
180
|
0.000%—03/15/20262,3
|
177
|
|
|
Splunk Inc.
|
|
|
1,098
|
1.125%—06/15/2027
|
1,073
|
|
|
|
3,084
|
SPECIALTY RETAIL—0.4%
|
|||
|
|
Liberty Interactive LLC
|
|
|
1,675
|
3.750%—02/15/2030
|
1,294
|
CONVERTIBLE BONDS—Continued
|
|||
Principal
Amount
|
|
Value
|
|
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—0.1%
|
|||
|
|
Pure Storage Inc.
|
|
$
|
215
|
0.125%—04/15/2023
|
$226
|
TOTAL CONVERTIBLE BONDS
|
|||
(Cost $21,682)
|
22,005
|
||
|
|||
CORPORATE BONDS & NOTES—85.4%
|
|||
AEROSPACE & DEFENSE—1.9%
|
|||
|
|
Howmet Aerospace Inc.
|
|
|
217
|
5.900%—02/01/2027
|
257
|
|
341
|
5.950%—02/01/2037
|
433
|
|
219
|
6.875%—05/01/2025
|
255
|
|
|
|
945
|
|
|
TransDigm Inc.
|
|
|
1,748
|
6.250%—03/15/20262
|
1,835
|
|
385
|
6.375%—06/15/2026
|
399
|
|
1,145
|
8.000%—12/15/20252
|
1,231
|
|
|
|
3,465
|
|
|
TransDigm UK Holdings plc
|
|
|
1,245
|
6.875%—05/15/2026
|
1,317
|
|
|
Triumph Group Inc.
|
|
|
220
|
7.750%—08/15/2025
|
222
|
|
726
|
8.875%—06/01/20242
|
805
|
|
|
|
1,027
|
|
|
|
6,754
|
AIR FREIGHT & LOGISTICS—1.1%
|
|||
|
|
XPO Logistics Inc.
|
|
|
796
|
6.125%—09/01/20232
|
801
|
|
1,720
|
6.250%—05/01/20252
|
1,828
|
|
1,287
|
6.750%—08/15/20242
|
1,339
|
|
|
|
3,968
|
AIRLINES—0.8%
|
|||
|
|
American Airlines Inc./Aadvantage Loyalty IP Ltd.
|
|
|
431
|
5.500%—04/20/20262
|
452
|
|
1,150
|
5.750%—04/20/20292
|
1,242
|
|
|
|
1,694
|
|
|
Western Global Airlines LLC
|
|
|
1,157
|
10.375%—08/15/20252
|
1,307
|
|
|
|
3,001
|
AUTO COMPONENTS—1.7%
|
|||
|
|
Adient US LLC
|
|
|
536
|
9.000%—04/15/20252
|
587
|
|
|
Allison Transmission Inc.
|
|
|
592
|
3.750%—01/30/20312
|
591
|
|
|
American Axle & Manufacturing Inc.
|
|
|
284
|
6.250%—04/01/2025
|
294
|
|
|
Dana Financing Luxembourg Sarl
|
|
|
615
|
5.750%—04/15/20252
|
635
|
|
|
Goodyear Tire & Rubber Co.
|
|
|
523
|
5.000%—05/31/2026
|
538
|
|
245
|
5.000%—07/15/20292
|
258
|
|
422
|
5.250%—04/30/2031
|
447
|
|
196
|
5.250%—07/15/20312
|
207
|
|
313
|
5.625%—04/30/2033
|
333
|
|
1,115
|
9.500%—05/31/2025
|
1,236
|
|
|
|
3,019
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
AUTO COMPONENTS—Continued
|
|||
|
|
Panther BF Aggregator 2 LP / Panther Finance Co. Inc.
|
|
$
|
146
|
6.250%—05/15/20262
|
$154
|
|
|
Tenneco Inc.
|
|
|
688
|
5.125%—04/15/20292
|
709
|
|
|
|
5,989
|
AUTOMOBILES—2.6%
|
|||
|
|
Ford Motor Co.
|
|
|
607
|
4.750%—01/15/2043
|
667
|
|
376
|
5.291%—12/08/2046
|
431
|
|
571
|
8.500%—04/21/2023
|
635
|
|
597
|
9.000%—04/22/2025
|
736
|
|
|
|
2,469
|
|
|
Ford Motor Credit Co. LLC
|
|
|
486
|
3.625%—06/17/2031
|
504
|
|
1,188
|
4.000%—11/13/2030
|
1,258
|
|
2,164
|
4.125%—08/17/2027
|
2,318
|
|
418
|
5.125%—06/16/2025
|
461
|
|
|
|
4,541
|
|
|
Jaguar Land Rover Automotive plc
|
|
|
783
|
5.500%—07/15/20292
|
784
|
|
676
|
5.875%—01/15/20282
|
701
|
|
676
|
7.750%—10/15/20252
|
736
|
|
|
|
2,221
|
|
|
|
9,231
|
BEVERAGES—0.2%
|
|||
|
|
Triton Water Holdings Inc.
|
|
|
707
|
6.250%—04/01/20292
|
709
|
BUILDING PRODUCTS—0.6%
|
|||
|
|
Forterra Finance LLC / FRTA Finance Corp.
|
|
|
713
|
6.500%—07/15/20252
|
766
|
|
|
Masonite International Corp.
|
|
|
453
|
3.500%—02/15/20302
|
457
|
|
|
Standard Industries Inc.
|
|
|
866
|
3.375%—01/15/20312
|
841
|
|
|
|
2,064
|
CAPITAL MARKETS—1.7%
|
|||
|
|
Ambience Merger Sub Inc.
|
|
|
586
|
4.875%—07/15/20282
|
589
|
|
239
|
7.125%—07/15/20292
|
242
|
|
|
|
831
|
|
|
AP Core Holdings II LLC
|
|
|
545
|
1.000%—07/21/2027
|
542
|
|
|
CTR Partnership LP / CareTrust Capital Corp.
|
|
|
580
|
3.875%—06/30/20282
|
596
|
|
|
Global Infrastructure Solutions Inc.
|
|
|
860
|
5.625%—06/01/20292
|
885
|
|
|
GrafTech Finance Inc.
|
|
|
954
|
4.625%—12/15/20282
|
981
|
|
|
Metis Merger Sub LLC
|
|
|
1,174
|
6.500%—05/15/20292
|
1,153
|
|
|
MSCI Inc.
|
|
|
520
|
3.625%—11/01/20312
|
550
|
|
|
RP Escrow Issuer LLC
|
|
|
445
|
5.250%—12/15/20252
|
457
|
|
|
|
5,995
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
CHEMICALS—2.9%
|
|||
|
|
Herens Holdco Sarl
|
|
$
|
1,087
|
4.750%—05/15/20282
|
$1,080
|
|
|
Illuminate Buyer LLC / Illuminate Holdings IV Inc.
|
|
|
1,001
|
9.000%—07/01/20282
|
1,115
|
|
|
Ineos Quattro Finance 2 plc
|
|
|
549
|
3.375%—01/15/20262
|
553
|
|
|
Methanex Corp.
|
|
|
1,687
|
5.125%—10/15/2027
|
1,831
|
|
309
|
5.250%—12/15/2029
|
342
|
|
|
|
2,173
|
|
|
Olin Corp.
|
|
|
332
|
9.500%—06/01/20252
|
415
|
|
|
Polar US Borrower LLC / Schenectady International
Group Inc.
|
|
|
1,195
|
6.750%—05/15/20262
|
1,219
|
|
|
PolyOne Corp.
|
|
|
456
|
5.750%—05/15/20252
|
480
|
|
|
Scih Salt Holdings Inc.
|
|
|
953
|
4.875%—05/01/20282
|
955
|
|
796
|
6.625%—05/01/20292
|
789
|
|
|
|
1,744
|
|
|
Trinseo LLC
|
|
|
705
|
5.375%—09/01/20252
|
721
|
|
|
Trinseo Materials Operating SCA / Trinseo Materials
Finance Inc.
|
|
|
422
|
5.125%—04/01/20292
|
430
|
|
|
Tronox Inc.
|
|
|
387
|
6.500%—05/01/20252
|
411
|
|
|
|
10,341
|
COMMERCIAL SERVICES & SUPPLIES—3.7%
|
|||
|
|
Allied Universal Holdco LLC
|
|
|
700
|
4.625%—06/01/20282
|
703
|
|
1,249
|
6.625%—07/15/20262
|
1,324
|
|
1,835
|
9.750%—07/15/20272
|
2,015
|
|
|
|
4,042
|
|
|
Covanta Holding Corp.
|
|
|
438
|
5.875%—07/01/2025
|
455
|
|
|
Garda World Security Corp.
|
|
|
908
|
6.000%—06/01/20292
|
890
|
|
1,569
|
9.500%—11/01/20272
|
1,713
|
|
|
|
2,603
|
|
|
GFL Environmental Inc.
|
|
|
663
|
3.500%—09/01/20282
|
666
|
|
574
|
4.000%—08/01/20282
|
568
|
|
202
|
5.125%—12/15/20262
|
213
|
|
|
|
1,447
|
|
|
KAR Auction Services Inc.
|
|
|
1,718
|
5.125%—06/01/20252
|
1,761
|
|
|
LABL Escrow Issuer LLC
|
|
|
1,194
|
6.750%—07/15/20262
|
1,268
|
|
1,092
|
10.500%—07/15/20272
|
1,203
|
|
|
|
2,471
|
|
|
Stericycle Inc.
|
|
|
465
|
5.375%—07/15/20242
|
479
|
|
|
|
13,258
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
COMMUNICATIONS EQUIPMENT—0.4%
|
|||
|
|
CommScope Inc.
|
|
$
|
535
|
6.000%—03/01/20262
|
$558
|
|
389
|
7.125%—07/01/20282
|
421
|
|
|
|
979
|
|
|
CommScope Technologies LLC
|
|
|
454
|
6.000%—06/15/20252
|
462
|
|
|
|
1,441
|
CONSTRUCTION & ENGINEERING—0.6%
|
|||
|
|
Picasso Finance Sub Inc.
|
|
|
728
|
6.125%—06/15/20252
|
773
|
|
|
VM Consolidated Inc.
|
|
|
1,256
|
5.500%—04/15/20292
|
1,284
|
|
|
|
2,057
|
CONSTRUCTION MATERIALS—0.1%
|
|||
|
|
Summit Materials LLC / Summit Materials Finance
Corp.
|
|
|
239
|
6.500%—03/15/20272
|
252
|
CONSUMER FINANCE—1.0%
|
|||
|
|
Ally Financial Inc.
|
|
|
491
|
5.750%—11/20/2025
|
562
|
|
|
Goeasy Ltd.
|
|
|
434
|
4.375%—05/01/20262
|
449
|
|
|
Navient Corp.
|
|
|
305
|
4.875%—03/15/2028
|
308
|
|
182
|
5.875%—10/25/2024
|
199
|
|
636
|
6.500%—06/15/2022
|
665
|
|
423
|
7.250%—09/25/2023
|
466
|
|
|
|
1,638
|
|
|
Navient Corp. MTN4
|
|
|
201
|
5.500%—01/25/2023
|
211
|
|
740
|
5.625%—08/01/2033
|
720
|
|
|
|
931
|
|
|
|
3,580
|
CONTAINERS & PACKAGING—1.0%
|
|||
|
|
Ardagh Packaging Finance plc
|
|
|
770
|
5.250%—04/30/20252
|
804
|
|
200
|
6.000%—02/15/20252
|
207
|
|
|
|
1,011
|
|
|
Cascades Inc.
|
|
|
522
|
5.125%—01/15/20262
|
553
|
|
|
Flex Acquisition Co. Inc.
|
|
|
1,068
|
6.875%—01/15/20252
|
1,086
|
|
999
|
7.875%—07/15/20262
|
1,043
|
|
|
|
2,129
|
|
|
|
3,693
|
DIVERSIFIED CONSUMER SERVICES—0.6%
|
|||
|
|
MAV Acquisition Corp.
|
|
|
946
|
5.750%—08/01/20282
|
944
|
|
1,182
|
8.000%—08/01/20292
|
1,158
|
|
|
|
2,102
|
DIVERSIFIED FINANCIAL SERVICES—0.1%
|
|||
|
|
Compass Group Diversified Holdings LLC
|
|
|
259
|
5.250%—04/15/20292
|
269
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
DIVERSIFIED TELECOMMUNICATION SERVICES—3.0%
|
|||
|
|
Altice Financing SA
|
|
$
|
3,147
|
7.500%—05/15/20262
|
$3,278
|
|
|
CenturyLink Inc.
|
|
|
184
|
5.125%—12/15/20262
|
192
|
|
1,048
|
6.750%—12/01/2023
|
1,161
|
|
437
|
6.875%—01/15/2028
|
496
|
|
|
|
1,849
|
|
|
Connect Finco Sarl / Connect US Finco LLC
|
|
|
1,503
|
6.750%—10/01/20262
|
1,582
|
|
|
Consolidated Communications Inc.
|
|
|
561
|
6.500%—10/01/20282
|
606
|
|
|
Lumen Technologies Inc.
|
|
|
908
|
5.375%—06/15/20292
|
933
|
|
|
Northwest Fiber LLC / Northwest Fiber Finance Sub
Inc.
|
|
|
956
|
6.000%—02/15/20282
|
943
|
|
|
Telecom Italia Capital SA
|
|
|
967
|
6.000%—09/30/2034
|
1,112
|
|
145
|
6.375%—11/15/2033
|
172
|
|
172
|
7.721%—06/04/2038
|
231
|
|
|
|
1,515
|
|
|
|
10,706
|
ELECTRIC UTILITIES—1.2%
|
|||
|
|
NRG Energy Inc.
|
|
|
1,071
|
5.250%—06/15/20292
|
1,150
|
|
1,602
|
7.250%—05/15/2026
|
1,668
|
|
|
|
2,818
|
|
|
Vistra Operations Co. LLC
|
|
|
1,115
|
4.375%—05/01/20292
|
1,146
|
|
315
|
5.500%—09/01/20262
|
325
|
|
166
|
5.625%—02/15/20272
|
172
|
|
|
|
1,643
|
|
|
|
4,461
|
ELECTRICAL EQUIPMENT—0.3%
|
|||
|
|
Clarios Global LP
|
|
|
235
|
6.750%—05/15/20252
|
250
|
|
|
Sensata Technologies Inc.
|
|
|
670
|
4.375%—02/15/20302
|
718
|
|
|
|
968
|
ENERGY EQUIPMENT & SERVICES—0.7%
|
|||
|
|
Archrock Partners LP / Archrock Partners Finance
Corp.
|
|
|
696
|
6.250%—04/01/20282
|
711
|
|
|
Indigo Natural Resources LLC
|
|
|
509
|
5.375%—02/01/20292
|
532
|
|
|
Transocean Phoenix 2 Ltd.
|
|
|
183
|
7.750%—10/15/20242
|
185
|
|
|
Transocean Poseidon Ltd.
|
|
|
479
|
6.875%—02/01/20272
|
468
|
|
|
Transocean Sentry Ltd.
|
|
|
248
|
5.375%—05/15/20232
|
235
|
|
|
USA Compression Partners LP / USA Compression
Finance Corp.
|
|
|
336
|
6.875%—09/01/2027
|
356
|
|
|
|
2,487
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
ENTERTAINMENT—0.8%
|
|||
|
|
Lions Gate Capital Holdings LLC
|
|
$
|
1,077
|
5.500%—04/15/20292
|
$1,104
|
|
|
Live Nation Entertainment Inc.
|
|
|
249
|
4.750%—10/15/20272
|
255
|
|
431
|
5.625%—03/15/20262
|
449
|
|
|
|
704
|
|
|
Netflix Inc.
|
|
|
349
|
5.875%—11/15/2028
|
434
|
|
566
|
6.375%—05/15/2029
|
729
|
|
|
|
1,163
|
|
|
|
2,971
|
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITs)—2.0%
|
|||
|
|
Diversified Healthcare Trust
|
|
|
277
|
4.375%—03/01/2031
|
271
|
|
314
|
9.750%—06/15/2025
|
347
|
|
|
|
618
|
|
|
Iron Mountain Inc.
|
|
|
1,576
|
5.625%—07/15/20322
|
1,707
|
|
|
MPT Operating Partnership LP / MPT Finance Corp.
|
|
|
744
|
5.250%—08/01/2026
|
765
|
|
|
RHP Hotel Properties LP / RHP Finance Corp.
|
|
|
182
|
4.500%—02/15/20292
|
184
|
|
|
RLJ Lodging Trust LP
|
|
|
434
|
3.750%—07/01/20262
|
441
|
|
|
Service Properties Trust
|
|
|
204
|
4.350%—10/01/2024
|
206
|
|
102
|
4.375%—02/15/2030
|
96
|
|
137
|
4.500%—06/15/2023
|
140
|
|
58
|
4.650%—03/15/2024
|
59
|
|
546
|
4.950%—02/15/2027
|
537
|
|
176
|
5.000%—08/15/2022
|
179
|
|
341
|
5.500%—12/15/2027
|
364
|
|
421
|
7.500%—09/15/2025
|
475
|
|
|
|
2,056
|
|
|
Uniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital
LLC
|
|
|
670
|
7.875%—02/15/20252
|
715
|
|
|
Uniti Group LP / Uniti Group Finance Inc. / CSL Capital
LLC
|
|
|
796
|
4.750%—04/15/20282
|
800
|
|
|
|
7,286
|
FOOD & STAPLES RETAILING—0.9%
|
|||
|
|
Albertsons Companies LLC
|
|
|
552
|
4.625%—01/15/20272
|
585
|
|
898
|
4.875%—02/15/20302
|
973
|
|
62
|
5.875%—02/15/20282
|
66
|
|
1,389
|
7.500%—03/15/20262
|
1,519
|
|
|
|
3,143
|
FOOD PRODUCTS—1.4%
|
|||
|
|
B&G Foods Inc.
|
|
|
497
|
5.250%—04/01/2025
|
510
|
|
|
Kraft Heinz Foods Co.
|
|
|
94
|
3.750%—04/01/2030
|
104
|
|
222
|
3.875%—05/15/2027
|
246
|
|
844
|
4.250%—03/01/2031
|
975
|
|
305
|
4.375%—06/01/2046
|
352
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
FOOD PRODUCTS—Continued
|
|||
$
|
1,242
|
5.200%—07/15/2045
|
$1,578
|
|
875
|
5.500%—06/01/2050
|
1,174
|
|
|
|
4,429
|
|
|
|
4,939
|
GAS UTILITIES—0.3%
|
|||
|
|
AmeriGas Partners LP
|
|
|
837
|
5.750%—05/20/2027
|
946
|
|
77
|
5.875%—08/20/2026
|
86
|
|
|
|
1,032
|
HEALTH CARE EQUIPMENT & SUPPLIES—0.1%
|
|||
|
|
Teleflex Inc.
|
|
|
319
|
4.250%—06/01/20282
|
333
|
HEALTH CARE PROVIDERS & SERVICES—5.6%
|
|||
|
|
AHP Health Partners Inc.
|
|
|
531
|
5.750%—07/15/20292
|
538
|
|
|
Centene Corp.
|
|
|
475
|
2.450%—07/15/2028
|
482
|
|
458
|
2.500%—03/01/2031
|
459
|
|
317
|
2.625%—08/01/2031
|
320
|
|
1,652
|
3.000%—10/15/2030
|
1,719
|
|
371
|
4.625%—12/15/2029
|
407
|
|
2,254
|
5.375%—06/01/20262
|
2,351
|
|
|
|
5,738
|
|
|
DaVita Inc.
|
|
|
352
|
3.750%—02/15/20312
|
342
|
|
|
Global Medical Response Inc.
|
|
|
850
|
6.500%—10/01/20252
|
883
|
|
|
HCA Inc.
|
|
|
478
|
5.625%—09/01/2028
|
575
|
|
301
|
5.875%—02/01/2029
|
369
|
|
1,424
|
7.690%—06/15/2025
|
1,736
|
|
714
|
8.360%—04/15/2024
|
842
|
|
|
|
3,522
|
|
|
HCA Inc. MTN4
|
|
|
988
|
7.580%—09/15/2025
|
1,201
|
|
|
LifePoint Health Inc.
|
|
|
118
|
5.375%—01/15/20292
|
118
|
|
848
|
6.750%—04/15/20252
|
899
|
|
|
|
1,017
|
|
|
Molina Healthcare Inc.
|
|
|
924
|
3.875%—11/15/20302
|
981
|
|
|
Regionalcare Hospital Partners Holdings Inc. /
LifePoint Health Inc.
|
|
|
1,866
|
9.750%—12/01/20262
|
1,985
|
|
|
Surgery Center Holdings Inc.
|
|
|
487
|
6.750%—07/01/20252
|
496
|
|
1,868
|
10.000%—04/15/20272
|
2,043
|
|
|
|
2,539
|
|
|
Tenet Healthcare Corp.
|
|
|
761
|
6.250%—02/01/20272
|
793
|
|
622
|
6.750%—06/15/2023
|
676
|
|
|
|
1,469
|
|
|
|
20,215
|
HEALTH CARE TECHNOLOGY—1.8%
|
|||
|
|
Change Healthcare Holdings LLC
|
|
|
2,664
|
5.750%—03/01/20252
|
2,698
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
HEALTH CARE TECHNOLOGY—Continued
|
|||
|
|
Verscend Escrow Corp.
|
|
$
|
3,700
|
9.750%—08/15/20262
|
$3,913
|
|
|
|
6,611
|
HOTELS, RESTAURANTS & LEISURE—5.7%
|
|||
|
|
Aramark Services Inc.
|
|
|
1,362
|
6.375%—05/01/20252
|
1,439
|
|
|
Boyd Gaming Corp.
|
|
|
271
|
8.625%—06/01/20252
|
296
|
|
|
CEC Entertainment LLC
|
|
|
401
|
6.750%—05/01/20262
|
402
|
|
|
Colt Merger Sub Inc.
|
|
|
2,118
|
6.250%—07/01/20252
|
2,239
|
|
1,328
|
8.125%—07/01/20272
|
1,462
|
|
|
|
3,701
|
|
|
Hilton Grand Vacations Borrower Escrow LLC
|
|
|
404
|
4.875%—07/01/20312
|
398
|
|
313
|
5.000%—06/01/20292
|
316
|
|
|
|
714
|
|
|
International Game Technology plc
|
|
|
407
|
4.125%—04/15/20262
|
424
|
|
|
IRB Holding Corp.
|
|
|
577
|
6.750%—02/15/20262
|
595
|
|
670
|
7.000%—06/15/20252
|
715
|
|
|
|
1,310
|
|
|
Marriott Ownership Resorts Inc.
|
|
|
638
|
6.125%—09/15/20252
|
675
|
|
|
Marriott Ownership Resorts Inc. / ILG LLC
|
|
|
435
|
6.500%—09/15/2026
|
452
|
|
|
MGM Resorts International
|
|
|
286
|
4.750%—10/15/2028
|
302
|
|
568
|
5.500%—04/15/2027
|
618
|
|
1,664
|
7.750%—03/15/2022
|
1,727
|
|
|
|
2,647
|
|
|
NCL Corp. Ltd.
|
|
|
355
|
5.875%—03/15/20262
|
358
|
|
705
|
10.250%—02/01/20262
|
806
|
|
|
|
1,164
|
|
|
NCL Finance Ltd.
|
|
|
183
|
6.125%—03/15/20282
|
185
|
|
|
New Red Finance Inc.
|
|
|
300
|
3.875%—01/15/20282
|
303
|
|
|
Royal Caribbean Cruises Ltd.
|
|
|
552
|
5.500%—04/01/20282
|
564
|
|
861
|
10.875%—06/01/20232
|
980
|
|
|
|
1,544
|
|
|
Scientific Games International Inc.
|
|
|
795
|
8.250%—03/15/20262
|
845
|
|
1,066
|
8.625%—07/01/20252
|
1,152
|
|
|
|
1,997
|
|
|
Vail Resorts Inc.
|
|
|
393
|
6.250%—05/15/20252
|
418
|
|
|
Viking Ocean Cruises Ship VII Ltd.
|
|
|
229
|
5.625%—02/15/20292
|
230
|
|
|
VOC Escrow Ltd.
|
|
|
776
|
5.000%—02/15/20282
|
771
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
HOTELS, RESTAURANTS & LEISURE—Continued
|
|||
|
|
Wyndham Destinations Inc.
|
|
$
|
351
|
5.650%—04/01/2024
|
$377
|
|
513
|
6.625%—07/31/20262
|
573
|
|
|
|
950
|
|
|
Yum! Brands Inc.
|
|
|
356
|
5.350%—11/01/2043
|
389
|
|
637
|
7.750%—04/01/20252
|
691
|
|
|
|
1,080
|
|
|
|
20,702
|
HOUSEHOLD DURABLES—0.6%
|
|||
|
|
LGI Homes Inc.
|
|
|
711
|
4.000%—07/15/20292
|
722
|
|
|
M/I Homes Inc.
|
|
|
360
|
5.625%—08/01/2025
|
371
|
|
|
Meritage Homes Corp.
|
|
|
107
|
3.875%—04/15/20292
|
113
|
|
|
Shea Homes LP / Shea Homes Funding Corp.
|
|
|
269
|
4.750%—04/01/20292
|
277
|
|
|
Taylor Morrison Communities Inc.
|
|
|
342
|
5.125%—08/01/20302
|
373
|
|
|
Toll Brothers Finance Corp.
|
|
|
142
|
3.800%—11/01/2029
|
154
|
|
131
|
4.350%—02/15/2028
|
145
|
|
|
|
299
|
|
|
|
2,155
|
HOUSEHOLD PRODUCTS—0.5%
|
|||
|
|
PetSmart Inc. / PetSmart Finance Corp.
|
|
|
852
|
4.750%—02/15/20282
|
886
|
|
840
|
7.750%—02/15/20292
|
922
|
|
|
|
1,808
|
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS—0.7%
|
|||
|
|
Calpine Corp.
|
|
|
639
|
3.750%—03/01/20312
|
616
|
|
|
Nextera Energy Operating Partners LP
|
|
|
568
|
4.250%—07/15/20242
|
599
|
|
|
NRG Energy Inc.
|
|
|
360
|
6.625%—01/15/2027
|
373
|
|
|
Talen Energy Supply LLC
|
|
|
244
|
6.625%—01/15/20282
|
217
|
|
184
|
7.250%—05/15/20272
|
168
|
|
521
|
7.625%—06/01/20282
|
476
|
|
|
|
861
|
|
|
|
2,449
|
INSURANCE—1.4%
|
|||
|
|
Acrisure Finance Inc.
|
|
|
980
|
6.000%—08/01/20292
|
977
|
|
744
|
7.000%—11/15/20252
|
756
|
|
414
|
10.125%—08/01/20262
|
464
|
|
|
|
2,197
|
|
|
Amwins Group Inc.
|
|
|
357
|
4.875%—06/30/20292
|
365
|
|
|
GTCR AP Finance Inc.
|
|
|
649
|
8.000%—05/15/20272
|
690
|
|
|
Hub International Ltd.
|
|
|
1,528
|
7.000%—05/01/20262
|
1,584
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
INSURANCE—Continued
|
|||
|
|
NFP Corp.
|
|
$
|
336
|
6.875%—08/15/20282
|
$350
|
|
|
|
5,186
|
INTERACTIVE MEDIA & SERVICES—0.8%
|
|||
|
|
Rackspace Technology Global Inc.
|
|
|
537
|
3.500%—02/15/20282
|
519
|
|
|
Tripadvisor Inc.
|
|
|
921
|
7.000%—07/15/20252
|
984
|
|
|
Twitter Inc.
|
|
|
1,183
|
3.875%—12/15/20272
|
1,267
|
|
|
|
2,770
|
INTERNET & DIRECT MARKETING RETAIL—0.5%
|
|||
|
|
QVC Inc.
|
|
|
1,500
|
5.450%—08/15/2034
|
1,599
|
|
256
|
5.950%—03/15/2043
|
266
|
|
|
|
1,865
|
IT SERVICES—0.5%
|
|||
|
|
MoneyGram International Inc.
|
|
|
529
|
5.375%—08/01/20262
|
549
|
|
|
Sabre GLBL Inc.
|
|
|
749
|
9.250%—04/15/20252
|
877
|
|
|
Twilio Inc.
|
|
|
333
|
3.875%—03/15/2031
|
349
|
|
|
|
1,775
|
LIFE SCIENCES TOOLS & SERVICES—0.8%
|
|||
|
|
Arches Buyer Inc.
|
|
|
726
|
6.125%—12/01/20282
|
751
|
|
|
Avantor Funding Inc.
|
|
|
344
|
4.625%—07/15/20282
|
362
|
|
|
IQVIA Inc.
|
|
|
701
|
5.000%—05/15/20272
|
732
|
|
|
Jaguar Holding Co II / PPD Development LP
|
|
|
768
|
5.000%—06/15/20282
|
829
|
|
|
Syneos Health Inc.
|
|
|
73
|
3.625%—01/15/20292
|
73
|
|
|
|
2,747
|
MACHINERY—0.5%
|
|||
|
|
EnPro Industries Inc.
|
|
|
585
|
5.750%—10/15/2026
|
616
|
|
|
Meritor Inc.
|
|
|
334
|
6.250%—06/01/20252
|
357
|
|
|
Vertical U.S. Newco Inc.
|
|
|
771
|
5.250%—07/15/20272
|
815
|
|
|
|
1,788
|
MEDIA—8.7%
|
|||
|
|
Altice France SA
|
|
|
1,002
|
5.125%—07/15/20292
|
1,011
|
|
234
|
7.375%—05/01/20262
|
244
|
|
3,847
|
8.125%—02/01/20272
|
4,170
|
|
|
|
5,425
|
|
|
AMC Networks Inc.
|
|
|
1,105
|
4.250%—02/15/2029
|
1,106
|
|
177
|
4.750%—08/01/2025
|
182
|
|
|
|
1,288
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
MEDIA—Continued
|
|||
|
|
Audacy Capital Corp.
|
|
$
|
447
|
6.750%—03/31/20292
|
$456
|
|
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
|
|
550
|
4.250%—02/01/20312
|
568
|
|
380
|
4.500%—06/01/20332
|
396
|
|
752
|
5.375%—06/01/20292
|
821
|
|
984
|
5.500%—05/01/20262
|
1,018
|
|
|
|
2,803
|
|
|
CSC Holdings LLC
|
|
|
385
|
3.375%—02/15/20312
|
366
|
|
1,158
|
5.750%—01/15/20302
|
1,209
|
|
1,127
|
6.500%—02/01/20292
|
1,246
|
|
|
|
2,821
|
|
|
Cumulus Media New Holdings Inc.
|
|
|
357
|
6.750%—07/01/20262
|
377
|
|
|
Diamond Sports Group LLC / Diamond Sports Finance
Co.
|
|
|
910
|
5.375%—08/15/20262
|
529
|
|
|
DIRECTV Holdings LLC / DIRECTV Financing Co. Inc.
|
|
|
604
|
5.875%—08/15/20272
|
625
|
|
|
DISH DBS Corp.
|
|
|
1,224
|
5.125%—06/01/20292
|
1,215
|
|
1,094
|
7.750%—07/01/2026
|
1,250
|
|
|
|
2,465
|
|
|
Gray Television Inc.
|
|
|
275
|
5.875%—07/15/20262
|
284
|
|
|
Hughes Satellite Systems Corp.
|
|
|
335
|
5.250%—08/01/2026
|
375
|
|
879
|
6.625%—08/01/2026
|
991
|
|
|
|
1,366
|
|
|
Meredith Corp.
|
|
|
562
|
6.500%—07/01/20252
|
608
|
|
223
|
6.875%—02/01/2026
|
232
|
|
|
|
840
|
|
|
Playtika Holding Corp.
|
|
|
1,008
|
4.250%—03/15/20292
|
1,007
|
|
|
Radiate Holdco LLC / Radiate Finance Inc.
|
|
|
784
|
4.500%—09/15/20262
|
813
|
|
505
|
6.500%—09/15/20282
|
525
|
|
|
|
1,338
|
|
|
Sirius XM Radio Inc.
|
|
|
705
|
4.000%—07/15/20282
|
728
|
|
246
|
5.375%—07/15/20262
|
255
|
|
|
|
983
|
|
|
SSL Robotics LLC
|
|
|
846
|
9.750%—12/31/20232
|
933
|
|
|
Tegna Inc.
|
|
|
485
|
4.750%—03/15/20262
|
516
|
|
|
Telesat Canada / Telesat LLC
|
|
|
299
|
4.875%—06/01/20272
|
274
|
|
540
|
5.625%—12/06/20262
|
501
|
|
2,162
|
6.500%—10/15/20272
|
1,838
|
|
|
|
2,613
|
|
|
UPC Broadband Finco BV
|
|
|
1,418
|
4.875%—07/15/20312
|
1,448
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
MEDIA—Continued
|
|||
|
|
Viasat Inc.
|
|
$
|
1,498
|
5.625%—09/15/20252
|
$1,526
|
|
692
|
6.500%—07/15/20282
|
733
|
|
|
|
2,259
|
|
|
Virgin Media Finance plc
|
|
|
232
|
5.000%—07/15/20302
|
236
|
|
|
Virgin Media Vendor Financing Notes IV DAC
|
|
|
180
|
5.000%—07/15/20282
|
184
|
|
|
WMG Acquisition Corp.
|
|
|
269
|
3.000%—02/15/20312
|
261
|
|
170
|
3.875%—07/15/20302
|
175
|
|
|
|
436
|
|
|
|
31,232
|
METALS & MINING—1.7%
|
|||
|
|
FMG Resources August 2006 Pty Ltd.
|
|
|
2,145
|
4.375%—04/01/20312
|
2,336
|
|
215
|
4.500%—09/15/20272
|
235
|
|
|
|
2,571
|
|
|
Freeport-McMoRan Inc.
|
|
|
247
|
5.400%—11/14/2034
|
315
|
|
862
|
5.450%—03/15/2043
|
1,109
|
|
|
|
1,424
|
|
|
Grinding Media Inc.
|
|
|
1,358
|
7.375%—12/15/20232
|
1,380
|
|
|
Novelis Corp.
|
|
|
676
|
3.875%—08/15/20312
|
684
|
|
|
|
6,059
|
OIL, GAS & CONSUMABLE FUELS—11.5%
|
|||
|
|
Aethon United BR LP / Aethon United Finance Corp.
|
|
|
977
|
8.250%—02/15/20262
|
1,046
|
|
|
Antero Midstream Partners LP / Antero Midstream
Finance Corp.
|
|
|
843
|
5.750%—03/01/2027-01/15/20282
|
876
|
|
664
|
7.875%—05/15/20262
|
737
|
|
|
|
1,613
|
|
|
Apache Corp.
|
|
|
252
|
4.250%—01/15/2044
|
248
|
|
194
|
4.625%—11/15/2025
|
209
|
|
209
|
4.750%—04/15/2043
|
215
|
|
|
|
672
|
|
|
Buckeye Partners LP
|
|
|
350
|
3.950%—12/01/2026
|
355
|
|
855
|
4.500%—03/01/20282
|
871
|
|
134
|
5.850%—11/15/2043
|
135
|
|
|
|
1,361
|
|
|
Chesapeake Energy Corp.
|
|
|
142
|
5.500%—02/01/20262
|
148
|
|
85
|
5.875%—02/01/20292
|
91
|
|
|
|
239
|
|
|
CNX Midstream Partners LP
|
|
|
478
|
6.500%—03/15/20262
|
495
|
|
|
CNX Resources Corp.
|
|
|
274
|
6.000%—01/15/20292
|
291
|
|
646
|
7.250%—03/14/20272
|
690
|
|
|
|
981
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
OIL, GAS & CONSUMABLE FUELS—Continued
|
|||
|
|
Colgate Energy Partners III LLC
|
|
$
|
807
|
5.875%—07/01/20292
|
$839
|
|
|
Comstock Resources Inc.
|
|
|
575
|
5.875%—01/15/20302
|
579
|
|
|
Continental Resources Inc.
|
|
|
349
|
4.900%—06/01/2044
|
403
|
|
343
|
5.750%—01/15/20312
|
414
|
|
|
|
817
|
|
|
Crownrock LP / Crownrock Finance Inc.
|
|
|
230
|
5.000%—05/01/20292
|
241
|
|
|
DT Midstream Inc.
|
|
|
772
|
4.125%—06/15/20292
|
793
|
|
775
|
4.375%—06/15/20312
|
805
|
|
|
|
1,598
|
|
|
Encino Acquisition Partners Holdings LLC
|
|
|
984
|
8.500%—05/01/20282
|
985
|
|
|
Endeavor Energy Resources LP / EER Finance Inc.
|
|
|
369
|
5.500%—01/30/20262
|
382
|
|
|
EQM Midstream Partners LP
|
|
|
424
|
4.500%—01/15/20292
|
431
|
|
419
|
4.750%—01/15/20312
|
427
|
|
811
|
6.500%—07/15/2048
|
893
|
|
|
|
1,751
|
|
|
Equities Corp.
|
|
|
372
|
3.625%—05/15/20312
|
394
|
|
750
|
3.900%—10/01/2027
|
815
|
|
1,341
|
5.000%—01/15/2029
|
1,518
|
|
|
|
2,727
|
|
|
Ferrellgas LP / Ferrellgas Finance Corp.
|
|
|
1,420
|
5.375%—04/01/20262
|
1,404
|
|
|
Genesis Energy LP / Genesis Energy Finance Corp.
|
|
|
816
|
7.750%—02/01/2028
|
826
|
|
672
|
8.000%—01/15/2027
|
694
|
|
|
|
1,520
|
|
|
Gulfport Energy Operating Corp.
|
|
|
540
|
8.000%—05/17/20262
|
577
|
|
|
Hilcorp Energy I LP / Hilcorp Finance Co.
|
|
|
1,104
|
6.000%—02/01/20312
|
1,156
|
|
128
|
6.250%—11/01/20282
|
134
|
|
|
|
1,290
|
|
|
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas
Finance Corp.
|
|
|
455
|
6.000%—08/01/20262
|
465
|
|
|
Moss Creek Resources Holdings Inc.
|
|
|
912
|
7.500%—01/15/20262
|
819
|
|
655
|
10.500%—05/15/20272
|
631
|
|
|
|
1,450
|
|
|
Murphy Oil Corp.
|
|
|
455
|
5.750%—08/15/2025
|
465
|
|
290
|
6.375%—07/15/2028-12/01/2042
|
294
|
|
|
|
759
|
|
|
NGL Energy Operating LLC / NGL Energy Finance Corp.
|
|
|
1,422
|
7.500%—02/01/20262
|
1,463
|
|
|
NGL Energy Partners LP
|
|
|
1,091
|
7.500%—11/01/2023
|
1,041
|
|
|
NuStar Logistics LP
|
|
|
593
|
5.750%—10/01/2025
|
647
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
OIL, GAS & CONSUMABLE FUELS—Continued
|
|||
|
|
Oasis Midstream Partners LP / OMP Finance Corp.
|
|
$
|
836
|
8.000%—04/01/20292
|
$871
|
|
|
Occidental Petroleum Corp.
|
|
|
339
|
4.200%—03/15/2048
|
325
|
|
907
|
4.300%—08/15/2039
|
900
|
|
1,243
|
4.400%—04/15/2046
|
1,223
|
|
350
|
5.550%—03/15/2026
|
384
|
|
578
|
6.200%—03/15/2040
|
671
|
|
219
|
6.450%—09/15/2036
|
265
|
|
115
|
8.500%—07/15/2027
|
144
|
|
1,367
|
8.875%—07/15/2030
|
1,846
|
|
|
|
5,758
|
|
|
Parkland Corp.
|
|
|
1,109
|
4.500%—10/01/20292
|
1,142
|
|
|
PDC Energy Inc.
|
|
|
551
|
5.750%—05/15/2026
|
571
|
|
|
Precision Drilling Corp.
|
|
|
275
|
6.875%—01/15/20292
|
283
|
|
|
Rattler Midstream LP
|
|
|
382
|
5.625%—07/15/20252
|
399
|
|
|
Sanchez Energy Corp.
|
|
|
3,000
|
0.000%—06/15/2021*
|
83
|
|
|
SM Energy Co.
|
|
|
398
|
6.500%—07/15/2028
|
397
|
|
653
|
6.750%—09/15/2026
|
649
|
|
88
|
10.000%—01/15/20252
|
98
|
|
|
|
1,144
|
|
|
Southwestern Energy Co.
|
|
|
69
|
7.500%—04/01/2026
|
73
|
|
454
|
8.375%—09/15/2028
|
508
|
|
|
|
581
|
|
|
Tallgrass Energy Partners LP / Tallgrass Energy
Finance Corp.
|
|
|
515
|
6.000%—12/31/20302
|
542
|
|
595
|
7.500%—10/01/20252
|
647
|
|
|
|
1,189
|
|
|
Targa Resources Partners LP / Targa Resources
Partners Finance Corp.
|
|
|
244
|
5.500%—03/01/2030
|
269
|
|
409
|
6.500%—07/15/2027
|
445
|
|
|
|
714
|
|
|
Venture Global Calcasieu Pass LLC
|
|
|
799
|
3.875%—08/15/20292
|
817
|
|
799
|
4.125%—08/15/20312
|
828
|
|
|
|
1,645
|
|
|
|
41,322
|
PAPER & FOREST PRODUCTS—0.1%
|
|||
|
|
Mercer International Inc.
|
|
|
285
|
5.125%—02/01/2029
|
291
|
PHARMACEUTICALS—3.0%
|
|||
|
|
Bausch Health Cos. Inc.
|
|
|
781
|
4.875%—06/01/20282
|
807
|
|
332
|
5.500%—11/01/20252
|
339
|
|
726
|
5.750%—08/15/20272
|
767
|
|
519
|
6.125%—04/15/20252
|
530
|
|
1,366
|
6.250%—02/15/20292
|
1,361
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
PHARMACEUTICALS—Continued
|
|||
$
|
254
|
7.000%—01/15/20282
|
$267
|
|
2,492
|
9.000%—12/15/20252
|
2,663
|
|
|
|
6,734
|
|
|
Catalent Pharma Solutions Inc.
|
|
|
643
|
5.000%—07/15/20272
|
675
|
|
|
Elanco Animal Health Inc.
|
|
|
690
|
5.900%—08/28/2028
|
827
|
|
|
HCRX Investments Holdco LP
|
|
|
407
|
4.500%—08/01/20292
|
416
|
|
|
Jazz Securities DAC
|
|
|
613
|
4.375%—01/15/20292
|
640
|
|
|
Organon Finance 1 LLC
|
|
|
423
|
5.125%—04/30/20312
|
436
|
|
|
Teva Pharmaceutical Finance Netherlands III BV
|
|
|
770
|
3.150%—10/01/2026
|
740
|
|
514
|
6.000%—04/15/2024
|
540
|
|
|
|
1,280
|
|
|
|
11,008
|
PROFESSIONAL SERVICES—1.0%
|
|||
|
|
Corelogic Inc.
|
|
|
1,025
|
4.500%—05/01/20282
|
1,025
|
|
|
Dun + Bradstreet Corp. Co.
|
|
|
494
|
10.250%—02/15/20272
|
540
|
|
|
Nielsen Finance LLC / Nielsen Finance Co.
|
|
|
62
|
4.500%—07/15/20292
|
63
|
|
1,150
|
4.750%—07/15/20312
|
1,161
|
|
823
|
5.875%—10/01/20302
|
903
|
|
|
|
2,127
|
|
|
|
3,692
|
REAL ESTATE MANAGEMENT & DEVELOPMENT—1.1%
|
|||
|
|
Global NET Lease Inc. / Global NET Lease Operating
Partnership LP
|
|
|
1,558
|
3.750%—12/15/20272
|
1,551
|
|
|
Kennedy-Wilson Inc.
|
|
|
476
|
5.000%—03/01/2031
|
489
|
|
|
MPT Operating Partnership LP / MPT Finance Corp.
|
|
|
1,164
|
3.500%—03/15/2031
|
1,196
|
|
|
Realogy Group LLC / Realogy Co.
|
|
|
383
|
5.750%—01/15/20292
|
402
|
|
376
|
7.625%—06/15/20252
|
406
|
|
|
|
808
|
|
|
|
4,044
|
ROAD & RAIL—0.3%
|
|||
|
|
Uber Technologies Inc.
|
|
|
1,114
|
7.500%—05/15/2025-09/15/20272
|
1,201
|
SOFTWARE—1.4%
|
|||
|
|
Banff Merger Sub Inc.
|
|
|
1,692
|
9.750%—09/01/20262
|
1,781
|
|
|
Boxer Parent Co. Inc.
|
|
|
461
|
7.125%—10/02/20252
|
493
|
|
182
|
9.125%—03/01/20262
|
191
|
|
|
|
684
|
|
|
BY Crown Parent LLC / BY Bond Finance Inc.
|
|
|
265
|
4.250%—01/31/20262
|
279
|
|
|
Elastic NV
|
|
|
507
|
4.125%—07/15/20292
|
510
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
SOFTWARE—Continued
|
|||
|
|
J2 Global Inc.
|
|
$
|
383
|
4.625%—10/15/20302
|
$407
|
|
|
Square Inc.
|
|
|
335
|
2.750%—06/01/20262
|
343
|
|
1,067
|
3.500%—06/01/20312
|
1,110
|
|
|
|
1,453
|
|
|
Symantec Corp.
|
|
|
107
|
5.000%—04/15/20252
|
109
|
|
|
|
5,223
|
SPECIALTY RETAIL—1.1%
|
|||
|
|
L Brands Inc.
|
|
|
265
|
6.694%—01/15/2027
|
316
|
|
687
|
6.875%—11/01/2035
|
885
|
|
|
|
1,201
|
|
|
Lithia Motors Inc.
|
|
|
480
|
3.875%—06/01/20292
|
506
|
|
|
Magic Mergeco Inc.
|
|
|
266
|
5.250%—05/01/20282
|
276
|
|
1,157
|
7.875%—05/01/20292
|
1,202
|
|
|
|
1,478
|
|
|
Penske Automotive Group Inc.
|
|
|
440
|
3.500%—09/01/2025
|
455
|
|
|
Victoria's Secret & Co.
|
|
|
491
|
4.625%—07/15/20292
|
492
|
|
|
|
4,132
|
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS—2.0%
|
|||
|
|
Dell International LLC / EMC Corp.
|
|
|
3,260
|
7.125%—06/15/20242
|
3,340
|
|
|
Diebold Nixdorf Inc.
|
|
|
309
|
8.500%—04/15/2024
|
315
|
|
1,407
|
9.375%—07/15/20252
|
1,548
|
|
|
|
1,863
|
|
|
NCR Corp.
|
|
|
353
|
5.125%—04/15/20292
|
368
|
|
80
|
8.125%—04/15/20252
|
87
|
|
|
|
455
|
|
|
Seagate HDD Cayman Co.
|
|
|
226
|
4.091%—06/01/20292
|
237
|
|
895
|
5.750%—12/01/2034
|
1,062
|
|
|
|
1,299
|
|
|
Western Digital Corp.
|
|
|
408
|
4.750%—02/15/2026
|
453
|
|
|
|
7,410
|
TEXTILES, APPAREL & LUXURY GOODS—0.3%
|
|||
|
|
Hanesbrands Inc.
|
|
|
324
|
4.875%—05/15/20262
|
350
|
|
|
William Carter Co.
|
|
|
807
|
5.500%—05/15/20252
|
851
|
|
|
|
1,201
|
THRIFTS & MORTGAGE FINANCE—0.0%
|
|||
|
|
Nationstar Mortgage Holdings Inc.
|
|
|
215
|
6.000%—01/15/20272
|
224
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
TRADING COMPANIES & DISTRIBUTORS—0.9%
|
|||
|
|
Alta Equipment Group Inc.
|
|
$
|
927
|
5.625%—04/15/20262
|
$963
|
|
|
Ashtead Capital Inc.
|
|
|
700
|
5.250%—08/01/20262
|
729
|
|
|
BCPE Empire Holdings Inc.
|
|
|
535
|
7.625%—05/01/20272
|
538
|
|
|
GYP Holdings III Corp.
|
|
|
447
|
4.625%—05/01/20292
|
453
|
|
|
United Rentals North America Inc.
|
|
|
489
|
3.750%—01/15/2032
|
489
|
|
|
|
3,172
|
WIRELESS TELECOMMUNICATION SERVICES—1.2%
|
|||
|
|
Frontier Communications Holdings LLC
|
|
|
626
|
5.875%—11/01/2029
|
641
|
|
|
LCPR Senior Secured Financing DAC
|
|
|
412
|
6.750%—10/15/20272
|
441
|
|
|
Sprint Capital Corp.
|
|
|
272
|
6.875%—11/15/2028
|
351
|
|
1,345
|
8.750%—03/15/2032
|
2,075
|
|
|
|
2,426
|
CORPORATE BONDS & NOTES—Continued
|
|||
Principal
Amount
|
|
Value
|
|
WIRELESS TELECOMMUNICATION SERVICES—Continued
|
|||
|
|
T-Mobile USA Inc.
|
|
$
|
250
|
2.625%—02/15/2029
|
$250
|
|
478
|
4.000%—04/15/2022
|
487
|
|
|
|
737
|
|
|
|
4,245
|
TOTAL CORPORATE BONDS & NOTES
|
|||
(Cost $300,468)
|
307,557
|
||
TOTAL INVESTMENTS—97.3%
|
|||
(Cost $342,783)
|
350,283
|
||
CASH AND OTHER ASSETS, LESS LIABILITIES—2.7%
|
9,810
|
||
TOTAL NET ASSETS—100.0%
|
$360,093
|
*
|
Security in default
|
1
|
Variable or floating rate security; the stated rate represents the rate in effect at July 31, 2021. The variable rate for
such securities may be based on the indicated
reference rate and spread or on an underlying asset or pool of assets rather than a reference rate and may be determined by
current interest rates, prepayments or
other financial indicators.
|
2
|
Securities purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities
may be resold in transactions exempt
from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities.
At July 31, 2021, the aggregate value of
these securities was $233,744 or 65% of net assets.
|
3
|
Zero coupon bond
|
4
|
MTN after the name of a security stands for Medium Term Note.
|
Level 1–
|
Quoted prices in active markets for identical securities.
|
Level 2–
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.).
|
Level 3–
|
Significant unobservable inputs are used in situations where quoted prices or other observable inputs are not available
or are deemed unreliable. Significant unobservable inputs may include each Fund’s own assumptions.
|
111 South Wacker Drive, 34th Floor
|
Chicago, IL 60606-4302
|
800-422-1050
|
harborfunds.com
|