AB All Market Total Return Portfolio
Consolidated Portfolio of Investments
November 30, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS 57.7% |
||||||||
Information Technology 15.1% |
||||||||
Communications Equipment 0.4% |
||||||||
Calix, Inc.(a) |
4,838 | $ | 344,949 | |||||
Juniper Networks, Inc. |
3,182 | 105,770 | ||||||
Lumentum Holdings, Inc.(a) |
6,152 | 337,991 | ||||||
Sierra Wireless, Inc.(a) (b) |
37,018 | 1,085,738 | ||||||
|
|
|||||||
1,874,448 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.4% |
||||||||
Amphenol Corp. - Class A |
28,401 | 2,284,293 | ||||||
CDW Corp./DE |
19,383 | 3,656,409 | ||||||
Flex Ltd.(a) |
26,582 | 584,272 | ||||||
Ibiden Co., Ltd. |
2,600 | 106,696 | ||||||
Keyence Corp. |
500 | 211,566 | ||||||
Keysight Technologies, Inc.(a) |
1,619 | 292,861 | ||||||
|
|
|||||||
7,136,097 | ||||||||
|
|
|||||||
Internet Software & Services 0.0% |
||||||||
Meta Platforms, Inc. - Class A(a) |
522 | 61,648 | ||||||
|
|
|||||||
IT Services 5.0% |
||||||||
Accenture PLC - Class A |
1,174 | 353,292 | ||||||
Akamai Technologies, Inc.(a) |
12,955 | 1,228,911 | ||||||
Amdocs Ltd. |
885 | 78,641 | ||||||
Automatic Data Processing, Inc. |
15,223 | 4,021,003 | ||||||
Black Knight, Inc.(a) |
23,621 | 1,464,266 | ||||||
Capgemini SE |
3,275 | 592,111 | ||||||
CGI, Inc.(a) |
452 | 39,462 | ||||||
Cognizant Technology Solutions Corp. - Class A |
27,760 | 1,726,950 | ||||||
Evo Payments, Inc. - Class A(a) |
4,683 | 157,864 | ||||||
Fidelity National Information Services, Inc. |
7,808 | 566,705 | ||||||
Gartner, Inc.(a) |
1,229 | 430,605 | ||||||
Genpact Ltd. |
11,634 | 536,444 | ||||||
Kyndryl Holdings, Inc.(a) |
772 | 9,040 | ||||||
Mastercard, Inc. - Class A |
15,906 | 5,668,899 | ||||||
MoneyGram International, Inc.(a) |
36,136 | 394,605 | ||||||
Otsuka Corp. |
10,700 | 360,140 | ||||||
Paychex, Inc. |
7,094 | 879,869 | ||||||
PayPal Holdings, Inc.(a) |
11,477 | 899,911 | ||||||
Switch, Inc. - Class A |
10,776 | 369,078 | ||||||
VeriSign, Inc.(a) |
5,240 | 1,047,004 | ||||||
Visa, Inc. - Class A |
18,928 | 4,107,376 | ||||||
|
|
|||||||
24,932,176 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.9% |
||||||||
Applied Materials, Inc. |
9,123 | 999,881 | ||||||
ASML Holding NV |
674 | 411,490 | ||||||
Broadcom, Inc. |
2,304 | 1,269,573 | ||||||
Enphase Energy, Inc.(a) |
1,412 | 452,673 | ||||||
Infineon Technologies AG |
25,920 | 870,665 | ||||||
KLA Corp. |
1,947 | 765,464 | ||||||
Lam Research Corp. |
303 | 143,131 | ||||||
MediaTek, Inc. |
9,000 | 217,474 | ||||||
NVIDIA Corp. |
1,893 | 320,352 |
1
Company | Shares | U.S. $ Value | ||||||
NXP Semiconductors NV |
2,068 | $ | 363,637 | |||||
ON Semiconductor Corp.(a) |
4,217 | 317,118 | ||||||
QUALCOMM, Inc. |
1,612 | 190,829 | ||||||
Silicon Motion Technology Corp. (ADR) |
10,822 | 682,868 | ||||||
STMicroelectronics NV |
3,678 | 142,364 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
18,000 | 289,077 | ||||||
Teradyne, Inc. |
3,512 | 328,196 | ||||||
Texas Instruments, Inc. |
1,296 | 233,876 | ||||||
Tower Semiconductor Ltd.(a) |
28,440 | 1,267,571 | ||||||
|
|
|||||||
9,266,239 | ||||||||
|
|
|||||||
Software 4.7% |
||||||||
Adobe, Inc.(a) |
2,021 | 697,103 | ||||||
Autodesk, Inc.(a) |
2,271 | 458,628 | ||||||
Avaya Holdings Corp.(a) (b) |
2,217 | 2,142 | ||||||
Cadence Design Systems, Inc.(a) |
2,699 | 464,336 | ||||||
Constellation Software, Inc./Canada |
482 | 777,033 | ||||||
Crowdstrike Holdings, Inc. - Class A(a) |
2,859 | 336,361 | ||||||
Dassault Systemes SE |
8,992 | 335,287 | ||||||
Dropbox, Inc. - Class A(a) |
17,236 | 406,080 | ||||||
ForgeRock, Inc. - Class A(a) (b) |
25,828 | 561,759 | ||||||
Fortinet, Inc.(a) |
7,280 | 387,005 | ||||||
Intuit, Inc. |
611 | 249,037 | ||||||
KnowBe4, Inc. - Class A(a) |
3,440 | 84,934 | ||||||
Microsoft Corp. |
51,236 | 13,072,354 | ||||||
Monitronics International, Inc. |
2,239 | 560 | ||||||
NortonLifeLock, Inc. |
33,543 | 770,147 | ||||||
Oracle Corp. |
12,555 | 1,042,442 | ||||||
Sage Group PLC (The) |
41,968 | 407,068 | ||||||
SAP SE |
3,210 | 356,171 | ||||||
ServiceNow, Inc.(a) |
1,727 | 718,950 | ||||||
VMware, Inc. - Class A(a) |
18,669 | 2,268,097 | ||||||
|
|
|||||||
23,395,494 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 1.7% |
||||||||
Apple, Inc. |
34,124 | 5,051,376 | ||||||
Dell Technologies, Inc. - Class C |
5,627 | 252,033 | ||||||
NetApp, Inc. |
5,643 | 381,523 | ||||||
Ricoh Co., Ltd. |
50,000 | 397,173 | ||||||
Samsung Electronics Co., Ltd. |
44,155 | 2,121,602 | ||||||
|
|
|||||||
8,203,707 | ||||||||
|
|
|||||||
74,869,809 | ||||||||
|
|
|||||||
Health Care 10.3% |
||||||||
Biotechnology 0.8% |
||||||||
AbbVie, Inc. |
8,066 | 1,300,078 | ||||||
Abcam PLC(a) |
15,553 | 243,797 | ||||||
Amgen, Inc. |
1,576 | 451,366 | ||||||
AVEO Pharmaceuticals, Inc.(a) |
51,575 | 771,046 | ||||||
Genmab A/S(a) |
661 | 306,304 | ||||||
Horizon Therapeutics PLC(a) |
864 | 86,651 | ||||||
Incyte Corp.(a) |
1,760 | 140,219 | ||||||
Neurocrine Biosciences, Inc.(a) |
2,276 | 289,189 |
2
Company | Shares | U.S. $ Value | ||||||
Regeneron Pharmaceuticals, Inc.(a) |
465 | $ | 349,540 | |||||
Vertex Pharmaceuticals, Inc.(a) |
302 | 95,553 | ||||||
|
|
|||||||
4,033,743 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 2.3% |
||||||||
Abbott Laboratories |
24,709 | 2,658,194 | ||||||
ABIOMED, Inc.(a) |
3,960 | 1,496,048 | ||||||
Alcon, Inc. |
3,982 | 274,597 | ||||||
Becton Dickinson and Co. |
1,705 | 425,125 | ||||||
Coloplast A/S - Class B |
3,338 | 394,608 | ||||||
Cooper Cos., Inc. (The) |
5,327 | 1,685,197 | ||||||
Dexcom, Inc.(a) |
1,304 | 151,629 | ||||||
IDEXX Laboratories, Inc.(a) |
1,042 | 443,757 | ||||||
Insulet Corp.(a) |
467 | 139,806 | ||||||
Koninklijke Philips NV |
43,908 | 657,944 | ||||||
Medtronic PLC |
17,024 | 1,345,577 | ||||||
Meridian Bioscience, Inc.(a) |
42,404 | 1,356,928 | ||||||
STERIS PLC |
2,037 | 378,352 | ||||||
|
|
|||||||
11,407,762 | ||||||||
|
|
|||||||
Health Care Providers & Services 2.4% |
||||||||
1Life Healthcare, Inc.(a) |
68,761 | 1,168,249 | ||||||
AmerisourceBergen Corp. |
2,478 | 422,970 | ||||||
Cardinal Health, Inc. |
3,594 | 288,131 | ||||||
Centene Corp.(a) |
10,610 | 923,601 | ||||||
CVS Health Corp. |
5,424 | 552,597 | ||||||
Elevance Health, Inc. |
3,676 | 1,959,014 | ||||||
Humana, Inc. |
877 | 482,262 | ||||||
LHC Group, Inc.(a) |
9,586 | 1,566,448 | ||||||
McKesson Corp. |
3,127 | 1,193,513 | ||||||
Molina Healthcare, Inc.(a) |
1,245 | 419,279 | ||||||
Signify Health, Inc. - Class A(a) |
40,363 | 1,155,189 | ||||||
UnitedHealth Group, Inc. |
2,514 | 1,377,069 | ||||||
|
|
|||||||
11,508,322 | ||||||||
|
|
|||||||
Health Care Technology 0.2% |
||||||||
EMIS Group PLC |
44,661 | 1,010,884 | ||||||
|
|
|||||||
Life Sciences Tools & Services 1.8% |
||||||||
Agilent Technologies, Inc. |
814 | 126,154 | ||||||
Bio-Rad Laboratories, Inc. - Class A(a) |
672 | 278,685 | ||||||
Bruker Corp. |
4,072 | 274,494 | ||||||
Danaher Corp. |
1,923 | 525,767 | ||||||
Gerresheimer AG |
3,105 | 229,192 | ||||||
ICON PLC(a) |
1,365 | 294,076 | ||||||
Illumina, Inc.(a) |
6,784 | 1,479,455 | ||||||
IQVIA Holdings, Inc.(a) |
13,770 | 3,002,135 | ||||||
Mettler-Toledo International, Inc.(a) |
299 | 439,398 | ||||||
Thermo Fisher Scientific, Inc. |
3,019 | 1,691,304 | ||||||
Waters Corp.(a) |
1,240 | 429,784 | ||||||
West Pharmaceutical Services, Inc. |
1,115 | 261,646 | ||||||
|
|
|||||||
9,032,090 | ||||||||
|
|
3
Company | Shares | U.S. $ Value | ||||||
Pharmaceuticals 2.8% |
||||||||
Chugai Pharmaceutical Co., Ltd.(b) |
11,600 | $ | 308,915 | |||||
Eli Lilly & Co. |
3,302 | 1,225,306 | ||||||
Jazz Pharmaceuticals PLC(a) |
345 | 54,134 | ||||||
Johnson & Johnson |
4,432 | 788,896 | ||||||
Mallinckrodt PLC(a) |
223 | 2,414 | ||||||
Merck & Co., Inc. |
10,537 | 1,160,334 | ||||||
Novo Nordisk A/S - Class B |
14,580 | 1,828,887 | ||||||
Pfizer, Inc. |
14,390 | 721,371 | ||||||
Roche Holding AG (BR) |
611 | 245,447 | ||||||
Roche Holding AG (Genusschein) |
9,280 | 3,031,070 | ||||||
Sanofi |
21,610 | 1,952,016 | ||||||
Zoetis, Inc. |
16,254 | 2,505,391 | ||||||
|
|
|||||||
13,824,181 | ||||||||
|
|
|||||||
50,816,982 | ||||||||
|
|
|||||||
Financials 8.4% |
||||||||
Banks 3.4% |
||||||||
ABN AMRO Bank NV(c) |
46,576 | 600,640 | ||||||
Banco Bilbao Vizcaya Argentaria SA |
74,008 | 436,132 | ||||||
Bank Leumi Le-Israel BM |
68,887 | 631,487 | ||||||
Barclays PLC |
65,176 | 127,489 | ||||||
BNP Paribas SA |
14,984 | 841,981 | ||||||
Citigroup, Inc. |
11,295 | 546,791 | ||||||
Commerzbank AG(a) |
26,217 | 219,596 | ||||||
Commonwealth Bank of Australia(b) |
7,428 | 547,422 | ||||||
DBS Group Holdings Ltd. |
14,600 | 380,750 | ||||||
Erste Group Bank AG |
13,257 | 415,095 | ||||||
First Horizon Corp. |
66,748 | 1,658,688 | ||||||
HDFC Bank Ltd. (ADR) |
8,540 | 602,668 | ||||||
JPMorgan Chase & Co. |
9,489 | 1,311,190 | ||||||
KBC Group NV |
2,016 | 111,674 | ||||||
KeyCorp |
4,840 | 91,040 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
344,200 | 1,877,109 | ||||||
National Bank of Canada |
2,662 | 189,842 | ||||||
NatWest Group PLC |
96,815 | 307,902 | ||||||
Nordea Bank Abp (Stockholm) |
43,783 | 460,116 | ||||||
Oversea-Chinese Banking Corp., Ltd. |
74,000 | 682,034 | ||||||
Royal Bank of Canada(b) |
8,694 | 864,649 | ||||||
Skandinaviska Enskilda Banken AB - Class A |
27,637 | 318,675 | ||||||
Societe Generale SA |
11,272 | 283,705 | ||||||
Standard Chartered PLC |
53,993 | 402,196 | ||||||
SVB Financial Group(a) |
806 | 186,815 | ||||||
Toronto-Dominion Bank (The) |
7,698 | 512,361 | ||||||
Umpqua Holdings Corp. |
79,907 | 1,619,715 | ||||||
Wells Fargo & Co. |
15,851 | 760,055 | ||||||
|
|
|||||||
16,987,817 | ||||||||
|
|
|||||||
Capital Markets 2.7% |
||||||||
Ameriprise Financial, Inc. |
1,314 | 436,182 | ||||||
BlackRock, Inc. |
2,096 | 1,500,736 | ||||||
Carlyle Group, Inc. (The) |
5,338 | 166,386 | ||||||
Charles Schwab Corp. (The) |
45,616 | 3,765,145 | ||||||
CME Group, Inc. |
3,644 | 643,166 | ||||||
Deutsche Boerse AG |
1,920 | 352,847 | ||||||
Goldman Sachs Group, Inc. (The) |
7,572 | 2,923,928 | ||||||
Houlihan Lokey, Inc. |
5,723 | 562,857 |
4
Company | Shares | U.S. $ Value | ||||||
Julius Baer Group Ltd. |
20,288 | $ | 1,168,636 | |||||
London Stock Exchange Group PLC |
2,306 | 230,912 | ||||||
Morgan Stanley |
3,374 | 314,018 | ||||||
MSCI, Inc. |
1,003 | 509,354 | ||||||
Partners Group Holding AG |
553 | 550,992 | ||||||
Raymond James Financial, Inc. |
1,186 | 138,643 | ||||||
Singapore Exchange Ltd. |
43,300 | 289,824 | ||||||
|
|
|||||||
13,553,626 | ||||||||
|
|
|||||||
Consumer Finance 0.1% |
||||||||
American Express Co. |
4,096 | 645,489 | ||||||
|
|
|||||||
Diversified Financial Services 0.1% |
||||||||
Berkshire Hathaway, Inc. - Class B(a) |
583 | 185,744 | ||||||
Wendel SE |
1,428 | 132,966 | ||||||
|
|
|||||||
318,710 | ||||||||
|
|
|||||||
Insurance 1.6% |
||||||||
Admiral Group PLC |
5,401 | 132,043 | ||||||
Aflac, Inc. |
5,926 | 426,257 | ||||||
AIA Group Ltd. |
31,400 | 318,855 | ||||||
American International Group, Inc. |
7,197 | 454,203 | ||||||
Aviva PLC |
76,834 | 414,847 | ||||||
AXA SA |
13,275 | 375,265 | ||||||
Everest Re Group Ltd. |
1,205 | 407,218 | ||||||
Fidelity National Financial, Inc. |
10,016 | 404,246 | ||||||
Gjensidige Forsikring ASA |
6,086 | 117,483 | ||||||
Japan Post Holdings Co., Ltd. |
52,300 | 409,936 | ||||||
Japan Post Insurance Co., Ltd. |
22,400 | 372,529 | ||||||
Manulife Financial Corp. |
4,037 | 72,718 | ||||||
Marsh & McLennan Cos., Inc. |
3,340 | 578,421 | ||||||
NN Group NV |
13,963 | 596,729 | ||||||
Principal Financial Group, Inc. |
4,619 | 414,232 | ||||||
Progressive Corp. (The) |
4,152 | 548,687 | ||||||
Prudential Financial, Inc. |
3,867 | 417,752 | ||||||
Sampo Oyj - Class A |
13,670 | 692,292 | ||||||
Willis Towers Watson PLC |
2,732 | 672,509 | ||||||
|
|
|||||||
7,826,222 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.5% |
||||||||
Flagstar Bancorp, Inc. |
45,637 | 1,713,213 | ||||||
Home Capital Group, Inc.(b) |
15,827 | 502,407 | ||||||
|
|
|||||||
2,215,620 | ||||||||
|
|
|||||||
41,547,484 | ||||||||
|
|
|||||||
Consumer Discretionary 6.2% |
||||||||
Auto Components 0.6% |
||||||||
Aisin Corp. |
4,600 | 126,775 | ||||||
Aptiv PLC(a) |
21,779 | 2,323,166 | ||||||
BorgWarner, Inc. |
9,546 | 405,800 | ||||||
Energy Technology(d) (e) |
13 | 2,275 | ||||||
|
|
|||||||
2,858,016 | ||||||||
|
|
|||||||
Automobiles 0.3% |
||||||||
IAA, Inc.(a) |
17,471 | 652,891 | ||||||
Tesla, Inc.(a) |
3,155 | 614,279 | ||||||
|
|
|||||||
1,267,170 | ||||||||
|
|
5
Company | Shares | U.S. $ Value | ||||||
Distributors 0.0% |
| |||||||
Dieteren Group |
786 | $ | 149,695 | |||||
|
|
|||||||
Diversified Consumer Services 0.1% |
| |||||||
Service Corp. International/US |
8,617 | 615,685 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 1.3% |
| |||||||
Caesars Entertainment, Inc.(a) |
367 | 18,647 | ||||||
Chipotle Mexican Grill, Inc.(a) |
266 | 432,772 | ||||||
Compass Group PLC |
25,941 | 591,401 | ||||||
Dominos Pizza, Inc. |
733 | 284,939 | ||||||
Evolution AB(c) |
3,104 | 319,724 | ||||||
Galaxy Entertainment Group Ltd. |
222,800 | 1,354,503 | ||||||
Marriott International, Inc./MD - Class A |
2,759 | 456,201 | ||||||
Sodexo SA |
4,174 | 399,759 | ||||||
Starbucks Corp. |
17,241 | 1,762,030 | ||||||
Yum China Holdings, Inc. |
12,258 | 675,661 | ||||||
Yum! Brands, Inc. |
2,149 | 276,490 | ||||||
|
|
|||||||
6,572,127 | ||||||||
|
|
|||||||
Household Durables 0.4% |
| |||||||
iRobot Corp.(a) |
23,035 | 1,199,893 | ||||||
Open House Group Co., Ltd. |
9,300 | 394,381 | ||||||
TopBuild Corp.(a) |
1,024 | 157,778 | ||||||
|
|
|||||||
1,752,052 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 1.4% |
| |||||||
Alibaba Group Holding Ltd.(a) |
51,300 | 558,305 | ||||||
Alibaba Group Holding Ltd. (Sponsored ADR)(a) |
8,555 | 749,076 | ||||||
Amazon.com, Inc.(a) |
46,568 | 4,495,675 | ||||||
Poshmark, Inc. - Class A(a) |
12,030 | 214,495 | ||||||
Prosus NV |
5,802 | 379,675 | ||||||
ZOZO, Inc. |
19,100 | 482,211 | ||||||
|
|
|||||||
6,879,437 | ||||||||
|
|
|||||||
Leisure Products 0.1% |
| |||||||
Bandai Namco Holdings, Inc. |
5,600 | 371,058 | ||||||
BRP, Inc. |
1,841 | 137,765 | ||||||
Carlson Travel, Inc. |
1,901 | 11,121 | ||||||
|
|
|||||||
519,944 | ||||||||
|
|
|||||||
Multiline Retail 0.1% |
| |||||||
ATD New Holdings, Inc.(a) |
2,609 | 186,543 | ||||||
Cie Financiere Richemont SA (REG) |
3,678 | 487,585 | ||||||
|
|
|||||||
674,128 | ||||||||
|
|
|||||||
Specialty Retail 1.1% |
| |||||||
AutoZone, Inc.(a) |
541 | 1,395,239 | ||||||
Home Depot, Inc. (The) |
2,243 | 726,710 | ||||||
OReilly Automotive, Inc.(a) |
835 | 721,891 | ||||||
TJX Cos., Inc. (The) |
32,286 | 2,584,494 | ||||||
|
|
|||||||
5,428,334 | ||||||||
|
|
6
Company | Shares | U.S. $ Value | ||||||
Textiles, Apparel & Luxury Goods 0.8% |
||||||||
adidas AG |
603 | $ | 77,732 | |||||
Kering SA |
1,084 | 651,307 | ||||||
NIKE, Inc. - Class B |
27,945 | 3,065,287 | ||||||
Pandora A/S |
5,398 | 410,954 | ||||||
|
|
|||||||
4,205,280 | ||||||||
|
|
|||||||
30,921,868 | ||||||||
|
|
|||||||
Industrials 5.0% |
| |||||||
Aerospace & Defense 0.4% |
| |||||||
Airbus SE |
4,117 | 472,613 | ||||||
BAE Systems PLC |
42,653 | 422,424 | ||||||
Dassault Aviation SA |
917 | 145,764 | ||||||
Hexcel Corp. |
4,974 | 298,191 | ||||||
Huntington Ingalls Industries, Inc. |
1,717 | 398,276 | ||||||
Rheinmetall AG |
363 | 74,188 | ||||||
|
|
|||||||
1,811,456 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.2% |
| |||||||
Atlas Air Worldwide Holdings, Inc.(a) |
6,204 | 625,177 | ||||||
Expeditors International of Washington, Inc. |
3,657 | 424,431 | ||||||
|
|
|||||||
1,049,608 | ||||||||
|
|
|||||||
Airlines 0.3% |
| |||||||
Deutsche Lufthansa AG (REG)(a) |
49,511 | 399,161 | ||||||
Spirit Airlines, Inc. |
53,764 | 1,167,217 | ||||||
|
|
|||||||
1,566,378 | ||||||||
|
|
|||||||
Building Products 0.6% |
| |||||||
Assa Abloy AB - Class B |
11,753 | 269,489 | ||||||
Otis Worldwide Corp. |
31,722 | 2,477,171 | ||||||
Owens Corning |
5,770 | 512,607 | ||||||
|
|
|||||||
3,259,267 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.7% |
| |||||||
Cintas Corp. |
949 | 438,229 | ||||||
Rollins, Inc. |
9,931 | 401,610 | ||||||
Stericycle, Inc.(a) |
30,093 | 1,568,748 | ||||||
Tetra Tech, Inc. |
2,757 | 426,205 | ||||||
TOMRA Systems ASA |
17,025 | 326,840 | ||||||
Waste Management, Inc. |
3,495 | 586,181 | ||||||
|
|
|||||||
3,747,813 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% |
| |||||||
AECOM |
3,184 | 270,640 | ||||||
WillScot Mobile Mini Holdings Corp.(a) |
1,235 | 59,539 | ||||||
|
|
|||||||
330,179 | ||||||||
|
|
|||||||
Electrical Equipment 0.2% |
||||||||
Eaton Corp. PLC |
5,637 | 921,368 | ||||||
|
|
7
Company | Shares | U.S. $ Value | ||||||
Machinery 1.7% |
||||||||
Altra Industrial Motion Corp. |
18,308 | $ | 1,073,215 | |||||
Atlas Copco AB - Class B |
13,809 | 156,777 | ||||||
Caterpillar, Inc. |
1,554 | 367,381 | ||||||
CNH Industrial NV |
25,634 | 413,139 | ||||||
Deere & Co. |
1,446 | 637,686 | ||||||
Dover Corp. |
10,038 | 1,424,894 | ||||||
Illinois Tool Works, Inc. |
2,103 | 478,369 | ||||||
Parker-Hannifin Corp. |
4,288 | 1,281,855 | ||||||
SMC Corp. |
800 | 365,049 | ||||||
Snap-on, Inc. |
1,712 | 411,907 | ||||||
Techtronic Industries Co., Ltd. |
36,700 | 447,379 | ||||||
Volvo AB - Class A |
6,126 | 116,668 | ||||||
Volvo AB - Class B |
53,670 | 986,005 | ||||||
Xylem, Inc./NY |
2,202 | 247,395 | ||||||
|
|
|||||||
8,407,719 | ||||||||
|
|
|||||||
Marine 0.0% |
||||||||
SITC International Holdings Co., Ltd. |
80,000 | 177,468 | ||||||
|
|
|||||||
Professional Services 0.5% |
| |||||||
Booz Allen Hamilton Holding Corp. |
3,461 | 368,251 | ||||||
Experian PLC |
868 | 30,711 | ||||||
RELX PLC (Amsterdam) |
24,893 | 702,500 | ||||||
Robert Half International, Inc. |
5,176 | 407,765 | ||||||
Wolters Kluwer NV |
7,359 | 811,038 | ||||||
|
|
|||||||
2,320,265 | ||||||||
|
|
|||||||
Road & Rail 0.1% |
||||||||
Canadian National Railway Co. |
4,037 | 518,269 | ||||||
|
|
|||||||
Trading Companies & Distributors 0.2% |
||||||||
Toyota Tsusho Corp. |
3,900 | 150,551 | ||||||
United Rentals, Inc.(a) |
833 | 294,074 | ||||||
WW Grainger, Inc. |
704 | 424,554 | ||||||
|
|
|||||||
869,179 | ||||||||
|
|
|||||||
Transportation Infrastructure 0.0% |
||||||||
Atlas Corp.(b) |
2,868 | 44,081 | ||||||
|
|
|||||||
25,023,050 | ||||||||
|
|
|||||||
Communication Services 3.6% |
||||||||
Diversified Telecommunication Services 1.3% |
||||||||
BCE, Inc. |
7,012 | 333,932 | ||||||
Charter Communications, Inc. - Class A(a) |
193 | 75,519 | ||||||
Comcast Corp. - Class A |
57,917 | 2,122,079 | ||||||
Deutsche Telekom AG (REG) |
12,706 | 258,475 | ||||||
HKT Trust & HKT Ltd. |
347,000 | 423,104 | ||||||
Intelsat Jackson Holdings SA(a) (d) (e) |
346 | 0 | ||||||
Intelsat SA |
1,653 | 38,639 | ||||||
Nippon Telegraph & Telephone Corp. |
17,700 | 490,803 | ||||||
Shaw Communications, Inc. - Class B |
62,225 | 1,698,160 | ||||||
Spark New Zealand Ltd. |
121,661 | 396,628 | ||||||
Telstra Group Ltd. |
288,194 | 781,932 | ||||||
|
|
|||||||
6,619,271 | ||||||||
|
|
8
Company | Shares | U.S. $ Value | ||||||
Entertainment 1.0% |
| |||||||
Activision Blizzard, Inc. |
23,295 | $ | 1,722,665 | |||||
Electronic Arts, Inc. |
17,452 | 2,282,373 | ||||||
Live Nation Entertainment, Inc.(a) |
5,648 | 410,948 | ||||||
Ubisoft Entertainment SA(a) |
4,280 | 119,062 | ||||||
Universal Music Group NV(b) |
13,693 | 325,630 | ||||||
|
|
|||||||
4,860,678 | ||||||||
|
|
|||||||
Interactive Media & Services 1.2% |
| |||||||
Alphabet, Inc. - Class A(a) |
7,090 | 716,019 | ||||||
Alphabet, Inc. - Class C(a) |
45,322 | 4,597,917 | ||||||
Auto Trader Group PLC(c) |
55,566 | 383,589 | ||||||
Kakaku.com, Inc. |
10,100 | 181,539 | ||||||
|
|
|||||||
5,879,064 | ||||||||
|
|
|||||||
Media 0.1% |
| |||||||
DISH Network Corp. - Class A(a) |
609 | 9,775 | ||||||
iHeartMedia, Inc. - Class A(a) |
2,453 | 19,722 | ||||||
TEGNA, Inc. |
14,345 | 283,170 | ||||||
|
|
|||||||
312,667 | ||||||||
|
|
|||||||
17,671,680 | ||||||||
|
|
|||||||
Consumer Staples 3.0% |
| |||||||
Beverages 1.4% |
| |||||||
Asahi Group Holdings Ltd. |
65,039 | 2,085,922 | ||||||
Coca-Cola Co. (The) |
36,754 | 2,337,922 | ||||||
Constellation Brands, Inc. - Class A |
6,977 | 1,795,531 | ||||||
Heineken Holding NV |
3,400 | 257,407 | ||||||
Keurig Dr Pepper, Inc. |
4,694 | 181,517 | ||||||
Kirin Holdings Co., Ltd.(b) |
16,800 | 265,198 | ||||||
|
|
|||||||
6,923,497 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.7% |
| |||||||
Albertsons Cos., Inc. - Class A |
19,044 | 398,972 | ||||||
Alimentation Couche-Tard, Inc. |
3,072 | 139,949 | ||||||
Costco Wholesale Corp. |
196 | 105,693 | ||||||
George Weston Ltd. |
1,399 | 175,193 | ||||||
Jeronimo Martins SGPS SA |
16,591 | 370,170 | ||||||
Koninklijke Ahold Delhaize NV |
30,450 | 887,377 | ||||||
Kroger Co. (The) |
6,552 | 322,293 | ||||||
Loblaw Cos., Ltd. |
2,887 | 260,552 | ||||||
Progenics Pharmaceuticals, Inc.(d) (e) |
136,645 | 0 | ||||||
Sysco Corp. |
5,092 | 440,509 | ||||||
Walmart, Inc. |
1,688 | 257,285 | ||||||
|
|
|||||||
3,357,993 | ||||||||
|
|
|||||||
Food Products 0.3% |
| |||||||
Archer-Daniels-Midland Co. |
4,762 | 464,295 | ||||||
Bunge Ltd. |
3,864 | 405,102 | ||||||
Hershey Co. (The) |
1,801 | 423,541 | ||||||
Nestle SA (REG) |
873 | 103,908 | ||||||
Salmar ASA |
4,783 | 168,597 | ||||||
|
|
|||||||
1,565,443 | ||||||||
|
|
9
Company | Shares | U.S. $ Value | ||||||
Household Products 0.4% |
| |||||||
Colgate-Palmolive Co. |
6,055 | $ | 469,141 | |||||
Kimberly-Clark Corp. |
783 | 106,198 | ||||||
Procter & Gamble Co. (The) |
6,598 | 984,158 | ||||||
Southeastern Grocers, Inc.(a) (d) (e) |
8,714 | 189,530 | ||||||
|
|
|||||||
1,749,027 | ||||||||
|
|
|||||||
Personal Products 0.1% |
||||||||
Unilever PLC (London) |
11,319 | 565,963 | ||||||
|
|
|||||||
Tobacco 0.1% |
||||||||
Imperial Brands PLC |
16,183 | 416,244 | ||||||
Philip Morris International, Inc. |
2,503 | 249,474 | ||||||
|
|
|||||||
665,718 | ||||||||
|
|
|||||||
14,827,641 | ||||||||
|
|
|||||||
Energy 1.9% |
||||||||
Energy Equipment & Services 0.6% |
||||||||
CHC Group LLC(a) |
1,138 | 2 | ||||||
Diamond Offshore Drilling, Inc.(f) |
3,643 | 34,864 | ||||||
Halliburton Co. |
11,397 | 431,832 | ||||||
Shell PLC |
89,939 | 2,632,137 | ||||||
Vantage Drilling International(a) |
250 | 4,000 | ||||||
|
|
|||||||
3,102,835 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.3% |
||||||||
Battalion Oil Corp.(a) |
1 | 11 | ||||||
Berry Corp. |
5,577 | 50,249 | ||||||
Cenovus Energy, Inc.(b) |
20,681 | 411,268 | ||||||
Cheniere Energy, Inc. |
5,260 | 922,394 | ||||||
Chevron Corp. |
530 | 97,154 | ||||||
Civitas Resources, Inc. |
493 | 33,208 | ||||||
Denbury, Inc.(a) |
594 | 53,317 | ||||||
Equinor ASA |
40,786 | 1,570,702 | ||||||
Exxon Mobil Corp. |
2,332 | 259,645 | ||||||
Imperial Oil Ltd.(b) |
7,062 | 401,780 | ||||||
K201640219 South Africa Ltd. - Series A(d) (e) |
465,862 | 0 | ||||||
K201640219 South Africa Ltd. - Series B(d) (e) |
73,623 | 0 | ||||||
Marathon Petroleum Corp. |
3,754 | 457,275 | ||||||
Neste Oyj |
8,486 | 438,018 | ||||||
Repsol SA |
27,070 | 417,970 | ||||||
SandRidge Energy, Inc.(a) |
14 | 286 | ||||||
Suncor Energy, Inc.(b) |
8,588 | 282,383 | ||||||
Texas Pacific Land Corp. |
160 | 414,806 | ||||||
Tourmaline Oil Corp. |
1,020 | 62,080 | ||||||
Valero Energy Corp. |
878 | 117,318 | ||||||
Woodside Energy Group Ltd. |
5,789 | 146,199 | ||||||
|
|
|||||||
6,136,063 | ||||||||
|
|
|||||||
9,238,898 | ||||||||
|
|
|||||||
Materials 1.5% |
||||||||
Chemicals 0.6% |
||||||||
CF Industries Holdings, Inc. |
3,537 | 382,668 | ||||||
Chr Hansen Holding A/S |
4,131 | 254,963 |
10
Company | Shares | U.S. $ Value | ||||||
Koninklijke DSM NV |
2,206 | $ | 286,125 | |||||
Linde PLC |
3,532 | 1,188,447 | ||||||
Mitsubishi Chemical Group Corp. |
23,100 | 123,345 | ||||||
OCI NV |
9,397 | 397,813 | ||||||
Sumitomo Chemical Co., Ltd. |
101,100 | 368,594 | ||||||
|
|
|||||||
3,001,955 | ||||||||
|
|
|||||||
Containers & Packaging 0.1% |
| |||||||
Avery Dennison Corp. |
1,951 | 377,187 | ||||||
Westrock Co. |
16 | 607 | ||||||
|
|
|||||||
377,794 | ||||||||
|
|
|||||||
Metals & Mining 0.7% |
| |||||||
Artsonig Pty Ltd.(d) (e) |
51,133 | 0 | ||||||
Fortescue Metals Group Ltd.(b) |
13,332 | 177,444 | ||||||
Mineral Resources Ltd. |
1,221 | 73,544 | ||||||
Nippon Steel Corp. |
2,500 | 40,053 | ||||||
Steel Dynamics, Inc. |
3,931 | 408,549 | ||||||
Teck Resources Ltd. Class B |
5,241 | 194,265 | ||||||
Turquoise Hill Resources Ltd.(a) |
35,113 | 1,099,476 | ||||||
Yamana Gold, Inc. |
279,387 | 1,525,453 | ||||||
|
|
|||||||
3,518,784 | ||||||||
|
|
|||||||
Paper & Forest Products 0.1% |
| |||||||
Resolute Forest Products, Inc.(a) |
14,789 | 312,048 | ||||||
|
|
|||||||
7,210,581 | ||||||||
|
|
|||||||
Utilities 1.4% |
| |||||||
Electric Utilities 1.0% |
| |||||||
American Electric Power Co., Inc. |
4,316 | 417,789 | ||||||
Enel SpA |
31,780 | 171,446 | ||||||
First Trust Global Wind Energy ETF(b) |
20,043 | 348,949 | ||||||
Iberdrola SA |
65,072 | 735,145 | ||||||
NextEra Energy, Inc. |
5,634 | 477,200 | ||||||
NRG Energy, Inc. |
9,491 | 402,893 | ||||||
Orsted AS(c) |
3,167 | 277,304 | ||||||
PNM Resources, Inc. |
34,082 | 1,670,018 | ||||||
Xcel Energy, Inc. |
5,629 | 395,268 | ||||||
|
|
|||||||
4,896,012 | ||||||||
|
|
|||||||
Gas Utilities 0.2% |
| |||||||
Naturgy Energy Group SA(b) |
13,975 | 392,924 | ||||||
South Jersey Industries, Inc. |
16,897 | 586,326 | ||||||
UGI Corp. |
10,403 | 402,076 | ||||||
|
|
|||||||
1,381,326 | ||||||||
|
|
|||||||
Multi-Utilities 0.1% |
| |||||||
Sempra Energy |
2,796 | 464,667 | ||||||
|
|
|||||||
Water Utilities 0.1% |
| |||||||
American Water Works Co., Inc. |
1,667 | 252,984 | ||||||
|
|
|||||||
6,994,989 | ||||||||
|
|
|||||||
Real Estate 1.3% |
| |||||||
Equity Real Estate Investment Trusts (REITs) 1.0% |
| |||||||
American Tower Corp. |
9,992 | 2,210,730 |
11
Company | Shares | U.S. $ Value | ||||||||||
Extra Space Storage, Inc. |
1,177 | $ | 189,132 | |||||||||
Host Hotels & Resorts, Inc. |
7,343 | 139,076 | ||||||||||
Iron Mountain, Inc. |
4,132 | 224,492 | ||||||||||
Link REIT |
24,700 | 166,844 | ||||||||||
Medical Properties Trust, Inc.(b) |
11,653 | 152,887 | ||||||||||
Nippon Building Fund, Inc. |
39 | 181,917 | ||||||||||
Public Storage |
77 | 22,943 | ||||||||||
Simon Property Group, Inc. |
3,675 | 438,942 | ||||||||||
Stockland |
46,377 | 121,084 | ||||||||||
STORE Capital Corp. |
17,753 | 566,321 | ||||||||||
Summit Industrial Income REIT |
27,410 | 459,499 | ||||||||||
Weyerhaeuser Co. |
12,825 | 419,506 | ||||||||||
|
|
|||||||||||
5,293,373 | ||||||||||||
|
|
|||||||||||
Real Estate Management & Development 0.3% |
||||||||||||
CBRE Group, Inc. - Class A(a) |
17,452 | 1,389,179 | ||||||||||
|
|
|||||||||||
6,682,552 | ||||||||||||
|
|
|||||||||||
Total Common Stocks |
285,805,534 | |||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
CORPORATES NON-INVESTMENT GRADE 5.7% |
||||||||||||
Industrial 5.0% |
||||||||||||
Basic 0.3% |
||||||||||||
Arconic Corp. |
U.S.$ | 33 | 30,974 | |||||||||
ASP Unifrax Holdings, Inc. |
58 | 47,915 | ||||||||||
7.50%, 09/30/2029(c) |
16 | 10,697 | ||||||||||
Big River Steel LLC/BRS Finance Corp. |
102 | 99,138 | ||||||||||
Cleveland-Cliffs, Inc. |
25 | 21,935 | ||||||||||
6.75%, 03/15/2026(c) |
12 | 12,077 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI |
20 | 19,357 | ||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp. |
64 | 57,811 | ||||||||||
Element Solutions, Inc. |
91 | 77,857 | ||||||||||
ERP Iron Ore, LLC |
12 | 8,102 | ||||||||||
FMG Resources (August 2006) Pty Ltd. |
36 | 33,128 | ||||||||||
6.125%, 04/15/2032(c) |
166 | 152,295 | ||||||||||
Glatfelter Corp. |
32 | 20,877 | ||||||||||
Graham Packaging Co., Inc. |
28 | 23,793 |
12
Principal Amount (000) |
U.S. $ Value | |||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. |
U.S.$ | 11 | $ | 9,124 | ||||||||
INEOS Quattro Finance 1 PLC |
EUR | 149 | 131,856 | |||||||||
Intelligent Packaging Holdco Issuer LP |
U.S.$ | 52 | 36,625 | |||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd.
Co-Issuer LLC |
123 | 100,091 | ||||||||||
Magnetation LLC/Mag Finance Corp. |
146 | 0 | ||||||||||
Mercer International, Inc. |
93 | 79,832 | ||||||||||
Valvoline, Inc. |
152 | 147,863 | ||||||||||
Vibrantz Technologies, Inc. |
234 | 175,523 | ||||||||||
WR Grace Holdings LLC |
59 | 52,860 | ||||||||||
|
|
|||||||||||
1,349,730 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.4% |
| |||||||||||
ARD Finance SA |
EUR | 202 | 147,690 | |||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. |
218 | 193,204 | ||||||||||
Clean Harbors, Inc. |
U.S.$ | 3 | 2,823 | |||||||||
Eco Material Technologies, Inc. |
121 | 115,118 | ||||||||||
Energizer Holdings, Inc. |
33 | 28,933 | ||||||||||
EnerSys |
100 | 89,196 | ||||||||||
Gates Global LLC/Gates Corp. |
130 | 125,347 | ||||||||||
GFL Environmental, Inc. |
15 | 14,439 | ||||||||||
Granite US Holdings Corp. |
54 | 56,364 | ||||||||||
Harsco Corp. |
122 | 98,686 | ||||||||||
JELD-WEN, Inc. |
17 | 14,407 | ||||||||||
LSB Industries, Inc. |
23 | 21,478 | ||||||||||
Madison IAQ LLC |
207 | 151,890 |
13
Principal Amount (000) |
U.S. $ Value | |||||||||||
Moog, Inc. |
U.S.$ | 42 | $ | 38,058 | ||||||||
SPX FLOW, Inc. |
103 | 85,237 | ||||||||||
Stevens Holding Co., Inc. |
18 | 18,079 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp. |
34 | 31,387 | ||||||||||
TK Elevator Midco GmbH |
EUR | 201 | 184,212 | |||||||||
TransDigm UK Holdings PLC |
U.S.$ | 265 | 261,205 | |||||||||
TransDigm, Inc. |
47 | 46,726 | ||||||||||
Triumph Group, Inc. |
37 | 35,176 | ||||||||||
7.75%, 08/15/2025(b) |
42 | 36,374 | ||||||||||
8.875%, 06/01/2024(c) |
51 | 52,511 | ||||||||||
WESCO Distribution, Inc. |
53 | 53,720 | ||||||||||
|
|
|||||||||||
1,902,260 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.6% |
||||||||||||
Advantage Sales & Marketing, Inc. |
113 | 88,503 | ||||||||||
Altice Financing SA |
279 | 228,043 | ||||||||||
AMC Networks, Inc. |
181 | 134,899 | ||||||||||
Arches Buyer, Inc. |
39 | 31,466 | ||||||||||
Banijay Entertainment SASU |
EUR | 150 | 148,206 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
U.S.$ | 111 | 86,430 | |||||||||
4.50%, 08/15/2030(c) |
105 | 88,460 | ||||||||||
4.75%, 02/01/2032(c) |
88 | 73,545 | ||||||||||
Clear Channel Outdoor Holdings, Inc. |
25 | 21,732 | ||||||||||
CSC Holdings LLC |
200 | 144,186 | ||||||||||
DISH DBS Corp. |
53 | 34,860 | ||||||||||
5.25%, 12/01/2026(c) |
135 | 115,881 | ||||||||||
5.75%, 12/01/2028(c) |
94 | 76,599 | ||||||||||
7.375%, 07/01/2028 |
98 | 72,275 | ||||||||||
DISH Network Corp. |
56 | 36,260 | ||||||||||
Gray Escrow II, Inc. |
129 | 98,402 |
14
Principal Amount (000) |
U.S. $ Value | |||||||||||
iHeartCommunications, Inc. |
U.S.$ | 35 | $ | 30,160 | ||||||||
6.375%, 05/01/2026 |
22 | 20,820 | ||||||||||
8.375%, 05/01/2027(b) |
137 | 121,421 | ||||||||||
Lamar Media Corp. |
4 | 3,720 | ||||||||||
McGraw-Hill Education, Inc. |
139 | 123,504 | ||||||||||
8.00%, 08/01/2029(c) |
93 | 78,828 | ||||||||||
National CineMedia LLC |
33 | 3,439 | ||||||||||
5.875%, 04/15/2028(c) |
67 | 23,954 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. |
61 | 51,482 | ||||||||||
Sinclair Television Group, Inc. |
150 | 125,714 | ||||||||||
5.50%, 03/01/2030(c) |
107 | 81,884 | ||||||||||
Sirius XM Radio, Inc. |
116 | 94,799 | ||||||||||
4.00%, 07/15/2028(c) |
292 | 258,043 | ||||||||||
Summer BC Holdco B SARL |
EUR | 150 | 138,689 | |||||||||
TEGNA, Inc. |
U.S.$ | 35 | 34,300 | |||||||||
5.00%, 09/15/2029 |
110 | 103,223 | ||||||||||
Univision Communications, Inc. |
144 | 141,173 | ||||||||||
7.375%, 06/30/2030(c) |
25 | 24,948 | ||||||||||
Urban One, Inc. |
203 | 171,971 | ||||||||||
|
|
|||||||||||
3,111,819 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.3% |
||||||||||||
Connect Finco SARL/Connect US Finco LLC |
200 | 188,904 | ||||||||||
Consolidated Communications, Inc. |
25 | 18,989 | ||||||||||
6.50%, 10/01/2028(c) |
164 | 134,921 | ||||||||||
Embarq Corp. |
180 | 76,482 | ||||||||||
Frontier Communications Holdings LLC |
65 | 61,840 | ||||||||||
Intelsat Jackson Holdings SA |
177 | 0 | ||||||||||
Kaixo Bondco Telecom SA |
EUR | 100 | 89,074 | |||||||||
Level 3 Financing, Inc. |
U.S.$ | 25 | 19,803 | |||||||||
4.625%, 09/15/2027(c) |
67 | 56,823 | ||||||||||
Telecom Italia Capital SA |
105 | 87,085 |
15
Principal Amount (000) |
U.S. $ Value | |||||||||||
United Group BV |
EUR | 108 | $ | 85,425 | ||||||||
4.00%, 11/15/2027(c) |
109 | 87,930 | ||||||||||
4.625%, 08/15/2028(c) |
291 | 230,288 | ||||||||||
5.25%, 02/01/2030(c) |
185 | 143,840 | ||||||||||
Vmed O2 UK Financing I PLC |
U.S.$ | 200 | 163,884 | |||||||||
|
|
|||||||||||
1,445,288 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.4% |
||||||||||||
Allison Transmission, Inc. |
60 | 57,107 | ||||||||||
Clarios Global LP/Clarios US Finance Co. |
69 | 68,229 | ||||||||||
Dana, Inc. |
11 | 10,126 | ||||||||||
5.625%, 06/15/2028 |
17 | 15,639 | ||||||||||
Dealer Tire LLC/DT Issuer LLC |
169 | 145,291 | ||||||||||
Exide Technologies |
59 | 0 | ||||||||||
(First Lien) |
24 | 0 | ||||||||||
Faurecia SE |
EUR | 219 | 197,493 | |||||||||
Ford Motor Co. |
U.S.$ | 284 | 272,572 | |||||||||
Goodyear Tire & Rubber Co. (The) |
42 | 36,322 | ||||||||||
5.25%, 07/15/2031 |
39 | 33,408 | ||||||||||
IHO Verwaltungs GmbH |
EUR | 100 | 97,611 | |||||||||
Jaguar Land Rover Automotive PLC |
153 | 153,979 | ||||||||||
5.875%, 01/15/2028(c) |
U.S.$ | 200 | 154,146 | |||||||||
Mclaren Finance PLC |
200 | 162,500 | ||||||||||
PM General Purchaser LLC |
103 | 90,094 | ||||||||||
Real Hero Merger Sub 2, Inc. |
163 | 112,512 | ||||||||||
Titan International, Inc. |
108 | 102,602 | ||||||||||
ZF North America Capital, Inc. |
161 | 153,956 | ||||||||||
|
|
|||||||||||
1,863,587 | ||||||||||||
|
|
16
Principal Amount (000) |
U.S. $ Value | |||||||||||
Consumer Cyclical - Entertainment 0.2% |
||||||||||||
Carnival Corp. |
U.S.$ | 58 | $ | 48,269 | ||||||||
5.75%, 03/01/2027(c) |
112 | 83,279 | ||||||||||
9.875%, 08/01/2027(c) |
60 | 58,579 | ||||||||||
Cedar Fair LP/Canadas Wonderland Co./Magnum Management Corp./Millennium Op |
179 | 178,397 | ||||||||||
Lindblad Expeditions LLC |
37 | 34,229 | ||||||||||
Mattel, Inc. |
15 | 14,659 | ||||||||||
NCL Corp., Ltd. |
123 | 101,709 | ||||||||||
Royal Caribbean Cruises Ltd. |
112 | 92,957 | ||||||||||
5.50%, 08/31/2026(c) |
90 | 78,052 | ||||||||||
5.50%, 04/01/2028(c) |
93 | 76,097 | ||||||||||
9.25%, 01/15/2029(c) |
83 | 84,991 | ||||||||||
11.50%, 06/01/2025(c) |
134 | 143,641 | ||||||||||
SeaWorld Parks & Entertainment, Inc. |
93 | 95,272 | ||||||||||
Six Flags Entertainment Corp. |
30 | 29,171 | ||||||||||
Vail Resorts, Inc. |
25 | 25,098 | ||||||||||
Viking Cruises Ltd. |
129 | 108,179 | ||||||||||
7.00%, 02/15/2029(b) (c) |
34 | 28,984 | ||||||||||
13.00%, 05/15/2025(c) |
35 | 37,202 | ||||||||||
VOC Escrow Ltd. |
3 | 2,585 | ||||||||||
|
|
|||||||||||
1,321,350 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.4% |
||||||||||||
Adams Homes, Inc. |
63 | 52,557 | ||||||||||
Beazer Homes USA, Inc. |
46 | 44,071 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC |
113 | 89,063 | ||||||||||
6.25%, 09/15/2027(c) |
3 | 2,680 | ||||||||||
Builders FirstSource, Inc. |
100 | 92,685 | ||||||||||
Caesars Entertainment, Inc. |
102 | 100,641 | ||||||||||
CP Atlas Buyer, Inc. |
44 | 32,189 | ||||||||||
Empire Communities Corp. |
7 | 6,171 |
17
Principal |
U.S. $ Value | |||||||||||
Everi Holdings, Inc. |
U.S.$ | 18 | $ | 15,667 | ||||||||
Five Point Operating Co. LP/Five Point Capital Corp. |
173 | 147,105 | ||||||||||
Hilton Domestic Operating Co., Inc. |
89 | 73,260 | ||||||||||
5.375%, 05/01/2025(c) |
21 | 20,853 | ||||||||||
5.75%, 05/01/2028(c) |
22 | 21,557 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc |
72 | 59,366 | ||||||||||
5.00%, 06/01/2029(c) |
66 | 57,168 | ||||||||||
Installed Building Products, Inc. |
31 | 27,171 | ||||||||||
Marriott Ownership Resorts, Inc. |
19 | 18,864 | ||||||||||
Mattamy Group Corp. |
88 | 72,626 | ||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. |
17 | 13,602 | ||||||||||
Shea Homes LP / Shea Homes Funding Corp. |
55 | 47,489 | ||||||||||
4.75%, 04/01/2029 |
87 | 72,200 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. |
197 | 185,562 | ||||||||||
Taylor Morrison Communities, Inc. |
69 | 64,503 | ||||||||||
5.875%, 06/15/2027(c) |
3 | 2,874 | ||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. |
183 | 180,926 | ||||||||||
Travel + Leisure Co. |
126 | 102,892 | ||||||||||
4.625%, 03/01/2030(c) |
94 | 76,853 | ||||||||||
6.625%, 07/31/2026(c) |
143 | 140,343 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
93 | 86,140 | ||||||||||
|
|
|||||||||||
1,907,078 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Restaurants 0.0% |
||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
53 | 52,941 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.4% |
||||||||||||
Arko Corp. |
46 | 36,939 | ||||||||||
Asbury Automotive Group, Inc. |
60 | 52,347 | ||||||||||
5.00%, 02/15/2032(c) |
24 | 20,296 |
18
Principal |
U.S. $ Value | |||||||||||
Bath & Body Works, Inc. |
U.S.$ | 13 | $ | 12,058 | ||||||||
6.625%, 10/01/2030(c) |
129 | 120,923 | ||||||||||
6.75%, 07/01/2036 |
58 | 50,931 | ||||||||||
6.875%, 11/01/2035 |
131 | 118,535 | ||||||||||
6.95%, 03/01/2033 |
69 | 59,881 | ||||||||||
7.50%, 06/15/2029(b) |
13 | 13,041 | ||||||||||
9.375%, 07/01/2025(c) |
32 | 33,814 | ||||||||||
BCPE Ulysses Intermediate, Inc. |
48 | 31,668 | ||||||||||
Carvana Co. |
14 | 5,041 | ||||||||||
5.875%, 10/01/2028(c) |
37 | 12,971 | ||||||||||
Dufry One BV |
EUR | 143 | 144,946 | |||||||||
Edcon Ltd. |
ZAR | 2 | 0 | |||||||||
FirstCash, Inc. |
U.S.$ | 22 | 19,458 | |||||||||
5.625%, 01/01/2030(c) |
93 | 84,555 | ||||||||||
Foundation Building Materials, Inc. |
24 | 17,981 | ||||||||||
Kontoor Brands, Inc. |
90 | 74,420 | ||||||||||
LBM Acquisition LLC |
20 | 13,745 | ||||||||||
Michaels Cos, Inc. (The) |
144 | 85,127 | ||||||||||
Murphy Oil USA, Inc. |
6 | 5,471 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC |
60 | 57,733 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. |
271 | 252,312 | ||||||||||
Rite Aid Corp. |
105 | 77,709 | ||||||||||
8.00%, 11/15/2026(c) |
109 | 67,128 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp. |
90 | 75,309 | ||||||||||
SRS Distribution, Inc. |
29 | 24,067 | ||||||||||
Staples, Inc. |
228 | 203,358 | ||||||||||
TPro Acquisition Corp. |
36 | 35,981 | ||||||||||
White Cap Buyer LLC |
151 | 130,700 | ||||||||||
White Cap Parent LLC |
29 | 24,894 | ||||||||||
|
|
|||||||||||
1,963,339 | ||||||||||||
|
|
19
Principal |
U.S. $ Value | |||||||||||
Consumer Non-Cyclical 0.4% |
||||||||||||
Acadia Healthcare Co., Inc. |
U.S.$ | 88 | $ | 82,916 | ||||||||
AdaptHealth LLC |
25 | 23,077 | ||||||||||
AHP Health Partners, Inc. |
83 | 65,782 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |
184 | 166,982 | ||||||||||
Bausch Health Cos., Inc. |
173 | 105,992 | ||||||||||
6.25%, 02/15/2029(c) |
7 | 2,959 | ||||||||||
7.25%, 05/30/2029(c) |
48 | 20,294 | ||||||||||
CD&R Smokey Buyer, Inc. |
8 | 7,150 | ||||||||||
CHS/Community Health Systems, Inc. |
27 | 19,828 | ||||||||||
6.125%, 04/01/2030(c) |
91 | 46,424 | ||||||||||
6.875%, 04/15/2029(c) |
205 | 109,612 | ||||||||||
6.875%, 04/01/2028(c) |
53 | 25,462 | ||||||||||
Darling Ingredients, Inc. |
47 | 46,045 | ||||||||||
DaVita, Inc. |
45 | 33,048 | ||||||||||
Emergent BioSolutions, Inc. |
13 | 5,850 | ||||||||||
Garden Spinco Corp. |
71 | 75,867 | ||||||||||
Global Medical Response, Inc. |
103 | 77,729 | ||||||||||
Grifols Escrow Issuer SA |
200 | 167,306 | ||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. |
132 | 109,652 | ||||||||||
Legacy LifePoint Health LLC |
67 | 56,128 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC |
6 | 3,110 | ||||||||||
Medline Borrower LP |
93 | 79,942 | ||||||||||
5.25%, 10/01/2029(c) |
167 | 136,138 | ||||||||||
ModivCare Escrow Issuer, Inc. |
17 | 14,294 | ||||||||||
ModivCare, Inc. |
17 | 15,724 |
20
Principal |
U.S. $ Value | |||||||||||
Option Care Health, Inc. |
U.S.$ | 85 | $ | 72,468 | ||||||||
Post Holdings, Inc. |
131 | 120,420 | ||||||||||
RP Escrow Issuer LLC |
45 | 37,696 | ||||||||||
Spectrum Brands, Inc. |
175 | 133,044 | ||||||||||
5.75%, 07/15/2025 |
2 | 1,976 | ||||||||||
Tenet Healthcare Corp. |
65 | 57,336 | ||||||||||
6.125%, 06/15/2030(c) |
39 | 36,969 | ||||||||||
Triton Water Holdings, Inc. |
65 | 50,622 | ||||||||||
US Acute Care Solutions LLC |
59 | 53,531 | ||||||||||
US Renal Care, Inc. |
66 | 26,452 | ||||||||||
|
|
|||||||||||
2,087,825 | ||||||||||||
|
|
|||||||||||
Energy 0.6% |
||||||||||||
Berry Petroleum Co. LLC |
58 | 54,855 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. |
37 | 37,332 | ||||||||||
Callon Petroleum Co. |
169 | 168,630 | ||||||||||
Citgo Holding, Inc. |
50 | 50,250 | ||||||||||
CITGO Petroleum Corp. |
43 | 42,206 | ||||||||||
7.00%, 06/15/2025(c) |
152 | 149,854 | ||||||||||
Civitas Resources, Inc. |
23 | 21,186 | ||||||||||
CNX Resources Corp. |
47 | 44,209 | ||||||||||
7.25%, 03/14/2027(c) |
2 | 1,993 | ||||||||||
Comstock Resources, Inc. |
36 | 34,839 | ||||||||||
Crescent Energy Finance LLC |
56 | 54,056 | ||||||||||
Diamond Foreign Asset Co./Diamond Finance LLC |
26 | 23,818 | ||||||||||
Encino Acquisition Partners Holdings LLC |
90 | 86,341 | ||||||||||
EnLink Midstream LLC |
74 | 71,726 | ||||||||||
EnLink Midstream Partners LP |
72 | 68,802 | ||||||||||
5.05%, 04/01/2045 |
49 | 37,253 |
21
Principal |
U.S. $ Value | |||||||||||
5.45%, 06/01/2047 |
U.S.$ | 39 | $ | 31,654 | ||||||||
5.60%, 04/01/2044 |
10 | 8,310 | ||||||||||
EQM Midstream Partners LP |
73 | 64,124 | ||||||||||
4.75%, 01/15/2031(c) |
70 | 59,641 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. |
51 | 49,551 | ||||||||||
6.25%, 05/15/2026 |
47 | 43,805 | ||||||||||
6.50%, 10/01/2025 |
21 | 20,256 | ||||||||||
7.75%, 02/01/2028 |
84 | 80,153 | ||||||||||
8.00%, 01/15/2027 |
38 | 36,419 | ||||||||||
Global Partners LP/GLP Finance Corp. |
38 | 34,309 | ||||||||||
7.00%, 08/01/2027 |
43 | 40,832 | ||||||||||
Gulfport Energy Corp. |
62 | 77 | ||||||||||
6.375%, 05/15/2025(a) |
71 | 89 | ||||||||||
6.375%, 01/15/2026(a) |
208 | 260 | ||||||||||
6.625%, 05/01/2023(a) |
12 | 15 | ||||||||||
8.00%, 05/17/2026(c) |
53 | 52,678 | ||||||||||
Hess Midstream Operations LP |
14 | 12,023 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. |
21 | 19,270 | ||||||||||
6.00%, 02/01/2031(c) |
30 | 27,550 | ||||||||||
ITT Holdings LLC |
145 | 124,520 | ||||||||||
Murphy Oil Corp. |
51 | 39,624 | ||||||||||
Nabors Industries Ltd. |
43 | 41,310 | ||||||||||
7.50%, 01/15/2028(c) |
117 | 106,944 | ||||||||||
New Fortress Energy, Inc. |
102 | 99,574 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
149 | 134,450 | ||||||||||
Occidental Petroleum Corp. |
12 | 11,970 | ||||||||||
5.875%, 09/01/2025 |
22 | 22,209 | ||||||||||
6.125%, 01/01/2031 |
15 | 15,226 | ||||||||||
8.50%, 07/15/2027 |
26 | 28,325 | ||||||||||
8.875%, 07/15/2030 |
26 | 29,757 | ||||||||||
PDC Energy, Inc. |
163 | 155,737 | ||||||||||
Southwestern Energy Co. |
78 | 73,648 | ||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. |
61 | 58,720 | ||||||||||
Sunnova Energy Corp. |
30 | 26,844 |
22
Principal |
U.S. $ Value | |||||||||||
Sunoco LP/Sunoco Finance Corp. |
U.S.$ | 129 | $ | 123,899 | ||||||||
6.00%, 04/15/2027 |
4 | 3,961 | ||||||||||
Talos Production, Inc. |
29 | 30,568 | ||||||||||
Transocean Phoenix 2 Ltd. |
60 | 60,018 | ||||||||||
Transocean Pontus Ltd. |
36 | 35,425 | ||||||||||
Transocean Sentry Ltd. |
99 | 98,273 | ||||||||||
Transocean, Inc. |
1 | 524 | ||||||||||
|
|
|||||||||||
2,849,892 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.0% |
||||||||||||
Interface, Inc. |
22 | 17,894 | ||||||||||
|
|
|||||||||||
Services 0.5% |
||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. |
31 | 29,460 | ||||||||||
9.75%, 07/15/2027(c) |
206 | 185,839 | ||||||||||
ANGI Group LLC |
209 | 157,049 | ||||||||||
Aptim Corp. |
161 | 113,763 | ||||||||||
APX Group, Inc. |
209 | 178,055 | ||||||||||
6.75%, 02/15/2027(c) |
35 | 34,703 | ||||||||||
Aramark Services, Inc. |
90 | 89,797 | ||||||||||
Cars.com, Inc. |
70 | 61,676 | ||||||||||
Garda World Security Corp. |
182 | 146,257 | ||||||||||
9.50%, 11/01/2027(c) |
215 | 199,215 | ||||||||||
Gartner, Inc. |
49 | 46,110 | ||||||||||
Korn Ferry |
63 | 57,593 | ||||||||||
Millennium Escrow Corp. |
140 | 100,743 | ||||||||||
MoneyGram International, Inc. |
62 | 62,621 | ||||||||||
Monitronics International, Inc. |
120 | 0 | ||||||||||
MPH Acquisition Holdings LLC |
77 | 61,519 | ||||||||||
5.75%, 11/01/2028(b) (c) |
287 | 204,723 | ||||||||||
Neptune Bidco US, Inc. |
204 | 196,438 |
23
Principal |
U.S. $ Value | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
U.S.$ | 247 | $ | 230,515 | ||||||||
Sabre GLBL, Inc. |
88 | 83,838 | ||||||||||
9.25%, 04/15/2025(c) |
41 | 40,872 | ||||||||||
11.25%, 12/15/2027(c) |
80 | 82,034 | ||||||||||
TripAdvisor, Inc. |
41 | 40,662 | ||||||||||
Verscend Escrow Corp. |
115 | 115,138 | ||||||||||
ZipRecruiter, Inc. |
131 | 107,056 | ||||||||||
|
|
|||||||||||
2,625,676 | ||||||||||||
|
|
|||||||||||
Technology 0.3% |
||||||||||||
Ahead DB Holdings LLC |
95 | 77,419 | ||||||||||
Avaya, Inc. |
106 | 46,753 | ||||||||||
Boxer Parent Co., Inc. |
7 | 6,832 | ||||||||||
Cablevision Lightpath LLC |
200 | 154,148 | ||||||||||
Clarivate Science Holdings Corp. |
41 | 35,117 | ||||||||||
CommScope, Inc. |
92 | 77,474 | ||||||||||
Entegris Escrow Corp. |
59 | 55,546 | ||||||||||
GoTo Group, Inc. |
51 | 29,836 | ||||||||||
NCR Corp. |
102 | 87,757 | ||||||||||
5.75%, 09/01/2027(c) |
43 | 41,813 | ||||||||||
6.125%, 09/01/2029(c) |
28 | 27,179 | ||||||||||
NortonLifeLock, Inc. |
85 | 85,363 | ||||||||||
7.125%, 09/30/2030(c) |
85 | 85,681 | ||||||||||
Playtika Holding Corp. |
90 | 72,960 | ||||||||||
Presidio Holdings, Inc. |
12 | 11,206 | ||||||||||
8.25%, 02/01/2028(c) |
172 | 156,274 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. |
316 | 225,880 | ||||||||||
Virtusa Corp. |
66 | 49,539 | ||||||||||
|
|
|||||||||||
1,326,777 | ||||||||||||
|
|
24
Principal |
U.S. $ Value | |||||||||||
Transportation - Airlines 0.1% |
||||||||||||
Air Canada |
U.S.$ | 29 | $ | 26,534 | ||||||||
Allegiant Travel Co. |
47 | 45,462 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
101 | 98,166 | ||||||||||
5.75%, 04/20/2029(c) |
88 | 82,174 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. |
47 | 44,233 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. |
162 | 163,778 | ||||||||||
|
|
|||||||||||
460,347 | ||||||||||||
|
|
|||||||||||
Transportation - Services 0.1% |
||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. |
45 | 39,767 | ||||||||||
5.75%, 07/15/2027(b) (c) |
80 | 74,124 | ||||||||||
Hertz Corp. (The) |
126 | 109,379 | ||||||||||
PROG Holdings, Inc. |
85 | 74,195 | ||||||||||
|
|
|||||||||||
297,465 | ||||||||||||
|
|
|||||||||||
24,583,268 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.7% |
||||||||||||
Banking 0.2% |
||||||||||||
Ally Financial, Inc. |
19 | 12,620 | ||||||||||
Bread Financial Holdings, Inc. |
115 | 100,403 | ||||||||||
7.00%, 01/15/2026(c) |
53 | 45,727 | ||||||||||
CaixaBank SA |
EUR | 200 | 193,972 | |||||||||
Credit Suisse Group AG |
U.S.$ | 200 | 150,282 | |||||||||
Discover Financial Services |
244 | 238,171 | ||||||||||
|
|
|||||||||||
741,175 | ||||||||||||
|
|
|||||||||||
Brokerage 0.1% |
||||||||||||
Advisor Group Holdings, Inc. |
83 | 84,550 | ||||||||||
AG TTMT Escrow Issuer LLC |
122 | 123,310 | ||||||||||
Hightower Holding LLC |
270 | 224,111 |
25
Principal Amount (000) |
U.S. $ Value | |||||||||||
NFP Corp. |
U.S.$ | 257 | $ | 217,404 | ||||||||
7.50%, 10/01/2030(c) |
70 | 67,321 | ||||||||||
|
|
|||||||||||
716,696 | ||||||||||||
|
|
|||||||||||
Finance 0.2% |
||||||||||||
Aircastle Ltd. |
97 | 72,399 | ||||||||||
Castlelake Aviation Finance DAC |
46 | 39,289 | ||||||||||
CNG Holdings, Inc. |
93 | 78,686 | ||||||||||
Compass Group Diversified Holdings LLC |
81 | 70,772 | ||||||||||
Curo Group Holdings Corp. |
177 | 72,561 | ||||||||||
Enova International, Inc. |
45 | 43,257 | ||||||||||
8.50%, 09/15/2025(c) |
161 | 149,633 | ||||||||||
goeasy Ltd. |
74 | 70,435 | ||||||||||
Lincoln Financing SARL |
EUR | 103 | 105,369 | |||||||||
Navient Corp. |
U.S.$ | 45 | 36,764 | |||||||||
5.50%, 01/25/2023 |
25 | 24,951 | ||||||||||
|
|
|||||||||||
764,116 | ||||||||||||
|
|
|||||||||||
Insurance 0.0% |
||||||||||||
Acrisure LLC/Acrisure Finance, Inc. |
242 | 193,731 | ||||||||||
7.00%, 11/15/2025(c) |
35 | 32,901 | ||||||||||
AmWINS Group, Inc. |
20 | 17,405 | ||||||||||
|
|
|||||||||||
244,037 | ||||||||||||
|
|
|||||||||||
Other Finance 0.1% |
||||||||||||
Armor Holdco, Inc. |
87 | 65,482 | ||||||||||
Coinbase Global, Inc. |
116 | 62,584 | ||||||||||
Intrum AB |
EUR | 100 | 80,995 | |||||||||
4.875%, 08/15/2025(c) |
100 | 93,295 | ||||||||||
|
|
|||||||||||
302,356 | ||||||||||||
|
|
|||||||||||
REITs 0.1% |
||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL |
U.S.$ | 153 | 134,695 | |||||||||
5.75%, 05/15/2026(c) |
51 | 49,083 |
26
Principal Amount (000) |
U.S. $ Value | |||||||||||
Diversified Healthcare Trust |
U.S.$ | 45 | $ | 43,815 | ||||||||
Iron Mountain, Inc. |
3 | 2,822 | ||||||||||
4.875%, 09/15/2029(c) |
69 | 60,948 | ||||||||||
5.00%, 07/15/2028(c) |
53 | 48,621 | ||||||||||
5.25%, 03/15/2028(c) |
124 | 116,019 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co-Issuer |
49 | 41,896 | ||||||||||
|
|
|||||||||||
497,899 | ||||||||||||
|
|
|||||||||||
3,266,279 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Calpine Corp. |
28 | 25,215 | ||||||||||
Vistra Corp. |
70 | 62,859 | ||||||||||
8.00%, 10/15/2026(c) (j) |
78 | 74,592 | ||||||||||
|
|
|||||||||||
162,666 | ||||||||||||
|
|
|||||||||||
Natural Gas 0.0% |
||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. |
11 | 10,543 | ||||||||||
|
|
|||||||||||
Other Utility 0.0% |
||||||||||||
Solaris Midstream Holdings LLC |
60 | 59,448 | ||||||||||
|
|
|||||||||||
232,657 | ||||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
28,082,204 | |||||||||||
|
|
|||||||||||
GOVERNMENTS - TREASURIES 3.6% |
||||||||||||
United States 3.6% |
||||||||||||
U.S. Treasury Bonds |
14 | 7,742 | ||||||||||
U.S. Treasury Notes |
2,130 | 1,696,331 | ||||||||||
1.25%, 05/31/2028(k) |
4,020 | 3,504,937 | ||||||||||
1.625%, 08/15/2029(k) (l) |
2,556 | 2,238,098 | ||||||||||
1.875%, 02/15/2032 |
678 | 581,874 | ||||||||||
2.375%, 05/15/2029(k) |
1,524 | 1,398,801 | ||||||||||
2.625%, 05/31/2027 |
4,890 | 4,634,708 | ||||||||||
2.875%, 05/15/2032 |
1,342 | 1,253,466 | ||||||||||
3.00%, 07/31/2024 |
1,232 | 1,202,065 | ||||||||||
4.125%, 10/31/2027 |
198 | 199,924 | ||||||||||
4.375%, 10/31/2024 |
1,150 | 1,149,102 | ||||||||||
|
|
|||||||||||
Total Governments - Treasuries |
17,867,048 | |||||||||||
|
|
27
Shares | U.S. $ Value | |||||||||||
INVESTMENT COMPANIES 2.3% |
||||||||||||
Funds and Investment Trusts 2.3%(m) |
||||||||||||
Consumer Staples Select Sector SPDR Fund |
6,660 | $ | 514,085 | |||||||||
Financial Select Sector SPDR Fund |
13,300 | 482,923 | ||||||||||
Health Care Select Sector SPDR Fund(b) |
65,294 | 9,077,172 | ||||||||||
Invesco S&P 500 Equal Weight Consumer Discretionary ETF |
2,080 | 261,872 | ||||||||||
iShares 10-20 Year Treasury Bond ETF(b) |
1,741 | 192,763 | ||||||||||
iShares Russell 2000 ETF(b) |
591 | 110,736 | ||||||||||
iShares US Technology ETF(b) |
8,545 | 695,734 | ||||||||||
|
|
|||||||||||
Total Investment Companies |
11,335,285 | |||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
CORPORATES - INVESTMENT GRADE 1.6% |
||||||||||||
Financial Institutions 1.0% |
||||||||||||
Banking 0.6% |
||||||||||||
Ally Financial, Inc. |
U.S.$ | 272 | 197,904 | |||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand |
184 | 181,930 | ||||||||||
Banco Santander SA |
200 | 184,644 | ||||||||||
Bank of America Corp. |
2 | 1,978 | ||||||||||
Barclays PLC |
200 | 188,500 | ||||||||||
BNP Paribas SA |
283 | 214,972 | ||||||||||
Citigroup, Inc. |
50 | 41,773 | ||||||||||
5.95%, 01/30/2023(j) |
280 | 277,469 | ||||||||||
Series V |
47 | 39,517 | ||||||||||
Series Y |
65 | 52,577 | ||||||||||
Credit Agricole SA |
400 | 406,588 | ||||||||||
First-Citizens Bank & Trust Co. |
31 | 30,650 | ||||||||||
Goldman Sachs Group, Inc. (The) |
89 | 86,324 | ||||||||||
HSBC Holdings PLC |
EUR | 300 | 309,767 |
28
Principal Amount (000) |
U.S. $ Value | |||||||||||
Truist Financial Corp. |
U.S.$ | 273 | $ | 244,840 | ||||||||
UBS Group AG |
400 | 396,108 | ||||||||||
|
|
|||||||||||
2,855,541 | ||||||||||||
|
|
|||||||||||
Brokerage 0.0% |
||||||||||||
Charles Schwab Corp. (The) |
70 | 68,549 | ||||||||||
|
|
|||||||||||
Finance 0.1% |
||||||||||||
Air Lease Corp. |
112 | 94,993 | ||||||||||
Aircastle Ltd. |
15 | 12,204 | ||||||||||
4.125%, 05/01/2024 |
14 | 13,499 | ||||||||||
4.25%, 06/15/2026 |
2 | 1,865 | ||||||||||
5.00%, 04/01/2023 |
3 | 2,989 | ||||||||||
5.25%, 08/11/2025(c) |
200 | 191,678 | ||||||||||
Aviation Capital Group LLC |
4 | 3,496 | ||||||||||
3.50%, 11/01/2027(c) |
25 | 21,516 | ||||||||||
4.125%, 08/01/2025(c) |
39 | 36,252 | ||||||||||
4.875%, 10/01/2025(c) |
30 | 28,279 | ||||||||||
5.50%, 12/15/2024(c) |
67 | 65,729 | ||||||||||
Huarong Finance II Co., Ltd. |
200 | 185,662 | ||||||||||
|
|
|||||||||||
658,162 | ||||||||||||
|
|
|||||||||||
Insurance 0.2% |
||||||||||||
Liberty Mutual Group, Inc. |
271 | 297,334 | ||||||||||
MetLife Capital Trust IV |
254 | 268,166 | ||||||||||
MetLife, Inc. |
5 | 4,728 | ||||||||||
Prudential Financial, Inc. |
44 | 41,877 | ||||||||||
5.625%, 06/15/2043 |
126 | 124,693 | ||||||||||
|
|
|||||||||||
736,798 | ||||||||||||
|
|
|||||||||||
REITs 0.1% |
||||||||||||
GLP Capital LP/GLP Financing II, Inc. |
20 | 19,435 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. |
33 | 28,154 | ||||||||||
Trust Fibra Uno |
200 | 165,412 |
29
Principal Amount (000) |
U.S. $ Value | |||||||||||
VICI Properties LP/VICI Note Co., Inc. |
U.S.$ | 90 | $ | 89,296 | ||||||||
5.75%, 02/01/2027(c) |
108 | 105,249 | ||||||||||
|
|
|||||||||||
407,546 | ||||||||||||
|
|
|||||||||||
4,726,596 | ||||||||||||
|
|
|||||||||||
Industrial 0.6% |
||||||||||||
Basic 0.1% |
||||||||||||
ArcelorMittal SA |
54 | 53,046 | ||||||||||
Arconic Corp. |
54 | 53,277 | ||||||||||
Braskem Netherlands Finance BV |
200 | 169,500 | ||||||||||
Celanese US Holdings LLC |
33 | 32,803 | ||||||||||
6.05%, 03/15/2025 |
33 | 32,841 | ||||||||||
CF Industries, Inc. |
3 | 2,614 | ||||||||||
Industrias Penoles SAB de CV |
201 | 178,425 | ||||||||||
|
|
|||||||||||
522,506 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.0% |
||||||||||||
General Electric Co. |
122 | 117,163 | ||||||||||
|
|
|||||||||||
Communications - Media 0.1% |
||||||||||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. |
56 | 51,374 | ||||||||||
Netflix, Inc. |
168 | 171,246 | ||||||||||
Warnermedia Holdings, Inc. |
5 | 4,556 | ||||||||||
4.279%, 03/15/2032(c) |
8 | 6,798 | ||||||||||
|
|
|||||||||||
233,974 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.0% |
||||||||||||
Hughes Satellite Systems Corp. |
55 | 52,835 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.0% |
||||||||||||
General Motors Co. |
17 | 16,397 | ||||||||||
Lear Corp. |
3 | 2,730 | ||||||||||
|
|
|||||||||||
19,127 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
MDC Holdings, Inc. |
195 | 157,188 |
30
Principal Amount (000) |
U.S. $ Value | |||||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc. |
U.S.$ | 200 | $ | 137,808 | ||||||||
Toll Brothers Finance Corp. |
3 | 2,747 | ||||||||||
|
|
|||||||||||
297,743 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.0% |
||||||||||||
Macys Retail Holdings LLC |
24 | 21,666 | ||||||||||
6.125%, 03/15/2032(c) |
21 | 18,332 | ||||||||||
|
|
|||||||||||
39,998 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.0% |
||||||||||||
Newell Brands, Inc. |
69 | 67,869 | ||||||||||
6.625%, 09/15/2029(b) |
69 | 68,078 | ||||||||||
|
|
|||||||||||
135,947 | ||||||||||||
|
|
|||||||||||
Energy 0.1% |
||||||||||||
Antero Resources Corp. |
15 | 15,346 | ||||||||||
Apache Corp. |
50 | 44,969 | ||||||||||
Cenovus Energy, Inc. |
3 | 2,687 | ||||||||||
Continental Resources, Inc./OK |
82 | 77,553 | ||||||||||
Ecopetrol SA |
46 | 34,693 | ||||||||||
5.875%, 11/02/2051 |
39 | 25,779 | ||||||||||
6.875%, 04/29/2030 |
93 | 83,142 | ||||||||||
Energy Transfer LP |
12 | 11,488 | ||||||||||
4.95%, 05/15/2028 |
3 | 2,895 | ||||||||||
6.125%, 12/15/2045 |
135 | 127,855 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
3 | 2,895 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
17 | 14,574 | ||||||||||
Western Midstream Operating LP |
18 | 17,297 | ||||||||||
4.30%, 02/01/2030 |
48 | 42,889 | ||||||||||
4.50%, 03/01/2028 |
56 | 52,486 | ||||||||||
4.75%, 08/15/2028 |
29 | 27,161 | ||||||||||
5.45%, 04/01/2044 |
19 | 15,866 | ||||||||||
|
|
|||||||||||
599,575 | ||||||||||||
|
|
|||||||||||
Services 0.0% |
||||||||||||
Expedia Group, Inc. |
3 | 3,038 | ||||||||||
|
|
31
Principal Amount (000) |
U.S. $ Value | |||||||||||
Technology 0.1% |
||||||||||||
Baidu, Inc. |
U.S.$ | 250 | $ | 235,627 | ||||||||
CDW LLC/CDW Finance Corp. |
6 | 5,761 | ||||||||||
Microchip Technology, Inc. |
58 | 56,336 | ||||||||||
Western Digital Corp. |
16 | 11,891 | ||||||||||
4.75%, 02/15/2026 |
10 | 9,417 | ||||||||||
|
|
|||||||||||
319,032 | ||||||||||||
|
|
|||||||||||
Transportation - Airlines 0.1% |
||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
67 | 63,483 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. |
336 | 333,132 | ||||||||||
|
|
|||||||||||
396,615 | ||||||||||||
|
|
|||||||||||
2,737,553 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Israel Electric Corp., Ltd. |
200 | 197,000 | ||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
7,661,149 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - SOVEREIGNS 0.9% |
||||||||||||
Angola 0.1% |
||||||||||||
Angolan Government International Bond |
200 | 165,750 | ||||||||||
9.50%, 11/12/2025(c) |
386 | 393,237 | ||||||||||
|
|
|||||||||||
558,987 | ||||||||||||
|
|
|||||||||||
Argentina 0.0% |
||||||||||||
Argentine Republic Government International Bond |
307 | 81,077 | ||||||||||
1.00%, 07/09/2029 |
96 | 24,866 | ||||||||||
1.50%, 07/09/2035 |
62 | 15,058 | ||||||||||
3.50%, 07/09/2041 |
52 | 14,342 | ||||||||||
|
|
|||||||||||
135,343 | ||||||||||||
|
|
|||||||||||
Bahrain 0.1% |
||||||||||||
Bahrain Government International Bond |
200 | 200,663 | ||||||||||
7.375%, 05/14/2030(c) |
200 | 203,225 | ||||||||||
|
|
|||||||||||
403,888 | ||||||||||||
|
|
32
Principal Amount (000) |
U.S. $ Value | |||||||||||
Dominican Republic 0.1% |
||||||||||||
Dominican Republic International Bond |
U.S.$ | 425 | $ | 441,150 | ||||||||
|
|
|||||||||||
Ecuador 0.1% |
||||||||||||
Ecuador Government International Bond |
200 | 79,192 | ||||||||||
2.50%, 07/31/2035(c) |
484 | 210,660 | ||||||||||
5.50%, 07/31/2030(c) |
166 | 100,707 | ||||||||||
|
|
|||||||||||
390,559 | ||||||||||||
|
|
|||||||||||
El Salvador 0.0% |
||||||||||||
El Salvador Government International Bond |
334 | 121,075 | ||||||||||
|
|
|||||||||||
Gabon 0.1% |
||||||||||||
Gabon Government International Bond |
200 | 164,788 | ||||||||||
|
|
|||||||||||
Ivory Coast 0.1% |
||||||||||||
Ivory Coast Government International Bond |
EUR | 471 | 384,378 | |||||||||
5.125%, 06/15/2025(c) |
152 | 149,848 | ||||||||||
5.875%, 10/17/2031(c) |
135 | 117,240 | ||||||||||
|
|
|||||||||||
651,466 | ||||||||||||
|
|
|||||||||||
Lebanon 0.0% |
||||||||||||
Lebanon Government International Bond |
U.S.$ | 189 | 10,607 | |||||||||
6.65%, 04/22/2024(a) (c) (o) |
45 | 2,610 | ||||||||||
6.85%, 03/23/2027(a) (c) (o) |
46 | 2,582 | ||||||||||
|
|
|||||||||||
15,799 | ||||||||||||
|
|
|||||||||||
Nigeria 0.0% |
||||||||||||
Nigeria Government International Bond |
200 | 131,500 | ||||||||||
|
|
|||||||||||
Oman 0.1% |
||||||||||||
Oman Government International Bond |
213 | 212,201 | ||||||||||
|
|
|||||||||||
Senegal 0.1% |
||||||||||||
Senegal Government International Bond |
365 | 303,931 | ||||||||||
|
|
|||||||||||
South Africa 0.1% |
||||||||||||
Republic of South Africa Government International Bond |
|
247 |
|
187,720 | ||||||||
5.875%, 09/16/2025 |
300 | |
301,650 |
| ||||||||
|
|
|||||||||||
489,370 | ||||||||||||
|
|
33
Principal Amount (000) |
U.S. $ Value | |||||||||||
Ukraine 0.0% |
||||||||||||
Ukraine Government International Bond |
100 | 24,925 | ||||||||||
7.75%, 09/01/2026(c) |
U.S.$ | 285 | $ | 64,089 | ||||||||
7.75%, 09/01/2029(c) |
188 | 44,157 | ||||||||||
|
|
|||||||||||
133,171 | ||||||||||||
|
|
|||||||||||
Venezuela 0.0% |
||||||||||||
Venezuela Government International Bond |
815 | 67,238 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Sovereigns |
4,220,466 | |||||||||||
|
|
|||||||||||
BANK LOANS 0.8% |
||||||||||||
Financial Institutions 0.1% |
||||||||||||
Finance 0.0% |
||||||||||||
Orbit Private Holdings I Ltd. |
20 | 19,528 | ||||||||||
|
|
|||||||||||
Insurance 0.1% |
||||||||||||
Hub International Limited |
0 | ** | 303 | |||||||||
7.528% (LIBOR 3 Month + 3.25%), 04/25/2025(p) |
121 | 118,711 | ||||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) |
145 | 141,271 | ||||||||||
|
|
|||||||||||
260,285 | ||||||||||||
|
|
|||||||||||
279,813 | ||||||||||||
|
|
|||||||||||
Industrial 0.7% |
||||||||||||
Capital Goods 0.1% |
||||||||||||
ACProducts Holdings, Inc. |
136 | 98,366 | ||||||||||
7.924% (LIBOR 3 Month + 4.25%), 05/17/2028(p) |
45 | 32,457 | ||||||||||
Chariot Buyer LLC |
20 | 18,554 | ||||||||||
Granite US Holdings Corporation |
161 | 160,573 | ||||||||||
|
|
|||||||||||
309,950 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.1% |
||||||||||||
Advantage Sales & Marketing, Inc. |
147 | 118,232 |
34
Principal Amount (000) |
U.S. $ Value | |||||||||||
Clear Channel Outdoor Holdings, Inc. |
U.S.$ | 0 | ** | $ | 80 | |||||||
7.915% (LIBOR 3 Month + 3.50%), 08/21/2026(p) |
34 | 31,135 | ||||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) |
35 | 33,197 | ||||||||||
Univision Communications, Inc. |
18 | 18,141 | ||||||||||
|
|
|||||||||||
200,785 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.1% |
| |||||||||||
Crown Subsea Communications Holding, Inc. |
128 | 124,934 | ||||||||||
Intrado Corporation (West Corp/Olympus Merger) |
127 | 115,930 | ||||||||||
Proofpoint, Inc. |
230 | 219,650 | ||||||||||
Zacapa SARL |
196 | 188,505 | ||||||||||
|
|
|||||||||||
649,019 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.0% |
| |||||||||||
Clarios Global LP |
51 | 49,835 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.0% |
| |||||||||||
Caesars Resort Collection, LLC |
145 | 143,708 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.0% |
| |||||||||||
Great Outdoors Group, LLC |
51 | 48,949 | ||||||||||
Restoration Hardware, Inc. |
60 | 56,569 | ||||||||||
|
|
|||||||||||
105,518 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
| |||||||||||
Kronos Acquisition Holdings, Inc. |
79 | 74,466 |
35
Principal Amount (000) |
U.S. $ Value | |||||||||||
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) |
U.S$ | 96 | $ | 88,620 | ||||||||
Padagis LLC |
47 | 39,294 | ||||||||||
PetSmart LLC |
198 | 189,529 | ||||||||||
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) |
167 | 151,102 | ||||||||||
|
|
|||||||||||
543,011 | ||||||||||||
|
|
|||||||||||
Energy 0.1% |
||||||||||||
CITGO Petroleum Corporation |
54 | 53,954 | ||||||||||
GIP II Blue Holding, L.P. |
119 | 118,333 | ||||||||||
Parkway Generation, LLC |
80 | 78,256 | ||||||||||
|
|
|||||||||||
250,543 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.0% |
||||||||||||
American Tire Distributors, Inc. |
94 | 85,918 | ||||||||||
Dealer Tire, LLC |
39 | 38,336 | ||||||||||
Rockwood Service Corporation |
9 | 8,882 | ||||||||||
|
|
|||||||||||
133,136 | ||||||||||||
|
|
|||||||||||
Services 0.0% |
||||||||||||
Amentum Government Services Holdings LLC |
29 | 28,918 | ||||||||||
8.170% (LIBOR 3 Month + 4.00%), 01/29/2027(p) |
10 | 9,596 | ||||||||||
Verscend Holding Corp. |
88 | 86,768 | ||||||||||
|
|
|||||||||||
125,282 | ||||||||||||
|
|
36
Principal Amount (000) |
U.S. $ Value | |||||||||||
Technology 0.2% |
||||||||||||
Ascend Learning, LLC |
U.S.$ | 60 | $ | 50,850 | ||||||||
Banff Guarantor, Inc. |
40 | 36,693 | ||||||||||
Boxer Parent Company, Inc. |
162 | 155,385 | ||||||||||
Endurance International Group Holdings, Inc. |
176 | 158,841 | ||||||||||
FINThrive Software Intermediate Holdings, Inc. |
40 | 33,750 | ||||||||||
Loyalty Ventures, Inc. |
147 | 58,138 | ||||||||||
Peraton Corp. |
64 | 62,533 | ||||||||||
Presidio Holdings, Inc. |
2 | 1,770 | ||||||||||
7.920% (LIBOR 3 Month + 3.50%), 01/22/2027(e) (p) |
40 | 39,925 | ||||||||||
Veritas US, Inc. |
220 | 157,671 | ||||||||||
|
|
|||||||||||
755,556 | ||||||||||||
|
|
|||||||||||
3,266,343 | ||||||||||||
|
|
|||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Granite Generation LLC |
194 | 188,806 | ||||||||||
|
|
|||||||||||
Total Bank Loans |
|
3,734,962 | ||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 0.7% |
||||||||||||
Industrial 0.6% |
||||||||||||
Basic 0.2% |
| |||||||||||
Braskem Idesa SAPI |
200 | 156,625 | ||||||||||
CSN Inova Ventures |
219 | 207,229 | ||||||||||
Eldorado Gold Corp. |
46 | 38,238 |
37
Principal Amount (000) |
U.S. $ Value | |||||||||||
Indika Energy Capital IV Pte Ltd. |
U.S.$ | 250 | $ | 243,125 | ||||||||
Stillwater Mining Co. |
200 | 160,375 | ||||||||||
Vedanta Resources Finance II PLC |
201 | 171,327 | ||||||||||
Volcan Cia Minera SAA |
40 | 34,095 | ||||||||||
|
|
|||||||||||
1,011,014 | ||||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
||||||||||||
Embraer Netherlands Finance BV |
90 | 85,950 | ||||||||||
6.95%, 01/17/2028(c) |
200 | 198,163 | ||||||||||
Odebrecht Holdco Finance Ltd. |
127 | 317 | ||||||||||
|
|
|||||||||||
284,430 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.0% |
||||||||||||
C&W Senior Financing DAC |
200 | 178,368 | ||||||||||
Digicel Group Holdings Ltd. |
9 | 853 | ||||||||||
|
|
|||||||||||
179,221 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Melco Resorts Finance Ltd. |
200 | 157,125 | ||||||||||
Wynn Macau Ltd. |
214 | 181,365 | ||||||||||
|
|
|||||||||||
338,490 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Retailers 0.0% |
||||||||||||
K2016470219 South Africa Ltd. |
40 | 20 | ||||||||||
K2016470260 South Africa Ltd. |
28 | 3 | ||||||||||
|
|
|||||||||||
23 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
BRF GmbH |
210 | 187,950 | ||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL |
23 | 20,605 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV |
200 | 179,679 | ||||||||||
5.125%, 05/09/2029(b) |
200 | 177,050 | ||||||||||
Tonon Luxembourg SA |
5 | 1 | ||||||||||
Virgolino de Oliveira Finance SA |
434 | 43 | ||||||||||
|
|
|||||||||||
565,328 | ||||||||||||
|
|
38
Principal Amount (000) |
U.S. $ Value | |||||||||||
Energy 0.1% |
||||||||||||
Leviathan Bond Ltd. |
U.S.$ | 18 | $ | 17,913 | ||||||||
6.50%, 06/30/2027(c) |
109 | 106,107 | ||||||||||
Peru LNG SRL |
217 | 179,025 | ||||||||||
|
|
|||||||||||
303,045 | ||||||||||||
|
|
|||||||||||
Technology 0.0% |
||||||||||||
CA Magnum Holdings |
200 | 176,000 | ||||||||||
|
|
|||||||||||
2,857,551 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Cemig Geracao e Transmissao SA |
200 | 204,850 | ||||||||||
Investment Energy Resources Ltd. |
270 | 242,882 | ||||||||||
Terraform Global Operating LP |
12 | 11,225 | ||||||||||
|
|
|||||||||||
458,957 | ||||||||||||
|
|
|||||||||||
Financial Institutions 0.0% |
||||||||||||
Other Finance 0.0% |
||||||||||||
OEC Finance Ltd. |
116 | 2,420 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
|
3,318,928 | ||||||||||
|
|
|||||||||||
COLLATERALIZED LOAN OBLIGATIONS 0.5% |
||||||||||||
CLO - Floating Rate 0.5% |
||||||||||||
Ares XXXIV CLO Ltd. |
270 | 252,242 | ||||||||||
Dryden 49 Senior Loan Fund |
250 | 209,581 | ||||||||||
Dryden 78 CLO Ltd. |
250 | 235,191 | ||||||||||
Dryden 98 CLO Ltd. |
250 | 212,718 |
39
Principal Amount (000) |
U.S. $ Value | |||||||||||
Elmwood CLO VIII Ltd. |
U.S.$ | 150 | $ | 138,197 | ||||||||
Elmwood CLO XII Ltd. |
250 | 228,175 | ||||||||||
Octagon Investment Partners 29 Ltd. |
263 | 235,813 | ||||||||||
Rad CLO 11 Ltd. |
250 | 221,469 | ||||||||||
Regatta XIX Funding Ltd. |
250 | 216,468 | ||||||||||
Rockford Tower CLO Ltd. |
306 | 275,265 | ||||||||||
Trimaran Cavu Ltd. |
250 | 217,337 | ||||||||||
Voya CLO Ltd. |
109 | 93,532 | ||||||||||
|
|
|||||||||||
Total Collateralized Loan Obligations |
|
2,535,988 | ||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 0.4% |
| |||||||||||
Risk Share Floating Rate 0.4% |
| |||||||||||
Bellemeade Re Ltd. |
164 | 162,209 | ||||||||||
Eagle Re Ltd. |
150 | 148,901 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
790 | 782,848 | ||||||||||
Series 2016-HQA3, Class M3 |
223 | 226,431 |
40
Principal Amount (000) |
U.S. $ Value | |||||||||||
Series 2020-DNA1, Class M2 |
U.S.$ | 66 | $ | 64,795 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
49 | 49,467 | ||||||||||
Series 2015-C03, Class 1M2 |
3 | 2,537 | ||||||||||
Series 2015-C04, Class 2M2 |
108 | 111,187 | ||||||||||
Series 2016-C01, Class 2M2 |
53 | 55,201 | ||||||||||
Series 2016-C04, Class 1B |
197 | 204,365 | ||||||||||
Series 2017-C01, Class 1B1 |
27 | 28,740 | ||||||||||
Series 2017-C03, Class 1B1 |
27 | 27,754 | ||||||||||
Series 2017-C05, Class 1B1 |
27 | 26,998 | ||||||||||
Series 2018-C01, Class 1B1 |
86 | 85,704 | ||||||||||
Traingle Re Ltd. |
106 | 105,906 | ||||||||||
|
|
|||||||||||
2,083,043 | ||||||||||||
|
|
|||||||||||
Agency Fixed Rate 0.0% |
||||||||||||
Federal National Mortgage Association Grantor Trust |
84 | 75,422 | ||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate 0.0% |
||||||||||||
Alternative Loan Trust |
9 | 4,853 | ||||||||||
CSMC Mortgage-Backed Trust |
9 | 4,318 | ||||||||||
|
|
|||||||||||
9,171 | ||||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
2,167,636 | |||||||||||
|
|
41
Principal Amount (000) |
U.S. $ Value | |||||||||||
QUASI-SOVEREIGNS 0.1% |
| |||||||||||
Quasi-Sovereign Bonds 0.1% |
| |||||||||||
Mexico 0.1% |
| |||||||||||
Petroleos Mexicanos |
U.S.$ | 51 | $ | 46,145 | ||||||||
6.50%, 01/23/2029 |
41 | 34,379 | ||||||||||
6.75%, 09/21/2047 |
182 | 115,797 | ||||||||||
6.95%, 01/28/2060 |
31 | 19,539 | ||||||||||
|
|
|||||||||||
215,860 | ||||||||||||
|
|
|||||||||||
Ukraine 0.0% |
||||||||||||
State Agency of Roads of Ukraine |
324 | 56,761 | ||||||||||
|
|
|||||||||||
United Arab Emirates 0.0% |
||||||||||||
DP World Crescent Ltd. |
220 | 202,455 | ||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
|
475,076 | ||||||||||
|
|
|||||||||||
GOVERNMENTS - SOVEREIGN BONDS 0.1% |
| |||||||||||
Colombia 0.1% |
| |||||||||||
Colombia Government International Bond |
200 | 117,800 | ||||||||||
5.625%, 02/26/2044 |
200 | 141,600 | ||||||||||
|
|
|||||||||||
259,400 | ||||||||||||
|
|
|||||||||||
Mexico 0.0% |
||||||||||||
Mexico Government International Bond |
238 | 197,421 | ||||||||||
|
|
|||||||||||
Total Governments - Sovereign Bonds |
|
456,821 | ||||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 0.0% |
| |||||||||||
Non-Agency Floating Rate CMBS 0.0% |
| |||||||||||
DBWF Mortgage Trust |
100 | 93,483 | ||||||||||
Morgan Stanley Capital I Trust |
39 | 30,984 | ||||||||||
|
|
|||||||||||
124,467 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate CMBS 0.0% |
||||||||||||
Citigroup Commercial Mortgage Trust |
35 | 32,005 | ||||||||||
GS Mortgage Securities Trust |
28 | 11,539 |
42
Principal Amount (000) |
U.S. $ Value | |||||||||||
JPMBB Commercial Mortgage Securities Trust |
U.S.$ | 71 | $ | 65,855 | ||||||||
|
|
|||||||||||
109,399 | ||||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
|
233,866 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
PREFERRED STOCKS 0.0% |
| |||||||||||
Industrials 0.0% |
| |||||||||||
Auto Components 0.0% |
| |||||||||||
Energy Technology |
117 | 66,105 | ||||||||||
|
|
|||||||||||
Energy Equipment & Services 0.0% |
| |||||||||||
Gulfport Energy Corp. |
10 | 54,000 | ||||||||||
|
|
|||||||||||
Industrial Conglomerates 0.0% |
| |||||||||||
WESCO International, Inc. |
3,350 | 91,790 | ||||||||||
|
|
|||||||||||
211,895 | ||||||||||||
|
|
|||||||||||
Consumer Discretionary 0.0% |
| |||||||||||
Household Durables 0.0% |
| |||||||||||
Hovnanian Enterprises, Inc. |
1,190 | 21,670 | ||||||||||
|
|
|||||||||||
Total Preferred Stocks |
|
233,565 | ||||||||||
|
|
|||||||||||
EMERGING MARKETS - TREASURIES 0.0% |
| |||||||||||
Russia 0.0% |
| |||||||||||
Russian Federal Bond - OFZ Series 6212 |
U.S.$ | 23,770 | 159,700 | |||||||||
|
|
|||||||||||
WARRANTS 0.0% |
| |||||||||||
Industrials 0.0% |
| |||||||||||
Construction & Engineering 0.0% |
| |||||||||||
Willscot Corp., expiring 11/29/2022(a) (d) (e) |
|
1,913 | 60,412 | |||||||||
|
|
|||||||||||
Information Technology 0.0% |
| |||||||||||
Software 0.0% |
| |||||||||||
Avaya Holdings Corp., expiring 12/15/2022(a) |
|
4,686 | 94 | |||||||||
|
|
|||||||||||
Diversified 0.0% |
| |||||||||||
Special Purpose Acquisition Company 0.0% |
| |||||||||||
CWT Travel Holdings, Inc., A-CW26, expiring 11/19/2026(a) (d) (e) |
|
1,052 | 14 | |||||||||
CWT Travel Holdings, Inc., B-CW28, expiring 11/19/2028(a) (d) (e) |
|
1,108 | 19 | |||||||||
|
|
|||||||||||
33 | ||||||||||||
|
|
|||||||||||
Total Warrants |
|
60,539 | ||||||||||
|
|
43
Principal Amount (000) |
U.S. $ Value | |||||||||||
MORTGAGE PASS-THROUGHS 0.0% |
||||||||||||
Agency Fixed Rate 30-Year 0.0% |
||||||||||||
Federal National Mortgage Association |
U.S.$ | 0 | ** | $ | 78 | |||||||
|
|
|||||||||||
Shares | ||||||||||||
RIGHTS 0.0% |
||||||||||||
Financials 0.0% |
||||||||||||
Capital Markets 0.0% |
||||||||||||
Credit Suisse Group AG, expiring 12/08/2022(a) (b)
|
|
428 | 40 | |||||||||
|
|
|||||||||||
SHORT-TERM INVESTMENTS 22.1% |
||||||||||||
Investment Companies 21.8% |
||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 3.50%(m) (q) (r) |
107,830,660 | 107,830,660 | ||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
U.S. Treasury Bills 0.3% |
||||||||||||
United States 0.3% |
||||||||||||
U.S. Treasury Bill |
U.S.$ | 1,716 | 1,687,994 | |||||||||
|
|
|||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned 96.5% |
477,867,539 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED 0.4% |
||||||||||||
Investment Companies 0.4% |
||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 3.50%(m) (q) (r) |
1,840,737 | 1,840,737 | ||||||||||
|
|
|||||||||||
Total Investments 96.9% |
479,708,276 | |||||||||||
Other assets less liabilities 3.1% |
15,265,376 | |||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 494,973,652 | ||||||||||
|
|
44
FUTURES
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
10 Yr Australian Bond Futures | 125 | December 2022 | $ | 10,237,207 | $ | 122,700 | ||||||||||||||
10 Yr Canadian Bond Futures | 144 | March 2023 | 13,460,625 | 85,412 | ||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 23 | December 2022 | 24,770,512 | (11,732 | ) | |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 40 | December 2022 | 6,589,080 | (11,029 | ) | |||||||||||||||
Euro STOXX 50 Index Futures | 146 | December 2022 | 6,023,930 | 409,242 | ||||||||||||||||
Euro-BOBL Futures | 44 | December 2022 | 5,495,742 | (154,346 | ) | |||||||||||||||
Euro-Bund Futures | 92 | December 2022 | 13,487,176 | (341,503 | ) | |||||||||||||||
Euro-Schatz Futures | 72 | December 2022 | 8,000,300 | (114,658 | ) | |||||||||||||||
FTSE 100 Index Futures | 36 | December 2022 | 3,297,132 | 234,273 | ||||||||||||||||
FTSE KLCI Futures | 71 | December 2022 | 1,186,526 | (1,251 | ) | |||||||||||||||
FTSE Taiwan Index Futures | 26 | December 2022 | 1,352,520 | 3,531 | ||||||||||||||||
FTSE/JSE Top 40 Futures | 55 | December 2022 | 2,191,990 | 70,276 | ||||||||||||||||
Hang Seng Index Futures | 8 | December 2022 | 953,380 | 48,004 | ||||||||||||||||
Long Gilt Futures | 119 | March 2023 | 15,058,171 | 83,019 | ||||||||||||||||
MSCI EAFE Futures | 2 | December 2022 | 197,980 | 27,436 | ||||||||||||||||
MSCI Emerging Markets Futures | 417 | December 2022 | 20,485,125 | 141,690 | ||||||||||||||||
S&P Mid 400 E Mini Futures | 26 | December 2022 | 6,707,480 | 193,252 | ||||||||||||||||
S&P TSX 60 Index Futures | 11 | December 2022 | 2,028,517 | 106,692 | ||||||||||||||||
SET 50 Futures | 313 | December 2022 | 1,765,900 | 8,825 | ||||||||||||||||
SPI 200 Futures | 16 | December 2022 | 1,984,393 | 96,183 | ||||||||||||||||
TOPIX Index Futures | 19 | December 2022 | 2,738,069 | 45,174 | ||||||||||||||||
U.S. Long Bond (CBT) Futures | 12 | March 2023 | 1,524,000 | (5,712 | ) | |||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 87 | March 2023 | 17,866,266 | 45,487 | ||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 205 | March 2023 | 22,256,914 | 123,058 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 312 | March 2023 | 35,412,000 | 111,374 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 219 | March 2023 | 29,845,594 | (188,543 | ) | |||||||||||||||
Sold Contracts |
| |||||||||||||||||||
10 Yr Australian Bond Futures | 34 | December 2022 | 2,784,520 | (117,998 | ) | |||||||||||||||
10 Yr Canadian Bond Futures | 73 | March 2023 | 6,823,789 | (43,531 | ) | |||||||||||||||
10 Yr Mini Japan Government Bond Futures | 42 | December 2022 | 4,525,440 | (29,016 | ) | |||||||||||||||
E-Mini Russell 1000 Futures | 67 | December 2022 | 7,505,340 | 28,981 | ||||||||||||||||
Euro Buxl 30 Yr Bond Futures | 15 | December 2022 | 2,470,905 | (110,839 | ) | |||||||||||||||
Euro STOXX 50 Index Futures | 107 | December 2022 | 4,414,798 | (565,013 | ) | |||||||||||||||
Euro-Bund Futures | 8 | December 2022 | 1,172,798 | (4,649 | ) | |||||||||||||||
FTSE 100 Index Futures | 15 | December 2022 | 1,373,805 | (98,796 | ) | |||||||||||||||
FTSE China A50 Futures | 115 | December 2022 | 1,459,925 | (51,677 | ) | |||||||||||||||
Long Gilt Futures | 28 | March 2023 | 3,543,099 | (9,754 | ) | |||||||||||||||
Mexican BOLSA Index Futures | 2 | December 2022 | 53,540 | (3,957 | ) | |||||||||||||||
MSCI Singapore IX ETS Futures | 157 | December 2022 | 3,426,136 | (4,342 | ) | |||||||||||||||
OMXS30 Index Futures | 86 | December 2022 | 1,721,130 | (11,051 | ) | |||||||||||||||
S&P 500 E-Mini Futures | 289 | December 2022 | 58,974,063 | (2,278,805 | ) | |||||||||||||||
S&P TSX 60 Index Futures | 6 | December 2022 | 1,106,464 | (74,860 | ) | |||||||||||||||
SGX Nifty 50 Futures | 56 | December 2022 | 2,118,648 | (72,190 | ) | |||||||||||||||
SPI 200 Futures | 9 | December 2022 | 1,116,221 | (62,081 | ) | |||||||||||||||
TOPIX Index Futures | 23 | December 2022 | 3,314,505 | (155,591 | ) | |||||||||||||||
U.S. 10 Yr Ultra Futures | 14 | March 2023 | 1,675,187 | (2,496 | ) | |||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 63 | March 2023 | 12,937,641 | (34,531 | ) | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 20 | March 2023 | 2,171,406 | (12,307 | ) | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 165 | March 2023 | 18,727,500 | (99,173 | ) | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 51 | March 2023 | 6,950,344 | 79,589 | ||||||||||||||||
WIG 20 Index Futures | 144 | December 2022 | 1,116,752 | (2,912 | ) | |||||||||||||||
|
|
|||||||||||||||||||
$ | (2,610,145 | ) | ||||||||||||||||||
|
|
45
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | EUR | 1,680 | USD | 1,623 | 12/08/2022 | $ | (125,998 | ) | ||||||||||||||||||||||
Bank of America, NA | EUR | 2,203 | USD | 2,285 | 12/21/2022 | (10,847 | ) | |||||||||||||||||||||||
Bank of America, NA | NOK | 9,996 | USD | 1,000 | 12/21/2022 | (15,935 | ) | |||||||||||||||||||||||
Bank of America, NA | SEK | 24,652 | USD | 2,362 | 12/21/2022 | 11,295 | ||||||||||||||||||||||||
Bank of America, NA | KRW | 1,736,373 | USD | 1,215 | 01/30/2023 | (117,771 | ) | |||||||||||||||||||||||
Barclays Bank PLC | BRL | 745 | USD | 141 | 12/02/2022 | (2,841 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 143 | BRL | 745 | 12/02/2022 | 566 | ||||||||||||||||||||||||
Barclays Bank PLC | MYR | 32,054 | USD | 7,184 | 12/15/2022 | (64,360 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 3,050 | MYR | 13,818 | 12/15/2022 | 74,829 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 4,491 | MYR | 19,827 | 12/15/2022 | (8,456 | ) | |||||||||||||||||||||||
Barclays Bank PLC | ZAR | 33,843 | USD | 1,862 | 12/15/2022 | (94,694 | ) | |||||||||||||||||||||||
Barclays Bank PLC | CAD | 1,259 | USD | 928 | 12/21/2022 | (7,789 | ) | |||||||||||||||||||||||
Barclays Bank PLC | TWD | 20,410 | USD | 633 | 12/21/2022 | (34,543 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 900 | CAD | 1,197 | 12/21/2022 | (9,920 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 601 | CHF | 572 | 12/21/2022 | 5,163 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 845 | GBP | 708 | 12/21/2022 | 8,844 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 865 | INR | 71,963 | 12/21/2022 | 19,121 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 805 | NZD | 1,305 | 12/21/2022 | 17,944 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 3,635 | MXN | 70,982 | 01/19/2023 | 13,555 | ||||||||||||||||||||||||
Barclays Bank PLC | IDR | 14,978,026 | USD | 962 | 01/26/2023 | 5,823 | ||||||||||||||||||||||||
Barclays Bank PLC | IDR | 36,684,314 | USD | 2,334 | 01/26/2023 | (7,418 | ) | |||||||||||||||||||||||
Barclays Bank PLC | PHP | 188,384 | USD | 3,244 | 01/26/2023 | (92,242 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 1,239 | IDR | 19,475,022 | 01/26/2023 | 3,733 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 4,008 | IDR | 62,483,626 | 01/26/2023 | (19,014 | ) | |||||||||||||||||||||||
Barclays Bank PLC | PLN | 2,280 | USD | 501 | 01/30/2023 | (1,315 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 3,382 | HUF | 1,346,904 | 01/30/2023 | (13,506 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 555 | KRW | 784,207 | 01/30/2023 | 47,154 | ||||||||||||||||||||||||
Barclays Bank PLC | CNH | 3,411 | USD | 470 | 02/16/2023 | (17,447 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 690 | CNH | 4,951 | 02/16/2023 | 17,078 | ||||||||||||||||||||||||
BNP Paribas SA | USD | 1,665 | COP | 8,113,846 | 01/19/2023 | 1,676 | ||||||||||||||||||||||||
BNP Paribas SA | USD | 467 | IDR | 7,295,058 | 01/26/2023 | (905 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 1,299 | SEK | 13,568 | 12/01/2022 | (6,594 | ) | |||||||||||||||||||||||
Citibank, NA | JPY | 90,748 | USD | 651 | 12/02/2022 | (5,886 | ) | |||||||||||||||||||||||
Citibank, NA | AUD | 964 | USD | 612 | 01/19/2023 | (44,013 | ) | |||||||||||||||||||||||
Citibank, NA | CAD | 4,290 | USD | 3,144 | 01/19/2023 | (48,149 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 1,552 | PHP | 92,641 | 01/26/2023 | 88,166 | ||||||||||||||||||||||||
Citibank, NA | USD | 657 | JPY | 90,748 | 02/09/2023 | 5,915 | ||||||||||||||||||||||||
Deutsche Bank AG | SEK | 6,869 | USD | 615 | 12/01/2022 | (38,967 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 650 | SEK | 6,869 | 12/01/2022 | 4,558 | ||||||||||||||||||||||||
Deutsche Bank AG | CHF | 612 | USD | 636 | 12/07/2022 | (11,199 | ) | |||||||||||||||||||||||
Deutsche Bank AG | ZAR | 14,009 | USD | 769 | 12/15/2022 | (41,242 | ) | |||||||||||||||||||||||
Deutsche Bank AG | INR | 165,289 | USD | 2,016 | 12/21/2022 | (15,387 | ) | |||||||||||||||||||||||
Deutsche Bank AG | TWD | 16,386 | USD | 524 | 12/21/2022 | (12,136 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 3,975 | CAD | 5,286 | 12/21/2022 | (43,763 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 1,758 | TWD | 55,659 | 12/21/2022 | 63,137 | ||||||||||||||||||||||||
Deutsche Bank AG | PHP | 31,785 | USD | 555 | 01/26/2023 | (7,979 | ) | |||||||||||||||||||||||
Deutsche Bank AG | USD | 730 | KRW | 961,214 | 01/30/2023 | 8,206 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 2,559 | PLN | 11,647 | 01/30/2023 | 8,804 | ||||||||||||||||||||||||
Deutsche Bank AG | CNH | 31,813 | USD | 4,445 | 02/16/2023 | (97,200 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | BRL | 2,276 | USD | 429 | 12/02/2022 | (9,304 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 423 | BRL | 2,276 | 12/02/2022 | 15,224 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,365 | ZAR | 23,587 | 12/15/2022 | (1,645 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | JPY | 258,015 | USD | 1,855 | 12/21/2022 | (18,173 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | NOK | 11,405 | USD | 1,146 | 12/21/2022 | (12,924 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 796 | EUR | 771 | 12/21/2022 | 7,439 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 4,575 | INR | 372,228 | 12/21/2022 | 708 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,714 | SEK | 18,191 | 12/21/2022 | 20,710 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 2,148 | PHP | 127,143 | 01/26/2023 | 103,650 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | HUF | 800,541 | USD | 1,980 | 01/30/2023 | (22,570 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | CNH | 10,929 | USD | 1,501 | 02/16/2023 | (59,246 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 1,278 | CNH | 9,006 | 02/16/2023 | 7,612 | ||||||||||||||||||||||||
HSBC Bank USA | PEN | 5,731 | USD | 1,489 | 01/19/2023 | 776 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | BRL | 2,036 | USD | 384 | 12/02/2022 | (7,761 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 378 | BRL | 2,036 | 12/02/2022 | 14,398 |
46
Counterparty | Contracts to Deliver (000) |
In Exchange For (000) |
Settlement Date |
Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 2,127 | USD | 2,108 | 12/08/2022 | $ | (106,516 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank, NA | AUD | 2,600 | USD | 1,757 | 12/21/2022 | (9,245 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | CHF | 3,771 | USD | 4,015 | 12/21/2022 | 19,829 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 3,830 | USD | 4,522 | 12/21/2022 | (97,534 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | TWD | 47,742 | USD | 1,494 | 12/21/2022 | (68,097 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 733 | GBP | 617 | 12/21/2022 | 11,017 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,989 | JPY | 556,136 | 12/21/2022 | 47,754 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | GBP | 783 | USD | 932 | 01/18/2023 | (12,789 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | CZK | 75,593 | USD | 3,218 | 01/30/2023 | (3,956 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,796 | CNH | 12,806 | 02/16/2023 | 32,863 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 4,576 | USD | 849 | 12/02/2022 | (32,827 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 864 | BRL | 4,576 | 12/02/2022 | 17,448 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,240 | EUR | 1,237 | 12/08/2022 | 47,954 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 13,608 | USD | 2,919 | 12/15/2022 | (157,976 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 729 | MYR | 3,237 | 12/15/2022 | 2,858 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 1,381 | USD | 845 | 12/21/2022 | (25,748 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | TWD | 13,781 | USD | 433 | 12/21/2022 | (18,152 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 844 | BRL | 4,576 | 01/04/2023 | 32,945 | ||||||||||||||||||||||||
Standard Chartered Bank | TWD | 13,781 | USD | 433 | 12/21/2022 | (17,948 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 3,989 | AUD | 5,946 | 12/21/2022 | 49,959 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NOK | 2,568 | USD | 248 | 12/01/2022 | (12,467 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 240 | NOK | 2,568 | 12/01/2022 | 20,277 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 976 | SEK | 10,762 | 12/01/2022 | 48,448 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,180 | USD | 8 | 12/02/2022 | (330 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 630 | JPY | 90,748 | 12/02/2022 | 27,601 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 623 | CHF | 612 | 12/07/2022 | 24,448 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,972 | USD | 1,960 | 12/08/2022 | (91,726 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 1,100 | EUR | 1,110 | 12/08/2022 | 54,733 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NZD | 798 | USD | 497 | 12/21/2022 | (5,596 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | GBP | 58 | USD | 70 | 01/18/2023 | (154 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 98 | GBP | 82 | 01/18/2023 | 1,045 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 976 | USD | 729 | 01/19/2023 | 2,612 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 911 | USD | 673 | 01/19/2023 | (5,092 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | THB | 206,012 | USD | 5,588 | 01/19/2023 | (283,540 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 626 | CAD | 847 | 01/19/2023 | 3,902 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 417 | CAD | 556 | 01/19/2023 | (3,411 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 922 | THB | 33,060 | 01/19/2023 | 19,805 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 2,880 | THB | 100,871 | 01/19/2023 | (4,651 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 475 | CZK | 11,237 | 01/30/2023 | 3,822 | ||||||||||||||||||||||||
UBS AG | SEK | 24,330 | USD | 2,258 | 12/01/2022 | (58,900 | ) | |||||||||||||||||||||||
UBS AG | CLP | 1,460,653 | USD | 1,620 | 01/19/2023 | (7,135 | ) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
$ | (1,127,525 | ) | ||||||||||||||||||||||||||||
|
|
47
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 4,070 | 10/25/2024 | 1 Day SOFR |
4.551% | Annual | $ | 11,758 | $ | | $ | 11,758 | |||||||||||||||
CNY | 36,260 | 02/17/2025 | China 7-Day Reverse Repo Rate |
2.547% | Quarterly | 5,736 | | 5,736 | ||||||||||||||||||
CNY | 107,914 | 02/20/2025 | China 7-Day Reverse Repo Rate |
2.598% | Quarterly | 33,379 | | 33,379 | ||||||||||||||||||
CNY | 109,516 | 02/21/2025 | China 7-Day Reverse Repo Rate |
2.620% | Quarterly | 40,797 | | 40,797 | ||||||||||||||||||
CHF | 1,040 | 09/21/2031 | 1 Day SARON |
(0.192)% | Annual | (164,051 | ) | (15,726 | ) | (148,325 | ) | |||||||||||||||
CHF | 590 | 11/19/2031 | 1 Day SARON |
0.100% | Annual | (78,824 | ) | | (78,824 | ) | ||||||||||||||||
NOK | 840 | 05/25/2032 | 6 Month NIBOR |
2.913% | Semi-Annual/ Annual |
(978 | ) | | (978 | ) | ||||||||||||||||
NOK | 5,000 | 06/15/2032 | 6 Month NIBOR |
3.335% | Semi-Annual/ Annual |
5,703 | | 5,703 | ||||||||||||||||||
NZD | 60 | 07/21/2032 | 3 Month BKBM |
3.973% | Quarterly/ Semi-Annual |
(551 | ) | | (551 | ) | ||||||||||||||||
NZD | 900 | 08/22/2032 | 3 Month BKBM |
3.721% | Quarterly/ Semi-Annual |
(24,266 | ) | | (24,266 | ) | ||||||||||||||||
CHF | 480 | 08/22/2032 | 1 Day SARON |
1.365% | Annual | (10,530 | ) | | (10,530 | ) | ||||||||||||||||
SEK | 60 | 08/22/2032 | 2.370% | |
3 Month STIBOR |
|
Annual/ Quarterly |
136 | | 136 | ||||||||||||||||
SEK | 9,430 | 09/15/2032 | 2.907% | |
3 Month STIBOR |
|
Annual/ Quarterly |
(16,833 | ) | | (16,833 | ) | ||||||||||||||
SEK | 29,980 | 09/27/2032 | 3.115% | |
3 Month STIBOR |
|
Annual/ Quarterly |
(102,670 | ) | | (102,670 | ) | ||||||||||||||
NZD | 1,290 | 09/28/2032 | 3 Month BKBM |
4.378% | Quarterly/ Semi-Annual |
1,327 | | 1,327 | ||||||||||||||||||
NOK | 11,920 | 10/03/2032 | 6 Month NIBOR |
3.568% | Semi-Annual/ Annual |
31,533 | | 31,533 | ||||||||||||||||||
USD | 830 | 10/25/2032 | 3.934% | |
1 Day SOFR |
|
Annual | (38,776 | ) | | (38,776 | ) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | (307,110 | ) | $ | (15,726 | ) | $ | (291,384 | ) | ||||||||||||||||||
|
|
|
|
|
|
48
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at November 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 33, 5 Year Index, 12/20/2024* |
(5.00 | )% | Quarterly | 2.91% | USD | 8,166 | $ | (405,784 | ) | $ | (67,158 | ) | $ | (338,626 | ) | |||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* |
5.00 | Quarterly | 4.53 | USD | 9,810 | 280,406 | (366,580 | ) | 646,986 | |||||||||||||||||||||||
iTraxx Xover Series 38, 5 Year Index, 12/20/2027* |
5.00 | Quarterly | 4.58 | EUR | 2,900 | 79,810 | (124,491 | ) | 204,301 | |||||||||||||||||||||||
Republic of South Africa, 5.875%, 09/16/2025, 12/20/2027* |
1.00 | Quarterly | 2.42 | USD | 300 | (17,977 | ) | (22,632 | ) | 4,655 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (63,545 | ) | $ | (580,861 | ) | $ | 517,316 | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at November 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
(5.00 | )% | Monthly | 7.50% | USD | 591 | $ | 217,560 | $ | 182,945 | $ | 34,615 | ||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
(3.00 | ) | Monthly | 7.50 | USD | 632 | 146,805 | 101,021 | 45,784 | |||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 18 | (6,620 | ) | (8,371 | ) | 1,751 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 304 | (113,237 | ) | (49,752 | ) | (63,485 | ) | |||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 2,975 | (699,152 | ) | (274,151 | ) | (425,001 | ) |
49
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at November 30, 2022 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | % | Monthly | 7.50% | USD | 906 | $ | (337,364 | ) | $ | (151,384 | ) | $ | (185,980 | ) | |||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
Avis Budget Group, Inc., 5.250%, 03/15/2025, 12/20/2023* |
5.00 | Quarterly | 1.19 | USD | 50 | 3,091 | 679 | 2,412 | ||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 3 | (1,273 | ) | (1,608 | ) | 335 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 3 | (1,273 | ) | (1,608 | ) | 335 | ||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 21 | (7,893 | ) | (9,206 | ) | 1,313 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 21 | (7,893 | ) | (8,509 | ) | 616 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 7 | (2,546 | ) | (3,147 | ) | 601 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 21 | (7,639 | ) | (8,187 | ) | 548 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 22 | (8,148 | ) | (8,681 | ) | 533 | ||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* |
5.00 | Monthly | 7.50 | USD | 23 | (8,402 | ) | (8,899 | ) | 497 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (833,984 | ) | $ | (248,858 | ) | $ | (585,126 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||
MLABUSCU |
OBFR Plus 0.25% |
Quarterly | USD | 2,371 | 11/15/2023 | $ | 54,501 | |||||||||||||
MLABUSLV |
OBFR Plus 0.25% |
Quarterly | USD | 431 | 04/17/2023 | 42,136 | ||||||||||||||
MLABUSLV |
OBFR Plus 0.25% |
Quarterly | USD | 538 | 10/16/2023 | 52,576 | ||||||||||||||
MLABUSLV |
OBFR Plus 0.25% |
Quarterly | USD | 93 | 11/15/2023 | 3,237 |
50
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Barclays Bank PLC |
| |||||||||||||||||||
Barclays Capital US Inflation Linked Bonds 1 to 10 Year |
SOFR Plus 0.0022% |
Annual/ Maturity |
USD | 86,923 | 02/01/2023 | $ | 786,136 | |||||||||||||
Citibank, NA | ||||||||||||||||||||
CGABROEG |
FedFundEffective Plus 0.35% |
Quarterly | USD | 669 | 12/15/2022 | 43,943 | ||||||||||||||
CGABROEG |
FedFundEffective Plus 0.35% |
Quarterly | USD | 731 | 12/15/2022 | 42,741 | ||||||||||||||
CGABROEG |
FedFundEffective Plus 0.35% |
Quarterly | USD | 526 | 12/15/2022 | 34,596 | ||||||||||||||
CGABROEG |
FedFundEffective Plus 0.35% |
Quarterly | USD | 253 | 12/15/2022 | 14,798 | ||||||||||||||
CGABROEG |
FedFundEffective Plus 0.35% |
Quarterly | USD | 188 | 12/15/2022 | 11,026 | ||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
GSABVISP |
SOFR Plus 0.40% |
Quarterly | USD | 857 | 08/15/2023 | 16,989 | ||||||||||||||
GSABVISP |
SOFR Plus 0.40% |
Quarterly | USD | 76 | 08/15/2023 | 765 | ||||||||||||||
Markit iBoxx EUR Contingent Convertible Liquid Developed Market AT1 TRI |
EURIBOR | Annual/ Maturity |
EUR | 527 | 03/20/2023 | 18,159 | ||||||||||||||
Micro Focus International PLC |
SONIA Plus 0.35% |
Monthly | GBP | 40 | 07/15/2025 | 468 | ||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||
AVEVA Group PLC |
SONIA Plus 0.35% |
Monthly | GBP | 145 | 08/14/2023 | 829 | ||||||||||||||
AVEVA Group PLC |
SONIA Plus 0.35% |
Monthly | GBP | 96 | 08/14/2023 | 150 | ||||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 13 | 08/14/2023 | (15 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 2 | 08/14/2023 | (26 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 3 | 08/14/2023 | (32 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 3 | 08/14/2023 | (33 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 6 | 08/14/2023 | (68 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 10 | 08/14/2023 | (107 | ) | |||||||||||||
ContourGlobal PLC |
SONIA Plus 0.35% |
Monthly | GBP | 16 | 08/14/2023 | (137 | ) | |||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 370 | 08/14/2023 | 10,640 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 185 | 08/14/2023 | 5,715 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 142 | 08/14/2023 | 3,948 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 89 | 08/14/2023 | 2,554 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 94 | 08/14/2023 | 1,571 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 49 | 08/14/2023 | 239 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 46 | 08/14/2023 | 225 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 41 | 08/14/2023 | 201 | ||||||||||||||
HomeServe PLC |
SONIA Plus 0.35% |
Monthly | GBP | 0 | *** | 08/14/2023 | 5 | |||||||||||||
JPABJVAL(1) |
TONAR Plus 0.18% |
Quarterly | JPY | 181,763 | 11/15/2023 | 33,487 | ||||||||||||||
Merrill Lynch International | ||||||||||||||||||||
Bloomberg Commodity Index |
0.10% | Annual | USD | 2,544 | 12/15/2022 | (9,844 | ) | |||||||||||||
Bloomberg Commodity Index |
0.10% | Annual | USD | 32,238 | 12/15/2022 | (124,758 | ) |
51
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 169 | 10/18/2023 | $ | 2,249 | |||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 85 | 10/18/2023 | 1,268 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 95 | 10/18/2023 | 1,224 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 76 | 10/18/2023 | 1,107 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 63 | 10/18/2023 | 858 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 58 | 10/18/2023 | 576 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 48 | 10/18/2023 | 541 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 22 | 10/18/2023 | 332 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 24 | 10/18/2023 | 273 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 13 | 10/18/2023 | 134 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 4 | 10/18/2023 | 57 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 2 | 10/18/2023 | 24 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 1 | 10/18/2023 | 19 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 1 | 10/18/2023 | 7 | ||||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 0 | *** | 10/18/2023 | 1 | |||||||||||||
Euromoney Institutional Investor PLC |
SONIA Plus 0.54% |
Monthly | GBP | 0 | *** | 10/18/2023 | 1 | |||||||||||||
Micro Focus International PLC |
SONIA Plus 0.54% |
Monthly | GBP | 166 | 10/18/2023 | 2,699 | ||||||||||||||
Micro Focus International PLC |
SONIA Plus 0.54% |
Monthly | GBP | 65 | 10/18/2023 | 670 | ||||||||||||||
Micro Focus International PLC |
SONIA Plus 0.54% |
Monthly | GBP | 61 | 10/18/2023 | 522 | ||||||||||||||
Micro Focus International PLC |
SONIA Plus 0.54% |
Monthly | GBP | 28 | 10/18/2023 | 281 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 59 | 10/18/2023 | 269 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 28 | 10/18/2023 | 130 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 15 | 10/18/2023 | 69 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 13 | 10/18/2023 | 15 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 1 | 10/18/2023 | 6 | ||||||||||||||
Siemens Gamesa Renewable Energy SA |
EURIBOR Plus 0.50% |
Monthly | EUR | 1 | 10/18/2023 | 3 | ||||||||||||||
Swiss Market Index Futures |
0.00% | Monthly | CHF | 558 | 12/16/2022 | 22,601 | ||||||||||||||
UBS AG |
| |||||||||||||||||||
Russell 2000 Total Return Index |
OBFR Plus 0.05% |
Quarterly | USD | 6,436 | 06/15/2023 | 189,098 | ||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 220 | 07/15/2025 | 20,290 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 220 | 07/15/2025 | 17,596 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 172 | 07/15/2025 | 13,953 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 137 | 07/15/2025 | 12,696 |
52
Counterparty & |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 165 | 07/15/2025 | $ | 11,522 | |||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 65 | 07/15/2025 | 4,628 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 159 | 07/15/2025 | 3,408 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 89 | 07/15/2025 | 3,222 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 42 | 07/15/2025 | 3,211 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 28 | 07/15/2025 | 1,958 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.34% |
Monthly | USD | 115 | 07/15/2025 | 1,954 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.33% |
Monthly | USD | 22 | 07/15/2025 | 805 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 7 | 07/15/2025 | 710 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 5 | 07/15/2025 | 585 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 55 | 07/15/2025 | 477 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 1 | 07/15/2025 | 73 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 1 | 07/15/2025 | 70 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.33% |
Monthly | USD | 1 | 07/15/2025 | 41 | ||||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 0 | *** | 07/15/2025 | 14 | |||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.35% |
Monthly | USD | 66 | 07/15/2025 | (622 | ) | |||||||||||||
Columbia Banking System, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 51 | 07/15/2025 | (1,237 | ) | |||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.30% |
Monthly | USD | 362 | 01/05/2023 | 134,060 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.30% |
Monthly | USD | 346 | 01/05/2023 | 125,139 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.30% |
Monthly | USD | 268 | 01/05/2023 | 88,337 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.30% |
Monthly | USD | 160 | 01/05/2023 | 60,134 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.07% |
Monthly | USD | 104 | 01/05/2023 | 34,878 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.30% |
Monthly | USD | 104 | 01/05/2023 | 33,675 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 55 | 07/15/2025 | 22,511 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 41 | 07/15/2025 | 17,635 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 36 | 07/15/2025 | 15,484 | ||||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.32% |
Monthly | USD | 0 | *** | 07/15/2025 | 182 | |||||||||||||
New York Community Bancorp, Inc. |
SOFR Minus 0.48% |
Monthly | USD | 237 | 07/15/2025 | (3,301 | ) | |||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||
Broadcom, Inc. |
OBFR Minus 0.28% |
Monthly | USD | 374 | 08/14/2023 | 11,050 | ||||||||||||||
Broadcom, Inc. |
OBFR Minus 0.28% |
Monthly | USD | 232 | 08/14/2023 | 7,735 | ||||||||||||||
Broadcom, Inc. |
OBFR Minus 0.28% |
Monthly | USD | 114 | 08/14/2023 | 4,792 | ||||||||||||||
Broadcom, Inc. |
OBFR Minus 0.28% |
Monthly | USD | 225 | 08/14/2023 | 1,993 | ||||||||||||||
Broadcom, Inc. |
OBFR Minus 0.28% |
Monthly | USD | 13 | 08/14/2023 | 598 |
53
Counterparty & |
Rate Paid/ Received |
Payment Frequency |
Current |
Maturity Date |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 5 | 08/14/2023 | $ | (461 | ) | ||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 8 | 08/14/2023 | (649 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.78% |
Monthly | USD | 33 | 08/14/2023 | (2,129 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 49 | 08/14/2023 | (2,321 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 64 | 08/14/2023 | (2,946 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 39 | 08/14/2023 | (3,384 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 40 | 08/14/2023 | (3,876 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 69 | 08/14/2023 | (4,243 | ) | |||||||||||||||
ICE U.S. Dollar Index |
OBFR Minus 0.28% |
Monthly | USD | 62 | 08/14/2023 | (5,881 | ) | |||||||||||||||
MaxLinear, Inc. |
OBFR Minus 0.30% |
Monthly | USD | 154 | 08/14/2023 | 31,078 | ||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||
Agnico Eagle Mines Ltd. |
FedFundEffective Plus 3.53% |
Monthly | USD | 265 | 10/18/2023 | (15,231 | ) | |||||||||||||||
Agnico Eagle Mines Ltd. |
FedFundEffective Plus 3.53% |
Monthly | USD | 265 | 10/18/2023 | (32,001 | ) | |||||||||||||||
IBOVESPA Futures |
0.00% | Monthly | BRL | 3,157 | 12/14/2022 | 25,769 | ||||||||||||||||
KOSPI 200 Futures |
0.00% | Monthly | KRW | 239,738 | 12/08/2022 | (1,092 | ) | |||||||||||||||
MSABHOWN |
FedFundEffective Minus 0.22% |
Quarterly | USD | 522 | 04/17/2023 | (20,471 | ) | |||||||||||||||
Pan American Silver Corp. |
FedFundEffective Plus 3.53% |
Monthly | USD | 366 | 10/18/2023 | (48,508 | ) | |||||||||||||||
Pan American Silver Corp. |
FedFundEffective Plus 3.53% |
Monthly | USD | 366 | 10/18/2023 | (63,308 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 33 | 10/18/2023 | 957 | ||||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 7 | 10/18/2023 | 273 | ||||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 1 | 10/18/2023 | 15 | ||||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 15 | 10/18/2023 | (16 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 58 | 10/18/2023 | (205 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 24 | 10/18/2023 | (553 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 33 | 10/18/2023 | (1,837 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 38 | 10/18/2023 | (2,103 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 40 | 10/18/2023 | (2,263 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 71 | 10/18/2023 | (4,956 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 118 | 10/18/2023 | (8,242 | ) | |||||||||||||||
Ritchie Bros. Auctioneers, Inc. |
FedFundEffective Plus 3.53% |
Monthly | USD | 118 | 10/18/2023 | (8,949 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
$ | 1,744,372 | |||||||||||||||||||||
|
|
54
VARIANCE SWAPS
Swap Counterparty & Referenced Obligation |
Volatility Strike Rate |
Payment Frequency |
Notional Amount (000) |
Market Value |
Upfront Premiums (Paid)/ Received |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||||||
FTSE 100 Index 12/16/2022* |
23.90 | % | Maturity | GBP | 92 | $ | (79,852 | ) | $ | | $ | (79,852 | ) | |||||||||||||||
Nikkei 225 Index 02/10/2023* |
23.65 | Maturity | JPY | 37,324 | (32,333 | ) | | (32,333 | ) | |||||||||||||||||||
S&P/ASX 200 Index 12/15/2022* |
21.20 | Maturity | AUD | 246 | (92,725 | ) | | (92,725 | ) | |||||||||||||||||||
UBS AG | ||||||||||||||||||||||||||||
NASDAQ 100 Stock Index 02/17/2023* |
33.50 | Maturity | USD | 385 | (82,205 | ) | | (82,205 | ) | |||||||||||||||||||
S&P 500 Index 02/17/2023* |
27.10 | Maturity | USD | 159 | (32,947 | ) | | (32,947 | ) | |||||||||||||||||||
S&P/ASX 200 Index 02/16/2023* |
19.12 | Maturity | AUD | 400 | (73,880 | ) | | (73,880 | ) | |||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||||||
Russell 2000 Index 12/16/2022* |
30.10 | Maturity | USD | 237 | 77,141 | | 77,141 | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
Euro STOXX 50 Price EUR Index 12/16/2022* |
20.50 | Maturity | EUR | 100 | 39,719 | | 39,719 | |||||||||||||||||||||
S&P 500 Index 12/16/2022* |
23.50 | Maturity | USD | 86 | 12,304 | | 12,304 | |||||||||||||||||||||
UBS AG | ||||||||||||||||||||||||||||
FTSE 100 Index 12/16/2022* |
22.60 | Maturity | GBP | 82 | 68,130 | | 68,130 | |||||||||||||||||||||
NASDAQ 100 Stock Index 12/16/2022* |
31.15 | Maturity | USD | 359 | 33,556 | | 33,556 | |||||||||||||||||||||
S&P/ASX 200 Index 12/15/2022* |
21.26 | Maturity | AUD | 247 | 93,670 | | 93,670 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (69,422 | ) | $ | | $ | (69,422 | ) | |||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Principal amount less than 500. |
*** | Notional amount less than $500. |
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At November 30, 2022, the aggregate market value of these securities amounted to $40,291,890 or 8.1% of net assets. |
(d) | Fair valued by the Adviser. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.02% of net assets as of November 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets |
||||||||||
Diamond Offshore Drilling, Inc. |
04/26/2021 | $ | 56,838 | $ | 34,864 | 0.01 | % | |||||||
Digicel Group Holdings Ltd. |
06/19/2020 | 2,022 | 853 | 0.00 | % |
55
144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||||||
Exide Technologies (Exchange Priority) |
|
10/26/2020 | $ | 0 | $ | 0 | 0.00% | |||||||||
Exide Technologies (First Lien) |
|
06/21/2019 | 17,967 | 0 | 0.00% | |||||||||||
K2016470219 South Africa Ltd. |
04/26/2017 | 39,490 | 20 | 0.00% | ||||||||||||
K2016470260 South Africa Ltd. |
04/26/2017 | 28,308 | 3 | 0.00% | ||||||||||||
Magnetation LLC/Mag Finance Corp. |
|
04/26/2017 | 15 | 0 | 0.00% | |||||||||||
State Agency of Roads of Ukraine |
|
06/17/2021 | 324,000 | 56,761 | 0.01% | |||||||||||
Terraform Global Operating LP |
|
02/08/2018 | 12,000 | 11,225 | 0.00% | |||||||||||
Tonon Luxembourg SA |
|
04/26/2017 | 2,770 | 1 | 0.00% | |||||||||||
Virgolino de Oliveira Finance SA |
|
03/29/2017 | 33,435 | 43 | 0.00% |
(g) | Defaulted matured security. |
(h) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at November 30, 2022. |
(i) | Convertible security. |
(j) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(k) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(l) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open exchange-traded derivatives. |
(m) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(n) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at November 30, 2022. |
(o) | Defaulted. |
(p) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at November 30, 2022. |
(q) | Affiliated investments. |
(r) | The rate shown represents the 7-day yield as of period end. |
(s) | As of November 30, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $52,266,403 and gross unrealized depreciation of investments was $(34,522,839), resulting in net unrealized appreciation of $17,743,564. |
Currency Abbreviations:
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CNH Chiinese Yuan Renminbi (Offshore)
CNY Chinese Yuan Renminbi
COP Colombian Peso
CZK Czech Koruna
EUR Euro
GBP Great British Pound
HUF Hungarian Forint
IDR Indonesian Rupiah
56
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Sol
PHP Philippine Peso
PLN Polish Zloty
SEK Swedish Krona
THB Thailand Baht
TWD New Taiwan Dollar
USD United States Dollar
ZAR South African Rand
Glossary:
ADR American Depositary Receipt
ASX Australian Stock Exchange
BKBM Bank Bill Benchmark (New Zealand)
BOBL Bundesobligationen
CBT Chicago Board of Trade
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAHY North American High Yield Credit Default Swap Index
CLO Collateralized Loan Obligations
CMBS Commercial Mortgage-Backed Securities
EAFE Europe, Australia, and Far East
ETF Exchange Traded Fund
ETS Emission Trading Scheme
EURIBOR Euro Interbank Offered Rate
FedFundEffective Federal Funds Effective Rate
FTSE Financial Times Stock Exchange
ICE Intercontinental Exchange
JSE Johannesburg Stock Exchange
KLCI Kuala Lumpur Composite Index
KOSPI Korea Composite Stock Price Index
LIBOR London Interbank Offered Rate
MSCI Morgan Stanley Capital International
NASDAQ National Association of Securities Dealers Automated Quotations
NIBOR Norwegian Interbank Offered Rate
OBFR Overnight Bank Funding Rate
OSE Osaka Securities Exchange
REG Registered Shares
REIT Real Estate Investment Trust
SARON Swiss Average Rate Overnight
SET Stock Exchange of Thailand
SGX Singapore Exchange
SOFR Secured Overnight Financing Rate
SONIA Sterling Overnight Index Average
SPDR Standard & Poors Depository Receipt
SPI Share Price Index
STIBOR Stockholm Interbank Offered Rate
TONAR Tokyo Overnight Average Rate
TOPIX Tokyo Price Index
TSX Toronto Stock Exchange
WIG Warszawski Indeks Gieldowy
57
(1) The following table represents the 50 largest equity basket holdings underlying the total return swap in JPABJVAL as of November 30, 2022.
Security Description | Shares | Current Notional | Percent of Baskets Value | ||||||||||||
Sumitomo Mitsui Financial Group | 1,446 | JPY | 6,755,846 | 3.7 | % | ||||||||||
Nippon Yusen KK | 2,146 | 6,517,191 | 3.6 | % | |||||||||||
Mitsubishi Heavy Industries, Ltd. | 1,189 | 6,490,266 | 3.6 | % | |||||||||||
Marubeni Corp. | 4,156 | 6,433,972 | 3.5 | % | |||||||||||
Nintendo Co., Ltd. | 1,021 | 6,016,785 | 3.3 | % | |||||||||||
Japan Tobacco, Inc. | 2,090 | 5,885,777 | 3.2 | % | |||||||||||
SoftBank Group Corp. | 945 | 5,621,741 | 3.1 | % | |||||||||||
Tokyo Electric Power Co. Holdings | 11,088 | 5,532,986 | 3.0 | % | |||||||||||
Toyo Suisan Kaisha, Ltd. | 853 | 4,919,160 | 2.7 | % | |||||||||||
Toyota Motor Corp. | 2,425 | 4,875,395 | 2.7 | % | |||||||||||
TDK Corp. | 922 | 4,499,326 | 2.5 | % | |||||||||||
Daito Trust Construction Co., Ltd. | 293 | 4,490,545 | 2.5 | % | |||||||||||
Trend Micro, Inc./Japan | 651 | 4,434,517 | 2.4 | % | |||||||||||
Central Japan Railway Co. | 265 | 4,407,706 | 2.4 | % | |||||||||||
T&D Holdings, Inc. | 2,630 | 4,387,069 | 2.4 | % | |||||||||||
Otsuka Holdings Co., Ltd. | 935 | 4,384,861 | 2.4 | % | |||||||||||
Subaru Corp. | 1,852 | 4,353,808 | 2.4 | % | |||||||||||
Takeda Pharmaceutical Co., Ltd. | 1,070 | 4,334,912 | 2.4 | % | |||||||||||
Taisei Corp. | 1,000 | 4,163,929 | 2.3 | % | |||||||||||
Nitto Denko Corp. | 480 | 4,130,984 | 2.3 | % | |||||||||||
Nomura Real Estate Holdings, Inc. | 1,187 | 3,940,805 | 2.2 | % | |||||||||||
Pan Pacific International Holdings | 1,594 | 3,800,150 | 2.1 | % | |||||||||||
McDonalds Holdings Co./Japan | 735 | 3,754,223 | 2.1 | % | |||||||||||
SBI Holdings, Inc./Japan | 1,400 | 3,665,943 | 2.0 | % | |||||||||||
NGK Insulators, Ltd. | 1,985 | 3,595,082 | 2.0 | % | |||||||||||
Brother Industries, Ltd. | 1,609 | 3,562,036 | 2.0 | % | |||||||||||
NEC Corp. | 701 | 3,404,445 | 1.9 | % | |||||||||||
Hoya Corp. | 230 | 3,238,937 | 1.8 | % | |||||||||||
Astellas Pharma, Inc. | 1,425 | 3,032,488 | 1.7 | % | |||||||||||
Aisin Corp. | 788 | 2,967,266 | 1.6 | % | |||||||||||
Lida Group Holdings Co. Ltd. | 1,346 | 2,952,263 | 1.6 | % | |||||||||||
Nabtesco Corp. | 854 | 2,910,990 | 1.6 | % | |||||||||||
ZOZO, Inc. | 794 | 2,718,048 | 1.5 | % | |||||||||||
Lion Corp. | 1,849 | 2,709,053 | 1.5 | % | |||||||||||
Kobe Bussan Co. Ltd. | 649 | 2,320,950 | 1.3 | % | |||||||||||
Shionogi & Co. Ltd. | 309 | 2,145,503 | 1.2 | % | |||||||||||
Sony Group Corp. | 186 | 2,091,921 | 1.2 | % | |||||||||||
Z Holdings Corp. | 5,500 | 2,054,336 | 1.1 | % | |||||||||||
Murata Manufacturing Co. Ltd. | 250 | 1,864,058 | 1.0 | % | |||||||||||
TOPPAN, Inc. | 680 | 1,450,130 | 0.8 | % | |||||||||||
Honda Motor Co. Ltd. | 411 | 1,378,585 | 0.8 | % | |||||||||||
Tobu Railway Co. Ltd. | 397 | 1,313,870 | 0.7 | % | |||||||||||
Dai-ichi Life Holdings, Inc. | 485 | 1,233,637 | 0.7 | % | |||||||||||
Tokyo Electron, Ltd. | 27 | 1,196,036 | 0.7 | % | |||||||||||
AGC, Inc. | 228 | 1,050,980 | 0.6 | % | |||||||||||
United Urban Investment Corp. | 7 | 1,028,706 | 0.6 | % | |||||||||||
Yamada Holdings Co. Ltd. | 2,150 | 1,025,460 | 0.6 | % | |||||||||||
Ajinomoto Co., Inc. | 206 | 893,849 | 0.5 | % | |||||||||||
Keyence Corp. | 15 | 876,867 | 0.5 | % | |||||||||||
Orix J-REIT, Inc. | 4 | 791,861 | 0.4 | % | |||||||||||
Other Long | 4,651 | 10,158,161 | 5.3 | % |
Country Breakdown1
November 31, 2022 (unaudited)
56.5 | % | United States | ||
2.5 | % | United Kingdom | ||
2.4 | % | Canada | ||
2.0 | % | Japan | ||
1.7 | % | France | ||
1.4 | % | Switzerland | ||
1.3 | % | Netherlands | ||
0.7 | % | Denmark | ||
0.7 | % | Germany | ||
0.6 | % | China | ||
0.6 | % | Hong Kong | ||
0.5 | % | Spain | ||
0.5 | % | Israel | ||
5.7 | % | Other | ||
22.9 | % | Short-Term Investments | ||
|
|
|||
100.0 | % | Total Investments | ||
|
|
1 | The Funds country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see Portfolio of Investments section of the report for additional details). Other country weightings represent 0.5% or less in the following: Angola, Argentina, Australia, Austria, Bahrain, Belgium, Bermuda, Brazil, Colombia, Dominican Republic, Ecuador, El Salvador, Finland, Gabon, Guatemala, India, Indonesia, Ireland, Italy, Ivory Coast, Jamaica, Lebanon, Luxembourg, Macau, Mexico, Mongolia, New Zealand, Nigeria, Norway, Oman,Panama, Peru, Portugal, Russia, Senegal, Singapore, South Africa, South Korea, Sweden, Taiwan, Turkey, Ukraine, United Arab Emirates and Venezuela. |
58
AB All Market Total Return Portfolio
November 30, 2022 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
| Level 1 - quoted prices in active markets for identical investments |
| Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 - significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
59
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of November 30, 2022:
Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology |
$ | 68,050,925 | $ | 6,818,884 | $ | | $ | 74,869,809 | ||||||||
Health Care |
41,341,791 | 9,475,191 | | 50,816,982 | ||||||||||||
Financials |
26,747,325 | 14,800,159 | | 41,547,484 | ||||||||||||
Consumer Discretionary |
23,966,864 | 6,952,729 | 2,275 | 30,921,868 | ||||||||||||
Industrials |
18,555,286 | 6,467,764 | | 25,023,050 | ||||||||||||
Communication Services |
14,272,279 | 3,399,401 | 0 | (a) | 17,671,680 | |||||||||||
Consumer Staples |
9,517,325 | 5,120,786 | 189,530 | (a) | 14,827,641 | |||||||||||
Energy |
4,033,870 | 5,205,028 | 0 | (a) | 9,238,898 | |||||||||||
Materials |
5,488,700 | 1,721,881 | 0 | (a) | 7,210,581 | |||||||||||
Utilities |
5,418,170 | 1,576,819 | | 6,994,989 | ||||||||||||
Real Estate |
6,212,707 | 469,845 | | 6,682,552 | ||||||||||||
Corporates - Non-Investment Grade | | 28,074,102 | 8,102 | (a) | 28,082,204 | |||||||||||
Governments - Treasuries | | 17,867,048 | | 17,867,048 | ||||||||||||
Investment Companies | 11,335,285 | | | 11,335,285 | ||||||||||||
Corporates - Investment Grade | | 7,661,149 | | 7,661,149 | ||||||||||||
Emerging Markets - Sovereigns | | 4,220,466 | | 4,220,466 | ||||||||||||
Bank Loans | | 3,473,872 | 261,090 | 3,734,962 | ||||||||||||
Emerging Markets - Corporate Bonds | | 3,318,885 | 43 | 3,318,928 | ||||||||||||
Collateralized Loan Obligations | | 2,535,988 | | 2,535,988 | ||||||||||||
Collateralized Mortgage Obligations | | 2,167,636 | | 2,167,636 | ||||||||||||
Quasi-Sovereigns | | 475,076 | | 475,076 | ||||||||||||
Governments - Sovereign Bonds | | 456,821 | | 456,821 | ||||||||||||
Commercial Mortgage-Backed Securities | | 233,866 | | 233,866 | ||||||||||||
Preferred Stocks | 113,460 | | 120,105 | 233,565 | ||||||||||||
Emerging Markets - Treasuries | | 159,700 | | 159,700 |
60
Warrants | 94 | | 60,445 | 60,539 | ||||||||||||
Mortgage Pass-Throughs | | 78 | | 78 | ||||||||||||
Rights | 40 | | | 40 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies |
107,830,660 | | | 107,830,660 | ||||||||||||
U.S. Treasury Bills |
| 1,687,994 | | 1,687,994 | ||||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 1,840,737 | | | 1,840,737 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities | 344,725,518 | 134,341,168 | 641,590 | 479,708,276 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 2,064,198 | | | 2,064,198 | ||||||||||||
Forward Currency Exchange Contracts | | 1,045,404 | | 1,045,404 | ||||||||||||
Centrally Cleared Interest Rate Swaps | | 130,369 | | 130,369 | ||||||||||||
Centrally Cleared Credit Default Swaps | | 360,216 | | 360,216 | ||||||||||||
Credit Default Swaps | | 367,456 | | 367,456 | ||||||||||||
Total Return Swaps | | 2,120,177 | | 2,120,177 | ||||||||||||
Variance Swaps | | 324,520 | | 324,520 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (4,674,343 | ) | | | (4,674,343 | ) | ||||||||||
Forward Currency Exchange | ||||||||||||||||
Contracts | | (2,172,929 | ) | | (2,172,929 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | | (437,479 | ) | | (437,479 | ) | ||||||||||
Centrally Cleared Credit Default | ||||||||||||||||
Swaps | | (423,761 | ) | | (423,761 | ) | ||||||||||
Credit Default Swaps | | (1,201,440 | ) | | (1,201,440 | ) | ||||||||||
Total Return Swaps | | (375,805 | ) | | (375,805 | ) | ||||||||||
Variance Swaps | | (393,942 | ) | | (393,942 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 342,115,373 | $ | 133,683,954 | $ | 641,590 | $ | 476,440,917 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
A summary of the Funds transactions in AB mutual funds for the three months ended November 30, 2022 is as follows:
Fund | Market Value 08/31/2022 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 11/30/2022 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio | $ | 75,289 | $ | 90,618 | $ | 58,076 | $ | 107,831 | $ | 502 | ||||||||||
Government Money Market Portfolio* | 5,352 | 28,866 | 32,377 | 1,841 | 27 | |||||||||||||||
Total | $ | 80,641 | $ | 119,484 | $ | 90,453 | $ | 109,672 | $ | 529 |
* | Investments of cash collateral for securities lending transactions |
61