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Document/Exhibit Description Pages Size 1: N-CSR Annual Certified Shareholder Report by an HTML 16.67M Investment Company 3: EX-99.906 CERT Certification for Rule 30A-2(B) and Section HTML 9K 906 of the Sarbanes-Oxley Act 2: EX-99.CERT Certifications for Rule 30A-2(A) and Section 302 HTML 17K of the Sarbanes-Oxley Act of 2002
TICKER SYMBOLS
|
|
Investor Class
|
NCRIX
|
Institutional Class
|
NCRLX
|
Class A
|
NCRAX
|
Class C
|
NCRCX
|
Class R6
|
NRCRX
|
PORTFOLIO BY INVESTMENT
TYPE
|
|
(as a % of Total Net Assets)
|
|
Asset-Backed Securities
|
10.0
%
|
Corporate Bonds
|
28.7
|
Foreign Government Securities
|
1.1
|
Mortgage-Backed Securities
|
41.5
|
U.S. Government Agency
Securities
|
0.7
|
U.S. Treasury Obligations
|
15.7
|
Short-Term Investments
|
0.6
|
Other Assets Less Liabilities
|
1.7
*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS1,2
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Investor Class3
|
02/01/1997
|
-0.07%
|
-0.10%
|
0.62%
|
3.63%
|
Institutional Class3
|
10/01/1995
|
0.46%
|
0.31%
|
1.03%
|
4.03%
|
Class A4
|
12/20/2007
|
0.05%
|
-0.10%
|
0.62%
|
3.79%
|
Class C4
|
12/20/2007
|
-0.70%
|
-0.85%
|
-0.13%
|
3.35%
|
Class R64
|
01/18/2019
|
0.56%
|
0.40%
|
1.08%
|
4.05%
|
With Sales Charge
|
|
|
|
|
|
Class A4
|
|
-4.19%
|
-0.96%
|
0.18%
|
3.63%
|
Class C4
|
|
-1.66%
|
-0.85%
|
-0.13%
|
3.35%
|
Index
|
|
|
|
|
|
Bloomberg U.S. Aggregate Bond Index5,6
|
0.36%
|
-0.06%
|
0.88%
|
4.05%
|
PERFORMANCE HIGHLIGHTS
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Institutional Class
|
09/27/2013
|
11.36%
|
0.37%
|
0.52%
|
0.75%
|
Class A
|
09/27/2013
|
11.13%
|
0.02%
|
0.15%
|
0.38%
|
Class C
|
09/27/2013
|
10.31%
|
-0.73%
|
-0.60%
|
-0.37%
|
With Sales Charge
|
|
|
|
|
|
Class A
|
|
6.42%
|
-0.86%
|
-0.28%
|
-0.05%
|
Class C
|
|
9.31%
|
-0.73%
|
-0.60%
|
-0.37%
|
Index
|
|
|
|
|
|
Blended Benchmark*5,6
|
11.05%
|
0.58%
|
0.74%
|
0.95%
|
PORTFOLIO BY MATURITY DISTRIBUTION
|
|
(as a % of Total Investments*)
|
|
Less than One Year
|
0.6
%
|
One to less than Five Years
|
58.2
|
Five to less than Ten Years
|
40.5
|
Ten Years or Greater
|
0.5
|
N/A**
|
0.2
|
Total
|
100.0
%
|
*
|
Does not include Short-Term Investments or
the impact of the Fund’s open positions in
derivatives, if any.
|
**
|
Common Stock
|
PERFORMANCE HIGHLIGHTS
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Institutional Class7
|
12/30/2009
|
11.67%
|
4.23%
|
3.67%
|
4.31%
|
Class A
|
12/29/2009
|
11.27%
|
3.85%
|
3.29%
|
3.92%
|
Class C7
|
12/30/2009
|
10.44%
|
3.07%
|
2.52%
|
3.16%
|
With Sales Charge
|
|
|
|
|
|
Class A
|
|
6.56%
|
2.94%
|
2.84%
|
3.60%
|
Class C7
|
|
9.44%
|
3.07%
|
2.52%
|
3.16%
|
Index
|
|
|
|
|
|
Morningstar LSTA US
Leveraged Loan Index5,6
|
11.92%
|
4.46%
|
4.22%
|
4.90%
|
TICKER SYMBOLS
|
|
Investor Class
|
NHINX
|
Institutional Class
|
NHILX
|
Class A
|
NHIAX
|
Class C
|
NHICX
|
Class R3
|
NHIRX
|
Class R6
|
NRHIX
|
Class E
|
NHIEX
|
PORTFOLIO BY MATURITY DISTRIBUTION
|
|
(as a % of Total Investments*)
|
|
Less than One Year
|
0.6
%
|
One to less than Five Years
|
46.8
|
Five to less than Ten Years
|
48.8
|
Ten Years or Greater
|
3.8
|
Total
|
100.0
%
|
*
|
Does not include Short-Term Investments or
the impact of the Fund’s open positions in
derivatives, if any.
|
PERFORMANCE HIGHLIGHTS8,9
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Investor Class10
|
02/01/1992
|
4.03%
|
2.15%
|
2.69%
|
6.46%
|
Institutional Class11
|
05/27/2009
|
4.20%
|
2.32%
|
2.84%
|
6.54%
|
Class A11
|
05/27/2009
|
3.79%
|
1.89%
|
2.42%
|
6.34%
|
Class C11
|
05/27/2009
|
2.88%
|
1.17%
|
1.69%
|
5.99%
|
Class R311
|
05/27/2009
|
3.53%
|
1.69%
|
2.19%
|
6.23%
|
Class R611
|
03/15/2013
|
4.31%
|
2.45%
|
2.95%
|
6.55%
|
Class E11
|
01/11/2022
|
4.86%
|
2.42%
|
2.82%
|
6.51%
|
With Sales Charge
|
|
|
|
|
|
Class A11
|
|
-0.58%
|
1.01%
|
1.97%
|
6.20%
|
Class C11
|
|
1.91%
|
1.17%
|
1.69%
|
5.99%
|
Index
|
|
|
|
|
|
ICE BofA U.S. High Yield
Constrained Index5,6
|
5.81%
|
2.86%
|
3.77%
|
N/A
|
PORTFOLIO BY STATE AND
TERRITORY
|
|
(as a % of Total Net Assets)
|
|
Alabama
|
1.9
%
|
American Samoa
|
1.0
|
Arizona
|
4.3
|
Arkansas
|
1.4
|
California
|
8.2
|
Colorado
|
4.7
|
Florida
|
3.4
|
Georgia
|
4.7
|
Guam
|
0.6
|
Hawaii
|
0.3
|
Illinois
|
7.2
|
Indiana
|
0.6
|
Kansas
|
0.2
|
Kentucky
|
2.7
|
Louisiana
|
0.9
|
Maine
|
1.3
|
Maryland
|
0.6
|
Massachusetts
|
0.8
|
Michigan
|
3.6
|
Minnesota
|
1.0
|
Mississippi
|
0.4
|
Missouri
|
0.9
|
Montana
|
1.0
|
Nevada
|
0.7
|
New Hampshire
|
0.8
|
New Jersey
|
1.5
|
New Mexico
|
0.8
|
New York
|
5.0
|
Ohio
|
7.5
|
Oregon
|
1.3
|
Pennsylvania
|
1.4
|
Puerto Rico
|
3.6
|
South Carolina
|
1.5
|
Tennessee
|
0.6
|
Texas
|
12.6
|
Utah
|
1.8
|
Vermont
|
1.0
|
West Virginia
|
3.2
|
Wisconsin
|
4.0
|
Other Assets Less Liabilities
|
1.0
*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS12
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
||
|
1 Year
|
5 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
Institutional Class
|
06/22/2015
|
0.84%
|
-0.07%
|
1.47%
|
Class A
|
06/22/2015
|
0.47%
|
-0.44%
|
1.10%
|
Class C
|
06/22/2015
|
-0.28%
|
-1.16%
|
0.35%
|
With Sales Charge
|
|
|
|
|
Class A
|
|
-3.82%
|
-1.29%
|
0.58%
|
Class C
|
|
-1.25%
|
-1.16%
|
0.35%
|
Index
|
|
|
|
|
Blended Benchmark*5,6
|
3.11%
|
1.26%
|
2.04%
|
PORTFOLIO BY STATE AND
TERRITORY
|
|
(as a % of Total Net Assets)
|
|
Alabama
|
0.8
%
|
Arkansas
|
2.7
|
California
|
1.4
|
Colorado
|
2.2
|
District of Columbia
|
0.7
|
Florida
|
1.8
|
Georgia
|
1.5
|
Illinois
|
6.8
|
Indiana
|
4.9
|
Kentucky
|
9.1
|
Louisiana
|
3.7
|
Maine
|
0.4
|
Michigan
|
13.0
|
Minnesota
|
2.0
|
Missouri
|
2.8
|
New Jersey
|
2.0
|
New York
|
11.6
|
North Carolina
|
1.1
|
North Dakota
|
0.7
|
Ohio
|
2.9
|
Oklahoma
|
2.2
|
Pennsylvania
|
3.7
|
Puerto Rico
|
0.6
|
South Carolina
|
2.6
|
Tennessee
|
1.9
|
Texas
|
5.4
|
Virginia
|
1.7
|
Washington
|
2.1
|
West Virginia
|
6.1
|
Other Assets Less Liabilities
|
1.6
*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS12,13
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Institutional Class
|
03/11/201314
|
1.11%
|
0.59%
|
1.35%
|
1.11%
|
Class A15
|
06/19/2018
|
0.81%
|
0.23%
|
1.16%
|
0.93%
|
Class C15
|
06/19/2018
|
0.05%
|
-0.52%
|
0.75%
|
0.55%
|
With Sales Charge
|
|
|
|
|
|
Class A15
|
|
-3.49%
|
-0.64%
|
0.72%
|
0.52%
|
Class C15
|
|
-0.94%
|
-0.52%
|
0.75%
|
0.55%
|
Index
|
|
|
|
|
|
Bloomberg Municipal Bond Index5,6
|
2.64%
|
1.00%
|
2.12%
|
1.77%
|
PORTFOLIO BY STATE AND
TERRITORY
|
|
(as a % of Total Net Assets)
|
|
Alabama
|
1.8
%
|
Arizona
|
1.6
|
Arkansas
|
0.6
|
California
|
6.7
|
Colorado
|
0.9
|
Connecticut
|
0.2
|
Delaware
|
1.8
|
District of Columbia
|
2.5
|
Florida
|
3.4
|
Georgia
|
3.1
|
Illinois
|
13.2
|
Indiana
|
2.0
|
Iowa
|
1.5
|
Kansas
|
0.8
|
Kentucky
|
1.6
|
Louisiana
|
2.1
|
Maryland
|
0.8
|
Massachusetts
|
0.8
|
Michigan
|
1.8
|
Minnesota
|
0.2
|
Mississippi
|
0.6
|
Missouri
|
0.9
|
Nebraska
|
3.9
|
Nevada
|
0.3
|
New Jersey
|
3.4
|
New York
|
12.8
|
North Carolina
|
1.1
|
Ohio
|
0.8
|
Oklahoma
|
0.9
|
Pennsylvania
|
11.0
|
Puerto Rico
|
0.5
|
South Carolina
|
1.9
|
Tennessee
|
0.6
|
Texas
|
2.5
|
Utah
|
3.5
|
Virginia
|
0.5
|
Washington
|
2.4
|
West Virginia
|
1.9
|
Wisconsin
|
4.0
|
Liabilities Less Other Assets
|
(0.9
)*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS12
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Investor Class
|
07/09/1987
|
2.29%
|
0.56%
|
1.37%
|
3.99%
|
Institutional Class16
|
06/21/2010
|
2.44%
|
0.71%
|
1.52%
|
4.05%
|
Class A16
|
06/21/2010
|
2.06%
|
0.34%
|
1.14%
|
3.90%
|
Class C16
|
06/21/2010
|
1.30%
|
-0.39%
|
0.39%
|
3.62%
|
With Sales Charge
|
|
|
|
|
|
Class A16
|
|
-2.26%
|
-0.52%
|
0.70%
|
3.78%
|
Class C16
|
|
0.30%
|
-0.39%
|
0.39%
|
3.62%
|
Index
|
|
|
|
|
|
Bloomberg 7-Year G.O. Index5,6
|
1.87%
|
1.31%
|
1.75%
|
4.78%
|
TICKER SYMBOLS
|
|
Investor Class
|
NSBIX
|
Trust Class
|
NSBTX
|
Institutional Class
|
NSHLX
|
Class A
|
NSHAX
|
Class C
|
NSHCX
|
PORTFOLIO BY INVESTMENT
TYPE
|
|
(as a % of Total Net Assets)
|
|
Asset-Backed Securities
|
17.4
%
|
Corporate Bonds
|
46.8
|
Loan Assignments
|
2.1
|
Mortgage-Backed Securities
|
28.0
|
Short-Term Investments
|
5.4
|
Other Assets Less Liabilities
|
0.3
*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS17
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Investor Class
|
06/09/1986
|
4.62%
|
1.38%
|
0.95%
|
3.63%
|
Trust Class18
|
08/30/1993
|
4.50%
|
1.27%
|
0.85%
|
3.56%
|
Institutional Class18
|
06/21/2010
|
4.98%
|
1.61%
|
1.16%
|
3.71%
|
Class A18
|
06/21/2010
|
4.43%
|
1.20%
|
0.78%
|
3.57%
|
Class C18
|
06/21/2010
|
3.65%
|
0.47%
|
0.02%
|
3.29%
|
With Sales Charge
|
|
|
|
|
|
Class A18
|
|
1.82%
|
0.68%
|
0.53%
|
3.50%
|
Class C18
|
|
2.65%
|
0.47%
|
0.02%
|
3.29%
|
Index
|
|
|
|
|
|
Bloomberg 1-3 Year U.S.
Government/Credit Bond Index5,6
|
3.23%
|
1.25%
|
1.03%
|
4.26%
|
TICKER SYMBOLS
|
|
Trust Class
|
NSTTX
|
Institutional Class
|
NSTLX
|
Class A
|
NSTAX
|
Class C
|
NSTCX
|
Class R6
|
NRSIX
|
PORTFOLIO BY INVESTMENT
TYPE
|
|
(as a % of Total Net Assets)
|
|
Asset-Backed Securities
|
8.1
%
|
Closed-End Funds
|
0.0
|
Common Stocks
|
0.0
|
Convertible Bonds
|
0.0
|
Corporate Bonds
|
28.3
|
Exchange-Traded Funds
|
1.8
|
Foreign Government Securities
|
3.9
|
Loan Assignments
|
0.0
|
Mortgage-Backed Securities
|
61.7
|
Municipal Notes
|
0.8
|
U.S. Government Agency
Securities
|
0.1
|
U.S. Treasury Obligations
|
6.6
|
Short-Term Investments
|
3.9
|
Liabilities Less Other Assets
|
(15.2
)*
|
Total
|
100.0
%
|
*
|
Includes the impact of the Fund's open
positions in derivatives (other than options
purchased), if any.
|
PERFORMANCE HIGHLIGHTS19
|
|
|
|
||
|
Inception
Date
|
Average Annual Total Return
Ended 10/31/2023
|
|||
|
1 Year
|
5 Years
|
10 Years
|
Life of
Fund
|
|
At NAV
|
|
|
|
|
|
Trust Class20
|
04/02/2007
|
4.22%
|
1.57%
|
2.03%
|
4.91%
|
Institutional Class
|
07/11/2003
|
4.58%
|
1.91%
|
2.38%
|
5.20%
|
Class A20
|
12/20/2007
|
4.19%
|
1.51%
|
1.98%
|
4.88%
|
Class C20
|
12/20/2007
|
3.44%
|
0.80%
|
1.26%
|
4.30%
|
Class R620
|
03/15/2013
|
4.68%
|
2.01%
|
2.46%
|
5.25%
|
With Sales Charge
|
|
|
|
|
|
Class A20
|
|
-0.25%
|
0.64%
|
1.54%
|
4.66%
|
Class C20
|
|
2.45%
|
0.80%
|
1.26%
|
4.30%
|
Index
|
|
|
|
|
|
Bloomberg U.S. Aggregate Bond Index5,6
|
0.36%
|
-0.06%
|
0.88%
|
2.73%
|
1
|
The Fund had a different goal, to maximize total return through a combination of income and
capital
appreciation, and investment strategy, which did not include investments in derivatives and
non-U.S. dollar
denominated securities, prior to February 28, 2008. Its performance prior to that date might
have been
different if the current goal and investment strategy had been in effect.
|
2
|
The performance information for periods prior to June 13, 2005, is that of the Fund’s
predecessor, Ariel
Premier Bond Fund ("Ariel Fund"). The investment policies, guidelines and restrictions of the
Fund are in all
material respects equivalent to those of Ariel Fund. Returns would have been lower if Ariel
Fund’s manager
had not waived certain of its fees during these periods.
|
3
|
The performance information for Institutional Class is that of Ariel Fund Institutional Class
for the period
October 1, 1995 (inception date) through June 10, 2005. The performance information for Investor
Class is
that of Ariel Fund Institutional Class for the period October 1, 1995 through January 31, 1997
(the period
prior to the Investor Class’ inception date), and that of Ariel Fund Investor Class for the
period February 1,
1997 through June 10, 2005. Ariel Fund Institutional Class had lower expenses and typically
higher returns
than Ariel Fund Investor Class.
|
4
|
The performance information for Class A, Class C and Class R6 prior to the classes’ inception
date is that of
the Institutional Class of Neuberger Berman Core Bond Fund (please see Endnote 3). The
performance
information for the Institutional Class has been adjusted to reflect the appropriate sales
charges applicable
to Class A and Class C shares, but has not been adjusted to take into account differences in
class specific
operating expenses (such as 12b-1 fees). The Institutional Class has lower expenses and
typically higher
returns than Class A and Class C. The Institutional Class has higher expenses and typically
lower returns
than Class R6.
|
5
|
Please see "Glossary of Indices" on page 33 for a description of indices. Please note that
individuals cannot
invest directly in any index. The indices described in this report do not take into account any
fees, expenses
or tax consequences of investing in the individual securities that they track. Data about the
performance of
an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("NBIA") and
reflect the
reinvestment of income dividends and other distributions, if any. The Fund may invest in
securities not
included in a described index and generally does not invest in all securities included in a
described index.
|
6
|
The date used to calculate Life of Fund performance for the index is the inception date of the
oldest share
class.
|
7
|
The performance information for Institutional Class and Class C prior to the classes’ inception
date is that
of Class A of Neuberger Berman Floating Rate Income Fund. The performance information (at NAV)
of
Class A has been adjusted to reflect the appropriate sales charge applicable to Class C shares,
but has not
been adjusted to take into account differences in class specific operating expenses (such as
12b-1 fees).
Class A has higher expenses and typically lower returns (at NAV) than Institutional Class. Class
A has lower
expenses and typically higher returns (at NAV) than Class C.
|
8
|
The performance information for the period April 1, 1996 through September 6, 2002, is that of
the Fund’s
predecessor, Lipper High Income Bond Fund ("Lipper Fund"), and the performance information for
the
period February 1, 1992 through March 31, 1996, is that of Lipper Fund’s predecessor
partnership. The
investment policies, objectives, guidelines and restrictions of the Fund are in all material
respects equivalent
to those of Lipper Fund, and the investment policies, objectives, guidelines and restrictions of
Lipper Fund
were in all material respects equivalent to those of its predecessor partnership. As mutual
funds registered
under the Investment Company Act of 1940, as amended ("1940 Act"), the Fund is, and Lipper Fund
was,
subject to certain restrictions under the 1940 Act and the Internal Revenue Code of 1986, as
amended
("Code"), to which Lipper Fund’s predecessor partnership was not subject. Had Lipper Fund’s
predecessor
partnership been registered under the 1940 Act and been subject to the provisions of the 1940
Act and the
Code, its investment performance may have been adversely affected. Returns would have been lower
if
Lipper Fund’s manager had not waived certain of its fees during these periods.
|
9
|
|
10
|
The performance information for Investor Class is that of Lipper Fund Premier Class for the
period April 1,
1996 through September 6, 2002, and that of Lipper Fund’s predecessor partnership for the period
February 1, 1992 (inception date) through March 31, 1996 (please see Endnote 8).
|
11
|
The performance information for Institutional Class, Class A, Class C, Class R3, Class R6 and
Class E prior to
the classes’ respective inception dates is that of the Investor Class of Neuberger Berman High
Income Bond
Fund (please see Endnote 10). The performance information of the Investor Class has been
adjusted to
reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been
adjusted to
take into account differences in class specific operating expenses (such as 12b-1 fees). The
Investor Class
has lower expenses and typically higher returns than Class A, Class C and Class R3. The Investor
Class has
higher expenses and typically lower returns than Institutional Class, Class R6 and Class E.
|
12
|
A portion of the Fund’s income may be a tax preference item for purposes of the federal
alternative
minimum tax for certain shareholders.
|
13
|
The Fund had a different goal and different principal investment strategies, which included a
policy to
invest 80% of its net assets in securities of municipal issuers that provide interest income
that is exempt
from New York State and New York City personal income taxes and invest in only investment grade
securities, prior to June 16, 2018. Its performance prior to that date might have been different
if the
current goal and investment strategy had been in effect.
|
14
|
This date reflects when NBIA first became the investment manager to the Fund.
|
15
|
The performance information for Class A and Class C prior to the classes’ inception date is that
of the
Institutional Class of Neuberger Berman Municipal Impact Fund (formerly, Neuberger Berman New
York
Municipal Income Fund). The performance information for the Institutional Class has been
adjusted to
reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been
adjusted to
take into account differences in class specific operating expenses (such as 12b-1 fees). The
Institutional
Class has lower expenses and typically higher returns than Class A and Class C.
|
16
|
The performance information for Institutional Class, Class A and Class C prior to the classes’
inception date
is that of the Investor Class of Neuberger Berman Municipal Intermediate Bond Fund. The
performance
information of the Investor Class has been adjusted to reflect the appropriate sales charges
applicable to
Class A and Class C shares, but has not been adjusted to take into account differences in class
specific
operating expenses (such as 12b-1 fees). The Investor Class has lower expenses and typically
higher returns
than Class A and Class C. The Investor Class has higher expenses and typically lower returns
than
Institutional Class.
|
17
|
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or
more
other registered funds that have names, investment objectives and investment styles that are
similar to
those of the Fund. You should be aware that the Fund is likely to differ from the other mutual
fund(s) in
size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund
can be
expected to vary from those of the other mutual fund(s).
|
18
|
The performance information for Trust Class, Institutional Class, Class A and Class C prior to
the classes’
respective inception dates is that of the Investor Class of Neuberger Berman Short Duration Bond
Fund. The
performance information of the Investor Class has been adjusted to reflect the appropriate sales
charges
applicable to Class A and Class C shares, but has not been adjusted to take into account
differences in class
specific operating expenses (such as 12b-1 fees). The Investor Class has lower expenses and
typically higher
returns than Trust Class, Class A and Class C. The Investor Class has higher expenses and
typically lower
returns than Institutional Class.
|
19
|
The Fund had a different goal, to maximize income without undue risk to principal, and
investment
strategy, which included managing assets by an asset allocation committee, prior to February 28,
2008. Its
performance prior to that date might have been different if the current goal and investment
strategy had
been in effect.
|
20
|
The performance information for Trust Class, Class A, Class C and Class R6 prior to the classes’
respective
inception dates is that of the Institutional Class of Neuberger Berman Strategic Income Fund.
The
performance information of the Institutional Class has been adjusted to reflect the appropriate
sales
charges applicable to Class A and Class C shares, but has not been adjusted to take into account
differences in class specific operating expenses (such as 12b-1 fees). The Institutional Class
has lower
expenses and typically higher returns than Trust Class, Class A and Class C. The Institutional
Class has
higher expenses and typically lower returns than Class R6.
|
Bloomberg 7-Year General
Obligation (G.O.) Index:
|
The index is the 7-year (6-8 years to maturity) component of the Bloomberg G.O.
Index. The Bloomberg G.O. Index measures the investment grade, U.S.
dollar-denominated, long-term, tax-exempt state and local general obligation bond
market. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were
rebranded as "Bloomberg indices".
|
Bloomberg U.S. Aggregate Bond
Index:
|
The index measures the investment grade, U.S. dollar-denominated, fixed-rate,
taxable bond market and includes Treasuries, government-related and corporate
securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable
rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial
mortgage-backed securities (CMBS) (agency and nonagency). Effective August 24,
2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg
indices".
|
Bloomberg Municipal Bond Index:
|
The index is a rules-based, market-value-weighted index engineered for the long-term
tax-exempt bond market. To be included in the index, bonds must be rated
investment-grade (Baa3/BBB- or higher) by at least two of the following ratings
agencies: Moody’s, S&P, Fitch. If only two of the three agencies rate the security, the
lower rating is used to determine index eligibility. If only one of the three agencies
rates a security, the rating must be investment-grade. They must have an outstanding
par value of at least $7 million and be issued as part of a transaction of at least
$75 million. The bonds must be fixed rate, have a dated date after December 31,
1990, and must be at least one year from their maturity date. Remarketed issues,
taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from
the benchmark. Effective August 24, 2021 all Bloomberg Barclays fixed income
indices were rebranded as "Bloomberg indices".
|
Bloomberg Municipal High Yield
Index:
|
The index measures the performance of the high yield municipal bond market. To be
included in the index, bonds must be rated non-investment-grade (Ba1/BB+ or lower)
by at least two of the following ratings agencies: Moody’s, S&P, Fitch. If only two of
the three agencies rate the security, the lower rating is used to determine index
eligibility. If only one of the three agencies rates a security, the rating must be
non-investment-grade. They must have an outstanding par value of at least $7 million
and be issued as part of a transaction of at least $75 million. The bonds must be fixed
rate, have a dated date after December 31, 1990, and must be at least one year from
their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating
rates, and derivatives, are excluded from the benchmark. Effective August 24, 2021 all
Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices".
|
65% Bloomberg Municipal Bond
Index and 35% Bloomberg
Municipal High Yield Index:
|
The blended index is composed of 65% Bloomberg Municipal Bond Index and 35%
Bloomberg Municipal High Yield Index (both described above) and is rebalanced
monthly. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were
rebranded as "Bloomberg indices".
|
Bloomberg 1-3 Year
U.S. Government/Credit Bond
Index:
|
The index is the 1-3 year component of the Bloomberg U.S. Government/Credit Index.
The Bloomberg U.S. Government/Credit Index is the non-securitized component of
the Bloomberg U.S. Aggregate Bond Index and includes Treasuries and
government-related (agency, sovereign, supranational, and local authority debt
guaranteed by the U.S. government) and investment grade corporate securities.
Effective August 24, 2021 all Bloomberg Barclays fixed income indices were
rebranded as "Bloomberg indices".
|
ICE BofA U.S. High Yield
Constrained Index:
|
The index tracks the performance of U.S. dollar-denominated below investment grade
corporate debt publicly issued in the U.S. domestic market. In addition to meeting
other criteria, qualifying securities must have a below investment grade rating (based
on an average of Moody’s, S&P and Fitch ratings), and have risk exposure to countries
that are members of the FX-G10, Western Europe or territories of the U.S. and
Western Europe. Securities in legal default are excluded from the index. Index
constituents are capitalization-weighted, provided the total allocation to an individual
issuer does not exceed 2%. Transaction costs are incorporated into the calculation of
total return for ICE fixed income indices beginning in July 2022.
|
J.P. Morgan Corporate Emerging
Markets Bond Index
(CEMBI)—Diversified:
|
The index tracks the performance of U.S. dollar-denominated corporate emerging
market bonds, including emerging market countries from Asia, Europe, Latin America
and the Middle East/Africa. The Diversified version of the index is market
capitalization-weighted and limits the weights of those index countries with larger
corporate debt stocks by including only specified portions of those countries’ eligible
current face amounts of debt outstanding. Effective March 31, 2022, Russia and
Belarus were excluded from the J.P. Morgan fixed income indices. The index market
value for all Russian and Belarus debt was set to zero, reflecting a total return loss due
to market disruption.
|
J.P. Morgan Emerging Markets
Bond Index (EMBI)—Global
Diversified:
|
The index tracks the performance of U.S. dollar-denominated debt instruments issued
by emerging market sovereign and quasi-sovereign entities (Brady bonds, loans and
Eurobonds), including emerging market countries from Asia, Europe, Latin America
and the Middle East/Africa. The Global version of the index captures a broad,
comprehensive universe of emerging market issues. The Diversified version of the
index is market capitalization-weighted and limits the weights of those index
countries with larger debt stocks by including only specified portions of those
countries’ eligible current face amounts of debt outstanding. Effective March 31,
2022, Russia and Belarus were excluded from the J.P. Morgan fixed income indices.
The index market value for all Russian and Belarus debt was set to zero, reflecting a
total return loss due to market disruption.
|
J.P. Morgan Government Bond
Index (GBI)—Emerging Markets
Global Diversified:
|
The index tracks the performance of local currency denominated bonds issued by
emerging market governments, including emerging market countries from Asia,
Europe, Latin America and the Middle East/Africa. The Global version of the index
includes only countries that are accessible by most of the international investor base,
while countries with explicit capital controls are excluded. The Diversified version of
the index is market capitalization-weighted, with a maximum weight to a country
capped at 10%. Effective March 31, 2022, Russia and Belarus were excluded from the
J.P. Morgan fixed income indices. The index market value for all Russian and Belarus
debt was set to zero, reflecting a total return loss due to market disruption.
|
50% J.P. Morgan GBI—Emerging
Markets Global Diversified, 25%
J.P. Morgan EMBI—Global
Diversified, and 25% J.P. Morgan
CEMBI—Diversified:
|
The blended index is composed of 50% J.P. Morgan GBI—Emerging Markets Global
Diversified, 25% J.P. Morgan EMBI—Global Diversified, and 25% J.P. Morgan
CEMBI—Diversified (all described above) and is rebalanced monthly. Effective
March 31, 2022, Russia and Belarus were excluded from the J.P. Morgan fixed income
indices. The index market value for all Russian and Belarus debt was set to zero,
reflecting a total return loss due to market disruption.
|
Morningstar LSTA US Leveraged
Loan Index:
|
The index is a market-value weighted index designed to measure the performance of
the US leveraged loan market. The starting universe consists of senior secured, USD
denominated syndicated term leveraged loans with a minimum initial term of one
year, a minimum initial spread of base rate (LIBOR/SOFR) plus 125 basis points, and a
minimum initial issue size of $50 million. The index is rebalanced on a weekly basis
every Friday. The index was renamed from S&P/LSTA Leveraged Loan Index to
Morningstar LSTA US Leveraged Loan Index effective 8/29/2022.
|
Actual Expenses and
Performance:
|
The first section of the table provides information about actual account values and actual
expenses in dollars, based on the Fund’s actual performance during the period indicated.
You may use the information in this line, together with the amount you invested, to
estimate the expenses you paid over the period. Simply divide your account value by
$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply
the result by the number in the first section of the table under the heading entitled
"Expenses Paid During the Period" to estimate the expenses you paid over the period.
|
Hypothetical Example for
Comparison Purposes:
|
The second section of the table provides information about hypothetical account values
and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate
of return at 5% per year before expenses. This return is not the Fund’s actual return. The
hypothetical account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this information to
compare the ongoing costs of investing in a Fund versus other funds. To do so, compare
the expenses shown in this 5% hypothetical example with the 5% hypothetical examples
that appear in the shareholder reports of other funds.
|
|
ACTUAL
|
HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)
|
||||||
|
Beginning
Account
Value
5/1/23
|
Ending
Account
Value
10/31/23
|
Expenses Paid
During the
Period(1)
5/1/23 – 10/31/23
|
Expense
Ratio
|
Beginning
Account
Value
5/1/23
|
Ending
Account
Value
10/31/23
|
Expenses Paid
During the
Period(2)
5/1/23 – 10/31/23
|
Expense
Ratio
|
Core Bond Fund
|
||||||||
Investor Class
|
$1,000.00
|
$933.40
|
$3.80
|
0.78%
|
$1,000.00
|
$1,021.27
|
$3.97
|
0.78%
|
Institutional Class
|
$1,000.00
|
$936.50
|
$1.85
|
0.38%
|
$1,000.00
|
$1,023.29
|
$1.94
|
0.38%
|
Class A
|
$1,000.00
|
$934.30
|
$3.80
|
0.78%
|
$1,000.00
|
$1,021.27
|
$3.97
|
0.78%
|
Class C
|
$1,000.00
|
$930.90
|
$7.45
|
1.53%
|
$1,000.00
|
$1,017.49
|
$7.78
|
1.53%
|
Class R6
|
$1,000.00
|
$936.00
|
$1.37
|
0.28%
|
$1,000.00
|
$1,023.79
|
$1.43
|
0.28%
|
Emerging Markets Debt Fund
|
||||||||
Institutional Class
|
$1,000.00
|
$981.20
|
$3.90
|
0.78%
|
$1,000.00
|
$1,021.27
|
$3.97
|
0.78%
|
Class A
|
$1,000.00
|
$980.80
|
$5.74
|
1.15%
|
$1,000.00
|
$1,019.41
|
$5.85
|
1.15%
|
Class C
|
$1,000.00
|
$977.10
|
$9.47
|
1.90%
|
$1,000.00
|
$1,015.63
|
$9.65
|
1.90%
|
Floating Rate Income Fund
|
||||||||
Institutional Class
|
$1,000.00
|
$1,054.40
|
$3.11
|
0.60%
|
$1,000.00
|
$1,022.18
|
$3.06
|
0.60%
|
Class A
|
$1,000.00
|
$1,051.30
|
$5.02
|
0.97%
|
$1,000.00
|
$1,020.32
|
$4.94
|
0.97%
|
Class C
|
$1,000.00
|
$1,048.50
|
$8.88
|
1.72%
|
$1,000.00
|
$1,016.53
|
$8.74
|
1.72%
|
High Income Bond Fund
|
||||||||
Investor Class
|
$1,000.00
|
$999.00
|
$4.38
|
0.87%
|
$1,000.00
|
$1,020.82
|
$4.43
|
0.87%
|
Institutional Class
|
$1,000.00
|
$999.80
|
$3.58
|
0.71%
|
$1,000.00
|
$1,021.63
|
$3.62
|
0.71%
|
Class A
|
$1,000.00
|
$997.80
|
$5.59
|
1.11%
|
$1,000.00
|
$1,019.61
|
$5.65
|
1.11%
|
Class C
|
$1,000.00
|
$992.80
|
$9.29
|
1.85%
|
$1,000.00
|
$1,015.88
|
$9.40
|
1.85%
|
Class R3
|
$1,000.00
|
$996.60
|
$6.84
|
1.36%
|
$1,000.00
|
$1,018.35
|
$6.92
|
1.36%
|
Class R6
|
$1,000.00
|
$1,000.30
|
$3.08
|
0.61%
|
$1,000.00
|
$1,022.13
|
$3.11
|
0.61%
|
Class E
|
$1,000.00
|
$1,001.60
|
$0.40
|
0.08%
|
$1,000.00
|
$1,024.80
|
$0.41
|
0.08%
|
Municipal High Income Fund
|
||||||||
Institutional Class
|
$1,000.00
|
$941.20
|
$2.45
|
0.50%
|
$1,000.00
|
$1,022.68
|
$2.55
|
0.50%
|
Class A
|
$1,000.00
|
$940.50
|
$4.26
|
0.87%
|
$1,000.00
|
$1,020.82
|
$4.43
|
0.87%
|
Class C
|
$1,000.00
|
$936.00
|
$7.91
|
1.62%
|
$1,000.00
|
$1,017.04
|
$8.24
|
1.62%
|
Municipal Impact Fund
|
||||||||
Institutional Class
|
$1,000.00
|
$958.80
|
$2.12
|
0.43%
|
$1,000.00
|
$1,023.04
|
$2.19
|
0.43%
|
Class A
|
$1,000.00
|
$957.10
|
$3.95
|
0.80%
|
$1,000.00
|
$1,021.17
|
$4.08
|
0.80%
|
Class C
|
$1,000.00
|
$953.50
|
$7.63
|
1.55%
|
$1,000.00
|
$1,017.39
|
$7.88
|
1.55%
|
Municipal Intermediate Bond Fund
|
||||||||
Investor Class
|
$1,000.00
|
$964.70
|
$2.23
|
0.45%
|
$1,000.00
|
$1,022.94
|
$2.29
|
0.45%
|
Institutional Class
|
$1,000.00
|
$965.40
|
$1.49
|
0.30%
|
$1,000.00
|
$1,023.69
|
$1.53
|
0.30%
|
Class A
|
$1,000.00
|
$964.50
|
$3.32
|
0.67%
|
$1,000.00
|
$1,021.83
|
$3.41
|
0.67%
|
Class C
|
$1,000.00
|
$960.90
|
$7.02
|
1.42%
|
$1,000.00
|
$1,018.05
|
$7.22
|
1.42%
|
Short Duration Bond Fund
|
||||||||
Investor Class
|
$1,000.00
|
$1,005.50
|
$2.73
|
0.54%
|
$1,000.00
|
$1,022.48
|
$2.75
|
0.54%
|
Trust Class
|
$1,000.00
|
$1,004.00
|
$3.23
|
0.64%
|
$1,000.00
|
$1,021.98
|
$3.26
|
0.64%
|
Institutional Class
|
$1,000.00
|
$1,006.50
|
$1.72
|
0.34%
|
$1,000.00
|
$1,023.49
|
$1.73
|
0.34%
|
Class A
|
$1,000.00
|
$1,005.20
|
$3.59
|
0.71%
|
$1,000.00
|
$1,021.63
|
$3.62
|
0.71%
|
Class C
|
$1,000.00
|
$999.90
|
$7.36
|
1.46%
|
$1,000.00
|
$1,017.85
|
$7.43
|
1.46%
|
Strategic Income Fund
|
||||||||
Trust Class
|
$1,000.00
|
$966.90
|
$4.66
|
0.94%
|
$1,000.00
|
$1,020.47
|
$4.79
|
0.94%
|
Institutional Class
|
$1,000.00
|
$967.60
|
$2.93
|
0.59%
|
$1,000.00
|
$1,022.23
|
$3.01
|
0.59%
|
Class A
|
$1,000.00
|
$966.80
|
$4.81
|
0.97%
|
$1,000.00
|
$1,020.32
|
$4.94
|
0.97%
|
Class C
|
$1,000.00
|
$963.20
|
$8.36
|
1.69%
|
$1,000.00
|
$1,016.69
|
$8.59
|
1.69%
|
Class R6
|
$1,000.00
|
$968.00
|
$2.43
|
0.49%
|
$1,000.00
|
$1,022.74
|
$2.50
|
0.49%
|
(2)
|
Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by
the average account value over the
period (assuming a 5% annual return), multiplied by 184/365 (to reflect the one-half year
period shown).
|
Benchmarks:
|
|
BBR-FRA
|
= New Zealand Bank Bill Rate
|
BUBOR
|
= Budapest Interbank Offered Rate
|
CDOR
|
= Canadian Dollar Offered Rate
|
CETIP
|
= Overnight Brazil Interbank Deposit Rate
|
CLICP
|
= Sinacofi Chile Interbank Rate Average
|
CNRR007
|
= China Fixing Rate Repo Rates 7 Day
|
CORRA
|
= Canadian Overnight Repo Rate Average
|
CPTFEMU
|
= Eurostat Eurozone Harmonised Indices of Consumer Prices Ex Tobacco Unrevised
Series NSA
|
EURIBOR
|
= Euro Interbank Offered Rate
|
EUROSTR
|
= Euro Short Term Rate
|
FRCPXTOB
|
= France Consumer Price Index Ex Tobacco
|
IBRCOL
|
= Colombia Overnight Interbank Reference Rate
|
JIBAR
|
= Johannesburg Interbank Average Rate
|
LIBOR
|
= London Interbank Offered Rate
|
MIBOR
|
= Mumbai Interbank Offered Rate
|
PRIBOR
|
= Prague Interbank Offered Rate
|
SOFR
|
= Secured Overnight Financing Rate
|
SONIA
|
= Sterling Overnight Index Average
|
TIIE
|
= Mexican Interbank Equilibrium Interest Rate
|
WIBOR
|
= Poland Warsaw Interbank Offered Rate
|
Clearinghouses:
|
|
CME
|
= CME Group, Inc.
|
ICE CC
|
= ICE Clear Credit LLC
|
LCH
|
= LCH Clearnet Limited
|
Counterparties:
|
|
BCB
|
= Barclays Bank PLC
|
BNP
|
= BNP Paribas SA
|
CITI
|
= Citibank, N.A.
|
DB
|
= Deutsche Bank AG
|
GSI
|
= Goldman Sachs International
|
HSBC
|
= HSBC Bank plc
|
JPM
|
= JPMorgan Chase Bank N.A.
|
MS
|
= Morgan Stanley Capital Services LLC
|
SCB
|
= Standard Chartered Bank
|
SG
|
= Societe Generale
|
SSB
|
= State Street Bank and Trust Company
|
Index Periods/Payment Frequencies:
|
|
1D
|
= 1 Day
|
7D
|
= 7 Days
|
28D
|
= 28 Days
|
3M
|
= 3 Months
|
6M
|
= 6 Months
|
1Y
|
= 1 Year
|
T
|
= Termination
|
Non-Deliverable Forward Contracts:
|
|
BRL
|
= Brazilian Real
|
CLP
|
= Chilean Peso
|
COP
|
= Colombian Peso
|
EGP
|
= Egyptian Pound
|
IDR
|
= Indonesian Rupiah
|
KRW
|
= South Korean Won
|
KZT
|
= Kazakhstani Tenge
|
MYR
|
= Malaysian Ringgit
|
PEN
|
= Peruvian Nuevo Sol
|
PHP
|
= Philippine Peso
|
TWD
|
= Taiwan Dollar
|
Other Abbreviations:
|
|
CJSC
|
= Closed Joint Stock Company
|
JSC
|
= Joint Stock Company
|
Management or NBIA
|
= Neuberger Berman Investment Advisers LLC
|
PJSC
|
= Public Joint Stock Company
|
Currency Abbreviations:
|
|
BRL
|
= Brazilian Real
|
CAD
|
= Canadian Dollar
|
CLP
|
= Chilean Peso
|
CNH(a)
|
= Chinese Yuan Renminbi
|
CNY(a)
|
= Chinese Yuan Renminbi
|
COP
|
= Colombian Peso
|
CZK
|
= Czech Koruna
|
DKK
|
= Denmark Krone
|
DOP
|
= Dominican Peso
|
EGP
|
= Egyptian Pound
|
EUR
|
= Euro
|
GBP
|
= Pound Sterling
|
GHS
|
= Ghanaian Cedi
|
HUF
|
= Hungarian Forint
|
IDR
|
= Indonesian Rupiah
|
ILS
|
= Israel Shekel
|
INR
|
= Indian Rupee
|
KRW
|
= South Korean Won
|
KZT
|
= Kazakhstani Tenge
|
MXN
|
= Mexican Peso
|
MYR
|
= Malaysia Ringgit
|
NZD
|
= New Zealand Dollar
|
PEN
|
= Peruvian Nuevo Sol
|
PHP
|
= Philippine Peso
|
PLN
|
= Polish Zloty
|
RON
|
= Romanian New Leu
|
RSD
|
= Serbia Dinar
|
SGD
|
= Singapore Dollar
|
THB
|
= Thai Baht
|
TRY
|
= Turkish Lira
|
Principal Amount
|
Value
|
|||
U.S. Treasury Obligations 15.7%
|
|
|||
$
|
6,240,000
|
U.S. Treasury Bills, 5.25%, due 12/14/2023
|
$6,200,553
(a)
|
|
|
|
U.S. Treasury Bonds
|
|
|
|
3,170,000
|
3.50%, due 2/15/2039
|
2,620,822
|
|
|
8,290,000
|
3.75%, due 8/15/2041 - 11/15/2043
|
6,789,253
|
|
|
2,500,000
|
4.00%, due 11/15/2042
|
2,119,336
|
|
|
5,755,000
|
3.88%, due 2/15/2043
|
4,784,743
|
|
|
6,005,000
|
3.38%, due 5/15/2044 - 11/15/2048
|
4,495,822
|
|
|
5,925,000
|
3.13%, due 8/15/2044 - 5/15/2048
|
4,209,892
|
|
|
1,700,000
|
3.00%, due 2/15/2047 - 2/15/2049
|
1,181,102
|
|
|
|
U.S. Treasury Notes
|
|
|
|
3,960,000
|
2.75%, due 11/15/2023
|
3,955,983
|
|
|
9,150,000
|
4.38%, due 8/15/2026
|
9,019,184
|
|
|
18,090,000
|
4.13%, due 9/30/2027 - 10/31/2027
|
17,602,549
|
|
|
21,080,000
|
3.88%, due 11/30/2027 - 9/30/2029
|
20,039,929
|
|
|
6,535,000
|
0.75%, due 1/31/2028
|
5,511,864
|
|
|
4,735,000
|
3.13%, due 11/15/2028
|
4,366,003
|
|
|
3,600,000
|
3.50%, due 1/31/2030
|
3,325,359
|
|
Total U.S. Treasury Obligations (Cost $103,181,308)
|
96,222,394
|
|||
U.S. Government Agency Securities 0.7%
|
|
|||
|
|
Federal Home Loan Banks
|
|
|
|
1,160,000
|
5.50%, due 7/15/2036
|
1,184,592
|
|
|
1,585,000
|
4.00%, due 6/30/2028
|
1,515,875
|
|
|
1,985,000
|
Federal National Mortgage Association Principal Strips, 0.00%, due 7/15/2037
|
930,679
(b)
|
|
|
700,000
|
Tennessee Valley Authority, 5.25%, due 9/15/2039
|
659,259
|
|
Total U.S. Government Agency Securities (Cost $5,126,837)
|
4,290,405
|
|||
|
||||
Mortgage-Backed Securities 41.5%
|
||||
Collateralized Mortgage Obligations 6.0%
|
|
|||
|
|
Angel Oak Mortgage Trust
|
|
|
|
113,840
|
Series 2019-6, Class A1, 2.62%, due 11/25/2059
|
108,928
(c)(d)
|
|
|
861,654
|
Series 2021-3, Class A1, 1.07%, due 5/25/2066
|
699,161
(c)(d)
|
|
|
122,345
|
Series 2022-5, Class A1, 4.50%, due 5/25/2067
|
112,547
(c)(e)
|
|
|
366,638
|
Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due
1/25/2067
|
292,184
(c)(d)
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS
|
|
|
|
1,367,707
|
Series 4018, Class HS, (6.34% - 30 day USD SOFR Average), 1.02%, due
3/15/2042
|
128,731
(f)(g)
|
|
|
705,912
|
Series 4120, Class SV, (6.04% - 30 day USD SOFR Average), 0.72%, due
10/15/2042
|
57,911
(f)(g)
|
|
|
897,256
|
Series 4159, Class KS, (6.04% - 30 day USD SOFR Average), 0.72%, due
1/15/2043
|
77,402
(f)(g)
|
|
|
555,629
|
Series 4385, Class IA, 4.50%, due 9/15/2044
|
112,276
(g)
|
|
|
1,195,472
|
Series 4572, Class SA, (5.94% - 30 day USD SOFR Average), 0.62%, due
4/15/2046
|
93,895
(f)(g)
|
|
|
1,040,100
|
Series 4623, Class MS, (5.89% - 30 day USD SOFR Average), 0.57%, due
10/15/2046
|
76,932
(f)(g)
|
|
|
4,021,063
|
Series 5013, Class ID, 3.00%, due 9/25/2050
|
559,250
(g)
|
|
|
|
Federal Home Loan Mortgage Corp. STACR REMIC Trust
|
|
|
|
633,049
|
Series 2021-DNA7, Class M1, (30 day USD SOFR Average + 0.85%), 6.17%, due
11/25/2041
|
628,632
(c)(f)
|
|
|
1,100,000
|
Series 2021-DNA7, Class M2, (30 day USD SOFR Average + 1.80%), 7.12%, due
11/25/2041
|
1,080,428
(c)(f)
|
|
|
1,478,000
|
Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.72%, due
2/25/2042
|
1,480,766
(c)(f)
|
|
|
1,448,000
|
Series 2022-HQA1, Class M1B, (30 day USD SOFR Average + 3.50%), 8.82%, due
3/25/2042
|
1,488,693
(c)(f)
|
|
|
1,325,000
|
Series 2022-DNA3, Class M1B, (30 day USD SOFR Average + 2.90%), 8.22%, due
4/25/2042
|
1,349,843
(c)(f)
|
|
|
1,145,000
|
Series 2022-DNA4, Class M1B, (30 day USD SOFR Average + 3.35%), 8.67%, due
5/25/2042
|
1,182,064
(c)(f)
|
Principal Amount
|
Value
|
|||
|
||||
Collateralized Mortgage Obligations – cont'd
|
|
|||
|
|
Federal Home Loan Mortgage Corp. STACR Trust
|
|
|
$
|
486,247
|
Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.69%, due
7/25/2029
|
$501,958
(f)
|
|
|
630,085
|
Series 2017-HQA3, Class M2, (30 day USD SOFR Average + 2.46%), 7.79%, due
4/25/2030
|
640,853
(f)
|
|
|
549,153
|
Series 2018-HQA1, Class M2, (30 day USD SOFR Average + 2.41%), 7.74%, due
9/25/2030
|
558,113
(f)
|
|
|
625,220
|
Federal Home Loan Mortgage Corp. Strips, Series 312, Class S1, (5.84% - 30
day USD SOFR
Average), 0.52%, due 9/15/2043
|
47,185
(f)(g)
|
|
|
|
Federal National Mortgage Association Connecticut Avenue Securities
|
|
|
|
702,000
|
Series 2021-R01, Class 1M2, (30 day USD SOFR Average + 1.55%), 6.87%, due
10/25/2041
|
695,496
(c)(f)
|
|
|
1,575,000
|
Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.22%, due
12/25/2041
|
1,551,395
(c)(f)
|
|
|
710,000
|
Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.42%, due
3/25/2042
|
722,818
(c)(f)
|
|
|
1,540,000
|
Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.82%, due
3/25/2042
|
1,599,899
(c)(f)
|
|
|
751,229
|
Series 2022-R07, Class 1M1, (30 day USD SOFR Average + 2.95%), 8.27%, due
6/25/2042
|
768,328
(c)(f)
|
|
|
612,000
|
Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 9.97%, due
6/25/2042
|
651,752
(c)(f)
|
|
|
1,048,644
|
Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.72%, due
12/25/2042
|
1,060,747
(c)(f)
|
|
|
996,245
|
Series 2023-R02, Class 1M1, (30 day USD SOFR Average + 2.30%), 7.62%, due
1/25/2043
|
1,008,952
(c)(f)
|
|
|
1,732,770
|
Federal National Mortgage Association Interest Strip, Series 418, Class C24,
4.00%, due 8/25/2043
|
320,940
(g)
|
|
|
|
Federal National Mortgage Association REMICS
|
|
|
|
1,635,042
|
Series 2012-15, Class S, (5.84% - 30 day USD SOFR Average), 0.51%, due
3/25/2042
|
125,169
(f)(g)
|
|
|
1,404,274
|
Series 2012-70, Class HS, (5.89% - 30 day USD SOFR Average), 0.56%, due
7/25/2042
|
118,226
(f)(g)
|
|
|
781,329
|
Series 2017-100, Class S, (6.04% - 30 day USD SOFR Average), 0.71%, due
12/25/2042
|
64,061
(f)(g)
|
|
|
688,929
|
Series 2012-140, Class PI, 3.50%, due 12/25/2042
|
107,461
(g)
|
|
|
1,523,980
|
Series 2013-6, Class SB, (5.99% - 30 day USD SOFR Average), 0.66%, due
2/25/2043
|
132,745
(f)(g)
|
|
|
1,281,067
|
Series 2013-18, Class PS, (5.99% - 30 day USD SOFR Average), 0.66%, due
3/25/2043
|
97,246
(f)(g)
|
|
|
1,327,977
|
Series 2015-32, Class SA, (6.09% - 30 day USD SOFR Average), 0.76%, due
5/25/2045
|
114,831
(f)(g)
|
|
|
835,977
|
Series 2016-32, Class LI, 3.50%, due 6/25/2046
|
144,974
(g)
|
|
|
373,278
|
Series 2016-40, Class SA, (5.74% - 30 day USD SOFR Average), 0.41%, due
7/25/2046
|
26,504
(f)(g)
|
|
|
1,274,425
|
Series 2016-95, Class US, (5.89% - 30 day USD SOFR Average), 0.56%, due
12/25/2046
|
108,669
(f)(g)
|
|
|
1,701,535
|
Series 2018-7, Class CI, 4.00%, due 2/25/2048
|
320,775
(g)
|
|
|
943,796
|
Series 2020-52, Class GI, 4.50%, due 8/25/2050
|
197,505
(g)
|
|
|
|
GCAT Trust
|
|
|
|
288,129
|
Series 2019-NQM3, Class A1, 2.69%, due 11/25/2059
|
264,299
(c)(d)
|
|
|
1,202,877
|
Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066
|
904,902
(c)(d)
|
|
|
|
Government National Mortgage Association REMICS
|
|
|
|
1,555,642
|
Series 2013-5, Class BI, 3.50%, due 1/20/2043
|
257,520
(g)
|
|
|
1,790,844
|
Series 2013-23, Class IT, 3.50%, due 2/20/2043
|
260,993
(g)
|
|
|
697,059
|
Series 2018-124, Class DS, (5.99% - 1 mo. USD Term SOFR), 0.65%, due
12/16/2043
|
49,913
(f)(g)
|
|
|
775,023
|
Series 2016-77, Class TS, (6.04% - 1 mo. USD Term SOFR), 0.70%, due
12/20/2044
|
55,299
(f)(g)
|
|
|
1,731,022
|
Series 2019-22, Class SA, (5.49% - 1 mo. USD Term SOFR), 0.15%, due
2/20/2045
|
111,157
(f)(g)
|
|
|
1,168,077
|
Series 2018-7, Class SA, (6.09% - 1 mo. USD Term SOFR), 0.75%, due
1/20/2048
|
96,843
(f)(g)
|
|
|
2,022,297
|
Series 2020-107, Class AB, 1.00%, due 7/20/2050
|
1,445,613
|
|
|
1,689,689
|
Series 2020-112, Class KA, 1.00%, due 8/20/2050
|
1,217,329
|
|
|
3,555,266
|
Series 2020-173, Class MI, 2.50%, due 11/20/2050
|
460,538
(g)
|
|
|
3,456,733
|
Series 2021-26, Class AI, 2.00%, due 2/20/2051
|
409,501
(g)
|
|
|
1,448,547
|
Series 2021-103, Class HE, 2.00%, due 6/20/2051
|
1,141,342
|
|
|
2,951,205
|
Series 2021-116, Class IA, 2.50%, due 6/20/2051
|
397,802
(g)
|
|
|
1,552,340
|
JP Morgan Mortgage Trust, Series 2023-HE2, Class A1, (30 day USD SOFR
Average + 1.70%),
7.02%, due 3/25/2054
|
1,553,282
(c)(f)
|
|
|
146,992
|
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.71%, due
11/25/2059
|
129,705
(c)(d)
|
|
|
|
Starwood Mortgage Residential Trust
|
|
|
|
815,973
|
Series 2021-3, Class A1, 1.13%, due 6/25/2056
|
629,684
(c)(d)
|
|
|
1,349,781
|
Series 2021-6, Class A1, 1.92%, due 11/25/2066
|
1,040,719
(c)(d)
|
Principal Amount
|
Value
|
|||
|
||||
Collateralized Mortgage Obligations – cont'd
|
|
|||
|
|
Towd Point Mortgage Trust
|
|
|
$
|
185,064
|
Series 2017-5, Class A1, (1 mo. USD Term SOFR + 0.71%), 5.51%, due
2/25/2057
|
$185,791
(c)(f)
|
|
|
438,000
|
Series 2017-2, Class A2, 3.25%, due 4/25/2057
|
425,125
(c)(d)
|
|
|
2,620,047
|
Series 2022-4, Class A1, 3.75%, due 9/25/2062
|
2,321,592
(c)
|
|
|
|
Verus Securitization Trust
|
|
|
|
105,537
|
Series 2019-4, Class A1, 3.64%, due 11/25/2059
|
100,418
(c)(e)
|
|
|
1,002,902
|
Series 2021-3, Class A1, 1.05%, due 6/25/2066
|
799,047
(c)(d)
|
|
|
1,505,862
|
Series 2021-6, Class A1, 1.63%, due 10/25/2066
|
1,190,737
(c)(d)
|
|
|
|
|
36,665,396
|
|
Commercial Mortgage-Backed 5.0%
|
|
|||
|
|
BANK
|
|
|
|
1,273,000
|
Series 2022-BNK39, Class A4, 2.93%, due 2/15/2055
|
993,321
(d)
|
|
|
841,500
|
Series 2023-BNK45, Class B, 6.15%, due 2/15/2056
|
747,834
(d)
|
|
|
900,000
|
BBCMS Mortgage Trust, Series 2022-C18, Class A5, 5.71%, due 12/15/2055
|
861,116
(d)
|
|
|
1,834,000
|
BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036
|
1,652,278
(c)
|
|
|
|
Benchmark Mortgage Trust
|
|
|
|
381,000
|
Series 2020-B21, Class A5, 1.98%, due 12/17/2053
|
284,413
|
|
|
11,128,783
|
Series 2021-B26, Class XA, 0.88%, due 6/15/2054
|
487,136
(d)(g)
|
|
|
441,234
|
Series 2021-B31, Class A5, 2.67%, due 12/15/2054
|
337,964
|
|
|
601,000
|
Series 2021-B31, Class C, 3.20%, due 12/15/2054
|
362,615
(d)
|
|
|
1,600,000
|
BX Commercial Mortgage Trust, Series 2021-VOLT, Class D, (1 mo. USD Term
SOFR + 1.76%),
7.10%, due 9/15/2036
|
1,527,455
(c)(f)
|
|
|
1,927,000
|
BX Trust, Series 2019-OC11, Class A, 3.20%, due 12/9/2041
|
1,590,131
(c)
|
|
|
409,000
|
BXP Trust, Series 2017-GM, Class A, 3.38%, due 6/13/2039
|
365,178
(c)
|
|
|
1,416,000
|
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class B, (1 mo. USD Term
SOFR + 1.30%),
6.63%, due 12/15/2037
|
1,404,989
(c)(f)
|
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
330,000
|
Series 2013-GC17, Class B, 5.10%, due 11/10/2046
|
328,945
(d)
|
|
|
745,000
|
Series 2014-GC23, Class B, 4.18%, due 7/10/2047
|
698,645
(d)
|
|
|
3,920,408
|
Series 2014-GC25, Class XA, 0.94%, due 10/10/2047
|
18,357
(d)(g)
|
|
|
1,921,910
|
Series 2015-GC27, Class XA, 1.30%, due 2/10/2048
|
19,416
(d)(g)
|
|
|
882,180
|
Series 2022-GC48, Class A5, 4.58%, due 5/15/2054
|
783,773
(d)
|
|
|
|
COMM Mortgage Trust
|
|
|
|
1,060,000
|
Series 2012-CR4, Class AM, 3.25%, due 10/15/2045
|
894,901
|
|
|
4,777,148
|
Series 2014-CR16, Class XA, 0.93%, due 4/10/2047
|
7,372
(d)(g)
|
|
|
2,397,506
|
Series 2014-LC15, Class XA, 1.03%, due 4/10/2047
|
603
(d)(g)
|
|
|
900,000
|
Series 2014-LC15, Class AM, 4.20%, due 4/10/2047
|
884,853
|
|
|
4,536,939
|
Series 2014-CR17, Class XA, 0.92%, due 5/10/2047
|
5,591
(d)(g)
|
|
|
2,862,446
|
Series 2014-UBS3, Class XA, 1.05%, due 6/10/2047
|
3,993
(d)(g)
|
|
|
12,501,743
|
Series 2014-CR18, Class XA, 0.91%, due 7/15/2047
|
32,172
(d)(g)
|
|
|
3,338,084
|
Series 2014-UBS6, Class XA, 0.83%, due 12/10/2047
|
17,346
(d)(g)
|
|
|
485,000
|
Series 2014-CR21, Class AM, 3.99%, due 12/10/2047
|
458,674
|
|
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
19,633,532
|
Series 2016-C5, Class XA, 0.89%, due 11/15/2048
|
274,917
(d)(g)
|
|
|
841,000
|
Series 2015-C1, Class B, 4.04%, due 4/15/2050
|
740,899
(d)
|
|
|
1,280,000
|
Series 2017-CX9, Class A5, 3.45%, due 9/15/2050
|
1,134,365
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates
|
|
|
|
23,091,645
|
Series KW03, Class X1, 0.83%, due 6/25/2027
|
456,686
(d)(g)
|
|
|
63,186,000
|
Series K088, Class XAM, 0.42%, due 1/25/2029
|
1,295,319
(d)(g)
|
|
|
22,821,471
|
Series K090, Class X1, 0.71%, due 2/25/2029
|
727,329
(d)(g)
|
|
|
10,000,000
|
Series K098, Class XAM, 1.39%, due 8/25/2029
|
666,959
(d)(g)
|
Principal Amount
|
Value
|
|||
|
||||
Commercial Mortgage-Backed – cont'd
|
|
|||
|
|
FIVE Mortgage Trust
|
|
|
$
|
300,000
|
Series 2023-V1, Class A3, 5.67%, due 2/10/2056
|
$291,577
(d)
|
|
|
1,236,000
|
Series 2023-V1, Class B, 6.40%, due 2/10/2056
|
1,179,745
(d)
|
|
|
|
GS Mortgage Securities Trust
|
|
|
|
3,240,054
|
Series 2014-GC18, Class XA, 0.97%, due 1/10/2047
|
32
(d)(g)
|
|
|
950,000
|
Series 2019-GC42, Class A4, 3.00%, due 9/10/2052
|
794,855
|
|
|
1,200,000
|
Series 2019-GSA1, Class A4, 3.05%, due 11/10/2052
|
1,000,419
|
|
|
108,000
|
Series 2020-GC47, Class A5, 2.38%, due 5/12/2053
|
85,108
|
|
|
1,775,000
|
Hilton USA Trust, Series 2016-HHV, Class A, 3.72%, due 11/5/2038
|
1,636,686
(c)
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
743,000
|
Series 2016-NINE, Class A, 2.85%, due 9/6/2038
|
657,628
(c)(d)
|
|
|
736,000
|
Series 2022-OPO, Class B, 3.38%, due 1/5/2039
|
552,000
(c)
|
|
|
765,000
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class AS,
4.02%, due 12/15/2048
|
712,029
|
|
|
633,000
|
Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, due
9/10/2039
|
536,887
(c)
|
|
|
1,981,531
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class
XA, 0.87%, due
6/15/2047
|
2,783
(d)(g)
|
|
|
1,359,000
|
ORL Trust, Series 2023-GLKS, Class A, (1 mo. USD Term SOFR + 2.35%), 7.68%,
due 10/15/2028
|
1,355,602
(c)(f)
|
|
|
400,000
|
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo.
USD Term SOFR +
2.19%), 7.52%, due 5/15/2037
|
393,875
(c)(f)
|
|
|
670,000
|
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, 4.68%, due
12/15/2048
|
599,136
(d)
|
|
|
|
WF-RBS Commercial Mortgage Trust
|
|
|
|
4,987,299
|
Series 2014-C25, Class XA, 0.78%, due 11/15/2047
|
24,848
(d)(g)
|
|
|
10,845,499
|
Series 2014-C22, Class XA, 0.76%, due 9/15/2057
|
36,869
(d)(g)
|
|
|
560,000
|
Series 2014-C22, Class AS, 4.07%, due 9/15/2057
|
527,192
(d)
|
|
|
|
|
30,452,816
|
|
Federal Home Loan Mortgage Corp. 10.4%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
5,159,058
|
2.00%, due 12/1/2050 - 3/1/2052
|
3,815,656
|
|
|
16,209,527
|
2.50%, due 7/1/2050 - 5/1/2052
|
12,494,904
|
|
|
8,062,060
|
3.00%, due 8/1/2046 - 6/1/2052
|
6,551,976
|
|
|
6,121,409
|
3.50%, due 7/1/2042 - 11/1/2052
|
5,220,929
|
|
|
8,714,637
|
4.00%, due 3/1/2045 - 10/1/2052
|
7,590,111
|
|
|
3,385,405
|
4.50%, due 6/1/2039 - 11/1/2052
|
3,042,505
|
|
|
8,989,865
|
5.00%, due 3/1/2038 - 6/1/2053
|
8,298,664
|
|
|
12,785,783
|
5.50%, due 9/1/2052 - 7/1/2053
|
12,137,569
|
|
|
5,078,278
|
6.00%, due 12/1/2052 - 10/1/2053
|
4,957,641
|
|
|
|
|
64,109,955
|
|
Federal Home Loan Mortgage Corp. 0.1%
|
|
|||
|
741,003
|
Pass-Through Certificates, 2.50%, due 4/1/2052
|
570,951
|
|
Federal National Mortgage Association 15.7%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
13,169,465
|
2.00%, due 1/1/2051 - 3/1/2052
|
9,741,480
|
|
|
31,665,768
|
2.50%, due 8/1/2050 - 9/1/2052
|
24,406,067
|
|
|
15,564,815
|
3.00%, due 10/1/2041 - 8/1/2052
|
12,629,620
|
|
|
12,007,700
|
3.50%, due 12/1/2041 - 5/1/2053
|
10,229,036
|
|
|
8,145,076
|
4.00%, due 10/1/2045 - 10/1/2052
|
7,100,496
|
|
|
5,715,639
|
4.50%, due 4/1/2034 - 11/1/2052
|
5,146,540
|
|
|
12,053,241
|
5.00%, due 6/1/2033 - 5/1/2053
|
11,136,611
|
|
|
10,699,319
|
5.50%, due 11/1/2052 - 6/1/2053
|
10,155,455
|
Principal Amount
|
Value
|
|||
|
||||
Federal National Mortgage Association – cont'd
|
|
|||
$
|
5,586,640
|
6.00%, due 4/1/2053 - 8/1/2053
|
$5,448,517
|
|
|
|
|
95,993,822
|
|
Government National Mortgage Association 4.3%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
3,518,240
|
2.00%, due 2/20/2051 - 6/20/2052
|
2,718,312
|
|
|
6,690,973
|
2.50%, due 2/20/2051 - 10/20/2052
|
5,336,723
|
|
|
1,378,914
|
3.50%, due 1/20/2043 - 6/20/2052
|
1,190,533
|
|
|
5,130,984
|
4.50%, due 3/20/2052 - 10/20/2052
|
4,642,175
|
|
|
4,344,544
|
5.00%, due 9/20/2052 - 7/20/2053
|
4,047,763
|
|
|
4,341,574
|
5.50%, due 11/20/2052 - 7/20/2053
|
4,154,574
|
|
|
4,365,806
|
6.00%, due 12/20/2052 - 8/20/2053
|
4,279,424
|
|
|
|
|
26,369,504
|
|
Total Mortgage-Backed Securities (Cost $296,355,831)
|
254,162,444
|
|||
Asset-Backed Securities 10.0%
|
|
|||
|
800,000
|
522 Funding CLO Ltd., Series 2019-5A, Class AR, (3 mo. USD Term SOFR +
1.33%), 6.72%, due
4/15/2035
|
789,045
(c)(f)
|
|
|
1,140,000
|
AM Capital Funding LLC, Series 2018-1, Class A, 4.98%, due 12/15/2023
|
1,139,096
(c)
|
|
|
256,390
|
Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class A2, 5.30%,
due 6/21/2028
|
253,883
(c)
|
|
|
1,250,000
|
Amur Equipment Finance Receivables XII LLC, Series 2023-1A, Class A2, 6.09%,
due 12/20/2029
|
1,246,904
(c)
|
|
|
594,506
|
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046
|
521,468
(c)
|
|
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
466,667
|
Series 2018-2A, Class B, 4.27%, due 3/20/2025
|
464,370
(c)
|
|
|
579,000
|
Series 2019-3A, Class A, 2.36%, due 3/20/2026
|
552,361
(c)
|
|
|
1,186,000
|
Series 2021-2A, Class A, 1.66%, due 2/20/2028
|
1,031,527
(c)
|
|
|
723,000
|
Series 2021-2A, Class B, 1.90%, due 2/20/2028
|
622,751
(c)
|
|
|
1,438,400
|
Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due
10/22/2046
|
1,219,931
(c)
|
|
|
1,140,000
|
BMW Vehicle Owner Trust, Series 2023-A, Class A3, 5.47%, due 2/25/2028
|
1,135,557
|
|
|
2,374,187
|
BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032
|
2,356,866
(c)
|
|
|
1,242,000
|
Carmax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, due 5/15/2028
|
1,224,259
|
|
|
850,000
|
CCG Receivables Trust, Series 2023-1, Class A2, 5.82%, due 9/16/2030
|
847,185
(c)
|
|
|
10,210
|
Chase Funding Trust, Series 2004-1, Class 2A2, (1 mo. USD Term SOFR +
0.57%), 5.90%, due
12/25/2033
|
9,627
(f)
|
|
|
2,500,000
|
Clover CLO LLC, Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.43%),
6.85%, due 7/20/2034
|
2,472,735
(c)(f)
|
|
|
11,857
|
Corevest American Finance Trust, Series 2019-1, Class A, 3.32%, due
3/15/2052
|
11,798
(c)
|
|
|
634,000
|
Crown Castle Towers LLC, 4.24%, due 7/15/2028
|
577,188
(c)
|
|
|
895,000
|
Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.93%, due 4/23/2029
|
892,150
(c)
|
|
|
1,047,000
|
DLLAA LLC, Series 2023-1A, Class A3, 5.64%, due 2/22/2028
|
1,036,729
(c)
|
|
|
1,000,000
|
Eaton Vance CLO Ltd., Series 2013-1A, Class A13R, (3 mo. USD Term SOFR +
1.51%), 6.91%, due
1/15/2034
|
991,379
(c)(f)
|
|
|
1,900,000
|
Elmwood CLO III Ltd., Series 2019-3A, Class AR, (3 mo. USD Term SOFR +
1.42%), 6.84%, due
10/20/2034
|
1,885,944
(c)(f)
|
|
|
1,084,000
|
GM Financial Automobile Leasing Trust, Series 2023-3, Class A3, 5.38%, due
11/20/2026
|
1,074,216
|
|
|
1,000,000
|
Halseypoint CLO 5 Ltd., Series 2021-5A, Class A1A, (3 mo. USD Term SOFR +
1.47%), 6.86%, due
1/30/2035
|
988,943
(c)(f)
|
|
|
567,073
|
JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029
|
543,925
(c)
|
|
|
932,000
|
Kubota Credit Owner Trust, Series 2023-2A, Class A3, 5.28%, due 1/18/2028
|
918,856
(c)
|
|
|
1,000,000
|
Magnetite XXIII Ltd., Series 2019-23A, Class AR, (3 mo. USD Term SOFR +
1.39%), 6.77%, due
1/25/2035
|
989,506
(c)(f)
|
|
|
900,000
|
Magnetite XXIV Ltd., Series 2019-24A, Class AR, (3 mo. USD Term SOFR +
1.31%), 6.70%, due
4/15/2035
|
886,871
(c)(f)
|
Principal Amount
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
1,233,000
|
MMAF Equipment Finance LLC, Series 2023-A, Class A3, 5.54%, due 12/13/2029
|
$1,220,847
(c)
|
|
|
|
MVW LLC
|
|
|
|
828,939
|
Series 2021-2A, Class A, 1.43%, due 5/20/2039
|
747,542
(c)
|
|
|
675,570
|
Series 2021-2A, Class B, 1.83%, due 5/20/2039
|
606,932
(c)
|
|
|
|
Navient Private Education Refi Loan Trust
|
|
|
|
234,693
|
Series 2021-BA, Class A, 0.94%, due 7/15/2069
|
199,285
(c)
|
|
|
1,088,307
|
Series 2021-CA, Class A, 1.06%, due 10/15/2069
|
921,098
(c)
|
|
|
2,362,749
|
Series 2021-EA, Class A, 0.97%, due 12/16/2069
|
1,972,956
(c)
|
|
|
923,788
|
Series 2021-GA, Class A, 1.58%, due 4/15/2070
|
776,278
(c)
|
|
|
1,000,000
|
Oaktree CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.44%),
6.84%, due
1/15/2035
|
987,738
(c)(f)
|
|
|
1,616,000
|
OneMain Financial Issuance Trust, Series 2023-2A, Class A1, 5.84%, due
9/15/2036
|
1,584,352
(c)
|
|
|
|
PFS Financing Corp.
|
|
|
|
1,593,000
|
Series 2021-B, Class A, 0.77%, due 8/15/2026
|
1,525,851
(c)
|
|
|
1,808,000
|
Series 2022-C, Class A, 3.89%, due 5/15/2027
|
1,746,817
(c)
|
|
|
1,000,000
|
PPM CLO 3 Ltd., Series 2019-3A, Class AR, (3 mo. USD Term SOFR + 1.35%),
6.75%, due
4/17/2034
|
983,818
(c)(f)
|
|
|
104,958
|
Residential Asset Securities Corporation Trust, Series 2005-KS12, Class M2,
(1 mo. USD Term SOFR
+ 0.57%), 6.13%, due 1/25/2036
|
104,229
(f)
|
|
|
6,584
|
Saxon Asset Securities Trust, Series 2004-1, Class A, (1 mo. USD Term SOFR +
0.65%), 1.92%, due
3/25/2035
|
5,812
(f)
|
|
|
|
SBA Tower Trust
|
|
|
|
719,000
|
1.88%, due 1/15/2026
|
651,753
(c)
|
|
|
201,000
|
2.33%, due 1/15/2028
|
169,202
(c)
|
|
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
313,235
|
Series 2019-2A, Class A, 2.59%, due 5/20/2036
|
304,616
(c)
|
|
|
405,383
|
Series 2020-2A, Class A, 1.33%, due 7/20/2037
|
380,501
(c)
|
|
|
367,954
|
Series 2020-2A, Class C, 3.51%, due 7/20/2037
|
349,455
(c)
|
|
|
279,752
|
Series 2021-2A, Class A, 1.35%, due 9/20/2038
|
261,071
(c)
|
|
|
1,467,780
|
Series 2022-1A, Class B, 3.55%, due 10/20/2038
|
1,394,446
(c)
|
|
|
1,297,192
|
Series 2023-2A, Class A, 5.80%, due 4/20/2040
|
1,288,863
(c)
|
|
|
1,050,000
|
Series 2023-3A, Class A, 6.10%, due 9/20/2040
|
1,045,253
(c)
|
|
|
323,514
|
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due
5/15/2031
|
322,811
(c)
|
|
|
635,930
|
SoFi Professional Loan Program LLC, Series 2018-A, Class A2B, 2.95%, due
2/25/2042
|
615,336
(c)
|
|
|
|
Taco Bell Funding LLC
|
|
|
|
1,116,563
|
Series 2016-1A, Class A23, 4.97%, due 5/25/2046
|
1,072,254
(c)
|
|
|
643,538
|
Series 2021-1A, Class A2I, 1.95%, due 8/25/2051
|
554,617
(c)
|
|
|
2,000,000
|
TCI-Flatiron CLO Ltd., Series 2018-1A, Class ANR, (3 mo. USD Term SOFR +
1.32%), 6.71%, due
1/29/2032
|
1,988,091
(c)(f)
|
|
|
500,000
|
Thayer Park CLO Ltd., Series 2017-1A, Class A1R, (3 mo. USD Term SOFR +
1.30%), 6.72%, due
4/20/2034
|
495,401
(c)(f)
|
|
|
1,762,000
|
Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3, 5.16%, due
4/17/2028
|
1,739,882
|
|
|
700,000
|
TRESTLES CLO Ltd., Series 2017-1A, Class A1R, (3 mo. USD Term SOFR + 1.25%),
6.63%, due
4/25/2032
|
692,148
(c)(f)
|
|
|
1,000,000
|
TRESTLES CLO V Ltd., Series 2021-5A, Class A1, (3 mo. USD Term SOFR +
1.43%), 6.85%, due
10/20/2034
|
993,246
(c)(f)
|
|
|
1,327,000
|
USAA Auto Owner Trust, Series 2023-A, Class A3, 5.58%, due 5/15/2028
|
1,321,588
(c)
|
|
|
1,113,583
|
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.19%, due
7/15/2044
|
1,084,518
(c)
|
|
|
3,050,000
|
Voya CLO Ltd., Series 2019-2A, Class A, (3 mo. USD Term SOFR + 1.53%),
6.95%, due 7/20/2032
|
3,034,605
(c)(f)
|
|
|
1,000,000
|
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR +
1.48%), 6.88%, due
10/15/2034
|
986,268
(c)(f)
|
|
Total Asset-Backed Securities (Cost $62,673,769)
|
60,814,550
|
Principal Amount
|
Value
|
|||
|
||||
Corporate Bonds 28.7%
|
||||
Aerospace & Defense 0.9%
|
|
|||
|
|
Boeing Co.
|
|
|
$
|
2,490,000
|
5.04%, due 5/1/2027
|
$2,411,057
(e)
|
|
|
560,000
|
5.71%, due 5/1/2040
|
495,359
(e)
|
|
|
2,679,000
|
5.81%, due 5/1/2050
|
2,306,353
(e)
|
|
|
|
|
5,212,769
|
|
Agriculture 0.7%
|
|
|||
|
|
Philip Morris International, Inc.
|
|
|
|
2,750,000
|
5.13%, due 2/15/2030
|
2,590,668
|
|
|
1,975,000
|
5.75%, due 11/17/2032
|
1,886,913
|
|
|
|
|
4,477,581
|
|
Airlines 0.4%
|
|
|||
|
2,202,978
|
United Airlines Pass-Through Trust, 5.88%, due 10/15/2027
|
2,168,921
|
|
Banks 7.8%
|
|
|||
|
|
Banco Santander SA
|
|
|
|
2,600,000
|
1.85%, due 3/25/2026
|
2,322,823
|
|
|
2,800,000
|
6.92%, due 8/8/2033
|
2,600,582
|
|
|
|
Bank of America Corp.
|
|
|
|
4,165,000
|
1.92%, due 10/24/2031
|
3,071,409
(h)
|
|
|
1,545,000
|
2.30%, due 7/21/2032
|
1,139,846
(h)
|
|
|
1,975,000
|
Barclays PLC, 7.12%, due 6/27/2034
|
1,834,154
(h)
|
|
|
|
Citigroup, Inc.
|
|
|
|
2,520,000
|
1.12%, due 1/28/2027
|
2,241,057
(h)
|
|
|
1,345,000
|
3.89%, due 1/10/2028
|
1,246,921
(h)
|
|
|
2,295,000
|
Fifth Third Bancorp, 4.34%, due 4/25/2033
|
1,869,508
(h)
|
|
|
1,345,000
|
HSBC Holdings PLC, 6.00%, due 5/22/2027
|
1,171,448
(h)(i)
|
|
|
2,910,000
|
Intesa Sanpaolo SpA, 8.25%, due 11/21/2033
|
2,838,999
(c)(h)
|
|
|
1,690,000
|
JPMorgan Chase & Co., 6.25%, due 10/23/2034
|
1,667,220
(h)
|
|
|
2,060,000
|
Kreditanstalt fuer Wiederaufbau, 4.75%, due 10/29/2030
|
2,022,088
|
|
|
2,450,000
|
Lloyds Banking Group PLC, 4.98%, due 8/11/2033
|
2,126,747
(h)
|
|
|
|
Morgan Stanley
|
|
|
|
2,245,000
|
0.79%, due 1/22/2025
|
2,211,310
(h)
|
|
|
1,605,000
|
2.72%, due 7/22/2025
|
1,561,640
(h)
|
|
|
1,670,000
|
3.63%, due 1/20/2027
|
1,552,104
|
|
|
2,355,000
|
(3 mo. USD LIBOR + 1.34%), 3.59%, due 7/22/2028
|
2,135,778
(f)
|
|
|
2,530,000
|
5.25%, due 4/21/2034
|
2,279,554
(h)
|
|
|
1,890,000
|
5.42%, due 7/21/2034
|
1,724,969
(h)
|
|
|
1,530,000
|
5.95%, due 1/19/2038
|
1,387,363
(h)
|
|
|
1,765,000
|
PNC Financial Services Group, Inc., 6.88%, due 10/20/2034
|
1,763,935
(h)
|
|
|
2,810,000
|
Societe Generale SA, 1.49%, due 12/14/2026
|
2,503,848
(c)(h)
|
|
|
1,715,000
|
UBS AG, 5.65%, due 9/11/2028
|
1,678,332
|
|
|
2,720,000
|
UBS Group AG, 6.54%, due 8/12/2033
|
2,613,787
(c)(h)
|
|
|
|
|
47,565,422
|
|
Beverages 1.4%
|
|
|||
|
1,545,000
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, due
2/1/2036
|
1,359,661
|
|
|
2,225,000
|
Anheuser-Busch InBev Worldwide, Inc., 5.45%, due 1/23/2039
|
2,052,684
|
|
|
3,030,000
|
Constellation Brands, Inc., 4.90%, due 5/1/2033
|
2,735,745
|
Principal Amount
|
Value
|
|||
|
||||
Beverages – cont'd
|
|
|||
$
|
3,130,000
|
Molson Coors Beverage Co., 4.20%, due 7/15/2046
|
$2,219,575
|
|
|
|
|
8,367,665
|
|
Biotechnology 1.0%
|
|
|||
|
4,535,000
|
Amgen, Inc., 5.75%, due 3/2/2063
|
3,927,852
|
|
|
2,570,000
|
Gilead Sciences, Inc., 5.55%, due 10/15/2053
|
2,321,517
|
|
|
|
|
6,249,369
|
|
Building Materials 0.2%
|
|
|||
|
1,070,000
|
Mohawk Industries, Inc., 5.85%, due 9/18/2028
|
1,051,294
|
|
Computers 0.1%
|
|
|||
|
378,000
|
Dell International LLC/EMC Corp., 6.02%, due 6/15/2026
|
378,484
|
|
Diversified Financial Services 0.6%
|
|
|||
|
1,145,000
|
American Express Co., 6.49%, due 10/30/2031
|
1,146,720
(h)
|
|
|
830,000
|
Capital One Financial Corp., 7.62%, due 10/30/2031
|
829,598
(h)(j)
|
|
|
1,945,000
|
Charles Schwab Corp., 6.14%, due 8/24/2034
|
1,821,691
(h)
|
|
|
|
|
3,798,009
|
|
Electric 2.4%
|
|
|||
|
1,910,000
|
Duke Energy Corp., 5.00%, due 8/15/2052
|
1,482,883
|
|
|
|
Exelon Corp.
|
|
|
|
3,065,000
|
5.30%, due 3/15/2033
|
2,843,413
|
|
|
495,000
|
4.70%, due 4/15/2050
|
373,226
|
|
|
875,000
|
Interstate Power & Light Co., 2.30%, due 6/1/2030
|
687,969
|
|
|
1,305,000
|
MidAmerican Energy Co., 5.85%, due 9/15/2054
|
1,222,004
|
|
|
|
NextEra Energy Capital Holdings, Inc.
|
|
|
|
1,100,000
|
4.90%, due 2/28/2028
|
1,051,218
|
|
|
1,230,000
|
5.25%, due 2/28/2053
|
998,394
|
|
|
1,485,000
|
Sempra, 5.50%, due 8/1/2033
|
1,381,024
|
|
|
4,830,000
|
Southern Co., 5.20%, due 6/15/2033
|
4,439,626
|
|
|
|
|
14,479,757
|
|
Entertainment 0.8%
|
|
|||
|
7,060,000
|
Warnermedia Holdings, Inc., 5.14%, due 3/15/2052
|
4,995,774
|
|
Food 0.6%
|
|
|||
|
1,550,000
|
J M Smucker Co., 6.20%, due 11/15/2033
|
1,506,630
|
|
|
2,060,000
|
Pilgrim's Pride Corp., 6.88%, due 5/15/2034
|
1,949,168
|
|
|
|
|
3,455,798
|
|
Gas 0.2%
|
|
|||
|
|
Southern Co. Gas Capital Corp.
|
|
|
|
1,395,000
|
1.75%, due 1/15/2031
|
1,029,725
|
|
|
355,000
|
3.15%, due 9/30/2051
|
199,803
|
|
|
|
|
1,229,528
|
|
Insurance 0.1%
|
|
|||
|
680,000
|
Travelers Cos., Inc., 5.45%, due 5/25/2053
|
610,913
|
|
Internet 0.4%
|
|
|||
|
2,880,000
|
Meta Platforms, Inc., 4.95%, due 5/15/2033
|
2,699,805
|
Principal Amount
|
Value
|
|||
|
||||
Machinery - Diversified 0.2%
|
|
|||
|
|
Ingersoll Rand, Inc.
|
|
|
$
|
560,000
|
5.40%, due 8/14/2028
|
$545,659
|
|
|
590,000
|
5.70%, due 8/14/2033
|
557,474
|
|
|
|
|
1,103,133
|
|
Media 0.9%
|
|
|||
|
2,505,000
|
Comcast Corp., 5.35%, due 5/15/2053
|
2,155,144
|
|
|
1,960,000
|
Cox Communications, Inc., 5.70%, due 6/15/2033
|
1,843,059
(c)
|
|
|
1,840,000
|
Paramount Global, 4.20%, due 5/19/2032
|
1,420,646
|
|
|
|
|
5,418,849
|
|
Multi-National 1.8%
|
|
|||
|
2,340,000
|
Asian Development Bank, 4.50%, due 8/25/2028
|
2,290,991
|
|
|
1,955,000
|
Corp. Andina de Fomento, 6.00%, due 4/26/2027
|
1,961,075
|
|
|
1,460,000
|
European Investment Bank, 4.50%, due 10/16/2028
|
1,432,162
|
|
|
|
Inter-American Development Bank
|
|
|
|
1,195,000
|
4.50%, due 5/15/2026
|
1,178,866
|
|
|
2,065,000
|
4.50%, due 9/13/2033
|
1,965,102
|
|
|
2,535,000
|
International Bank for Reconstruction & Development, 4.63%, due 8/1/2028
|
2,496,116
|
|
|
|
|
11,324,312
|
|
Office - Business Equipment 0.3%
|
|
|||
|
|
CDW LLC/CDW Finance Corp.
|
|
|
|
588,000
|
2.67%, due 12/1/2026
|
525,960
|
|
|
1,750,000
|
4.25%, due 4/1/2028
|
1,590,785
|
|
|
|
|
2,116,745
|
|
Oil & Gas 1.6%
|
|
|||
|
1,295,000
|
BP Capital Markets America, Inc., 4.81%, due 2/13/2033
|
1,183,230
|
|
|
930,000
|
ConocoPhillips Co., 5.55%, due 3/15/2054
|
831,301
|
|
|
1,320,000
|
Exxon Mobil Corp., 3.10%, due 8/16/2049
|
820,195
|
|
|
1,705,000
|
Marathon Petroleum Corp., 4.70%, due 5/1/2025
|
1,669,471
|
|
|
|
Occidental Petroleum Corp.
|
|
|
|
1,028,000
|
6.13%, due 1/1/2031
|
1,005,343
|
|
|
890,000
|
6.45%, due 9/15/2036
|
864,439
|
|
|
470,000
|
4.30%, due 8/15/2039
|
334,781
|
|
|
3,265,000
|
Phillips 66, 1.30%, due 2/15/2026
|
2,948,794
|
|
|
|
|
9,657,554
|
|
Pharmaceuticals 1.2%
|
|
|||
|
567,000
|
AbbVie, Inc., 4.05%, due 11/21/2039
|
443,013
|
|
|
1,295,000
|
Bristol-Myers Squibb Co., 6.40%, due 11/15/2063
|
1,282,994
(j)
|
|
|
|
CVS Health Corp.
|
|
|
|
2,265,000
|
5.30%, due 6/1/2033
|
2,091,816
|
|
|
1,445,000
|
4.78%, due 3/25/2038
|
1,195,152
|
|
|
885,000
|
Merck & Co., Inc., 3.90%, due 3/7/2039
|
702,722
|
|
|
890,000
|
Pfizer Investment Enterprises Pte. Ltd., 5.34%, due 5/19/2063
|
762,425
|
|
|
1,529,000
|
Takeda Pharmaceutical Co. Ltd., 3.03%, due 7/9/2040
|
1,005,773
|
|
|
|
|
7,483,895
|
|
Real Estate Investment Trusts 0.2%
|
|
|||
|
1,449,000
|
American Tower Trust 1, 5.49%, due 3/15/2028
|
1,422,791
(c)
|
Principal Amount
|
Value
|
|||
|
||||
Retail 0.4%
|
|
|||
$
|
3,060,000
|
McDonald's Corp., 5.45%, due 8/14/2053
|
$2,697,417
|
|
Semiconductors 1.3%
|
|
|||
|
3,080,000
|
Analog Devices, Inc., 2.10%, due 10/1/2031
|
2,374,818
|
|
|
|
Intel Corp.
|
|
|
|
1,560,000
|
5.70%, due 2/10/2053
|
1,396,095
|
|
|
1,215,000
|
5.90%, due 2/10/2063
|
1,098,500
|
|
|
1,070,000
|
Marvell Technology, Inc., 5.95%, due 9/15/2033
|
1,016,293
|
|
|
2,050,000
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 1/15/2033
|
1,827,752
|
|
|
|
|
7,713,458
|
|
Software 1.1%
|
|
|||
|
|
Intuit, Inc.
|
|
|
|
2,130,000
|
5.13%, due 9/15/2028
|
2,096,185
|
|
|
845,000
|
5.20%, due 9/15/2033
|
803,821
|
|
|
1,005,000
|
5.50%, due 9/15/2053
|
914,251
|
|
|
2,990,000
|
Oracle Corp., 6.90%, due 11/9/2052
|
2,946,357
|
|
|
|
|
6,760,614
|
|
Telecommunications 2.1%
|
|
|||
|
3,375,000
|
AT&T, Inc., 3.50%, due 9/15/2053
|
1,987,367
|
|
|
3,710,000
|
Sprint Capital Corp., 8.75%, due 3/15/2032
|
4,176,146
|
|
|
|
T-Mobile USA, Inc.
|
|
|
|
2,045,000
|
3.38%, due 4/15/2029
|
1,780,494
|
|
|
1,825,000
|
2.55%, due 2/15/2031
|
1,421,943
|
|
|
1,570,000
|
6.00%, due 6/15/2054
|
1,425,505
|
|
|
1,280,000
|
Verizon Communications, Inc., 5.05%, due 5/9/2033
|
1,171,555
|
|
|
1,625,000
|
Vodafone Group PLC, 4.38%, due 2/19/2043
|
1,201,779
|
|
|
|
|
13,164,789
|
|
Total Corporate Bonds (Cost $187,513,896)
|
175,604,646
|
|||
Foreign Government Securities 1.1%
|
|
|||
|
1,280,000
|
Japan Bank for International Cooperation, 4.88%, due 10/18/2028
|
1,263,559
|
|
|
2,000,000
|
Mexico Government International Bonds, 2.66%, due 5/24/2031
|
1,557,880
|
|
|
1,345,000
|
Province of Manitoba, 4.30%, due 7/27/2033
|
1,231,116
|
|
|
2,940,000
|
Province of Quebec, 4.50%, due 9/8/2033
|
2,736,701
|
|
|
||||
Total Foreign Government Securities (Cost $7,563,283)
|
6,789,256
|
|||
Number of Shares
|
|
|||
|
||||
Short-Term Investments 0.6%
|
||||
Investment Companies 0.6%
|
|
|||
|
3,869,872
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(k) (Cost $3,869,872)
|
3,869,872
|
|
Total Investments 98.3% (Cost $666,284,796)
|
601,753,567
|
|||
Other Assets Less Liabilities 1.7%
|
10,538,406
(l)
|
|||
Net Assets 100.0%
|
$612,291,973
|
(b)
|
Principal only security. This security entitles the holder to receive principal payments from
an underlying pool
of assets or on the security itself.
|
(c)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $104,444,095, which represents 17.1% of net assets of the Fund.
|
(d)
|
Variable or floating rate security where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate adjusts periodically based on changes in current
interest rates and
prepayments on the underlying pool of assets. The interest rate shown was the current rate as
of
|
(e)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific
date or may reset in
the future contingent upon a predetermined trigger. The interest rate shown was the current
rate as of
|
(f)
|
|
(g)
|
Interest only security. These securities represent the right to receive the monthly interest
payments on an
underlying pool of mortgages. Payments of principal on the pool reduce the value of the
"interest only"
holding.
|
(h)
|
Security issued at a fixed coupon rate, which converts to a variable rate at a future date.
Rate shown is the
rate in effect as of period end.
|
(i)
|
Perpetual security. Perpetual securities have no stated maturity date, but they may be
called/redeemed by
the issuer. The date shown reflects the next call date.
|
(j)
|
When-issued security. Total value of all such securities at October 31, 2023 amounted to
$2,112,592, which
represents 0.3% of net assets of the Fund.
|
(k)
|
Represents 7-day effective yield as of October 31, 2023.
|
(l)
|
Includes the impact of the Fund’s open positions in derivatives at October 31, 2023.
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
24
|
U.S. Treasury Long Bond
|
$2,626,500
|
$(217,721)
|
12/2023
|
416
|
U.S. Treasury Note, 2 Year
|
84,207,500
|
(453,957)
|
12/2023
|
142
|
U.S. Treasury Note, 5 Year
|
14,835,672
|
(51,736)
|
12/2023
|
40
|
U.S. Treasury Ultra Bond
|
4,502,500
|
(1,602)
|
Total Long Positions
|
$106,172,172
|
$(725,016)
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
12
|
U.S. Treasury Note, 10 Year
|
$(1,274,062)
|
$26,032
|
12/2023
|
55
|
U.S. Treasury Note, Ultra 10 Year
|
(5,985,547)
|
120,327
|
Total Short Positions
|
$(7,259,609)
|
$146,359
|
||
Total Futures
|
|
$(578,657)
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Investments:
|
|
|
|
|
U.S. Treasury Obligations
|
$—
|
$96,222,394
|
$—
|
$96,222,394
|
U.S. Government Agency Securities
|
—
|
4,290,405
|
—
|
4,290,405
|
Mortgage-Backed Securities#
|
—
|
254,162,444
|
—
|
254,162,444
|
Asset-Backed Securities
|
—
|
60,814,550
|
—
|
60,814,550
|
Corporate Bonds#
|
—
|
175,604,646
|
—
|
175,604,646
|
Foreign Government Securities
|
—
|
6,789,256
|
—
|
6,789,256
|
Short-Term Investments
|
—
|
3,869,872
|
—
|
3,869,872
|
Total Investments
|
$—
|
$601,753,567
|
$—
|
$601,753,567
|
Other Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Futures@
|
|
|
|
|
Assets
|
$146,359
|
$—
|
$—
|
$146,359
|
Liabilities
|
(725,016
)
|
—
|
—
|
(725,016
)
|
Total
|
$(578,657
)
|
$—
|
$—
|
$(578,657
)
|
Principal Amount(a)
|
Value
|
||||
Corporate Bonds 26.6%
|
|||||
Argentina 0.3%
|
|
|
|||
$
|
150,000
|
Transportadora de Gas del Sur SA, 6.75%, due 5/2/2025
|
$138,241
(b)
|
||
|
|
YPF SA
|
|
||
|
100,000
|
8.50%, due 7/28/2025
|
92,128
(b)
|
||
|
150,000
|
6.95%, due 7/21/2027
|
113,366
(b)
|
||
|
225,000
|
7.00%, due 12/15/2047
|
143,532
(b)
|
||
|
|
|
487,267
|
||
Azerbaijan 0.5%
|
|
|
|||
|
|
Southern Gas Corridor CJSC
|
|
||
|
500,000
|
6.88%, due 3/24/2026
|
492,550
(b)
|
||
|
200,000
|
6.88%, due 3/24/2026
|
197,020
(b)
|
||
|
|
|
689,570
|
||
Bahrain 0.2%
|
|
|
|||
|
200,000
|
Oil & Gas Holding Co. BSCC, 8.38%, due 11/7/2028
|
207,184
(b)
|
||
Brazil 1.8%
|
|
|
|||
|
200,000
|
Banco do Brasil SA, 6.25%, due 4/18/2030
|
191,826
(b)
|
||
|
200,000
|
Braskem Netherlands Finance BV, 7.25%, due 2/13/2033
|
172,715
(c)
|
||
|
200,000
|
BRF SA, 4.88%, due 1/24/2030
|
162,577
(b)
|
||
|
260,000
|
FS Luxembourg SARL, 10.00%, due 12/15/2025
|
265,463
(c)
|
||
|
176,852
|
Guara Norte SARL, 5.20%, due 6/15/2034
|
150,008
(b)
|
||
|
200,000
|
Itau Unibanco Holding SA, 3.88%, due 4/15/2031
|
185,047
(b)(d)
|
||
|
201,000
|
Klabin Austria GmbH, 3.20%, due 1/12/2031
|
153,962
(c)
|
||
|
200,000
|
MARB BondCo PLC, 3.95%, due 1/29/2031
|
146,817
(b)
|
||
|
241,563
|
MC Brazil Downstream Trading SARL, 7.25%, due 6/30/2031
|
171,872
(b)
|
||
|
200,000
|
Minerva Luxembourg SA, 4.38%, due 3/18/2031
|
155,205
(b)
|
||
|
263,105
|
MV24 Capital BV, 6.75%, due 6/1/2034
|
228,624
(c)
|
||
|
190,000
|
Petrobras Global Finance BV, 5.50%, due 6/10/2051
|
142,057
|
||
|
164,000
|
Rede D'or Finance SARL, 4.50%, due 1/22/2030
|
133,746
(b)
|
||
|
165,000
|
Vale Overseas Ltd., 6.88%, due 11/21/2036
|
162,906
|
||
|
200,000
|
XP, Inc., 3.25%, due 7/1/2026
|
181,174
(b)
|
||
|
|
|
2,603,999
|
||
Chile 1.0%
|
|
|
|||
|
150,000
|
Agrosuper SA, 4.60%, due 1/20/2032
|
119,568
(c)
|
||
|
200,000
|
Antofagasta PLC, 5.63%, due 5/13/2032
|
185,225
(b)
|
||
|
200,000
|
Banco de Chile, 2.99%, due 12/9/2031
|
157,656
(b)
|
||
|
200,000
|
Banco de Credito e Inversiones SA, 2.88%, due 10/14/2031
|
154,938
(b)
|
||
|
250,000
|
Banco Santander Chile, 3.18%, due 10/26/2031
|
200,758
(b)
|
||
|
200,000
|
Cencosud SA, 4.38%, due 7/17/2027
|
183,261
(b)
|
||
|
200,000
|
Corp. Nacional del Cobre de Chile, 3.70%, due 1/30/2050
|
117,448
(c)
|
||
|
200,000
|
Empresa Nacional del Petroleo, 3.45%, due 9/16/2031
|
155,151
(c)
|
||
|
200,000
|
Inversiones CMPC SA, 6.13%, due 6/23/2033
|
188,300
(c)
|
||
|
200,000
|
VTR Finance NV, 6.38%, due 7/15/2028
|
34,000
(c)
|
||
|
|
|
1,496,305
|
||
China 1.6%
|
|
|
|||
|
200,000
|
Alibaba Group Holding Ltd., 4.00%, due 12/6/2037
|
149,729
|
||
|
200,000
|
BOC Aviation Ltd., 4.50%, due 5/23/2028
|
188,571
(b)
|
||
|
200,000
|
CDBL Funding 2, 2.00%, due 3/4/2026
|
183,711
(b)
|
||
|
200,000
|
China Hongqiao Group Ltd., 6.25%, due 6/8/2024
|
194,879
(b)
|
Principal Amount(a)
|
Value
|
||||
China – cont'd
|
|
|
|||
$
|
200,000
|
China Overseas Finance Cayman VI Ltd., 5.95%, due 5/8/2024
|
$199,222
(b)
|
||
|
200,000
|
Country Garden Holdings Co. Ltd., 4.80%, due 8/6/2030
|
7,434
(b)
|
||
|
200,000
|
ENN Clean Energy International Investment Ltd., 3.38%, due 5/12/2026
|
183,320
(b)
|
||
|
200,000
|
ENN Energy Holdings Ltd., 2.63%, due 9/17/2030
|
158,289
(b)
|
||
|
200,000
|
Franshion Brilliant Ltd., 4.25%, due 7/23/2029
|
110,106
(b)
|
||
|
200,000
|
Huarong Finance II Co. Ltd., 5.50%, due 1/16/2025
|
192,000
(b)
|
||
|
200,000
|
Lenovo Group Ltd., 3.42%, due 11/2/2030
|
161,459
(b)
|
||
|
201,000
|
Powerchina Roadbridge Group British Virgin Islands Ltd., 3.08%, due 4/1/2026
|
186,508
(b)(d)(e)
|
||
|
200,000
|
Prosus NV, 3.83%, due 2/8/2051
|
102,182
(b)
|
||
|
232,000
|
SF Holding Investment 2021 Ltd., 3.13%, due 11/17/2031
|
185,792
(b)
|
||
|
200,000
|
Tencent Holdings Ltd., 3.68%, due 4/22/2041
|
133,285
(b)
|
||
|
|
|
2,336,487
|
||
Colombia 1.5%
|
|
|
|||
|
200,000
|
Banco Davivienda SA, 6.65%, due 4/22/2031
|
120,000
(b)(d)(e)
|
||
|
200,000
|
Bancolombia SA, 4.63%, due 12/18/2029
|
175,012
(d)
|
||
|
200,000
|
Canacol Energy Ltd., 5.75%, due 11/24/2028
|
144,200
(c)
|
||
|
|
Ecopetrol SA
|
|
||
|
250,000
|
8.88%, due 1/13/2033
|
240,100
|
||
|
200,000
|
5.88%, due 5/28/2045
|
130,422
|
||
|
|
Empresas Publicas de Medellin ESP
|
|
||
COP
|
807,000,000
|
7.63%, due 9/10/2024
|
185,712
(c)
|
||
COP
|
1,600,000,000
|
8.38%, due 11/8/2027
|
314,908
(c)
|
||
COP
|
437,000,000
|
Financiera de Desarrollo Territorial SA Findeter, 7.88%, due 8/12/2024
|
101,202
(c)
|
||
$
|
200,000
|
Grupo Aval Ltd., 4.38%, due 2/4/2030
|
147,555
(b)
|
||
|
200,000
|
Grupo de Inversiones Suramericana SA, 5.50%, due 4/29/2026
|
187,367
(b)
|
||
|
270,000
|
Millicom International Cellular SA, 6.25%, due 3/25/2029
|
234,673
(b)
|
||
|
221,000
|
SierraCol Energy Andina LLC, 6.00%, due 6/15/2028
|
171,079
(c)
|
||
|
|
|
2,152,230
|
||
Ghana 0.2%
|
|
|
|||
|
200,000
|
Kosmos Energy Ltd., 7.13%, due 4/4/2026
|
183,760
(c)
|
||
|
189,000
|
Tullow Oil PLC, 10.25%, due 5/15/2026
|
162,351
(c)
|
||
|
|
|
346,111
|
||
Guatemala 0.4%
|
|
|
|||
|
200,000
|
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL,
5.25%, due
4/27/2029
|
176,000
(c)
|
||
|
200,000
|
CT Trust, 5.13%, due 2/3/2032
|
154,097
(c)
|
||
|
200,000
|
Investment Energy Resources Ltd., 6.25%, due 4/26/2029
|
176,110
(c)
|
||
|
|
|
506,207
|
||
Hong Kong 0.9%
|
|
|
|||
|
|
AIA Group Ltd.
|
|
||
|
200,000
|
3.60%, due 4/9/2029
|
180,009
(b)
|
||
|
200,000
|
3.20%, due 9/16/2040
|
129,152
(b)
|
||
|
600,000
|
Melco Resorts Finance Ltd., 5.75%, due 7/21/2028
|
506,776
(b)
|
||
|
200,000
|
NWD MTN Ltd., 4.13%, due 7/18/2029
|
131,181
(b)
|
||
|
200,000
|
Prudential Funding Asia PLC, 2.95%, due 11/3/2033
|
163,362
(b)(d)
|
||
|
200,000
|
Sun Hung Kai Properties Capital Market Ltd., 2.88%, due 1/21/2030
|
165,283
(b)
|
||
|
|
|
1,275,763
|
Principal Amount(a)
|
Value
|
||||
India 1.6%
|
|
|
|||
$
|
200,000
|
Adani Electricity Mumbai Ltd., 3.95%, due 2/12/2030
|
$142,022
(c)
|
||
|
200,000
|
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar
Energy, 6.25%,
due 12/10/2024
|
191,604
(b)
|
||
|
200,000
|
Axis Bank Ltd./Gandhinagar, 4.10%, due 9/8/2026
|
171,786
(b)(d)(e)
|
||
|
370,000
|
Greenko Dutch BV, 3.85%, due 3/29/2026
|
329,300
(c)
|
||
|
278,000
|
HDFC Bank Ltd., 3.70%, due 8/25/2026
|
239,229
(b)(d)(e)
|
||
|
200,000
|
JSW Steel Ltd., 5.05%, due 4/5/2032
|
154,240
(b)
|
||
|
200,000
|
Periama Holdings LLC, 5.95%, due 4/19/2026
|
187,641
(b)
|
||
|
200,000
|
Power Finance Corp. Ltd., 3.95%, due 4/23/2030
|
171,576
(b)
|
||
|
313,000
|
Reliance Industries Ltd., 2.88%, due 1/12/2032
|
243,857
(c)
|
||
|
200,000
|
ReNew Wind Energy AP2/ReNew Power Pvt Ltd. other 9 Subsidiaries, 4.50%, due
7/14/2028
|
163,692
(b)
|
||
|
|
Vedanta Resources Finance II PLC
|
|
||
|
200,000
|
8.95%, due 3/11/2025
|
145,484
(b)
|
||
|
200,000
|
8.95%, due 3/11/2025
|
145,484
(b)
|
||
|
|
|
2,285,915
|
||
Indonesia 1.1%
|
|
|
|||
|
|
Bank Negara Indonesia Persero Tbk. PT
|
|
||
|
200,000
|
3.75%, due 3/30/2026
|
183,990
(b)
|
||
|
200,000
|
4.30%, due 3/24/2027
|
162,082
(b)(d)(e)
|
||
|
200,000
|
Indofood CBP Sukses Makmur Tbk. PT, 3.54%, due 4/27/2032
|
154,608
(b)
|
||
|
400,000
|
Medco Oak Tree Pte. Ltd., 7.38%, due 5/14/2026
|
397,652
(b)
|
||
|
|
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
|
|
||
EUR
|
200,000
|
1.88%, due 11/5/2031
|
162,165
(b)
|
||
EUR
|
200,000
|
1.88%, due 11/5/2031
|
162,164
(c)
|
||
$
|
200,000
|
5.25%, due 5/15/2047
|
152,515
(b)
|
||
|
200,000
|
6.15%, due 5/21/2048
|
169,500
(c)
|
||
|
|
|
1,544,676
|
||
Israel 0.5%
|
|
|
|||
|
250,000
|
Bank Leumi Le-Israel BM, 3.28%, due 1/29/2031
|
213,442
(b)(d)
|
||
|
150,000
|
Energian Israel Finance Ltd., 4.88%, due 3/30/2026
|
132,000
(b)
|
||
|
|
Teva Pharmaceutical Finance Netherlands III BV
|
|
||
|
350,000
|
3.15%, due 10/1/2026
|
308,149
|
||
|
200,000
|
4.10%, due 10/1/2046
|
119,642
|
||
|
|
|
773,233
|
||
Kazakhstan 0.6%
|
|
|
|||
|
|
KazMunayGas National Co. JSC
|
|
||
|
200,000
|
4.75%, due 4/19/2027
|
186,608
(b)
|
||
|
250,000
|
5.38%, due 4/24/2030
|
222,782
(b)
|
||
|
360,000
|
5.75%, due 4/19/2047
|
266,767
(b)
|
||
|
200,000
|
Tengizchevroil Finance Co. International Ltd., 3.25%, due 8/15/2030
|
148,696
(c)
|
||
|
|
|
824,853
|
||
Korea 0.8%
|
|
|
|||
|
200,000
|
Hanwha Life Insurance Co. Ltd., 3.38%, due 2/4/2032
|
177,261
(b)(d)
|
||
|
200,000
|
Kookmin Bank, 2.50%, due 11/4/2030
|
155,096
(b)
|
||
|
200,000
|
Kyobo Life Insurance Co. Ltd., 5.90%, due 6/15/2052
|
191,600
(b)(d)
|
||
|
200,000
|
Shinhan Bank Co. Ltd., 4.38%, due 4/13/2032
|
170,796
(c)
|
Principal Amount(a)
|
Value
|
||||
Korea – cont'd
|
|
|
|||
|
|
SK Hynix, Inc.
|
|
||
$
|
200,000
|
6.38%, due 1/17/2028
|
$197,779
(c)
|
||
|
200,000
|
6.50%, due 1/17/2033
|
190,363
(c)
|
||
|
|
|
1,082,895
|
||
Kuwait 0.4%
|
|
|
|||
|
200,000
|
MEGlobal BV, 2.63%, due 4/28/2028
|
170,590
(b)
|
||
|
200,000
|
MEGlobal Canada ULC, 5.88%, due 5/18/2030
|
194,750
(b)
|
||
|
200,000
|
NBK Tier 1 Financing 2 Ltd., 4.50%, due 8/27/2025
|
183,400
(c)(d)(e)
|
||
|
|
|
548,740
|
||
Luxembourg 0.1%
|
|
|
|||
|
200,000
|
Altice Financing SA, 5.75%, due 8/15/2029
|
154,662
(b)
|
||
Macau 0.8%
|
|
|
|||
|
650,000
|
Sands China Ltd., 5.65%, due 8/8/2028
|
601,289
|
||
|
300,000
|
Studio City Finance Ltd., 6.50%, due 1/15/2028
|
244,890
(b)
|
||
|
400,000
|
Wynn Macau Ltd., 5.63%, due 8/26/2028
|
335,581
(b)
|
||
|
|
|
1,181,760
|
||
Malaysia 0.1%
|
|
|
|||
|
200,000
|
TNB Global Ventures Capital Bhd., 4.85%, due 11/1/2028
|
191,979
(b)
|
||
Mexico 2.3%
|
|
|
|||
|
200,000
|
Alfa SAB de CV, 6.88%, due 3/25/2044
|
180,460
(b)
|
||
|
200,000
|
Alsea SAB de CV, 7.75%, due 12/14/2026
|
198,574
(b)
|
||
|
200,000
|
America Movil SAB de CV, 3.63%, due 4/22/2029
|
178,122
|
||
|
|
Banco Mercantil del Norte SA
|
|
||
|
200,000
|
7.63%, due 1/10/2028
|
181,250
(b)(d)(e)
|
||
|
200,000
|
6.63%, due 1/24/2032
|
150,295
(c)(d)(e)
|
||
|
|
Cemex SAB de CV
|
|
||
|
200,000
|
5.13%, due 6/8/2026
|
185,033
(b)(d)(e)
|
||
|
222,000
|
9.13%, due 3/14/2028
|
227,580
(c)(d)(e)
|
||
|
200,000
|
Cibanco SA Ibm/PLA Administradora Industrial S de Real de CV, 4.96%, due
7/18/2029
|
177,530
(c)
|
||
|
|
Comision Federal de Electricidad
|
|
||
MXN
|
6,480,000
|
7.35%, due 11/25/2025
|
325,751
|
||
$
|
400,000
|
4.69%, due 5/15/2029
|
354,428
(c)
|
||
|
200,000
|
3.35%, due 2/9/2031
|
151,511
(c)
|
||
|
200,000
|
Orbia Advance Corp. SAB de CV, 5.88%, due 9/17/2044
|
155,778
(b)
|
||
|
|
Petroleos Mexicanos
|
|
||
|
904,000
|
7.69%, due 1/23/2050
|
558,291
|
||
|
69,000
|
6.95%, due 1/28/2060
|
39,081
|
||
|
200,000
|
Trust Fibra Uno, 4.87%, due 1/15/2030
|
167,682
(b)
|
||
|
|
|
3,231,366
|
||
Nigeria 0.3%
|
|
|
|||
|
400,000
|
IHS Netherlands Holdco BV, 8.00%, due 9/18/2027
|
326,000
(b)
|
||
|
200,000
|
SEPLAT Energy PLC, 7.75%, due 4/1/2026
|
167,400
(c)
|
||
|
|
|
493,400
|
||
Oman 0.3%
|
|
|
|||
|
200,000
|
Bank Muscat SAOG, 4.75%, due 3/17/2026
|
190,919
(b)
|
||
|
242,000
|
Oztel Holdings SPC Ltd., 6.63%, due 4/24/2028
|
240,881
(c)
|
||
|
|
|
431,800
|
Principal Amount(a)
|
Value
|
||||
Panama 0.1%
|
|
|
|||
$
|
200,000
|
Empresa de Transmision Electrica SA, 5.13%, due 5/2/2049
|
$143,000
(b)
|
||
Paraguay 0.1%
|
|
|
|||
|
200,000
|
Telefonica Celular del Paraguay SA, 5.88%, due 4/15/2027
|
180,500
(c)
|
||
Peru 0.6%
|
|
|
|||
|
125,000
|
Banco de Credito del Peru SA, 3.13%, due 7/1/2030
|
114,443
(b)(d)
|
||
PEN
|
843,000
|
Fondo MIVIVIENDA SA, 7.00%, due 2/14/2024
|
217,223
(c)
|
||
$
|
200,000
|
Minsur SA, 4.50%, due 10/28/2031
|
162,462
(b)
|
||
|
|
Petroleos del Peru SA
|
|
||
|
247,000
|
5.63%, due 6/19/2047
|
135,154
(c)
|
||
|
200,000
|
5.63%, due 6/19/2047
|
109,436
(b)
|
||
|
162,000
|
Southern Copper Corp., 6.75%, due 4/16/2040
|
160,665
|
||
|
|
|
899,383
|
||
Philippines 0.2%
|
|
|
|||
|
240,000
|
Globe Telecom, Inc., 4.20%, due 8/2/2026
|
221,503
(b)(d)(e)
|
||
Qatar 0.8%
|
|
|
|||
|
|
CBQ Finance Ltd.
|
|
||
|
200,000
|
2.00%, due 9/15/2025
|
183,372
(b)
|
||
|
200,000
|
2.00%, due 5/12/2026
|
179,478
(b)
|
||
|
200,000
|
Commercial Bank PSQC, 4.50%, due 3/3/2026
|
179,512
(b)(d)(e)
|
||
|
200,000
|
Ooredoo International Finance Ltd., 2.63%, due 4/8/2031
|
162,450
(c)
|
||
|
|
QatarEnergy
|
|
||
|
200,000
|
3.13%, due 7/12/2041
|
131,340
(c)
|
||
|
200,000
|
3.30%, due 7/12/2051
|
121,910
(c)
|
||
|
250,000
|
QNB Finance Ltd., 2.63%, due 5/12/2025
|
235,750
(b)
|
||
|
|
|
1,193,812
|
||
Russia 0.0%(f)
|
|
|
|||
|
300,000
|
Vnesheconombank Via VEB Finance PLC, 6.80%, due 11/22/2025
|
19,854
(b)
|
||
Saudi Arabia 0.8%
|
|
|
|||
|
200,000
|
BSF Finance, 5.50%, due 11/23/2027
|
197,060
(b)
|
||
|
200,000
|
EIG Pearl Holdings SARL, 4.39%, due 11/30/2046
|
136,336
(b)
|
||
|
|
Saudi Arabian Oil Co.
|
|
||
|
400,000
|
4.25%, due 4/16/2039
|
312,964
(b)
|
||
|
200,000
|
4.38%, due 4/16/2049
|
146,229
(b)
|
||
|
300,000
|
SNB Funding Ltd., 2.75%, due 10/2/2024
|
289,014
(b)
|
||
|
|
|
1,081,603
|
||
Singapore 0.5%
|
|
|
|||
|
400,000
|
BOC Aviation Ltd., 3.00%, due 9/11/2029
|
340,984
(b)
|
||
|
200,000
|
DBS Group Holdings Ltd., 4.52%, due 12/11/2028
|
199,634
(c)(d)
|
||
|
240,000
|
United Overseas Bank Ltd., 2.00%, due 10/14/2031
|
212,850
(c)(d)
|
||
|
|
|
753,468
|
||
South Africa 0.7%
|
|
|
|||
|
200,000
|
Anglo American Capital PLC, 3.88%, due 3/16/2029
|
177,247
(b)
|
||
|
200,000
|
AngloGold Ashanti Holdings PLC, 3.38%, due 11/1/2028
|
165,627
|
||
|
200,000
|
Bidvest Group U.K. PLC, 3.63%, due 9/23/2026
|
177,527
(b)
|
Principal Amount(a)
|
Value
|
||||
South Africa – cont'd
|
|
|
|||
|
|
Sasol Financing USA LLC
|
|
||
$
|
200,000
|
6.50%, due 9/27/2028
|
$177,001
|
||
|
260,000
|
8.75%, due 5/3/2029
|
247,000
(c)
|
||
|
|
|
944,402
|
||
Supranational 0.5%
|
|
|
|||
|
200,000
|
Africa Finance Corp., 2.88%, due 4/28/2028
|
164,000
(b)
|
||
MXN
|
4,800,000
|
Asian Infrastructure Investment Bank, 0.00%, due 2/8/2038
|
59,504
(b)
|
||
|
|
Banque Ouest Africaine de Developpement
|
|
||
$
|
205,000
|
5.00%, due 7/27/2027
|
181,924
(c)
|
||
|
200,000
|
4.70%, due 10/22/2031
|
157,162
(c)
|
||
COP
|
990,000,000
|
International Finance Corp., 0.00%, due 8/16/2028
|
141,936
|
||
|
|
|
704,526
|
||
Taiwan 0.1%
|
|
|
|||
$
|
209,000
|
TSMC Arizona Corp., 4.25%, due 4/22/2032
|
190,818
|
||
Thailand 0.7%
|
|
|
|||
|
|
Bangkok Bank PCL
|
|
||
|
200,000
|
5.00%, due 9/23/2025
|
186,739
(b)(d)(e)
|
||
|
200,000
|
4.30%, due 6/15/2027
|
189,419
(c)
|
||
|
200,000
|
3.73%, due 9/25/2034
|
162,447
(b)(d)
|
||
|
200,000
|
GC Treasury Center Co. Ltd., 4.40%, due 3/30/2032
|
166,944
(c)
|
||
|
200,000
|
Kasikornbank PCL, 3.34%, due 10/2/2031
|
176,067
(b)(d)
|
||
|
300,000
|
Thaioil Treasury Center Co. Ltd., 3.75%, due 6/18/2050
|
171,613
(b)
|
||
|
|
|
1,053,229
|
||
Turkey 1.5%
|
|
|
|||
|
200,000
|
Akbank TAS, 5.13%, due 3/31/2025
|
192,304
(c)
|
||
|
200,000
|
KOC Holding AS, 6.50%, due 3/11/2025
|
196,916
(b)
|
||
|
|
Turk Telekomunikasyon AS
|
|
||
|
200,000
|
4.88%, due 6/19/2024
|
194,960
(b)
|
||
|
200,000
|
6.88%, due 2/28/2025
|
194,498
(b)
|
||
|
200,000
|
Turkcell Iletisim Hizmetleri AS, 5.80%, due 4/11/2028
|
181,494
(b)
|
||
|
200,000
|
Turkiye Petrol Rafinerileri AS, 4.50%, due 10/18/2024
|
193,374
(b)
|
||
|
280,000
|
Turkiye Vakiflar Bankasi TAO, 9.00%, due 10/12/2028
|
278,600
(c)
|
||
|
240,000
|
WE Soda Investments Holding PLC, 9.50%, due 10/6/2028
|
239,328
(c)
|
||
|
|
Yapi ve Kredi Bankasi AS
|
|
||
|
200,000
|
8.25%, due 10/15/2024
|
200,942
(b)
|
||
|
200,000
|
9.25%, due 10/16/2028
|
200,936
(c)
|
||
|
|
|
2,073,352
|
||
Ukraine 0.1%
|
|
|
|||
EUR
|
260,000
|
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.13%, due 7/19/2026
|
130,340
(b)
|
||
United Arab Emirates 1.4%
|
|
|
|||
$
|
200,000
|
Abu Dhabi Commercial Bank PJSC, 4.50%, due 9/14/2027
|
189,615
(b)
|
||
|
400,000
|
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/2/2047
|
326,904
(b)
|
||
|
200,000
|
Abu Dhabi National Energy Co. PJSC, 2.00%, due 4/29/2028
|
171,230
(c)
|
||
|
200,000
|
DIB Sukuk Ltd., 2.95%, due 1/16/2026
|
186,900
(b)
|
||
|
400,000
|
DP World Ltd., 6.85%, due 7/2/2037
|
395,522
(b)
|
||
|
200,000
|
Emirates NBD Bank PJSC, 6.13%, due 3/20/2025
|
195,000
(b)(d)(e)
|
Principal Amount(a)
|
Value
|
||||
United Arab Emirates – cont'd
|
|
|
|||
|
|
Galaxy Pipeline Assets Bidco Ltd.
|
|
||
$
|
200,000
|
2.63%, due 3/31/2036
|
$150,671
(c)
|
||
|
186,624
|
2.94%, due 9/30/2040
|
137,706
(c)
|
||
|
300,000
|
Shelf Drilling Holdings Ltd., 9.63%, due 4/15/2029
|
285,232
(c)
|
||
|
|
|
2,038,780
|
||
United Kingdom 0.4%
|
|
|
|||
|
|
CK Hutchison International 23 Ltd.
|
|
||
|
200,000
|
4.75%, due 4/21/2028
|
191,980
(c)
|
||
|
200,000
|
4.88%, due 4/21/2033
|
182,304
(c)
|
||
|
200,000
|
Standard Chartered PLC, 6.30%, due 7/6/2034
|
186,094
(c)(d)
|
||
|
|
|
560,378
|
||
United States 0.3%
|
|
|
|||
|
200,000
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.75%, due 4/1/2033
|
176,644
|
||
|
200,000
|
Sagicor Financial Co. Ltd., 5.30%, due 5/13/2028
|
186,180
(b)
|
||
|
|
|
362,824
|
||
Venezuela 0.4%
|
|
|
|||
|
|
Petroleos de Venezuela SA
|
|
||
|
1,347,609
|
6.00%, due 5/16/2024
|
171,146
(b)(g)
|
||
|
1,631,452
|
6.00%, due 11/15/2026
|
203,116
(b)(g)
|
||
|
650,000
|
5.38%, due 4/12/2027
|
86,450
(b)(g)
|
||
|
784,800
|
5.38%, due 4/12/2027
|
104,378
(b)(g)
|
||
|
|
|
565,090
|
||
Zambia 0.1%
|
|
|
|||
|
200,000
|
First Quantum Minerals Ltd., 6.88%, due 10/15/2027
|
170,345
(c)
|
||
|
|||||
Total Corporate Bonds (Cost $45,345,373)
|
38,133,609
|
||||
Foreign Government Securities 61.3%
|
|||||
Angola 0.7%
|
|
|
|||
|
|
Angolan Government International Bonds
|
|
||
|
200,000
|
8.00%, due 11/26/2029
|
159,288
(b)
|
||
|
400,000
|
8.75%, due 4/14/2032
|
310,885
(b)
|
||
|
458,000
|
9.38%, due 5/8/2048
|
325,711
(b)
|
||
|
200,000
|
9.13%, due 11/26/2049
|
139,973
(b)
|
||
|
|
|
935,857
|
||
Argentina 0.7%
|
|
|
|||
|
|
Argentine Republic Government International Bonds
|
|
||
|
810,000
|
0.75%, due 7/9/2030
|
223,852
(h)
|
||
|
2,511,000
|
3.63%, due 7/9/2035
|
616,097
(h)
|
||
|
|
Provincia de Buenos Aires/Government Bonds
|
|
||
EUR
|
139,590
|
4.50%, due 9/1/2037
|
41,457
(c)(h)
|
||
$
|
180,000
|
6.38%, due 9/1/2037
|
57,150
(b)(h)
|
||
|
|
|
938,556
|
||
Armenia 0.1%
|
|
|
|||
|
200,000
|
Armenia International Bonds, 3.60%, due 2/2/2031
|
147,000
(b)
|
Principal Amount(a)
|
Value
|
||||
Azerbaijan 0.7%
|
|
|
|||
|
|
Azerbaijan International Bonds
|
|
||
$
|
400,000
|
5.13%, due 9/1/2029
|
$365,832
(b)
|
||
|
200,000
|
3.50%, due 9/1/2032
|
156,100
(b)
|
||
|
|
State Oil Co. of the Azerbaijan Republic
|
|
||
|
310,000
|
6.95%, due 3/18/2030
|
301,493
(b)
|
||
|
200,000
|
6.95%, due 3/18/2030
|
194,512
(b)
|
||
|
|
|
1,017,937
|
||
Bahamas 0.1%
|
|
|
|||
|
200,000
|
Bahamas Government International Bonds, 6.00%, due 11/21/2028
|
164,002
(b)
|
||
Benin 0.1%
|
|
|
|||
EUR
|
200,000
|
Benin Government International Bonds, 4.95%, due 1/22/2035
|
143,106
(b)
|
||
Bermuda 0.3%
|
|
|
|||
|
|
Bermuda Government International Bonds
|
|
||
$
|
200,000
|
3.72%, due 1/25/2027
|
185,919
(b)
|
||
|
290,000
|
4.75%, due 2/15/2029
|
271,875
(b)
|
||
|
|
|
457,794
|
||
Brazil 2.7%
|
|
|
|||
|
|
Brazil Government International Bonds
|
|
||
|
420,000
|
6.00%, due 10/20/2033
|
388,571
|
||
|
470,000
|
5.00%, due 1/27/2045
|
336,549
|
||
BRL
|
2,194,000
|
Brazil Letras do Tesouro Nacional, 9.59%, due 7/1/2025
|
365,310
(i)
|
||
$
|
200,000
|
Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/2028
|
193,500
(b)
|
||
|
|
Brazil Notas do Tesouro Nacional
|
|
||
BRL
|
6,000,000
|
10.00%, due 1/1/2027
|
1,150,779
|
||
BRL
|
5,000,000
|
10.00%, due 1/1/2029
|
933,434
|
||
BRL
|
2,000,000
|
10.00%, due 1/1/2031
|
364,705
|
||
BRL
|
824,000
|
10.00%, due 1/1/2033
|
147,576
|
||
|
|
|
3,880,424
|
||
Cameroon, Republic of 0.1%
|
|
|
|||
EUR
|
181,000
|
Cameroon International Bonds, 5.95%, due 7/7/2032
|
122,865
(b)
|
||
Chile 1.0%
|
|
|
|||
CLP
|
345,686,665
|
Bonos de la Tesoreria de la Republica, 1.90%, due 9/1/2030
|
345,169
(j)
|
||
|
|
Bonos de la Tesoreria de la Republica en pesos
|
|
||
CLP
|
145,000,000
|
4.70%, due 9/1/2030
|
144,826
(b)
|
||
CLP
|
140,000,000
|
6.00%, due 4/1/2033
|
150,647
(b)
|
||
CLP
|
110,000,000
|
2.80%, due 10/1/2033
|
89,991
(b)
|
||
CLP
|
155,000,000
|
7.00%, due 5/1/2034
|
184,998
(b)
|
||
CLP
|
120,000,000
|
5.00%, due 3/1/2035
|
120,000
|
||
CLP
|
30,000,000
|
5.10%, due 7/15/2050
|
27,766
|
||
|
|
Chile Government International Bonds
|
|
||
EUR
|
273,841
|
4.13%, due 7/5/2034
|
272,754
|
||
$
|
200,000
|
3.25%, due 9/21/2071
|
106,438
|
||
|
|
|
1,442,589
|
Principal Amount(a)
|
Value
|
||||
China 3.6%
|
|
|
|||
|
|
China Government Bonds
|
|
||
CNY
|
9,200,000
|
1.99%, due 4/9/2025
|
$1,250,750
|
||
CNY
|
1,200,000
|
3.12%, due 12/5/2026
|
167,832
|
||
CNY
|
1,000,000
|
2.85%, due 6/4/2027
|
138,351
|
||
CNY
|
1,000,000
|
2.64%, due 1/15/2028
|
137,468
|
||
CNY
|
500,000
|
3.01%, due 5/13/2028
|
69,827
|
||
CNY
|
2,000,000
|
2.40%, due 7/15/2028
|
271,726
|
||
CNY
|
2,300,000
|
2.80%, due 3/24/2029
|
317,367
|
||
CNY
|
900,000
|
2.75%, due 6/15/2029
|
123,803
|
||
CNY
|
1,100,000
|
2.62%, due 9/25/2029
|
150,050
|
||
CNY
|
1,500,000
|
3.13%, due 11/21/2029
|
211,549
|
||
CNY
|
1,700,000
|
2.79%, due 12/15/2029
|
233,974
|
||
CNY
|
200,000
|
2.79%, due 12/15/2029
|
27,526
|
||
CNY
|
2,150,000
|
2.80%, due 3/25/2030
|
296,120
|
||
CNY
|
2,800,000
|
2.62%, due 6/25/2030
|
380,916
|
||
CNY
|
200,000
|
3.02%, due 5/27/2031
|
28,075
|
||
CNY
|
900,000
|
2.89%, due 11/18/2031
|
124,930
|
||
CNY
|
400,000
|
2.75%, due 2/17/2032
|
54,861
|
||
CNY
|
900,000
|
2.60%, due 9/1/2032
|
121,836
|
||
CNY
|
900,000
|
2.80%, due 11/15/2032
|
124,071
|
||
CNY
|
2,800,000
|
2.67%, due 5/25/2033
|
381,697
|
||
CNY
|
250,000
|
3.39%, due 3/16/2050
|
35,924
|
||
CNY
|
1,700,000
|
3.81%, due 9/14/2050
|
262,284
|
||
CNY
|
1,130,000
|
3.12%, due 10/25/2052
|
155,787
|
||
CNY
|
900,000
|
3.19%, due 4/15/2053
|
127,287
|
||
|
|
|
5,194,011
|
||
Colombia 3.7%
|
|
|
|||
|
|
Colombia Government International Bonds
|
|
||
$
|
270,000
|
3.00%, due 1/30/2030
|
207,601
|
||
|
650,000
|
7.50%, due 2/2/2034
|
607,872
|
||
|
360,000
|
6.13%, due 1/18/2041
|
274,668
|
||
|
310,000
|
5.63%, due 2/26/2044
|
216,639
|
||
|
470,000
|
5.20%, due 5/15/2049
|
300,551
|
||
|
|
Colombian TES
|
|
||
COP
|
1,149,000,000
|
5.75%, due 11/3/2027
|
233,604
|
||
COP
|
6,777,600,000
|
6.00%, due 4/28/2028
|
1,363,346
|
||
COP
|
1,830,400,000
|
7.75%, due 9/18/2030
|
372,589
|
||
COP
|
518,200,000
|
7.00%, due 3/26/2031
|
99,258
|
||
COP
|
4,580,400,000
|
7.00%, due 6/30/2032
|
841,119
|
||
COP
|
1,130,700,000
|
13.25%, due 2/9/2033
|
296,698
|
||
COP
|
1,818,400,000
|
7.25%, due 10/18/2034
|
321,944
|
||
COP
|
1,139,100,000
|
9.25%, due 5/28/2042
|
220,872
|
||
|
|
|
5,356,761
|
||
Costa Rica 0.1%
|
|
|
|||
$
|
200,000
|
Costa Rica Government International Bonds, 6.55%, due 4/3/2034
|
190,500
(b)
|
Principal Amount(a)
|
Value
|
||||
Cote D'Ivoire 1.0%
|
|
|
|||
|
|
Ivory Coast Government International Bonds
|
|
||
EUR
|
730,000
|
5.25%, due 3/22/2030
|
$636,845
(b)
|
||
EUR
|
200,000
|
5.88%, due 10/17/2031
|
171,577
(b)
|
||
EUR
|
260,000
|
4.88%, due 1/30/2032
|
207,088
(b)
|
||
EUR
|
407,000
|
6.88%, due 10/17/2040
|
310,789
(b)
|
||
EUR
|
140,000
|
6.63%, due 3/22/2048
|
99,060
(b)
|
||
|
|
|
1,425,359
|
||
Czech Republic 2.7%
|
|
|
|||
|
|
Czech Republic Government Bonds
|
|
||
CZK
|
6,100,000
|
6.00%, due 2/26/2026
|
271,328
|
||
CZK
|
13,950,000
|
2.50%, due 8/25/2028
|
548,790
(b)
|
||
CZK
|
14,590,000
|
2.75%, due 7/23/2029
|
572,327
|
||
CZK
|
3,750,000
|
0.05%, due 11/29/2029
|
123,603
|
||
CZK
|
20,940,000
|
0.95%, due 5/15/2030
|
719,098
(b)
|
||
CZK
|
14,630,000
|
1.20%, due 3/13/2031
|
498,158
|
||
CZK
|
5,580,000
|
6.20%, due 6/16/2031
|
264,421
|
||
CZK
|
5,010,000
|
1.75%, due 6/23/2032
|
172,427
|
||
CZK
|
13,160,000
|
2.00%, due 10/13/2033
|
448,387
|
||
CZK
|
4,030,000
|
4.20%, due 12/4/2036
|
164,479
(b)
|
||
CZK
|
1,980,000
|
1.95%, due 7/30/2037
|
61,841
|
||
CZK
|
2,200,000
|
1.50%, due 4/24/2040
|
60,025
|
||
|
|
|
3,904,884
|
||
Dominican Republic 1.3%
|
|
|
|||
|
|
Dominican Republic International Bonds
|
|
||
DOP
|
8,000,000
|
9.75%, due 6/5/2026
|
139,740
(b)
|
||
$
|
150,000
|
5.95%, due 1/25/2027
|
144,318
(b)
|
||
|
270,000
|
6.00%, due 7/19/2028
|
255,582
(b)
|
||
|
683,000
|
6.00%, due 2/22/2033
|
601,969
(b)
|
||
DOP
|
16,000,000
|
11.25%, due 9/15/2035
|
277,508
(c)
|
||
$
|
150,000
|
6.40%, due 6/5/2049
|
117,508
(b)
|
||
|
475,000
|
5.88%, due 1/30/2060
|
336,769
(b)
|
||
|
|
|
1,873,394
|
||
Ecuador 0.5%
|
|
|
|||
|
|
Ecuador Government International Bonds
|
|
||
|
159,901
|
6.00%, due 7/31/2030
|
80,890
(b)(h)
|
||
|
71,437
|
0.00%, due 7/31/2030
|
21,213
(c)
|
||
|
10,483
|
0.00%, due 7/31/2030
|
3,113
(b)
|
||
|
453,326
|
3.50%, due 7/31/2035
|
171,607
(c)(h)
|
||
|
1,089,456
|
3.50%, due 7/31/2035
|
412,415
(b)(h)
|
||
|
25,160
|
2.50%, due 7/31/2040
|
8,415
(b)(h)
|
||
|
|
|
697,653
|
||
Egypt 0.7%
|
|
|
|||
|
|
Egypt Government International Bonds
|
|
||
EUR
|
541,000
|
6.38%, due 4/11/2031
|
307,373
(b)
|
||
$
|
200,000
|
8.50%, due 1/31/2047
|
103,772
(b)
|
||
|
200,000
|
8.70%, due 3/1/2049
|
105,220
(b)
|
||
|
410,000
|
8.70%, due 3/1/2049
|
215,701
(b)
|
||
|
400,000
|
8.88%, due 5/29/2050
|
211,795
(b)
|
||
|
|
|
943,861
|
Principal Amount(a)
|
Value
|
||||
El Salvador 0.4%
|
|
|
|||
|
|
El Salvador Government International Bonds
|
|
||
$
|
224,000
|
7.65%, due 6/15/2035
|
$156,488
(b)
|
||
|
596,000
|
9.50%, due 7/15/2052
|
436,983
(b)
|
||
|
|
|
593,471
|
||
Ghana 0.6%
|
|
|
|||
|
|
Ghana Government Bonds
|
|
||
GHS
|
312,272
|
5.00% Cash/3.35% PIK, due 2/16/2027
|
14,941
(k)
|
||
GHS
|
312,503
|
5.00% Cash/3.50% PIK, due 2/15/2028
|
13,132
(k)
|
||
GHS
|
291,883
|
5.00% Cash/3.65% PIK, due 2/13/2029
|
11,001
(k)
|
||
GHS
|
292,098
|
5.00% Cash/3.80% PIK, due 2/12/2030
|
10,091
(k)
|
||
GHS
|
292,314
|
5.00% Cash/3.95% PIK, due 2/11/2031
|
9,399
(k)
|
||
GHS
|
292,529
|
5.00% Cash/4.10% PIK, due 2/10/2032
|
8,926
(k)
|
||
GHS
|
292,744
|
5.00% Cash/4.25% PIK, due 2/8/2033
|
8,582
(k)
|
||
|
|
Ghana Government International Bonds
|
|
||
$
|
200,000
|
7.75%, due 4/7/2029
|
84,548
(b)(g)
|
||
|
200,000
|
7.63%, due 5/16/2029
|
84,299
(b)(g)
|
||
|
400,000
|
10.75%, due 10/14/2030
|
246,740
(b)
|
||
|
200,000
|
10.75%, due 10/14/2030
|
123,370
(b)
|
||
|
200,000
|
8.63%, due 4/7/2034
|
84,101
(b)(g)
|
||
|
200,000
|
7.88%, due 2/11/2035
|
85,190
(b)(g)
|
||
|
|
|
784,320
|
||
Guatemala 0.6%
|
|
|
|||
|
|
Guatemala Government Bonds
|
|
||
|
320,000
|
7.05%, due 10/4/2032
|
313,546
(b)
|
||
|
200,000
|
3.70%, due 10/7/2033
|
147,210
(b)
|
||
|
440,000
|
6.60%, due 6/13/2036
|
406,434
(b)
|
||
|
|
|
867,190
|
||
Hungary 1.8%
|
|
|
|||
|
|
Hungary Government Bonds
|
|
||
HUF
|
73,760,000
|
5.50%, due 6/24/2025
|
196,300
|
||
HUF
|
126,660,000
|
9.50%, due 10/21/2026
|
362,134
|
||
HUF
|
81,230,000
|
3.00%, due 10/27/2027
|
190,652
|
||
HUF
|
117,950,000
|
4.50%, due 3/23/2028
|
288,880
|
||
HUF
|
68,290,000
|
6.75%, due 10/22/2028
|
182,880
|
||
HUF
|
49,450,000
|
2.00%, due 5/23/2029
|
104,933
|
||
HUF
|
114,200,000
|
3.00%, due 8/21/2030
|
245,051
|
||
HUF
|
56,600,000
|
3.25%, due 10/22/2031
|
119,294
|
||
HUF
|
369,370,000
|
4.75%, due 11/24/2032
|
839,062
|
||
|
|
|
2,529,186
|
||
Indonesia 4.9%
|
|
|
|||
|
|
Indonesia Government International Bonds
|
|
||
EUR
|
650,000
|
1.40%, due 10/30/2031
|
533,499
|
||
EUR
|
380,000
|
1.10%, due 3/12/2033
|
287,737
|
||
EUR
|
150,000
|
1.30%, due 3/23/2034
|
112,427
|
Principal Amount(a)
|
Value
|
||||
Indonesia – cont'd
|
|
|
|||
|
|
Indonesia Treasury Bonds
|
|
||
IDR
|
2,300,000,000
|
7.00%, due 5/15/2027
|
$144,189
|
||
IDR
|
3,304,000,000
|
6.13%, due 5/15/2028
|
200,076
|
||
IDR
|
21,434,000,000
|
6.38%, due 8/15/2028
|
1,311,670
|
||
IDR
|
4,375,000,000
|
9.00%, due 3/15/2029
|
296,957
|
||
IDR
|
1,500,000,000
|
6.88%, due 4/15/2029
|
93,344
|
||
IDR
|
1,306,000,000
|
6.50%, due 2/15/2031
|
78,812
|
||
IDR
|
3,604,000,000
|
8.75%, due 5/15/2031
|
245,949
|
||
IDR
|
1,000,000,000
|
6.38%, due 4/15/2032
|
60,022
|
||
IDR
|
3,500,000,000
|
7.50%, due 8/15/2032
|
222,807
|
||
IDR
|
18,299,000,000
|
7.00%, due 2/15/2033
|
1,139,552
|
||
IDR
|
7,977,000,000
|
6.63%, due 5/15/2033
|
482,407
|
||
IDR
|
800,000,000
|
6.63%, due 2/15/2034
|
48,344
|
||
IDR
|
344,000,000
|
8.38%, due 3/15/2034
|
23,382
|
||
IDR
|
5,600,000,000
|
7.50%, due 6/15/2035
|
359,370
|
||
IDR
|
1,783,000,000
|
8.25%, due 5/15/2036
|
120,653
|
||
IDR
|
400,000,000
|
6.38%, due 7/15/2037
|
23,998
|
||
IDR
|
1,205,000,000
|
7.50%, due 5/15/2038
|
77,332
|
||
IDR
|
8,100,000,000
|
7.13%, due 6/15/2038
|
506,031
|
||
IDR
|
3,000,000,000
|
7.50%, due 4/15/2040
|
192,786
|
||
IDR
|
4,250,000,000
|
7.13%, due 6/15/2042
|
264,912
|
||
IDR
|
4,050,000,000
|
7.13%, due 6/15/2043
|
253,399
|
||
|
|
|
7,079,655
|
||
Kazakhstan 0.3%
|
|
|
|||
EUR
|
500,000
|
Kazakhstan Government International Bonds, 1.50%, due 9/30/2034
|
370,931
(b)
|
||
Lebanon 0.1%
|
|
|
|||
|
|
Lebanon Government International Bonds
|
|
||
$
|
622,000
|
6.38%, due 3/9/2020
|
37,420
(g)
|
||
|
469,000
|
6.60%, due 11/27/2026
|
28,215
(b)(g)
|
||
|
121,000
|
6.85%, due 5/25/2029
|
7,340
(g)
|
||
|
601,000
|
6.65%, due 2/26/2030
|
37,375
(b)(g)
|
||
|
1,400,000
|
8.25%, due 5/17/2034
|
90,160
(g)
|
||
|
|
|
200,510
|
Principal Amount(a)
|
Value
|
||||
Malaysia 4.1%
|
|
|
|||
|
|
Malaysia Government Bonds
|
|
||
MYR
|
700,000
|
3.91%, due 7/15/2026
|
$147,754
|
||
MYR
|
900,000
|
3.90%, due 11/30/2026
|
189,616
|
||
MYR
|
1,350,000
|
3.50%, due 5/31/2027
|
280,299
|
||
MYR
|
4,225,000
|
3.90%, due 11/16/2027
|
888,841
|
||
MYR
|
1,680,000
|
3.73%, due 6/15/2028
|
349,314
|
||
MYR
|
2,400,000
|
4.50%, due 4/30/2029
|
514,738
|
||
MYR
|
1,000,000
|
4.50%, due 4/15/2030
|
214,597
|
||
MYR
|
1,300,000
|
2.63%, due 4/15/2031
|
246,703
|
||
MYR
|
135,000
|
4.23%, due 6/30/2031
|
28,487
|
||
MYR
|
1,400,000
|
3.58%, due 7/15/2032
|
281,279
|
||
MYR
|
1,000,000
|
4.64%, due 11/7/2033
|
219,328
|
||
MYR
|
1,265,000
|
3.83%, due 7/5/2034
|
256,567
|
||
MYR
|
300,000
|
4.25%, due 5/31/2035
|
63,080
|
||
MYR
|
700,000
|
4.76%, due 4/7/2037
|
154,438
|
||
MYR
|
3,050,000
|
4.89%, due 6/8/2038
|
683,124
|
||
MYR
|
1,050,000
|
3.76%, due 5/22/2040
|
202,222
|
||
MYR
|
2,917,000
|
4.70%, due 10/15/2042
|
632,563
|
||
MYR
|
350,000
|
4.94%, due 9/30/2043
|
77,859
|
||
MYR
|
1,350,000
|
4.07%, due 6/15/2050
|
260,923
|
||
|
|
Malaysia Government Investment Issue
|
|
||
MYR
|
400,000
|
4.07%, due 9/30/2026
|
84,649
|
||
MYR
|
500,000
|
4.37%, due 10/31/2028
|
107,023
|
||
|
|
|
5,883,404
|
||
Mexico 4.2%
|
|
|
|||
|
|
Mexico Bonos
|
|
||
MXN
|
9,070,000
|
5.50%, due 3/4/2027
|
434,992
|
||
MXN
|
16,480,000
|
7.50%, due 6/3/2027
|
836,441
|
||
MXN
|
37,127,500
|
8.50%, due 5/31/2029
|
1,913,315
|
||
MXN
|
3,740,000
|
8.50%, due 5/31/2029
|
192,736
|
||
MXN
|
15,106,100
|
7.75%, due 5/29/2031
|
729,616
|
||
MXN
|
14,020,000
|
7.50%, due 5/26/2033
|
649,862
|
||
MXN
|
2,570,000
|
10.00%, due 11/20/2036
|
141,113
|
||
MXN
|
7,093,500
|
7.75%, due 11/13/2042
|
314,055
|
||
MXN
|
5,397,100
|
8.00%, due 11/7/2047
|
242,769
|
||
|
|
Mexico Government International Bonds
|
|
||
EUR
|
100,000
|
2.38%, due 2/11/2030
|
91,775
|
||
$
|
620,000
|
5.75%, due 10/12/2110
|
475,390
|
||
|
|
|
6,022,064
|
||
Mongolia 0.4%
|
|
|
|||
|
600,000
|
Mongolia Government International Bonds, 3.50%, due 7/7/2027
|
501,258
(b)
|
||
Morocco 0.3%
|
|
|
|||
|
|
Morocco Government International Bonds
|
|
||
|
314,000
|
3.00%, due 12/15/2032
|
233,930
(b)
|
||
|
200,000
|
6.50%, due 9/8/2033
|
191,500
(b)
|
||
|
|
|
425,430
|
Principal Amount(a)
|
Value
|
||||
Nigeria 0.4%
|
|
|
|||
|
|
Nigeria Government International Bonds
|
|
||
$
|
400,000
|
8.75%, due 1/21/2031
|
$344,000
(b)
|
||
|
200,000
|
7.88%, due 2/16/2032
|
160,050
(b)
|
||
|
|
|
504,050
|
||
Oman 0.5%
|
|
|
|||
|
|
Oman Government International Bonds
|
|
||
|
200,000
|
6.25%, due 1/25/2031
|
194,377
(b)
|
||
|
215,000
|
6.75%, due 1/17/2048
|
192,209
(b)
|
||
|
400,000
|
7.00%, due 1/25/2051
|
367,827
(b)
|
||
|
|
|
754,413
|
||
Panama 0.5%
|
|
|
|||
|
|
Panama Government International Bonds
|
|
||
|
200,000
|
6.40%, due 2/14/2035
|
183,381
|
||
|
253,000
|
6.70%, due 1/26/2036
|
236,810
|
||
|
240,000
|
6.85%, due 3/28/2054
|
206,817
|
||
|
266,000
|
3.87%, due 7/23/2060
|
140,719
|
||
|
|
|
767,727
|
||
Papua New Guinea 0.1%
|
|
|
|||
|
200,000
|
Papua New Guinea Government International Bonds, 8.38%, due 10/4/2028
|
182,840
(b)
|
||
Paraguay 0.3%
|
|
|
|||
|
430,000
|
Paraguay Government International Bonds, 6.10%, due 8/11/2044
|
359,891
(b)
|
||
Peru 1.8%
|
|
|
|||
|
|
Peru Government Bonds
|
|
||
PEN
|
911,000
|
5.94%, due 2/12/2029
|
227,186
|
||
PEN
|
1,707,000
|
6.15%, due 8/12/2032
|
405,953
|
||
PEN
|
1,170,000
|
7.30%, due 8/12/2033
|
298,211
(b)
|
||
PEN
|
1,999,000
|
5.40%, due 8/12/2034
|
434,057
|
||
PEN
|
207,000
|
5.35%, due 8/12/2040
|
41,851
|
||
|
|
Peruvian Government International Bonds
|
|
||
EUR
|
684,000
|
1.25%, due 3/11/2033
|
523,482
|
||
PEN
|
427,000
|
5.40%, due 8/12/2034
|
92,717
(b)
|
||
EUR
|
274,000
|
1.95%, due 11/17/2036
|
197,145
|
||
PEN
|
1,564,000
|
6.90%, due 8/12/2037
|
377,746
(b)
|
||
|
|
|
2,598,348
|
||
Philippines 0.2%
|
|
|
|||
EUR
|
326,000
|
Philippine Government International Bonds, 1.75%, due 4/28/2041
|
215,864
|
||
Poland 4.1%
|
|
|
|||
EUR
|
276,000
|
Bank Gospodarstwa Krajowego, 5.13%, due 2/22/2033
|
296,088
(b)
|
Principal Amount(a)
|
Value
|
||||
Poland – cont'd
|
|
|
|||
|
|
Poland Government Bonds
|
|
||
PLN
|
2,408,000
|
2.50%, due 7/25/2026
|
$534,024
|
||
PLN
|
345,000
|
0.25%, due 10/25/2026
|
71,120
|
||
PLN
|
1,328,000
|
3.75%, due 5/25/2027
|
301,092
|
||
PLN
|
1,963,000
|
2.50%, due 7/25/2027
|
424,473
|
||
PLN
|
4,620,000
|
7.50%, due 7/25/2028
|
1,193,916
|
||
PLN
|
3,954,000
|
2.75%, due 10/25/2029
|
817,188
|
||
PLN
|
2,747,000
|
1.25%, due 10/25/2030
|
498,792
|
||
PLN
|
6,230,000
|
1.75%, due 4/25/2032
|
1,101,934
|
||
PLN
|
2,141,000
|
6.00%, due 10/25/2033
|
521,103
|
||
$
|
187,000
|
Poland Government International Bonds , 5.50%, due 4/4/2053
|
164,803
|
||
|
|
|
5,924,533
|
||
Qatar 0.2%
|
|
|
|||
|
346,000
|
Qatar Government International Bonds, 4.82%, due 3/14/2049
|
283,048
(b)
|
||
Romania 3.2%
|
|
|
|||
|
|
Romania Government Bonds
|
|
||
RON
|
1,415,000
|
3.25%, due 6/24/2026
|
280,122
|
||
RON
|
4,795,000
|
2.50%, due 10/25/2027
|
882,275
|
||
RON
|
1,010,000
|
8.75%, due 10/30/2028
|
233,111
|
||
RON
|
35,000
|
5.00%, due 2/12/2029
|
6,840
|
||
RON
|
1,865,000
|
4.85%, due 7/25/2029
|
360,119
|
||
RON
|
325,000
|
8.00%, due 4/29/2030
|
73,141
|
||
RON
|
725,000
|
4.15%, due 10/24/2030
|
131,407
|
||
RON
|
445,000
|
7.35%, due 4/28/2031
|
97,386
|
||
RON
|
515,000
|
3.65%, due 9/24/2031
|
88,152
|
||
RON
|
1,860,000
|
6.70%, due 2/25/2032
|
386,975
|
||
RON
|
1,505,000
|
8.25%, due 9/29/2032
|
346,962
|
||
RON
|
650,000
|
4.75%, due 10/11/2034
|
114,027
|
||
RON
|
385,000
|
7.90%, due 2/24/2038
|
87,073
|
||
|
|
Romania Government International Bonds
|
|
||
EUR
|
900,000
|
2.00%, due 1/28/2032
|
684,125
(b)
|
||
EUR
|
104,000
|
2.00%, due 4/14/2033
|
75,456
(b)
|
||
EUR
|
42,000
|
6.38%, due 9/18/2033
|
43,710
(b)
|
||
EUR
|
176,000
|
3.75%, due 2/7/2034
|
146,857
(b)
|
||
EUR
|
314,000
|
3.88%, due 10/29/2035
|
260,070
(b)
|
||
EUR
|
62,000
|
2.88%, due 4/13/2042
|
38,387
(b)
|
||
EUR
|
342,000
|
3.38%, due 1/28/2050
|
213,317
(b)
|
||
|
|
|
4,549,512
|
||
Serbia 0.7%
|
|
|
|||
|
|
Serbia International Bonds
|
|
||
EUR
|
391,000
|
1.50%, due 6/26/2029
|
319,597
(b)
|
||
$
|
205,000
|
6.50%, due 9/26/2033
|
193,240
(b)
|
||
EUR
|
334,000
|
2.05%, due 9/23/2036
|
211,973
(b)
|
||
|
|
Serbia Treasury Bonds
|
|
||
RSD
|
16,660,000
|
4.50%, due 1/11/2026
|
148,045
|
||
RSD
|
9,970,000
|
5.88%, due 2/8/2028
|
91,226
|
||
RSD
|
5,360,000
|
4.50%, due 8/20/2032
|
42,033
|
||
|
|
|
1,006,114
|
Principal Amount(a)
|
Value
|
||||
South Africa 4.8%
|
|
|
|||
|
|
South Africa Government Bonds
|
|
||
ZAR
|
15,262,788
|
10.50%, due 12/21/2026
|
$843,333
|
||
ZAR
|
7,689,376
|
7.00%, due 2/28/2031
|
326,223
|
||
ZAR
|
28,235,913
|
8.75%, due 2/28/2048
|
1,058,989
|
||
|
|
South Africa Government Bonds
|
|
||
ZAR
|
14,463,719
|
8.88%, due 2/28/2035
|
616,575
|
||
ZAR
|
37,335,335
|
6.25%, due 3/31/2036
|
1,238,201
|
||
ZAR
|
15,347,360
|
8.50%, due 1/31/2037
|
608,048
|
||
ZAR
|
19,366,063
|
9.00%, due 1/31/2040
|
770,174
|
||
ZAR
|
17,538,378
|
8.75%, due 1/31/2044
|
660,224
|
||
|
|
South Africa Government International Bonds
|
|
||
$
|
273,000
|
5.65%, due 9/27/2047
|
177,243
|
||
|
200,000
|
5.75%, due 9/30/2049
|
129,734
|
||
|
|
South Africa Government International Bonds
|
|
||
|
400,000
|
5.88%, due 4/20/2032
|
337,428
|
||
|
200,000
|
7.30%, due 4/20/2052
|
155,534
|
||
|
|
|
6,921,706
|
||
Sri Lanka 0.7%
|
|
|
|||
|
|
Sri Lanka Government International Bonds
|
|
||
|
200,000
|
6.85%, due 11/3/2025
|
102,991
(b)(g)
|
||
|
200,000
|
6.20%, due 5/11/2027
|
99,440
(b)(g)
|
||
|
564,000
|
6.75%, due 4/18/2028
|
280,231
(b)(g)
|
||
|
203,000
|
7.85%, due 3/14/2029
|
100,864
(b)(g)
|
||
|
830,000
|
7.55%, due 3/28/2030
|
412,622
(b)(g)
|
||
|
|
|
996,148
|
||
Thailand 2.9%
|
|
|
|||
THB
|
5,052,000
|
Bank of Thailand Bills, 1.84%, due 5/9/2024
|
138,832
(i)
|
||
|
|
Thailand Government Bonds
|
|
||
THB
|
8,000,000
|
0.75%, due 6/17/2024
|
220,301
|
||
THB
|
13,418,000
|
1.45%, due 12/17/2024
|
369,119
|
||
THB
|
10,500,000
|
2.13%, due 12/17/2026
|
287,117
|
||
THB
|
8,000,000
|
1.00%, due 6/17/2027
|
208,913
|
||
THB
|
19,300,000
|
2.65%, due 6/17/2028
|
531,682
|
||
THB
|
5,400,000
|
2.40%, due 3/17/2029
|
146,488
|
||
THB
|
8,000,000
|
4.88%, due 6/22/2029
|
244,442
|
||
THB
|
7,000,000
|
1.60%, due 12/17/2029
|
179,676
|
||
THB
|
2,000,000
|
3.78%, due 6/25/2032
|
57,930
|
||
THB
|
5,000,000
|
1.60%, due 6/17/2035
|
114,616
|
||
THB
|
6,571,000
|
1.59%, due 12/17/2035
|
149,826
|
||
THB
|
7,350,000
|
3.40%, due 6/17/2036
|
201,889
|
||
THB
|
18,400,000
|
3.39%, due 6/17/2037
|
503,963
|
||
THB
|
10,116,000
|
3.30%, due 6/17/2038
|
270,651
|
||
THB
|
12,900,000
|
2.00%, due 6/17/2042
|
278,040
|
||
THB
|
10,500,000
|
3.45%, due 6/17/2043
|
282,348
|
||
THB
|
1,248,000
|
2.88%, due 6/17/2046
|
29,578
|
||
|
|
|
4,215,411
|
||
Tunisia 0.0%(f)
|
|
|
|||
EUR
|
104,000
|
Tunisian Republic, 6.38%, due 7/15/2026
|
66,576
(b)
|
Principal Amount(a)
|
Value
|
||||
Turkey 0.8%
|
|
|
|||
|
|
Turkey Government Bonds
|
|
||
TRY
|
18,538,063
|
1.50%, due 6/18/2025
|
$745,273
(j)
|
||
TRY
|
5,058,000
|
17.80%, due 7/13/2033
|
125,516
|
||
$
|
300,000
|
Turkey Government International Bonds, 9.13%, due 7/13/2030
|
299,625
|
||
|
|
|
1,170,414
|
||
Uganda 0.3%
|
|
|
|||
|
|
Uganda Government Bonds
|
|
||
UGX
|
363,300,000
|
14.38%, due 2/3/2033
|
91,644
|
||
UGX
|
1,158,500,000
|
14.25%, due 6/22/2034
|
288,941
|
||
|
|
|
380,585
|
||
Ukraine 0.3%
|
|
|
|||
|
|
Ukraine Government International Bonds
|
|
||
$
|
128,000
|
7.75%, due 9/1/2027
|
35,919
(b)
|
||
|
470,000
|
6.88%, due 5/21/2031
|
115,201
(b)
|
||
|
490,000
|
7.75%, due 8/1/2041
|
203,105
(b)(l)
|
||
|
286,000
|
7.75%, due 8/1/2041
|
118,547
(c)(l)
|
||
|
|
|
472,772
|
||
United Arab Emirates 0.1%
|
|
|
|||
|
200,000
|
UAE International Government Bonds, 4.95%, due 7/7/2052
|
168,894
(b)
|
||
Uruguay 0.7%
|
|
|
|||
|
|
Uruguay Government International Bonds
|
|
||
UYU
|
19,106,000
|
8.50%, due 3/15/2028
|
453,698
(b)
|
||
UYU
|
16,279,773
|
8.25%, due 5/21/2031
|
370,073
|
||
UYU
|
5,508,288
|
9.75%, due 7/20/2033
|
136,514
|
||
|
|
|
960,285
|
||
Uzbekistan 0.1%
|
|
|
|||
$
|
200,000
|
Uzbekneftegaz JSC, 4.75%, due 11/16/2028
|
157,018
(c)
|
||
Venezuela 0.1%
|
|
|
|||
|
916,200
|
Venezuela Government International Bonds, 8.25%, due 10/13/2024
|
154,123
(b)(g)
|
||
Zambia 0.7%
|
|
|
|||
ZMW
|
20,015,000
|
Zambia Government Bonds, 13.00%, due 1/25/2031
|
541,140
|
||
|
|
Zambia Government International Bonds
|
|
||
$
|
210,000
|
5.38%, due 9/20/2022
|
113,413
(b)(g)
|
||
|
400,000
|
8.50%, due 4/14/2024
|
244,040
(b)(g)
|
||
|
210,000
|
8.97%, due 7/30/2027
|
127,837
(b)(g)
|
||
|
|
|
1,026,430
|
||
Total Foreign Government Securities (Cost $98,823,824)
|
87,930,674
|
||||
U.S. Treasury Obligations 2.8%
|
|
||||
|
|
U.S. Treasury Bills
|
|
||
|
762,900
|
5.22%, due 12/7/2023
|
758,872
(i)
|
||
|
1,500,000
|
5.26%, due 1/18/2024
|
1,482,734
(i)
|
||
|
368,400
|
5.30%, due 2/15/2024
|
362,644
(i)
|
||
|
1,469,800
|
5.31%, due 2/29/2024
|
1,443,785
(i)
|
||
|
|||||
Total U.S. Treasury Obligations (Cost $4,048,269)
|
4,048,035
|
Number of Shares
|
Value
|
|||
|
||||
Short-Term Investments 6.6%
|
||||
Investment Companies 6.6%
|
|
|||
|
9,549,332
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(m) (Cost $ 9,549,332)
|
$9,549,332
|
|
Total Investments 97.3% (Cost $157,766,798)
|
139,661,650
|
|||
Other Assets Less Liabilities 2.7%
|
3,858,879
(n)
|
|||
Net Assets 100.0%
|
$143,520,529
|
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
(b)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933,
as amended.
Regulation S applies to securities offerings that are made outside of the United States and do
not involve
directed selling efforts in the United States and as such may have restrictions on resale.
Total value of all
such securities at October 31, 2023 amounted to $44,137,262, which represents 30.8% of net
assets of the
Fund.
|
(c)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $12,089,742, which represents 8.4% of net assets of the Fund.
|
(d)
|
Security issued at a fixed coupon rate, which converts to a variable rate at a future date.
Rate shown is the
rate in effect as of period end.
|
(e)
|
Perpetual security. Perpetual securities have no stated maturity date, but they may be
called/redeemed by
the issuer. The date shown reflects the next call date.
|
(f)
|
Represents less than 0.05% of net assets of the Fund.
|
(g)
|
Defaulted security.
|
(h)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific
date or may reset in
the future contingent upon a predetermined trigger. The interest rate shown was the current
rate as of
|
(i)
|
Rate shown was the discount rate at the date of purchase.
|
(j)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
(k)
|
Payment-in-kind (PIK) security.
|
(l)
|
|
(m)
|
Represents 7-day effective yield as of October 31, 2023.
|
(n)
|
Includes the impact of the Fund’s open positions in derivatives at October 31, 2023.
|
POSITIONS BY INDUSTRY
|
||
Industry
|
Investments at
Value
|
Percentage of
Net Assets
|
Foreign Government*
|
$86,842,731
|
60.5
%
|
Banks
|
8,027,229
|
5.6
%
|
Oil & Gas
|
7,376,041
|
5.1
%
|
U.S. Treasury Obligations
|
4,048,035
|
2.8
%
|
Electric
|
2,966,687
|
2.1
%
|
Telecommunications
|
1,943,178
|
1.4
%
|
Mining
|
1,864,194
|
1.3
%
|
Lodging
|
1,688,536
|
1.2
%
|
Pipelines
|
1,579,428
|
1.1
%
|
Chemicals
|
1,284,778
|
0.9
%
|
Diversified Financial Services
|
1,283,239
|
0.9
%
|
Food
|
1,098,680
|
0.8
%
|
Insurance
|
1,027,564
|
0.7
%
|
Commercial Services
|
947,333
|
0.7
%
|
Energy - Alternate Sources
|
786,367
|
0.5
%
|
Multi-National
|
704,526
|
0.5
%
|
Real Estate
|
613,226
|
0.4
%
|
Semiconductors
|
578,960
|
0.4
%
|
Engineering & Construction
|
512,508
|
0.4
%
|
Iron - Steel
|
504,787
|
0.4
%
|
Pharmaceuticals
|
427,791
|
0.3
%
|
Transportation
|
414,416
|
0.3
%
|
Building Materials
|
412,613
|
0.3
%
|
Internet
|
385,196
|
0.3
%
|
Investment Companies
|
379,367
|
0.3
%
|
Holding Companies - Diversified
|
377,376
|
0.3
%
|
Real Estate Investment Trusts
|
345,212
|
0.2
%
|
Gas
|
341,609
|
0.2
%
|
Retail
|
198,574
|
0.1
%
|
Media
|
188,662
|
0.1
%
|
Forest Products & Paper
|
188,300
|
0.1
%
|
Beverages
|
176,000
|
0.1
%
|
Computers
|
161,459
|
0.1
%
|
Packaging & Containers
|
153,962
|
0.1
%
|
Oil & Gas Services
|
150,008
|
0.1
%
|
Healthcare - Services
|
133,746
|
0.1
%
|
Short-Term Investments and Other Assets—Net
|
13,408,211
|
9.3
%
|
|
$143,520,529
|
100.0
%
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
25
|
Euro-Bobl
|
$3,076,162
|
$(29,408)
|
12/2023
|
36
|
Korea Bond, 3 Year
|
2,728,755
|
(21,418)
|
12/2023
|
9
|
U.S. Treasury Long Bond
|
984,938
|
(98,594)
|
12/2023
|
6
|
U.S. Treasury Note, 10 Year
|
637,031
|
(11,965)
|
12/2023
|
15
|
U.S. Treasury Note, 2 Year
|
3,036,328
|
(17,952)
|
12/2023
|
79
|
U.S. Treasury Note, 5 Year
|
8,253,649
|
(100,068)
|
12/2023
|
9
|
U.S. Treasury Ultra Bond
|
1,013,063
|
(137,829)
|
Total Long Positions
|
$19,729,926
|
$(417,234)
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
10
|
Euro-Bobl
|
$(1,230,465)
|
$5,805
|
12/2023
|
36
|
Euro-Bund
|
(4,913,437)
|
78,859
|
12/2023
|
5
|
Euro-Buxl Bond, 30 Year
|
(637,082)
|
48,983
|
12/2023
|
1
|
Euro-Schatz
|
(111,286)
|
167
|
12/2023
|
10
|
U.S. Treasury Note, 10 Year
|
(1,061,719)
|
41,046
|
12/2023
|
6
|
U.S. Treasury Ultra Bond
|
(675,375)
|
76,425
|
Total Short Positions
|
$(8,629,364)
|
$251,285
|
||
Total Futures
|
|
$(165,949)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
CLP
|
175,904,531
|
USD
|
188,721
|
JPM
|
12/20/2023
|
$7,267
|
CLP
|
242,215,047
|
USD
|
256,883
|
SSB
|
12/20/2023
|
12,986
|
USD
|
603,477
|
CLP
|
540,818,176
|
CITI
|
12/20/2023
|
914
|
USD
|
764,543
|
CNH
|
5,542,959
|
SCB
|
11/17/2023
|
8,712
|
USD
|
55,588
|
CNH
|
402,604
|
HSBC
|
11/21/2023
|
675
|
USD
|
746,388
|
CNH
|
5,435,877
|
MS
|
11/21/2023
|
4,965
|
USD
|
4,361,894
|
CNH
|
31,839,963
|
CITI
|
12/11/2023
|
13,375
|
USD
|
465,986
|
CNH
|
3,385,511
|
HSBC
|
12/20/2023
|
3,330
|
USD
|
614,532
|
CNH
|
4,484,472
|
CITI
|
1/10/2024
|
791
|
COP
|
2,180,466,382
|
USD
|
493,933
|
BCB
|
11/3/2023
|
35,695
|
COP
|
2,369,637,219
|
USD
|
541,013
|
GSI
|
11/3/2023
|
34,564
|
COP
|
2,680,848,009
|
USD
|
628,777
|
CITI
|
12/20/2023
|
15,629
|
USD
|
115,210
|
COP
|
464,929,101
|
BCB
|
12/20/2023
|
3,453
|
USD
|
330,222
|
COP
|
1,360,042,021
|
BCB
|
12/20/2023
|
3,303
|
USD
|
2,125,446
|
COP
|
8,742,278,536
|
CITI
|
12/20/2023
|
24,031
|
USD
|
397,593
|
COP
|
1,589,577,262
|
CITI
|
12/20/2023
|
15,500
|
CZK
|
8,985,249
|
EUR
|
363,074
|
CITI
|
11/21/2023
|
2,235
|
CZK
|
15,047,760
|
EUR
|
610,506
|
CITI
|
11/21/2023
|
1,139
|
CZK
|
8,942,023
|
EUR
|
362,573
|
CITI
|
11/21/2023
|
905
|
CZK
|
17,249,797
|
EUR
|
698,797
|
JPM
|
11/21/2023
|
2,416
|
USD
|
748,044
|
CZK
|
17,059,889
|
CITI
|
11/13/2023
|
13,622
|
EUR
|
335,129
|
CZK
|
8,137,135
|
CITI
|
11/21/2023
|
4,674
|
EUR
|
366,106
|
CZK
|
8,997,827
|
CITI
|
11/21/2023
|
434
|
EUR
|
446,702
|
CZK
|
10,840,259
|
JPM
|
11/21/2023
|
6,485
|
EUR
|
44,481
|
CZK
|
1,082,959
|
MS
|
11/21/2023
|
494
|
EUR
|
173,086
|
CZK
|
4,263,671
|
CITI
|
12/20/2023
|
118
|
EUR
|
111,159
|
PLN
|
496,867
|
MS
|
12/20/2023
|
87
|
EUR
|
280,752
|
USD
|
295,596
|
CITI
|
11/3/2023
|
1,479
|
EUR
|
209,743
|
USD
|
220,622
|
CITI
|
11/3/2023
|
1,315
|
EUR
|
155,943
|
USD
|
164,704
|
CITI
|
11/3/2023
|
306
|
EUR
|
121,295
|
USD
|
128,337
|
CITI
|
11/3/2023
|
10
|
EUR
|
311,864
|
USD
|
327,340
|
DB
|
11/3/2023
|
2,656
|
EUR
|
560,965
|
USD
|
591,623
|
JPM
|
11/3/2023
|
1,957
|
EUR
|
68,525
|
USD
|
72,356
|
BCB
|
12/5/2023
|
248
|
EUR
|
1,404,518
|
USD
|
1,479,214
|
JPM
|
12/7/2023
|
9,074
|
USD
|
8,432,177
|
EUR
|
7,934,006
|
CITI
|
11/2/2023
|
37,203
|
USD
|
233,123
|
EUR
|
220,000
|
CITI
|
11/2/2023
|
341
|
USD
|
596,557
|
EUR
|
563,068
|
BCB
|
11/3/2023
|
751
|
USD
|
106,530
|
EUR
|
100,576
|
BNP
|
11/3/2023
|
106
|
USD
|
299,801
|
EUR
|
282,377
|
CITI
|
11/3/2023
|
1,006
|
USD
|
292,870
|
EUR
|
276,052
|
CITI
|
11/3/2023
|
767
|
USD
|
838,456
|
EUR
|
790,003
|
JPM
|
11/3/2023
|
2,520
|
USD
|
295,115
|
EUR
|
277,996
|
JPM
|
11/3/2023
|
956
|
USD
|
109,705
|
EUR
|
103,525
|
JPM
|
11/3/2023
|
161
|
USD
|
181,532
|
EUR
|
171,525
|
JPM
|
11/3/2023
|
35
|
USD
|
8,270,129
|
EUR
|
7,755,220
|
SCB
|
12/4/2023
|
53,821
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
USD
|
117,980
|
EUR
|
110,486
|
CITI
|
12/5/2023
|
$918
|
USD
|
108,596
|
EUR
|
102,395
|
CITI
|
12/5/2023
|
107
|
USD
|
130,199
|
EUR
|
122,611
|
GSI
|
12/5/2023
|
290
|
USD
|
1,516,854
|
EUR
|
1,404,518
|
SCB
|
12/7/2023
|
28,566
|
HUF
|
130,956,709
|
EUR
|
340,835
|
BNP
|
11/14/2023
|
801
|
HUF
|
63,233,014
|
EUR
|
161,823
|
CITI
|
11/14/2023
|
3,298
|
HUF
|
106,172,165
|
EUR
|
275,686
|
CITI
|
11/14/2023
|
1,330
|
HUF
|
143,265,907
|
EUR
|
364,118
|
GSI
|
11/14/2023
|
10,142
|
HUF
|
250,372,079
|
EUR
|
640,285
|
HSBC
|
11/14/2023
|
13,542
|
HUF
|
62,600,683
|
EUR
|
159,741
|
HSBC
|
11/14/2023
|
3,756
|
HUF
|
55,119,766
|
EUR
|
141,043
|
HSBC
|
11/14/2023
|
2,893
|
HUF
|
268,017,803
|
EUR
|
689,843
|
JPM
|
11/14/2023
|
9,806
|
HUF
|
141,996,017
|
EUR
|
361,478
|
JPM
|
11/14/2023
|
9,431
|
HUF
|
90,284,187
|
EUR
|
232,346
|
JPM
|
11/14/2023
|
3,339
|
HUF
|
21,864,067
|
EUR
|
56,225
|
JPM
|
11/14/2023
|
853
|
HUF
|
63,549,179
|
EUR
|
162,209
|
SSB
|
11/14/2023
|
3,763
|
HUF
|
63,549,178
|
EUR
|
162,479
|
SSB
|
11/14/2023
|
3,477
|
USD
|
77,663
|
IDR
|
1,191,890,358
|
BNP
|
12/20/2023
|
2,897
|
USD
|
157,988
|
IDR
|
2,413,737,110
|
HSBC
|
12/20/2023
|
6,578
|
USD
|
762,281
|
ILS
|
2,912,067
|
CITI
|
11/21/2023
|
41,295
|
USD
|
727,029
|
ILS
|
2,790,772
|
GSI
|
11/21/2023
|
36,073
|
KRW
|
19,069,138
|
USD
|
14,128
|
HSBC
|
12/20/2023
|
4
|
USD
|
1,119,745
|
KRW
|
1,491,063,570
|
JPM
|
11/13/2023
|
16,942
|
USD
|
368,208
|
KRW
|
497,265,514
|
DB
|
11/17/2023
|
350
|
USD
|
766,240
|
KRW
|
1,034,475,286
|
JPM
|
12/7/2023
|
159
|
USD
|
17,875
|
KRW
|
23,444,710
|
CITI
|
12/20/2023
|
500
|
KZT
|
95,874,375
|
USD
|
193,100
|
JPM
|
12/28/2023
|
7,987
|
MXN
|
6,770,699
|
USD
|
372,059
|
CITI
|
12/20/2023
|
585
|
MXN
|
6,188,357
|
USD
|
334,996
|
SCB
|
12/20/2023
|
5,598
|
USD
|
375,053
|
MXN
|
6,666,618
|
GSI
|
11/13/2023
|
5,879
|
USD
|
371,002
|
MXN
|
6,525,790
|
BNP
|
12/20/2023
|
11,837
|
USD
|
377,995
|
MXN
|
6,572,100
|
MS
|
12/20/2023
|
16,281
|
USD
|
109,962
|
MYR
|
512,564
|
HSBC
|
12/20/2023
|
2,047
|
USD
|
124,803
|
MYR
|
584,190
|
JPM
|
12/20/2023
|
1,808
|
USD
|
363,325
|
MYR
|
1,721,070
|
JPM
|
1/23/2024
|
220
|
USD
|
533,383
|
PEN
|
2,049,683
|
CITI
|
1/18/2024
|
1,404
|
PHP
|
35,111,004
|
USD
|
617,043
|
CITI
|
12/20/2023
|
1,227
|
USD
|
567,864
|
PHP
|
32,222,281
|
GSI
|
12/20/2023
|
461
|
PLN
|
1,702,768
|
EUR
|
362,170
|
CITI
|
11/20/2023
|
20,688
|
PLN
|
1,699,109
|
EUR
|
365,563
|
CITI
|
11/20/2023
|
16,228
|
PLN
|
1,523,872
|
EUR
|
341,464
|
CITI
|
11/20/2023
|
150
|
PLN
|
3,991,001
|
EUR
|
857,449
|
CITI
|
12/20/2023
|
36,860
|
PLN
|
1,586,446
|
EUR
|
345,114
|
CITI
|
12/20/2023
|
10,121
|
PLN
|
1,610,483
|
EUR
|
352,152
|
CITI
|
12/20/2023
|
8,355
|
PLN
|
1,610,482
|
EUR
|
354,089
|
CITI
|
12/20/2023
|
6,301
|
PLN
|
1,549,246
|
EUR
|
345,910
|
CITI
|
12/20/2023
|
457
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
PLN
|
3,206,680
|
USD
|
742,484
|
CITI
|
11/13/2023
|
$18,735
|
USD
|
367,701
|
SGD
|
501,120
|
CITI
|
1/22/2024
|
356
|
THB
|
19,511,178
|
USD
|
528,687
|
CITI
|
11/3/2023
|
14,202
|
THB
|
20,307,553
|
USD
|
550,527
|
HSBC
|
11/3/2023
|
14,521
|
THB
|
39,818,731
|
USD
|
1,081,928
|
JPM
|
11/3/2023
|
26,009
|
THB
|
13,459,139
|
USD
|
366,145
|
GSI
|
11/6/2023
|
8,441
|
THB
|
39,641,297
|
USD
|
1,092,203
|
JPM
|
11/13/2023
|
11,713
|
THB
|
23,789,737
|
USD
|
654,865
|
CITI
|
12/20/2023
|
9,863
|
THB
|
2,962,902
|
USD
|
80,529
|
HSBC
|
12/20/2023
|
2,260
|
THB
|
7,995,117
|
USD
|
217,716
|
JPM
|
12/20/2023
|
5,681
|
THB
|
7,974,161
|
USD
|
219,265
|
JPM
|
12/20/2023
|
3,547
|
THB
|
8,056,839
|
USD
|
223,113
|
JPM
|
12/20/2023
|
2,009
|
USD
|
1,120,130
|
THB
|
39,728,475
|
JPM
|
11/13/2023
|
13,786
|
USD
|
776,857
|
TWD
|
24,860,204
|
SSB
|
1/12/2024
|
7,338
|
USD
|
169,268
|
UYU
|
6,427,104
|
CITI
|
11/10/2023
|
8,631
|
USD
|
162,416
|
UYU
|
6,175,061
|
CITI
|
11/10/2023
|
8,078
|
USD
|
150,409
|
UYU
|
5,745,629
|
CITI
|
11/10/2023
|
6,804
|
USD
|
193,282
|
UYU
|
7,398,637
|
HSBC
|
11/10/2023
|
8,362
|
USD
|
170,320
|
UYU
|
6,574,350
|
HSBC
|
11/10/2023
|
6,002
|
ZAR
|
10,389,546
|
USD
|
530,491
|
JPM
|
11/3/2023
|
26,916
|
ZAR
|
10,643,573
|
USD
|
543,631
|
MS
|
11/3/2023
|
27,405
|
ZAR
|
9,772,004
|
USD
|
519,025
|
CITI
|
11/6/2023
|
5,117
|
ZAR
|
1,532,302
|
USD
|
79,212
|
MS
|
11/6/2023
|
2,976
|
ZAR
|
14,799,740
|
USD
|
769,166
|
CITI
|
12/20/2023
|
21,615
|
ZAR
|
5,272,262
|
USD
|
277,142
|
CITI
|
12/20/2023
|
4,566
|
ZAR
|
3,732,821
|
USD
|
191,246
|
DB
|
12/20/2023
|
8,206
|
ZAR
|
5,769,949
|
USD
|
305,143
|
GSI
|
12/20/2023
|
3,157
|
ZAR
|
6,569,666
|
USD
|
338,768
|
JPM
|
12/20/2023
|
12,263
|
ZAR
|
5,543,677
|
USD
|
291,650
|
JPM
|
12/20/2023
|
4,561
|
ZAR
|
2,195,130
|
USD
|
115,485
|
JPM
|
12/20/2023
|
1,806
|
ZAR
|
8,484,275
|
USD
|
435,464
|
MS
|
12/20/2023
|
17,869
|
Total unrealized appreciation
|
|
$1,023,977
|
||||
BRL
|
1,722,188
|
USD
|
344,084
|
GSI
|
12/4/2023
|
(3,788
)
|
BRL
|
24,160,304
|
USD
|
4,849,130
|
MS
|
12/4/2023
|
(75,168
)
|
USD
|
290,450
|
BRL
|
1,477,645
|
DB
|
12/4/2023
|
(1,525
)
|
USD
|
302,317
|
BRL
|
1,537,957
|
DB
|
12/4/2023
|
(1,576
)
|
USD
|
327,163
|
BRL
|
1,662,912
|
GSI
|
12/4/2023
|
(1,421
)
|
USD
|
316,780
|
BRL
|
1,603,850
|
JPM
|
12/4/2023
|
(133
)
|
CLP
|
69,245,282
|
USD
|
77,437
|
BCB
|
12/20/2023
|
(286
)
|
CLP
|
698,964,422
|
USD
|
782,715
|
CITI
|
12/20/2023
|
(3,950
)
|
USD
|
362,691
|
CLP
|
343,095,591
|
SSB
|
12/20/2023
|
(19,576
)
|
CNH
|
8,649,730
|
USD
|
1,197,782
|
BCB
|
12/20/2023
|
(15,730
)
|
CNH
|
729,072
|
USD
|
100,698
|
BNP
|
12/20/2023
|
(1,065
)
|
CNH
|
8,649,730
|
USD
|
1,197,640
|
BNP
|
12/20/2023
|
(15,588
)
|
CNH
|
175,552
|
USD
|
24,121
|
SCB
|
12/20/2023
|
(131
)
|
USD
|
64,985
|
CNH
|
475,593
|
CITI
|
12/20/2023
|
(8
)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
COP
|
2,700,373,630
|
USD
|
673,318
|
BCB
|
12/20/2023
|
$(24,218
)
|
COP
|
559,509,547
|
USD
|
135,647
|
GSI
|
12/20/2023
|
(1,156
)
|
USD
|
535,178
|
COP
|
2,229,550,764
|
CITI
|
11/3/2023
|
(6,372
)
|
USD
|
559,979
|
COP
|
2,320,552,837
|
JPM
|
11/3/2023
|
(3,675
)
|
USD
|
165,041
|
COP
|
688,952,318
|
JPM
|
12/20/2023
|
(565
)
|
CZK
|
2,558,501
|
EUR
|
104,613
|
JPM
|
11/21/2023
|
(666
)
|
CZK
|
1,548,898
|
EUR
|
62,976
|
JPM
|
12/20/2023
|
(147
)
|
CZK
|
3,420,234
|
EUR
|
139,562
|
JPM
|
12/20/2023
|
(854
)
|
CZK
|
17,059,889
|
USD
|
747,712
|
CITI
|
11/13/2023
|
(13,290
)
|
EGP
|
15,523,396
|
USD
|
452,182
|
CITI
|
1/17/2024
|
(1,979
)
|
EUR
|
365,074
|
CZK
|
8,997,829
|
CITI
|
11/21/2023
|
(659
)
|
EUR
|
690,010
|
CZK
|
17,079,254
|
CITI
|
11/21/2023
|
(4,381
)
|
EUR
|
342,800
|
CZK
|
8,478,015
|
CITI
|
12/20/2023
|
(1,216
)
|
EUR
|
695,790
|
HUF
|
269,307,876
|
CITI
|
11/14/2023
|
(7,072
)
|
EUR
|
353,710
|
HUF
|
138,170,473
|
CITI
|
11/14/2023
|
(7,091
)
|
EUR
|
326,562
|
HUF
|
131,958,033
|
CITI
|
11/14/2023
|
(18,675
)
|
EUR
|
280,624
|
HUF
|
109,243,925
|
GSI
|
11/14/2023
|
(4,585
)
|
EUR
|
353,346
|
HUF
|
138,412,664
|
GSI
|
11/14/2023
|
(8,144
)
|
EUR
|
349,672
|
HUF
|
138,539,968
|
GSI
|
11/14/2023
|
(12,385
)
|
EUR
|
363,022
|
HUF
|
144,076,350
|
GSI
|
11/14/2023
|
(13,540
)
|
EUR
|
63,474
|
HUF
|
24,644,531
|
JPM
|
11/14/2023
|
(856
)
|
EUR
|
150,294
|
HUF
|
58,672,591
|
JPM
|
11/14/2023
|
(2,911
)
|
EUR
|
204,664
|
HUF
|
81,811,931
|
JPM
|
11/14/2023
|
(9,249
)
|
EUR
|
262,986
|
HUF
|
105,591,634
|
MS
|
11/14/2023
|
(13,171
)
|
EUR
|
351,933
|
PLN
|
1,626,977
|
CITI
|
11/20/2023
|
(13,538
)
|
EUR
|
372,708
|
PLN
|
1,726,187
|
CITI
|
11/20/2023
|
(15,089
)
|
EUR
|
356,832
|
PLN
|
1,658,493
|
CITI
|
11/20/2023
|
(15,831
)
|
EUR
|
363,355
|
PLN
|
1,678,126
|
JPM
|
11/20/2023
|
(13,584
)
|
EUR
|
544,347
|
PLN
|
2,535,030
|
BCB
|
12/20/2023
|
(23,724
)
|
EUR
|
363,337
|
PLN
|
1,684,907
|
CITI
|
12/20/2023
|
(14,138
)
|
EUR
|
210,490
|
PLN
|
978,067
|
JPM
|
12/20/2023
|
(8,654
)
|
EUR
|
104,394
|
RON
|
520,998
|
CITI
|
11/20/2023
|
(418
)
|
EUR
|
71,520
|
RON
|
356,777
|
JPM
|
11/20/2023
|
(253
)
|
EUR
|
235,309
|
RON
|
1,173,478
|
JPM
|
11/20/2023
|
(755
)
|
EUR
|
398,786
|
USD
|
422,974
|
BCB
|
11/2/2023
|
(1,019
)
|
EUR
|
7,755,220
|
USD
|
8,259,542
|
SCB
|
11/2/2023
|
(53,741
)
|
EUR
|
139,324
|
USD
|
147,549
|
CITI
|
11/3/2023
|
(124
)
|
EUR
|
233,808
|
USD
|
247,664
|
MS
|
11/3/2023
|
(262
)
|
EUR
|
694,193
|
USD
|
737,564
|
MS
|
11/3/2023
|
(3,009
)
|
EUR
|
150,000
|
USD
|
160,177
|
CITI
|
12/4/2023
|
(1,259
)
|
EUR
|
563,068
|
USD
|
597,336
|
BCB
|
12/5/2023
|
(755
)
|
EUR
|
205,002
|
USD
|
218,123
|
CITI
|
12/5/2023
|
(920
)
|
USD
|
145,968
|
EUR
|
138,848
|
CITI
|
11/3/2023
|
(953
)
|
USD
|
110,375
|
EUR
|
104,493
|
JPM
|
11/3/2023
|
(193
)
|
USD
|
175,403
|
EUR
|
165,728
|
BNP
|
12/5/2023
|
(189
)
|
USD
|
72,983
|
EUR
|
68,897
|
JPM
|
12/5/2023
|
(14
)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
IDR
|
639,945,507
|
USD
|
41,912
|
CITI
|
12/20/2023
|
$(1,769
)
|
IDR
|
2,135,051,700
|
USD
|
134,602
|
DB
|
12/20/2023
|
(673
)
|
IDR
|
2,830,239,263
|
USD
|
180,471
|
DB
|
12/20/2023
|
(2,934
)
|
IDR
|
1,650,669,349
|
USD
|
106,502
|
GSI
|
12/20/2023
|
(2,958
)
|
IDR
|
7,850,110,807
|
USD
|
508,684
|
HSBC
|
12/20/2023
|
(16,258
)
|
IDR
|
3,177,078,356
|
USD
|
202,863
|
MS
|
12/20/2023
|
(3,570
)
|
IDR
|
4,472,974,813
|
USD
|
280,772
|
SCB
|
12/20/2023
|
(189
)
|
ILS
|
2,909,579
|
USD
|
776,675
|
CITI
|
11/21/2023
|
(56,304
)
|
ILS
|
247,552
|
USD
|
64,572
|
GSI
|
11/21/2023
|
(3,282
)
|
ILS
|
2,894,707
|
USD
|
770,555
|
GSI
|
11/21/2023
|
(53,867
)
|
KRW
|
491,042,713
|
USD
|
364,602
|
DB
|
11/6/2023
|
(1,292
)
|
KRW
|
1,491,063,570
|
USD
|
1,106,993
|
HSBC
|
11/13/2023
|
(4,189
)
|
KRW
|
978,689,520
|
USD
|
741,965
|
HSBC
|
12/7/2023
|
(17,197
)
|
USD
|
347,336
|
KRW
|
471,973,575
|
CITI
|
11/6/2023
|
(1,866
)
|
USD
|
14,097
|
KRW
|
19,069,138
|
HSBC
|
11/6/2023
|
(11
)
|
MXN
|
6,666,618
|
USD
|
384,595
|
JPM
|
11/13/2023
|
(15,421
)
|
MXN
|
1,567,558
|
USD
|
87,313
|
BCB
|
12/20/2023
|
(1,038
)
|
MXN
|
1,775,422
|
USD
|
101,204
|
BNP
|
12/20/2023
|
(3,489
)
|
MXN
|
4,965,089
|
USD
|
278,278
|
CITI
|
12/20/2023
|
(5,010
)
|
MXN
|
3,392,280
|
USD
|
192,064
|
CITI
|
12/20/2023
|
(5,360
)
|
MXN
|
33,320,252
|
USD
|
1,898,971
|
HSBC
|
12/20/2023
|
(65,096
)
|
MXN
|
4,281,587
|
USD
|
235,668
|
JPM
|
12/20/2023
|
(18
)
|
MXN
|
4,822,658
|
USD
|
276,741
|
MS
|
12/20/2023
|
(11,313
)
|
USD
|
79,008
|
MXN
|
1,455,990
|
SSB
|
12/20/2023
|
(1,126
)
|
MYR
|
344,673
|
USD
|
73,195
|
JPM
|
12/20/2023
|
(627
)
|
MYR
|
1,659,255
|
USD
|
357,598
|
JPM
|
12/20/2023
|
(8,260
)
|
MYR
|
4,642,187
|
USD
|
1,004,476
|
JPM
|
12/20/2023
|
(27,114
)
|
USD
|
745,620
|
PLN
|
3,206,680
|
CITI
|
11/13/2023
|
(15,598
)
|
THB
|
13,219,516
|
USD
|
369,119
|
JPM
|
11/17/2023
|
(863
)
|
THB
|
1,394,656
|
USD
|
39,649
|
BNP
|
12/20/2023
|
(680
)
|
THB
|
30,495,812
|
USD
|
868,431
|
GSI
|
12/20/2023
|
(16,324
)
|
THB
|
30,495,813
|
USD
|
866,713
|
HSBC
|
12/20/2023
|
(14,606
)
|
USD
|
519,244
|
THB
|
19,189,962
|
HSBC
|
11/3/2023
|
(14,707
)
|
USD
|
536,809
|
THB
|
19,832,395
|
HSBC
|
11/3/2023
|
(15,018
)
|
USD
|
559,631
|
THB
|
20,641,880
|
JPM
|
11/3/2023
|
(14,720
)
|
USD
|
540,229
|
THB
|
19,973,225
|
JPM
|
11/3/2023
|
(15,517
)
|
USD
|
367,821
|
THB
|
13,646,675
|
MS
|
11/6/2023
|
(11,985
)
|
USD
|
368,622
|
THB
|
13,397,509
|
CITI
|
11/17/2023
|
(4,591
)
|
USD
|
214,875
|
THB
|
7,754,540
|
HSBC
|
12/20/2023
|
(1,801
)
|
TWD
|
24,850,653
|
USD
|
781,099
|
HSBC
|
1/12/2024
|
(11,875
)
|
UYU
|
5,695,179
|
USD
|
142,915
|
CITI
|
11/10/2023
|
(572
)
|
UYU
|
5,927,635
|
USD
|
148,711
|
JPM
|
11/10/2023
|
(558
)
|
USD
|
1,106,569
|
ZAR
|
21,033,119
|
MS
|
11/3/2023
|
(21,873
)
|
USD
|
584,029
|
ZAR
|
11,304,306
|
MS
|
11/6/2023
|
(22,301
)
|
USD
|
76,302
|
ZAR
|
1,464,462
|
BNP
|
12/20/2023
|
(1,948
)
|
USD
|
517,131
|
ZAR
|
9,772,004
|
CITI
|
12/20/2023
|
(5,007
)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
USD
|
1,259,505
|
ZAR
|
24,022,697
|
CITI
|
12/20/2023
|
$(24,078
)
|
USD
|
113,756
|
ZAR
|
2,137,078
|
JPM
|
12/20/2023
|
(433
)
|
USD
|
662,566
|
ZAR
|
12,639,659
|
JPM
|
12/20/2023
|
(12,798
)
|
Total unrealized depreciation
|
|
$(1,003,308
)
|
||||
Total net unrealized appreciation
|
|
$20,669
|
Clearinghouse
|
Notional
Amount
|
Fund
Receives/
Pays
Floating
Rate
|
Floating
Rate Index
|
Annual
Fixed-
Rate
|
Effective
Date(a)
|
Frequency
of Fund
Receipt/
Payment
|
Maturity
Date
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
CME
|
BRL
|
6,050,785
|
Pay
|
1D CETIP
|
4.84%
|
—
|
T/T
|
1/2/2024
|
$(15,421
)
|
$(180,615
)
|
$(196,036
)
|
CME
|
BRL
|
3,300,564
|
Pay
|
1D CETIP
|
5.76%
|
—
|
T/T
|
1/2/2024
|
(7,623
)
|
(68,871
)
|
(76,494
)
|
CME
|
BRL
|
20,460
|
Pay
|
1D CETIP
|
11.66%
|
—
|
T/T
|
1/2/2024
|
(3
)
|
(106
)
|
(109
)
|
CME
|
BRL
|
1,325,330
|
Pay
|
1D CETIP
|
6.46%
|
—
|
T/T
|
1/2/2025
|
(16,217
)
|
(20,249
)
|
(36,466
)
|
CME
|
BRL
|
1,240,652
|
Pay
|
1D CETIP
|
6.82%
|
—
|
T/T
|
1/2/2025
|
(14,127
)
|
(15,234
)
|
(29,361
)
|
CME
|
BRL
|
947,033
|
Pay
|
1D CETIP
|
6.23%
|
—
|
T/T
|
1/4/2027
|
(31,843
)
|
(17,599
)
|
(49,442
)
|
CME
|
BRL
|
738,928
|
Pay
|
1D CETIP
|
11.33%
|
—
|
T/T
|
1/4/2027
|
774
|
(3,730
)
|
(2,956
)
|
CME
|
BRL
|
3,740,600
|
Receive
|
1D CETIP
|
12.23%
|
—
|
T/T
|
1/4/2027
|
(28,393
)
|
13,057
|
(15,336
)
|
CME
|
BRL
|
5,316,025
|
Pay
|
1D CETIP
|
12.67%
|
—
|
T/T
|
1/4/2027
|
51,888
|
(5,556
)
|
46,332
|
CME
|
BRL
|
4,805,980
|
Pay
|
1D CETIP
|
12.76%
|
—
|
T/T
|
1/4/2027
|
49,581
|
(4,256
)
|
45,325
|
LCH
|
BRL
|
7,686,882
|
Pay
|
1D CETIP
|
10.00%
|
—
|
T/T
|
1/2/2026
|
(31,568
)
|
(11,428
)
|
(42,996
)
|
LCH
|
BRL
|
4,990,785
|
Pay
|
1D CETIP
|
11.06%
|
—
|
T/T
|
1/2/2026
|
1,031
|
(903
)
|
128
|
LCH
|
BRL
|
2,679,778
|
Pay
|
1D CETIP
|
10.17%
|
—
|
T/T
|
1/4/2027
|
(15,341
)
|
(2,384
)
|
(17,725
)
|
LCH
|
BRL
|
1,730,190
|
Receive
|
1D CETIP
|
10.30%
|
—
|
T/T
|
1/2/2029
|
18,676
|
2,309
|
20,985
|
LCH
|
BRL
|
2,047,654
|
Pay
|
1D CETIP
|
10.43%
|
—
|
T/T
|
1/2/2031
|
(31,367
)
|
(3,441
)
|
(34,808
)
|
CME
|
CLP
|
179,373,543
|
Receive
|
1D CLICP
|
2.33%
|
—
|
6M/6M
|
6/5/2030
|
40,932
|
6,615
|
47,547
|
CME
|
CLP
|
163,946,219
|
Pay
|
1D CLICP
|
2.15%
|
—
|
6M/6M
|
8/24/2030
|
(40,308
)
|
(2,571
)
|
(42,879
)
|
LCH
|
CLP
|
463,419,109
|
Receive
|
1D CLICP
|
6.12%
|
—
|
6M/6M
|
10/24/2033
|
(4,221
)
|
950
|
(3,271
)
|
LCH
|
CNY
|
6,000,000
|
Pay
|
7D CNRR007
|
2.28%
|
—
|
3M/3M
|
8/16/2028
|
(4,293
)
|
611
|
(3,682
)
|
LCH
|
CNY
|
6,100,000
|
Pay
|
7D CNRR007
|
2.30%
|
—
|
3M/3M
|
8/29/2028
|
(3,779
)
|
149
|
(3,630
)
|
CME
|
COP
|
3,549,606,043
|
Receive
|
1D IBRCOL
|
8.37%
|
—
|
3M/3M
|
4/13/2024
|
14,037
|
1,800
|
15,837
|
CME
|
COP
|
692,526,304
|
Receive
|
1D IBRCOL
|
10.28%
|
—
|
3M/3M
|
6/2/2025
|
65
|
565
|
630
|
Clearinghouse
|
Notional
Amount
|
Fund
Receives/
Pays
Floating
Rate
|
Floating
Rate Index
|
Annual
Fixed-
Rate
|
Effective
Date(a)
|
Frequency
of Fund
Receipt/
Payment
|
Maturity
Date
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
CME
|
COP
|
3,416,364,119
|
Receive
|
1D IBRCOL
|
10.27%
|
—
|
3M/3M
|
6/5/2025
|
$357
|
$2,804
|
$3,161
|
CME
|
COP
|
547,071,621
|
Receive
|
1D IBRCOL
|
6.40%
|
—
|
3M/3M
|
1/6/2027
|
9,825
|
571
|
10,396
|
CME
|
COP
|
82,908,573
|
Receive
|
1D IBRCOL
|
6.45%
|
—
|
3M/3M
|
1/7/2027
|
1,460
|
72
|
1,532
|
CME
|
COP
|
2,364,126,444
|
Receive
|
1D IBRCOL
|
7.14%
|
—
|
3M/3M
|
1/31/2027
|
31,303
|
81
|
31,384
|
CME
|
COP
|
911,746,001
|
Receive
|
1D IBRCOL
|
9.02%
|
—
|
3M/3M
|
8/11/2032
|
1,061
|
1,735
|
2,796
|
LCH
|
CZK
|
26,805,664
|
Pay
|
6M PRIBOR
|
5.47%
|
—
|
1Y/6M
|
7/14/2025
|
4,174
|
(5,856
)
|
(1,682
)
|
LCH
|
CZK
|
30,372,692
|
Pay
|
6M PRIBOR
|
5.33%
|
—
|
1Y/6M
|
7/31/2025
|
2,583
|
(5,998
)
|
(3,415
)
|
LCH
|
CZK
|
31,099,178
|
Pay
|
6M PRIBOR
|
5.08%
|
—
|
1Y/6M
|
9/13/2025
|
(764
)
|
(3,628
)
|
(4,392
)
|
LCH
|
CZK
|
17,596,266
|
Pay
|
6M PRIBOR
|
5.33%
|
—
|
1Y/6M
|
10/4/2025
|
3,581
|
(993
)
|
2,588
|
LCH
|
CZK
|
21,857,869
|
Pay
|
6M PRIBOR
|
4.90%
|
—
|
1Y/6M
|
10/12/2025
|
(2,383
)
|
(1,072
)
|
(3,455
)
|
LCH
|
CZK
|
2,519,795
|
Pay
|
6M PRIBOR
|
4.19%
|
—
|
1Y/6M
|
7/25/2028
|
(1,311
)
|
(867
)
|
(2,178
)
|
LCH
|
CZK
|
8,823,454
|
Pay
|
6M PRIBOR
|
4.55%
|
—
|
1Y/6M
|
8/25/2028
|
1,200
|
(1,834
)
|
(634
)
|
LCH
|
CZK
|
20,541,873
|
Pay
|
6M PRIBOR
|
4.39%
|
—
|
1Y/6M
|
10/12/2028
|
(2,559
)
|
(1,258
)
|
(3,817
)
|
LCH
|
CZK
|
3,797,900
|
Pay
|
6M PRIBOR
|
4.30%
|
—
|
1Y/6M
|
10/16/2028
|
(1,146
)
|
(192
)
|
(1,338
)
|
LCH
|
HUF
|
339,478,478
|
Receive
|
6M BUBOR
|
10.29%
|
—
|
6M/1Y
|
7/3/2025
|
(12,739
)
|
13,872
|
1,133
|
LCH
|
HUF
|
20,292,514
|
Receive
|
6M BUBOR
|
10.09%
|
—
|
6M/1Y
|
7/20/2025
|
(598
)
|
737
|
139
|
LCH
|
HUF
|
35,764,486
|
Pay
|
6M BUBOR
|
8.72%
|
—
|
1Y/6M
|
2/10/2028
|
2,795
|
3,089
|
5,884
|
LCH
|
INR
|
82,000,000
|
Pay
|
6M MIBOR
|
6.59%
|
—
|
6M/6M
|
8/11/2025
|
(1,943
)
|
(545
)
|
(2,488
)
|
LCH
|
INR
|
36,000,000
|
Pay
|
6M MIBOR
|
6.48%
|
—
|
6M/6M
|
8/14/2028
|
(3,389
)
|
(339
)
|
(3,728
)
|
LCH
|
INR
|
39,000,000
|
Pay
|
6M MIBOR
|
6.67%
|
—
|
6M/6M
|
9/15/2028
|
(89
)
|
(125
)
|
(214
)
|
CME
|
MXN
|
6,237,085
|
Pay
|
28D TIIE
|
8.04%
|
—
|
28D/28D
|
1/7/2028
|
(21,255
)
|
(400
)
|
(21,655
)
|
CME
|
MXN
|
7,682,860
|
Pay
|
28D TIIE
|
8.14%
|
—
|
28D/28D
|
1/7/2028
|
(24,652
)
|
(477
)
|
(25,129
)
|
CME
|
MXN
|
15,558,987
|
Pay
|
28D TIIE
|
8.58%
|
—
|
28D/28D
|
2/3/2028
|
(37,207
)
|
(912
)
|
(38,119
)
|
CME
|
MXN
|
32,888,179
|
Pay
|
28D TIIE
|
8.93%
|
—
|
28D/28D
|
8/25/2028
|
(57,168
)
|
(654
)
|
(57,822
)
|
LCH
|
MXN
|
7,141,278
|
Receive
|
28D TIIE
|
9.33%
|
—
|
28D/28D
|
3/25/2026
|
9,135
|
502
|
9,637
|
LCH
|
MXN
|
8,321,392
|
Pay
|
28D TIIE
|
8.91%
|
—
|
28D/28D
|
8/17/2028
|
(14,811
)
|
(434
)
|
(15,245
)
|
LCH
|
MXN
|
8,321,392
|
Pay
|
28D TIIE
|
8.94%
|
—
|
28D/28D
|
8/17/2028
|
(14,281
)
|
(429
)
|
(14,710
)
|
LCH
|
MXN
|
8,870,529
|
Receive
|
28D TIIE
|
9.77%
|
—
|
28D/28D
|
10/8/2038
|
(3,534
)
|
119
|
(3,415
)
|
LCH
|
PLN
|
1,337,658
|
Receive
|
6M WIBOR
|
4.76%
|
—
|
6M/1Y
|
10/10/2028
|
(1,017
)
|
157
|
(860
)
|
LCH
|
PLN
|
564,789
|
Receive
|
6M WIBOR
|
5.20%
|
—
|
6M/1Y
|
5/15/2033
|
(2,249
)
|
1,088
|
(1,161
)
|
LCH
|
PLN
|
1,085,564
|
Receive
|
6M WIBOR
|
4.77%
|
—
|
6M/1Y
|
9/8/2033
|
4,982
|
622
|
5,604
|
LCH
|
PLN
|
1,038,140
|
Receive
|
6M WIBOR
|
4.99%
|
—
|
6M/1Y
|
10/2/2033
|
43
|
132
|
175
|
LCH
|
PLN
|
1,448,504
|
Receive
|
6M WIBOR
|
5.01%
|
—
|
6M/1Y
|
10/3/2033
|
(486
)
|
169
|
(317
)
|
LCH
|
ZAR
|
8,066,932
|
Pay
|
3M JIBAR
|
10.14%
|
1/12/2028
|
3M/3M
|
1/12/2033
|
(14,079
)
|
—
|
(14,079
)
|
LCH
|
ZAR
|
10,512,315
|
Pay
|
3M JIBAR
|
10.21%
|
1/12/2028
|
3M/3M
|
1/12/2033
|
(17,290
)
|
—
|
(17,290
)
|
Total
|
|
|
|
|
|
|
|
|
$(229,971
)
|
$(311,150
)
|
$(541,121
)
|
Counterparty
|
Notional
Amount
|
Fund
Receives/
Pays
Floating
Rate
|
Floating
Rate Index
|
Annual
Fixed-
Rate
|
Frequency
of Fund
Receipt/
Payment
|
Maturity
Date
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
GSI
|
MXN
|
9,462,643
|
Pay
|
28D TIIE
|
6.17%
|
28D/28D
|
3/5/2026
|
$(46,893
)
|
$(1,012
)
|
$(47,905
)
|
JPM
|
MXN
|
7,500,000
|
Pay
|
28D TIIE
|
6.13%
|
28D/28D
|
6/18/2026
|
(40,076
)
|
(1,242
)
|
(41,318
)
|
Total
|
|
|
|
|
|
|
|
$(86,969
)
|
$(2,254
)
|
$(89,223
)
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Investments:
|
|
|
|
|
Corporate Bonds#
|
$—
|
$38,133,609
|
$—
|
$38,133,609
|
Foreign Government Securities#
|
—
|
87,930,674
|
—
|
87,930,674
|
U.S. Treasury Obligations
|
—
|
4,048,035
|
—
|
4,048,035
|
Short-Term Investments
|
—
|
9,549,332
|
—
|
9,549,332
|
Total Investments
|
$—
|
$139,661,650
|
$—
|
$139,661,650
|
#
|
The Schedule of Investments provides a geographic categorization as well as a Positions by
Industry
summary.
|
Other Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Futures@
|
|
|
|
|
Assets
|
$251,285
|
$—
|
$—
|
$251,285
|
Liabilities
|
(417,234
)
|
—
|
—
|
(417,234
)
|
Forward FX Contracts@
|
|
|
|
|
Assets
|
—
|
1,023,977
|
—
|
1,023,977
|
Liabilities
|
—
|
(1,003,308
)
|
—
|
(1,003,308
)
|
Swaps
|
|
|
|
|
Assets
|
—
|
251,213
|
—
|
251,213
|
Liabilities
|
—
|
(881,557
)
|
—
|
(881,557
)
|
Total
|
$(165,949
)
|
$(609,675
)
|
$—
|
$(775,624
)
|
@
|
Futures and forward FX contracts are reported at the cumulative unrealized
appreciation/(depreciation) of
the instrument.
|
Principal Amount
|
Value
|
|
Asset-Backed Securities 1.3%
|
||
$1,000,000
|
37 Capital CLO 1 Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR +
7.46%), 12.86%, due
10/15/2034
|
$945,015
(a)(b)
|
1,000,000
|
37 Capital CLO III Ltd., Series 2023-1A, Class E, (3 mo. USD Term SOFR +
9.03%), 14.42%, due
4/15/2036
|
1,003,740
(a)(b)
|
1,000,000
|
Barings CLO Ltd., Series 2018-3A, Class E, (3 mo. USD Term SOFR + 6.01%),
11.43%, due 7/20/2029
|
905,633
(a)(b)
|
500,000
|
Flatiron CLO Ltd., Series 2017-1A, Class ER, (3 mo. USD Term SOFR + 6.16%),
11.53%, due
5/15/2030
|
477,270
(a)(b)
|
500,000
|
Galaxy XV CLO Ltd., Series 2013-15A, Class ER, (3 mo. USD Term SOFR +
6.91%), 12.30%, due
10/15/2030
|
448,527
(a)(b)
|
385,000
|
Magnetite XV Ltd., Series 2015-15A, Class ER, (3 mo. USD Term SOFR + 5.46%),
10.84%, due
7/25/2031
|
352,668
(a)(b)
|
1,400,000
|
Palmer Square Loan Funding Ltd., Series 2022-1A, Class D, (3 mo. USD Term
SOFR + 5.00%),
10.39%, due 4/15/2030
|
1,264,343
(a)(b)
|
800,000
|
Stratus CLO Ltd., Series 2021-3A, Class F, (3 mo. USD Term SOFR + 7.96%),
13.38%, due
12/29/2029
|
691,764
(a)(b)
|
Total Asset-Backed Securities (Cost
$6,479,730)
|
6,088,960
|
|
|
||
Corporate Bonds 5.3%
|
||
Airlines 0.3%
|
||
670,000
|
American Airlines, Inc., 11.75%, due 7/15/2025
|
709,864
(a)
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
|
|
416,667
|
5.50%, due 4/20/2026
|
405,187
(a)
|
400,000
|
5.50%, due 4/20/2026
|
388,980
(c)
|
|
|
1,504,031
|
Chemicals 0.5%
|
||
400,000
|
SCIH Salt Holdings, Inc., 4.88%, due 5/1/2028
|
345,351
(a)
|
1,305,000
|
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026
|
1,157,569
(a)
|
690,000
|
WR Grace Holdings LLC, 4.88%, due 6/15/2027
|
619,867
(a)
|
|
|
2,122,787
|
Commercial Services 0.7%
|
||
240,000
|
APX Group, Inc., 6.75%, due 2/15/2027
|
231,698
(a)
|
700,000
|
Garda World Security Corp., 4.63%, due 2/15/2027
|
624,327
(a)
|
800,000
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc.,
5.00%, due 2/1/2026
|
762,957
(a)
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc.
|
|
1,170,000
|
3.38%, due 8/31/2027
|
1,028,677
(a)
|
510,000
|
3.38%, due 8/31/2027
|
448,398
(c)
|
|
|
3,096,057
|
Distribution - Wholesale 0.0%(d)
|
||
121,000
|
OPENLANE, Inc., 5.13%, due 6/1/2025
|
116,721
(a)
|
Engineering & Construction 0.1%
|
||
635,000
|
Artera Services LLC, 9.03%, due 12/4/2025
|
571,500
(a)
|
Entertainment 0.5%
|
||
915,000
|
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, due 7/1/2025
|
900,377
(a)
|
855,000
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op,
5.50%, due
5/1/2025
|
837,997
(a)
|
490,000
|
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026
|
455,945
(a)
|
|
|
2,194,319
|
Principal Amount
|
Value
|
|
|
||
Forest Products & Paper 0.1%
|
||
$545,000
|
Ahlstrom Holding 3 Oyj, 4.88%, due 2/4/2028
|
$444,622
(a)
|
Leisure Time 0.2%
|
||
700,000
|
NCL Corp. Ltd., 5.88%, due 2/15/2027
|
644,328
(a)
|
Machinery - Diversified 0.2%
|
||
870,000
|
TK Elevator U.S. Newco, Inc., 5.25%, due 7/15/2027
|
792,089
(a)
|
Media 0.2%
|
||
325,000
|
Altice Financing SA, 5.00%, due 1/15/2028
|
264,312
(a)
|
289,000
|
Cumulus Media New Holdings, Inc., 6.75%, due 7/1/2026
|
206,635
(a)
|
515,000
|
DISH DBS Corp., 5.25%, due 12/1/2026
|
415,425
(a)
|
|
|
886,372
|
Packaging & Containers 0.4%
|
||
985,000
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.13%, due 8/15/2026
|
869,263
(a)
|
450,000
|
Mauser Packaging Solutions Holding Co., 9.25%, due 4/15/2027
|
374,764
(a)
|
780,000
|
Trivium Packaging Finance BV, 5.50%, due 8/15/2026
|
707,057
(a)
|
|
|
1,951,084
|
Pipelines 0.3%
|
||
650,000
|
Cheniere Energy, Inc., 4.63%, due 10/15/2028
|
593,901
|
825,000
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, due
10/15/2026
|
792,000
(a)
|
|
|
1,385,901
|
Real Estate Investment Trusts 0.2%
|
||
770,000
|
XHR LP, 6.38%, due 8/15/2025
|
746,899
(a)
|
Retail 0.3%
|
||
|
eG Global Finance PLC
|
|
1,118,000
|
6.75%, due 2/7/2025
|
1,106,149
(a)
|
383,000
|
8.50%, due 10/30/2025
|
376,777
(a)
|
|
|
1,482,926
|
Software 0.1%
|
||
605,000
|
Rackspace Technology Global, Inc., 3.50%, due 2/15/2028
|
265,194
(a)
|
Telecommunications 1.2%
|
||
830,000
|
Altice France SA, 5.50%, due 1/15/2028
|
616,713
(a)
|
680,000
|
Connect Finco Sarl/Connect U.S. Finco LLC, 6.75%, due 10/1/2026
|
634,124
(a)
|
580,000
|
Consolidated Communications, Inc., 5.00%, due 10/1/2028
|
436,920
(a)
|
|
Iliad Holding SASU
|
|
1,640,000
|
6.50%, due 10/15/2026
|
1,532,501
(a)
|
230,000
|
7.00%, due 10/15/2028
|
208,139
(a)
|
|
Level 3 Financing, Inc.
|
|
1,370,000
|
3.40%, due 3/1/2027
|
1,268,458
(c)
|
755,000
|
3.88%, due 11/15/2029
|
672,367
(c)
|
|
|
5,369,222
|
Total Corporate Bonds (Cost $25,606,649)
|
23,574,052
|
|
|
||
Loan Assignments(b) 87.8%
|
||
Aerospace & Defense 2.2%
|
||
2,066,818
|
Amentum Government Services Holdings LLC, Term Loan, (1 mo. USD Term SOFR +
4.00%), 9.33%,
due 2/15/2029
|
2,017,090
|
Principal Amount
|
Value
|
|
|
||
Aerospace & Defense – cont'd
|
||
$1,730,933
|
Brown Group Holding LLC, Term Loan B2, (1 mo. USD Term SOFR + 3.75%, 3 mo.
USD Term SOFR +
3.75%), 9.07% – 9.17%, due 7/2/2029
|
$1,725,532
(e)
|
1,257,348
|
Cobham Ultra SeniorCo Sarl, Term Loan B, (6 mo. USD Term SOFR + 3.50%),
9.36%, due 8/3/2029
|
1,217,112
|
|
Peraton Corp.
|
|
2,114,350
|
Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 2/1/2028
|
2,072,063
|
1,099,174
|
Second Lien Term Loan B1, (3 mo. USD Term SOFR + 7.75%), 13.23%, due
2/1/2029
|
1,057,955
|
1,607,850
|
Propulsion (BC) Finco Sarl, Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.14%,
due 9/14/2029
|
1,597,399
|
|
|
9,687,151
|
Air Transport 1.5%
|
||
2,853,602
|
Air Canada, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 9.13%, due 8/11/2028
|
2,848,608
|
1,503,000
|
American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.43%,
due 4/20/2028
|
1,521,788
|
172,500
|
Mileage Plus Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 5.25%),
10.80%, due 6/21/2027
|
177,509
|
288,000
|
SkyMiles IP Ltd., Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.17%, due
10/20/2027
|
294,661
|
1,948,153
|
United Airlines, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%,
due 4/21/2028
|
1,940,848
|
|
|
6,783,414
|
Auto Parts & Equipment 0.6%
|
||
1,521,862
|
Adient U.S. LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
4/10/2028
|
1,519,640
|
1,488,750
|
BBB Industries LLC, Term Loan, (1 mo. USD Term SOFR + 5.25%), 10.67%, due
7/25/2029
|
1,368,414
|
|
|
2,888,054
|
Automotive 1.6%
|
||
1,167,397
|
American Trailer World Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%),
9.17%, due 3/3/2028
|
1,094,762
|
|
First Brands Group LLC
|
|
1,836,299
|
Term Loan, (6 mo. USD Term SOFR + 5.00%), 10.88%, due 3/30/2027
|
1,807,984
|
898,663
|
Term Loan, (1 mo. USD Term SOFR), due 3/30/2028
|
843,242
|
|
Safe Fleet Holdings LLC
|
|
488,848
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 6.75%), 12.17%, due 2/2/2026
|
471,127
|
1,393,775
|
Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.19%, due 2/23/2029
|
1,394,068
|
1,624,467
|
Wand NewCo 3, Inc., Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.17%, due
2/5/2026
|
1,620,406
|
|
|
7,231,589
|
Building & Development 2.9%
|
||
2,027,009
|
Cornerstone Building Brands, Inc., Term Loan B, (1 mo. USD Term SOFR +
3.25%), 8.68%, due
4/12/2028
|
1,921,442
|
|
Cushman & Wakefield U.S. Borrower LLC
|
|
139,372
|
Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.19%, due 8/21/2025
|
138,850
|
1,750,000
|
Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 1/31/2030
|
1,675,625
(f)
|
1,545,000
|
GYP Holdings III Corp., Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.32%, due
5/12/2030
|
1,547,410
|
1,211,943
|
MI Windows & Doors LLC, Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.92%,
due 12/18/2027
|
1,209,919
|
|
SRS Distribution, Inc.
|
|
1,488,488
|
Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 6/2/2028
|
1,448,953
|
662,591
|
Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.94%, due 6/2/2028
|
646,026
|
|
Tecta America Corp.
|
|
513,996
|
Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.44%, due 4/10/2028
|
512,068
|
860,000
|
Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.69%, due 4/10/2028
|
856,775
|
1,670,311
|
White Cap Buyer LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due
10/19/2027
|
1,657,033
|
1,204,573
|
Wilsonart LLC, Term Loan E, (3 mo. USD Term SOFR + 3.25%), 8.74%, due
12/31/2026
|
1,191,528
|
|
|
12,805,629
|
Building Materials 1.7%
|
||
1,853,000
|
Chamberlain Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.67%,
due 11/3/2028
|
1,797,410
|
Principal Amount
|
Value
|
|
|
||
Building Materials – cont'd
|
||
$1,694,771
|
Emrld Borrower LP, Term Loan B, (3 mo. USD Term SOFR + 3.00%), 8.38%, due
5/31/2030
|
$1,690,262
|
1,716,484
|
Oscar AcquisitionCo LLC, Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.99%,
due 4/29/2029
|
1,670,002
|
1,543,061
|
Solis IV BV, Term Loan B1, (3 mo. USD Term SOFR + 3.50%), 8.89%, due
2/26/2029
|
1,455,307
|
859,688
|
Vector WP Holdco, Inc., Term Loan B, (1 mo. USD Term SOFR + 5.33%), 10.44%,
due 10/12/2028
|
847,867
|
|
|
7,460,848
|
Business Equipment & Services 5.3%
|
||
2,178,981
|
Allied Universal Holdco LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%),
9.17%, due 5/12/2028
|
2,065,412
|
938,288
|
Anticimex International AB, Term Loan B1, (3 mo. USD Term SOFR + 3.15%),
8.45%, due
11/16/2028
|
923,632
|
|
AppLovin Corp.
|
|
1,242,387
|
Term Loan B, (1 mo. USD Term SOFR + 3.10%), 8.42%, due 10/25/2028
|
1,238,175
|
972,563
|
Term Loan B, (1 mo. USD Term SOFR + 3.10%), 8.42%, due 8/14/2030
|
968,740
|
1,054,725
|
BrightView Landscapes LLC, Term Loan B, (3 mo. USD Term SOFR + 3.25%),
8.63%, due 4/20/2029
|
1,052,415
|
658,118
|
Constant Contact, Inc., Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.69%, due
2/10/2028
|
612,872
|
|
ConvergeOne Holdings, Inc.
|
|
2,561,394
|
Term Loan, (3 mo. USD LIBOR + 4.00%), 12.50%, due 1/4/2026
|
1,500,234
|
475,000
|
Second Lien Term Loan, (3 mo. USD LIBOR + 8.50%), 14.14%, due 1/4/2027
|
114,594
|
|
Cyxtera DC Holdings, Inc.
|
|
448,458
|
Term Loan, (1 mo. USD Term SOFR + 8.50%), 13.95%, due 12/7/2023
|
447,673
|
1,522,856
|
Term Loan B, (3 mo. USD Term SOFR + 2.00%), 10.25%, due 5/1/2024
|
869,444
|
455,546
|
Deerfield Dakota Holding LLC, Term Loan B, (3 mo. USD Term SOFR + 3.75%),
9.14%, due 4/9/2027
|
439,224
|
|
Element Materials Technology Group U.S. Holdings, Inc.
|
|
435,655
|
Term Loan, (3 mo. USD Term SOFR + 4.25%), 9.74%, due 7/6/2029
|
420,769
|
943,920
|
Term Loan, (3 mo. USD Term SOFR + 4.25%), 9.74%, due 7/6/2029
|
911,666
|
1,872,338
|
Endure Digital, Inc., Term Loan, (6 mo. USD Term SOFR + 3.50%), 9.42%, due
2/10/2028
|
1,733,092
|
797,354
|
Garda World Security Corp., Term Loan B, (3 mo. USD Term SOFR + 4.25%),
9.75%, due 10/30/2026
|
793,742
|
|
Loire Finco Luxembourg Sarl
|
|
575,950
|
Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 4/21/2027
|
562,029
|
575,415
|
Term Loan B2, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 4/21/2027
|
561,030
|
1,126,832
|
MX Holdings U.S., Inc., Term Loan B, (1 mo. USD Term SOFR), due 7/31/2028
|
1,124,015
(g)(h)
|
665,000
|
Outfront Media Capital LLC, Term Loan B, (1 mo. USD Term SOFR + 1.75%),
7.07%, due 11/18/2026
|
659,181
|
1,452,719
|
Packaging Coordinators Midco, Inc., First Lien Term Loan, (3 mo. USD Term
SOFR + 3.50%), 9.15%,
due 11/30/2027
|
1,432,744
|
1,605,000
|
Prime Security Services Borrower LLC, Term Loan B, (3 mo. USD Term SOFR +
2.50%), 7.83%, due
10/13/2030
|
1,600,988
|
725,200
|
Summer (BC) Holdco B Sarl, Term Loan B2, (3 mo. USD Term SOFR + 4.50%),
10.15%, due
12/4/2026
|
691,884
|
1,730,663
|
Tempo Acquisition LLC, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%,
due 8/31/2028
|
1,727,963
|
1,130,000
|
Vertiv Group Corporation, Term Loan B, (1 mo. USD Term SOFR), due 3/2/2027
|
1,126,893
(g)(h)
|
|
|
23,578,411
|
Business Services 0.2%
|
||
761,175
|
EP Purchaser LLC, Term Loan B, (3 mo. USD Term SOFR + 4.50%), 10.15%, due
11/6/2028
|
739,291
(f)
|
Cable & Satellite Television 2.3%
|
||
799,370
|
Altice Financing SA, First Lien Term Loan, (3 mo. USD LIBOR + 2.75%), 8.41%,
due 1/31/2026
|
788,379
|
2,587,990
|
Altice France SA, Term Loan B13, (3 mo. USD LIBOR + 4.00%), 9.63%, due
8/14/2026
|
2,407,917
|
1,155,000
|
Cogeco Communications Finance (USA) LP, Term Loan B, (1 mo. USD Term SOFR +
3.25%), 8.57%,
due 9/18/2030
|
1,132,766
|
Principal Amount
|
Value
|
|
|
||
Cable & Satellite Television – cont'd
|
||
|
CSC Holdings LLC
|
|
$1,872,605
|
Term Loan B1, (1 mo. USD LIBOR + 2.25%), 7.70%, due 7/17/2025
|
$1,816,052
|
907,708
|
Term Loan, (1 mo. USD LIBOR + 2.25%), 7.70%, due 1/15/2026
|
871,400
|
727,442
|
Term Loan B5, (1 mo. USD LIBOR + 2.50%), 7.95%, due 4/15/2027
|
654,923
|
488,769
|
Term Loan B6, (1 mo. USD Term SOFR + 4.50%), 9.83%, due 1/18/2028
|
455,777
|
1,763,136
|
McGraw-Hill Global Education Holdings LLC, Term Loan, (1 mo. USD Term SOFR +
4.75%), 10.19%,
due 7/28/2028
|
1,667,733
|
521,527
|
Radiate Holdco LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
9/25/2026
|
430,359
|
|
|
10,225,306
|
Capital Markets 0.6%
|
||
1,034,732
|
AqGen Island Holdings, Inc., Term Loan, (1 mo. USD Term SOFR + 3.50%),
8.94%, due 8/2/2028
|
1,013,179
|
1,620,000
|
Aretec Group, Inc., Term Loan, (1 mo. USD Term SOFR), due 8/9/2030
|
1,571,691
(g)(h)
|
|
|
2,584,870
|
Chemicals 2.1%
|
||
930,000
|
INEOS Enterprises Holdings U.S. Finco LLC, First Lien Term Loan B, (3 mo.
USD Term SOFR + 3.75%),
9.27%, due 7/8/2030
|
909,847
|
2,513,212
|
Nouryon Finance BV, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.43%, due
4/3/2028
|
2,454,303
|
2,286,282
|
Olympus Water U.S. Holding Corp., Term Loan B, (3 mo. USD Term SOFR +
3.75%), 9.40%, due
11/9/2028
|
2,226,267
|
1,132,750
|
PEARLS (Netherlands) Bidco BV, Term Loan B, (3 mo. USD Term SOFR + 3.75%),
9.13%, due
2/26/2029
|
1,118,591
|
1,673,100
|
PMHC II, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.81%, due
4/23/2029
|
1,513,118
|
1,105,000
|
Tronox Finance LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.82%, due
8/16/2028
|
1,086,359
|
525,000
|
Valcour Packaging LLC, Second Lien Term Loan, (1 mo. USD LIBOR + 7.00%),
12.65%, due
10/4/2029
|
206,062
|
|
|
9,514,547
|
Chemicals & Plastics 2.4%
|
||
877,539
|
Avient Corp., Term Loan B7, (3 mo. USD Term SOFR + 2.50%), 7.87%, due
8/29/2029
|
878,908
|
1,835,775
|
HB Fuller Co., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due
2/15/2030
|
1,838,455
|
1,158,752
|
Illuminate Buyer LLC, Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.94%, due
6/30/2027
|
1,150,212
|
2,573,550
|
INEOS Quattro Holdings UK Ltd., Term Loan, (1 mo. USD Term SOFR + 3.75%),
9.17%, due
3/14/2030
|
2,502,777
|
|
Ineos U.S. Finance LLC
|
|
1,696,475
|
Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 11/8/2027
|
1,676,474
|
688,275
|
Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 2/18/2030
|
672,576
|
1,041,595
|
SCIH Salt Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.44%,
due 3/16/2027
|
1,026,627
|
894,075
|
Sparta U.S. HoldCo LLC, Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.68%, due
8/2/2028
|
886,627
|
|
|
10,632,656
|
Clothing - Textiles 0.8%
|
||
1,820,850
|
Hanesbrands, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due
3/8/2030
|
1,795,813
(f)
|
|
S&S Holdings LLC
|
|
1,563,895
|
Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.50%, due 3/11/2028
|
1,493,520
|
225,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 8.75%), 14.25%, due 3/9/2029
|
189,000
(f)
|
|
|
3,478,333
|
Commercial Services 0.5%
|
||
1,770,000
|
ASGN, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 8/30/2030
|
1,773,098
|
330,000
|
Foundational Education Group, Inc., Second Lien Term Loan, (3 mo. USD Term
SOFR + 6.50%),
12.14%, due 8/31/2029
|
287,100
(f)
|
|
|
2,060,198
|
Principal Amount
|
Value
|
|
|
||
Commercial Services & Supplies 1.2%
|
||
$1,000,000
|
Belfor Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR), due 10/25/2030
|
$997,500
(f)(g)(h)
|
915,000
|
EnergySolutions LLC, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.38%, due
9/20/2030
|
907,909
|
3,435,000
|
GTCR W Merger Sub LLC, USD Term Loan B, (1 mo. USD Term SOFR), due 9/20/2030
|
3,407,795
(g)(h)
|
|
|
5,313,204
|
Communication Services 0.2%
|
||
815,475
|
Foundational Education Group, Inc., First Lien Term Loan, (3 mo. USD Term
SOFR + 4.25%), 9.89%,
due 8/31/2028
|
754,314
|
Conglomerate 0.0%(d)
|
||
97,886
|
Bright Bidco BV, Term Loan, (3 mo. USD Term SOFR + 1.00%), 6.38%, due
10/31/2027
|
36,381
|
Containers & Glass Products 1.1%
|
||
785,392
|
Anchor Packaging, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%,
due 7/18/2026
|
774,837
|
1,296,750
|
Klockner-Pentaplast of America, Inc., Term Loan B, (6 mo. USD Term SOFR +
4.73%), 10.48%, due
2/12/2026
|
1,220,566
|
1,100,000
|
Reynolds Consumer Products LLC, Term Loan, (1 mo. USD Term SOFR + 1.75%),
7.17%, due
2/4/2027
|
1,096,722
|
658,314
|
Spa Holdings 3 Oy, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.65%, due
2/4/2028
|
632,804
|
1,113,010
|
Trident TPI Holdings, Inc., Term Loan B3, (3 mo. USD Term SOFR + 4.00%),
9.65%, due 9/15/2028
|
1,097,016
|
|
|
4,821,945
|
Diversified Capital Markets 0.4%
|
||
1,810,463
|
Belron Finance U.S. LLC, Term Loan, (3 mo. USD Term SOFR + 2.75%), 8.25%,
due 4/18/2029
|
1,811,603
|
Diversified Financial Services 1.2%
|
||
2,224,425
|
Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.50%),
7.84%, due
6/22/2028
|
2,223,291
|
1,591,013
|
LSF11 Trinity Bidco, Inc., Term Loan, (1 mo. USD Term SOFR + 4.50%), 9.83%,
due 6/14/2030
|
1,585,046
(f)
|
658,316
|
Nuvei Technologies Corp., Term Loan, (1 mo. USD Term SOFR + 2.50%), 7.94%,
due 9/29/2025
|
657,493
|
849,863
|
Superannuation & Investments U.S. LLC, Term Loan, (1 mo. USD Term SOFR +
3.75%), 9.19%, due
12/1/2028
|
846,676
|
|
|
5,312,506
|
Diversified Insurance 0.4%
|
||
2,136,933
|
Gainwell Acquisition Corp., Term Loan B, (3 mo. USD Term SOFR + 4.00%),
9.49%, due 10/1/2027
|
2,038,998
|
Electric Utilities 0.4%
|
||
1,743,630
|
Generation Bridge Northeast LLC, Term Loan B, (1 mo. USD Term SOFR + 4.25%),
9.57%, due
8/22/2029
|
1,742,183
|
Electronic Components 0.3%
|
||
1,330,852
|
II-VI, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.19%, due 7/2/2029
|
1,326,274
|
Electronics - Electrical 8.2%
|
||
997,050
|
Ahead DB Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.24%,
due 10/18/2027
|
987,079
|
1,801,782
|
Cloudera, Inc., Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.17%, due
10/8/2028
|
1,731,207
|
1,899,930
|
CommScope, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
4/6/2026
|
1,623,642
(f)
|
1,754,528
|
Epicor Software Corp., Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
7/30/2027
|
1,743,930
|
832,949
|
Flexera Software LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%, due
3/3/2028
|
821,321
|
1,812,251
|
Go Daddy Operating Co. LLC, Term Loan B5, (1 mo. USD Term SOFR + 2.50%),
7.82%, due
11/9/2029
|
1,812,668
|
1,045,000
|
Helios Software Holdings, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.25%),
9.74%, due
7/18/2030
|
1,034,811
|
775,125
|
IGT Holding IV AB, Term Loan B2, (3 mo. USD Term SOFR + 3.40%), 8.96%, due
3/31/2028
|
768,668
|
Principal Amount
|
Value
|
|
|
||
Electronics - Electrical – cont'd
|
||
|
Imprivata, Inc.
|
|
$370,500
|
Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.19%, due 12/1/2027
|
$368,647
|
1,185,000
|
Term Loan, (1 mo. USD Term SOFR + 4.25%), 9.57%, due 12/1/2027
|
1,182,346
|
2,228,673
|
Ingram Micro, Inc., Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.65%, due
6/30/2028
|
2,219,201
|
|
Ivanti Software, Inc.
|
|
487,500
|
Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.67%, due 12/1/2027
|
427,781
|
1,303,500
|
Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.91%, due 12/1/2027
|
1,156,309
|
|
Maverick Bidco, Inc.
|
|
597,839
|
Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.28%, due 5/18/2028
|
583,389
|
245,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.28%, due 5/18/2029
|
225,400
(f)
|
2,997,650
|
McAfee LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.16%, due 3/1/2029
|
2,860,897
|
1,397,881
|
MH Sub I LLC, Term Loan, (1 mo. USD Term SOFR + 4.25%), 9.57%, due 5/3/2028
|
1,334,193
|
1,210,564
|
Netsmart Technologies, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%),
9.19%, due 10/1/2027
|
1,201,230
|
1,145,730
|
Polaris Newco LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.44%, due
6/2/2028
|
1,079,851
|
505,000
|
Proofpoint, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 6.25%),
11.69%, due 8/31/2029
|
505,379
|
598,425
|
Rackspace Technology Global, Inc., Term Loan B, (1 mo. USD Term SOFR +
2.75%), 8.21%, due
2/15/2028
|
260,859
|
500,000
|
RealPage, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 6.50%),
11.94%, due 4/23/2029
|
497,250
|
|
Redstone Holdco 2 LP
|
|
1,033,490
|
Term Loan, (1 mo. USD Term SOFR + 4.75%), 10.19%, due 4/27/2028
|
861,238
(f)
|
480,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 7.75%), 13.19%, due 4/27/2029
|
295,680
|
189,604
|
Riverbed Technology, Inc., Term Loan, (3 mo. USD Term SOFR + 4.50%), 9.89%,
due 7/1/2028
|
121,821
|
1,912,923
|
S2P Acquisition Borrower, Inc., Term Loan, (1 mo. USD Term SOFR + 4.00%),
9.42%, due 8/14/2026
|
1,905,348
(g)(h)
|
1,159,350
|
Storable, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.50%, 3 mo. USD Term
SOFR + 3.50%),
8.82% – 8.84%, due 4/17/2028
|
1,145,066
(e)
|
1,776,575
|
Uber Technologies, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.75%), 8.16%,
due 3/3/2030
|
1,774,177
|
|
Ultimate Software Group, Inc.
|
|
2,319,612
|
Term Loan, (3 mo. USD Term SOFR + 3.25%), 8.76%, due 5/4/2026
|
2,305,370
|
1,065,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 5.25%), 10.76%, due 5/3/2027
|
1,062,604
|
|
Vision Solutions, Inc.
|
|
867,134
|
Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.64%, due 4/24/2028
|
823,995
|
835,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 7.25%), 12.67% – 12.89%, due
4/23/2029
|
730,926
(e)
|
1,334,913
|
ZoomInfo LLC, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.17%, due
2/28/2030
|
1,338,250
(f)
|
|
|
36,790,533
|
Entertainment 1.0%
|
||
991,304
|
888 Acquisitions Ltd., Term Loan B, (6 mo. USD Term SOFR + 5.25%), 10.82%,
due 7/1/2028
|
944,217
|
2,395,000
|
Delta 2 (LUX) Sarl, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due
1/15/2030
|
2,392,749
|
982,563
|
Great Canadian Gaming Corp., Term Loan, (3 mo. USD Term SOFR + 4.00%),
9.66%, due 11/1/2026
|
981,511
|
|
|
4,318,477
|
Financial Intermediaries 5.9%
|
||
1,097,600
|
Apex Group Treasury LLC, Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.38%,
due 7/27/2028
|
1,069,249
|
238,424
|
Asurion LLC, Second Lien Term Loan B4, (1 mo. USD Term SOFR + 5.25%),
10.69%, due 1/20/2029
|
203,001
|
2,822,720
|
Blackstone Mortgage Trust, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%),
7.69%, due
4/23/2026
|
2,713,340
|
2,174,550
|
Citadel Securities LP, Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.94%,
due 7/29/2030
|
2,164,591
|
2,524,500
|
Citco Funding LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.89%, due
4/27/2028
|
2,525,131
|
|
Edelman Financial Center LLC
|
|
360,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 6.75%), 12.19%, due 7/20/2026
|
358,200
(f)
|
1,399,952
|
Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.94%, due 4/7/2028
|
1,373,843
|
982,538
|
FinCo I LLC, Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.38%, due 6/27/2029
|
981,928
|
Principal Amount
|
Value
|
|
|
||
Financial Intermediaries – cont'd
|
||
|
Focus Financial Partners LLC
|
|
$1,204,798
|
Term Loan B5, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 6/30/2028
|
$1,198,629
|
580,000
|
Term Loan B6, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 6/30/2028
|
578,069
|
1,386,000
|
Galaxy U.S. Opco, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.13%,
due 4/29/2029
|
1,282,050
|
2,114,025
|
Guggenheim Partners LLC, Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.64%,
due 12/12/2029
|
2,109,882
|
2,550,000
|
Harbourvest Partners LLC, Term Loan B, (3 mo. USD Term SOFR + 3.00%), 8.39%,
due 4/22/2030
|
2,543,625
|
455,344
|
OceanKey (U.S.) II Corp., Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.92%,
due 12/15/2028
|
428,820
|
1,480,050
|
OEG Borrower LLC, Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.51%, due
6/18/2029
|
1,476,350
(f)
|
1,144,958
|
Orion Advisor Solutions, Inc., Term Loan, (3 mo. USD Term SOFR + 3.75%),
9.39%, due 9/24/2027
|
1,080,199
|
2,223,825
|
Sedgwick Claims Management Services, Inc., Term Loan B, (1 mo. USD Term SOFR
+ 3.75%), 9.07%,
due 2/24/2028
|
2,214,107
|
2,302,600
|
Starwood Property Trust, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%),
8.57%, due
11/18/2027
|
2,286,781
|
|
|
26,587,795
|
Food Products 1.0%
|
||
877,732
|
Froneri International Ltd., Term Loan, (1 mo. USD Term SOFR + 2.25%), 7.67%,
due 1/29/2027
|
872,431
|
2,296,800
|
Nomad Foods U.S. LLC, Term Loan B4, (6 mo. USD Term SOFR + 3.00%), 8.47%,
due 11/13/2029
|
2,293,607
|
1,397,434
|
WOOF Holdings, Inc., First Lien Term Loan, (3 mo. USD Term SOFR + 3.75%),
9.40%, due
12/21/2027
|
1,129,588
|
|
|
4,295,626
|
Food Service 0.3%
|
||
1,429,315
|
U.S. Foods, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.94%, due
11/22/2028
|
1,431,816
|
Health Care 5.8%
|
||
2,958,215
|
Athenahealth Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.58%,
due 2/15/2029
|
2,861,540
|
1,796,966
|
Auris Luxembourg III Sarl, Term Loan B2, (2 mo. USD LIBOR + 3.75%, 3 mo. USD
LIBOR + 3.75%, 6
mo. USD LIBOR + 3.75%), 5.61% – 5.87%, due 2/27/2026
|
1,709,364
(e)
|
|
Aveanna Healthcare LLC
|
|
1,011,358
|
Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.27%, due 7/17/2028
|
905,803
|
535,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 7.00%), 12.57%, due 12/10/2029
|
377,175
|
1,720,000
|
CHG Healthcare Services, Inc., Term Loan, (3 mo. USD Term SOFR + 3.75%),
9.14%, due 9/29/2028
|
1,702,800
|
799,740
|
Confluent Medical Technologies, Inc., Term Loan, (3 mo. USD Term SOFR +
3.75%), 9.14%, due
2/16/2029
|
785,745
|
2,267,663
|
Envision Healthcare Corp., Term Loan, (12 Mo. USD Term SOFR), due 3/31/2027
|
387,770
|
1,680,000
|
Impala Bidco 0 Ltd., Term Loan, (3 mo. USD Term SOFR + 4.50%), 9.90%, due
6/8/2028
|
1,656,900
(f)
|
835,763
|
Insulet Corp., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
5/4/2028
|
831,935
|
667,374
|
MedAssets Software Intermediate Holdings, Inc., Term Loan, (1 mo. USD Term
SOFR + 4.00%),
9.44%, due 12/18/2028
|
523,888
|
3,165,867
|
Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
10/23/2028
|
3,144,118
|
|
National Mentor Holdings, Inc.
|
|
584,353
|
Term Loan, (1 mo. USD Term SOFR + 3.75%, 3 mo. USD Term SOFR + 3.75%), 9.17%
– 9.24%,
due 3/2/2028
|
508,206
(e)
|
19,242
|
Term Loan C, (3 mo. USD Term SOFR + 3.75%), 9.24%, due 3/2/2028
|
16,735
|
410,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 7.25%), 12.74%, due 3/2/2029
|
287,000
(f)
|
1,256,455
|
Organon & Co., Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.45%, due
6/2/2028
|
1,252,371
|
803,352
|
Pearl Intermediate Parent LLC, Second Lien Term Loan, (1 mo. USD Term SOFR +
6.25%), 11.67%,
due 2/13/2026
|
797,929
|
425,213
|
Quantum Health, Inc., Term Loan, (3 mo. USD Term SOFR + 4.50%), 10.18%, due
12/22/2027
|
401,826
(f)
|
1,735,650
|
Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.32%,
due 3/6/2027
|
1,728,603
|
215,000
|
Sound Inpatient Physicians, Second Lien Term Loan, (3 mo. USD Term SOFR +
6.75%), 12.39%, due
6/26/2026
|
12,900
|
Principal Amount
|
Value
|
|
|
||
Health Care – cont'd
|
||
$1,434,216
|
Southern Veterinary Partners LLC, Term Loan, (1 mo. USD Term SOFR + 4.00%),
9.44%, due
10/5/2027
|
$1,416,288
|
|
Summit Behavioral Healthcare LLC
|
|
804,616
|
First Lien Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.43%, due 11/24/2028
|
800,094
|
360,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 7.75%), 13.43%, due 11/26/2029
|
342,000
(f)
|
2,194,006
|
Team Health Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 5.25%, 3 mo.
USD Term SOFR +
5.25%), 10.57% – 10.63%, due 3/2/2027
|
1,565,665
(e)
|
|
Team Services Group
|
|
1,327,222
|
Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.88%, due 12/20/2027
|
1,297,359
|
75,000
|
Second Lien Term Loan, (6 mo. USD Term SOFR + 9.00%), 14.88%, due 12/18/2028
|
69,000
(f)
|
|
U.S. Anesthesia Partners, Inc.
|
|
385,721
|
Term Loan, (1 mo. USD Term SOFR + 4.25%), 9.68%, due 10/1/2028
|
334,077
|
345,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 7.50%), 12.93%, due 10/1/2029
|
301,875
(f)
|
|
|
26,018,966
|
Health Care Equipment & Supplies 0.3%
|
||
1,605,000
|
Bausch & Lomb Corp., Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.32%,
due 9/29/2028
|
1,540,800
|
Health Care Providers & Services 0.2%
|
||
967,763
|
AEA International Holdings (Lux) Sarl, Term Loan B, (3 mo. USD Term SOFR +
3.75%), 9.40%, due
9/7/2028
|
962,924
(f)
|
Health Insurance 0.3%
|
||
1,369,650
|
AmWINS Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.19%, due
2/19/2028
|
1,365,199
|
Home Furnishings 0.1%
|
||
338,479
|
Weber-Stephen Products LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%),
8.69%, due
10/30/2027
|
295,201
|
Hotels, Restaurants & Leisure 0.6%
|
||
2,940,000
|
1011778 B.C. Unlimited Liability Co., Term Loan B5, (1 mo. USD Term SOFR +
2.25%), 7.57%, due
9/20/2030
|
2,909,865
|
Industrial Equipment 2.5%
|
||
910,586
|
Columbus McKinnon Corp., Term Loan B, (3 mo. USD Term SOFR + 2.75%), 8.42%,
due 5/14/2028
|
908,884
|
1,137,000
|
Crosby U.S. Acquisition Corp., Term Loan B, (1 mo. USD Term SOFR), due
6/27/2026
|
1,128,473
|
1,383,925
|
Eagle Parent Corp., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.64%, due
4/2/2029
|
1,322,147
|
|
Engineered Machinery Holdings, Inc.
|
|
1,248,242
|
Term Loan, (3 mo. USD Term SOFR + 3.50%), 9.15%, due 5/19/2028
|
1,234,399
|
330,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 6.00%), 11.65%, due 5/21/2029
|
320,100
(f)
|
500,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 6.50%), 12.15%, due 5/21/2029
|
485,000
(f)
|
|
Fluid-Flow Products, Inc.
|
|
1,110,919
|
Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.40%, due 3/31/2028
|
1,088,356
|
550,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.40%, due 3/30/2029
|
515,625
|
1,208,027
|
Gates Global LLC, Term Loan B4, (1 mo. USD Term SOFR + 3.50%), 8.32%, due
11/16/2029
|
1,206,396
|
1,379,181
|
Groupe Solmax, Inc., Term Loan, (1 mo. USD Term SOFR + 4.75%, 3 mo. USD Term
SOFR + 4.75%),
10.07% – 10.40%, due 5/29/2028
|
1,282,059
(e)
|
712,580
|
Madison IAQ LLC, Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.70%, due
6/21/2028
|
686,257
|
1,113,274
|
Star U.S. Bidco LLC, Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.67%, due
3/17/2027
|
1,107,941
|
|
|
11,285,637
|
Principal Amount
|
Value
|
|
|
||
Insurance 0.2%
|
||
|
USI, Inc.
|
|
$797,999
|
Term Loan, (1 mo. USD Term SOFR), due 9/27/2030
|
$793,012
(g)(h)
|
342,000
|
Term Loan, (3 mo. USD Term SOFR + 3.25%), 8.64%, due 9/27/2030
|
340,611
|
|
|
1,133,623
|
Internet 0.5%
|
||
1,029,652
|
Gen Digital, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.42%, due
9/12/2029
|
1,019,788
|
1,291,950
|
WatchGuard Technologies, Inc., Term Loan, (1 mo. USD Term SOFR + 5.25%),
10.57%, due 7/2/2029
|
1,210,402
|
|
|
2,230,190
|
IT Consulting & Other Services 0.5%
|
||
2,298,450
|
World Wide Technology Holding Co. LLC, Term Loan, (1 mo. USD Term SOFR +
3.25%), 8.69%, due
3/1/2030
|
2,295,577
|
Leisure Goods - Activities - Movies 1.1%
|
||
1,044,684
|
Carnival Corp., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
10/18/2028
|
1,024,229
|
1,797,112
|
Creative Artists Agency LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%),
8.82%, due 11/27/2028
|
1,788,881
|
2,164,631
|
Playtika Holding Corp., Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.19%, due
3/13/2028
|
2,093,046
|
|
|
4,906,156
|
Life Sciences Tools & Services 0.6%
|
||
2,800,000
|
Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.39%, due
9/27/2030
|
2,664,564
|
Lodging & Casinos 3.1%
|
||
|
Alterra Mountain Co.
|
|
1,112,300
|
Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.94%, due 8/17/2028
|
1,110,910
|
663,338
|
Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 5/31/2030
|
662,926
|
672,500
|
Aristocrat Technologies, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.25%),
7.74%, due 5/24/2029
|
672,332
|
1,662,438
|
Four Seasons Hotels Ltd., Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.92%,
due 11/30/2029
|
1,661,507
|
1,316,700
|
Golden Entertainment, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%),
8.18%, due 5/28/2030
|
1,312,855
|
3,443,985
|
GVC Holdings (Gibraltar) Ltd., Term Loan B2, (3 mo. USD Term SOFR + 3.50%),
8.99%, due
10/31/2029
|
3,443,985
|
1,643,400
|
Scientific Games Holdings LP, Term Loan B, (3 mo. USD Term SOFR + 3.50%),
8.91%, due 4/4/2029
|
1,614,032
|
|
Stars Group Holdings BV
|
|
838,582
|
Term Loan, (3 mo. USD Term SOFR + 2.25%), 7.90%, due 7/21/2026
|
837,693
|
1,480,050
|
Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.90%, due 7/22/2028
|
1,480,050
|
1,316,700
|
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. USD Term SOFR +
2.25%), 7.67%, due
5/24/2030
|
1,317,608
|
|
|
14,113,898
|
Machinery 0.5%
|
||
2,170,000
|
Barnes Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.42%, due
9/3/2030
|
2,141,074
|
Machinery Diversified 0.4%
|
||
1,880,552
|
Chart Industries, Inc., Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.66%, due
3/15/2030
|
1,874,289
|
Metals & Mining 0.3%
|
||
1,300,000
|
Arsenal AIC Parent LLC, Term Loan, (3 mo. USD Term SOFR + 4.50%), 9.88%, due
8/18/2030
|
1,295,827
|
Multiline Retail 0.5%
|
||
2,220,000
|
Peer Holding III BV, Term Loan B4, (1 mo. USD Term SOFR), due 10/19/2030
|
2,204,749
(g)(h)
|
Nonferrous Metals - Minerals 1.0%
|
||
2,020,128
|
Covia Holdings Corp., Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.68%, due
7/31/2026
|
2,004,129
|
482,825
|
Ozark Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%, due
12/16/2027
|
454,459
|
Principal Amount
|
Value
|
|
|
||
Nonferrous Metals - Minerals – cont'd
|
||
$2,149,407
|
U.S. Silica Co., Term Loan B, (1 mo. USD Term SOFR + 4.75%), 10.17%, due
3/25/2030
|
$2,147,494
|
|
|
4,606,082
|
Oil & Gas 3.8%
|
||
1,896,834
|
AL GCX Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.98%, due
5/17/2029
|
1,889,721
|
1,162,800
|
AL NGPL Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.83%, due
4/13/2028
|
1,156,020
|
1,105,000
|
Bangl LLC, Term Loan B, (1 mo. USD Term SOFR + 4.50%), 9.89%, due 2/1/2029
|
1,095,331
|
1,959,245
|
BCP Renaissance Parent LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%),
8.90%, due
10/31/2028
|
1,947,000
|
1,152,105
|
Brazos Delaware II LLC, Term Loan B, (1 mo. USD Term SOFR), due 2/11/2030
|
1,146,886
(g)(h)
|
1,079,450
|
Buckeye Partners LP, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.67%, due
11/1/2026
|
1,077,993
|
2,730,959
|
CQP Holdco LP, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.99%, due
6/5/2028
|
2,726,972
|
1,237,243
|
Freeport LNG Investments LLLP, Term Loan B, (3 mo. USD Term SOFR + 3.50%),
9.18%, due
12/21/2028
|
1,214,824
|
1,846,786
|
Oryx Midstream Services Permian Basin LLC, Term Loan, (1 mo. USD Term SOFR +
3.25%), 8.69%,
due 10/5/2028
|
1,842,686
|
1,337,402
|
Traverse Midstream Partners LLC, Term Loan, (3 mo. USD Term SOFR + 3.75%),
9.24%, due
2/16/2028
|
1,332,387
|
1,694,434
|
Waterbridge Midstream Operating LLC, Term Loan B, (3 mo. USD Term SOFR +
5.75%), 11.39%, due
6/22/2026
|
1,692,790
|
|
|
17,122,610
|
Oil & Gas Storage & Transportation 0.3%
|
||
1,376,550
|
Whitewater Whistler Holdings LLC, Term Loan B, (3 mo. USD Term SOFR +
2.75%), 8.15%, due
2/15/2030
|
1,374,540
|
Oil, Gas & Consumable Fuels 0.6%
|
||
1,395,000
|
GIP III Stetson I LP, Term Loan B, (1 mo. USD Term SOFR), due 10/5/2028
|
1,384,970
(g)(h)
|
1,370,000
|
GIP Pilot Acquisition Partners LP, Term Loan, (3 mo. USD Term SOFR + 3.00%),
8.39%, due
10/4/2030
|
1,366,575
|
|
|
2,751,545
|
Packaging 0.5%
|
||
1,332,800
|
Reynolds Group Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%),
8.69%, due
9/24/2028
|
1,325,230
|
967,763
|
Ring Container Technologies Group LLC, Term Loan B, (1 mo. USD Term SOFR +
3.50%), 8.94%, due
8/12/2028
|
965,101
|
|
|
2,290,331
|
Packaging & Containers 0.4%
|
||
1,610,000
|
Berry Global, Inc., Term Loan AA, (1 mo. USD Term SOFR + 1.75%), 7.20%, due
7/1/2029
|
1,594,109
|
Pipelines 0.5%
|
||
1,400,000
|
ITT Holdings LLC, Term Loan B, (1 mo. USD Term SOFR), due 10/5/2030
|
1,380,750
(g)(h)
|
1,030,000
|
New Fortress Energy, Inc., Term Loan, (1 mo. USD Term SOFR), due 10/27/2028
|
947,600
(f)(g)(h)
|
|
|
2,328,350
|
Professional Services 0.7%
|
||
1,405,000
|
Genuine Financial Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 4.00%),
9.39%, due
9/27/2030
|
1,389,194
|
1,096,749
|
Trans Union LLC, Term Loan B5, (1 mo. USD Term SOFR + 1.75%), 7.17%, due
11/16/2026
|
1,094,007
|
752,685
|
Vaco Holdings LLC, Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.39% –
10.59%, due 1/21/2029
|
711,994
(e)
|
|
|
3,195,195
|
Property & Casualty Insurance 0.3%
|
||
1,372,000
|
Broadstreet Partners, Inc., Term Loan B2, (1 mo. USD Term SOFR + 3.25%),
8.69%, due 1/27/2027
|
1,357,210
|
Principal Amount
|
Value
|
|
|
||
Publishing 0.6%
|
||
|
Ascend Learning LLC
|
|
$2,163,347
|
Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 12/11/2028
|
$2,008,537
|
725,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 5.75%), 11.17%, due 12/10/2029
|
609,602
|
|
|
2,618,139
|
Radio & Television 0.2%
|
||
485,000
|
iHeartCommunications, Inc., Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.44%,
due 5/1/2026
|
412,318
|
746,067
|
Sinclair Television Group, Inc., Term Loan B2B, (1 mo. USD Term SOFR +
2.50%), 7.94%, due
9/30/2026
|
624,831
|
|
|
1,037,149
|
Real Estate Investment Trusts 0.3%
|
||
1,407,925
|
RHP Hotel Properties LP, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%,
due 5/18/2030
|
1,407,221
|
Real Estate Management & Development 0.4%
|
||
1,730,000
|
Greystar Real Estate Partners LLC, Term Loan, (3 mo. USD Term SOFR + 3.75%),
9.15%, due
8/21/2030
|
1,725,675
(f)
|
Retail 0.1%
|
||
562,500
|
LIDS Holdings, Inc., Term Loan, (3 mo. USD Term SOFR + 5.50%), 11.06%, due
12/14/2026
|
541,406
(f)
|
Retailers (except food & drug) 3.5%
|
||
1,145,000
|
BJ's Wholesale Club, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.00%),
7.33%, due 2/3/2029
|
1,146,076
|
|
CNT Holdings I Corp.
|
|
1,086,193
|
Term Loan, (3 mo. USD Term SOFR + 3.50%), 8.93%, due 11/8/2027
|
1,079,915
|
655,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.18%, due 11/6/2028
|
652,544
|
|
EG Group Ltd.
|
|
229,639
|
Term Loan B, (3 mo. USD Term SOFR), due 2/7/2025
|
229,639
(f)(g)(h)
|
432,910
|
Term Loan B, (1 mo. USD Term SOFR), due 2/7/2025
|
413,429
(g)(h)
|
474,918
|
First Lien Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.41%, due 2/7/2025
|
474,577
(g)(h)
|
813,543
|
First Lien Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.41%, due 2/7/2025
|
773,883
(g)(h)
|
246,319
|
Term Loan B, (1 mo. USD Term SOFR), due 3/31/2026
|
245,395
(g)(h)
|
391,994
|
Term Loan B, (1 mo. USD Term SOFR), due 3/31/2026
|
372,394
(g)(h)
|
3,222,784
|
Great Outdoors Group LLC, Term Loan B1, (1 mo. USD Term SOFR + 3.75%),
9.40%, due 3/6/2028
|
3,193,908
|
1,968,576
|
Les Schwab Tire Centers, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%,
due 11/2/2027
|
1,958,733
|
989,993
|
Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR +
3.25%), 8.90%, due
3/3/2028
|
966,897
|
2,330,711
|
PetSmart, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due
2/11/2028
|
2,299,153
|
1,776,075
|
Sally Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due
2/28/2030
|
1,774,743
|
|
|
15,581,286
|
Software 0.9%
|
||
2,386,963
|
Central Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.41%, due
7/6/2029
|
2,371,352
|
495,000
|
Cloudera, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 6.00%),
11.42%, due 10/8/2029
|
442,817
|
1,188,825
|
ConnectWise LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.94%, due
9/29/2028
|
1,154,943
|
|
|
3,969,112
|
Specialty Retail 0.3%
|
||
1,207,708
|
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. USD Term SOFR
+ 3.25%),
8.69%, due 11/24/2028
|
1,195,631
|
Steel 0.2%
|
||
893,250
|
ChampionX Corp., Term Loan B1, (1 mo. USD Term SOFR + 2.75%), 8.18%, due
6/7/2029
|
894,644
|
Principal Amount
|
Value
|
|
|
||
Surface Transport 1.2%
|
||
$1,649,875
|
Avis Budget Car Rental LLC, Term Loan C, (1 mo. USD Term SOFR + 3.50%),
8.92%, due 3/16/2029
|
$1,649,182
|
|
Hertz Corp.
|
|
1,595,873
|
Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due 6/30/2028
|
1,580,920
|
307,684
|
Term Loan C, (1 mo. USD Term SOFR + 3.25%), 8.69%, due 6/30/2028
|
304,800
|
1,261,831
|
Kenan Advantage Group, Inc., Term Loan B1, (3 mo. USD Term SOFR + 3.75%),
9.48%, due
3/24/2026
|
1,253,806
|
798,826
|
PAI Holdco, Inc., Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.39%, due
10/28/2027
|
754,227
|
|
|
5,542,935
|
Telecommunications 3.4%
|
||
1,269,697
|
CenturyLink, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.69%, due
3/15/2027
|
952,870
|
2,699,125
|
Ciena Corp., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.43%, due
10/24/2030
|
2,696,885
(g)(h)
|
560,392
|
Cincinnati Bell, Inc., Term Loan B2, (1 mo. USD Term SOFR + 3.25%), 8.67%,
due 11/22/2028
|
547,318
(g)(h)
|
1,492,279
|
Connect Finco Sarl, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.82%, due
12/11/2026
|
1,454,510
|
1,441,292
|
Consolidated Communications, Inc., Term Loan B, (1 mo. USD Term SOFR +
3.50%), 8.94%, due
10/2/2027
|
1,291,946
|
1,450,123
|
Frontier Communications Corp., First Lien Term Loan, (1 mo. USD Term SOFR +
3.75%), 9.19%, due
10/8/2027
|
1,393,930
|
|
GTT Communications, Inc.
|
|
285,952
|
Term Loan, (1 mo. USD Term SOFR + 7.10%), 12.43%, due 12/30/2027
|
245,919
|
229,724
|
Term Loan, (3 mo. USD Term SOFR + 9.10%), 14.49%, due 6/30/2028
|
135,537
|
1,375,000
|
Iridium Satellite LLC, Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.82%,
due 9/20/2030
|
1,372,209
|
1,390,000
|
Level 3 Financing, Inc., Term Loan B, (1 mo. USD Term SOFR + 1.75%), 7.19%,
due 3/1/2027
|
1,295,397
|
330,000
|
Telesat Canada, Term Loan B5, (3 mo. USD Term SOFR + 2.75%), 8.43%, due
12/7/2026
|
224,482
|
|
ViaSat, Inc.
|
|
973,535
|
Term Loan, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 3/2/2029
|
897,785
|
495,000
|
Term Loan, (3 mo. USD Term SOFR), due 5/30/2030
|
456,949
(g)(h)
|
911,400
|
Voyage Australia Pty. Ltd., Term Loan B, (3 mo. USD Term SOFR + 3.50%),
9.18%, due 7/20/2028
|
898,011
|
|
Zayo Group Holdings, Inc.
|
|
615,875
|
Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.44%, due 3/9/2027
|
518,203
|
797,850
|
Term Loan B, (1 mo. USD Term SOFR + 4.33%), 9.65%, due 3/9/2027
|
670,697
|
|
|
15,052,648
|
Trading Companies & Distributors 0.8%
|
||
2,275,000
|
Delos Aircraft Designated Activity Co., Term Loan, (3 mo. USD Term SOFR +
2.00%), 7.40%, due
10/31/2027
|
2,273,589
|
1,135,000
|
Fastlane Parent Co., Inc., Term Loan B, (1 mo. USD Term SOFR + 4.50%), due
9/29/2028
|
1,119,394
(g)(h)
|
|
|
3,392,983
|
Transportation 0.9%
|
||
886,500
|
ASP Dream Acquisition Co. LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%),
9.42%, due
12/15/2028
|
875,419
(f)
|
|
LaserShip, Inc.
|
|
872,200
|
Term Loan, (3 mo. USD Term SOFR + 4.50%), 10.40%, due 5/7/2028
|
778,709
|
350,000
|
Second Lien Term Loan, (2 mo. USD Term SOFR + 7.50%), 13.40%, due 5/7/2029
|
281,750
|
1,379,575
|
Latam Airlines Group SA, Term Loan B, (3 mo. USD Term SOFR + 9.50%), 15.08%,
due 10/12/2027
|
1,407,166
|
|
Worldwide Express Operations LLC
|
|
478,200
|
First Lien Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.65%, due 7/26/2028
|
456,533
|
320,000
|
Second Lien Term Loan, (3 mo. USD Term SOFR + 7.00%), 12.65%, due 7/26/2029
|
268,000
|
|
|
4,067,577
|
Principal Amount
|
Value
|
|
|
||
Utilities 3.1%
|
||
$1,494,500
|
APX Group, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.25%, 3 mo. USD Term
SOFR + 3.25%),
8.92% – 10.75%, due 7/10/2028
|
$1,492,168
(e)
|
1,471,138
|
Artera Services LLC, Term Loan, (3 mo. USD Term SOFR + 3.50%), 8.99%, due
3/6/2025
|
1,326,481
|
403,017
|
Carroll County Energy LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%),
8.99%, due 2/13/2026
|
388,283
|
1,128,388
|
Eastern Power LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%, due
10/2/2025
|
1,091,399
(g)(h)
|
238,248
|
Edgewater Generation LLC, Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.19%,
due 12/13/2025
|
233,336
|
2,159,399
|
Granite Generation LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%,
due 11/9/2026
|
2,115,865
|
777,704
|
Kestrel Acquisition LLC, Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.69%,
due 6/2/2025
|
763,029
|
|
Lightstone Holdco LLC
|
|
2,060,101
|
Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.13%, due 1/29/2027
|
1,931,860
|
116,518
|
Term Loan C, (3 mo. USD Term SOFR + 5.75%), 11.13%, due 1/29/2027
|
109,265
|
609,731
|
Nautilus Power LLC, Term Loan B, (3 mo. USD Term SOFR + 5.25%), 10.90%, due
11/16/2026
|
487,278
|
837,900
|
Osmose Utilities Services, Inc., Term Loan, (1 mo. USD Term SOFR + 3.25%),
8.69%, due 6/23/2028
|
819,919
|
|
Talen Energy Supply LLC
|
|
725,143
|
Term Loan C, (3 mo. USD Term SOFR + 4.50%), 9.88%, due 5/17/2030
|
723,722
|
892,620
|
Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.88%, due 5/17/2030
|
890,870
|
|
USIC Holdings, Inc.
|
|
1,225,000
|
Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.94%, due 5/12/2028
|
1,181,549
|
250,000
|
Second Lien Term Loan, (1 mo. USD Term SOFR + 6.50%), 11.94%, due 5/14/2029
|
227,813
|
|
|
13,782,837
|
Total Loan Assignments (Cost
$403,767,888)
|
392,919,706
|
|
|
||
Convertible Bonds 0.3%
|
||
Engineering & Construction 0.1%
|
||
594,660
|
Brock Group, Inc., 0.00% Cash/15.00% PIK, due 1/24/2024
|
594,660
#(a)(f)(i)(j)
|
Media 0.2%
|
||
635,000
|
DISH Network Corp., 2.38%, due 3/15/2024
|
607,219
|
|
||
Total Convertible Bonds (Cost $1,225,222)
|
1,201,879
|
|
Number of Shares
|
|
|
|
||
Common Stocks 0.2%
|
||
Business Equipment & Services 0.1%
|
||
21,820
|
Brock Holdings III, Inc.
|
196,380
*#(f)(i)
|
Electrical Equipment 0.0%(d)
|
||
2,750
|
Lumileds Exit Private Equity
|
1,282
*
|
IT Services 0.0%(d)
|
||
4,020
|
Riverbed Technology, Inc.
|
40
*(f)
|
Materials 0.1%
|
||
39,703
|
Covia Holdings LLC
|
529,360
*
|
Real Estate Management & Development 0.0%(d)
|
||
5,457
|
GTT Communications, Inc.
|
60,027
*
|
Total Common Stocks (Cost $995,895)
|
787,089
|
|
|
Number of Shares
|
Value
|
||
|
|||
Short-Term Investments 8.2%
|
|||
Investment Companies 8.2%
|
|
|
|
36,510,734
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(k)
(Cost $36,510,734)
|
$36,510,734
|
|
Total Investments 103.1% (Cost
$474,586,118)
|
461,082,420
|
||
Liabilities Less Other Assets (3.1)%
|
(13,695,321
)(l)
|
||
Net Assets 100.0%
|
$447,387,099
|
*
|
Non-income producing security.
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $26,885,568, which represents 6.0% of net assets of the Fund.
|
(b)
|
|
(c)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933,
as amended.
Regulation S applies to securities offerings that are made outside of the United States and do
not involve
directed selling efforts in the United States and as such may have restrictions on resale.
Total value of all
such securities at October 31, 2023 amounted to $2,778,203, which represents 0.6% of net
assets of the
Fund.
|
(d)
|
Represents less than 0.05% of net assets of the Fund.
|
(e)
|
The stated interest rates represent the range of rates at October 31, 2023 of the underlying
contracts within
the Loan Assignment.
|
(f)
|
Value determined using significant unobservable inputs.
|
(g)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
(h)
|
All or a portion of this security had not settled as of October 31, 2023 and thus may not have
an interest
rate in effect. Interest rates do not take effect until settlement.
|
(i)
|
Security fair valued as of October 31, 2023 in accordance with procedures approved by the
valuation
designee. Total value of all such securities at October 31, 2023 amounted to $791,040, which
represents
0.2% of net assets of the Fund.
|
(j)
|
Payment-in-kind (PIK) security.
|
(k)
|
Represents 7-day effective yield as of October 31, 2023.
|
(l)
|
As of October 31, 2023, the value of unfunded note commitments was $1,000,000 for the Fund
(see
Note A of the Notes to Financial Statements)
|
Restricted Security
|
Acquisition
Date(s)
|
Acquisition
Cost
|
Value as of
10/31/2023
|
Fair Value
Percentage
of Net Assets
as of
10/31/2023
|
Brock Group, Inc.
|
10/31/2017
|
$445,282
|
$594,660
|
0.1
%
|
Brock Holdings III, Inc.
|
10/31/2017
|
403,016
|
196,380
|
0.1
%
|
Total
|
|
$848,298
|
$791,040
|
0.2
%
|
POSITIONS BY COUNTRY
|
||
Country
|
Investments at
Value
|
Percentage of
Net Assets
|
United States
|
$358,768,981
|
80.2
%
|
United Kingdom
|
15,444,305
|
3.4
%
|
Canada
|
12,821,287
|
2.9
%
|
Luxembourg
|
8,669,864
|
1.9
%
|
Cayman Islands
|
5,611,690
|
1.3
%
|
Netherlands
|
5,523,367
|
1.2
%
|
France
|
4,765,270
|
1.1
%
|
Ireland
|
3,753,639
|
0.8
%
|
Denmark
|
1,709,364
|
0.4
%
|
Sweden
|
1,692,300
|
0.4
%
|
Spain
|
1,597,399
|
0.4
%
|
Australia
|
1,570,343
|
0.3
%
|
Chile
|
1,407,166
|
0.3
%
|
Germany
|
792,089
|
0.2
%
|
Finland
|
444,622
|
0.1
%
|
Short-Term Investments and Other Liabilities—Net
|
22,815,413
|
5.1
%
|
|
$447,387,099
|
100.0
%
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Investments:
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$6,088,960
|
$—
|
$6,088,960
|
Corporate Bonds#
|
—
|
23,574,052
|
—
|
23,574,052
|
Loan Assignments
|
|
|
|
|
Building & Development
|
—
|
11,130,004
|
1,675,625
|
12,805,629
|
Business Services
|
—
|
—
|
739,291
|
739,291
|
Clothing - Textiles
|
—
|
1,493,520
|
1,984,813
|
3,478,333
|
Commercial Services
|
—
|
1,773,098
|
287,100
|
2,060,198
|
Commercial Services & Supplies
|
—
|
4,315,704
|
997,500
|
5,313,204
|
Diversified Financial Services
|
—
|
3,727,460
|
1,585,046
|
5,312,506
|
Electronics - Electrical
|
—
|
32,742,003
|
4,048,530
|
36,790,533
|
Financial Intermediaries
|
—
|
24,753,245
|
1,834,550
|
26,587,795
|
Health Care
|
—
|
22,960,365
|
3,058,601
|
26,018,966
|
Health Care Providers & Services
|
—
|
—
|
962,924
|
962,924
|
Industrial Equipment
|
—
|
10,480,537
|
805,100
|
11,285,637
|
Pipelines
|
—
|
1,380,750
|
947,600
|
2,328,350
|
Real Estate Management & Development
|
—
|
—
|
1,725,675
|
1,725,675
|
Retail
|
—
|
—
|
541,406
|
541,406
|
Retailers (except food & drug)
|
—
|
15,351,647
|
229,639
|
15,581,286
|
Transportation
|
—
|
3,192,158
|
875,419
|
4,067,577
|
Other Loan Assignments#
|
—
|
237,320,396
|
—
|
237,320,396
|
Total Loan Assignments
|
—
|
370,620,887
|
22,298,819
|
392,919,706
|
Convertible Bonds
|
|
|
|
|
Engineering & Construction
|
—
|
—
|
594,660
|
594,660
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Other Convertible Bonds#
|
$—
|
$607,219
|
$—
|
$607,219
|
Total Convertible Bonds
|
—
|
607,219
|
594,660
|
1,201,879
|
Common Stocks
|
|
|
|
|
Business Equipment & Services
|
—
|
—
|
196,380
|
196,380
|
Electrical Equipment
|
—
|
1,282
|
—
|
1,282
|
IT Services
|
—
|
—
|
40
|
40
|
Materials
|
—
|
529,360
|
—
|
529,360
|
Real Estate Management & Development
|
—
|
60,027
|
—
|
60,027
|
Total Common Stocks
|
—
|
590,669
|
196,420
|
787,089
|
Short-Term Investments
|
—
|
36,510,734
|
—
|
36,510,734
|
Total Investments
|
$—
|
$437,992,521
|
$23,089,899
|
$461,082,420
|
#
|
The Schedule of Investments provides information on the industry or sector categorization as
well as a
Positions by Country summary.
|
(a)
|
The following is a reconciliation between the beginning and ending balances of investments in
which
significant unobservable inputs (Level 3) were used in determining value:
|
(000's
omitted)
|
Beginning
balance as
of 11/1/2022
|
Accrued
discounts/
(premiums)
|
Realized
gain/(loss)
|
Change
in unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
10/31/2023
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
10/31/2023
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Loan
Assignments(1)
|
$41,792
|
$87
|
$(769
)
|
$1,556
|
$12,754
|
$(17,170
)
|
$5,180
|
$(21,131
)
|
$22,299
|
$526
|
Convertible
Bonds
|
515
|
—
|
—
|
—
|
80
|
—
|
—
|
—
|
595
|
—
|
Common
Stocks(1)(2)
|
197
|
—
|
—
|
(1
)
|
—
|
—
|
—
|
—
|
196
|
(1
)
|
Total
|
$42,504
|
$87
|
$(769
)
|
$1,555
|
$12,834
|
$(17,170
)
|
$5,180
|
$(21,131
)
|
$23,090
|
$525
|
(1) Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The
Fund does not have access to significant unobservable inputs and therefore cannot disclose such
inputs used in formulating such quotation.
|
||||||||||
(2) Quantitative Information about Level 3 Fair Value Measurements:
|
Investment type
|
Fair value
at
10/31/2023
|
Valuation
approach
|
Significant unobservable
input(s)
|
Input value/
range
|
Weighted
average(a)
|
Impact to
valuation
from
increase
in input(b)
|
Common Stocks
|
$196,380
|
Market Approach
|
Enterprise value/
EBITDA multiple(c) (EV/EBITDA)
|
9.0x
|
9.0x
|
Increase
|
Convertible Note
|
553,172
|
Income Approach
|
Credit Yield Spread
|
16.6%
|
16.6%
|
Decrease
|
(a) The weighted averages disclosed in the table above were weighted by relative fair value.
|
||||||
(b) Represents the expected directional change in the fair value of the Level 3 investments that
would result from an increase or decrease in the corresponding input.
Significant changes in
these inputs could result in significantly higher or lower fair value
measurements.
|
(c) Represents amounts used when the reporting entity has determined that market participants
would use such multiples when pricing the investments.
|
Principal Amount
|
Value
|
|||
U.S. Treasury Obligations 2.2%
|
|
|||
$
|
15,010,000
|
U.S. Treasury Notes, 5.00%, due 8/31/2025 (Cost $14,971,009)
|
$14,978,338
|
|
Asset-Backed Securities 1.5%
|
|
|||
|
1,000,000
|
37 Capital CLO 1 Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR +
7.46%), 12.86%, due
10/15/2034
|
945,015
(a)(b)
|
|
|
2,000,000
|
Canyon Capital CLO Ltd., Series 2021-2A, Class D, (3 mo. USD Term SOFR +
3.61%), 9.01%, due
4/15/2034
|
1,912,311
(a)(b)
|
|
|
800,000
|
Galaxy XXII CLO Ltd., Series 2016-22A, Class DRR, (3 mo. USD Term SOFR +
3.61%), 9.01%, due
4/16/2034
|
729,700
(a)(b)
|
|
|
2,000,000
|
KKR CLO Ltd., Series 23, Class D, (3 mo. USD Term SOFR + 3.36%), 8.78%, due
10/20/2031
|
1,922,918
(a)(b)
|
|
|
1,000,000
|
OCP CLO Ltd., Series 2015-9A, Class ER, (3 mo. USD Term SOFR + 6.80%),
12.19%, due
1/15/2033
|
923,662
(a)(b)
|
|
|
2,000,000
|
Octagon Investment Partners 39 Ltd., Series 2018-3A, Class D, (3 mo. USD
Term SOFR + 3.21%),
8.63%, due 10/20/2030
|
1,916,676
(a)(b)
|
|
|
875,000
|
Sandstone Peak Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.06%),
12.46%, due
10/15/2034
|
793,134
(a)(b)
|
|
|
1,000,000
|
Signal Peak CLO Ltd., Series 2021-10A, Class D, (3 mo. USD Term SOFR +
3.46%), 8.86%, due
1/24/2035
|
904,353
(a)(b)
|
|
|
500,000
|
Voya CLO Ltd., Series 2019-2A, Class E, (3 mo. USD Term SOFR + 6.86%),
12.28%, due 7/20/2032
|
480,522
(a)(b)
|
|
Total Asset-Backed Securities (Cost $10,419,591)
|
10,528,291
|
|||
|
||||
Corporate Bonds 89.0%
|
||||
Advertising 0.1%
|
|
|||
|
1,145,000
|
Summer BC Bidco B LLC, 5.50%, due 10/31/2026
|
997,123
(a)
|
|
Aerospace & Defense 1.8%
|
|
|||
|
1,110,000
|
Bombardier, Inc., 7.88%, due 4/15/2027
|
1,067,790
(a)
|
|
|
|
TransDigm, Inc.
|
|
|
|
1,400,000
|
6.25%, due 3/15/2026
|
1,367,044
(a)
|
|
|
705,000
|
7.50%, due 3/15/2027
|
704,137
|
|
|
1,525,000
|
5.50%, due 11/15/2027
|
1,419,706
|
|
|
5,075,000
|
6.75%, due 8/15/2028
|
4,927,740
(a)
|
|
|
2,900,000
|
6.88%, due 12/15/2030
|
2,800,124
(a)
|
|
|
|
|
12,286,541
|
|
Agriculture 0.1%
|
|
|||
|
365,000
|
Darling Ingredients, Inc., 6.00%, due 6/15/2030
|
342,443
(a)
|
|
Airlines 3.4%
|
|
|||
|
1,660,000
|
American Airlines, Inc., 7.25%, due 2/15/2028
|
1,543,505
(a)
|
|
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
|
|
|
|
5,248,333
|
5.50%, due 4/20/2026
|
5,103,734
(a)
|
|
|
5,870,000
|
5.75%, due 4/20/2029
|
5,295,062
(a)
|
|
|
|
Latam Airlines Group SA
|
|
|
|
890,000
|
13.38%, due 10/15/2027
|
951,940
(a)
|
|
|
990,000
|
13.38%, due 10/15/2029
|
1,066,979
(a)
|
|
|
|
United Airlines, Inc.
|
|
|
|
3,890,000
|
4.38%, due 4/15/2026
|
3,608,420
(a)
|
|
|
1,675,000
|
4.63%, due 4/15/2029
|
1,414,878
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Airlines – cont'd
|
|
|||
|
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc.
|
|
|
$
|
2,845,000
|
7.88%, due 5/1/2027
|
$2,188,033
(a)
|
|
|
1,380,000
|
9.50%, due 6/1/2028
|
1,057,317
(a)
|
|
|
2,635,000
|
6.38%, due 2/1/2030
|
1,757,262
(a)
|
|
|
|
|
23,987,130
|
|
Apparel 0.3%
|
|
|||
|
395,000
|
Hanesbrands, Inc., 4.88%, due 5/15/2026
|
362,932
(a)
|
|
|
790,000
|
William Carter Co., 5.63%, due 3/15/2027
|
748,542
(a)
|
|
|
1,330,000
|
Wolverine World Wide, Inc., 4.00%, due 8/15/2029
|
991,644
(a)
|
|
|
|
|
2,103,118
|
|
Auto Manufacturers 2.3%
|
|
|||
|
|
Ford Motor Co.
|
|
|
|
635,000
|
9.63%, due 4/22/2030
|
708,061
|
|
|
662,000
|
7.45%, due 7/16/2031
|
667,962
|
|
|
765,000
|
6.10%, due 8/19/2032
|
707,586
|
|
|
1,065,000
|
4.75%, due 1/15/2043
|
739,783
|
|
|
565,000
|
5.29%, due 12/8/2046
|
410,475
|
|
|
|
Ford Motor Credit Co. LLC
|
|
|
|
390,000
|
3.66%, due 9/8/2024
|
379,631
|
|
|
505,000
|
4.69%, due 6/9/2025
|
487,818
|
|
|
1,810,000
|
4.39%, due 1/8/2026
|
1,715,703
|
|
|
1,025,000
|
6.95%, due 3/6/2026
|
1,026,769
|
|
|
1,405,000
|
(Secured Overnight Financing Rate + 2.95%), 8.29%, due 3/6/2026
|
1,415,801
(b)
|
|
|
1,145,000
|
6.95%, due 6/10/2026
|
1,147,863
|
|
|
800,000
|
4.13%, due 8/17/2027
|
726,326
|
|
|
2,015,000
|
7.35%, due 11/4/2027
|
2,039,528
|
|
|
545,000
|
6.80%, due 5/12/2028
|
543,443
|
|
|
850,000
|
5.11%, due 5/3/2029
|
773,633
|
|
|
440,000
|
3.63%, due 6/17/2031
|
347,600
|
|
|
|
Jaguar Land Rover Automotive PLC
|
|
|
|
895,000
|
5.88%, due 1/15/2028
|
805,537
(a)
|
|
|
1,435,000
|
5.50%, due 7/15/2029
|
1,236,943
(a)
|
|
|
|
|
15,880,462
|
|
Auto Parts & Equipment 1.7%
|
|
|||
|
|
Dana, Inc.
|
|
|
|
1,095,000
|
5.38%, due 11/15/2027
|
1,007,400
|
|
|
2,440,000
|
4.50%, due 2/15/2032
|
1,910,764
|
|
|
680,000
|
Dealer Tire LLC/DT Issuer LLC, 8.00%, due 2/1/2028
|
637,816
(a)
|
|
|
|
Goodyear Tire & Rubber Co.
|
|
|
|
2,055,000
|
5.00%, due 5/31/2026
|
1,943,634
|
|
|
555,000
|
5.25%, due 4/30/2031
|
456,424
|
|
|
2,320,000
|
5.25%, due 7/15/2031
|
1,889,338
|
|
|
|
IHO Verwaltungs GmbH
|
|
|
|
411,000
|
4.75% Cash/5.50% PIK, due 9/15/2026
|
381,955
(a)(c)
|
|
|
1,130,000
|
6.38% Cash/7.13% PIK, due 5/15/2029
|
983,783
(a)(c)
|
Principal Amount
|
Value
|
|||
|
||||
Auto Parts & Equipment – cont'd
|
|
|||
|
|
ZF North America Capital, Inc.
|
|
|
$
|
890,000
|
4.75%, due 4/29/2025
|
$858,713
(a)
|
|
|
1,150,000
|
6.88%, due 4/14/2028
|
1,114,405
(a)
|
|
|
1,070,000
|
7.13%, due 4/14/2030
|
1,037,968
(a)
|
|
|
|
|
12,222,200
|
|
Banks 0.6%
|
|
|||
|
1,145,000
|
Bank of New York Mellon Corp., 3.70%, due 3/20/2026
|
984,991
(d)(e)
|
|
|
2,560,000
|
JPMorgan Chase & Co., 4.60%, due 2/1/2025
|
2,385,058
(d)(e)
|
|
|
1,210,000
|
PNC Financial Services Group, Inc., 3.40%, due 9/15/2026
|
870,645
(d)(e)
|
|
|
|
|
4,240,694
|
|
Building Materials 2.3%
|
|
|||
|
|
Builders FirstSource, Inc.
|
|
|
|
610,000
|
5.00%, due 3/1/2030
|
532,327
(a)
|
|
|
1,750,000
|
6.38%, due 6/15/2032
|
1,601,724
(a)
|
|
|
3,470,000
|
Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028
|
3,240,043
(a)
|
|
|
1,300,000
|
Cornerstone Building Brands, Inc., 6.13%, due 1/15/2029
|
950,432
(a)
|
|
|
1,475,000
|
Emerald Debt Merger Sub LLC, 6.63%, due 12/15/2030
|
1,403,094
(a)
|
|
|
|
Jeld-Wen, Inc.
|
|
|
|
1,098,000
|
4.63%, due 12/15/2025
|
1,036,238
(a)
|
|
|
2,505,000
|
4.88%, due 12/15/2027
|
2,123,346
(a)
|
|
|
1,860,000
|
Knife River Corp., 7.75%, due 5/1/2031
|
1,853,068
(a)
|
|
|
|
Masonite International Corp.
|
|
|
|
990,000
|
5.38%, due 2/1/2028
|
911,701
(a)
|
|
|
435,000
|
3.50%, due 2/15/2030
|
344,443
(a)
|
|
|
2,395,000
|
Standard Industries, Inc., 4.38%, due 7/15/2030
|
1,956,769
(a)
|
|
|
|
|
15,953,185
|
|
Chemicals 2.1%
|
|
|||
|
1,647,000
|
Ashland, Inc., 3.38%, due 9/1/2031
|
1,262,550
(a)
|
|
|
2,270,000
|
Avient Corp., 7.13%, due 8/1/2030
|
2,183,948
(a)
|
|
|
385,000
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 7/1/2028
|
359,706
(a)
|
|
|
2,225,000
|
INEOS Finance PLC, 6.75%, due 5/15/2028
|
2,077,561
(a)
|
|
|
1,180,000
|
INEOS Quattro Finance 2 PLC, 3.38%, due 1/15/2026
|
1,126,900
(a)
|
|
|
1,420,000
|
NOVA Chemicals Corp., 5.25%, due 6/1/2027
|
1,199,424
(a)
|
|
|
|
Olympus Water U.S. Holding Corp.
|
|
|
|
1,230,000
|
4.25%, due 10/1/2028
|
981,466
(a)
|
|
|
1,290,000
|
9.75%, due 11/15/2028
|
1,259,944
(a)
|
|
|
870,000
|
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026
|
771,713
(a)
|
|
|
|
SNF Group SACA
|
|
|
|
415,000
|
3.13%, due 3/15/2027
|
367,228
(a)
|
|
|
155,000
|
3.38%, due 3/15/2030
|
123,958
(a)
|
|
|
1,505,000
|
Tronox, Inc., 4.63%, due 3/15/2029
|
1,185,537
(a)
|
|
|
2,295,000
|
Vibrantz Technologies, Inc., 9.00%, due 2/15/2030
|
1,826,576
(a)
|
|
|
345,000
|
WR Grace Holdings LLC, 5.63%, due 8/15/2029
|
267,375
(a)
|
|
|
|
|
14,993,886
|
|
Commercial Services 4.1%
|
|
|||
|
|
ADT Security Corp.
|
|
|
|
840,000
|
4.13%, due 8/1/2029
|
720,426
(a)
|
|
|
700,000
|
4.88%, due 7/15/2032
|
585,557
(a)
|
|
|
900,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, due
6/1/2029
|
650,250
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Commercial Services – cont'd
|
|
|||
$
|
1,120,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4
SARL, 4.63%, due
6/1/2028
|
$916,059
(a)
|
|
|
885,000
|
APi Group DE, Inc., 4.13%, due 7/15/2029
|
721,790
(a)
|
|
|
|
APX Group, Inc.
|
|
|
|
135,000
|
6.75%, due 2/15/2027
|
130,330
(a)
|
|
|
3,685,000
|
5.75%, due 7/15/2029
|
3,063,575
(a)
|
|
|
2,329,000
|
ASGN, Inc., 4.63%, due 5/15/2028
|
2,062,294
(a)
|
|
|
|
Garda World Security Corp.
|
|
|
|
365,000
|
7.75%, due 2/15/2028
|
351,013
(a)
|
|
|
810,000
|
6.00%, due 6/1/2029
|
617,474
(a)
|
|
|
2,980,000
|
GTCR W-2 Merger Sub LLC, 7.50%, due 1/15/2031
|
2,942,303
(a)
|
|
|
1,655,000
|
Hertz Corp., 4.63%, due 12/1/2026
|
1,386,268
(a)
|
|
|
815,000
|
MPH Acquisition Holdings LLC, 5.50%, due 9/1/2028
|
692,833
(a)
|
|
|
1,580,000
|
Neptune Bidco U.S., Inc., 9.29%, due 4/15/2029
|
1,394,427
(a)
|
|
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc.
|
|
|
|
3,310,000
|
5.75%, due 4/15/2026
|
3,211,057
(a)
|
|
|
3,230,000
|
6.25%, due 1/15/2028
|
2,995,188
(a)
|
|
|
|
United Rentals North America, Inc.
|
|
|
|
385,000
|
4.88%, due 1/15/2028
|
357,194
|
|
|
1,800,000
|
5.25%, due 1/15/2030
|
1,643,641
|
|
|
500,000
|
4.00%, due 7/15/2030
|
420,168
|
|
|
2,550,000
|
3.75%, due 1/15/2032
|
2,027,525
|
|
|
35,000
|
Verscend Escrow Corp., 9.75%, due 8/15/2026
|
34,742
(a)
|
|
|
1,590,000
|
Williams Scotsman, Inc., 7.38%, due 10/1/2031
|
1,563,957
(a)
|
|
|
|
|
28,488,071
|
|
Computers 1.1%
|
|
|||
|
2,275,000
|
Ahead DB Holdings LLC, 6.63%, due 5/1/2028
|
1,865,500
(a)
|
|
|
1,660,000
|
McAfee Corp., 7.38%, due 2/15/2030
|
1,327,960
(a)
|
|
|
4,540,000
|
Presidio Holdings, Inc., 8.25%, due 2/1/2028
|
4,296,308
(a)
|
|
|
|
|
7,489,768
|
|
Cosmetics - Personal Care 0.6%
|
|
|||
|
2,175,000
|
Coty, Inc., 5.00%, due 4/15/2026
|
2,077,930
(a)
|
|
|
1,965,000
|
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC,
6.63%, due 7/15/2030
|
1,872,098
(a)
|
|
|
|
|
3,950,028
|
|
Distribution - Wholesale 0.8%
|
|
|||
|
975,000
|
BCPE Empire Holdings, Inc., 7.63%, due 5/1/2027
|
894,309
(a)
|
|
|
2,185,000
|
Resideo Funding, Inc., 4.00%, due 9/1/2029
|
1,753,463
(a)
|
|
|
825,000
|
Ritchie Bros Holdings, Inc., 6.75%, due 3/15/2028
|
808,482
(a)
|
|
|
2,200,000
|
Windsor Holdings III LLC, 8.50%, due 6/15/2030
|
2,141,626
(a)
|
|
|
|
|
5,597,880
|
|
Diversified Financial Services 0.9%
|
|
|||
|
|
Ally Financial, Inc.
|
|
|
|
720,000
|
5.80%, due 5/1/2025
|
704,726
|
|
|
380,000
|
5.75%, due 11/20/2025
|
363,001
|
|
|
1,582,905
|
Global Aircraft Leasing Co. Ltd., 6.50% Cash/7.25% PIK, due 9/15/2024
|
1,430,495
(a)(c)
|
|
|
|
LPL Holdings, Inc.
|
|
|
|
435,000
|
4.63%, due 11/15/2027
|
397,785
(a)
|
|
|
410,000
|
4.00%, due 3/15/2029
|
352,545
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Diversified Financial Services – cont'd
|
|
|||
|
|
OneMain Finance Corp.
|
|
|
$
|
715,000
|
6.88%, due 3/15/2025
|
$705,415
|
|
|
600,000
|
7.13%, due 3/15/2026
|
582,719
|
|
|
375,000
|
3.50%, due 1/15/2027
|
316,875
|
|
|
820,000
|
3.88%, due 9/15/2028
|
648,333
|
|
|
30,000
|
9.00%, due 1/15/2029
|
29,195
|
|
|
670,000
|
5.38%, due 11/15/2029
|
550,898
|
|
|
|
|
6,081,987
|
|
Electric 2.9%
|
|
|||
|
|
Calpine Corp.
|
|
|
|
650,000
|
5.25%, due 6/1/2026
|
622,115
(a)
|
|
|
95,000
|
5.13%, due 3/15/2028
|
85,019
(a)
|
|
|
970,000
|
4.63%, due 2/1/2029
|
819,298
(a)
|
|
|
2,139,000
|
5.00%, due 2/1/2031
|
1,725,270
(a)
|
|
|
365,000
|
Clearway Energy Operating LLC, 3.75%, due 1/15/2032
|
276,473
(a)
|
|
|
2,180,000
|
Leeward Renewable Energy Operations LLC, 4.25%, due 7/1/2029
|
1,780,343
(a)
|
|
|
|
NRG Energy, Inc.
|
|
|
|
2,810,000
|
10.25%, due 3/15/2028
|
2,712,696
(a)(d)(e)
|
|
|
2,080,000
|
5.25%, due 6/15/2029
|
1,835,102
(a)
|
|
|
595,000
|
3.63%, due 2/15/2031
|
449,009
(a)
|
|
|
970,000
|
3.88%, due 2/15/2032
|
720,870
(a)
|
|
|
390,000
|
Talen Energy Supply LLC, 8.63%, due 6/1/2030
|
396,283
(a)
|
|
|
1,940,000
|
TransAlta Corp., 7.75%, due 11/15/2029
|
1,930,131
|
|
|
2,325,000
|
Vistra Corp., 7.00%, due 12/15/2026
|
2,115,750
(a)(d)(e)
|
|
|
|
Vistra Operations Co. LLC
|
|
|
|
970,000
|
5.50%, due 9/1/2026
|
922,831
(a)
|
|
|
2,020,000
|
4.38%, due 5/1/2029
|
1,715,778
(a)
|
|
|
2,205,000
|
7.75%, due 10/15/2031
|
2,128,310
(a)
|
|
|
|
|
20,235,278
|
|
Electrical Components & Equipment 0.4%
|
|
|||
|
3,335,000
|
Energizer Holdings, Inc., 6.50%, due 12/31/2027
|
3,108,798
(a)
|
|
Electronics 0.9%
|
|
|||
|
4,050,000
|
Imola Merger Corp., 4.75%, due 5/15/2029
|
3,530,762
(a)
|
|
|
|
Sensata Technologies BV
|
|
|
|
140,000
|
5.00%, due 10/1/2025
|
136,117
(a)
|
|
|
1,890,000
|
4.00%, due 4/15/2029
|
1,606,703
(a)
|
|
|
1,075,000
|
5.88%, due 9/1/2030
|
981,833
(a)
|
|
|
435,000
|
TTM Technologies, Inc., 4.00%, due 3/1/2029
|
356,696
(a)
|
|
|
|
|
6,612,111
|
|
Energy - Alternate Sources 0.3%
|
|
|||
|
|
Sunnova Energy Corp.
|
|
|
|
1,155,000
|
5.88%, due 9/1/2026
|
935,585
(a)
|
|
|
1,660,000
|
11.75%, due 10/1/2028
|
1,416,029
(a)
|
|
|
|
|
2,351,614
|
|
Engineering & Construction 0.9%
|
|
|||
|
4,228,000
|
Global Infrastructure Solutions, Inc., 5.63%, due 6/1/2029
|
3,382,400
(a)
|
|
|
2,973,000
|
VM Consolidated, Inc., 5.50%, due 4/15/2029
|
2,632,800
(a)
|
|
|
|
|
6,015,200
|
Principal Amount
|
Value
|
|||
|
||||
Entertainment 4.4%
|
|
|||
$
|
1,120,000
|
Allwyn Entertainment Financing U.K. PLC, 7.88%, due 4/30/2029
|
$1,103,760
(a)
|
|
|
1,690,000
|
Banijay Entertainment SASU, 8.13%, due 5/1/2029
|
1,647,729
(a)
|
|
|
|
Caesars Entertainment, Inc.
|
|
|
|
1,060,000
|
6.25%, due 7/1/2025
|
1,042,921
(a)
|
|
|
500,000
|
8.13%, due 7/1/2027
|
495,437
(a)
|
|
|
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op
|
|
|
|
300,000
|
5.50%, due 5/1/2025
|
294,034
(a)
|
|
|
1,145,000
|
6.50%, due 10/1/2028
|
1,059,788
|
|
|
|
Churchill Downs, Inc.
|
|
|
|
445,000
|
5.50%, due 4/1/2027
|
417,387
(a)
|
|
|
780,000
|
4.75%, due 1/15/2028
|
698,510
(a)
|
|
|
2,950,000
|
6.75%, due 5/1/2031
|
2,721,375
(a)
|
|
|
1,515,000
|
Everi Holdings, Inc., 5.00%, due 7/15/2029
|
1,273,024
(a)
|
|
|
|
International Game Technology PLC
|
|
|
|
1,075,000
|
4.13%, due 4/15/2026
|
1,011,564
(a)
|
|
|
140,000
|
6.25%, due 1/15/2027
|
136,445
(a)
|
|
|
|
Light & Wonder International, Inc.
|
|
|
|
1,385,000
|
7.00%, due 5/15/2028
|
1,350,082
(a)
|
|
|
1,115,000
|
7.25%, due 11/15/2029
|
1,081,294
(a)
|
|
|
1,330,000
|
7.50%, due 9/1/2031
|
1,298,650
(a)
|
|
|
|
Live Nation Entertainment, Inc.
|
|
|
|
520,000
|
5.63%, due 3/15/2026
|
498,000
(a)
|
|
|
845,000
|
6.50%, due 5/15/2027
|
824,412
(a)
|
|
|
335,000
|
3.75%, due 1/15/2028
|
292,790
(a)
|
|
|
385,000
|
Merlin Entertainments Ltd., 5.75%, due 6/15/2026
|
360,090
(a)
|
|
|
3,200,000
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due
5/1/2029
|
2,664,000
(a)
|
|
|
720,000
|
Motion Bondco DAC, 6.63%, due 11/15/2027
|
644,400
(a)
|
|
|
1,170,000
|
Penn Entertainment, Inc., 5.63%, due 1/15/2027
|
1,067,352
(a)
|
|
|
2,180,000
|
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026
|
2,028,490
(a)
|
|
|
2,550,000
|
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, due
3/1/2030
|
2,193,000
(a)
|
|
|
2,580,000
|
SeaWorld Parks & Entertainment, Inc., 5.25%, due 8/15/2029
|
2,247,257
(a)
|
|
|
925,000
|
Warnermedia Holdings, Inc., 5.14%, due 3/15/2052
|
654,545
|
|
|
|
WMG Acquisition Corp.
|
|
|
|
820,000
|
3.75%, due 12/1/2029
|
688,292
(a)
|
|
|
485,000
|
3.88%, due 7/15/2030
|
403,112
(a)
|
|
|
1,100,000
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, due 10/1/2029
|
938,086
(a)
|
|
|
|
|
31,135,826
|
|
Environmental Control 0.2%
|
|
|||
|
|
GFL Environmental, Inc.
|
|
|
|
135,000
|
3.75%, due 8/1/2025
|
127,679
(a)
|
|
|
125,000
|
3.50%, due 9/1/2028
|
107,030
(a)
|
|
|
1,895,000
|
Madison IAQ LLC, 5.88%, due 6/30/2029
|
1,467,934
(a)
|
|
|
|
|
1,702,643
|
|
Food 3.0%
|
|
|||
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
|
|
|
|
130,000
|
3.25%, due 3/15/2026
|
120,079
(a)
|
|
|
335,000
|
5.88%, due 2/15/2028
|
320,896
(a)
|
|
|
2,820,000
|
6.50%, due 2/15/2028
|
2,768,656
(a)
|
|
|
1,030,000
|
3.50%, due 3/15/2029
|
878,179
(a)
|
|
|
2,175,000
|
4.88%, due 2/15/2030
|
1,941,874
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Food – cont'd
|
|
|||
|
|
Performance Food Group, Inc.
|
|
|
$
|
1,950,000
|
5.50%, due 10/15/2027
|
$1,823,395
(a)
|
|
|
405,000
|
4.25%, due 8/1/2029
|
341,729
(a)
|
|
|
|
Pilgrim's Pride Corp.
|
|
|
|
3,015,000
|
4.25%, due 4/15/2031
|
2,483,637
|
|
|
1,320,000
|
3.50%, due 3/1/2032
|
1,005,576
|
|
|
2,190,000
|
6.25%, due 7/1/2033
|
2,012,603
|
|
|
1,705,000
|
6.88%, due 5/15/2034
|
1,613,268
|
|
|
1,450,000
|
TreeHouse Foods, Inc., 4.00%, due 9/1/2028
|
1,179,584
|
|
|
|
U.S. Foods, Inc.
|
|
|
|
1,155,000
|
6.88%, due 9/15/2028
|
1,128,855
(a)
|
|
|
1,220,000
|
4.75%, due 2/15/2029
|
1,076,232
(a)
|
|
|
945,000
|
4.63%, due 6/1/2030
|
806,941
(a)
|
|
|
1,360,000
|
7.25%, due 1/15/2032
|
1,335,027
(a)
|
|
|
|
|
20,836,531
|
|
Forest Products & Paper 0.2%
|
|
|||
|
1,655,000
|
Ahlstrom Holding 3 Oyj, 4.88%, due 2/4/2028
|
1,350,182
(a)
|
|
Healthcare - Products 0.7%
|
|
|||
|
1,050,000
|
Bausch & Lomb Escrow Corp., 8.38%, due 10/1/2028
|
1,042,912
(a)
|
|
|
|
Medline Borrower LP
|
|
|
|
2,985,000
|
3.88%, due 4/1/2029
|
2,520,432
(a)
|
|
|
1,380,000
|
5.25%, due 10/1/2029
|
1,174,686
(a)
|
|
|
|
|
4,738,030
|
|
Healthcare - Services 3.7%
|
|
|||
|
|
Catalent Pharma Solutions, Inc.
|
|
|
|
1,700,000
|
3.13%, due 2/15/2029
|
1,336,625
(a)
|
|
|
470,000
|
3.50%, due 4/1/2030
|
368,950
(a)
|
|
|
|
CHS/Community Health Systems, Inc.
|
|
|
|
655,000
|
5.63%, due 3/15/2027
|
532,144
(a)
|
|
|
40,000
|
6.00%, due 1/15/2029
|
30,300
(a)
|
|
|
1,765,000
|
5.25%, due 5/15/2030
|
1,253,422
(a)
|
|
|
|
DaVita, Inc.
|
|
|
|
880,000
|
4.63%, due 6/1/2030
|
689,665
(a)
|
|
|
945,000
|
3.75%, due 2/15/2031
|
679,271
(a)
|
|
|
755,000
|
Encompass Health Corp., 4.50%, due 2/1/2028
|
680,655
|
|
|
465,000
|
Fortrea Holdings, Inc., 7.50%, due 7/1/2030
|
448,725
(a)
|
|
|
830,000
|
HealthEquity, Inc., 4.50%, due 10/1/2029
|
710,977
(a)
|
|
|
|
IQVIA, Inc.
|
|
|
|
620,000
|
5.00%, due 10/15/2026
|
591,056
(a)
|
|
|
2,235,000
|
5.00%, due 5/15/2027
|
2,102,652
(a)
|
|
|
790,000
|
Legacy LifePoint Health LLC, 4.38%, due 2/15/2027
|
653,259
(a)
|
|
|
805,000
|
LifePoint Health, Inc., 9.88%, due 8/15/2030
|
727,519
(a)
|
|
|
|
Molina Healthcare, Inc.
|
|
|
|
1,025,000
|
4.38%, due 6/15/2028
|
912,267
(a)
|
|
|
2,300,000
|
3.88%, due 5/15/2032
|
1,807,247
(a)
|
|
|
710,000
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%,
due 12/1/2026
|
663,840
(a)
|
|
|
1,480,000
|
Select Medical Corp., 6.25%, due 8/15/2026
|
1,439,477
(a)
|
|
|
1,140,000
|
Star Parent, Inc., 9.00%, due 10/1/2030
|
1,131,318
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Healthcare - Services – cont'd
|
|
|||
|
|
Tenet Healthcare Corp.
|
|
|
$
|
1,130,000
|
4.88%, due 1/1/2026
|
$1,082,996
|
|
|
1,040,000
|
5.13%, due 11/1/2027
|
960,042
|
|
|
1,910,000
|
6.13%, due 10/1/2028
|
1,771,525
|
|
|
1,380,000
|
6.13%, due 6/15/2030
|
1,277,218
|
|
|
3,070,000
|
6.75%, due 5/15/2031
|
2,915,374
(a)
|
|
|
975,000
|
U.S. Acute Care Solutions LLC, 6.38%, due 3/1/2026
|
829,495
(a)
|
|
|
|
|
25,596,019
|
|
Holding Companies - Diversified 0.2%
|
|
|||
|
1,370,000
|
Benteler International AG, 10.50%, due 5/15/2028
|
1,379,910
(a)
|
|
Home Builders 0.9%
|
|
|||
|
2,135,000
|
KB Home, 7.25%, due 7/15/2030
|
2,049,600
|
|
|
|
Mattamy Group Corp.
|
|
|
|
570,000
|
5.25%, due 12/15/2027
|
512,122
(a)
|
|
|
790,000
|
4.63%, due 3/1/2030
|
645,002
(a)
|
|
|
375,000
|
Meritage Homes Corp., 5.13%, due 6/6/2027
|
354,375
|
|
|
|
Shea Homes LP/Shea Homes Funding Corp.
|
|
|
|
1,280,000
|
4.75%, due 2/15/2028
|
1,124,969
|
|
|
1,175,000
|
4.75%, due 4/1/2029
|
991,898
|
|
|
905,000
|
Tri Pointe Homes, Inc., 5.25%, due 6/1/2027
|
819,025
|
|
|
|
|
6,496,991
|
|
Household Products - Wares 0.1%
|
|
|||
|
905,000
|
Spectrum Brands, Inc., 3.88%, due 3/15/2031
|
724,398
(a)
|
|
Housewares 0.1%
|
|
|||
|
695,000
|
Newell Brands, Inc., 6.38%, due 4/1/2036
|
545,108
|
|
Insurance 2.0%
|
|
|||
|
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer
|
|
|
|
4,563,000
|
6.75%, due 10/15/2027
|
4,167,205
(a)
|
|
|
1,635,000
|
6.75%, due 4/15/2028
|
1,553,651
(a)
|
|
|
|
AssuredPartners, Inc.
|
|
|
|
710,000
|
7.00%, due 8/15/2025
|
696,433
(a)
|
|
|
2,000,000
|
5.63%, due 1/15/2029
|
1,696,662
(a)
|
|
|
1,345,000
|
BroadStreet Partners, Inc., 5.88%, due 4/15/2029
|
1,172,641
(a)
|
|
|
571,000
|
GTCR AP Finance, Inc., 8.00%, due 5/15/2027
|
555,986
(a)
|
|
|
|
HUB International Ltd.
|
|
|
|
1,355,000
|
7.00%, due 5/1/2026
|
1,318,973
(a)
|
|
|
3,230,000
|
7.25%, due 6/15/2030
|
3,150,736
(a)
|
|
|
|
|
14,312,287
|
|
Internet 2.1%
|
|
|||
|
4,585,000
|
EquipmentShare.com, Inc., 9.00%, due 5/15/2028
|
4,309,900
(a)
|
|
|
|
Gen Digital, Inc.
|
|
|
|
1,175,000
|
6.75%, due 9/30/2027
|
1,143,734
(a)
|
|
|
1,020,000
|
7.13%, due 9/30/2030
|
992,308
(a)
|
|
|
1,640,000
|
Match Group Holdings II LLC, 5.63%, due 2/15/2029
|
1,480,366
(a)
|
|
|
2,775,000
|
Newfold Digital Holdings Group, Inc., 6.00%, due 2/15/2029
|
1,823,309
(a)
|
|
|
|
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
|
|
|
|
2,170,000
|
4.75%, due 4/30/2027
|
1,936,725
(a)
|
|
|
1,025,000
|
6.00%, due 2/15/2028
|
845,625
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Internet – cont'd
|
|
|||
$
|
2,645,000
|
Ziff Davis, Inc., 4.63%, due 10/15/2030
|
$2,214,443
(a)
|
|
|
|
|
14,746,410
|
|
Iron - Steel 0.7%
|
|
|||
|
|
ATI, Inc.
|
|
|
|
880,000
|
5.88%, due 12/1/2027
|
816,438
|
|
|
535,000
|
4.88%, due 10/1/2029
|
455,616
|
|
|
1,130,000
|
7.25%, due 8/15/2030
|
1,087,828
|
|
|
1,370,000
|
Carpenter Technology Corp., 7.63%, due 3/15/2030
|
1,352,464
|
|
|
1,360,000
|
TMS International Corp., 6.25%, due 4/15/2029
|
1,072,975
(a)
|
|
|
|
|
4,785,321
|
|
Leisure Time 2.7%
|
|
|||
|
515,000
|
Acushnet Co., 7.38%, due 10/15/2028
|
515,937
(a)
|
|
|
|
Carnival Corp.
|
|
|
|
715,000
|
7.63%, due 3/1/2026
|
695,261
(a)
|
|
|
395,000
|
5.75%, due 3/1/2027
|
352,680
(a)
|
|
|
875,000
|
9.88%, due 8/1/2027
|
912,013
(a)
|
|
|
905,000
|
7.00%, due 8/15/2029
|
887,389
(a)
|
|
|
4,560,000
|
Carnival Holdings Bermuda Ltd., 10.38%, due 5/1/2028
|
4,861,937
(a)
|
|
|
705,000
|
Carnival PLC, 7.88%, due 6/1/2027
|
718,254
|
|
|
545,000
|
Lindblad Expeditions Holdings, Inc., 9.00%, due 5/15/2028
|
524,263
(a)
|
|
|
130,000
|
Lindblad Expeditions LLC, 6.75%, due 2/15/2027
|
118,473
(a)
|
|
|
1,890,000
|
NCL Corp. Ltd., 5.88%, due 2/15/2027
|
1,739,687
(a)
|
|
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
970,000
|
4.25%, due 7/1/2026
|
892,013
(a)
|
|
|
3,295,000
|
5.50%, due 4/1/2028
|
3,004,551
(a)
|
|
|
1,615,000
|
9.25%, due 1/15/2029
|
1,685,800
(a)
|
|
|
2,230,000
|
7.25%, due 1/15/2030
|
2,199,837
(a)
|
|
|
|
|
19,108,095
|
|
Lodging 0.1%
|
|
|||
|
810,000
|
Wyndham Hotels & Resorts, Inc., 4.38%, due 8/15/2028
|
714,865
(a)
|
|
Machinery - Construction & Mining 0.4%
|
|
|||
|
1,425,000
|
Manitowoc Co., Inc., 9.00%, due 4/1/2026
|
1,396,794
(a)
|
|
|
1,745,000
|
Terex Corp., 5.00%, due 5/15/2029
|
1,527,480
(a)
|
|
|
|
|
2,924,274
|
|
Machinery - Diversified 1.0%
|
|
|||
|
810,000
|
ATS Corp., 4.13%, due 12/15/2028
|
695,587
(a)
|
|
|
|
Chart Industries, Inc.
|
|
|
|
3,590,000
|
7.50%, due 1/1/2030
|
3,525,327
(a)
|
|
|
265,000
|
9.50%, due 1/1/2031
|
272,941
(a)
|
|
|
1,765,000
|
SPX FLOW, Inc., 8.75%, due 4/1/2030
|
1,618,170
(a)
|
|
|
410,000
|
TK Elevator Holdco GmbH, 7.63%, due 7/15/2028
|
369,779
(a)
|
|
|
840,000
|
TK Elevator U.S. Newco, Inc., 5.25%, due 7/15/2027
|
764,776
(a)
|
|
|
|
|
7,246,580
|
|
Media 4.9%
|
|
|||
|
|
Altice Financing SA
|
|
|
|
715,000
|
5.00%, due 1/15/2028
|
581,486
(a)
|
|
|
1,540,000
|
5.75%, due 8/15/2029
|
1,190,894
(a)
|
|
|
1,795,000
|
Cable One, Inc., 4.00%, due 11/15/2030
|
1,337,275
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Media – cont'd
|
|
|||
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|
|
$
|
395,000
|
5.13%, due 5/1/2027
|
$363,675
(a)
|
|
|
4,210,000
|
5.00%, due 2/1/2028
|
3,780,316
(a)
|
|
|
1,590,000
|
6.38%, due 9/1/2029
|
1,455,165
(a)
|
|
|
1,745,000
|
4.75%, due 3/1/2030
|
1,439,490
(a)
|
|
|
1,310,000
|
4.25%, due 2/1/2031
|
1,019,439
(a)
|
|
|
735,000
|
7.38%, due 3/1/2031
|
694,590
(a)
|
|
|
880,000
|
4.75%, due 2/1/2032
|
686,893
(a)
|
|
|
1,840,000
|
4.50%, due 5/1/2032
|
1,408,514
|
|
|
1,150,000
|
4.25%, due 1/15/2034
|
830,648
(a)
|
|
|
|
CSC Holdings LLC
|
|
|
|
1,780,000
|
5.25%, due 6/1/2024
|
1,664,341
|
|
|
1,330,000
|
5.38%, due 2/1/2028
|
1,059,126
(a)
|
|
|
810,000
|
11.25%, due 5/15/2028
|
772,590
(a)
|
|
|
5,585,000
|
5.75%, due 1/15/2030
|
2,921,902
(a)
|
|
|
2,065,000
|
4.13%, due 12/1/2030
|
1,383,472
(a)
|
|
|
1,645,000
|
4.63%, due 12/1/2030
|
834,216
(a)
|
|
|
1,085,000
|
5.00%, due 11/15/2031
|
554,803
(a)
|
|
|
2,725,000
|
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, due 8/15/2026
|
28,068
(a)(f)
|
|
|
|
DISH DBS Corp.
|
|
|
|
605,000
|
7.75%, due 7/1/2026
|
405,393
|
|
|
950,000
|
5.25%, due 12/1/2026
|
766,318
(a)
|
|
|
2,380,000
|
5.13%, due 6/1/2029
|
1,225,700
|
|
|
1,150,000
|
DISH Network Corp., 11.75%, due 11/15/2027
|
1,139,144
(a)
|
|
|
|
McGraw-Hill Education, Inc.
|
|
|
|
685,000
|
5.75%, due 8/1/2028
|
577,318
(a)
|
|
|
1,385,000
|
8.00%, due 8/1/2029
|
1,141,185
(a)
|
|
|
1,125,000
|
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, due 8/15/2027
|
1,020,938
(a)
|
|
|
1,085,000
|
Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, due 9/15/2028
|
537,075
(a)
|
|
|
|
Sirius XM Radio, Inc.
|
|
|
|
420,000
|
3.13%, due 9/1/2026
|
376,643
(a)
|
|
|
820,000
|
5.50%, due 7/1/2029
|
726,580
(a)
|
|
|
1,327,000
|
4.13%, due 7/1/2030
|
1,053,658
(a)
|
|
|
1,080,000
|
3.88%, due 9/1/2031
|
813,442
(a)
|
|
|
395,000
|
TEGNA, Inc., 4.75%, due 3/15/2026
|
368,587
(a)
|
|
|
|
|
34,158,884
|
|
Metal Fabricate - Hardware 0.1%
|
|
|||
|
1,070,000
|
Advanced Drainage Systems, Inc., 6.38%, due 6/15/2030
|
1,010,260
(a)
|
|
Mining 1.3%
|
|
|||
|
1,335,000
|
Arsenal AIC Parent LLC, 8.00%, due 10/1/2030
|
1,318,312
(a)
|
|
|
|
First Quantum Minerals Ltd.
|
|
|
|
678,000
|
7.50%, due 4/1/2025
|
635,889
(a)
|
|
|
35,000
|
6.88%, due 10/15/2027
|
29,810
(a)
|
|
|
1,280,000
|
8.63%, due 6/1/2031
|
1,080,450
(a)
|
|
|
|
FMG Resources August 2006 Pty. Ltd.
|
|
|
|
955,000
|
4.38%, due 4/1/2031
|
769,653
(a)
|
|
|
370,000
|
6.13%, due 4/15/2032
|
326,573
(a)
|
|
|
|
Hudbay Minerals, Inc.
|
|
|
|
2,400,000
|
4.50%, due 4/1/2026
|
2,233,715
(a)
|
|
|
1,835,000
|
6.13%, due 4/1/2029
|
1,641,972
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Mining – cont'd
|
|
|||
$
|
1,010,000
|
Novelis Corp., 4.75%, due 1/30/2030
|
$856,959
(a)
|
|
|
|
|
8,893,333
|
|
Miscellaneous Manufacturer 0.4%
|
|
|||
|
370,000
|
Amsted Industries, Inc., 5.63%, due 7/1/2027
|
340,469
(a)
|
|
|
2,125,000
|
Calderys Financing LLC, 11.25%, due 6/1/2028
|
2,143,594
(a)
|
|
|
|
|
2,484,063
|
|
Office - Business Equipment 0.1%
|
|
|||
|
780,000
|
CDW LLC/CDW Finance Corp., 4.25%, due 4/1/2028
|
709,036
|
|
Oil & Gas 5.5%
|
|
|||
|
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
|
|
|
|
1,140,000
|
7.00%, due 11/1/2026
|
1,100,885
(a)
|
|
|
2,325,000
|
8.25%, due 12/31/2028
|
2,308,651
(a)
|
|
|
3,010,000
|
5.88%, due 6/30/2029
|
2,659,051
(a)
|
|
|
|
Borr IHC Ltd./Borr Finance LLC
|
|
|
|
1,215,000
|
10.00%, due 11/15/2028
|
1,209,207
(a)(g)
|
|
|
1,100,000
|
10.38%, due 11/15/2030
|
1,090,650
(a)(g)
|
|
|
695,000
|
Callon Petroleum Co., 7.50%, due 6/15/2030
|
673,152
(a)
|
|
|
1,835,000
|
Chesapeake Energy Corp., 6.75%, due 4/15/2029
|
1,795,468
(a)
|
|
|
|
Civitas Resources, Inc.
|
|
|
|
1,825,000
|
8.38%, due 7/1/2028
|
1,836,244
(a)
|
|
|
3,955,000
|
8.63%, due 11/1/2030
|
4,025,501
(a)
|
|
|
2,150,000
|
8.75%, due 7/1/2031
|
2,169,923
(a)
|
|
|
|
Comstock Resources, Inc.
|
|
|
|
2,635,000
|
6.75%, due 3/1/2029
|
2,397,909
(a)
|
|
|
3,475,000
|
5.88%, due 1/15/2030
|
2,971,160
(a)
|
|
|
1,180,000
|
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, due 10/1/2030
|
1,150,151
(a)
|
|
|
|
Hilcorp Energy I LP/Hilcorp Finance Co.
|
|
|
|
630,000
|
6.25%, due 11/1/2028
|
589,014
(a)
|
|
|
492,000
|
5.75%, due 2/1/2029
|
442,938
(a)
|
|
|
885,000
|
6.00%, due 4/15/2030
|
785,685
(a)
|
|
|
843,000
|
6.00%, due 2/1/2031
|
738,446
(a)
|
|
|
|
Nabors Industries Ltd.
|
|
|
|
490,000
|
7.25%, due 1/15/2026
|
460,340
(a)
|
|
|
485,000
|
7.50%, due 1/15/2028
|
428,352
(a)
|
|
|
1,995,000
|
Nabors Industries, Inc., 7.38%, due 5/15/2027
|
1,854,771
(a)
|
|
|
|
Northern Oil & Gas, Inc.
|
|
|
|
2,015,000
|
8.13%, due 3/1/2028
|
1,989,873
(a)
|
|
|
130,000
|
8.75%, due 6/15/2031
|
129,343
(a)
|
|
|
|
Permian Resources Operating LLC
|
|
|
|
655,000
|
5.38%, due 1/15/2026
|
628,854
(a)
|
|
|
1,735,000
|
5.88%, due 7/1/2029
|
1,614,819
(a)
|
|
|
440,000
|
7.00%, due 1/15/2032
|
426,533
(a)
|
|
|
2,710,000
|
Rockcliff Energy II LLC, 5.50%, due 10/15/2029
|
2,446,001
(a)
|
|
|
570,000
|
Vital Energy, Inc., 10.13%, due 1/15/2028
|
571,502
|
|
|
|
|
38,494,423
|
|
Packaging & Containers 3.4%
|
|
|||
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
|
|
|
|
1,510,000
|
6.00%, due 6/15/2027
|
1,426,978
(a)
|
|
|
375,000
|
4.00%, due 9/1/2029
|
281,276
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Packaging & Containers – cont'd
|
|
|||
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
|
|
|
$
|
140,000
|
5.25%, due 4/30/2025
|
$134,872
(a)
|
|
|
2,950,000
|
4.13%, due 8/15/2026
|
2,603,375
(a)
|
|
|
3,065,000
|
5.25%, due 8/15/2027
|
2,227,885
(a)
|
|
|
500,000
|
5.25%, due 8/15/2027
|
363,440
(a)
|
|
|
|
Ball Corp.
|
|
|
|
140,000
|
5.25%, due 7/1/2025
|
137,816
|
|
|
140,000
|
4.88%, due 3/15/2026
|
134,448
|
|
|
140,000
|
6.88%, due 3/15/2028
|
139,585
|
|
|
860,000
|
6.00%, due 6/15/2029
|
824,594
|
|
|
1,235,000
|
Berry Global, Inc., 5.63%, due 7/15/2027
|
1,178,841
(a)
|
|
|
510,000
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 2/1/2026
|
490,425
|
|
|
1,100,000
|
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co.-Issuer
LLC, 6.00%, due
9/15/2028
|
901,494
(a)
|
|
|
|
Mauser Packaging Solutions Holding Co.
|
|
|
|
1,660,000
|
7.88%, due 8/15/2026
|
1,554,787
(a)
|
|
|
2,985,000
|
9.25%, due 4/15/2027
|
2,485,935
(a)
|
|
|
2,360,000
|
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc.,
4.38%, due 10/15/2028
|
2,007,482
(a)
|
|
|
180,000
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC,
4.00%, due 10/15/2027
|
157,036
(a)
|
|
|
705,000
|
Sealed Air Corp., 4.00%, due 12/1/2027
|
619,718
(a)
|
|
|
1,440,000
|
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, due 2/1/2028
|
1,370,620
(a)
|
|
|
1,320,000
|
Trident TPI Holdings, Inc., 12.75%, due 12/31/2028
|
1,348,882
(a)
|
|
|
|
Trivium Packaging Finance BV
|
|
|
|
1,335,000
|
5.50%, due 8/15/2026
|
1,210,156
(a)
|
|
|
2,370,000
|
8.50%, due 8/15/2027
|
1,977,556
(a)
|
|
|
|
|
23,577,201
|
|
Pharmaceuticals 1.0%
|
|
|||
|
3,410,000
|
180 Medical, Inc., 3.88%, due 10/15/2029
|
2,832,950
(a)
|
|
|
|
Bausch Health Cos., Inc.
|
|
|
|
1,065,000
|
5.50%, due 11/1/2025
|
918,563
(a)
|
|
|
560,000
|
9.00%, due 12/15/2025
|
485,745
(a)
|
|
|
585,000
|
6.13%, due 2/1/2027
|
326,336
(a)
|
|
|
345,000
|
5.75%, due 8/15/2027
|
179,400
(a)
|
|
|
2,365,000
|
Teva Pharmaceutical Finance Netherlands III BV, 7.88%, due 9/15/2029
|
2,332,121
|
|
|
|
|
7,075,115
|
|
Pipelines 8.0%
|
|
|||
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.
|
|
|
|
1,285,000
|
5.75%, due 3/1/2027
|
1,228,168
(a)
|
|
|
800,000
|
5.38%, due 6/15/2029
|
726,438
(a)
|
|
|
|
Buckeye Partners LP
|
|
|
|
1,310,000
|
4.50%, due 3/1/2028
|
1,139,700
(a)
|
|
|
2,445,000
|
5.85%, due 11/15/2043
|
1,727,833
|
|
|
2,595,000
|
5.60%, due 10/15/2044
|
1,741,894
|
|
|
4,795,000
|
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, due 6/15/2031
|
4,170,455
(a)
|
|
|
|
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
|
|
|
|
245,000
|
5.75%, due 4/1/2025
|
241,938
|
|
|
1,650,000
|
6.00%, due 2/1/2029
|
1,596,375
(a)
|
|
|
3,230,000
|
DT Midstream, Inc., 4.13%, due 6/15/2029
|
2,777,183
(a)
|
|
|
1,055,000
|
EnLink Midstream LLC, 6.50%, due 9/1/2030
|
1,012,662
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Pipelines – cont'd
|
|
|||
|
|
EQM Midstream Partners LP
|
|
|
$
|
480,000
|
6.00%, due 7/1/2025
|
$469,408
(a)
|
|
|
955,000
|
4.13%, due 12/1/2026
|
885,886
|
|
|
925,000
|
7.50%, due 6/1/2027
|
916,101
(a)
|
|
|
520,000
|
6.50%, due 7/1/2027
|
505,442
(a)
|
|
|
1,610,000
|
4.50%, due 1/15/2029
|
1,411,835
(a)
|
|
|
910,000
|
7.50%, due 6/1/2030
|
892,834
(a)
|
|
|
|
Genesis Energy LP/Genesis Energy Finance Corp.
|
|
|
|
1,350,000
|
6.50%, due 10/1/2025
|
1,318,873
|
|
|
635,000
|
6.25%, due 5/15/2026
|
605,181
|
|
|
950,000
|
7.75%, due 2/1/2028
|
894,534
|
|
|
165,000
|
8.88%, due 4/15/2030
|
159,506
|
|
|
2,195,000
|
Harvest Midstream I LP, 7.50%, due 9/1/2028
|
2,079,879
(a)
|
|
|
|
Howard Midstream Energy Partners LLC
|
|
|
|
2,110,000
|
6.75%, due 1/15/2027
|
1,994,159
(a)
|
|
|
990,000
|
8.88%, due 7/15/2028
|
995,274
(a)
|
|
|
3,105,000
|
ITT Holdings LLC, 6.50%, due 8/1/2029
|
2,596,556
(a)
|
|
|
2,890,000
|
Kinetik Holdings LP, 5.88%, due 6/15/2030
|
2,651,718
(a)
|
|
|
|
New Fortress Energy, Inc.
|
|
|
|
1,205,000
|
6.75%, due 9/15/2025
|
1,117,920
(a)
|
|
|
6,880,000
|
6.50%, due 9/30/2026
|
6,162,394
(a)
|
|
|
735,000
|
NuStar Logistics LP, 6.00%, due 6/1/2026
|
709,172
|
|
|
2,395,000
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, due
10/15/2026
|
2,299,200
(a)
|
|
|
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
|
|
|
|
650,000
|
7.50%, due 10/1/2025
|
640,348
(a)
|
|
|
570,000
|
6.00%, due 3/1/2027
|
521,490
(a)
|
|
|
2,120,000
|
5.50%, due 1/15/2028
|
1,857,227
(a)
|
|
|
1,470,000
|
6.00%, due 12/31/2030
|
1,237,495
(a)
|
|
|
1,615,000
|
6.00%, due 9/1/2031
|
1,358,974
(a)
|
|
|
|
Venture Global Calcasieu Pass LLC
|
|
|
|
95,000
|
3.88%, due 8/15/2029
|
79,057
(a)
|
|
|
845,000
|
4.13%, due 8/15/2031
|
679,386
(a)
|
|
|
|
Venture Global LNG, Inc.
|
|
|
|
805,000
|
8.13%, due 6/1/2028
|
781,511
(a)
|
|
|
1,755,000
|
9.50%, due 2/1/2029
|
1,782,975
(a)
|
|
|
875,000
|
8.38%, due 6/1/2031
|
834,973
(a)
|
|
|
1,170,000
|
9.88%, due 2/1/2032
|
1,186,367
(a)
|
|
|
|
|
55,988,321
|
|
Real Estate 0.9%
|
|
|||
|
2,260,000
|
Cushman & Wakefield U.S. Borrower LLC, 8.88%, due 9/1/2031
|
2,142,684
(a)
|
|
|
2,110,000
|
Greystar Real Estate Partners LLC, 7.75%, due 9/1/2030
|
2,073,075
(a)
|
|
|
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
|
|
|
|
1,125,000
|
5.75%, due 1/15/2029
|
708,967
(a)
|
|
|
2,225,000
|
5.25%, due 4/15/2030
|
1,385,365
(a)
|
|
|
|
|
6,310,091
|
|
Real Estate Investment Trusts 4.0%
|
|
|||
|
|
EPR Properties
|
|
|
|
785,000
|
4.50%, due 4/1/2025
|
756,910
|
|
|
1,070,000
|
3.75%, due 8/15/2029
|
844,190
|
Principal Amount
|
Value
|
|||
|
||||
Real Estate Investment Trusts – cont'd
|
|
|||
|
|
Iron Mountain, Inc.
|
|
|
$
|
1,696,000
|
4.88%, due 9/15/2027
|
$1,550,360
(a)
|
|
|
2,449,000
|
5.25%, due 3/15/2028
|
2,239,957
(a)
|
|
|
1,305,000
|
5.00%, due 7/15/2028
|
1,167,816
(a)
|
|
|
895,000
|
4.88%, due 9/15/2029
|
779,600
(a)
|
|
|
400,000
|
5.25%, due 7/15/2030
|
347,229
(a)
|
|
|
430,000
|
5.63%, due 7/15/2032
|
367,338
(a)
|
|
|
|
MPT Operating Partnership LP/MPT Finance Corp.
|
|
|
|
1,730,000
|
5.25%, due 8/1/2026
|
1,489,553
|
|
|
1,530,000
|
5.00%, due 10/15/2027
|
1,181,231
|
|
|
1,250,000
|
Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%,
due 9/30/2028
|
935,938
(a)
|
|
|
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co.-Issuer
|
|
|
|
2,025,000
|
5.88%, due 10/1/2028
|
1,822,905
(a)
|
|
|
1,275,000
|
4.88%, due 5/15/2029
|
1,064,108
(a)
|
|
|
|
RHP Hotel Properties LP/RHP Finance Corp.
|
|
|
|
1,235,000
|
7.25%, due 7/15/2028
|
1,197,158
(a)
|
|
|
1,055,000
|
4.50%, due 2/15/2029
|
898,005
(a)
|
|
|
2,040,000
|
RLJ Lodging Trust LP, 4.00%, due 9/15/2029
|
1,662,600
(a)
|
|
|
680,000
|
Service Properties Trust, 3.95%, due 1/15/2028
|
508,427
|
|
|
770,000
|
Starwood Property Trust, Inc., 3.75%, due 12/31/2024
|
727,650
(a)
|
|
|
3,080,000
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, due
2/15/2028
|
2,965,898
(a)
|
|
|
2,430,000
|
VICI Properties LP, 5.13%, due 5/15/2032
|
2,099,904
|
|
|
1,015,000
|
VICI Properties LP/VICI Note Co., Inc., 4.13%, due 8/15/2030
|
837,324
(a)
|
|
|
|
XHR LP
|
|
|
|
1,960,000
|
6.38%, due 8/15/2025
|
1,901,199
(a)
|
|
|
900,000
|
4.88%, due 6/1/2029
|
761,462
(a)
|
|
|
|
|
28,106,762
|
|
Retail 3.5%
|
|
|||
|
|
1011778 BC ULC/New Red Finance, Inc.
|
|
|
|
930,000
|
3.88%, due 1/15/2028
|
830,302
(a)
|
|
|
560,000
|
3.50%, due 2/15/2029
|
478,786
(a)
|
|
|
1,175,000
|
4.00%, due 10/15/2030
|
962,351
(a)
|
|
|
850,000
|
Asbury Automotive Group, Inc., 4.63%, due 11/15/2029
|
719,008
(a)
|
|
|
|
Bath & Body Works, Inc.
|
|
|
|
1,980,000
|
6.63%, due 10/1/2030
|
1,833,075
(a)
|
|
|
855,000
|
6.88%, due 11/1/2035
|
754,496
|
|
|
1,475,000
|
Beacon Roofing Supply, Inc., 6.50%, due 8/1/2030
|
1,408,401
(a)
|
|
|
1,365,000
|
Foot Locker, Inc., 4.00%, due 10/1/2029
|
1,003,316
(a)
|
|
|
960,000
|
Gap, Inc., 3.63%, due 10/1/2029
|
733,465
(a)
|
|
|
2,150,000
|
GYP Holdings III Corp., 4.63%, due 5/1/2029
|
1,763,000
(a)
|
|
|
|
Macy's Retail Holdings LLC
|
|
|
|
885,000
|
5.88%, due 4/1/2029
|
780,216
(a)
|
|
|
1,120,000
|
5.88%, due 3/15/2030
|
947,506
(a)
|
|
|
260,000
|
6.13%, due 3/15/2032
|
214,724
(a)
|
|
|
1,600,000
|
4.50%, due 12/15/2034
|
1,072,000
|
|
|
278,000
|
5.13%, due 1/15/2042
|
171,220
|
|
|
1,505,000
|
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, due 4/1/2026
|
1,407,798
(a)
|
|
|
150,000
|
Penske Automotive Group, Inc., 3.50%, due 9/1/2025
|
142,364
|
|
|
|
PetSmart, Inc./PetSmart Finance Corp.
|
|
|
|
125,000
|
4.75%, due 2/15/2028
|
110,610
(a)
|
|
|
1,900,000
|
7.75%, due 2/15/2029
|
1,749,220
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Retail – cont'd
|
|
|||
|
|
SRS Distribution, Inc.
|
|
|
$
|
930,000
|
6.13%, due 7/1/2029
|
$778,875
(a)
|
|
|
785,000
|
6.00%, due 12/1/2029
|
653,513
(a)
|
|
|
1,360,000
|
Victoria's Secret & Co., 4.63%, due 7/15/2029
|
999,799
(a)
|
|
|
1,230,000
|
White Cap Buyer LLC, 6.88%, due 10/15/2028
|
1,073,384
(a)
|
|
|
1,485,000
|
White Cap Parent LLC, 8.25% Cash/9.00% PIK, due 3/15/2026
|
1,393,585
(a)(c)
|
|
|
|
Yum! Brands, Inc.
|
|
|
|
1,530,000
|
4.75%, due 1/15/2030
|
1,362,021
(a)
|
|
|
420,000
|
3.63%, due 3/15/2031
|
341,049
|
|
|
1,195,000
|
4.63%, due 1/31/2032
|
1,018,233
|
|
|
|
|
24,702,317
|
|
Semiconductors 0.2%
|
|
|||
|
980,000
|
Amkor Technology, Inc., 6.63%, due 9/15/2027
|
953,846
(a)
|
|
|
565,000
|
ON Semiconductor Corp., 3.88%, due 9/1/2028
|
485,380
(a)
|
|
|
|
|
1,439,226
|
|
Software 1.6%
|
|
|||
|
2,600,000
|
AthenaHealth Group, Inc., 6.50%, due 2/15/2030
|
2,124,839
(a)
|
|
|
325,000
|
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, due
6/15/2029
|
321,013
(a)
|
|
|
1,433,000
|
Consensus Cloud Solutions, Inc., 6.50%, due 10/15/2028
|
1,187,599
(a)
|
|
|
1,005,000
|
Fair Isaac Corp., 5.25%, due 5/15/2026
|
967,122
(a)
|
|
|
|
Open Text Holdings, Inc.
|
|
|
|
960,000
|
4.13%, due 2/15/2030
|
795,455
(a)
|
|
|
960,000
|
4.13%, due 12/1/2031
|
754,098
(a)
|
|
|
|
Rackspace Technology Global, Inc.
|
|
|
|
4,395,000
|
3.50%, due 2/15/2028
|
1,926,491
(a)
|
|
|
1,140,000
|
5.38%, due 12/1/2028
|
333,359
(a)
|
|
|
1,800,000
|
RingCentral, Inc., 8.50%, due 8/15/2030
|
1,710,000
(a)
|
|
|
1,345,000
|
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, due 2/1/2029
|
1,110,386
(a)
|
|
|
|
|
11,230,362
|
|
Telecommunications 3.4%
|
|
|||
|
3,005,000
|
Altice France Holding SA, 6.00%, due 2/15/2028
|
1,317,860
(a)
|
|
|
|
Altice France SA
|
|
|
|
2,540,000
|
5.50%, due 1/15/2028
|
1,887,289
(a)
|
|
|
1,375,000
|
5.50%, due 10/15/2029
|
945,863
(a)
|
|
|
1,095,000
|
Ciena Corp., 4.00%, due 1/31/2030
|
912,398
(a)
|
|
|
3,130,000
|
CommScope Technologies LLC, 5.00%, due 3/15/2027
|
1,151,934
(a)
|
|
|
|
CommScope, Inc.
|
|
|
|
830,000
|
8.25%, due 3/1/2027
|
344,450
(a)
|
|
|
1,160,000
|
4.75%, due 9/1/2029
|
791,700
(a)
|
|
|
|
Frontier Communications Holdings LLC
|
|
|
|
630,000
|
5.00%, due 5/1/2028
|
543,936
(a)
|
|
|
1,425,000
|
5.88%, due 11/1/2029
|
1,071,056
|
|
|
1,710,000
|
8.75%, due 5/15/2030
|
1,629,206
(a)
|
|
|
|
Iliad Holding SASU
|
|
|
|
1,050,000
|
6.50%, due 10/15/2026
|
981,174
(a)
|
|
|
1,970,000
|
7.00%, due 10/15/2028
|
1,782,756
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Telecommunications – cont'd
|
|
|||
|
|
Level 3 Financing, Inc.
|
|
|
$
|
2,274,000
|
4.63%, due 9/15/2027
|
$1,512,210
(a)
|
|
|
2,350,000
|
3.75%, due 7/15/2029
|
1,194,777
(a)
|
|
|
1,030,000
|
3.88%, due 11/15/2029
|
917,269
(a)
|
|
|
1,778,000
|
10.50%, due 5/15/2030
|
1,779,393
(a)
|
|
|
655,000
|
Lumen Technologies, Inc., 4.00%, due 2/15/2027
|
442,125
(a)
|
|
|
|
Telecom Italia Capital SA
|
|
|
|
880,000
|
6.38%, due 11/15/2033
|
750,390
|
|
|
365,000
|
7.20%, due 7/18/2036
|
315,583
|
|
|
315,000
|
U.S. Cellular Corp., 6.70%, due 12/15/2033
|
298,932
|
|
|
|
Viasat, Inc.
|
|
|
|
410,000
|
5.63%, due 4/15/2027
|
357,938
(a)
|
|
|
495,000
|
6.50%, due 7/15/2028
|
350,906
(a)
|
|
|
2,315,000
|
Vmed O2 U.K. Financing I PLC, 4.75%, due 7/15/2031
|
1,863,357
(a)
|
|
|
530,000
|
Zayo Group Holdings, Inc., 4.00%, due 3/1/2027
|
398,901
(a)
|
|
|
|
|
23,541,403
|
|
Transportation 0.2%
|
|
|||
|
1,525,000
|
XPO, Inc., 6.25%, due 6/1/2028
|
1,461,042
(a)
|
|
Trucking & Leasing 0.1%
|
|
|||
|
762,000
|
AerCap Global Aviation Trust, 6.50%, due 6/15/2045
|
747,512
(a)(d)
|
|
Water 0.3%
|
|
|||
|
2,235,000
|
Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026
|
2,132,078
(a)
|
|
Total Corporate Bonds (Cost $675,485,043)
|
623,342,416
|
|||
|
||||
Loan Assignments(b) 4.1%
|
||||
Aerospace & Defense 0.4%
|
|
|||
|
964,622
|
Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due
2/1/2028
|
945,330
|
|
|
1,890,500
|
TransDigm, Inc., Term Loan I, (3 mo. USD Term SOFR + 3.25%), 8.64%, due
8/24/2028
|
1,887,513
|
|
|
|
|
2,832,843
|
|
Business Equipment & Services 0.3%
|
|
|||
|
967,632
|
AppLovin Corp., Term Loan B, (1 mo. USD Term SOFR + 3.10%), 8.42%, due
10/25/2028
|
964,352
|
|
|
1,428,632
|
Cyxtera DC Holdings, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.00%),
10.25%, due 5/1/2024
|
815,649
(f)
|
|
|
|
|
1,780,001
|
|
Chemicals & Plastics 0.1%
|
|
|||
|
972,562
|
Ineos U.S. Finance LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%,
due 2/18/2030
|
950,378
|
|
Containers & Glass Products 0.2%
|
|
|||
|
1,426,425
|
Trident TPI Holdings, Inc., Term Loan, (3 mo. USD Term SOFR + 4.50%), 9.89%,
due 9/15/2028
|
1,419,649
|
|
Diversified Insurance 0.3%
|
|
|||
|
2,419,575
|
Gainwell Acquisition Corp., Term Loan B, (3 mo. USD Term SOFR + 4.00%),
9.49%, due 10/1/2027
|
2,308,686
|
|
Financial Intermediaries 0.2%
|
|
|||
|
1,546,931
|
Starwood Property Trust, Inc., Term Loan B3, (1 mo. USD Term SOFR + 3.25%),
8.67%, due
7/26/2026
|
1,542,104
|
|
Health Care 1.0%
|
|
|||
|
5,885,000
|
Parexel International Corp., Second Lien Term Loan, (1 mo. USD Term SOFR +
6.50%), 11.94%,
due 11/15/2029
|
5,620,175
(h)
|
Principal Amount
|
Value
|
|||
|
||||
Health Care – cont'd
|
|
|||
$
|
2,041,935
|
Team Health Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 5.25%, 3 mo.
USD Term SOFR +
5.25%), 10.57% – 10.63%, due 3/2/2027
|
$1,457,145
(i)
|
|
|
|
|
7,077,320
|
|
Industrial Equipment 0.2%
|
|
|||
|
1,763,762
|
Engineered Machinery Holdings, Inc., Second Lien Term Loan, (3 mo. USD Term
SOFR + 6.00%),
11.65%, due 5/21/2029
|
1,710,849
(h)
|
|
Leisure Goods - Activities - Movies 0.2%
|
|
|||
|
1,401,487
|
Carnival Corp., Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.34%, due
8/8/2027
|
1,375,210
|
|
Life Sciences Tools & Services 0.2%
|
|
|||
|
1,770,000
|
Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.39%, due
9/27/2030
|
1,684,385
|
|
Nonferrous Metals - Minerals 0.3%
|
|
|||
|
1,743,503
|
U.S. Silica Co., Term Loan B, (1 mo. USD Term SOFR + 4.75%), 10.17%, due
3/25/2030
|
1,741,952
|
|
Oil & Gas 0.2%
|
|
|||
|
1,716,888
|
Waterbridge Midstream Operating LLC, Term Loan B, (3 mo. USD Term SOFR +
5.75%), 11.39%,
due 6/22/2026
|
1,715,222
|
|
Trading Companies & Distributors 0.2%
|
|
|||
|
1,089,125
|
Fastlane Parent Co., Inc., Term Loan B, (1 mo. USD Term SOFR + 4.50%), due
9/29/2028
|
1,074,150
(j)(k)
|
|
Utilities 0.3%
|
|
|||
|
|
Lightstone Holdco LLC
|
|
|
|
1,778,295
|
Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.13%, due 1/29/2027
|
1,667,596
|
|
|
100,572
|
Term Loan C, (3 mo. USD Term SOFR + 5.75%), 11.13%, due 1/29/2027
|
94,311
|
|
|
|
|
1,761,907
|
|
Total Loan Assignments (Cost $30,310,265)
|
28,974,656
|
|||
|
||||
Convertible Bonds 0.1%
|
||||
Media 0.1%
|
|
|||
|
1,825,000
|
DISH Network Corp., 3.38%, due 8/15/2026 (Cost $1,722,977)
|
935,313
|
|
Number of Shares
|
|
|||
|
||||
Short-Term Investments 1.7%
|
||||
Investment Companies 1.7%
|
|
|||
|
12,035,904
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(l) (Cost $12,035,904)
|
12,035,904
|
|
Total Investments 98.6% (Cost $744,944,789)
|
690,794,918
|
|||
Other Assets Less Liabilities 1.4%
|
10,016,429
(m)
|
|||
Net Assets 100.0%
|
$700,811,347
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $538,939,965, which represents 76.9% of net assets of the Fund.
|
(b)
|
|
(c)
|
Payment-in-kind (PIK) security.
|
(d)
|
Security issued at a fixed coupon rate, which converts to a variable rate at a future date.
Rate shown is the
rate in effect as of period end.
|
(e)
|
Perpetual security. Perpetual securities have no stated maturity date, but they may be
called/redeemed by
the issuer. The date shown reflects the next call date.
|
(f)
|
Defaulted security.
|
(g)
|
When-issued security. Total value of all such securities at October 31, 2023 amounted to
$2,299,857, which
represents 0.3% of net assets of the Fund.
|
(h)
|
Value determined using significant unobservable inputs.
|
(i)
|
The stated interest rates represent the range of rates at October 31, 2023 of the underlying
contracts within
the Loan Assignment.
|
(j)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
(k)
|
All or a portion of this security had not settled as of October 31, 2023 and thus may not have
an interest
rate in effect. Interest rates do not take effect until settlement.
|
(l)
|
Represents 7-day effective yield as of October 31, 2023.
|
(m)
|
As of October 31, 2023, the value of unfunded note commitments was $2,385,000 for the Fund
(see
Note A of the Notes to Financial Statements)
|
POSITIONS BY COUNTRY
|
||
Country
|
Investments at
Value
|
Percentage of
Net Assets
|
United States
|
$596,430,062
|
85.1
%
|
Canada
|
16,659,907
|
2.4
%
|
Cayman Islands
|
11,958,786
|
1.7
%
|
France
|
9,879,591
|
1.4
%
|
United Kingdom
|
8,870,177
|
1.3
%
|
Luxembourg
|
6,118,179
|
0.9
%
|
Germany
|
5,511,379
|
0.8
%
|
Switzerland
|
5,002,612
|
0.7
%
|
Netherlands
|
3,187,712
|
0.5
%
|
Israel
|
2,332,121
|
0.3
%
|
Mexico
|
2,299,857
|
0.3
%
|
Chile
|
2,018,919
|
0.3
%
|
Zambia
|
1,746,149
|
0.2
%
|
Austria
|
1,379,910
|
0.2
%
|
Finland
|
1,350,182
|
0.2
%
|
Czech Republic
|
1,103,760
|
0.2
%
|
Australia
|
1,096,226
|
0.2
%
|
Italy
|
1,065,973
|
0.1
%
|
Ireland
|
747,512
|
0.1
%
|
Short-Term Investments and Other Assets—Net
|
22,052,333
|
3.1
%
|
|
$700,811,347
|
100.0
%
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Investments:
|
|
|
|
|
U.S. Treasury Obligations
|
$—
|
$14,978,338
|
$—
|
$14,978,338
|
Asset-Backed Securities
|
—
|
10,528,291
|
—
|
10,528,291
|
Corporate Bonds#
|
—
|
623,342,416
|
—
|
623,342,416
|
Loan Assignments
|
|
|
|
|
Health Care
|
—
|
1,457,145
|
5,620,175
|
7,077,320
|
Industrial Equipment
|
—
|
—
|
1,710,849
|
1,710,849
|
Other Loan Assignments#
|
—
|
20,186,487
|
—
|
20,186,487
|
Total Loan Assignments
|
—
|
21,643,632
|
7,331,024
|
28,974,656
|
Convertible Bonds#
|
—
|
935,313
|
—
|
935,313
|
Short-Term Investments
|
—
|
12,035,904
|
—
|
12,035,904
|
Total Investments
|
$—
|
$683,463,894
|
$7,331,024
|
$690,794,918
|
#
|
The Schedule of Investments provides information on the industry or sector categorization as
well as a
Positions by Country summary.
|
(a)
|
The following is a reconciliation between the beginning and ending balances of investments in
which
significant unobservable inputs (Level 3) were used in determining value:
|
(000's
omitted)
|
Beginning
balance as
of 11/1/2022
|
Accrued
discounts/
(premiums)
|
Realized
gain/(loss)
|
Change
in unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
10/31/2023
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
10/31/2023
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Loan Assignments(1)
|
$—
|
$18
|
$—
|
$115
|
$1,666
|
$—
|
$5,532
|
$—
|
$7,331
|
$115
|
Total
|
$—
|
$18
|
$—
|
$115
|
$1,666
|
$—
|
$5,532
|
$—
|
$7,331
|
$115
|
(1) Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The
Fund does not have access to significant unobservable inputs and therefore cannot disclose such
inputs used in formulating such quotation.
|
Principal Amount
|
Value
|
|||
Municipal Notes 99.0%
|
||||
Alabama 1.9%
|
|
|||
$
|
700,000
|
Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue
Project No. 5),
Series 2020-A-1, 4.00%, due 10/1/2049 Putable 10/1/2026
|
$678,276
|
|
|
200,000
|
Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue
Project No. 7),
Series 2021-C-1, 4.00%, due 12/1/2026
|
193,760
|
|
|
500,000
|
Sumter County Industrial Development Authority (Green Bond-Enviva, Inc.),
Series 2022, 6.00%, due
7/15/2052 Putable 7/15/2032
|
337,476
|
|
|
|
|
1,209,512
|
|
American Samoa 1.0%
|
|
|||
|
750,000
|
American Samoa Economic Development Authority General Revenue, Series
2021-A, 5.00%, due
9/1/2038
|
666,274
(a)
|
|
Arizona 4.3%
|
|
|||
|
500,000
|
Maricopa County Industrial Development Authority Education Refunding Revenue
(Paradise School
Project Paragon Management, Inc.), Series 2016, 5.00%, due 7/1/2036
|
466,982
(a)
|
|
|
1,500,000
|
Maricopa County Industrial Development Authority Exempt Facility Revenue
(Commercial Metals Co.
Project), Series 2022, 4.00%, due 10/15/2047
|
1,154,404
(a)
|
|
|
170,000
|
Navajo Nation Refunding Revenue, Series 2015-A, 5.00%, due 12/1/2025
|
170,709
(a)
|
|
|
500,000
|
Phoenix Industrial Development Authority Education Refunding Revenue (Great
Hearts Academies),
Series 2016-A, 5.00%, due 7/1/2046
|
425,819
|
|
|
500,000
|
Pima County Industrial Development Authority Education Refunding Revenue
(American Leadership
Academy Project), Series 2015, 5.38%, due 6/15/2035
|
492,127
(a)
|
|
|
|
|
2,710,041
|
|
Arkansas 1.4%
|
|
|||
|
990,000
|
Batesville Public Facilities Board Hospital Revenue Refunding (White River
Health System, Inc.),
Series 2020, 3.00%, due 6/1/2028
|
885,885
|
|
California 8.2%
|
|
|||
|
265,000
|
California County Tobacco Securitization Agency Refunding Revenue, Series
2020-B-1, 5.00%, due
6/1/2049
|
253,923
|
|
|
|
California Housing Finance Agency Municipal Certificate
|
|
|
|
936,352
|
Series 2019-A, 4.25%, due 1/15/2035
|
867,565
|
|
|
480,756
|
Series 2021-1-A, 3.50%, due 11/20/2035
|
416,067
|
|
|
250,000
|
California Municipal Finance Authority Charter School Lease Revenue (Santa
Rosa Academy Project),
Series 2015, 5.13%, due 7/1/2035
|
243,035
(a)
|
|
|
|
California Municipal Finance Authority Charter School Revenue (John Adams
Academics Project)
|
|
|
|
215,000
|
Series 2015-A, 4.50%, due 10/1/2025
|
210,071
|
|
|
400,000
|
Series 2019-A, 5.00%, due 10/1/2049
|
331,751
(a)
|
|
|
500,000
|
California Municipal Finance Authority Charter School Revenue (Palmdale
Aerospace Academy
Project), Series 2016, 5.00%, due 7/1/2031
|
489,219
(a)
|
|
|
400,000
|
California Municipal Finance Authority Revenue (Baptist University), Series
2015-A, 5.00%, due
11/1/2030
|
393,976
(a)
|
|
|
470,000
|
California State Pollution Control Financing Authority Solid Waste Disposal
Revenue (Aemerage Redak
Services Southern California LLC Project), Series 2016, 7.00%, due 12/1/2027
|
47,000
(a)(b)
|
|
|
250,000
|
California State Pollution Control Financing Authority Solid Waste Disposal
Revenue (Calplant I Green
Bond Project), Series 2019, 7.50%, due 12/1/2039
|
6,168
(a)(b)
|
|
|
250,000
|
California State Pollution Control Financing Authority Solid Waste Disposal
Revenue (Green
Bond-Rialto Bioenergy Facility LLC Project), Series 2019, 7.50%, due
12/1/2040
|
132,500
(a)(b)
|
|
|
500,000
|
California State School Finance Authority Charter School Revenue (Downtown
College
Prep-Obligation Group), Series 2016, 4.75%, due 6/1/2036
|
462,394
(a)
|
|
|
600,000
|
California State School Finance Authority Charter School Revenue (Rocketship
Education),
Series 2016-A, 5.00%, due 6/1/2031
|
592,166
(a)
|
Principal Amount
|
Value
|
|||
California – cont'd
|
|
|||
$
|
400,000
|
California Statewide Communities Development Authority Revenue Refunding
(Lancer Education
Student Housing Project), Series 2016-A, 5.00%, due 6/1/2036
|
$365,002
(a)
|
|
|
55,000
|
California Statewide Communities Development Authority Special Tax Revenue
Refunding
(Community Facility District No. 2007-01 Orinda Wilder Project), Series
2015, 4.50%, due 9/1/2025
|
54,760
|
|
|
500,000
|
Chino Valley Unified School District General Obligation, Series 2020-B, (AGM
Insured), 3.38%, due
8/1/2050
|
370,693
|
|
|
|
|
5,236,290
|
|
Colorado 4.7%
|
|
|||
|
100,000
|
Colorado Educational & Cultural Facilities Authority Revenue (National
Jewish Federation Bond
Program), (LOC: TD Bank N.A.), Series 2011, 3.95%, due 7/1/2041
|
100,000
(c)
|
|
|
391,000
|
Crystal Crossing Metropolitan District Refunding General Obligation, Series
2016, 4.50%, due
12/1/2026
|
379,069
|
|
|
500,000
|
Littleton Village Metropolitan District No. 2 Refunding General Obligation,
Series 2015, 5.38%, due
12/1/2045
|
447,881
|
|
|
|
Park Creek Metropolitan District Refunding Tax Allocation Revenue (Senior
Ltd. Property Tax
Supported)
|
|
|
|
250,000
|
Series 2015-A, 5.00%, due 12/1/2034
|
251,597
|
|
|
175,000
|
Series 2015-A, 5.00%, due 12/1/2035
|
175,671
|
|
|
500,000
|
Series 2015-A, 5.00%, due 12/1/2045
|
481,301
|
|
|
300,000
|
Platte River Metropolitan District General Obligation Refunding, Series
2023-A, 6.50%, due 8/1/2053
|
280,943
(a)(d)
|
|
|
1,300,000
|
Pueblo Urban Renewal Authority Tax Increment Revenue (Evraz Project), Series
2021-A, 4.75%, due
12/1/2045
|
884,000
(a)
|
|
|
|
|
3,000,462
|
|
Florida 3.4%
|
|
|||
|
200,000
|
Capital Trust Agency Senior Living Revenue (H-Bay Ministries, Inc. Superior
Residences-Third Tier),
Series 2018-C, 7.50%, due 7/1/2053
|
2,000
(a)(b)
|
|
|
500,000
|
Capital Trust Agency Senior Living Revenue (Wonderful Foundations School
Project), Series 2020-A-1,
5.00%, due 1/1/2055
|
348,738
(a)
|
|
|
650,000
|
Florida Development Finance Corp. Education Facilities Revenue Refunding
(Pepin Academies, Inc.),
Series 2016-A, 5.00%, due 7/1/2036
|
556,105
|
|
|
450,000
|
Florida State Development Finance Corp. Education Facilities Revenue
(Renaissance Charter School,
Inc. Project), Series 2015-A, 6.00%, due 6/15/2035
|
440,041
(a)
|
|
|
130,000
|
Florida State Housing Finance Corp. Revenue, Series 2015-1, (GNMA/FNMA/FHLMC
Insured), 3.75%,
due 7/1/2035
|
124,708
|
|
|
955,000
|
Village Community Development District No. 13 Special Assessment Revenue,
Series 2019, 3.70%,
due 5/1/2050
|
671,024
|
|
|
|
|
2,142,616
|
|
Georgia 4.7%
|
|
|||
|
|
Main Street Natural Gas, Inc. Gas Supply Revenue
|
|
|
|
1,400,000
|
Series 2022-C, 4.00%, due 8/1/2052 Putable 11/1/2027
|
1,303,695
(a)
|
|
|
1,000,000
|
Series 2023-C, 5.00%, due 9/1/2053 Putable 9/1/2030
|
993,005
|
|
|
700,000
|
Municipal Electric Authority of Georgia Revenue (Plant Vogtle Units 3 &
4 Project M Bonds),
Series 2023-A, 5.50%, due 7/1/2064
|
674,516
|
|
|
|
|
2,971,216
|
|
Guam 0.6%
|
|
|||
|
350,000
|
Guam Power Authority Revenue, Series 2022-A, 5.00%, due 10/1/2034
|
353,698
|
|
Hawaii 0.3%
|
|
|||
|
250,000
|
Hawaii State Department of Budget & Finance Special Purpose Revenue
Refunding, Series 2015-A,
5.00%, due 1/1/2035
|
216,583
(a)
|
Principal Amount
|
Value
|
|||
Illinois 7.2%
|
|
|||
|
|
Chicago General Obligation
|
|
|
$
|
1,000,000
|
Series 2019-A, 5.00%, due 1/1/2044
|
$941,873
|
|
|
500,000
|
Series 2019-A, 5.50%, due 1/1/2049
|
487,330
|
|
|
700,000
|
Series 2023-A, 5.50%, due 1/1/2043
|
696,894
|
|
|
200,000
|
Chicago O'Hare International Airport Special Facility Revenue (Trips
Obligated Group), Series 2018,
5.00%, due 7/1/2048
|
176,040
|
|
|
155,000
|
Chicago Waterworks Revenue (Second Lien Project), Series 2014, 5.00%, due
11/1/2027
|
155,773
|
|
|
400,000
|
Illinois Finance Authority Charter School Revenue (Intrinsic School-Belmont
School Project),
Series 2015-A, 5.75%, due 12/1/2035
|
388,131
(a)
|
|
|
425,000
|
Illinois Finance Authority Revenue Refunding (Rosalind Franklin University
of Medicine & Science),
Series 2017-A, 5.00%, due 8/1/2047
|
384,142
|
|
|
1,000,000
|
Illinois State General Obligation, Series 2021-A, 5.00%, due 3/1/2046
|
938,668
|
|
|
500,000
|
Upper Illinois River Valley Development Authority Revenue Refunding
(Cambridge Lakes Learning
Center), Series 2017-A, 5.25%, due 12/1/2047
|
399,302
(a)
|
|
|
|
|
4,568,153
|
|
Indiana 0.6%
|
|
|||
|
500,000
|
Indiana State Finance Authority Revenue (Greencroft Obligation Group),
Series 2021-A, 4.00%, due
11/15/2043
|
351,439
|
|
Kansas 0.2%
|
|
|||
|
145,000
|
Goddard Kansas Sales Tax Special Obligation Revenue (Olympic Park Star Bond
Project), Series 2019,
3.60%, due 6/1/2030
|
134,811
|
|
Kentucky 2.7%
|
|
|||
|
405,000
|
Kentucky Economic Development Finance Authority (Senior Next Generation
Information Highway
Project), Series 2015-A, 4.00%, due 7/1/2029
|
384,228
|
|
|
500,000
|
Kentucky Economic Development Finance Authority Revenue Refunding (Owensboro
Health),
Series 2017-A, 5.00%, due 6/1/2041
|
464,734
|
|
|
900,000
|
Kentucky Municipal Power Agency Power System Revenue Refunding (Prairie
Saint Project),
Series 2019, 4.00%, due 9/1/2045
|
699,865
|
|
|
200,000
|
Kentucky State Public Energy Authority Gas Supply Revenue, Series 2018-A,
4.00%, due 4/1/2048
Putable 4/1/2024
|
199,045
|
|
|
|
|
1,747,872
|
|
Louisiana 0.9%
|
|
|||
|
289,390
|
Louisiana Local Government Environmental Facilities & Community
Development Authority Revenue
(Lafourche Parish Gomesa Project), Series 2019, 3.95%, due 11/1/2043
|
232,678
(a)
|
|
|
400,000
|
Louisiana Local Government Environmental Facilities & Community
Development Authority Revenue
Refunding (Westside Habilitation Center Project), Series 2017-A, 5.75%, due
2/1/2032
|
363,897
(a)
|
|
|
|
|
596,575
|
|
Maine 1.3%
|
|
|||
|
1,000,000
|
Maine State Finance Authority (Green Bond-Go Lab Madison LLC Project),
Series 2021, 8.00%, due
12/1/2051
|
619,150
(a)
|
|
|
200,000
|
Maine State Finance Authority Solid Waste Disposal Revenue (Casella Waste
System Project),
Series 2015, 5.13%, due 8/1/2035 Putable 8/1/2025
|
197,508
(a)
|
|
|
|
|
816,658
|
|
Maryland 0.6%
|
|
|||
|
|
Baltimore Special Obligation Refunding Revenue Senior Lien (Harbor Point
Project)
|
|
|
|
250,000
|
Series 2019-A, 3.63%, due 6/1/2046
|
181,445
(a)
|
|
|
200,000
|
Series 2022, 5.00%, due 6/1/2051
|
174,152
|
|
|
|
|
355,597
|
Principal Amount
|
Value
|
|||
Massachusetts 0.8%
|
|
|||
|
|
Massachusetts State Education Financing Authority Revenue
|
|
|
$
|
250,000
|
Series 2023-B, 4.25%, due 7/1/2044
|
$228,645
|
|
|
350,000
|
Series 2023-C, 5.00%, due 7/1/2053
|
293,539
|
|
|
|
|
522,184
|
|
Michigan 3.6%
|
|
|||
|
1,050,000
|
Detroit Social Bonds General Obligation, Series 2021-A, 4.00%, due 4/1/2042
|
827,414
|
|
|
1,500,000
|
Michigan State Strategic Fund Ltd. Obligation Revenue (Green Bond-Recycled
Board Machine Project),
Series 2021, 4.00%, due 10/1/2061 Putable 10/1/2026
|
1,453,425
|
|
|
|
|
2,280,839
|
|
Minnesota 1.0%
|
|
|||
|
500,000
|
Saint Paul Housing & Redevelopment Authority Charter School Lease
Revenue (Academia Cesar
Chavez School Project), Series 2015-A, 5.25%, due 7/1/2050
|
382,670
|
|
|
300,000
|
Saint Paul Housing & Redevelopment Authority Charter School Lease
Revenue (Twin Cities Academy
Project), Series 2015-A, 5.00%, due 7/1/2035
|
269,933
|
|
|
|
|
652,603
|
|
Mississippi 0.4%
|
|
|||
|
285,000
|
Mississippi Development Bank Special Obligation (Jackson Co. Gomesa
Project), Series 2021, 3.63%,
due 11/1/2036
|
239,135
(a)
|
|
Missouri 0.9%
|
|
|||
|
710,000
|
Missouri State Health & Educational Facilities Authority Revenue (Mercy
Health), Series 2020, 4.00%,
due 6/1/2053
|
561,636
|
|
Montana 1.0%
|
|
|||
|
1,000,000
|
Gallatin County Industrial Development Revenue (Bozeman Fiber Project),
Series 2021-A, 4.00%, due
10/15/2051
|
638,556
(a)
|
|
Nevada 0.7%
|
|
|||
|
500,000
|
Director of the State of Nevada Department of Business & Industrial
Revenue (Somerset Academy),
Series 2015-A, 5.13%, due 12/15/2045
|
424,033
(a)
|
|
New Hampshire 0.8%
|
|
|||
|
750,000
|
New Hampshire Business Finance Authority Revenue (Green Bond), Series
2020-B, 3.75%, due
7/1/2045 Putable 7/2/2040
|
529,231
(a)
|
|
New Jersey 1.5%
|
|
|||
|
1,075,000
|
New Jersey Transportation Trust Fund Authority Revenue Refunding, Series
2023-AA, 4.25%, due
6/15/2044
|
957,153
|
|
New Mexico 0.8%
|
|
|||
|
670,000
|
Winrock Town Center Tax Increment Development District No. 1 (Senior Lien),
Series 2022, 4.25%,
due 5/1/2040
|
520,175
(a)
|
|
New York 5.0%
|
|
|||
|
100,000
|
Metropolitan Transportation Authority Revenue Refunding, (LOC: Barclays Bank
PLC),
Series 2012-G-1, 4.00%, due 11/1/2032
|
100,000
(c)
|
|
|
455,000
|
Nassau County Industrial Development Agency Revenue Refunding (Cold Spring),
(LOC: TD Bank
N.A.), Series 1999, 3.85%, due 1/1/2034
|
455,000
(c)
|
|
|
|
New York State Transportation Development Corp. Special Facility Revenue
(Delta Airlines,
Inc.-LaGuardia Airport Terminal C & D Redevelopment)
|
|
|
|
325,000
|
Series 2018, 5.00%, due 1/1/2028
|
319,627
|
|
|
500,000
|
Series 2020, 4.38%, due 10/1/2045
|
411,687
|
|
|
200,000
|
New York State Transportation Development Corp. Special Facility Revenue
Refunding (American
Airlines, Inc., John F. Kennedy International Airport Project), Series 2021,
3.00%, due 8/1/2031
|
167,635
|
Principal Amount
|
Value
|
|||
New York – cont'd
|
|
|||
$
|
705,000
|
Suffolk Tobacco Asset Securitization Corp. Refunding (Tobacco Settle Asset
Backed Subordinated
Bonds), Series 2021-B1, 4.00%, due 6/1/2050
|
$624,651
|
|
|
500,000
|
Westchester County Local Development Corp. Revenue (Purchase Senior Learning
Community, Inc.
Project), Series 2021-A, 5.00%, due 7/1/2056
|
354,284
(a)
|
|
|
420,000
|
Westchester County Local Development Corp. Revenue Refunding (Kendal on
Hudson Project),
Series 2022-B, 5.00%, due 1/1/2051
|
357,069
|
|
|
420,000
|
Yonkers Economic Development Corp. Education Revenue (Charter School of
Education Excellence
Project), Series 2019-A, 5.00%, due 10/15/2039
|
368,227
|
|
|
|
|
3,158,180
|
|
Ohio 7.5%
|
|
|||
|
450,000
|
Akron Bath Copley Joint Township Hospital District (Summa Health Systems
Obligation), Series 2020,
4.00%, due 11/15/2035
|
395,572
|
|
|
740,000
|
Cleveland-Cuyahoga County Port Authority Tax Increment Finance Revenue
Refunding (Senior-Flats
East Bank Project), Series 2021-A, 4.00%, due 12/1/2055
|
525,475
(a)
|
|
|
500,000
|
Ohio State Air Quality Development Authority (Ohio Valley Electric Corp.
Project), Series 2009-B,
1.38%, due 2/1/2026 Putable 11/1/2024
|
477,913
|
|
|
1,500,000
|
Ohio State Air Quality Development Authority Exempt Facilities Revenue (AMG
Vanadium LLC),
Series 2019, 5.00%, due 7/1/2049
|
1,194,028
(a)
|
|
|
1,500,000
|
Ohio State Air Quality Development Authority Revenue (Ohio Valley Electric
Corp. Project),
Series 2014-B, 2.60%, due 6/1/2041 Putable 10/1/2029
|
1,247,640
|
|
|
750,000
|
Ohio State Air Quality Development Authority Revenue Refunding (Ohio Valley
Electric Corp. Project),
Series 2019-A, 3.25%, due 9/1/2029
|
687,469
|
|
|
365,000
|
Southern Ohio Port Exempt Facility Authority Revenue (PureCycle Project),
Series 2020-A, 7.00%, due
12/1/2042
|
245,189
(a)
|
|
|
|
|
4,773,286
|
|
Oregon 1.3%
|
|
|||
|
500,000
|
Portland General Obligation (Transportation Project), Series 2022-A, 2.25%,
due 10/1/2041
|
318,367
|
|
|
750,000
|
Yamhill County Hospital Authority Refunding Revenue (Friends View), Series
2021-A, 5.00%, due
11/15/2051
|
526,405
|
|
|
|
|
844,772
|
|
Pennsylvania 1.4%
|
|
|||
|
750,000
|
Pennsylvania Economic Development Financing Authority Revenue (Bridges Finco
LP), Series 2016,
5.00%, due 12/31/2038
|
710,383
|
|
|
400,000
|
Pennsylvania Economic Development Financing Authority Revenue Refunding
(Tapestry Moon Senior
Housing Project), Series 2018-A, 6.75%, due 12/1/2053
|
152,500
(a)(b)
|
|
|
|
|
862,883
|
|
Puerto Rico 3.6%
|
|
|||
|
|
Puerto Rico Commonwealth General Obligation (Restructured)
|
|
|
|
9,423
|
Series 2021-A, 0.00%, due 7/1/2024
|
9,129
|
|
|
74,376
|
Series 2021-A, 0.00%, due 7/1/2033
|
42,482
|
|
|
64,367
|
Series 2021-A1, 5.38%, due 7/1/2025
|
64,712
|
|
|
63,784
|
Series 2021-A1, 5.63%, due 7/1/2027
|
64,875
|
|
|
62,750
|
Series 2021-A1, 5.63%, due 7/1/2029
|
64,116
|
|
|
60,948
|
Series 2021-A1, 5.75%, due 7/1/2031
|
62,691
|
|
|
57,794
|
Series 2021-A1, 4.00%, due 7/1/2033
|
50,254
|
|
|
51,950
|
Series 2021-A1, 4.00%, due 7/1/2035
|
43,552
|
|
|
44,586
|
Series 2021-A1, 4.00%, due 7/1/2037
|
36,203
|
|
|
60,620
|
Series 2021-A1, 4.00%, due 7/1/2041
|
46,748
|
|
|
813,045
|
Series 2021-A1, 4.00%, due 7/1/2046
|
593,633
|
Principal Amount
|
Value
|
|||
Puerto Rico – cont'd
|
|
|||
|
|
Puerto Rico Electric Power Authority Power Revenue
|
|
|
$
|
650,000
|
Series 2010-XX, 5.25%, due 7/1/2035
|
$162,500
(b)
|
|
|
1,500,000
|
Series 2012-A, 5.00%, due 7/1/2042
|
375,000
(b)
|
|
|
|
Puerto Rico Industrial Tourist Education Medical & Environmental Control
Facilities Authority Revenue
(Hospital Auxilio Mutuo Obligation Group Project)
|
|
|
|
550,000
|
Series 2021, 5.00%, due 7/1/2030
|
561,250
|
|
|
100,000
|
Series 2021, 5.00%, due 7/1/2034
|
101,772
|
|
|
|
|
2,278,917
|
|
South Carolina 1.5%
|
|
|||
|
500,000
|
Lancaster County Assessment Revenue Refunding (Walnut Creek Improvement
District),
Series 2016-A-1, 5.00%, due 12/1/2031
|
480,726
|
|
|
150,000
|
South Carolina Jobs Economic Development Authority Economic Development
Revenue (River Park
Senior Living Project), Series 2017-A, 7.75%, due 10/1/2057
|
155,850
|
|
|
300,000
|
South Carolina Jobs Economic Development Authority Solid Waste Disposal
Revenue (AMT-Green
Bond-Last Step Recycling LLC Project), Series 2021-A, 6.50%, due 6/1/2051
|
208,259
(a)
|
|
|
500,000
|
South Carolina Jobs Economic Development Authority Solid Waste Disposal
Revenue (Green
Bond-Jasper Pellets LLC Project), Series 2018-A, 7.00%, due 11/1/2038
|
87,450
#(a)(b)(e)(f)
|
|
|
500,000
|
South Carolina Jobs Economic Development Authority Solid Waste Disposal
Revenue (RePower South
Berkeley LLC Project), Series 2017, 6.25%, due 2/1/2045
|
50,000
(a)(b)
|
|
|
|
|
982,285
|
|
Tennessee 0.6%
|
|
|||
|
500,000
|
Metropolitan Government Nashville & Davidson County Health &
Educational Facilities Board Revenue
(Blakeford At Green Hills), Series 2020-A, 4.00%, due 11/1/2045
|
353,866
|
|
Texas 12.6%
|
|
|||
|
750,000
|
Anson Educational Facilities Corp. Educational Revenue (Arlington Classics
Academy), Series 2016-A,
5.00%, due 8/15/2045
|
674,059
|
|
|
500,000
|
Dallas Independent School District General Obligation, Series 2022, (PSF-GTD
Insured), 2.75%, due
2/15/2052
|
302,073
|
|
|
95,000
|
Fort Bend County Industrial Development Corp. Revenue (NRG Energy, Inc.),
Series 2012-A, 4.75%,
due 5/1/2038
|
85,413
|
|
|
750,000
|
Hale Center Education Facilities Corp. Revenue Refunding (Wayland Baptist
University Project),
Series 2022, 5.00%, due 3/1/2033
|
743,148
|
|
|
495,000
|
Harris County Municipal Utility District No. 489 General Obligation, Series
2023, (AGM Insured),
4.00%, due 9/1/2036
|
444,809
|
|
|
|
Hidalgo County Regional Mobility Authority Toll & Vehicle Registration
Junior Lien Refunding
|
|
|
|
750,000
|
Series 2022-B, 4.00%, due 12/1/2037
|
627,667
|
|
|
755,000
|
Series 2022-B, 4.00%, due 12/1/2039
|
611,029
|
|
|
1,000,000
|
Series 2022-B, 4.00%, due 12/1/2040
|
795,654
|
|
|
|
Houston Airport System Revenue (United Airlines, Inc. Terminal Improvement
Project)
|
|
|
|
400,000
|
Series 2015-B-1, 5.00%, due 7/15/2030
|
382,674
|
|
|
750,000
|
Series 2021-B-1, 4.00%, due 7/15/2041
|
592,747
|
|
|
500,000
|
New Hope Cultural Education Facilities Finance Corp. Revenue (Beta Academy),
Series 2019-A,
5.00%, due 8/15/2049
|
409,958
(a)
|
|
|
500,000
|
New Hope Cultural Education Facilities Finance Corp. Senior Living Revenue
(Cardinal Bay, Inc. Village
On The Park Carriage), Series 2016-C, 5.50%, due 7/1/2046
|
200,000
(b)
|
|
|
500,000
|
New Hope Cultural Education Facilities Finance Corp. Student Housing Revenue
(NCCD-College
Station Properties LLC), Series 2015-A, 5.00%, due 7/1/2047
|
453,750
(b)
|
|
|
300,000
|
Port Beaumont Navigation District Dock & Wharf Facility Revenue
Refunding (Jefferson Gulf Coast
Energy Project), Series 2020-A, 3.63%, due 1/1/2035
|
226,498
(a)
|
|
|
500,000
|
Texas State Private Activity Bond Surface Transportation Corp. Revenue
(Senior Lien-Blueridge
Transportation Group LLC), Series 2016, 5.00%, due 12/31/2040
|
460,259
|
Principal Amount
|
Value
|
|||
Texas – cont'd
|
|
|||
$
|
1,000,000
|
Texas State Private Activity Bond Surface Transportation Corp. Senior Lien
Revenue Refunding (Senior
North Tarrant Express Managed Lanes Project), Series 2019-A, 5.00%, due
12/31/2030
|
$1,024,352
|
|
|
|
|
8,034,090
|
|
Utah 1.8%
|
|
|||
|
|
Utah Infrastructure Agency Telecommunication Revenue
|
|
|
|
600,000
|
Series 2019-A, 4.00%, due 10/15/2036
|
512,669
|
|
|
1,000,000
|
Series 2021-A, 3.00%, due 10/15/2045
|
600,682
|
|
|
|
|
1,113,351
|
|
Vermont 1.0%
|
|
|||
|
500,000
|
Vermont Economic Development Authority Solid Waste Disposal Revenue (Casella
Waste System, Inc.),
Series 2013, 4.63%, due 4/1/2036 Putable 4/3/2028
|
478,486
(a)
|
|
|
180,000
|
Vermont Student Assistant Corp. Education Loan Revenue, Series 2015-A,
4.13%, due 6/15/2028
|
178,755
|
|
|
|
|
657,241
|
|
West Virginia 3.2%
|
|
|||
|
|
West Virginia Hospital Finance Authority Revenue (Vandalia Health Group)
|
|
|
|
1,500,000
|
Series 2023-B, 6.00%, due 9/1/2053
|
1,544,588
|
|
|
500,000
|
Series 2023-B, (AGM Insured), 5.38%, due 9/1/2053
|
495,816
|
|
|
|
|
2,040,404
|
|
Wisconsin 4.0%
|
|
|||
|
300,000
|
Public Finance Authority Education Revenue (Resh Triangle High School
Project), Series 2015-A,
5.38%, due 7/1/2035
|
286,827
(a)
|
|
|
500,000
|
Public Finance Authority Hospital Revenue (Carson Valley Medical Center),
Series 2021-A, 4.00%, due
12/1/2051
|
339,676
|
|
|
411,673
|
Public Finance Authority Revenue (Goodwill Industries of Southern Nevada
Project), Series 2015-A,
5.50%, due 12/1/2038
|
344,988
|
|
|
1,170,000
|
Public Finance Authority Revenue Refunding (Celanese Project), Series
2016-C, 4.30%, due 11/1/2030
|
1,081,013
|
|
|
500,000
|
Public Finance Authority Special Facility Revenue (Sky Harbour Capital LLC
Aviation Facility Project),
Series 2021, 4.00%, due 7/1/2041
|
347,774
|
|
|
200,000
|
Saint Croix Chippewa Indians of Wisconsin Refunding, Series 2021, 5.00%, due
9/30/2041
|
139,730
(a)
|
|
|
|
|
2,540,008
|
|
Total Investments 99.0% (Cost $76,767,721)
|
62,928,510
|
|||
Other Assets Less Liabilities 1.0%
|
622,686
|
|||
Net Assets 100.0%
|
$63,551,196
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $18,581,632, which represents 29.2% of net assets of the Fund.
|
(b)
|
Defaulted security.
|
(c)
|
Variable rate demand obligation where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate generally resets daily or weekly and is determined by
the remarketing
agent. The rate shown represents the rate in effect at October 31, 2023.
|
(d)
|
When-issued security. Total value of all such securities at October 31, 2023 amounted to
$280,943, which
represents 0.4% of net assets of the Fund.
|
(e)
|
Value determined using significant unobservable inputs.
|
(f)
|
Security fair valued as of October 31, 2023 in accordance with procedures approved by the
valuation
designee. Total value of all such securities at October 31, 2023 amounted to $87,450, which
represents
0.1% of net assets of the Fund.
|
Restricted Security
|
Acquisition
Date(s)
|
Acquisition
Cost
|
Value as of
10/31/2023
|
Fair Value
Percentage
of Net Assets
as of
10/31/2023
|
South Carolina Jobs Economic Development
Authority Solid Waste Disposal Revenue (Green
Bond-Jasper Pellets LLC Project)
|
12/4/2018-6/25/2020
|
$481,663
|
$87,450
|
0.1
%
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Investments:
|
|
|
|
|
Municipal Notes
|
|
|
|
|
South Carolina
|
$—
|
$894,835
|
$87,450
|
$982,285
|
Other Municipal Notes#
|
—
|
61,946,225
|
—
|
61,946,225
|
Total Municipal Notes
|
—
|
62,841,060
|
87,450
|
62,928,510
|
Total Investments
|
$—
|
$62,841,060
|
$87,450
|
$62,928,510
|
#
|
The Schedule of Investments provides information on the state/territory categorization.
|
(a)
|
The following is a reconciliation between the beginning and ending balances of investments in
which
significant unobservable inputs (Level 3) were used in determining value:
|
(000's
omitted)
|
Beginning
balance as
of 11/1/2022
|
Accrued
discounts/
(premiums)
|
Realized
gain/(loss)
|
Change
in unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
10/31/2023
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
10/31/2023
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Municipal Notes(1)
|
$—
|
$1
|
$—
|
$(389
)
|
$—
|
$—
|
$475
|
$—
|
$87
|
$(389
)
|
Total
|
$—
|
$1
|
$—
|
$(389
)
|
$—
|
$—
|
$475
|
$—
|
$87
|
$(389
)
|
(1) Quantitative Information about Level 3 Fair Value Measurements:
|
Investment type
|
Fair value
at
10/31/2023
|
Valuation
approach
|
Significant unobservable
input(s)
|
Input value/
range
|
Weighted
average(a)
|
Impact to
valuation
from
increase
in input(b)
|
Municipal Notes
|
$87,450
|
Market Approach
|
Recovery Value (of Par Value)
|
17.5%
|
17.5%
|
Increase
|
(a) The weighted averages disclosed in the table above were weighted by relative fair value.
|
||||||
(b) Represents the expected directional change in the fair value of the Level 3 investments that
would result from an increase or decrease in the corresponding input.
Significant changes in
these inputs could result in significantly higher or lower fair value
measurements.
|
Principal Amount
|
Value
|
|||
Municipal Notes 98.4%
|
||||
Alabama 0.8%
|
|
|||
$
|
565,000
|
Fort Payne City General Obligation (School Warrants), Series 2018-B, (AGM
Insured), 5.00%, due
5/1/2027
|
$584,065
|
|
Arkansas 2.7%
|
|
|||
|
550,000
|
Benton Washington Regional Public Water Authority Revenue Green Bond, Series
2022, (BAM
Insured), 4.00%, due 10/1/2033
|
528,723
|
|
|
1,000,000
|
Pulaski County Revenue (Arkansas Children's Hospital), Series 2023, 5.25%,
due 3/1/2053
|
994,968
|
|
|
315,000
|
Russellville Water & Sewer Revenue, Series 2018, (AGM Insured), 4.00%,
due 7/1/2028
|
314,541
|
|
|
|
|
1,838,232
|
|
California 1.4%
|
|
|||
|
1,000,000
|
Glendale Water Revenue Refunding, Series 2020, 2.00%, due 2/1/2033
|
775,532
|
|
|
200,000
|
San Diego Association of Governments Capital Grant Receipts Revenue (Green
Bond Mid-Coast
Corridor Transit Project), Series 2019-A, 5.00%, due 11/15/2024
|
200,068
|
|
|
|
|
975,600
|
|
Colorado 2.2%
|
|
|||
|
200,000
|
Pueblo Urban Renewal Authority Tax Increment Revenue (Evraz Project), Series
2021-A, 4.75%, due
12/1/2045
|
136,000
(a)
|
|
|
1,500,000
|
University of Colorado Enterprise System Revenue Refunding (University
Enterprise Green Bond),
Series 2021-C-3A, 2.00%, due 6/1/2051 Putable 10/15/2026
|
1,388,533
|
|
|
|
|
1,524,533
|
|
District of Columbia 0.7%
|
|
|||
|
525,000
|
District of Columbia Revenue Refunding (Gallaudet University), Series
2021-A, 5.00%, due 4/1/2051
|
495,822
|
|
Florida 1.8%
|
|
|||
|
1,225,000
|
Miami-Dade County (Building Better Community Program), Series 2015-D, 5.00%,
due 7/1/2026
|
1,263,429
|
|
Georgia 1.5%
|
|
|||
|
1,000,000
|
Metropolitan Atlanta Rapid Transit Authority Sales Tax Revenue Refunding,
Series 2016-B, 5.00%, due
7/1/2035
|
1,019,804
|
|
Illinois 6.8%
|
|
|||
|
1,000,000
|
Cook County Community Consolidated School District No. 21 General Obligation
(Wheeling School
Building), Series 2019-A, (AGM Insured), 4.00%, due 12/1/2035
|
930,272
|
|
|
|
Illinois State General Obligation
|
|
|
|
670,000
|
Series 2016, 4.00%, due 1/1/2031
|
641,330
|
|
|
600,000
|
Series 2023-B, 5.00%, due 5/1/2028
|
616,261
|
|
|
1,000,000
|
Series 2023-B, 5.00%, due 5/1/2036
|
1,006,881
|
|
|
|
Sales Tax Securitization Corp. Senior Lien Revenue Refunding (Social Bonds)
|
|
|
|
650,000
|
Series 2023-A, 5.00%, due 1/1/2033
|
673,063
|
|
|
1,000,000
|
Series 2023-A, 4.00%, due 1/1/2042
|
867,179
|
|
|
|
|
4,734,986
|
|
Indiana 4.9%
|
|
|||
|
|
Anderson School Building Corp. (First Mortgage)
|
|
|
|
850,000
|
Series 2018, 5.00%, due 1/15/2024
|
851,476
|
|
|
895,000
|
Series 2018, 5.00%, due 1/15/2026
|
911,225
|
|
|
1,000,000
|
Indiana Finance Authority Revenue (Indiana University Health), Series
2023-A, 5.00%, due 10/1/2053
|
972,521
|
|
|
660,000
|
West Central Conservancy District Savage Revenue Refunding, Series 2021,
4.00%, due 7/1/2029
|
666,089
|
|
|
|
|
3,401,311
|
Principal Amount
|
Value
|
|||
Kentucky 9.1%
|
|
|||
|
|
Breathitt County School District Finance Corp. Revenue
|
|
|
$
|
210,000
|
Series 2021, 2.00%, due 4/1/2027
|
$189,643
|
|
|
835,000
|
Series 2021, 2.00%, due 4/1/2029
|
712,870
|
|
|
|
Daviess County School District Finance Corp. Revenue
|
|
|
|
775,000
|
Series 2021-A, 5.00%, due 12/1/2027
|
803,595
|
|
|
900,000
|
Series 2021-A, 2.00%, due 12/1/2031
|
713,373
|
|
|
|
Green County School District Finance Corp.
|
|
|
|
525,000
|
Series 2021, 2.00%, due 10/1/2024
|
511,292
|
|
|
335,000
|
Series 2021, 2.00%, due 10/1/2025
|
316,713
|
|
|
650,000
|
Series 2021, 2.00%, due 10/1/2026
|
598,416
|
|
|
500,000
|
Kentucky Economic Development Finance Authority Revenue Refunding (Owensboro
Health),
Series 2017-A, 5.00%, due 6/1/2041
|
464,734
|
|
|
|
Lewis County School District Finance Corp. Revenue
|
|
|
|
460,000
|
Series 2021-B, 2.00%, due 8/1/2024
|
448,424
|
|
|
585,000
|
Series 2021-B, 2.00%, due 8/1/2025
|
553,794
|
|
|
1,000,000
|
Logan-Todd Regional Water Commission Revenue Refunding, Series 2016-A, (AGM
Insured), 5.00%,
due 7/1/2028
|
1,025,071
|
|
|
|
|
6,337,925
|
|
Louisiana 3.7%
|
|
|||
|
1,220,000
|
Louisiana Public Facilities Authority Revenue Refunding (Hurricane Recovery
Program), Series 2014,
5.00%, due 6/1/2024
|
1,227,319
|
|
|
|
Natchitoches Parish School District No. 9 General Obligation
|
|
|
|
505,000
|
Series 2018, (AGM Insured), 5.00%, due 3/1/2027
|
520,592
|
|
|
755,000
|
Series 2018, (AGM Insured), 5.00%, due 3/1/2028
|
785,274
|
|
|
|
|
2,533,185
|
|
Maine 0.4%
|
|
|||
|
400,000
|
Maine State Finance Authority (Green Bond-Go Lab Madison LLC Project),
Series 2021, 8.00%, due
12/1/2051
|
247,660
(a)
|
|
Michigan 13.0%
|
|
|||
|
1,000,000
|
Dearborn General Obligation (Sewer), Series 2018, 4.00%, due 4/1/2033
|
992,140
|
|
|
|
Detroit General Obligation
|
|
|
|
500,000
|
Series 2021-A, 4.00%, due 4/1/2040
|
405,618
|
|
|
250,000
|
Series 2023-C, 6.00%, due 5/1/2043
|
259,112
|
|
|
|
Fowlerville Community School District Refunding General Obligation
|
|
|
|
1,000,000
|
Series 2022, 3.00%, due 5/1/2029
|
942,436
|
|
|
70,000
|
Series 2022, 4.00%, due 5/1/2033
|
69,154
|
|
|
|
Kent Hospital Finance Authority Revenue (Mary Free Bed Rehabilitation
Hospital)
|
|
|
|
105,000
|
Series 2021-A, 5.00%, due 4/1/2028
|
106,746
|
|
|
1,015,000
|
Series 2021-A, 4.00%, due 4/1/2033
|
928,817
|
|
|
500,000
|
Livonia Public School District General Obligation, Series 2016, (AGM
Insured), 5.00%, due 5/1/2028
|
512,446
|
|
|
750,000
|
Michigan State Housing Development Authority Revenue (Non Ace), Series
2016-B, 2.50%, due
12/1/2026
|
705,509
|
|
|
290,000
|
Michigan State Housing Development Authority Revenue Refunding, Series
2018-B, 3.15%, due
4/1/2028
|
273,169
|
|
|
1,000,000
|
Michigan State Housing Development Authority Single Family Mortgage Revenue
(Non Ace),
Series 2018-C, 2.90%, due 12/1/2024
|
984,388
|
|
|
1,000,000
|
Michigan State Strategic Fund Ltd. Obligation Revenue (Green Bond-Recycled
Board Machine Project),
Series 2021, 4.00%, due 10/1/2061 Putable 10/1/2026
|
968,950
|
Principal Amount
|
Value
|
|||
Michigan – cont'd
|
|
|||
|
|
Trenton Public School District General Obligation (School Building &
Site)
|
|
|
$
|
785,000
|
Series 2018-B, 5.00%, due 5/1/2036
|
$815,476
|
|
|
1,025,000
|
Series 2018-B, 5.00%, due 5/1/2039
|
1,049,093
|
|
|
|
|
9,013,054
|
|
Minnesota 2.0%
|
|
|||
|
|
Duluth Economic Development Authority Revenue Refunding (Saint Luke's
Hospital of Duluth)
|
|
|
|
310,000
|
Series 2022-A, 5.00%, due 6/15/2027
|
308,579
|
|
|
410,000
|
Series 2022-A, 5.00%, due 6/15/2028
|
408,451
|
|
|
500,000
|
Minnesota Rural Water Finance Authority (Public Project Construction Notes),
Series 2022, 2.63%,
due 12/1/2023
|
498,836
|
|
|
210,000
|
Saint Paul Housing & Redevelopment Authority Charter School Lease
Revenue (Metro Deaf School
Project), Series 2018-A, 5.00%, due 6/15/2038
|
186,915
(a)
|
|
|
|
|
1,402,781
|
|
Missouri 2.8%
|
|
|||
|
1,000,000
|
Bi-State Development Agency of the Missouri-Illinois Metropolitan District
Revenue Refunding
(Combined Lien Mass Transit Sales Tax Appropriation), Series 2019, 4.00%,
due 10/1/2036
|
925,207
|
|
|
1,000,000
|
Saint Louis School District General Obligation, Series 2023, (AGM Insured),
5.00%, due 4/1/2039
|
1,023,349
|
|
|
|
|
1,948,556
|
|
New Jersey 2.0%
|
|
|||
|
185,000
|
New Jersey State Economic Development Authority Revenue (Social Bonds),
Series 2021-QQQ,
5.00%, due 6/15/2025
|
187,626
|
|
|
650,000
|
New Jersey State Housing & Mortgage Finance Agency Multi-Family Revenue
Refunding,
Series 2017-A, 2.60%, due 11/1/2024
|
639,978
|
|
|
100,000
|
New Jersey State Transportation Trust Fund Authority Revenue Refunding,
Series 2021-A, 5.00%, due
6/15/2031
|
105,453
|
|
|
575,000
|
Newark Board of Education General Obligation (Sustainability Bonds), Series
2021, (BAM Insured),
3.00%, due 7/15/2038
|
423,991
|
|
|
|
|
1,357,048
|
|
New York 11.6%
|
|
|||
|
250,000
|
Buffalo Sewer Authority Environmental Impact Revenue (Green Bond), Series
2021, 1.75%, due
6/15/2049
|
137,463
(b)
|
|
|
200,000
|
Build NYC Resource Corp. Revenue (New Dawn Charter School Project), Series
2019, 5.75%, due
2/1/2049
|
169,922
(a)
|
|
|
|
Metropolitan Transportation Authority Revenue
|
|
|
|
230,000
|
(LOC: Barclays Bank PLC), Series 2015-E-1, 4.00%, due 11/15/2050
|
230,000
(c)
|
|
|
850,000
|
Series 2016-B, 5.00%, due 11/15/2025
|
860,962
|
|
|
1,100,000
|
Metropolitan Transportation Authority Revenue Refunding, (LOC: Barclays Bank
PLC),
Series 2012-G-1, 4.00%, due 11/1/2032
|
1,100,000
(c)
|
|
|
150,000
|
Nassau County Industrial Development Agency Revenue Refunding (Cold Spring),
(LOC: TD Bank
N.A.), Series 1999, 3.85%, due 1/1/2034
|
150,000
(c)
|
|
|
150,000
|
Nassau County Local Economic Assistance Corp. Revenue (Catholic Health
Services of Long Island
Obligated Group Project), Series 2014, 5.00%, due 7/1/2027
|
150,617
|
|
|
|
New York City Housing Development Corp. Multi-Family Housing Revenue
(Sustainable Development
Bonds)
|
|
|
|
805,000
|
Series 2020-A, 1.13%, due 5/1/2060 Putable 11/1/2024
|
775,811
|
|
|
825,000
|
Series 2021-F-1, 1.05%, due 5/1/2028
|
680,444
|
|
|
1,090,000
|
Series 2021-F-1, 1.25%, due 5/1/2029
|
877,812
|
|
|
500,000
|
New York City Housing Development Corp. Revenue, Series 2020-C, (HUD Section
8, Fannie Mae
Insured), 2.15%, due 8/1/2035
|
372,831
|
|
|
1,000,000
|
New York State Dormitory Authority Revenue (Financing Program), Series
2023-A, (AGM Insured),
5.00%, due 10/1/2036
|
1,045,244
|
Principal Amount
|
Value
|
|||
New York – cont'd
|
|
|||
$
|
260,000
|
New York State Housing Finance Agency Revenue (Climate Bond Certified/
Sustainability Bonds),
Series 2019-P, 1.55%, due 11/1/2023
|
$260,000
|
|
|
1,130,000
|
New York State Housing Finance Agency Revenue (Sustainability Bonds), Series
2021-G, (SONYMA
Insured), 2.60%, due 11/1/2046
|
691,309
|
|
|
500,000
|
New York State Power Authority Revenue (Green Transmission Project-Green
Bond), Series 2022-A,
(AGM Insured), 5.00%, due 11/15/2024
|
506,266
|
|
|
|
|
8,008,681
|
|
North Carolina 1.1%
|
|
|||
|
900,000
|
North Carolina Housing Finance Agency Homeownership Refunding Revenue,
Series 2020-45,
(GNMA/FNMA/FHLMC Insured), 2.20%, due 7/1/2040
|
573,204
|
|
|
175,000
|
Scotland County Revenue, Series 2018, 5.00%, due 12/1/2026
|
179,579
|
|
|
|
|
752,783
|
|
North Dakota 0.7%
|
|
|||
|
190,000
|
Cass County Joint Water Resource District, Series 2021-A, 0.48%, due
5/1/2024
|
184,673
|
|
|
300,000
|
Larimore General Obligation, Series 2021, 0.85%, due 5/1/2024
|
292,301
|
|
|
|
|
476,974
|
|
Ohio 2.9%
|
|
|||
|
520,000
|
Akron Bath Copley Joint Township Hospital District (Summa Health Systems
Obligation), Series 2020,
4.00%, due 11/15/2036
|
444,179
|
|
|
1,000,000
|
American Municipal Power Ohio, Inc. Revenue (Combined Hydroelectric
Project), Series 2021-A-2,
1.00%, due 2/15/2048 Putable 8/15/2024
|
971,483
|
|
|
400,000
|
Cuyahoga Metropolitan Housing Authority Revenue, Series 2021, (2045
Initiative Project), 2.00%,
due 12/1/2031
|
332,198
|
|
|
250,000
|
Ohio State Air Quality Development Authority Exempt Facilities Revenue (AMG
Vanadium LLC),
Series 2019, 5.00%, due 7/1/2049
|
199,005
(a)
|
|
|
125,000
|
Southern Ohio Port Exempt Facility Authority Revenue (PureCycle Project),
Series 2020-A, 7.00%, due
12/1/2042
|
83,969
(a)
|
|
|
|
|
2,030,834
|
|
Oklahoma 2.2%
|
|
|||
|
870,000
|
Johnston County Educational Facility Authority Lease Revenue (Tishomingo
Public School Project),
Series 2022, 4.00%, due 9/1/2030
|
861,789
|
|
|
650,000
|
Lincoln County Education Facility Authority Education Facilities Lease
Revenue (Stroud Public School
Project), Series 2016, 5.00%, due 9/1/2027
|
661,836
|
|
|
|
|
1,523,625
|
|
Pennsylvania 3.7%
|
|
|||
|
|
Allegheny County Sanitary Authority Revenue
|
|
|
|
290,000
|
Series 2018, 5.00%, due 6/1/2030
|
306,621
|
|
|
565,000
|
Series 2018, 5.00%, due 6/1/2032
|
597,850
|
|
|
|
Pennsylvania State Housing Finance Agency Single Family Mortgage Revenue
|
|
|
|
1,000,000
|
Series 2018-127B, 2.85%, due 4/1/2026
|
953,925
|
|
|
750,000
|
Series 2019-131A, 1.75%, due 4/1/2025
|
720,195
|
|
|
|
|
2,578,591
|
|
Puerto Rico 0.6%
|
|
|||
|
|
Puerto Rico Industrial Tourist Education Medical & Environmental Control
Facilities Authority Revenue
(Hospital Auxilio Mutuo Obligation Group Project)
|
|
|
|
100,000
|
Series 2021, 5.00%, due 7/1/2035
|
101,301
|
|
|
200,000
|
Series 2021, 4.00%, due 7/1/2036
|
171,539
|
|
|
200,000
|
Series 2021, 4.00%, due 7/1/2038
|
167,065
|
|
|
|
|
439,905
|
Principal Amount
|
Value
|
|||
South Carolina 2.6%
|
|
|||
|
|
Dillon County School Facility Corp. Certificate of Participation Refunding
|
|
|
$
|
1,175,000
|
Series 2020, 5.00%, due 12/1/2026
|
$1,205,745
|
|
|
445,000
|
Series 2020, 5.00%, due 12/1/2027
|
460,402
|
|
|
150,000
|
South Carolina Jobs Economic Development Authority Solid Waste Disposal
Revenue (AMT-Green
Bond-Last Step Recycling LLC Project), Series 2021-A, 6.50%, due 6/1/2051
|
104,130
(a)
|
|
|
175,000
|
South Carolina Jobs Economic Development Authority Solid Waste Disposal
Revenue (Green
Bond-Jasper Pellets LLC Project), Series 2018-A, 7.00%, due 11/1/2038
|
30,608
#(a)(d)(e)(f)
|
|
|
|
|
1,800,885
|
|
Tennessee 1.9%
|
|
|||
|
|
Tennessee Housing Development Agency Residential Finance Program Revenue
|
|
|
|
490,000
|
Series 2019, 3.25%, due 7/1/2032
|
435,181
|
|
|
1,070,000
|
Series 2021, 1.80%, due 1/1/2031
|
867,316
|
|
|
|
|
1,302,497
|
|
Texas 5.4%
|
|
|||
|
780,000
|
Anna Independent School District General Obligation, Series 2023, (PSF-GTD
Insured)), 4.13%, due
2/15/2053
|
654,653
|
|
|
625,000
|
Hidalgo County Regional Mobility Authority Revenue Toll & Vehicle
Registration Junior Lien Refunding,
Series 2022-B, 4.00%, due 12/1/2038
|
514,409
|
|
|
500,000
|
New Caney Independent School District, Series 2018, (PSF-GTD Insured),
1.25%, due 2/15/2050
Putable 8/15/2024
|
487,890
|
|
|
1,015,000
|
Weslaco General Obligation Refunding, Series 2017, (AGM Insured), 5.00%, due
8/15/2027
|
1,057,984
|
|
|
1,000,000
|
Ysleta Independent School District General Obligation (School Building),
Series 2017-B, (PSF-GTD
Insured), 5.00%, due 8/15/2041
|
1,006,971
|
|
|
|
|
3,721,907
|
|
Virginia 1.7%
|
|
|||
|
1,510,000
|
Virginia State Housing Development Authority, Series 2019 E, 2.90%, due
12/1/2038
|
1,150,302
|
|
Washington 2.1%
|
|
|||
|
1,000,000
|
Discovery Clean Water Alliance Sewer Revenue, Series 2022, 5.00%, due
12/1/2037
|
1,044,065
|
|
|
482,250
|
Washington State Housing Finance Commission, Series 2021-A-1, 3.50%, due
12/20/2035
|
409,361
|
|
|
|
|
1,453,426
|
|
West Virginia 6.1%
|
|
|||
|
500,000
|
West Virginia Hospital Finance Authority Revenue (Improvement West Virginia
University Health
System Obligated Group), Series 2018-A, 5.00%, due 6/1/2052
|
474,174
|
|
|
650,000
|
West Virginia Hospital Finance Authority Revenue (University Health System
Obligated Group),
Series 2023-A, 5.00%, due 6/1/2043
|
638,049
|
|
|
500,000
|
West Virginia Hospital Finance Authority Revenue (Vandalia Health Group),
Series 2023-B, 6.00%,
due 9/1/2053
|
514,863
|
|
|
700,000
|
West Virginia Hospital Finance Authority Revenue (West Virginia University
Health Systems),
Series 2017-A, 5.00%, due 6/1/2035
|
711,232
|
|
|
600,000
|
West Virginia Hospital Finance Authority Revenue Refunding (Cabell
Huntington Hospital Obligated
Group), Series 2018-A, 5.00%, due 1/1/2035
|
592,368
|
|
|
275,000
|
West Virginia Housing Development Fund Revenue (Housing Finance), Series
2018-A, (HUD Section 8
Insured), 2.65%, due 11/1/2024
|
270,893
|
Principal Amount
|
Value
|
|||
West Virginia – cont'd
|
|
|||
$
|
990,000
|
West Virginia Water Development Authority Revenue Refunding (Loan Program),
Series 2018-A-IV,
5.00%, due 11/1/2036
|
$1,021,780
|
|
|
|
|
4,223,359
|
|
Total Investments 98.4% (Cost $75,378,648)
|
68,141,760
|
|||
Other Assets Less Liabilities 1.6%
|
1,125,072
|
|||
Net Assets 100.0%
|
$69,266,832
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $1,158,209, which represents 1.7% of net assets of the Fund.
|
(b)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific
date or may reset in
the future contingent upon a predetermined trigger. The interest rate shown was the current
rate as of
|
(c)
|
Variable rate demand obligation where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate generally resets daily or weekly and is determined by
the remarketing
agent. The rate shown represents the rate in effect at October 31, 2023.
|
(d)
|
Defaulted security.
|
(e)
|
Value determined using significant unobservable inputs.
|
(f)
|
Security fair valued as of October 31, 2023 in accordance with procedures approved by the
valuation
designee. Total value of all such securities at October 31, 2023 amounted to $30,608, which
represents
0.0% of net assets of the Fund.
|
Restricted Security
|
Acquisition
Date(s)
|
Acquisition
Cost
|
Value as of
10/31/2023
|
Fair Value
Percentage
of Net Assets
as of
10/31/2023
|
South Carolina Jobs Economic Development Authority Solid
Waste Disposal Revenue (Green Bond-Jasper Pellets LLC
Project)
|
12/4/2018
|
$170,987
|
$30,608
|
0.0
%
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Investments:
|
|
|
|
|
Municipal Notes
|
|
|
|
|
South Carolina
|
$—
|
$1,770,277
|
$30,608
|
$1,800,885
|
Other Municipal Notes#
|
—
|
66,340,875
|
—
|
66,340,875
|
Total Municipal Notes
|
—
|
68,111,152
|
30,608
|
68,141,760
|
Total Investments
|
$—
|
$68,111,152
|
$30,608
|
$68,141,760
|
#
|
The Schedule of Investments provides information on the state/territory categorization.
|
(a)
|
The following is a reconciliation between the beginning and ending balances of investments in
which
significant unobservable inputs (Level 3) were used in determining value:
|
(000's
omitted)
|
Beginning
balance as
of 11/1/2022
|
Accrued
discounts/
(premiums)
|
Realized
gain/(loss)
|
Change
in unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
10/31/2023
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
10/31/2023
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Municipal Notes(1)
|
$—
|
$—
|
$—
|
$(136
)
|
$—
|
$—
|
$167
|
$—
|
$31
|
$(136
)
|
Total
|
$—
|
$—
|
$—
|
$(136
)
|
$—
|
$—
|
$167
|
$—
|
$31
|
$(136
)
|
(1) Quantitative Information about Level 3 Fair Value Measurements:
|
Investment type
|
Fair value
at
10/31/2023
|
Valuation
approach
|
Significant unobservable
input(s)
|
Input value/
range
|
Weighted
average(a)
|
Impact to
valuation
from
increase
in input(b)
|
Municipal Notes
|
$30,608
|
Market Approach
|
Recovery Value (of Par Value)
|
17.5%
|
17.5%
|
Increase
|
(a) The weighted averages disclosed in the table above were weighted by relative fair value.
|
||||||
(b) Represents the expected directional change in the fair value of the Level 3 investments that
would result from an increase or decrease in the corresponding input.
Significant changes in
these inputs could result in significantly higher or lower fair value
measurements.
|
Principal Amount
|
Value
|
|||
Municipal Notes 100.9%
|
||||
Alabama 1.8%
|
|
|||
$
|
1,380,000
|
Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue
Project No. 5),
Series 2020-A-1, 4.00%, due 10/1/2049 Putable 10/1/2026
|
$1,337,172
|
|
|
295,000
|
Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue
Project No. 7),
Series 2021-C-1, 4.00%, due 10/1/2052 Putable 12/1/2026
|
284,145
|
|
|
1,600,000
|
Wilsonville Industrial Development Board PCR Revenue Refunding (Alabama
Power Co.),
Series 2005-D, 4.12%, due 1/1/2024
|
1,600,000
(a)
|
|
|
|
|
3,221,317
|
|
Arizona 1.6%
|
|
|||
|
1,300,000
|
Arizona Health Facilities Authority Revenue (Banner Health), Series 2015-C,
(LOC: Bank of America
N.A.), 3.87%, due 1/1/2046
|
1,300,000
(a)
|
|
|
500,000
|
Maricopa County Industrial Development Authority Revenue (Banner Health
Obligated Group),
Series 2017-C, 5.00%, due 1/1/2048 Putable 10/18/2024
|
502,985
|
|
|
950,000
|
Maricopa County Industrial Development Authority Senior Living Facility
Revenue Refunding
(Christian Care Retirement Apartments, Inc. Project), Series 2016-A, 5.00%,
due 1/1/2024
|
950,927
|
|
|
|
|
2,753,912
|
|
Arkansas 0.6%
|
|
|||
|
535,000
|
Hot Springs Waterworks Revenue Refunding, Series2023, (BAM Insured), 5.00%,
due 10/1/2038
|
535,878
|
|
|
835,000
|
Mountain Home Arkansas Sales & Use Tax Revenue, Series 2021-B, 2.00%,
due 9/1/2038
|
539,243
|
|
|
|
|
1,075,121
|
|
California 6.7%
|
|
|||
|
1,025,000
|
California Educational Facilities Authority Revenue (Stanford University),
Series 2023-V, 5.00%, due
6/1/2033
|
1,154,886
|
|
|
|
California Housing Finance Agency Municipal Certificate
|
|
|
|
1,594,442
|
Series 2019-2, 4.00%, due 3/20/2033
|
1,502,479
|
|
|
480,756
|
Series 2021-1-A, 3.50%, due 11/20/2035
|
416,067
|
|
|
300,000
|
California Municipal Finance Authority Revenue (Northbay Healthcare Group),
Series 2017-A,
5.25%, due 11/1/2036
|
282,454
|
|
|
1,000,000
|
California State University Revenue, Series 2023-A, 5.25%, due 11/1/2053
|
1,047,422
|
|
|
100,000
|
California Statewide Communities Development Authority Revenue (Henry Mayo
Newhall Memorial
Hospital), Series 2014-A, (AGM Insured), 5.00%, due 10/1/2028 Pre-Refunded
10/1/2024
|
101,299
|
|
|
1,665,000
|
Contra Costa County Redevelopment Agency Successor Agency Tax Allocation
Refunding,
Series 2017-A, (BAM Insured), 5.00%, due 8/1/2032
|
1,729,688
|
|
|
1,450,000
|
Foothill-Eastern Transportation Corridor Agency Toll Road Revenue Refunding,
Series 2021-A, (BAM
Insured), 4.00%, due 1/15/2046
|
1,247,812
|
|
|
|
Fresno Joint Power Financing Authority Lease Revenue Refunding (Master Lease
Project)
|
|
|
|
110,000
|
Series 2017-A, (AGM Insured), 5.00%, due 4/1/2027
|
115,035
|
|
|
410,000
|
Series 2017-A, (AGM Insured), 5.00%, due 4/1/2032
|
427,642
|
|
|
3,000,000
|
Mizuho Floater/Residual Trust Special Tax (Putters), Series 2022-MIZ9110,
(LOC: Mizuho Capital
Markets LLC), 4.15%, due 9/1/2036
|
3,000,000
(a)(b)
|
|
|
435,000
|
Palmdale Elementary School District General Obligation (Election 2022),
Series 2023, (BAM Insured),
4.63%, due 8/1/2053
|
416,443
|
|
|
165,000
|
San Marcos Unified School District General Obligation Capital Appreciation
(Election 2010),
Series 2012-B, 0.00%, due 8/1/2027
|
141,722
|
|
|
180,000
|
Santa Monica-Malibu Unified School District General Obligation, Series
2019-E, 3.00%, due
8/1/2034
|
154,518
|
|
|
|
|
11,737,467
|
|
Colorado 0.9%
|
|
|||
|
945,000
|
Colorado State Educational & Cultural Facility Authority Revenue
Refunding (Alexander Dawson
School Project), Series 2016, 5.00%, due 5/15/2025
|
953,260
|
Principal Amount
|
Value
|
|||
Colorado – cont'd
|
|
|||
$
|
400,000
|
Colorado State Health Facilities Authority Hospital Revenue Refunding
(Commonspirit Health),
Series 2019-A-2, 4.00%, due 8/1/2049
|
$308,980
|
|
|
340,000
|
Denver Health & Hospital Authority Healthcare Revenue Refunding, Series
2019-A, 4.00%, due
12/1/2037
|
285,798
|
|
|
|
|
1,548,038
|
|
Connecticut 0.2%
|
|
|||
|
430,000
|
Meriden City General Obligation, Series 2020-B, 3.00%, due 7/1/2031
|
386,090
|
|
Delaware 1.8%
|
|
|||
|
|
Delaware State Health Facility Authority Revenue (Beebe Medical Center)
|
|
|
|
610,000
|
Series 2018, 5.00%, due 6/1/2027
|
619,123
|
|
|
500,000
|
Series 2018, 5.00%, due 6/1/2028
|
507,068
|
|
|
2,000,000
|
Deutsche Bank Spears/Lifers Trust Revenue, (LOC: Deutsche Bank A.G.), Series
2023-DBE-8110,
4.45%, due 12/1/2062
|
2,000,000
(a)(b)
|
|
|
|
|
3,126,191
|
|
District of Columbia 2.5%
|
|
|||
|
3,300,000
|
Deutsche Bank Spears/Lifers Trust Revenue, (LOC: Deutsche Bank A.G.), Series
2020-DBE-8070,
4.54%, due 8/1/2040
|
3,300,000
(a)(b)
|
|
|
|
Washington Convention & Sports Authority Revenue
|
|
|
|
785,000
|
Series 2021-A, 5.00%, due 10/1/2027
|
819,270
|
|
|
310,000
|
Series 2021-A, 5.00%, due 10/1/2028
|
326,643
|
|
|
|
|
4,445,913
|
|
Florida 3.4%
|
|
|||
|
700,000
|
Cape Coral Special Obligation Refunding Revenue, Series 2015, 4.00%, due
10/1/2030
|
698,099
|
|
|
770,000
|
Cityplace Community Development District Special Assessment Refunding
Revenue, Series 2012,
5.00%, due 5/1/2026
|
774,113
|
|
|
825,000
|
Escambia County Florida Environmental Improvement Revenue Refunding
(International Paper Co.
Project), Series 2019-B, 2.00%, due 11/1/2033 Putable 10/1/2024
|
805,358
|
|
|
2,000,000
|
Miami-Dade County General Obligation Refunding, Series 2015-B, 4.00%, due
7/1/2032
|
2,000,704
|
|
|
480,000
|
Village Community Development District No. 13 Special Assessment Revenue,
Series 2019, 3.00%,
due 5/1/2029
|
433,742
|
|
|
|
Wildwood Utility Dependent District Revenue (Senior-South Sumter Utilities
Project)
|
|
|
|
350,000
|
Series 2021, (BAM Insured), 5.00%, due 10/1/2034
|
373,747
|
|
|
300,000
|
Series 2021, (BAM Insured), 5.00%, due 10/1/2035
|
318,790
|
|
|
250,000
|
Series 2021, (BAM Insured), 5.00%, due 10/1/2036
|
263,037
|
|
|
300,000
|
Series 2021, (BAM Insured), 5.00%, due 10/1/2037
|
308,292
|
|
|
|
|
5,975,882
|
|
Georgia 3.1%
|
|
|||
|
1,000,000
|
Main Street Natural Gas, Inc. Revenue, Series 2023-B, 5.00%, due 7/1/2053
Putable 3/1/2030
|
993,434
|
|
|
2,500,000
|
Monroe County Development Authority PCR Revenue (Georgia Power Co.
Plant-Scherer Project),
Series 2009, 1.00%, due 7/1/2049 Putable 8/21/2026
|
2,177,276
|
|
|
|
Municipal Electric Authority of Georgia (Plant Vogtle Units 3 & 4
Project M Bonds)
|
|
|
|
500,000
|
Series 2019-A, 5.00%, due 1/1/2032
|
509,789
|
|
|
100,000
|
Series 2019-A, 5.00%, due 1/1/2033
|
101,817
|
|
|
900,000
|
Municipal Electric Authority of Georgia Revenue (Plant Vogtle Units 3 &
4 Project M Bonds),
Series 2023-A, 5.50%, due 7/1/2064
|
867,235
|
|
|
850,000
|
Savannah Economic Development Authority Revenue Refunding (International
Paper Co. Project),
Series 2019-A, 2.00%, due 11/1/2033 Putable 10/1/2024
|
829,763
|
|
|
|
|
5,479,314
|
Principal Amount
|
Value
|
|||
Illinois 13.2%
|
|
|||
$
|
470,000
|
Bureau County Township High School District No. 502 General Obligation,
Series 2017-A, (BAM
Insured), 5.00%, due 12/1/2033 Pre-Refunded 12/1/2027
|
$493,660
|
|
|
500,000
|
Chicago General Obligation, Series 2023-A, 5.50%, due 1/1/2043
|
497,781
|
|
|
|
Chicago Refunding General Obligation
|
|
|
|
200,000
|
Series 2020-A, 5.00%, due 1/1/2026
|
202,233
|
|
|
955,000
|
Series 2021-A, 4.00%, due 1/1/2035
|
851,394
|
|
|
|
Cook County Sales Tax Revenue Refunding
|
|
|
|
2,250,000
|
Series 2021-A, 5.00%, due 11/15/2031
|
2,349,052
|
|
|
1,415,000
|
Series 2021-A, 5.00%, due 11/15/2032
|
1,478,830
|
|
|
|
Illinois Finance Authority Revenue
|
|
|
|
735,000
|
Series 2018 (Government Program-Brookfield Lagrange Park School District
No. 95 Project),
4.00%, due 12/1/2038
|
649,865
|
|
|
1,065,000
|
Series 2018, (BAM Insured) (Government Program-E Prairie School District
No. 73 Project), 5.00%,
due 12/1/2029
|
1,122,845
|
|
|
20,000
|
Series 2018, (BAM Insured) (Government Program-E Prairie School District
No. 73 Project), 4.00%,
due 12/1/2042
|
17,168
|
|
|
|
Illinois State Finance Authority Revenue (Downers Grove Community High
School District No. 99
Project)
|
|
|
|
1,000,000
|
Series 2019, 4.00%, due 12/15/2030
|
997,744
|
|
|
1,000,000
|
Series 2019, 4.00%, due 12/15/2031
|
992,990
|
|
|
|
Illinois State General Obligation
|
|
|
|
2,945,000
|
Series 2017-D, 5.00%, due 11/1/2027
|
3,017,290
|
|
|
2,090,000
|
Series 2017-D, 5.00%, due 11/1/2028
|
2,136,587
|
|
|
1,800,000
|
Series 2020, 5.75%, due 5/1/2045
|
1,835,865
|
|
|
500,000
|
Series 2021-A, 4.00%, due 3/1/2039
|
432,010
|
|
|
|
Peoria School District No. 150 General Obligation Refunding
|
|
|
|
395,000
|
Series 2020-A, (AGM Insured), 4.00%, due 12/1/2026
|
396,169
|
|
|
1,140,000
|
Series 2020-A, (AGM Insured), 4.00%, due 12/1/2027
|
1,144,013
|
|
|
955,000
|
Series 2020-A, (AGM Insured), 4.00%, due 12/1/2028
|
957,300
|
|
|
500,000
|
Sales Tax Securitization Corp. Revenue Refunding, Series 2017-A, 5.00%, due
1/1/2028
|
517,482
|
|
|
530,000
|
Sales Tax Securitization Corp. Revenue Refunding Second Lien, Series 2020-A,
5.00%, due 1/1/2026
|
539,521
|
|
|
1,000,000
|
Sales Tax Securitization Corp. Senior Lien Revenue Refunding (Social Bonds),
Series 2023-A, 4.00%,
due 1/1/2042
|
867,179
|
|
|
|
Springfield General Obligation
|
|
|
|
950,000
|
Series 2014, 4.25%, due 12/1/2027
|
953,491
|
|
|
680,000
|
Series 2014, 5.00%, due 12/1/2028
|
686,627
|
|
|
|
|
23,137,096
|
|
Indiana 2.0%
|
|
|||
|
1,385,000
|
Fairfield School Building Corp. Revenue, Series 2021, 3.00%, due 7/15/2028
|
1,282,757
|
|
|
500,000
|
Indiana State Finance Authority Revenue (Greencroft Obligation Group),
Series 2021-A, 4.00%, due
11/15/2043
|
351,439
|
|
|
|
Indiana State Housing & Community Development Authority Single Family
Mortgage Revenue
|
|
|
|
795,000
|
Series 2019-B, (GNMA/FNMA/FHLMC Insured), 2.40%, due 7/1/2034
|
618,024
|
|
|
295,000
|
Series 2020-B-1, (GNMA Insured), 1.60%, due 1/1/2031
|
236,438
|
|
|
550,000
|
Series 2020-B-1, (GNMA Insured), 1.75%, due 7/1/2032
|
422,929
|
|
|
505,000
|
Indiana State Municipal Power Agency Refunding Revenue, Series 2016-C,
5.00%, due 1/1/2027
|
516,037
|
|
|
|
|
3,427,624
|
|
Iowa 1.5%
|
|
|||
|
1,050,000
|
Iowa Higher Education Loan Authority Revenue (Private College Des Moines
University Project),
Series 2020, 5.00%, due 10/1/2027
|
1,066,784
|
Principal Amount
|
Value
|
|||
Iowa – cont'd
|
|
|||
$
|
1,205,000
|
Iowa State Finance Authority Single Family Mortgage Revenue, Series 2021-B,
(GNMA/FNMA/FHLMC
Insured), 1.85%, due 7/1/2032
|
$942,228
|
|
|
640,000
|
Iowa State Finance Authority Single Family Mortgage Revenue (Non
Ace-Mortgage-Backed Security
Program), Series 2017-C, (GNMA/FNMA/FHLMC Insured), 2.30%, due 1/1/2026
|
609,219
|
|
|
|
|
2,618,231
|
|
Kansas 0.8%
|
|
|||
|
|
Wichita Sales Tax Special Obligation Revenue (River District Stadium Star
Bond Project)
|
|
|
|
305,000
|
Series 2018, 5.00%, due 9/1/2025
|
309,894
|
|
|
1,000,000
|
Series 2018, 5.00%, due 9/1/2027
|
1,044,013
|
|
|
|
|
1,353,907
|
|
Kentucky 1.6%
|
|
|||
|
|
Kentucky State Property & Building Commission Revenue (Project No.128)
|
|
|
|
1,000,000
|
Series 2023-A, 5.00%, due 11/1/2035
|
1,040,371
(c)
|
|
|
375,000
|
Series 2023-A, 5.50%, due 11/1/2043
|
390,720
(c)
|
|
|
1,470,000
|
Laurel County Judicial Center Public Properties Corp. Refunding Revenue
(Justice Center Project),
Series 2015, 4.00%, due 3/1/2024
|
1,466,655
|
|
|
|
|
2,897,746
|
|
Louisiana 2.1%
|
|
|||
|
|
Louisiana Stadium & Exposition District Revenue Refunding
|
|
|
|
650,000
|
Series 2023-A, 5.00%, due 7/1/2037
|
672,243
|
|
|
2,280,000
|
Series 2023-A, 5.25%, due 7/1/2053
|
2,283,694
|
|
|
750,000
|
Saint John the Baptist Parish LA Revenue Refunding (Marathon Oil Corp.
Project), Subseries
2017-B-2, 2.38%, due 6/1/2037 Putable 7/1/2026
|
699,842
|
|
|
|
|
3,655,779
|
|
Maryland 0.8%
|
|
|||
|
250,000
|
Baltimore Special Obligation Refunding Revenue Senior Lien (Harbor Point
Project), Series 2019-A,
3.63%, due 6/1/2046
|
181,446
(b)
|
|
|
1,825,000
|
Maryland State Housing & Community Development Administration Department
Revenue,
Series 2020-D, 1.95%, due 9/1/2035
|
1,286,349
|
|
|
|
|
1,467,795
|
|
Massachusetts 0.8%
|
|
|||
|
395,000
|
Massachusetts Commonwealth Transportation Fund Revenue (Rail Enhancement
Program),
Series 2023-A, 5.00%, due 6/1/2053
|
397,632
|
|
|
1,200,000
|
Massachusetts Development Finance Agency Revenue Refunding, Series 2021-G,
5.00%, due
7/1/2050
|
1,089,913
|
|
|
|
|
1,487,545
|
|
Michigan 1.8%
|
|
|||
|
1,000,000
|
Detroit Downtown Development Authority Tax Increment Revenue Refunding
(Catalyst Development
Project), Series 2018-A, (AGM Insured), 5.00%, due 7/1/2029
|
1,004,316
|
|
|
730,000
|
Michigan State Housing Development Authority Revenue, Series 2016-B, 2.30%,
due 6/1/2025
|
705,928
|
|
|
|
Walled Lake Consolidated School District
|
|
|
|
650,000
|
Series 2020, 5.00%, due 5/1/2032
|
697,285
|
|
|
675,000
|
Series 2020, 5.00%, due 5/1/2033
|
722,839
|
|
|
|
|
3,130,368
|
|
Minnesota 0.2%
|
|
|||
|
500,000
|
Saint Paul Housing & Redevelopment Authority Health Care Revenue
Refunding (Fairview Health
Services Obligated Group), Series 2017-A, 4.00%, due 11/15/2043
|
399,122
|
Principal Amount
|
Value
|
|||
Mississippi 0.6%
|
|
|||
$
|
750,000
|
Mississippi Development Bank Special Obligation (Meridian Public School
District Project),
Series 2023, (BAM Insured), 4.00%, due 4/1/2037
|
$677,987
|
|
|
325,000
|
Mississippi State General Obligation Refunding, Series 2015-C, 5.00%, due
10/1/2026
|
331,528
|
|
|
|
|
1,009,515
|
|
Missouri 0.9%
|
|
|||
|
1,100,000
|
Missouri State Health & Educational Facilities Authority Revenue (Mercy
Health), Series 2023, 5.50%,
due 12/1/2040
|
1,155,662
|
|
|
|
Missouri State Housing Development Commission Single Family Mortgage Revenue
(Non-AMT
Special Homeownership Loan Program)
|
|
|
|
215,000
|
Series 2014-A, (GNMA/FNMA/FHLMC Insured), 3.80%, due 11/1/2034
|
207,194
|
|
|
255,000
|
Series 2014-A, (GNMA/FNMA/FHLMC Insured), 4.00%, due 11/1/2039
|
246,943
|
|
|
|
|
1,609,799
|
|
Nebraska 3.9%
|
|
|||
|
4,340,000
|
Central Plains Energy Project Revenue, Series 2018, 5.00%, due 3/1/2050
Putable 1/1/2024
|
4,353,258
|
|
|
2,520,000
|
Central Plains Energy Project Revenue Refunding, Series 2023-A, 5.00%, due
5/1/2054 Putable
11/1/2029
|
2,506,933
|
|
|
|
|
6,860,191
|
|
Nevada 0.3%
|
|
|||
|
500,000
|
Clark County School District General Obligation, Series 2020-A, (AGM
Insured), 5.00%, due
6/15/2028
|
524,070
|
|
New Jersey 3.4%
|
|
|||
|
1,025,000
|
New Jersey Economic Development Authority Revenue (Portal North Bridge
Project), Series 2022-A,
5.00%, due 11/1/2029
|
1,074,966
|
|
|
1,500,000
|
New Jersey Health Care Facilities Financing Authority Contract Revenue
Refunding (Hospital Asset
Transportation Program), Series 2017, 5.00%, due 10/1/2028
|
1,550,798
|
|
|
1,130,000
|
New Jersey Health Care Facilities Financing Authority Revenue (Inspira
Health Obligated Group),
Series 2017-A, 5.00%, due 7/1/2029
|
1,147,170
|
|
|
600,000
|
New Jersey State Transportation Trust Fund Authority, Series 2019-BB, 5.00%,
due 6/15/2029
|
621,939
|
|
|
|
New Jersey State Transportation Trust Fund Authority Transportation System
Revenue Refunding
|
|
|
|
645,000
|
Series 2018-A, 5.00%, due 12/15/2032
|
664,360
|
|
|
200,000
|
Series 2019-A, 5.00%, due 12/15/2028
|
208,941
|
|
|
750,000
|
Newark General Obligation, Series 2020-A, (AGM Insured), 5.00%, due
10/1/2027
|
773,649
|
|
|
|
|
6,041,823
|
|
New York 12.8%
|
|
|||
|
140,000
|
Albany Capital Resource Corp. Refunding Revenue (Albany College of Pharmacy
& Health Sciences),
Series 2014-A, 5.00%, due 12/1/2026
|
140,248
|
|
|
410,000
|
Broome County Local Development Corp. Revenue (Good Shepherd Village at
Endwell, Inc. Project),
Series 2021, 4.00%, due 7/1/2047
|
269,094
|
|
|
|
Dutchess County Local Development Corp. Revenue Refunding (Culinary
Institute of America Project)
|
|
|
|
100,000
|
Series 2021, 5.00%, due 7/1/2033
|
100,138
|
|
|
100,000
|
Series 2021, 4.00%, due 7/1/2036
|
87,426
|
|
|
100,000
|
Series 2021, 4.00%, due 7/1/2037
|
85,250
|
|
|
320,000
|
Series 2021, 4.00%, due 7/1/2039
|
262,737
|
|
|
100,000
|
Series 2021, 4.00%, due 7/1/2040
|
80,900
|
|
|
10,000
|
Long Beach General Obligation, Series 2014-A, (BAM Insured), 4.00%, due
11/15/2023
|
9,999
|
|
|
245,000
|
Metropolitan Transportation Authority Revenue, (LOC: Barclays Bank PLC),
Series 2015-E-1, 4.00%,
due 11/15/2050
|
245,000
(a)
|
|
|
100,000
|
Metropolitan Transportation Authority Revenue (Green Bond), Series 2020-E,
4.00%, due
11/15/2045
|
82,491
|
Principal Amount
|
Value
|
|||
New York – cont'd
|
|
|||
$
|
825,000
|
Monroe County General Obligation (Public Improvement), Series 2019-A, (BAM
Insured), 4.00%,
due 6/1/2028
|
$829,206
|
|
|
1,390,000
|
Nassau County Industrial Development Agency Revenue Refunding (Cold Spring),
(LOC: TD Bank
N.A.), Series 1999, 3.85%, due 1/1/2034
|
1,390,000
(a)
|
|
|
500,000
|
New Paltz Central School District General Obligation, Series 2019, 4.00%,
due 2/15/2029
|
503,016
|
|
|
2,475,000
|
New York City Housing Development Corp. Revenue, Series 2020-C, (HUD Section
8, Fannie Mae
Insured), 2.15%, due 8/1/2035
|
1,845,512
|
|
|
1,000,000
|
New York City Municipal Water Finance Authority Water & Sewer System
Refunding Revenue
(Second General Resolution Revenue Bonds), Series 2023-DD, 5.25%, due
6/15/2047
|
1,033,800
|
|
|
100,000
|
New York City Municipal Water Finance Authority Water & Sewer System
Revenue (Second General
Resolution Revenue Bonds), (LOC: TD Bank N.A.), Series 2008-BB-1, 4.06%, due
6/15/2036
|
100,000
(a)
|
|
|
|
New York City Transitional Finance Authority Revenue (Future Tax Secured)
|
|
|
|
100,000
|
Series 2015-C, 5.00%, due 11/1/2027
|
101,294
|
|
|
1,800,000
|
Subseries 2016-A-1, 4.00%, due 5/1/2031
|
1,803,854
|
|
|
|
New York City Trust for Cultural Resource Revenue Refunding (Carnegie Hall)
|
|
|
|
160,000
|
Series 2019, 5.00%, due 12/1/2037
|
165,957
|
|
|
765,000
|
Series 2019, 5.00%, due 12/1/2038
|
790,136
|
|
|
360,000
|
Series 2019, 5.00%, due 12/1/2039
|
370,483
|
|
|
|
New York General Obligation
|
|
|
|
1,200,000
|
Series 2011-D, 4.00%, due 10/1/2039
|
1,200,000
(a)
|
|
|
65,000
|
Series 2018 E-1, 5.00%, due 3/1/2031
|
67,629
|
|
|
1,000,000
|
Subseries 2018-F-1, 5.00%, due 4/1/2034
|
1,033,540
|
|
|
|
New York Liberty Development Corp. Refunding Revenue Green Bonds (4 World
Trade Center
Project)
|
|
|
|
150,000
|
Series 2021-A, 2.50%, due 11/15/2036
|
111,521
|
|
|
1,850,000
|
Series 2021-A, 2.75%, due 11/15/2041
|
1,264,163
|
|
|
800,000
|
New York State Dormitory Authority Personal Income Tax Revenue, Series
2014-C, 5.00%, due
3/15/2025 Pre-Refunded 3/15/2024
|
803,656
|
|
|
2,000,000
|
New York State Power Authority Revenue (Green Transmission Project-Green
Bond), Series 2023-A,
(AGM Insured), 5.13%, due 11/15/2058
|
1,985,052
(c)
|
|
|
420,000
|
Onondaga Civic Development Corp. (Le Moyne Collage Project), Series 2021,
5.00%, due 7/1/2034
|
419,946
|
|
|
|
Onondaga Civic Development Corp. Refunding (Le Moyne Collage Project)
|
|
|
|
300,000
|
Series 2022, 4.00%, due 7/1/2034
|
272,618
|
|
|
300,000
|
Series 2022, 4.00%, due 7/1/2036
|
264,297
|
|
|
450,000
|
Series 2022, 4.00%, due 7/1/2039
|
374,392
|
|
|
500,000
|
Series 2022, 4.00%, due 7/1/2042
|
398,056
|
|
|
375,000
|
Port Authority New York & New Jersey Consolidated Bonds Revenue
Refunding (Two Hundred And
Forty), Series 2023-240, 5.00%, due 7/15/2053
|
370,884
|
|
|
470,000
|
Suffolk Tobacco Asset Securitization Corp. Refunding (Tobacco Settle Asset
Backed Subordinated
Bonds), Series 2021-B1, 4.00%, due 6/1/2050
|
416,434
|
|
|
2,500,000
|
Triborough Bridge & Tunnel Authority Revenue, Series 2021-A-2, 2.00%,
due 5/15/2045 Putable
5/15/2024
|
2,462,563
|
|
|
500,000
|
Westchester County Local Development Corp. Revenue Refunding (Kendal on
Hudson Project),
Series 2022-B, 5.00%, due 1/1/2041
|
451,803
|
|
|
450,000
|
Yonkers Economic Development Corp. Education Revenue (Charter School of
Education Excellence
Project), Series 2019-A, 5.00%, due 10/15/2049
|
363,013
|
|
|
|
|
22,556,108
|
|
North Carolina 1.1%
|
|
|||
|
2,000,000
|
North Carolina State Turnpike Authority, Series 2020-B, 5.00%, due 2/1/2024
|
2,004,279
|
|
Ohio 0.8%
|
|
|||
|
100,000
|
Allen County Hospital Facilities Revenue (Catholic Healthcare), Series
2010-C, (LOC: Bank of
Montreal), 4.00%, due 6/1/2034
|
100,000
(a)
|
Principal Amount
|
Value
|
|||
Ohio – cont'd
|
|
|||
$
|
500,000
|
Ohio State Air Quality Development Authority (Ohio Valley Electric Corp.
Project), Series 2009-B,
1.38%, due 2/1/2026 Putable 11/1/2024
|
$477,913
|
|
|
1,000,000
|
Ohio State Air Quality Development Authority Revenue (American Electric
Power Co. Project),
Series 2014, 2.40%, due 12/1/2038 Putable 10/1/2029
|
827,221
|
|
|
|
|
1,405,134
|
|
Oklahoma 0.9%
|
|
|||
|
1,500,000
|
Weatherford Industrial Trust Education Facility Lease Revenue (Weatherford
Public School Project),
Series 2019, 5.00%, due 3/1/2033
|
1,550,168
|
|
Pennsylvania 11.0%
|
|
|||
|
2,615,000
|
Allegheny County Hospital Development Authority Revenue Refunding
(University Pittsburgh Medical
Center), Series 2019-A, 5.00%, due 7/15/2029
|
2,733,772
|
|
|
|
Lackawanna County Industrial Development Authority Revenue Refunding
(University of Scranton)
|
|
|
|
940,000
|
Series 2017, 5.00%, due 11/1/2028
|
962,233
|
|
|
565,000
|
Series 2017, 5.00%, due 11/1/2029
|
577,398
|
|
|
500,000
|
Series 2017, 5.00%, due 11/1/2030
|
511,617
|
|
|
|
Luzerne County General Obligation Refunding
|
|
|
|
150,000
|
Series 2017-A, (AGM Insured), 5.00%, due 12/15/2027
|
155,647
|
|
|
70,000
|
Series 2017-B, (AGM Insured), 5.00%, due 12/15/2026
|
71,817
|
|
|
|
Luzerne County Industrial Development Authority Lease Revenue Refunding
Guaranteed
|
|
|
|
350,000
|
Series 2017, (AGM Insured), 5.00%, due 12/15/2025
|
356,926
|
|
|
525,000
|
Series 2017, (AGM Insured), 5.00%, due 12/15/2026
|
533,838
|
|
|
250,000
|
Series 2017, (AGM Insured), 5.00%, due 12/15/2027
|
254,768
|
|
|
600,000
|
Pennsylvania Economic Development Financing Authority Revenue, Series
2023-A-1, 5.00%, due
5/15/2031
|
628,441
|
|
|
1,025,000
|
Pennsylvania State Commonwealth General Obligation, Series 2015, 5.00%, due
3/15/2029
|
1,033,866
|
|
|
3,420,000
|
Pennsylvania State Turnpike Commission Oil Franchise Tax Revenue Refunding,
Series 2021-B,
5.00%, due 12/1/2046
|
3,326,957
|
|
|
2,065,000
|
Pennsylvania State Turnpike Commission Revenue Refunding, Series 2016,
5.00%, due 6/1/2027
|
2,094,119
|
|
|
400,000
|
Pennsylvania State Turnpike Commission Turnpike Revenue, Subseries 2019-A,
5.00%, due
12/1/2033
|
416,867
|
|
|
|
Philadelphia Energy Authority Revenue (Philadelphia Street Lighting Project)
|
|
|
|
770,000
|
Series 2023-A, 5.00%, due 11/1/2031
|
820,207
|
|
|
500,000
|
Series 2023-A, 5.00%, due 11/1/2034
|
530,873
|
|
|
440,000
|
Series 2023-A, 5.00%, due 11/1/2035
|
463,956
|
|
|
3,800,000
|
Tender Option Bond Trust Receipts/Certificates Revenue (Putters), Series
2023-XF1595, 4.00%, due
6/1/2031
|
3,800,000
(a)(b)
|
|
|
|
|
19,273,302
|
|
Puerto Rico 0.5%
|
|
|||
|
800,000
|
Puerto Rico Industrial Tourist Education Medical & Environmental Control
Facilities Authority Revenue
(Hospital Auxilio Mutuo Obligation Group Project), Series 2021, 5.00%, due
7/1/2029
|
815,487
|
|
South Carolina 1.9%
|
|
|||
|
1,960,000
|
South Carolina State Housing Finance & Development Authority Mortgage
Revenue, Series 2021-A,
1.85%, due 7/1/2036
|
1,346,004
|
|
|
2,000,000
|
South Carolina State Public Service Authority Obligation Revenue Refunding,
Series 2014-C, 5.00%,
due 12/1/2028
|
2,001,768
|
|
|
|
|
3,347,772
|
|
Tennessee 0.6%
|
|
|||
|
1,230,000
|
Tennessee Housing Development Agency Residential Finance Program Revenue,
Series 2019-2,
3.00%, due 7/1/2039
|
1,022,430
|
Principal Amount
|
Value
|
|||
Texas 2.5%
|
|
|||
$
|
590,000
|
Central Texas Regional Mobility Authority Senior Lien Refunding Revenue,
Series 2020-A, 5.00%,
due 1/1/2027
|
$605,743
|
|
|
|
Harris County Municipal Utility District No. 489 General Obligation
|
|
|
|
900,000
|
Series 2023, (AGM Insured), 4.00%, due 9/1/2036
|
808,743
|
|
|
495,000
|
Series 2023, (AGM Insured), 4.00%, due 9/1/2037
|
436,902
|
|
|
750,000
|
Hidalgo County Regional Mobility Authority Revenue, Series 2022-B, 4.00%,
due 12/1/2041
|
587,264
|
|
|
655,000
|
Irving Independent School District General Obligation, Series 2023, (PSF-GTD
Insured), 5.00%, due
2/15/2043
|
668,905
|
|
|
250,000
|
La Joya Independent School District Refunding General Obligation, Series
2013, (PSF-GTD Insured),
5.00%, due 2/15/2033
|
259,613
|
|
|
290,000
|
Pampa Independent School District General Obligation Refunding, Series 2016,
(PSF-GTD Insured),
5.00%, due 8/15/2032 Pre-Refunded 8/15/2025
|
295,335
|
|
|
710,000
|
Prosper Independent School District General Obligation (School Building),
Series 2019, (PSF-GTD
Insured), 5.00%, due 2/15/2030
|
747,401
|
|
|
|
|
4,409,906
|
|
Utah 3.5%
|
|
|||
|
|
Midvale Redevelopment Agency Tax Increment & Sales Tax Revenue
|
|
|
|
660,000
|
Series 2018, 5.00%, due 5/1/2032
|
685,574
|
|
|
380,000
|
Series 2018, 5.00%, due 5/1/2034
|
392,840
|
|
|
|
Utah Infrastructure Agency Telecommunication Revenue
|
|
|
|
200,000
|
Series 2019-A, 4.00%, due 10/15/2036
|
170,890
|
|
|
500,000
|
Series 2021-A, 4.00%, due 10/15/2038
|
405,261
|
|
|
100,000
|
Utah State General Obligation, Series 2020-B, 3.00%, due 7/1/2030
|
93,329
|
|
|
3,175,000
|
Utah State Transit Authority Sales Tax Revenue Refunding, Series 2007-A,
(NATL Insured), 5.00%,
due 6/15/2031
|
3,392,158
|
|
|
940,000
|
Weber County Special Assessment (Summit Mountain Assessment Area), Series
2013, 5.50%, due
1/15/2028
|
941,039
|
|
|
|
|
6,081,091
|
|
Virginia 0.5%
|
|
|||
|
1,115,000
|
Virginia State Housing Development Authority, Series 2021-K, 1.05%, due
12/1/2027
|
946,081
|
|
Washington 2.4%
|
|
|||
|
85,000
|
North Thurston Public Schools General Obligation, Series 2016, 4.00%, due
12/1/2028
|
85,171
|
|
|
|
Washington State General Obligation
|
|
|
|
1,000,000
|
Series 2022-C, 5.00%, due 2/1/2037
|
1,058,202
|
|
|
2,225,000
|
Series 2023 C, 5.00%, due 6/1/2040
|
2,318,986
|
|
|
800,000
|
Whitman County School District No. 267 Pullman General Obligation, Series
2016, 4.00%, due
12/1/2029
|
800,545
|
|
|
|
|
4,262,904
|
|
West Virginia 1.9%
|
|
|||
|
1,200,000
|
West Virginia Hospital Finance Authority Revenue (University Health System
Obligated Group),
Series 2023-A, 5.00%, due 6/1/2043
|
1,177,937
|
|
|
1,500,000
|
West Virginia Hospital Finance Authority Revenue (Vandalia Health Group),
Series 2023-B, (AGM
Insured), 5.38%, due 9/1/2053
|
1,487,449
|
|
|
700,000
|
West Virginia Hospital Finance Authority Revenue Refunding (Cabell
Huntington Hospital Obligated
Group), Series 2018-A, 5.00%, due 1/1/2029
|
698,591
|
|
|
|
|
3,363,977
|
|
Wisconsin 4.0%
|
|
|||
|
1,500,000
|
Deutsche Bank Spears/Lifers Trust Revenue, (LOC: Deutsche Bank A.G.), Series
2023-DBE-8109,
4.45%, due 4/1/2055
|
1,500,000
(a)(b)
|
Principal Amount
|
Value
|
|||
Wisconsin – cont'd
|
|
|||
$
|
500,000
|
Public Finance Authority Hospital Revenue (Carson Valley Medical Center),
Series 2021-A, 4.00%,
due 12/1/2051
|
$339,676
|
|
|
500,000
|
Public Finance Authority Senior Revenue (Wonderful Foundations Charter
School Portfolio Project),
Series 2020-A-1, 5.00%, due 1/1/2055
|
348,737
(b)
|
|
|
1,000,000
|
Tender Option Bond Trust Receipts/Certificates Revenue (Putters), Series
2020, (LOC: Mizuho Capital
Markets LLC), 4.46%, due 6/15/2045
|
1,000,000
(a)(b)
|
|
|
280,000
|
Wisconsin State Health & Education Facility Authority Revenue Refunding
(Ascension Health Credit
Group), Series 2016-A, 4.00%, due 11/15/2039
|
248,794
|
|
|
1,900,000
|
Wisconsin State Health & Educational Facility Authority Revenue
(Marshfield Clinic Health System,
Inc.), Series 2018-A, (LOC: Barclays Bank PLC), 4.00%, due 2/15/2050
|
1,900,000
(a)
|
|
|
|
Wisconsin State Housing & Economic Development Authority Home Ownership
Revenue
|
|
|
|
675,000
|
Series 2021-A, 1.25%, due 3/1/2028
|
567,724
|
|
|
720,000
|
Series 2021-A, 1.35%, due 9/1/2028
|
599,689
|
|
|
700,000
|
Series 2021-A, 1.45%, due 3/1/2029
|
579,710
|
|
|
|
|
7,084,330
|
|
Total Investments 100.9% (Cost $193,120,482)
|
177,492,825
|
|||
Liabilities Less Other Assets (0.9)%
|
(1,561,176
)
|
|||
Net Assets 100.0%
|
$175,931,649
|
(a)
|
Variable rate demand obligation where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate generally resets daily or weekly and is determined by
the remarketing
agent. The rate shown represents the rate in effect at October 31, 2023.
|
(b)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $15,130,183, which represents 8.6% of net assets of the Fund.
|
(c)
|
When-issued security. Total value of all such securities at October 31, 2023 amounted to
$3,416,143, which
represents 1.9% of net assets of the Fund.
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Investments:
|
|
|
|
|
Municipal Notes#
|
$—
|
$177,492,825
|
$—
|
$177,492,825
|
Total Investments
|
$—
|
$177,492,825
|
$—
|
$177,492,825
|
Principal Amount
|
Value
|
|||
Mortgage-Backed Securities 28.0%
|
||||
Collateralized Mortgage Obligations 10.4%
|
|
|||
$
|
936,093
|
COLT Mortgage Loan Trust, Series 2021-5, Class A1, 1.73%, due 11/26/2066
|
$755,572
(a)(b)
|
|
|
720,634
|
Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due
1/25/2067
|
574,292
(a)(b)
|
|
|
|
Federal Home Loan Mortgage Corp. STACR REMIC Trust
|
|
|
|
137,000
|
Series 2021-HQA2, Class M2, (30 day USD SOFR Average + 2.05%), 7.37%, due
12/25/2033
|
135,111
(a)(c)
|
|
|
550,000
|
Series 2021-DNA6, Class M2, (30 day USD SOFR Average + 1.50%), 6.82%, due
10/25/2041
|
541,648
(a)(c)
|
|
|
785,000
|
Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.72%, due
2/25/2042
|
786,469
(a)(c)
|
|
|
408,000
|
Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.07%, due
2/25/2042
|
413,610
(a)(c)
|
|
|
469,000
|
Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.57%, due
3/25/2042
|
492,305
(a)(c)
|
|
|
333,000
|
Series 2022-HQA3, Class M1B, (30 day USD SOFR Average + 3.55%), 8.87%, due
8/25/2042
|
342,983
(a)(c)
|
|
|
|
Federal Home Loan Mortgage Corp. STACR Trust
|
|
|
|
469,229
|
Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.69%, due
7/25/2029
|
484,389
(c)
|
|
|
576,805
|
Series 2017-HQA3, Class M2, (30 day USD SOFR Average + 2.46%), 7.79%, due
4/25/2030
|
586,663
(c)
|
|
|
|
Federal National Mortgage Association Connecticut Avenue Securities
|
|
|
|
356,300
|
Series 2016-C01, Class 2M2, (30 day USD SOFR Average + 7.06%), 12.39%, due
8/25/2028
|
373,044
(c)
|
|
|
475,779
|
Series 2017-C06, Class 2M2, (30 day USD SOFR Average + 2.91%), 8.24%, due
2/25/2030
|
488,229
(c)
|
|
|
593,427
|
Series 2018-C02, Class 2M2, (30 day USD SOFR Average + 2.31%), 7.64%, due
8/25/2030
|
600,836
(c)
|
|
|
251,868
|
Series 2021-R01, Class 1M2, (30 day USD SOFR Average + 1.55%), 6.87%, due
10/25/2041
|
249,535
(a)(c)
|
|
|
751,000
|
Series 2021-R03, Class 1M2, (30 day USD SOFR Average + 1.65%), 6.97%, due
12/25/2041
|
738,248
(a)(c)
|
|
|
1,700,000
|
Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.22%, due
12/25/2041
|
1,674,522
(a)(c)
|
|
|
625,000
|
Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.42%, due
3/25/2042
|
636,283
(a)(c)
|
|
|
725,000
|
Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.82%, due
3/25/2042
|
753,199
(a)(c)
|
|
|
209,335
|
Series 2022-R07, Class 1M1, (30 day USD SOFR Average + 2.95%), 8.27%, due
6/25/2042
|
214,099
(a)(c)
|
|
|
495,000
|
Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 9.97%, due
6/25/2042
|
527,152
(a)(c)
|
|
|
1,389,262
|
Series 2022-R08, Class 1M1, (30 day USD SOFR Average + 2.55%), 7.87%, due
7/25/2042
|
1,412,233
(a)(c)
|
|
|
79,000
|
Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.92%, due
7/25/2042
|
82,180
(a)(c)
|
|
|
435,000
|
Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.92%, due
7/25/2042
|
466,418
(a)(c)
|
|
|
766,656
|
Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.72%, due
12/25/2042
|
775,504
(a)(c)
|
|
|
244,000
|
Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.67%, due
1/25/2043
|
250,272
(a)(c)
|
|
|
391,810
|
GCAT Trust, Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066
|
294,751
(a)(b)
|
|
|
27,660
|
Harborview Mortgage Loan Trust, Series 2004-4, Class 3A, (1 mo. USD Term
SOFR + 1.24%),
6.55%, due 6/19/2034
|
25,065
(c)
|
|
|
394,019
|
JP Morgan Mortgage Trust, Series 2023-HE2, Class A1, (30 day USD SOFR
Average + 1.70%),
7.02%, due 3/25/2054
|
394,258
(a)(c)
|
|
|
226,141
|
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.71%, due
11/25/2059
|
199,546
(a)(b)
|
|
|
413,986
|
SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due
12/25/2061
|
314,202
(a)(b)
|
|
|
843,469
|
Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062
|
747,388
(a)
|
|
|
|
Verus Securitization Trust
|
|
|
|
334,304
|
Series 2021-3, Class A3, 1.44%, due 6/25/2066
|
265,781
(a)(b)
|
|
|
363,416
|
Series 2021-6, Class A3, 1.89%, due 10/25/2066
|
283,404
(a)(b)
|
|
|
315,628
|
Series 2022-7, Class A1, 5.15%, due 7/25/2067
|
303,047
(a)(d)
|
|
|
|
|
17,182,238
|
|
Commercial Mortgage-Backed 9.7%
|
|
|||
|
604,780
|
BANK, Series 2020-BN30, Class A1, 0.45%, due 12/15/2053
|
562,420
|
|
|
|
BBCMS Mortgage Trust
|
|
|
|
284,913
|
Series 2020-C7, Class A1, 1.08%, due 4/15/2053
|
275,579
|
|
|
4,395,091
|
Series 2021-C11, Class XA, 1.38%, due 9/15/2054
|
305,447
(b)(e)
|
|
|
1,879,640
|
Series 2022-C17, Class XA, 1.15%, due 9/15/2055
|
138,978
(b)(e)
|
|
|
459,000
|
BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036
|
413,520
(a)
|
Principal Amount
|
Value
|
|||
Commercial Mortgage-Backed – cont'd
|
|
|||
|
|
Benchmark Mortgage Trust
|
|
|
$
|
138,174
|
Series 2019-B12, Class A2, 3.00%, due 8/15/2052
|
$122,837
|
|
|
325,000
|
Series 2019-B12, Class AS, 3.42%, due 8/15/2052
|
268,179
|
|
|
225,000
|
Series 2020-B17, Class C, 3.37%, due 3/15/2053
|
152,194
(b)
|
|
|
7,425,058
|
Series 2021-B30, Class XA, 0.81%, due 11/15/2054
|
350,956
(b)(e)
|
|
|
300,000
|
Series 2019-B10, Class B, 4.18%, due 3/15/2062
|
230,905
(b)
|
|
|
228,000
|
BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.03%,
due 4/15/2037
|
217,561
(a)(c)
|
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
100,000
|
Series 2021-VOLT, Class A, (1 mo. USD Term SOFR + 0.81%), 6.15%, due
9/15/2036
|
96,867
(a)(c)
|
|
|
1,640,000
|
Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.10%, due
9/15/2036
|
1,565,641
(a)(c)
|
|
|
233,750
|
Series 2019-XL, Class D, (1 mo. USD Term SOFR + 1.56%), 6.90%, due
10/15/2036
|
231,246
(a)(c)
|
|
|
471,000
|
BX Trust, Series 2019-OC11, Class D, 3.94%, due 12/9/2041
|
378,044
(a)(b)
|
|
|
|
CAMB Commercial Mortgage Trust
|
|
|
|
1,429,000
|
Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 1.80%), 7.13%, due
12/15/2037
|
1,409,763
(a)(c)
|
|
|
595,000
|
Series 2019-LIFE, Class E, (1 mo. USD Term SOFR + 2.20%), 7.53%, due
12/15/2037
|
583,190
(a)(c)
|
|
|
140,000
|
Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.60%), 7.93%, due
12/15/2037
|
135,718
(a)(c)
|
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
206,000
|
Series 2023-PRM3, Class C, 6.36%, due 7/10/2028
|
194,429
(a)(b)
|
|
|
170,000
|
Series 2023-SMRT, Class C, 5.85%, due 10/12/2040
|
159,497
(a)(b)
|
|
|
260,849
|
Series 2015-GC27, Class AAB, 2.94%, due 2/10/2048
|
257,096
|
|
|
227,102
|
Series 2016-P4, Class AAB, 2.78%, due 7/10/2049
|
217,347
|
|
|
|
COMM Mortgage Trust
|
|
|
|
1,000,000
|
Series 2012-CR4, Class AM, 3.25%, due 10/15/2045
|
844,247
|
|
|
886,315
|
Series 2014-UBS2, Class A5, 3.96%, due 3/10/2047
|
881,645
|
|
|
1,318,935
|
Series 2014-UBS3, Class XA, 1.05%, due 6/10/2047
|
1,840
(b)(e)
|
|
|
155,979
|
Series 2014-CR19, Class ASB, 3.50%, due 8/10/2047
|
154,312
|
|
|
4,411,870
|
Series 2014-UBS6, Class XA, 0.83%, due 12/10/2047
|
22,926
(b)(e)
|
|
|
201,792
|
Series 2015-PC1, Class ASB, 3.61%, due 7/10/2050
|
197,530
|
|
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
6,227,403
|
Series 2016-C5, Class XA, 0.89%, due 11/15/2048
|
87,199
(b)(e)
|
|
|
395,529
|
Series 2016-C5, Class ASB, 3.53%, due 11/15/2048
|
383,029
|
|
|
640,000
|
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.55%, due
9/10/2035
|
569,649
(a)(b)
|
|
|
1,535,000
|
Federal Home Loan Mortgage Corp. Multiclass Certificates, Series 2020-RR02,
Class CX, 1.27%,
due 3/27/2029
|
83,654
(b)(e)
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates
|
|
|
|
5,382,699
|
Series KW03, Class X1, 0.83%, due 6/25/2027
|
106,454
(b)(e)
|
|
|
3,398,126
|
Series K095, Class X1, 0.95%, due 6/25/2029
|
142,428
(b)(e)
|
|
|
5,262,394
|
Series K096, Class X1, 1.13%, due 7/25/2029
|
265,478
(b)(e)
|
|
|
4,100,000
|
Series K098, Class XAM, 1.39%, due 8/25/2029
|
273,453
(b)(e)
|
|
|
147,000
|
FIVE Mortgage Trust, Series 2023-V1, Class C, 6.40%, due 2/10/2056
|
131,339
(b)
|
|
|
|
GS Mortgage Securities Trust
|
|
|
|
69,794
|
Series 2010-C1, Class B, 5.15%, due 8/10/2043
|
68,477
(a)
|
|
|
4,570,411
|
Series 2013-GC13, Class XA, 0.37%, due 7/10/2046
|
46
(b)(e)
|
|
|
14,577,266
|
Series 2015-GC30, Class XA, 0.72%, due 5/10/2050
|
117,461
(b)(e)
|
|
|
400,000
|
Hilton USA Trust, Series 2016-HHV, Class D, 4.19%, due 11/5/2038
|
363,083
(a)(b)
|
|
|
400,000
|
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A, 2.84%, due 8/10/2038
|
360,226
(a)
|
|
|
403,000
|
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. USD Term SOFR +
2.49%), 7.82%, due
8/15/2039
|
402,747
(a)(c)
|
|
|
356,000
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class
D, 3.45%, due
1/5/2039
|
179,780
(a)(b)
|
|
|
152,000
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class
C, 4.56%, due
5/15/2050
|
126,274
(b)
|
Principal Amount
|
Value
|
|||
Commercial Mortgage-Backed – cont'd
|
|
|||
$
|
137,000
|
Morgan Stanley Capital I Trust, Series 2018-H4, Class C, 5.06%, due
12/15/2051
|
$108,088
(b)
|
|
|
1,025,000
|
NYO Commercial Mortgage Trust, Series 2021-1290, Class D, (1 mo. USD Term
SOFR + 2.66%),
7.99%, due 11/15/2038
|
667,356
(a)(c)
|
|
|
237,000
|
ORL Trust, Series 2023-GLKS, Class D, (1 mo. USD Term SOFR + 4.30%), 9.64%,
due 10/15/2028
|
236,111
(a)(c)
|
|
|
|
Taubman Centers Commercial Mortgage Trust
|
|
|
|
185,000
|
Series 2022-DPM, Class A, (1 mo. USD Term SOFR + 2.19%), 7.52%, due
5/15/2037
|
182,167
(a)(c)
|
|
|
216,000
|
Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.27%, due
5/15/2037
|
210,870
(a)(c)
|
|
|
181,000
|
Series 2022-DPM, Class C, (1 mo. USD Term SOFR + 3.78%), 9.11%, due
5/15/2037
|
175,113
(a)(c)
|
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
270,000
|
Series 2014-LC18, Class A5, 3.41%, due 12/15/2047
|
259,558
|
|
|
3,795,510
|
Series 2019-C52, Class XA, 1.60%, due 8/15/2052
|
231,947
(b)(e)
|
|
|
|
|
16,101,901
|
|
Federal Home Loan Mortgage Corp. 4.4%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
64,254
|
4.50%, due 11/1/2039
|
59,413
|
|
|
4,059,179
|
5.50%, due 9/1/2052 - 4/1/2053
|
3,853,074
|
|
|
3,392,607
|
6.00%, due 10/1/2052 - 3/1/2053
|
3,318,299
|
|
|
|
|
7,230,786
|
|
Federal National Mortgage Association 3.5%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
88,258
|
4.50%, due 4/1/2039 - 5/1/2044
|
81,178
|
|
|
2,707,620
|
5.50%, due 11/1/2052 - 5/1/2053
|
2,569,238
|
|
|
3,231,018
|
6.00%, due 11/1/2052 - 10/1/2053
|
3,153,309
|
|
|
|
|
5,803,725
|
|
Total Mortgage-Backed Securities (Cost $50,895,104)
|
46,318,650
|
|||
Asset-Backed Securities 17.4%
|
|
|||
|
875,000
|
37 Capital CLO 1 Ltd., Series 2021-1A, Class A, (3 mo. USD Term SOFR +
1.46%), 6.86%, due
10/15/2034
|
864,135
(a)(c)
|
|
|
1,450,000
|
AM Capital Funding LLC, Series 2018-1, Class A, 4.98%, due 12/15/2023
|
1,448,850
(a)
|
|
|
729,168
|
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046
|
639,585
(a)
|
|
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
500,000
|
Series 2020-2A, Class B, 2.96%, due 2/20/2027
|
462,677
(a)
|
|
|
485,000
|
Series 2021-2A, Class B, 1.90%, due 2/20/2028
|
417,751
(a)
|
|
|
233,600
|
Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due
10/22/2046
|
198,120
(a)
|
|
|
655,397
|
BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032
|
650,616
(a)
|
|
|
260,000
|
CCG Receivables Trust, Series 2023-1, Class A2, 5.82%, due 9/16/2030
|
259,139
(a)
|
|
|
1,140,000
|
Crown Castle Towers LLC, 3.66%, due 5/15/2025
|
1,091,083
(a)
|
|
|
186,000
|
CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class A2, 4.30%, due
4/20/2048
|
162,931
(a)
|
|
|
335,000
|
Dell Equipment Finance Trust, Series 2023-1, Class A2, 5.65%, due 9/22/2028
|
333,792
(a)
|
|
|
1,000,000
|
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. USD Term SOFR + 2.91%),
8.31%, due
4/18/2031
|
940,862
(a)(c)
|
|
|
435,000
|
Fort Washington CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR +
1.48%), 6.90%, due
10/20/2034
|
430,188
(a)(c)
|
|
|
326,000
|
Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053
|
309,285
(a)
|
|
|
|
Hilton Grand Vacations Trust
|
|
|
|
180,257
|
Series 2018-AA, Class A, 3.54%, due 2/25/2032
|
174,677
(a)
|
|
|
126,296
|
Series 2022-2A, Class A, 4.30%, due 1/25/2037
|
120,749
(a)
|
|
|
262,249
|
Series 2022-2A, Class B, 4.74%, due 1/25/2037
|
250,654
(a)
|
|
|
254,205
|
JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029
|
243,828
(a)
|
Principal Amount
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
539,000
|
MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due
10/20/2052
|
$515,004
(a)
|
|
|
|
MVW LLC
|
|
|
|
314,169
|
Series 2021-2A, Class A, 1.43%, due 5/20/2039
|
283,319
(a)
|
|
|
222,890
|
Series 2021-2A, Class B, 1.83%, due 5/20/2039
|
200,245
(a)
|
|
|
88,640
|
Series 2021-1WA, Class B, 1.44%, due 1/22/2041
|
79,975
(a)
|
|
|
|
Navient Private Education Refi Loan Trust
|
|
|
|
263,277
|
Series 2021-BA, Class A, 0.94%, due 7/15/2069
|
223,557
(a)
|
|
|
257,155
|
Series 2021-CA, Class A, 1.06%, due 10/15/2069
|
217,645
(a)
|
|
|
279,193
|
Series 2021-EA, Class A, 0.97%, due 12/16/2069
|
233,133
(a)
|
|
|
553,238
|
Series 2021-FA, Class A, 1.11%, due 2/18/2070
|
456,459
(a)
|
|
|
1,200,000
|
Oaktree CLO Ltd., Series 2022-3A, Class A2, (3 mo. USD Term SOFR + 2.30%),
7.69%, due
7/15/2035
|
1,215,570
(a)(c)
|
|
|
1,000,000
|
Octagon Investment Partners 43 Ltd., Series 2019-1A, Class D, (3 mo. USD
Term SOFR + 4.16%),
9.54%, due 10/25/2032
|
972,669
(a)(c)
|
|
|
|
OneMain Financial Issuance Trust
|
|
|
|
27,358
|
Series 2020-1A, Class A, 3.84%, due 5/14/2032
|
27,328
(a)
|
|
|
422,000
|
Series 2022-2A, Class A, 4.89%, due 10/14/2034
|
412,075
(a)
|
|
|
1,000,000
|
Park Blue CLO Ltd., Series 2022-1A, Class A1, (3 mo. USD Term SOFR + 2.45%),
7.87%, due
10/20/2034
|
1,008,335
(a)(c)
|
|
|
|
PFS Financing Corp.
|
|
|
|
960,000
|
Series 2021-A, Class A, 0.71%, due 4/15/2026
|
936,056
(a)
|
|
|
300,000
|
Series 2021-B, Class A, 0.77%, due 8/15/2026
|
287,354
(a)
|
|
|
673,000
|
Series 2022-A, Class A, 2.47%, due 2/15/2027
|
642,470
(a)
|
|
|
580,000
|
Prestige Auto Receivables Trust, Series 2021-1A, Class D, 2.08%, due
2/15/2028
|
523,330
(a)
|
|
|
3,100,000
|
RRX 3 Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.58%), 6.98%,
due 4/15/2034
|
3,076,020
(a)(c)
|
|
|
410,000
|
SBA Tower Trust, Series 2014-2A, Class C, 3.87%, due 10/15/2049
|
400,399
(a)
|
|
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
142,646
|
Series 2019-1A, Class C, 3.77%, due 1/20/2036
|
138,959
(a)
|
|
|
49,780
|
Series 2019-2A, Class A, 2.59%, due 5/20/2036
|
48,410
(a)
|
|
|
58,577
|
Series 2020-2A, Class C, 3.51%, due 7/20/2037
|
55,632
(a)
|
|
|
155,441
|
Series 2022-1A, Class A, 3.05%, due 10/20/2038
|
146,767
(a)
|
|
|
207,659
|
Series 2022-1A, Class C, 3.94%, due 10/20/2038
|
194,453
(a)
|
|
|
218,511
|
Series 2023-2A, Class C, 7.30%, due 4/20/2040
|
218,632
(a)
|
|
|
118,530
|
Series 2022-2A, Class B, 5.04%, due 6/20/2040
|
114,595
(a)
|
|
|
212,000
|
Series 2023-3A, Class B, 6.44%, due 9/20/2040
|
211,042
(a)
|
|
|
1,000,000
|
Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. USD Term SOFR +
1.53%), 6.95%, due
4/20/2033
|
991,967
(a)(c)
|
|
|
98,986
|
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due
5/15/2031
|
98,770
(a)
|
|
|
490,000
|
SoFi Professional Loan Program LLC, Series 2018-C, Class BFX, 4.13%, due
1/25/2048
|
427,664
(a)
|
|
|
|
Taco Bell Funding LLC
|
|
|
|
258,750
|
Series 2016-1A, Class A23, 4.97%, due 5/25/2046
|
248,482
(a)
|
|
|
191,587
|
Series 2021-1A, Class A2I, 1.95%, due 8/25/2051
|
165,115
(a)
|
|
|
396,282
|
TAL Advantage VII LLC, Series 2020-1A, Class A, 2.05%, due 9/20/2045
|
347,885
(a)
|
|
|
500,000
|
TICP CLO VII Ltd., Series 2017-7A, Class DR, (3 mo. USD Term SOFR + 3.46%),
8.86%, due
4/15/2033
|
478,382
(a)(c)
|
|
|
739,000
|
T-Mobile U.S. Trust, Series 2022-1A, Class A, 4.91%, due 5/22/2028
|
728,682
(a)
|
|
|
426,458
|
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.19%, due
7/15/2044
|
415,327
(a)
|
|
|
1,000,000
|
Voya CLO Ltd., Series 2016-2A, Class CR, (3 mo. USD Term SOFR + 4.26%),
9.66%, due 7/19/2028
|
992,749
(a)(c)
|
|
|
1,200,000
|
Wellington Management CLO 1 Ltd., Series 2023-1A, Class A, (3 mo. USD Term
SOFR + 1.80%),
7.19%, due 10/20/2036
|
1,196,904
(a)(c)
|
Principal Amount
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
875,000
|
Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR +
1.48%), 6.88%, due
10/15/2034
|
$862,984
(a)(c)
|
|
Total Asset-Backed Securities (Cost $29,652,174)
|
28,793,266
|
|||
|
||||
Corporate Bonds 46.8%
|
||||
Aerospace & Defense 2.9%
|
|
|||
|
2,025,000
|
Boeing Co., 2.70%, due 2/1/2027
|
1,823,291
|
|
|
2,975,000
|
L3Harris Technologies, Inc., 5.40%, due 1/15/2027
|
2,921,706
|
|
|
|
|
4,744,997
|
|
Airlines 1.8%
|
|
|||
|
275,000
|
American Airlines, Inc., 7.25%, due 2/15/2028
|
255,701
(a)
|
|
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
|
|
|
|
483,333
|
5.50%, due 4/20/2026
|
470,017
(a)
|
|
|
965,000
|
5.75%, due 4/20/2029
|
870,483
(a)
|
|
|
110,000
|
Delta Air Lines, Inc., 7.00%, due 5/1/2025
|
110,469
(a)
|
|
|
309,999
|
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025
|
301,312
(a)
|
|
|
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc.
|
|
|
|
280,000
|
7.88%, due 5/1/2027
|
215,342
(a)
|
|
|
945,000
|
9.50%, due 6/1/2028
|
724,032
(a)
|
|
|
|
|
2,947,356
|
|
Auto Manufacturers 2.8%
|
|
|||
|
|
Ford Motor Credit Co. LLC
|
|
|
|
280,000
|
6.95%, due 6/10/2026
|
280,700
|
|
|
545,000
|
7.35%, due 11/4/2027
|
551,634
|
|
|
130,000
|
6.80%, due 5/12/2028
|
129,629
|
|
|
320,000
|
2.90%, due 2/10/2029
|
261,683
|
|
|
|
General Motors Financial Co., Inc.
|
|
|
|
490,000
|
3.80%, due 4/7/2025
|
472,916
|
|
|
1,945,000
|
5.40%, due 4/6/2026
|
1,903,480
|
|
|
1,010,000
|
Volkswagen Group of America Finance LLC, 3.35%, due 5/13/2025
|
968,386
(a)
|
|
|
|
|
4,568,428
|
|
Auto Parts & Equipment 0.3%
|
|
|||
|
85,000
|
Goodyear Tire & Rubber Co., 5.00%, due 5/31/2026
|
80,394
|
|
|
260,000
|
IHO Verwaltungs GmbH, 6.00% Cash/6.75% PIK, due 5/15/2027
|
241,932
(a)(f)
|
|
|
245,000
|
ZF North America Capital, Inc., 6.88%, due 4/14/2028
|
237,417
(a)
|
|
|
|
|
559,743
|
|
Banks 14.9%
|
|
|||
|
|
Banco Santander SA
|
|
|
|
450,000
|
2.75%, due 5/28/2025
|
424,046
|
|
|
1,440,000
|
5.15%, due 8/18/2025
|
1,402,746
|
|
|
|
Bank of America Corp.
|
|
|
|
425,000
|
3.95%, due 4/21/2025
|
410,769
|
|
|
1,000,000
|
3.84%, due 4/25/2025
|
987,470
(g)
|
|
|
1,980,000
|
3.38%, due 4/2/2026
|
1,897,140
(g)
|
|
|
1,075,000
|
BNP Paribas SA, 3.80%, due 1/10/2024
|
1,069,893
(a)
|
|
|
|
Citigroup, Inc.
|
|
|
|
1,175,000
|
3.35%, due 4/24/2025
|
1,156,870
(g)
|
|
|
1,400,000
|
2.01%, due 1/25/2026
|
1,321,881
(g)
|
Principal Amount
|
Value
|
|||
|
||||
Banks – cont'd
|
|
|||
|
|
Goldman Sachs Group, Inc.
|
|
|
$
|
780,000
|
(Secured Overnight Financing Rate + 0.51%), 5.85%, due 9/10/2024
|
$777,974
(c)
|
|
|
2,230,000
|
1.95%, due 10/21/2027
|
1,955,745
(g)
|
|
|
|
JPMorgan Chase & Co.
|
|
|
|
1,100,000
|
2.30%, due 10/15/2025
|
1,058,726
(g)
|
|
|
1,225,000
|
4.08%, due 4/26/2026
|
1,187,294
(g)
|
|
|
1,985,000
|
1.47%, due 9/22/2027
|
1,729,203
(g)
|
|
|
|
Morgan Stanley
|
|
|
|
385,000
|
3.62%, due 4/17/2025
|
380,027
(g)
|
|
|
1,560,000
|
0.79%, due 5/30/2025
|
1,504,667
(g)
|
|
|
2,265,000
|
1.59%, due 5/4/2027
|
2,012,624
(g)
|
|
|
2,035,000
|
Royal Bank of Canada, 3.38%, due 4/14/2025
|
1,963,728
|
|
|
1,485,000
|
U.S. Bancorp, 5.73%, due 10/21/2026
|
1,463,695
(g)
|
|
|
2,115,000
|
Wells Fargo & Co., 3.91%, due 4/25/2026
|
2,039,292
(g)
|
|
|
|
|
24,743,790
|
|
Building Materials 0.2%
|
|
|||
|
170,000
|
Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028
|
158,734
(a)
|
|
|
223,000
|
Jeld-Wen, Inc., 4.63%, due 12/15/2025
|
210,456
(a)
|
|
|
|
|
369,190
|
|
Chemicals 0.1%
|
|
|||
|
170,000
|
Olympus Water U.S. Holding Corp., 7.13%, due 10/1/2027
|
156,522
(a)
|
|
Commercial Services 0.4%
|
|
|||
|
550,000
|
APX Group, Inc., 6.75%, due 2/15/2027
|
530,976
(a)
|
|
|
180,000
|
Hertz Corp., 4.63%, due 12/1/2026
|
150,772
(a)
|
|
|
|
|
681,748
|
|
Computers 0.2%
|
|
|||
|
320,000
|
Presidio Holdings, Inc., 4.88%, due 2/1/2027
|
293,181
(a)
|
|
Cosmetics - Personal Care 0.2%
|
|
|||
|
400,000
|
Haleon U.S. Capital LLC, 3.02%, due 3/24/2024
|
394,782
|
|
Diversified Financial Services 1.8%
|
|
|||
|
460,000
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due
7/15/2025
|
458,938
|
|
|
|
Capital One Financial Corp.
|
|
|
|
1,040,000
|
4.17%, due 5/9/2025
|
1,018,944
(g)
|
|
|
1,005,000
|
6.31%, due 6/8/2029
|
962,260
(g)
|
|
|
175,000
|
GTP Acquisition Partners I LLC, 3.48%, due 6/16/2025
|
167,831
(a)
|
|
|
425,000
|
OneMain Finance Corp., 3.50%, due 1/15/2027
|
359,125
|
|
|
|
|
2,967,098
|
|
Electric 2.6%
|
|
|||
|
2,135,000
|
Dominion Energy, Inc., 2.85%, due 8/15/2026
|
1,964,494
|
|
|
495,000
|
Duke Energy Corp., 2.65%, due 9/1/2026
|
453,636
|
|
|
1,850,000
|
NextEra Energy Capital Holdings, Inc., 5.75%, due 9/1/2025
|
1,841,303
|
|
|
|
|
4,259,433
|
Principal Amount
|
Value
|
|||
|
||||
Energy - Alternate Sources 0.3%
|
|
|||
|
|
Sunnova Energy Corp.
|
|
|
$
|
470,000
|
5.88%, due 9/1/2026
|
$380,714
(a)
|
|
|
130,000
|
11.75%, due 10/1/2028
|
110,894
(a)
|
|
|
|
|
491,608
|
|
Entertainment 1.9%
|
|
|||
|
|
Warnermedia Holdings, Inc.
|
|
|
|
1,990,000
|
6.41%, due 3/15/2026
|
1,985,935
|
|
|
1,295,000
|
3.76%, due 3/15/2027
|
1,192,177
|
|
|
|
|
3,178,112
|
|
Healthcare - Products 1.2%
|
|
|||
|
1,670,000
|
GE HealthCare Technologies, Inc., 5.55%, due 11/15/2024
|
1,661,992
|
|
|
310,000
|
Medline Borrower LP, 3.88%, due 4/1/2029
|
261,753
(a)
|
|
|
|
|
1,923,745
|
|
Holding Companies - Diversified 0.1%
|
|
|||
|
160,000
|
Benteler International AG, 10.50%, due 5/15/2028
|
161,157
(a)
|
|
Home Builders 0.1%
|
|
|||
|
150,000
|
Tri Pointe Homes, Inc., 5.25%, due 6/1/2027
|
135,750
|
|
Insurance 0.8%
|
|
|||
|
|
AssuredPartners, Inc.
|
|
|
|
465,000
|
7.00%, due 8/15/2025
|
456,115
(a)
|
|
|
190,000
|
5.63%, due 1/15/2029
|
161,183
(a)
|
|
|
785,000
|
Jackson National Life Global Funding, 1.75%, due 1/12/2025
|
739,323
(a)
|
|
|
|
|
1,356,621
|
|
Internet 0.6%
|
|
|||
|
1,010,000
|
EquipmentShare.com, Inc., 9.00%, due 5/15/2028
|
949,400
(a)
|
|
Leisure Time 0.3%
|
|
|||
|
55,000
|
Lindblad Expeditions Holdings, Inc., 9.00%, due 5/15/2028
|
52,907
(a)
|
|
|
290,000
|
Lindblad Expeditions LLC, 6.75%, due 2/15/2027
|
264,286
(a)
|
|
|
230,000
|
Royal Caribbean Cruises Ltd., 4.25%, due 7/1/2026
|
211,508
(a)
|
|
|
|
|
528,701
|
|
Media 0.5%
|
|
|||
|
940,000
|
Fox Corp., 3.05%, due 4/7/2025
|
902,344
|
|
Oil & Gas 1.4%
|
|
|||
|
460,000
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, due 11/1/2026
|
444,217
(a)
|
|
|
465,000
|
Borr IHC Ltd./Borr Finance LLC, 10.00%, due 11/15/2028
|
462,783
(a)(h)
|
|
|
|
Civitas Resources, Inc.
|
|
|
|
995,000
|
8.38%, due 7/1/2028
|
1,001,130
(a)
|
|
|
340,000
|
8.63%, due 11/1/2030
|
346,061
(a)
|
|
|
|
|
2,254,191
|
|
Pharmaceuticals 1.6%
|
|
|||
|
1,000,000
|
AbbVie, Inc., 2.95%, due 11/21/2026
|
926,164
|
|
|
1,885,000
|
CVS Health Corp., 3.63%, due 4/1/2027
|
1,749,735
|
|
|
|
|
2,675,899
|
|
Pipelines 2.3%
|
|
|||
|
290,000
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/2025
|
290,414
(a)
|
Principal Amount
|
Value
|
|||
|
||||
Pipelines – cont'd
|
|
|||
$
|
980,000
|
Energy Transfer LP, 6.05%, due 12/1/2026
|
$977,998
|
|
|
|
EQM Midstream Partners LP
|
|
|
|
333,000
|
6.00%, due 7/1/2025
|
325,652
(a)
|
|
|
180,000
|
7.50%, due 6/1/2027
|
178,268
(a)
|
|
|
460,000
|
Genesis Energy LP/Genesis Energy Finance Corp., 6.50%, due 10/1/2025
|
449,394
|
|
|
540,000
|
MPLX LP, 4.88%, due 6/1/2025
|
529,373
|
|
|
|
New Fortress Energy, Inc.
|
|
|
|
360,000
|
6.75%, due 9/15/2025
|
333,984
(a)
|
|
|
365,000
|
6.50%, due 9/30/2026
|
326,929
(a)
|
|
|
460,000
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due
3/1/2027
|
420,852
(a)
|
|
|
|
|
3,832,864
|
|
Real Estate Investment Trusts 1.9%
|
|
|||
|
|
American Tower Corp.
|
|
|
|
870,000
|
1.60%, due 4/15/2026
|
778,755
|
|
|
1,635,000
|
1.45%, due 9/15/2026
|
1,435,034
|
|
|
432,000
|
American Tower Trust 1, 5.49%, due 3/15/2028
|
424,186
(a)
|
|
|
350,000
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co.-Issuer, 4.88%, due
5/15/2029
|
292,108
(a)
|
|
|
310,000
|
XHR LP, 6.38%, due 8/15/2025
|
300,700
(a)
|
|
|
|
|
3,230,783
|
|
Retail 0.1%
|
|
|||
|
150,000
|
1011778 BC ULC/New Red Finance, Inc., 3.88%, due 1/15/2028
|
133,920
(a)
|
|
Semiconductors 1.4%
|
|
|||
|
750,000
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/2027
|
700,997
|
|
|
|
Marvell Technology, Inc.
|
|
|
|
1,145,000
|
1.65%, due 4/15/2026
|
1,034,631
|
|
|
590,000
|
5.75%, due 2/15/2029
|
573,568
|
|
|
|
|
2,309,196
|
|
Software 1.7%
|
|
|||
|
|
Oracle Corp.
|
|
|
|
422,000
|
5.80%, due 11/10/2025
|
421,916
|
|
|
2,550,000
|
1.65%, due 3/25/2026
|
2,312,820
|
|
|
|
|
2,734,736
|
|
Telecommunications 2.2%
|
|
|||
|
1,675,000
|
AT&T, Inc., 1.70%, due 3/25/2026
|
1,520,332
|
|
|
410,000
|
Level 3 Financing, Inc., 3.63%, due 1/15/2029
|
209,385
(a)
|
|
|
|
T-Mobile USA, Inc.
|
|
|
|
1,150,000
|
2.25%, due 2/15/2026
|
1,057,834
|
|
|
1,010,000
|
3.75%, due 4/15/2027
|
939,265
|
|
|
|
|
3,726,816
|
|
Water 0.2%
|
|
|||
|
330,000
|
Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026
|
314,803
(a)
|
|
Total Corporate Bonds (Cost $81,109,553)
|
77,526,914
|
|||
|
||||
Loan Assignments(c) 2.1%
|
||||
Aerospace & Defense 0.1%
|
|
|||
|
188,466
|
Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due
2/1/2028
|
184,697
|
Principal Amount
|
Value
|
|||
|
||||
Air Transport 0.1%
|
|
|||
$
|
162,000
|
American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.43%,
due 4/20/2028
|
$164,025
|
|
Business Equipment & Services 0.2%
|
|
|||
|
362,423
|
William Morris Endeavor Entertainment LLC, First Lien Term Loan, (1 mo. USD
Term SOFR +
2.75%), 8.07%, due 5/18/2025
|
361,840
|
|
Diversified Financial Services 0.3%
|
|
|||
|
498,750
|
Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.50%),
7.84%, due
6/22/2028
|
498,496
|
|
Diversified Insurance 0.2%
|
|
|||
|
400,000
|
HUB International Ltd., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.66%,
due 6/20/2030
|
399,716
|
|
Electronics - Electrical 0.1%
|
|
|||
|
133,741
|
Ingram Micro, Inc., Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.65%, due
6/30/2028
|
133,172
|
|
Health Care 0.3%
|
|
|||
|
189,040
|
Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.69%, due
10/23/2028
|
187,742
|
|
|
369,075
|
Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.32%,
due 3/6/2027
|
367,576
|
|
|
|
|
555,318
|
|
Industrial Equipment 0.1%
|
|
|||
|
179,079
|
Gates Global LLC, Term Loan B3, (1 mo. USD Term SOFR + 2.50%), 7.92%, due
3/31/2027
|
178,631
|
|
Internet 0.1%
|
|
|||
|
160,669
|
Gen Digital, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.42%, due
9/12/2029
|
159,130
|
|
Leisure Goods - Activities - Movies 0.2%
|
|
|||
|
319,200
|
Carnival Corp., Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.34%, due
8/8/2027
|
313,215
|
|
Life Sciences Tools & Services 0.3%
|
|
|||
|
430,000
|
Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR), due 9/27/2030
|
409,201
(i)(j)
|
|
Retailers (except food & drug) 0.1%
|
|
|||
|
175,597
|
Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR +
3.25%), 8.90%, due
3/3/2028
|
171,500
|
|
|
||||
Total Loan Assignments (Cost $3,529,961)
|
3,528,941
|
|||
Number of Shares
|
|
|||
|
||||
Short-Term Investments 5.4%
|
||||
Investment Companies 5.4%
|
|
|||
|
8,933,059
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(k) (Cost $8,933,059)
|
8,933,059
|
|
Total Investments 99.7% (Cost $174,119,851)
|
165,100,830
|
|||
Other Assets Less Liabilities 0.3%
|
523,508
(l)
|
|||
Net Assets 100.0%
|
$165,624,338
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $68,906,421, which represents 41.6% of net assets of the Fund.
|
(b)
|
Variable or floating rate security where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate adjusts periodically based on changes in current
interest rates and
prepayments on the underlying pool of assets. The interest rate shown was the current rate as
of
|
(c)
|
|
(d)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific
date or may reset in
the future contingent upon a predetermined trigger. The interest rate shown was the current
rate as of
|
(e)
|
Interest only security. These securities represent the right to receive the monthly interest
payments on an
underlying pool of mortgages. Payments of principal on the pool reduce the value of the
"interest only"
holding.
|
(f)
|
Payment-in-kind (PIK) security.
|
(g)
|
Security issued at a fixed coupon rate, which converts to a variable rate at a future date.
Rate shown is the
rate in effect as of period end.
|
(h)
|
When-issued security. Total value of all such securities at October 31, 2023 amounted to
$462,783, which
represents 0.3% of net assets of the Fund.
|
(i)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
(j)
|
All or a portion of this security had not settled as of October 31, 2023 and thus may not have
an interest
rate in effect. Interest rates do not take effect until settlement.
|
(k)
|
Represents 7-day effective yield as of October 31, 2023.
|
(l)
|
Includes the impact of the Fund’s open positions in derivatives at October 31, 2023.
|
POSITIONS BY COUNTRY
|
||
Country
|
Investments at
Value
|
Percentage of
Net Assets
|
United States
|
$134,672,686
|
81.3
%
|
Cayman Islands
|
11,833,861
|
7.1
%
|
Canada
|
2,097,648
|
1.3
%
|
Spain
|
1,826,792
|
1.1
%
|
Germany
|
1,447,735
|
0.9
%
|
Jersey
|
1,196,904
|
0.7
%
|
France
|
1,069,893
|
0.6
%
|
Switzerland
|
939,374
|
0.6
%
|
Mexico
|
462,783
|
0.3
%
|
Ireland
|
458,938
|
0.3
%
|
Austria
|
161,157
|
0.1
%
|
Short-Term Investments and Other Assets—Net
|
9,456,567
|
5.7
%
|
|
$165,624,338
|
100.0
%
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
405
|
U.S. Treasury Note, 2 Year
|
$81,980,860
|
$(350,865)
|
Total Long Positions
|
$81,980,860
|
$(350,865)
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
36
|
U.S. Treasury Note, 10 Year
|
$(3,822,188)
|
$150,403
|
12/2023
|
185
|
U.S. Treasury Note, 5 Year
|
(19,328,164)
|
269,495
|
12/2023
|
18
|
U.S. Treasury Note, Ultra 10 Year
|
(1,958,906)
|
112,887
|
12/2023
|
22
|
U.S. Treasury Ultra Bond
|
(2,476,375)
|
83,086
|
Total Short Positions
|
$(27,585,633)
|
$615,871
|
||
Total Futures
|
|
$265,006
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Investments:
|
|
|
|
|
Mortgage-Backed Securities#
|
$—
|
$46,318,650
|
$—
|
$46,318,650
|
Asset-Backed Securities
|
—
|
28,793,266
|
—
|
28,793,266
|
Corporate Bonds#
|
—
|
77,526,914
|
—
|
77,526,914
|
Loan Assignments#
|
—
|
3,528,941
|
—
|
3,528,941
|
Short-Term Investments
|
—
|
8,933,059
|
—
|
8,933,059
|
Total Investments
|
$—
|
$165,100,830
|
$—
|
$165,100,830
|
Other Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Futures@
|
|
|
|
|
Assets
|
$615,871
|
$—
|
$—
|
$615,871
|
Liabilities
|
(350,865
)
|
—
|
—
|
(350,865
)
|
Total
|
$265,006
|
$—
|
$—
|
$265,006
|
Principal Amount(a)
|
Value
|
|||
U.S. Treasury Obligations 6.6%
|
|
|||
|
|
U.S. Treasury Bills
|
|
|
$
|
50,680,000
|
5.27%, due 11/2/2023
|
$50,672,605
(b)
|
|
|
250,000
|
5.11%, due 11/24/2023
|
249,155
(b)
|
|
|
50,000,000
|
5.29%, due 11/30/2023
|
49,786,971
(b)
|
|
|
60,780,000
|
5.32%, due 12/21/2023
|
60,332,381
(b)
|
|
|
|
U.S. Treasury Bonds
|
|
|
|
2,825,000
|
2.38%, due 5/15/2051
|
1,682,751
|
|
|
12,975,000
|
3.63%, due 5/15/2053
|
10,114,418
|
|
|
8,210,000
|
4.13%, due 8/15/2053
|
7,023,398
|
|
|
46,380,000
|
U.S. Treasury Notes, 3.38%, due 5/15/2033
|
41,010,066
|
|
Total U.S. Treasury Obligations (Cost $228,148,145)
|
220,871,745
|
|||
U.S. Government Agency Securities 0.1%
|
|
|||
|
2,030,000
|
Federal National Mortgage Association, 5.63%, due 7/15/2037 (Cost $2,638,451)
|
2,090,478
|
|
|
||||
Mortgage-Backed Securities 61.7%
|
||||
Collateralized Mortgage Obligations 8.3%
|
|
|||
|
|
Federal Home Loan Mortgage Corp. REMICS
|
|
|
|
4,265,985
|
Series 4117, Class IO, 4.00%, due 10/15/2042
|
735,825
(c)
|
|
|
5,951,022
|
Series 4150, Class SP, (6.04% - 30 day USD SOFR Average), 0.72%, due
1/15/2043
|
482,568
(c)(d)
|
|
|
2,825,341
|
Series 4456, Class SA, (6.04% - 30 day USD SOFR Average), 0.72%, due
3/15/2045
|
235,058
(c)(d)
|
|
|
2,686,108
|
Series 4627, Class SA, (5.89% - 30 day USD SOFR Average), 0.57%, due
10/15/2046
|
233,525
(c)(d)
|
|
|
5,019,646
|
Series 4994, Class LI, 4.00%, due 12/25/2048
|
925,122
(c)
|
|
|
3,406,665
|
Series 5146, Class EC, 1.50%, due 2/25/2049
|
2,533,528
|
|
|
3,793,722
|
Series 4953, Class BI, 4.50%, due 2/25/2050
|
815,925
(c)
|
|
|
|
Federal Home Loan Mortgage Corp. STACR REMIC Trust
|
|
|
|
4,000,000
|
Series 2021-DNA5, Class B1, (30 day USD SOFR Average + 3.05%), 8.37%, due
1/25/2034
|
4,000,000
(d)(e)
|
|
|
3,380,200
|
Series 2021-DNA7, Class M2, (30 day USD SOFR Average + 1.80%), 7.12%, due
11/25/2041
|
3,320,057
(d)(e)
|
|
|
4,200,000
|
Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.72%, due
2/25/2042
|
4,207,859
(d)(e)
|
|
|
8,054,000
|
Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.07%, due
2/25/2042
|
8,164,742
(d)(e)
|
|
|
10,100,000
|
Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.57%, due
3/25/2042
|
10,601,869
(d)(e)
|
|
|
5,496,000
|
Series 2022-DNA3, Class M1B, (30 day USD SOFR Average + 2.90%), 8.22%, due
4/25/2042
|
5,599,046
(d)(e)
|
|
|
5,000,000
|
Series 2022-DNA5, Class M1B, (30 day USD SOFR Average + 4.50%), 9.82%, due
6/25/2042
|
5,324,763
(d)(e)
|
|
|
9,447,000
|
Series 2022-DNA6, Class M1B, (30 day USD SOFR Average + 3.70%), 9.02%, due
9/25/2042
|
9,900,646
(d)(e)
|
|
|
5,000,000
|
Series 2022-DNA6, Class M2, (30 day USD SOFR Average + 5.75%), 11.07%, due
9/25/2042
|
5,429,600
(d)(e)
|
|
|
|
Federal Home Loan Mortgage Corp. STACR Trust
|
|
|
|
2,948,598
|
Series 2018-DNA1, Class M2, (30 day USD SOFR Average + 1.91%), 7.24%, due
7/25/2030
|
2,972,621
(d)
|
|
|
9,651,428
|
Series 2018-HQA1, Class M2, (30 day USD SOFR Average + 2.41%), 7.74%, due
9/25/2030
|
9,808,911
(d)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Collateralized Mortgage Obligations – cont'd
|
|
|||
|
|
Federal National Mortgage Association Connecticut Avenue Securities
|
|
|
$
|
4,270,114
|
Series 2017-C06, Class 2M2, (30 day USD SOFR Average + 2.91%), 8.24%, due
2/25/2030
|
$4,381,851
(d)
|
|
|
1,104,691
|
Series 2017-C07, Class 1M2, (30 day USD SOFR Average + 2.51%), 7.84%, due
5/25/2030
|
1,126,728
(d)
|
|
|
2,016,462
|
Series 2018-C02, Class 2M2, (30 day USD SOFR Average + 2.31%), 7.64%, due
8/25/2030
|
2,041,637
(d)
|
|
|
353,670
|
Series 2018-C04, Class 2M2, (30 day USD SOFR Average + 2.66%), 7.99%, due
12/25/2030
|
362,492
(d)
|
|
|
2,068,597
|
Series 2018-C05, Class 1M2, (30 day USD SOFR Average + 2.46%), 7.79%, due
1/25/2031
|
2,104,629
(d)
|
|
|
6,491,969
|
Series 2019-R04, Class 2B1, (30 day USD SOFR Average + 5.36%), 10.69%, due
6/25/2039
|
6,910,095
(d)(e)
|
|
|
4,360,747
|
Series 2019-R05, Class 1B1, (30 day USD SOFR Average + 4.21%), 9.54%, due
7/25/2039
|
4,501,796
(d)(e)
|
|
|
6,809,000
|
Series 2020-R01, Class 1B1, (30 day USD SOFR Average + 3.36%), 8.69%, due
1/25/2040
|
6,881,055
(d)(e)
|
|
|
9,074,000
|
Series 2021-R03, Class 1M2, (30 day USD SOFR Average + 1.65%), 6.97%, due
12/25/2041
|
8,919,924
(d)(e)
|
|
|
8,504,000
|
Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.22%, due
12/25/2041
|
8,376,551
(d)(e)
|
|
|
4,726,000
|
Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.42%, due
3/25/2042
|
4,811,319
(d)(e)
|
|
|
11,745,000
|
Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.82%, due
3/25/2042
|
12,201,830
(d)(e)
|
|
|
5,000,000
|
Series 2022-R03, Class 1B1, (30 day USD SOFR Average + 6.25%), 11.57%, due
3/25/2042
|
5,443,144
(d)(e)
|
|
|
3,670,038
|
Series 2022-R07, Class 1M1, (30 day USD SOFR Average + 2.95%), 8.27%, due
6/25/2042
|
3,753,570
(d)(e)
|
|
|
4,006,624
|
Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.92%, due
7/25/2042
|
4,167,893
(d)(e)
|
|
|
5,000,200
|
Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.92%, due
7/25/2042
|
5,361,342
(d)(e)
|
|
|
6,108,000
|
Series 2023-R01, Class 1M2, (30 day USD SOFR Average + 3.75%), 9.07%, due
12/25/2042
|
6,406,813
(d)(e)
|
|
|
6,443,000
|
Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.67%, due
1/25/2043
|
6,608,604
(d)(e)
|
|
|
|
Federal National Mortgage Association Interest Strip
|
|
|
|
6,166,779
|
Series 413, Class C26, 4.00%, due 10/25/2041
|
1,095,640
(c)
|
|
|
7,949,295
|
Series 418, Class C24, 4.00%, due 8/25/2043
|
1,472,350
(c)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Collateralized Mortgage Obligations – cont'd
|
|
|||
|
|
Federal National Mortgage Association REMICS
|
|
|
$
|
116,142
|
Series 2012-96, Class PS, (6.59% - 30 day USD SOFR Average), 1.26%, due
7/25/2041
|
$284
(c)(d)
|
|
|
5,822,443
|
Series 2019-49, Class DS, (6.04% - 30 day USD SOFR Average), 0.71%, due
6/25/2043
|
469,943
(c)(d)
|
|
|
7,013,879
|
Series 2018-18, Class ST, (5.99% - 30 day USD SOFR Average), 0.66%, due
12/25/2044
|
534,247
(c)(d)
|
|
|
3,732,854
|
Series 2016-8, Class SB, (5.99% - 30 day USD SOFR Average), 0.66%, due
3/25/2046
|
258,452
(c)(d)
|
|
|
3,306,145
|
Series 2016-31, Class HS, (5.89% - 30 day USD SOFR Average), 0.56%, due
6/25/2046
|
261,286
(c)(d)
|
|
|
3,729,454
|
Series 2016-67, Class KS, (5.89% - 30 day USD SOFR Average), 0.56%, due
9/25/2046
|
302,100
(c)(d)
|
|
|
6,355,585
|
Series 2016-62, Class SA, (5.89% - 30 day USD SOFR Average), 0.56%, due
9/25/2046
|
442,829
(c)(d)
|
|
|
7,464,016
|
Series 2019-33, Class SN, (5.99% - 30 day USD SOFR Average), 0.66%, due
7/25/2049
|
561,333
(c)(d)
|
|
|
13,865,060
|
Series 2021-76, Class AI, 3.50%, due 11/25/2051
|
2,308,869
(c)
|
|
|
|
Government National Mortgage Association REMICS
|
|
|
|
1,679,977
|
Series 2013-186, Class SA, (5.99% - 1 mo. USD Term SOFR), 0.65%, due
12/16/2043
|
120,987
(c)(d)
|
|
|
9,760,222
|
Series 2015-144, Class HS, (6.09% - 1 mo. USD Term SOFR), 0.75%, due
10/20/2045
|
836,137
(c)(d)
|
|
|
4,752,552
|
Series 2015-187, Class AI, 4.50%, due 12/20/2045
|
916,672
(c)
|
|
|
6,500,658
|
Series 2017-112, Class KS, (6.09% - 1 mo. USD Term SOFR), 0.75%, due
7/20/2047
|
564,227
(c)(d)
|
|
|
7,674,194
|
Series 2020-86, Class WK, 1.00%, due 6/20/2050
|
5,554,927
|
|
|
9,564,916
|
Series 2020-107, Class AB, 1.00%, due 7/20/2050
|
6,837,359
|
|
|
8,030,205
|
Series 2020-112, Class KA, 1.00%, due 8/20/2050
|
5,785,328
|
|
|
8,813,167
|
Series 2020-151, Class MI, 2.50%, due 10/20/2050
|
1,163,661
(c)
|
|
|
14,792,899
|
Series 2021-30, Class DI, 2.50%, due 2/20/2051
|
2,012,146
(c)
|
|
|
7,071,199
|
Series 2021-103, Class HE, 2.00%, due 6/20/2051
|
5,571,551
|
|
|
7,190,693
|
Series 2021-119, Class NC, 1.50%, due 7/20/2051
|
5,546,198
|
|
|
6,119,197
|
Series 2021-139, Class IE, 3.50%, due 8/20/2051
|
1,071,464
(c)
|
|
|
10,375,962
|
Series 2021-196, Class IO, 2.50%, due 11/20/2051
|
1,406,746
(c)
|
|
|
201,312
|
JP Morgan Alternative Loan Trust, Series 2006-A5, Class 1A1, (1 mo. USD Term
SOFR +
0.43%), 5.76%, due 10/25/2036
|
173,461
(d)
|
|
|
7,959,142
|
Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1, 1.96%, due
10/25/2061
|
6,142,703
(e)(f)
|
|
|
11,246,480
|
SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due
12/25/2061
|
8,535,708
(e)(f)
|
|
|
21,815,312
|
Starwood Mortgage Residential Trust, Series 2021-5, Class A1, 1.92%, due
9/25/2066
|
17,413,403
(e)(f)
|
|
|
6,133,078
|
Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062
|
5,434,447
(e)
|
|
|
|
Verus Securitization Trust
|
|
|
|
21,361,572
|
Series 2021-6, Class A1, 1.63%, due 10/25/2066
|
16,891,334
(e)(f)
|
|
|
5,493,523
|
Series 2021-6, Class A3, 1.89%, due 10/25/2066
|
4,284,035
(e)(f)
|
|
|
3,039,090
|
Series 2022-4, Class A3, 4.74%, due 4/25/2067
|
2,732,073
(e)(f)
|
|
|
|
|
276,354,838
|
|
Commercial Mortgage-Backed 4.6%
|
|
|||
|
|
BANK
|
|
|
|
1,828,000
|
Series 2019-BN17, Class C, 4.51%, due 4/15/2052
|
1,342,715
(f)
|
|
|
1,376,000
|
Series 2021-BN38, Class C, 3.22%, due 12/15/2064
|
803,360
(f)
|
|
|
1,606,000
|
Barclays Commercial Mortgage Trust, Series 2019-C5, Class C, 3.71%, due
11/15/2052
|
1,171,635
|
|
|
|
BBCMS Mortgage Trust
|
|
|
|
93,496,644
|
Series 2021-C11, Class XA, 1.38%, due 9/15/2054
|
6,497,764
(c)(f)
|
|
|
32,992,475
|
Series 2022-C17, Class XA, 1.15%, due 9/15/2055
|
2,439,421
(c)(f)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Commercial Mortgage-Backed – cont'd
|
|
|||
|
|
Benchmark Mortgage Trust
|
|
|
$
|
3,200,000
|
Series 2020-B16, Class C, 3.65%, due 2/15/2053
|
$2,239,332
(f)
|
|
|
3,864,000
|
Series 2020-B17, Class C, 3.37%, due 3/15/2053
|
2,613,680
(f)
|
|
|
47,247,203
|
Series 2021-B30, Class XA, 0.81%, due 11/15/2054
|
2,233,205
(c)(f)
|
|
|
1,731,000
|
BMO Mortgage Trust, Series 2023-C5, Class C, 6.63%, due 6/15/2056
|
1,511,663
(f)
|
|
|
8,573,000
|
BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.03%,
due
4/15/2037
|
8,180,495
(d)(e)
|
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
9,875,000
|
Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.10%, due
9/15/2036
|
9,427,262
(d)(e)
|
|
|
606,900
|
Series 2019-XL, Class D, (1 mo. USD Term SOFR + 1.56%), 6.90%, due
10/15/2036
|
600,398
(d)(e)
|
|
|
|
BX Trust
|
|
|
|
1,105,000
|
Series 2019-OC11, Class B, 3.61%, due 12/9/2041
|
917,024
(e)
|
|
|
9,351,000
|
Series 2019-OC11, Class D, 3.94%, due 12/9/2041
|
7,505,500
(e)(f)
|
|
|
|
CAMB Commercial Mortgage Trust
|
|
|
|
1,000,000
|
Series 2019-LIFE, Class C, (1 mo. USD Term SOFR + 1.50%), 6.83%, due
12/15/2037
|
984,927
(d)(e)
|
|
|
2,374,000
|
Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 1.80%), 7.13%, due
12/15/2037
|
2,342,042
(d)(e)
|
|
|
1,620,000
|
Series 2019-LIFE, Class E, (1 mo. USD Term SOFR + 2.20%), 7.53%, due
12/15/2037
|
1,587,844
(d)(e)
|
|
|
4,530,000
|
Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.60%), 7.93%, due
12/15/2037
|
4,391,440
(d)(e)
|
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
2,425,000
|
Series 2023-PRM3, Class C, 6.36%, due 7/10/2028
|
2,288,787
(e)(f)
|
|
|
2,776,000
|
Series 2023-SMRT, Class C, 5.85%, due 10/12/2040
|
2,604,501
(e)(f)
|
|
|
44,707,555
|
Series 2014-GC25, Class XA, 0.94%, due 10/10/2047
|
209,339
(c)(f)
|
|
|
23,991,236
|
Series 2015-GC27, Class XA, 1.30%, due 2/10/2048
|
242,369
(c)(f)
|
|
|
1,843,000
|
Series 2017-P8, Class C, 4.26%, due 9/15/2050
|
1,481,650
(f)
|
|
|
|
COMM Mortgage Trust
|
|
|
|
1,244
|
Series 2012-CR3, Class XA, 0.88%, due 10/15/2045
|
—
(c)(f)
|
|
|
6,200,000
|
Series 2012-CR4, Class AM, 3.25%, due 10/15/2045
|
5,234,329
|
|
|
28,333,429
|
Series 2014-CR16, Class XA, 0.93%, due 4/10/2047
|
43,721
(c)(f)
|
|
|
24,764,527
|
Series 2014-CR17, Class XA, 0.92%, due 5/10/2047
|
30,517
(c)(f)
|
|
|
37,376,483
|
Series 2014-UBS3, Class XA, 1.05%, due 6/10/2047
|
52,133
(c)(f)
|
|
|
37,610,345
|
Series 2014-UBS6, Class XA, 0.83%, due 12/10/2047
|
195,438
(c)(f)
|
|
|
|
Credit Suisse Mortgage Capital Certificates
|
|
|
|
2,432,947
|
Series 2019-ICE4, Class E, (1 mo. USD Term SOFR + 2.20%), 7.53%, due
5/15/2036
|
2,394,360
(d)(e)
|
|
|
3,635,954
|
Series 2019-ICE4, Class F, (1 mo. USD Term SOFR + 2.70%), 8.03%, due
5/15/2036
|
3,581,965
(d)(e)
|
|
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
2,644,000
|
Series 2018-C14, Class C, 4.90%, due 11/15/2051
|
1,975,237
(f)
|
|
|
30,414,919
|
Series 2015-C2, Class XA, 0.71%, due 6/15/2057
|
207,594
(c)(f)
|
|
|
2,887,000
|
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.55%, due
9/10/2035
|
2,569,650
(e)(f)
|
|
|
|
Federal Home Loan Mortgage Corp. Multiclass Certificates
|
|
|
|
61,820,000
|
Series 2020-RR03, Class X1, 1.71%, due 7/27/2028
|
3,994,864
(c)
|
|
|
27,400,000
|
Series 2020-RR02, Class DX, 1.82%, due 9/27/2028
|
1,948,189
(c)(f)
|
|
|
65,436,000
|
Series 2020-RR04, Class X, 2.13%, due 2/27/2029
|
5,560,954
(c)(f)
|
|
|
18,835,000
|
Series 2020-RR02, Class CX, 1.27%, due 3/27/2029
|
1,026,472
(c)(f)
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates
|
|
|
|
70,984,000
|
Series K083, Class XAM, 0.05%, due 10/25/2028
|
298,530
(c)(f)
|
|
|
77,922,000
|
Series K085, Class XAM, 0.06%, due 10/25/2028
|
355,246
(c)(f)
|
|
|
2,597,000
|
FIVE Mortgage Trust, Series 2023-V1, Class C, 6.40%, due 2/10/2056
|
2,320,331
(f)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Commercial Mortgage-Backed – cont'd
|
|
|||
|
|
GS Mortgage Securities Trust
|
|
|
$
|
30,507
|
Series 2011-GC5, Class XA, 0.09%, due 8/10/2044
|
$—
(c)(e)(f)
|
|
|
19,981,601
|
Series 2014-GC18, Class XA, 0.97%, due 1/10/2047
|
200
(c)(f)
|
|
|
3,458,000
|
Series 2015-GS1, Class AS, 4.04%, due 11/10/2048
|
3,062,909
(f)
|
|
|
40,979,118
|
Series 2015-GC30, Class XA, 0.72%, due 5/10/2050
|
330,202
(c)(f)
|
|
|
3,284,000
|
Series 2019-GC42, Class C, 3.69%, due 9/10/2052
|
2,339,946
(f)
|
|
|
|
Hilton USA Trust
|
|
|
|
1,534,500
|
Series 2016-HHV, Class C, 4.19%, due 11/5/2038
|
1,411,966
(e)(f)
|
|
|
350,000
|
Series 2016-HHV, Class D, 4.19%, due 11/5/2038
|
317,697
(e)(f)
|
|
|
2,691,058
|
Hudson Yards Mortgage Trust, Series 2016-10HY, Class C, 2.98%, due 8/10/2038
|
2,374,065
(e)(f)
|
|
|
6,840,000
|
INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. USD Term SOFR +
2.49%),
7.82%, due 8/15/2039
|
6,835,713
(d)(e)
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
5,615,000
|
Series 2016-NINE, Class A, 2.85%, due 9/6/2038
|
4,969,826
(e)(f)
|
|
|
6,838,000
|
Series 2022-OPO, Class D, 3.45%, due 1/5/2039
|
3,453,187
(e)(f)
|
|
|
|
Manhattan West Mortgage Trust
|
|
|
|
1,409,000
|
Series 2020-1MW, Class D, 2.34%, due 9/10/2039
|
1,135,907
(e)(f)
|
|
|
1,693,000
|
Series 2020-1MW, Class C, 2.34%, due 9/10/2039
|
1,394,081
(e)(f)
|
|
|
2,614,000
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class
C, 4.56%,
due 5/15/2050
|
2,171,579
(f)
|
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
1,847,000
|
Series 2017-H1, Class B, 4.08%, due 6/15/2050
|
1,587,839
|
|
|
3,591,550
|
Series 2017-H1, Class C, 4.28%, due 6/15/2050
|
2,882,331
(f)
|
|
|
2,136,000
|
Series 2018-H4, Class C, 5.06%, due 12/15/2051
|
1,685,222
(f)
|
|
|
2,302,000
|
MSWF Commercial Mortgage Trust, Series 2023-1, Class C, 6.68%, due 5/15/2056
|
1,972,035
(f)
|
|
|
3,422,000
|
NYO Commercial Mortgage Trust, Series 2021-1290, Class D, (1 mo. USD Term
SOFR +
2.66%), 7.99%, due 11/15/2038
|
2,227,993
(d)(e)
|
|
|
4,757,000
|
ORL Trust, Series 2023-GLKS, Class D, (1 mo. USD Term SOFR + 4.30%), 9.64%,
due
10/15/2028
|
4,739,160
(d)(e)
|
|
|
|
Taubman Centers Commercial Mortgage Trust
|
|
|
|
5,764,000
|
Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.27%, due
5/15/2037
|
5,627,115
(d)(e)
|
|
|
3,832,000
|
Series 2022-DPM, Class C, (1 mo. USD Term SOFR + 3.78%), 9.11%, due
5/15/2037
|
3,707,370
(d)(e)
|
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
1,410,000
|
Series 2015-NXS4, Class C, 4.68%, due 12/15/2048
|
1,260,868
(f)
|
|
|
1,730,000
|
Series 2016-NXS6, Class C, 4.39%, due 11/15/2049
|
1,451,057
(f)
|
|
|
|
WF-RBS Commercial Mortgage Trust
|
|
|
|
102,868,000
|
Series 2013-C14, Class XB, 0.00%, due 6/15/2046
|
1,029
(c)(f)
|
|
|
26,631,411
|
Series 2014-C21, Class XA, 0.99%, due 8/15/2047
|
158,590
(c)(f)
|
|
|
48,797,619
|
Series 2014-C25, Class XA, 0.78%, due 11/15/2047
|
243,124
(c)(f)
|
|
|
13,347,883
|
Series 2014-C22, Class XA, 0.76%, due 9/15/2057
|
45,376
(c)(f)
|
|
|
|
|
152,792,270
|
|
Federal Home Loan Mortgage Corp. 12.8%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
44,434,008
|
2.50%, due 5/1/2051 - 7/1/2052
|
34,163,749
(g)
|
|
|
27,271,449
|
3.00%, due 11/1/2050 - 5/1/2052
|
21,873,862
|
|
|
25,098,469
|
3.50%, due 4/1/2052 - 12/1/2052
|
20,918,345
|
|
|
93,152,453
|
4.00%, due 4/1/2052 - 6/1/2053
|
80,535,091
|
|
|
95,378,435
|
4.50%, due 7/1/2052 - 5/1/2053
|
85,245,109
|
|
|
87,668,162
|
5.00%, due 10/1/2052 - 8/1/2053
|
80,886,500
|
|
|
74,455,310
|
5.50%, due 11/1/2052 - 8/1/2053
|
70,672,471
|
Principal Amount(a)
|
Value
|
|||
|
||||
Federal Home Loan Mortgage Corp. – cont'd
|
|
|||
$
|
34,594,930
|
6.00%, due 12/1/2052 - 10/1/2053
|
$33,750,572
|
|
|
|
|
428,045,699
|
|
Federal Home Loan Mortgage Corp. 0.9%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
8,273,550
|
2.50%, due 4/1/2052
|
6,374,857
|
|
|
7,092,297
|
4.00%, due 9/1/2052
|
6,130,106
|
|
|
1,484,294
|
5.50%, due 5/1/2053
|
1,409,193
|
|
|
3,534,716
|
5.00%, due 7/1/2053
|
3,260,109
|
|
|
2,092,909
|
6.00%, due 7/1/2053
|
2,041,130
|
|
|
8,283,456
|
6.00%, due 8/1/2053
|
8,071,464
|
|
|
2,529,646
|
5.50%, due 9/1/2053
|
2,400,443
|
|
|
|
|
29,687,302
|
|
Federal National Mortgage Association 29.9%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
81,171,758
|
2.50%, due 8/1/2051 - 5/1/2052
|
62,508,438
|
|
|
53,795,125
|
3.00%, due 6/1/2050 - 3/1/2053
|
43,178,612
|
|
|
109,054,705
|
3.50%, due 5/1/2051 - 5/1/2053
|
90,997,182
|
|
|
77,163,625
|
4.00%, due 2/1/2052 - 2/1/2053
|
66,721,328
|
|
|
65,309,786
|
4.50%, due 6/1/2052 - 4/1/2053
|
58,378,859
|
|
|
107,953,072
|
5.00%, due 8/1/2052 - 9/1/2053
|
99,605,764
|
|
|
77,859,597
|
5.50%, due 12/1/2052 - 10/1/2053
|
73,890,381
|
|
|
36,766,024
|
6.00%, due 1/1/2053 - 10/1/2053
|
35,873,202
|
|
|
93,580,000
|
2.50%, TBA, 30 Year Maturity
|
71,778,784
(h)
|
|
|
53,515,000
|
3.50%, TBA, 30 Year Maturity
|
44,558,207
(h)
|
|
|
70,765,000
|
4.00%, TBA, 30 Year Maturity
|
61,123,269
(h)
|
|
|
60,940,000
|
4.50%, TBA, 30 Year Maturity
|
54,411,794
(h)
|
|
|
26,165,000
|
5.00%, TBA, 30 Year Maturity
|
24,120,859
(h)
|
|
|
160,295,000
|
5.50%, TBA, 30 Year Maturity
|
152,029,789
(h)
|
|
|
59,565,000
|
6.00%, TBA, 30 Year Maturity
|
57,958,812
(h)
|
|
|
|
|
997,135,280
|
|
Government National Mortgage Association 5.2%
|
|
|||
|
|
Pass-Through Certificates
|
|
|
|
17,539,048
|
5.00%, due 11/20/2052 - 7/20/2053
|
16,336,828
|
|
|
12,524,651
|
5.50%, due 6/20/2053 - 7/20/2053
|
11,982,505
|
|
|
32,529,391
|
6.00%, due 12/20/2052 - 10/20/2053
|
31,884,321
|
|
|
288
|
7.00%, due 8/15/2032
|
298
|
|
|
38,470,000
|
5.00%, TBA, 30 Year Maturity
|
35,793,630
(h)
|
|
|
17,090,000
|
5.50%, TBA, 30 Year Maturity
|
16,342,312
(h)
|
|
|
60,520,000
|
6.00%, TBA, 30 Year Maturity
|
59,289,951
(h)
|
|
|
|
|
171,629,845
|
|
Total Mortgage-Backed Securities (Cost $2,218,237,713)
|
2,055,645,234
|
|||
Asset-Backed Securities 8.1%
|
|
|||
|
1,650,000
|
37 Capital CLO 1 Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR +
7.46%),
12.86%, due 10/15/2034
|
1,559,275
(d)(e)
|
|
|
2,300,000
|
37 Capital CLO II Ltd., Series 2022-1A, Class A1A, (3 mo. USD Term SOFR +
2.00%),
7.39%, due 7/15/2034
|
2,316,050
(d)(e)
|
|
|
661,885
|
AASET Trust, Series 2020-1A, Class A, 3.35%, due 1/16/2040
|
575,993
(e)
|
|
|
1,000,000
|
AGL CLO 17 Ltd., Series 2022-17A, Class E, (3 mo. USD Term SOFR + 6.35%),
11.76%,
due 1/21/2035
|
950,231
(d)(e)
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
1,100,000
|
AIMCO CLO, Series 2018-AA, Class E, (3 mo. USD Term SOFR + 5.41%), 10.81%,
due
4/17/2031
|
$999,837
(d)(e)
|
|
|
550,000
|
Alinea CLO Ltd., Series 2018-1A, Class E, (3 mo. USD Term SOFR + 6.26%),
11.68%,
due 7/20/2031
|
475,851
(d)(e)
|
|
|
9,980,000
|
AM Capital Funding LLC, Series 2018-1, Class A, 4.98%, due 12/15/2023
|
9,972,082
(e)
|
|
|
1,532,028
|
Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class A2, 5.30%,
due
6/21/2028
|
1,517,046
(e)
|
|
|
|
Apidos CLO XXVIII Ltd.
|
|
|
|
500,000
|
Series 2017-28A, Class C, (3 mo. USD Term SOFR + 2.76%), 8.18%, due
1/20/2031
|
471,022
(d)(e)
|
|
|
500,000
|
Series 2017-28A, Class D, (3 mo. USD Term SOFR + 5.76%), 11.18%, due
1/20/2031
|
440,522
(d)(e)
|
|
|
|
Ares LIII CLO Ltd.
|
|
|
|
3,250,000
|
Series 2019-53A, Class D, (3 mo. USD Term SOFR + 4.01%), 9.41%, due
4/24/2031
|
3,149,166
(d)(e)
|
|
|
1,700,000
|
Series 2019-53A, Class E, (3 mo. USD Term SOFR + 7.11%), 12.51%, due
4/24/2031
|
1,656,877
(d)(e)
|
|
|
2,000,000
|
Ares XLV CLO Ltd., Series 2017-45A, Class E, (3 mo. USD Term SOFR + 6.36%),
11.76%,
due 10/15/2030
|
1,773,678
(d)(e)
|
|
|
1,000,000
|
Ares XXVII CLO Ltd., Series 2013-2A, Class ER2, (3 mo. USD Term SOFR +
7.01%),
12.40%, due 10/28/2034
|
959,889
(d)(e)
|
|
|
|
Assurant CLO Ltd.
|
|
|
|
250,000
|
Series 2018-2A, Class D, (3 mo. USD Term SOFR + 3.11%), 8.53%, due
4/20/2031
|
237,360
(d)(e)
|
|
|
1,500,000
|
Series 2018-2A, Class E, (3 mo. USD Term SOFR + 5.86%), 11.28%, due
4/20/2031
|
1,248,119
(d)(e)
|
|
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
1,545,000
|
Series 2020-2A, Class B, 2.96%, due 2/20/2027
|
1,429,671
(e)
|
|
|
847,000
|
Series 2022-3A, Class B, 5.31%, due 2/20/2027
|
819,908
(e)
|
|
|
4,988,000
|
Series 2021-2A, Class B, 1.90%, due 2/20/2028
|
4,296,376
(e)
|
|
|
1,300,000
|
Ballyrock CLO 19 Ltd., Series 2022-19A, Class C, (3 mo. USD Term SOFR +
3.50%),
8.92%, due 4/20/2035
|
1,244,972
(d)(e)
|
|
|
442,000
|
Bank of America Auto Trust, Series 2023-1A, Class A2, 5.83%, due 5/15/2026
|
441,026
(e)
|
|
|
1,000,000
|
Battalion CLO XXI Ltd., Series 2021-21A, Class D, (3 mo. USD Term SOFR +
3.56%),
8.96%, due 7/15/2034
|
918,689
(d)(e)
|
|
|
4,000,000
|
Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due
10/22/2046
|
3,392,466
(e)
|
|
|
3,000,000
|
Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, (3 mo. USD
Term SOFR +
6.67%), 12.07%, due 10/15/2030
|
2,688,794
(d)(e)
|
|
|
2,250,000
|
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class AR, (3 mo. USD
Term SOFR +
1.43%), 6.83%, due 7/15/2034
|
2,230,141
(d)(e)
|
|
|
1,000,000
|
Benefit Street Partners CLO XXII Ltd., Series 2020-22A, Class DR, (3 mo. USD
Term SOFR
+ 3.35%), 8.77%, due 4/20/2035
|
937,294
(d)(e)
|
|
|
700,000
|
BlueMountain CLO XXV Ltd., Series 2019-25A, Class D1R, (3 mo. USD Term SOFR
+
3.56%), 8.96%, due 7/15/2036
|
651,352
(d)(e)
|
|
|
2,000,000
|
BlueMountain CLO XXXIII Ltd., Series 2021-33A, Class E, (3 mo. USD Term SOFR
+
7.09%), 12.47%, due 11/20/2034
|
1,750,449
(d)(e)
|
|
|
178,847
|
BMW Vehicle Lease Trust, Series 2023-1, Class A2, 5.27%, due 2/25/2025
|
178,479
|
|
|
1,000,000
|
Canyon Capital CLO Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR +
6.67%),
12.07%, due 4/15/2034
|
903,037
(d)(e)
|
|
|
|
Capital One Prime Auto Receivables Trust
|
|
|
|
177,327
|
Series 2022-1, Class A2, 2.71%, due 6/16/2025
|
176,206
|
|
|
738,120
|
Series 2023-1, Class A2, 5.20%, due 5/15/2026
|
734,318
|
|
|
|
Carbone CLO Ltd.
|
|
|
|
1,000,000
|
Series 2017-1A, Class C, (3 mo. USD Term SOFR + 2.86%), 8.28%, due
1/20/2031
|
958,000
(d)(e)
|
|
|
1,000,000
|
Series 2017-1A, Class D, (3 mo. USD Term SOFR + 6.16%), 11.58%, due
1/20/2031
|
886,744
(d)(e)
|
|
|
1,120,000
|
Carlyle U.S. CLO Ltd., Series 2017-5A, Class D, (3 mo. USD Term SOFR +
5.56%),
10.98%, due 1/20/2030
|
948,483
(d)(e)
|
|
|
142,000
|
Carmax Auto Owner Trust, Series 2023-3, Class A2A, 5.72%, due 11/16/2026
|
141,468
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
2,000,000
|
CIFC Funding Ltd., Series 2021-3A, Class D, (3 mo. USD Term SOFR + 3.26%),
8.66%,
due 7/15/2036
|
$1,925,413
(d)(e)
|
|
|
370,490
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B, (1 mo. USD
Term
SOFR + 0.43%), 5.76%, due 9/25/2036
|
309,200
(d)
|
|
|
467,000
|
Citizens Auto Receivables Trust, Series 2023-1, Class A2A, 6.13%, due
7/15/2026
|
466,600
(e)
|
|
|
1,500,000
|
Clover CLO LLC, Series 2020-1A, Class DR, (3 mo. USD Term SOFR + 3.26%),
8.66%,
due 4/15/2034
|
1,443,496
(d)(e)
|
|
|
199,720
|
CNH Equipment Trust, Series 2021-A, Class A3, 0.40%, due 12/15/2025
|
193,814
|
|
|
|
Crown City CLO III
|
|
|
|
3,000,000
|
Series 2021-1A, Class C, (3 mo. USD Term SOFR + 3.56%), 8.98%, due
7/20/2034
|
2,787,526
(d)(e)
|
|
|
3,000,000
|
Series 2021-1A, Class D, (3 mo. USD Term SOFR + 7.01%), 12.43%, due
7/20/2034
|
2,686,930
(d)(e)
|
|
|
7,535,000
|
CyrusOne Data Centers Issuer I LLC, Series 2023-1A, Class A2, 4.30%, due
4/20/2048
|
6,600,463
(e)
|
|
|
|
Dell Equipment Finance Trust
|
|
|
|
103,000
|
Series 2023-1, Class A2, 5.65%, due 9/22/2028
|
102,629
(e)
|
|
|
286,000
|
Series 2023-3, Class A2, 6.10%, due 4/23/2029
|
285,631
(e)
|
|
|
101,000
|
DLLAA LLC, Series 2023-1A, Class A2, 5.93%, due 7/20/2026
|
100,878
(e)
|
|
|
95,337
|
DLLAD LLC, Series 2023-1A, Class A2, 5.19%, due 4/20/2026
|
94,727
(e)
|
|
|
241,000
|
DLLMT LLC, Series 2023-1A, Class A2, 5.78%, due 11/20/2025
|
239,820
(e)
|
|
|
3,650,000
|
Dryden 36 Senior Loan Fund, Series 2014-36A, Class ER2, (3 mo. USD Term SOFR
+
7.14%), 12.54%, due 4/15/2029
|
3,298,529
(d)(e)
|
|
|
250,000
|
Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, (3 mo. USD Term SOFR
+
6.11%), 11.51%, due 10/15/2030
|
213,788
(d)(e)
|
|
|
|
Dryden 53 CLO Ltd.
|
|
|
|
300,000
|
Series 2017-53A, Class D, (3 mo. USD Term SOFR + 2.66%), 8.06%, due
1/15/2031
|
278,442
(d)(e)
|
|
|
750,000
|
Series 2017-53A, Class E, (3 mo. USD Term SOFR + 5.56%), 10.96%, due
1/15/2031
|
634,181
(d)(e)
|
|
|
2,350,000
|
Dryden 54 Senior Loan Fund, Series 2017-54A, Class E, (3 mo. USD Term SOFR +
6.46%), 11.86%, due 10/19/2029
|
2,050,066
(d)(e)
|
|
|
|
Eaton Vance CLO Ltd.
|
|
|
|
850,000
|
Series 2015-1A, Class DR, (3 mo. USD Term SOFR + 2.76%), 8.18%, due
1/20/2030
|
800,161
(d)(e)
|
|
|
900,000
|
Series 2015-1A, Class ER, (3 mo. USD Term SOFR + 5.86%), 11.28%, due
1/20/2030
|
735,541
(d)(e)
|
|
|
750,000
|
Series 2018-1A, Class E, (3 mo. USD Term SOFR + 6.26%), 11.66%, due
10/15/2030
|
647,722
(d)(e)
|
|
|
2,500,000
|
Series 2020-2A, Class AR, (3 mo. USD Term SOFR + 1.41%), 6.81%, due
1/15/2035
|
2,478,582
(d)(e)
|
|
|
2,000,000
|
Elmwood CLO X Ltd., Series 2021-3A, Class A, (3 mo. USD Term SOFR + 1.30%),
6.72%, due 10/20/2034
|
1,990,792
(d)(e)
|
|
|
471,000
|
Fifth Third Auto Trust, Series 2023-1, Class A2A, 5.80%, due 11/16/2026
|
470,095
|
|
|
|
Flatiron CLO Ltd.
|
|
|
|
700,000
|
Series 2017-1A, Class ER, (3 mo. USD Term SOFR + 6.16%), 11.53%, due
5/15/2030
|
668,178
(d)(e)
|
|
|
2,150,000
|
Series 2018-1A, Class E, (3 mo. USD Term SOFR + 5.41%), 10.81%, due
4/17/2031
|
1,991,641
(d)(e)
|
|
|
251,810
|
Ford Credit Auto Lease Trust, Series 2023-A, Class A2A, 5.19%, due 6/15/2025
|
251,211
|
|
|
2,500,000
|
Fort Washington CLO Ltd., Series 2019-1A, Class ER, (3 mo. USD Term SOFR +
7.01%),
12.43%, due 10/20/2032
|
2,053,376
(d)(e)
|
|
|
134,558
|
Foundation Finance Trust, Series 2019-1A, Class A, 3.86%, due 11/15/2034
|
133,084
(e)
|
|
|
6,248,000
|
Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053
|
5,927,639
(e)
|
|
|
2,225,000
|
Galaxy XV CLO Ltd., Series 2013-15A, Class ER, (3 mo. USD Term SOFR +
6.91%),
12.30%, due 10/15/2030
|
1,995,944
(d)(e)
|
|
|
1,000,000
|
Galaxy XXV CLO Ltd., Series 2018-25A, Class E, (3 mo. USD Term SOFR +
6.21%),
11.59%, due 10/25/2031
|
887,905
(d)(e)
|
|
|
250,000
|
Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, (3 mo. USD Term SOFR +
6.04%),
11.41%, due 5/16/2031
|
228,466
(d)(e)
|
|
|
1,600,000
|
Galaxy XXVIII CLO Ltd., Series 2018-28A, Class E, (3 mo. USD Term SOFR +
6.26%),
11.66%, due 7/15/2031
|
1,442,854
(d)(e)
|
|
|
124,000
|
GECU Auto Receivables Trust, Series 2023-1A, Class A2, 5.95%, due 3/15/2027
|
123,561
(e)
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
EUR
|
45,701
|
Gedesco Trade Receivables DAC, Series 2020-1, Class A, (1 mo. EUR EURIBOR +
1.15%),
5.01%, due 1/24/2026
|
$43,520
(d)(i)(j)
|
|
$
|
1,550,000
|
Generate CLO 2 Ltd., Series 2A, Class DR, (3 mo. USD Term SOFR + 2.86%),
8.27%, due
1/22/2031
|
1,471,354
(d)(e)
|
|
|
|
GM Financial Automobile Leasing Trust
|
|
|
|
523,670
|
Series 2023-1, Class A2A, 5.27%, due 6/20/2025
|
522,080
|
|
|
273,802
|
Series 2023-2, Class A2A, 5.44%, due 10/20/2025
|
272,832
|
|
|
|
GM Financial Consumer Automobile Receivables Trust
|
|
|
|
31,052
|
Series 2022-2, Class A2, 2.52%, due 5/16/2025
|
30,914
|
|
|
255,285
|
Series 2023-1, Class A2A, 5.19%, due 3/16/2026
|
254,230
|
|
|
1,000,000
|
HalseyPoint CLO 4 Ltd., Series 2021-4A, Class E, (3 mo. USD Term SOFR +
6.97%),
12.39%, due 4/20/2034
|
954,275
(d)(e)
|
|
|
1,774,003
|
Hilton Grand Vacations Trust, Series 2022-1D, Class D, 6.79%, due 6/20/2034
|
1,669,604
(e)
|
|
|
695,000
|
Honda Auto Receivables Owner Trust, Series 2023-2, Class A2, 5.41%, due
4/15/2026
|
691,732
|
|
|
183,000
|
HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, due 5/21/2029
|
176,995
(e)
|
|
|
162,970
|
Hyundai Auto Lease Securitization Trust, Series 2023-A, Class A2A, 5.20%,
due
4/15/2025
|
162,454
(e)
|
|
|
|
Hyundai Auto Receivables Trust
|
|
|
|
41,505
|
Series 2022-A, Class A2A, 1.81%, due 2/18/2025
|
41,393
|
|
|
350,264
|
Series 2022-C, Class A2A, 5.35%, due 11/17/2025
|
349,329
|
|
|
216,653
|
John Deere Owner Trust, Series 2022-C, Class A2, 4.98%, due 8/15/2025
|
215,877
|
|
|
1,000,000
|
Katayma CLO I Ltd., Series 2023-1A, Class A1, (3 mo. USD Term SOFR + 2.00%),
2.00%,
due 10/20/2036
|
999,577
(d)(e)
|
|
|
4,000,000
|
KKR CLO 25 Ltd., Series 25, Class DR, (3 mo. USD Term SOFR + 3.66%), 9.06%,
due
7/15/2034
|
3,786,828
(d)(e)
|
|
|
|
Kubota Credit Owner Trust
|
|
|
|
113,927
|
Series 2022-1A, Class A2, 2.34%, due 4/15/2025
|
112,935
(e)
|
|
|
97,000
|
Series 2023-2A, Class A2, 5.61%, due 7/15/2026
|
96,506
(e)
|
|
|
5,000,000
|
Madison Park Funding LXII Ltd., Series 2022-62A, Class AR, (3 mo. USD Term
SOFR +
1.85%), 7.25%, due 7/17/2036
|
4,988,640
(d)(e)
|
|
|
|
Magnetite XX Ltd.
|
|
|
|
250,000
|
Series 2018-20A, Class D, (3 mo. USD Term SOFR + 2.76%), 8.18%, due
4/20/2031
|
240,884
(d)(e)
|
|
|
250,000
|
Series 2018-20A, Class E, (3 mo. USD Term SOFR + 5.61%), 11.03%, due
4/20/2031
|
230,382
(d)(e)
|
|
|
2,000,000
|
Magnetite XXII Ltd., Series 2019-22A, Class DR, (3 mo. USD Term SOFR +
3.36%),
8.76%, due 4/15/2031
|
1,938,901
(d)(e)
|
|
|
8,100,000
|
Magnetite XXVIII Ltd., Series 2020-28A, Class AR, (3 mo. USD Term SOFR +
1.39%),
6.81%, due 1/20/2035
|
8,047,373
(d)(e)
|
|
|
500,000
|
Marble Point CLO XI Ltd., Series 2017-2A, Class D, (3 mo. USD Term SOFR +
3.06%),
8.46%, due 12/18/2030
|
432,556
(d)(e)
|
|
|
425,000
|
Mercedes-Benz Auto Lease Trust, Series 2023-A, Class A2, 5.24%, due
11/17/2025
|
423,118
|
|
|
|
Mercedes-Benz Auto Receivables Trust
|
|
|
|
355,370
|
Series 2023-1, Class A2, 5.09%, due 1/15/2026
|
354,006
|
|
|
540,000
|
Series 2023-2, Class A2, 5.92%, due 11/16/2026
|
539,904
|
|
|
9,436,000
|
MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due
10/20/2052
|
9,015,909
(e)
|
|
|
109,800
|
MMAF Equipment Finance LLC, Series 2022-A, Class A2, 2.77%, due 2/13/2025
|
109,076
(e)
|
|
|
|
Morgan Stanley Eaton Vance CLO Ltd.
|
|
|
|
2,000,000
|
Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.01%), 12.42%, due
10/20/2034
|
1,729,088
(d)(e)
|
|
|
1,000,000
|
Series 2022-16A, Class D1, (3 mo. USD Term SOFR + 3.25%), 8.64%, due
4/15/2035
|
931,691
(d)(e)
|
|
|
|
MVW LLC
|
|
|
|
2,284,094
|
Series 2021-2A, Class B, 1.83%, due 5/20/2039
|
2,052,030
(e)
|
|
|
3,497,796
|
Series 2022-1A, Class B, 4.40%, due 11/21/2039
|
3,284,065
(e)
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
|
|
Navient Private Education Refi Loan Trust
|
|
|
$
|
4,786,532
|
Series 2021-EA, Class A, 0.97%, due 12/16/2069
|
$3,996,876
(e)
|
|
|
13,716,259
|
Series 2021-FA, Class A, 1.11%, due 2/18/2070
|
11,316,863
(e)
|
|
|
6,223,456
|
Series 2021-GA, Class A, 1.58%, due 4/15/2070
|
5,229,696
(e)
|
|
|
|
Nissan Auto Lease Trust
|
|
|
|
1,207,793
|
Series 2023-A, Class A2A, 5.10%, due 3/17/2025
|
1,203,488
|
|
|
174,000
|
Series 2023-B, Class A2A, 5.74%, due 8/15/2025
|
173,801
|
|
|
610,000
|
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A2A, 5.34%, due
2/17/2026
|
607,623
|
|
|
|
OCP CLO Ltd.
|
|
|
|
2,000,000
|
Series 2017-13A, Class DR, (3 mo. USD Term SOFR + 6.76%), 12.16%, due
7/15/2030
|
1,872,118
(d)(e)
|
|
|
3,800,000
|
Series 2017-14A, Class C, (3 mo. USD Term SOFR + 2.86%), 8.24%, due
11/20/2030
|
3,671,769
(d)(e)
|
|
|
1,800,000
|
Series 2017-14A, Class D, (3 mo. USD Term SOFR + 6.06%), 11.44%, due
11/20/2030
|
1,655,800
(d)(e)
|
|
|
1,550,000
|
Series 2020-19A, Class ER, (3 mo. USD Term SOFR + 6.76%), 12.18%, due
10/20/2034
|
1,406,641
(d)(e)
|
|
|
1,250,000
|
OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, (3 mo. USD Term SOFR +
3.16%),
8.58%, due 7/2/2035
|
1,205,132
(d)(e)
|
|
|
3,450,000
|
OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. USD Term SOFR +
1.41%),
6.82%, due 10/22/2036
|
3,420,313
(d)(e)
|
|
|
2,500,000
|
OHA Credit Funding 6 Ltd., Series 2020-6A, Class DR, (3 mo. USD Term SOFR +
3.41%),
8.83%, due 7/20/2034
|
2,484,575
(d)(e)
|
|
|
750,000
|
OHA Credit Partners XV Ltd., Series 2017-15A, Class D, (3 mo. USD Term SOFR
+
2.71%), 8.13%, due 1/20/2030
|
713,737
(d)(e)
|
|
|
2,501,000
|
OHA Loan Funding Ltd., Series 2015-1A, Class AR3, (3 mo. USD Term SOFR +
1.41%),
6.81%, due 1/19/2037
|
2,482,308
(d)(e)
|
|
|
7,274,000
|
OneMain Financial Issuance Trust, Series 2022-2A, Class A, 4.89%, due
10/14/2034
|
7,102,929
(e)
|
|
|
|
Palmer Square CLO Ltd.
|
|
|
|
700,000
|
Series 2014-1A, Class DR2, (3 mo. USD Term SOFR + 5.96%), 11.36%, due
1/17/2031
|
648,254
(d)(e)
|
|
|
1,600,000
|
Series 2018-1A, Class D, (3 mo. USD Term SOFR + 5.41%), 10.81%, due
4/18/2031
|
1,469,517
(d)(e)
|
|
|
3,500,000
|
Series 2015-1A, Class DR4, (3 mo. USD Term SOFR + 6.76%), 12.14%, due
5/21/2034
|
3,325,199
(d)(e)
|
|
|
2,000,000
|
Parallel Ltd., Series 2020-1A, Class DR, (3 mo. USD Term SOFR + 6.76%),
12.18%, due
7/20/2034
|
1,800,389
(d)(e)
|
|
|
570,000
|
PFS Financing Corp., Series 2021-A, Class A, 0.71%, due 4/15/2026
|
555,783
(e)
|
|
|
214,876
|
Porsche Financial Auto Securitization Trust, Series 2023-1A, Class A2,
5.42%, due
12/22/2026
|
214,035
(e)
|
|
|
300,000
|
PPM CLO 3 Ltd., Series 2019-3A, Class DR, (3 mo. USD Term SOFR + 3.36%),
8.76%,
due 4/17/2034
|
287,922
(d)(e)
|
|
|
4,855,000
|
Prestige Auto Receivables Trust, Series 2021-1A, Class D, 2.08%, due
2/15/2028
|
4,380,632
(e)
|
|
|
1,000,000
|
Riserva CLO Ltd., Series 2016-3A, Class ERR, (3 mo. USD Term SOFR + 6.76%),
12.16%,
due 1/18/2034
|
906,310
(d)(e)
|
|
|
2,500,000
|
RRX 5 Ltd., Series 2021-5A, Class D, (3 mo. USD Term SOFR + 6.59%), 11.99%,
due
7/15/2034
|
2,305,927
(d)(e)
|
|
|
1,000,000
|
RRX 6 Ltd., Series 2021-6A, Class D, (3 mo. USD Term SOFR + 6.62%), 12.02%,
due
1/15/2037
|
916,386
(d)(e)
|
|
|
|
Sandstone Peak Ltd.
|
|
|
|
1,500,000
|
Series 2021-1A, Class D, (3 mo. USD Term SOFR + 3.81%), 9.21%, due
10/15/2034
|
1,437,102
(d)(e)
|
|
|
1,000,000
|
Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.06%), 12.46%, due
10/15/2034
|
906,438
(d)(e)
|
|
|
|
Santander Retail Auto Lease Trust
|
|
|
|
131,247
|
Series 2021-B, Class A3, 0.51%, due 8/20/2024
|
130,772
(e)
|
|
|
25,270
|
Series 2022-B, Class A2, 2.84%, due 5/20/2025
|
25,143
(e)
|
|
|
222,000
|
SBNA Auto Lease Trust, Series 2023-A, Class A2, 6.27%, due 4/20/2026
|
222,060
(e)
|
|
|
74,121
|
Securitized Asset-Backed Receivables LLC Trust, Series 2004-DO1, Class M1,
(1 mo. USD
Term SOFR + 1.09%), 6.41%, due 7/25/2034
|
77,210
(d)
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
$
|
822,689
|
Series 2019-3A, Class D, 4.18%, due 8/20/2036
|
$774,875
(e)
|
|
|
415,519
|
Series 2021-2A, Class C, 1.95%, due 9/20/2038
|
379,981
(e)
|
|
|
2,034,370
|
Series 2021-2A, Class D, 3.23%, due 9/20/2038
|
1,836,120
(e)
|
|
|
2,302,463
|
Series 2022-1A, Class D, 6.00%, due 10/20/2038
|
2,163,078
(e)
|
|
|
1,344,859
|
Series 2023-1A, Class C, 7.00%, due 1/20/2040
|
1,336,254
(e)
|
|
|
1,435,062
|
Series 2023-2A, Class C, 7.30%, due 4/20/2040
|
1,435,857
(e)
|
|
|
2,411,425
|
Series 2023-2A, Class D, 9.72%, due 4/20/2040
|
2,419,094
(e)
|
|
|
720,000
|
Series 2023-3A, Class C, 7.12%, due 9/20/2040
|
718,725
(e)
|
|
|
3,250,000
|
Signal Peak CLO 7 Ltd., Series 2019-1A, Class D, (3 mo. USD Term SOFR +
4.11%),
9.50%, due 4/30/2032
|
3,122,423
(d)(e)
|
|
|
3,244,462
|
Sixth Street CLO XIX Ltd., Series 2021-19A, Class A, (3 mo. USD Term SOFR +
1.36%),
6.78%, due 7/20/2034
|
3,202,596
(d)(e)
|
|
|
1,597,000
|
SoFi Professional Loan Program LLC, Series 2020-A, Class BFX, 3.12%, due
5/15/2046
|
1,209,929
(e)
|
|
|
11,287,943
|
Taco Bell Funding LLC, Series 2021-1A, Class A2I, 1.95%, due 8/25/2051
|
9,728,231
(e)
|
|
|
187,000
|
Tesla Auto Lease Trust, Series 2023-B, Class A2, 6.02%, due 9/22/2025
|
186,808
(e)
|
|
|
6,900,000
|
Texas Debt Capital CLO Ltd., Series 2023-1A, Class A, (3 mo. USD Term SOFR +
1.80%),
7.22%, due 4/20/2036
|
6,893,422
(d)(e)
|
|
|
1,150,000
|
TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. USD Term SOFR + 6.01%),
11.41%,
due 7/17/2031
|
1,013,895
(d)(e)
|
|
|
1,000,000
|
TICP CLO X Ltd., Series 2018-10A, Class E, (3 mo. USD Term SOFR + 5.76%),
11.18%,
due 4/20/2031
|
927,356
(d)(e)
|
|
|
5,000,000
|
TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. USD Term SOFR + 1.54%),
6.96%,
due 4/20/2033
|
4,989,070
(d)(e)
|
|
|
|
Toyota Auto Receivables Owner Trust
|
|
|
|
36,261
|
Series 2022-B, Class A2A, 2.35%, due 1/15/2025
|
36,141
|
|
|
185,991
|
Series 2023-A, Class A2, 5.05%, due 1/15/2026
|
185,220
|
|
|
234,910
|
Series 2022-D, Class A2A, 5.27%, due 1/15/2026
|
234,171
|
|
|
183,000
|
Series 2023-B, Class A2A, 5.28%, due 5/15/2026
|
182,121
|
|
|
1,300,000
|
TRESTLES CLO II Ltd., Series 2018-2A, Class D, (3 mo. USD Term SOFR +
6.01%),
11.39%, due 7/25/2031
|
1,152,177
(d)(e)
|
|
|
1,200,000
|
TRESTLES CLO Ltd., Series 2017-1A, Class DR, (3 mo. USD Term SOFR + 6.51%),
11.89%, due 4/25/2032
|
1,139,297
(d)(e)
|
|
|
1,500,000
|
Trinitas CLO XVI Ltd., Series 2021-16A, Class D, (3 mo. USD Term SOFR +
3.56%),
8.98%, due 7/20/2034
|
1,414,569
(d)(e)
|
|
|
3,000,000
|
Trinitas CLO XXIII Ltd., Series 2023-23A, Class A, (3 mo. USD Term SOFR +
1.80%),
7.14%, due 10/20/2036
|
2,997,997
(d)(e)
|
|
|
2,500,000
|
Verde CLO Ltd., Series 2019-1A, Class DR, (3 mo. USD Term SOFR + 3.51%),
8.91%,
due 4/15/2032
|
2,400,684
(d)(e)
|
|
|
337,000
|
Verizon Master Trust, Series 2022-7, Class A1B, (30 day USD SOFR Average +
0.85%),
6.17%, due 11/22/2027
|
337,374
(d)
|
|
|
|
Volkswagen Auto Lease Trust
|
|
|
|
42,874
|
Series 2022-A, Class A2, 3.02%, due 10/21/2024
|
42,766
|
|
|
535,000
|
Series 2023-A, Class A2A, 5.87%, due 1/20/2026
|
534,279
|
|
|
250,000
|
Voya CLO Ltd., Series 2018-3A, Class E, (3 mo. USD Term SOFR + 6.01%),
11.41%, due
10/15/2031
|
213,999
(d)(e)
|
|
|
1,500,000
|
Whitebox CLO III Ltd., Series 2021-3A, Class E, (3 mo. USD Term SOFR +
7.11%),
12.51%, due 10/15/2034
|
1,440,745
(d)(e)
|
|
|
|
World Omni Auto Receivables Trust
|
|
|
|
193
|
Series 2022-A, Class A2, 1.15%, due 4/15/2025
|
192
|
|
|
65,448
|
Series 2022-B, Class A2A, 2.77%, due 10/15/2025
|
65,029
|
|
|
468,538
|
Series 2023-A, Class A2A, 5.18%, due 7/15/2026
|
466,310
|
|
|
479,564
|
Series 2023-B, Class A2A, 5.25%, due 11/16/2026
|
477,261
|
Principal Amount(a)
|
Value
|
|||
Asset-Backed Securities – cont'd
|
|
|||
$
|
25,920
|
World Omni Automobile Lease Securitization Trust, Series 2022-A, Class A2,
2.63%, due
10/15/2024
|
$25,888
|
|
Total Asset-Backed Securities (Cost $284,971,504)
|
270,576,496
|
|||
|
||||
Corporate Bonds 28.3%
|
||||
Advertising 0.0%(k)
|
|
|||
|
520,000
|
Summer BC Bidco B LLC, 5.50%, due 10/31/2026
|
452,842
(e)
|
|
EUR
|
475,000
|
Summer BC Holdco B SARL, 5.75%, due 10/31/2026
|
453,477
(j)
|
|
|
|
|
906,319
|
|
Aerospace & Defense 0.9%
|
|
|||
$
|
12,395,000
|
Boeing Co., 5.81%, due 5/1/2050
|
10,670,864
(l)
|
|
|
|
L3Harris Technologies, Inc.
|
|
|
|
1,905,000
|
5.40%, due 1/15/2027
|
1,870,874
|
|
|
3,810,000
|
5.40%, due 7/31/2033
|
3,560,167
|
|
|
3,055,000
|
5.60%, due 7/31/2053
|
2,699,627
|
|
|
4,475,000
|
Lockheed Martin Corp., 5.70%, due 11/15/2054
|
4,190,666
|
|
GBP
|
1,000,000
|
Rolls-Royce PLC, 5.75%, due 10/15/2027
|
1,146,180
(j)
|
|
|
|
TransDigm, Inc.
|
|
|
$
|
790,000
|
6.25%, due 3/15/2026
|
771,403
(e)
|
|
|
880,000
|
7.50%, due 3/15/2027
|
878,923
|
|
|
2,195,000
|
5.50%, due 11/15/2027
|
2,043,445
|
|
|
1,445,000
|
6.75%, due 8/15/2028
|
1,403,071
(e)
|
|
|
365,000
|
4.63%, due 1/15/2029
|
314,718
|
|
|
|
|
29,549,938
|
|
Agriculture 0.3%
|
|
|||
|
1,015,000
|
MHP SE, 7.75%, due 5/10/2024
|
933,800
(e)
|
|
|
10,830,000
|
Philip Morris International, Inc., 5.38%, due 2/15/2033
|
10,005,804
|
|
|
|
|
10,939,604
|
|
Airlines 0.5%
|
|
|||
|
895,000
|
American Airlines, Inc., 7.25%, due 2/15/2028
|
832,191
(e)
|
|
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
|
|
|
|
2,970,833
|
5.50%, due 4/20/2026
|
2,888,983
(e)
|
|
|
3,630,000
|
5.75%, due 4/20/2029
|
3,274,459
(e)
|
|
|
|
Deutsche Lufthansa AG
|
|
|
EUR
|
1,100,000
|
3.00%, due 5/29/2026
|
1,102,536
(j)
|
|
EUR
|
500,000
|
3.75%, due 2/11/2028
|
491,752
(j)
|
|
EUR
|
900,000
|
International Consolidated Airlines Group SA, 3.75%, due 3/25/2029
|
838,484
(j)
|
|
|
|
Latam Airlines Group SA
|
|
|
$
|
845,000
|
13.38%, due 10/15/2027
|
903,809
(e)
|
|
|
730,000
|
13.38%, due 10/15/2029
|
786,762
(e)
|
|
|
1,715,000
|
United Airlines, Inc., 4.38%, due 4/15/2026
|
1,590,859
(e)
|
|
|
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc.
|
|
|
|
1,820,000
|
7.88%, due 5/1/2027
|
1,399,725
(e)
|
|
|
785,000
|
9.50%, due 6/1/2028
|
601,445
(e)
|
|
|
1,495,000
|
6.38%, due 2/1/2030
|
997,004
(e)
|
|
|
|
|
15,708,009
|
|
Apparel 0.0%(k)
|
|
|||
EUR
|
455,000
|
BK LC Lux Finco1 SARL, 5.25%, due 4/30/2029
|
453,254
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Apparel – cont'd
|
|
|||
EUR
|
247,000
|
PrestigeBidCo GmbH, (3 mo. EUR EURIBOR + 6.00%), 9.97%, due 7/15/2027
|
$262,004
(d)(j)
|
|
|
|
|
715,258
|
|
Auto Manufacturers 0.6%
|
|
|||
|
|
Ford Motor Co.
|
|
|
$
|
935,000
|
9.63%, due 4/22/2030
|
1,042,579
|
|
|
715,000
|
3.25%, due 2/12/2032
|
539,646
|
|
|
1,470,000
|
4.75%, due 1/15/2043
|
1,021,109
|
|
|
3,185,000
|
5.29%, due 12/8/2046
|
2,313,915
|
|
|
|
Ford Motor Credit Co. LLC
|
|
|
|
740,000
|
3.38%, due 11/13/2025
|
690,570
|
|
|
170,000
|
4.39%, due 1/8/2026
|
161,143
|
|
|
1,690,000
|
6.95%, due 3/6/2026
|
1,692,917
|
|
|
1,270,000
|
6.95%, due 6/10/2026
|
1,273,175
|
|
EUR
|
1,670,000
|
4.87%, due 8/3/2027
|
1,759,365
|
|
$
|
925,000
|
7.35%, due 11/4/2027
|
936,260
|
|
|
400,000
|
6.80%, due 5/12/2028
|
398,857
|
|
|
685,000
|
2.90%, due 2/10/2029
|
560,166
|
|
|
845,000
|
7.20%, due 6/10/2030
|
844,425
|
|
|
|
General Motors Financial Co., Inc.
|
|
|
|
415,000
|
1.05%, due 3/8/2024
|
407,627
|
|
|
500,000
|
1.20%, due 10/15/2024
|
476,213
|
|
|
200,000
|
Hyundai Capital America, 5.50%, due 3/30/2026
|
196,733
(e)
|
|
|
|
Jaguar Land Rover Automotive PLC
|
|
|
|
1,170,000
|
7.75%, due 10/15/2025
|
1,170,787
(e)
|
|
EUR
|
1,100,000
|
4.50%, due 7/15/2028
|
1,057,738
(j)
|
|
|
|
Toyota Motor Credit Corp.
|
|
|
$
|
755,000
|
(Secured Overnight Financing Rate Index + 0.65%), 5.99%, due 12/29/2023
|
755,470
(d)
|
|
|
500,000
|
(Secured Overnight Financing Rate + 0.62%), 5.96%, due 3/22/2024
|
500,210
(d)
|
|
|
1,055,000
|
Volkswagen Group of America Finance LLC, (Secured Overnight Financing Rate +
0.95%), 6.29%, due 6/7/2024
|
1,056,990
(d)(e)
|
|
|
|
|
18,855,895
|
|
Auto Parts & Equipment 0.4%
|
|
|||
EUR
|
1,795,000
|
Clarios Global LP/Clarios U.S. Finance Co., 4.38%, due 5/15/2026
|
1,816,234
(j)
|
|
EUR
|
628,000
|
Dana Financing Luxembourg SARL, 8.50%, due 7/15/2031
|
677,255
(j)
|
|
|
|
Forvia SE
|
|
|
EUR
|
300,000
|
2.63%, due 6/15/2025
|
306,012
(j)
|
|
EUR
|
300,000
|
3.13%, due 6/15/2026
|
298,384
(j)
|
|
EUR
|
380,000
|
2.38%, due 6/15/2027
|
357,890
(j)
|
|
EUR
|
180,000
|
3.75%, due 6/15/2028
|
173,070
(j)
|
|
|
|
Goodyear Tire & Rubber Co.
|
|
|
$
|
925,000
|
5.00%, due 5/31/2026
|
874,872
|
|
|
2,265,000
|
5.00%, due 7/15/2029
|
1,947,952
|
|
|
|
IHO Verwaltungs GmbH
|
|
|
EUR
|
250,000
|
3.75% Cash/4.50% PIK, due 9/15/2026
|
248,428
(j)(m)
|
|
EUR
|
1,070,000
|
3.88% Cash/4.63% PIK, due 5/15/2027
|
1,018,950
(j)(m)
|
|
EUR
|
1,500,000
|
Schaeffler AG, 3.38%, due 10/12/2028
|
1,437,485
(j)
|
|
EUR
|
597,000
|
TI Automotive Finance PLC, 3.75%, due 4/15/2029
|
524,305
(j)
|
|
EUR
|
600,000
|
Valeo SE, 5.38%, due 5/28/2027
|
629,222
(j)
|
|
EUR
|
1,500,000
|
ZF Europe Finance BV, 3.00%, due 10/23/2029
|
1,328,861
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Auto Parts & Equipment – cont'd
|
|
|||
$
|
2,055,000
|
ZF North America Capital, Inc., 6.88%, due 4/14/2028
|
$1,991,393
(e)
|
|
|
|
|
13,630,313
|
|
Banks 6.1%
|
|
|||
|
5,800,000
|
ABN AMRO Bank NV, 3.32%, due 3/13/2037
|
4,129,894
(e)(n)
|
|
EUR
|
300,000
|
AMCO - Asset Management Co. SpA, 0.75%, due 4/20/2028
|
263,753
(j)
|
|
$
|
1,600,000
|
Banco Bilbao Vizcaya Argentaria SA, 6.50%, due 3/5/2025
|
1,507,389
(n)(o)
|
|
|
|
Banco Bradesco SA
|
|
|
|
200,000
|
3.20%, due 1/27/2025
|
191,715
(e)
|
|
|
256,000
|
4.38%, due 3/18/2027
|
241,336
(e)
|
|
|
200,000
|
Banco de Bogota SA, 6.25%, due 5/12/2026
|
188,665
(j)
|
|
|
90,000
|
Banco de Credito del Peru SA, 2.70%, due 1/11/2025
|
86,199
(e)
|
|
|
1,900,000
|
Banco do Brasil SA, 6.25%, due 4/15/2024
|
1,821,006
(j)(n)(o)
|
|
|
200,000
|
Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa,
4.13%, due
6/6/2024
|
196,617
(j)
|
|
|
150,000
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero
Santand,
5.38%, due 4/17/2025
|
147,269
(e)
|
|
|
|
Banco Santander SA
|
|
|
|
2,600,000
|
7.50%, due 2/8/2024
|
2,519,327
(j)(n)(o)
|
|
|
5,200,000
|
5.15%, due 8/18/2025
|
5,065,471
|
|
|
211,000
|
Banco Votorantim SA, 4.50%, due 9/24/2024
|
206,537
(e)
|
|
|
200,000
|
Bangkok Bank PCL, 4.30%, due 6/15/2027
|
189,419
(e)
|
|
|
200,000
|
Bank Negara Indonesia Persero Tbk. PT, 3.75%, due 3/30/2026
|
183,990
(j)
|
|
|
|
Bank of America Corp.
|
|
|
|
508,000
|
4.30%, due 1/28/2025
|
456,450
(n)(o)
|
|
|
2,900,000
|
6.10%, due 3/17/2025
|
2,796,104
(n)(o)
|
|
|
1,450,000
|
(Secured Overnight Financing Rate + 1.10%), 6.45%, due 4/25/2025
|
1,452,040
(d)
|
|
|
3,265,000
|
4.38%, due 1/27/2027
|
2,635,185
(n)(o)
|
|
|
6,735,000
|
4.95%, due 7/22/2028
|
6,400,545
(n)
|
|
|
7,380,000
|
2.97%, due 2/4/2033
|
5,656,282
(n)
|
|
|
|
Bank of New York Mellon Corp.
|
|
|
|
260,000
|
(Secured Overnight Financing Rate + 0.20%), 5.55%, due 10/25/2024
|
258,832
(d)
|
|
|
495,000
|
3.70%, due 3/20/2026
|
425,826
(n)(o)
|
|
|
6,675,000
|
3.75%, due 12/20/2026
|
5,166,491
(n)(o)
|
|
EUR
|
100,000
|
Bank of New Zealand, 2.55%, due 6/29/2027
|
101,262
(j)
|
|
EUR
|
200,000
|
Banque Federative du Credit Mutuel SA, (10 yr. EURIBOR ICE Swap + 0.10%, Cap
8.00%, Floor 0.00%), 3.21%, due 2/25/2024
|
164,111
(d)(o)
|
|
EUR
|
140,000
|
Barclays Bank PLC, (3 mo. EUR EURIBOR + 0.71%), 4.56%, due 12/15/2023
|
131,112
(d)(j)(o)
|
|
|
|
Barclays PLC
|
|
|
$
|
3,550,000
|
4.38%, due 3/15/2028
|
2,426,314
(n)(o)
|
|
|
2,065,000
|
8.00%, due 3/15/2029
|
1,826,493
(n)(o)
|
|
|
200,000
|
BBK BSC, 5.50%, due 7/9/2024
|
196,386
(j)
|
|
|
|
BNP Paribas SA
|
|
|
|
4,840,000
|
4.63%, due 1/12/2027
|
3,816,603
(e)(n)(o)
|
|
|
690,000
|
9.25%, due 11/17/2027
|
701,377
(e)(n)(o)
|
|
|
655,000
|
4.50%, due 2/25/2030
|
444,730
(e)(n)(o)
|
|
|
1,965,000
|
4.63%, due 2/25/2031
|
1,362,675
(e)(n)(o)
|
|
|
3,200,000
|
BPCE SA, 3.65%, due 1/14/2037
|
2,387,847
(e)(n)
|
|
EUR
|
200,000
|
Cie de Financement Foncier SA, 2.00%, due 5/7/2024
|
209,477
(j)
|
|
$
|
535,000
|
Citibank NA, 3.65%, due 1/23/2024
|
532,149
|
Principal Amount(a)
|
Value
|
|||
|
||||
Banks – cont'd
|
|
|||
|
|
Citigroup, Inc.
|
|
|
$
|
675,000
|
5.00%, due 9/12/2024
|
$638,828
(n)(o)
|
|
|
440,000
|
4.70%, due 1/30/2025
|
393,426
(n)(o)
|
|
|
343,000
|
(Secured Overnight Financing Rate + 1.37%), 6.71%, due 5/24/2025
|
343,897
(d)
|
|
|
245,000
|
4.00%, due 12/10/2025
|
210,353
(n)(o)
|
|
|
520,000
|
(Secured Overnight Financing Rate + 1.53%), 6.87%, due 3/17/2026
|
521,952
(d)
|
|
|
3,140,000
|
4.15%, due 11/15/2026
|
2,444,850
(n)(o)
|
|
|
3,020,000
|
7.38%, due 5/15/2028
|
2,880,414
(n)(o)
|
|
|
|
Citizens Financial Group, Inc.
|
|
|
|
2,400,000
|
(3 mo. USD Term SOFR + 3.26%), 8.69%, due 1/6/2024
|
2,039,579
(d)(o)
|
|
|
1,203,000
|
6.38%, due 4/6/2024
|
978,222
(n)(o)
|
|
|
800,000
|
Commerzbank AG, 7.00%, due 4/9/2025
|
720,000
(j)(n)(o)
|
|
EUR
|
200,000
|
Commonwealth Bank of Australia, 0.75%, due 2/28/2028
|
187,026
(j)
|
|
$
|
200,000
|
DBS Group Holdings Ltd., 5.48%, due 9/12/2025
|
200,139
(e)
|
|
|
200,000
|
Development Bank of Kazakhstan JSC, 5.75%, due 5/12/2025
|
198,200
(e)
|
|
EUR
|
200,000
|
Dexia Credit Local SA, 0.63%, due 1/17/2026
|
198,712
(j)
|
|
$
|
200,000
|
DIB Sukuk Ltd., 2.95%, due 1/16/2026
|
186,900
(j)
|
|
|
200,000
|
Emirates Development Bank PJSC, 3.52%, due 3/6/2024
|
197,456
(j)
|
|
|
2,035,000
|
Emirates NBD Bank PJSC, 6.13%, due 3/20/2025
|
1,984,125
(j)(n)(o)
|
|
EUR
|
200,000
|
Federation des Caisses Desjardins du Quebec, 3.25%, due 4/18/2028
|
207,580
(j)
|
|
$
|
1,793,000
|
Fifth Third Bancorp, (3 mo. USD Term SOFR + 3.29%), 8.69%, due 12/1/2023
|
1,617,062
(d)(o)
|
|
|
|
Goldman Sachs Group, Inc.
|
|
|
|
1,570,000
|
(3 mo. USD Term SOFR + 1.86%), 7.27%, due 11/29/2023
|
1,571,288
(d)
|
|
|
259,000
|
5.50%, due 8/10/2024
|
252,557
(n)(o)
|
|
|
736,000
|
4.95%, due 2/10/2025
|
677,820
(n)(o)
|
|
|
405,000
|
3.80%, due 5/10/2026
|
316,505
(n)(o)
|
|
|
1,060,000
|
3.65%, due 8/10/2026
|
821,448
(n)(o)
|
|
|
1,345,000
|
4.13%, due 11/10/2026
|
1,065,664
(n)(o)
|
|
|
1,400,000
|
Grupo Aval Ltd., 4.38%, due 2/4/2030
|
1,032,882
(e)
|
|
|
200,000
|
Hana Bank, 3.25%, due 3/30/2027
|
184,563
(e)
|
|
|
|
HSBC Holdings PLC
|
|
|
|
1,510,000
|
4.00%, due 3/9/2026
|
1,251,204
(n)(o)
|
|
|
6,980,000
|
6.00%, due 5/22/2027
|
6,079,335
(n)(o)
|
|
|
1,555,000
|
8.00%, due 3/7/2028
|
1,525,844
(n)(o)
|
|
|
1,170,000
|
4.70%, due 3/9/2031
|
840,587
(n)(o)
|
|
|
|
Huntington Bancshares, Inc.
|
|
|
|
1,643,000
|
(3 mo. USD Term SOFR + 3.14%), 8.54%, due 1/15/2024
|
1,377,971
(d)(o)
|
|
|
230,000
|
4.45%, due 10/15/2027
|
171,634
(n)(o)
|
|
|
523,000
|
5.63%, due 7/15/2030
|
406,712
(n)(o)
|
|
|
|
ING Groep NV
|
|
|
|
803,000
|
6.50%, due 4/16/2025
|
751,327
(n)(o)
|
|
|
2,895,000
|
5.75%, due 11/16/2026
|
2,546,283
(n)(o)
|
|
|
4,892,000
|
3.88%, due 5/16/2027
|
3,414,305
(n)(o)
|
|
EUR
|
200,000
|
0.25%, due 2/18/2029
|
176,153
(j)(n)
|
|
|
|
Intesa Sanpaolo SpA
|
|
|
$
|
4,690,000
|
8.25%, due 11/21/2033
|
4,575,569
(e)(n)
|
|
|
2,785,000
|
7.78%, due 6/20/2054
|
2,414,904
(e)(n)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Banks – cont'd
|
|
|||
|
|
JPMorgan Chase & Co.
|
|
|
$
|
441,000
|
(3 mo. USD Term SOFR + 2.84%), 8.22%, due 2/1/2024
|
$440,091
(d)(o)
|
|
|
731,000
|
5.00%, due 8/1/2024
|
707,398
(n)(o)
|
|
|
260,000
|
4.60%, due 2/1/2025
|
242,233
(n)(o)
|
|
|
1,496,000
|
(Secured Overnight Financing Rate + 0.58%), 5.92%, due 6/23/2025
|
1,490,787
(d)
|
|
|
710,000
|
3.65%, due 6/1/2026
|
615,906
(n)(o)
|
|
|
7,500,000
|
2.18%, due 6/1/2028
|
6,519,705
(n)
|
|
|
|
Kreditanstalt fuer Wiederaufbau
|
|
|
EUR
|
224,000
|
0.00%, due 6/15/2026
|
218,102
(j)
|
|
EUR
|
82,000
|
1.25%, due 6/30/2027
|
80,997
(j)
|
|
EUR
|
39,000
|
0.75%, due 1/15/2029
|
36,412
(j)
|
|
EUR
|
124,000
|
0.00%, due 9/15/2031
|
101,620
(j)
|
|
|
|
Lloyds Banking Group PLC
|
|
|
$
|
1,345,000
|
7.50%, due 6/27/2024
|
1,310,799
(n)(o)
|
|
|
1,055,000
|
7.50%, due 9/27/2025
|
978,829
(n)(o)
|
|
|
2,185,000
|
8.00%, due 9/27/2029
|
1,918,664
(n)(o)
|
|
|
|
M&T Bank Corp.
|
|
|
|
665,000
|
5.00%, due 8/1/2024
|
528,675
(n)(o)
|
|
|
3,685,000
|
3.50%, due 9/1/2026
|
2,464,187
(n)(o)
|
|
|
200,000
|
Mashreqbank PSC, 4.25%, due 2/26/2024
|
198,000
(j)
|
|
|
|
Morgan Stanley
|
|
|
|
1,609,000
|
(Secured Overnight Financing Rate + 0.63%), 5.97%, due 1/24/2025
|
1,604,994
(d)
|
|
|
6,270,000
|
5.25%, due 4/21/2034
|
5,649,329
(n)
|
|
|
10,265,000
|
2.48%, due 9/16/2036
|
7,261,611
(n)
|
|
|
3,835,000
|
5.95%, due 1/19/2038
|
3,477,475
(n)
|
|
EUR
|
200,000
|
National Australia Bank Ltd., 2.35%, due 8/30/2029
|
195,733
(j)
|
|
EUR
|
200,000
|
Nationale-Nederlanden Bank NV, 1.00%, due 9/25/2028
|
187,831
(j)
|
|
|
|
NatWest Group PLC
|
|
|
$
|
1,020,000
|
6.00%, due 12/29/2025
|
934,431
(n)(o)
|
|
|
3,215,000
|
4.60%, due 6/28/2031
|
2,073,926
(n)(o)
|
|
|
12,710,000
|
3.03%, due 11/28/2035
|
9,311,555
(n)
|
|
|
3,400,000
|
Nordea Bank Abp, 3.75%, due 3/1/2029
|
2,435,136
(e)(n)(o)
|
|
|
200,000
|
Philippine National Bank, 3.28%, due 9/27/2024
|
193,600
(j)
|
|
|
|
PNC Financial Services Group, Inc.
|
|
|
|
7,168,000
|
3.40%, due 9/15/2026
|
5,157,673
(n)(o)
|
|
|
1,625,000
|
6.25%, due 3/15/2030
|
1,337,376
(n)(o)
|
|
|
1,105,000
|
Royal Bank of Canada, (Secured Overnight Financing Rate Index + 0.44%),
5.78%, due
1/21/2025
|
1,100,291
(d)
|
|
|
3,400,000
|
Skandinaviska Enskilda Banken AB, 5.13%, due 5/13/2025
|
3,204,807
(j)(n)(o)
|
|
|
1,110,000
|
Societe Generale SA, 4.75%, due 5/26/2026
|
889,955
(e)(n)(o)
|
|
|
|
Standard Chartered PLC
|
|
|
|
200,000
|
6.19%, due 7/6/2027
|
198,209
(e)(n)
|
|
|
2,030,000
|
4.30%, due 8/19/2028
|
1,420,535
(e)(n)(o)
|
|
|
1,040,000
|
Truist Bank, (Secured Overnight Financing Rate + 0.20%), 5.54%, due
1/17/2024
|
1,038,325
(d)
|
|
|
|
Truist Financial Corp.
|
|
|
|
405,000
|
4.95%, due 9/1/2025
|
367,310
(n)(o)
|
|
|
355,000
|
5.10%, due 3/1/2030
|
284,313
(n)(o)
|
|
|
5,530,000
|
5.87%, due 6/8/2034
|
5,030,645
(n)
|
|
|
280,000
|
Turkiye Vakiflar Bankasi TAO, 9.00%, due 10/12/2028
|
278,600
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Banks – cont'd
|
|
|||
|
|
U.S. Bancorp
|
|
|
$
|
965,000
|
2.40%, due 7/30/2024
|
$938,038
|
|
|
4,975,000
|
3.70%, due 1/15/2027
|
3,492,625
(n)(o)
|
|
|
|
UBS Group AG
|
|
|
|
3,551,000
|
6.88%, due 8/7/2025
|
3,340,923
(j)(n)(o)
|
|
EUR
|
100,000
|
(3 mo. EUR EURIBOR + 1.00%), 4.97%, due 1/16/2026
|
105,598
(d)(j)
|
|
EUR
|
100,000
|
2.13%, due 10/13/2026
|
100,640
(j)(n)
|
|
$
|
795,000
|
4.88%, due 2/12/2027
|
653,787
(e)(n)(o)
|
|
|
6,895,000
|
4.70%, due 8/5/2027
|
6,568,650
(e)(n)
|
|
|
420,000
|
4.38%, due 2/10/2031
|
291,587
(e)(n)(o)
|
|
|
|
UniCredit SpA
|
|
|
|
299,000
|
8.00%, due 6/3/2024
|
294,515
(j)(n)(o)
|
|
EUR
|
250,000
|
3.88%, due 6/3/2027
|
195,418
(j)(n)(o)
|
|
|
|
Wells Fargo & Co.
|
|
|
$
|
1,375,000
|
3.75%, due 1/24/2024
|
1,367,108
|
|
|
1,410,000
|
3.90%, due 3/15/2026
|
1,221,286
(n)(o)
|
|
|
2,195,000
|
7.63%, due 9/15/2028
|
2,197,847
(n)(o)
|
|
|
|
Westpac Banking Corp.
|
|
|
EUR
|
200,000
|
0.38%, due 4/2/2026
|
195,283
(j)
|
|
$
|
7,110,000
|
3.02%, due 11/18/2036
|
5,114,205
(n)
|
|
|
200,000
|
Yapi ve Kredi Bankasi AS, 9.25%, due 10/16/2028
|
200,936
(e)
|
|
|
|
|
201,854,665
|
|
Beverages 0.4%
|
|
|||
|
7,005,000
|
Constellation Brands, Inc., 2.25%, due 8/1/2031
|
5,323,170
|
|
|
8,160,000
|
Molson Coors Beverage Co., 4.20%, due 7/15/2046
|
5,786,496
|
|
|
725,000
|
PepsiCo, Inc., (Secured Overnight Financing Rate Index + 0.40%), 5.74%, due
2/13/2026
|
728,107
(d)
|
|
|
|
|
11,837,773
|
|
Biotechnology 0.4%
|
|
|||
|
|
Amgen, Inc.
|
|
|
|
875,000
|
3.63%, due 5/22/2024
|
864,066
|
|
|
5,510,000
|
2.77%, due 9/1/2053
|
2,878,696
|
|
|
6,420,000
|
5.75%, due 3/2/2063
|
5,560,487
|
|
|
|
Gilead Sciences, Inc.
|
|
|
|
1,920,000
|
5.25%, due 10/15/2033
|
1,818,761
|
|
|
1,920,000
|
5.55%, due 10/15/2053
|
1,734,363
|
|
|
|
|
12,856,373
|
|
Building Materials 0.4%
|
|
|||
|
|
Builders FirstSource, Inc.
|
|
|
|
680,000
|
4.25%, due 2/1/2032
|
541,183
(e)
|
|
|
677,000
|
6.38%, due 6/15/2032
|
619,638
(e)
|
|
|
1,845,000
|
Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028
|
1,722,732
(e)
|
|
|
3,000,000
|
Cemex SAB de CV, 9.13%, due 3/14/2028
|
3,075,405
(e)(n)(o)
|
|
|
975,000
|
Cornerstone Building Brands, Inc., 6.13%, due 1/15/2029
|
712,824
(e)
|
|
|
730,000
|
Emerald Debt Merger Sub LLC, 6.63%, due 12/15/2030
|
694,412
(e)
|
|
|
1,795,000
|
Jeld-Wen, Inc., 4.88%, due 12/15/2027
|
1,521,520
(e)
|
|
|
1,830,000
|
Masonite International Corp., 3.50%, due 2/15/2030
|
1,449,036
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Building Materials – cont'd
|
|
|||
|
|
Standard Industries, Inc.
|
|
|
$
|
1,655,000
|
4.38%, due 7/15/2030
|
$1,352,172
(e)
|
|
|
1,260,000
|
3.38%, due 1/15/2031
|
953,463
(e)
|
|
|
|
|
12,642,385
|
|
Chemicals 0.6%
|
|
|||
|
1,280,000
|
Avient Corp., 7.13%, due 8/1/2030
|
1,231,477
(e)
|
|
|
1,205,000
|
HB Fuller Co., 4.25%, due 10/15/2028
|
1,043,916
|
|
|
|
INEOS Finance PLC
|
|
|
EUR
|
1,595,000
|
3.38%, due 3/31/2026
|
1,590,259
(j)
|
|
EUR
|
280,000
|
2.88%, due 5/1/2026
|
276,403
(j)
|
|
$
|
2,985,000
|
6.75%, due 5/15/2028
|
2,787,200
(e)
|
|
EUR
|
2,505,000
|
INEOS Quattro Finance 1 PLC, 3.75%, due 7/15/2026
|
2,364,943
(j)
|
|
$
|
2,365,000
|
INEOS Quattro Finance 2 PLC, 3.38%, due 1/15/2026
|
2,258,575
(e)
|
|
EUR
|
815,000
|
Kronos International, Inc., 3.75%, due 9/15/2025
|
776,203
(j)
|
|
EUR
|
300,000
|
Lune Holdings SARL, 5.63%, due 11/15/2028
|
258,258
(j)
|
|
$
|
200,000
|
MEGlobal Canada ULC, 5.00%, due 5/18/2025
|
194,500
(e)
|
|
|
|
Olympus Water U.S. Holding Corp.
|
|
|
EUR
|
525,000
|
3.88%, due 10/1/2028
|
453,955
(j)
|
|
$
|
1,055,000
|
4.25%, due 10/1/2028
|
841,827
(e)
|
|
EUR
|
257,000
|
9.63%, due 11/15/2028
|
269,620
(j)
|
|
$
|
1,575,000
|
9.75%, due 11/15/2028
|
1,538,304
(e)
|
|
|
200,000
|
Orbia Advance Corp. SAB de CV, 1.88%, due 5/11/2026
|
177,824
(j)
|
|
|
200,000
|
Sasol Financing USA LLC, 5.88%, due 3/27/2024
|
198,074
|
|
EUR
|
535,000
|
Synthomer PLC, 3.88%, due 7/1/2025
|
546,211
(j)
|
|
$
|
2,015,000
|
Tronox, Inc., 4.63%, due 3/15/2029
|
1,587,281
(e)
|
|
|
895,000
|
WR Grace Holdings LLC, 5.63%, due 8/15/2029
|
693,625
(e)
|
|
|
|
|
19,088,455
|
|
Commercial Services 0.8%
|
|
|||
|
|
AA Bond Co. Ltd.
|
|
|
GBP
|
335,000
|
6.50%, due 1/31/2026
|
365,920
(e)
|
|
GBP
|
350,000
|
6.50%, due 1/31/2026
|
382,305
(j)
|
|
$
|
1,257,000
|
ADT Security Corp., 4.88%, due 7/15/2032
|
1,051,493
(e)
|
|
|
1,080,000
|
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4
SARL, 4.63%,
due 6/1/2028
|
879,878
(e)
|
|
|
2,285,000
|
APX Group, Inc., 5.75%, due 7/15/2029
|
1,899,666
(e)
|
|
|
1,685,000
|
ASGN, Inc., 4.63%, due 5/15/2028
|
1,492,042
(e)
|
|
EUR
|
630,000
|
Avis Budget Finance PLC, 7.25%, due 7/31/2030
|
650,842
(j)
|
|
GBP
|
721,000
|
BCP V Modular Services Finance II PLC, 6.13%, due 11/30/2028
|
705,392
(j)
|
|
$
|
200,000
|
Bidvest Group U.K. PLC, 3.63%, due 9/23/2026
|
177,500
(e)
|
|
|
200,000
|
CK Hutchison International 23 Ltd., 4.75%, due 4/21/2028
|
191,980
(e)
|
|
|
247,000
|
CMHI Finance BVI Co. Ltd., 4.00%, due 6/1/2027
|
233,763
(j)
|
|
|
595,000
|
Garda World Security Corp., 7.75%, due 2/15/2028
|
572,200
(e)
|
|
|
2,055,000
|
Georgetown University, 2.94%, due 4/1/2050
|
1,202,398
|
|
EUR
|
300,000
|
Global Payments, Inc., 4.88%, due 3/17/2031
|
309,800
|
|
$
|
1,330,000
|
GTCR W-2 Merger Sub LLC, 7.50%, due 1/15/2031
|
1,313,175
(e)
|
|
|
|
Kapla Holding SAS
|
|
|
EUR
|
500,000
|
3.38%, due 12/15/2026
|
467,880
(j)
|
|
EUR
|
300,000
|
(3 mo. EUR EURIBOR + 5.50%), 9.47%, due 7/15/2027
|
319,038
(d)(j)
|
|
$
|
200,000
|
Korea Expressway Corp., 1.13%, due 5/17/2026
|
178,752
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Commercial Services – cont'd
|
|
|||
|
|
Loxam SAS
|
|
|
EUR
|
300,000
|
3.25%, due 1/14/2025
|
$309,867
(j)
|
|
EUR
|
892,000
|
5.75%, due 7/15/2027
|
861,241
(j)
|
|
EUR
|
525,000
|
Multiversity SRL, (3 mo. EUR EURIBOR + 4.25%), 8.20%, due 10/30/2028
|
549,948
(d)(j)
|
|
$
|
1,210,000
|
Neptune Bidco U.S., Inc., 9.29%, due 4/15/2029
|
1,067,884
(e)
|
|
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc.
|
|
|
|
1,089,000
|
5.25%, due 4/15/2024
|
1,082,108
(e)
|
|
|
1,640,000
|
5.75%, due 4/15/2026
|
1,590,977
(e)
|
|
|
1,430,000
|
6.25%, due 1/15/2028
|
1,326,043
(e)
|
|
EUR
|
635,000
|
Q-Park Holding I BV, 1.50%, due 3/1/2025
|
647,537
(j)
|
|
GBP
|
360,000
|
RAC Bond Co. PLC, 5.25%, due 11/4/2027
|
361,042
(j)
|
|
EUR
|
996,131
|
Techem Verwaltungsgesellschaft 674 GmbH, 6.00%, due 7/30/2026
|
1,018,170
(j)
|
|
EUR
|
450,000
|
Techem Verwaltungsgesellschaft 675 GmbH, 2.00%, due 7/15/2025
|
457,446
(j)
|
|
|
|
United Rentals North America, Inc.
|
|
|
$
|
1,500,000
|
5.25%, due 1/15/2030
|
1,369,701
|
|
|
1,155,000
|
3.75%, due 1/15/2032
|
918,350
|
|
|
|
Verisure Holding AB
|
|
|
EUR
|
1,600,000
|
3.88%, due 7/15/2026
|
1,600,356
(j)
|
|
EUR
|
250,000
|
3.25%, due 2/15/2027
|
238,976
(j)
|
|
|
|
|
25,793,670
|
|
Computers 0.2%
|
|
|||
$
|
6,290,000
|
Apple, Inc., 2.85%, due 8/5/2061
|
3,496,587
|
|
|
1,900,000
|
McAfee Corp., 7.38%, due 2/15/2030
|
1,519,953
(e)
|
|
|
|
Presidio Holdings, Inc.
|
|
|
|
1,060,000
|
4.88%, due 2/1/2027
|
971,164
(e)
|
|
|
1,530,000
|
8.25%, due 2/1/2028
|
1,447,875
(e)
|
|
|
|
|
7,435,579
|
|
Cosmetics - Personal Care 0.1%
|
|
|||
|
|
Coty, Inc.
|
|
|
EUR
|
705,000
|
3.88%, due 4/15/2026
|
724,350
(j)
|
|
$
|
1,265,000
|
5.00%, due 4/15/2026
|
1,208,543
(e)
|
|
|
325,000
|
6.50%, due 4/15/2026
|
320,125
(e)
|
|
|
213,000
|
Natura Cosmeticos SA, 4.13%, due 5/3/2028
|
183,414
(e)
|
|
|
|
|
2,436,432
|
|
Distribution - Wholesale 0.1%
|
|
|||
|
|
Ritchie Bros Holdings, Inc.
|
|
|
|
490,000
|
6.75%, due 3/15/2028
|
480,189
(e)
|
|
|
790,000
|
7.75%, due 3/15/2031
|
791,975
(e)
|
|
|
1,000,000
|
Windsor Holdings III LLC, 8.50%, due 6/15/2030
|
973,467
(e)
|
|
|
|
|
2,245,631
|
|
Diversified Financial Services 0.9%
|
|
|||
|
6,700,000
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due
1/30/2032
|
5,187,064
|
|
|
|
Ally Financial, Inc.
|
|
|
|
1,860,000
|
4.70%, due 5/15/2026
|
1,207,323
(n)(o)
|
|
|
3,843,000
|
4.70%, due 5/15/2028
|
2,243,581
(n)(o)
|
|
|
|
American Express Co.
|
|
|
|
1,435,000
|
(Secured Overnight Financing Rate + 0.93%), 6.27%, due 3/4/2025
|
1,437,849
(d)
|
|
|
1,700,000
|
3.55%, due 9/15/2026
|
1,334,500
(n)(o)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Diversified Financial Services – cont'd
|
|
|||
|
|
Banco BTG Pactual SA
|
|
|
$
|
200,000
|
4.50%, due 1/10/2025
|
$194,341
(e)
|
|
|
256,000
|
2.75%, due 1/11/2026
|
235,522
(e)
|
|
EUR
|
200,000
|
BPCE SFH SA, 3.13%, due 1/24/2028
|
207,884
(j)
|
|
EUR
|
200,000
|
Caisse de Refinancement de l'Habitat SA, 3.00%, due 1/11/2030
|
204,405
(j)
|
|
|
|
Capital One Financial Corp.
|
|
|
$
|
1,030,000
|
(Secured Overnight Financing Rate + 0.69%), 6.03%, due 12/6/2024
|
1,017,994
(d)
|
|
|
5,592,000
|
3.95%, due 9/1/2026
|
3,891,922
(n)(o)
|
|
|
|
Charles Schwab Corp.
|
|
|
|
5,557,000
|
4.00%, due 12/1/2030
|
3,792,196
(n)(o)
|
|
|
3,195,000
|
5.85%, due 5/19/2034
|
2,930,372
(n)
|
|
EUR
|
100,000
|
Credit Mutuel Home Loan SFH SA, 2.75%, due 12/8/2027
|
102,609
(j)
|
|
$
|
4,476,000
|
Discover Financial Services, 5.50%, due 10/30/2027
|
2,985,023
(n)(o)
|
|
GBP
|
766,000
|
Encore Capital Group, Inc., 4.25%, due 6/1/2028
|
716,351
(j)
|
|
$
|
150,000
|
Fondo MIVIVIENDA SA, 4.63%, due 4/12/2027
|
141,272
(e)
|
|
EUR
|
600,000
|
Intrum AB, 3.50%, due 7/15/2026
|
502,997
(j)
|
|
|
|
OneMain Finance Corp.
|
|
|
$
|
1,945,000
|
6.88%, due 3/15/2025
|
1,918,926
|
|
|
940,000
|
7.13%, due 3/15/2026
|
912,926
|
|
|
200,000
|
SURA Asset Management SA, 4.88%, due 4/17/2024
|
197,360
(j)
|
|
|
|
|
31,362,417
|
|
Electric 1.7%
|
|
|||
EUR
|
200,000
|
Acquirente Unico SpA, 2.80%, due 2/20/2026
|
202,569
(j)
|
|
$
|
200,000
|
Adani Green Energy Ltd., 4.38%, due 9/8/2024
|
185,917
(e)
|
|
EUR
|
100,000
|
AusNet Services Holdings Pty. Ltd., 1.63%, due 3/11/2081
|
91,275
(j)(n)
|
|
|
|
Calpine Corp.
|
|
|
$
|
455,000
|
5.13%, due 3/15/2028
|
407,194
(e)
|
|
|
2,410,000
|
4.63%, due 2/1/2029
|
2,035,576
(e)
|
|
|
2,711,000
|
5.00%, due 2/1/2031
|
2,186,633
(e)
|
|
|
685,000
|
3.75%, due 3/1/2031
|
545,815
(e)
|
|
|
234,000
|
China Huadian Overseas Development 2018 Ltd., 3.38%, due 6/23/2025
|
223,189
(j)(n)(o)
|
|
|
8,225,000
|
CMS Energy Corp., 3.75%, due 12/1/2050
|
5,921,049
(n)
|
|
|
500,000
|
Comision Federal de Electricidad, 4.69%, due 5/15/2029
|
443,035
(j)
|
|
|
1,930,000
|
Constellation Energy Generation LLC, 6.50%, due 10/1/2053
|
1,812,738
|
|
|
1,350,000
|
Dominion Energy, Inc., 4.35%, due 1/15/2027
|
1,098,428
(n)(o)
|
|
|
5,745,000
|
Edison International, 5.00%, due 12/15/2026
|
5,112,831
(n)(o)
|
|
EUR
|
1,100,000
|
EDP - Energias de Portugal SA, 5.94%, due 4/23/2083
|
1,152,271
(j)(n)
|
|
|
|
Electricite de France SA
|
|
|
EUR
|
1,100,000
|
4.00%, due 7/4/2024
|
1,132,205
(j)(n)(o)
|
|
EUR
|
1,400,000
|
2.63%, due 12/1/2027
|
1,211,070
(j)(n)(o)
|
|
EUR
|
200,000
|
EnBW Energie Baden-Wuerttemberg AG, 1.38%, due 8/31/2081
|
168,235
(j)(n)
|
|
EUR
|
100,000
|
Iberdrola Finanzas SA, 1.58%, due 8/16/2027
|
89,148
(j)(n)(o)
|
|
$
|
990,000
|
Leeward Renewable Energy Operations LLC, 4.25%, due 7/1/2029
|
808,505
(e)
|
|
|
280,000
|
Mississippi Power Co., (Secured Overnight Financing Rate + 0.30%), 5.64%,
due
6/28/2024
|
279,194
(d)
|
|
|
975,000
|
National Rural Utilities Cooperative Finance Corp., (Secured Overnight
Financing Rate +
0.33%), 5.67%, due 10/18/2024
|
973,772
(d)
|
|
|
|
NextEra Energy Capital Holdings, Inc.
|
|
|
|
710,000
|
(Secured Overnight Financing Rate Index + 0.40%), 5.74%, due 11/3/2023
|
710,000
(d)
|
|
|
5,810,000
|
5.75%, due 9/1/2025
|
5,782,687
|
|
GBP
|
340,000
|
NGG Finance PLC, 5.63%, due 6/18/2073
|
395,202
(j)(n)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Electric – cont'd
|
|
|||
|
|
NRG Energy, Inc.
|
|
|
$
|
1,205,000
|
10.25%, due 3/15/2028
|
$1,163,274
(e)(n)(o)
|
|
|
990,000
|
3.38%, due 2/15/2029
|
805,758
(e)
|
|
|
3,465,000
|
3.63%, due 2/15/2031
|
2,614,817
(e)
|
|
|
695,000
|
3.88%, due 2/15/2032
|
516,500
(e)
|
|
|
9,885,000
|
Pacific Gas & Electric Co., 4.30%, due 3/15/2045
|
6,396,405
|
|
|
|
Southern Co.
|
|
|
|
9,180,000
|
4.00%, due 1/15/2051
|
8,375,687
(n)
|
|
EUR
|
320,000
|
1.88%, due 9/15/2081
|
269,154
(n)
|
|
$
|
430,000
|
Talen Energy Supply LLC, 8.63%, due 6/1/2030
|
436,927
(e)
|
|
|
1,770,000
|
Vistra Corp., 7.00%, due 12/15/2026
|
1,610,700
(e)(n)(o)
|
|
|
|
Vistra Operations Co. LLC
|
|
|
|
190,000
|
5.50%, due 9/1/2026
|
180,761
(e)
|
|
|
1,320,000
|
4.38%, due 5/1/2029
|
1,121,201
(e)
|
|
|
1,015,000
|
7.75%, due 10/15/2031
|
979,698
(e)
|
|
|
|
|
57,439,420
|
|
Electrical Components & Equipment 0.0%(k)
|
|
|||
EUR
|
1,628,000
|
Energizer Gamma Acquisition BV, 3.50%, due 6/30/2029
|
1,352,839
(j)
|
|
$
|
0
|
Energizer Holdings, Inc., 4.38%, due 3/31/2029
|
0
(e)
|
|
|
|
|
1,352,839
|
|
Electronics 0.1%
|
|
|||
|
1,180,000
|
Imola Merger Corp., 4.75%, due 5/15/2029
|
1,028,716
(e)
|
|
|
|
Sensata Technologies BV
|
|
|
|
535,000
|
4.00%, due 4/15/2029
|
454,807
(e)
|
|
|
1,030,000
|
5.88%, due 9/1/2030
|
940,733
(e)
|
|
|
|
|
2,424,256
|
|
Energy - Alternate Sources 0.1%
|
|
|||
|
610,000
|
FS Luxembourg SARL, 10.00%, due 12/15/2025
|
622,818
(e)
|
|
|
200,000
|
Greenko Wind Projects Mauritius Ltd., 5.50%, due 4/6/2025
|
189,905
(e)
|
|
|
|
Sunnova Energy Corp.
|
|
|
|
2,475,000
|
5.88%, due 9/1/2026
|
2,004,824
(e)
|
|
|
550,000
|
11.75%, due 10/1/2028
|
469,166
(e)
|
|
|
|
|
3,286,713
|
|
Engineering & Construction 0.0%(k)
|
|
|||
EUR
|
900,000
|
Abertis Infraestructuras Finance BV, 3.25%, due 11/24/2025
|
878,336
(j)(n)(o)
|
|
EUR
|
360,000
|
Assemblin Group AB, (3 mo. EUR EURIBOR + 5.00%), 8.96%, due 7/5/2029
|
374,726
(d)(j)
|
|
$
|
200,000
|
IHS Holding Ltd., 5.63%, due 11/29/2026
|
160,938
(e)
|
|
|
|
|
1,414,000
|
|
Entertainment 0.8%
|
|
|||
EUR
|
985,000
|
Allwyn International AS, 3.88%, due 2/15/2027
|
960,153
(j)
|
|
|
|
Caesars Entertainment, Inc.
|
|
|
$
|
1,055,000
|
6.25%, due 7/1/2025
|
1,038,001
(e)
|
|
|
1,827,000
|
8.13%, due 7/1/2027
|
1,810,327
(e)
|
|
|
1,250,000
|
4.63%, due 10/15/2029
|
1,027,283
(e)
|
|
|
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op
|
|
|
|
985,000
|
5.50%, due 5/1/2025
|
965,412
(e)
|
|
|
1,210,000
|
5.38%, due 4/15/2027
|
1,120,403
|
|
|
2,035,000
|
Churchill Downs, Inc., 6.75%, due 5/1/2031
|
1,877,288
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Entertainment – cont'd
|
|
|||
EUR
|
902,000
|
Cirsa Finance International SARL, 4.75%, due 5/22/2025
|
$936,473
(j)
|
|
GBP
|
515,000
|
CPUK Finance Ltd., 6.50%, due 8/28/2026
|
585,269
(j)
|
|
EUR
|
616,000
|
LHMC Finco 2 SARL, 7.25% Cash/8.00% PIK, due 10/2/2025
|
626,240
(j)(m)
|
|
$
|
1,600,000
|
Light & Wonder International, Inc., 7.25%, due 11/15/2029
|
1,551,632
(e)
|
|
|
|
Live Nation Entertainment, Inc.
|
|
|
|
1,265,000
|
5.63%, due 3/15/2026
|
1,211,480
(e)
|
|
|
1,320,000
|
6.50%, due 5/15/2027
|
1,287,839
(e)
|
|
|
3,825,000
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due
5/1/2029
|
3,184,312
(e)
|
|
EUR
|
495,000
|
Motion Bondco DAC, 4.50%, due 11/15/2027
|
444,978
(j)
|
|
$
|
1,375,000
|
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026
|
1,279,438
(e)
|
|
|
1,090,000
|
SeaWorld Parks & Entertainment, Inc., 5.25%, due 8/15/2029
|
949,423
(e)
|
|
|
7,935,000
|
Warnermedia Holdings, Inc., 5.14%, due 3/15/2052
|
5,614,938
|
|
|
|
|
26,470,889
|
|
Food 0.6%
|
|
|||
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
|
|
|
|
1,975,000
|
5.88%, due 2/15/2028
|
1,891,850
(e)
|
|
|
795,000
|
3.50%, due 3/15/2029
|
677,818
(e)
|
|
|
1,360,000
|
4.88%, due 2/15/2030
|
1,214,229
(e)
|
|
GBP
|
840,000
|
Bellis Acquisition Co. PLC, 3.25%, due 2/16/2026
|
883,832
(j)
|
|
GBP
|
445,000
|
Bellis Finco PLC, 4.00%, due 2/16/2027
|
400,284
(j)
|
|
$
|
200,000
|
Cencosud SA, 4.38%, due 7/17/2027
|
183,261
(j)
|
|
GBP
|
400,000
|
Co.-operative Group Holdings Ltd., 7.50%, due 7/8/2026
|
463,943
(j)(l)
|
|
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
|
|
|
$
|
204,000
|
2.50%, due 1/15/2027
|
179,165
|
|
|
276,000
|
5.13%, due 2/1/2028
|
259,191
|
|
|
410,000
|
Kraft Heinz Foods Co., 3.88%, due 5/15/2027
|
384,359
|
|
|
800,000
|
Minerva Luxembourg SA, 8.88%, due 9/13/2033
|
785,160
(e)
|
|
|
1,265,000
|
Performance Food Group, Inc., 5.50%, due 10/15/2027
|
1,182,869
(e)
|
|
EUR
|
292,000
|
Picard Bondco SA, 5.38%, due 7/1/2027
|
271,895
(j)
|
|
|
|
Pilgrim's Pride Corp.
|
|
|
$
|
1,360,000
|
4.25%, due 4/15/2031
|
1,120,314
|
|
|
1,905,000
|
3.50%, due 3/1/2032
|
1,451,229
|
|
|
835,000
|
6.25%, due 7/1/2033
|
767,362
|
|
|
775,000
|
6.88%, due 5/15/2034
|
733,303
|
|
EUR
|
290,000
|
Sigma Holdco BV, 5.75%, due 5/15/2026
|
252,566
(j)
|
|
|
|
Sysco Corp.
|
|
|
$
|
4,228,000
|
6.60%, due 4/1/2050
|
4,171,178
(l)
|
|
|
3,415,000
|
3.15%, due 12/14/2051
|
1,974,630
|
|
|
|
U.S. Foods, Inc.
|
|
|
|
520,000
|
6.88%, due 9/15/2028
|
508,229
(e)
|
|
|
615,000
|
7.25%, due 1/15/2032
|
603,707
(e)
|
|
|
|
|
20,360,374
|
|
Food Service 0.1%
|
|
|||
EUR
|
1,170,000
|
Aramark International Finance SARL, 3.13%, due 4/1/2025
|
1,208,531
(j)
|
|
$
|
900,000
|
Aramark Services, Inc., 5.00%, due 2/1/2028
|
825,434
(e)
|
|
|
|
|
2,033,965
|
|
Forest Products & Paper 0.0%(k)
|
|
|||
EUR
|
400,000
|
Sappi Papier Holding GmbH, 3.63%, due 3/15/2028
|
375,860
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Forest Products & Paper – cont'd
|
|
|||
EUR
|
617,000
|
WEPA Hygieneprodukte GmbH, 2.88%, due 12/15/2027
|
$561,449
(j)
|
|
|
|
|
937,309
|
|
Gas 0.0%(k)
|
|
|||
$
|
200,000
|
Beijing Gas Singapore Capital Corp., 1.88%, due 1/18/2025
|
190,623
(j)
|
|
GBP
|
695,000
|
Centrica PLC, 5.25%, due 4/10/2075
|
807,780
(j)(n)
|
|
|
|
|
998,403
|
|
Healthcare - Products 0.1%
|
|
|||
EUR
|
455,000
|
Avantor Funding, Inc., 3.88%, due 7/15/2028
|
438,852
(j)
|
|
$
|
1,090,000
|
Baxter International, Inc., (Secured Overnight Financing Rate Index +
0.44%), 5.78%,
due 11/29/2024
|
1,083,047
(d)
|
|
|
|
Medline Borrower LP
|
|
|
|
3,095,000
|
3.88%, due 4/1/2029
|
2,613,312
(e)
|
|
|
745,000
|
5.25%, due 10/1/2029
|
634,160
(e)
|
|
|
|
|
4,769,371
|
|
Healthcare - Services 0.6%
|
|
|||
|
2,125,000
|
Ascension Health, 3.11%, due 11/15/2039
|
1,476,080
|
|
|
|
CHS/Community Health Systems, Inc.
|
|
|
|
680,000
|
5.63%, due 3/15/2027
|
552,455
(e)
|
|
|
634,000
|
8.00%, due 12/15/2027
|
537,740
(e)
|
|
|
980,000
|
5.25%, due 5/15/2030
|
695,951
(e)
|
|
|
1,210,000
|
4.75%, due 2/15/2031
|
810,996
(e)
|
|
|
2,055,000
|
CommonSpirit Health, 4.19%, due 10/1/2049
|
1,434,401
|
|
|
1,055,000
|
Encompass Health Corp., 4.75%, due 2/1/2030
|
911,703
|
|
|
3,100,000
|
HCA, Inc., 5.50%, due 6/1/2033
|
2,828,185
|
|
|
|
Molina Healthcare, Inc.
|
|
|
|
1,035,000
|
3.88%, due 11/15/2030
|
844,166
(e)
|
|
|
1,630,000
|
3.88%, due 5/15/2032
|
1,280,788
(e)
|
|
|
2,125,000
|
Mount Sinai Hospital, 3.74%, due 7/1/2049
|
1,408,540
|
|
|
|
Roche Holdings, Inc.
|
|
|
|
945,000
|
(Secured Overnight Financing Rate + 0.56%), 5.90%, due 3/10/2025
|
946,633
(d)(e)
|
|
|
5,885,000
|
2.61%, due 12/13/2051
|
3,262,627
(e)
|
|
|
|
Tenet Healthcare Corp.
|
|
|
|
965,000
|
6.13%, due 10/1/2028
|
895,037
|
|
|
1,460,000
|
6.13%, due 6/15/2030
|
1,351,260
|
|
|
740,000
|
6.75%, due 5/15/2031
|
702,729
(e)
|
|
|
|
|
19,939,291
|
|
Holding Companies - Diversified 0.0%(k)
|
|
|||
|
|
Benteler International AG
|
|
|
EUR
|
498,000
|
9.38%, due 5/15/2028
|
531,504
(j)
|
|
$
|
965,000
|
10.50%, due 5/15/2028
|
971,981
(e)
|
|
|
|
|
1,503,485
|
|
Home Builders 0.1%
|
|
|||
|
|
KB Home
|
|
|
|
1,200,000
|
7.25%, due 7/15/2030
|
1,152,000
|
|
|
560,000
|
4.00%, due 6/15/2031
|
437,251
|
|
GBP
|
469,000
|
Maison Finco PLC, 6.00%, due 10/31/2027
|
455,835
(j)
|
|
$
|
1,600,000
|
Shea Homes LP/Shea Homes Funding Corp., 4.75%, due 2/15/2028
|
1,406,211
|
|
|
|
|
3,451,297
|
Principal Amount(a)
|
Value
|
|||
|
||||
Insurance 0.7%
|
|
|||
$
|
200,000
|
AIA Group Ltd., 5.63%, due 10/25/2027
|
$199,857
(e)
|
|
|
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer
|
|
|
|
1,515,000
|
6.75%, due 10/15/2027
|
1,383,589
(e)
|
|
|
1,450,000
|
6.75%, due 4/15/2028
|
1,377,856
(e)
|
|
|
540,000
|
AmWINS Group, Inc., 4.88%, due 6/30/2029
|
462,263
(e)
|
|
|
|
AssuredPartners, Inc.
|
|
|
|
1,895,000
|
7.00%, due 8/15/2025
|
1,858,790
(e)
|
|
|
945,000
|
5.63%, due 1/15/2029
|
801,672
(e)
|
|
EUR
|
210,000
|
Athene Global Funding, 0.83%, due 1/8/2027
|
196,127
(j)
|
|
$
|
3,210,000
|
Corebridge Financial, Inc., 4.35%, due 4/5/2042
|
2,327,429
|
|
|
600,000
|
Corebridge Global Funding, 0.65%, due 6/17/2024
|
581,041
(e)
|
|
|
870,000
|
GTCR AP Finance, Inc., 8.00%, due 5/15/2027
|
847,124
(e)
|
|
|
|
HUB International Ltd.
|
|
|
|
945,000
|
7.00%, due 5/1/2026
|
919,874
(e)
|
|
|
3,730,000
|
7.25%, due 6/15/2030
|
3,638,466
(e)
|
|
|
2,305,000
|
Liberty Mutual Group, Inc., 4.13%, due 12/15/2051
|
1,829,963
(e)(n)
|
|
|
|
Protective Life Global Funding
|
|
|
|
290,000
|
(Secured Overnight Financing Rate + 1.05%), 6.39%, due 12/11/2024
|
290,783
(d)(e)
|
|
|
516,000
|
(Secured Overnight Financing Rate + 0.98%), 6.32%, due 3/28/2025
|
517,823
(d)(e)
|
|
|
1,550,000
|
Prudential Financial, Inc., 5.13%, due 3/1/2052
|
1,317,874
(n)
|
|
|
3,440,000
|
Travelers Cos., Inc., 5.45%, due 5/25/2053
|
3,090,499
|
|
|
|
|
21,641,030
|
|
Internet 0.2%
|
|
|||
|
2,615,000
|
EquipmentShare.com, Inc., 9.00%, due 5/15/2028
|
2,458,100
(e)
|
|
|
825,000
|
Newfold Digital Holdings Group, Inc., 6.00%, due 2/15/2029
|
542,065
(e)
|
|
|
|
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
|
|
|
|
1,335,000
|
4.75%, due 4/30/2027
|
1,191,487
(e)
|
|
|
1,220,000
|
6.00%, due 2/15/2028
|
1,006,500
(e)
|
|
EUR
|
600,000
|
United Group BV, 4.63%, due 8/15/2028
|
530,288
(j)
|
|
$
|
1,030,000
|
Ziff Davis, Inc., 4.63%, due 10/15/2030
|
862,335
(e)
|
|
|
|
|
6,590,775
|
|
Investment Companies 0.0%(k)
|
|
|||
|
255,000
|
CNCBINV 1 BVI Ltd., 1.75%, due 11/17/2024
|
243,540
(j)
|
|
|
200,000
|
Grupo de Inversiones Suramericana SA, 5.50%, due 4/29/2026
|
187,367
(j)
|
|
|
200,000
|
Huarong Finance 2019 Co. Ltd., 3.25%, due 11/13/2024
|
189,000
(j)
|
|
|
|
|
619,907
|
|
Iron - Steel 0.2%
|
|
|||
|
|
Carpenter Technology Corp.
|
|
|
|
149,000
|
6.38%, due 7/15/2028
|
141,727
|
|
|
1,025,000
|
7.63%, due 3/15/2030
|
1,011,880
|
|
|
|
CSN Inova Ventures
|
|
|
|
200,000
|
6.75%, due 1/28/2028
|
182,934
(j)
|
|
|
3,010,000
|
6.75%, due 1/28/2028
|
2,753,155
(e)
|
|
|
|
Metinvest BV
|
|
|
|
425,000
|
7.65%, due 10/1/2027
|
267,750
(e)
|
|
|
2,140,000
|
7.75%, due 10/17/2029
|
1,267,950
(e)
|
|
|
1,070,000
|
Periama Holdings LLC, 5.95%, due 4/19/2026
|
1,003,880
(j)
|
|
|
200,000
|
POSCO, 4.38%, due 8/4/2025
|
194,474
(e)
|
|
|
|
|
6,823,750
|
Principal Amount(a)
|
Value
|
|||
|
||||
Leisure Time 0.3%
|
|
|||
|
|
Carnival Corp.
|
|
|
$
|
1,365,000
|
7.63%, due 3/1/2026
|
$1,327,316
(e)
|
|
|
1,465,000
|
9.88%, due 8/1/2027
|
1,526,970
(e)
|
|
|
645,000
|
4.00%, due 8/1/2028
|
561,034
(e)
|
|
|
415,000
|
7.00%, due 8/15/2029
|
406,924
(e)
|
|
|
1,015,000
|
Carnival Holdings Bermuda Ltd., 10.38%, due 5/1/2028
|
1,082,207
(e)
|
|
|
978,000
|
NCL Corp. Ltd., 5.88%, due 2/15/2027
|
900,219
(e)
|
|
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
1,615,000
|
5.50%, due 8/31/2026
|
1,524,043
(e)
|
|
|
1,395,000
|
5.50%, due 4/1/2028
|
1,272,033
(e)
|
|
|
505,000
|
8.25%, due 1/15/2029
|
517,686
(e)
|
|
|
|
|
9,118,432
|
|
Lodging 0.2%
|
|
|||
|
2,120,000
|
Melco Resorts Finance Ltd., 5.63%, due 7/17/2027
|
1,843,641
(e)
|
|
|
200,000
|
Studio City Finance Ltd., 6.00%, due 7/15/2025
|
188,500
(j)
|
|
GBP
|
548,000
|
TVL Finance PLC, 10.25%, due 4/28/2028
|
658,073
(j)
|
|
$
|
1,700,000
|
Wyndham Hotels & Resorts, Inc., 4.38%, due 8/15/2028
|
1,500,335
(e)
|
|
|
|
Wynn Macau Ltd.
|
|
|
|
1,565,000
|
5.50%, due 1/15/2026
|
1,453,659
(e)
|
|
|
200,000
|
5.50%, due 1/15/2026
|
185,771
(j)
|
|
|
|
|
5,829,979
|
|
Machinery - Construction & Mining 0.1%
|
|
|||
|
|
Caterpillar Financial Services Corp.
|
|
|
|
185,000
|
(Secured Overnight Financing Rate + 0.25%), 5.59%, due 5/17/2024
|
184,974
(d)
|
|
|
1,089,000
|
(Secured Overnight Financing Rate + 0.27%), 5.61%, due 9/13/2024
|
1,088,739
(d)
|
|
|
825,000
|
Manitowoc Co., Inc., 9.00%, due 4/1/2026
|
808,670
(e)
|
|
|
1,620,000
|
Terex Corp., 5.00%, due 5/15/2029
|
1,418,062
(e)
|
|
|
|
|
3,500,445
|
|
Machinery - Diversified 0.2%
|
|
|||
|
|
Chart Industries, Inc.
|
|
|
|
1,565,000
|
7.50%, due 1/1/2030
|
1,536,807
(e)
|
|
|
790,000
|
9.50%, due 1/1/2031
|
813,672
(e)
|
|
|
|
Ingersoll Rand, Inc.
|
|
|
|
585,000
|
5.40%, due 8/14/2028
|
570,018
|
|
|
870,000
|
5.70%, due 8/14/2033
|
822,038
|
|
|
|
John Deere Capital Corp.
|
|
|
|
436,000
|
(Secured Overnight Financing Rate + 0.20%), 5.55%, due 10/11/2024
|
436,021
(d)
|
|
|
138,000
|
(Secured Overnight Financing Rate + 0.56%), 5.90%, due 3/7/2025
|
138,325
(d)
|
|
|
1,265,000
|
SPX FLOW, Inc., 8.75%, due 4/1/2030
|
1,159,765
(e)
|
|
|
|
TK Elevator Midco GmbH
|
|
|
EUR
|
650,000
|
4.38%, due 7/15/2027
|
621,298
(j)
|
|
EUR
|
200,000
|
(3 mo. EUR EURIBOR + 4.75%), 8.72%, due 7/15/2027
|
210,922
(d)(j)
|
|
|
|
|
6,308,866
|
|
Media 1.5%
|
|
|||
EUR
|
900,000
|
Altice Financing SA, 4.25%, due 8/15/2029
|
749,260
(j)
|
|
EUR
|
280,000
|
Altice Finco SA, 4.75%, due 1/15/2028
|
219,210
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Media – cont'd
|
|
|||
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|
|
$
|
775,000
|
5.00%, due 2/1/2028
|
$695,901
(e)
|
|
|
980,000
|
4.75%, due 3/1/2030
|
808,424
(e)
|
|
|
1,130,000
|
4.25%, due 2/1/2031
|
879,364
(e)
|
|
|
2,570,000
|
4.75%, due 2/1/2032
|
2,006,039
(e)
|
|
|
680,000
|
4.50%, due 5/1/2032
|
520,538
|
|
|
700,000
|
4.50%, due 6/1/2033
|
522,176
(e)
|
|
|
1,315,000
|
4.25%, due 1/15/2034
|
949,828
(e)
|
|
|
|
Charter Communications Operating LLC/Charter Communications Operating
Capital
|
|
|
|
9,020,000
|
4.80%, due 3/1/2050
|
5,945,905
|
|
|
5,420,000
|
3.90%, due 6/1/2052
|
3,059,314
|
|
|
19,110,000
|
Comcast Corp., 2.94%, due 11/1/2056
|
10,124,463
|
|
|
|
CSC Holdings LLC
|
|
|
|
1,040,000
|
5.25%, due 6/1/2024
|
972,424
|
|
|
1,485,000
|
7.50%, due 4/1/2028
|
951,778
(e)
|
|
|
1,160,000
|
6.50%, due 2/1/2029
|
917,202
(e)
|
|
|
1,990,000
|
5.75%, due 1/15/2030
|
1,041,107
(e)
|
|
|
1,620,000
|
4.13%, due 12/1/2030
|
1,085,339
(e)
|
|
|
1,455,000
|
4.63%, due 12/1/2030
|
737,862
(e)
|
|
|
7,695,000
|
Discovery Communications LLC, 4.65%, due 5/15/2050
|
5,061,676
|
|
|
1,475,000
|
DISH DBS Corp., 5.13%, due 6/1/2029
|
759,625
|
|
|
|
McGraw-Hill Education, Inc.
|
|
|
|
730,000
|
5.75%, due 8/1/2028
|
615,244
(e)
|
|
|
1,160,000
|
8.00%, due 8/1/2029
|
955,794
(e)
|
|
|
7,300,000
|
Paramount Global, 4.20%, due 5/19/2032
|
5,636,258
|
|
|
965,000
|
Sirius XM Radio, Inc., 4.00%, due 7/15/2028
|
820,667
(e)
|
|
|
|
Virgin Media Secured Finance PLC
|
|
|
GBP
|
358,000
|
5.00%, due 4/15/2027
|
403,015
(j)
|
|
$
|
1,505,000
|
5.50%, due 5/15/2029
|
1,332,673
(e)
|
|
GBP
|
2,310,000
|
Virgin Media Vendor Financing Notes III DAC, 4.88%, due 7/15/2028
|
2,347,771
(j)
|
|
EUR
|
1,387,000
|
Ziggo Bond Co. BV, 3.38%, due 2/28/2030
|
1,079,441
(j)
|
|
|
|
|
51,198,298
|
|
Mining 0.4%
|
|
|||
$
|
200,000
|
Chinalco Capital Holdings Ltd., 2.13%, due 6/3/2026
|
182,272
(j)
|
|
|
3,025,000
|
Corp. Nacional del Cobre de Chile, 3.15%, due 1/14/2030
|
2,493,786
(e)
|
|
|
200,000
|
Endeavour Mining PLC, 5.00%, due 10/14/2026
|
175,856
(e)
|
|
|
|
First Quantum Minerals Ltd.
|
|
|
|
236,000
|
7.50%, due 4/1/2025
|
221,342
(e)
|
|
|
990,000
|
6.88%, due 3/1/2026
|
869,532
(e)
|
|
|
815,000
|
8.63%, due 6/1/2031
|
687,943
(e)
|
|
|
|
FMG Resources August 2006 Pty. Ltd.
|
|
|
|
990,000
|
4.50%, due 9/15/2027
|
891,406
(e)
|
|
|
915,000
|
6.13%, due 4/15/2032
|
807,606
(e)
|
|
|
|
Hudbay Minerals, Inc.
|
|
|
|
3,580,000
|
4.50%, due 4/1/2026
|
3,331,957
(e)
|
|
|
540,000
|
6.13%, due 4/1/2029
|
483,196
(e)
|
|
|
2,410,000
|
Novelis Corp., 3.88%, due 8/15/2031
|
1,882,210
(e)
|
|
|
214,000
|
Stillwater Mining Co., 4.00%, due 11/16/2026
|
184,040
(e)
|
|
|
442,000
|
Volcan Cia Minera SAA, 4.38%, due 2/11/2026
|
212,216
(e)
|
|
|
|
|
12,423,362
|
Principal Amount(a)
|
Value
|
|||
|
||||
Miscellaneous Manufacturer 0.1%
|
|
|||
EUR
|
405,000
|
Ctec II GmbH, 5.25%, due 2/15/2030
|
$346,252
(j)
|
|
$
|
1,387,000
|
Siemens Financieringsmaatschappij NV, (Secured Overnight Financing Rate +
0.43%),
5.77%, due 3/11/2024
|
1,387,430
(d)(e)
|
|
|
|
|
1,733,682
|
|
Multi-National 0.0%(k)
|
|
|||
|
200,000
|
Africa Finance Corp., 3.88%, due 4/13/2024
|
197,000
(j)
|
|
|
200,000
|
African Export-Import Bank, 2.63%, due 5/17/2026
|
178,000
(j)
|
|
|
200,000
|
Banque Ouest Africaine de Developpement, 5.00%, due 7/27/2027
|
177,459
(j)
|
|
|
200,000
|
Central American Bank for Economic Integration, 5.00%, due 2/9/2026
|
196,501
(e)
|
|
|
|
Corp. Andina de Fomento
|
|
|
|
287,000
|
2.25%, due 2/8/2027
|
254,586
|
|
|
94,000
|
6.00%, due 4/26/2027
|
94,292
|
|
|
|
|
1,097,838
|
|
Office - Business Equipment 0.0%(k)
|
|
|||
|
1,210,000
|
CDW LLC/CDW Finance Corp., 3.57%, due 12/1/2031
|
970,252
|
|
Oil & Gas 1.2%
|
|
|||
|
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
|
|
|
|
865,000
|
7.00%, due 11/1/2026
|
835,321
(e)
|
|
|
2,165,000
|
8.25%, due 12/31/2028
|
2,149,776
(e)
|
|
|
1,190,000
|
5.88%, due 6/30/2029
|
1,051,253
(e)
|
|
|
10,165,000
|
BP Capital Markets PLC, 4.88%, due 3/22/2030
|
8,848,836
(n)(o)
|
|
|
|
Callon Petroleum Co.
|
|
|
|
945,000
|
8.00%, due 8/1/2028
|
933,817
(e)
|
|
|
595,000
|
7.50%, due 6/15/2030
|
576,295
(e)
|
|
|
|
Civitas Resources, Inc.
|
|
|
|
825,000
|
8.38%, due 7/1/2028
|
830,083
(e)
|
|
|
1,860,000
|
8.63%, due 11/1/2030
|
1,893,156
(e)
|
|
|
965,000
|
8.75%, due 7/1/2031
|
973,942
(e)
|
|
|
|
Comstock Resources, Inc.
|
|
|
|
2,792,000
|
6.75%, due 3/1/2029
|
2,540,782
(e)
|
|
|
625,000
|
5.88%, due 1/15/2030
|
534,381
(e)
|
|
|
|
Ecopetrol SA
|
|
|
|
200,000
|
4.13%, due 1/16/2025
|
193,106
|
|
|
800,000
|
8.88%, due 1/13/2033
|
768,321
|
|
|
1,215,000
|
5.88%, due 5/28/2045
|
792,313
|
|
|
200,000
|
Geopark Ltd., 5.50%, due 1/17/2027
|
168,057
(j)
|
|
|
1,345,000
|
KazMunayGas National Co. JSC, 5.75%, due 4/19/2047
|
996,672
(e)
|
|
|
420,000
|
Korea National Oil Corp., 1.75%, due 4/18/2025
|
396,233
(e)
|
|
|
106,000
|
Leviathan Bond Ltd., 6.13%, due 6/30/2025
|
98,135
(j)
|
|
|
1,215,000
|
Medco Bell Pte. Ltd., 6.38%, due 1/30/2027
|
1,137,869
(e)
|
|
|
855,000
|
Nabors Industries, Inc., 7.38%, due 5/15/2027
|
794,902
(e)
|
|
|
1,160,000
|
Northern Oil & Gas, Inc., 8.13%, due 3/1/2028
|
1,145,535
(e)
|
|
|
1,250,000
|
Permian Resources Operating LLC, 7.00%, due 1/15/2032
|
1,211,741
(e)
|
|
|
955,000
|
Pertamina Persero PT, 6.45%, due 5/30/2044
|
879,843
(e)
|
|
|
200,000
|
Petrobras Global Finance BV, 6.00%, due 1/27/2028
|
197,323
|
|
|
|
Petroleos Mexicanos
|
|
|
|
14,000
|
6.49%, due 1/23/2027
|
12,399
|
|
|
287,000
|
6.50%, due 3/13/2027
|
253,163
|
|
|
1,875,000
|
6.35%, due 2/12/2048
|
1,034,012
|
|
|
4,480,000
|
7.69%, due 1/23/2050
|
2,766,754
|
Principal Amount(a)
|
Value
|
|||
|
||||
Oil & Gas – cont'd
|
|
|||
$
|
600,000
|
QatarEnergy, 1.38%, due 9/12/2026
|
$530,442
(j)
|
|
EUR
|
520,000
|
Repsol International Finance BV, 4.25%, due 9/11/2028
|
501,677
(j)(n)(o)
|
|
$
|
925,000
|
Rockcliff Energy II LLC, 5.50%, due 10/15/2029
|
834,890
(e)
|
|
|
200,000
|
SEPLAT Energy PLC, 7.75%, due 4/1/2026
|
167,400
(j)
|
|
|
940,000
|
Shell International Finance BV, (3 mo. USD Term SOFR + 0.66%), 6.03%, due
11/13/2023
|
940,124
(d)
|
|
|
|
Sinopec Group Overseas Development 2018 Ltd.
|
|
|
|
200,000
|
2.15%, due 5/13/2025
|
189,468
(e)
|
|
|
200,000
|
1.45%, due 1/8/2026
|
183,446
(e)
|
|
|
214,000
|
Tengizchevroil Finance Co. International Ltd., 2.63%, due 8/15/2025
|
192,266
(e)
|
|
|
183,000
|
Tullow Oil PLC, 10.25%, due 5/15/2026
|
157,197
(e)
|
|
|
580,000
|
Valaris Ltd., 8.38%, due 4/30/2030
|
569,125
(e)
|
|
EUR
|
700,000
|
Wintershall Dea Finance 2 BV, 3.00%, due 7/20/2028
|
596,121
(j)(n)(o)
|
|
|
|
|
38,876,176
|
|
Packaging & Containers 0.6%
|
|
|||
$
|
1,395,000
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC,
6.00%,
due 6/15/2027
|
1,318,301
(e)
|
|
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
|
|
|
|
1,555,000
|
4.13%, due 8/15/2026
|
1,372,287
(e)
|
|
GBP
|
695,000
|
4.75%, due 7/15/2027
|
591,315
(j)
|
|
$
|
1,175,000
|
5.25%, due 8/15/2027
|
854,083
(e)
|
|
|
|
Ball Corp.
|
|
|
|
2,770,000
|
2.88%, due 8/15/2030
|
2,160,745
|
|
|
685,000
|
3.13%, due 9/15/2031
|
530,278
|
|
|
1,730,000
|
Berry Global, Inc., 5.63%, due 7/15/2027
|
1,651,332
(e)
|
|
EUR
|
403,000
|
Canpack SA/Canpack U.S. LLC, 2.38%, due 11/1/2027
|
356,781
(j)
|
|
EUR
|
650,000
|
Fiber Bidco Spa, (3 mo. EUR EURIBOR + 6.00%), 9.96%, due 10/25/2027
|
692,923
(d)(j)
|
|
EUR
|
400,000
|
Guala Closures SpA, 3.25%, due 6/15/2028
|
363,723
(j)
|
|
EUR
|
225,000
|
Kleopatra Holdings 2 SCA, 6.50%, due 9/1/2026
|
135,820
(j)
|
|
|
|
Mauser Packaging Solutions Holding Co.
|
|
|
$
|
2,725,000
|
7.88%, due 8/15/2026
|
2,552,287
(e)
|
|
|
1,365,000
|
9.25%, due 4/15/2027
|
1,136,785
(e)
|
|
|
1,600,000
|
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc.,
4.38%, due
10/15/2028
|
1,361,005
(e)
|
|
|
110,000
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC,
4.00%, due
10/15/2027
|
95,967
(e)
|
|
|
1,415,000
|
Sealed Air Corp., 5.00%, due 4/15/2029
|
1,254,871
(e)
|
|
|
|
Trivium Packaging Finance BV
|
|
|
|
1,100,000
|
5.50%, due 8/15/2026
|
997,132
(e)
|
|
|
1,255,000
|
8.50%, due 8/15/2027
|
1,047,187
(e)
|
|
|
|
|
18,472,822
|
|
Pharmaceuticals 0.7%
|
|
|||
|
880,000
|
AbbVie, Inc., 3.85%, due 6/15/2024
|
868,096
|
|
EUR
|
800,000
|
Bayer AG, 5.38%, due 3/25/2082
|
772,413
(j)(n)
|
|
EUR
|
895,000
|
Cheplapharm Arzneimittel GmbH, 4.38%, due 1/15/2028
|
860,249
(j)
|
|
$
|
11,740,000
|
CVS Health Corp., 5.05%, due 3/25/2048
|
9,228,635
|
|
|
|
Gruenenthal GmbH
|
|
|
EUR
|
720,000
|
3.63%, due 11/15/2026
|
720,839
(j)
|
|
EUR
|
125,000
|
4.13%, due 5/15/2028
|
121,622
(j)
|
|
$
|
5,985,000
|
Merck & Co., Inc., 2.90%, due 12/10/2061
|
3,218,305
|
|
EUR
|
852,000
|
Nidda Healthcare Holding GmbH, 7.50%, due 8/21/2026
|
901,625
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Pharmaceuticals – cont'd
|
|
|||
$
|
5,025,000
|
Pfizer Investment Enterprises Pte. Ltd., 5.34%, due 5/19/2063
|
$4,304,704
|
|
|
|
Teva Pharmaceutical Finance Netherlands II BV
|
|
|
EUR
|
250,000
|
1.88%, due 3/31/2027
|
226,445
(j)
|
|
EUR
|
2,515,000
|
1.63%, due 10/15/2028
|
2,074,291
(j)
|
|
|
|
|
23,297,224
|
|
Pipelines 1.3%
|
|
|||
|
|
Buckeye Partners LP
|
|
|
$
|
500,000
|
5.85%, due 11/15/2043
|
353,340
|
|
|
1,540,000
|
5.60%, due 10/15/2044
|
1,033,725
|
|
|
2,225,000
|
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, due 6/15/2031
|
1,935,195
(e)
|
|
|
|
DT Midstream, Inc.
|
|
|
|
2,105,000
|
4.13%, due 6/15/2029
|
1,809,898
(e)
|
|
|
745,000
|
4.38%, due 6/15/2031
|
618,693
(e)
|
|
|
510,000
|
Enbridge, Inc., (Secured Overnight Financing Rate Index + 0.63%), 5.97%, due
2/16/2024
|
510,335
(d)
|
|
|
|
Enterprise Products Operating LLC
|
|
|
|
1,425,000
|
3.90%, due 2/15/2024
|
1,417,031
|
|
|
8,160,000
|
4.20%, due 1/31/2050
|
5,976,781
|
|
|
|
EQM Midstream Partners LP
|
|
|
|
685,000
|
6.00%, due 7/1/2025
|
669,884
(e)
|
|
|
535,000
|
7.50%, due 6/1/2027
|
529,853
(e)
|
|
|
720,000
|
6.50%, due 7/1/2027
|
699,843
(e)
|
|
|
800,000
|
5.50%, due 7/15/2028
|
746,609
|
|
|
805,000
|
4.50%, due 1/15/2029
|
705,917
(e)
|
|
|
595,000
|
7.50%, due 6/1/2030
|
583,776
(e)
|
|
|
840,000
|
4.75%, due 1/15/2031
|
707,282
(e)
|
|
|
|
Genesis Energy LP/Genesis Energy Finance Corp.
|
|
|
|
705,000
|
6.50%, due 10/1/2025
|
688,745
|
|
|
980,000
|
6.25%, due 5/15/2026
|
933,980
|
|
|
930,000
|
7.75%, due 2/1/2028
|
875,701
|
|
|
1,940,000
|
Harvest Midstream I LP, 7.50%, due 9/1/2028
|
1,838,253
(e)
|
|
|
2,495,000
|
ITT Holdings LLC, 6.50%, due 8/1/2029
|
2,086,444
(e)
|
|
|
|
Kinder Morgan, Inc.
|
|
|
|
568,000
|
5.63%, due 11/15/2023
|
567,798
(e)
|
|
|
3,740,000
|
5.55%, due 6/1/2045
|
3,078,482
|
|
|
965,000
|
Kinetik Holdings LP, 5.88%, due 6/15/2030
|
885,435
(e)
|
|
|
|
New Fortress Energy, Inc.
|
|
|
|
1,230,000
|
6.75%, due 9/15/2025
|
1,141,113
(e)
|
|
|
2,695,000
|
6.50%, due 9/30/2026
|
2,413,903
(e)
|
|
|
600,000
|
Southern Gas Corridor CJSC, 6.88%, due 3/24/2026
|
591,060
(j)
|
|
|
1,870,000
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 9.00%, due
10/15/2026
|
1,795,200
(e)
|
|
|
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
|
|
|
|
725,000
|
7.50%, due 10/1/2025
|
714,234
(e)
|
|
|
3,080,000
|
5.50%, due 1/15/2028
|
2,698,236
(e)
|
|
|
2,025,000
|
6.00%, due 12/31/2030
|
1,704,713
(e)
|
|
|
570,000
|
6.00%, due 9/1/2031
|
479,638
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Pipelines – cont'd
|
|
|||
|
|
Venture Global LNG, Inc.
|
|
|
$
|
805,000
|
9.50%, due 2/1/2029
|
$817,832
(e)
|
|
|
825,000
|
8.38%, due 6/1/2031
|
787,260
(e)
|
|
|
540,000
|
9.88%, due 2/1/2032
|
547,554
(e)
|
|
|
|
|
42,943,743
|
|
Real Estate 0.1%
|
|
|||
EUR
|
200,000
|
Aroundtown SA, 0.38%, due 4/15/2027
|
160,560
(j)
|
|
$
|
1,305,000
|
Country Garden Holdings Co. Ltd., 4.80%, due 8/6/2030
|
48,507
(j)
|
|
EUR
|
1,000,000
|
Emeria SASU, 3.38%, due 3/31/2028
|
840,362
(j)
|
|
EUR
|
250,000
|
Flamingo Lux II SCA, 5.00%, due 3/31/2029
|
181,099
(j)
|
|
|
|
Grand City Properties SA
|
|
|
EUR
|
100,000
|
5.90%, due 10/24/2024
|
60,576
(j)(n)(o)
|
|
EUR
|
100,000
|
1.50%, due 3/11/2026
|
47,195
(j)(n)(o)
|
|
|
|
Heimstaden Bostad AB
|
|
|
EUR
|
300,000
|
3.38%, due 1/15/2026
|
144,888
(j)(n)(o)
|
|
EUR
|
800,000
|
3.00%, due 10/29/2027
|
339,862
(j)(n)(o)
|
|
EUR
|
700,000
|
Heimstaden Bostad Treasury BV, 1.63%, due 10/13/2031
|
437,844
(j)
|
|
$
|
200,000
|
Longfor Group Holdings Ltd., 4.50%, due 1/16/2028
|
82,480
(j)
|
|
|
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
|
|
|
|
1,141,000
|
5.75%, due 1/15/2029
|
719,050
(e)
|
|
|
2,490,000
|
5.25%, due 4/15/2030
|
1,550,364
(e)
|
|
EUR
|
120,000
|
Samhallsbyggnadsbolaget i Norden AB, 2.63%, due 12/14/2025
|
20,316
(j)(n)(o)
|
|
|
|
|
4,633,103
|
|
Real Estate Investment Trusts 0.4%
|
|
|||
EUR
|
219,000
|
Digital Dutch Finco BV, 1.25%, due 2/1/2031
|
175,836
(j)
|
|
$
|
650,000
|
Iron Mountain Information Management Services, Inc., 5.00%, due 7/15/2032
|
531,867
(e)
|
|
|
|
Iron Mountain, Inc.
|
|
|
|
990,000
|
4.88%, due 9/15/2027
|
904,986
(e)
|
|
|
1,245,000
|
5.25%, due 3/15/2028
|
1,138,729
(e)
|
|
|
1,990,000
|
5.63%, due 7/15/2032
|
1,700,006
(e)
|
|
|
|
MPT Operating Partnership LP/MPT Finance Corp.
|
|
|
|
795,000
|
5.25%, due 8/1/2026
|
684,505
|
|
|
700,000
|
5.00%, due 10/15/2027
|
540,433
|
|
|
1,060,000
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance
Co.-Issuer, 5.88%,
due 10/1/2028
|
954,212
(e)
|
|
|
|
RHP Hotel Properties LP/RHP Finance Corp.
|
|
|
|
1,465,000
|
4.75%, due 10/15/2027
|
1,331,099
|
|
|
605,000
|
4.50%, due 2/15/2029
|
514,970
(e)
|
|
|
|
RLJ Lodging Trust LP
|
|
|
|
1,460,000
|
3.75%, due 7/1/2026
|
1,313,936
(e)
|
|
|
580,000
|
4.00%, due 9/15/2029
|
472,700
(e)
|
|
|
|
Simon Property Group LP
|
|
|
|
745,000
|
3.75%, due 2/1/2024
|
740,536
|
|
|
275,000
|
2.00%, due 9/13/2024
|
265,544
|
|
|
|
Trust Fibra Uno
|
|
|
|
200,000
|
5.25%, due 12/15/2024
|
196,186
(j)
|
|
|
200,000
|
5.25%, due 1/30/2026
|
190,450
(e)
|
|
EUR
|
200,000
|
Unibail-Rodamco-Westfield SE, 7.25%, due 7/3/2028
|
185,493
(j)(n)(o)
|
|
$
|
835,000
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, due
2/15/2028
|
804,067
(e)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Real Estate Investment Trusts – cont'd
|
|
|||
|
|
XHR LP
|
|
|
$
|
1,145,000
|
6.38%, due 8/15/2025
|
$1,110,649
(e)
|
|
|
850,000
|
4.88%, due 6/1/2029
|
719,159
(e)
|
|
|
|
|
14,475,363
|
|
Retail 0.6%
|
|
|||
|
|
1011778 BC ULC/New Red Finance, Inc.
|
|
|
|
1,410,000
|
3.88%, due 1/15/2028
|
1,258,844
(e)
|
|
|
870,000
|
4.38%, due 1/15/2028
|
783,332
(e)
|
|
|
1,025,000
|
4.00%, due 10/15/2030
|
839,498
(e)
|
|
EUR
|
610,000
|
Afflelou SAS, 4.25%, due 5/19/2026
|
605,043
(j)
|
|
$
|
215,000
|
Alsea SAB de CV, 7.75%, due 12/14/2026
|
213,467
(e)
|
|
GBP
|
468,000
|
B&M European Value Retail SA, 3.63%, due 7/15/2025
|
546,785
(j)
|
|
|
|
Bath & Body Works, Inc.
|
|
|
$
|
1,345,000
|
6.63%, due 10/1/2030
|
1,245,195
(e)
|
|
|
1,270,000
|
6.75%, due 7/1/2036
|
1,095,467
|
|
|
1,405,000
|
Beacon Roofing Supply, Inc., 4.50%, due 11/15/2026
|
1,309,291
(e)
|
|
EUR
|
900,000
|
CECONOMY AG, 1.75%, due 6/24/2026
|
723,270
(j)
|
|
GBP
|
280,000
|
Constellation Automotive Financing PLC, 4.88%, due 7/15/2027
|
262,788
(j)
|
|
EUR
|
460,000
|
Douglas GmbH, 6.00%, due 4/8/2026
|
462,623
(j)
|
|
|
|
Dufry One BV
|
|
|
EUR
|
300,000
|
2.00%, due 2/15/2027
|
279,408
(j)
|
|
EUR
|
863,000
|
3.38%, due 4/15/2028
|
808,147
(j)
|
|
EUR
|
739,821
|
eG Global Finance PLC, 4.38%, due 2/7/2025
|
762,256
(j)
|
|
|
|
Macy's Retail Holdings LLC
|
|
|
$
|
1,310,000
|
5.88%, due 3/15/2030
|
1,108,244
(e)
|
|
|
1,370,000
|
4.50%, due 12/15/2034
|
917,900
|
|
|
305,000
|
5.13%, due 1/15/2042
|
187,849
|
|
EUR
|
622,000
|
Maxeda DIY Holding BV, 5.88%, due 10/1/2026
|
470,440
(j)
|
|
|
|
PetSmart, Inc./PetSmart Finance Corp.
|
|
|
$
|
1,040,000
|
4.75%, due 2/15/2028
|
920,274
(e)
|
|
|
1,155,000
|
7.75%, due 2/15/2029
|
1,063,342
(e)
|
|
EUR
|
653,000
|
PEU Fin PLC, 7.25%, due 7/1/2028
|
660,818
(j)
|
|
$
|
570,000
|
SRS Distribution, Inc., 6.13%, due 7/1/2029
|
477,375
(e)
|
|
|
890,000
|
White Cap Parent LLC, 8.25% Cash/9.00% PIK, due 3/15/2026
|
835,212
(e)(m)
|
|
|
2,750,000
|
Yum! Brands, Inc., 5.38%, due 4/1/2032
|
2,472,001
|
|
|
|
|
20,308,869
|
|
Semiconductors 0.1%
|
|
|||
|
|
Analog Devices, Inc.
|
|
|
|
964,000
|
(Secured Overnight Financing Rate Index + 0.25%), 5.59%, due 10/1/2024
|
963,595
(d)
|
|
|
1,950,000
|
2.95%, due 10/1/2051
|
1,142,488
|
|
EUR
|
400,000
|
Infineon Technologies AG, 2.88%, due 1/1/2025
|
404,724
(j)(n)(o)
|
|
|
|
SK Hynix, Inc.
|
|
|
$
|
200,000
|
6.25%, due 1/17/2026
|
199,267
(e)
|
|
|
200,000
|
6.38%, due 1/17/2028
|
197,779
(e)
|
|
|
|
|
2,907,853
|
|
Software 0.6%
|
|
|||
|
1,190,000
|
AthenaHealth Group, Inc., 6.50%, due 2/15/2030
|
972,522
(e)
|
|
|
1,915,000
|
Intuit, Inc., 5.50%, due 9/15/2053
|
1,742,080
|
Principal Amount(a)
|
Value
|
|||
|
||||
Software – cont'd
|
|
|||
|
|
Oracle Corp.
|
|
|
$
|
1,360,000
|
3.40%, due 7/8/2024
|
$1,336,659
|
|
|
9,755,000
|
4.00%, due 11/15/2047
|
6,485,500
|
|
|
6,975,000
|
3.95%, due 3/25/2051
|
4,527,742
|
|
|
5,420,000
|
5.55%, due 2/6/2053
|
4,502,895
|
|
|
|
|
19,567,398
|
|
Telecommunications 1.8%
|
|
|||
|
|
Altice France Holding SA
|
|
|
EUR
|
394,000
|
4.00%, due 2/15/2028
|
182,825
(j)
|
|
$
|
2,205,000
|
6.00%, due 2/15/2028
|
967,015
(e)
|
|
|
|
Altice France SA
|
|
|
EUR
|
100,000
|
3.38%, due 1/15/2028
|
76,073
(j)
|
|
$
|
2,740,000
|
5.50%, due 1/15/2028
|
2,035,895
(e)
|
|
EUR
|
1,355,000
|
4.13%, due 1/15/2029
|
1,024,515
(j)
|
|
|
|
AT&T, Inc.
|
|
|
$
|
1,448,000
|
0.90%, due 3/25/2024
|
1,418,922
|
|
EUR
|
250,000
|
3.95%, due 4/30/2031
|
257,111
|
|
$
|
8,880,000
|
3.50%, due 9/15/2053
|
5,228,983
|
|
GBP
|
620,000
|
British Telecommunications PLC, 8.38%, due 12/20/2083
|
748,477
(j)(n)
|
|
$
|
920,000
|
C&W Senior Financing DAC, 6.88%, due 9/15/2027
|
791,016
(e)
|
|
|
1,305,000
|
CommScope Technologies LLC, 5.00%, due 3/15/2027
|
480,279
(e)
|
|
|
|
CommScope, Inc.
|
|
|
|
895,000
|
8.25%, due 3/1/2027
|
371,425
(e)
|
|
|
1,465,000
|
4.75%, due 9/1/2029
|
999,863
(e)
|
|
EUR
|
809,000
|
eircom Finance DAC, 3.50%, due 5/15/2026
|
796,492
(j)
|
|
|
|
Frontier Communications Holdings LLC
|
|
|
$
|
930,000
|
5.88%, due 10/15/2027
|
847,851
(e)
|
|
|
970,000
|
5.00%, due 5/1/2028
|
837,489
(e)
|
|
|
1,160,000
|
5.88%, due 11/1/2029
|
871,877
|
|
|
885,000
|
8.75%, due 5/15/2030
|
843,186
(e)
|
|
|
|
Iliad Holding SASU
|
|
|
|
555,000
|
6.50%, due 10/15/2026
|
518,621
(e)
|
|
EUR
|
1,299,000
|
5.63%, due 10/15/2028
|
1,294,883
(j)
|
|
$
|
495,000
|
7.00%, due 10/15/2028
|
447,951
(e)
|
|
EUR
|
785,000
|
Koninklijke KPN NV, 6.00%, due 9/21/2027
|
837,644
(j)(n)(o)
|
|
|
|
Level 3 Financing, Inc.
|
|
|
$
|
535,000
|
3.40%, due 3/1/2027
|
495,347
(e)
|
|
|
1,120,000
|
4.63%, due 9/15/2027
|
744,800
(e)
|
|
|
1,120,000
|
3.63%, due 1/15/2029
|
571,978
(e)
|
|
|
585,000
|
3.75%, due 7/15/2029
|
297,423
(e)
|
|
|
750,000
|
10.50%, due 5/15/2030
|
750,588
(e)
|
|
EUR
|
2,340,000
|
Lorca Telecom Bondco SA, 4.00%, due 9/18/2027
|
2,295,103
(j)
|
|
$
|
2,240,000
|
Oztel Holdings SPC Ltd., 6.63%, due 4/24/2028
|
2,229,642
(e)
|
|
EUR
|
860,000
|
PLT VII Finance SARL, 4.63%, due 1/5/2026
|
876,592
(j)
|
|
$
|
2,867,000
|
Rogers Communications, Inc., 3.80%, due 3/15/2032
|
2,325,000
|
|
EUR
|
1,000,000
|
SES SA, 2.88%, due 5/27/2026
|
926,557
(j)(n)(o)
|
|
EUR
|
110,000
|
SoftBank Group Corp., 5.00%, due 4/15/2028
|
105,566
(j)
|
|
|
|
Telecom Italia SpA
|
|
|
EUR
|
800,000
|
3.00%, due 9/30/2025
|
796,598
(j)
|
|
EUR
|
700,000
|
6.88%, due 2/15/2028
|
734,673
(j)
|
|
EUR
|
500,000
|
7.88%, due 7/31/2028
|
540,023
(j)
|
Principal Amount(a)
|
Value
|
|||
|
||||
Telecommunications – cont'd
|
|
|||
|
|
Telefonica Europe BV
|
|
|
EUR
|
1,500,000
|
7.13%, due 8/23/2028
|
$1,619,290
(j)(n)(o)
|
|
EUR
|
500,000
|
2.88%, due 6/24/2027
|
461,596
(j)(n)(o)
|
|
|
|
T-Mobile USA, Inc.
|
|
|
$
|
4,505,000
|
4.50%, due 4/15/2050
|
3,286,585
|
|
|
8,955,000
|
3.40%, due 10/15/2052
|
5,299,625
|
|
|
|
Verizon Communications, Inc.
|
|
|
|
2,000,000
|
2.36%, due 3/15/2032
|
1,495,501
|
|
|
6,315,000
|
2.99%, due 10/30/2056
|
3,322,583
|
|
|
250,000
|
VF Ukraine PAT via VFU Funding PLC, 6.20%, due 2/11/2025
|
183,945
(j)
|
|
|
|
Vodafone Group PLC
|
|
|
|
9,495,000
|
4.88%, due 6/19/2049
|
7,182,273
|
|
GBP
|
577,000
|
4.88%, due 10/3/2078
|
662,742
(j)(n)
|
|
EUR
|
500,000
|
Wp/ap Telecom Holdings III BV, 5.50%, due 1/15/2030
|
441,297
(j)
|
|
|
|
|
59,523,720
|
|
Transportation 0.0%(k)
|
|
|||
GBP
|
769,000
|
Mobico Group PLC, 4.25%, due 11/26/2025
|
779,056
(j)(n)(o)
|
|
$
|
668,269
|
MV24 Capital BV, 6.75%, due 6/1/2034
|
580,691
(e)
|
|
|
|
|
1,359,747
|
|
Trucking & Leasing 0.0%(k)
|
|
|||
|
1,027,000
|
AerCap Global Aviation Trust, 6.50%, due 6/15/2045
|
1,007,473
(e)(n)
|
|
Water 0.1%
|
|
|||
|
1,360,000
|
Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026
|
1,297,372
(e)
|
|
EUR
|
250,000
|
Thames Water Utilities Finance PLC, 4.38%, due 1/18/2031
|
237,089
(j)
|
|
EUR
|
200,000
|
Veolia Environnement SA, 2.50%, due 1/20/2029
|
172,834
(j)(n)(o)
|
|
|
|
|
1,707,295
|
|
Total Corporate Bonds (Cost $1,105,932,805)
|
941,177,730
|
|||
|
||||
Loan Assignments(d) 0.0%(k)
|
||||
Telecommunications 0.0%(k)
|
|
|||
|
|
GTT Communications, Inc.
|
|
|
$
|
235,406
|
Term Loan, (1 mo. USD Term SOFR + 7.10%), 12.43%, due 12/30/2027
|
202,449
|
|
|
189,117
|
Term Loan, (3 mo. USD Term SOFR + 9.10%), 14.49%, due 6/30/2028
|
111,579
|
|
|
|
|
314,028
|
|
Utilities 0.0%(k)
|
|
|||
|
676,413
|
Nautilus Power LLC, Term Loan B, (3 mo. USD Term SOFR + 5.25%), 10.90%, due
11/16/2026
|
540,569
|
|
Total Loan Assignments (Cost $1,100,936)
|
854,597
|
|||
Foreign Government Securities 3.9%
|
|
|||
|
206,000
|
Airport Authority, 1.75%, due 1/12/2027
|
184,072
(e)
|
|
|
|
Angolan Government International Bonds
|
|
|
|
200,000
|
9.50%, due 11/12/2025
|
192,000
(j)
|
|
|
200,000
|
8.25%, due 5/9/2028
|
169,144
(j)
|
|
|
1,280,000
|
8.00%, due 11/26/2029
|
1,019,290
(e)
|
|
|
2,755,000
|
9.38%, due 5/8/2048
|
1,957,069
(e)
|
|
|
750,000
|
9.13%, due 11/26/2049
|
525,000
(e)
|
Principal Amount(a)
|
Value
|
|||
Foreign Government Securities – cont'd
|
|
|||
|
|
Argentine Republic Government International Bonds
|
|
|
$
|
175,982
|
1.00%, due 7/9/2029
|
$46,827
|
|
|
365,940
|
0.75%, due 7/9/2030
|
101,131
(l)
|
|
EUR
|
353,000
|
Austria Government Bonds, 0.90%, due 2/20/2032
|
307,222
(j)
|
|
$
|
200,000
|
Bahamas Government International Bonds, 6.00%, due 11/21/2028
|
164,002
(j)
|
|
|
500,000
|
Bermuda Government International Bonds, 3.72%, due 1/25/2027
|
464,797
(j)
|
|
|
1,250,000
|
Brazil Government International Bonds, 6.00%, due 10/20/2033
|
1,156,463
|
|
|
|
Brazil Notas do Tesouro Nacional
|
|
|
BRL
|
4,877,000
|
Series F, 10.00%, due 1/1/2025
|
955,391
|
|
BRL
|
9,105,000
|
10.00%, due 1/1/2029
|
1,699,784
|
|
BRL
|
6,760,000
|
10.00%, due 1/1/2031
|
1,232,745
|
|
EUR
|
380,000
|
Bundesobligation, 2.40%, due 10/19/2028
|
397,003
(j)
|
|
|
|
Bundesrepublik Deutschland Bundesanleihe
|
|
|
EUR
|
177,000
|
0.50%, due 2/15/2028
|
171,144
(j)
|
|
EUR
|
121,000
|
0.00%, due 2/15/2030
|
108,787
(j)
|
|
EUR
|
40,566
|
0.00%, due 8/15/2031
|
34,933
(j)
|
|
EUR
|
761,218
|
Series G, 0.00%, due 8/15/2031
|
656,003
(j)
|
|
EUR
|
136,900
|
2.50%, due 8/15/2046
|
130,624
(j)
|
|
|
|
Colombia Government International Bonds
|
|
|
EUR
|
100,000
|
3.88%, due 3/22/2026
|
101,859
|
|
$
|
750,000
|
3.88%, due 4/25/2027
|
682,660
|
|
|
1,105,000
|
3.00%, due 1/30/2030
|
849,625
|
|
|
400,000
|
7.50%, due 2/2/2034
|
374,075
|
|
|
|
Colombian TES
|
|
|
COP
|
2,083,500,000
|
6.00%, due 4/28/2028
|
419,106
|
|
COP
|
10,451,500,000
|
7.00%, due 6/30/2032
|
1,919,256
|
|
COP
|
7,220,600,000
|
7.25%, due 10/18/2034
|
1,278,391
|
|
|
|
Dominican Republic International Bonds
|
|
|
$
|
350,000
|
8.63%, due 4/20/2027
|
357,648
(j)
|
|
|
200,000
|
5.50%, due 2/22/2029
|
182,010
(j)
|
|
|
4,380,000
|
6.85%, due 1/27/2045
|
3,644,839
(e)
|
|
|
|
Ecuador Government International Bonds
|
|
|
|
1,020,000
|
6.00%, due 7/31/2030
|
515,991
(e)(l)
|
|
|
1,400,000
|
3.50%, due 7/31/2035
|
529,972
(e)(l)
|
|
|
|
Egypt Government International Bonds
|
|
|
EUR
|
350,000
|
4.75%, due 4/11/2025
|
293,096
(j)
|
|
$
|
755,000
|
5.88%, due 2/16/2031
|
412,200
(e)
|
|
|
3,140,000
|
8.50%, due 1/31/2047
|
1,625,264
(e)
|
|
|
|
El Salvador Government International Bonds
|
|
|
|
110,000
|
6.38%, due 1/18/2027
|
89,801
(j)
|
|
|
200,000
|
8.63%, due 2/28/2029
|
163,081
(j)
|
|
|
485,000
|
9.50%, due 7/15/2052
|
355,599
(e)
|
|
|
|
European Union
|
|
|
EUR
|
434,000
|
0.00%, due 7/6/2026
|
422,163
(j)
|
|
EUR
|
350,000
|
2.00%, due 10/4/2027
|
353,789
(j)
|
|
EUR
|
190,000
|
1.63%, due 12/4/2029
|
182,631
(j)
|
|
EUR
|
454,000
|
3.25%, due 7/4/2034
|
464,117
(j)
|
|
EUR
|
158,000
|
2.75%, due 12/4/2037
|
148,133
(j)
|
|
EUR
|
218,000
|
3.38%, due 10/4/2038
|
216,217
(j)
|
|
EUR
|
5,000,000
|
Free State of Saxony, 3.38%, due 9/21/2026
|
5,303,199
|
Principal Amount(a)
|
Value
|
|||
Foreign Government Securities – cont'd
|
|
|||
|
|
French Republic Government Bonds OAT
|
|
|
EUR
|
174,000
|
0.50%, due 5/25/2025
|
$176,322
(j)
|
|
EUR
|
475,000
|
0.00%, due 2/25/2026
|
468,280
(j)
|
|
EUR
|
115,513
|
1.00%, due 5/25/2027
|
113,854
(j)
|
|
EUR
|
85,300
|
0.75%, due 2/25/2028
|
82,049
(j)
|
|
EUR
|
127,000
|
0.75%, due 5/25/2028
|
121,361
(j)
|
|
EUR
|
571,704
|
1.50%, due 5/25/2031
|
537,009
(j)
|
|
EUR
|
143,000
|
0.00%, due 11/25/2031
|
116,993
(j)
|
|
EUR
|
391,503
|
2.00%, due 11/25/2032
|
372,000
(j)
|
|
EUR
|
447,142
|
1.25%, due 5/25/2038
|
342,291
(j)
|
|
EUR
|
120,000
|
1.50%, due 5/25/2050
|
76,356
(j)
|
|
EUR
|
58,847
|
0.75%, due 5/25/2052
|
28,628
(j)
|
|
EUR
|
47,300
|
1.75%, due 5/25/2066
|
28,347
(j)
|
|
$
|
200,000
|
Ghana Government International Bonds, 6.38%, due 2/11/2027
|
84,151
(j)(p)
|
|
|
200,000
|
Guatemala Government Bonds, 5.25%, due 8/10/2029
|
180,718
(j)
|
|
EUR
|
246,000
|
Hellenic Republic Government Bonds, 4.38%, due 7/18/2038
|
255,865
(j)
|
|
HUF
|
2,030,740,000
|
Hungary Government Bonds, 3.25%, due 10/22/2031
|
4,280,119
|
|
EUR
|
81,000
|
Hungary Government International Bonds, 5.00%, due 2/22/2027
|
86,242
(j)
|
|
|
|
Indonesia Government International Bonds
|
|
|
EUR
|
100,000
|
1.75%, due 4/24/2025
|
101,499
|
|
$
|
4,110,000
|
4.63%, due 4/15/2043
|
3,405,333
(e)
|
|
|
|
Indonesia Treasury Bonds
|
|
|
IDR
|
8,217,000,000
|
6.13%, due 5/15/2028
|
497,586
|
|
IDR
|
54,478,000,000
|
8.25%, due 5/15/2029
|
3,590,747
|
|
IDR
|
26,460,000,000
|
7.00%, due 9/15/2030
|
1,649,681
|
|
IDR
|
15,175,000,000
|
7.00%, due 2/15/2033
|
945,008
|
|
EUR
|
50,000
|
Ireland Government Bonds, 3.00%, due 10/18/2043
|
48,027
(j)
|
|
|
|
Italy Buoni Poliennali Del Tesoro
|
|
|
EUR
|
464,000
|
1.75%, due 5/30/2024
|
484,825
(j)
|
|
EUR
|
733,000
|
1.45%, due 11/15/2024
|
756,984
(j)
|
|
EUR
|
473,000
|
3.40%, due 3/28/2025
|
497,539
(j)
|
|
EUR
|
110,923
|
1.40%, due 5/26/2025
|
115,280
(j)(q)
|
|
EUR
|
224,000
|
1.85%, due 7/1/2025
|
229,657
(j)
|
|
EUR
|
423,000
|
0.00%, due 4/1/2026
|
409,043
(j)
|
|
EUR
|
88,000
|
1.60%, due 6/1/2026
|
88,220
(j)
|
|
EUR
|
337,000
|
0.00%, due 8/1/2026
|
321,740
(j)
|
|
EUR
|
142,000
|
2.05%, due 8/1/2027
|
140,907
(j)
|
|
EUR
|
213,000
|
4.00%, due 2/1/2037
|
206,273
(j)
|
|
|
|
Ivory Coast Government International Bonds
|
|
|
EUR
|
800,000
|
5.25%, due 3/22/2030
|
697,912
(j)
|
|
$
|
215,439
|
5.75%, due 12/31/2032
|
191,687
(j)(l)
|
|
|
3,715,000
|
6.13%, due 6/15/2033
|
3,041,656
(e)
|
|
EUR
|
100,000
|
Kazakhstan Government International Bonds, 0.60%, due 9/30/2026
|
93,746
(j)
|
|
|
|
Kingdom of Belgium Government Bonds
|
|
|
EUR
|
102,000
|
Series 97, 3.00%, due 6/22/2033
|
103,758
(j)
|
|
EUR
|
172,097
|
Series 84, 1.45%, due 6/22/2037
|
137,804
(j)
|
|
EUR
|
63,778
|
Series 90, 0.40%, due 6/22/2040
|
38,901
(j)
|
|
EUR
|
212,000
|
Kommunekredit, 0.88%, due 11/3/2036
|
159,829
(j)
|
|
$
|
200,000
|
Korea Electric Power Corp., 5.38%, due 7/31/2026
|
198,718
(e)
|
|
|
400,000
|
Korea Housing Finance Corp., 4.63%, due 2/24/2028
|
383,451
(e)
|
|
|
200,000
|
Korea Hydro & Nuclear Power Co. Ltd., 5.00%, due 7/18/2028
|
194,447
(e)
|
Principal Amount(a)
|
Value
|
|||
Foreign Government Securities – cont'd
|
|
|||
|
|
Mexico Bonos
|
|
|
MXN
|
34,647,100
|
8.50%, due 5/31/2029
|
$1,785,491
|
|
MXN
|
56,380,000
|
7.75%, due 5/29/2031
|
2,723,121
|
|
MXN
|
153,500,000
|
7.50%, due 5/26/2033
|
7,115,115
|
|
|
|
Mexico Government International Bonds
|
|
|
$
|
4,250,000
|
3.50%, due 2/12/2034
|
3,245,212
|
|
|
4,240,000
|
4.40%, due 2/12/2052
|
2,814,884
|
|
|
400,000
|
MFB Magyar Fejlesztesi Bank Zrt, 6.50%, due 6/29/2028
|
393,000
(j)
|
|
|
|
Mongolia Government International Bonds
|
|
|
|
1,155,000
|
5.13%, due 4/7/2026
|
1,074,698
(e)
|
|
|
200,000
|
8.65%, due 1/19/2028
|
198,085
(j)
|
|
|
200,000
|
Morocco Government International Bonds, 5.95%, due 3/8/2028
|
195,750
(j)
|
|
|
|
Netherlands Government Bonds
|
|
|
EUR
|
263,397
|
0.00%, due 7/15/2030
|
229,151
(j)
|
|
EUR
|
255,658
|
0.00%, due 7/15/2031
|
215,145
(j)
|
|
EUR
|
350,633
|
4.00%, due 1/15/2037
|
397,094
(j)
|
|
$
|
2,765,000
|
Oman Government International Bonds, 7.00%, due 1/25/2051
|
2,536,888
(e)
|
|
|
|
Panama Government International Bonds
|
|
|
|
100,000
|
8.88%, due 9/30/2027
|
107,089
|
|
|
1,835,000
|
2.25%, due 9/29/2032
|
1,250,538
|
|
|
2,475,000
|
3.30%, due 1/19/2033
|
1,829,568
|
|
|
1,775,000
|
Paraguay Government International Bonds, 4.95%, due 4/28/2031
|
1,611,518
(e)
|
|
PEN
|
20,244,000
|
Peru Government Bonds, 6.15%, due 8/12/2032
|
4,814,362
|
|
PEN
|
8,600,000
|
Peruvian Government International Bonds, 6.90%, due 8/12/2037
|
2,077,119
(j)
|
|
|
|
Poland Government Bonds
|
|
|
PLN
|
6,452,000
|
7.50%, due 7/25/2028
|
1,667,347
|
|
PLN
|
15,956,000
|
6.00%, due 10/25/2033
|
3,883,566
|
|
EUR
|
49,000
|
Poland Government International Bonds, 3.88%, due 2/14/2033
|
50,435
(j)
|
|
|
|
Portugal Obrigacoes do Tesouro OT
|
|
|
EUR
|
163,500
|
1.95%, due 6/15/2029
|
162,199
(j)
|
|
EUR
|
295,000
|
0.30%, due 10/17/2031
|
245,162
(j)
|
|
EUR
|
748,000
|
1.65%, due 7/16/2032
|
681,698
(j)
|
|
EUR
|
220,000
|
3.50%, due 6/18/2038
|
220,975
(j)
|
|
$
|
169,650
|
Provincia de Cordoba, 6.88%, due 12/10/2025
|
140,809
(j)(l)
|
|
|
1,440,000
|
Qatar Government International Bonds, 4.40%, due 4/16/2050
|
1,109,678
(e)
|
|
|
|
Romania Government Bonds
|
|
|
RON
|
10,550,000
|
4.85%, due 7/25/2029
|
2,037,134
|
|
RON
|
21,975,000
|
8.25%, due 9/29/2032
|
5,066,099
|
Principal Amount(a)
|
Value
|
|||
Foreign Government Securities – cont'd
|
|
|||
|
|
Romania Government International Bonds
|
|
|
EUR
|
50,000
|
2.75%, due 2/26/2026
|
$50,567
(j)
|
|
$
|
234,000
|
3.00%, due 2/27/2027
|
211,504
(j)
|
|
EUR
|
166,000
|
2.88%, due 5/26/2028
|
157,905
(j)
|
|
EUR
|
100,000
|
5.50%, due 9/18/2028
|
105,121
(j)
|
|
EUR
|
237,000
|
6.63%, due 9/27/2029
|
257,616
(j)
|
|
EUR
|
191,000
|
3.62%, due 5/26/2030
|
173,840
(j)
|
|
EUR
|
153,000
|
1.75%, due 7/13/2030
|
123,068
(j)
|
|
$
|
3,210,000
|
3.00%, due 2/14/2031
|
2,537,717
(j)
|
|
EUR
|
221,000
|
2.00%, due 1/28/2032
|
167,991
(j)
|
|
$
|
1,280,000
|
3.63%, due 3/27/2032
|
1,013,120
(e)
|
|
EUR
|
140,000
|
6.38%, due 9/18/2033
|
145,698
(j)
|
|
EUR
|
87,000
|
3.88%, due 10/29/2035
|
72,058
(j)
|
|
$
|
1,370,000
|
4.00%, due 2/14/2051
|
840,161
(e)
|
|
|
2,666,000
|
4.00%, due 2/14/2051
|
1,635,964
(j)
|
|
|
|
Saudi Government International Bonds
|
|
|
|
1,645,000
|
3.25%, due 11/17/2051
|
954,100
(e)
|
|
|
1,265,000
|
3.75%, due 1/21/2055
|
799,860
(e)
|
|
|
|
Serbia International Bonds
|
|
|
EUR
|
350,000
|
3.13%, due 5/15/2027
|
335,363
(j)
|
|
EUR
|
200,000
|
1.00%, due 9/23/2028
|
166,122
(j)
|
|
|
|
Slovenia Government Bonds
|
|
|
EUR
|
105,000
|
3.63%, due 3/11/2033
|
110,622
(j)
|
|
EUR
|
90,000
|
1.50%, due 3/25/2035
|
73,171
(j)
|
|
|
|
South Africa Government Bonds
|
|
|
ZAR
|
48,062,846
|
8.00%, due 1/31/2030
|
2,267,690
|
|
ZAR
|
21,213,555
|
8.25%, due 3/31/2032
|
934,592
|
|
ZAR
|
9,479,631
|
8.50%, due 1/31/2037
|
375,574
|
|
|
|
South Africa Government International Bonds
|
|
|
$
|
1,830,000
|
5.65%, due 9/27/2047
|
1,188,109
|
|
|
1,055,000
|
5.75%, due 9/30/2049
|
684,347
|
|
|
|
Spain Government Bonds
|
|
|
EUR
|
206,000
|
2.75%, due 10/31/2024
|
215,949
(j)
|
|
EUR
|
328,000
|
1.45%, due 10/31/2027
|
322,835
(j)
|
|
EUR
|
130,000
|
3.15%, due 4/30/2033
|
130,318
(j)
|
|
EUR
|
278,000
|
3.55%, due 10/31/2033
|
285,836
(j)
|
|
EUR
|
66,000
|
0.85%, due 7/30/2037
|
45,732
(j)
|
|
EUR
|
430,000
|
0.85%, due 7/30/2037
|
297,951
(j)
|
|
EUR
|
91,000
|
3.90%, due 7/30/2039
|
91,671
(j)
|
|
EUR
|
29,000
|
1.00%, due 7/30/2042
|
17,570
(j)
|
|
|
|
Sri Lanka Government International Bonds
|
|
|
$
|
302,000
|
6.85%, due 3/14/2024
|
155,305
(j)(p)
|
|
|
200,000
|
6.35%, due 6/28/2024
|
102,964
(j)(p)
|
|
|
200,000
|
Turkiye Ihracat Kredi Bankasi AS, 9.00%, due 1/28/2027
|
200,003
(e)
|
|
|
|
Ukraine Government International Bonds
|
|
|
|
200,000
|
8.99%, due 2/1/2026
|
60,666
(j)
|
|
|
4,140,000
|
7.25%, due 3/15/2035
|
1,034,851
(e)
|
|
GBP
|
137,657
|
United Kingdom Gilt, 4.00%, due 10/22/2063
|
140,654
(j)
|
|
$
|
1,230,000
|
Uruguay Government International Bonds, 5.10%, due 6/18/2050
|
1,063,431
|
|
|
1,295,300
|
Venezuela Government International Bonds, 8.25%, due 10/13/2024
|
217,895
(j)(p)
|
|
Total Foreign Government Securities (Cost $156,131,123)
|
128,283,437
|
Principal Amount(a)
|
Value
|
|||
|
||||
Convertible Bonds 0.0%(k)
|
||||
Media 0.0%(k)
|
|
|||
$
|
735,000
|
DISH Network Corp., 3.38%, due 8/15/2026 (Cost $698,916)
|
$376,688
|
|
|
||||
Municipal Notes 0.8%
|
||||
California 0.2%
|
|
|||
|
1,370,000
|
Bay Area Toll Authority Toll Bridge Revenue (Build America Bonds), Series
2010-S1,
7.04%, due 4/1/2050
|
1,541,823
|
|
|
1,370,000
|
California State General Obligation (Build America Bonds), Series 2010,
7.63%, due
3/1/2040
|
1,559,024
|
|
|
2,055,000
|
California State University Refunding Revenue, Series 2020-B, 2.98%, due
11/1/2051
|
1,223,874
|
|
|
2,120,000
|
Foothill-Eastern Transportation Corridor Agency Toll Road Revenue Refunding,
Series 2019-A, (AGM Insured), 3.92%, due 1/15/2053
|
1,443,916
|
|
|
1,105,000
|
Los Angeles Community College District General Obligation (Build America
Bonds),
Series 2010, 6.75%, due 8/1/2049
|
1,187,805
|
|
|
1,710,000
|
University of California Regents Medical Center Pooled Revenue, Series
2020-N, 3.01%,
due 5/15/2050
|
1,014,296
|
|
|
|
|
7,970,738
|
|
Massachusetts 0.0%(k)
|
|
|||
|
1,060,000
|
Massachusetts State Education Financing Authority Revenue Refunding, Series
2018-A,
4.08%, due 7/1/2027
|
1,002,946
|
|
Michigan 0.0%(k)
|
|
|||
|
1,770,000
|
Michigan Finance Authority Hospital Revenue Refunding (Trinity Health Credit
Group),
Series 2019-T, 3.38%, due 12/1/2040
|
1,286,427
|
|
Nevada 0.0%(k)
|
|
|||
|
2,055,000
|
Clark County Nevada General Obligation (Las Vegas Convention & Visitors
Authority),
Series 2019-D, 3.23%, due 7/1/2044
|
1,351,834
|
|
New Jersey 0.0%(k)
|
|
|||
|
695,000
|
Atlantic City General Obligation Refunding, Series 2018, 4.29%, due 9/1/2026
|
666,470
|
|
|
545,000
|
New Jersey State Housing & Mortgage Finance Agency Revenue Refunding
(Single Family
Housing), Series 2018-BB, 3.80%, due 10/1/2032
|
513,873
|
|
|
|
|
1,180,343
|
|
New York 0.1%
|
|
|||
|
2,740,000
|
New York State Dormitory Authority Revenue Non State Supported Debt
Refunding
(New York University), Series 2020-B, 2.69%, due 7/1/2040
|
1,830,546
|
|
Ohio 0.2%
|
|
|||
|
2,055,000
|
Highland Local School District General Obligation Refunding, Series 2020,
3.19%, due
12/1/2049
|
1,327,902
|
|
|
2,055,000
|
JobsOhio Beverage Systems Statewide Liquor Profits Revenue Refunding, Series
2020-A,
2.83%, due 1/1/2038
|
1,505,671
|
|
|
2,230,000
|
Ohio State Turnpike Commission Junior Lien Revenue Refunding (Infrastructure
Project),
Series 2020-A, 3.22%, due 2/15/2048
|
1,437,029
|
|
|
2,055,000
|
Ohio University General Receipt Athens Refunding Revenue, Series 2020,
2.91%, due
12/1/2043
|
1,320,165
|
|
|
|
|
5,590,767
|
|
Pennsylvania 0.1%
|
|
|||
|
2,055,000
|
Commonwealth Financing Authority Revenue Refunding, Series 2020-C, 3.53%,
due
6/1/2042
|
1,517,124
|
Principal Amount(a)
|
Value
|
|||
|
||||
Texas 0.2%
|
|
|||
$
|
2,125,000
|
Central Texas Turnpike System First Tier Revenue Refunding, Series 2020-C,
3.03%, due
8/15/2041
|
$1,396,292
|
|
|
1,710,000
|
Dallas Area Rapid Transit Sales Tax Revenue Refunding, Series 2020-C, 2.82%,
due
12/1/2042
|
1,152,072
|
|
|
2,055,000
|
Grand Parkway Transportation Corp. System Subordinated Tier Toll Revenue
Refunding,
Series 2020-B, 3.24%, due 10/1/2052
|
1,264,828
|
|
|
1,410,000
|
Texas State Private Activity Bond Surface Transportation Corp. Senior Lien
Revenue
Refunding (North Tarrant Express Managed Lanes Project), Series 2019-B,
3.92%, due
12/31/2049
|
1,005,522
|
|
|
|
|
4,818,714
|
|
Utah 0.0%(k)
|
|
|||
|
2,055,000
|
Utah State Transit Authority Sales Tax Revenue Refunding, Series 2020,
2.77%, due
12/15/2038
|
1,419,807
|
|
|
||||
Total Municipal Notes (Cost $41,231,451)
|
27,969,246
|
|||
Number of Shares
|
|
|||
|
||||
Common Stocks 0.0%(k)
|
||||
Real Estate Management & Development 0.0%(k)
|
|
|||
|
4,493
|
GTT Communications, Inc. (Cost $121,311)
|
49,423
*
|
|
Closed-End Funds 0.0%(k)
|
|
|||
Investment Companies 0.0%(k)(r)
|
|
|||
|
634,993
|
Neuberger Berman Global Monthly Income Fund Ltd. (Cost $871,714)
|
578,674
|
|
Exchange-Traded Funds 1.8%
|
|
|||
|
394,254
|
iShares iBoxx High Yield Corporate Bond ETF
|
28,611,013
|
|
|
1,363,017
|
SPDR Portfolio High Yield Bond ETF
|
30,081,785
|
|
Total Exchange-Traded Funds (Cost $59,321,045)
|
58,692,798
|
|||
|
||||
Short-Term Investments 3.9%
|
||||
Investment Companies 3.9%
|
|
|||
|
131,318,868
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
5.30%(s) (Cost $131,318,868)
|
131,318,868
|
|
Total Investments 115.2% (Cost $4,230,723,982)
|
3,838,485,414
|
|||
Liabilities Less Other Assets (15.2)%
|
(507,712,468
)(t)(u)
|
|||
Net Assets 100.0%
|
$3,330,772,946
|
*
|
Non-income producing security.
|
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
(b)
|
Rate shown was the discount rate at the date of purchase.
|
(c)
|
Interest only security. These securities represent the right to receive the monthly interest
payments on an
underlying pool of mortgages. Payments of principal on the pool reduce the value of the
"interest only"
holding.
|
(d)
|
|
(e)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are
otherwise
restricted and, unless registered under the Securities Act of 1933 or exempted from
registration, may only
be sold to qualified institutional investors or may have other restrictions on resale.
At October 31, 2023,
these securities amounted to $915,731,018, which represents 27.5% of net assets of the Fund.
|
(f)
|
Variable or floating rate security where the stated interest rate is not based on a published
reference rate
and spread. Rather, the interest rate adjusts periodically based on changes in current
interest rates and
prepayments on the underlying pool of assets. The interest rate shown was the current rate as
of
|
(g)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
(h)
|
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an
approximate
principal amount and no defined maturity date. The actual principal amount and maturity date
will be
determined upon settlement when the specific mortgage pools are assigned. Total value of all
such securities
(excluding forward sales contracts, if any) at October 31, 2023 amounted to $577,407,407,
which
represents 17.3% of net assets of the Fund.
|
(i)
|
Value determined using significant unobservable inputs.
|
(j)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933,
as amended.
Regulation S applies to securities offerings that are made outside of the United States and do
not involve
directed selling efforts in the United States and as such may have restrictions on resale.
Total value of all
such securities at October 31, 2023 amounted to $141,977,862, which represents 4.3% of net
assets of the
Fund.
|
(k)
|
Represents less than 0.05% of net assets of the Fund.
|
(l)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific
date or may reset in
the future contingent upon a predetermined trigger. The interest rate shown was the current
rate as of
|
(m)
|
Payment-in-kind (PIK) security.
|
(n)
|
Security issued at a fixed coupon rate, which converts to a variable rate at a future date.
Rate shown is the
rate in effect as of period end.
|
(o)
|
Perpetual security. Perpetual securities have no stated maturity date, but they may be
called/redeemed by
the issuer. The date shown reflects the next call date.
|
(p)
|
Defaulted security.
|
(q)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
(r)
|
Affiliated company as defined under the Investment Company Act of 1940, as amended (see
Note A of the Notes to Financial Statements).
|
(s)
|
Represents 7-day effective yield as of October 31, 2023.
|
(t)
|
Includes the impact of the Fund’s open positions in derivatives at October 31, 2023.
|
(u)
|
As of October 31, 2023, the value of unfunded note commitments was $1,580,000 for the Fund
(see
Note A of the Notes to Financial Statements)
|
POSITIONS BY COUNTRY
|
||
Country
|
Investments at
Value
|
Percentage of
Net Assets
|
United States
|
$3,152,449,266
|
94.7
%
|
Cayman Islands
|
132,971,315
|
4.0
%
|
United Kingdom
|
73,915,745
|
2.2
%
|
Germany
|
27,953,496
|
0.8
%
|
France
|
27,132,676
|
0.8
%
|
Mexico
|
26,390,404
|
0.8
%
|
Netherlands
|
18,760,551
|
0.6
%
|
Spain
|
17,281,672
|
0.5
%
|
Switzerland
|
15,146,914
|
0.5
%
|
Italy
|
14,875,084
|
0.5
%
|
Romania
|
14,595,563
|
0.4
%
|
Brazil
|
13,240,335
|
0.4
%
|
Canada
|
12,684,397
|
0.4
%
|
Indonesia
|
12,391,556
|
0.4
%
|
Luxembourg
|
9,790,858
|
0.3
%
|
Colombia
|
9,153,043
|
0.3
%
|
Australia
|
7,482,534
|
0.2
%
|
Peru
|
7,331,168
|
0.2
%
|
Ireland
|
7,082,576
|
0.2
%
|
Sweden
|
6,864,772
|
0.2
%
|
South Africa
|
6,385,786
|
0.2
%
|
Poland
|
5,958,129
|
0.2
%
|
Oman
|
4,766,530
|
0.1
%
|
Hungary
|
4,759,361
|
0.1
%
|
Chile
|
4,367,618
|
0.1
%
|
Dominican Republic
|
4,184,497
|
0.1
%
|
Panama
|
3,978,211
|
0.1
%
|
Cote D'Ivoire
|
3,931,255
|
0.1
%
|
Angola
|
3,862,503
|
0.1
%
|
Ukraine
|
3,748,962
|
0.1
%
|
Bermuda
|
3,462,794
|
0.1
%
|
Jersey
|
3,315,627
|
0.1
%
|
Supranational
|
2,884,888
|
0.1
%
|
United Arab Emirates
|
2,566,481
|
0.1
%
|
Hong Kong
|
2,471,110
|
0.1
%
|
Portugal
|
2,462,305
|
0.1
%
|
Finland
|
2,435,136
|
0.1
%
|
Israel
|
2,398,871
|
0.1
%
|
Egypt
|
2,330,560
|
0.1
%
|
Korea
|
2,127,684
|
0.1
%
|
China
|
2,047,053
|
0.1
%
|
Macau
|
1,827,930
|
0.1
%
|
Austria
|
1,810,707
|
0.1
%
|
Zambia
|
1,778,817
|
0.1
%
|
Saudi Arabia
|
1,753,960
|
0.1
%
|
Qatar
|
1,640,120
|
0.1
%
|
POSITIONS BY COUNTRY (cont’d)
|
||
Country
|
Investments at
Value
|
Percentage of
Net Assets
|
Paraguay
|
$1,611,518
|
0.1
%
|
Other countries, each representing less than 0.05% of net assets of the Fund
|
14,804,208
|
0.0
%
|
Short-Term Investments and Other Liabilities—Net
|
(376,393,600
)
|
(11.3
)%
|
|
$3,330,772,946
|
100.0
%
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
84
|
Australian Bond, 10 Year
|
$5,767,860
|
$(353,102)
|
12/2023
|
285
|
Euro-Bobl
|
35,068,247
|
(243,828)
|
12/2023
|
165
|
Euro-BTP
|
19,242,929
|
77,176
|
12/2023
|
11
|
Euro-Bund
|
1,501,328
|
(42,041)
|
12/2023
|
7
|
Euro-Buxl Bond, 30 Year
|
891,915
|
(76,135)
|
12/2023
|
517
|
Euro-Schatz
|
57,534,706
|
(128,335)
|
12/2023
|
351
|
Government of Canada Bond, 2 Year
|
25,834,916
|
(33,522)
|
12/2023
|
78
|
Long Gilt
|
8,832,038
|
(127,493)
|
12/2023
|
2,366
|
U.S. Treasury Note, 10 Year
|
251,202,656
|
(5,921,094)
|
12/2023
|
532
|
U.S. Treasury Note, 2 Year
|
107,688,438
|
(396,233)
|
12/2023
|
8,367
|
U.S. Treasury Note, 5 Year
|
874,155,403
|
(10,354,443)
|
Total Long Positions
|
$1,387,720,436
|
$(17,599,050)
|
Expiration
Date
|
Number of
|
Open Contracts
|
Notional
Amount
|
Value and
Unrealized
Appreciation/
(Depreciation)
|
12/2023
|
245
|
Euro-Bobl
|
$(30,146,388)
|
$240,562
|
12/2023
|
154
|
Euro-BTP
|
(17,960,067)
|
800,549
|
12/2023
|
139
|
Euro-Bund
|
(18,971,325)
|
512,610
|
12/2023
|
10
|
Euro-Oat
|
(1,304,532)
|
23,394
|
12/2023
|
736
|
Euro-Schatz
|
(81,906,273)
|
(157,044)
|
12/2023
|
108
|
Government of Canada Bond, 10 Year
|
(8,950,741)
|
293,379
|
12/2023
|
117
|
Long Gilt
|
(13,248,057)
|
197,346
|
12/2023
|
1,181
|
U.S. Treasury Long Bond
|
(129,245,688)
|
9,497,696
|
12/2023
|
326
|
U.S. Treasury Note, Ultra 10 Year
|
(35,477,969)
|
1,161,014
|
12/2023
|
2,332
|
U.S. Treasury Ultra Bond
|
(262,495,750)
|
22,886,227
|
3/2024
|
35
|
ICE SONIA Index, 3 Months
|
(10,072,049)
|
(4,364)
|
Total Short Positions
|
$(609,778,839)
|
$35,451,369
|
||
Total Futures
|
|
$17,852,319
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
BRL
|
5,995,905
|
USD
|
1,185,547
|
CITI
|
11/3/2023
|
$3,704
|
BRL
|
5,995,905
|
USD
|
1,187,574
|
GSI
|
11/3/2023
|
1,677
|
BRL
|
1,216,432
|
USD
|
236,963
|
GSI
|
12/4/2023
|
3,398
|
BRL
|
3,151,637
|
USD
|
607,631
|
JPM
|
12/4/2023
|
15,117
|
BRL
|
5,995,905
|
USD
|
1,173,672
|
CITI
|
1/25/2024
|
4,212
|
USD
|
230,096
|
BRL
|
1,165,103
|
CITI
|
1/25/2024
|
1,213
|
CLP
|
362,783,226
|
USD
|
385,403
|
JPM
|
12/20/2023
|
18,800
|
CLP
|
315,518,837
|
USD
|
337,977
|
JPM
|
12/20/2023
|
13,564
|
USD
|
1,277,954
|
CLP
|
1,145,264,166
|
CITI
|
12/20/2023
|
1,935
|
USD
|
2,113,950
|
CNH
|
15,370,048
|
GSI
|
12/20/2023
|
13,515
|
COP
|
509,390,700
|
USD
|
112,851
|
GSI
|
12/20/2023
|
9,593
|
COP
|
913,598,495
|
USD
|
214,072
|
GSI
|
12/20/2023
|
5,533
|
USD
|
627,111
|
COP
|
2,507,190,755
|
CITI
|
12/20/2023
|
24,448
|
USD
|
183,904
|
COP
|
739,975,715
|
GSI
|
12/20/2023
|
6,033
|
USD
|
611,652
|
COP
|
2,527,815,563
|
GSI
|
12/20/2023
|
4,031
|
CZK
|
17,418,938
|
EUR
|
706,708
|
CITI
|
11/21/2023
|
1,318
|
CZK
|
6,135,944
|
EUR
|
248,795
|
CITI
|
11/21/2023
|
621
|
CZK
|
10,941,192
|
EUR
|
441,587
|
GSI
|
11/21/2023
|
3,275
|
CZK
|
28,419,186
|
EUR
|
1,151,273
|
JPM
|
11/21/2023
|
3,981
|
EUR
|
251,678
|
CZK
|
6,183,442
|
CITI
|
11/21/2023
|
388
|
EUR
|
619,568
|
CZK
|
15,035,235
|
JPM
|
11/21/2023
|
8,995
|
EUR
|
465,157
|
CZK
|
11,286,052
|
JPM
|
11/21/2023
|
6,841
|
EUR
|
854,188
|
CZK
|
21,008,761
|
JPM
|
12/20/2023
|
1,990
|
EUR
|
383,579
|
USD
|
403,476
|
CITI
|
11/3/2023
|
2,406
|
EUR
|
239,219
|
USD
|
252,658
|
CITI
|
11/3/2023
|
470
|
EUR
|
167,444
|
USD
|
177,166
|
CITI
|
11/3/2023
|
14
|
EUR
|
480,469
|
USD
|
505,877
|
GSI
|
11/3/2023
|
2,527
|
EUR
|
1,090,499
|
USD
|
1,150,098
|
JPM
|
11/3/2023
|
3,805
|
EUR
|
48,348
|
USD
|
51,051
|
BCB
|
12/5/2023
|
175
|
EUR
|
610,967
|
USD
|
647,176
|
JPM
|
12/5/2023
|
154
|
EUR
|
22,539
|
USD
|
23,894
|
GSI
|
1/18/2024
|
42
|
USD
|
2,173,144
|
EUR
|
2,044,562
|
CITI
|
11/2/2023
|
9,793
|
USD
|
625,855
|
EUR
|
589,916
|
CITI
|
11/3/2023
|
1,640
|
USD
|
150,136
|
EUR
|
141,588
|
CITI
|
11/3/2023
|
316
|
USD
|
556,051
|
EUR
|
523,795
|
JPM
|
11/3/2023
|
1,802
|
USD
|
616,868
|
EUR
|
582,161
|
JPM
|
11/3/2023
|
859
|
USD
|
76,186
|
EUR
|
71,894
|
JPM
|
11/3/2023
|
112
|
USD
|
177,794
|
EUR
|
167,999
|
JPM
|
11/3/2023
|
27
|
USD
|
5,332,802
|
EUR
|
4,998,900
|
JPM
|
11/30/2023
|
37,542
|
USD
|
2,182,189
|
EUR
|
2,044,562
|
CITI
|
12/4/2023
|
16,067
|
USD
|
76,759
|
EUR
|
72,376
|
CITI
|
12/5/2023
|
76
|
USD
|
255,154
|
EUR
|
240,284
|
GSI
|
12/5/2023
|
569
|
USD
|
153,695
|
EUR
|
143,942
|
JPM
|
12/5/2023
|
1,186
|
USD
|
1,777,445
|
EUR
|
1,669,450
|
GSI
|
1/18/2024
|
4,455
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
USD
|
79,402,735
|
EUR
|
74,573,504
|
SG
|
1/18/2024
|
$204,137
|
USD
|
3,052,852
|
EUR
|
2,867,179
|
SG
|
1/18/2024
|
7,849
|
USD
|
155,431
|
GBP
|
126,880
|
GSI
|
11/30/2023
|
1,190
|
USD
|
4,451,498
|
GBP
|
3,627,146
|
GSI
|
1/18/2024
|
40,060
|
USD
|
479,985
|
GBP
|
394,123
|
GSI
|
1/18/2024
|
642
|
USD
|
16,481,607
|
GBP
|
13,424,324
|
SG
|
1/18/2024
|
154,562
|
USD
|
483
|
GBP
|
393
|
SG
|
1/18/2024
|
5
|
HUF
|
271,363,150
|
EUR
|
689,684
|
GSI
|
11/14/2023
|
19,211
|
HUF
|
71,943,286
|
EUR
|
183,546
|
GSI
|
11/14/2023
|
4,354
|
HUF
|
73,033,336
|
EUR
|
186,472
|
GSI
|
11/14/2023
|
4,267
|
HUF
|
73,033,335
|
EUR
|
186,651
|
GSI
|
11/14/2023
|
4,077
|
HUF
|
479,977,090
|
EUR
|
1,227,462
|
HSBC
|
11/14/2023
|
25,961
|
HUF
|
72,669,986
|
EUR
|
186,258
|
HSBC
|
11/14/2023
|
3,489
|
HUF
|
463,069,784
|
EUR
|
1,186,185
|
JPM
|
11/14/2023
|
22,971
|
HUF
|
270,624,601
|
EUR
|
688,926
|
JPM
|
11/14/2023
|
17,974
|
HUF
|
53,410,662
|
EUR
|
133,614
|
JPM
|
11/14/2023
|
6,038
|
HUF
|
365,888,271
|
EUR
|
949,901
|
JPM
|
11/14/2023
|
4,755
|
HUF
|
182,473,338
|
EUR
|
474,789
|
SCB
|
11/14/2023
|
1,248
|
USD
|
237,204
|
IDR
|
3,696,347,284
|
GSI
|
12/20/2023
|
5,337
|
USD
|
1,202,310
|
IDR
|
18,509,557,030
|
JPM
|
12/20/2023
|
41,233
|
USD
|
1,319,649
|
ILS
|
5,026,710
|
GSI
|
11/21/2023
|
75,107
|
USD
|
777,069
|
ILS
|
2,982,856
|
GSI
|
11/21/2023
|
38,556
|
USD
|
266
|
ILS
|
1,020
|
GSI
|
11/21/2023
|
14
|
USD
|
1,300,691
|
KRW
|
1,750,027,235
|
CITI
|
12/20/2023
|
3,739
|
USD
|
707,077
|
KRW
|
951,601,037
|
GSI
|
12/20/2023
|
1,842
|
USD
|
707,605
|
KRW
|
954,459,421
|
JPM
|
12/20/2023
|
251
|
KZT
|
194,430,837
|
USD
|
391,603
|
JPM
|
12/28/2023
|
16,198
|
MXN
|
11,374,964
|
USD
|
625,059
|
GSI
|
12/20/2023
|
994
|
MXN
|
1,934,701
|
USD
|
104,732
|
SCB
|
12/20/2023
|
1,750
|
USD
|
774,626
|
MXN
|
13,619,864
|
GSI
|
12/20/2023
|
25,019
|
USD
|
574,518
|
MXN
|
9,989,003
|
MS
|
12/20/2023
|
24,745
|
PLN
|
2,534,195
|
EUR
|
538,870
|
GSI
|
11/20/2023
|
30,939
|
PLN
|
2,760,352
|
EUR
|
618,223
|
GSI
|
11/20/2023
|
596
|
PLN
|
3,221,316
|
EUR
|
692,934
|
JPM
|
11/20/2023
|
30,905
|
PLN
|
2,339,022
|
EUR
|
514,269
|
CITI
|
12/20/2023
|
9,152
|
PLN
|
1,084,335
|
EUR
|
242,106
|
CITI
|
12/20/2023
|
320
|
PLN
|
2,304,111
|
EUR
|
501,736
|
GSI
|
12/20/2023
|
14,166
|
PLN
|
2,339,023
|
EUR
|
511,074
|
GSI
|
12/20/2023
|
12,541
|
PLN
|
483,900
|
EUR
|
107,698
|
GSI
|
12/20/2023
|
509
|
RON
|
222,524
|
EUR
|
44,621
|
JPM
|
11/20/2023
|
143
|
USD
|
719,579
|
SGD
|
980,700
|
CITI
|
1/22/2024
|
677
|
THB
|
26,082,820
|
USD
|
713,288
|
GSI
|
12/20/2023
|
15,512
|
USD
|
1,265,297
|
TWD
|
40,448,872
|
CITI
|
1/12/2024
|
13,248
|
USD
|
107,046
|
UYU
|
4,064,546
|
CITI
|
11/10/2023
|
5,458
|
USD
|
102,713
|
UYU
|
3,905,153
|
CITI
|
11/10/2023
|
5,109
|
USD
|
398,744
|
UYU
|
15,263,520
|
HSBC
|
11/10/2023
|
17,251
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
USD
|
379,773
|
UYU
|
14,659,255
|
HSBC
|
11/10/2023
|
$13,384
|
ZAR
|
20,274,069
|
USD
|
1,076,826
|
CITI
|
11/6/2023
|
10,616
|
ZAR
|
20,307,864
|
USD
|
1,064,737
|
CITI
|
12/20/2023
|
20,354
|
ZAR
|
3,716,912
|
USD
|
193,174
|
CITI
|
12/20/2023
|
5,429
|
ZAR
|
10,098,802
|
USD
|
534,074
|
GSI
|
12/20/2023
|
5,526
|
ZAR
|
14,320,881
|
USD
|
735,459
|
JPM
|
12/20/2023
|
29,736
|
ZAR
|
4,827,599
|
USD
|
247,335
|
JPM
|
12/20/2023
|
10,613
|
ZAR
|
9,702,771
|
USD
|
510,457
|
JPM
|
12/20/2023
|
7,982
|
ZAR
|
875,059
|
USD
|
45,123
|
JPM
|
12/20/2023
|
1,633
|
Total unrealized appreciation
|
|
$1,257,593
|
||||
BRL
|
411,713
|
USD
|
82,604
|
GSI
|
12/4/2023
|
(1,252
)
|
BRL
|
2,751,765
|
USD
|
546,355
|
SCB
|
1/25/2024
|
(5,775
)
|
USD
|
1,185,360
|
BRL
|
5,995,905
|
CITI
|
11/3/2023
|
(3,891
)
|
USD
|
1,185,547
|
BRL
|
5,995,905
|
GSI
|
11/3/2023
|
(3,704
)
|
USD
|
294,845
|
BRL
|
1,498,932
|
GSI
|
12/4/2023
|
(1,337
)
|
USD
|
632,310
|
BRL
|
3,214,228
|
GSI
|
12/4/2023
|
(2,806
)
|
USD
|
306,700
|
BRL
|
1,560,112
|
JPM
|
12/4/2023
|
(1,571
)
|
CLP
|
1,145,627,697
|
USD
|
1,282,898
|
CITI
|
12/20/2023
|
(6,474
)
|
USD
|
717,491
|
CLP
|
678,913,221
|
JPM
|
12/20/2023
|
(38,933
)
|
COP
|
3,937,762,267
|
USD
|
957,359
|
CITI
|
12/20/2023
|
(10,824
)
|
DKK
|
6,278,370
|
USD
|
899,557
|
CITI
|
1/18/2024
|
(5,475
)
|
EUR
|
1,046,276
|
CZK
|
25,897,612
|
CITI
|
11/21/2023
|
(6,642
)
|
EUR
|
445,136
|
CZK
|
10,966,414
|
JPM
|
11/21/2023
|
(602
)
|
EUR
|
525,290
|
CZK
|
12,994,474
|
GSI
|
12/20/2023
|
(2,001
)
|
EUR
|
1,199,426
|
HUF
|
464,242,144
|
CITI
|
11/14/2023
|
(12,191
)
|
EUR
|
246,788
|
HUF
|
99,039,774
|
CITI
|
11/14/2023
|
(12,227
)
|
EUR
|
125,014
|
HUF
|
48,721,965
|
GSI
|
11/14/2023
|
(2,195
)
|
EUR
|
581,623
|
HUF
|
227,833,272
|
GSI
|
11/14/2023
|
(13,406
)
|
EUR
|
249,036
|
HUF
|
100,546,956
|
GSI
|
11/14/2023
|
(14,009
)
|
EUR
|
682,215
|
HUF
|
270,293,435
|
GSI
|
11/14/2023
|
(24,164
)
|
EUR
|
684,301
|
HUF
|
271,585,183
|
GSI
|
11/14/2023
|
(25,523
)
|
EUR
|
164,122
|
HUF
|
63,822,080
|
JPM
|
11/14/2023
|
(2,491
)
|
EUR
|
679,963
|
HUF
|
265,476,939
|
JPM
|
11/14/2023
|
(13,248
)
|
EUR
|
437,743
|
PLN
|
2,023,150
|
GSI
|
11/20/2023
|
(16,714
)
|
EUR
|
553,152
|
PLN
|
2,561,394
|
JPM
|
11/20/2023
|
(22,272
)
|
EUR
|
529,714
|
PLN
|
2,460,948
|
JPM
|
11/20/2023
|
(23,247
)
|
EUR
|
692,502
|
PLN
|
3,198,265
|
JPM
|
11/20/2023
|
(25,890
)
|
EUR
|
76,445
|
PLN
|
355,812
|
CITI
|
12/20/2023
|
(3,286
)
|
EUR
|
491,590
|
PLN
|
2,279,582
|
JPM
|
12/20/2023
|
(19,111
)
|
EUR
|
2,044,562
|
USD
|
2,179,401
|
CITI
|
11/2/2023
|
(16,049
)
|
EUR
|
239,998
|
USD
|
254,166
|
CITI
|
11/3/2023
|
(214
)
|
EUR
|
404,680
|
USD
|
430,582
|
CITI
|
12/5/2023
|
(1,816
)
|
EUR
|
582,161
|
USD
|
617,674
|
JPM
|
12/5/2023
|
(864
)
|
EUR
|
1,212,535
|
USD
|
1,293,593
|
CITI
|
1/18/2024
|
(5,856
)
|
EUR
|
7,403,437
|
USD
|
7,898,357
|
CITI
|
1/18/2024
|
(35,754
)
|
EUR
|
173,592
|
USD
|
184,577
|
GSI
|
1/18/2024
|
(219
)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date
|
Net
Unrealized
Appreciation/
(Depreciation)
|
||
EUR
|
484,862
|
USD
|
515,655
|
GSI
|
1/18/2024
|
$(721
)
|
EUR
|
2,645,517
|
USD
|
2,822,348
|
GSI
|
1/18/2024
|
(12,755
)
|
EUR
|
451,511
|
USD
|
479,982
|
SG
|
1/18/2024
|
(468
)
|
USD
|
300,117
|
EUR
|
285,478
|
CITI
|
11/3/2023
|
(1,959
)
|
USD
|
99,705
|
EUR
|
94,393
|
GSI
|
11/3/2023
|
(176
)
|
USD
|
152,089
|
EUR
|
143,984
|
JPM
|
11/3/2023
|
(266
)
|
USD
|
51,601
|
EUR
|
48,712
|
JPM
|
12/5/2023
|
(10
)
|
USD
|
657,935
|
EUR
|
621,264
|
SG
|
1/18/2024
|
(1,860
)
|
GBP
|
2,065,395
|
USD
|
2,542,222
|
CITI
|
1/18/2024
|
(30,230
)
|
GBP
|
720,245
|
USD
|
886,603
|
GSI
|
1/18/2024
|
(10,621
)
|
IDR
|
25,204,848,265
|
USD
|
1,638,636
|
CITI
|
12/20/2023
|
(57,574
)
|
IDR
|
3,352,281,274
|
USD
|
213,453
|
JPM
|
12/20/2023
|
(3,170
)
|
ILS
|
3,003,373
|
USD
|
801,712
|
CITI
|
11/21/2023
|
(58,120
)
|
ILS
|
5,007,038
|
USD
|
1,332,847
|
GSI
|
11/21/2023
|
(93,175
)
|
KRW
|
1,749,185,534
|
USD
|
1,326,088
|
GSI
|
12/20/2023
|
(29,760
)
|
KRW
|
952,561,682
|
USD
|
709,403
|
JPM
|
12/20/2023
|
(3,456
)
|
MXN
|
8,765,471
|
USD
|
504,064
|
CITI
|
12/20/2023
|
(21,632
)
|
MXN
|
21,208,384
|
USD
|
1,208,915
|
CITI
|
12/20/2023
|
(41,651
)
|
USD
|
13,597,615
|
MXN
|
251,611,831
|
SG
|
1/18/2024
|
(182,954
)
|
USD
|
711,626
|
MYR
|
3,374,672
|
GSI
|
1/23/2024
|
(350
)
|
PEN
|
995,528
|
USD
|
259,063
|
CITI
|
1/18/2024
|
(682
)
|
RON
|
2,324,613
|
EUR
|
467,713
|
JPM
|
11/20/2023
|
(171
)
|
THB
|
25,730,045
|
USD
|
719,249
|
CITI
|
12/20/2023
|
(306
)
|
THB
|
45,120,785
|
USD
|
1,281,921
|
CITI
|
12/20/2023
|
(21,166
)
|
USD
|
709,981
|
THB
|
25,733,972
|
GSI
|
12/20/2023
|
(9,072
)
|
USD
|
1,233,488
|
THB
|
45,138,258
|
GSI
|
12/20/2023
|
(27,755
)
|
USD
|
709,854
|
THB
|
26,085,668
|
JPM
|
12/20/2023
|
(19,026
)
|
TWD
|
40,422,306
|
USD
|
1,267,527
|
CITI
|
1/12/2024
|
(16,301
)
|
UYU
|
13,988,523
|
USD
|
350,765
|
CITI
|
11/10/2023
|
(1,140
)
|
UYU
|
37,887,087
|
USD
|
991,809
|
CITI
|
11/10/2023
|
(44,868
)
|
UYU
|
7,090,545
|
USD
|
177,886
|
JPM
|
11/10/2023
|
(667
)
|
UYU
|
7,379,956
|
USD
|
185,147
|
JPM
|
11/10/2023
|
(694
)
|
USD
|
1,047,880
|
ZAR
|
20,274,069
|
CITI
|
11/6/2023
|
(39,563
)
|
USD
|
123,066
|
ZAR
|
2,329,383
|
CITI
|
12/20/2023
|
(1,398
)
|
USD
|
1,072,897
|
ZAR
|
20,274,069
|
CITI
|
12/20/2023
|
(10,388
)
|
USD
|
1,067,080
|
ZAR
|
20,346,755
|
CITI
|
12/20/2023
|
(20,089
)
|
Total unrealized depreciation
|
|
$(1,146,227
)
|
||||
Total net unrealized appreciation
|
|
$111,366
|
Counterparty
|
Reference Entity
|
Notional
Amount
|
Expiration
Date
|
Unrealized
Appreciation/
(Depreciation)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
$2,500,000
|
04/15/2025
|
$2,706
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
3,500,000
|
10/15/2025
|
3,808
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
3,250,000
|
04/15/2026
|
4,543
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
4,500,000
|
10/15/2026
|
9,156
|
Total unrealized appreciation
|
$20,213
|
|||
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 1.63%
|
7,200,000
|
10/15/2027
|
(2,808
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.88%
|
8,500,000
|
01/15/2029
|
(18,202
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
1,285,000
|
01/15/2030
|
(1,548
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.13%
|
5,525,000
|
01/15/2031
|
(6,438
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 1.13%
|
5,900,000
|
01/15/2033
|
(40,614
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 0.75%
|
2,300,000
|
02/15/2042
|
(25,367
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 1.00%
|
2,000,000
|
02/15/2048
|
(27,941
)
|
GSI
|
U.S. Treasury Inflation-Indexed Bonds, 1.50%
|
3,300,000
|
02/15/2053
|
(57,180
)
|
Total unrealized depreciation
|
$(180,098
)
|
|||
Total net unrealized depreciation
|
$(159,885
)
|
Clearinghouse
|
Reference
Entity
|
Notional
Amount
|
Financing
Rate
Paid
by
the Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Payments/
(Receipts)
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
ICE CC
|
iTraxx Europe
Crossover Ser. 40 V.1
|
EUR
|
630,000
|
5.00%
|
3M
|
12/20/2028
|
$(24,997
)
|
$11,998
|
$(3,890
)
|
$(16,889
)
|
Clearinghouse
|
Reference
Entity
|
Notional
Amount
|
Financing
Rate
Received
by
the Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Payments/
(Receipts)
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
ICE CC
|
iTraxx Europe
Crossover Ser. 39
V.2
|
EUR
|
29,471,534
|
5.00%
|
3M
|
6/20/2028
|
$1,127,179
|
$221,997
|
$181,906
|
$1,531,082
|
Clearinghouse
|
Reference
Entity
|
Notional
Amount
|
Financing
Rate
Received
by
the Fund
|
Payment
Frequency
|
Maturity
Date
|
Upfront
Payments/
(Receipts)
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
ICE CC
|
CDX North
America High
Yield Index,
Ser. 41.V2
|
USD
|
175,840,000
|
5.00%
|
3M
|
12/20/2028
|
$80,732
|
$(1,252,178
)
|
$1,025,733
|
$(145,713
)
|
Total
|
|
|
|
|
|
|
$1,207,911
|
$(1,030,181
)
|
$1,207,639
|
$1,385,369
|
Clearinghouse
|
Notional
Amount
|
Fund
Receives/
Pays
Floating
Rate
|
Floating
Rate Index
|
Annual
Fixed-
Rate
|
Frequency
of Fund
Receipt/
Payment
|
Maturity
Date
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
LCH
|
CAD
|
53,859,000
|
Pay
|
3M CDOR
|
4.85%
|
6M/6M
|
5/26/2025
|
$(223,175
)
|
$(34,717
)
|
$(257,892
)
|
LCH
|
CAD
|
35,352,000
|
Pay
|
3M CDOR
|
4.91%
|
6M/6M
|
6/7/2025
|
(120,347
)
|
(32,886
)
|
(153,233
)
|
LCH
|
CAD
|
29,996,000
|
Receive
|
3M CDOR
|
2.67%
|
6M/6M
|
2/17/2027
|
1,344,692
|
127,383
|
1,472,075
|
LCH
|
CAD
|
29,996,000
|
Pay
|
3M CDOR
|
2.67%
|
6M/6M
|
2/17/2027
|
(1,344,692
)
|
(127,383
)
|
(1,472,075
)
|
LCH
|
CAD
|
1,528,000
|
Receive
|
CORRA
|
3.85%
|
6M/6M
|
10/25/2053
|
24,078
|
252
|
24,330
|
LCH
|
CAD
|
7,600,000
|
Receive
|
CORRA
|
3.92%
|
6M/6M
|
10/25/2053
|
59,165
|
1,186
|
60,351
|
LCH
|
EUR
|
2,000,000
|
Pay
|
6M EURIBOR
|
3.60%
|
1Y/6M
|
4/25/2025
|
(6,201
)
|
37,055
|
30,854
|
LCH
|
EUR
|
517,947
|
Pay
|
6M EURIBOR
|
3.50%
|
1Y/6M
|
4/28/2025
|
(2,391
)
|
9,579
|
7,188
|
LCH
|
EUR
|
4,700,708
|
Receive
|
EUROSTR
|
3.17%
|
1Y/1Y
|
5/5/2025
|
24,923
|
9,259
|
34,182
|
LCH
|
EUR
|
4,698,512
|
Pay
|
6M EURIBOR
|
3.43%
|
1Y/6M
|
5/5/2025
|
(25,843
)
|
(7,189
)
|
(33,032
)
|
LCH
|
EUR
|
1,690,000
|
Pay
|
EUROSTR
|
3.24%
|
1Y/1Y
|
10/26/2026
|
6,696
|
(196
)
|
6,500
|
LCH
|
EUR
|
373,000
|
Pay
|
EUROSTR
|
3.09%
|
1Y/1Y
|
10/26/2028
|
1,737
|
(53
)
|
1,684
|
LCH
|
EUR
|
206,577
|
Receive
|
6M EURIBOR
|
0.05%
|
6M/1Y
|
4/13/2031
|
46,475
|
420
|
46,895
|
LCH
|
EUR
|
404,461
|
Pay
|
6M EURIBOR
|
2.22%
|
1Y/6M
|
8/30/2032
|
(35,582
)
|
(1,347
)
|
(36,929
)
|
LCH
|
GBP
|
1,786,420
|
Receive
|
SONIA
|
4.79%
|
1Y/1Y
|
6/13/2028
|
(21,685
)
|
2,672
|
(19,013
)
|
LCH
|
GBP
|
3,576,556
|
Pay
|
SONIA
|
4.60%
|
1Y/1Y
|
9/14/2028
|
15,308
|
(3,455
)
|
11,853
|
LCH
|
GBP
|
1,794,482
|
Pay
|
SONIA
|
4.50%
|
1Y/1Y
|
9/21/2028
|
(1,260
)
|
(1,717
)
|
(2,977
)
|
LCH
|
NZD
|
43,330,308
|
Pay
|
3M BBR-FRA
|
5.56%
|
6M/3M
|
7/10/2025
|
(37,321
)
|
351,559
|
314,238
|
LCH
|
NZD
|
43,066,000
|
Pay
|
3M BBR-FRA
|
5.73%
|
6M/3M
|
7/11/2025
|
30,049
|
363,093
|
393,142
|
LCH
|
NZD
|
45,155,000
|
Pay
|
3M BBR-FRA
|
5.68%
|
6M/3M
|
9/26/2025
|
31,991
|
(908
)
|
31,083
|
CME
|
USD
|
5,816,000
|
Pay
|
USDSOFR
|
4.30%
|
1Y/1Y
|
10/26/2053
|
(4,199
)
|
(986
)
|
(5,185
)
|
CME
|
USD
|
1,152,000
|
Pay
|
USDSOFR
|
4.30%
|
1Y/1Y
|
10/27/2053
|
(256
)
|
(162
)
|
(418
)
|
Total
|
|
|
|
|
|
|
|
$(237,838
)
|
$691,459
|
$453,621
|
Centrally cleared inflation swaps
|
|
|||||||||
Clearinghouse
|
Notional
Amount
|
Fund
Receives/
Pays
Floating
Rate
|
Floating
Rate Index
|
Annual
Fixed-
Rate
|
Frequency
of Fund
Receipt/
Payment
|
Maturity
Date
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
LCH
|
EUR
|
1,600,000
|
Receive
|
FRCPXTOB
|
0.95%
|
T/T
|
4/15/2024
|
$218,621
|
$(48,720
)
|
$169,901
|
LCH
|
EUR
|
1,600,000
|
Pay
|
CPTFEMU
|
1.15%
|
T/T
|
4/15/2024
|
(300,887
)
|
59,227
|
(241,660
)
|
LCH
|
EUR
|
670,000
|
Receive
|
CPTFEMU
|
1.42%
|
T/T
|
4/15/2031
|
167,435
|
(30,548
)
|
136,887
|
Total
|
|
|
|
|
|
|
|
$85,169
|
$(20,041
)
|
$65,128
|
Counterparty
|
Reference
Entity
|
Notional
Amount
|
Maturity
Date
|
Variable
Rate(b)
|
Spread
|
Reference
Rate
|
Frequency
of Fund
Receipt/
Payment
|
Unrealized
Appreciation/
(Depreciation)
|
Accrued
Net
Interest
Receivable/
(Payable)
|
Value
|
|
GSI
|
iShares iBoxx $
High Yield Corp.
Bond ETF
|
USD
|
63,796,287
|
11/23/2023
|
4.35%
|
(1.00
)%
|
SOFR
|
T/T
|
$(1,848,132
)
|
$109,446
|
$(1,738,686
)
|
GSI
|
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
|
USD
|
71,154,583
|
12/20/2023
|
5.35%
|
—%
|
SOFR
|
T/3M
|
(3,390,417
)
|
(463,192
)
|
(3,853,609
)
|
Total
|
|
|
|
|
|
|
|
|
$(5,238,549
)
|
$(353,746
)
|
$(5,592,295
)
|
(a)
|
The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives
the total
return on the reference entity.
|
(b)
|
Effective rate at October 31, 2023.
|
Asset Valuation Inputs
|
Level 1
|
Level 2
|
Level 3(a)
|
Total
|
Investments:
|
|
|
|
|
U.S. Treasury Obligations
|
$—
|
$220,871,745
|
$—
|
$220,871,745
|
U.S. Government Agency Securities
|
—
|
2,090,478
|
—
|
2,090,478
|
Mortgage-Backed Securities#
|
—
|
2,055,645,234
|
—
|
2,055,645,234
|
Asset-Backed Securities
|
—
|
270,532,976
|
43,520
|
270,576,496
|
Corporate Bonds#
|
—
|
941,177,730
|
—
|
941,177,730
|
Loan Assignments#
|
—
|
854,597
|
—
|
854,597
|
Foreign Government Securities
|
—
|
128,283,437
|
—
|
128,283,437
|
Convertible Bonds#
|
—
|
376,688
|
—
|
376,688
|
Municipal Notes#
|
—
|
27,969,246
|
—
|
27,969,246
|
Common Stocks#
|
—
|
49,423
|
—
|
49,423
|
Investment Companies
|
—
|
578,674
|
—
|
578,674
|
Exchange-Traded Funds
|
58,692,798
|
—
|
—
|
58,692,798
|
Short-Term Investments
|
—
|
131,318,868
|
—
|
131,318,868
|
Total Investments
|
$58,692,798
|
$3,779,749,096
|
$43,520
|
$3,838,485,414
|
#
|
The Schedule of Investments provides information on the industry, state/territory or sector
categorization as
well as a Positions by Country summary.
|
(a)
|
The following is a reconciliation between the beginning and ending balances of investments in
which
significant unobservable inputs (Level 3) were used in determining value:
|
(000's
omitted)
|
Beginning
balance as
of 11/1/2022
|
Accrued
discounts/
(premiums)
|
Realized
gain/(loss)
|
Change
in unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance
as of
10/31/2023
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
10/31/2023
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities(1)
|
$—
|
$—
|
$(43
)
|
$76
|
$—
|
$(354
)
|
$365
|
$—
|
$44
|
$76
|
Loan Assignments(2)
|
520
|
—
|
(42
)
|
57
|
—
|
(535
)
|
—
|
—
|
—
|
—
|
Total
|
$520
|
$—
|
$(85
)
|
$133
|
$—
|
$(889
)
|
$365
|
$—
|
$44
|
$76
|
(1) Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The
Fund does not have access to significant unobservable inputs and therefore cannot disclose such
inputs used in formulating such quotation.
|
||||||||||
(2) At the beginning of the year, these investments were valued based on a single quotation obtained
from a dealer.
|
Other Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Futures@
|
|
|
|
|
Assets
|
$35,689,953
|
$—
|
$—
|
$35,689,953
|
Liabilities
|
(17,837,634
)
|
—
|
—
|
(17,837,634
)
|
Forward FX Contracts@
|
|
|
|
|
Assets
|
—
|
1,257,593
|
—
|
1,257,593
|
Liabilities
|
—
|
(1,146,227
)
|
—
|
(1,146,227
)
|
Bond Forwards@
|
|
|
|
|
Assets
|
—
|
20,213
|
—
|
20,213
|
Liabilities
|
—
|
(180,098
)
|
—
|
(180,098
)
|
Swaps
|
|
|
|
|
Assets
|
—
|
4,272,245
|
—
|
4,272,245
|
Liabilities
|
—
|
(7,977,311
)
|
—
|
(7,977,311
)
|
Total
|
$17,852,319
|
$(3,753,585
)
|
$—
|
$14,098,734
|
@
|
Futures, forward FX contracts and bond forwards are reported at the cumulative unrealized
appreciation/(depreciation) of the instrument.
|
|
Core Bond
Fund
|
Emerging
Markets
Debt Fund
|
Floating
Rate Income
Fund
|
High Income
Bond Fund
|
|
||||
Assets
|
|
|
|
|
Investments in securities, at value* (Notes A
& F)—
see Schedule of Investments:
|
|
|
|
|
Unaffiliated issuers(a)
|
$601,753,567
|
$139,661,650
|
$461,082,420
|
$690,794,918
|
Affiliated issuers(b)
|
—
|
—
|
—
|
—
|
|
601,753,567
|
139,661,650
|
461,082,420
|
690,794,918
|
Cash
|
—
|
—
|
—
|
—
|
Foreign currency(c)
|
19,697
|
433,915
|
—
|
—
|
Cash collateral segregated for futures contracts (Note A)
|
1,436,193
|
803,022
|
—
|
—
|
Cash collateral segregated for centrally cleared swap contracts (Note A)
|
—
|
1,095,882
|
—
|
—
|
Cash collateral segregated for over-the-counter derivatives (Note A)
|
—
|
—
|
—
|
—
|
Dividends and interest receivable
|
4,304,981
|
2,300,575
|
3,026,082
|
11,379,155
|
Receivable for securities sold
|
10,294,344
|
626,724
|
8,162,773
|
5,488,770
|
Receivable for accumulated variation margin on futures contracts
(Note A)
|
—
|
—
|
—
|
—
|
Receivable from Management—net (Note B)
|
—
|
10,356
|
—
|
—
|
Receivable for Fund shares sold
|
1,164,740
|
567,072
|
922,288
|
216,766
|
Receivable for accumulated variation margin on centrally cleared swap
contracts(d)(e)
(Note A)
|
—
|
—
|
—
|
—
|
Receivable for bond forward contracts
|
—
|
—
|
—
|
—
|
Receivable for forward foreign currency contracts (Note A)
|
—
|
1,023,977
|
—
|
—
|
Prepaid expenses and other assets
|
48,347
|
29,103
|
23,035
|
61,443
|
Total Assets
|
619,021,869
|
146,552,276
|
473,216,598
|
707,941,052
|
Liabilities
|
|
|
|
|
Over-the-counter swap contracts, at value (Note A)
|
—
|
89,223
|
—
|
—
|
Cash collateral segregated for over-the-counter derivatives due to
broker (Note A)
|
—
|
120,000
|
—
|
—
|
Cash collateral segregated for futures contracts due to broker (Note A)
|
—
|
—
|
—
|
—
|
Payable to investment manager—net (Notes A & B)
|
96,235
|
66,763
|
152,960
|
283,519
|
Payable for securities purchased
|
4,145,353
|
711,845
|
24,027,291
|
4,572,804
|
Payable for Fund shares redeemed
|
1,483,563
|
171,321
|
1,366,308
|
1,513,870
|
Payable for accumulated variation margin on futures contracts (Note A)
|
578,657
|
165,949
|
—
|
—
|
Payable for bond forward contracts (Note A)
|
—
|
—
|
—
|
—
|
Payable for forward foreign currency contracts (Note A)
|
—
|
1,003,308
|
—
|
—
|
Payable for accumulated variation margin on centrally cleared swap
contracts(d)(e)
(Note A)
|
—
|
541,121
|
—
|
—
|
Payable to administrator—net (Note B)
|
46,579
|
—
|
19,650
|
91,417
|
Payable to trustees
|
3,367
|
3,367
|
3,367
|
3,367
|
Payable for audit fees
|
55,100
|
56,381
|
59,780
|
60,080
|
Payable for legal fees
|
24,948
|
24,948
|
24,948
|
24,948
|
Payable for shareholder servicing fees
|
7,300
|
929
|
2,491
|
9,785
|
Distributions payable
|
203,528
|
7,282
|
34,679
|
439,388
|
Accrued capital gains taxes (Note A)
|
—
|
5,812
|
—
|
—
|
Other accrued expenses and payables
|
85,266
|
63,498
|
138,025
|
130,527
|
Total Liabilities
|
6,729,896
|
3,031,747
|
25,829,499
|
7,129,705
|
Unfunded Commitments (Note A)
|
—
|
—
|
—
|
—
|
Net Assets
|
$612,291,973
|
$143,520,529
|
$447,387,099
|
$700,811,347
|
|
|
|
|
|
Net Assets consist of:
|
|
|
|
|
Paid-in capital
|
$756,848,486
|
$204,407,085
|
$507,063,645
|
$1,055,757,068
|
Total distributable earnings/(losses)
|
(144,556,513
)
|
(60,886,556
)
|
(59,676,546
)
|
(354,945,721
)
|
Net Assets
|
$612,291,973
|
$143,520,529
|
$447,387,099
|
$700,811,347
|
Net Assets
|
|
|
|
|
Investor Class
|
$9,437,638
|
$—
|
$—
|
$54,363,861
|
Trust Class
|
—
|
—
|
—
|
—
|
Institutional Class
|
556,389,621
|
142,279,357
|
426,902,729
|
497,239,675
|
Class A
|
20,972,377
|
414,373
|
14,814,591
|
12,285,262
|
Class C
|
2,464,602
|
826,799
|
5,669,779
|
2,478,701
|
Class R3
|
—
|
—
|
—
|
1,470,891
|
Class R6
|
23,027,735
|
—
|
—
|
116,414,503
|
Class E
|
—
|
—
|
—
|
16,558,454
|
|
|
|
|
|
Municipal
High Income
Fund
|
Municipal
Impact Fund
|
Municipal
Intermediate
Bond Fund
|
Short
Duration
Bond Fund
|
Strategic
Income Fund
|
|
|
|
|
|
|
|
|
|
|
$62,928,510
|
$68,141,760
|
$177,492,825
|
$165,100,830
|
$3,837,906,740
|
—
|
—
|
—
|
—
|
578,674
|
62,928,510
|
68,141,760
|
177,492,825
|
165,100,830
|
3,838,485,414
|
87,155
|
63,651
|
45,119
|
—
|
199,172
|
—
|
—
|
—
|
—
|
9,087,031
|
—
|
—
|
—
|
358,932
|
—
|
—
|
—
|
—
|
—
|
17,044,579
|
—
|
—
|
—
|
—
|
6,619,000
|
974,247
|
915,825
|
2,292,271
|
1,028,944
|
27,064,961
|
1,086,770
|
255,072
|
40,000
|
106,572
|
92,290,321
|
—
|
—
|
—
|
265,006
|
17,852,319
|
13,892
|
13,329
|
—
|
7,904
|
—
|
29
|
65,906
|
841,906
|
75,946
|
5,850,941
|
—
|
—
|
—
|
—
|
1,887,229
|
—
|
—
|
—
|
—
|
20,213
|
—
|
—
|
—
|
—
|
1,257,593
|
22,337
|
20,260
|
35,326
|
48,767
|
139,038
|
65,112,940
|
69,475,803
|
180,747,447
|
166,992,901
|
4,017,797,811
|
|
|
|
|
|
—
|
—
|
—
|
—
|
5,592,295
|
—
|
—
|
—
|
—
|
60,000
|
—
|
—
|
—
|
—
|
7,211,883
|
22,134
|
14,934
|
21,137
|
23,802
|
1,127,522
|
1,257,695
|
—
|
3,432,539
|
981,090
|
653,976,203
|
182,403
|
73,900
|
1,145,457
|
230,121
|
14,934,999
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
180,098
|
—
|
—
|
—
|
—
|
1,146,227
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
2,751
|
—
|
448,700
|
3,367
|
3,367
|
3,367
|
3,367
|
3,367
|
51,680
|
52,470
|
54,670
|
58,170
|
67,880
|
26,877
|
24,948
|
24,948
|
24,948
|
24,948
|
985
|
10,750
|
2,063
|
5,222
|
12,707
|
2,040
|
13,708
|
108,666
|
6,299
|
1,944,585
|
—
|
—
|
—
|
—
|
1,622
|
14,563
|
14,894
|
20,200
|
35,544
|
291,829
|
1,561,744
|
208,971
|
4,815,798
|
1,368,563
|
687,024,865
|
—
|
—
|
—
|
—
|
—
|
$63,551,196
|
$69,266,832
|
$175,931,649
|
$165,624,338
|
$3,330,772,946
|
|
|
|
|
|
|
|
|
|
|
$86,206,921
|
$78,036,729
|
$196,960,322
|
$187,513,724
|
$3,956,854,772
|
(22,655,725
)
|
(8,769,897
)
|
(21,028,673
)
|
(21,889,386
)
|
(626,081,826
)
|
$63,551,196
|
$69,266,832
|
$175,931,649
|
$165,624,338
|
$3,330,772,946
|
|
|
|
|
|
$—
|
$—
|
$8,251,929
|
$15,509,138
|
$—
|
—
|
—
|
—
|
1,879,629
|
6,449,601
|
62,628,502
|
69,096,859
|
163,984,852
|
142,098,900
|
2,740,735,213
|
871,923
|
129,504
|
3,355,007
|
5,260,407
|
121,633,803
|
50,771
|
40,469
|
339,861
|
876,264
|
40,547,531
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
421,406,798
|
—
|
—
|
—
|
—
|
—
|
|
|
|
|
|
|
Core Bond
Fund
|
Emerging
Markets
Debt Fund
|
Floating
Rate Income
Fund
|
High Income
Bond Fund
|
|
||||
Shares Outstanding ($.001 par value; unlimited shares authorized)
|
|
|
|
|
Investor Class
|
1,139,504
|
—
|
—
|
7,667,587
|
Trust Class
|
—
|
—
|
—
|
—
|
Institutional Class
|
67,052,172
|
22,180,389
|
46,061,506
|
70,062,905
|
Class A
|
2,535,805
|
64,680
|
1,597,678
|
1,732,081
|
Class C
|
297,659
|
129,079
|
611,906
|
348,998
|
Class R3
|
—
|
—
|
—
|
207,280
|
Class R6
|
2,774,205
|
—
|
—
|
16,380,560
|
Class E
|
—
|
—
|
—
|
2,331,568
|
Net Asset Value, offering and redemption price per share
|
|
|
|
|
Investor Class
|
$8.28
|
$—
|
$—
|
$7.09
|
Trust Class
|
—
|
—
|
—
|
—
|
Institutional Class
|
8.30
|
6.41
|
9.27
|
7.10
|
Class R3
|
—
|
—
|
—
|
7.10
|
Class R6
|
8.30
|
—
|
—
|
7.11
|
Class E
|
—
|
—
|
—
|
7.10
|
Net Asset Value and redemption price per share
|
|
|
|
|
Class A
|
$8.27
|
$6.41
|
$9.27
|
$7.09
|
Offering Price per share
|
|
|
|
|
Class A‡
|
$8.64
|
$6.69
|
$9.68
|
$7.40
|
Net Asset Value and offering price per share
|
|
|
|
|
Class C^
|
$8.28
|
$6.41
|
$9.27
|
$7.10
|
*Cost of Investments:
|
|
|
|
|
(a) Unaffiliated issuers
|
$666,284,796
|
$157,766,798
|
$474,586,118
|
$744,944,789
|
(b) Affiliated issuers
|
$—
|
$—
|
$—
|
$—
|
Total cost of investments
|
$666,284,796
|
$157,766,798
|
$474,586,118
|
$744,944,789
|
(c) Total cost of foreign currency
|
$20,824
|
$475,564
|
$—
|
$—
|
(d) Unamortized upfront receipts on centrally cleared swap contracts
|
$—
|
$—
|
$—
|
$—
|
(e) Unamortized upfront payments on centrally cleared swap contracts
|
$—
|
$—
|
$—
|
$—
|
|
|
‡
|
On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other
circumstances described in the Fund's prospectus, offering price
is reduced.
|
^
|
Redemption price per share is equal to net asset value less any applicable contingent deferred
sales charge.
|
Municipal
High Income
Fund
|
Municipal
Impact Fund
|
Municipal
Intermediate
Bond Fund
|
Short
Duration
Bond Fund
|
Strategic
Income Fund
|
|
|
|
|
|
—
|
—
|
794,249
|
2,228,529
|
—
|
—
|
—
|
—
|
283,328
|
707,493
|
7,372,924
|
4,500,012
|
15,798,126
|
20,427,541
|
300,549,426
|
102,725
|
8,430
|
323,508
|
793,410
|
13,325,432
|
5,971
|
2,635
|
32,756
|
132,081
|
4,446,535
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
46,253,677
|
—
|
—
|
—
|
—
|
—
|
|
|
|
|
|
$—
|
$—
|
$10.39
|
$6.96
|
$—
|
—
|
—
|
—
|
6.63
|
9.12
|
8.49
|
15.35
|
10.38
|
6.96
|
9.12
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
9.11
|
—
|
—
|
—
|
—
|
—
|
|
|
|
|
|
$8.49
|
$15.36
|
$10.37
|
$6.63
|
$9.13
|
|
|
|
|
|
$8.87
|
$16.04
|
$10.83
|
$6.80
|
$9.54
|
|
|
|
|
|
$8.50
|
$15.36
|
$10.38
|
$6.63
|
$9.12
|
|
|
|
|
|
$76,767,721
|
$75,378,648
|
$193,120,482
|
$174,119,851
|
$4,229,852,268
|
$—
|
$—
|
$—
|
$—
|
$871,714
|
$76,767,721
|
$75,378,648
|
$193,120,482
|
$174,119,851
|
$4,230,723,982
|
$—
|
$—
|
$—
|
$—
|
$8,841,522
|
$—
|
$—
|
$—
|
$—
|
$(24,997
)
|
$—
|
$—
|
$—
|
$—
|
$1,207,911
|
|
Core Bond
Fund
|
Emerging
Markets
Debt Fund
|
Floating
Rate Income
Fund
|
High Income
Bond Fund
|
|
||||
Investment Income:
|
|
|
|
|
Income (Note A):
|
|
|
|
|
Dividend income—unaffiliated issuers
|
$—
|
$—
|
$52,805
|
$—
|
Dividend income—affiliated issuers (Note F)
|
—
|
—
|
—
|
—
|
Interest and other income—unaffiliated issuers
|
25,834,190
|
8,941,592
|
41,306,216
|
56,685,978
|
Foreign taxes withheld
|
—
|
(66,758
)
|
(15,842
)
|
—
|
Total income
|
$25,834,190
|
$8,874,834
|
$41,343,179
|
$56,685,978
|
Expenses:
|
|
|
|
|
Investment management fees (Note B)
|
1,058,187
|
726,122
|
1,794,815
|
3,636,869
|
Administration fees (Note B):
|
|
|
|
|
Investor Class
|
27,741
|
—
|
—
|
160,026
|
Trust Class
|
—
|
—
|
—
|
—
|
Institutional Class
|
802,667
|
196,312
|
643,267
|
816,513
|
Class A
|
55,367
|
1,192
|
36,977
|
33,597
|
Class C
|
5,378
|
1,906
|
16,643
|
8,015
|
Class R3
|
—
|
—
|
—
|
3,834
|
Class R6
|
9,999
|
—
|
—
|
60,557
|
Distribution fees (Note B):
|
|
|
|
|
Investor Class
|
25,686
|
—
|
—
|
—
|
Trust Class
|
—
|
—
|
—
|
—
|
Class A
|
51,266
|
1,103
|
34,238
|
31,109
|
Class C
|
19,919
|
7,062
|
61,642
|
29,684
|
Class R3
|
—
|
—
|
—
|
7,099
|
Shareholder servicing agent fees:
|
|
|
|
|
Investor Class
|
13,231
|
—
|
—
|
23,818
|
Trust Class
|
—
|
—
|
—
|
—
|
Institutional Class
|
5,295
|
1,721
|
3,482
|
6,376
|
Class A
|
1,113
|
755
|
4,362
|
2,379
|
Class C
|
353
|
147
|
388
|
681
|
Class R3
|
—
|
—
|
—
|
441
|
Class R6
|
1,921
|
—
|
—
|
3,617
|
Class E
|
—
|
—
|
—
|
111
|
Audit fees
|
56,080
|
58,144
|
60,760
|
61,060
|
Custodian and accounting fees
|
182,364
|
189,949
|
366,321
|
184,231
|
Insurance
|
12,806
|
2,367
|
11,650
|
25,629
|
Legal fees
|
70,117
|
67,735
|
71,060
|
65,632
|
Registration and filing fees
|
118,392
|
57,987
|
83,374
|
141,929
|
Shareholder reports
|
30,904
|
5,521
|
27,534
|
51,281
|
Trustees' fees and expenses
|
47,207
|
46,318
|
47,050
|
47,857
|
Interest
|
1,539
|
7,814
|
2,002
|
1,484
|
Miscellaneous and other fees (Note A)
|
44,339
|
23,213
|
41,118
|
54,679
|
Total expenses
|
2,641,871
|
1,395,368
|
3,306,683
|
5,458,508
|
|
|
|
|
|
Expenses reimbursed by Management (Note B)
|
(261,507
)
|
(347,081
)
|
(474,856
)
|
—
|
Investment management fees waived (Notes A & B)
|
—
|
—
|
—
|
(77,447
)
|
Total net expenses
|
2,380,364
|
1,048,287
|
2,831,827
|
5,381,061
|
Net investment income/(loss)
|
$23,453,826
|
$7,826,547
|
$38,511,352
|
$51,304,917
|
|
|
|
|
|
Municipal
High Income
Fund
|
Municipal
Impact Fund
|
Municipal
Intermediate
Bond Fund
|
Short
Duration
Bond Fund
|
Strategic
Income Fund
|
|
|
|
|
|
|
|
|
|
|
$17,293
|
$—
|
$—
|
$—
|
$3,236,272
|
—
|
—
|
—
|
—
|
115,723
|
3,133,647
|
1,874,318
|
5,251,063
|
8,852,241
|
169,030,636
|
—
|
—
|
—
|
—
|
(64,793
)
|
$3,150,940
|
$1,874,318
|
$5,251,063
|
$8,852,241
|
$172,317,838
|
|
|
|
|
|
301,680
|
187,591
|
257,990
|
294,967
|
11,627,722
|
|
|
|
|
|
—
|
—
|
23,525
|
42,560
|
—
|
—
|
—
|
—
|
11,013
|
28,199
|
111,632
|
112,159
|
258,491
|
225,659
|
3,485,165
|
2,489
|
453
|
7,670
|
10,873
|
310,181
|
208
|
260
|
1,073
|
2,912
|
111,815
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
210,071
|
|
|
|
|
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
7,049
|
2,305
|
420
|
7,102
|
10,068
|
287,204
|
770
|
962
|
3,972
|
10,784
|
414,129
|
—
|
—
|
—
|
—
|
—
|
|
|
|
|
|
—
|
—
|
4,720
|
18,322
|
—
|
—
|
—
|
—
|
870
|
3,487
|
350
|
30,011
|
717
|
663
|
12,501
|
—
|
—
|
—
|
449
|
10,547
|
—
|
—
|
—
|
178
|
2,046
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
9,249
|
—
|
—
|
—
|
—
|
—
|
52,660
|
53,189
|
56,434
|
58,889
|
68,599
|
58,117
|
56,454
|
68,322
|
95,596
|
559,679
|
2,969
|
2,120
|
3,935
|
4,010
|
65,844
|
73,794
|
70,678
|
69,937
|
66,534
|
69,088
|
65,429
|
53,637
|
81,645
|
121,828
|
205,519
|
2,954
|
11,752
|
8,125
|
8,477
|
167,888
|
46,233
|
46,216
|
46,452
|
46,415
|
51,923
|
1,171
|
—
|
289
|
314
|
39,921
|
11,677
|
12,047
|
17,698
|
25,584
|
158,519
|
734,438
|
637,949
|
918,097
|
1,056,965
|
17,906,345
|
|
|
|
|
|
(349,524
)
|
(311,257
)
|
(331,242
)
|
(395,079
)
|
(125,933
)
|
—
|
—
|
—
|
—
|
(4,859
)
|
384,914
|
326,692
|
586,855
|
661,886
|
17,775,553
|
$2,766,026
|
$1,547,626
|
$4,664,208
|
$8,190,355
|
$154,542,285
|
|
|
|
|
|
|
Core Bond
Fund
|
Emerging
Markets
Debt Fund
|
Floating
Rate Income
Fund
|
High Income
Bond Fund
|
|
||||
Realized and Unrealized Gain/(Loss) on Investments
(Note A):
|
|
|
|
|
Net realized gain/(loss) on:
|
|
|
|
|
Transactions in investment securities of unaffiliated issuers
|
(32,268,351
)
|
(7,717,955
)*
|
(8,231,631
)
|
(62,387,085
)
|
Transactions in investment securities of affiliated issuers
|
—
|
—
|
—
|
—
|
Settlement of bond forward contracts
|
—
|
—
|
—
|
—
|
Settlement of forward foreign currency contracts
|
—
|
257,737
|
—
|
—
|
Settlement of foreign currency transactions
|
—
|
(347,138
)
|
—
|
—
|
Expiration or closing of futures contracts
|
(2,811,173
)
|
(626,003
)
|
—
|
—
|
Expiration or closing of option contracts written
|
—
|
—
|
—
|
—
|
Expiration or closing of swap contracts
|
—
|
(1,745,253
)
|
—
|
608,152
|
Change in net unrealized appreciation/(depreciation) in
value of:
|
|
|
|
|
Investment securities of unaffiliated issuers
|
4,346,766
|
12,186,447
**
|
18,994,429
|
43,654,147
|
Investment securities of affiliated issuers
|
—
|
—
|
—
|
—
|
Unfunded commitments
|
—
|
—
|
116,382
|
—
|
Forward foreign currency contracts
|
—
|
23,915
|
—
|
—
|
Bond forward contracts
|
—
|
—
|
—
|
—
|
Foreign currency translations
|
(165
)
|
53,981
|
—
|
—
|
Futures contracts
|
(285,589
)
|
(105,257
)
|
—
|
—
|
Swap contracts
|
—
|
628,423
|
—
|
(142,659
)
|
Net gain/(loss) on investments
|
(31,018,512
)
|
2,608,897
|
10,879,180
|
(18,267,445
)
|
Net increase/(decrease) in net assets resulting from operations
|
$(7,564,686
)
|
$10,435,444
|
$49,390,532
|
$33,037,472
|
|
|
*
|
Net of foreign capital gains tax of $10,700 for Emerging Markets Debt and $8,554 for Strategic
Income.
|
**
|
Change in accrued foreign capital gains tax amounted to $1,683 for Emerging Markets Debt and
$530 for Strategic Income.
|
Municipal
High Income
Fund
|
Municipal
Impact Fund
|
Municipal
Intermediate
Bond Fund
|
Short
Duration
Bond Fund
|
Strategic
Income Fund
|
|
|
|
|
|
|
|
|
|
|
(3,244,124
)
|
(1,451,287
)
|
(2,607,581
)
|
(3,019,472
)
|
(205,208,710
)*
|
—
|
—
|
—
|
—
|
(159,393
)
|
—
|
—
|
—
|
—
|
(4,339,659
)
|
—
|
—
|
—
|
—
|
(5,233,771
)
|
—
|
—
|
—
|
—
|
673,024
|
—
|
—
|
—
|
(1,528,272
)
|
44,289,614
|
—
|
—
|
—
|
—
|
(357,879
)
|
—
|
—
|
—
|
(9,303
)
|
(5,380,085
)
|
|
|
|
|
|
2,187,290
|
1,029,967
|
1,984,057
|
4,465,237
|
106,092,144
**
|
—
|
—
|
—
|
—
|
363,971
|
—
|
—
|
—
|
—
|
56,697
|
—
|
—
|
—
|
—
|
1,417,345
|
—
|
—
|
—
|
—
|
925,000
|
—
|
—
|
—
|
—
|
(269,134
)
|
—
|
—
|
—
|
216,876
|
(7,077,597
)
|
—
|
—
|
—
|
(36,023
)
|
8,837,992
|
(1,056,834
)
|
(421,320
)
|
(623,524
)
|
89,043
|
(65,370,441
)
|
$1,709,192
|
$1,126,306
|
$4,040,684
|
$8,279,398
|
$89,171,844
|
|
Core Bond
Fund
|
Emerging
Markets
Debt Fund
|
||
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
|
||||
Increase/(Decrease) in Net Assets:
|
|
|
|
|
From Operations (Note A):
|
|
|
|
|
Net investment income/(loss)
|
$23,453,826
|
$13,410,654
|
$7,826,547
|
$7,770,697
|
Net realized gain/(loss) on investments
|
(35,079,524
)
|
(38,289,911
)
|
(10,178,612
)
|
(22,515,175
)
|
Change in net unrealized appreciation/(depreciation) of
investments
|
4,061,012
|
(73,297,988
)
|
12,787,509
|
(24,770,821
)
|
Net increase/(decrease) in net assets resulting from operations
|
(7,564,686
)
|
(98,177,245
)
|
10,435,444
|
(39,515,299
)
|
Distributions to Shareholders From (Note A):
|
|
|
|
|
Distributable earnings:
|
|
|
|
|
Investor Class
|
(393,987
)
|
(310,920
)
|
—
|
—
|
Institutional Class
|
(22,791,993
)
|
(15,477,499
)
|
(5,876,402
)
|
(4,428,406
)
|
Class A
|
(788,602
)
|
(557,649
)
|
(17,889
)
|
(10,402
)
|
Class C
|
(61,801
)
|
(22,123
)
|
(23,702
)
|
(10,798
)
|
Class R3
|
—
|
—
|
—
|
—
|
Class R6
|
(874,785
)
|
(257,714
)
|
—
|
—
|
Class E
|
—
|
—
|
—
|
—
|
Tax return of capital:
|
|
|
|
|
Institutional Class
|
—
|
—
|
(1,791,050
)
|
(3,043,733
)
|
Class A
|
—
|
—
|
(6,062
)
|
(9,214
)
|
Class C
|
—
|
—
|
(9,687
)
|
(13,320
)
|
Total distributions to shareholders
|
(24,911,168
)
|
(16,625,905
)
|
(7,724,792
)
|
(7,515,873
)
|
From Fund Share Transactions (Note D):
|
|
|
|
|
Proceeds from shares sold:
|
|
|
|
|
Investor Class
|
416,677
|
462,325
|
—
|
—
|
Institutional Class
|
334,223,051
|
228,608,025
|
82,334,008
|
68,776,229
|
Class A
|
7,114,900
|
6,011,658
|
2,144,990
|
2,667,025
|
Class C
|
1,384,075
|
1,065,337
|
292,220
|
300,000
|
Class R3
|
—
|
—
|
—
|
—
|
Class R6
|
15,145,017
|
14,308,457
|
—
|
—
|
Class E
|
—
|
—
|
—
|
—
|
Proceeds from reinvestment of dividends and distributions:
|
|
|
|
|
Investor Class
|
359,571
|
283,033
|
—
|
—
|
Institutional Class
|
21,185,808
|
11,553,595
|
7,604,828
|
7,304,857
|
Class A
|
674,131
|
455,907
|
20,246
|
17,518
|
Class C
|
50,130
|
18,332
|
32,488
|
23,375
|
Class R3
|
—
|
—
|
—
|
—
|
Class R6
|
711,539
|
219,665
|
—
|
—
|
Class E
|
—
|
—
|
—
|
—
|
Payments for shares redeemed:
|
|
|
|
|
Investor Class
|
(1,262,996
)
|
(1,737,605
)
|
—
|
—
|
Institutional Class
|
(182,291,343
)
|
(298,964,723
)
|
(54,089,808
)
|
(148,406,249
)
|
Class A
|
(4,457,769
)
|
(6,107,309
)
|
(2,261,230
)
|
(2,616,538
)
|
Class C
|
(370,196
)
|
(712,142
)
|
(160,978
)
|
(114,271
)
|
Class R3
|
—
|
—
|
—
|
—
|
Class R6
|
(4,638,750
)
|
(7,068,898
)
|
—
|
—
|
Class E
|
—
|
—
|
—
|
—
|
Net increase/(decrease) from Fund share transactions
|
188,243,845
|
(51,604,343
)
|
35,916,764
|
(72,048,054
)
|
Net Increase/(Decrease) in Net Assets
|
155,767,991
|
(166,407,493
)
|
38,627,416
|
(119,079,226
)
|
Net Assets:
|
|
|
|
|
Beginning of year
|
456,523,982
|
622,931,475
|
104,893,113
|
223,972,339
|
End of year
|
$612,291,973
|
$456,523,982
|
$143,520,529
|
$104,893,113
|
Floating
Rate Income
Fund
|
High Income
Bond Fund
|
Municipal
High Income
Fund
|
Municipal
Impact Fund
|
||||
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$38,511,352
|
$23,101,264
|
$51,304,917
|
$61,770,559
|
$2,766,026
|
$3,434,803
|
$1,547,626
|
$1,381,757
|
(8,231,631
)
|
(6,172,560
)
|
(61,778,933
)
|
(89,872,514
)
|
(3,244,124
)
|
(4,872,927
)
|
(1,451,287
)
|
(70,735
)
|
19,110,811
|
(33,323,346
)
|
43,511,488
|
(121,453,402
)
|
2,187,290
|
(20,543,117
)
|
1,029,967
|
(10,991,494
)
|
49,390,532
|
(16,394,642
)
|
33,037,472
|
(149,555,357
)
|
1,709,192
|
(21,981,241
)
|
1,126,306
|
(9,680,472
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
—
|
(3,912,388
)
|
(3,384,722
)
|
—
|
—
|
—
|
—
|
(37,155,416
)
|
(22,090,942
)
|
(36,794,477
)
|
(46,156,941
)
|
(2,763,460
)
|
(3,497,105
)
|
(1,548,819
)
|
(1,559,238
)
|
(1,140,711
)
|
(528,872
)
|
(806,084
)
|
(721,772
)
|
(30,903
)
|
(27,328
)
|
(2,851
)
|
(1,850
)
|
(464,956
)
|
(261,530
)
|
(166,823
)
|
(167,684
)
|
(1,977
)
|
(2,273
)
|
(890
)
|
(351
)
|
—
|
—
|
(86,966
)
|
(72,812
)
|
—
|
—
|
—
|
—
|
—
|
—
|
(8,303,539
)
|
(11,218,293
)
|
—
|
—
|
—
|
—
|
—
|
—
|
(1,194,583
)
|
(790,659
)
|
—
|
—
|
—
|
—
|
|
|
|
|
|
|
|
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
(38,761,083
)
|
(22,881,344
)
|
(51,264,860
)
|
(62,512,883
)
|
(2,796,340
)
|
(3,526,706
)
|
(1,552,560
)
|
(1,561,439
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
—
|
—
|
6,326,273
|
11,181,043
|
—
|
—
|
—
|
—
|
178,226,522
|
355,788,102
|
156,001,242
|
408,758,410
|
21,885,523
|
54,232,939
|
17,959,910
|
19,486,447
|
18,872,420
|
11,912,174
|
71,764,110
|
70,824,911
|
67,293
|
798,562
|
30,068
|
24,131
|
670,236
|
2,885,028
|
175,612
|
97,703
|
—
|
20,000
|
9,547
|
109,765
|
—
|
—
|
197,419
|
231,317
|
—
|
—
|
—
|
—
|
—
|
—
|
24,667,253
|
47,748,226
|
—
|
—
|
—
|
—
|
—
|
—
|
3,248,579
|
18,971,734
|
—
|
—
|
—
|
—
|
|
|
|
|
|
|
|
|
—
|
—
|
3,743,598
|
3,247,488
|
—
|
—
|
—
|
—
|
37,065,528
|
21,994,023
|
31,387,516
|
38,015,357
|
2,748,099
|
3,486,274
|
1,399,219
|
1,428,202
|
829,672
|
385,268
|
547,999
|
493,751
|
19,814
|
18,937
|
2,435
|
1,479
|
461,973
|
257,938
|
151,114
|
145,517
|
1,377
|
1,788
|
664
|
165
|
—
|
—
|
86,928
|
72,808
|
—
|
—
|
—
|
—
|
—
|
—
|
7,950,498
|
10,155,271
|
—
|
—
|
—
|
—
|
—
|
—
|
1,194,584
|
790,659
|
—
|
—
|
—
|
—
|
|
|
|
|
|
|
|
|
—
|
—
|
(16,046,203
)
|
(14,782,590
)
|
—
|
—
|
—
|
—
|
(243,239,468
)
|
(236,710,863
)
|
(294,507,544
)
|
(791,144,930
)
|
(45,222,574
)
|
(93,314,750
)
|
(26,584,059
)
|
(16,783,301
)
|
(16,327,823
)
|
(10,841,358
)
|
(72,978,744
)
|
(72,708,092
)
|
(154,659
)
|
(683,590
)
|
(38,440
)
|
(2,487
)
|
(2,280,722
)
|
(2,079,157
)
|
(936,932
)
|
(1,315,299
)
|
(46,340
)
|
(116,770
)
|
(97,346
)
|
(25
)
|
—
|
—
|
(149,428
)
|
(445,486
)
|
—
|
—
|
—
|
—
|
—
|
—
|
(45,471,539
)
|
(275,234,470
)
|
—
|
—
|
—
|
—
|
—
|
—
|
(2,040,221
)
|
(2,449,421
)
|
—
|
—
|
—
|
—
|
(25,721,662
)
|
143,591,155
|
(124,687,886
)
|
(547,346,093
)
|
(20,701,467
)
|
(35,556,610
)
|
(7,318,002
)
|
4,264,376
|
(15,092,213
)
|
104,315,169
|
(142,915,274
)
|
(759,414,333
)
|
(21,788,615
)
|
(61,064,557
)
|
(7,744,256
)
|
(6,977,535
)
|
|
|
|
|
|
|
|
|
462,479,312
|
358,164,143
|
843,726,621
|
1,603,140,954
|
85,339,811
|
146,404,368
|
77,011,088
|
83,988,623
|
$447,387,099
|
$462,479,312
|
$700,811,347
|
$843,726,621
|
$63,551,196
|
$85,339,811
|
$69,266,832
|
$77,011,088
|
|
Municipal
Intermediate
Bond Fund
|
Short
Duration
Bond Fund
|
||
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
|
||||
Increase/(Decrease) in Net Assets:
|
|
|
|
|
From Operations (Note A):
|
|
|
|
|
Net investment income/(loss)
|
$4,664,208
|
$4,026,995
|
$8,190,355
|
$4,360,310
|
Net realized gain/(loss) on investments
|
(2,607,581
)
|
(2,684,769
)
|
(4,557,047
)
|
(2,006,758
)
|
Change in net unrealized appreciation/(depreciation) of
investments
|
1,984,057
|
(25,692,636
)
|
4,646,090
|
(13,111,482
)
|
Net increase/(decrease) in net assets resulting from operations
|
4,040,684
|
(24,350,410
)
|
8,279,398
|
(10,757,930
)
|
Distributions to Shareholders From (Note A):
|
|
|
|
|
Distributable earnings:
|
|
|
|
|
Investor Class
|
(213,210
)
|
(253,002
)
|
(758,158
)
|
(552,055
)
|
Trust Class
|
—
|
—
|
(103,521
)
|
(76,230
)
|
Institutional Class
|
(4,484,793
)
|
(4,871,836
)
|
(7,531,288
)
|
(4,268,979
)
|
Class A
|
(63,900
)
|
(42,002
)
|
(190,574
)
|
(68,117
)
|
Class C
|
(5,845
)
|
(17,786
)
|
(41,971
)
|
(31,916
)
|
Class R6
|
—
|
—
|
—
|
—
|
Tax return of capital:
|
|
|
|
|
Investor Class
|
—
|
(25,855
)
|
—
|
(34,841
)
|
Trust Class
|
—
|
—
|
—
|
(5,430
)
|
Institutional Class
|
—
|
(465,089
)
|
—
|
(261,331
)
|
Class A
|
—
|
(4,867
)
|
—
|
(4,861
)
|
Class C
|
—
|
(2,790
)
|
—
|
(3,178
)
|
Class R6
|
—
|
—
|
—
|
—
|
Total distributions to shareholders
|
(4,767,748
)
|
(5,683,227
)
|
(8,625,512
)
|
(5,306,938
)
|
From Fund Share Transactions (Note D):
|
|
|
|
|
Proceeds from shares sold:
|
|
|
|
|
Investor Class
|
12,987
|
269,071
|
419,213
|
1,261,353
|
Trust Class
|
—
|
—
|
329,096
|
173,745
|
Institutional Class
|
58,554,440
|
52,962,717
|
58,417,912
|
140,217,436
|
Class A
|
2,999,570
|
883,741
|
3,728,772
|
1,343,165
|
Class C
|
144,902
|
81,180
|
453,171
|
361,264
|
Class R6
|
—
|
—
|
—
|
—
|
Proceeds from reinvestment of dividends and distributions:
|
|
|
|
|
Investor Class
|
168,261
|
235,557
|
726,610
|
562,175
|
Trust Class
|
—
|
—
|
103,444
|
81,607
|
Institutional Class
|
3,783,483
|
4,464,720
|
7,507,614
|
4,520,260
|
Class A
|
33,522
|
22,560
|
174,248
|
63,310
|
Class C
|
4,841
|
15,794
|
41,939
|
34,935
|
Class R6
|
—
|
—
|
—
|
—
|
Payments for shares redeemed:
|
|
|
|
|
Investor Class
|
(1,069,345
)
|
(1,939,013
)
|
(2,449,259
)
|
(2,733,044
)
|
Trust Class
|
—
|
—
|
(814,289
)
|
(727,824
)
|
Institutional Class
|
(52,838,121
)
|
(98,700,280
)
|
(71,129,639
)
|
(73,597,796
)
|
Class A
|
(1,847,807
)
|
(431,143
)
|
(1,507,005
)
|
(307,587
)
|
Class C
|
(245,450
)
|
(1,092,185
)
|
(831,996
)
|
(572,666
)
|
Class R6
|
—
|
—
|
—
|
—
|
Net increase/(decrease) from Fund share transactions
|
9,701,283
|
(43,227,281
)
|
(4,830,169
)
|
70,680,333
|
Net Increase/(Decrease) in Net Assets
|
8,974,219
|
(73,260,918
)
|
(5,176,283
)
|
54,615,465
|
Net Assets:
|
|
|
|
|
Beginning of year
|
166,957,430
|
240,218,348
|
170,800,621
|
116,185,156
|
End of year
|
$175,931,649
|
$166,957,430
|
$165,624,338
|
$170,800,621
|
Strategic
Income Fund
|
|
Fiscal Year
Ended
|
Fiscal Year
Ended
|
|
|
|
|
$154,542,285
|
$108,466,045
|
(175,716,859
)
|
(67,189,451
)
|
110,346,418
|
(484,027,628
)
|
89,171,844
|
(442,751,034
)
|
|
|
|
|
—
|
—
|
(350,201
)
|
(411,205
)
|
(123,446,104
)
|
(124,345,886
)
|
(5,670,296
)
|
(5,383,644
)
|
(1,747,864
)
|
(2,354,354
)
|
(22,758,248
)
|
(22,377,773
)
|
|
|
—
|
—
|
(18,632
)
|
(137,554
)
|
(6,146,611
)
|
(39,485,439
)
|
(303,433
)
|
(1,863,442
)
|
(109,461
)
|
(906,470
)
|
(1,111,540
)
|
(7,017,498
)
|
(161,662,390
)
|
(204,283,265
)
|
|
|
|
|
—
|
—
|
652,144
|
230,713
|
1,593,369,123
|
1,058,782,584
|
51,845,268
|
37,052,686
|
10,263,927
|
4,426,167
|
77,476,984
|
77,169,442
|
|
|
—
|
—
|
359,088
|
531,731
|
109,093,955
|
129,532,034
|
4,510,212
|
4,813,690
|
1,662,278
|
2,880,610
|
23,628,880
|
29,255,762
|
|
|
—
|
—
|
(1,648,765
)
|
(1,389,318
)
|
(853,000,067
)
|
(1,274,498,064
)
|
(35,436,656
)
|
(48,102,378
)
|
(13,664,334
)
|
(20,031,467
)
|
(70,697,355
)
|
(58,092,479
)
|
898,414,682
|
(57,438,287
)
|
825,924,136
|
(704,472,586
)
|
|
|
2,504,848,810
|
3,209,321,396
|
$3,330,772,946
|
$2,504,848,810
|
|
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net Unrealized
Appreciation/
(Depreciation)
|
Core Bond
|
$666,803,645
|
$617,029
|
$65,667,107
|
$(65,050,078
)
|
Emerging Markets Debt
|
160,091,169
|
2,259,175
|
23,360,856
|
(21,101,681
)
|
Floating Rate Income
|
474,091,783
|
2,073,799
|
15,651,445
|
(13,577,646
)
|
High Income
|
750,100,629
|
2,533,253
|
61,838,964
|
(59,305,711
)
|
Municipal High Income
|
77,187,483
|
102,680
|
14,361,653
|
(14,258,973
)
|
Municipal Impact
|
75,381,160
|
13,866
|
7,253,266
|
(7,239,400
)
|
Municipal Intermediate Bond
|
193,120,482
|
184,927
|
15,812,584
|
(15,627,657
)
|
Short Duration
|
174,523,699
|
785,633
|
10,208,502
|
(9,422,869
)
|
Strategic Income
|
4,235,756,525
|
15,867,882
|
413,635,635
|
(397,767,753
)
|
|
Distributions Paid From:
|
|||||||||
|
Ordinary
Income
|
Tax-Exempt
Income
|
Long-Term
Capital Gain
|
Return of
Capital
|
Total
|
|||||
|
2023
|
2022
|
2023
|
2022
|
2023
|
2022
|
2023
|
2022
|
2023
|
2022
|
Core Bond
|
$24,911,168
|
$16,625,905
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$24,911,168
|
$16,625,905
|
Emerging
Markets Debt
|
5,917,993
|
4,449,606
|
—
|
—
|
—
|
—
|
1,806,799
|
3,066,267
|
7,724,792
|
7,515,873
|
Floating Rate
Income
|
38,761,083
|
22,881,344
|
—
|
—
|
—
|
—
|
—
|
—
|
38,761,083
|
22,881,344
|
High Income
|
51,264,860
|
62,512,883
|
—
|
—
|
—
|
—
|
—
|
—
|
51,264,860
|
62,512,883
|
Municipal
High Income
|
26,844
|
61,589
|
2,769,496
|
3,465,117
|
—
|
—
|
—
|
—
|
2,796,340
|
3,526,706
|
Municipal
Impact
|
6,865
|
134,403
|
1,545,695
|
1,382,566
|
—
|
44,470
|
—
|
—
|
1,552,560
|
1,561,439
|
Municipal
Intermediate
Bond
|
2,443
|
435,712
|
4,765,305
|
3,772,717
|
—
|
976,197
|
—
|
498,601
|
4,767,748
|
5,683,227
|
Short
Duration
|
8,625,512
|
4,997,297
|
—
|
—
|
—
|
—
|
—
|
309,641
|
8,625,512
|
5,306,938
|
Strategic
Income
|
153,972,713
|
143,506,946
|
—
|
—
|
—
|
11,365,916
|
7,689,677
|
49,410,403
|
161,662,390
|
204,283,265
|
|
|
|
|
|
|
|
|
|
|
|
|
Undistributed
Ordinary
Income
|
Undistributed
Tax-Exempt
Income
|
Undistributed
Long-Term
Capital Gain
|
Unrealized
Appreciation/
(Depreciation)
|
Loss
Carryforwards
and Deferrals
|
Other
Temporary
Differences
|
Total
|
Core Bond
|
$864,529
|
$—
|
$—
|
$(65,051,204
)
|
$(80,166,311
)
|
$(203,528
)
|
$(144,556,514
)
|
Emerging
Markets Debt
|
—
|
—
|
—
|
(21,135,701
)
|
(39,726,366
)
|
(24,489
)
|
(60,886,556
)
|
Floating Rate
Income
|
7,021
|
—
|
—
|
(13,577,646
)
|
(46,046,804
)
|
(59,117
)
|
(59,676,546
)
|
High Income
|
—
|
—
|
—
|
(59,305,711
)
|
(295,201,938
)
|
(438,072
)
|
(354,945,721
)
|
Municipal High
Income
|
—
|
397,177
|
—
|
(14,258,973
)
|
(8,782,663
)
|
(11,266
)
|
(22,655,725
)
|
Municipal
Impact
|
—
|
5,233
|
—
|
(7,239,400
)
|
(1,522,022
)
|
(13,708
)
|
(8,769,897
)
|
Municipal
Intermediate
Bond
|
—
|
—
|
—
|
(15,627,657
)
|
(5,292,350
)
|
(108,666
)
|
(21,028,673
)
|
Short Duration
|
35,855
|
—
|
—
|
(9,422,869
)
|
(12,496,073
)
|
(6,299
)
|
(21,889,386
)
|
Strategic
Income
|
—
|
—
|
—
|
(397,505,056
)
|
(226,632,185
)
|
(1,944,585
)
|
(626,081,826
)
|
|
Capital Loss Carryforwards
|
|
|
Long-Term
|
Short-Term
|
Core Bond
|
$43,511,250
|
$36,654,033
|
Emerging Markets Debt
|
22,010,579
|
17,453,870
|
Floating Rate Income
|
31,876,663
|
14,170,141
|
High Income
|
218,493,032
|
76,708,906
|
Municipal High Income
|
4,764,568
|
4,018,095
|
Municipal Impact
|
1,406,189
|
115,833
|
Municipal Intermediate Bond
|
3,477,573
|
1,814,777
|
Short Duration
|
7,864,950
|
4,631,123
|
Strategic Income
|
128,021,800
|
98,514,177
|
|
Asset Derivatives
|
Liability Derivatives
|
||
Fund
|
Statements of
Assets and Liabilities
Location
|
Value
|
Statements of
Assets and Liabilities
Location
|
Value
|
Core Bond
|
|
|
|
|
Futures
|
|
|
|
|
Interest rate risk
|
$146,359
|
$(725,016
)
|
||
Emerging Markets Debt
|
|
|
|
|
Futures
|
|
|
|
|
Interest rate risk
|
251,285
|
(417,234
)
|
||
Forward FX contracts
|
|
|
|
|
Currency risk
|
Receivable for forward foreign
currency contracts
|
1,023,977
|
Payable for forward foreign
currency contracts
|
(1,003,308
)
|
Centrally cleared swaps
|
|
|
|
|
Interest rate risk
|
251,213
|
(792,334
)
|
||
Over-the-counter swaps
|
|
|
|
|
Interest rate risk
|
Over-the-counter swap contracts,
at value
|
—
|
Over-the-counter swap contracts,
at value
|
(89,223
)
|
Short Duration
|
|
|
|
|
Futures
|
|
|
|
|
Interest rate risk
|
615,871
|
(350,865
)
|
||
Strategic Income
|
|
|
|
|
Futures
|
|
|
|
|
Interest rate risk
|
35,689,953
|
(17,837,634
)
|
||
Bond forwards
|
|
|
|
|
Interest rate risk
|
Receivable for bond forward
|
20,213
|
Payable for bond forward
|
(180,098
)
|
|
Asset Derivatives
|
Liability Derivatives
|
||
Fund
|
Statements of
Assets and Liabilities
Location
|
Value
|
Statements of
Assets and Liabilities
Location
|
Value
|
Forward FX contracts
|
|
|
|
|
Currency risk
|
Receivable for forward foreign
currency contracts
|
$1,257,593
|
Payable for forward foreign
currency contracts
|
$(1,146,227
)
|
Centrally cleared swaps
|
|
|
|
|
Interest rate risk
|
2,741,163
|
(2,222,414
)
|
||
Credit Risk
|
1,531,082
|
(162,602
)
|
||
Total centrally cleared swaps
|
|
4,272,245
|
|
(2,385,016
)
|
Over-the-counter swaps
|
|
|
|
|
Credit Risk
|
Over-the-counter swap contracts,
at value(a)
|
—
|
Over-the-counter swap contracts,
at value(a)
|
(5,592,295
)
|
(a)
|
"Centrally cleared swaps" and "over-the counter swaps" reflect the cumulative unrealized
appreciation/(depreciation) of the centrally cleared swap and over-the-counter swap contracts
plus accrued
interest as of October 31, 2023.
|
Fund
|
Net Realized Gain/
(Loss) on Derivatives(a)
|
|
Change in Net Unrealized
Appreciation/
(Depreciation) on
Derivatives(b)
|
Core Bond
|
|
|
|
Futures
|
|
|
|
Interest rate risk
|
$(2,811,173
)
|
|
$(285,589
)
|
Emerging Markets Debt
|
|
|
|
Futures
|
|
|
|
Interest rate risk
|
(626,003
)
|
|
(105,257
)
|
Forward FX contracts
|
|
|
|
Currency risk
|
257,737
|
|
23,915
|
Swaps
|
|
|
|
Interest rate risk
|
(1,159,498
)
|
|
538,866
|
Credit Risk
|
(585,755
)
|
|
89,557
|
Total swaps
|
(1,745,253
)
|
|
628,423
|
High Income
|
|
|
|
Swaps
|
|
|
|
Credit Risk
|
608,152
|
|
(142,659
)
|
Fund
|
Net Realized Gain/
(Loss) on Derivatives(a)
|
|
Change in Net Unrealized
Appreciation/
(Depreciation) on
Derivatives(b)
|
Short Duration
|
|
|
|
Futures
|
|
|
|
Interest rate risk
|
$(1,528,272
)
|
|
$216,876
|
Swaps
|
|
|
|
Credit Risk
|
(9,303
)
|
|
(36,023
)
|
Strategic Income
|
|
|
|
Futures
|
|
|
|
Interest rate risk
|
44,289,614
|
|
(7,077,598
)
|
Forward FX contracts
|
|
|
|
Currency risk
|
(5,233,771
)
|
|
1,417,345
|
Bond forwards
|
|
|
|
Interest rate risk
|
(4,339,659
)
|
|
925,000
|
Swaps
|
|
|
|
Interest rate risk
|
655,880
|
|
474,478
|
Credit Risk
|
(6,035,965
)
|
|
8,363,514
|
Total swaps
|
(5,380,085
)
|
|
8,837,992
|
Options purchased
|
|
|
|
Interest rate risk
|
27,042
|
|
-
|
Options written
|
|
|
|
Interest rate risk
|
(357,879
)
|
|
-
|
(a)
|
Net realized gain/(loss) on derivatives is located in the Statements of Operations each under
the caption,
"Net realized gain/(loss) on:"
|
Futures
|
Expiration or closing of futures contracts
|
Forward FX contracts
|
Settlement of forward foreign currency contracts
|
Bond Forwards
|
Settlement of bond forward contracts
|
Swaps
|
Expiration or closing of swap contracts
|
Options purchased
|
Transactions in investment securities of unaffiliated issuers
|
Options written
|
Expiration or closing of option contracts written
|
(b)
|
Change in net unrealized appreciation/(depreciation) is located in the Statements of
Operations each under
the caption, "Change in net unrealized appreciation/(depreciation) in value of:"
|
Futures
|
Futures contracts
|
Forward FX contracts
|
Forward foreign currency contracts
|
Bond forwards
|
Bond forward contracts
|
Swaps
|
Swap contracts
|
Description
|
Gross Amounts of Assets
Presented in the Statements
of Assets and Liabilities
|
Gross Amounts of Liabilities
Presented in the Statements
of Assets and Liabilities
|
Emerging Markets
Debt
|
|
|
Forward FX contracts
|
$1,023,977
|
$(1,003,308
)
|
Over-the-counter swap
|
—
|
(89,223
)
|
Total
|
$1,023,977
|
$(1,092,531
)
|
Strategic Income
|
|
|
Bond Forward
|
$20,213
|
$(180,098
)
|
Forward FX contracts
|
1,257,593
|
(1,146,227
)
|
Over-the-counter swap
|
—
|
(5,592,295
)
|
Total
|
$1,277,806
|
$(6,918,620
)
|
Gross Amounts Not Offset in the Statements of Assets and
Liabilities:
|
||||||||
|
Assets
|
Liabilities
|
||||||
Counterparty
|
Gross Amounts
Presented in
the Statements
of Assets and
Liabilities
|
Liabilities
Available
for Offset
|
Collateral
Received(a)
|
Net
Amount(b)
|
Gross Amounts
Presented in
the Statements
of Assets and
Liabilities
|
Assets
Available
for Offset
|
Collateral
Pledged(a)
|
Net
Amount(b)
|
Emerging Markets Debt
|
|
|
|
|
|
|
|
|
BCB
|
$43,450
|
$(43,450
)
|
$—
|
$—
|
$(66,770
)
|
$43,450
|
$—
|
$(23,320
)
|
BNP
|
15,641
|
(15,641
)
|
—
|
—
|
(22,959
)
|
15,641
|
—
|
(7,318
)
|
CITI
|
388,598
|
(247,118
)
|
(110,000
)
|
31,480
|
(247,118
)
|
247,118
|
—
|
—
|
DB
|
11,212
|
(8,000
)
|
—
|
3,212
|
(8,000
)
|
8,000
|
—
|
—
|
GSI
|
99,007
|
(99,007
)
|
—
|
—
|
(169,355
)
|
99,007
|
—
|
(70,348
)
|
HSBC
|
63,970
|
(63,970
)
|
—
|
—
|
(160,758
)
|
63,970
|
—
|
(96,788
)
|
JPM
|
205,211
|
(180,156
)
|
—
|
25,055
|
(180,156
)
|
180,156
|
—
|
—
|
MS
|
72,627
|
(72,627
)
|
—
|
—
|
(162,652
)
|
72,627
|
—
|
(90,025
)
|
SCB
|
96,697
|
(54,061
)
|
—
|
42,636
|
(54,061
)
|
54,061
|
—
|
—
|
SSB
|
27,564
|
(20,702
)
|
—
|
6,862
|
(20,702
)
|
20,702
|
—
|
—
|
Total
|
$1,023,977
|
$(804,732
)
|
$(110,000
)
|
$109,245
|
$(1,092,531
)
|
$804,732
|
$—
|
$(287,799
)
|
Strategic Income
|
|
|
|
|
|
|
|
|
BCB
|
$175
|
$—
|
$—
|
$175
|
$—
|
$—
|
$—
|
$—
|
CITI
|
142,723
|
(142,723
)
|
—
|
—
|
(487,766
)
|
142,723
|
345,043
|
—
|
GSI
|
375,320
|
(375,320
)
|
—
|
—
|
(6,064,108
)
|
375,320
|
5,688,788
|
—
|
HSBC
|
60,085
|
—
|
—
|
60,085
|
—
|
—
|
—
|
—
|
JPM
|
305,207
|
(175,689
)
|
(60,000
)
|
69,518
|
(175,689
)
|
175,689
|
—
|
—
|
MS
|
24,745
|
—
|
—
|
24,745
|
—
|
—
|
—
|
—
|
SCB
|
2,998
|
(2,998
)
|
—
|
—
|
(5,775
)
|
2,998
|
—
|
(2,777
)
|
SG
|
366,553
|
(185,282
)
|
—
|
181,271
|
(185,282
)
|
185,282
|
—
|
—
|
Total
|
$1,277,806
|
$(882,012
)
|
$(60,000
)
|
$335,794
|
$(6,918,620
)
|
$882,012
|
$6,033,831
|
$(2,777
)
|
(a)
|
Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount
of assets (or
liabilities) in the tables presented above, for each respective counterparty.
|
(b)
|
A net amount greater than zero represents amounts subject to loss as of October 31, 2023, in
the event of
a counterparty failure. A net amount less than zero represents amounts under-collateralized to
each
counterparty as of October 31, 2023.
|
|
Management
Fees Waived
|
Distributions from
Income and
Capital Gains
|
Strategic Income
|
$ 4,859
|
$ 115,723
|
Floating Rate Income
|
||
Borrower
|
Principal
Amount
|
Value
|
HCFS Notes, 0.00%, due 12/31/2031(a)
|
$1,000,000
|
$1,000,000
|
High Income
|
||
Borrower
|
Principal
Amount
|
Value
|
HCFS Notes, 0.00%, due 12/31/2031(a)
|
$2,385,000
|
$2,385,000
|
Strategic Income
|
||
Borrower
|
Principal
Amount
|
Value
|
HCFS Notes, 0.00%, due 12/31/2031(a)
|
$1,580,000
|
$1,580,000
|
(a)
|
Security fair valued as of October 31, 2023 in accordance with procedures approved by the
valuation
designee.
|
Each Fund retains NBIA as its investment manager under a Management Agreement. For such investment
management services, each Fund pays NBIA an investment management fee as a percentage of
average
daily net assets according to the following table:
|
|||||||
|
First
$250
million
|
Next
$250
million
|
Next
$250
million
|
Next
$250
million
|
Next
$500
million
|
Next
$500
million
|
Thereafter
|
Core Bond
|
0.18
%
|
0.18
%
|
0.18
%
|
0.18
%
|
0.18
%
|
0.18
%
|
0.15
%
|
Emerging Markets Debt
|
0.55
%
|
0.55
%
|
0.55
%
|
0.55
%
|
0.55
%
|
0.55
%
|
0.55
%
|
Floating Rate Income
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
High Income(a)
|
0.48
%
|
0.48
%
|
0.48
%
|
0.48
%
|
0.48
%
|
0.48
%
|
0.48
%
|
Municipal High Income
|
0.40
%
|
0.40
%
|
0.375
%
|
0.375
%
|
0.35
%
|
0.325
%
|
0.30
%
|
Municipal Impact
|
0.25
%
|
0.25
%
|
0.225
%
|
0.225
%
|
0.20
%
|
0.175
%
|
0.15
%
|
Municipal Intermediate Bond
|
0.14
%
|
0.14
%
|
0.14
%
|
0.14
%
|
0.14
%
|
0.14
%
|
0.14
%
|
Short Duration
|
0.17
%
|
0.17
%
|
0.17
%
|
0.17
%
|
0.17
%
|
0.17
%
|
0.15
%
|
Strategic Income
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
0.40
%
|
(a)
|
NBIA has contractually agreed to waive its Class E management fee for the below Fund. This
undertaking
lasts until October 31, 2023 and may not be terminated during its term without the consent of
the Board.
Management fees contractually waived pursuant to this waiver for Class E are not subject to
recovery by
NBIA.
|
Fund
|
Annualized
Percentage of
Average Daily
Net Assets
Waived
|
Effective Date(s)
|
|
High Income
|
0.48
%
|
1/11/2022
|
$ 77,447
|
|
|
Effective Rate
|
Core Bond
|
0.18
%
|
|
High Income
|
0.48
%(a)
|
|
Municipal High Income
|
0.40
%
|
|
Municipal Impact
|
0.25
%
|
|
Short Duration
|
0.17
%
|
|
Strategic Income
|
0.40
%(b)
|
(a)
|
After waivers, 0.47% annual effective net rate of the Fund’s average daily net assets.
|
(b)
|
After management fee waiver (Note A).
|
|
|
|
Expenses Reimbursed in
Year Ended October 31,
|
||
|
|
|
2022
|
2023
|
|
|
|
|
Subject to Repayment until
October 31,
|
||
Class
|
Contractual
Expense
Limitation(a)
|
Expiration
|
2024
|
2025
|
2026
|
Core Bond Investor Class
|
0.78
%
|
10/31/26
|
$13,198
|
$17,290
|
$14,528
|
Core Bond Institutional Class
|
0.38
%
|
10/31/26
|
212,423
|
219,953
|
232,273
|
Core Bond Class A
|
0.78
%
|
10/31/26
|
3,024
|
3,834
|
3,727
|
Core Bond Class C
|
1.53
%
|
10/31/26
|
516
|
511
|
618
|
Core Bond Class R6
|
0.28
%
|
10/31/26
|
2,056
|
4,462
|
10,361
|
Emerging Markets Debt Institutional Class
|
0.78
%
|
10/31/26
|
333,789
|
347,064
|
343,109
|
Emerging Markets Debt Class A
|
1.15
%
|
10/31/26
|
2,562
|
1,777
|
1,956
|
Emerging Markets Debt Class C
|
1.90
%
|
10/31/26
|
1,321
|
1,843
|
2,016
|
Floating Rate Income Institutional Class
|
0.60
%(b)
|
10/31/26
|
436,784
|
494,544
|
449,378
|
Floating Rate Income Class A
|
0.97
%(b)
|
10/31/26
|
17,310
|
15,422
|
18,698
|
Floating Rate Income Class C
|
1.72
%(b)
|
10/31/26
|
11,014
|
8,329
|
6,780
|
High Income Investor Class
|
1.00
%
|
10/31/26
|
—
|
—
|
—
|
High Income Institutional Class
|
0.75
%
|
10/31/26
|
—
|
—
|
—
|
High Income Class A
|
1.12
%
|
10/31/26
|
—
|
—
|
—
|
High Income Class C
|
1.87
%
|
10/31/26
|
—
|
—
|
—
|
High Income Class R3
|
1.37
%
|
10/31/26
|
—
|
—
|
—
|
High Income Class R6
|
0.65
%
|
10/31/26
|
—
|
—
|
—
|
Municipal High Income Institutional Class
|
0.50
%
|
10/31/26
|
339,041
|
368,149
|
345,088
|
Municipal High Income Class A
|
0.87
%
|
10/31/26
|
3,504
|
6,041
|
4,146
|
Municipal High Income Class C
|
1.62
%
|
10/31/26
|
754
|
2,728
|
290
|
Municipal Impact Institutional Class
|
0.43
%
|
10/31/26
|
280,447
|
315,217
|
310,517
|
Municipal Impact Class A
|
0.80
%
|
10/31/26
|
542
|
2,788
|
445
|
Municipal Impact Class C
|
1.55
%
|
10/31/26
|
187
|
2,471
|
295
|
Municipal Intermediate Bond Investor Class
|
0.45
%
|
10/31/26
|
18,508
|
22,599
|
17,677
|
Municipal Intermediate Bond Institutional Class
|
0.30
%
|
10/31/26
|
299,074
|
306,017
|
308,562
|
Municipal Intermediate Bond Class A
|
0.67
%
|
10/31/26
|
3,614
|
5,749
|
4,759
|
Municipal Intermediate Bond Class C
|
1.42
%
|
10/31/26
|
2,706
|
4,207
|
244
|
Short Duration Investor Class
|
0.54
%
|
10/31/26
|
80,344
|
50,129
|
40,838
|
Short Duration Trust Class
|
0.64
%
|
10/31/26
|
12,731
|
8,606
|
6,868
|
Short Duration Institutional Class
|
0.34
%
|
10/31/26
|
246,584
|
319,603
|
335,300
|
Short Duration Class A
|
0.71
%(c)
|
10/31/26
|
7,874
|
6,186
|
9,500
|
|
|
|
Expenses Reimbursed in
Year Ended October 31,
|
||
|
|
|
2022
|
2023
|
|
|
|
|
Subject to Repayment until
October 31,
|
||
Class
|
Contractual
Expense
Limitation(a)
|
Expiration
|
2024
|
2025
|
2026
|
Short Duration Class C
|
1.46
%(c)
|
10/31/26
|
$7,242
|
$4,014
|
$2,573
|
Strategic Income Trust Class
|
0.94
%
|
10/31/26
|
3,911
|
4,533
|
3,707
|
Strategic Income Institutional Class
|
0.59
%
|
10/31/26
|
202,570
|
209,081
|
87,652
|
Strategic Income Class A
|
0.99
%
|
10/31/26
|
—
|
—
|
—
|
Strategic Income Class C
|
1.69
%
|
10/31/26
|
22,219
|
18,239
|
11,667
|
Strategic Income Class R6
|
0.49
%
|
10/31/26
|
33,341
|
40,769
|
22,907
|
(a)
|
Expense limitation per annum of the respective class’s average daily net assets.
|
(b)
|
Classes that have had changes to their respective limitations are noted below.
|
Class
|
Expense
limitation
|
Prior to
|
Floating Rate Income Institutional Class
|
0.70
%
|
01/15/21
|
Floating Rate Income Class A
|
1.07
%
|
01/15/21
|
Floating Rate Income Class C
|
1.82
%
|
01/15/21
|
(c)
|
Effective December 15, 2023, in addition to the contractual undertaking described above for
Short
Duration, NBIA has voluntarily undertaken to waive fees and/or reimburse certain expenses so
that their
Operating Expenses, per annum of their respective average daily net assets, are limited to
0.46% for Class A
and Class C. NBIA may, at its sole discretion, modify or terminate the voluntary waiver and/or
reimbursement without notice to the Fund. Fees voluntarily waived and/or reimbursed are not
subject to
recovery by NBIA.
|
|
Underwriter
|
Broker-Dealer
|
||
|
Net Initial
Sales Charge
|
CDSC
|
Net Initial
Sales Charge
|
CDSC
|
Core Bond Class A
|
$2,618
|
$—
|
$—
|
$—
|
Core Bond Class C
|
—
|
31
|
—
|
—
|
Emerging Markets Debt Class A
|
205
|
—
|
—
|
—
|
Emerging Markets Debt Class C
|
—
|
—
|
—
|
—
|
Floating Rate Income Class A
|
1,916
|
—
|
—
|
—
|
Floating Rate Income Class C
|
—
|
219
|
—
|
—
|
High Income Class A
|
72
|
—
|
—
|
—
|
High Income Class C
|
—
|
110
|
—
|
—
|
Municipal High Income Class A
|
182
|
—
|
—
|
—
|
Municipal High Income Class C
|
—
|
—
|
—
|
—
|
Municipal Impact Class A
|
—
|
—
|
—
|
—
|
Municipal Impact Class C
|
—
|
—
|
—
|
—
|
Municipal Intermediate Bond Class A
|
217
|
—
|
—
|
—
|
Municipal Intermediate Bond Class C
|
—
|
—
|
—
|
—
|
Short Duration Class A
|
218
|
—
|
—
|
—
|
Short Duration Class C
|
—
|
—
|
—
|
—
|
Strategic Income Class A
|
12,629
|
—
|
—
|
—
|
Strategic Income Class C
|
—
|
4,778
|
—
|
—
|
|
Purchases of
U.S. Government
and Agency
Obligations
|
Purchases
excluding
U.S. Government
and Agency
Obligations
|
Sales and
Maturities
of
U.S. Government
and Agency
Obligations
|
Sales and
Maturities
excluding
U.S. Government
and Agency
Obligations
|
Core Bond
|
$902,732,410
|
$350,070,534
|
$802,639,494
|
$276,080,137
|
Emerging Markets Debt
|
—
|
100,557,761
|
—
|
78,534,175
|
Floating Rate Income
|
—
|
223,187,461
|
—
|
253,412,414
|
High Income
|
14,968,715
|
502,603,378
|
—
|
606,176,695
|
Municipal High Income
|
—
|
43,760,741
|
—
|
62,189,973
|
Municipal Impact
|
—
|
19,406,526
|
—
|
23,593,466
|
Municipal Intermediate Bond
|
—
|
121,685,319
|
—
|
103,440,183
|
Short Duration
|
24,763,103
|
84,822,946
|
14,710,011
|
90,155,027
|
Strategic Income
|
9,420,609,680
|
1,052,963,029
|
8,375,561,274
|
1,406,165,524
|
|
For the Year Ended October 31, 2023
|
For the Year Ended October 31, 2022
|
||||||
|
Shares
Sold
|
Shares
Issued on
Reinvestment
of Dividends
and
Distributions
|
Shares
Redeemed
|
Total
|
Shares
Sold
|
Shares
Issued on
Reinvestment
of Dividends
and
Distributions
|
Shares
Redeemed
|
Total
|
Core Bond
|
||||||||
Investor
Class
|
47,567
|
40,840
|
(143,374
)
|
(54,967
)
|
47,611
|
29,687
|
(174,936
)
|
(97,638
)
|
Institutional
Class
|
37,659,741
|
2,406,677
|
(20,926,489
)
|
19,139,929
|
23,931,139
|
1,213,734
|
(31,605,166
)
|
(6,460,293
)
|
Class A
|
806,393
|
76,791
|
(505,144
)
|
378,040
|
612,644
|
47,947
|
(634,059
)
|
26,532
|
Class C
|
158,793
|
5,711
|
(41,891
)
|
122,613
|
115,714
|
1,949
|
(73,657
)
|
44,006
|
Class R6
|
1,696,949
|
80,850
|
(525,614
)
|
1,252,185
|
1,527,147
|
23,929
|
(701,988
)
|
849,088
|
Emerging Markets Debt
|
||||||||
Institutional
Class
|
12,233,788
|
1,142,975
|
(8,223,038
)
|
5,153,725
|
9,760,122
|
1,025,586
|
(21,099,422
)
|
(10,313,714
)
|
Class A
|
331,013
|
3,050
|
(345,607
)
|
(11,544
)
|
402,179
|
2,524
|
(389,647
)
|
15,056
|
Class C
|
43,953
|
4,892
|
(24,285
)
|
24,560
|
41,958
|
3,371
|
(17,631
)
|
27,698
|
Floating Rate Income
|
||||||||
Institutional
Class
|
19,320,640
|
4,019,182
|
(26,411,575
)
|
(3,071,753
)
|
37,167,744
|
2,360,888
|
(25,241,646
)
|
14,286,986
|
Class A
|
2,051,598
|
89,899
|
(1,772,436
)
|
369,061
|
1,244,849
|
41,299
|
(1,144,157
)
|
141,991
|
Class C
|
72,662
|
50,120
|
(247,478
)
|
(124,696
)
|
300,547
|
27,688
|
(222,435
)
|
105,800
|
|
For the Year Ended October 31, 2023
|
For the Year Ended October 31, 2022
|
||||||
|
Shares
Sold
|
Shares
Issued on
Reinvestment
of Dividends
and
Distributions
|
Shares
Redeemed
|
Total
|
Shares
Sold
|
Shares
Issued on
Reinvestment
of Dividends
and
Distributions
|
Shares
Redeemed
|
Total
|
High Income
|
||||||||
Investor
Class
|
863,817
|
511,955
|
(2,195,608
)
|
(819,836
)
|
1,436,421
|
414,883
|
(1,849,549
)
|
1,755
|
Institutional
Class
|
21,274,589
|
4,288,812
|
(40,184,071
)
|
(14,620,670
)
|
51,728,243
|
4,814,373
|
(100,724,430
)
|
(44,181,814
)
|
Class A
|
9,854,347
|
75,019
|
(10,024,929
)
|
(95,563
)
|
8,809,843
|
62,983
|
(9,026,238
)
|
(153,412
)
|
Class C
|
23,749
|
20,625
|
(128,373
)
|
(83,999
)
|
12,060
|
18,501
|
(167,996
)
|
(137,435
)
|
Class R3
|
26,956
|
11,887
|
(20,272
)
|
18,571
|
30,120
|
9,294
|
(56,436
)
|
(17,022
)
|
Class R6
|
3,368,510
|
1,084,905
|
(6,173,455
)
|
(1,720,040
)
|
5,843,593
|
1,273,724
|
(33,302,039
)
|
(26,184,722
)
|
Class E
|
439,484
|
163,193
|
(276,371
)
|
326,306
|
2,217,788
|
102,820
|
(315,346
)
|
2,005,262
(a)
|
Municipal High Income
|
||||||||
Institutional
Class
|
2,383,211
|
302,581
|
(4,952,341
)
|
(2,266,549
)
|
5,608,928
|
352,255
|
(9,735,844
)
|
(3,774,661
)
|
Class A
|
7,409
|
2,186
|
(16,931
)
|
(7,336
)
|
81,185
|
1,930
|
(71,015
)
|
12,100
|
Class C
|
—
|
151
|
(4,989
)
|
(4,838
)
|
1,830
|
181
|
(11,004
)
|
(8,993
)
|
Municipal Impact
|
||||||||
Institutional
Class
|
1,118,746
|
87,606
|
(1,658,440
)
|
(452,088
)
|
1,151,938
|
85,665
|
(1,016,107
)
|
221,496
|
Class A
|
1,889
|
152
|
(2,474
)
|
(433
)
|
1,537
|
89
|
(143
)
|
1,483
|
Class C
|
594
|
42
|
(6,172
)
|
(5,536
)
|
6,684
|
10
|
(2
)
|
6,692
|
Municipal Intermediate Bond
|
||||||||
Investor
Class
|
1,195
|
15,636
|
(98,927
)
|
(82,096
)
|
22,977
|
20,578
|
(170,691
)
|
(127,136
)
|
Institutional
Class
|
5,440,281
|
351,677
|
(4,914,468
)
|
877,490
|
4,823,539
|
392,497
|
(8,876,490
)
|
(3,660,454
)
|
Class A
|
278,929
|
3,130
|
(173,033
)
|
109,026
|
81,468
|
1,998
|
(38,430
)
|
45,036
|
Class C
|
13,581
|
450
|
(22,921
)
|
(8,890
)
|
6,697
|
1,357
|
(99,630
)
|
(91,576
)
|
Short Duration
|
||||||||
Investor
Class
|
59,542
|
103,163
|
(349,787
)
|
(187,082
)
|
172,104
|
76,933
|
(371,276
)
|
(122,239
)
|
Trust Class
|
48,980
|
15,403
|
(121,411
)
|
(57,028
)
|
24,750
|
11,719
|
(103,295
)
|
(66,826
)
|
Institutional
Class
|
8,306,741
|
1,066,131
|
(10,106,130
)
|
(733,258
)
|
18,974,352
|
621,976
|
(10,079,258
)
|
9,517,070
|
Class A
|
552,862
|
25,997
|
(223,878
)
|
354,981
|
195,903
|
9,170
|
(44,483
)
|
160,590
|
Class C
|
66,838
|
6,244
|
(123,748
)
|
(50,666
)
|
50,402
|
5,022
|
(82,856
)
|
(27,432
)
|
Strategic Income
|
||||||||
Trust Class
|
67,954
|
37,653
|
(172,313
)
|
(66,706
)
|
22,655
|
51,168
|
(137,492
)
|
(63,669
)
|
Institutional
Class
|
166,904,188
|
11,457,868
|
(89,776,324
)
|
88,585,732
|
102,022,313
|
12,483,221
|
(126,782,602
)
|
(12,277,068
)
|
Class A
|
5,400,580
|
472,855
|
(3,714,935
)
|
2,158,500
|
3,593,333
|
464,248
|
(4,551,617
)
|
(494,036
)
|
Class C
|
1,076,586
|
174,345
|
(1,434,326
)
|
(183,395
)
|
416,521
|
275,379
|
(1,953,271
)
|
(1,261,371
)
|
Class R6
|
8,109,427
|
2,480,372
|
(7,422,206
)
|
3,167,593
|
7,491,617
|
2,832,059
|
(5,750,786
)
|
4,572,890
|
|
Purchase
Cost
|
Sales
Proceeds/
Return of
Capital
|
Change in
Net Unrealized
Appreciation/
(Depreciation)
from
Investments
in Affiliated
Persons
|
Net Realized
Gain/(Loss)
from
Investments
in Affiliated
Persons
|
Distributions
from
Investments
in Affiliated
Persons(b)
|
|||
Strategic Income
|
|
|
|
|
|
|
|
|
Neuberger Berman Global
Monthly Income Fund Ltd.
|
$1,706,550
|
$—
|
$1,332,454
|
$363,971
|
$(159,393)
|
$115,723
|
634,993
|
$578,674
|
Sub-total for
affiliates held
as of 10/31/23(c)
|
$1,706,550
|
$—
|
$1,332,454
|
$363,971
|
$(159,393)
|
$115,723
|
|
$578,674
|
(a)
|
Affiliated persons, as defined in the 1940 Act.
|
(b)
|
Distributions received include distributions from net investment income and net realized
capital gains, if any,
from other investment companies managed by NBIA.
|
(c)
|
At October 31, 2023, these securities amounted to 0.02% of net assets of Strategic Income.
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Core Bond Fund
|
|||||||
Investor Class
|
|||||||
10/31/2023
|
$8.61
|
$0.32
|
$(0.31
)
|
$0.01
|
$(0.34
)
|
$—
|
$—
|
10/31/2022
|
$10.61
|
$0.20
|
$(1.94
)
|
$(1.74
)
|
$(0.26
)
|
$—
|
$—
|
10/31/2021
|
$10.91
|
$0.13
|
$(0.02
)
|
$0.11
|
$(0.23
)
|
$(0.18
)
|
$—
|
10/31/2020
|
$10.51
|
$0.23
|
$0.47
|
$0.70
|
$(0.30
)
|
$—
|
$—
|
10/31/2019
|
$9.77
|
$0.26
|
$0.78
|
$1.04
|
$(0.24
)
|
$—
|
$(0.06
)
|
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$8.62
|
$0.35
|
$(0.30
)
|
$0.05
|
$(0.37
)
|
$—
|
$—
|
10/31/2022
|
$10.63
|
$0.24
|
$(1.96
)
|
$(1.72
)
|
$(0.29
)
|
$—
|
$—
|
10/31/2021
|
$10.94
|
$0.17
|
$(0.03
)
|
$0.14
|
$(0.27
)
|
$(0.18
)
|
$—
|
10/31/2020
|
$10.53
|
$0.27
|
$0.49
|
$0.76
|
$(0.35
)
|
$—
|
$—
|
10/31/2019
|
$9.79
|
$0.30
|
$0.79
|
$1.09
|
$(0.29
)
|
$—
|
$(0.06
)
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$8.59
|
$0.32
|
$(0.30
)
|
$0.02
|
$(0.34
)
|
$—
|
$—
|
10/31/2022
|
$10.60
|
$0.20
|
$(1.96
)
|
$(1.76
)
|
$(0.25
)
|
$—
|
$—
|
10/31/2021
|
$10.90
|
$0.13
|
$(0.02
)
|
$0.11
|
$(0.23
)
|
$(0.18
)
|
$—
|
10/31/2020
|
$10.50
|
$0.23
|
$0.47
|
$0.70
|
$(0.30
)
|
$—
|
$—
|
10/31/2019
|
$9.76
|
$0.26
|
$0.78
|
$1.04
|
$(0.24
)
|
$—
|
$(0.06
)
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$8.60
|
$0.25
|
$(0.30
)
|
$(0.05
)
|
$(0.27
)
|
$—
|
$—
|
10/31/2022
|
$10.61
|
$0.13
|
$(1.96
)
|
$(1.83
)
|
$(0.18
)
|
$—
|
$—
|
10/31/2021
|
$10.91
|
$0.05
|
$(0.02
)
|
$0.03
|
$(0.15
)
|
$(0.18
)
|
$—
|
10/31/2020
|
$10.51
|
$0.15
|
$0.47
|
$0.62
|
$(0.22
)
|
$—
|
$—
|
10/31/2019
|
$9.77
|
$0.19
|
$0.78
|
$0.97
|
$(0.17
)
|
$—
|
$(0.06
)
|
|
|||||||
Class R6
|
|||||||
10/31/2023
|
$8.62
|
$0.36
|
$(0.30
)
|
$0.06
|
$(0.38
)
|
$—
|
$—
|
10/31/2022
|
$10.63
|
$0.26
|
$(1.97
)
|
$(1.71
)
|
$(0.30
)
|
$—
|
$—
|
10/31/2021
|
$10.94
|
$0.18
|
$(0.03
)
|
$0.15
|
$(0.28
)
|
$(0.18
)
|
$—
|
10/31/2020
|
$10.53
|
$0.28
|
$0.49
|
$0.77
|
$(0.36
)
|
$—
|
$—
|
Period from 1/18/2019f
to 10/31/2019
|
$9.93
|
$0.24
|
$0.65
|
$0.89
|
$(0.23
)
|
$—
|
$(0.06
)
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.34
)
|
$8.28
|
(0.07
)%
|
$9.4
|
0.92
%
|
0.78
%
|
3.59
%
|
159
%d
|
$(0.26
)
|
$8.61
|
(16.65
)%
|
$10.3
|
0.93
%
|
0.78
%
|
2.04
%
|
164
%d
|
$(0.41
)
|
$10.61
|
0.97
%e
|
$13.7
|
0.88
%
|
0.78
%
|
1.17
%
|
151
%d
|
$(0.30
)
|
$10.91
|
6.76
%
|
$14.1
|
0.99
%
|
0.80
%
|
2.12
%
|
111
%d
|
$(0.30
)
|
$10.51
|
10.81
%e
|
$11.3
|
1.12
%
|
0.85
%
|
2.60
%
|
147
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.37
)
|
$8.30
|
0.46
%
|
$556.4
|
0.43
%
|
0.38
%
|
4.01
%
|
159
%d
|
$(0.29
)
|
$8.62
|
(16.37
)%
|
$413.1
|
0.43
%
|
0.38
%
|
2.42
%
|
164
%d
|
$(0.45
)
|
$10.63
|
1.28
%e
|
$578.1
|
0.43
%
|
0.38
%
|
1.56
%
|
151
%d
|
$(0.35
)
|
$10.94
|
7.28
%
|
$473.5
|
0.46
%
|
0.40
%
|
2.51
%
|
111
%d
|
$(0.35
)
|
$10.53
|
11.24
%e
|
$332.3
|
0.55
%
|
0.45
%
|
2.98
%
|
147
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.34
)
|
$8.27
|
0.05
%
|
$21.0
|
0.80
%
|
0.78
%
|
3.60
%
|
159
%d
|
$(0.25
)
|
$8.59
|
(16.76
)%
|
$18.5
|
0.80
%
|
0.78
%
|
2.06
%
|
164
%d
|
$(0.41
)
|
$10.60
|
0.97
%e
|
$22.6
|
0.80
%
|
0.78
%
|
1.16
%
|
151
%d
|
$(0.30
)
|
$10.90
|
6.76
%
|
$23.0
|
0.84
%
|
0.80
%
|
2.11
%
|
111
%d
|
$(0.30
)
|
$10.50
|
10.82
%e
|
$19.4
|
0.93
%
|
0.85
%
|
2.60
%
|
147
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.27
)
|
$8.28
|
(0.70
)%
|
$2.5
|
1.56
%
|
1.53
%
|
2.85
%
|
159
%d
|
$(0.18
)
|
$8.60
|
(17.37
)%
|
$1.5
|
1.58
%
|
1.53
%
|
1.33
%
|
164
%d
|
$(0.33
)
|
$10.61
|
0.22
%e
|
$1.4
|
1.57
%
|
1.53
%
|
0.43
%
|
151
%d
|
$(0.22
)
|
$10.91
|
5.97
%
|
$2.1
|
1.59
%
|
1.55
%
|
1.39
%
|
111
%d
|
$(0.23
)
|
$10.51
|
9.99
%e
|
$2.2
|
1.68
%
|
1.60
%
|
1.85
%
|
147
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.38
)
|
$8.30
|
0.56
%
|
$23.0
|
0.34
%
|
0.28
%
|
4.13
%
|
159
%d
|
$(0.30
)
|
$8.62
|
(16.29
)%
|
$13.1
|
0.34
%
|
0.28
%
|
2.78
%
|
164
%d
|
$(0.46
)
|
$10.63
|
1.39
%e
|
$7.2
|
0.33
%
|
0.29
%
|
1.64
%
|
151
%d
|
$(0.36
)
|
$10.94
|
7.38
%
|
$3.1
|
0.37
%
|
0.30
%
|
2.63
%
|
111
%d
|
$(0.29
)
|
$10.53
|
9.06
%e,g
|
$3.4
|
0.50
%h
|
0.36
%h
|
2.94
%h
|
147
%d,i
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Emerging Markets Debt Fund
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$6.10
|
$0.39
|
$0.31
|
$0.70
|
$(0.30
)
|
$—
|
$(0.09
)
|
10/31/2022
|
$8.15
|
$0.35
|
$(2.06
)
|
$(1.71
)
|
$(0.20
)
|
$—
|
$(0.14
)
|
10/31/2021
|
$8.20
|
$0.35
|
$(0.06
)
|
$0.29
|
$(0.34
)
|
$—
|
$—
|
10/31/2020
|
$8.63
|
$0.39
|
$(0.45
)
|
$(0.06
)
|
$(0.13
)
|
$—
|
$(0.24
)
|
10/31/2019
|
$8.03
|
$0.45
|
$0.59
|
$1.04
|
$(0.27
)
|
$—
|
$(0.17
)
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$6.09
|
$0.37
|
$0.31
|
$0.68
|
$(0.27
)
|
$—
|
$(0.09
)
|
10/31/2022
|
$8.14
|
$0.32
|
$(2.06
)
|
$(1.74
)
|
$(0.17
)
|
$—
|
$(0.14
)
|
10/31/2021
|
$8.19
|
$0.31
|
$(0.05
)
|
$0.26
|
$(0.31
)
|
$—
|
$—
|
10/31/2020
|
$8.62
|
$0.36
|
$(0.45
)
|
$(0.09
)
|
$(0.10
)
|
$—
|
$(0.24
)
|
10/31/2019
|
$8.02
|
$0.42
|
$0.59
|
$1.01
|
$(0.24
)
|
$—
|
$(0.17
)
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$6.09
|
$0.32
|
$0.31
|
$0.63
|
$(0.22
)
|
$—
|
$(0.09
)
|
10/31/2022
|
$8.14
|
$0.27
|
$(2.06
)
|
$(1.79
)
|
$(0.12
)
|
$—
|
$(0.14
)
|
10/31/2021
|
$8.20
|
$0.25
|
$(0.06
)
|
$0.19
|
$(0.25
)
|
$—
|
$—
|
10/31/2020
|
$8.62
|
$0.29
|
$(0.43
)
|
$(0.14
)
|
$(0.04
)
|
$—
|
$(0.24
)
|
10/31/2019
|
$8.02
|
$0.36
|
$0.59
|
$0.95
|
$(0.18
)
|
$—
|
$(0.17
)
|
|
|||||||
Floating Rate Income Fund
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$9.05
|
$0.79
|
$0.23
|
$1.02
|
$(0.80
)
|
$—
|
$—
|
10/31/2022
|
$9.80
|
$0.48
|
$(0.77
)
|
$(0.29
)
|
$(0.46
)
|
$—
|
$—
|
10/31/2021
|
$9.40
|
$0.36
|
$0.40
|
$0.76
|
$(0.36
)
|
$—
|
$—
|
10/31/2020
|
$9.55
|
$0.41
|
$(0.15
)
|
$0.26
|
$(0.41
)
|
$—
|
$(0.00
)
|
10/31/2019
|
$9.85
|
$0.50
|
$(0.30
)
|
$0.20
|
$(0.50
)
|
$—
|
$—
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$9.05
|
$0.76
|
$0.23
|
$0.99
|
$(0.77
)
|
$—
|
$—
|
10/31/2022
|
$9.80
|
$0.43
|
$(0.75
)
|
$(0.32
)
|
$(0.43
)
|
$—
|
$—
|
10/31/2021
|
$9.40
|
$0.32
|
$0.40
|
$0.72
|
$(0.32
)
|
$—
|
$—
|
10/31/2020
|
$9.55
|
$0.37
|
$(0.15
)
|
$0.22
|
$(0.37
)
|
$—
|
$(0.00
)
|
10/31/2019
|
$9.85
|
$0.46
|
$(0.29
)
|
$0.17
|
$(0.47
)
|
$—
|
$—
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.39
)
|
$6.41
|
11.36
%
|
$142.3
|
1.05
%
|
0.79
%
|
5.94
%
|
66
%
|
$(0.34
)
|
$6.10
|
(21.48
)%
|
$103.8
|
1.02
%
|
0.81
%
|
4.91
%
|
55
%
|
$(0.34
)
|
$8.15
|
3.49
%
|
$222.8
|
0.96
%
|
0.79
%
|
4.08
%
|
59
%
|
$(0.37
)
|
$8.20
|
(0.62
)%
|
$153.0
|
1.02
%
|
0.79
%j
|
4.69
%
|
86
%
|
$(0.44
)
|
$8.63
|
13.26
%
|
$158.5
|
1.00
%
|
0.79
%
|
5.36
%
|
68
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.36
)
|
$6.41
|
11.13
%
|
$0.4
|
1.60
%
|
1.16
%
|
5.54
%
|
66
%
|
$(0.31
)
|
$6.09
|
(21.82
)%
|
$0.5
|
1.55
%
|
1.16
%
|
4.60
%
|
55
%
|
$(0.31
)
|
$8.14
|
3.10
%
|
$0.5
|
1.39
%
|
1.16
%
|
3.69
%
|
59
%
|
$(0.34
)
|
$8.19
|
(1.01
)%
|
$1.3
|
1.42
%
|
1.16
%j
|
4.33
%
|
86
%
|
$(0.41
)
|
$8.62
|
12.85
%
|
$3.2
|
1.38
%
|
1.16
%
|
5.01
%
|
68
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.31
)
|
$6.41
|
10.31
%
|
$0.8
|
2.19
%
|
1.91
%
|
4.81
%
|
66
%
|
$(0.26
)
|
$6.09
|
(22.39
)%
|
$0.6
|
2.19
%
|
1.91
%
|
3.86
%
|
55
%
|
$(0.25
)
|
$8.14
|
2.21
%
|
$0.6
|
2.12
%
|
1.91
%
|
2.95
%
|
59
%
|
$(0.28
)
|
$8.20
|
(1.62
)%
|
$0.5
|
2.16
%
|
1.91
%j
|
3.52
%
|
86
%
|
$(0.35
)
|
$8.62
|
12.01
%
|
$0.4
|
2.14
%
|
1.91
%
|
4.25
%
|
68
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.80
)
|
$9.27
|
11.67
%
|
$426.9
|
0.71
%
|
0.60
%
|
8.61
%
|
52
%
|
$(0.46
)
|
$9.05
|
(2.96
)%
|
$444.7
|
0.72
%
|
0.60
%j
|
5.04
%
|
46
%
|
$(0.36
)
|
$9.80
|
8.12
%
|
$341.3
|
0.80
%
|
0.62
%
|
3.67
%
|
49
%
|
$(0.41
)
|
$9.40
|
2.82
%
|
$149.4
|
0.93
%
|
0.70
%
|
4.41
%
|
81
%
|
$(0.50
)
|
$9.55
|
2.12
%
|
$206.8
|
0.89
%
|
0.71
%j
|
5.16
%
|
60
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.77
)
|
$9.27
|
11.27
%
|
$14.8
|
1.11
%
|
0.97
%
|
8.28
%
|
52
%
|
$(0.43
)
|
$9.05
|
(3.33
)%
|
$11.1
|
1.11
%
|
0.97
%j
|
4.59
%
|
46
%
|
$(0.32
)
|
$9.80
|
7.72
%
|
$10.6
|
1.20
%
|
0.99
%
|
3.29
%
|
49
%
|
$(0.37
)
|
$9.40
|
2.45
%
|
$7.0
|
1.34
%
|
1.07
%
|
4.00
%
|
81
%
|
$(0.47
)
|
$9.55
|
1.75
%
|
$6.5
|
1.29
%
|
1.08
%j
|
4.80
%
|
60
%
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Floating Rate Income Fund (cont’d)
|
|||||||
Class C
|
|||||||
10/31/2023
|
$9.05
|
$0.69
|
$0.23
|
$0.92
|
$(0.70
)
|
$—
|
$—
|
10/31/2022
|
$9.79
|
$0.36
|
$(0.74
)
|
$(0.38
)
|
$(0.36
)
|
$—
|
$—
|
10/31/2021
|
$9.40
|
$0.25
|
$0.39
|
$0.64
|
$(0.25
)
|
$—
|
$—
|
10/31/2020
|
$9.55
|
$0.31
|
$(0.16
)
|
$0.15
|
$(0.30
)
|
$—
|
$(0.00
)
|
10/31/2019
|
$9.85
|
$0.39
|
$(0.30
)
|
$0.09
|
$(0.39
)
|
$—
|
$—
|
|
|||||||
High Income Bond Fund
|
|||||||
Investor Class
|
|||||||
10/31/2023
|
$7.28
|
$0.48
|
$(0.19
)
|
$0.29
|
$(0.48
)
|
$—
|
$—
|
10/31/2022
|
$8.68
|
$0.40
|
$(1.39
)
|
$(0.99
)
|
$(0.41
)
|
$—
|
$—
|
10/31/2021
|
$8.33
|
$0.40
|
$0.36
|
$0.76
|
$(0.41
)
|
$—
|
$—
|
10/31/2020
|
$8.52
|
$0.41
|
$(0.18
)
|
$0.23
|
$(0.42
)
|
$—
|
$—
|
10/31/2019
|
$8.35
|
$0.46
|
$0.17
|
$0.63
|
$(0.46
)
|
$—
|
$—
|
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$7.29
|
$0.50
|
$(0.19
)
|
$0.31
|
$(0.50
)
|
$—
|
$—
|
10/31/2022
|
$8.69
|
$0.41
|
$(1.39
)
|
$(0.98
)
|
$(0.42
)
|
$—
|
$—
|
10/31/2021
|
$8.34
|
$0.42
|
$0.36
|
$0.78
|
$(0.43
)
|
$—
|
$—
|
10/31/2020
|
$8.53
|
$0.43
|
$(0.19
)
|
$0.24
|
$(0.43
)
|
$—
|
$—
|
10/31/2019
|
$8.36
|
$0.47
|
$0.17
|
$0.64
|
$(0.47
)
|
$—
|
$—
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$7.28
|
$0.47
|
$(0.19
)
|
$0.28
|
$(0.47
)
|
$—
|
$—
|
10/31/2022
|
$8.68
|
$0.38
|
$(1.39
)
|
$(1.01
)
|
$(0.39
)
|
$—
|
$—
|
10/31/2021
|
$8.33
|
$0.38
|
$0.36
|
$0.74
|
$(0.39
)
|
$—
|
$—
|
10/31/2020
|
$8.52
|
$0.39
|
$(0.19
)
|
$0.20
|
$(0.39
)
|
$—
|
$—
|
10/31/2019
|
$8.35
|
$0.44
|
$0.16
|
$0.60
|
$(0.43
)
|
$—
|
$—
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$7.30
|
$0.41
|
$(0.20
)
|
$0.21
|
$(0.41
)
|
$—
|
$—
|
10/31/2022
|
$8.70
|
$0.33
|
$(1.40
)
|
$(1.07
)
|
$(0.33
)
|
$—
|
$—
|
10/31/2021
|
$8.34
|
$0.32
|
$0.37
|
$0.69
|
$(0.33
)
|
$—
|
$—
|
10/31/2020
|
$8.54
|
$0.33
|
$(0.19
)
|
$0.14
|
$(0.34
)
|
$—
|
$—
|
10/31/2019
|
$8.36
|
$0.38
|
$0.18
|
$0.56
|
$(0.38
)
|
$—
|
$—
|
|
|||||||
Class R3
|
|||||||
10/31/2023
|
$7.29
|
$0.45
|
$(0.19
)
|
$0.26
|
$(0.45
)
|
$—
|
$—
|
10/31/2022
|
$8.69
|
$0.37
|
$(1.40
)
|
$(1.03
)
|
$(0.37
)
|
$—
|
$—
|
10/31/2021
|
$8.34
|
$0.36
|
$0.36
|
$0.72
|
$(0.37
)
|
$—
|
$—
|
10/31/2020
|
$8.53
|
$0.37
|
$(0.18
)
|
$0.19
|
$(0.38
)
|
$—
|
$—
|
10/31/2019
|
$8.35
|
$0.42
|
$0.18
|
$0.60
|
$(0.42
)
|
$—
|
$—
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.70
)
|
$9.27
|
10.44
%
|
$5.7
|
1.83
%
|
1.72
%
|
7.48
%
|
52
%
|
$(0.36
)
|
$9.05
|
(3.97
)%
|
$6.7
|
1.84
%
|
1.72
%j
|
3.82
%
|
46
%
|
$(0.25
)
|
$9.79
|
6.81
%
|
$6.2
|
1.94
%
|
1.75
%
|
2.54
%
|
49
%
|
$(0.30
)
|
$9.40
|
1.68
%
|
$5.6
|
2.06
%
|
1.82
%
|
3.30
%
|
81
%
|
$(0.39
)
|
$9.55
|
0.99
%
|
$11.6
|
2.02
%
|
1.84
%j
|
4.07
%
|
60
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.48
)
|
$7.09
|
4.03
%e
|
$54.4
|
0.87
%
|
0.87
%
|
6.61
%
|
72
%
|
$(0.41
)
|
$7.28
|
(11.62
)%
|
$61.8
|
0.87
%
|
0.87
%k
|
5.09
%
|
72
%
|
$(0.41
)
|
$8.68
|
9.21
%e
|
$73.7
|
0.85
%
|
0.85
%k
|
4.63
%
|
98
%
|
$(0.42
)
|
$8.33
|
2.85
%
|
$76.5
|
0.85
%
|
0.85
%
|
4.99
%
|
115
%
|
$(0.46
)
|
$8.52
|
7.72
%
|
$86.0
|
0.86
%
|
0.86
%
|
5.44
%
|
96
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.50
)
|
$7.10
|
4.20
%e
|
$497.2
|
0.71
%
|
0.71
%
|
6.76
%
|
72
%
|
$(0.42
)
|
$7.29
|
(11.46
)%
|
$617.3
|
0.71
%
|
0.71
%k
|
5.17
%
|
72
%
|
$(0.43
)
|
$8.69
|
9.38
%e
|
$1,120.2
|
0.69
%
|
0.69
%k
|
4.79
%
|
98
%
|
$(0.43
)
|
$8.34
|
3.02
%
|
$1,148.7
|
0.69
%
|
0.69
%
|
5.14
%
|
115
%
|
$(0.47
)
|
$8.53
|
7.89
%
|
$1,471.8
|
0.70
%
|
0.70
%
|
5.60
%
|
96
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.47
)
|
$7.09
|
3.79
%e
|
$12.3
|
1.11
%
|
1.11
%
|
6.48
%
|
72
%
|
$(0.39
)
|
$7.28
|
(11.85
)%
|
$13.3
|
1.12
%
|
1.12
%k,l
|
4.76
%
|
72
%
|
$(0.39
)
|
$8.68
|
8.91
%e
|
$17.2
|
1.12
%
|
1.12
%k
|
4.34
%
|
98
%
|
$(0.39
)
|
$8.33
|
2.56
%
|
$18.2
|
1.12
%
|
1.12
%l
|
4.69
%
|
115
%
|
$(0.43
)
|
$8.52
|
7.43
%
|
$25.1
|
1.17
%
|
1.12
%
|
5.23
%
|
96
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.41
)
|
$7.10
|
2.88
%e
|
$2.5
|
1.86
%
|
1.86
%
|
5.63
%
|
72
%
|
$(0.33
)
|
$7.30
|
(12.45
)%
|
$3.2
|
1.85
%
|
1.85
%k
|
4.06
%
|
72
%
|
$(0.33
)
|
$8.70
|
8.27
%e
|
$5.0
|
1.83
%
|
1.83
%k
|
3.65
%
|
98
%
|
$(0.34
)
|
$8.34
|
1.74
%
|
$5.9
|
1.82
%
|
1.82
%
|
4.04
%
|
115
%
|
$(0.38
)
|
$8.54
|
6.81
%
|
$12.0
|
1.83
%
|
1.83
%
|
4.48
%
|
96
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.45
)
|
$7.10
|
3.53
%e
|
$1.5
|
1.36
%
|
1.36
%
|
6.13
%
|
72
%
|
$(0.37
)
|
$7.29
|
(12.04
)%
|
$1.4
|
1.36
%
|
1.36
%k
|
4.60
%
|
72
%
|
$(0.37
)
|
$8.69
|
8.68
%e
|
$1.8
|
1.33
%
|
1.33
%k
|
4.14
%
|
98
%
|
$(0.38
)
|
$8.34
|
2.35
%
|
$1.8
|
1.34
%
|
1.34
%
|
4.49
%
|
115
%
|
$(0.42
)
|
$8.53
|
7.37
%
|
$4.2
|
1.30
%
|
1.30
%
|
4.98
%
|
96
%
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
High Income Bond Fund (cont’d)
|
|||||||
Class R6
|
|||||||
10/31/2023
|
$7.30
|
$0.50
|
$(0.19
)
|
$0.31
|
$(0.50
)
|
$—
|
$—
|
10/31/2022
|
$8.70
|
$0.42
|
$(1.39
)
|
$(0.97
)
|
$(0.43
)
|
$—
|
$—
|
10/31/2021
|
$8.35
|
$0.43
|
$0.35
|
$0.78
|
$(0.43
)
|
$—
|
$—
|
10/31/2020
|
$8.54
|
$0.43
|
$(0.18
)
|
$0.25
|
$(0.44
)
|
$—
|
$—
|
10/31/2019
|
$8.36
|
$0.48
|
$0.18
|
$0.66
|
$(0.48
)
|
$—
|
$—
|
|
|||||||
Class E
|
|||||||
10/31/2023
|
$7.29
|
$0.54
|
$(0.19
)
|
$0.35
|
$(0.54
)
|
$—
|
$—
|
Period from 1/11/2022f
to 10/31/2022
|
$8.61
|
$0.38
|
$(1.31
)
|
$(0.93
)
|
$(0.39
)
|
$—
|
$—
|
|
|||||||
Municipal High Income Fund
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$8.74
|
$0.34
|
$(0.25
)
|
$0.09
|
$(0.34
)
|
$—
|
$—
|
10/31/2022
|
$10.82
|
$0.28
|
$(2.07
)
|
$(1.79
)
|
$(0.29
)
|
$—
|
$—
|
10/31/2021
|
$10.32
|
$0.30
|
$0.50
|
$0.80
|
$(0.30
)
|
$—
|
$—
|
10/31/2020
|
$10.59
|
$0.31
|
$(0.27
)
|
$0.04
|
$(0.31
)
|
$—
|
$—
|
10/31/2019
|
$10.00
|
$0.36
|
$0.59
|
$0.95
|
$(0.36
)
|
$—
|
$—
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$8.74
|
$0.30
|
$(0.24
)
|
$0.06
|
$(0.31
)
|
$—
|
$—
|
10/31/2022
|
$10.81
|
$0.25
|
$(2.07
)
|
$(1.82
)
|
$(0.25
)
|
$—
|
$—
|
10/31/2021
|
$10.31
|
$0.26
|
$0.50
|
$0.76
|
$(0.26
)
|
$—
|
$—
|
10/31/2020
|
$10.58
|
$0.28
|
$(0.27
)
|
$0.01
|
$(0.28
)
|
$—
|
$—
|
10/31/2019
|
$10.00
|
$0.32
|
$0.58
|
$0.90
|
$(0.32
)
|
$—
|
$—
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$8.75
|
$0.23
|
$(0.24
)
|
$(0.01
)
|
$(0.24
)
|
$—
|
$—
|
10/31/2022
|
$10.83
|
$0.17
|
$(2.07
)
|
$(1.90
)
|
$(0.18
)
|
$—
|
$—
|
10/31/2021
|
$10.33
|
$0.18
|
$0.50
|
$0.68
|
$(0.18
)
|
$—
|
$—
|
10/31/2020
|
$10.59
|
$0.20
|
$(0.26
)
|
$(0.06
)
|
$(0.20
)
|
$—
|
$—
|
10/31/2019
|
$10.00
|
$0.24
|
$0.59
|
$0.83
|
$(0.24
)
|
$—
|
$—
|
|
|||||||
Municipal Impact Fund
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$15.50
|
$0.33
|
$(0.15
)
|
$0.18
|
$(0.33
)
|
$—
|
$—
|
10/31/2022
|
$17.72
|
$0.28
|
$(2.19
)
|
$(1.91
)
|
$(0.27
)
|
$(0.04
)
|
$—
|
10/31/2021
|
$17.81
|
$0.29
|
$(0.01
)
|
$0.28
|
$(0.30
)
|
$(0.07
)
|
$—
|
10/31/2020
|
$17.66
|
$0.34
|
$0.23
|
$0.57
|
$(0.34
)
|
$(0.08
)
|
$—
|
10/31/2019
|
$16.61
|
$0.42
|
$1.05
|
$1.47
|
$(0.42
)
|
$—
|
$—
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.50
)
|
$7.11
|
4.31
%e
|
$116.4
|
0.62
%
|
0.62
%
|
6.86
%
|
72
%
|
$(0.43
)
|
$7.30
|
(11.35
)%
|
$132.1
|
0.60
%
|
0.60
%k
|
5.17
%
|
72
%
|
$(0.43
)
|
$8.70
|
9.48
%e
|
$385.3
|
0.59
%
|
0.59
%k
|
4.88
%
|
98
%
|
$(0.44
)
|
$8.35
|
3.12
%
|
$303.2
|
0.59
%
|
0.59
%
|
5.26
%
|
115
%
|
$(0.48
)
|
$8.54
|
8.12
%
|
$747.4
|
0.60
%
|
0.60
%
|
5.69
%
|
96
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.54
)
|
$7.10
|
4.86
%e
|
$16.6
|
0.56
%
|
0.08
%
|
7.41
%
|
72
%
|
$(0.39
)
|
$7.29
|
(10.98
)%g
|
$14.6
|
0.58
%h
|
0.10
%h,k
|
6.07
%h
|
72
%g,i
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.34
)
|
$8.49
|
0.84
%
|
$62.6
|
0.97
%
|
0.50
%
|
3.67
%
|
59
%
|
$(0.29
)
|
$8.74
|
(16.80
)%
|
$84.3
|
0.83
%
|
0.52
%
|
2.81
%
|
79
%
|
$(0.30
)
|
$10.82
|
7.83
%
|
$145.1
|
0.77
%
|
0.50
%
|
2.76
%
|
59
%
|
$(0.31
)
|
$10.32
|
0.46
%
|
$117.9
|
0.81
%
|
0.51
%
|
3.05
%
|
112
%
|
$(0.36
)
|
$10.59
|
9.62
%
|
$122.7
|
0.86
%
|
0.50
%
|
3.46
%
|
112
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.31
)
|
$8.49
|
0.47
%
|
$0.9
|
1.32
%
|
0.87
%
|
3.31
%
|
59
%
|
$(0.25
)
|
$8.74
|
(17.03
)%
|
$1.0
|
1.46
%
|
0.90
%
|
2.48
%
|
79
%
|
$(0.26
)
|
$10.81
|
7.44
%
|
$1.1
|
1.19
%
|
0.87
%
|
2.40
%
|
59
%
|
$(0.28
)
|
$10.31
|
0.09
%
|
$0.9
|
1.24
%
|
0.88
%
|
2.68
%
|
112
%
|
$(0.32
)
|
$10.58
|
9.13
%
|
$1.1
|
1.30
%
|
0.87
%
|
3.10
%
|
112
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.24
)
|
$8.50
|
(0.28
)%
|
$0.1
|
2.00
%
|
1.62
%
|
2.53
%
|
59
%
|
$(0.18
)
|
$8.75
|
(17.72
)%
|
$0.1
|
3.78
%
|
1.64
%
|
1.70
%
|
79
%
|
$(0.18
)
|
$10.83
|
6.63
%
|
$0.2
|
2.00
%
|
1.62
%
|
1.64
%
|
59
%
|
$(0.20
)
|
$10.33
|
(0.57
)%
|
$0.3
|
1.94
%
|
1.63
%
|
1.94
%
|
112
%
|
$(0.24
)
|
$10.59
|
8.41
%
|
$0.7
|
1.99
%
|
1.62
%
|
2.32
%
|
112
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.33
)
|
$15.35
|
1.11
%
|
$69.1
|
0.85
%
|
0.43
%
|
2.06
%
|
27
%
|
$(0.31
)
|
$15.50
|
(10.88
)%
|
$76.7
|
0.81
%
|
0.43
%
|
1.65
%
|
20
%
|
$(0.37
)
|
$17.72
|
1.59
%
|
$83.8
|
0.84
%
|
0.43
%
|
1.65
%
|
20
%
|
$(0.42
)
|
$17.81
|
3.29
%
|
$62.7
|
0.93
%
|
0.43
%
|
1.92
%
|
42
%
|
$(0.42
)
|
$17.66
|
8.93
%
|
$59.0
|
1.11
%
|
0.44
%
|
2.43
%
|
100
%
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Municipal Impact Fund (cont’d)
|
|||||||
Class A
|
|||||||
10/31/2023
|
$15.50
|
$0.27
|
$(0.14
)
|
$0.13
|
$(0.27
)
|
$—
|
$—
|
10/31/2022
|
$17.73
|
$0.21
|
$(2.19
)
|
$(1.98
)
|
$(0.21
)
|
$(0.04
)
|
$—
|
10/31/2021
|
$17.82
|
$0.23
|
$(0.02
)
|
$0.21
|
$(0.23
)
|
$(0.07
)
|
$—
|
10/31/2020
|
$17.67
|
$0.28
|
$0.23
|
$0.51
|
$(0.28
)
|
$(0.08
)
|
$—
|
10/31/2019
|
$16.61
|
$0.35
|
$1.06
|
$1.41
|
$(0.35
)
|
$—
|
$—
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$15.50
|
$0.15
|
$(0.14
)
|
$0.01
|
$(0.15
)
|
$—
|
$—
|
10/31/2022
|
$17.73
|
$0.10
|
$(2.20
)
|
$(2.10
)
|
$(0.09
)
|
$(0.04
)
|
$—
|
10/31/2021
|
$17.82
|
$0.10
|
$(0.02
)
|
$0.08
|
$(0.10
)
|
$(0.07
)
|
$—
|
10/31/2020
|
$17.67
|
$0.14
|
$0.23
|
$0.37
|
$(0.14
)
|
$(0.08
)
|
$—
|
10/31/2019
|
$16.61
|
$0.23
|
$1.05
|
$1.28
|
$(0.22
)
|
$—
|
$—
|
|
|||||||
Municipal Intermediate Bond Fund
|
|||||||
Investor Class
|
|||||||
10/31/2023
|
$10.41
|
$0.26
|
$(0.02
)
|
$0.24
|
$(0.26
)
|
$—
|
$—
|
10/31/2022
|
$12.09
|
$0.21
|
$(1.60
)
|
$(1.39
)
|
$(0.19
)
|
$(0.07
)
|
$(0.03
)
|
10/31/2021
|
$12.01
|
$0.21
|
$0.13
|
$0.34
|
$(0.20
)
|
$(0.06
)
|
$—
|
10/31/2020
|
$12.04
|
$0.24
|
$—
|
$0.24
|
$(0.24
)
|
$(0.03
)
|
$—
|
10/31/2019
|
$11.39
|
$0.28
|
$0.68
|
$0.96
|
$(0.29
)
|
$(0.02
)
|
$—
|
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$10.40
|
$0.27
|
$(0.01
)
|
$0.26
|
$(0.28
)
|
$—
|
$—
|
10/31/2022
|
$12.08
|
$0.22
|
$(1.59
)
|
$(1.37
)
|
$(0.21
)
|
$(0.07
)
|
$(0.03
)
|
10/31/2021
|
$12.00
|
$0.23
|
$0.13
|
$0.36
|
$(0.22
)
|
$(0.06
)
|
$—
|
10/31/2020
|
$12.03
|
$0.26
|
$—
|
$0.26
|
$(0.26
)
|
$(0.03
)
|
$—
|
10/31/2019
|
$11.38
|
$0.30
|
$0.67
|
$0.97
|
$(0.30
)
|
$(0.02
)
|
$—
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$10.39
|
$0.24
|
$(0.02
)
|
$0.22
|
$(0.24
)
|
$—
|
$—
|
10/31/2022
|
$12.07
|
$0.18
|
$(1.59
)
|
$(1.41
)
|
$(0.17
)
|
$(0.07
)
|
$(0.03
)
|
10/31/2021
|
$11.99
|
$0.18
|
$0.14
|
$0.32
|
$(0.18
)
|
$(0.06
)
|
$—
|
10/31/2020
|
$12.02
|
$0.21
|
$—
|
$0.21
|
$(0.21
)
|
$(0.03
)
|
$—
|
10/31/2019
|
$11.37
|
$0.25
|
$0.68
|
$0.93
|
$(0.26
)
|
$(0.02
)
|
$—
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.27
)
|
$15.36
|
0.81
%
|
$0.1
|
1.07
%
|
0.80
%
|
1.69
%
|
27
%
|
$(0.25
)
|
$15.50
|
(11.26
)%
|
$0.1
|
3.06
%
|
0.80
%
|
1.28
%
|
20
%
|
$(0.30
)
|
$17.73
|
1.22
%
|
$0.1
|
1.43
%
|
0.80
%
|
1.29
%
|
20
%
|
$(0.36
)
|
$17.82
|
2.90
%
|
$0.1
|
1.12
%
|
0.80
%
|
1.55
%
|
42
%
|
$(0.35
)
|
$17.67
|
8.58
%
|
$0.1
|
1.51
%
|
0.81
%
|
2.01
%
|
100
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.15
)
|
$15.36
|
0.05
%
|
$0.0
|
1.86
%
|
1.55
%
|
0.92
%
|
27
%
|
$(0.13
)
|
$15.50
|
(11.92
)%
|
$0.1
|
6.71
%
|
1.55
%
|
0.62
%
|
20
%
|
$(0.17
)
|
$17.73
|
0.46
%
|
$—
|
2.22
%
|
1.55
%
|
0.55
%
|
20
%
|
$(0.22
)
|
$17.82
|
2.14
%
|
$0.0
|
2.01
%
|
1.55
%
|
0.77
%
|
42
%
|
$(0.22
)
|
$17.67
|
7.75
%
|
$0.0
|
2.43
%
|
1.55
%
|
1.31
%
|
100
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.26
)
|
$10.39
|
2.29
%
|
$8.3
|
0.66
%
|
0.45
%
|
2.39
%
|
58
%
|
$(0.29
)
|
$10.41
|
(11.66
)%
|
$9.1
|
0.67
%
|
0.45
%
|
1.83
%
|
49
%
|
$(0.26
)
|
$12.09
|
2.86
%
|
$12.1
|
0.60
%
|
0.45
%
|
1.71
%
|
43
%
|
$(0.27
)
|
$12.01
|
2.02
%
|
$12.5
|
0.66
%
|
0.45
%
|
2.00
%
|
93
%
|
$(0.31
)
|
$12.04
|
8.46
%
|
$13.3
|
0.75
%
|
0.57
%
|
2.40
%
|
92
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.28
)
|
$10.38
|
2.44
%
|
$164.0
|
0.48
%
|
0.30
%
|
2.55
%
|
58
%
|
$(0.31
)
|
$10.40
|
(11.54
)%
|
$155.2
|
0.46
%
|
0.30
%
|
1.98
%
|
49
%
|
$(0.28
)
|
$12.08
|
3.02
%
|
$224.4
|
0.44
%
|
0.30
%
|
1.86
%
|
43
%
|
$(0.29
)
|
$12.00
|
2.17
%
|
$207.2
|
0.47
%
|
0.30
%
|
2.13
%
|
93
%
|
$(0.32
)
|
$12.03
|
8.63
%
|
$182.3
|
0.55
%
|
0.42
%
|
2.54
%
|
92
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.24
)
|
$10.37
|
2.06
%
|
$3.4
|
0.84
%
|
0.67
%
|
2.19
%
|
58
%
|
$(0.27
)
|
$10.39
|
(11.88
)%
|
$2.2
|
0.96
%
|
0.67
%
|
1.63
%
|
49
%
|
$(0.24
)
|
$12.07
|
2.64
%
|
$2.0
|
0.82
%
|
0.67
%
|
1.50
%
|
43
%
|
$(0.24
)
|
$11.99
|
1.80
%
|
$2.6
|
0.84
%
|
0.67
%
|
1.77
%
|
93
%
|
$(0.28
)
|
$12.02
|
8.24
%
|
$1.8
|
0.94
%
|
0.80
%
|
2.15
%
|
92
%
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Municipal Intermediate Bond Fund
(cont’d)
|
|||||||
Class C
|
|||||||
10/31/2023
|
$10.40
|
$0.15
|
$(0.01
)
|
$0.14
|
$(0.16
)
|
$—
|
$—
|
10/31/2022
|
$12.08
|
$0.10
|
$(1.60
)
|
$(1.50
)
|
$(0.08
)
|
$(0.07
)
|
$(0.03
)
|
10/31/2021
|
$12.00
|
$0.09
|
$0.13
|
$0.22
|
$(0.08
)
|
$(0.06
)
|
$—
|
10/31/2020
|
$12.02
|
$0.12
|
$0.01
|
$0.13
|
$(0.12
)
|
$(0.03
)
|
$—
|
10/31/2019
|
$11.37
|
$0.17
|
$0.67
|
$0.84
|
$(0.17
)
|
$(0.02
)
|
$—
|
|
|||||||
Short Duration Bond Fund
|
|||||||
Investor Class
|
|||||||
10/31/2023
|
$6.98
|
$0.32
|
$—
|
$0.32
|
$(0.34
)
|
$—
|
$—
|
10/31/2022
|
$7.73
|
$0.19
|
$(0.70
)
|
$(0.51
)
|
$(0.23
)
|
$—
|
$(0.01
)
|
10/31/2021
|
$7.72
|
$0.18
|
$0.06
|
$0.24
|
$(0.23
)
|
$—
|
$—
|
10/31/2020
|
$7.80
|
$0.22
|
$(0.07
)
|
$0.15
|
$(0.23
)
|
$—
|
$—
|
10/31/2019
|
$7.66
|
$0.17
|
$0.16
|
$0.33
|
$(0.19
)
|
$—
|
$—
|
|
|||||||
Trust Class
|
|||||||
10/31/2023
|
$6.65
|
$0.30
|
$—
|
$0.30
|
$(0.32
)
|
$—
|
$—
|
10/31/2022
|
$7.37
|
$0.18
|
$(0.68
)
|
$(0.50
)
|
$(0.21
)
|
$—
|
$(0.01
)
|
10/31/2021
|
$7.36
|
$0.17
|
$0.05
|
$0.22
|
$(0.21
)
|
$—
|
$—
|
10/31/2020
|
$7.43
|
$0.20
|
$(0.06
)
|
$0.14
|
$(0.21
)
|
$—
|
$—
|
10/31/2019
|
$7.30
|
$0.15
|
$0.16
|
$0.31
|
$(0.18
)
|
$—
|
$—
|
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$6.97
|
$0.33
|
$0.01
|
$0.34
|
$(0.35
)
|
$—
|
$—
|
10/31/2022
|
$7.73
|
$0.21
|
$(0.72
)
|
$(0.51
)
|
$(0.24
)
|
$—
|
$(0.01
)
|
10/31/2021
|
$7.72
|
$0.20
|
$0.05
|
$0.25
|
$(0.24
)
|
$—
|
$—
|
10/31/2020
|
$7.79
|
$0.24
|
$(0.07
)
|
$0.17
|
$(0.24
)
|
$—
|
$—
|
10/31/2019
|
$7.65
|
$0.18
|
$0.17
|
$0.35
|
$(0.21
)
|
$—
|
$—
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$6.65
|
$0.30
|
$(0.01
)
|
$0.29
|
$(0.31
)
|
$—
|
$—
|
10/31/2022
|
$7.36
|
$0.18
|
$(0.67
)
|
$(0.49
)
|
$(0.21
)
|
$—
|
$(0.01
)
|
10/31/2021
|
$7.36
|
$0.16
|
$0.04
|
$0.20
|
$(0.20
)
|
$—
|
$—
|
10/31/2020
|
$7.43
|
$0.20
|
$(0.06
)
|
$0.14
|
$(0.21
)
|
$—
|
$—
|
10/31/2019
|
$7.30
|
$0.14
|
$0.16
|
$0.30
|
$(0.17
)
|
$—
|
$—
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$6.65
|
$0.24
|
$—
|
$0.24
|
$(0.26
)
|
$—
|
$—
|
10/31/2022
|
$7.37
|
$0.12
|
$(0.68
)
|
$(0.56
)
|
$(0.15
)
|
$—
|
$(0.01
)
|
10/31/2021
|
$7.36
|
$0.10
|
$0.06
|
$0.16
|
$(0.15
)
|
$—
|
$—
|
10/31/2020
|
$7.43
|
$0.14
|
$(0.06
)
|
$0.08
|
$(0.15
)
|
$—
|
$—
|
10/31/2019
|
$7.29
|
$0.09
|
$0.17
|
$0.26
|
$(0.12
)
|
$—
|
$—
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.16
)
|
$10.38
|
1.30
%
|
$0.3
|
1.48
%
|
1.42
%
|
1.42
%
|
58
%
|
$(0.18
)
|
$10.40
|
(12.53
)%
|
$0.4
|
1.79
%
|
1.42
%
|
0.83
%
|
49
%
|
$(0.14
)
|
$12.08
|
1.87
%
|
$1.6
|
1.58
%
|
1.42
%
|
0.74
%
|
43
%
|
$(0.15
)
|
$12.00
|
1.12
%
|
$2.0
|
1.59
%
|
1.42
%
|
1.02
%
|
93
%
|
$(0.19
)
|
$12.02
|
7.43
%
|
$2.6
|
1.68
%
|
1.54
%
|
1.43
%
|
92
%
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.34
)
|
$6.96
|
4.62
%e
|
$15.5
|
0.80
%
|
0.54
%
|
4.56
%
|
65
%
|
$(0.24
)
|
$6.98
|
(6.70
)%e
|
$16.9
|
0.82
%
|
0.54
%
|
2.63
%
|
76
%
|
$(0.23
)
|
$7.73
|
3.06
%e
|
$19.6
|
0.94
%
|
0.55
%
|
2.34
%
|
91
%
|
$(0.23
)
|
$7.72
|
1.97
%
|
$20.5
|
1.03
%
|
0.56
%
|
2.88
%
|
165
%
|
$(0.19
)
|
$7.80
|
4.40
%e
|
$21.8
|
1.03
%
|
0.59
%
|
2.18
%
|
131
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.32
)
|
$6.63
|
4.50
%e
|
$1.9
|
0.96
%
|
0.64
%
|
4.45
%
|
65
%
|
$(0.22
)
|
$6.65
|
(6.86
)%e
|
$2.3
|
0.98
%
|
0.64
%
|
2.53
%
|
76
%
|
$(0.21
)
|
$7.37
|
2.96
%e
|
$3.0
|
1.11
%
|
0.65
%
|
2.24
%
|
91
%
|
$(0.21
)
|
$7.36
|
1.96
%
|
$2.7
|
1.16
%
|
0.66
%
|
2.77
%
|
165
%
|
$(0.18
)
|
$7.43
|
4.25
%e
|
$2.0
|
1.15
%
|
0.69
%
|
2.07
%
|
131
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.35
)
|
$6.96
|
4.98
%e
|
$142.1
|
0.57
%
|
0.34
%
|
4.76
%
|
65
%
|
$(0.25
)
|
$6.97
|
(6.65
)%e
|
$147.6
|
0.59
%
|
0.34
%
|
2.87
%
|
76
%
|
$(0.24
)
|
$7.73
|
3.26
%e
|
$90.0
|
0.74
%
|
0.35
%
|
2.53
%
|
91
%
|
$(0.24
)
|
$7.72
|
2.31
%
|
$55.7
|
0.79
%
|
0.36
%
|
3.08
%
|
165
%
|
$(0.21
)
|
$7.79
|
4.62
%e
|
$56.3
|
0.78
%
|
0.39
%
|
2.37
%
|
131
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.31
)
|
$6.63
|
4.43
%e
|
$5.3
|
0.95
%
|
0.71
%
|
4.48
%
|
65
%
|
$(0.22
)
|
$6.65
|
(6.80
)%e
|
$2.9
|
0.98
%
|
0.71
%
|
2.54
%
|
76
%
|
$(0.20
)
|
$7.36
|
2.75
%e
|
$2.0
|
1.13
%
|
0.72
%
|
2.18
%
|
91
%
|
$(0.21
)
|
$7.36
|
1.89
%
|
$1.5
|
1.18
%
|
0.73
%
|
2.67
%
|
165
%
|
$(0.17
)
|
$7.43
|
4.18
%e
|
$0.8
|
1.17
%
|
0.76
%
|
1.92
%
|
131
%
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.26
)
|
$6.63
|
3.65
%e
|
$0.9
|
1.70
%
|
1.46
%
|
3.64
%
|
65
%
|
$(0.16
)
|
$6.65
|
(7.62
)%e
|
$1.2
|
1.73
%
|
1.46
%
|
1.70
%
|
76
%
|
$(0.15
)
|
$7.37
|
2.12
%e
|
$1.5
|
1.88
%
|
1.47
%
|
1.40
%
|
91
%
|
$(0.15
)
|
$7.36
|
1.13
%
|
$2.1
|
1.92
%
|
1.48
%
|
1.92
%
|
165
%
|
$(0.12
)
|
$7.43
|
3.55
%e
|
$1.4
|
1.92
%
|
1.51
%
|
1.26
%
|
131
%
|
|
Net Asset
Value,
Beginning
of Year
|
Net
Investment
Income/
(Loss)a
|
Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized)
|
Total From
Investment
Operations
|
Dividends
from Net
Investment
Income
|
Distributions
from Net
Realized
Capital
Gains
|
Tax
Return of
Capital
|
Strategic Income Fund
|
|||||||
Trust Class
|
|||||||
10/31/2023
|
$9.22
|
$0.48
|
$(0.08
)
|
$0.40
|
$(0.47
)
|
$—
|
$(0.03
)
|
10/31/2022
|
$11.41
|
$0.34
|
$(1.86
)
|
$(1.52
)
|
$(0.29
)
|
$(0.21
)
|
$(0.17
)
|
10/31/2021
|
$10.96
|
$0.33
|
$0.56
|
$0.89
|
$(0.44
)
|
$—
|
$—
|
10/31/2020
|
$10.99
|
$0.35
|
$0.01
|
$0.36
|
$(0.39
)
|
$—
|
$—
|
10/31/2019
|
$10.61
|
$0.38
|
$0.41
|
$0.79
|
$(0.35
)
|
$—
|
$(0.06
)
|
|
|||||||
Institutional Class
|
|||||||
10/31/2023
|
$9.22
|
$0.51
|
$(0.08
)
|
$0.43
|
$(0.50
)
|
$—
|
$(0.03
)
|
10/31/2022
|
$11.42
|
$0.37
|
$(1.86
)
|
$(1.49
)
|
$(0.33
)
|
$(0.21
)
|
$(0.17
)
|
10/31/2021
|
$10.97
|
$0.37
|
$0.56
|
$0.93
|
$(0.48
)
|
$—
|
$—
|
10/31/2020
|
$10.99
|
$0.39
|
$0.02
|
$0.41
|
$(0.43
)
|
$—
|
$—
|
10/31/2019
|
$10.62
|
$0.42
|
$0.40
|
$0.82
|
$(0.39
)
|
$—
|
$(0.06
)
|
|
|||||||
Class A
|
|||||||
10/31/2023
|
$9.23
|
$0.47
|
$(0.07
)
|
$0.40
|
$(0.47
)
|
$—
|
$(0.03
)
|
10/31/2022
|
$11.43
|
$0.33
|
$(1.86
)
|
$(1.53
)
|
$(0.29
)
|
$(0.21
)
|
$(0.17
)
|
10/31/2021
|
$10.98
|
$0.32
|
$0.57
|
$0.89
|
$(0.44
)
|
$—
|
$—
|
10/31/2020
|
$11.00
|
$0.34
|
$0.03
|
$0.37
|
$(0.39
)
|
$—
|
$—
|
10/31/2019
|
$10.63
|
$0.37
|
$0.41
|
$0.78
|
$(0.35
)
|
$—
|
$(0.06
)
|
|
|||||||
Class C
|
|||||||
10/31/2023
|
$9.22
|
$0.40
|
$(0.07
)
|
$0.33
|
$(0.40
)
|
$—
|
$(0.03
)
|
10/31/2022
|
$11.42
|
$0.26
|
$(1.87
)
|
$(1.61
)
|
$(0.21
)
|
$(0.21
)
|
$(0.17
)
|
10/31/2021
|
$10.96
|
$0.24
|
$0.58
|
$0.82
|
$(0.36
)
|
$—
|
$—
|
10/31/2020
|
$10.99
|
$0.27
|
$0.01
|
$0.28
|
$(0.31
)
|
$—
|
$—
|
10/31/2019
|
$10.62
|
$0.30
|
$0.40
|
$0.70
|
$(0.27
)
|
$—
|
$(0.06
)
|
|
|||||||
Class R6
|
|||||||
10/31/2023
|
$9.21
|
$0.52
|
$(0.08
)
|
$0.44
|
$(0.51
)
|
$—
|
$(0.03
)
|
10/31/2022
|
$11.41
|
$0.39
|
$(1.87
)
|
$(1.48
)
|
$(0.34
)
|
$(0.21
)
|
$(0.17
)
|
10/31/2021
|
$10.96
|
$0.38
|
$0.56
|
$0.94
|
$(0.49
)
|
$—
|
$—
|
10/31/2020
|
$10.98
|
$0.40
|
$0.02
|
$0.42
|
$(0.44
)
|
$—
|
$—
|
10/31/2019
|
$10.61
|
$0.43
|
$0.40
|
$0.83
|
$(0.40
)
|
$—
|
$(0.06
)
|
Total
Distributions
|
Net Asset
Value,
End of
Year
|
Total
Returnb
|
Net Assets,
End of
Year
(in millions)
|
Ratio
of Gross
Expenses to
Average Net
Assetsc
|
Ratio
of Net
Expenses to
Average
Net
Assets
|
Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets
|
Portfolio
Turnover
Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(0.50
)
|
$9.12
|
4.22
%e
|
$6.4
|
1.00
%
|
0.94
%
|
4.99
%
|
101
%d
|
$(0.67
)
|
$9.22
|
(13.82
)%e
|
$7.1
|
1.00
%
|
0.94
%
|
3.27
%
|
162
%d
|
$(0.44
)
|
$11.41
|
8.19
%e
|
$9.6
|
0.99
%
|
0.95
%k
|
2.88
%
|
114
%d
|
$(0.39
)
|
$10.96
|
3.41
%e
|
$9.6
|
1.02
%
|
0.94
%
|
3.24
%
|
107
%d
|
$(0.41
)
|
$10.99
|
7.60
%e
|
$8.6
|
1.02
%
|
0.94
%
|
3.53
%
|
113
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.53
)
|
$9.12
|
4.58
%e
|
$2,740.7
|
0.60
%
|
0.59
%
|
5.33
%
|
101
%d
|
$(0.71
)
|
$9.22
|
(13.59
)%e
|
$1,954.9
|
0.60
%
|
0.59
%
|
3.63
%
|
162
%d
|
$(0.48
)
|
$11.42
|
8.56
%e
|
$2,560.0
|
0.60
%
|
0.60
%k
|
3.22
%
|
114
%d
|
$(0.43
)
|
$10.97
|
3.87
%e
|
$2,227.5
|
0.61
%
|
0.59
%
|
3.59
%
|
107
%d
|
$(0.45
)
|
$10.99
|
7.87
%e
|
$2,357.5
|
0.62
%
|
0.59
%
|
3.84
%
|
113
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.50
)
|
$9.13
|
4.19
%e
|
$121.6
|
0.98
%
|
0.98
%
|
4.96
%
|
101
%d
|
$(0.67
)
|
$9.23
|
(13.92
)%e
|
$103.1
|
0.99
%
|
0.99
%l
|
3.23
%
|
162
%d
|
$(0.44
)
|
$11.43
|
8.13
%e
|
$133.3
|
1.00
%
|
1.00
%k,l
|
2.82
%
|
114
%d
|
$(0.39
)
|
$10.98
|
3.46
%e
|
$125.9
|
0.99
%
|
0.99
%l
|
3.19
%
|
107
%d
|
$(0.41
)
|
$11.00
|
7.44
%e
|
$113.5
|
1.01
%
|
0.99
%
|
3.45
%
|
113
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.43
)
|
$9.12
|
3.44
%e
|
$40.5
|
1.72
%
|
1.69
%
|
4.24
%
|
101
%d
|
$(0.59
)
|
$9.22
|
(14.54
)%e
|
$42.7
|
1.73
%
|
1.69
%
|
2.47
%
|
162
%d
|
$(0.36
)
|
$11.42
|
7.47
%e
|
$67.3
|
1.73
%
|
1.70
%k
|
2.13
%
|
114
%d
|
$(0.31
)
|
$10.96
|
2.64
%e
|
$73.4
|
1.73
%
|
1.69
%
|
2.49
%
|
107
%d
|
$(0.33
)
|
$10.99
|
6.70
%e
|
$100.5
|
1.74
%
|
1.69
%
|
2.75
%
|
113
%d
|
|
|||||||
|
|
|
|
|
|
|
|
$(0.54
)
|
$9.11
|
4.68
%e
|
$421.4
|
0.50
%
|
0.49
%
|
5.44
%
|
101
%d
|
$(0.72
)
|
$9.21
|
(13.52
)%e
|
$397.0
|
0.50
%
|
0.49
%
|
3.76
%
|
162
%d
|
$(0.49
)
|
$11.41
|
8.67
%e
|
$439.3
|
0.50
%
|
0.50
%k
|
3.32
%
|
114
%d
|
$(0.44
)
|
$10.96
|
3.97
%e
|
$332.2
|
0.51
%
|
0.49
%
|
3.68
%
|
107
%d
|
$(0.46
)
|
$10.98
|
7.98
%e
|
$301.4
|
0.52
%
|
0.50
%
|
3.94
%
|
113
%d
|
a
|
Calculated based on the average number of shares outstanding during each fiscal period.
|
b
|
Total return based on per share NAV reflects the effects of changes in NAV on the performance
of each
Fund during each fiscal period. Returns assume income dividends and other distributions, if
any, were
reinvested, but do not reflect the effect of sales charges. Results represent past performance
and do not
indicate future results. Current returns may be lower or higher than the performance data
quoted.
Investment returns and principal will fluctuate and shares, when redeemed, may be worth more
or less than
original cost. Total return would have been lower if Management had not reimbursed and/or
waived certain
expenses. Total return would have been higher if Management had not recouped previously
reimbursed
and/or waived expenses.
|
c
|
Represents the annualized ratios of net expenses to average daily net assets if Management had
not
reimbursed certain expenses and/or waived a portion of the investment management fee.
|
d
|
Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio
turnover rate would
have been:
|
|
Year Ended October 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
|
Core Bond
|
185%
|
226%
|
243%
|
186%
|
187%
|
Strategic Income
|
298%
|
308%
|
308%
|
344%
|
325%
|
e
|
The class action proceeds listed in Note A of the Notes to Financial Statements, if any, had
no impact on the
Funds’ total returns for the year ended October 31, 2023. The class action proceeds received
in 2022, 2021,
2020 and 2019 had no impact on the Funds’ total returns for the years ended October 31, 2022,
2021,
|
f
|
The date investment operations commenced.
|
g
|
Not annualized.
|
h
|
Annualized.
|
i
|
Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for
the year ended
October 31, 2022, for High Income and for the year ended October 31, 2019, for Core Bond.
|
j
|
Represents the annualized ratio of net expenses to average daily net assets after utilization
of the line of
credit by Emerging Markets Debt (2020), Floating Rate Income (2022 & 2019) and Municipal
High
Income (2022) and/or reimbursement of expenses and/or waiver of a portion of the investment
management fee by Management. Had Emerging Markets Debt, Floating Rate Income and Municipal
High
Income not utilized the line of credit, and had Management not undertaken such action, the
annualized
ratios of net expenses to average daily net assets would have been:
|
|
Year Ended October 31,
|
|||
|
2021
|
2020
|
2019
|
|
Emerging Markets Debt Institutional Class
|
—
|
0.79%
|
0.79%
|
—
|
Emerging Markets Debt Class A
|
—
|
1.16%
|
1.16%
|
—
|
Emerging Markets Debt Class C
|
—
|
1.91%
|
1.91%
|
—
|
Floating Rate Income Institutional Class
|
0.60%
|
—
|
—
|
0.71%
|
Floating Rate Income Class A
|
0.97%
|
—
|
—
|
1.08%
|
Floating Rate Income Class C
|
1.72%
|
—
|
—
|
1.84%
|
Municipal High Income Institutional Class
|
0.52%
|
—
|
—
|
—
|
Municipal High Income Class A
|
0.90%
|
—
|
—
|
—
|
Municipal High Income Class C
|
1.64%
|
—
|
—
|
—
|
k
|
Includes interest expense on reverse repurchase agreements of 0.00% for each respective class
for the year
ended October 31, 2022 for High Income and for the year ended October 31, 2021 for High Income
and
Strategic Income.
|
l
|
After repayment of expenses previously reimbursed and/or fees previously waived pursuant to
the terms of
the contractual expense limitation agreements by Management, as applicable. Had the Fund not
made such
repayments, the annualized ratios of net expenses to average net assets would have been:
|
|
Year Ended October 31,
|
||
|
2021
|
2020
|
|
High Income Class A
|
1.10%
|
—
|
1.04%
|
Strategic Income Class A
|
0.99%
|
0.98%
|
0.99%
|
Individual fund constituting Neuberger
Berman Income Funds
|
Statement of
operations
|
Statements of
changes in net
assets
|
Financial
highlights
|
Neuberger Berman Emerging Markets Debt Fund
Neuberger Berman High Income Bond Fund
Neuberger Berman Municipal Intermediate Bond
Fund
Neuberger Berman Short Duration Bond Fund
Neuberger Berman Strategic Income Fund
|
For the year ended
|
||
Neuberger Berman Core Bond Fund
Neuberger Berman Floating Rate Income Fund
Neuberger Berman Municipal High Income Fund
Neuberger Berman Municipal Impact Fund
|
For the year ended
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
Independent Fund Trustees
|
||||
Michael J. Cosgrove (1949)
|
Trustee since
2015
|
President, Carragh
Consulting USA, since 2014;
formerly, Executive, General
Electric Company, 1970 to
2014, including President,
Mutual Funds and Global
Investment Programs, GE
Asset Management, 2011 to
2014, President and Chief
Executive Officer, Mutual
Funds and Intermediary
Business, GE Asset
Management, 2007 to
2011, President, Institutional
Sales and Marketing, GE
Asset Management, 1998 to
2007, and Chief Financial
Officer, GE Asset
Management, and Deputy
Treasurer, GE Company,
1988 to 1993.
|
47
|
Member of Advisory Board,
Burke Neurological Institute,
since 2021; Parish Councilor,
St. Pius X, since 2021;
formerly, Director, America
Press, Inc. (not-for-profit
Jesuit publisher), 2015 to
2021; formerly, Director,
Fordham University, 2001 to
2018; formerly, Director, The
Gabelli Go Anywhere Trust,
June 2015 to June 2016;
formerly, Director, Skin
Cancer Foundation
(not-for-profit), 2006 to
2015; formerly, Director, GE
Investments Funds, Inc.,
1997 to 2014; formerly,
Trustee, GE Institutional
Funds, 1997 to 2014;
formerly, Director, GE Asset
Management, 1988 to
2014; formerly, Director,
Elfun Trusts, 1988 to 2014;
formerly, Trustee, GE Pension
& Benefit Plans, 1988 to
2014; formerly, Member of
Board of Governors,
Investment Company
Institute.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
Marc Gary (1952)
|
Trustee since
2015
|
Executive Vice Chancellor
Emeritus, The Jewish
Theological Seminary, since
2020; formerly, Executive
Vice Chancellor and Chief
Operating Officer, The
Jewish Theological Seminary,
2012 to 2020; formerly,
Executive Vice President and
General Counsel, Fidelity
Investments, 2007 to
2012;formerly, Executive
Vice President and General
Counsel, BellSouth
Corporation, 2004 to 2007;
formerly, Vice President and
Associate General Counsel,
BellSouth Corporation, 2000
to 2004; formerly, Associate,
Partner, and National
Litigation Practice Co-Chair,
Mayer, Brown LLP, 1981 to
2000; formerly, Associate
Independent Counsel, Office
of Independent Counsel,
1990 to 1992.
|
47
|
Chair and Director, USCJ
Supporting Foundation,
since 2021; Director, UJA
Federation of Greater New
York, since 2019; Trustee,
The Jewish Theological
Seminary, since 2015;
Director, Lawyers Committee
for Civil Rights Under Law
(not-for-profit), since 2005;
formerly, Director, Legility,
Inc. (privately held for-profit
company), 2012 to 2021;
formerly, Director, Equal
Justice Works
(not-for-profit), 2005 to
2014; formerly, Director,
Corporate Counsel Institute,
Georgetown University Law
Center, 2007 to 2012;
formerly, Director, Greater
Boston Legal Services
(not-for-profit), 2007 to
2012.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
Martha C. Goss (1949)
|
Trustee since
2007
|
Formerly, President, Woodhill
Enterprises Inc./Chase
Hollow Associates LLC
(personal investment
vehicle), 2006 to 2020;
formerly, Consultant,
Resources Global
Professionals (temporary
staffing), 2002 to 2006;
formerly, Chief Financial
Officer, Booz-Allen &
Hamilton, Inc., 1995 to
1999; formerly, Enterprise
Risk Officer, Prudential
Insurance, 1994 to 1995;
formerly, President,
Prudential Asset
Management Company,
1992 to 1994; formerly,
President, Prudential Power
Funding (investments in
electric and gas utilities and
alternative energy projects),
1989 to 1992; formerly,
Treasurer, Prudential
Insurance Company, 1983 to
1989.
|
47
|
Director, American Water
(water utility), since 2003;
Director, Allianz Life of New
York (insurance), since 2005;
formerly, Director, Berger
Group Holdings, Inc.
(engineering consulting
firm), 2013 to 2018;
formerly, Director, Financial
Women’s Association of
New York (not-for-profit
association), 1987 to 1996,
and 2003 to 2019; Trustee
Emerita, Brown University,
since 1998; Director,
Museum of American
Finance (not-for-profit), since
2013; formerly,
Non-Executive Chair and
Director, Channel
Reinsurance (financial
guaranty reinsurance), 2006
to 2010; formerly, Director,
Ocwen Financial Corporation
(mortgage servicing), 2005
to 2010; formerly, Director,
Claire’s Stores, Inc. (retailer),
2005 to 2007; formerly,
Director, Parsons
Brinckerhoff Inc.
(engineering consulting
firm), 2007 to 2010;
formerly, Director, Bank
Leumi (commercial bank),
2005 to 2007; formerly,
Advisory Board Member,
Attensity (software
developer), 2005 to 2007;
formerly, Director, Foster
Wheeler Manufacturing,
1994 to 2004; formerly,
Director, Dexter Corp.
(Manufacturer of
Non-Wovens, Plastics, and
Medical Supplies), 1992 to
2001.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
Ami Kaplan (1960)
|
Trustee since
2023
|
Formerly, Partner,
Deloitte LLP, 1982 to 2023,
including Vice Chair, 2017 to
2020; formerly, President
and Board Chair, Women's
Forum of New York, 2014 to
2016.
|
47
|
None.
|
Michael M. Knetter (1960)
|
Trustee since
2007
|
President and Chief
Executive Officer, University
of Wisconsin Foundation,
since 2010; formerly, Dean,
School of Business,
University of Wisconsin -
Madison; formerly, Professor
of International Economics
and Associate Dean, Amos
Tuck School of Business -
Dartmouth College, 1998 to
2002.
|
47
|
Director, 1WS Credit Income
Fund, since 2018; Board
Member, American Family
Insurance (a mutual
company, not publicly
traded), since March 2009;
formerly, Trustee,
Northwestern Mutual
Series Fund, Inc., 2007 to
2011; formerly, Director,
Wausau Paper, 2005 to
2011; formerly, Director,
Great Wolf Resorts, 2004 to
2009.
|
Deborah C. McLean (1954)
|
Trustee since
2015
|
Member, Circle Financial
Group (private wealth
management membership
practice), since 2011;
Managing Director, Golden
Seeds LLC (an angel
investing group), since 2009;
Adjunct Professor (Corporate
Finance), Columbia
University School of
International and Public
Affairs, since 2008; formerly,
Visiting Assistant Professor,
Fairfield University, Dolan
School of Business, Fall
2007; formerly, Adjunct
Associate Professor of
Finance, Richmond, The
American International
University in London, 1999
to 2007.
|
47
|
Board Member, The
Maritime Aquarium at
Norwalk, since 2020; Board
Member, Norwalk
Community College
Foundation, since 2014;
Dean’s Advisory Council,
Radcliffe Institute for
Advanced Study, since 2014;
formerly, Director and
Treasurer, At Home in Darien
(not-for-profit), 2012 to
2014; formerly, Director,
National Executive Service
Corps (not-for-profit), 2012
to 2013; formerly, Trustee,
Richmond, The American
International University in
London, 1999 to 2013.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
George W. Morriss (1947)
|
Trustee since
2007
|
Formerly, Adjunct Professor,
Columbia University School
of International and Public
Affairs, 2012 to 2018;
formerly, Executive Vice
President and Chief Financial
Officer, People's United
Bank, Connecticut (a
financial services company),
1991 to 2001.
|
47
|
Director, 1WS Credit Income
Fund; Chair, Audit
Committee, since 2018;
Director and Chair, Thrivent
Church Loan and Income
Fund, since 2018; formerly,
Trustee, Steben Alternative
Investment Funds, Steben
Select Multi-Strategy Fund,
and Steben Select
Multi-Strategy Master Fund,
2013 to 2017; formerly,
Treasurer, National
Association of Corporate
Directors, Connecticut
Chapter, 2011 to 2015;
formerly, Manager, Larch
Lane Multi-Strategy Fund
complex (which consisted of
three funds), 2006 to 2011;
formerly, Member, NASDAQ
Issuers’ Affairs Committee,
1995 to 2003.
|
Tom D. Seip (1950)
|
Trustee since
2000;
Chairman of
the Board since
2008; formerly,
Lead
Independent
Trustee from
2006 to 2008
|
Formerly, Managing
Member, Ridgefield
Farm LLC (a private
investment vehicle), 2004 to
2016; formerly, President
and CEO, Westaff, Inc.
(temporary staffing), May
2001 to January 2002;
formerly, Senior Executive,
The Charles Schwab
Corporation, 1983 to 1998,
including Chief Executive
Officer, Charles Schwab
Investment Management,
Inc.; Trustee, Schwab Family
of Funds and Schwab
Investments, 1997 to 1998;
and Executive Vice
President-Retail Brokerage,
Charles Schwab & Co., Inc.,
1994 to 1997.
|
47
|
Trustee, University of
Maryland, Shore Regional
Health System, since 2020;
formerly, Director, H&R
Block, Inc. (tax services
company), 2001 to 2018;
formerly, Director, Talbot
Hospice Inc., 2013 to 2016;
formerly, Chairman,
Governance and Nominating
Committee, H&R Block, Inc.,
2011 to 2015; formerly,
Chairman, Compensation
Committee, H&R Block, Inc.,
2006 to 2010; formerly,
Director, Forward
Management, Inc. (asset
management company),
1999 to 2006.
|
Franklyn E. Smith (1961)
|
Trustee since
2023
|
Formerly, Partner,
PricewaterhouseCoopers LLP,
1989 to 2021.
|
47
|
Director, Zurich American
Insurance Company, since
2023.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
James G. Stavridis (1955)
|
Trustee since
2015
|
Vice Chairman Global
Affairs, The Carlyle Group,
since 2018; Commentator,
NBC News, since 2015;
formerly, Dean, Fletcher
School of Law and
Diplomacy, Tufts University,
2013 to 2018; formerly,
Admiral, United States Navy,
1976 to 2013, including
Supreme Allied Commander,
NATO and Commander,
European Command, 2009
to 2013, and Commander,
United States Southern
Command, 2006 to 2009.
|
47
|
Director, Fortinet
(cybersecurity), since 2021;
Director, Ankura, since 2020;
Director, Vigor Shipyard,
since 2019; Director,
Rockefeller Foundation,
since 2018; Director,
American Water (water
utility), since 2018; Director,
NFP Corp. (insurance broker
and consultant), since 2017;
Director, Onassis Foundation,
since 2014; Director, Michael
Baker International
(construction) since 2014;
Director, Vertical Knowledge,
LLC, since 2013; formerly,
Director, U.S. Naval Institute,
2014 to 2019; formerly,
Director, Navy Federal Credit
Union, 2000 to 2002;
formerly, Director, BMC
Software Federal, LLC, 2014
to 2019.
|
Name, (Year of Birth),
and Address(1)
|
Position(s)
and Length of
Time Served(2)
|
Principal Occupation(s)(3)
|
Number of
Funds in
Fund Complex
Overseen by
Fund Trustee
|
Other Directorships Held
Outside Fund Complex by
Fund Trustee(3)
|
Fund Trustees who are "Interested Persons"
|
||||
Joseph V. Amato* (1962)
|
Chief Executive
Officer and
President since
2018 and
Trustee since
2009
|
President and Director,
Neuberger Berman
Group LLC, since 2009;
President and Chief
Executive Officer, Neuberger
Berman BD LLC and
Neuberger Berman
Holdings LLC (including its
predecessor, Neuberger
Berman Inc.), since 2007;
Chief Investment Officer
(Equities) and President
(Equities), NBIA (formerly,
Neuberger Berman Fixed
Income LLC and including
predecessor entities), since
2007, and Board Member of
NBIA since 2006; formerly,
Global Head of Asset
Management of Lehman
Brothers Holdings Inc.’s
("LBHI") Investment
Management Division, 2006
to 2009; formerly, member
of LBHI’s Investment
Management Division’s
Executive Management
Committee, 2006 to 2009;
formerly, Managing Director,
Lehman Brothers Inc.
("LBI"), 2006 to 2008;
formerly, Chief Recruiting
and Development Officer,
LBI, 2005 to 2006; formerly,
Global Head of LBI’s Equity
Sales and a Member of its
Equities Division Executive
Committee, 2003 to 2005;
President and Chief
Executive Officer, twelve
registered investment
companies for which NBIA
acts as investment manager
and/or administrator.
|
47
|
Member of Board of
Advisors, McDonough
School of Business,
Georgetown University, since
2001; Member of New York
City Board of Advisors, Teach
for America, since 2005;
Trustee, Montclair Kimberley
Academy (private school),
since 2007; Member of
Board of Regents,
Georgetown University, since
2013.
|
Name, (Year of Birth), and
Address(1)
|
Position(s) and
Length of Time
Served(2)
|
Principal Occupation(s)(3)
|
Claudia A. Brandon (1956)
|
Executive Vice
President since
2008 and
Secretary since
1985
|
Senior Vice President, Neuberger Berman, since 2007 and Employee since
1999; Senior Vice President, NBIA, since 2008 and Assistant Secretary since
2004; formerly, Vice President, Neuberger Berman, 2002 to 2006; formerly,
Vice President, Mutual Fund Board Relations, NBIA, 2000 to 2008;
formerly, Vice President, NBIA, 1986 to 1999 and Employee, 1984 to 1999;
Executive Vice President and Secretary, thirty-three registered investment
companies for which NBIA acts as investment manager and/or
administrator.
|
Agnes Diaz (1971)
|
Vice President
since 2013
|
Senior Vice President, Neuberger Berman, since 2012; Senior Vice
President, NBIA, since 2012 and Employee since 1996; formerly, Vice
President, Neuberger Berman, 2007 to 2012; Vice President, twelve
registered investment companies for which NBIA acts as investment
manager and/or administrator.
|
Anthony DiBernardo (1979)
|
Assistant
Treasurer since
2011
|
Senior Vice President, Neuberger Berman, since 2014; Senior Vice
President, NBIA, since 2014, and Employee since 2003; formerly, Vice
President, Neuberger Berman, 2009 to 2014; Assistant Treasurer, twelve
registered investment companies for which NBIA acts as investment
manager and/or administrator.
|
Savonne L. Ferguson (1973)
|
Chief
Compliance
Officer since
2018
|
Senior Vice President, Chief Compliance Officer, Mutual Funds, and
Associate General Counsel, NBIA, since November 2018; formerly, Vice
President, T. Rowe Price Group, Inc., 2018; Vice President and Senior Legal
Counsel, T. Rowe Price Associates, Inc., 2014 to 2018; Vice President and
Director of Regulatory Fund Administration, PNC Capital Advisors, LLC,
2009 to 2014; Secretary, PNC Funds and PNC Advantage Funds, 2010 to
2014; Chief Compliance Officer, thirty-three registered investment
companies for which NBIA acts as investment manager and/or
administrator.
|
Corey A. Issing (1978)
|
Chief Legal
Officer since
2016 (only for
purposes of
sections 307 and
406 of the
Sarbanes-Oxley
Act of 2002)
|
General Counsel, Mutual Funds, since 2016 and Managing Director, NBIA,
since 2017; formerly, Associate General Counsel, 2015 to 2016; Counsel,
2007 to 2015; Senior Vice President, 2013 to 2016; Vice President, 2009
to 2013; Chief Legal Officer (only for purposes of sections 307 and 406 of
the Sarbanes-Oxley Act of 2002), thirty-three registered investment
companies for which NBIA acts as investment manager and/or
administrator.
|
Sheila R. James (1965)
|
Assistant
Secretary since
2002
|
Senior Vice President, Neuberger Berman, since 2023 and Employee since
1999; Senior Vice President, NBIA, since 2023; formerly, Vice President,
Neuberger Berman, 2008 to 2023; Assistant Vice President, Neuberger
Berman, 2007; Employee, NBIA, 1991 to 1999; Assistant Secretary,
thirty-three registered investment companies for which NBIA acts as
investment manager and/or administrator.
|
Name, (Year of Birth), and
Address(1)
|
Position(s) and
Length of Time
Served(2)
|
Principal Occupation(s)(3)
|
Brian Kerrane (1969)
|
Chief Operating
Officer since
2015 and Vice
President since
2008
|
Managing Director, Neuberger Berman, since 2013; Chief Operating
Officer, Mutual Funds, and Managing Director, NBIA, since 2015; formerly,
Senior Vice President, Neuberger Berman, 2006 to 2014; Vice President,
NBIA, 2008 to 2015 and Employee since 1991; Chief Operating Officer,
twelve registered investment companies for which NBIA acts as investment
manager and/or administrator; Vice President, thirty-three registered
investment companies for which NBIA acts as investment manager and/or
administrator.
|
Anthony Maltese (1959)
|
Vice President
since 2015
|
Senior Vice President, Neuberger Berman, since 2014 and Employee since
2000; Senior Vice President, NBIA, since 2014; Vice President, twelve
registered investment companies for which NBIA acts as investment
manager and/or administrator.
|
Josephine Marone (1963)
|
Assistant
Secretary since
2017
|
Senior Paralegal, Neuberger Berman, since 2007 and Employee since 2007;
Assistant Secretary, thirty-three registered investment companies for which
NBIA acts as investment manager and/or administrator.
|
Owen F. McEntee, Jr. (1961)
|
Vice President
since 2008
|
Vice President, Neuberger Berman, since 2006; Vice President, NBIA, since
2006 and Employee since 1992; Vice President, twelve registered
investment companies for which NBIA acts as investment manager and/or
administrator.
|
John M. McGovern (1970)
|
Treasurer and
Principal
Financial and
Accounting
Officer since
2005
|
Managing Director, Neuberger Berman, since 2022; Senior Vice President,
Neuberger Berman, 2007 to 2021; Senior Vice President, NBIA, since 2007
and Employee since 1993; formerly, Vice President, Neuberger Berman,
2004 to 2006; formerly, Assistant Treasurer, 2002 to 2005; Treasurer and
Principal Financial and Accounting Officer, twelve registered investment
companies for which NBIA acts as investment manager and/or
administrator.
|
Frank Rosato (1971)
|
Assistant
Treasurer since
2005
|
Vice President, Neuberger Berman, since 2006; Vice President, NBIA, since
2006 and Employee since 1995; Assistant Treasurer, twelve registered
investment companies for which NBIA acts as investment manager and/or
administrator.
|
Daniel Tracer (1987)
|
Anti-Money
Laundering
Compliance
Officer since
2023
|
Senior Vice President and Head of Financial Regulation, Neuberger Berman,
since February 2023; Assistant United States Attorney, Southern District of
New York, 2016 to 2023; Trial Attorney, Department of Justice Antitrust
Division, 2012 to 2015; Senior Anti-Money Laundering Compliance Officer,
five registered investment companies for which NBIA acts as investment
manager and/or administrator.
|
(a) |
Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and
Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is
accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
|
(b) |
There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are
reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
|
(a)(1) |
(a)(2) |
Not applicable to the Registrant.
|
(a)(3) |
This ‘N-CSR’ Filing | Date | Other Filings | ||
---|---|---|---|---|
12/31/24 | ||||
Filed on / Effective on: | 1/5/24 | |||
12/22/23 | ||||
12/15/23 | ||||
12/14/23 | 497, 497K | |||
For Period end: | 10/31/23 | NPORT-P | ||
10/5/23 | ||||
7/31/23 | NPORT-P | |||
3/31/23 | ||||
12/31/22 | ||||
10/31/22 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
4/1/22 | ||||
3/31/22 | ||||
1/11/22 | ||||
12/21/21 | ||||
10/31/21 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
8/24/21 | ||||
10/31/20 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
10/31/19 | 24F-2NT, N-CEN, N-CSR, NPORT-P | |||
6/16/18 | 485BPOS | |||
3/27/14 | ||||
2/28/08 | 485BPOS | |||
7/6/06 | 497 | |||
6/13/05 | ||||
6/10/05 | ||||
9/6/02 | 497 | |||
2/1/97 | ||||
1/31/97 | 485BPOS | |||
4/1/96 | ||||
3/31/96 | ||||
10/1/95 | ||||
2/1/92 | ||||
List all Filings |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 4/02/24 Neuberger Berman ETF Trust 497 4/02/24 1:2.1M K&L Gates LLP/DC/FA 3/01/24 Neuberger Berman ETF Trust N-14 4:2.2M K&L Gates LLP/DC/FA 3/01/24 Neuberger Berman ETF Trust N-14 4:2.2M K&L Gates LLP/DC/FA |
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 6/26/23 Neuberger Berman RE Secs Inc… Inc N-CSRS 4/30/23 4:957K K&L Gates LLP/DC/FA |