SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Management's Discussion of Fund Performance, Performance Summaries and Portfolio Statistics (Unaudited) | |
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1 |
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2 |
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3 |
Schedules of Investments (Unaudited) | |
|
5 |
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14 |
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41 |
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110 |
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117 |
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120 |
|
131 |
Description | % of Net Assets | ||
Galaxy
Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 |
2.3% | ||
Panama
Government International Bond 3.87% 7/23/2060 |
2.1 | ||
Minejesa
Capital B.V. 5.63% 8/10/2037 |
2.1 | ||
TNB
Global Ventures Capital Bhd 3.24% 10/19/2026 |
2.1 | ||
Chile
Electricity PEC SpA 0.01% 1/25/2028 |
2.1 | ||
TOTAL | 10.7% |
% of Net Assets | |||
Corporate Bonds & Notes | 64.1% | ||
Foreign Government Obligations | 34.0 | ||
Short-Term Investment | 1.0 | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S.
Treasury Bill 0.08% 8/11/2022 |
8.9% | ||
U.S.
Treasury Bill 0.12% 7/14/2022 |
3.3 | ||
Federal
National Mortgage Association 2.50% 8/1/2041 |
2.8 | ||
Federal
Home Loan Mortgage Corp. 1.50% 2/1/2036 |
2.6 | ||
U.S.
Treasury Note 1.63% 4/30/2023 |
2.5 | ||
TOTAL | 20.1% |
% of Net Assets | |||
U.S. Government Agency Obligations | 25.3% | ||
Corporate Bonds & Notes | 24.0 | ||
U.S. Treasury Obligations | 16.7 | ||
Asset-Backed Securities | 12.2 | ||
Senior Floating Rate Loans | 7.2 | ||
Mortgage-Backed Securities | 4.8 | ||
Foreign Government Obligations | 2.6 | ||
Commercial Mortgage Backed Securities | 2.3 | ||
Short-Term Investment | 3.7 | ||
Other Assets in Excess of Liabilities | 1.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Treasury
Bonds 1.88% 11/15/2051 |
4.0% | ||
Treasury
Notes 0.50% 11/30/2023 |
3.4 | ||
Treasury
Notes 1.50% 11/30/2028 |
3.2 | ||
Treasury
Notes 0.13% 11/30/2022 |
3.0 | ||
Treasury
Notes 2.25% 11/15/2025 |
2.5 | ||
TOTAL | 16.1% |
% of Net Assets | |||
U.S. Government Agency Obligations | 35.7% | ||
U.S. Treasury Obligations | 23.5 | ||
Mortgage-Backed Securities | 6.7 | ||
Asset-Backed Securities | 6.3 | ||
Commercial Mortgage Backed Securities | 5.4 | ||
Foreign Government Obligations | 2.1 | ||
Banks | 2.2 | ||
Electric | 1.5 | ||
Oil & Gas | 1.2 | ||
Telecommunications | 1.0 | ||
Pipelines | 0.8 | ||
Health Care Services | 0.8 | ||
Software | 0.8 | ||
Diversified Financial Services | 0.7 | ||
Insurance | 0.7 | ||
Retail | 0.6 | ||
Real Estate Investment Trusts | 0.6 | ||
Commercial Services | 0.5 | ||
Food | 0.5 | ||
Chemicals | 0.5 | ||
Auto Manufacturers | 0.4 | ||
Packaging & Containers | 0.4 | ||
Pharmaceuticals | 0.3 | ||
Leisure Time | 0.3 | ||
Media | 0.2 | ||
Internet | 0.2 | ||
Entertainment | 0.2 | ||
Transportation | 0.2 | ||
Mining | 0.2 | ||
Investment Company Security | 0.2 | ||
Beverages | 0.2 | ||
Biotechnology | 0.2 | ||
Electronics | 0.2 | ||
Building Materials | 0.2 |
% of Net Assets | |||
Machinery-Diversified | 0.2% | ||
Agriculture | 0.2 | ||
Oil & Gas Services | 0.2 | ||
IT Services | 0.2 | ||
Health Care Products | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Aerospace & Defense | 0.1 | ||
Lodging | 0.1 | ||
Airlines | 0.1 | ||
Miscellaneous Manufacturer | 0.1 | ||
Advertising | 0.1 | ||
Forest Products & Paper | 0.1 | ||
Semiconductors | 0.1 | ||
Household Products & Wares | 0.1 | ||
Energy-Alternate Sources | 0.1 | ||
Water | 0.1 | ||
Computers | 0.1 | ||
Engineering & Construction | 0.1 | ||
Iron/Steel | 0.0* | ||
Environmental Control | 0.0* | ||
Home Builders | 0.0* | ||
Construction Materials | 0.0* | ||
Housewares | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Real Estate | 0.0* | ||
Coal | 0.0* | ||
Cosmetics/Personal Care | 0.0* | ||
Trucking & Leasing | 0.0* | ||
Household Products | 0.0* | ||
Machinery, Construction & Mining | 0.0* | ||
Home Furnishings | 0.0* | ||
Hand & Machine Tools | 0.0* | ||
Short-Term Investment | 2.2 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal
Amount |
Value | ||||
CORPORATE BONDS & NOTES — 64.1% | ||||||
ARGENTINA — 0.9% | ||||||
Banco Macro SA Series REGS, USD 5 Year Swap Rate
+ 5.46%, 6.75%, 11/4/2026 (a)
|
$ 550,000 | $ 459,833 | ||||
Pampa Energia SA Series REGS, 7.50%,
1/24/2027
|
450,000 | 388,755 | ||||
848,588 | ||||||
BRAZIL — 4.6% | ||||||
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%,
6/18/2024 (a)
|
900,000 | 960,156 | ||||
Banco do Estado do Rio Grande do Sul SA Series
REGS, 5 year CMT + 4.93%, 5.38%, 1/28/2031 (a)
|
200,000 | 193,742 | ||||
Braskem Netherlands Finance BV 5 year CMT +
8.22%, 8.50%, 1/23/2081 (a)(b)
|
400,000 | 466,188 | ||||
Itau Unibanco Holding SA Series REGS, 5 year CMT
+ 3.45%, 3.88%, 4/15/2031 (a)
|
1,790,000 | 1,717,559 | ||||
Nexa Resources SA Series REGS, 5.38%,
5/4/2027
|
200,000 | 212,524 | ||||
Petrobras Global Finance B.V. 5.50%,
6/10/2051
|
1,100,000 | 1,020,734 | ||||
4,570,903 | ||||||
CHILE — 6.5% | ||||||
Antofagasta PLC Series REGS, 2.38%,
10/14/2030
|
600,000 | 572,622 | ||||
CAP SA: | ||||||
3.90%, 4/27/2031 (b)
|
600,000 | 564,000 | ||||
3.90%, 4/27/2031
|
1,000,000 | 940,000 | ||||
Chile Electricity PEC SpA 0.01%, 1/25/2028
(b)
|
2,500,000 | 2,032,125 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029
|
130,400 | 125,218 | ||||
Empresa Electrica Cochrane SpA Series REGS,
5.50%, 5/14/2027
|
1,426,320 | 1,429,501 | ||||
Engie Energia Chile SA 3.40%, 1/28/2030
|
400,000 | 404,444 | ||||
Guacolda Energia SA Series REGS, 4.56%,
4/30/2025
|
400,000 | 155,900 | ||||
Telefonica Moviles Chile SA 3.54%, 11/18/2031
(b)
|
150,000 | 149,493 | ||||
6,373,303 | ||||||
COLOMBIA — 4.7% | ||||||
AI Candelaria Spain SLU 5.75%, 6/15/2033
(b)
|
500,000 | 483,585 | ||||
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%,
4/22/2031 (a)(b)
|
400,000 | 405,372 | ||||
Ecopetrol SA: | ||||||
4.63%, 11/2/2031
|
700,000 | 679,966 | ||||
5.88%, 5/28/2045
|
100,000 | 95,774 | ||||
5.88%, 11/2/2051
|
250,000 | 234,443 | ||||
Empresas Publicas de Medellin ESP: | ||||||
Series REGS, 4.25%, 7/18/2029
|
1,500,000 | 1,422,825 |
Security Description | Principal
Amount |
Value | |||
Series REGS, 4.38%, 2/15/2031
|
$ 500,000 | $ 470,070 | |||
Gran Tierra Energy International Holdings, Ltd.
Series REGS, 6.25%, 2/15/2025
|
600,000 | 545,940 | |||
Oleoducto Central SA Series REGS, 4.00%,
7/14/2027
|
300,000 | 298,902 | |||
4,636,877 | |||||
INDIA — 4.2% | |||||
Adani International Container Terminal Pvt, Ltd.: | |||||
3.00%, 2/16/2031 (b)
|
392,000 | 377,711 | |||
Series REGS, 3.00%, 2/16/2031
|
980,000 | 944,912 | |||
Adani Ports & Special Economic Zone, Ltd.: | |||||
3.10%, 2/2/2031
|
1,000,000 | 952,270 | |||
Series REGS, 4.38%, 7/3/2029
|
700,000 | 731,017 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026
|
600,000 | 628,770 | |||
Ultratech Cement, Ltd. 2.80%, 2/16/2031
|
200,000 | 193,328 | |||
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024
|
400,000 | 350,292 | |||
4,178,300 | |||||
INDONESIA — 3.4% | |||||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039 (b)
|
358,680 | 408,809 | |||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030
|
800,000 | 821,008 | |||
Series REGS, 5.63%, 8/10/2037
|
2,000,000 | 2,090,960 | |||
3,320,777 | |||||
JAMAICA — 0.1% | |||||
Digicel Group Holdings, Ltd.: | |||||
7.00%, 12/31/2099 (b)
|
66,877 | 58,016 | |||
8.00%, 4/1/2025 (b)
|
44,197 | 41,017 | |||
99,033 | |||||
KUWAIT — 0.9% | |||||
Equate Petrochemical B.V. Series REGS, 2.63%,
4/28/2028
|
900,000 | 901,125 | |||
MALAYSIA — 3.4% | |||||
Petronas Capital, Ltd.: | |||||
2.48%, 1/28/2032 (b)
|
400,000 | 401,268 | |||
Series REGS, 3.50%, 3/18/2025
|
600,000 | 636,204 | |||
3.50%, 4/21/2030 (b)
|
200,000 | 216,448 | |||
TNB Global Ventures Capital Bhd Series EMTN,
3.24%, 10/19/2026
|
2,000,000 | 2,089,920 | |||
3,343,840 |
Security Description | Principal
Amount |
Value | |||
MEXICO — 2.2% | |||||
Banco Mercantil del Norte SA Series REGS, 10 Year
CMT + 5.47%, 7.50%, 6/27/2029 (a)
|
$ 800,000 | $ 851,592 | |||
Credito Real SAB de CV Series REGS, 5 Year CMT +
7.03%, 9.13%, 11/29/2022 (a)
|
200,000 | 97,618 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b)
|
300,000 | 266,805 | |||
Petroleos Mexicanos 6.75%, 9/21/2047
|
550,000 | 486,640 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year
CMT + 6.31%, 8.88%, 1/29/2025 (a)
|
800,000 | 471,040 | |||
2,173,695 | |||||
PANAMA — 2.5% | |||||
Banco General SA 10 Year CMT + 3.67%, 5.25%,
5/7/2031 (a)(b)
|
800,000 | 812,464 | |||
Banco Nacional de Panama 2.50%, 8/11/2030
(b)
|
300,000 | 281,025 | |||
UEP Penonome II SA 6.50%, 10/1/2038 (b)
|
1,346,684 | 1,416,065 | |||
2,509,554 | |||||
PERU — 5.5% | |||||
Banco BBVA Peru SA 5 year CMT + 2.75%, 5.25%,
9/22/2029 (a)
|
200,000 | 210,022 | |||
Banco de Credito del Peru: | |||||
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)
|
800,000 | 790,976 | |||
5 year CMT + 3.00%, 3.13%, 7/1/2030 (a)(b)
|
250,000 | 247,180 | |||
Banco Internacional del Peru SAA Interbank Series
REGS, 3 Month USD LIBOR + 5.76%, 6.63%, 3/19/2029
|
898,000 | 946,339 | |||
Banco Internacional del Peru SAA Interbank Series
REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (a)
|
700,000 | 697,144 | |||
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027
|
909,118 | 930,064 | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series
REGS, 6.38%, 6/1/2028
|
1,053,800 | 1,068,226 | |||
Inkia Energy, Ltd. Series REGS, 5.88%,
11/9/2027
|
300,000 | 307,464 | |||
Orazul Energy Egenor SCA 5.63%, 4/28/2027
|
252,000 | 242,868 | |||
5,440,283 | |||||
QATAR — 1.5% | |||||
Qatar Energy 2.25%, 7/12/2031
|
1,500,000 | 1,485,852 | |||
SAUDI ARABIA — 0.4% | |||||
SA Global Sukuk, Ltd. 2.69%, 6/17/2031 (b)
|
400,000 | 402,304 | |||
SINGAPORE — 12.8% | |||||
DBS Group Holdings, Ltd.: | |||||
Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(a)
|
1,550,000 | 1,531,834 | |||
5 year CMT + 1.91%, 3.30%, 2/27/2025 (a)
|
200,000 | 203,082 |
Security Description | Principal
Amount |
Value | |||
Oversea-Chinese Banking Corp., Ltd.: | |||||
5 year CMT + 1.58%, 1.83%, 9/10/2030 (a)(b)
|
$ 500,000 | $ 496,335 | |||
Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a)
|
1,700,000 | 1,687,539 | |||
PSA Treasury Pte, Ltd.: | |||||
Series GMTN, 2.13%, 9/5/2029
|
2,000,000 | 2,019,725 | |||
2.25%, 4/30/2030
|
800,000 | 816,553 | |||
SingTel Group Treasury Pte, Ltd. 1.88%,
6/10/2030
|
1,500,000 | 1,477,301 | |||
Temasek Financial I Ltd.: | |||||
1.00%, 10/6/2030 (b)
|
2,100,000 | 1,958,208 | |||
Series REGS, 1.00%, 10/6/2030
|
250,000 | 233,120 | |||
1.63%, 8/2/2031
|
250,000 | 242,750 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%,
10/19/2023 (a)
|
600,000 | 615,000 | |||
Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031
(a)
|
800,000 | 787,280 | |||
Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%,
3/8/2027 (a)
|
600,000 | 602,016 | |||
12,670,743 | |||||
SOUTH KOREA — 6.4% | |||||
Korea East-West Power Co., Ltd. Series REGS,
1.75%, 5/6/2025
|
1,100,000 | 1,108,140 | |||
Korea Southern Power Co., Ltd. 0.75%, 1/27/2026
(b)
|
1,000,000 | 966,240 | |||
KT Corp.: | |||||
1.00%, 9/1/2025
|
400,000 | 392,092 | |||
Series REGS, 2.50%, 7/18/2026
|
800,000 | 826,640 | |||
LG Chem, Ltd. 2.38%, 7/7/2031 (b)
|
200,000 | 196,844 | |||
NongHyup Bank 1.25%, 7/20/2025 (b)
|
600,000 | 594,252 | |||
POSCO: | |||||
Series REGS, 2.38%, 1/17/2023
|
600,000 | 607,584 | |||
Series REGS, 2.75%, 7/15/2024
|
400,000 | 412,944 | |||
Shinhan Financial Group Co., Ltd. 5 year CMT +
2.06%, 2.88%, 5/12/2026 (a)(b)
|
550,000 | 542,107 | |||
Woori Bank Series REGS, 5 year CMT + 2.66%,
4.25%, 10/4/2024 (a)
|
600,000 | 622,014 | |||
6,268,857 | |||||
THAILAND — 1.3% | |||||
Bangkok Bank PCL 5 Year CMT + 4.72%, 5.00%,
12/31/2099
|
400,000 | 414,188 | |||
Kasikornbank PCL Series EMTN, 5 year CMT + 4.94%,
5.28%, 10/14/2025 (a)
|
600,000 | 628,500 | |||
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(b)
|
200,000 | 204,130 | |||
1,246,818 |
Security Description | Principal
Amount |
Value | ||||
UNITED ARAB EMIRATES — 2.8% | ||||||
Galaxy Pipeline Assets Bidco, Ltd.: | ||||||
2.16%, 3/31/2034 (b)
|
$ 2,300,000 | $ 2,257,634 | ||||
Series REGS, 2.63%, 3/31/2036
|
500,000 | 488,496 | ||||
2,746,130 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost
$64,263,098)
|
63,216,982 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 34.0% | ||||||
BRAZIL — 2.0% | ||||||
Brazilian Government International Bond: | ||||||
3.75%, 9/12/2031
|
900,000 | 847,692 | ||||
5.00%, 1/27/2045
|
300,000 | 281,490 | ||||
5.63%, 2/21/2047
|
900,000 | 897,867 | ||||
2,027,049 | ||||||
CHILE — 2.7% | ||||||
Chile Government International Bond: | ||||||
2.55%, 1/27/2032
|
600,000 | 598,770 | ||||
2.55%, 7/27/2033
|
600,000 | 584,154 | ||||
3.10%, 5/7/2041
|
600,000 | 589,500 | ||||
3.10%, 1/22/2061
|
200,000 | 186,268 | ||||
3.50%, 1/25/2050
|
700,000 | 729,526 | ||||
2,688,218 | ||||||
COLOMBIA — 3.0% | ||||||
Colombia Government International Bond: | ||||||
3.13%, 4/15/2031
|
500,000 | 450,660 | ||||
3.25%, 4/22/2032
|
1,200,000 | 1,080,864 | ||||
4.13%, 5/15/2051
|
950,000 | 773,499 | ||||
5.00%, 6/15/2045
|
700,000 | 631,638 | ||||
2,936,661 | ||||||
DOMINICAN REPUBLIC — 2.0% | ||||||
Dominican Republic International Bond Series
144A, 4.88%, 9/23/2032 (b)
|
1,900,000 | 1,936,632 | ||||
INDONESIA — 4.4% | ||||||
Indonesia Government International Bond: | ||||||
3.70%, 10/30/2049
|
1,600,000 | 1,700,112 | ||||
4.35%, 1/11/2048
|
500,000 | 576,860 | ||||
Perusahaan Penerbit SBSN Indonesia III: | ||||||
2.55%, 6/9/2031 (b)
|
1,700,000 | 1,726,146 |
Security Description | Principal
Amount |
Value | |||
Series REGS, 3.80%, 6/23/2050
|
$ 300,000 | $ 315,759 | |||
4,318,877 | |||||
MALAYSIA — 1.9% | |||||
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025
|
800,000 | 840,120 | |||
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026
|
250,000 | 266,757 | |||
Malaysia Wakala Sukuk Bhd: | |||||
2.07%, 4/28/2031 (b)
|
250,000 | 249,903 | |||
Series REGS, 2.07%, 4/28/2031
|
500,000 | 499,805 | |||
1,856,585 | |||||
MEXICO — 5.0% | |||||
Mexico Government International Bond: | |||||
2.66%, 5/24/2031
|
1,600,000 | 1,561,504 | |||
4.28%, 8/14/2041
|
1,600,000 | 1,662,608 | |||
4.35%, 1/15/2047
|
300,000 | 312,243 | |||
4.50%, 1/31/2050
|
500,000 | 531,665 | |||
4.60%, 2/10/2048
|
800,000 | 855,544 | |||
4,923,564 | |||||
PANAMA — 3.1% | |||||
Panama Government International Bond: | |||||
2.25%, 9/29/2032
|
300,000 | 285,609 | |||
3.87%, 7/23/2060
|
2,100,000 | 2,100,567 | |||
4.30%, 4/29/2053
|
600,000 | 647,472 | |||
3,033,648 | |||||
PHILIPPINES — 3.1% | |||||
Philippine Government International Bond: | |||||
2.46%, 5/5/2030
|
400,000 | 412,864 | |||
2.65%, 12/10/2045
|
500,000 | 476,075 | |||
3.70%, 3/1/2041
|
1,000,000 | 1,097,070 | |||
3.70%, 2/2/2042
|
1,000,000 | 1,097,300 | |||
3,083,309 | |||||
SAUDI ARABIA — 3.7% | |||||
Saudi Government International Bond: | |||||
Series REGS, 2.25%, 2/2/2033
|
2,000,000 | 1,949,520 | |||
Series REGS, 3.45%, 2/2/2061
|
1,500,000 | 1,513,410 | |||
Series REGS, 3.75%, 1/21/2055
|
200,000 | 214,412 | |||
3,677,342 |
Security Description | Principal
Amount |
Value | |||
SOUTH KOREA — 1.5% | |||||
Korea Development Bank: | |||||
1.00%, 9/9/2026
|
$ 200,000 | $ 195,650 | |||
1.63%, 1/19/2031
|
500,000 | 490,600 | |||
Korea Electric Power Corp.: | |||||
Series 144A, 1.13%, 6/15/2025 (b)
|
400,000 | 395,628 | |||
Series REGS, 1.13%, 6/15/2025
|
200,000 | 197,814 | |||
Korea Hydro & Nuclear Power Co., Ltd. Series
144A, 1.25%, 4/27/2026 (b)
|
200,000 | 196,486 | |||
1,476,178 | |||||
UNITED ARAB EMIRATES — 1.6% | |||||
Abu Dhabi Government International Bond: | |||||
Series REGS, 1.70%, 3/2/2031
|
800,000 | 777,600 | |||
Series 144A, 3.13%, 4/16/2030 (b)
|
400,000 | 433,600 | |||
Series REGS, 3.13%, 9/30/2049
|
400,000 | 408,170 | |||
1,619,370 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$33,643,624)
|
33,577,433 |
Shares | |||
SHORT-TERM INVESTMENT — 1.0% | |||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares 0.03% (c) (d) (Cost $968,249)
|
968,249 | 968,249 | |
TOTAL INVESTMENTS — 99.1% (Cost
$98,874,971)
|
97,762,664 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9%
|
913,073 | ||
NET ASSETS — 100.0%
|
$ 98,675,737 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 21.5% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes
|
$ — | $63,216,982 | $— | $63,216,982 | ||||
Foreign Government Obligations
|
— | 33,577,433 | — | 33,577,433 | ||||
Short-Term Investment
|
968,249 | — | — | 968,249 | ||||
TOTAL INVESTMENTS
|
$968,249 | $96,794,415 | $— | $97,762,664 |
% of Net Assets | ||
Foreign Government Obligations | 34.0% | |
Banks | 17.6 | |
Electric | 14.1 | |
Oil & Gas | 8.2 | |
Commercial Services | 6.0 | |
Pipelines | 3.6 | |
Telecommunications | 3.0 | |
Energy-Alternate Sources | 2.8 | |
Iron/Steel | 2.6 | |
Investment Company Security | 2.4 | |
Chemicals | 1.6 | |
Mining | 1.1 | |
Diversified Financial Services | 0.9 | |
Building Materials | 0.2 | |
Short-Term Investment | 1.0 | |
Other Assets in Excess of Liabilities | 0.9 | |
TOTAL | 100.0% |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
2,549,386 | $2,549,386 | $18,511,387 | $20,092,524 | $— | $— | 968,249 | $968,249 | $167 |
Security Description | Principal
Amount |
Value | ||||
CORPORATE BONDS & NOTES — 24.0% | ||||||
ADVERTISING — 0.3% | ||||||
Omnicom Group, Inc./Omnicom Capital,
Inc. 3.65%, 11/1/2024
|
$ 425,000 | $ 450,334 | ||||
AEROSPACE & DEFENSE — 0.3% | ||||||
Boeing Co. 4.51%, 5/1/2023
|
430,000 | 448,585 | ||||
TransDigm, Inc.: | ||||||
5.50%, 11/15/2027
|
40,000 | 41,224 | ||||
6.25%, 3/15/2026 (a)
|
65,000 | 67,543 | ||||
557,352 | ||||||
AGRICULTURE — 0.3% | ||||||
BAT International Finance PLC 1.67%, 3/25/2026
|
455,000 | 447,165 | ||||
AIRLINES — 0.4% | ||||||
American Airlines, Inc./AAdvantage Loyalty IP,
Ltd. 5.75%, 4/20/2029 (a)
|
140,000 | 149,719 | ||||
Southwest Airlines Co. 4.75%, 5/4/2023
|
430,000 | 450,464 | ||||
United Airlines, Inc. 4.63%, 4/15/2029 (a)
|
115,000 | 119,273 | ||||
719,456 | ||||||
AUTO MANUFACTURERS — 0.7% | ||||||
Ford Motor Co. 3.25%, 2/12/2032
|
80,000 | 81,900 | ||||
General Motors Financial Co., Inc. 5.25%, 3/1/2026
|
395,000 | 443,024 | ||||
Hyundai Capital America: | ||||||
1.00%, 9/17/2024 (a)
|
100,000 | 98,419 | ||||
2.85%, 11/1/2022 (a)
|
365,000 | 370,300 | ||||
Nissan Motor Acceptance Co. LLC 1.13%, 9/16/2024 (a)
|
130,000 | 127,917 | ||||
1,121,560 | ||||||
AUTO PARTS & EQUIPMENT — 0.1% | ||||||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029
|
75,000 | 73,616 |
Security Description | Principal
Amount |
Value | ||||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 (a)
|
$ 110,000 | $ 119,508 | ||||
193,124 | ||||||
BANKS — 4.3% | ||||||
Banco Bilbao Vizcaya Argentaria Colombia
SA Series REGS, 4.88%, 4/21/2025
|
200,000 | 206,948 | ||||
Banco de Credito del Peru Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(b)
|
400,000 | 395,488 | ||||
Banco do Brasil SA 3.25%, 9/30/2026 (a)
|
200,000 | 194,968 | ||||
Banco Internacional del Peru SAA
Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%,
3/19/2029
|
100,000 | 105,383 | ||||
Bancolombia SA 5 Year CMT + 2.93%, 4.88%, 10/18/2027 (b)
|
200,000 | 200,384 | ||||
Bank of America Corp.: | ||||||
SOFR + 0.69%, 0.74%, 4/22/2025 (b)
|
165,000 | 165,718 | ||||
Series MTN, 3 Month USD LIBOR + 0.79%, 0.97%,
3/5/2024 (b)
|
285,000 | 286,445 | ||||
Bank of Nova Scotia 0.65%, 7/31/2024
|
330,000 | 325,505 | ||||
Canadian Imperial Bank of Commerce 0.45%, 6/22/2023
|
340,000 | 337,668 | ||||
Citigroup, Inc.: | ||||||
3 Month USD LIBOR + 1.02%, 1.19%, 6/1/2024
(b)
|
285,000 | 287,491 | ||||
SOFR + 0.53%, 1.28%, 11/3/2025 (b)
|
155,000 | 154,673 | ||||
DBS Group Holdings, Ltd. Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(b)
|
200,000 | 197,656 | ||||
Goldman Sachs Group, Inc. 3.50%, 4/1/2025
|
415,000 | 439,236 | ||||
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.45%, 3.88%, 4/15/2031
(b)
|
200,000 | 191,906 | ||||
JPMorgan Chase & Co.: | ||||||
3.90%, 7/15/2025
|
305,000 | 330,022 | ||||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023
(b)
|
100,000 | 100,593 | ||||
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(a) (b)
|
430,000 | 445,510 | ||||
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024
(b)
|
445,000 | 443,487 | ||||
NongHyup Bank 1.25%, 7/20/2025 (a)
|
200,000 | 198,084 |
Security Description | Principal
Amount |
Value | ||||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(b)
|
$ 250,000 | $ 248,168 | ||||
Royal Bank of Canada SOFR + 0.53%, 0.57%, 1/20/2026 (b)
|
450,000 | 449,325 | ||||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%,
12/13/2027 (b)
|
50,000 | 51,036 | ||||
Toronto-Dominion Bank Series MTN, 0.70%, 9/10/2024
|
450,000 | 444,622 | ||||
United Overseas Bank, Ltd. Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031
(b)
|
250,000 | 246,025 | ||||
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024
(b)
|
440,000 | 443,692 | ||||
6,890,033 | ||||||
BEVERAGES — 0.3% | ||||||
Keurig Dr Pepper, Inc. 0.75%, 3/15/2024
|
445,000 | 441,925 | ||||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
35,000 | 33,837 | ||||
475,762 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Royalty Pharma PLC 0.75%, 9/2/2023
|
440,000 | 437,171 | ||||
BUILDING MATERIALS — 0.3% | ||||||
Carrier Global Corp. 2.24%, 2/15/2025
|
445,000 | 455,916 | ||||
Griffon Corp. 5.75%, 3/1/2028
|
85,000 | 88,413 | ||||
544,329 | ||||||
CHEMICALS — 0.2% | ||||||
CVR Partners L.P./CVR Nitrogen Finance
Corp. 6.13%, 6/15/2028 (a)
|
50,000 | 52,848 | ||||
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029 (a)
|
85,000 | 85,074 | ||||
Illuminate Buyer LLC/Illuminate Holdings IV,
Inc. 9.00%, 7/1/2028 (a)
|
100,000 | 106,547 | ||||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a)
|
130,000 | 133,550 | ||||
378,019 |
Security Description | Principal
Amount |
Value | ||||
COAL — 0.1% | ||||||
Peabody Energy Corp. 8.50%, 12/31/2024 (a)
|
$ 13,136 | $ 12,617 | ||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a)
|
100,000 | 99,573 | ||||
112,190 | ||||||
COMMERCIAL SERVICES — 0.8% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | ||||||
6.63%, 7/15/2026 (a)
|
35,000 | 36,711 | ||||
9.75%, 7/15/2027 (a)
|
95,000 | 101,551 | ||||
Garda World Security Corp. 6.00%, 6/1/2029 (a)
|
65,000 | 62,524 | ||||
HPHT Finance 19, Ltd. 2.88%, 11/5/2024
|
200,000 | 206,646 | ||||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a)
|
100,000 | 97,986 | ||||
PSA Treasury Pte, Ltd. Class GMTN, 2.50%, 4/12/2026
|
200,000 | 207,082 | ||||
Triton Container International, Ltd. 0.80%, 8/1/2023 (a)
|
445,000 | 441,307 | ||||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a)
|
125,000 | 131,336 | ||||
1,285,143 | ||||||
COSMETICS/PERSONAL CARE — 0.0% (c) | ||||||
Coty, Inc. 5.00%, 4/15/2026 (a)
|
40,000 | 41,220 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.8% | ||||||
Avolon Holdings Funding, Ltd.: | ||||||
3.63%, 5/1/2022 (a)
|
120,000 | 120,864 | ||||
5.13%, 10/1/2023 (a)
|
300,000 | 316,539 | ||||
Capital One Financial Corp.: | ||||||
3.20%, 1/30/2023
|
5,000 | 5,123 | ||||
3.90%, 1/29/2024
|
410,000 | 431,873 | ||||
Global Aircraft Leasing Co., Ltd. 6.50%, 9/15/2024 (a)
|
53,690 | 51,860 | ||||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a)
|
130,000 | 129,857 | ||||
Navient Corp. 5.00%, 3/15/2027
|
25,000 | 25,489 |
Security Description | Principal
Amount |
Value | ||||
NFP Corp. 6.88%, 8/15/2028 (a)
|
$ 35,000 | $ 35,137 | ||||
OneMain Finance Corp. 5.38%, 11/15/2029
|
75,000 | 81,553 | ||||
PennyMac Financial Services, Inc. 4.25%, 2/15/2029 (a)
|
110,000 | 105,633 | ||||
1,303,928 | ||||||
ELECTRIC — 2.4% | ||||||
Calpine Corp. 4.63%, 2/1/2029 (a)
|
130,000 | 128,882 | ||||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (a)
|
200,000 | 162,570 | ||||
DTE Energy Co.: | ||||||
Series C, 2.53%, 10/1/2024
|
30,000 | 30,926 | ||||
Series F, 1.05%, 6/1/2025
|
425,000 | 417,091 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029
|
130,400 | 125,218 | ||||
Entergy Louisiana LLC 0.95%, 10/1/2024
|
450,000 | 446,355 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027
|
330,588 | 338,205 | ||||
Guacolda Energia SA Series REGS, 4.56%, 4/30/2025
|
200,000 | 77,950 | ||||
Inkia Energy, Ltd. Series REGS, 5.88%, 11/9/2027
|
250,000 | 256,220 | ||||
Minejesa Capital B.V. Series REGS, 4.63%, 8/10/2030
|
400,000 | 410,504 | ||||
NRG Energy, Inc. 3.63%, 2/15/2031 (a)
|
130,000 | 127,341 | ||||
Pacific Gas & Electric Co. 1.75%, 6/16/2022
|
445,000 | 444,693 | ||||
Pike Corp. 5.50%, 9/1/2028 (a)
|
120,000 | 120,394 | ||||
Southern California Edison Co. SOFR + 0.83%, 0.88%, 4/1/2024 (b)
|
515,000 | 514,531 | ||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026
|
300,000 | 313,488 | ||||
3,914,368 | ||||||
ENTERTAINMENT — 0.3% | ||||||
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
150,000 | 155,322 |
Security Description | Principal
Amount |
Value | ||||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a)
|
$ 50,000 | $ 50,284 | ||||
Cedar Fair L.P. 5.25%, 7/15/2029
|
100,000 | 103,083 | ||||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a)
|
45,000 | 45,988 | ||||
Midwest Gaming Borrower LLC/Midwest Gaming
Finance Corp. 4.88%, 5/1/2029 (a)
|
60,000 | 60,890 | ||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | ||||||
5.63%, 9/1/2029 (a)
|
80,000 | 79,472 | ||||
5.88%, 9/1/2031 (a)
|
65,000 | 65,284 | ||||
560,323 | ||||||
ENVIRONMENTAL CONTROL — 0.3% | ||||||
Madison IAQ LLC: | ||||||
4.13%, 6/30/2028 (a)
|
45,000 | 45,237 | ||||
5.88%, 6/30/2029 (a)
|
40,000 | 40,004 | ||||
Republic Services, Inc. 2.50%, 8/15/2024
|
440,000 | 452,839 | ||||
538,080 | ||||||
FOOD — 0.5% | ||||||
Conagra Brands, Inc. 4.30%, 5/1/2024
|
422,000 | 449,493 | ||||
Performance Food Group, Inc.: | ||||||
4.25%, 8/1/2029 (a)
|
40,000 | 39,684 | ||||
5.50%, 10/15/2027 (a)
|
45,000 | 46,986 | ||||
Post Holdings, Inc. 4.63%, 4/15/2030 (a)
|
125,000 | 126,864 | ||||
US Foods, Inc. 4.63%, 6/1/2030 (a)
|
100,000 | 101,225 | ||||
764,252 | ||||||
FOREST PRODUCTS & PAPER — 0.1% | ||||||
Glatfelter Corp. 4.75%, 11/15/2029 (a)
|
100,000 | 103,351 | ||||
GAS — 0.1% | ||||||
Atmos Energy Corp. 0.63%, 3/9/2023
|
245,000 | 244,358 |
Security Description | Principal
Amount |
Value | ||||
HEALTH CARE PRODUCTS — 0.6% | ||||||
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029 (a)
|
$ 70,000 | $ 71,090 | ||||
Thermo Fisher Scientific, Inc. 0.80%, 10/18/2023
|
435,000 | 433,595 | ||||
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024
|
450,000 | 449,032 | ||||
953,717 | ||||||
HEALTH CARE SERVICES — 1.0% | ||||||
Anthem, Inc. 3.50%, 8/15/2024
|
415,000 | 438,286 | ||||
Centene Corp. 2.50%, 3/1/2031
|
130,000 | 126,546 | ||||
CHS/Community Health Systems, Inc.: | ||||||
6.00%, 1/15/2029 (a)
|
55,000 | 58,911 | ||||
6.88%, 4/15/2029 (a)
|
75,000 | 76,593 | ||||
HCA, Inc. 5.00%, 3/15/2024
|
415,000 | 446,457 | ||||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a)
|
40,000 | 40,457 | ||||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a)
|
95,000 | 99,808 | ||||
Tenet Healthcare Corp. 6.13%, 10/1/2028 (a)
|
70,000 | 73,963 | ||||
UnitedHealth Group, Inc. 0.55%, 5/15/2024
|
245,000 | 243,030 | ||||
1,604,051 | ||||||
HOME BUILDERS — 0.1% | ||||||
Mattamy Group Corp. 4.63%, 3/1/2030 (a)
|
105,000 | 106,970 | ||||
HOUSEHOLD PRODUCTS & WARES — 0.1% | ||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | ||||||
5.00%, 12/31/2026 (a)
|
55,000 | 54,294 | ||||
7.00%, 12/31/2027 (a)
|
35,000 | 33,263 | ||||
87,557 | ||||||
HOUSEWARES — 0.0% (c) | ||||||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a)
|
85,000 | 81,643 |
Security Description | Principal
Amount |
Value | ||||
INSURANCE — 0.9% | ||||||
Alliant Holdings Intermediate LLC/Alliant
Holdings Co-Issuer 6.75%, 10/15/2027 (a)
|
$ 85,000 | $ 88,187 | ||||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a)
|
115,000 | 116,367 | ||||
Athene Global Funding SOFR + 0.70%, 0.75%, 5/24/2024 (a)
(b)
|
460,000 | 460,736 | ||||
Brighthouse Financial Global Funding 0.60%, 6/28/2023 (a)
|
175,000 | 174,120 | ||||
Grupo de Inversiones Suramericana SA 5.50%, 4/29/2026
|
200,000 | 212,432 | ||||
GTCR AP Finance, Inc. 8.00%, 5/15/2027 (a)
|
40,000 | 41,454 | ||||
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024
|
415,000 | 439,203 | ||||
1,532,499 | ||||||
INTERNET — 0.3% | ||||||
Expedia Group, Inc. 6.25%, 5/1/2025 (a)
|
405,000 | 457,119 | ||||
Uber Technologies, Inc. 4.50%, 8/15/2029 (a)
|
90,000 | 91,868 | ||||
548,987 | ||||||
INVESTMENT COMPANY SECURITY — 0.0% (c) | ||||||
Icahn Enterprises L.P./Icahn Enterprises Finance
Corp. 5.25%, 5/15/2027
|
35,000 | 35,980 | ||||
LEISURE TIME — 0.3% | ||||||
Carnival Corp. 5.75%, 3/1/2027 (a)
|
245,000 | 244,939 | ||||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a)
|
205,000 | 195,037 | ||||
439,976 | ||||||
LODGING — 0.5% | ||||||
Hyatt Hotels Corp. 1.30%, 10/1/2023
|
385,000 | 385,189 | ||||
Marriott International, Inc. 3.60%, 4/15/2024
|
430,000 | 450,326 | ||||
835,515 |
Security Description | Principal
Amount |
Value | ||||
MEDIA — 0.2% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||
4.25%, 1/15/2034 (a)
|
$ 85,000 | $ 83,701 | ||||
4.75%, 3/1/2030 (a)
|
95,000 | 99,036 | ||||
Diamond Sports Group LLC/Diamond Sports Finance
Co. 5.38%, 8/15/2026 (a)
|
25,000 | 12,466 | ||||
Directv Financing LLC/Directv Financing
Co-Obligor, Inc. 5.88%, 8/15/2027 (a)
|
50,000 | 51,219 | ||||
DISH DBS Corp. 5.13%, 6/1/2029
|
40,000 | 36,395 | ||||
282,817 | ||||||
MINING — 0.3% | ||||||
Arconic Corp. 6.13%, 2/15/2028 (a)
|
80,000 | 85,124 | ||||
Glencore Funding LLC 4.13%, 5/30/2023 (a)
|
430,000 | 447,557 | ||||
532,681 | ||||||
OIL & GAS — 2.0% | ||||||
Apache Corp. 4.38%, 10/15/2028
|
75,000 | 81,739 | ||||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a)
|
175,000 | 187,339 | ||||
CNX Resources Corp. 6.00%, 1/15/2029 (a)
|
85,000 | 88,401 | ||||
EQT Corp. 7.50%, 2/1/2030
|
30,000 | 38,514 | ||||
Hilcorp Energy I L.P./Hilcorp Finance Co.: | ||||||
5.75%, 2/1/2029 (a)
|
75,000 | 77,264 | ||||
6.25%, 11/1/2028 (a)
|
40,000 | 42,586 | ||||
MEG Energy Corp.: | ||||||
5.88%, 2/1/2029 (a)
|
10,000 | 10,488 | ||||
7.13%, 2/1/2027 (a)
|
55,000 | 58,574 | ||||
Occidental Petroleum Corp.: | ||||||
6.13%, 1/1/2031
|
45,000 | 54,622 | ||||
6.45%, 9/15/2036
|
25,000 | 31,876 | ||||
6.63%, 9/1/2030
|
85,000 | 105,219 | ||||
ONGC Videsh, Ltd. 3.75%, 5/7/2023
|
250,000 | 257,222 | ||||
Pertamina Persero PT 1.40%, 2/9/2026
|
200,000 | 194,112 |
Security Description | Principal
Amount |
Value | ||||
Petrobras Global Finance BV 6.25%, 3/17/2024
|
$ 50,000 | $ 54,020 | ||||
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025
|
250,000 | 265,085 | ||||
Pioneer Natural Resources Co. 0.55%, 5/15/2023
|
440,000 | 438,385 | ||||
Qatar Petroleum 1.38%, 9/12/2026
|
300,000 | 294,042 | ||||
Reliance Industries, Ltd. Class REGS, 4.13%, 1/28/2025
|
300,000 | 321,042 | ||||
SA Global Sukuk, Ltd.: | ||||||
1.60%, 6/17/2026 (a)
|
200,000 | 197,010 | ||||
1.60%, 6/17/2026
|
200,000 | 196,800 | ||||
Southwestern Energy Co.: | ||||||
4.75%, 2/1/2032
|
45,000 | 47,435 | ||||
5.38%, 2/1/2029
|
40,000 | 42,373 | ||||
Sunoco L.P./Sunoco Finance Corp. 4.50%, 5/15/2029
|
20,000 | 20,329 | ||||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a)
|
125,000 | 121,259 | ||||
Transocean, Inc. 11.50%, 1/30/2027 (a)
|
15,000 | 14,718 | ||||
3,240,454 | ||||||
OIL & GAS SERVICES — 0.4% | ||||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a)
|
430,000 | 451,440 | ||||
USA Compression Partners L.P./USA Compression
Finance Corp. 6.88%, 9/1/2027
|
80,000 | 84,499 | ||||
Weatherford International, Ltd. 6.50%, 9/15/2028 (a)
|
50,000 | 52,928 | ||||
588,867 | ||||||
PHARMACEUTICALS — 0.1% | ||||||
Bausch Health Cos., Inc. 6.25%, 2/15/2029 (a)
|
65,000 | 61,849 | ||||
Endo Luxembourg Finance Co. I Sarl/Endo US,
Inc. 6.13%, 4/1/2029 (a)
|
45,000 | 44,059 | ||||
105,908 | ||||||
PIPELINES — 0.7% | ||||||
Antero Midstream Partners L.P./Antero Midstream
Finance Corp. 5.75%, 3/1/2027 (a)
|
22,000 | 22,743 |
Security Description | Principal
Amount |
Value | ||||
EQM Midstream Partners L.P. 4.75%, 1/15/2031 (a)
|
$ 75,000 | $ 79,266 | ||||
Galaxy Pipeline Assets Bidco, Ltd. 1.75%, 9/30/2027
|
195,731 | 195,940 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029
|
376,480 | 399,551 | ||||
Hess Midstream Operations L.P. 4.25%, 2/15/2030 (a)
|
80,000 | 79,686 | ||||
NGL Energy Operating LLC/NGL Energy Finance
Corp. 7.50%, 2/1/2026 (a)
|
100,000 | 103,052 | ||||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028
|
200,000 | 211,942 | ||||
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031 (a)
|
115,000 | 122,706 | ||||
1,214,886 | ||||||
REAL ESTATE — 0.1% | ||||||
Realogy Group LLC/Realogy Co-Issuer
Corp. 5.75%, 1/15/2029 (a)
|
110,000 | 113,017 | ||||
REAL ESTATE INVESTMENT TRUSTS — 0.4% | ||||||
Iron Mountain, Inc. REIT, 4.50%, 2/15/2031 (a)
|
130,000 | 131,043 | ||||
MGM Growth Properties Operating Partnership
L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%, 2/1/2027
|
50,000 | 56,693 | ||||
Welltower, Inc. REIT, 3.63%, 3/15/2024
|
420,000 | 441,718 | ||||
629,454 | ||||||
RETAIL — 0.7% | ||||||
Dollar Tree, Inc. 4.00%, 5/15/2025
|
415,000 | 446,021 | ||||
Ferrellgas L.P./Ferrellgas Finance
Corp. 5.38%, 4/1/2026 (a)
|
80,000 | 77,699 | ||||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
95,000 | 95,665 | ||||
SRS Distribution, Inc. 4.63%, 7/1/2028 (a)
|
130,000 | 131,071 | ||||
Staples, Inc. 7.50%, 4/15/2026 (a)
|
35,000 | 35,946 | ||||
Suburban Propane Partners L.P./Suburban Energy
Finance Corp. 5.00%, 6/1/2031 (a)
|
130,000 | 131,842 |
Security Description | Principal
Amount |
Value | ||||
Superior Plus L.P./Superior General Partner,
Inc. 4.50%, 3/15/2029 (a)
|
$ 70,000 | $ 71,794 | ||||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a)
|
85,000 | 86,737 | ||||
1,076,775 | ||||||
SEMICONDUCTORS — 0.3% | ||||||
Microchip Technology, Inc. 0.97%, 2/15/2024
|
460,000 | 456,085 | ||||
TELECOMMUNICATIONS — 1.5% | ||||||
AT&T, Inc. 4.45%, 4/1/2024
|
415,000 | 443,170 | ||||
Avaya, Inc. 6.13%, 9/15/2028 (a)
|
45,000 | 47,747 | ||||
CommScope, Inc. 4.75%, 9/1/2029 (a)
|
50,000 | 49,754 | ||||
Frontier Communications Holdings LLC: | ||||||
5.00%, 5/1/2028 (a)
|
25,000 | 25,793 | ||||
5.88%, 10/15/2027 (a)
|
15,000 | 15,865 | ||||
6.00%, 1/15/2030 (a)
|
50,000 | 50,213 | ||||
KT Corp.: | ||||||
1.00%, 9/1/2025
|
250,000 | 245,057 | ||||
Series REGS, 2.50%, 7/18/2026
|
200,000 | 206,660 | ||||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028
|
180,000 | 186,934 | ||||
Sable International Finance, Ltd. 5.75%, 9/7/2027
|
200,000 | 204,154 | ||||
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%, 6/30/2025
|
200,000 | 211,728 | ||||
T-Mobile USA, Inc.: | ||||||
2.88%, 2/15/2031
|
15,000 | 14,809 | ||||
3.38%, 4/15/2029
|
20,000 | 20,404 | ||||
3.38%, 4/15/2029 (a)
|
10,000 | 10,205 | ||||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 1.26%, 5/15/2025
(b)
|
445,000 | 453,286 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028
|
200,000 | 203,672 | ||||
2,389,451 | ||||||
TRANSPORTATION — 0.3% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024
|
440,000 | 440,524 |
Security Description | Principal
Amount |
Value | ||||
TRUCKING & LEASING — 0.3% | ||||||
Penske Truck Leasing Co. L.P./PTL Finance
Corp. 2.70%, 11/1/2024 (a)
|
$ 435,000 | $ 448,285 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost
$39,016,967)
|
38,827,617 | |||||
ASSET-BACKED SECURITIES — 12.2% | ||||||
AUTOMOBILE — 0.9% | ||||||
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026
(a)
|
600,000 | 596,051 | ||||
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%, 1/15/2026
|
500,000 | 498,241 | ||||
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025
(a)
|
350,000 | 346,696 | ||||
1,440,988 | ||||||
OTHER ABS — 11.2% | ||||||
ACREC 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR +
1.15%, 1.25%, 10/16/2036 (a) (b)
|
181,000 | 181,000 | ||||
Affirm Asset Securitization Trust Series 2020-A, Class B, 3.54%, 2/18/2025
(a)
|
750,000 | 752,094 | ||||
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR +
1.21%, 1.37%, 10/15/2034 (a) (b)
|
1,000,000 | 999,737 | ||||
Arbor Realty Collateralized Loan Obligation
2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD LIBOR +
1.51%, 1.56%, 2/15/2035 (a) (b)
|
131,000 | 130,918 | ||||
Arbor Realty Commercial Real Estate Notes
2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR +
1.15%, 1.26%, 6/15/2028 (a) (b)
|
71,000 | 70,978 | ||||
Arbor Realty Commercial Real Estate Notes
2021-FL3, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR +
1.07%, 1.18%, 8/15/2034 (a) (b)
|
193,000 | 192,525 | ||||
Bain Capital Credit CLO Series 2019-1A, Class AR, 3 Month USD LIBOR +
1.13%, 1.25%, 4/19/2034 (a) (b)
|
500,000 | 499,875 | ||||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR +
1.10%, 1.21%, 8/15/2036 (a) (b)
|
74,902 | 74,868 | ||||
BRSP 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR +
1.15%, 1.25%, 8/19/2038 (a) (b)
|
151,000 | 150,524 |
Security Description | Principal
Amount |
Value | |||
BSPRT Issuer, Ltd.: | |||||
Series 2019-FL5, Class A, 1 Month USD LIBOR +
1.15%, 1.26%, 5/15/2029 (a) (b)
|
$ 295,095 | $ 295,096 | |||
Series 2021-FL6, Class A, 1 Month USD LIBOR +
1.100%, 1.21%, 3/15/2036 (a) (b)
|
138,000 | 137,591 | |||
Carlyle US CLO, Ltd Series 2021-1A, Class A1, 3 Month USD LIBOR +
1.140%, 1.26%, 4/15/2034 (a) (b)
|
1,000,000 | 999,749 | |||
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR +
1.18%, 1.31%, 7/20/2034 (a) (b)
|
500,000 | 500,149 | |||
CHCP, Ltd.: | |||||
Series 2021-FL1, Class A, 1 Month USD LIBOR +
1.16%, 1.21%, 2/15/2038 (a) (b)
|
300,000 | 299,488 | |||
Series 2021-FL1, Class AS, 1 Month USD LIBOR +
1.41%, 1.46%, 2/15/2038 (a) (b)
|
100,000 | 99,648 | |||
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR +
1.66%, 1.71%, 8/20/2035 (a) (b)
|
131,000 | 130,836 | |||
Credit-Based Asset Servicing & Securitization
LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR +
1.005%, 1.10%, 10/25/2034 (b)
|
660,643 | 662,360 | |||
FS RIALTO Series 2021-FL2, Class A, 1 Month USD LIBOR +
1.22%, 1.33%, 4/16/2028 (a) (b)
|
150,000 | 149,477 | |||
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR +
1.20%, 1.31%, 12/16/2036 (a) (b)
|
161,000 | 160,642 | |||
FS Rialto 2021-FL3 Series 2021-FL3, Class A, 1 Month USD LIBOR +
1.25%, 1.36%, 11/16/2036 (a) (b)
|
181,000 | 181,052 | |||
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR +
1.45%, 1.58%, 11/30/2032 (a) (b)
|
900,000 | 900,900 | |||
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR +
1.340%, 1.46%, 4/15/2033 (a) (b)
|
500,000 | 499,650 | |||
LCCM 2021-FL2 Trust Series 2021-FL2, Class A, 1 Month USD LIBOR +
1.20%, 1.31%, 12/13/2038 (a) (b)
|
151,000 | 150,824 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR +
1.45%, 1.55%, 11/15/2038 (a) (b)
|
181,000 | 181,054 |
Security Description | Principal
Amount |
Value | |||
Lendingpoint 2021-A Asset Securitization
Trust Series 2021-A, Class B, 1.46%, 12/15/2028
(a)
|
$ 400,000 | $ 397,398 | |||
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR +
1.13%, 1.24%, 5/15/2028 (a) (b)
|
20,940 | 20,909 | |||
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR +
1.50%, 1.61%, 5/15/2036 (a) (b)
|
100,000 | 99,817 | |||
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048
(a)
|
398,625 | 394,895 | |||
Marble Point CLO XXI, Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR +
1.24%, 1.37%, 10/17/2034 (a) (b)
|
2,000,000 | 1,999,496 | |||
Marlette Funding Trust: | |||||
Series 2019-4A, Class A, 2.39%, 12/17/2029
(a)
|
12,303 | 12,307 | |||
Series 2021-1A, Class C, 1.41%, 6/16/2031
(a)
|
650,000 | 640,800 | |||
MF1 2021-FL7, Ltd. Series 2021-FL7, Class A, 1 Month USD LIBOR +
1.08%, 1.19%, 10/16/2036 (a) (b)
|
192,000 | 191,290 | |||
MF1 Multifamily Housing Mortgage Loan
Trust Series 2021-FL6, Class A, 1 Month USD LIBOR +
1.10%, 1.21%, 7/16/2036 (a) (b)
|
150,000 | 149,690 | |||
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR +
1.60%, 1.71%, 2/15/2036 (a) (b)
|
120,000 | 119,491 | |||
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR +
1.27%, 1.43%, 11/15/2030 (a) (b)
|
1,000,626 | 999,625 | |||
Pagaya AI Debt Selection Trust Series 2021-3, Class B, 1.74%, 5/15/2029
(a)
|
1,000,000 | 990,651 | |||
Pagaya AI Debt Selection Trust 2021-5 Series 2021-5, Class B, 2.63%, 8/15/2029
(a)
|
1,000,000 | 997,844 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a)
|
410,974 | 399,015 | |||
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR +
1.12%, 1.24%, 7/15/2030 (a) (b)
|
497,278 | 496,681 | |||
Sound Point CLO Series 2020-1A, Class AR, 3 Month USD LIBOR -
1.17%, 1.30%, 7/20/2034 (a) (b)
|
1,000,000 | 999,748 | |||
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR +
1.51%, 1.56%, 7/15/2038 (a) (b)
|
100,000 | 99,906 |
Security Description | Principal
Amount |
Value | |||
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR +
1.14%, 1.27%, 1/20/2031 (a) (b)
|
$ 500,000 | $ 499,400 | |||
Washington Mutural Asset-Backed Certificates
WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR +
0.18%, 0.28%, 10/25/2036 (b)
|
302,344 | 147,937 | |||
18,057,935 | |||||
STUDENT LOAN ABS — 0.1% | |||||
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045
(a)
|
179,398 | 184,264 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048
(a)
|
54,988 | 55,396 | |||
239,660 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost
$19,799,081)
|
19,738,583 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.6% | |||||
BRAZIL — 0.1% | |||||
Brazilian Government International Bond 2.88%, 6/6/2025
|
250,000 | 253,648 | |||
CHILE — 0.3% | |||||
Chile Government International Bond 3.13%, 1/21/2026
|
400,000 | 421,048 | |||
COLOMBIA — 0.3% | |||||
Colombia Government International Bond 4.50%, 1/28/2026
|
400,000 | 418,872 | |||
INDONESIA — 0.4% | |||||
Perusahaan Penerbit SBSN Indonesia III: | |||||
Series 144A, 1.50%, 06/09/2026 (a)
|
200,000 | 199,460 | |||
Series REGS, 1.50%, 06/09/2026
|
300,000 | 299,190 | |||
Series REGS, 2.30%, 06/23/2025
|
200,000 | 205,582 | |||
704,232 | |||||
PANAMA — 0.2% | |||||
Panama Government International Bond 3.75%, 3/16/2025
|
250,000 | 264,882 |
Security Description | Principal
Amount |
Value | |||
PERU — 0.1% | |||||
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.605%, 5.25%,
7/15/2029 (b)
|
$ 200,000 | $ 205,864 | |||
QATAR — 0.3% | |||||
Qatar Government International Bond Series REGS, 3.25%, 6/2/2026
|
400,000 | 425,988 | |||
SAUDI ARABIA — 0.2% | |||||
Saudi Government International Bond Series REGS, 3.25%, 10/26/2026
|
250,000 | 266,357 | |||
SOUTH KOREA — 0.5% | |||||
Korea Development Bank: | |||||
1.00%, 09/09/2026
|
250,000 | 244,563 | |||
1.25%, 06/03/2025
|
200,000 | 199,306 | |||
Korea Electric Power Corp. Series REGS, 1.13%, 6/15/2025
|
400,000 | 395,628 | |||
839,497 | |||||
THAILAND — 0.1% | |||||
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 1.01%,
5/23/2024 (b)
|
250,000 | 250,565 | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Government International Bond Series 144A, 2.50%, 4/16/2025 (a)
|
200,000 | 207,802 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$4,318,961)
|
4,258,755 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.3% | |||||
Federal Home Loan Mortgage Corp.: | |||||
1.50% 2/1/2036
|
6,902,592 | 6,934,086 | |||
1.50%, 3/1/2036
|
3,507,330 | 3,520,650 | |||
2.00%, 3/1/2036
|
1,525,210 | 1,563,469 | |||
2.00%, 5/1/2036
|
2,786,885 | 2,867,304 | |||
2.00%, 10/1/2041
|
1,476,411 | 1,493,837 | |||
3.50%, 9/1/2032
|
295,155 | 312,281 | |||
Series 4211, Class AP, 1.60%, 3/15/2043
|
1,086,686 | 1,098,513 | |||
Series 4461, Class BA, CMO, 2.00%,
12/15/2043
|
706,049 | 715,766 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027
|
603,053 | 610,270 |
Security Description | Principal
Amount |
Value | |||
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026
|
$ 101,966 | $ 102,369 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
99,124 | 100,007 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045
|
262,881 | 273,580 | |||
Series K722, Class X1, IO, 1.31%, 3/25/2023
(b)
|
412,147 | 4,521 | |||
Federal National Mortgage Association: | |||||
1.50%, 2/1/2036
|
1,701,202 | 1,708,966 | |||
1.50%, 3/1/2036
|
436,836 | 438,495 | |||
1.50%, 5/1/2036
|
1,158,653 | 1,164,322 | |||
2.00%, 1/1/2036
|
875,522 | 899,991 | |||
2.00%, 2/1/2036
|
1,268,388 | 1,300,053 | |||
2.00%, 9/1/2036
|
961,525 | 985,649 | |||
2.00%, 10/1/2036
|
1,946,162 | 1,994,989 | |||
2.50%, 1/1/2032
|
1,217,898 | 1,265,265 | |||
2.50%, 8/1/2041
|
4,402,765 | 4,587,033 | |||
3.00%, 11/1/2033
|
899,286 | 946,777 | |||
3.00%, 11/1/2036
|
198,423 | 208,144 | |||
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044
(b)
|
101,686 | 106,031 | |||
Series 2010-141, Class FB, CMO, REMIC, 1 Month
USD LIBOR + 0.47%, 0.57%, 12/25/2040 (b)
|
182,329 | 183,920 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026
|
634,310 | 641,600 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD
LIBOR + 0.45%, 0.55%, 3/25/2046 (b)
|
294,230 | 296,227 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD
LIBOR + 0.30%, 0.40%, 12/25/2047 (b)
|
215,139 | 215,339 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD
LIBOR + 0.30%, 0.40%, 6/25/2048 (b)
|
250,612 | 250,843 | |||
Series 2020-M49, Class 1A1, VRN, 1.26%,
11/25/2030 (b)
|
1,088,589 | 1,074,894 | |||
Freddie Mac Pool 2.00%, 12/1/2036
|
2,979,523 | 3,054,263 | |||
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost
$41,319,731)
|
40,919,454 | ||||
U.S. TREASURY OBLIGATIONS — 16.7% | |||||
U.S. Treasury Bill: | |||||
0.07%, 3/24/2022
|
100,000 | 99,988 | |||
0.08%, 8/11/2022
|
14,400,000 | 14,382,620 | |||
0.12%, 7/14/2022
|
5,400,000 | 5,394,811 | |||
U.S. Treasury Note: | |||||
1.63%, 4/30/2023
|
4,000,000 | 4,057,344 | |||
2.25%, 12/31/2023
|
3,000,000 | 3,090,117 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$26,854,050)
|
27,024,880 |
Security Description | Principal
Amount |
Value | |||
MORTGAGE-BACKED SECURITIES — 4.8% | |||||
Alternative Loan Trust Series 2006-41CB, Class
1A3, CMO, 6.00%, 1/25/2037
|
$ 263,327 | $ 186,284 | |||
Alternative Loan Trust 2006-J7 Series 2006-J7,
Class 1A3, 6.25%, 11/25/2036
|
457,063 | 303,220 | |||
Atrium Hotel Portfolio Trust Series 2017-ATRM,
Class E, 1 Month USD LIBOR + 3.05%, 3.16%, 12/15/2036 (a) (b)
|
36,000 | 34,053 | |||
BANK: | |||||
Series 2017-BNK6, Class XA, IO, 0.80%, 7/15/2060
(b)
|
1,080,143 | 36,191 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.23%,
3/15/2063 (b)
|
1,313,424 | 104,978 | |||
BBCMS Mortgage Trust Series 2017-DELC, Class E, 1
Month USD LIBOR + 2.50%, 2.61%, 8/15/2036 (a) (b)
|
38,000 | 37,611 | |||
BENCHMARK Mortgage Trust Series 2018-B1, Class
XA, IO, 0.50%, 1/15/2051 (b)
|
2,217,598 | 54,094 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD
LIBOR + 1.09%, 1.20%, 9/15/2037 (a) (b)
|
177,135 | 175,874 | |||
Cantor Commercial Real Estate Series 2019-CF1,
Class 65A, 4.41%, 5/15/2052 (a) (b)
|
163,000 | 166,157 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2018-TBR, Class D, 1 Month USD LIBOR +
1.80%, 1.91%, 12/15/2036 (a) (b)
|
95,000 | 92,916 | |||
Series 2019-PRM, Class D, 4.35%, 5/10/2036
(a)
|
261,000 | 269,461 | |||
Series 2016-GC37, Class XA, IO, 1.69%, 4/10/2049
(b)
|
429,682 | 24,822 | |||
COMM Mortgage Trust: | |||||
Series 2018-HCLV, Class A, 1 Month USD LIBOR +
1.00%, 1.11%, 9/15/2033 (a) (b)
|
70,000 | 69,487 | |||
Series 2015-CR25, Class XA, IO, 0.82%, 8/10/2048
(b)
|
1,162,965 | 29,322 | |||
Credit Suisse Mortgage Capital Certificates
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 2.15%, 2.26%, 7/15/2032
(a) (b)
|
29,000 | 28,479 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.19%, 6/15/2050
(b)
|
295,032 | 12,098 | |||
Series 2017-CX10, Class XA, IO, 0.71%, 11/15/2050
(b)
|
969,049 | 30,502 | |||
Series 2017-CX9, Class XA, IO, 0.85%, 9/15/2050
(b)
|
1,806,682 | 35,413 | |||
CSMC Mortgage Backed Trust Series 2020-RPL3,
Class A1, CMO, 2.69%, 3/25/2060 (a) (b)
|
1,042,311 | 1,045,693 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1
Month USD LIBOR + 2.73%, 2.84%, 12/15/2036 (a) (b)
|
125,000 | 121,307 | |||
GS Mortgage Securities Trust: | |||||
Series 2012-ALOH, Class A, 3.55%, 4/10/2034
(a)
|
129,000 | 129,000 | |||
Series 2021-IP, Class A, 1 Month USD LIBOR +
0.95%, 1.06%, 10/15/2036 (a) (b)
|
181,000 | 179,848 |
Security Description | Principal
Amount |
Value | |||
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050
(b)
|
$ 386,561 | $ 17,960 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2019-MFP, Class A, 1 Month USD LIBOR +
0.96% , 1.07%, 7/15/2036 (a) (b)
|
107,000 | 106,800 | |||
Series 2016-JP4, Class XA, IO, 0.59%, 12/15/2049
(b)
|
1,397,229 | 33,505 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2019-COR5, Class XA, IO, VRN, 1.48%,
6/13/2052 (b)
|
1,109,594 | 91,925 | |||
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047
(b)
|
150,000 | 156,316 | |||
Legacy Mortgage Asset Trust Series 2021-GS1,
Class A1, 1.89%, 10/25/2066 (a) (d)
|
450,356 | 449,668 | |||
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3,
Class AS, 1 Month USD LIBOR + 1.37%, 1.48%, 4/15/2034 (a) (b)
|
117,900 | 117,836 | |||
MF1 2020-FL3, Ltd. Series 2020-FL3, Class A, 1
Month USD LIBOR + 2.16%, 2.21%, 7/15/2035 (a) (b)
|
72,083 | 72,480 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 0.93%, 4/15/2047
(b)
|
739,198 | 11,022 | |||
Series 2014-C19, Class LNCX, IO, 0.60%,
12/15/2046 (a) (b)
|
1,165,488 | 17,743 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2019-PLND, Class B, 1 Month USD LIBOR +
1.30%, 1.41%, 5/15/2036 (a) (b)
|
163,000 | 160,770 | |||
Series 2019-PLND, Class D, 1 Month USD LIBOR +
1.75%, 1.86%, 5/15/2036 (a) (b)
|
127,000 | 123,904 | |||
Series 2016-UB12, Class XA, IO, 0.71%, 12/15/2049
(b)
|
1,368,577 | 36,821 | |||
Morgan Stanley Captial I Trust Series 2021-L6,
Class A2, 2.13%, 6/15/2054
|
151,000 | 151,617 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD
LIBOR + 0.90%, 1.01%, 10/15/2037 (a) (b)
|
79,000 | 78,943 | |||
Natixis Commercial Mortgage Securities Trust
Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 1.06%, 6/15/2035
(a) (b)
|
78,409 | 77,511 | |||
PFP, Ltd. Series 2019-6, Class A, 1 Month USD
LIBOR + 1.05%, 1.16%, 4/14/2037 (a) (b)
|
37,716 | 37,585 | |||
ReadyCap Commercial Mortgage Trust Series
2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 1.10%, 3/25/2034 (a)
(b)
|
2,615 | 2,616 | |||
Residential Asset Securitization Trust Series
2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036
|
2,560,912 | 918,943 | |||
Shelter Growth CRE Issuer, Ltd. Series 2019-FL2,
Class B, 1 Month USD LIBOR + 2.30%, 1.91%, 5/15/2036 (a) (b)
|
67,311 | 67,086 | |||
Toorak Mortgage Corp., Ltd. Series 2020-1, Class
A1, 2.73%, 3/25/2023 (a) (d)
|
1,000,000 | 1,001,538 | |||
UBS Commercial Mortgage Trust Series 2017-C1,
Class XA, IO, 1.53%, 6/15/2050 (b)
|
633,510 | 41,464 |
Security Description | Principal
Amount |
Value | |||
Velocity Commercial Capital Loan Trust Series
2018-2, Class A, 4.05%, 10/26/2048 (a) (b)
|
$ 407,652 | $ 419,787 | |||
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR +
0.41%, 0.51%, 10/25/2035 (b)
|
383,269 | 367,809 | |||
Wells Fargo Commercial Mortgage Trust Series
2019-C51, Class XA, IO, VRN, 1.33%, 6/15/2052 (b)
|
992,693 | 75,241 | |||
WFRBS Commercial Mortgage Trust Series 2013-C18,
Class XA, IO, 0.78%, 12/15/2046 (b)
|
799,186 | 10,144 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$8,713,775)
|
7,813,844 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.3% | |||||
Arbor Multifamily Mortgage Securities Trust
2021-MF2 Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (a)
|
139,000 | 138,914 | |||
Benchmark 2019-B15 Mortgage Trust Series
2019-B15, Class XA, IO, VRN, 0.82%, 12/15/2072 (b)
|
4,078,933 | 204,089 | |||
BPR Trust 2021-TY Series 2021-TY, Class A, 1
Month USD LIBOR + 1.05%, 1.16%, 9/15/2038 (a) (b)
|
192,000 | 191,644 | |||
BX Commercial Mortgage Trust 2021-21M Series
2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 0.84%, 10/15/2036 (a)
(b)
|
181,000 | 179,413 | |||
BX Trust Series 2021-VIEW, Class A, 1 Month USD
LIBOR + 1.28%, 1.39%, 6/15/2023 (a) (b)
|
299,000 | 299,245 | |||
BXHPP Trust 2021-FILM Series 2021-FILM, Class B,
1 Month USD LIBOR + 0.90%, 1.01%, 8/15/2036 (a) (b)
|
224,000 | 221,377 | |||
BXMT, Ltd. Series 2021-FL4, Class A, 1 Month USD
LIBOR + 1.05%, 1.16%, 5/15/2038 (a) (b)
|
138,000 | 137,741 | |||
Citigroup Commercial Mortgage Trust Series
2020-GC46, Class XA, IO, VRN, 0.99%, 2/15/2053 (b)
|
2,205,973 | 134,200 | |||
EQUS 2021-EQAZ Mortgage Trust Series 2021-EQAZ,
Class A, 1 Month USD LIBOR + 0.75%, 0.86%, 10/15/2038 (a) (b)
|
181,000 | 180,269 | |||
Extended Stay America Trust Series 2021-ESH,
Class A, 1 Month USD LIBOR + 1.08%, 1.19%, 7/15/2038 (a) (b)
|
149,224 | 149,256 | |||
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD
LIBOR + 1.25%, 1.35%, 7/16/2035 (a) (b)
|
87,172 | 87,142 | |||
GS Mortgage Securities Trust Series 2020-GC47,
Class XA, IO, VRN, 1.13%, 5/12/2053 (b)
|
2,114,109 | 169,117 | |||
MF1 Multifamily Housing Mortgage Loan Trust
Series 2021-FL5, Class AS, 1 Month USD LIBOR + 1.31%, 1.36%, 7/15/2036
(a) (b)
|
138,000 | 137,878 | |||
Morgan Stanley Capital I, Inc. Series 2021-ILP,
Class A, 1 Month USD LIBOR + 0.78%, 0.89%, 11/15/2023 (a) (b)
|
180,404 | 180,232 |
Security Description | Principal
Amount |
Value | ||||
SREIT Trust 2021-MFP Series 2021-MFP, Class A, 1
Month USD LIBOR + 0.73%, 0.83%, 11/15/2038 (a) (b)
|
$ 181,000 | $ 180,036 | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2021-C60, Class A2, 2.04%, 8/15/2054
|
151,000 | 151,035 | ||||
Series 2021-SAVE, Class A, 1 Month USD LIBOR +
1.150%, 1.26%, 2/15/2040 (a) (b)
|
90,902 | 90,907 | ||||
Series 2021-SAVE, Class B, 1 Month USD LIBOR +
1.450%, 1.56%, 2/15/2040 (a) (b)
|
90,902 | 90,494 | ||||
Series 2019-C52, Class XA, IO, VRN, 1.59%,
8/15/2052 (b)
|
2,969,346 | 268,841 | ||||
WFRBS Commercial Mortgage Trust: | ||||||
Series 2014-C21, Class AS, 3.89%, 8/15/2047
|
250,000 | 258,941 | ||||
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057
(b)
|
235,000 | 249,160 | ||||
TOTAL COMMERCIAL MORTGAGE BACKED
SECURITIES (Cost
$3,797,185)
|
3,699,931 | |||||
SENIOR FLOATING RATE LOANS — 7.2% | ||||||
CABLE/SATELLITE TV — 0.2% | ||||||
Cable One, Inc. Senior Secured 2021 Term Loan B4,
1 Month USD LIBOR + 2.000% 2.10%, 5/3/2028 (b)
|
298,500 | 298,998 | ||||
CASINO SERVICES — 0.3% | ||||||
Stars Group Holdings B.V. Senior Secured 2018 USD
Incremental Term Loan, 3 Month USD LIBOR + 2.25% 2.47%, 7/21/2026
(b)
|
425,000 | 424,020 | ||||
CHEMICALS — 0.4% | ||||||
Axalta Coating Systems US Holdings, Inc. Senior
Secured USD Term Loan B3, 3 Month USD LIBOR + 1.75% 1.97%,
6/1/2024(b)
|
422,482 | 422,747 | ||||
Element Solutions Inc. Senior Secured 2019 Term
Loan B1, 1 Month USD LIBOR + 2.000% 2.10%, 1/31/2026(b)
|
223,855 | 223,295 | ||||
646,042 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Terminix Co., LLC Senior Secured 2019 Term Loan
D, 1 Month USD LIBOR + 1.750% 1.88%, 11/5/2026 (b)
|
300,000 | 300,252 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% | ||||||
Clean Harbors Inc. Senior Secured 2021
Incremental Term Loan B, 1 Month USD LIBOR + 2.000% 2.10%,
10/8/2028(b)
|
75,000 | 75,047 | ||||
KAR Auction Services, Inc. Senior Secured 2019
Term Loan B6, 1 Month USD LIBOR + 2.250% 2.38%, 9/19/2026(b)
|
299,237 | 295,496 | ||||
370,543 |
Security Description | Principal
Amount |
Value | |||
DISTRIBUTION/WHOLESALE — 0.2% | |||||
Resideo Funding Inc. Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 2.25% 2.75%, 2/11/2028 (b)
|
$ 298,496 | $ 298,496 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
Setanta Aircraft Leasing Designated Activity
Company Senior Secured Term Loan B, 3 Month USD LIBOR + 2.000% 2.14%,
11/5/2028(b)
|
185,000 | 185,116 | |||
Trans Union, LLC Senior Secured 2019 Term Loan
B5, 1 Month USD LIBOR + 1.75% 1.85%, 11/16/2026(b)
|
236,790 | 234,718 | |||
419,834 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||
Level 3 Financing, Inc. Senior Secured 2019 Term
Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027 (b)
|
425,000 | 420,219 | |||
ENTERTAINMENT — 0.3% | |||||
WMG Acquisition Corp. Senior Secured 2021 Term
Loan G, 1 Month USD LIBOR + 2.125% 2.23%, 1/20/2028 (b)
|
425,000 | 423,991 | |||
FINANCE-OTHER SERVICES — 0.2% | |||||
RPI Intermediate Finance Trust Senior Secured
2020 Term Loan B1, 1 Month USD LIBOR + 1.750% 1.85%, 2/11/2027 (b)
|
413,911 | 413,178 | |||
FOOD PRODUCTS — 0.3% | |||||
KFC Holding Co. Senior Secured 2021 Term Loan B,
1 Month USD LIBOR + 1.750% 1.85%, 3/15/2028 (b)
|
423,935 | 423,935 | |||
FORESTRY — 0.3% | |||||
Asplundh Tree Expert, LLC Senior Secured 2021
Term Loan B2, 1 Month USD LIBOR + 1.750% 1.85%, 9/7/2027 (b)
|
422,859 | 421,686 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
ICU Medical, Inc. Senior Secured Term Loan B,
12/16/2028 (e)
|
30,000 | 30,081 | |||
HEALTH CARE PROVIDERS & SERVICES — 0.5% | |||||
Horizon Therapeutics USA, Inc. Senior Secured
2021 Term Loan B2, 1 Month USD LIBOR + 1.75% 2.25%, 3/15/2028(b)
|
423,935 | 423,064 | |||
ICON Luxembourg S.A.R.L. Senior Secured LUX Term
Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028(b)
|
308,535 | 309,027 | |||
ICON Luxembourg S.A.R.L. Senior Secured US Term
Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028(b)
|
76,871 | 76,994 | |||
809,085 |
Security Description | Principal
Amount |
Value | |||
HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
1011778 B.C. Unlimited Liability Co. Senior
Secured Term Loan B4, 1 Month USD LIBOR + 1.75% 1.85%, 11/19/2026
(b)
|
$ 447,716 | $ 442,399 | |||
HOUSEHOLD DURABLES — 0.0% (c) | |||||
Installed Building Products, Inc. Senior Secured
2021 Term Loan B, 3 Month USD LIBOR + 2.250% 2.75%, 12/14/2028
|
15,000 | 15,031 | |||
HOUSEHOLD PRODUCTS — 0.5% | |||||
Energizer Holdings, Inc. Senior Secured 2020 Term
Loan, 12/22/2027(e)
|
339,146 | 338,829 | |||
Reynolds Consumer Products, LLC Senior Secured
Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 2/4/2027(b)
|
422,547 | 420,848 | |||
759,677 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4% | |||||
Calpine Corp. Senior Secured 2020 Term Loan B5, 1
Month USD LIBOR + 2.50% 2.61%, 12/16/2027(b)
|
298,492 | 296,937 | |||
Vistra Operations Co., LLC Senior Secured 1st
Lien Term Loan B3, 1 Month USD LIBOR + 1.75% 1.86%, 12/31/2025(b)
|
422,633 | 420,009 | |||
716,946 | |||||
INTERACTIVE MEDIA & SERVICES — 0.3% | |||||
Go Daddy Operating Co., LLC Senior Secured 2017
Repriced Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 2/15/2024 (b)
|
422,043 | 419,992 | |||
IT SERVICES — 0.2% | |||||
Fleetcor Technologies Operating Company, LLC
Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.750% 1.85%,
4/28/2028 (b)
|
422,876 | 418,436 | |||
MACHINERY — 0.3% | |||||
Ali Group S.R.L. , 10/12/2028(e)
|
85,000 | 84,587 | |||
Ingersoll-Rand Services Co. Senior Secured 2020
USD Spinco Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027(b)
|
447,722 | 443,399 | |||
527,986 | |||||
MEDIA — 0.2% | |||||
Gray Television, Inc. Senior Secured 2021 Term
Loan D, 1 Month USD LIBOR + 3.000% 3.10%, 12/1/2028
|
80,000 | 79,710 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019
Term Loan B4, 3 Month USD LIBOR + 2.50% 2.60%, 9/18/2026(b)
|
300,000 | 299,814 | |||
379,524 |
Security Description | Principal
Amount |
Value | |||
MRI/MEDICAL DIAG IMAGING — 0.2% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3,
3 Month USD LIBOR + 1.750% 1.97%, 6/11/2025 (b)
|
$ 396,862 | $ 396,036 | |||
PHARMACEUTICALS — 0.5% | |||||
Catalent Pharma Solutions Inc. Senior Secured
2021 Term Loan B3, 1 Month USD LIBOR + 2.000% 2.50%, 2/22/2028(b)
|
34,912 | 35,004 | |||
Elanco Animal Health, Inc. Senior Secured Term
Loan B, 3 Month USD LIBOR + 1.75% 1.85%, 8/1/2027(b)
|
512,341 | 506,377 | |||
Grifols Worldwide Operations USA, Inc. Senior
Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00% 2.10%,
11/15/2027(b)
|
319,481 | 315,346 | |||
856,727 | |||||
PROFESSIONAL SERVICES — 0.1% | |||||
Trans Union, LLC Senior Secured 2021 Term Loan
B6, 12/1/2028 (e)
|
95,000 | 94,881 | |||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.2% | |||||
Iron Mountain, Inc. Senior Secured 2018 Term Loan
B, 1 Month USD LIBOR + 1.750% 1.85%, 1/2/2026 (b)
|
423,902 | 418,249 | |||
SOFTWARE — 0.3% | |||||
SS&C Technologies, Inc. Senior Secured 2018
Term Loan B5, 1 Month USD LIBOR + 1.750% 1.85%, 4/16/2025 (b)
|
432,458 | 428,313 | |||
THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
Walker & Dunlop, Inc. Senior Secured 2021
Term Loan, 12/16/2028 (e)
|
40,000 | 40,000 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost
$11,606,341)
|
11,614,557 |
Shares | |||
SHORT-TERM INVESTMENT — 3.7% | |||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares 0.03% (f) (g) (Cost $5,925,569)
|
5,925,569 | 5,925,569 | |
TOTAL INVESTMENTS — 98.8% (Cost
$161,351,660)
|
159,823,190 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2%
|
1,965,175 | ||
NET ASSETS — 100.0%
|
$ 161,788,365 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.8% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2021. Maturity date shown is the final maturity. |
(e) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2021. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes
|
$ — | $ 38,827,617 | $— | $ 38,827,617 | ||||
Asset-Backed Securities
|
— | 19,738,583 | — | 19,738,583 | ||||
Foreign Government Obligations
|
— | 4,258,755 | — | 4,258,755 | ||||
U.S. Government Agency Obligations
|
— | 40,919,454 | — | 40,919,454 | ||||
U.S. Treasury Obligations
|
— | 27,024,880 | — | 27,024,880 | ||||
Mortgage-Backed Securities
|
— | 7,813,844 | — | 7,813,844 | ||||
Commercial Mortgage Backed Securities
|
— | 3,699,931 | — | 3,699,931 | ||||
Senior Floating Rate Loans
|
— | 11,614,557 | — | 11,614,557 | ||||
Short-Term Investment
|
5,925,569 | — | — | 5,925,569 | ||||
TOTAL INVESTMENTS
|
$5,925,569 | $153,897,621 | $— | $159,823,190 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
14,576,244 | $14,576,244 | $118,036,333 | $126,687,008 | $— | $— | 5,925,569 | $5,925,569 | $1,556 |
Security Description | Principal
Amount |
Value | |||
CORPORATE BONDS & NOTES — 14.9% | |||||
ARGENTINA — 0.1% | |||||
AES Argentina Generacion SA Series
REGS, 7.75%, 2/2/2024
|
$ 500,000 | $ 423,755 | |||
Banco Macro SA: | |||||
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a) (b)
|
300,000 | 250,818 | |||
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%,
11/4/2026 (b)
|
1,000,000 | 836,060 | |||
Pampa Energia SA: | |||||
Series REGS, 7.50%, 1/24/2027
|
2,000,000 | 1,727,800 | |||
Series REGS, 9.13%, 4/15/2029
|
150,000 | 131,969 | |||
3,370,402 | |||||
AUSTRALIA — 0.3% | |||||
Glencore Funding LLC: | |||||
1.63%, 4/27/2026 (a)
|
1,120,000 | 1,099,873 | |||
3.38%, 9/23/2051 (a)
|
745,000 | 712,369 | |||
Macquarie Group, Ltd.: | |||||
SOFR + 0.91%, 1.63%, 9/23/2027 (a)
(b)
|
1,665,000 | 1,629,469 | |||
SOFR + 1.53%, 2.87%, 1/14/2033 (a)
(b)
|
1,910,000 | 1,903,640 | |||
Westpac Banking Corp. 5 year CMT +
1.53%, 3.02%, 11/18/2036 (b)
|
1,840,000 | 1,820,128 | |||
7,165,479 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049
|
1,255,000 | 1,735,803 | |||
BRAZIL — 0.4% | |||||
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%, 6/18/2024 (b)
|
1,500,000 | 1,600,260 | |||
Banco do Estado do Rio Grande do Sul SA Series
REGS, VRN, 5 year CMT + 4.93%, 5.38%, 1/28/2031 (b)
|
700,000 | 678,097 | |||
Cosan Overseas, Ltd. 8.25%, 2/5/2022
|
4,314,000 | 4,405,672 | |||
Itau Unibanco Holding SA: | |||||
VRN, 5 Year CMT + 3.22%, 4.63%, 2/27/2025
(a) (b)
|
200,000 | 187,516 | |||
Series REGS, 5 Year CMT + 3.98%, 6.13%,
12/12/2022 (b)
|
1,200,000 | 1,206,612 | |||
Series REGS, VRN, 5 year CMT + 3.22%, 4.63%,
2/27/2025 (b)
|
200,000 | 187,516 | |||
Series REGS, VRN, 5 year CMT + 3.45%, 3.88%,
4/15/2031 (b)
|
1,100,000 | 1,055,483 |
Security Description | Principal
Amount |
Value | |||
Minerva Luxembourg SA 4.38%, 3/18/2031 (a)
|
$ 1,200,000 | $ 1,142,904 | |||
Petrobras Global Finance B.V.: | |||||
5.50%, 6/10/2051
|
1,300,000 | 1,206,322 | |||
6.75%, 6/3/2050
|
1,000,000 | 1,047,340 | |||
12,717,722 | |||||
CANADA — 0.5% | |||||
Air Canada 3.88%, 8/15/2026 (a)
|
320,000 | 327,203 | |||
Bank of Nova Scotia: | |||||
1.63%, 5/1/2023
|
1,360,000 | 1,375,586 | |||
3.40%, 2/11/2024
|
400,000 | 419,392 | |||
Bombardier, Inc. 7.88%, 4/15/2027 (a)
|
350,000 | 362,947 | |||
Garda World Security Corp.: | |||||
4.63%, 2/15/2027 (a)
|
615,000 | 615,369 | |||
6.00%, 6/1/2029 (a)
|
480,000 | 461,717 | |||
GFL Environmental, Inc. 4.00%, 8/1/2028 (a)
|
585,000 | 574,101 | |||
Intelligent Packaging, Ltd. Finco,
Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028 (a)
|
225,000 | 231,894 | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | |||||
5.00%, 12/31/2026 (a)
|
975,000 | 962,491 | |||
7.00%, 12/31/2027 (a)
|
525,000 | 498,939 | |||
Mattamy Group Corp. 4.63%, 3/1/2030 (a)
|
395,000 | 402,410 | |||
MEG Energy Corp.: | |||||
5.88%, 2/1/2029 (a)
|
95,000 | 99,639 | |||
7.13%, 2/1/2027 (a)
|
460,000 | 489,891 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (a)
|
435,000 | 435,718 | |||
4.63%, 5/1/2030 (a)
|
300,000 | 299,091 | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (a)
|
325,000 | 322,231 | |||
Royal Bank of Canada Series GMTN, 1.15%, 7/14/2026
|
5,205,000 | 5,097,725 | |||
Superior Plus L.P./Superior General Partner,
Inc. 4.50%, 3/15/2029 (a)
|
615,000 | 630,756 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (a)
|
255,000 | 225,723 | |||
6.50%, 10/15/2027 (a)
|
260,000 | 201,484 |
Security Description | Principal
Amount |
Value | |||
Tervita Corp. 11.00%, 12/1/2025 (a)
|
$ 237,000 | $ 272,586 | |||
Titan Acquisition, Ltd./Titan Co-Borrower
LLC 7.75%, 4/15/2026 (a)
|
320,000 | 325,635 | |||
14,632,528 | |||||
CAYMAN ISLANDS — 0.0% (c) | |||||
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024 (a)
|
563,752 | 544,534 | |||
CHILE — 0.3% | |||||
AES Gener SA: | |||||
5 Year CMT + 4.92%, 6.35%, 10/7/2079 (a)
(b)
|
200,000 | 203,486 | |||
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(a) (b)
|
400,000 | 414,752 | |||
Series REGS, USD 5 Year Swap Rate + 4.64%, 7.13%,
3/26/2079 (b)
|
1,600,000 | 1,659,008 | |||
Antofagasta PLC Series REGS, 2.38%, 10/14/2030
|
200,000 | 190,874 | |||
CAP SA 3.90%, 4/27/2031 (a)
|
1,350,000 | 1,269,000 | |||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (a)
|
500,000 | 406,425 | |||
Empresa Electrica Angamos SA Series
REGS, 4.88%, 5/25/2029
|
1,304,000 | 1,252,179 | |||
Empresa Electrica Cochrane SpA Series
REGS, 5.50%, 5/14/2027
|
832,020 | 833,875 | |||
Guacolda Energia SA Series REGS, 4.56%, 4/30/2025
|
1,900,000 | 740,525 | |||
Telefonica Moviles Chile SA 3.54%, 11/18/2031 (a)
|
150,000 | 149,493 | |||
7,119,617 | |||||
CHINA — 0.0% (c) | |||||
Tencent Holdings, Ltd. 2.39%, 6/3/2030 (a)
|
500,000 | 489,840 | |||
COLOMBIA — 0.3% | |||||
AI Candelaria Spain SLU 5.75%, 6/15/2033 (a)
|
900,000 | 870,453 | |||
Banco Davivienda SA VRN, 10 Year CMT +
5.10%, 6.65%, 4/22/2031 (a) (b)
|
600,000 | 608,058 | |||
Ecopetrol SA: | |||||
4.63%, 11/2/2031
|
400,000 | 388,552 |
Security Description | Principal
Amount |
Value | |||
5.88%, 5/28/2045
|
$ 200,000 | $ 191,548 | |||
5.88%, 11/2/2051
|
2,050,000 | 1,922,428 | |||
Empresas Publicas de Medellin ESP: | |||||
Series REGS, 4.25%, 7/18/2029
|
1,400,000 | 1,327,970 | |||
Series REGS, 4.38%, 2/15/2031
|
1,000,000 | 940,140 | |||
Gran Tierra Energy International Holdings, Ltd.
Series REGS, 6.25%, 2/15/2025
|
2,600,000 | 2,365,740 | |||
Grupo Aval, Ltd. 4.38%, 2/4/2030 (a)
|
300,000 | 287,832 | |||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027
|
500,000 | 498,170 | |||
9,400,891 | |||||
FRANCE — 0.1% | |||||
Altice France SA: | |||||
5.13%, 7/15/2029 (a)
|
680,000 | 663,360 | |||
5.50%, 10/15/2029 (a)
|
460,000 | 455,400 | |||
TotalEnergies Capital International SA 3.39%, 6/29/2060
|
1,575,000 | 1,678,635 | |||
2,797,395 | |||||
GERMANY — 0.0% (c) | |||||
TK Elevator US Newco, Inc. 5.25%, 7/15/2027 (a)
|
700,000 | 735,238 | |||
HONG KONG — 0.0% (c) | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a)
|
325,000 | 326,814 | |||
INDIA — 0.3% | |||||
Adani International Container Terminal Pvt, Ltd.
Series REGS, 3.00%, 2/16/2031
|
784,000 | 755,929 | |||
Adani Ports & Special Economic Zone, Ltd.: | |||||
4.00%, 7/30/2027
|
400,000 | 412,368 | |||
Series REGS, 4.38%, 7/3/2029
|
400,000 | 417,724 | |||
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031 (a)
|
386,000 | 384,001 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026
|
2,200,000 | 2,305,490 | |||
UPL Corp., Ltd. 4.50%, 3/8/2028
|
1,300,000 | 1,367,073 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a)
|
1,400,000 | 1,310,764 |
Security Description | Principal
Amount |
Value | |||
Vedanta Resources, Ltd. Series REGS, 6.13%, 8/9/2024
|
$ 2,200,000 | $ 1,926,606 | |||
8,879,955 | |||||
INDONESIA — 0.1% | |||||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030
|
1,200,000 | 1,231,512 | |||
Series REGS, 5.63%, 8/10/2037
|
2,200,000 | 2,300,056 | |||
3,531,568 | |||||
IRELAND — 0.1% | |||||
Avolon Holdings Funding, Ltd.: | |||||
2.13%, 2/21/2026 (a)
|
1,065,000 | 1,046,575 | |||
3.25%, 2/15/2027 (a)
|
620,000 | 628,079 | |||
1,674,654 | |||||
JAMAICA — 0.0% (c) | |||||
Digicel Group Holdings, Ltd.: | |||||
PIK, 7.00%, 12/31/2099 (a)
|
632,750 | 548,911 | |||
PIK, 8.00%, 4/1/2025 (a)
|
847,846 | 786,852 | |||
1,335,763 | |||||
JAPAN — 0.1% | |||||
Mitsubishi UFJ Financial Group, Inc. 3 Month USD
LIBOR + 0.74%, 0.91%, 3/2/2023 (b)
|
1,720,000 | 1,728,239 | |||
KUWAIT — 0.1% | |||||
Equate Petrochemical B.V. Series REGS, 2.63%, 4/28/2028
|
1,100,000 | 1,101,375 | |||
MEGlobal Canada ULC 5.00%, 5/18/2025 (a)
|
500,000 | 545,590 | |||
1,646,965 | |||||
LUXEMBOURG — 0.0% (c) | |||||
Altice Financing SA 5.00%, 1/15/2028 (a)
|
240,000 | 233,402 | |||
Altice France Holding SA 6.00%, 2/15/2028 (a)
|
430,000 | 411,287 | |||
ARD Finance SA PIK, 6.50%, 6/30/2027 (a)
|
200,000 | 205,908 | |||
850,597 |
Security Description | Principal
Amount |
Value | |||
MALAYSIA — 0.1% | |||||
Petronas Capital, Ltd.: | |||||
2.48%, 1/28/2032 (a)
|
$ 1,200,000 | $ 1,203,804 | |||
3.50%, 4/21/2030 (a)
|
400,000 | 432,896 | |||
1,636,700 | |||||
MEXICO — 0.3% | |||||
Banco Mercantil del Norte SA: | |||||
10 year CMT + 5.47%, 7.50%, 6/27/2029 (a)
(b)
|
1,400,000 | 1,490,286 | |||
Series REGS, 10 Year CMT + 5.35%, 7.63%,
12/31/2099 (b)
|
800,000 | 854,144 | |||
Credito Real SAB de CV Series REGS, 5 Year CMT +
7.03%, 9.13%, 11/29/2022 (b)
|
1,200,000 | 585,708 | |||
Grupo Idesa SA de CV PIK, 10.13%, 5/22/2026 (a)
|
1,550,908 | 1,027,492 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (a)
|
982,000 | 873,342 | |||
Petroleos Mexicanos 6.75%, 9/21/2047
|
1,400,000 | 1,238,720 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year
CMT + 6.31%, 8.88%, 1/29/2025 (b)
|
3,000,000 | 1,766,400 | |||
7,836,092 | |||||
PANAMA — 0.1% | |||||
Banco General SA VRN, 10 Year CMT +
3.67%, 5.25%, 5/7/2031 (a) (b)
|
1,000,000 | 1,015,580 | |||
Banco Nacional de Panama 2.50%, 8/11/2030 (a)
|
300,000 | 281,025 | |||
UEP Penonome II SA: | |||||
6.50%, 10/1/2038 (a)
|
336,671 | 354,016 | |||
Series REGS, 6.50%, 10/1/2038
|
384,767 | 404,590 | |||
2,055,211 | |||||
PERU — 0.2% | |||||
Banco de Credito del Peru: | |||||
VRN, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(a) (b)
|
700,000 | 692,104 | |||
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(b)
|
700,000 | 692,104 | |||
Banco Internacional del Peru SAA Interbank Series
REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (b)
|
1,200,000 | 1,195,104 | |||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027
|
330,588 | 338,205 |
Security Description | Principal
Amount |
Value | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series
REGS, 6.38%, 6/1/2028
|
$ 1,053,800 | $ 1,068,227 | |||
Inkia Energy, Ltd. Series REGS, 5.88%, 11/9/2027
|
1,200,000 | 1,229,856 | |||
Peru LNG S.r.l. Series REGS, 5.38%, 3/22/2030
|
800,000 | 692,296 | |||
5,907,896 | |||||
PHILIPPINES — 0.1% | |||||
BDO Unibank, Inc. Series EMTN, 2.95%, 3/6/2023
|
3,000,000 | 3,052,500 | |||
QATAR — 0.1% | |||||
Ooredoo International Finance, Ltd.: | |||||
Series REGS, 3.25%, 2/21/2023
|
300,000 | 307,494 | |||
Series REGS, 3.75%, 6/22/2026
|
200,000 | 216,532 | |||
Qatar Energy 2.25%, 7/12/2031
|
2,400,000 | 2,377,363 | |||
2,901,389 | |||||
SAUDI ARABIA — 0.0% (c) | |||||
SA Global Sukuk, Ltd. 2.69%, 6/17/2031 (a)
|
600,000 | 603,456 | |||
SINGAPORE — 0.4% | |||||
Avation Capital SA PIK, 8.25%, 10/31/2026 (a)
|
264,163 | 221,149 | |||
DBS Group Holdings, Ltd.: | |||||
Series GMTN, VRN, 5 year CMT + 1.10%, 1.82%,
3/10/2031 (b)
|
400,000 | 395,312 | |||
Series REGS, VRN, USD 5 year ICE Swap Rate +
1.59%, 4.52%, 12/11/2028 (b)
|
500,000 | 528,225 | |||
Oversea-Chinese Banking Corp., Ltd.: | |||||
VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a) (b)
|
700,000 | 694,869 | |||
Series REGS, VRN, 5 year CMT + 1.58%, 1.83%,
9/10/2030 (b)
|
900,000 | 893,403 | |||
PSA Treasury Pte, Ltd.: | |||||
2.25%, 4/30/2030
|
500,000 | 510,346 | |||
Series GMTN, 2.13%, 9/5/2029
|
1,700,000 | 1,716,766 | |||
SingTel Group Treasury Pte, Ltd.: | |||||
1.88%, 6/10/2030
|
1,250,000 | 1,231,084 | |||
2.38%, 8/28/2029
|
400,000 | 409,953 |
Security Description | Principal
Amount |
Value | |||
Temasek Financial I Ltd.: | |||||
1.00%, 10/6/2030 (a)
|
$ 2,900,000 | $ 2,704,192 | |||
1.63%, 8/2/2031
|
1,050,000 | 1,019,550 | |||
Series REGS, 1.00%, 10/6/2030
|
250,000 | 233,120 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%,
10/19/2023 (b)
|
400,000 | 410,000 | |||
Series GMTN, VRN, 5 year CMT + 1.52%, 1.75%,
3/16/2031 (b)
|
500,000 | 492,050 | |||
11,460,019 | |||||
SOUTH KOREA — 0.3% | |||||
Korea East-West Power Co., Ltd. Series
REGS, 1.75%, 5/6/2025
|
1,800,000 | 1,813,320 | |||
KT Corp.: | |||||
1.00%, 9/1/2025
|
600,000 | 588,138 | |||
1.38%, 1/21/2027
|
700,000 | 683,562 | |||
Series REGS, 2.50%, 7/18/2026
|
1,000,000 | 1,033,300 | |||
LG Chem, Ltd. 2.38%, 7/7/2031 (a)
|
250,000 | 246,055 | |||
NongHyup Bank 1.25%, 7/20/2025 (a)
|
1,000,000 | 990,420 | |||
POSCO: | |||||
Series REGS, 2.38%, 1/17/2023
|
700,000 | 708,848 | |||
Series REGS, 2.75%, 7/15/2024
|
800,000 | 825,888 | |||
Shinhan Financial Group Co., Ltd. VRN, 5 year CMT
+ 2.06%, 2.88%, 5/12/2026 (a) (b)
|
900,000 | 887,085 | |||
Woori Bank Series REGS, VRN, 5 year CMT +
2.66%, 4.25%, 10/4/2024 (b)
|
1,000,000 | 1,036,690 | |||
8,813,306 | |||||
SPAIN — 0.0% (c) | |||||
Grifols Escrow Issuer SA 4.75%, 10/15/2028 (a)
|
1,040,000 | 1,049,693 | |||
THAILAND — 0.1% | |||||
Bangkok Bank PCL VRN, 5 Year CMT +
4.72%, 5.00%, 12/31/2099 (b)
|
900,000 | 931,923 | |||
Kasikornbank PCL Series EMTN, VRN, 5 year CMT +
4.94%, 5.28%, 10/14/2025 (b)
|
700,000 | 733,250 | |||
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027 (a)
|
200,000 | 204,130 | |||
1,869,303 |
Security Description | Principal
Amount |
Value | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Galaxy Pipeline Assets Bidco, Ltd.: | |||||
2.16%, 3/31/2034 (a)
|
$ 2,200,000 | $ 2,159,476 | |||
2.94%, 9/30/2040
|
200,000 | 199,043 | |||
Series REGS, 2.63%, 3/31/2036
|
1,700,000 | 1,660,887 | |||
4,019,406 | |||||
UNITED KINGDOM — 0.1% | |||||
BAT Capital Corp. 2.73%, 3/25/2031
|
1,820,000 | 1,767,729 | |||
CK Hutchison International 20, Ltd. 2.50%, 5/8/2030 (a)
|
1,000,000 | 1,014,030 | |||
eG Global Finance PLC 8.50%, 10/30/2025 (a)
|
615,000 | 640,787 | |||
Virgin Media Finance PLC 5.00%, 7/15/2030 (a)
|
605,000 | 604,607 | |||
4,027,153 | |||||
UNITED STATES — 10.2% | |||||
AbbVie, Inc. 3.85%, 6/15/2024
|
1,670,000 | 1,765,641 | |||
Academy, Ltd. 6.00%, 11/15/2027 (a)
|
385,000 | 411,180 | |||
Acrisure LLC/Acrisure Finance, Inc.: | |||||
4.25%, 2/15/2029 (a)
|
445,000 | 433,572 | |||
6.00%, 8/1/2029 (a)
|
365,000 | 360,346 | |||
Acuris Finance Us, Inc./Acuris Finance
SARL 5.00%, 5/1/2028 (a)
|
675,000 | 673,393 | |||
AdaptHealth LLC 5.13%, 3/1/2030 (a)
|
615,000 | 628,991 | |||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a)
|
370,000 | 383,453 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050
|
1,280,000 | 1,309,350 | |||
Aethon United BR L.P./Aethon United Finance
Corp. 8.25%, 2/15/2026 (a)
|
305,000 | 327,384 | |||
Air Lease Corp. 3.25%, 3/1/2025
|
1,715,000 | 1,782,657 | |||
Air Methods Corp. 8.00%, 5/15/2025 (a)
|
173,000 | 148,745 | |||
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033
|
2,385,000 | 2,240,636 |
Security Description | Principal
Amount |
Value | |||
Alliant Holdings Intermediate LLC/Alliant
Holdings Co-Issuer 6.75%, 10/15/2027 (a)
|
$ 390,000 | $ 404,625 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.00%, 6/1/2029 (a)
|
425,000 | 413,257 | |||
6.63%, 7/15/2026 (a)
|
355,000 | 372,356 | |||
9.75%, 7/15/2027 (a)
|
455,000 | 486,377 | |||
American Airlines, Inc./AAdvantage Loyalty IP,
Ltd. 5.75%, 4/20/2029 (a)
|
645,000 | 689,776 | |||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029
|
590,000 | 579,109 | |||
Amgen, Inc. 2.45%, 2/21/2030
|
1,795,000 | 1,826,897 | |||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a)
|
580,000 | 586,896 | |||
Antero Midstream Partners L.P./Antero Midstream
Finance Corp. 5.75%, 3/1/2027 (a)
|
300,000 | 310,131 | |||
Antero Resources Corp. 5.38%, 3/1/2030 (a)
|
330,000 | 352,862 | |||
Anthem, Inc. 3.30%, 1/15/2023
|
1,737,000 | 1,783,986 | |||
Apache Corp.: | |||||
4.38%, 10/15/2028
|
355,000 | 386,900 | |||
4.63%, 11/15/2025
|
200,000 | 215,046 | |||
APi Escrow Corp. 4.75%, 10/15/2029 (a)
|
475,000 | 482,643 | |||
APi Group DE, Inc. 4.13%, 7/15/2029 (a)
|
390,000 | 394,150 | |||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a)
|
130,000 | 130,029 | |||
Arconic Corp. 6.13%, 2/15/2028 (a)
|
860,000 | 915,083 | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh
Metal Packaging Finance PLC 4.00%, 9/1/2029 (a)
|
835,000 | 828,061 | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA,
Inc. 5.25%, 8/15/2027 (a)
|
300,000 | 302,310 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028
|
1,667,000 | 1,806,911 | |||
Ashton Woods USA LLC/Ashton Woods Finance
Co. 4.63%, 4/1/2030 (a)
|
415,000 | 411,917 | |||
AssuredPartners, Inc.: | |||||
5.63%, 1/15/2029 (a)
|
60,000 | 58,587 |
Security Description | Principal
Amount |
Value | |||
7.00%, 8/15/2025 (a)
|
$ 952,000 | $ 961,234 | |||
At Home Group, Inc.: | |||||
4.88%, 7/15/2028 (a)
|
115,000 | 113,347 | |||
7.13%, 7/15/2029 (a)
|
245,000 | 242,734 | |||
AT&T, Inc.: | |||||
2.25%, 2/1/2032
|
1,785,000 | 1,727,112 | |||
2.75%, 6/1/2031
|
475,000 | 484,381 | |||
3.30%, 2/1/2052
|
950,000 | 930,629 | |||
Athene Holding, Ltd. 3.95%, 5/25/2051
|
1,605,000 | 1,757,908 | |||
Austin BidCo, Inc. 7.13%, 12/15/2028 (a)
|
155,000 | 160,596 | |||
Avaya, Inc. 6.13%, 9/15/2028 (a)
|
605,000 | 641,935 | |||
B&G Foods, Inc. 5.25%, 9/15/2027
|
240,000 | 248,270 | |||
Bank of America Corp. 5 year CMT +
1.20%, 2.48%, 9/21/2036 (b)
|
2,740,000 | 2,651,936 | |||
Bausch Health Cos., Inc.: | |||||
4.88%, 6/1/2028 (a)
|
420,000 | 430,907 | |||
5.25%, 1/30/2030 (a)
|
275,000 | 243,150 | |||
6.25%, 2/15/2029 (a)
|
300,000 | 285,456 | |||
7.00%, 1/15/2028 (a)
|
535,000 | 537,814 | |||
Beacon Roofing Supply, Inc. 4.13%, 5/15/2029 (a)
|
170,000 | 169,929 | |||
Berry Global, Inc. 0.95%, 2/15/2024
|
1,770,000 | 1,752,017 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (a)
|
3,940,000 | 3,791,659 | |||
Blue Racer Midstream LLC/Blue Racer Finance
Corp. 7.63%, 12/15/2025 (a)
|
235,000 | 249,831 | |||
Boeing Co. 2.95%, 2/1/2030
|
1,685,000 | 1,706,366 | |||
Boston Properties L.P. 3.65%, 2/1/2026
|
2,590,000 | 2,775,884 | |||
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (a)
|
35,000 | 36,752 | |||
Boyd Gaming Corp. 4.75%, 6/15/2031 (a)
|
570,000 | 584,261 | |||
Boyne USA, Inc. 4.75%, 5/15/2029 (a)
|
700,000 | 724,836 | |||
BP Capital Markets America, Inc. 3.00%, 3/17/2052
|
1,865,000 | 1,828,315 |
Security Description | Principal
Amount |
Value | |||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a)
|
$ 765,000 | $ 759,025 | |||
Broadcom, Inc. 3.42%, 4/15/2033 (a)
|
1,719,000 | 1,794,584 | |||
Brown & Brown, Inc. 2.38%, 3/15/2031
|
1,290,000 | 1,264,484 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (a)
|
400,000 | 416,088 | |||
5.00%, 3/1/2030 (a)
|
400,000 | 429,384 | |||
Bunge, Ltd. Finance Corp. 2.75%, 5/14/2031
|
1,755,000 | 1,781,764 | |||
Cablevision Lightpath LLC: | |||||
3.88%, 9/15/2027 (a)
|
300,000 | 291,138 | |||
5.63%, 9/15/2028 (a)
|
200,000 | 197,340 | |||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a)
|
465,000 | 467,641 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a)
|
265,000 | 274,900 | |||
4.63%, 2/1/2029 (a)
|
205,000 | 203,237 | |||
5.13%, 3/15/2028 (a)
|
165,000 | 167,660 | |||
Camelot Finance SA 4.50%, 11/1/2026 (a)
|
125,000 | 129,586 | |||
Carlson Travel, Inc. 6.75%, 12/15/2025 (a) (d)
|
215,000 | 103,120 | |||
Carnival Corp. 5.75%, 3/1/2027 (a)
|
855,000 | 854,786 | |||
Carrier Global Corp. 3.58%, 4/5/2050
|
880,000 | 936,135 | |||
Carvana Co. 5.63%, 10/1/2025 (a)
|
165,000 | 165,210 | |||
Castle US Holding Corp. 9.50%, 2/15/2028 (a)
|
585,000 | 611,237 | |||
Catalent Pharma Solutions, Inc. 3.50%, 4/1/2030 (a)
|
360,000 | 359,309 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 1/15/2034 (a)
|
380,000 | 374,194 | |||
4.50%, 8/15/2030 (a)
|
370,000 | 379,661 | |||
4.75%, 3/1/2030 (a)
|
755,000 | 787,072 | |||
Cedar Fair L.P. 5.25%, 7/15/2029
|
430,000 | 443,257 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a)
|
495,000 | 501,252 |
Security Description | Principal
Amount |
Value | |||
Centene Corp.: | |||||
2.50%, 3/1/2031
|
$ 2,320,000 | $ 2,258,358 | |||
2.63%, 8/1/2031
|
325,000 | 319,712 | |||
3.00%, 10/15/2030
|
210,000 | 213,679 | |||
Century Communities, Inc. 6.75%, 6/1/2027
|
360,000 | 379,134 | |||
Charter Communications Operating LLC/Charter
Communications Operating Capital 2.30%, 2/1/2032
|
2,315,000 | 2,199,829 | |||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a)
|
415,000 | 444,262 | |||
CHS/Community Health Systems, Inc.: | |||||
4.75%, 2/15/2031 (a)
|
410,000 | 415,117 | |||
6.00%, 1/15/2029 (a)
|
455,000 | 487,355 | |||
6.88%, 4/15/2029 (a)
|
540,000 | 551,470 | |||
Cigna Corp. 4.90%, 12/15/2048
|
1,305,000 | 1,685,068 | |||
Citigroup, Inc. 3 Month USD LIBOR +
1.39%, 3.67%, 7/24/2028 (b)
|
3,235,000 | 3,489,142 | |||
Clarios Global L.P./Clarios US Finance Co.: | |||||
6.25%, 5/15/2026 (a)
|
396,000 | 414,909 | |||
8.50%, 5/15/2027 (a)
|
225,000 | 238,536 | |||
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (a)
|
390,000 | 396,185 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a)
|
145,000 | 153,846 | |||
Clear Channel Outdoor Holdings, Inc.: | |||||
7.50%, 6/1/2029 (a)
|
245,000 | 261,640 | |||
7.75%, 4/15/2028 (a)
|
80,000 | 85,929 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (a)
|
375,000 | 395,400 | |||
CNX Midstream Partners L.P. 4.75%, 4/15/2030 (a)
|
775,000 | 773,039 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (a)
|
375,000 | 390,004 | |||
Comcast Corp. 2.94%, 11/1/2056 (a)
|
1,826,000 | 1,739,356 | |||
CommScope Technologies LLC 5.00%, 3/15/2027 (a)
|
230,000 | 216,708 | |||
CommScope, Inc. 4.75%, 9/1/2029 (a)
|
470,000 | 467,688 | |||
Consolidated Communications, Inc. 5.00%, 10/1/2028 (a)
|
405,000 | 413,274 |
Security Description | Principal
Amount |
Value | |||
Constellation Brands, Inc.: | |||||
2.88%, 5/1/2030
|
$ 375,000 | $ 384,428 | |||
3.15%, 8/1/2029
|
1,380,000 | 1,453,802 | |||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a)
|
170,000 | 163,557 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a)
|
645,000 | 640,511 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a)
|
440,000 | 469,383 | |||
Coty, Inc.: | |||||
5.00%, 4/15/2026 (a)
|
410,000 | 422,509 | |||
6.50%, 4/15/2026 (a)
|
245,000 | 252,524 | |||
CQP Holdco L.P./BIP-V Chinook Holdco
LLC 5.50%, 6/15/2031 (a)
|
1,015,000 | 1,059,112 | |||
Crown Castle International Corp. 4.30%, 2/15/2029
|
1,605,000 | 1,791,485 | |||
CSC Holdings LLC: | |||||
4.63%, 12/1/2030 (a)
|
800,000 | 756,944 | |||
5.75%, 1/15/2030 (a)
|
810,000 | 809,887 | |||
CSI Compressco L.P./CSI Compressco Finance,
Inc. 7.50%, 4/1/2025 (a)
|
660,000 | 669,550 | |||
CSX Corp. 3.35%, 9/15/2049
|
1,585,000 | 1,686,123 | |||
CVR Partners L.P./CVR Nitrogen Finance
Corp. 6.13%, 6/15/2028 (a)
|
380,000 | 401,641 | |||
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025 (a)
|
325,000 | 333,528 | |||
Dana, Inc.: | |||||
4.25%, 9/1/2030
|
95,000 | 96,769 | |||
5.38%, 11/15/2027
|
125,000 | 131,248 | |||
5.63%, 6/15/2028
|
300,000 | 318,744 | |||
DaVita, Inc. 4.63%, 6/1/2030 (a)
|
320,000 | 328,493 | |||
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028 (a)
|
455,000 | 473,723 | |||
Diamond BC B.V. 4.63%, 10/1/2029 (a)
|
325,000 | 322,355 | |||
Diamond Sports Group LLC/Diamond Sports Finance
Co. 5.38%, 8/15/2026 (a)
|
385,000 | 191,973 | |||
Directv Financing LLC/Directv Financing
Co-Obligor, Inc. 5.88%, 8/15/2027 (a)
|
485,000 | 496,824 | |||
Discover Financial Services 4.10%, 2/9/2027
|
1,635,000 | 1,780,139 |
Security Description | Principal
Amount |
Value | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029
|
$ 345,000 | $ 313,909 | |||
5.75%, 12/1/2028 (a)
|
405,000 | 409,496 | |||
5.88%, 11/15/2024
|
380,000 | 390,233 | |||
Dollar General Corp. 3.50%, 4/3/2030
|
1,630,000 | 1,763,790 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025
|
1,603,000 | 1,722,824 | |||
Duke Energy Corp. 2.65%, 9/1/2026
|
2,600,000 | 2,698,644 | |||
Dun & Bradstreet Corp. 5.00%, 12/15/2029 (a)
|
1,005,000 | 1,027,793 | |||
DuPont de Nemours, Inc. 5.42%, 11/15/2048
|
700,000 | 978,670 | |||
Embarq Corp. 8.00%, 6/1/2036
|
285,000 | 319,371 | |||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a)
|
420,000 | 402,822 | |||
Enable Midstream Partners L.P. 5.00%, 5/15/2044
|
740,000 | 802,545 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028
|
185,000 | 190,517 | |||
4.63%, 4/1/2031
|
455,000 | 464,391 | |||
4.75%, 2/1/2030
|
60,000 | 61,889 | |||
Endo Luxembourg Finance Co. I Sarl/Endo US,
Inc. 6.13%, 4/1/2029 (a)
|
475,000 | 465,068 | |||
Endure Digital, Inc. 6.00%, 2/15/2029 (a)
|
490,000 | 457,263 | |||
Energy Transfer L.P. 4.75%, 1/15/2026
|
805,000 | 880,453 | |||
Enterprise Products Operating LLC 3.75%, 2/15/2025
|
1,655,000 | 1,762,227 | |||
Envision Helthcare Corp. 8.75%, 10/15/2026 (a)
|
225,000 | 129,623 | |||
EQM Midstream Partners L.P.: | |||||
4.75%, 1/15/2031 (a)
|
395,000 | 417,468 | |||
6.50%, 7/1/2027 (a)
|
135,000 | 151,451 | |||
EQT Corp. 7.50%, 2/1/2030
|
370,000 | 475,010 | |||
Essential Utilities, Inc. 3.35%, 4/15/2050
|
1,710,000 | 1,774,484 | |||
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029 (a)
|
740,000 | 740,644 |
Security Description | Principal
Amount |
Value | |||
Everi Holdings, Inc. 5.00%, 7/15/2029 (a)
|
$ 460,000 | $ 466,702 | |||
Expedia Group, Inc.: | |||||
3.80%, 2/15/2028
|
2,115,000 | 2,258,164 | |||
5.00%, 2/15/2026
|
1,200,000 | 1,338,492 | |||
Exterran Energy Solutions L.P./EES Finance
Corp. 8.13%, 5/1/2025
|
190,000 | 176,700 | |||
Exxon Mobil Corp. 2.99%, 3/19/2025
|
1,135,000 | 1,193,872 | |||
FedEx Corp. 4.75%, 11/15/2045
|
665,000 | 811,879 | |||
Ferrellgas L.P./Ferrellgas Finance
Corp. 5.38%, 4/1/2026 (a)
|
330,000 | 320,509 | |||
First Student Bidco, Inc./First Transit Parent,
Inc. 4.00%, 7/31/2029 (a)
|
340,000 | 329,892 | |||
Ford Motor Co. 3.25%, 2/12/2032
|
1,275,000 | 1,305,281 | |||
Ford Motor Credit Co. LLC: | |||||
3.63%, 6/17/2031
|
545,000 | 573,945 | |||
3 Month USD LIBOR + 1.235%, 1.39%, 2/15/2023
(b)
|
3,695,000 | 3,685,984 | |||
Series GMTN, 4.39%, 1/8/2026
|
600,000 | 645,696 | |||
Fortress Transportation and Infrastructure
Investors LLC 5.50%, 5/1/2028 (a)
|
500,000 | 509,250 | |||
Frontier Communications Holdings LLC: | |||||
5.00%, 5/1/2028 (a)
|
250,000 | 257,930 | |||
5.88%, 10/15/2027 (a)
|
125,000 | 132,208 | |||
6.00%, 1/15/2030 (a)
|
435,000 | 436,849 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a)
|
165,000 | 174,167 | |||
Gap, Inc. 3.88%, 10/1/2031 (a)
|
405,000 | 400,217 | |||
GCI LLC 4.75%, 10/15/2028 (a)
|
360,000 | 369,104 | |||
General Motors Financial Co., Inc. 2.40%, 10/15/2028
|
930,000 | 927,387 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a)
|
1,543,000 | 1,635,750 | |||
Glatfelter Corp. 4.75%, 11/15/2029 (a)
|
425,000 | 439,242 | |||
Golden Entertainment, Inc. 7.63%, 4/15/2026 (a)
|
315,000 | 329,808 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024 (a)
|
740,000 | 740,141 |
Security Description | Principal
Amount |
Value | |||
Goldman Sachs Group, Inc. Series ., 3 Month USD
LIBOR + 1.17%, 1.33%, 5/15/2026 (b)
|
$ 3,440,000 | $ 3,506,770 | |||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 (a)
|
405,000 | 440,008 | |||
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a)
|
195,000 | 198,141 | |||
Griffon Corp. 5.75%, 3/1/2028
|
960,000 | 998,544 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a)
|
210,000 | 209,761 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a)
|
225,000 | 223,265 | |||
Guardian Life Global Funding 1.25%, 5/13/2026 (a)
|
1,810,000 | 1,786,542 | |||
Gulfport Energy Corp. 8.00%, 5/17/2026 (a)
|
375,000 | 410,250 | |||
Halliburton Co. 2.92%, 3/1/2030
|
827,000 | 854,109 | |||
HCA, Inc. 4.13%, 6/15/2029
|
870,000 | 959,253 | |||
Helios Software Holdings, Inc./ION Corporate
Solutions Finance Sarl 4.63%, 5/1/2028 (a)
|
640,000 | 629,658 | |||
Hertz Corp. 5.00%, 12/1/2029 (a)
|
345,000 | 345,904 | |||
Hess Midstream Operations L.P.: | |||||
4.25%, 2/15/2030 (a)
|
750,000 | 747,060 | |||
5.13%, 6/15/2028 (a)
|
365,000 | 382,757 | |||
5.63%, 2/15/2026 (a)
|
455,000 | 470,657 | |||
Hexion, Inc. 7.88%, 7/15/2027 (a)
|
300,000 | 317,451 | |||
H-Food Holdings LLC/Hearthside Finance Co.,
Inc. 8.50%, 6/1/2026 (a)
|
450,000 | 451,629 | |||
Hightower Holding LLC 6.75%, 4/15/2029 (a)
|
315,000 | 323,215 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co.: | |||||
5.75%, 2/1/2029 (a)
|
170,000 | 175,132 | |||
6.25%, 11/1/2028 (a)
|
540,000 | 574,906 | |||
Hilton Domestic Operating Co., Inc.: | |||||
5.38%, 5/1/2025 (a)
|
25,000 | 25,993 | |||
5.75%, 5/1/2028 (a)
|
25,000 | 26,717 |
Security Description | Principal
Amount |
Value | |||
Home Depot, Inc. 3.90%, 6/15/2047
|
$ 1,245,000 | $ 1,462,240 | |||
Hyundai Capital America 3.00%, 2/10/2027 (a)
|
1,745,000 | 1,806,703 | |||
IAA, Inc. 5.50%, 6/15/2027 (a)
|
570,000 | 591,301 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
5.25%, 5/15/2027
|
385,000 | 395,780 | |||
6.25%, 5/15/2026
|
715,000 | 744,465 | |||
iHeartCommunications, Inc.: | |||||
5.25%, 8/15/2027 (a)
|
300,000 | 311,964 | |||
8.38%, 5/1/2027
|
75,000 | 79,148 | |||
II-VI, Inc. 5.00%, 12/15/2029 (a)
|
605,000 | 618,473 | |||
Illuminate Buyer LLC/Illuminate Holdings IV,
Inc. 9.00%, 7/1/2028 (a)
|
510,000 | 543,390 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (a)
|
435,000 | 451,948 | |||
Invitation Homes Operating Partnership
L.P. 2.70%, 1/15/2034
|
1,840,000 | 1,804,838 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (a)
|
185,000 | 191,621 | |||
REIT, 4.50%, 2/15/2031 (a)
|
260,000 | 262,085 | |||
iStar, Inc. 4.75%, 10/1/2024
|
305,000 | 318,545 | |||
Jazz Securities DAC 4.38%, 1/15/2029 (a)
|
290,000 | 300,194 | |||
Jeld-Wen, Inc. 4.63%, 12/15/2025 (a)
|
610,000 | 616,521 | |||
JPMorgan Chase & Co. SOFR + 1.25%, 2.58%, 4/22/2032 (b)
|
1,360,000 | 1,376,946 | |||
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a)
|
480,000 | 486,082 | |||
Kraft Heinz Foods Co.: | |||||
5.00%, 7/15/2035
|
310,000 | 379,437 | |||
5.20%, 7/15/2045
|
1,195,000 | 1,523,314 | |||
Kraton Polymers LLC/Kraton Polymers Capital
Corp. 4.25%, 12/15/2025 (a)
|
800,000 | 827,224 | |||
LBM Acquisition LLC 6.25%, 1/15/2029 (a)
|
320,000 | 318,752 | |||
LD Holdings Group LLC: | |||||
6.13%, 4/1/2028 (a)
|
60,000 | 56,642 | |||
6.50%, 11/1/2025 (a)
|
230,000 | 226,989 |
Security Description | Principal
Amount |
Value | |||
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (a)
|
$ 425,000 | $ 429,552 | |||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a)
|
410,000 | 414,686 | |||
Legends Hospitality Holding Co. LLC/Legends
Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026 (a)
|
340,000 | 342,764 | |||
Level 3 Financing, Inc.: | |||||
4.25%, 7/1/2028 (a)
|
300,000 | 298,956 | |||
4.63%, 9/15/2027 (a)
|
460,000 | 469,918 | |||
LFS Topco LLC 5.88%, 10/15/2026 (a)
|
395,000 | 409,611 | |||
Lifepoint Health, Inc. 5.38%, 1/15/2029 (a)
|
285,000 | 283,062 | |||
Ligado Networks LLC PIK, 15.50%, 11/1/2023 (a)
|
350,187 | 284,558 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a)
|
450,000 | 459,878 | |||
Live Nation Entertainment, Inc.: | |||||
5.63%, 3/15/2026 (a)
|
960,000 | 991,776 | |||
6.50%, 5/15/2027 (a)
|
185,000 | 202,492 | |||
LogMeIn, Inc. 5.50%, 9/1/2027 (a)
|
175,000 | 176,859 | |||
LSF9 Atlantis Holdings LLC/Victra Finance
Corp. 7.75%, 2/15/2026 (a)
|
545,000 | 550,821 | |||
Lumen Technologies, Inc.: | |||||
4.00%, 2/15/2027 (a)
|
355,000 | 360,162 | |||
5.13%, 12/15/2026 (a)
|
390,000 | 405,760 | |||
M/I Homes, Inc. 4.95%, 2/1/2028
|
365,000 | 380,027 | |||
Madison IAQ LLC: | |||||
4.13%, 6/30/2028 (a)
|
340,000 | 341,792 | |||
5.88%, 6/30/2029 (a)
|
330,000 | 330,033 | |||
Marriott International, Inc. Series HH, 2.85%, 4/15/2031
|
1,760,000 | 1,755,811 | |||
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050 (a)
|
1,685,000 | 1,777,422 | |||
Match Group Holdings II LLC: | |||||
4.63%, 6/1/2028 (a)
|
165,000 | 171,610 | |||
5.00%, 12/15/2027 (a)
|
775,000 | 808,937 | |||
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a)
|
320,000 | 316,998 |
Security Description | Principal
Amount |
Value | |||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a)
|
$ 635,000 | $ 622,211 | |||
MGM Growth Properties Operating Partnership
L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%, 2/1/2027
|
735,000 | 833,387 | |||
MGM Resorts International: | |||||
5.75%, 6/15/2025
|
453,000 | 488,651 | |||
6.75%, 5/1/2025
|
420,000 | 440,597 | |||
Michaels Cos., Inc.: | |||||
5.25%, 5/1/2028 (a)
|
490,000 | 489,378 | |||
7.88%, 5/1/2029 (a)
|
185,000 | 182,388 | |||
Midwest Gaming Borrower LLC/Midwest Gaming
Finance Corp. 4.88%, 5/1/2029 (a)
|
265,000 | 268,930 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a)
|
190,000 | 194,026 | |||
ModivCare, Inc. 5.88%, 11/15/2025 (a)
|
260,000 | 273,762 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (a)
|
675,000 | 873,031 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b)
|
3,670,000 | 3,532,632 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a)
|
345,000 | 323,044 | |||
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029 (a)
|
455,000 | 462,084 | |||
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (a)
|
254,000 | 241,452 | |||
MPLX L.P. 1.75%, 3/1/2026
|
865,000 | 859,049 | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029
|
285,000 | 300,595 | |||
Nabors Industries, Inc. 7.38%, 5/15/2027 (a)
|
255,000 | 263,724 | |||
Nabors Industries, Ltd. 7.25%, 1/15/2026 (a)
|
305,000 | 281,869 | |||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a)
|
620,000 | 619,318 | |||
Navient Corp. 5.00%, 3/15/2027
|
285,000 | 290,572 | |||
NCL Corp., Ltd.: | |||||
3.63%, 12/15/2024 (a)
|
585,000 | 553,673 | |||
5.88%, 3/15/2026 (a)
|
395,000 | 395,628 |
Security Description | Principal
Amount |
Value | |||
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a)
|
$ 115,000 | $ 118,922 | |||
NetApp, Inc. 1.88%, 6/22/2025
|
820,000 | 828,971 | |||
Netflix, Inc.: | |||||
5.38%, 11/15/2029 (a)
|
240,000 | 284,712 | |||
5.88%, 2/15/2025
|
410,000 | 460,123 | |||
NextEra Energy Capital Holdings, Inc. 1.88%, 1/15/2027
|
1,035,000 | 1,041,469 | |||
NFP Corp.: | |||||
4.88%, 8/15/2028 (a)
|
280,000 | 283,856 | |||
6.88%, 8/15/2028 (a)
|
360,000 | 361,415 | |||
NGL Energy Operating LLC/NGL Energy Finance
Corp. 7.50%, 2/1/2026 (a)
|
655,000 | 674,991 | |||
NGL Energy Partners L.P./NGL Energy Finance
Corp. 7.50%, 4/15/2026
|
360,000 | 309,503 | |||
NRG Energy, Inc. 3.63%, 2/15/2031 (a)
|
545,000 | 533,855 | |||
NuStar Logistics L.P. 6.00%, 6/1/2026
|
510,000 | 556,282 | |||
Oasis Petroleum, Inc. 6.38%, 6/1/2026 (a)
|
545,000 | 572,588 | |||
Occidental Petroleum Corp.: | |||||
3.50%, 8/15/2029
|
685,000 | 703,139 | |||
6.13%, 1/1/2031
|
540,000 | 655,463 | |||
6.45%, 9/15/2036
|
220,000 | 280,509 | |||
6.60%, 3/15/2046
|
215,000 | 279,046 | |||
6.63%, 9/1/2030
|
650,000 | 804,615 | |||
8.00%, 7/15/2025
|
255,000 | 296,397 | |||
Olympus Water US Holding Corp. 4.25%, 10/1/2028 (a)
|
600,000 | 591,546 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030
|
1,770,000 | 1,771,204 | |||
OneMain Finance Corp.: | |||||
5.38%, 11/15/2029
|
250,000 | 271,843 | |||
6.63%, 1/15/2028
|
125,000 | 140,790 | |||
7.13%, 3/15/2026
|
324,000 | 370,617 | |||
Option Care Health, Inc. 4.38%, 10/31/2029 (a)
|
470,000 | 471,034 | |||
Oracle Corp. 3.60%, 4/1/2050
|
1,820,000 | 1,782,362 | |||
Organon & Co./Organon Foreign Debt Co-Issuer
BV 5.13%, 4/30/2031 (a)
|
570,000 | 595,462 |
Security Description | Principal
Amount |
Value | |||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA: | |||||
7.25%, 2/1/2028 (a)
|
$ 351,000 | $ 377,121 | |||
7.38%, 6/1/2025 (a)
|
39,000 | 41,152 | |||
Ovintiv, Inc. 7.38%, 11/1/2031
|
385,000 | 506,879 | |||
Pacific Gas & Electric Co.: | |||||
1.37%, 3/10/2023
|
905,000 | 899,642 | |||
2.50%, 2/1/2031
|
980,000 | 933,607 | |||
Par Petroleum LLC/Petroleum Finance
Corp. 7.75%, 12/15/2025 (a)
|
650,000 | 657,306 | |||
Park Intermediate Holdings LLC/PK Domestic
Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029 (a)
|
290,000 | 297,064 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028
|
185,000 | 119,112 | |||
Peabody Energy Corp. PIK, 8.50%, 12/31/2024 (a)
|
169,761 | 163,055 | |||
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a)
|
285,000 | 294,978 | |||
Penn National Gaming, Inc.: | |||||
4.13%, 7/1/2029 (a)
|
310,000 | 301,766 | |||
5.63%, 1/15/2027 (a)
|
620,000 | 637,906 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (a)
|
495,000 | 475,348 | |||
5.38%, 10/15/2025 (a)
|
465,000 | 477,290 | |||
Penske Truck Leasing Co. L.P./PTL Finance
Corp. 4.20%, 4/1/2027 (a)
|
765,000 | 842,357 | |||
Performance Food Group, Inc.: | |||||
4.25%, 8/1/2029 (a)
|
380,000 | 377,002 | |||
5.50%, 10/15/2027 (a)
|
460,000 | 480,295 | |||
PetSmart, Inc./PetSmart Finance Corp.: | |||||
4.75%, 2/15/2028 (a)
|
825,000 | 848,116 | |||
7.75%, 2/15/2029 (a)
|
500,000 | 545,855 | |||
PIC AU Holdings LLC/PIC AU Holdings
Corp. 10.00%, 12/31/2024 (a)
|
188,000 | 193,377 | |||
Pike Corp. 5.50%, 9/1/2028 (a)
|
825,000 | 827,706 | |||
Pioneer Natural Resources Co. 1.13%, 1/15/2026
|
1,055,000 | 1,026,167 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (a)
|
530,000 | 537,902 | |||
5.50%, 12/15/2029 (a)
|
140,000 | 147,165 |
Security Description | Principal
Amount |
Value | |||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | |||||
5.63%, 9/1/2029 (a)
|
$ 485,000 | $ 481,799 | |||
5.88%, 9/1/2031 (a)
|
480,000 | 482,102 | |||
Prime Security Services Borrower LLC/Prime
Finance, Inc. 6.25%, 1/15/2028 (a)
|
530,000 | 553,346 | |||
Qorvo, Inc. 1.75%, 12/15/2024 (a)
|
620,000 | 620,471 | |||
Quanta Services, Inc. 2.35%, 1/15/2032
|
1,830,000 | 1,780,315 | |||
Radiate Holdco LLC/Radiate Finance, Inc.: | |||||
4.50%, 9/15/2026 (a)
|
300,000 | 304,041 | |||
6.50%, 9/15/2028 (a)
|
115,000 | 115,554 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a)
|
440,000 | 462,268 | |||
Rattler Midstream L.P. 5.63%, 7/15/2025 (a)
|
295,000 | 306,948 | |||
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029 (a)
|
165,000 | 165,149 | |||
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||||
5.75%, 1/15/2029 (a)
|
295,000 | 303,092 | |||
7.63%, 6/15/2025 (a)
|
285,000 | 302,864 | |||
Rent-A-Center, Inc. 6.38%, 2/15/2029 (a)
|
330,000 | 344,289 | |||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a)
|
205,000 | 209,424 | |||
Royalty Pharma PLC 3.30%, 9/2/2040
|
1,815,000 | 1,809,501 | |||
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a)
|
870,000 | 883,198 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027
|
1,285,000 | 1,446,255 | |||
Sabre GLBL, Inc. 9.25%, 4/15/2025 (a)
|
210,000 | 237,279 | |||
Santander Holdings USA, Inc. 3.40%, 1/18/2023
|
1,770,000 | 1,809,028 | |||
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026 (a)
|
475,000 | 496,907 | |||
Scientific Games International, Inc. 8.25%, 3/15/2026 (a)
|
225,000 | 237,197 | |||
SCIH Salt Holdings, Inc. 6.63%, 5/1/2029 (a)
|
145,000 | 136,396 |
Security Description | Principal
Amount |
Value | |||
Scotts Miracle-Gro Co. 4.50%, 10/15/2029
|
$ 440,000 | $ 458,093 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a)
|
280,000 | 294,213 | |||
Seagate HDD Cayman 3.38%, 7/15/2031
|
405,000 | 394,243 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (a)
|
605,000 | 635,583 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a)
|
860,000 | 911,067 | |||
Sherwin-Williams Co. 2.90%, 3/15/2052
|
365,000 | 356,875 | |||
Silgan Holdings, Inc. 4.13%, 2/1/2028
|
570,000 | 583,879 | |||
Sirius XM Radio, Inc.: | |||||
4.13%, 7/1/2030 (a)
|
510,000 | 511,367 | |||
5.50%, 7/1/2029 (a)
|
340,000 | 366,768 | |||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a)
|
710,000 | 717,583 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a)
|
1,620,000 | 1,741,208 | |||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a)
|
515,000 | 518,605 | |||
Southern Co. Series A, 3.70%, 4/30/2030
|
1,580,000 | 1,717,365 | |||
Southwestern Energy Co.: | |||||
4.75%, 2/1/2032
|
430,000 | 453,263 | |||
5.38%, 2/1/2029
|
410,000 | 434,321 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a)
|
370,000 | 388,988 | |||
Sprint Capital Corp. 6.88%, 11/15/2028
|
1,270,000 | 1,606,753 | |||
Sprint Corp. 7.13%, 6/15/2024
|
1,355,000 | 1,522,058 | |||
SRS Distribution, Inc.: | |||||
4.63%, 7/1/2028 (a)
|
315,000 | 317,596 | |||
6.13%, 7/1/2029 (a)
|
495,000 | 504,217 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a)
|
240,000 | 246,490 | |||
10.75%, 4/15/2027 (a)
|
150,000 | 141,290 | |||
Station Casinos LLC 4.63%, 12/1/2031 (a)
|
295,000 | 297,387 |
Security Description | Principal
Amount |
Value | |||
Suburban Propane Partners L.P./Suburban Energy
Finance Corp. 5.00%, 6/1/2031 (a)
|
$ 595,000 | $ 603,431 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a)
|
510,000 | 507,822 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029
|
150,000 | 152,469 | |||
6.00%, 4/15/2027
|
300,000 | 312,558 | |||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a)
|
585,000 | 561,892 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027
|
885,000 | 940,525 | |||
3.30%, 2/15/2050
|
810,000 | 821,486 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
4.88%, 2/1/2031
|
650,000 | 706,160 | |||
6.50%, 7/15/2027
|
200,000 | 214,288 | |||
Tenet Healthcare Corp.: | |||||
4.25%, 6/1/2029 (a)
|
630,000 | 641,290 | |||
6.13%, 10/1/2028 (a)
|
695,000 | 734,344 | |||
6.25%, 2/1/2027 (a)
|
610,000 | 631,228 | |||
Tenneco, Inc. 5.13%, 4/15/2029 (a)
|
380,000 | 374,562 | |||
Terrier Media Buyer, Inc. 8.88%, 12/15/2027 (a)
|
155,000 | 167,586 | |||
Textron, Inc. 2.45%, 3/15/2031
|
2,910,000 | 2,878,601 | |||
Thermo Fisher Scientific, Inc. 1.22%, 10/18/2024
|
3,485,000 | 3,482,351 | |||
T-Mobile USA, Inc.: | |||||
2.25%, 2/15/2026
|
2,820,000 | 2,823,215 | |||
2.88%, 2/15/2031
|
185,000 | 182,647 | |||
3.38%, 4/15/2029 (a)
|
375,000 | 382,625 | |||
TMS International Corp. 6.25%, 4/15/2029 (a)
|
220,000 | 219,160 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a)
|
150,000 | 159,671 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027
|
360,000 | 371,016 | |||
6.25%, 3/15/2026 (a)
|
675,000 | 701,413 | |||
8.00%, 12/15/2025 (a)
|
90,000 | 94,934 |
Security Description | Principal
Amount |
Value | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a)
|
$ 585,000 | $ 567,491 | |||
Transocean Proteus, Ltd. 6.25%, 12/1/2024 (a)
|
250,000 | 247,473 | |||
Transocean, Inc. 11.50%, 1/30/2027 (a)
|
141,000 | 138,346 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (a)
|
410,000 | 411,681 | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a)
|
690,000 | 667,078 | |||
Triumph Group, Inc.: | |||||
6.25%, 9/15/2024 (a)
|
160,000 | 160,974 | |||
7.75%, 8/15/2025
|
282,000 | 280,593 | |||
Tronox, Inc. 4.63%, 3/15/2029 (a)
|
100,000 | 99,750 | |||
Uber Technologies, Inc. 4.50%, 8/15/2029 (a)
|
380,000 | 387,885 | |||
Unifrax Escrow Issuer Corp.: | |||||
5.25%, 9/30/2028 (a)
|
590,000 | 597,340 | |||
7.50%, 9/30/2029 (a)
|
50,000 | 50,758 | |||
United Airlines, Inc.: | |||||
4.38%, 4/15/2026 (a)
|
145,000 | 151,293 | |||
4.63%, 4/15/2029 (a)
|
490,000 | 508,208 | |||
United Natural Foods, Inc. 6.75%, 10/15/2028 (a)
|
455,000 | 487,837 | |||
United Rentals North America, Inc.: | |||||
3.88%, 2/15/2031
|
65,000 | 66,010 | |||
4.00%, 7/15/2030
|
360,000 | 371,689 | |||
5.25%, 1/15/2030
|
40,000 | 43,304 | |||
Uniti Group L.P./Uniti Group Finance, Inc./CSL
Capital LLC 6.50%, 2/15/2029 (a)
|
325,000 | 323,765 | |||
Univision Communications, Inc. 4.50%, 5/1/2029 (a)
|
325,000 | 329,111 | |||
US Foods, Inc.: | |||||
4.63%, 6/1/2030 (a)
|
290,000 | 293,553 | |||
4.75%, 2/15/2029 (a)
|
340,000 | 345,773 | |||
USA Compression Partners L.P./USA Compression
Finance Corp. 6.88%, 9/1/2027
|
895,000 | 945,335 | |||
Valero Energy Corp. 2.85%, 4/15/2025
|
1,260,000 | 1,308,989 | |||
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031 (a)
|
600,000 | 640,206 |
Security Description | Principal
Amount |
Value | |||
Verizon Communications, Inc. 1.75%, 1/20/2031
|
$ 3,015,000 | $ 2,853,637 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a)
|
760,000 | 803,092 | |||
ViaSat, Inc. 6.50%, 7/15/2028 (a)
|
440,000 | 440,911 | |||
Viatris, Inc. 1.65%, 6/22/2025
|
540,000 | 538,418 | |||
VICI Properties L.P./VICI Note Co., Inc.
REIT, 3.75%, 2/15/2027 (a)
|
70,000 | 72,328 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a)
|
640,000 | 653,075 | |||
Viking Cruises, Ltd.: | |||||
5.88%, 9/15/2027 (a)
|
955,000 | 908,587 | |||
13.00%, 5/15/2025 (a)
|
125,000 | 141,455 | |||
Viper Energy Partners L.P. 5.38%, 11/1/2027 (a)
|
365,000 | 377,735 | |||
Vizient, Inc. 6.25%, 5/15/2027 (a)
|
380,000 | 395,770 | |||
VMware, Inc. 2.20%, 8/15/2031
|
1,750,000 | 1,720,092 | |||
Vontier Corp. 1.80%, 4/1/2026 (a)
|
1,735,000 | 1,705,071 | |||
Vornado Realty L.P. 2.15%, 6/1/2026
|
705,000 | 706,509 | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a)
|
555,000 | 583,133 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a)
|
375,000 | 374,959 | |||
Weatherford International, Ltd.: | |||||
6.50%, 9/15/2028 (a)
|
240,000 | 254,052 | |||
8.63%, 4/30/2030 (a)
|
200,000 | 206,228 | |||
11.00%, 12/1/2024 (a)
|
26,000 | 26,798 | |||
Wells Fargo & Co. Series MTN, 3 Month USD
LIBOR + 1.31%, 3.58%, 5/22/2028 (b)
|
1,645,000 | 1,768,934 | |||
Welltower, Inc. 2.05%, 1/15/2029
|
1,755,000 | 1,731,027 | |||
Western Midstream Operating L.P. 5.30%, 2/1/2030
|
395,000 | 433,746 | |||
Wheel Pros, Inc. 6.50%, 5/15/2029 (a)
|
245,000 | 236,307 | |||
Williams Cos., Inc. 3.75%, 6/15/2027
|
815,000 | 880,559 |
Security Description | Principal
Amount |
Value | |||
Wolverine Escrow LLC 9.00%, 11/15/2026 (a)
|
$ 287,000 | $ 272,311 | |||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a)
|
610,000 | 626,659 | |||
WRKCo, Inc. 3.75%, 3/15/2025
|
1,635,000 | 1,744,708 | |||
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (a)
|
380,000 | 391,567 | |||
XHR L.P.: | |||||
4.88%, 6/1/2029 (a)
|
425,000 | 433,045 | |||
6.38%, 8/15/2025 (a)
|
265,000 | 281,356 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (a)
|
375,000 | 405,773 | |||
Zayo Group Holdings, Inc.: | |||||
4.00%, 3/1/2027 (a)
|
455,000 | 448,453 | |||
6.13%, 3/1/2028 (a)
|
215,000 | 212,160 | |||
295,896,724 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost
$427,207,840)
|
431,812,852 | ||||
ASSET-BACKED SECURITIES — 6.3% | |||||
Aaset Trust Series 2019-2, Class A, 3.38%, 10/16/2039 (a)
|
1,678,087 | 1,597,690 | |||
AccessLex Institute Series 2004-2, Class A3, 3
Month USD LIBOR + 0.19%, 0.31%, 10/25/2024 (b)
|
612,850 | 607,147 | |||
ACE Securities Corp. Home Equity Loan Trust
Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 0.38%, 2/25/2037 (b)
|
3,102,674 | 1,696,124 | |||
AMSR Trust: | |||||
Series 2021-SFR2, Class E1, ABS, 2.48, 8/17/2038
(a)
|
3,000,000 | 2,910,566 | |||
Series 2021-SFR2, Class F1, ABS, 3.28, 8/17/2038
(a)
|
3,000,000 | 2,887,311 | |||
Series 2021-SFR2, Class F2, ABS, 3.67, 8/17/2038
(a)
|
2,000,000 | 1,956,310 | |||
Argent Securities Trust Series 2006-M1, Class
A2B, ABS, 1 Month USD LIBOR + 0.18%, 0.28%, 7/25/2036 (b)
|
18,804,311 | 7,516,921 | |||
Bain Capital Credit CLO 2016-2, Ltd. Series
2016-2A, Class DRR, ABS, 3 Month USD LIBOR + 3.85%, 3.97%, 1/15/2029 (a) (b)
|
1,000,000 | 992,700 | |||
Bain Capital Credit CLO, Ltd.: | |||||
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR
+ 3.10%, 3.19, 10/21/2034 (a) (b)
|
1,000,000 | 1,000,000 |
Security Description | Principal
Amount |
Value | |||
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR +
3.55%, 3.68, 1/20/2032 (a) (b)
|
$ 2,500,000 | $ 2,500,395 | |||
Blackbird Capital Aircraft Series 2021-1A, Class
B, ABS, 3.45%, 7/15/2046 (a)
|
4,895,833 | 4,835,470 | |||
BNC Mortgage Loan Trust Series 2006-1, Class A1,
ABS, 1 Month USD LIBOR + 0.36%, 0.46%, 10/25/2036 (b)
|
19,140,807 | 15,157,322 | |||
Canyon Capital CLO, Ltd.: | |||||
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR
+ 3.00%, 3.12, 7/15/2030 (a) (b)
|
1,000,000 | 999,991 | |||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR +
3.10%, 3.22, 4/15/2034 (a) (b)
|
2,000,000 | 1,996,982 | |||
CARLYLE US CLO 2021-1, Ltd. Series 2021-1A, Class
D, ABS, 3 Month USD LIBOR + 6.00%, 6.12%, 4/15/2034 (a) (b)
|
1,000,000 | 968,235 | |||
CIFC Funding 2017-I, Ltd. Series 2017-1A, Class
D, ABS, 3 Month USD LIBOR + 3.50%, 3.63%, 4/23/2029 (a) (b)
|
1,000,000 | 991,500 | |||
CIFC Funding 2021-I, Ltd. Series 2021-1A, Class
E, ABS, 3 Month USD LIBOR + 6.00%, 6.12%, 4/25/2033 (a) (b)
|
500,000 | 489,783 | |||
CIFC Funding, Ltd. Series 2013-1A, Class CR, ABS,
3 Month USD LIBOR + 3.55%, 3.67%, 7/16/2030 (a) (b)
|
1,000,000 | 987,500 | |||
CLNC, Ltd. Series 2019-FL1, Class A, SOFR30A +
1.36%, 1.41%, 8/20/2035 (a) (b)
|
2,050,000 | 2,049,319 | |||
Dryden 33 Senior Loan Fund Series 2014-33A, Class
DR3, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 4/15/2029 (a) (b)
|
2,000,000 | 2,005,452 | |||
Dryden 68 CLO, Ltd. Series 2019-68A, Class DR,
ABS, 3 Month USD LIBOR + 3.35%, 3.47%, 7/15/2035 (a) (b)
|
1,500,000 | 1,497,734 | |||
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1,
ABS, 3 Month USD LIBOR + 3.00%, 3.13%, 1/20/2034 (a) (b)
|
1,500,000 | 1,498,793 | |||
Exeter Automobile Receivables Trust 2021-1: | |||||
Series 2021-1A, Class D, ABS, 1.08,
11/16/2026
|
1,000,000 | 994,055 | |||
Series 2021-1A, Class E, ABS, 2.21, 2/15/2028
(a)
|
1,500,000 | 1,503,426 | |||
First Franklin Mortgage Loan Trust Series
2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 0.24%, 3/25/2037 (b)
|
10,068,739 | 6,417,582 | |||
FirstKey Homes Trust: | |||||
Series 2020-SFR2, Class D, ABS, 1.97, 10/19/2037
(a)
|
2,000,000 | 1,944,741 |
Security Description | Principal
Amount |
Value | |||
Series 2020-SFR2, Class E, 2.67, 10/19/2037
(a)
|
$ 2,000,000 | $ 1,984,664 | |||
FREED ABS Trust 2021-2 Series 2021-2, Class C,
ABS, 1.94%, 6/19/2028 (a)
|
4,750,000 | 4,754,492 | |||
FS RIALTO Series 2021-FL2, Class A, ABS, 1 Month
USD LIBOR + 1.22%, 1.33%, 4/16/2028 (a) (b)
|
2,000,000 | 1,993,032 | |||
GAIA Aviation, Ltd. Series 2019-1, Class
A, 3.97%, 12/15/2044 (a) (e)
|
1,289,628 | 1,257,180 | |||
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D,
ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 7/15/2031 (a) (b)
|
2,100,000 | 2,089,819 | |||
GoodLeap Sustainable Home Solutions Trust Series
2021-5CS, Class C, 3.50%, 10/20/2048 (a)
|
3,500,000 | 3,416,758 | |||
Greystone CRE Notes, Ltd. Series 2021-FL3, Class
B, ABS, 1 Month USD LIBOR + 1.65%, 1.76%, 7/15/2039 (a) (b)
|
2,925,000 | 2,914,485 | |||
GSAA Home Equity Trust Series 2007-10, Class
A2A, 6.50%, 11/25/2037
|
2,132,924 | 1,287,517 | |||
Hardee's Funding LLC Series 2018-1A, Class A23,
ABS, 5.71%, 6/20/2048 (a)
|
1,644,750 | 1,814,411 | |||
Hayfin Kingsland X, Ltd. Series 2019-1A, Class
B1R, ABS, 3 Month USD LIBOR + 1.85%, 1.99%, 4/28/2031 (a) (b)
|
2,000,000 | 1,998,990 | |||
Helios Issuer LLC Series 2021-A, Class A,
ABS, 1.80%, 2/20/2048 (a)
|
1,380,207 | 1,348,984 | |||
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a)
|
2,484,345 | 2,399,863 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD
LIBOR + 1.45%, 1.55%, 11/15/2038 (a) (b)
|
2,864,000 | 2,864,862 | |||
Lendingpoint Asset Securitization Trust Series
2021-A, Class C, ABS, 2.75%, 12/15/2028 (a)
|
4,000,000 | 3,887,592 | |||
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2,
Class AS, 1 Month USD LIBOR + 1.50%, 1.61%, 5/15/2036 (a) (b)
|
3,382,000 | 3,375,818 | |||
Madison Park Funding XI, Ltd. Series 2013-11A,
Class DR, ABS, 3 Month USD LIBOR + 3.25%, 3.37%, 7/23/2029 (a) (b)
|
1,000,000 | 977,200 | |||
Madison Park Funding XLVIII, Ltd. Series
2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 4/19/2033 (a) (b)
|
1,000,000 | 996,763 |
Security Description | Principal
Amount |
Value | |||
Magnetite CLO, Ltd. Series 2021-31A, Class E, 3
Month USD LIBOR + 6.00%, 6.11%, 7/15/2034 (a) (b)
|
$ 500,000 | $ 495,385 | |||
Magnetite Xxix, Ltd. Series 2021-29A, Class E,
ABS, 3 Month USD LIBOR + 5.75%, 5.87%, 1/15/2034 (a) (b)
|
500,000 | 496,036 | |||
Mosaic Solar Loan Trust Series 2018-1A, Class C,
ABS, PO, 0.00%, 6/22/2043 (a)
|
454,719 | 432,186 | |||
MVW 2021-1W LLC: | |||||
Series 2021-1WA, Class C, ABS, 1.94, 1/22/2041
(a)
|
1,277,105 | 1,250,732 | |||
Series 2021-1WA, Class D, ABS, 3.17, 1/22/2041
(a)
|
2,128,509 | 2,103,547 | |||
Neuberger Berman Loan Advisers Clo 40, Ltd.
Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 2.87%, 4/16/2033 (a) (b)
|
1,500,000 | 1,484,606 | |||
Octagon Investment Partners 27, Ltd. Series
2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 3.07%, 7/15/2030 (a) (b)
|
500,000 | 471,750 | |||
Octagon Investment Partners 30, Ltd. Series
2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 3.43%, 3/17/2030 (a) (b)
|
1,000,000 | 1,007,464 | |||
Octagon Investment Partners 31 LLC Series
2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 3.53%, 7/20/2030 (a) (b)
|
1,000,000 | 1,003,551 | |||
Octagon Investment Partners 40, Ltd. Series
2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 3.46%, 1/20/2035 (a) (b)
|
500,000 | 484,850 | |||
Octagon Investment Partners 49, Ltd. Series
2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 3.52%, 1/15/2033 (a) (b)
|
2,500,000 | 2,496,223 | |||
PMT Issuer Trust - FMSR Series 2021-FT1, Class A,
ABS, 1 Month USD LIBOR + 3.00%, 3.09%, 3/25/2026 (a) (b)
|
1,300,000 | 1,301,928 | |||
PRET LLC Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (e)
|
5,029,369 | 5,008,261 | |||
Renaissance Home Equity Loan Trust Series 2006-2,
Class AF4, ABS, 6.12%, 8/25/2036 (e)
|
8,773,135 | 5,013,865 | |||
Sapphire Aviation Finance II, Ltd. Series
2020-1A, Class A, 3.23%, 3/15/2040 (a)
|
1,232,922 | 1,197,044 | |||
Shenton Aircraft Investment I, Ltd. Series
2015-1A, Class A, ABS, 4.75%, 10/15/2042 (a)
|
2,235,750 | 2,049,764 |
Security Description | Principal
Amount |
Value | |||
SOFI Alternative Trust 2021-A Series 2021-A,
Class PT1, ABS, VRN, 1.48%, 3/15/2047 (a) (b)
|
$ 6,603,221 | $ 6,425,515 | |||
Sofi Alternative Trust 2021-B Series 2021-B,
Class PT1, ABS, VRN, 1.76%, 2/15/2047 (a) (b)
|
4,298,504 | 4,303,869 | |||
Sound Point Clo XII, Ltd. Series 2016-2A, Class
DR, ABS, 3 Month USD LIBOR + 3.85%, 3.98%, 10/20/2028 (a) (b)
|
1,000,000 | 984,300 | |||
Sound Point Clo XIV, Ltd. Series 2016-3A, Class
DR, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/23/2029 (a) (b)
|
1,000,000 | 1,001,665 | |||
Sound Point CLO XXIII Series 2019-2A, Class ER, 3
Month USD LIBOR + 6.47%, 6.59%, 7/15/2034 (a) (b)
|
1,000,000 | 968,310 | |||
Sound Point CLO XXVIII, Ltd. Series 2020-3A,
Class D, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/25/2032 (a) (b)
|
4,000,000 | 4,014,392 | |||
Sound Point CLO, Ltd. Series 2020-1A, Class DR, 3
Month USD LIBOR + 3.35%, 3.48%, 7/20/2034 (a) (b)
|
500,000 | 499,245 | |||
START Ireland Series 2019-1, Class A, 4.09%, 3/15/2044 (a)
|
589,127 | 585,470 | |||
Structured Asset Securities Corp. Mortgage Loan
Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 0.44%, 12/25/2036 (b)
|
1,050,088 | 1,030,988 | |||
Sunrun Demeter Issuer Series 2021-2A, Class
A, 2.27%, 1/30/2057 (a)
|
2,750,000 | 2,715,158 | |||
TIF Funding II LLC: | |||||
Series 2021-1A, Class A, ABS, 1.65, 2/20/2046
(a)
|
4,644,792 | 4,501,209 | |||
Series 2021-1A, Class B, ABS, 2.54, 2/20/2046
(a)
|
1,857,917 | 1,825,524 | |||
TPG Real Estate Finance Issuer, Ltd. Series
2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 1.31%, 3/15/2038 (a) (b)
|
200,000 | 199,875 | |||
Trimaran Cavu, Ltd. Series 2021-3A, Class D, ABS,
3 Month USD LIBOR + 3.78%, 3.88%, 1/18/2035 (a) (b)
|
1,500,000 | 1,500,000 | |||
TRTX Issuer, Ltd. Series 2019-FL3, Class AS,
SOFR30A + 1.56%, 1.61%, 10/15/2034 (a) (b)
|
3,527,000 | 3,523,695 | |||
Upstart Pass-Through Trust Series 2021-ST3, Class
A, ABS, 2.00%, 5/20/2027 (a)
|
3,888,214 | 3,868,001 | |||
Upstart Securitization Trust Series 2020-1, Class
C, ABS, 4.90%, 4/22/2030 (a)
|
2,000,000 | 2,039,192 |
Security Description | Principal
Amount |
Value | |||
US Auto Funding 2019-1 LLC Series 2019-1A, Class
D, ABS, 8.06%, 11/15/2025 (a)
|
$ 2,750,000 | $ 2,819,881 | |||
Venture 39 CLO, Ltd. Series 2020-39A, Class D,
ABS, 3 Month USD LIBOR + 4.25%, 4.37%, 4/15/2033 (a) (b)
|
1,750,000 | 1,742,475 | |||
VOLT XCVI LLC Series 2021-NPL5, Class A1,
CMO, 2.12%, 3/27/2051 (a) (e)
|
1,850,010 | 1,841,331 | |||
Voya CLO 2017-3, Ltd. Series 2017-3A, Class CR,
ABS, 3 Month USD LIBOR + 3.15%, 3.28%, 4/20/2034 (a) (b)
|
1,000,000 | 998,490 | |||
TOTAL ASSET-BACKED SECURITIES (Cost
$184,221,127)
|
181,051,256 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.1% | |||||
BRAZIL — 0.1% | |||||
Brazilian Government International Bond: | |||||
3.75%, 9/12/2031
|
3,000,000 | 2,825,640 | |||
5.63%, 2/21/2047
|
1,200,000 | 1,197,156 | |||
4,022,796 | |||||
CHILE — 0.2% | |||||
Chile Government International Bond: | |||||
2.55%, 1/27/2032
|
200,000 | 199,590 | |||
3.10%, 5/7/2041
|
1,800,000 | 1,768,500 | |||
3.10%, 1/22/2061
|
1,600,000 | 1,490,144 | |||
3.50%, 1/25/2050
|
1,300,000 | 1,354,834 | |||
4,813,068 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond: | |||||
3.13%, 4/15/2031
|
1,200,000 | 1,081,584 | |||
3.25%, 4/22/2032
|
1,800,000 | 1,621,296 | |||
4.13%, 5/15/2051
|
1,700,000 | 1,384,157 | |||
5.00%, 6/15/2045
|
900,000 | 812,106 | |||
4,899,143 | |||||
DOMINICAN REPUBLIC — 0.1% | |||||
Dominican Republic International Bond Series
REGS, 5.88%, 1/30/2060
|
1,800,000 | 1,732,482 | |||
INDONESIA — 0.3% | |||||
Indonesia Government International Bond: | |||||
2.15%, 7/28/2031
|
1,000,000 | 994,750 |
Security Description | Principal
Amount |
Value | |||
3.70%, 10/30/2049
|
$ 1,900,000 | $ 2,018,883 | |||
4.35%, 1/11/2048
|
1,100,000 | 1,269,092 | |||
Perusahaan Penerbit SBSN Indonesia III: | |||||
2.55%, 6/9/2031 (a)
|
2,600,000 | 2,639,988 | |||
Series REGS, 3.80%, 6/23/2050
|
1,000,000 | 1,052,530 | |||
7,975,243 | |||||
MALAYSIA — 0.1% | |||||
Malaysia Wakala Sukuk Bhd Series REGS, 2.07%, 4/28/2031
|
2,200,000 | 2,199,142 | |||
Malaysia Wakala Sukuk Bhd. 3.08%, 4/28/2051 (a)
|
500,000 | 514,750 | |||
2,713,892 | |||||
MEXICO — 0.3% | |||||
Mexico Government International Bond: | |||||
2.66%, 5/24/2031
|
1,200,000 | 1,171,128 | |||
3.77%, 5/24/2061
|
1,500,000 | 1,382,790 | |||
4.28%, 8/14/2041
|
2,100,000 | 2,182,173 | |||
4.35%, 1/15/2047
|
300,000 | 312,243 | |||
4.50%, 1/31/2050
|
1,100,000 | 1,169,663 | |||
4.60%, 2/10/2048
|
1,500,000 | 1,604,145 | |||
7,822,142 | |||||
PANAMA — 0.2% | |||||
Panama Government International Bond: | |||||
2.25%, 9/29/2032
|
1,200,000 | 1,142,436 | |||
3.87%, 7/23/2060
|
2,000,000 | 2,000,540 | |||
4.30%, 4/29/2053
|
1,300,000 | 1,402,856 | |||
4.50%, 4/1/2056
|
400,000 | 440,588 | |||
4,986,420 | |||||
PERU — 0.0% (c) | |||||
Peruvian Government International Bond: | |||||
2.78%, 1/23/2031
|
800,000 | 796,960 | |||
3.30%, 3/11/2041
|
600,000 | 602,628 | |||
1,399,588 | |||||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond: | |||||
1.65%, 6/10/2031
|
1,450,000 | 1,403,759 | |||
2.46%, 5/5/2030
|
800,000 | 825,728 | |||
2.65%, 12/10/2045
|
600,000 | 571,290 |
Security Description | Principal
Amount |
Value | |||
2.95%, 5/5/2045
|
$ 600,000 | $ 594,606 | |||
3.70%, 3/1/2041
|
800,000 | 877,656 | |||
3.70%, 2/2/2042
|
1,700,000 | 1,865,410 | |||
6,138,449 | |||||
QATAR — 0.0% (c) | |||||
Qatar Government International Bond Series
REGS, 3.38%, 3/14/2024
|
300,000 | 314,124 | |||
SAUDI ARABIA — 0.2% | |||||
Saudi Government International Bond: | |||||
Series REGS, 2.25%, 2/2/2033
|
2,000,000 | 1,949,520 | |||
Series REGS, 2.88%, 3/4/2023
|
400,000 | 409,418 | |||
Series REGS, 3.45%, 2/2/2061
|
3,100,000 | 3,127,714 | |||
Series REGS, 3.75%, 1/21/2055
|
200,000 | 214,412 | |||
5,701,064 | |||||
SOUTH KOREA — 0.1% | |||||
Korea Development Bank: | |||||
1.63%, 1/19/2031
|
800,000 | 784,960 | |||
2.00%, 10/25/2031
|
1,650,000 | 1,654,224 | |||
Korea Electric Power Corp. Series 144A, 1.13%, 6/15/2025 (a)
|
700,000 | 692,349 | |||
Korea Hydro & Nuclear Power Co., Ltd. Series
144A, 1.25%, 4/27/2026 (a)
|
200,000 | 196,486 | |||
Korea International Bond 2.75%, 1/19/2027
|
200,000 | 211,660 | |||
3,539,679 | |||||
THAILAND — 0.0% (c) | |||||
Export Import Bank of Thailand Series EMTN, 3
Month USD LIBOR + 0.90%, 1.06%, 11/20/2023 (b)
|
420,000 | 422,100 | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Government International Bond: | |||||
Series 144A, 3.13%, 4/16/2030 (a)
|
700,000 | 758,800 | |||
Series REGS, 1.70%, 3/2/2031
|
800,000 | 777,600 | |||
Series REGS, 3.13%, 9/30/2049
|
1,150,000 | 1,173,488 |
Security Description | Principal
Amount |
Value | |||
Series REGS, 3.88%, 4/16/2050
|
$ 500,000 | $ 582,394 | |||
3,292,282 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$59,648,716)
|
59,772,472 |
Shares | |||
COMMON STOCKS — 0.0% (c) | |||
UNITED KINGDOM — 0.0% (c) | |||
Avation Capital SA (f) (g)
|
4,550 | 1,787 | |
UNITED STATES — 0.0% (c) | |||
Foresight Energy (f) (g)
|
572 | 10,967 | |
Tapstone Energy Holdings (f) (g)
|
5,920 | — | |
10,967 | |||
TOTAL COMMON STOCKS (Cost
$1,913)
|
12,754 |
Principal
Amount |
|||
SENIOR FLOATING RATE LOANS — 3.1% | |||
ADVERTISING SERVICES — 0.0% (c) | |||
Terrier Media Buyer, Inc., Senior Secured 2021
Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 12/17/2026 (b)
|
$ 455,747 | 454,208 | |
AEROSPACE & DEFENSE — 0.0% (c) | |||
Dynasty Acquisition Co., Inc.: | |||
Senior Secured 2020 CAD Term Loan B2, 3 Month USD
LIBOR + 3.50%, 3.72%, 4/6/2026 (b)
|
254,826 | 248,638 | |
Senior Secured 2020 Term Loan B1, 3 Month USD
LIBOR + 3.50%, 3.72%, 4/6/2026 (b)
|
473,975 | 462,468 | |
711,106 | |||
AIR FREIGHT & LOGISTICS — 0.0% (c) | |||
Kenan Advantage Group, Inc., Senior Secured 2021
Term Loan B1, 1 Month USD LIBOR + 3.75%, 4.50%, 3/24/2026 (b)
|
382,391 | 381,886 | |
Worldwide Express Operations, LLC, Senior Secured
2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.25%, 5.00%, 7/26/2028
(b)
|
190,000 | 190,752 | |
572,638 |
Security Description | Principal
Amount |
Value | |||
AIRLINES — 0.1% | |||||
AAdvantage Loyalty IP Ltd., Senior Secured 2021
Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/20/2028 (b)
|
$ 310,000 | $ 321,763 | |||
Air Canada, Senior Secured 2021 Term Loan B, 3
Month USD LIBOR + 3.50%, 4.25%, 8/11/2028 (b)
|
195,000 | 195,104 | |||
American Airlines, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month
USD LIBOR + 1.75%, 1.85%, 1/29/2027 (b)
|
217,800 | 205,549 | |||
Senior Secured 2017 Incremental Term Loan, 3
Month USD LIBOR + 2.00%, 2.11%, 12/15/2023 (b)
|
103,906 | 102,028 | |||
Mileage Plus Holdings LLC, Senior Secured 2020
Term Loan B, 3 Month USD LIBOR + 5.25%, 6.25%, 6/21/2027 (b)
|
505,000 | 533,914 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles
Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%, 10/20/2027 (b)
|
215,000 | 227,900 | |||
United Airlines, Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/21/2028 (b)
|
213,388 | 214,636 | |||
1,800,894 | |||||
AUTO COMPONENTS — 0.1% | |||||
Clarios Global LP, Senior Secured 2021 USD Term
Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 4/30/2026 (b)
|
528,551 | 526,503 | |||
DexKo Global, Inc.: | |||||
Senior Secured 2021 USD Delayed Draw Term Loan, 3
Month USD LIBOR + 1.86%, 1.88%, 10/4/2028 (b)
|
26,462 | 26,411 | |||
Senior Secured 2021 USD Term Loan B, 3 Month USD
LIBOR + 3.75%, 4.25%, 10/4/2028 (b)
|
214,200 | 213,782 | |||
Truck Hero, Inc., Senior Secured 2021 Term Loan
B, 1 Month USD LIBOR + 3.25%, 4.00%, 1/31/2028 (b)
|
148,875 | 148,375 | |||
Wheel Pros, LLC, Senior Secured 2021 Term Loan, 1
Month USD LIBOR + 4.50%, 5.25%, 5/11/2028 (b)
|
240,000 | 239,956 | |||
1,155,027 | |||||
BEVERAGES — 0.0% (c) | |||||
Triton Water Holdings, Inc., Senior Secured Term
Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 3/31/2028 (b)
|
547,373 | 542,242 | |||
BROADCAST SERV/PROGRAM — 0.0% (c) | |||||
E.W. Scripps Company (The), Senior Secured 2019
Term Loan B2, 1 Month USD LIBOR + 2.56%, 3.31%, 5/1/2026 (b)
|
454,193 | 454,230 | |||
BUILDING PRODUCTS — 0.0% (c) | |||||
Chamberlain Group, Inc., Senior Secured Term Loan
B, 1 Month USD LIBOR + 3.5%, 4.00%, 11/3/2028 (b)
|
205,000 | 205,065 |
Security Description | Principal
Amount |
Value | |||
CP Atlas Buyer, Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/23/2027 (b)
|
$ 575,875 | $ 574,147 | |||
Quikrete Holdings, Inc., Senior Secured 2021 Term
Loan B1, 6/11/2028 (h)
|
125,000 | 124,904 | |||
Tamko Building Products, LLC, Senior Secured Term
Loan B, 2 Month USD LIBOR + 3.00%, 3.00%, 6/1/2026 (b)
|
178,177 | 177,584 | |||
1,081,700 | |||||
CASINO SERVICES — 0.0% (c) | |||||
Stars Group Holdings B.V., Senior Secured 2018
USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 2.47%, 7/21/2026
(b)
|
317,853 | 317,120 | |||
CHEMICALS — 0.1% | |||||
Atotech B.V., Senior Secured 2021 USD Term Loan
B, 1 Month USD LIBOR + 2.50%, 3.00%, 3/18/2028 (b)
|
64,675 | 64,632 | |||
Diamond (BC) B.V., Senior Secured 2021 Term Loan
B, 3 Month USD LIBOR + 3.00%, 3.50%, 9/29/2028 (b)
|
455,000 | 454,181 | |||
GEON Performance Solutions, LLC, Senior Secured
2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 8/18/2028 (b)
|
59,850 | 60,449 | |||
Illuminate Buyer, LLC, Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2027 (b)
|
375,862 | 374,167 | |||
Ineos US Finance LLC, Senior Secured 2021 USD
Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 11/8/2028
|
55,000 | 54,817 | |||
Kraton Polymers, LLC, Senior Secured 2021 USD
Term Loan B, 11/18/2028 (h)
|
155,000 | 155,291 | |||
Messer Industries GmbH, Senior Secured 2018 USD
Term Loan, 3 Month USD LIBOR + 2.50%, 2.72%, 3/1/2026 (b)
|
121,244 | 120,475 | |||
Olympus Water US Holding Corp., Senior Secured
2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/9/2028
(b)
|
200,000 | 199,625 | |||
Polar US Borrower, LLC, Senior Secured 2018 1st
Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%, 10/15/2025 (b)
|
277,715 | 278,236 | |||
PQ Corporation, Senior Secured 2021 Term Loan B,
3 Month USD LIBOR + 2.75%, 3.25%, 6/9/2028 (b)
|
99,750 | 99,812 | |||
Starfruit Finco B.V, Senior Secured 2018 USD Term
Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/1/2025 (b)
|
452,743 | 451,753 | |||
Vantage Specialty Chemicals, Inc., Senior Secured
2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 10/28/2024
(b)
|
441,694 | 434,240 |
Security Description | Principal
Amount |
Value | |||
W.R. Grace & Co.-Conn., Senior Secured 2021
Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 9/22/2028 (b)
|
$ 375,000 | $ 376,125 | |||
3,123,803 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
Allied Universal Holdco LLC, Senior Secured 2021
USD Incremental Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 5/12/2028
(b)
|
575,745 | 574,596 | |||
APX Group, Inc., Senior Secured 2021 Term Loan B,
1 Month USD LIBOR + 3.50%, 4.00%, 7/10/2028 (b)
|
140,000 | 139,971 | |||
EAB Global, Inc., Senior Secured 2021 Term Loan,
3 Month USD LIBOR + 3.50%, 4.00%, 8/16/2028 (b)
|
415,000 | 413,272 | |||
IRI Holdings, Inc., Senior Secured 2018 1st Lien
Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 12/1/2025 (b)
|
383,089 | 383,711 | |||
Mavis Tire Express Services Corp., Senior Secured
2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%, 5/4/2028 (b)
|
597,000 | 598,307 | |||
PECF USS Intermediate Holding III Corporation,
Senior Secured Term Loan B, 12/15/2028 (h)
|
480,000 | 481,116 | |||
Spin Holdco Inc., Senior Secured 2021 Term Loan,
3 Month USD LIBOR + 4.00%, 4.75%, 3/4/2028 (b)
|
442,775 | 444,743 | |||
Verscend Holding Corp., Senior Secured 2021 Term
Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 8/27/2025 (b)
|
571,493 | 572,065 | |||
Viad Corp., Senior Secured Initial Term Loan, 3
Month USD LIBOR + 5.00%, 5.50%, 7/30/2028 (b)
|
169,575 | 169,470 | |||
VT Topco, Inc., Senior Secured 2021 Incremental
Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 8/1/2025 (b)
|
258,926 | 258,980 | |||
Wand NewCo 3, Inc., Senior Secured 2020 Term
Loan, 3 Month USD LIBOR + 3.00%, 3.18%, 2/5/2026 (b)
|
596,474 | 588,896 | |||
4,625,127 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
ADMI Corp., Senior Secured 2021 Incremental Term
Loan B3, 1 Month USD LIBOR + 3.50%, 4.00%, 12/23/2027 (b)
|
169,575 | 169,535 | |||
Asurion LLC, Senior Secured 2021 Term Loan B9, 1
Month USD LIBOR + 3.25%, 3.35%, 7/31/2027 (b)
|
442,085 | 439,930 | |||
Asurion, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1
Month USD LIBOR + 5.25%, 5.35%, 1/31/2028 (b)
|
70,000 | 70,306 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1
Month USD LIBOR + 5.25%, 5.35%, 1/20/2029 (b)
|
290,000 | 289,185 | |||
Covanta Holding Corporation: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD
LIBOR + 2.50%, 3.00%, 11/30/2028 (b)
|
120,941 | 121,213 |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2021 Term Loan C, 3 Month USD
LIBOR + 2.50%, 3.00%, 11/30/2028 (b)
|
$ 9,059 | $ 9,080 | |||
Garda World Security Corporation, Senior Secured
2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.36%, 10/30/2026 (b)
|
625,000 | 624,938 | |||
Packaging Coordinators Midco, Inc., Senior
Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
11/30/2027 (b)
|
153,838 | 154,030 | |||
Packers Holdings, LLC, Senior Secured 2021 Term
Loan, 6 Month USD LIBOR + 3.25%, 4.00%, 3/9/2028 (b)
|
277,923 | 276,533 | |||
Prometric Holdings, Inc., Senior Secured 1st Lien
Term Loan, 1/29/2025 (h)
|
475,000 | 469,953 | |||
2,624,703 | |||||
COMMUNICATIONS EQUIPMENT — 0.0% (c) | |||||
Avaya, Inc.: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD
LIBOR + 4.25%, 4.36%, 12/15/2027 (b)
|
292,231 | 293,480 | |||
Senior Secured 2021 Term Loan B2, 3 Month USD
LIBOR + 4.00%, 4.11%, 12/15/2027 (b)
|
360,000 | 360,293 | |||
653,773 | |||||
COMPUTER SERVICES — 0.0% (c) | |||||
Redstone Holdco 2 LP, Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/27/2028 (b)
|
340,000 | 325,763 | |||
CONSTRUCTION & ENGINEERING — 0.1% | |||||
Aegion Corporation, Senior Secured Term Loan, 3
Month USD LIBOR + 4.75%, 5.50%, 5/17/2028 (b)
|
99,750 | 100,332 | |||
Brand Energy & Infrastructure Services, Inc.,
Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 6/21/2024
(b)
|
143,896 | 141,098 | |||
Brown Group Holding, LLC, Senior Secured Term
Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 6/7/2028 (b)
|
51,253 | 51,221 | |||
DG Investment Intermediate Holdings 2, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month
USD LIBOR + 6.75%, 7.50%, 3/30/2029 (b)
|
60,000 | 60,150 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR
+ 3.75%, 3.75%, 3/31/2028 (b)
|
663,360 | 663,983 | |||
KKR Apple Bidco, LLC, Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 3.00%, 3.50%, 9/23/2028 (b)
|
190,000 | 189,657 | |||
1,206,441 |
Security Description | Principal
Amount |
Value | |||
CONSTRUCTION MATERIALS — 0.0% (c) | |||||
Forterra Finance, LLC, Senior Secured 2017 Term
Loan B, 1 Month USD LIBOR + 3.00%, 4.00%, 10/25/2023 (b)
|
$ 95,383 | $ 95,461 | |||
Traverse Midstream Partners LLC, Senior Secured
2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 9/27/2024 (b)
|
283,758 | 283,050 | |||
378,511 | |||||
CONSUMER FINANCE — 0.0% (c) | |||||
Amentum Government Services Holdings LLC, Senior
Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 1/29/2027 (b)
|
296,292 | 292,496 | |||
CONTAINERS & PACKAGING — 0.1% | |||||
Charter NEX US, Inc., Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027 (b)
|
301,950 | 302,965 | |||
Graham Packaging Company, Inc., Senior Secured
2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%, 8/4/2027 (b)
|
622,281 | 621,403 | |||
Klockner-Pentaplast of America, Inc., Senior
Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 5.25%, 2/12/2026
(b)
|
337,650 | 329,631 | |||
Pretium PKG Holdings, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan, 6 Month
USD LIBOR + 4.00%, 4.50%, 10/2/2028 (b)
|
220,000 | 219,877 | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month
USD LIBOR + 6.75%, 7.25%, 10/1/2029 (b)
|
45,000 | 44,972 | |||
TricorBraun Holdings, Inc., Senior Secured 2021
Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 3/3/2028 (b)
|
398,340 | 396,015 | |||
Trident TPI Holdings, Inc.: | |||||
Senior Secured 2017 USD Term Loan B1, 3 Month USD
LIBOR + 3.25%, 4.25%, 10/17/2024 (b)
|
498,509 | 499,249 | |||
Senior Secured 2021 Delayed Draw Term Loan, 3
Month USD LIBOR + 4.00%, 4.20%, 9/15/2028 (b)
|
3,495 | 3,498 | |||
Senior Secured 2021 Incremental Term Loan, 3
Month USD LIBOR + 4.00%, 4.50%, 9/15/2028 (b)
|
61,151 | 61,199 | |||
2,478,809 | |||||
DISTRIBUTORS — 0.0% (c) | |||||
American Tire Distributors Holdings, Inc., Senior
Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 7.00%, 10/8/2028
(b)
|
165,000 | 166,355 | |||
DIVERSIFIED CONSUMER SERVICES — 0.0% (c) | |||||
Ascend Learning, LLC: |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month
USD LIBOR + 5.75%, 6.25%, 12/10/2029 (b)
|
$ 85,000 | $ 85,531 | |||
Senior Secured 2021 Term Loan, 12/11/2028
(h)
|
545,000 | 544,888 | |||
Mister Car Wash Holdings, Inc., Senior Secured
2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 5/14/2026 (b)
|
340,890 | 339,484 | |||
969,903 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
AllSpring Buyer LLC, Senior Secured Term Loan B,
2 Month USD LIBOR + 3.25%, 3.75%, 11/1/2028 (b)
|
243,952 | 244,866 | |||
Astra Acquisition Corp.: | |||||
Senior Secured 2021 1st Lien Term Loan, 1 Month
USD LIBOR + 5.25%, 5.75%, 10/25/2028 (b)
|
660,000 | 649,552 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month
USD LIBOR + 8.86%, 9.63%, 10/22/2029 (b)
|
160,000 | 158,000 | |||
Deerfield Dakota Holding, LLC, Senior Secured
2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%, 4/9/2027 (b)
|
896,529 | 898,704 | |||
DirecTV Financing, LLC, Senior Secured Term Loan,
3 Month USD LIBOR + 5.00%, 5.75%, 8/2/2027 (b)
|
375,771 | 376,601 | |||
Edelman Financial Center, LLC: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month
USD LIBOR + 6.75%, 6.85%, 7/20/2026 (b)
|
295,000 | 296,690 | |||
Senior Secured 2021 Term Loan B, 1 Month USD
LIBOR + 3.50%, 4.25%, 4/7/2028 (b)
|
558,195 | 558,580 | |||
Eisner Advisory Group LLC, Senior Secured Term
Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 7/28/2028 (b)
|
160,000 | 160,400 | |||
HighTower Holdings LLC, Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 4/21/2028 (b)
|
335,000 | 335,245 | |||
3,678,638 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Cincinnati Bell, Inc., Senior Secured 2021 Term
Loan B2, 3 Month USD LIBOR + 3.25%, 3.75%, 11/22/2028 (b)
|
205,000 | 205,231 | |||
Intelsat Jackson Holdings S.A.: | |||||
Senior Secured 2017 Term Loan B3, 1 Month USD
LIBOR + 4.75%, 8.00%, 11/27/2023 (b)
|
1,237,174 | 1,237,428 | |||
Senior Secured 2021 DIP Term Loan, 3 Month USD
LIBOR + 4.75%, 3.60%, 10/13/2022 (b)
|
212,199 | 212,531 | |||
Telesat Canada, Senior Secured Term Loan B5, 2
Month USD LIBOR + 2.75%, 2.90%, 12/7/2026 (b)
|
178,999 | 158,861 | |||
1,814,051 |
Security Description | Principal
Amount |
Value | |||
ELECTRICAL EQUIPMENT — 0.0% (c) | |||||
EXC Holdings III Corp., Senior Secured USD 2017
1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 12/2/2024 (b)
|
$ 74,611 | $ 74,984 | |||
ELECTRIC-INTEGRATED — 0.0% (c) | |||||
ExGen Renewables IV, LLC, Senior Secured 2020
Term Loan, 3 Month USD LIBOR + 2.50%, 3.50%, 12/15/2027 (b)
|
210,162 | 210,506 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) | |||||
Ingram Micro, Inc., Senior Secured 2021 Term Loan
B, 3 Month USD LIBOR + 3.50%, 4.00%, 6/30/2028 (b)
|
487,550 | 488,342 | |||
Mirion Technologies, Inc., Senior Secured 2021
Term Loan, 2 Month USD LIBOR + 2.75%, 3.25%, 10/20/2028 (b)
|
245,000 | 244,825 | |||
733,167 | |||||
ENERGY EQUIPMENT & SERVICES — 0.0% (c) | |||||
Carnival Corporation, Senior Secured USD Term
Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 6/30/2025 (b)
|
143,188 | 142,293 | |||
Granite Holdings US Acquisition Co., Senior
Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.22%, 9/30/2026
(b)
|
473,447 | 474,039 | |||
WIN Waste Innovations Holdings, Inc., Senior
Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 3/24/2028
(b)
|
427,850 | 427,743 | |||
1,044,075 | |||||
ENTERTAINMENT — 0.1% | |||||
Everi Holdings, Inc., Senior Secured 2021 Term
Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 8/3/2028 (b)
|
114,713 | 114,682 | |||
NASCAR Holdings, Inc, Senior Secured Term Loan B,
1 Month USD LIBOR + 2.50%, 2.60%, 10/19/2026 (b)
|
242,508 | 242,471 | |||
Sweetwater Borrower, LLC, Senior Secured Term
Loan B, 1 Month USD LIBOR + 4.75%, 5.50%, 8/7/2028 (b)
|
305,000 | 305,762 | |||
UFC Holdings, LLC, Senior Secured 2021 Term Loan
B, 6 Month USD LIBOR + 2.75%, 3.50%, 4/29/2026 (b)
|
668,623 | 666,831 | |||
1,329,746 | |||||
FINANCIAL SERVICES — 0.0% (c) | |||||
Greystone Select Financial LLC, Senior Secured
Term Loan B, 6 Month USD LIBOR + 5.00%, 5.00%, 6/16/2028 (b)
|
89,446 | 90,117 |
Security Description | Principal
Amount |
Value | |||
FOOD & STAPLES RETAILING — 0.0% (c) | |||||
Monogram Food Solutions, LLC, Senior Secured Term
Loan B, 1 Month USD LIBOR + 4.00%, 4.50%, 8/28/2028 (b)
|
$ 260,000 | $ 260,000 | |||
United Natural Foods, Inc., Senior Secured Term
Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 10/22/2025 (b)
|
219,226 | 219,561 | |||
479,561 | |||||
FOOD PRODUCTS — 0.0% (c) | |||||
CHG PPC Parent LLC, Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 12/8/2028 (b)
|
315,000 | 314,409 | |||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
H Food Holdings LLC, Senior Secured 2018 Term
Loan B, 1 Month USD LIBOR + 3.69%, 3.79%, 5/23/2025 (b)
|
583,058 | 580,143 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
Gainwell Acquisition Corp., Senior Secured Term
Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/1/2027 (b)
|
560,109 | 562,279 | |||
Zelis Healthcare Corporation, Senior Secured 2021
Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026 (b)
|
583,560 | 580,479 | |||
1,142,758 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.2% | |||||
Agiliti Health, Inc., Senior Secured Term Loan, 3
Month USD LIBOR + 2.75%, 2.88%, 1/4/2026 (b)
|
114,705 | 114,275 | |||
Air Methods Corporation, Senior Secured 2017 Term
Loan B, 3 Month USD LIBOR + 3.50%, 4.50%, 4/22/2024 (b)
|
100,097 | 95,342 | |||
Aveanna Healthcare, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month
USD LIBOR + 7.00%, 7.50%, 12/10/2029 (b)
|
310,000 | 309,612 | |||
Senior Secured 2021 Delayed Draw Term Loan,
7/17/2028 (h)
|
108,491 | 108,161 | |||
Senior Secured 2021 Term Loan B, 3 Month USD
LIBOR + 3.75%, 4.25%, 7/17/2028 (b)
|
466,509 | 465,094 | |||
CHG Healthcare Services, Inc., Senior Secured
2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 9/29/2028 (b)
|
259,350 | 259,707 | |||
Endo Luxembourg Finance Company I S.a r.l.,
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 3/27/2028
(b)
|
97,882 | 95,453 | |||
Envision Healthcare Corp., Senior Secured 2018
1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 10/10/2025 (b)
|
401,898 | 324,659 | |||
Global Medical Response, Inc.: | |||||
Senior Secured 2017 Incremental Term Loan, 6
Month USD LIBOR + 4.25%, 5.25%, 3/14/2025 (b)
|
110,000 | 109,745 |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2020 Term Loan B, 3 Month USD
LIBOR + 4.25%, 5.25%, 10/2/2025 (b)
|
$ 287,783 | $ 286,992 | |||
Heartland Dental, LLC, Senior Secured 2021
Incremental Term Loan, 1 Month USD LIBOR + 4.00%, 4.10%, 4/30/2025
(b)
|
572,125 | 572,005 | |||
Horizon Therapeutics USA, Inc., Senior Secured
2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 2.25%, 3/15/2028 (b)
|
258,700 | 258,168 | |||
ICON Luxembourg S.A.R.L.: | |||||
Senior Secured LUX Term Loan, 3 Month USD LIBOR +
2.25%, 2.75%, 7/3/2028 (b)
|
177,861 | 178,145 | |||
Senior Secured US Term Loan, 3 Month USD LIBOR +
2.25%, 2.75%, 7/3/2028 (b)
|
44,314 | 44,385 | |||
MED ParentCo LP, Senior Secured 1st Lien Term
Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 8/31/2026 (b)
|
188,553 | 188,605 | |||
Ortho-Clinical Diagnostics SA, Senior Secured
2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.00%, 6/30/2025 (b)
|
149,848 | 149,940 | |||
Radnet Management, Inc., Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 3.00%, 3.75%, 4/21/2028 (b)
|
574,187 | 574,905 | |||
RegionalCare Hospital Partners Holdings, Inc.,
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%,
11/16/2025 (b)
|
318,096 | 318,253 | |||
Team Health Holdings, Inc., Senior Secured 1st
Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%, 2/6/2024 (b)
|
171,401 | 164,374 | |||
Upstream Rehabilition, Inc., Senior Secured 2021
Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 11/20/2026 (b)
|
164,175 | 164,611 | |||
4,782,431 | |||||
HOME FURNISHINGS — 0.0% (c) | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Delayed Draw Term
Loan, 7/31/2028 (h)
|
12,444 | 12,494 | |||
Senior Secured 2021 1st Lien Term Loan B, 1 Month
USD LIBOR + 4.00%, 4.50%, 7/31/2028 (b)
|
127,556 | 128,068 | |||
Tecta America Corp., Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 4.25%, 5.00%, 4/10/2028 (b)
|
194,025 | 194,389 | |||
334,951 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
Alterra Mountain Co., Senior Secured 2021 Series
B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 8/17/2028
(b)
|
982,065 | 982,065 | |||
ClubCorp Holdings, Inc., Senior Secured 2017 Term
Loan B, 3 Month USD LIBOR + 2.75%, 2.97%, 9/18/2024 (b)
|
325,137 | 313,803 |
Security Description | Principal
Amount |
Value | |||
Golden Nugget, Inc., Senior Secured 2017
Incremental Term Loan B, 2 Month USD LIBOR + 2.50%, 3.25%, 10/4/2023
(b)
|
$ 393,181 | $ 391,392 | |||
Peraton Corp., Senior Secured Term Loan B, 1
Month USD LIBOR + 3.75%, 4.50%, 2/1/2028 (b)
|
511,137 | 512,231 | |||
Playa Resorts Holding B.V., Senior Secured 2017
Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%, 4/29/2024 (b)
|
339,019 | 330,931 | |||
Travel Leaders Group, LLC, Senior Secured 2018
Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 1/25/2024 (b)
|
203,943 | 187,098 | |||
Travelport Finance (Luxembourg) S.A.R.L.: | |||||
Senior Secured 2020 Super Priority Term Loan, 3
Month USD LIBOR + 1.50%, 3.50%, 2/28/2025 (b)
|
275,956 | 284,424 | |||
Senior Secured 2021 Consented Term Loan, 3 Month
USD LIBOR + 1.75%, 6.97%, 5/29/2026 (b)
|
92,125 | 76,970 | |||
Twin River Worldwide Holdings, Inc., Senior
Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.25%, 3.75%, 10/2/2028
(b)
|
610,000 | 611,058 | |||
3,689,972 | |||||
HOUSEHOLD DURABLES — 0.0% (c) | |||||
Springs Windows Fashions, LLC, Senior Secured
2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/6/2028 (b)
|
570,000 | 566,081 | |||
HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
Conair Holdings, LLC, Senior Secured Term Loan B,
3 Month USD LIBOR + 3.75%, 3.75%, 5/17/2028 (b)
|
184,537 | 184,850 | |||
TGP Holdings III, LLC, Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 6/29/2028 (b)
|
84,643 | 84,396 | |||
269,246 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | |||||
Calpine Corporation, Senior Secured 2019 Term
Loan B10, 1 Month USD LIBOR + 2.00%, 2.10%, 8/12/2026 (b)
|
78,200 | 77,337 | |||
INSURANCE — 0.2% | |||||
Acrisure, LLC: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD
LIBOR + 3.50%, 3.72%, 2/15/2027 (b)
|
829,089 | 821,213 | |||
Senior Secured 2021 First Lien Term Loan B, 3
Month USD LIBOR + 4.25%, 4.75%, 2/15/2027 (b)
|
140,000 | 140,175 |
Security Description | Principal
Amount |
Value | |||
Alliant Holdings Intermediate, LLC, Senior
Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 4.00%, 11/6/2027
(b)
|
$ 155,000 | $ 155,028 | |||
AmWINS Group, Inc., Senior Secured 2021 Term Loan
B, 1 Month USD LIBOR + 2.25%, 3.00%, 2/19/2028 (b)
|
313,269 | 311,344 | |||
AssuredPartners, Inc., Senior Secured 2020 Term
Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027 (b)
|
1,205,530 | 1,198,080 | |||
OneDigital Borrower LLC, Senior Secured 2021 Term
Loan, 1 Month USD LIBOR + 4.25%, 4.75%, 11/16/2027 (b)
|
655,000 | 654,591 | |||
Sedgwick Claims Management Services, Inc., Senior
Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 12/31/2025
(b)
|
828,276 | 822,842 | |||
4,103,273 | |||||
INTERACTIVE MEDIA & SERVICES — 0.0% (c) | |||||
GTT Communications, Inc., Senior Secured 2018 USD
Term Loan B, 3 Month USD LIBOR + 3.75%, 7.00%, 5/31/2025 (b)
|
63,353 | 57,001 | |||
Rentpath, Inc., Senior Secured 2021 Stub Current
Face Term Loan, 4/1/2028 (i)
|
28,239 | 7,201 | |||
64,202 | |||||
INTERNET & CATALOG RETAIL — 0.0% (c) | |||||
PUG LLC, Senior Secured USD Term Loan, 1 Month
USD LIBOR + 3.50%, 3.60%, 2/12/2027 (b)
|
315,192 | 309,282 | |||
Uber Technologies, Inc., Senior Secured 2021 1st
Lien Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 4/4/2025 (b)
|
504,769 | 505,681 | |||
814,963 | |||||
INTERNET & TELECOM — 0.0% (c) | |||||
Arches Buyer, Inc., Senior Secured 2021 Term Loan
B, 1 Month USD LIBOR + 3.25%, 3.75%, 12/6/2027 (b)
|
393,015 | 390,905 | |||
Cablevision Lightpath LLC, Senior Secured Term
Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 11/30/2027 (b)
|
391,050 | 391,001 | |||
CNT Holdings I Corp., Senior Secured 2020 Term
Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 11/8/2027 (b)
|
218,900 | 219,310 | |||
1,001,216 | |||||
IT SERVICES — 0.1% | |||||
Access CIG, LLC, Senior Secured 2018 1st Lien
Term Loan, 3 Month USD LIBOR + 3.75%, 3.84%, 2/27/2025 (b)
|
79,786 | 79,394 | |||
Blackhawk Network Holdings, Inc., Senior Secured
2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 6/15/2025
(b)
|
694,081 | 690,656 |
Security Description | Principal
Amount |
Value | |||
VS Buyer, LLC, Senior Secured Term Loan B, 1
Month USD LIBOR + 3.00%, 3.10%, 2/28/2027 (b)
|
$ 1,016,888 | $ 1,014,345 | |||
1,784,395 | |||||
LEISURE INDUSTRY — 0.0% (c) | |||||
Carnival Corporation, Senior Secured 2021
Incremental Term Loan B, 6 Month USD LIBOR + 3.25%, 4.00%, 10/18/2028
(b)
|
430,000 | 427,134 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c) | |||||
eResearchTechnology, Inc., Senior Secured 2020
1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%, 2/4/2027 (b)
|
29,849 | 29,988 | |||
Parexel International Corporation, Senior Secured
2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 11/15/2028
(b)
|
385,000 | 385,531 | |||
415,519 | |||||
MACHINERY — 0.1% | |||||
Alliance Laundry Systems LLC, Senior Secured Term
Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 10/8/2027 (b)
|
117,514 | 117,728 | |||
American Trailer World Corp., Senior Secured Term
Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028 (b)
|
233,825 | 233,387 | |||
Columbus McKinnon Corporation, Senior Secured
2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 5/14/2028 (b)
|
34,104 | 34,189 | |||
Filtration Group Corporation, Senior Secured 2018
1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 3/29/2025 (b)
|
392,492 | 389,733 | |||
Grinding Media Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/12/2028 (b)
|
239,400 | 239,550 | |||
Hillman Group, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 3
Month USD LIBOR + 2.75%, 2.79%, 7/14/2028 (b)
|
2,295 | 2,290 | |||
Senior Secured 2021 Term Loan B1, 1 Month USD
LIBOR + 2.75%, 3.25%, 7/14/2028 (b)
|
119,789 | 119,534 | |||
Madison IAQ LLC, Senior Secured Term Loan, 6
Month USD LIBOR + 3.25%, 3.75%, 6/21/2028 (b)
|
363,175 | 363,326 | |||
Titan Acquisition Limited, Senior Secured 2018
Term Loan B, 1 Month USD LIBOR + 3.00%, 3.35%, 3/28/2025 (b)
|
286,207 | 281,934 | |||
Waterlogic Holdings Limited, Senior Secured 2021
USD Term Loan B, 3 Month USD LIBOR + 4.75%, 4.97%, 8/4/2028 (b)
|
377,558 | 378,502 | |||
2,160,173 |
Security Description | Principal
Amount |
Value | |||
MACHINERY-CONSTRUCTION & MINING — 0.0% (c) | |||||
Clear Channel Outdoor Holdings, Inc., Senior
Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 3.63%, 8/21/2026 (b)
|
$ 241,416 | $ 238,424 | |||
MACHINERY-FARM — 0.0% (c) | |||||
ASP Blade Holdings, Inc., Senior Secured Initial
Term Loan, 1 Month USD LIBOR + 4.00%, 4.50%, 10/13/2028 (b)
|
85,000 | 85,106 | |||
MEDIA — 0.1% | |||||
Diamond Sports Group, LLC, Senior Secured Term
Loan, 1 Month USD LIBOR + 3.25%, 3.36%, 8/24/2026 (b)
|
173,228 | 81,368 | |||
NEP/NCP Holdco, Inc., Senior Secured 2018 1st
Lien Term Loan, 10/20/2025 (h)
|
145,000 | 142,402 | |||
Radiate Holdco, LLC, Senior Secured 2021 Term
Loan B, 1 Month USD LIBOR + 3.25%, 4.00%, 9/25/2026 (b)
|
480,000 | 479,002 | |||
Sinclair Television Group, Inc., Senior Secured
Term Loan B2B, 1 Month USD LIBOR + 2.50%, 2.61%, 9/30/2026 (b)
|
129,070 | 126,166 | |||
Vertical US Newco, Inc., Senior Secured Term Loan
B, 6 Month USD LIBOR + 3.50%, 4.00%, 7/30/2027 (b)
|
573,572 | 574,688 | |||
Ziggo Financing Partnership, Senior Secured USD
Term Loan I, 3 Month USD LIBOR + 2.50%, 2.61%, 4/30/2028 (b)
|
190,000 | 188,219 | |||
1,591,845 | |||||
METALS & MINING — 0.0% (c) | |||||
Tiger Acquisition, LLC, Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 6/1/2028 (b)
|
194,512 | 193,575 | |||
U.S. Silica Company, Senior Secured 2018 Term
Loan B, 1 Month USD LIBOR + 4.00%, 5.00%, 5/1/2025 (b)
|
242,770 | 237,914 | |||
431,489 | |||||
MISCELLANEOUS MANUFACTUR — 0.0% (c) | |||||
Groupe Solmax, Inc., Senior Secured Term Loan, 3
Month USD LIBOR + 4.75%, 4.75%, 5/29/2028 (b)
|
159,763 | 159,962 | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (c) | |||||
Radiology Partners, Inc, Senior Secured 2018 1st
Lien Term Loan B, 3 Month USD LIBOR + 4.25%, 4.36%, 7/9/2025 (b)
|
728,810 | 719,602 | |||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
EG America LLC, Senior Secured 2018 USD Term
Loan, 3 Month USD LIBOR + 4.00%, 4.22%, 2/7/2025 (b)
|
177,579 | 177,147 | |||
EG Group Limited, Senior Secured 2021 Term Loan,
3 Month USD LIBOR + 4.25%, 4.75%, 3/31/2026 (b)
|
154,230 | 155,484 |
Security Description | Principal
Amount |
Value | |||
Gulf Finance, LLC, Senior Secured 2021 Term Loan,
3 Month USD LIBOR + 6.75%, 6.75%, 8/25/2026 (b)
|
$ 175,826 | $ 164,892 | |||
Oryx Midstream Services Permian Basin LLC, Senior
Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 10/5/2028 (b)
|
190,000 | 189,036 | |||
Pacific Gas & Electric Co., Senior Secured
2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/23/2025 (b)
|
595,925 | 590,711 | |||
Waterbridge Midstream Operating LLC, Senior
Secured Term Loan B, 6 Month USD LIBOR + 5.75%, 6.75%, 6/22/2026 (b)
|
168,709 | 164,807 | |||
1,442,077 | |||||
PERSONAL PRODUCTS — 0.0% (c) | |||||
Kronos Acquisition Holdings, Inc., Senior Secured
2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 12/22/2026 (b)
|
445,587 | 433,683 | |||
PHARMACEUTICALS — 0.1% | |||||
Bausch Health Companies, Inc., Senior Secured
2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 6/2/2025 (b)
|
127,526 | 127,096 | |||
Jazz Financing Lux SARL, Senior Secured USD Term
Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 5/5/2028 (b)
|
572,125 | 574,951 | |||
Organon & Co, Senior Secured USD Term Loan, 3
Month USD LIBOR + 3.00%, 3.50%, 6/2/2028 (b)
|
553,522 | 554,848 | |||
Pathway Vet Alliance LLC, Senior Secured 2021
Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 3/31/2027 (b)
|
685,490 | 684,205 | |||
PetVet Care Centers, LLC, Senior Secured 2021
Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.25%, 2/14/2025 (b)
|
224,097 | 224,349 | |||
Southern Veterinary Partners, LLC, Senior Secured
Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%, 10/5/2027 (b)
|
44,887 | 45,027 | |||
2,210,476 | |||||
PIPELINES — 0.1% | |||||
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3
Month USD LIBOR + 3.75%, 4.25%, 6/5/2028 (b)
|
572,902 | 572,304 | |||
DT Midstream, Inc., Senior Secured Term Loan B, 3
Month USD LIBOR + 2.00%, 2.50%, 6/26/2028 (b)
|
169,150 | 169,692 | |||
Freeport LNG Investments, LLLP, Senior Secured
Term Loan B, 3 Month USD LIBOR + 3.5%, 4.00%, 12/21/2028 (b)
|
215,000 | 213,220 | |||
GIP II Blue Holding, L.P, Senior Secured Term
Loan B, 3 Month USD LIBOR + 4.50%, 4.72%, 9/29/2028 (b)
|
145,000 | 144,909 | |||
1,100,125 |
Security Description | Principal
Amount |
Value | |||
PROFESSIONAL SERVICES — 0.0% (c) | |||||
Proofpoint, Inc., Senior Secured 1st Lien Term
Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 8/31/2028 (b)
|
$ 340,000 | $ 339,125 | |||
Trans Union, LLC, Senior Secured 2021 Term Loan
B6, 12/1/2028 (h)
|
200,000 | 199,750 | |||
538,875 | |||||
PUBLISHING-BOOKS — 0.0% (c) | |||||
Getty Images, Inc., Senior Secured 2019 USD Term
Loan B, 1 Month USD LIBOR + 4.50%, 4.63%, 2/19/2026 (b)
|
238,052 | 238,697 | |||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (c) | |||||
Bright Bidco B.V., Senior Secured 2018 Term Loan
B, 6 Month USD LIBOR + 3.50%, 4.50%, 6/30/2024 (b)
|
354,698 | 274,874 | |||
RETAIL-BUILDING PRODUCTS — 0.0% (c) | |||||
LBM Acquisition LLC, Senior Secured Term Loan B,
1 Month USD LIBOR + 3.75%, 4.50%, 12/17/2027 (b)
|
253,205 | 251,327 | |||
Park River Holdings, Inc., Senior Secured Term
Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 12/28/2027 (b)
|
293,525 | 291,230 | |||
542,557 | |||||
RETAIL-RESTAURANTS — 0.0% (c) | |||||
IRB Holding Corp., Senior Secured 2020 Fourth
Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
12/15/2027 (b)
|
277,200 | 277,589 | |||
ROAD & RAIL — 0.0% (c) | |||||
PODS, LLC, Senior Secured 2021 Term Loan B, 3
Month USD LIBOR + 3.00%, 3.75%, 3/31/2028 (b)
|
602,125 | 600,827 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
Ultra Clean Holdings, Inc., Senior Secured 2021
Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 8/27/2025 (b)
|
145,894 | 146,258 | |||
SOFTWARE — 0.6% | |||||
Applied Systems, Inc., Senior Secured 2017 1st
Lien Term Loan, 3 Month USD LIBOR + 2.25%, 3.25%, 9/19/2024 (b)
|
281,712 | 281,923 | |||
Artera Services, LLC, Senior Secured Incremental
Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 3/6/2025 (b)
|
203,975 | 198,048 | |||
Athenahealth, Inc., Senior Secured 2021 Term Loan
B1, 3 Month USD LIBOR + 4.25%, 4.40%, 2/11/2026 (b)
|
360,069 | 360,564 |
Security Description | Principal
Amount |
Value | |||
Atlas Purchaser, Inc., Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 5/8/2028 (b)
|
$ 299,250 | $ 295,509 | |||
Banff Merger Sub, Inc., Senior Secured 2021 USD
Term Loan, 3 Month USD LIBOR + 3.75%, 3.97%, 10/2/2025 (b)
|
303,683 | 302,165 | |||
Camelot U.S. Acquisition 1 Co., Senior Secured
Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/30/2026 (b)
|
575,684 | 572,446 | |||
Castle US Holding Corporation, Senior Secured USD
Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 1/29/2027 (b)
|
574,239 | 569,932 | |||
Cengage Learning, Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 4.75%, 5.75%, 6/29/2026 (b)
|
530,000 | 532,125 | |||
Constant Contact Inc., Senior Secured Term Loan,
3 Month USD LIBOR + 4.00%, 4.75%, 2/10/2028 (b)
|
287,107 | 287,287 | |||
Cornerstone OnDemand, Inc., Senior Secured 2021
Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 10/16/2028 (b)
|
340,000 | 339,453 | |||
Cvent, Inc., Senior Secured 1st Lien Term Loan, 1
Month USD LIBOR + 3.75%, 3.85%, 11/29/2024 (b)
|
200,905 | 200,842 | |||
DCert Buyer, Inc.: | |||||
Senior Secured 2019 Term Loan B, 1 Month USD
LIBOR + 4.00%, 4.10%, 10/16/2026 (b)
|
94,043 | 93,984 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month
USD LIBOR + 7.00%, 7.10%, 2/19/2029 (b)
|
190,000 | 190,791 | |||
Finastra USA, Inc.: | |||||
Senior Secured USD 1st Lien Term Loan, 3 Month
USD LIBOR + 3.50%, 4.50%, 6/13/2024 (b)
|
512,031 | 510,431 | |||
Senior Secured USD 2nd Lien Term Loan, 3 Month
USD LIBOR + 7.25%, 8.25%, 6/13/2025 (b)
|
105,000 | 105,012 | |||
First Advantage Holdings, LLC, Senior Secured
2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 1/31/2027 (b)
|
275,667 | 274,855 | |||
Flexera Software LLC, Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028 (b)
|
534,143 | 535,182 | |||
Grab Holdings, Inc., Senior Secured Term Loan B,
1 Month USD LIBOR + 4.50%, 5.50%, 1/29/2026 (b)
|
302,712 | 304,352 | |||
Greeneden U.S. Holdings II, LLC, Senior Secured
2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 4.75%, 12/1/2027
(b)
|
569,449 | 572,119 | |||
Helios Software Holdings, Inc., Senior Secured
2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 3/11/2028
(b)
|
513,714 | 511,359 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month
USD LIBOR + 3.50%, 4.25%, 7/1/2024 (b)
|
569,108 | 571,954 |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month
USD LIBOR + 6.25%, 7.00%, 7/7/2025 (b)
|
$ 45,000 | $ 45,473 | |||
I-Logic Technologies Bidco, Ltd., Senior Secured
2021 USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%, 2/16/2028
(b)
|
162,500 | 163,283 | |||
Informatica LLC, Senior Secured 2021 USD Term
Loan B, 1 Month USD LIBOR + 2.75%, 2.88%, 10/27/2028 (b)
|
330,000 | 329,381 | |||
ION Trading Finance Limited, Senior Secured 2021
USD Term Loan, 3 Month USD LIBOR + 4.75%, 4.97%, 4/3/2028 (b)
|
477,600 | 479,458 | |||
Ivanti Software, Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 12/1/2027 (b)
|
263,675 | 264,416 | |||
LogMeIn, Inc., Senior Secured Term Loan B, 3
Month USD LIBOR + 4.75%, 4.75%, 8/31/2027 (b)
|
286,559 | 285,364 | |||
MedAssets Software Intermediate Holdings, Inc.,
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4%, 4.50%, 11/17/2028
(b)
|
215,000 | 215,335 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month
USD LIBOR + 6.50%, 7.00%, 10/15/2029 (b)
|
40,000 | 40,330 | |||
Senior Secured 2021 Term Loan B, 3 Month USD
LIBOR + 3.75%, 4.25%, 10/15/2028 (b)
|
765,000 | 761,653 | |||
PointClickCare Technologies, Inc., Senior Secured
Term Loan B, 6 Month USD LIBOR + 3.00%, 3.75%, 12/29/2027 (b)
|
143,913 | 143,972 | |||
Polaris Newco LLC, Senior Secured USD Term Loan
B, 3 Month USD LIBOR + 4.00%, 4.50%, 6/2/2028 (b)
|
573,562 | 574,248 | |||
Project Alpha Intermediate Holding, Inc., Senior
Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 4/26/2024
(b)
|
569,558 | 571,161 | |||
Red Planet Borrower, LLC, Senior Secured Term
Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/2/2028 (b)
|
204,488 | 203,670 | |||
Renaissance Holding Corp., Senior Secured 2018
2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%, 5/29/2026 (b)
|
150,000 | 150,844 | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD
LIBOR + 3.50%, 4.00%, 12/17/2027 (b)
|
80,549 | 79,643 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD
LIBOR + 3.50%, 4.00%, 12/17/2027 (b)
|
128,401 | 126,956 | |||
Severin Acquisition, LLC, Senior Secured 2018
Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 8/1/2025 (b)
|
592,498 | 590,463 | |||
SkillSoft Corporation, Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 4.75%, 5.50%, 6/30/2028 (b)
|
175,000 | 176,021 |
Security Description | Principal
Amount |
Value | |||
Sophia, L.P., Senior Secured 2021 Term Loan B, 3
Month USD LIBOR + 3.50%, 4.00%, 10/7/2027 (b)
|
$ 590,537 | $ 591,054 | |||
Surf Holdings, LLC, Senior Secured USD Term Loan,
3 Month USD LIBOR + 3.50%, 3.69%, 3/5/2027 (b)
|
1,027,005 | 1,020,586 | |||
Tempo Acquisition LLC, Senior Secured 2020
Extended Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 11/2/2026 (b)
|
572,766 | 574,198 | |||
Tibco Software, Inc., Senior Secured 2020 Term
Loan B3, 1 Month USD LIBOR + 3.75%, 3.75%, 6/30/2026 (b)
|
574,405 | 570,815 | |||
Ultimate Software Group, Inc. (The), Senior
Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 5.75%,
5/3/2027
|
70,000 | 70,423 | |||
Zelis Healthcare Corporation, Senior Secured 2021
Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026 (b)
|
128,333 | 127,812 | |||
15,766,892 | |||||
SPECIALTY RETAIL — 0.1% | |||||
Great Outdoors Group, LLC, Senior Secured 2021
Term Loan B1, 3 Month USD LIBOR + 3.75%, 4.50%, 3/6/2028 (b)
|
460,359 | 461,461 | |||
Jo-Ann Stores, Inc., Senior Secured 2021 Term
Loan B1, 3 Month USD LIBOR + 4.75%, 5.50%, 7/7/2028 (b)
|
239,400 | 237,381 | |||
K-Mac Holdings Corp., Senior Secured 2021 Term
Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 7/21/2028 (b)
|
195,000 | 194,010 | |||
Michaels Companies, Inc., Senior Secured 2021
Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 4/15/2028 (b)
|
238,912 | 237,163 | |||
Petco Health and Wellness Company, Inc., Senior
Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%, 3/3/2028
(b)
|
580,612 | 580,656 | |||
PetSmart, Inc., Senior Secured 2021 Term Loan B,
3 Month USD LIBOR + 3.75%, 4.50%, 2/11/2028 (b)
|
299,250 | 300,092 | |||
Rent-A-Center, Inc., Senior Secured 2021 First
Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 2/17/2028 (b)
|
168,725 | 168,831 | |||
Restoration Hardware, Inc., Senior Secured Term
Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 10/20/2028 (b)
|
239,400 | 239,221 | |||
SRS Distribution, Inc., Senior Secured 2021 Term
Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/2/2028 (b)
|
269,325 | 269,120 | |||
Staples, Inc., Senior Secured 7 Year Term Loan, 3
Month USD LIBOR + 5.00%, 5.13%, 4/16/2026 (b)
|
208,929 | 202,377 | |||
Victoria's Secret & Co., Senior Secured Term
Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 6/30/2028 (b)
|
210,000 | 209,870 | |||
Whatabrands LLC, Senior Secured 2021 Term Loan B,
1 Month USD LIBOR + 3.25%, 3.75%, 8/3/2028 (b)
|
295,000 | 294,379 | |||
3,394,561 |
Security Description | Principal
Amount |
Value | |||
STEEL-PRODUCERS — 0.0% (c) | |||||
Phoenix Services International, LLC, Senior
Secured Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%, 3/1/2025 (b)
|
$ 396,907 | $ 394,798 | |||
TELECOM SERVICES — 0.0% (c) | |||||
Connect Finco Sarl, Senior Secured 2021 Term Loan
B, 1 Month USD LIBOR + 3.50%, 4.50%, 12/11/2026 (b)
|
142,463 | 142,653 | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
Altice France S.A., Senior Secured 2018 Term Loan
B13, 2 Month USD LIBOR + 4.00%, 4.12%, 8/14/2026 (b)
|
751,443 | 748,813 | |||
Cyxtera DC Holdings, Inc., Senior Secured Term
Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 5/1/2024 (b)
|
299,219 | 296,734 | |||
Delta TopCo, Inc.: | |||||
Senior Secured 2020 2nd Lien Term Loan, 3 Month
USD LIBOR + 7.25%, 8.00%, 12/1/2028 (b)
|
65,000 | 65,629 | |||
Senior Secured 2020 Term Loan B, 3 Month USD
LIBOR + 3.75%, 4.50%, 12/1/2027 (b)
|
273,625 | 274,261 | |||
GOGO Intermediate Holdings LLC, Senior Secured
Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/30/2028 (b)
|
478,800 | 479,355 | |||
MLN US HoldCo LLC, Senior Secured 2018 1st Lien
Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%, 11/30/2025 (b)
|
85,531 | 82,869 | |||
1,947,661 | |||||
THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
Walker & Dunlop, Inc., Senior Secured 2021
Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 12/16/2028 (b)
|
115,000 | 115,000 | |||
TRANSPORT-AIR FREIGHT — 0.0% (c) | |||||
Kestrel Bidco, Inc., Senior Secured Term Loan B,
6 Month USD LIBOR + 3.00%, 4.00%, 12/11/2026 (b)
|
554,928 | 540,330 | |||
TRANSPORTATION INFRASTRUCTURE — 0.0% (c) | |||||
First Student Bidco, Inc.: | |||||
Senior Secured Term Loan B, 3 Month USD LIBOR +
3.00%, 3.50%, 7/21/2028 (b)
|
299,461 | 298,588 | |||
Senior Secured Term Loan C, 3 Month USD LIBOR +
3.00%, 4.00%, 7/21/2028 (b)
|
110,539 | 110,217 | |||
408,805 | |||||
TRANSPORT-SERVICES — 0.0% (c) | |||||
Echo Global Logistics, Inc., Senior Secured Term
Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 11/4/2028 (b)
|
205,000 | 204,513 | |||
LaserShip, Inc.: |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month
USD LIBOR + 7.50%, 8.25%, 5/7/2029 (b)
|
$ 40,000 | $ 40,350 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR
+ 4.50%, 5.25%, 5/7/2028 (b)
|
139,650 | 139,978 | |||
Savage Enterprises LLC, Senior Secured 2021 Term
Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 9/15/2028 (b)
|
254,363 | 254,462 | |||
639,303 | |||||
WEB HOSTING/DESIGN — 0.0% (c) | |||||
Endure Digital, Inc., Senior Secured Term Loan, 3
Month USD LIBOR + 3.50%, 4.25%, 2/10/2028 (b)
|
597,000 | 592,803 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost
$90,825,992)
|
90,893,169 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.7% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.50%, 4/1/2033
|
1,665,286 | 1,728,690 | |||
2.50%, 9/1/2050
|
16,003,844 | 16,380,487 | |||
3.00%, 11/1/2042
|
7,425,086 | 7,827,315 | |||
3.00%, 12/1/2042
|
5,993,247 | 6,275,331 | |||
3.00%, 1/1/2045
|
864,265 | 908,951 | |||
3.00%, 2/1/2045
|
602,062 | 632,776 | |||
3.00%, 3/1/2045
|
587,283 | 617,244 | |||
3.00%, 4/1/2045
|
16,295,659 | 17,134,836 | |||
3.00%, 5/1/2045
|
2,322,225 | 2,440,696 | |||
3.00%, 8/1/2045
|
6,727,755 | 7,070,980 | |||
3.00%, 7/1/2047
|
2,344,238 | 2,454,574 | |||
3.00%, 6/1/2051
|
22,115,847 | 22,929,904 | |||
3.50%, 2/1/2045
|
1,010,090 | 1,080,784 | |||
3.50%, 4/1/2045
|
13,678,711 | 14,739,147 | |||
3.50%, 6/1/2045
|
7,162,013 | 7,739,123 | |||
3.50%, 10/1/2045
|
7,648,204 | 8,264,329 | |||
3.50%, 2/1/2046
|
4,135,879 | 4,407,761 | |||
4.00%, 4/1/2047
|
11,857,790 | 12,702,007 | |||
4.00%, 7/1/2047
|
2,917,390 | 3,125,079 | |||
4.00%, 10/1/2047
|
6,346,697 | 6,798,519 | |||
4.50%, 6/1/2044
|
1,138,104 | 1,253,931 | |||
Series 326, Class 300, CMO, 3.00%,
3/15/2044
|
13,208,305 | 13,778,574 | |||
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1
Month USD LIBOR, 5.89%, 5/15/2041 (b)
|
4,562,571 | 651,983 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%,
7/15/2041
|
3,415,606 | 3,671,490 |
Security Description | Principal
Amount |
Value | |||
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1
Month USD LIBOR, 6.54%, 5/15/2041 (b)
|
$ 796,041 | $ 79,407 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%,
10/15/2032
|
7,664,130 | 7,774,559 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%,
2/15/2043
|
4,746,448 | 4,877,748 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%,
7/15/2044
|
32,328,550 | 35,382,463 | |||
Series 4434, Class LZ, CMO, REMIC, 3.00%,
2/15/2045
|
3,681,610 | 3,946,577 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%,
2/15/2045
|
13,499,238 | 14,414,844 | |||
Series 4447, Class A, CMO, REMIC, 3.00%,
6/15/2041
|
171,910 | 173,250 | |||
Series 4447, Class Z, CMO, REMIC, 3.00%,
3/15/2045
|
4,455,632 | 4,735,546 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%,
12/15/2041
|
1,200,077 | 1,228,823 | |||
Series 4471, Class GA, CMO, REMIC, 3.00%,
2/15/2044
|
4,420,934 | 4,583,136 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%,
4/15/2045
|
13,461,349 | 14,972,411 | |||
Series 4481, Class B, CMO, REMIC, 3.00%,
12/15/2042
|
1,536,778 | 1,583,567 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%,
6/15/2044
|
4,476,705 | 4,636,940 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
4,328,854 | 4,367,421 | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%,
7/15/2045
|
9,429,391 | 9,949,736 | |||
Series 4499, Class AB, CMO, REMIC, 3.00%,
6/15/2042
|
2,668,749 | 2,731,880 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%,
4/15/2044
|
4,215,106 | 4,363,434 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%,
6/15/2044
|
3,748,792 | 3,891,228 | |||
Series 4543, Class HG, CMO, REMIC, 2.70%,
4/15/2044
|
6,854,946 | 7,055,382 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045
|
5,257,612 | 5,471,594 | |||
Series 4702, Class ZL, CMO, 3.00%,
7/15/2047
|
14,154,391 | 15,315,650 | |||
Series 4792, Class A, CMO, REMIC, 3.00%,
5/15/2048
|
4,075,446 | 4,247,190 | |||
Series 5130, Class SD, CMO, IO, SOFR30A + 2.60%,
2.55%, 8/25/2051 (b)
|
92,564,730 | 5,494,785 | |||
Federal National Mortgage Association: | |||||
1.41%, 12/1/2030
|
10,000,000 | 9,699,348 | |||
1.98%, 10/1/2033
|
19,500,000 | 19,538,361 | |||
2.00%, 2/1/2036
|
1,691,184 | 1,733,404 | |||
2.00%, 5/1/2036
|
52,236,580 | 53,792,592 | |||
2.00%, 4/1/2051
|
9,939,510 | 9,920,597 | |||
2.00%, 5/1/2051
|
28,712,566 | 28,691,012 | |||
2.08%, 10/1/2033
|
57,500,000 | 58,302,752 | |||
2.22%, 12/1/2029
|
5,400,000 | 5,596,459 | |||
2.44%, 1/1/2032
|
16,600,000 | 17,427,086 | |||
2.50%, 10/1/2040
|
21,731,126 | 22,531,020 | |||
2.50%, 9/1/2046
|
1,946,265 | 1,992,906 | |||
2.50%, 2/1/2047
|
5,517,715 | 5,677,113 | |||
2.50%, 11/1/2050
|
17,784,311 | 18,325,518 | |||
2.50%, 2/1/2051
|
12,415,165 | 12,708,489 | |||
2.50%, 4/1/2051
|
4,345,086 | 4,452,356 | |||
2.50%, 5/1/2051
|
40,902,176 | 41,894,521 |
Security Description | Principal
Amount |
Value | |||
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044
(b)
|
$ 5,423,258 | $ 5,655,008 | |||
2.80%, 11/1/2039
|
10,034,000 | 10,787,014 | |||
3.00%, 5/1/2035
|
3,702,869 | 3,886,663 | |||
3.00%, 10/1/2041
|
10,908,199 | 11,421,894 | |||
3.00%, 3/1/2043
|
2,706,833 | 2,860,314 | |||
3.00%, 7/1/2043
|
2,791,363 | 2,904,112 | |||
3.00%, 1/1/2045
|
71,489 | 74,345 | |||
3.00%, 3/1/2045
|
771,755 | 810,791 | |||
3.00%, 4/1/2045
|
1,692,853 | 1,761,223 | |||
3.00%, 7/1/2045
|
15,223,345 | 16,086,532 | |||
3.00%, 10/1/2046
|
2,816,050 | 2,948,665 | |||
3.00%, 2/1/2047
|
10,146,106 | 10,623,912 | |||
3.00%, 11/1/2048
|
6,208,637 | 6,501,018 | |||
3.00%, 10/1/2049
|
3,996,606 | 4,196,594 | |||
3.00%, 4/1/2053
|
12,447,978 | 13,304,687 | |||
3.50%, 9/1/2034
|
1,077,349 | 1,146,606 | |||
3.50%, 12/1/2034
|
943,993 | 1,004,676 | |||
3.50%, 2/1/2035
|
616,215 | 655,828 | |||
3.50%, 1/1/2045
|
6,218,363 | 6,723,076 | |||
3.50%, 2/1/2045
|
2,094,302 | 2,239,843 | |||
3.50%, 6/1/2045
|
7,425,270 | 8,021,413 | |||
3.88%, 10/1/2030
|
11,560,000 | 13,163,912 | |||
4.50%, 3/1/2044
|
971,833 | 1,070,437 | |||
4.50%, 6/1/2044
|
379,551 | 418,061 | |||
4.50%, 7/1/2044
|
374,271 | 412,245 | |||
4.50%, 2/1/2045
|
580,019 | 638,868 | |||
2.00%, 10/1/2051
|
39,516,026 | 39,440,836 | |||
3.00%, 6/1/2051
|
18,849,570 | 19,612,303 | |||
Series 2010-109, Class N, CMO, REMIC, 3.00%,
10/25/2040
|
1,402,231 | 1,461,014 | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% -
1 Month USD LIBOR, 5.90%, 6/25/2041 (b)
|
2,550,701 | 367,268 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%,
11/25/2042
|
1,808,771 | 1,882,404 | |||
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1
Month USD LIBOR, 5.85%, 1/25/2043 (b)
|
40,869 | 37,316 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%,
11/25/2038
|
18,228,524 | 19,273,609 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%,
10/25/2027
|
1,898,505 | 1,910,180 | |||
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1
Month USD LIBOR, 5.85%, 4/25/2043 (b)
|
671,482 | 629,506 |
Security Description | Principal
Amount |
Value | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%,
4/25/2044
|
$ 4,465,558 | $ 4,641,237 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%,
7/25/2044
|
5,626,637 | 5,864,746 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%,
3/25/2044
|
2,824,244 | 2,921,648 | |||
Series 2015-95, Class AP, CMO, REMIC, 3.00%,
8/25/2042
|
134,654 | 134,785 | |||
Series 2016-21, Class BZ, CMO, REMIC, 3.00%,
4/25/2046
|
5,145,546 | 5,513,200 | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%,
10/25/2044
|
4,989,380 | 5,154,393 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%,
7/25/2046
|
4,617,890 | 4,790,255 | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%,
2/25/2044
|
3,493,169 | 3,565,321 | |||
Series 2016-9, Class A, CMO, REMIC, 3.00%,
9/25/2043
|
741,784 | 747,684 | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%,
4/25/2042
|
6,653,757 | 6,787,027 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%,
12/25/2042
|
5,579,693 | 5,688,471 | |||
Series 2018-M10, Class A1, 3.37%, 7/25/2028
(b)
|
5,910,518 | 6,142,177 | |||
Series 2020-47, Class GL, CMO, 2.00%,
5/25/2046
|
10,000,000 | 10,127,521 | |||
Series 2021-29, Class BA, CMO, 1.25%,
5/25/2041
|
12,106,359 | 11,985,162 | |||
Series 2021-35, Class EH, CMO, 2.00%,
2/25/2037
|
20,049,205 | 20,384,360 | |||
Government National Mortgage Association: | |||||
2.50%, 3/20/2051
|
10,796,179 | 11,123,017 | |||
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05%
- 1 Month USD LIBOR, 5.94%, 11/16/2043 (b)
|
1,010,307 | 160,943 | |||
Series 2013-34, Class PL, CMO, REMIC, 3.00%,
3/20/2042
|
2,410,638 | 2,467,953 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% -
1 Month USD LIBOR, 6.08%, 7/20/2042 (b)
|
2,362,821 | 178,304 | |||
Series 2020-116, Class HS, CMO, IO, 1 Month USD
LIBOR + 6.20%, 6.10%, 8/20/2050 (b)
|
9,808,157 | 1,844,825 | |||
Series 2020-173, Class SY, CMO, IO, 1 Month USD
LIBOR + 6.30%, 6.20%, 11/20/2050 (b)
|
31,828,278 | 5,770,740 | |||
Series 2020-173, Class TI, CMO, IO, 2.00%,
11/20/2050
|
38,900,007 | 3,797,473 | |||
Series 2020-176, Class SL, CMO, IO, 1 Month USD
LIBOR + 5.00%, 4.90%, 11/20/2050 (b)
|
10,406,921 | 1,390,179 | |||
Series 2020-185, Class SE, CMO, IO, 1 Month USD
LIBOR + 6.30%, 6.20%, 12/20/2050 (b)
|
37,885,175 | 8,231,243 | |||
Series 2021-125, Class SN, CMO, IO, 1 Month USD
LIBOR+ 4.20%, 4.10%, 1/20/2051 (b)
|
9,982,455 | 996,663 | |||
Series 2021-143, Class IO, IO, VRN, 0.99%,
10/16/2063 (b)
|
89,336,498 | 7,345,373 | |||
Series 2021-196, Class UI, IO, 3.00%,
11/20/2051
|
61,342,739 | 5,403,443 | |||
Series 2021-40, Class IO, IO, VRN, 0.84%,
2/16/2063 (b)
|
78,862,515 | 5,936,385 | |||
Series 2021-60, Class IO, IO, VRN, 0.84%,
5/16/2063 (b)
|
61,165,735 | 4,621,219 | |||
Series 2021-79, Class IO, 0.92%, 8/16/2063
(b)
|
90,285,663 | 7,305,898 | |||
Series 2021-80, Class IO, IO, VRN, 0.91%,
12/16/2062 (b)
|
91,939,136 | 7,419,946 | |||
Series 2021-85, Class IO, IO, VRN, 0.69%,
3/16/2063 (b)
|
104,542,770 | 7,398,189 |
Security Description | Principal
Amount |
Value | |||
Series 2021-99, Class IO, IO, VRN, 0.59%,
5/16/2061 (b)
|
$ 42,871,289 | $ 2,771,962 | |||
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost
$1,029,717,267)
|
1,030,719,531 | ||||
U.S. TREASURY OBLIGATIONS — 23.5% | |||||
Treasury Bonds 1.88%, 11/15/2051
|
117,000,000 | 116,652,656 | |||
Treasury Notes: | |||||
0.13%, 11/30/2022
|
86,800,000 | 86,599,953 | |||
0.38%, 11/30/2025
|
61,300,000 | 59,480,156 | |||
0.50%, 11/30/2023
|
98,800,000 | 98,433,359 | |||
0.63%, 7/31/2026
|
56,100,000 | 54,583,547 | |||
1.00%, 12/15/2024
|
20,200,000 | 20,226,828 | |||
1.25%, 11/30/2026
|
28,900,000 | 28,906,774 | |||
1.38%, 11/15/2031
|
32,800,000 | 32,436,125 | |||
1.50%, 11/30/2028
|
93,300,000 | 93,751,922 | |||
2.13%, 7/31/2024
|
16,700,000 | 17,232,313 | |||
2.25%, 11/15/2025
|
69,500,000 | 72,426,602 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$680,527,765)
|
680,730,235 | ||||
MORTGAGE-BACKED SECURITIES — 6.7% | |||||
Alternative Loan Trust: | |||||
Series 2005-21CB, Class A3, CMO, 5.25%,
6/25/2035
|
1,997,106 | 1,789,620 | |||
Series 2005-79CB, Class A4, CMO, 5.50%,
1/25/2036
|
3,772,804 | 2,871,608 | |||
Series 2006-24CB, Class A9, CMO, 6.00%,
8/25/2036
|
2,854,747 | 2,054,855 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%,
2/25/2037
|
2,542,536 | 1,752,239 | |||
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR
+ 0.42%, 0.52%, 5/20/2046 (b)
|
2,041,454 | 1,767,887 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036
(e)
|
2,379,678 | 2,336,092 | |||
Series 2007-5, Class CA1, CMO, 6.00%,
7/25/2037
|
4,002,499 | 3,593,874 | |||
BANK Series 2017-BNK6, Class XA, IO, 0.80%,
7/15/2060 (b)
|
52,608,525 | 1,762,665 | |||
BBCMS Mortgage Trust Series 2017-DELC, Class B, 1
Month USD LIBOR + 1.03%, 1.14%, 8/15/2036 (a) (b)
|
925,000 | 920,358 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO,
6.46%, 1/26/2037 (a) (b)
|
7,026,041 | 6,731,695 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD
LIBOR + 1.09%, 1.20%, 9/15/2037 (a) (b)
|
203,088 | 201,642 | |||
ChaseFlex Trust Series 2007-3, Class 1A2, CMO ,
IO, 1 Month USD LIBOR + 0.46%, 0.56%, 7/25/2037 (b)
|
7,975,110 | 1,873,624 | |||
CHL Mortgage PassThrough Trust: | |||||
Series 2005-J2, Class 3A14, CMO, 5.50%,
8/25/2035
|
744,070 | 684,362 |
Security Description | Principal
Amount |
Value | |||
Series 2007-12, Class A9, CMO, 5.75%,
8/25/2037
|
$ 2,429,202 | $ 1,843,143 | |||
CHL Mortgage Pass-Through Trust Series 2007-HYB1,
Class 2A1, CMO, 2.87%, 3/25/2037 (b)
|
1,241,316 | 1,182,313 | |||
CHT COSMO Mortgage Trust Series 2017-CSMO, Class
E, 1 Month USD LIBOR + 3.00%, 3.11%, 11/15/2036 (a) (b)
|
1,333,000 | 1,332,628 | |||
Citigroup Mortgage Loan Trust: | |||||
Series 2007-AR4, Class 1A1A, CMO, 3.17%,
3/25/2037 (b)
|
1,660,105 | 1,509,394 | |||
Series 2007-AR5, Class 1A2A, CMO, 3.01%,
4/25/2037 (b)
|
795,616 | 715,451 | |||
Series 2021-JL1, Class A, 2.75%, 2/27/2062
(a) (b)
|
1,427,547 | 1,428,863 | |||
CitiMortgage Alternative Loan Trust Series
2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037
|
4,302,026 | 4,227,883 | |||
COMM Mortgage Trust Series 2018-HCLV, Class A, 1
Month USD LIBOR + 1.00%, 1.11%, 9/15/2033 (a) (b)
|
347,000 | 344,457 | |||
CSAIL Commercial Mortgage Trust Series 2017-CX10,
Class XA, IO, 0.71%, 11/15/2050 (b)
|
63,181,966 | 1,988,712 | |||
CSMC MortgageBacked Trust Series 2006-7, Class
7A7, CMO, 6.00%, 8/25/2036
|
1,437,497 | 1,496,034 | |||
CSMC Trust: | |||||
Series 2017-MOON, Class E, 3.20%, 7/10/2034
(a) (b)
|
3,181,000 | 3,177,547 | |||
Series 2020-RPL2, Class A12, CMO, 3.42%,
2/25/2060 (a) (b)
|
10,591,669 | 10,634,864 | |||
Series 2021-JR2, Class A1, 2.22%, 11/25/2061
(a) (b)
|
13,659,170 | 13,568,099 | |||
FMC GMSR Issuer Trust: | |||||
Series 2020-GT1, Class A, CMO, VRN, 4.45%,
1/25/2026 (a) (b)
|
3,000,000 | 3,005,203 | |||
Series 2021-GT2, Class A, 3.85%, 10/25/2026
(a) (b)
|
2,650,000 | 2,628,074 | |||
FWD Securitization Trust Series 2019-INV1, Class
A3, 3.11%, 6/25/2049 (a) (b)
|
965,131 | 971,366 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1
Month USD LIBOR + 2.73%, 2.84%, 12/15/2036 (a) (b)
|
100,000 | 97,045 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050
(b)
|
40,134,613 | 1,864,698 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR +
0.90%, 1.01%, 7/15/2031 (a) (b)
|
283,000 | 282,338 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR +
1.60%, 1.71%, 7/15/2031 (a) (b)
|
650,000 | 627,076 | |||
Series 2018-TWR, Class E, 1 Month USD LIBOR +
2.10%, 2.21%, 7/15/2031 (a) (b)
|
650,000 | 627,266 | |||
Series 2018-TWR, Class F, 1 Month USD LIBOR +
2.80%, 2.91%, 7/15/2031 (a) (b)
|
650,000 | 618,543 | |||
Series 2018-TWR, Class G, 1 Month USD LIBOR +
3.92%, 4.03%, 7/15/2031 (a) (b)
|
650,000 | 565,316 |
Security Description | Principal
Amount |
Value | |||
GSR Mortgage Loan Trust Series 2006-OA1, Class
1A1, CMO, 1 Month USD LIBOR + 0.44%, 0.54%, 8/25/2046 (b)
|
$ 14,310,295 | $ 4,187,799 | |||
IndyMac IMJA Mortgage Loan Trust Series 2007-A4,
Class A1, CMO, 6.25%, 2/25/2038
|
21,270,160 | 9,674,060 | |||
Legacy Mortgage Asset Trust Series 2020-SL1,
Class M, 3.25%, 1/25/2060 (a) (b)
|
8,492,000 | 8,458,232 | |||
Morgan Stanley Capital I Trust Series 2016-UB12,
Class XA, IO, 0.71%, 12/15/2049 (b)
|
48,427,842 | 1,302,947 | |||
Morgan Stanley Resecuritization Trust Series
2014-R7, Class B2, CMO, 3.71%, 1/26/2051 (a) (b)
|
13,693,694 | 14,096,511 | |||
Morgan Stanley Residential Mortgage Loan Trust
Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060 (a)
(b)
|
968,988 | 962,759 | |||
NRPL Trust Series 2019-3A, Class A1, CMO, 3.00%,
7/25/2059 (a) (e)
|
4,013,796 | 4,022,882 | |||
PMT Credit Risk Transfer Trust: | |||||
Series 2019-2R, Class A, 1 Month USD LIBOR +
2.75%, 2.85%, 5/27/2023 (a) (b)
|
1,716,129 | 1,700,552 | |||
Series 2021-1R, Class A, 1 Month USD LIBOR +
2.90%, 3.00%, 2/27/2024 (a) (b)
|
1,208,478 | 1,224,516 | |||
PRPM LLC Series 2020-6, Class A1, CMO, 2.36%,
11/25/2025 (a) (e)
|
4,357,850 | 4,345,279 | |||
Seasoned Credit Risk Transfer Trust: | |||||
Series 2019-4, Class MV, 3.00%, 2/25/2059
|
16,512,817 | 17,414,070 | |||
Series 2020-2, Class MT, CMO, 2.00%,
11/25/2059
|
7,605,185 | 7,590,545 | |||
Seasoned Credit Risk Transfer Trust Series
2020-3, Class MT, CMO, 2.00%, 5/25/2060
|
12,063,642 | 12,010,842 | |||
STRU JPM 1.91%, 11/4/2051
|
10,000,000 | 10,068,750 | |||
Structured Adjustable Rate Mortgage Loan Trust
Series 2006-8, Class 4A3, CMO, 3.28%, 9/25/2036 (b)
|
289,123 | 289,240 | |||
Structured Asset Mortgage Investments II Trust
Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 0.78%, 7/19/2034
(b)
|
1,439,042 | 1,429,524 | |||
UBS Commercial Mortgage Trust Series 2017-C1,
Class XA, IO, 1.53%, 6/15/2050 (b)
|
18,096,460 | 1,184,444 | |||
Washington Mutual Mortgage Pass-Through
Certificates WMALT Series 2007-HY1 Trust Series 2007-HY1, Class A3A, CMO,
1 Month USD LIBOR + 0.23%, 0.33%, 2/25/2037 (b)
|
5,159,769 | 4,343,173 | |||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | |||||
Series 2005-8, Class 2CB1, CMO, 5.50%,
10/25/2035
|
907,706 | 907,706 | |||
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036
(e)
|
2,679,927 | 829,547 |
Security Description | Principal
Amount |
Value | |||
Series 2007-2, Class 1A3, CMO, 6.00%,
4/25/2037
|
$ 4,328,718 | $ 4,131,408 | |||
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR4, Class A1, CMO, 2.67%, 8/25/2037 (b)
|
1,136,439 | 1,084,171 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$203,905,529)
|
194,335,791 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 5.4% | |||||
ACRE Commercial Mortgage, Ltd. Series 2021-FL4,
Class B, 1 Month USD LIBOR + 1.40%, 1.50%, 12/18/2037 (a) (b)
|
3,000,000 | 2,989,368 | |||
BANK: | |||||
Series 2017-BNK4, Class XA, IO, 1.38%, 5/15/2050
(b)
|
29,239,605 | 1,510,388 | |||
Series 2021-BN35, Class XA, IO, VRN, 1.05%,
6/15/2064 (b)
|
9,235,219 | 715,901 | |||
BBCMS Mortgage Trust Series 2021-C11, Class XA,
IO, VRN, 1.39%, 9/15/2054 (b)
|
27,211,558 | 2,735,446 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class C, VRN, 4.20%, 2/15/2051
(b)
|
2,545,000 | 2,712,826 | |||
Series 2020-B19, Class XA, IO, VRN, 1.78%,
9/15/2053 (b)
|
20,029,962 | 1,993,241 | |||
Series 2021-B24, Class XA, IO, VRN, 1.15%,
3/15/2054 (b)
|
3,389,460 | 267,897 | |||
BX Commercial Mortgage Trust: | |||||
Series 2021-21M, Class H, 1 Month USD LIBOR +
4.01%, 4.12%, 10/15/2036 (a) (b)
|
2,873,000 | 2,845,418 | |||
Series 2021-VOLT, Class E, 1 Month USD LIBOR +
2.00%, 2.11%, 9/15/2036 (a) (b)
|
1,923,000 | 1,906,182 | |||
Series 2021-VOLT, Class F, 1 Month USD LIBOR +
2.40%, 2.51%, 9/15/2036 (a) (b)
|
1,923,000 | 1,904,981 | |||
Series 2021-XL2, Class E, 1 Month USD LIBOR +
1.84%, 1.96%, 10/15/2038 (a) (b)
|
2,882,000 | 2,855,655 | |||
BX Trust: | |||||
Series 2017-SLCT, Class E, 1 Month USD LIBOR +
3.15%, 3.26%, 7/15/2034 (a) (b)
|
1,314,100 | 1,314,804 | |||
Series 2019-OC11, Class E, 4.08%, 12/9/2041
(a) (b)
|
3,830,000 | 3,822,786 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO,
1.27%, 5/10/2050 (b)
|
16,375,601 | 764,201 | |||
CFCRE Commercial Mortgage Trust: | |||||
Series 2016-C3, Class XA, IO, 0.99%, 1/10/2048
(b)
|
23,185,662 | 783,553 | |||
Series 2016-C4, Class XA, IO, 1.64%, 5/10/2058
(b)
|
10,880,639 | 608,143 | |||
Series 2017-C8, Class XA, IO, 1.50%, 6/15/2050
(b)
|
22,969,229 | 1,442,499 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048
(b)
|
2,541,000 | 2,648,630 | |||
Series 2015-GC27, Class D, 4.42%, 2/10/2048
(a) (b)
|
423,700 | 407,936 | |||
Series 2015-GC31, Class C, 4.04%, 6/10/2048
(b)
|
1,500,000 | 1,565,964 |
Security Description | Principal
Amount |
Value | |||
Series 2015-GC33, Class C, 4.57%, 9/10/2058
(b)
|
$ 1,500,000 | $ 1,543,845 | |||
Series 2016-GC36, Class XA, IO, 1.22%, 2/10/2049
(b)
|
20,022,679 | 820,525 | |||
Series 2020-555, Class E, 3.50%, 12/10/2041
(a) (b)
|
2,047,000 | 1,927,267 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 1.11%, 10/10/2046
(b)
|
25,817,991 | 412,347 | |||
Series 2015-CR22, Class XA, IO, 0.88%, 3/10/2048
(b)
|
8,645,412 | 176,259 | |||
Series 2015-CR26, Class XA, IO, 0.92%, 10/10/2048
(b)
|
19,981,207 | 577,256 | |||
Series 2015-DC1, Class C, VRN, 4.31%, 2/10/2048
(b)
|
644,000 | 625,320 | |||
Series 2015-DC1, Class XA, IO, 1.01%, 2/10/2048
(b)
|
7,291,865 | 157,951 | |||
Series 2015-LC21, Class C, 4.33%, 7/10/2048
(b)
|
968,000 | 1,018,824 | |||
Series 2016-CR28, Class C, 4.64%, 2/10/2049
(b)
|
2,011,000 | 2,154,289 | |||
Series 2016-DC2, Class XA, IO, 0.96%, 2/10/2049
(b)
|
15,859,513 | 484,716 | |||
Series 2017-PANW, Class D, 3.93%, 10/10/2029
(a) (b)
|
1,388,000 | 1,411,203 | |||
Series 2017-PANW, Class E, 3.81%, 10/10/2029
(a) (b)
|
2,316,000 | 2,301,347 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057
(b)
|
900,000 | 940,850 | |||
Series 2015-C4, Class XA, IO, 0.81%, 11/15/2048
(b)
|
32,365,739 | 853,649 | |||
Series 2019-C17, Class XA, IO, VRN, 1.36%,
9/15/2052 (b)
|
30,151,092 | 2,373,683 | |||
CSMC 2017-TIME Series 2017-TIME, Class A, 3.65%,
11/13/2039 (a)
|
2,977,000 | 3,009,285 | |||
CSMC 2020-NET Series 2020-NET, Class A, 2.26%,
8/15/2037 (a)
|
2,440,000 | 2,459,370 | |||
CSMC 2021-B33: | |||||
Series 2021-B33, Class A1, 3.05%, 10/10/2043
(a)
|
632,000 | 643,718 | |||
Series 2021-B33, Class A2, 3.17%, 10/10/2043
(a)
|
2,250,000 | 2,316,204 | |||
CSMC Trust Series 2017-MOON, Class D, 3.20%,
7/10/2034 (a) (b)
|
2,263,000 | 2,266,038 | |||
DBUBS Mortgage Trust Series 2017-BRBK, Class E,
VRN, 3.53%, 10/10/2034 (a) (b)
|
463,000 | 461,866 | |||
DOLP Trust: | |||||
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041
(a) (b)
|
1,000,000 | 994,647 | |||
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041
(a) (b)
|
1,000,000 | 968,115 | |||
Grace Trust Series 2020-GRCE, Class D, VRN,
2.68%, 12/10/2040 (a) (b)
|
1,147,000 | 1,092,386 | |||
Great Wolf Trust Series 2019-WOLF, Class F, 1
Month USD LIBOR + 3.13%, 3.24%, 12/15/2036 (a) (b)
|
100,000 | 96,647 | |||
GS Mortgage Securities Corp. II Series 2013-GC10,
Class XA, IO, 1.47%, 2/10/2046 (b)
|
11,504,100 | 123,243 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC24, Class XA, IO, 0.71%, 9/10/2047
(b)
|
26,213,965 | 419,519 | |||
Series 2015-GC32, Class XA, IO, 0.73%, 7/10/2048
(b)
|
22,711,752 | 506,407 | |||
Series 2015-GC34, Class XA, IO, 1.22%, 10/10/2048
(b)
|
15,489,358 | 584,398 |
Security Description | Principal
Amount |
Value | |||
Series 2015-GS1, Class XA, IO, 0.76%, 11/10/2048
(b)
|
$ 25,660,979 | $ 668,494 | |||
Series 2016-GS3, Class XA, IO, 1.20%, 10/10/2049
(b)
|
24,129,364 | 1,135,951 | |||
Series 2019-GC38, Class XA, IO, 0.96%, 2/10/2052
(b)
|
40,422,108 | 2,319,535 | |||
HPLY Trust Series 2019-HIT, Class F, 1 Month USD
LIBOR + 3.15%, 3.26%, 11/15/2036 (a) (b)
|
2,766,018 | 2,678,838 | |||
JP Morgan Chase Commercial Mortgage Securities
Corp. Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90%, 2.01%,
6/15/2032 (a) (b)
|
126,758 | 126,636 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2012-C8, Class B, 3.98%, 10/15/2045
(a) (b)
|
1,775,000 | 1,793,029 | |||
Series 2014-C20, Class B, 4.40%, 7/15/2047
(b)
|
3,000,000 | 3,159,053 | |||
Series 2015-JP1, Class XA, IO, 0.89%, 1/15/2049
(b)
|
15,688,707 | 484,262 | |||
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049
(b)
|
2,899,000 | 2,942,931 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047
(b)
|
1,055,000 | 1,109,466 | |||
Series 2014-C25, Class XA, IO, 0.83%, 11/15/2047
(b)
|
4,900,983 | 98,255 | |||
Series 2014-C26, Class C, 4.38%, 1/15/2048
(b)
|
1,500,000 | 1,551,646 | |||
Series 2015-C28, Class XA, IO, 0.96%, 10/15/2048
(b)
|
8,757,841 | 204,750 | |||
Series 2015-C30, Class XA, IO, 0.50%, 7/15/2048
(b)
|
25,194,410 | 385,417 | |||
Series 2015-C32, Class C, 4.65%, 11/15/2048
(b)
|
1,132,000 | 919,416 | |||
Series 2015-C33, Class C, 4.61%, 12/15/2048
(b)
|
1,739,000 | 1,812,064 | |||
JPMDB Commercial Mortgage Securities Trust Series
2016-C2, Class XA, IO, 1.55%, 6/15/2049 (b)
|
17,580,340 | 842,599 | |||
LSTAR Commercial Mortgage Trust Series 2017-5,
Class X, IO, 0.86%, 3/10/2050 (a) (b)
|
39,122,212 | 1,006,920 | |||
Manhattan West 2020-1MW Mortgage Trust: | |||||
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039
(a) (b)
|
2,462,000 | 2,425,986 | |||
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039
(a) (b)
|
2,462,000 | 2,368,662 | |||
Med Trust Series 2021-MDLN, Class G, 1 Month USD
LIBOR + 5.25%, 5.36%, 11/15/2038 (a) (b)
|
2,864,000 | 2,842,922 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2013-C12, Class XA, IO, 0.58%, 10/15/2046
(b)
|
12,187,428 | 91,370 | |||
Series 2013-C7, Class XA, IO, 1.28%, 2/15/2046
(b)
|
12,158,254 | 90,379 | |||
Series 2015-C20, Class C, 4.45%, 2/15/2048
(b)
|
500,000 | 517,499 | |||
Series 2015-C27, Class C, 4.50%, 12/15/2047
(b)
|
1,219,000 | 1,240,932 | |||
Series 2015-C27, Class D, 3.24%, 12/15/2047
(a) (b)
|
1,750,000 | 1,603,396 | |||
Series 2016-C28, Class XA, IO, 1.19%, 1/15/2049
(b)
|
18,778,454 | 723,535 | |||
Series 2016-C30, Class XA, IO, 1.37%, 9/15/2049
(b)
|
17,771,149 | 890,260 | |||
Series 2016-C31, Class C, 4.27%, 11/15/2049
(b)
|
3,358,000 | 3,382,882 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-UBS8, Class XA, IO, 0.87%, 12/15/2048
(b)
|
24,024,005 | 683,625 | |||
Series 2019-H7, Class C, 4.13%, 7/15/2052
|
2,930,000 | 3,094,223 |
Security Description | Principal
Amount |
Value | |||
Series 2019-L3, Class XA, IO, 0.64%, 11/15/2052
(b)
|
$ 55,877,312 | $ 2,408,671 | |||
Series 2020-HR8, Class XA, IO, VRN, 1.84%,
7/15/2053 (b)
|
21,426,925 | 2,749,193 | |||
Series 2020-L4, Class XA, IO, VRN, 1.08%,
2/15/2053 (b)
|
33,083,260 | 2,403,885 | |||
One New York Plaza Trust Series 2020-1NYP, Class
C, 1 Month USD LIBOR + 2.20%, 2.31%, 1/15/2036 (a) (b)
|
1,599,000 | 1,610,465 | |||
SG Commercial Mortgage Securities Trust Series
2016-C5, Class B, 3.93%, 10/10/2048
|
450,000 | 458,690 | |||
SLG Office Trust 2021-OVA: | |||||
Series 2021-OVA, Class E, 2.85%, 7/15/2041
(a)
|
1,989,000 | 1,888,879 | |||
Series 2021-OVA, Class F, 2.85%, 7/15/2041
(a)
|
1,989,000 | 1,790,117 | |||
SREIT Trust Series 2021-MFP, Class D, 1 Month USD
LIBOR + 1.58%, 1.68%, 11/15/2038 (a) (b)
|
2,864,000 | 2,861,261 | |||
UBS Commercial Mortgage Trust Series 2017-C4,
Class XA, IO, 1.02%, 10/15/2050 (b)
|
23,021,983 | 1,070,231 | |||
Velocity Commercial Capital Loan Trust Series
2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b)
|
3,034,778 | 2,998,633 | |||
Waterfall Commercial Mortgage Trust Series
2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b)
|
2,143,082 | 2,170,241 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2015-C26, Class XA, IO, 1.20%, 2/15/2048
(b)
|
7,357,454 | 226,492 | |||
Series 2015-C28, Class C, 4.09%, 5/15/2048
(b)
|
1,500,000 | 1,551,686 | |||
Series 2015-LC20, Class XA, IO, 1.30%, 4/15/2050
(b)
|
6,656,424 | 196,890 | |||
Series 2015-NXS1, Class XA, IO, 1.09%, 5/15/2048
(b)
|
7,241,657 | 197,999 | |||
Series 2015-NXS2, Class XA, IO, 0.65%, 7/15/2058
(b)
|
22,661,180 | 444,812 | |||
Series 2015-P2, Class XA, IO, 0.96%, 12/15/2048
(b)
|
16,506,614 | 540,981 | |||
Series 2016-BNK1, Class XB, IO, VRN, 1.33%,
8/15/2049 (b)
|
19,849,000 | 1,123,872 | |||
Series 2016-C33, Class XA, IO, 1.61%, 3/15/2059
(b)
|
11,443,628 | 646,130 | |||
Series 2016-C35, Class B, 3.44%, 7/15/2048
|
3,000,000 | 3,088,859 | |||
Series 2016-LC24, Class C, VRN, 4.43%, 10/15/2049
(b)
|
1,900,000 | 1,983,140 | |||
Series 2017-C38, Class XA, IO, 1.02%, 7/15/2050
(b)
|
36,947,332 | 1,571,991 | |||
Series 2017-RC1, Class XA, IO, 1.46%, 1/15/2060
(b)
|
20,588,204 | 1,189,735 | |||
Series 2019-C50, Class XA, IO, 1.41%, 5/15/2052
(b)
|
29,524,959 | 2,230,488 | |||
Series 2020-C57, Class XA, IO, VRN, 2.09%,
8/15/2053 (b)
|
16,164,835 | 2,267,597 | |||
Series 2020-C58, Class XA, IO, VRN, 1.88%,
7/15/2053 (b)
|
20,079,950 | 2,591,455 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 1.01%, 3/15/2047
(b)
|
8,354,281 | 126,916 | |||
Series 2014-C21, Class XA, IO, 1.02%, 8/15/2047
(b)
|
13,987,418 | 289,399 | |||
TOTAL COMMERCIAL MORTGAGE BACKED
SECURITIES (Cost
$193,333,062)
|
155,390,634 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 2.2% | |||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares 0.03% (j) (k) (Cost $64,167,817)
|
64,167,818 | $ 64,167,818 | |||
TOTAL INVESTMENTS — 99.9% (Cost
$2,933,557,028)
|
2,888,886,512 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
1,714,862 | ||||
NET ASSETS — 100.0%
|
$ 2,890,601,374 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2021. Maturity date shown is the final maturity. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2021, total aggregate fair value of the security is $12,754, representing less than 0.05% of the Fund's net assets. |
(g) | Non-income producing security. |
(h) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(i) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
(j) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(k) | The rate shown is the annualized seven-day yield at December 31, 2021. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
USD | United States Dollar |
Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
TGP Holdings III, LLC | 11,160 | 11,128 | (32) | |||
Hillman Group Inc. | 26,397 | 26,341 | (56) | |||
Intelsat Jackson Holdings S.A. | 42,440 | 42,506 | 66 | |||
VT Topco, Inc. | 45,425 | 45,435 | 10 | |||
Zelis Healthcare Corporation | 46,667 | 46,477 | (190) | |||
Trident TPI Holdings, Inc. | 5,191 | 5,195 | 4 | |||
DexKo Global Inc. | 14,338 | 14,310 | (28) | |||
$191,618 | $191,392 | $(226) |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes
|
$ — | $ 431,812,852 | $ — | $ 431,812,852 | ||||
Asset-Backed Securities
|
— | 181,051,256 | — | 181,051,256 | ||||
Foreign Government Obligations
|
— | 59,772,472 | — | 59,772,472 | ||||
U.S. Government Agency Obligations
|
— | 1,030,719,531 | — | 1,030,719,531 | ||||
U.S. Treasury Obligations
|
— | 680,730,235 | — | 680,730,235 | ||||
Mortgage-Backed Securities
|
— | 194,335,791 | — | 194,335,791 | ||||
Commercial Mortgage Backed Securities
|
— | 155,390,634 | — | 155,390,634 | ||||
Common Stocks
|
— | — | 12,754 | 12,754 | ||||
Senior Floating Rate Loans
|
— | 90,893,169 | — | 90,893,169 | ||||
Short-Term Investment
|
64,167,818 | — | — | 64,167,818 | ||||
TOTAL INVESTMENTS
|
$64,167,818 | $2,824,705,940 | $12,754 | $2,888,886,512 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a)
|
— | (226) | — | (226) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
$ — | $ (226) | $ — | $ (226) |
(a) | Includes appreciation on unfunded loan commitments. |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
63,404,943 | $63,404,943 | $486,558,633 | $485,795,758 | $— | $— | 64,167,818 | $64,167,818 | $7,332 | ||||||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at
value
|
$96,794,415 | $153,897,621 | |
Investments in affiliated issuers, at value
|
968,249 | 5,925,569 | |
Total Investments
|
97,762,664 | 159,823,190 | |
Cash
|
— | 13,421 | |
Receivable for investments sold
|
— | 1,685,082 | |
Dividends receivable — affiliated issuers
|
59 | 111 | |
Interest receivable — unaffiliated issuers
|
967,853 | 537,429 | |
TOTAL ASSETS
|
98,730,576 | 162,059,233 | |
LIABILITIES | |||
Payable for investments purchased
|
— | 208,763 | |
Advisory fee payable
|
54,761 | 61,948 | |
Trustees’ fees and expenses payable
|
78 | 157 | |
TOTAL LIABILITIES
|
54,839 | 270,868 | |
NET ASSETS
|
$98,675,737 | $161,788,365 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital
|
$99,889,712 | $163,593,509 | |
Total distributable earnings (loss)
|
(1,213,975) | (1,805,144) | |
NET ASSETS
|
$98,675,737 | $161,788,365 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share
|
$ 48.73 | $ 49.03 | |
Shares outstanding (unlimited amount authorized,
no par value)
|
2,025,000 | 3,300,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers
|
$97,906,722 | $155,426,091 | |
Investments in affiliated issuers
|
968,249 | 5,925,569 | |
Total cost of investments
|
$98,874,971 | $161,351,660 |
SPDR DoubleLine Total Return Tactical ETF | |
ASSETS | |
Investments in unaffiliated issuers, at
value
|
$2,824,718,694 |
Investments in affiliated issuers, at value
|
64,167,818 |
Total Investments
|
2,888,886,512 |
Receivable for investments sold
|
3,836,219 |
Dividends receivable — affiliated issuers
|
1,110 |
Interest receivable — unaffiliated issuers
|
13,322,892 |
TOTAL ASSETS
|
2,906,046,733 |
LIABILITIES | |
Due to custodian
|
606,301 |
Payable for investments purchased
|
13,449,703 |
Unrealized depreciation on unfunded loan
commitments
|
226 |
Advisory fee payable
|
1,376,996 |
Trustees’ fees and expenses payable
|
5,890 |
Accrued expenses and other liabilities
|
6,243 |
TOTAL LIABILITIES
|
15,445,359 |
NET ASSETS
|
$2,890,601,374 |
NET ASSETS CONSIST OF: | |
Paid-in Capital
|
$3,037,930,470 |
Total distributable earnings (loss)
|
(147,329,096) |
NET ASSETS
|
$2,890,601,374 |
NET ASSET VALUE PER SHARE | |
Net asset value per share
|
$ 47.50 |
Shares outstanding (unlimited amount authorized,
no par value)
|
60,850,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
|
$2,869,389,210 |
Investments in affiliated issuers
|
64,167,818 |
Total cost of investments
|
$2,933,557,028 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers
|
$ 1,841,090 | $ 1,547,507 | |
Dividend income — affiliated issuers
|
167 | 1,556 | |
Other income
|
— | 16,166 | |
Foreign taxes withheld
|
— | (342) | |
TOTAL INVESTMENT INCOME (LOSS)
|
1,841,257 | 1,564,887 | |
EXPENSES | |||
Advisory fee
|
340,275 | 413,590 | |
Trustees’ fees and expenses
|
569 | 893 | |
TOTAL EXPENSES
|
340,844 | 414,483 | |
NET INVESTMENT INCOME (LOSS)
|
$ 1,500,413 | $ 1,150,404 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers
|
1,412,092 | 81,314 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers
|
(3,301,245) | (1,879,204) | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(1,889,153) | (1,797,890) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$ (388,740) | $ (647,486) |
SPDR DoubleLine Total Return Tactical ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers
|
$ 48,792,392 |
Dividend income — affiliated issuers
|
7,332 |
Foreign taxes withheld
|
(734) |
TOTAL INVESTMENT INCOME (LOSS)
|
48,798,990 |
EXPENSES | |
Advisory fee
|
8,490,837 |
Trustees’ fees and expenses
|
19,056 |
Miscellaneous expenses
|
38 |
TOTAL EXPENSES
|
8,509,931 |
NET INVESTMENT INCOME (LOSS)
|
$ 40,289,059 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers
|
12,688,956 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
|
(54,349,555) |
Unfunded loan commitments
|
(134) |
Net change in unrealized
appreciation/depreciation
|
(54,349,689) |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(41,660,733) |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$ (1,371,674) |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss)
|
$ 1,500,413 | $ 2,779,144 | |
Net realized gain (loss)
|
1,412,092 | 3,516,700 | |
Net change in unrealized
appreciation/depreciation
|
(3,301,245) | 158,117 | |
Net increase (decrease) in net assets resulting
from operations
|
(388,740) | 6,453,961 | |
Net equalization credits and charges
|
(16,725) | 62,106 | |
Distributions to shareholders
|
(4,225,332) | (2,854,562) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold
|
3,750,085 | 40,389,997 | |
Cost of shares redeemed
|
(24,138,763) | (15,014,743) | |
Net income equalization
|
16,725 | (62,106) | |
Other Capital
|
35,389 | 174,347 | |
Net increase (decrease) in net assets from
beneficial interest transactions
|
(20,336,564) | 25,487,495 | |
Net increase (decrease) in net assets during the
period
|
(24,967,361) | 29,149,000 | |
Net assets at beginning of period
|
123,643,098 | 94,494,098 | |
NET ASSETS AT END OF PERIOD
|
$ 98,675,737 | $123,643,098 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold
|
75,000 | 800,000 | |
Shares redeemed
|
(475,000) | (300,000) | |
Net increase (decrease) from share
transactions
|
(400,000) | 500,000 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss)
|
$ 1,150,404 | $ 1,981,074 | |
Net realized gain (loss)
|
81,314 | 752,709 | |
Net change in unrealized
appreciation/depreciation
|
(1,879,204) | (316,578) | |
Net increase (decrease) in net assets resulting
from operations
|
(647,486) | 2,417,205 | |
Net equalization credits and charges
|
(17,589) | 14,932 | |
Distributions to shareholders
|
(1,951,350) | (2,110,916) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold
|
80,702,978 | 17,383,837 | |
Cost of shares redeemed
|
(76,752,258) | — | |
Net income equalization
|
17,589 | (14,932) | |
Other Capital
|
197,807 | 29,809 | |
Net increase (decrease) in net assets from
beneficial interest transactions
|
4,166,116 | 17,398,714 | |
Net increase (decrease) in net assets during the
period
|
1,549,691 | 17,719,935 | |
Net assets at beginning of period
|
160,238,674 | 142,518,739 | |
NET ASSETS AT END OF PERIOD
|
$161,788,365 | $160,238,674 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold
|
1,625,000 | 350,000 | |
Shares redeemed
|
(1,550,000) | — | |
Net increase (decrease) from share
transactions
|
75,000 | 350,000 |
SPDR DoubleLine Total Return Tactical ETF | |||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss)
|
$ 40,289,059 | $ 71,444,729 | |
Net realized gain (loss)
|
12,688,956 | 10,798,424 | |
Net change in unrealized
appreciation/depreciation
|
(54,349,689) | (57,172,329) | |
Net increase (decrease) in net assets resulting
from operations
|
(1,371,674) | 25,070,824 | |
Net equalization credits and charges
|
(3,201) | 18,500 | |
Distributions to shareholders
|
(59,290,634) | (87,675,778) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold
|
12,031,920 | 105,856,538 | |
Cost of shares redeemed
|
(249,713,026) | (46,179,065) | |
Net income equalization
|
3,201 | (18,500) | |
Other Capital
|
273,777 | 317,321 | |
Net increase (decrease) in net assets from
beneficial interest transactions
|
(237,404,128) | 59,976,294 | |
Contribution from Affiliate (Note 4)
|
— | 39,028 | |
Net increase (decrease) in net assets during the
period
|
(298,069,637) | (2,571,132) | |
Net assets at beginning of period
|
3,188,671,011 | 3,191,242,143 | |
NET ASSETS AT END OF PERIOD
|
$2,890,601,374 | $ 3,188,671,011 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold
|
250,000 | 2,150,000 | |
Shares redeemed
|
(5,200,000) | (950,000) | |
Net increase (decrease) from share
transactions
|
(4,950,000) | 1,200,000 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 | ||||||
Net asset value, beginning of period
|
$ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)
|
0.73 | 1.48 | 1.87 | 1.98 | 1.31 | 1.77 | |||||
Net realized and unrealized gain (loss)
|
(0.94) | 1.83 | (2.06) | 2.60 | (1.74) | 1.91 | |||||
Total from investment operations
|
(0.21) | 3.31 | (0.19) | 4.58 | (0.43) | 3.68 | |||||
Net equalization credits and charges (a)
|
(0.01) | 0.03 | 0.04 | 0.03 | 0.04 | 0.01 | |||||
Other capital (a)
|
0.02 | 0.09 | 0.13 | 0.08 | 0.10 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(0.84) | (1.53) | (1.91) | (1.92) | (1.36) | (1.81) | |||||
Net realized gains
|
(1.22) | — | — | — | (0.55) | (3.00) | |||||
Total distributions
|
(2.06) | (1.53) | (1.91) | (1.92) | (1.91) | (4.81) | |||||
Net asset value, end of period
|
$ 48.73 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | |||||
Total return (b)
|
(0.41)% | 7.09% | (0.04)% | 9.99% | (0.65)% | 7.67% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$98,676 | $123,643 | $94,494 | $65,050 | $48,253 | $27,748 | |||||
Ratios to average net assets: | |||||||||||
Total expenses
|
0.65%(c) | 0.72% | 0.75% | 0.75% | 0.76% | 0.75% | |||||
Net expenses
|
0.65%(c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
Net investment income (loss)
|
2.87%(c) | 2.95% | 3.77% | 4.06% | 2.64% | 3.46% | |||||
Portfolio turnover rate (d)
|
21%(e) | 77% | 54% | 37% | 55% | 141% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(e) | Not annualized. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 | ||||||
Net asset value, beginning of period
|
$ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)
|
0.31 | 0.68 | 1.08 | 1.30 | 1.02 | 1.04 | |||||
Net realized and unrealized gain (loss) (b)
|
(0.46) | 0.14 | 0.07 | 0.62 | (0.99) | (0.53) | |||||
Total from investment operations
|
(0.15) | 0.82 | 1.15 | 1.92 | 0.03 | 0.51 | |||||
Net equalization credits and charges (a)
|
(0.00)(c) | 0.01 | 0.00(c) | 0.03 | 0.05 | 0.00(c) | |||||
Other capital (a)
|
0.05 | 0.01 | 0.03 | 0.06 | 0.12 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(0.40) | (0.72) | (1.14) | (1.29) | (1.00) | (1.13) | |||||
Net realized gains
|
(0.16) | — | — | — | — | (0.23) | |||||
Total distributions
|
(0.56) | (0.72) | (1.14) | (1.29) | (1.00) | (1.36) | |||||
Net asset value, end of period
|
$ 49.03 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | |||||
Total return (d)
|
(0.20)% | 1.70% | 2.43% | 4.18% | 0.43% | 1.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$161,788 | $160,239 | $142,519 | $121,344 | $82,984 | $34,725 | |||||
Ratios to average net assets: | |||||||||||
Total expenses
|
0.45%(e) | 0.49% | 0.50% | 0.50% | 0.50% | 0.50% | |||||
Net expenses
|
0.45%(e) | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | |||||
Net investment income (loss)
|
1.25%(e) | 1.36% | 2.18% | 2.65% | 2.07% | 2.10% | |||||
Portfolio turnover rate (f)
|
64%(g) | 58% | 43% | 62% | 50% | 123% |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | ||||||
Net asset value, beginning of period
|
$ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)
|
0.63 | 1.09 | 1.37 | 1.56 | 1.34 | 1.33 | |||||
Net realized and unrealized gain (loss) (c)
|
(0.66) | (0.70) | 0.59 | 1.44 | (1.34) | (0.66) | |||||
Total from investment operations
|
(0.03) | 0.39 | 1.96 | 3.00 | 0.00 | 0.67 | |||||
Net equalization credits and charges (b)
|
(0.00)(d) | 0.00(d) | (0.00)(d) | 0.00(d) | 0.00(d) | 0.01 | |||||
Contribution from Affiliate
|
— | 0.00(d) | — | — | — | — | |||||
Other capital (b)
|
0.00(d) | 0.00 | 0.03 | 0.04 | 0.02 | 0.04 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.48) | |||||
Net realized gains
|
— | — | — | — | — | (0.08) | |||||
Total distributions
|
(0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.56) | |||||
Net asset value, end of period
|
$ 47.50 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | |||||
Total return (e)
|
(0.05)% | 0.81%(f) | 4.13% | 6.53% | 0.04% | 1.55% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$2,890,601 | $3,188,671 | $3,191,242 | $3,336,881 | $3,182,239 | $3,353,801 | |||||
Ratios to average net assets: | |||||||||||
Total expenses
|
0.55%(g) | 0.62% | 0.65% | 0.65% | 0.65% | 0.66% | |||||
Net expenses
|
0.55%(g) | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% | |||||
Net investment income (loss)
|
2.61%(g) | 2.22% | 2.80% | 3.27% | 2.78% | 2.70% | |||||
Portfolio turnover rate
|
63%(h)(i) | 82%(i) | 25%(i) | 47%(i) | 34%(j) | 72%(j) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the year ended ended June 30, 2021, the total return would have remained 0.81%. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Annual Rate | |
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
0.65% |
SPDR DoubleLine Short Duration Total Return
Tactical ETF
|
0.45 |
SPDR DoubleLine Total Return Tactical ETF
|
0.55 |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
$ — | $ — | $ 21,520,605 | $ 43,895,240 | |||
SPDR DoubleLine Short Duration Total Return
Tactical ETF
|
28,741,148 | 39,987,881 | 68,094,177 | 56,699,498 | |||
SPDR DoubleLine Total Return Tactical ETF
|
1,616,064,462 | 1,856,956,117 | 249,839,420 | 330,822,943 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
$ 98,881,769 | $ 1,144,025 | $ 2,263,130 | $ (1,119,105) | |||
SPDR DoubleLine Short Duration Total Return
Tactical ETF
|
161,359,997 | 620,583 | 2,157,390 | (1,536,807) | |||
SPDR DoubleLine Total Return Tactical ETF
|
2,934,630,786 | 41,078,193 | 86,822,241 | (45,744,048) |
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |||
Annualized Expense Ratio
|
0.65% | 0.45% | 0.55% | ||
Actual: | |||||
Ending Account Value
|
$ 995.90 | $ 998.00 | $ 999.50 | ||
Expenses Paid During Period(a)
|
3.27 | 2.27 | 2.77 | ||
Hypothetical (assuming a 5% return before expenses): | |||||
Ending Account Value
|
1,021.90 | 1,022.90 | 1,022.40 | ||
Expenses Paid During Period(a)
|
3.31 | 2.29 | 2.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
• | the Program supported each Fund’s ability to honor redemption requests timely; |
• | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |