Putnam Multi-Asset Income Fund | ||||||
The fund's portfolio | ||||||
11/30/23 (Unaudited) |
CORPORATE BONDS AND NOTES (29.0%)(a) | ||||||
Principal amount | Value | |||||
Basic materials (2.5%) | ||||||
ATI, Inc. sr. unsec. notes 7.25%, 8/15/30 | $75,000 | $75,352 | ||||
ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | 135,000 | 130,463 | ||||
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 | 105,000 | 105,607 | ||||
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 150,000 | 130,685 | ||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 6.50%, 8/1/30 | 20,000 | 19,978 | ||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 40,000 | 38,149 | ||||
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 | 40,000 | 35,325 | ||||
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 | 70,000 | 69,880 | ||||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 95,000 | 86,450 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 110,000 | 108,235 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.55%, 11/15/30 (Germany) | 140,000 | 143,562 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 198,000 | 201,655 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 194,000 | 195,710 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | 40,000 | 39,555 | ||||
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 120,000 | 106,790 | ||||
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 120,000 | 101,720 | ||||
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 10,000 | 9,662 | ||||
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 140,000 | 119,785 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 | 10,000 | 9,734 | ||||
Constellium SE sr. unsec. notes Ser. REGS, 3.125%, 7/15/29 (France) | EUR | 100,000 | 96,319 | |||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 8.625%, 6/1/31 (Canada) | $200,000 | 161,500 | ||||
FMC Corp. sr. unsec. unsub. notes 5.65%, 5/18/33 | 210,000 | 197,593 | ||||
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6.125%, 4/15/32 (Australia) | 50,000 | 48,323 | ||||
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 325,000 | 266,032 | ||||
Graphic Packaging International, LLC company guaranty sr. unsec. unsub. notes Ser. REGS, 2.625%, 2/1/29 | EUR | 100,000 | 95,889 | |||
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | $60,000 | 52,119 | ||||
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 80,000 | 75,406 | ||||
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 260,000 | 240,975 | ||||
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 270,000 | 214,650 | ||||
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 | 55,000 | 46,613 | ||||
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada)(PIK) | 20,000 | 17,000 | ||||
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | 100,000 | 89,647 | ||||
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 105,000 | 100,054 | ||||
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | 35,000 | 22,050 | ||||
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | 80,000 | 69,384 | ||||
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 | 90,000 | 75,075 | ||||
Mauser Packaging Solutions Holding Co. 144A company guaranty notes 9.25%, 4/15/27 | 70,000 | 63,702 | ||||
Mauser Packaging Solutions Holding Co. 144A sr. notes 7.875%, 8/15/26 | 90,000 | 89,404 | ||||
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 65,000 | 54,283 | ||||
Mercer International, Inc. 144A sr. unsec. notes 12.875%, 10/1/28 (Canada) | 30,000 | 31,212 | ||||
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 260,000 | 220,350 | ||||
NOVA Chemicals Corp. 144A sr. notes 8.50%, 11/15/28 (Canada) | 10,000 | 10,330 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 140,000 | 127,099 | ||||
Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28 | 45,000 | 40,894 | ||||
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 | 90,000 | 69,331 | ||||
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 | 120,000 | 108,677 | ||||
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 105,000 | 93,015 | ||||
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 130,000 | 123,078 | ||||
Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 | 75,000 | 76,125 | ||||
Summit Materials, LLC/Summit Materials Finance Corp. 144A sr. unsec. notes 7.25%, 1/15/31 | 10,000 | 10,067 | ||||
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 | 110,000 | 87,224 | ||||
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 | 125,000 | 75,906 | ||||
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 120,000 | 77,518 | ||||
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 161,000 | 182,788 | ||||
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) | 25,000 | 27,697 | ||||
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 140,000 | 136,150 | ||||
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 95,000 | 79,968 | ||||
5,381,744 | ||||||
Capital goods (2.2%) | ||||||
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 | 55,000 | 45,937 | ||||
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 80,000 | 68,851 | ||||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC sr. unsec. notes Ser. REGS, 3.00%, 9/1/29 | EUR | 100,000 | 83,760 | |||
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) | $200,000 | 206,000 | ||||
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 170,000 | 149,994 | ||||
Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 225,000 | 210,341 | ||||
Boeing Co. (The) sr. unsec. unsub. notes 6.125%, 2/15/33 | 270,000 | 280,961 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 40,000 | 40,029 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 2/1/29 (Canada) | 5,000 | 4,954 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) | 43,000 | 42,996 | ||||
Bombardier, Inc. 144A sr. unsec. unsub. notes 8.75%, 11/15/30 (Canada) | 35,000 | 35,833 | ||||
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 | 85,000 | 86,692 | ||||
Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 | 60,000 | 64,041 | ||||
Clarios Global LP 144A sr. notes 6.75%, 5/15/28 | 15,000 | 15,135 | ||||
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 155,000 | 165,215 | |||
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 | $35,000 | 29,050 | ||||
Emerald Debt Merger Sub, LLC 144A sr. notes 6.625%, 12/15/30 | 90,000 | 89,775 | ||||
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | 35,000 | 31,967 | ||||
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) | 80,000 | 71,376 | ||||
GFL Environmental, Inc. 144A sr. notes 6.75%, 1/15/31 (Canada) | 25,000 | 25,219 | ||||
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 165,000 | 136,130 | ||||
Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 | 50,000 | 49,152 | ||||
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 141,000 | 124,256 | ||||
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 300,000 | 289,655 | ||||
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 | 45,000 | 39,977 | ||||
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 120,000 | 100,679 | ||||
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 | 70,000 | 59,308 | ||||
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 260,000 | 243,058 | ||||
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 | 100,000 | 99,251 | ||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 25,000 | 25,150 | ||||
Raytheon Technologies Corp. sr. unsec. unsub. bonds 6.40%, 3/15/54 | 195,000 | 211,685 | ||||
Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 | 30,000 | 30,563 | ||||
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 60,000 | 62,250 | ||||
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 140,000 | 125,727 | ||||
RTX Corp. sr. unsec. notes 5.15%, 2/27/33 | 85,000 | 83,487 | ||||
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 | 235,000 | 225,515 | ||||
Spirit AeroSystems, Inc. 144A company guaranty sr. notes 9.75%, 11/15/30 | 75,000 | 78,979 | ||||
Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 | 35,000 | 37,845 | ||||
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | 75,000 | 68,769 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | 240,000 | 217,486 | ||||
TransDigm, Inc. 144A company guaranty sr. notes 7.125%, 12/1/31 | 15,000 | 15,257 | ||||
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 | 65,000 | 65,081 | ||||
TransDigm, Inc. 144A sr. notes 6.75%, 8/15/28 | 290,000 | 290,000 | ||||
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 | 85,000 | 76,940 | ||||
Waste Connections, Inc. sr. unsec. notes 4.25%, 12/1/28 | 215,000 | 207,043 | ||||
Waste Management, Inc. company guaranty sr. unsec. notes 4.875%, 2/15/29 | 160,000 | 160,087 | ||||
4,871,456 | ||||||
Communication services (2.2%) | ||||||
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) | 200,000 | 144,305 | ||||
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31(R) | 145,000 | 119,358 | ||||
American Tower Corp. sr. unsec. notes 3.125%, 1/15/27(R) | 275,000 | 255,246 | ||||
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) | 150,000 | 128,868 | ||||
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) | 110,000 | 101,252 | ||||
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 77,000 | 70,077 | ||||
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 | 115,000 | 75,816 | ||||
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 265,000 | 206,288 | ||||
AT&T, Inc. sr. unsec. unsub. bonds 2.25%, 2/1/32 | 180,000 | 142,659 | ||||
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 20,000 | 16,950 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 | 220,000 | 181,198 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 215,000 | 199,374 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 | 95,000 | 83,140 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 | 120,000 | 100,799 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 | 100,000 | 84,266 | ||||
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 85,000 | 78,882 | ||||
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | 105,000 | 75,135 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | 40,000 | 31,288 | ||||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | 45,000 | 41,689 | ||||
Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28(R) | 75,000 | 69,811 | ||||
Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27(R) | 90,000 | 84,118 | ||||
Crown Castle, Inc. sr. unsec. notes 4.75%, 5/15/47(R) | 45,000 | 36,739 | ||||
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 200,000 | 113,000 | ||||
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 | 135,000 | 121,479 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 | 60,000 | 27,185 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 85,000 | 68,344 | ||||
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 150,000 | 86,236 | ||||
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) | 240,000 | 212,007 | ||||
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 | 105,000 | 98,645 | ||||
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 8.75%, 5/15/30 | 60,000 | 59,830 | ||||
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 75,000 | 29,813 | ||||
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 3.80%, 3/15/32 (Canada) | 123,000 | 107,064 | ||||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 130,000 | 137,464 | ||||
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 10,000 | 9,185 | ||||
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 290,000 | 276,489 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.75%, 1/15/54 | 105,000 | 103,924 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | 205,000 | 198,139 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 | 65,000 | 55,076 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 | 150,000 | 135,943 | ||||
Time Warner Cable Enterprises, LLC company guaranty sr. unsub. notes 8.375%, 7/15/33 | 95,000 | 106,539 | ||||
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 | 160,000 | 113,154 | ||||
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 315,000 | 304,007 | ||||
Viasat, Inc. 144A sr. unsec. notes 7.50%, 5/30/31 | 70,000 | 50,050 | ||||
4,740,831 | ||||||
Consumer cyclicals (4.3%) | ||||||
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 | 125,000 | 111,104 | ||||
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 160,000 | 151,000 | ||||
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 105,000 | 99,435 | ||||
Amazon.com, Inc. sr. unsec. unsub. bonds 2.70%, 6/3/60 | 250,000 | 153,199 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 100,000 | 92,044 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 | 65,000 | 56,282 | ||||
Anywhere Real Estate Group, LLC/Anywhere Co-Issuer Corp. 144A company guaranty notes 7.00%, 4/15/30 | 16,000 | 13,820 | ||||
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 60,000 | 55,797 | ||||
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 145,000 | 143,520 | ||||
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 145,000 | 121,351 | ||||
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.45%, 4/1/27 | 105,000 | 99,539 | ||||
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 205,000 | 200,154 | ||||
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 195,000 | 172,557 | ||||
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 210,000 | 210,189 | ||||
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 | 140,000 | 123,019 | ||||
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 | 95,000 | 93,694 | ||||
Carnival Corp. 144A company guaranty sr. notes 7.00%, 8/15/29 | 25,000 | 25,489 | ||||
Carnival Corp. 144A company guaranty sr. unsec. unsub. notes 10.50%, 6/1/30 | 45,000 | 47,983 | ||||
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 120,000 | 114,069 | ||||
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) | 50,000 | 54,370 | ||||
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 | 65,000 | 55,003 | ||||
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 | 90,000 | 84,263 | ||||
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 70,000 | 63,007 | ||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 | 80,000 | 65,574 | ||||
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.25%, 3/15/29 | 50,000 | 43,750 | ||||
Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 | 140,000 | 122,724 | ||||
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 | 125,000 | 112,309 | ||||
Garda World Security Corp. 144A sr. notes 7.75%, 2/15/28 (Canada) | 90,000 | 90,450 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 216,000 | 188,592 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | 29,000 | 25,912 | ||||
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 90,000 | 81,145 | ||||
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 | 170,000 | 121,194 | ||||
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 70,000 | 67,517 | ||||
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 | 290,000 | 272,950 | ||||
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 160,000 | 111,982 | ||||
IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany)(PIK) | EUR | 100,000 | 116,524 | |||
Interpublic Group of Cos., Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 | $100,000 | 81,383 | ||||
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | 15,000 | 13,836 | ||||
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 125,000 | 108,594 | ||||
Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 | 95,000 | 84,797 | ||||
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 | 95,000 | 79,574 | ||||
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 235,000 | 230,239 | ||||
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | 150,000 | 125,625 | ||||
LGI Homes, Inc. 144A company guaranty sr. unsec. notes 8.75%, 12/15/28 | 100,000 | 102,860 | ||||
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.50%, 9/1/31 | 15,000 | 15,220 | ||||
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 195,000 | 195,488 | ||||
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 70,000 | 69,980 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 40,000 | 38,000 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 85,000 | 71,839 | ||||
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) | 70,000 | 61,633 | ||||
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 60,000 | 53,165 | ||||
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 145,000 | 132,313 | ||||
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 120,000 | 108,150 | ||||
Michaels Cos., Inc. (The) 144A sr. unsec. notes 7.875%, 5/1/29 | 35,000 | 19,897 | ||||
Moody's Corp. sr. unsec. notes 3.25%, 1/15/28 | 120,000 | 112,080 | ||||
NCL Corp., Ltd. 144A company guaranty sr. notes 8.125%, 1/15/29 | 30,000 | 30,488 | ||||
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 | 50,000 | 47,250 | ||||
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 180,000 | 167,164 | ||||
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 45,000 | 46,284 | ||||
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 235,000 | 236,537 | ||||
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 80,000 | 70,771 | ||||
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 70,000 | 67,500 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 | 60,000 | 61,530 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 | 50,000 | 47,145 | ||||
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | 40,000 | 36,271 | ||||
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 130,000 | 123,680 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 65,000 | 62,417 | ||||
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/30 | 50,000 | 50,929 | ||||
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 115,000 | 122,381 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 | 20,000 | 19,456 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 4.25%, 7/1/26 | 20,000 | 18,942 | ||||
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 70,000 | 55,293 | ||||
Sabre GLBL, Inc. 144A company guaranty sr. sub. notes 8.625%, 6/1/27 | 80,000 | 66,796 | ||||
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 | 110,000 | 98,450 | ||||
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 | 115,000 | 109,118 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 135,000 | 109,231 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 105,000 | 96,883 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 115,000 | 108,079 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 | 130,000 | 113,949 | ||||
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | 30,000 | 25,490 | ||||
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 160,000 | 144,712 | ||||
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 200,000 | 177,597 | ||||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 115,000 | 112,825 | ||||
Tapestry, Inc. company guaranty sr. unsec. notes 7.85%, 11/27/33 | 49,000 | 49,764 | ||||
Tapestry, Inc. company guaranty sr. unsec. notes 7.70%, 11/27/30 | 101,000 | 102,388 | ||||
Taylor Morrison Communities, Inc. 144A company guaranty sr. unsec. notes 5.875%, 6/15/27 | 30,000 | 29,420 | ||||
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 60,000 | 55,350 | ||||
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 35,000 | 34,059 | ||||
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 | 60,000 | 57,834 | ||||
Univision Communications, Inc. 144A sr. notes 8.00%, 8/15/28 | 15,000 | 15,163 | ||||
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 190,000 | 186,467 | ||||
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 | 70,000 | 59,341 | ||||
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 | 150,000 | 121,500 | ||||
Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 4.279%, 3/15/32 | 70,000 | 61,751 | ||||
Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 3.755%, 3/15/27 | 390,000 | 367,993 | ||||
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 | 70,000 | 63,870 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 | 140,000 | 139,300 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 90,000 | 81,056 | ||||
9,318,608 | ||||||
Consumer staples (1.4%) | ||||||
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | 205,000 | 176,727 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 80,000 | 74,801 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 115,000 | 110,481 | ||||
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 95,000 | 89,903 | ||||
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 200,000 | 188,323 | ||||
Ashtead Capital, Inc. 144A notes 4.00%, 5/1/28 | 200,000 | 183,976 | ||||
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 | EUR | 100,000 | 110,311 | |||
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 | $105,000 | 92,306 | ||||
Coty, Inc. 144A company guaranty sr. notes 4.75%, 1/15/29 | 75,000 | 69,826 | ||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 6.625%, 7/15/30 | 45,000 | 45,234 | ||||
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 95,000 | 92,544 | ||||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. notes 4.625%, 1/15/29 | 15,000 | 13,327 | ||||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 | 50,000 | 42,192 | ||||
Haleon US Capital, LLC company guaranty sr. unsec. unsub. notes 3.375%, 3/24/27 | 250,000 | 236,162 | ||||
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | 130,000 | 126,234 | ||||
Hertz Corp. (The) 144A company guaranty sr. unsec. notes 5.00%, 12/1/29 | 110,000 | 84,427 | ||||
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL 144A company guaranty sr. unsec. bonds 6.75%, 3/15/34 | 190,000 | 190,979 | ||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 | 205,000 | 175,243 | ||||
Kenvue, Inc. company guaranty sr. unsec. notes Ser. REGS, 4.90%, 3/22/33 | 353,000 | 349,891 | ||||
Kenvue, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 5.05%, 3/22/53 | 64,000 | 61,250 | ||||
Kenvue, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 5.05%, 3/22/28 | 53,000 | 53,351 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 80,000 | 71,617 | ||||
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 | 90,000 | 73,575 | ||||
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 120,000 | 111,862 | ||||
McCormick & Co., Inc. sr. unsec. notes 1.85%, 2/15/31 | 21,000 | 16,640 | ||||
McDonald's Corp. sr. unsec. unsub. bonds Ser. MTN, 6.30%, 10/15/37 | 115,000 | 124,521 | ||||
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 | 85,000 | 85,286 | ||||
US Foods, Inc. 144A company guaranty sr. unsec. notes 7.25%, 1/15/32 | 20,000 | 20,463 | ||||
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 | 50,000 | 46,347 | ||||
3,117,799 | ||||||
Energy (3.1%) | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 | 15,000 | 15,294 | ||||
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 | 70,000 | 71,688 | ||||
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 120,000 | 98,853 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 | 110,000 | 111,545 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 110,000 | 108,598 | ||||
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 105,000 | 104,155 | ||||
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 | 280,000 | 261,212 | ||||
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 220,000 | 181,122 | ||||
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 55,000 | 54,645 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.625%, 11/1/30 | 10,000 | 10,357 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 | 45,000 | 46,089 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 | 85,000 | 87,972 | ||||
Columbia Pipelines Operating Co., LLC 144A sr. unsec. bonds 6.544%, 11/15/53 | 105,000 | 106,900 | ||||
Columbia Pipelines Operating Co., LLC 144A sr. unsec. notes 5.927%, 8/15/30 | 100,000 | 100,403 | ||||
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 | 125,000 | 108,430 | ||||
Diamondback Energy, Inc. company guaranty sr. unsec. notes 6.25%, 3/15/33 | 185,000 | 191,523 | ||||
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | 125,000 | 118,534 | ||||
Ecopetrol SA sr. unsec. unsub. notes 6.875%, 4/29/30 (Colombia) | 170,000 | 161,953 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 260,000 | 253,623 | ||||
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 | 145,000 | 140,686 | ||||
EQT Corp. sr. unsec. notes 7.00%, 2/1/30 | 70,000 | 73,451 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 | 115,000 | 108,529 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 115,000 | 110,053 | ||||
KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 5.375%, 4/24/30 (Kazakhstan) | 220,000 | 207,350 | ||||
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 235,000 | 223,858 | ||||
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 | 90,000 | 89,775 | ||||
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 195,000 | 188,540 | ||||
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 420,000 | 414,107 | ||||
Occidental Petroleum Corp. sr. unsec. sub. notes 7.50%, 5/1/31 | 120,000 | 130,646 | ||||
ONEOK, Inc. company guaranty sr. unsec. sub. bonds 6.05%, 9/1/33 | 40,000 | 40,718 | ||||
ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | 165,000 | 168,054 | ||||
Ovintiv, Inc. company guaranty sr. unsec. bonds 6.25%, 7/15/33 | 80,000 | 79,751 | ||||
Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 | 59,000 | 58,821 | ||||
Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/25 | 46,000 | 45,980 | ||||
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 | 85,000 | 78,744 | ||||
Permian Resources Operating, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 | 75,000 | 72,549 | ||||
Pertamina Persero PT sr. unsec. unsub. notes Ser. REGS, 2.30%, 2/9/31 (Indonesia) | 220,000 | 179,358 | ||||
Petroleos Mexicanos company guaranty sr. unsec. notes Ser. REGS, 10.00%, 2/7/33 (Mexico) | 90,000 | 84,042 | ||||
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) | 70,000 | 63,272 | ||||
Petronas Capital, Ltd. company guaranty sr. unsec. unsub. bonds Ser. REGS, 2.48%, 1/28/32 (Malaysia) | 300,000 | 246,516 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 68,000 | 67,586 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) | 50,000 | 47,250 | ||||
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 165,000 | 153,210 | ||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp. 144A sr. unsec. notes 7.875%, 11/1/28 | 80,000 | 80,314 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 65,000 | 64,151 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 95,000 | 92,470 | ||||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 210,000 | 199,114 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 | 125,000 | 112,500 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 195,000 | 180,518 | ||||
Transocean Aquila, Ltd. 144A company guaranty sr. notes 8.00%, 9/30/28 | 20,000 | 20,039 | ||||
Transocean Titan Financing, Ltd. 144A company guaranty sr. notes 8.375%, 2/1/28 (Cayman Islands) | 120,000 | 122,400 | ||||
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 | 85,000 | 88,400 | ||||
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 | 140,000 | 139,209 | ||||
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 | 60,000 | 58,882 | ||||
Venture Global LNG, Inc. 144A sr. notes 9.875%, 2/1/32 | 70,000 | 71,739 | ||||
Venture Global LNG, Inc. 144A sr. notes 9.50%, 2/1/29 | 75,000 | 77,385 | ||||
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 | 105,000 | 103,460 | ||||
Venture Global LNG, Inc. 144A sr. notes 8.125%, 6/1/28 | 40,000 | 39,659 | ||||
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 7.375%, 11/1/31 | 50,000 | 50,600 | ||||
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 35,000 | 33,403 | ||||
6,799,985 | ||||||
Financials (5.7%) | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 355,000 | 294,258 | ||||
Air Lease Corp. sr. unsec. notes Ser. MTN, 3.00%, 2/1/30 | 265,000 | 225,822 | ||||
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 55,000 | 52,336 | ||||
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 150,000 | 131,549 | ||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 | 115,000 | 110,283 | ||||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 205,000 | 217,300 | ||||
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 205,000 | 155,069 | ||||
Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 | 85,000 | 85,948 | ||||
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 250,000 | 236,835 | ||||
Aretec Escrow Issuer 2, Inc. 144A company guaranty sr. unsec. notes 10.00%, 8/15/30 | 55,000 | 57,291 | ||||
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 | 75,000 | 63,379 | ||||
Australia and New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) | 245,000 | 189,240 | ||||
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 200,000 | 195,439 | ||||
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.551%, 2/4/28 | 105,000 | 95,658 | ||||
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 570,000 | 480,875 | ||||
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 100,000 | 102,501 | ||||
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) | 65,000 | 58,094 | ||||
Bank of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada) | 185,000 | 184,506 | ||||
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 130,000 | 116,341 | ||||
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) | 200,000 | 154,469 | ||||
Capital One Financial Corp. sr. unsec. unsub. FRN 7.624%, 10/30/31 | 110,000 | 114,963 | ||||
Capital One Financial Corp. sr. unsec. unsub. notes 3.75%, 3/9/27 | 190,000 | 177,283 | ||||
Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 | 290,000 | 289,657 | ||||
Citigroup, Inc. sub. unsec. bonds 6.174%, 5/25/34 | 64,000 | 63,508 | ||||
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 250,000 | 208,875 | ||||
Corebridge Financial, Inc. sr. unsec. notes 3.85%, 4/5/29 | 125,000 | 114,448 | ||||
Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | 170,000 | 151,931 | ||||
Deutsche Bank AG/New York, NY unsec. sub. FRB 3.729%, 1/14/32 (Germany) | 200,000 | 157,465 | ||||
EPR Properties company guaranty sr. unsec. unsub. notes 4.50%, 6/1/27(R) | 47,000 | 43,137 | ||||
Extra Space Storage LP company guaranty sr. unsec. notes 5.90%, 1/15/31(R) | 255,000 | 255,803 | ||||
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 200,000 | 194,273 | ||||
Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | 95,000 | 54,854 | ||||
Fifth Third Bancorp sr. unsec. unsub. FRN 6.339%, 7/27/29 | 150,000 | 151,420 | ||||
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 210,000 | 209,796 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 12.25%, 10/1/30 | 20,000 | 21,075 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 12.00%, 10/1/28 | 15,000 | 15,806 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 7.625%, 5/1/26 | 160,000 | 152,877 | ||||
General Motors Financial Co., Inc. sr. unsec. notes 6.40%, 1/9/33 | 130,000 | 133,432 | ||||
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 | 40,000 | 36,389 | ||||
General Motors Financial Co., Inc. sr. unsec. sub. notes 1.50%, 6/10/26 | 65,000 | 58,586 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 6.75%, 12/1/33(R) | 15,000 | 15,146 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26(R) | 200,000 | 195,438 | ||||
goeasy, Ltd. 144A company guaranty sr. unsec. notes 9.25%, 12/1/28 (Canada) | 45,000 | 46,224 | ||||
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 370,000 | 349,290 | ||||
HUB International, Ltd. 144A sr. notes 7.25%, 6/15/30 | 45,000 | 45,993 | ||||
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 | 90,000 | 89,529 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 | 165,000 | 135,279 | ||||
ING Groep NV sr. unsec. unsub. FRN 6.083%, 9/11/27 (Netherlands) | 200,000 | 201,377 | ||||
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 160,000 | 111,423 | ||||
Intercontinental Exchange, Inc. sr. unsec. notes 4.35%, 6/15/29 | 142,000 | 136,806 | ||||
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 30,000 | 29,844 | ||||
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | 180,000 | 172,772 | ||||
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (CME Term SOFR 3 Month + 1.26%), 6.641%, 5/15/47 | 110,000 | 93,776 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 280,000 | 221,632 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN 3.782%, 2/1/28 | 340,000 | 323,685 | ||||
JPMorgan Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27 | 218,000 | 221,540 | ||||
KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 | 15,000 | 13,540 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) | 75,000 | 65,298 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) | 120,000 | 110,722 | ||||
Lloyds Banking Group PLC unsec. sub. FRB 3.369%, 12/14/46 (United Kingdom) | 200,000 | 128,169 | ||||
LPL Holdings, Inc. company guaranty sr. unsec. notes 6.75%, 11/17/28 | 99,000 | 101,274 | ||||
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 | 192,000 | 121,888 | ||||
Metropolitan Life Global Funding I 144A sr. notes 2.95%, 4/9/30 | 325,000 | 280,132 | ||||
Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 | 270,000 | 265,758 | ||||
Morgan Stanley unsec. sub. notes Ser. GMTN, 4.35%, 9/8/26 | 560,000 | 543,247 | ||||
Nasdaq, Inc. sr. unsec. bonds 5.95%, 8/15/53 | 39,000 | 39,493 | ||||
Nasdaq, Inc. sr. unsec. sub. bonds 5.55%, 2/15/34 | 36,000 | 35,976 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 | 90,000 | 78,581 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 | 85,000 | 78,657 | ||||
NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | 200,000 | 199,278 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 95,000 | 92,327 | ||||
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 165,000 | 148,507 | ||||
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 | 115,000 | 111,821 | ||||
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 | 90,000 | 79,425 | ||||
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 277,000 | 246,562 | ||||
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) | 75,000 | 62,611 | ||||
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 50,000 | 49,154 | ||||
Toronto-Dominion Bank (The) sr. unsec. notes 4.108%, 6/8/27 (Canada) | 120,000 | 115,410 | ||||
UBS Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) | 250,000 | 230,185 | ||||
UBS Group AG 144A sr. unsec. FRB 9.016%, 11/15/33 (Switzerland) | 250,000 | 295,880 | ||||
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 295,000 | 217,783 | ||||
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25 | 90,000 | 89,321 | ||||
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) | 125,000 | 118,482 | ||||
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) | 45,000 | 41,667 | ||||
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 | 250,000 | 263,135 | ||||
Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | 110,000 | 87,528 | ||||
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 95,000 | 60,905 | ||||
12,575,241 | ||||||
Health care (2.4%) | ||||||
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 115,000 | 98,438 | ||||
Amgen, Inc. sr. unsec. unsub. bonds 5.75%, 3/2/63 | 375,000 | 366,971 | ||||
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | 45,000 | 42,160 | ||||
Bausch & Lomb Escrow Corp. 144A sr. notes 8.375%, 10/1/28 (Canada) | 90,000 | 92,025 | ||||
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 115,000 | 106,804 | ||||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 80,000 | 71,200 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 | 155,000 | 138,300 | ||||
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 | 100,000 | 59,000 | ||||
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 75,000 | 74,906 | ||||
Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | 100,000 | 97,577 | ||||
GE Healthcare Holding, LLC company guaranty sr. unsec. notes 5.65%, 11/15/27 | 110,000 | 111,391 | ||||
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 25,000 | 24,785 | ||||
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 75,000 | 74,632 | ||||
HCA, Inc. company guaranty sr. unsec. sub. notes 3.625%, 3/15/32 | 55,000 | 47,475 | ||||
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 | 75,000 | 74,560 | ||||
Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | 110,000 | 104,794 | ||||
Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 170,000 | 173,431 | ||||
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 200,000 | 179,925 | ||||
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 | 90,000 | 78,012 | ||||
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 | 190,000 | 168,634 | ||||
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29 | 80,000 | 72,397 | ||||
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 | 160,000 | 149,849 | ||||
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 5.30%, 5/19/53 (Singapore) | 148,000 | 144,305 | ||||
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.75%, 5/19/33 (Singapore) | 208,000 | 202,347 | ||||
Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/28 (Singapore) | 124,000 | 121,723 | ||||
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 110,000 | 105,050 | ||||
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 30,000 | 28,388 | ||||
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 345,000 | 293,940 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 | 185,000 | 177,478 | ||||
Tenet Healthcare Corp. company guaranty sr. unsub. notes 6.125%, 6/15/30 | 275,000 | 267,881 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 230,000 | 230,771 | ||||
Thermo Fisher Scientific, Inc. sr. unsec. notes 5.00%, 1/31/29 | 270,000 | 270,472 | ||||
Thermo Fisher Scientific, Inc. sr. unsec. notes 4.80%, 11/21/27 | 270,000 | 270,867 | ||||
UnitedHealth Group, Inc. sr. unsec. notes 2.95%, 10/15/27 | 235,000 | 219,177 | ||||
UnitedHealth Group, Inc. sr. unsec. unsub. notes 5.25%, 2/15/28 | 305,000 | 310,957 | ||||
Wyeth, LLC company guaranty sr. unsec. bonds 5.95%, 4/1/37 | 10,000 | 10,553 | ||||
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 148,000 | 141,119 | ||||
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 102,000 | 84,388 | ||||
5,286,682 | ||||||
Technology (2.7%) | ||||||
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 | 50,000 | 42,915 | ||||
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | 120,000 | 111,940 | ||||
Alteryx, Inc. 144A sr. unsec. unsub. notes 8.75%, 3/15/28 | 60,000 | 60,337 | ||||
Apple, Inc. sr. unsec. bonds 3.95%, 8/8/52 | 292,000 | 242,791 | ||||
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 55,000 | 49,994 | ||||
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 80,000 | 68,270 | ||||
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 190,000 | 165,545 | ||||
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 | 40,000 | 34,250 | ||||
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 | 50,000 | 49,938 | ||||
Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | 185,000 | 171,490 | ||||
Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 520,000 | 476,284 | ||||
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 | 110,000 | 84,048 | ||||
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 | 55,000 | 54,953 | ||||
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 | 105,000 | 93,962 | ||||
Cloud Software Group, Inc. 144A notes 9.00%, 9/30/29 | 120,000 | 107,850 | ||||
Cloud Software Group, Inc. 144A sr. notes. 6.50%, 3/31/29 | 255,000 | 234,824 | ||||
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 55,000 | 47,163 | ||||
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 30,000 | 23,550 | ||||
CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 150,000 | 131,701 | ||||
Fidelity National Information Services, Inc. sr. unsec. bonds 3.10%, 3/1/41 | 61,000 | 42,667 | ||||
Fidelity National Information Services, Inc. sr. unsec. notes 2.25%, 3/1/31 | 31,000 | 25,137 | ||||
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.10%, 7/15/32 | 51,000 | 50,281 | ||||
Gen Digital, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 9/30/30 | 85,000 | 86,852 | ||||
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 210,000 | 190,804 | ||||
Marvell Technology, Inc. sr. unsec. notes 5.95%, 9/15/33 | 142,000 | 143,853 | ||||
Marvell Technology, Inc. sr. unsec. notes 5.75%, 2/15/29 | 143,000 | 144,314 | ||||
Meta Platforms, Inc. sr. unsec. bonds 5.60%, 5/15/53 | 223,000 | 226,573 | ||||
Meta Platforms, Inc. sr. unsec. notes 4.95%, 5/15/33 | 178,000 | 177,027 | ||||
Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 140,000 | 119,699 | ||||
Micron Technology, Inc. sr. unsec. unsub. notes 5.875%, 9/15/33 | 270,000 | 270,244 | ||||
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 | 190,000 | 131,195 | ||||
MSCI, Inc. 144A company guaranty sr. unsec. notes 3.625%, 9/1/30 | 284,000 | 247,112 | ||||
NCR Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 | 140,000 | 128,219 | ||||
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 70,000 | 51,792 | ||||
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 290,000 | 219,723 | ||||
Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | 225,000 | 207,329 | ||||
RingCentral, Inc. 144A sr. unsec. notes 8.50%, 8/15/30 | 85,000 | 84,681 | ||||
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 130,000 | 105,788 | ||||
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 100,000 | 63,984 | ||||
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 235,000 | 155,968 | ||||
Seagate HDD Cayman company guaranty sr. unsec. notes 3.125%, 7/15/29 (Cayman Islands) | 10,000 | 7,798 | ||||
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 215,000 | 181,772 | ||||
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 250,000 | 198,813 | ||||
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 145,000 | 128,506 | ||||
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 215,000 | 185,487 | ||||
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 160,000 | 137,776 | ||||
5,965,199 | ||||||
Transportation (0.3%) | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 | 120,833 | 118,955 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 350,000 | 332,442 | ||||
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 | 80,000 | 71,417 | ||||
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 | 165,000 | 159,086 | ||||
681,900 | ||||||
Utilities and power (2.2%) | ||||||
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 170,000 | 137,186 | ||||
Alexander Funding Trust II 144A sr. notes 7.467%, 7/31/28 | 100,000 | 102,456 | ||||
American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 | 230,000 | 229,231 | ||||
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 85,000 | 81,422 | ||||
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 60,000 | 48,647 | ||||
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 100,000 | 88,414 | ||||
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 | 20,000 | 18,114 | ||||
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 40,000 | 32,420 | ||||
Constellation Energy Generation, LLC sr. unsec. bonds 6.50%, 10/1/53 | 106,000 | 110,829 | ||||
Constellation Energy Generation, LLC sr. unsec. bonds 6.125%, 1/15/34 | 44,000 | 45,161 | ||||
Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41 | 85,000 | 70,617 | ||||
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 45,000 | 42,000 | ||||
Electricite De France SA 144A sr. unsec. unsub. bonds 4.75%, 10/13/35 (France) | 225,000 | 199,713 | ||||
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 70,000 | 68,044 | ||||
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 310,000 | 250,882 | ||||
Energy Transfer LP sr. unsec. unsub. notes 6.50%, 2/1/42 | 20,000 | 20,245 | ||||
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | 275,000 | 240,950 | ||||
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | 95,000 | 78,996 | ||||
Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 | 265,000 | 261,657 | ||||
Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | 100,000 | 100,103 | ||||
Eversource Energy sr. unsec. unsub. notes 5.125%, 5/15/33 | 220,000 | 212,241 | ||||
Georgia Power Co. sr. unsec. unsub. notes 4.95%, 5/17/33 | 190,000 | 183,884 | ||||
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 55,000 | 53,836 | ||||
Kinder Morgan, Inc. company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 | 220,000 | 244,236 | ||||
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 | 190,000 | 190,684 | ||||
NRG Energy, Inc. 144A jr. unsec. sub. FRB 10.25%, perpetual maturity | 30,000 | 29,716 | ||||
NRG Energy, Inc. 144A sr. notes 2.45%, 12/2/27 | 145,000 | 127,074 | ||||
Oncor Electric Delivery Co., LLC 144A sr. bonds 4.95%, 9/15/52 | 280,000 | 254,303 | ||||
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | 40,000 | 35,284 | ||||
Pacific Gas and Electric Co. sr. bonds 6.95%, 3/15/34 | 30,000 | 31,614 | ||||
Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | 85,000 | 83,032 | ||||
Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | 90,000 | 71,608 | ||||
Pacific Gas and Electric Co. sr. notes 3.30%, 12/1/27 | 170,000 | 154,462 | ||||
PacifiCorp sr. bonds 2.70%, 9/15/30 | 105,000 | 85,743 | ||||
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 | 145,000 | 136,208 | ||||
Puget Sound Energy, Inc. sr. bonds 5.448%, 6/1/53 | 120,000 | 115,172 | ||||
Sempra Energy sr. unsec. unsub. bonds 5.50%, 8/1/33 | 105,000 | 104,087 | ||||
Southern Co. (The) sr. unsec. bonds 5.70%, 3/15/34 | 80,000 | 81,512 | ||||
Vistra Corp. 144A jr. unsec. sub. FRN 8.00%, 10/15/51 | 65,000 | 63,579 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 85,000 | 83,231 | ||||
Vistra Operations Co., LLC 144A sr. bonds 6.95%, 10/15/33 | 245,000 | 250,121 | ||||
Vistra Operations Co., LLC 144A sr. unsec. notes 7.75%, 10/15/31 | 35,000 | 35,820 | ||||
4,854,534 | ||||||
Total corporate bonds and notes (cost $63,546,868) | $63,593,979 |
COMMON STOCKS (27.2%)(a) | ||||||
Shares | Value | |||||
Basic materials (1.2%) | ||||||
AdvanSix, Inc. | 270 | $7,055 | ||||
American Vanguard Corp. | 213 | 1,998 | ||||
American Woodmark Corp.(NON) | 171 | 12,380 | ||||
Andersons, Inc. (The) | 292 | 14,559 | ||||
ArcelorMittal SA (France) | 3,422 | 86,402 | ||||
Arcosa, Inc. | 60 | 4,452 | ||||
Atkore, Inc.(NON) | 174 | 22,603 | ||||
Avient Corp. | 100 | 3,435 | ||||
Beacon Roofing Supply, Inc.(NON) | 44 | 3,536 | ||||
BHP Group, Ltd. (ASE Exchange) (Australia) | 6,342 | 194,019 | ||||
BHP Group, Ltd. (London Exchange) (Australia) | 385 | 11,704 | ||||
BlueScope Steel, Ltd. (Australia) | 5,703 | 78,304 | ||||
Boise Cascade Co. | 218 | 23,827 | ||||
Builders FirstSource, Inc.(NON) | 183 | 24,542 | ||||
Cie de Saint-Gobain SA (France) | 2,049 | 133,539 | ||||
Clearwater Paper Corp.(NON) | 108 | 3,788 | ||||
Commercial Metals Co. | 75 | 3,400 | ||||
Constellium SE (France)(NON) | 1,132 | 19,697 | ||||
CRH PLC (Ireland) | 1,117 | 70,449 | ||||
Dole PLC (Ireland) | 391 | 4,500 | ||||
Dow, Inc. | 11,375 | 588,656 | ||||
Fortescue, Ltd. (Australia) | 8,443 | 139,412 | ||||
Freeport-McMoRan, Inc. (Indonesia) | 1,231 | 45,941 | ||||
Frontdoor, Inc.(NON) | 587 | 20,152 | ||||
Glencore PLC (United Kingdom) | 5,671 | 31,796 | ||||
Innospec, Inc. | 117 | 12,293 | ||||
Janus International Group, Inc.(NON) | 316 | 3,334 | ||||
LightWave Logic, Inc.(NON) | 1,282 | 5,102 | ||||
Limbach Holdings, Inc.(NON) | 138 | 5,261 | ||||
LSB Industries, Inc.(NON) | 395 | 3,385 | ||||
LyondellBasell Industries NV Class A | 6,576 | 625,378 | ||||
Minerals Technologies, Inc. | 63 | 3,946 | ||||
Mueller Industries, Inc. | 96 | 3,987 | ||||
Orion Engineered Carbons SA (Luxembourg) | 232 | 5,529 | ||||
PotlatchDeltic Corp.(R) | 70 | 3,209 | ||||
PPG Industries, Inc. | 346 | 49,129 | ||||
Proto Labs, Inc.(NON) | 93 | 3,367 | ||||
Rio Tinto PLC (United Kingdom) | 2,303 | 157,202 | ||||
Rio Tinto, Ltd. (Australia) | 926 | 76,506 | ||||
Simpson Manufacturing Co., Inc. | 72 | 12,022 | ||||
Standex International Corp. | 29 | 3,881 | ||||
Sterling Construction Co., Inc.(NON) | 268 | 17,021 | ||||
Tronox Holdings PLC Class A | 1,272 | 16,218 | ||||
Tutor Perini Corp.(NON) | 321 | 2,687 | ||||
UFP Industries, Inc. | 257 | 28,175 | ||||
Weyerhaeuser Co.(R) | 1,390 | 43,577 | ||||
Worthington Industries, Inc. | 96 | 6,883 | ||||
2,638,238 | ||||||
Capital goods (0.8%) | ||||||
A.O. Smith Corp. | 606 | 45,668 | ||||
Adient PLC(NON) | 110 | 3,542 | ||||
Alamo Group, Inc. | 21 | 3,858 | ||||
Albany International Corp. Class A | 50 | 4,291 | ||||
Allison Transmission Holdings, Inc. | 866 | 46,314 | ||||
American Axle & Manufacturing Holdings, Inc.(NON) | 1,708 | 11,888 | ||||
Applied Industrial Technologies, Inc. | 111 | 17,768 | ||||
Argan, Inc. | 74 | 3,451 | ||||
Astronics Corp.(NON) | 250 | 3,713 | ||||
Belden, Inc. | 101 | 6,710 | ||||
Canon, Inc. (Japan) | 400 | 10,271 | ||||
Caterpillar, Inc. | 178 | 44,628 | ||||
Columbus McKinnon Corp./NY | 96 | 3,352 | ||||
Comfort Systems USA, Inc. | 26 | 5,033 | ||||
Cummins, Inc. | 213 | 47,746 | ||||
Emerson Electric Co. | 502 | 44,628 | ||||
Encore Wire Corp. | 71 | 13,085 | ||||
Enviri Corp.(NON) | 558 | 3,292 | ||||
Franklin Electric Co., Inc. | 48 | 4,272 | ||||
GEA Group AG (Germany) | 349 | 12,819 | ||||
Gentex Corp. | 1,500 | 45,615 | ||||
Gentherm, Inc.(NON) | 78 | 3,582 | ||||
GrafTech International, Ltd. | 2,717 | 6,711 | ||||
Hillenbrand, Inc. | 146 | 5,656 | ||||
Hitachi, Ltd. (Japan) | 1,000 | 69,371 | ||||
Hyster-Yale Materials Handling, Inc. | 130 | 6,197 | ||||
Interface, Inc. | 370 | 3,741 | ||||
Johnson Controls International PLC | 915 | 48,312 | ||||
Komatsu, Ltd. (Japan) | 4,200 | 106,856 | ||||
Kone Oyj Class B (Finland) | 1,088 | 48,463 | ||||
L3Harris Technologies, Inc. | 242 | 46,176 | ||||
Leggett & Platt, Inc. | 1,931 | 44,162 | ||||
LKQ Corp. | 1,075 | 47,870 | ||||
Lockheed Martin Corp. | 102 | 45,673 | ||||
MYR Group, Inc.(NON) | 32 | 3,981 | ||||
nLight, Inc.(NON) | 259 | 3,424 | ||||
O-I Glass, Inc.(NON) | 990 | 14,612 | ||||
Parker Hannifin Corp. | 113 | 48,949 | ||||
Powell Industries, Inc. | 85 | 7,069 | ||||
Republic Services, Inc. | 289 | 46,772 | ||||
Ryerson Holding Corp. | 443 | 13,720 | ||||
Shyft Group, Inc. (The) | 294 | 3,255 | ||||
Standard Motor Products, Inc. | 48 | 1,727 | ||||
Stoneridge, Inc.(NON) | 185 | 2,960 | ||||
Tennant Co. | 21 | 1,798 | ||||
Terex Corp. | 389 | 19,256 | ||||
Titan International, Inc.(NON) | 369 | 4,823 | ||||
Vertiv Holdings Co. | 14,666 | 640,318 | ||||
Vinci SA (France) | 1,250 | 153,037 | ||||
Watts Water Technologies, Inc. Class A | 130 | 25,026 | ||||
1,855,441 | ||||||
Communication services (0.8%) | ||||||
AT&T, Inc. | 44,712 | 740,878 | ||||
Comcast Corp. Class A | 2,828 | 118,465 | ||||
Crown Castle, Inc.(R) | 5,099 | 598,011 | ||||
KDDI Corp. (Japan) | 3,200 | 99,825 | ||||
Liberty Latin America, Ltd. Class C (Chile)(NON) | 851 | 5,812 | ||||
Preformed Line Products Co. | 26 | 3,240 | ||||
Verizon Communications, Inc. | 3,460 | 132,622 | ||||
Vodafone Group PLC (United Kingdom) | 118,694 | 107,118 | ||||
1,805,971 | ||||||
Conglomerates (0.6%) | ||||||
3M Co. | 7,685 | 761,353 | ||||
AMETEK, Inc. | 294 | 45,638 | ||||
Marubeni Corp. (Japan) | 7,300 | 113,592 | ||||
Mitsubishi Corp. (Japan) | 2,900 | 134,692 | ||||
Mitsui & Co., Ltd. (Japan) | 3,600 | 130,927 | ||||
SPX Technologies, Inc.(NON) | 150 | 12,797 | ||||
1,198,999 | ||||||
Consumer cyclicals (3.6%) | ||||||
AAON, Inc. | 58 | 3,631 | ||||
Aaron's Co., Inc. (The) | 877 | 7,726 | ||||
Amazon.com, Inc.(NON) | 6,525 | 953,237 | ||||
Apogee Enterprises, Inc. | 213 | 9,606 | ||||
Aristocrat Leisure, Ltd. (Australia) | 2,222 | 59,594 | ||||
Arrowhead Pharmaceuticals, Inc.(NON) | 189 | 4,007 | ||||
Automatic Data Processing, Inc. | 3,138 | 721,489 | ||||
Barrett Business Services, Inc. | 39 | 4,288 | ||||
Bayerische Motoren Werke AG (Germany) | 1,180 | 122,769 | ||||
Beazer Homes USA, Inc.(NON) | 619 | 16,286 | ||||
Best Buy Co., Inc. | 1,848 | 131,097 | ||||
Blue Bird Corp.(NON) | 232 | 4,427 | ||||
BlueLinx Holdings, Inc.(NON) | 97 | 8,521 | ||||
Booking Holdings, Inc.(NON) | 18 | 56,263 | ||||
Buckle, Inc. (The) | 105 | 4,049 | ||||
Caleres, Inc. | 540 | 16,394 | ||||
Cimpress PLC (Ireland)(NON) | 181 | 12,759 | ||||
Dana, Inc. | 281 | 3,712 | ||||
Dillard's, Inc. Class A | 57 | 19,784 | ||||
DraftKings, Inc. Class A(NON) | 7,312 | 279,611 | ||||
Expedia Group, Inc.(NON) | 388 | 52,838 | ||||
Ford Motor Co. | 53,178 | 545,606 | ||||
Forestar Group, Inc.(NON) | 277 | 8,457 | ||||
Franklin Covey Co.(NON) | 50 | 1,944 | ||||
Gap, Inc. (The) | 4,754 | 95,413 | ||||
General Motors Co. | 1,705 | 53,878 | ||||
Genuine Parts Co. | 315 | 41,826 | ||||
GMS, Inc.(NON) | 321 | 21,712 | ||||
Golden Entertainment, Inc. | 171 | 6,094 | ||||
Goodyear Tire & Rubber Co. (The)(NON) | 291 | 4,042 | ||||
Green Dot Corp. Class A(NON) | 214 | 1,716 | ||||
H & M Hennes & Mauritz AB Class B (Sweden) | 5,960 | 95,378 | ||||
Hermes International (France) | 9 | 18,696 | ||||
Hilton Worldwide Holdings, Inc. | 264 | 44,225 | ||||
Home Depot, Inc. (The) | 148 | 46,397 | ||||
Hovnanian Enterprises, Inc. Class A(NON) | 83 | 7,503 | ||||
Huron Consulting Group, Inc.(NON) | 42 | 4,375 | ||||
Industria de Diseno Textil SA (Spain) | 3,475 | 143,420 | ||||
Informa PLC (United Kingdom) | 2,747 | 25,792 | ||||
International Game Technology PLC | 768 | 20,529 | ||||
J. Jill, Inc.(NON) | 67 | 1,977 | ||||
JAKKS Pacific, Inc.(NON) | 112 | 3,297 | ||||
JD Sports Fashion PLC (United Kingdom) | 62,060 | 123,135 | ||||
JELD-WEN Holding, Inc.(NON) | 849 | 13,567 | ||||
KB Home | 82 | 4,272 | ||||
Kimberly-Clark Corp. | 376 | 46,522 | ||||
La Francaise des Jeux SAEM (France) | 1,892 | 68,520 | ||||
Laureate Education, Inc. | 1,345 | 17,660 | ||||
Lennar Corp. Class B | 2,566 | 294,423 | ||||
Light & Wonder, Inc.(NON) | 330 | 29,179 | ||||
LiveRamp Holdings, Inc.(NON) | 600 | 19,896 | ||||
Lowe's Cos., Inc. | 226 | 44,936 | ||||
LVMH Moet Hennessy Louis Vuitton SA (France) | 47 | 34,881 | ||||
M/I Homes, Inc.(NON) | 209 | 22,052 | ||||
Macy's, Inc. | 3,502 | 55,542 | ||||
Masonite International Corp.(NON) | 60 | 5,331 | ||||
MasterCraft Boat Holdings, Inc.(NON) | 168 | 3,360 | ||||
Mercedes-Benz Group AG (Germany) | 1,987 | 128,876 | ||||
Modine Manufacturing Co.(NON) | 421 | 20,713 | ||||
Monarch Casino & Resort, Inc. | 53 | 3,333 | ||||
Movado Group, Inc. | 128 | 3,347 | ||||
Netflix, Inc.(NON) | 106 | 50,241 | ||||
Nike, Inc. Class B | 426 | 46,975 | ||||
Nintendo Co., Ltd. (Japan) | 3,000 | 139,862 | ||||
Owens Corning | 363 | 49,216 | ||||
PGT Innovations, Inc.(NON) | 172 | 5,537 | ||||
PROG Holdings, Inc.(NON) | 344 | 9,377 | ||||
Publicis Groupe SA (France) | 1,368 | 116,076 | ||||
PulteGroup, Inc. | 557 | 49,250 | ||||
Red Rock Resorts, Inc. Class A | 415 | 18,480 | ||||
Ross Stores, Inc. | 5,961 | 777,195 | ||||
Ryman Hospitality Properties, Inc.(R) | 263 | 26,392 | ||||
Signet Jewelers, Ltd. | 280 | 23,010 | ||||
Sinclair, Inc. | 332 | 4,187 | ||||
Skyline Champion Corp.(NON) | 63 | 3,792 | ||||
SP Plus Corp.(NON) | 107 | 5,473 | ||||
Stellantis NV (Italy) | 6,497 | 140,942 | ||||
StoneCo., Ltd. Class A (Brazil)(NON) | 1,453 | 22,667 | ||||
Subaru Corp. (Japan) | 1,300 | 22,982 | ||||
Tapestry, Inc. | 1,747 | 55,327 | ||||
Taylor Wimpey PLC (United Kingdom) | 12,864 | 21,124 | ||||
Tesla, Inc.(NON) | 182 | 43,695 | ||||
TJX Cos., Inc. (The) | 2,591 | 228,293 | ||||
Toll Brothers, Inc. | 2,468 | 211,977 | ||||
Toyota Motor Corp. (Japan) | 1,500 | 28,273 | ||||
Trane Technologies PLC | 208 | 46,885 | ||||
Travel + Leisure Co. | 1,245 | 44,372 | ||||
TRI Pointe Homes, Inc.(NON) | 737 | 21,506 | ||||
TuSimple Holdings, Inc. Class A(NON) | 2,722 | 2,316 | ||||
Universal Music Group NV (Netherlands) | 1,411 | 37,338 | ||||
USS Co., Ltd. (Japan) | 1,500 | 29,270 | ||||
Vail Resorts, Inc. | 200 | 43,462 | ||||
Visteon Corp.(NON) | 186 | 22,073 | ||||
Volkswagen AG (Preference) (Germany) | 895 | 103,575 | ||||
Walmart, Inc. | 4,173 | 649,694 | ||||
Whirlpool Corp. | 410 | 44,649 | ||||
7,769,393 | ||||||
Consumer staples (2.1%) | ||||||
ACCO Brands Corp. | 709 | 3,814 | ||||
Brink's Co. (The) | 249 | 19,646 | ||||
British American Tobacco PLC (United Kingdom) | 4,596 | 146,249 | ||||
Cal-Maine Foods, Inc. | 74 | 3,546 | ||||
Cargurus, Inc.(NON) | 694 | 15,004 | ||||
Carrols Restaurant Group, Inc.(NON) | 623 | 4,704 | ||||
CK Hutchison Holdings, Ltd. (Hong Kong) | 19,000 | 95,227 | ||||
Coca-Cola Co. (The) | 13,744 | 803,199 | ||||
Coca-Cola Consolidated, Inc. | 33 | 24,239 | ||||
CoreCivic, Inc.(NON) | 385 | 5,571 | ||||
Coursera, Inc.(NON) | 328 | 6,478 | ||||
Dave & Buster's Entertainment, Inc.(NON) | 89 | 3,653 | ||||
DoorDash, Inc. Class A(NON) | 798 | 74,996 | ||||
Eventbrite, Inc. Class A(NON) | 463 | 3,264 | ||||
First Watch Restaurant Group, Inc.(NON) | 205 | 3,706 | ||||
Heidrick & Struggles International, Inc. | 227 | 6,170 | ||||
Hudson Technologies, Inc.(NON) | 409 | 5,051 | ||||
Imperial Brands PLC (United Kingdom) | 5,236 | 122,251 | ||||
Ingles Markets, Inc. Class A | 90 | 7,346 | ||||
Insperity, Inc. | 34 | 3,868 | ||||
Inter Parfums, Inc. | 152 | 19,024 | ||||
ITOCHU Corp. (Japan) | 3,400 | 131,588 | ||||
Itron, Inc.(NON) | 323 | 21,764 | ||||
J.M. Smucker Co. (The) | 2 | 219 | ||||
Japan Tobacco, Inc. (Japan) | 5,200 | 133,314 | ||||
John B. Sanfilippo & Son, Inc. | 48 | 4,418 | ||||
Kenvue, Inc. | 2,301 | 47,032 | ||||
Keurig Dr Pepper, Inc. | 1,459 | 46,061 | ||||
Koninklijke Ahold Delhaize NV (Netherlands) | 4,026 | 116,430 | ||||
Korn Ferry | 335 | 17,333 | ||||
Kraft Heinz Co. (The) | 1,522 | 53,437 | ||||
McDonald's Corp. | 194 | 54,677 | ||||
Molson Coors Beverage Co. Class B | 777 | 47,817 | ||||
Mondelez International, Inc. Class A | 642 | 45,621 | ||||
Nestle SA (Switzerland) | 932 | 106,090 | ||||
PepsiCo, Inc. | 280 | 47,121 | ||||
Perdoceo Education Corp. | 561 | 9,773 | ||||
Philip Morris International, Inc. | 8,646 | 807,191 | ||||
Procter & Gamble Co. (The) | 1,348 | 206,945 | ||||
Reckitt Benckiser Group PLC (United Kingdom) | 1,873 | 127,899 | ||||
Resideo Technologies, Inc.(NON) | 250 | 4,108 | ||||
Resources Connection, Inc. | 231 | 3,142 | ||||
Sally Beauty Holdings, Inc.(NON) | 433 | 4,187 | ||||
Simply Good Foods Co. (The)(NON) | 350 | 13,559 | ||||
Starbucks Corp. | 487 | 48,359 | ||||
Sumitomo Corp. (Japan) | 5,500 | 115,001 | ||||
Sysco Corp. | 324 | 23,383 | ||||
Toyota Tsusho Corp. (Japan) | 100 | 5,524 | ||||
Turning Point Brands, Inc. | 126 | 2,877 | ||||
Uber Technologies, Inc.(NON) | 14,638 | 825,290 | ||||
Unilever PLC (United Kingdom) | 3,747 | 178,526 | ||||
United Natural Foods, Inc.(NON) | 250 | 3,638 | ||||
Upwork, Inc.(NON) | 1,370 | 19,303 | ||||
USANA Health Sciences, Inc.(NON) | 75 | 3,545 | ||||
Vector Group, Ltd. | 454 | 4,862 | ||||
ZOZO, Inc. (Japan) | 2,000 | 42,156 | ||||
4,699,196 | ||||||
Energy (1.4%) | ||||||
Alpha Metallurgical Resources, Inc. | 88 | 24,689 | ||||
Amplify Energy Corp.(NON) | 523 | 3,211 | ||||
Antero Midstream Corp. | 3,544 | 47,206 | ||||
Arch Resources, Inc. | 62 | 10,290 | ||||
California Resources Corp. | 404 | 20,689 | ||||
Chevron Corp. | 796 | 114,306 | ||||
CONSOL Energy, Inc. | 223 | 23,787 | ||||
Devon Energy Corp. | 7,038 | 316,499 | ||||
DMC Global, Inc.(NON) | 207 | 3,302 | ||||
Equinor ASA (Norway) | 2,662 | 85,191 | ||||
Exxon Mobil Corp. | 8,451 | 868,256 | ||||
FutureFuel Corp. | 478 | 2,839 | ||||
Golar LNG, Ltd. (Norway) | 748 | 16,104 | ||||
Marathon Oil Corp. | 1,868 | 47,503 | ||||
Marathon Petroleum Corp. | 3,402 | 507,544 | ||||
Murphy Oil Corp. | 76 | 3,251 | ||||
Nabors Industries, Ltd.(NON) | 60 | 5,209 | ||||
Newpark Resources, Inc.(NON) | 576 | 4,003 | ||||
Norsk Hydro ASA (Norway) | 12,772 | 74,095 | ||||
NOW, Inc.(NON) | 1,133 | 11,296 | ||||
Oceaneering International, Inc.(NON) | 172 | 3,554 | ||||
OMV AG (Austria) | 2,189 | 93,241 | ||||
ONEOK, Inc. | 664 | 45,716 | ||||
Par Pacific Holdings, Inc.(NON) | 606 | 20,768 | ||||
PBF Energy, Inc. Class A | 553 | 24,553 | ||||
Peabody Energy Corp. | 181 | 4,315 | ||||
Phillips 66 | 396 | 51,040 | ||||
Repsol SA (Spain) | 4,994 | 76,656 | ||||
Shell PLC (United Kingdom) | 1,583 | 51,307 | ||||
SM Energy Co. | 517 | 19,362 | ||||
SunCoke Energy, Inc. | 751 | 6,992 | ||||
Thermon Group Holdings, Inc.(NON) | 239 | 7,206 | ||||
US Silica Holdings, Inc.(NON) | 1,276 | 14,393 | ||||
Valero Energy Corp. | 2,290 | 287,074 | ||||
W&T Offshore, Inc.(NON) | 884 | 2,953 | ||||
Warrior Met Coal, Inc. | 420 | 23,507 | ||||
Weatherford International PLC(NON) | 277 | 25,121 | ||||
Woodside Energy Group, Ltd. (Australia) | 5,596 | 114,624 | ||||
3,061,652 | ||||||
Financials (4.2%) | ||||||
3i Group PLC (United Kingdom) | 4,552 | 128,620 | ||||
AGNC Investment Corp.(R) | 5,128 | 45,229 | ||||
AIB Group PLC (Ireland) | 1,125 | 5,223 | ||||
Alexander & Baldwin, Inc.(R) | 458 | 7,672 | ||||
Allianz SE (Germany) | 552 | 138,538 | ||||
Ally Financial, Inc. | 2,852 | 83,335 | ||||
Amalgamated Financial Corp. | 169 | 3,549 | ||||
American Assets Trust, Inc.(R) | 184 | 3,706 | ||||
American Equity Investment Life Holding Co. | 421 | 23,222 | ||||
American Express Co. | 284 | 48,499 | ||||
American International Group, Inc. | 842 | 55,412 | ||||
Ameriprise Financial, Inc. | 136 | 48,077 | ||||
Amundi SA (France) | 1,624 | 100,028 | ||||
Anywhere Real Estate, Inc.(NON) | 1,813 | 9,754 | ||||
Apartment Income REIT Corp.(R) | 1,535 | 47,769 | ||||
Apple Hospitality REIT, Inc.(R) | 527 | 8,785 | ||||
Armada Hoffler Properties, Inc.(R) | 415 | 4,557 | ||||
Associated Banc-Corp. | 201 | 3,566 | ||||
Aviva PLC (United Kingdom) | 3,366 | 17,754 | ||||
AXA SA (France) | 4,556 | 141,938 | ||||
Axis Capital Holdings, Ltd. | 856 | 48,227 | ||||
Axos Financial, Inc.(NON) | 532 | 20,360 | ||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 16,096 | 149,659 | ||||
Banco Latinoamericano de Comercio Exterior SA (Panama) | 150 | 3,656 | ||||
Bank Hapoalim MB (Israel) | 14,119 | 119,455 | ||||
Bank of America Corp. | 1,623 | 49,485 | ||||
Bank of New York Mellon Corp. (The) | 924 | 44,648 | ||||
Bank of NT Butterfield & Son, Ltd. (The) (Bermuda) | 193 | 5,352 | ||||
Banner Corp. | 342 | 15,438 | ||||
Barratt Developments PLC (United Kingdom) | 7,074 | 46,010 | ||||
Berkshire Hathaway, Inc. Class B(NON) | 124 | 44,640 | ||||
BGC Group, Inc. Class A | 3,163 | 20,560 | ||||
Bread Financial Holdings, Inc. | 552 | 15,511 | ||||
BrightSpire Capital, Inc.(R) | 1,336 | 9,071 | ||||
Brixmor Property Group, Inc.(R) | 2,094 | 45,063 | ||||
Broadstone Net Lease, Inc.(R) | 242 | 3,872 | ||||
Capital One Financial Corp. | 420 | 46,897 | ||||
Cathay General Bancorp | 449 | 16,469 | ||||
Centerspace(R) | 150 | 8,001 | ||||
Central Pacific Financial Corp. | 346 | 6,079 | ||||
Citigroup, Inc. | 9,278 | 427,716 | ||||
CNA Financial Corp. | 3,565 | 150,193 | ||||
CNO Financial Group, Inc. | 836 | 22,154 | ||||
ConnectOne Bancorp, Inc. | 253 | 4,974 | ||||
COPT Defense Properties(R) | 147 | 3,557 | ||||
Corebridge Financial, Inc. | 24,285 | 510,714 | ||||
Credit Agricole SA (France) | 8,579 | 112,364 | ||||
CrossFirst Bankshares, Inc.(NON) | 178 | 1,997 | ||||
Cushman & Wakefield PLC(NON) | 992 | 8,144 | ||||
Customers Bancorp, Inc.(NON) | 381 | 17,172 | ||||
DBS Group Holdings, Ltd. (Singapore) | 2,000 | 47,455 | ||||
Discover Financial Services | 493 | 45,849 | ||||
DNB Bank ASA (Norway) | 366 | 6,971 | ||||
East West Bancorp, Inc. | 838 | 52,727 | ||||
Eastern Bankshares, Inc. | 303 | 3,624 | ||||
Elme Communities(R) | 127 | 1,669 | ||||
Employers Holdings, Inc. | 110 | 4,214 | ||||
Enova International, Inc.(NON) | 113 | 4,656 | ||||
Enterprise Financial Services Corp. | 259 | 10,155 | ||||
EPR Properties(R) | 1,077 | 48,056 | ||||
Equitable Holdings, Inc. | 2,299 | 70,556 | ||||
Equity Residential(R) | 828 | 47,064 | ||||
Erste Group Bank AG (Czech Republic) | 393 | 15,890 | ||||
Essent Group, Ltd. | 497 | 24,025 | ||||
Essential Properties Realty Trust, Inc.(R) | 166 | 3,943 | ||||
FB Financial Corp. | 223 | 7,484 | ||||
Fifth Third Bancorp | 1,610 | 46,610 | ||||
First BanCorp/Puerto Rico (Puerto Rico) | 1,421 | 21,315 | ||||
First Financial Corp./IN | 95 | 3,634 | ||||
Genworth Financial, Inc. Class A(NON) | 3,668 | 21,605 | ||||
Goldman Sachs Group, Inc. (The) | 141 | 48,157 | ||||
Granite Point Mortgage Trust, Inc.(R) | 734 | 4,037 | ||||
Hancock Whitney Corp. | 435 | 17,944 | ||||
Hanmi Financial Corp. | 312 | 5,192 | ||||
Healthpeak Properties, Inc.(R) | 2,534 | 43,889 | ||||
Heartland Financial USA, Inc. | 293 | 9,062 | ||||
Heritage Commerce Corp. | 420 | 3,566 | ||||
Hilltop Holdings, Inc. | 145 | 4,270 | ||||
Hope Bancorp, Inc. | 925 | 9,065 | ||||
Horace Mann Educators Corp. | 365 | 12,213 | ||||
HSBC Holdings PLC (United Kingdom) | 867 | 6,611 | ||||
Huntington Bancshares, Inc./OH | 4,202 | 47,315 | ||||
Independent Bank Corp./MI | 151 | 3,265 | ||||
International Bancshares Corp. | 98 | 4,397 | ||||
Intesa Sanpaolo SpA (Italy) | 35,046 | 100,867 | ||||
Invesco, Ltd. | 3,458 | 49,346 | ||||
Investor AB Class B (Sweden) | 6,028 | 125,322 | ||||
Jackson Financial, Inc. Class A | 511 | 24,390 | ||||
Janus Henderson Group PLC (United Kingdom) | 1,746 | 45,728 | ||||
JPMorgan Chase & Co. | 6,252 | 975,812 | ||||
Julius Baer Group, Ltd. (Switzerland) | 1,446 | 73,261 | ||||
Kennedy-Wilson Holdings, Inc. | 1,243 | 14,108 | ||||
Kilroy Realty Corp. | 1,491 | 49,173 | ||||
Kimco Realty Corp. | 2,441 | 47,160 | ||||
Kite Realty Group Trust(R) | 276 | 5,829 | ||||
Ladder Capital Corp.(R) | 349 | 3,912 | ||||
Lincoln National Corp. | 2,007 | 47,726 | ||||
M&G PLC (United Kingdom) | 41,463 | 109,870 | ||||
MetLife, Inc. | 7,657 | 487,215 | ||||
MFA Financial, Inc.(R) | 630 | 6,804 | ||||
MGIC Investment Corp. | 2,483 | 43,676 | ||||
Mid-America Apartment Communities, Inc.(R) | 365 | 45,435 | ||||
Mr. Cooper Group, Inc.(NON) | 390 | 23,603 | ||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 39 | 16,589 | ||||
National Bank Holdings Corp. Class A | 119 | 3,928 | ||||
National Health Investors, Inc.(R) | 203 | 11,015 | ||||
National Retail Properties, Inc. | 1,715 | 69,663 | ||||
Navient Corp. | 1,125 | 19,271 | ||||
NMI Holdings, Inc. Class A(NON) | 126 | 3,465 | ||||
NN Group NV (Netherlands) | 751 | 28,557 | ||||
Nordea Bank ABP (Finland) | 10,928 | 122,073 | ||||
NU Holdings, Ltd./Cayman Islands Class A (Brazil)(NON) | 5,915 | 48,148 | ||||
OceanFirst Financial Corp. | 262 | 3,631 | ||||
OFG Bancorp (Puerto Rico) | 345 | 11,578 | ||||
OneMain Holdings, Inc. | 1,198 | 50,675 | ||||
ORIX Corp. (Japan) | 800 | 14,561 | ||||
Oversea-Chinese Banking Corp., Ltd. (Singapore) | 5,700 | 53,434 | ||||
Pathward Financial, Inc. | 295 | 14,629 | ||||
PennyMac Financial Services, Inc. | 114 | 8,868 | ||||
Piedmont Office Realty Trust, Inc. Class A(R) | 722 | 4,491 | ||||
PNC Financial Services Group, Inc. (The) | 363 | 48,627 | ||||
Preferred Bank/Los Angeles CA | 138 | 8,505 | ||||
Premier Financial Corp. | 212 | 4,234 | ||||
Prudential Financial, Inc. | 507 | 49,574 | ||||
Public Storage(R) | 189 | 48,906 | ||||
QCR Holdings, Inc. | 82 | 4,074 | ||||
Reinsurance Group of America, Inc. | 309 | 50,386 | ||||
Retail Opportunity Investments Corp.(R) | 885 | 11,390 | ||||
Rithm Capital Corp.(R) | 68,313 | 709,089 | ||||
RLJ Lodging Trust(R) | 341 | 3,645 | ||||
RMR Group, Inc. (The) Class A | 128 | 3,050 | ||||
S&T Bancorp, Inc. | 131 | 3,667 | ||||
Sekisui House, Ltd. (Japan) | 1,000 | 20,430 | ||||
Service Properties Trust(R) | 484 | 3,461 | ||||
Simon Property Group, Inc.(R) | 4,704 | 587,483 | ||||
SiriusPoint, Ltd. (Bermuda)(NON) | 391 | 4,176 | ||||
SITE Centers Corp.(R) | 283 | 3,733 | ||||
SLM Corp. | 3,191 | 47,961 | ||||
State Street Corp. | 661 | 48,134 | ||||
Stockland (Australia) | 31,322 | 85,475 | ||||
StoneX Group, Inc.(NON) | 205 | 12,532 | ||||
Sunstone Hotel Investors, Inc.(R) | 1,994 | 19,701 | ||||
Swiss Re AG (Switzerland) | 1,121 | 132,263 | ||||
Synchrony Financial | 5,154 | 166,783 | ||||
Tanger, Inc.(R) | 151 | 3,769 | ||||
Taylor Morrison Home Corp.(NON) | 548 | 24,715 | ||||
Terreno Realty Corp.(R) | 57 | 3,255 | ||||
TPG RE Finance Trust, Inc.(R) | 606 | 3,581 | ||||
Truist Financial Corp. | 2,370 | 76,172 | ||||
TrustCo Bank Corp. NY | 123 | 3,301 | ||||
Trustmark Corp. | 154 | 3,528 | ||||
U.S. Bancorp | 1,198 | 45,668 | ||||
UDR, Inc.(R) | 1,307 | 43,654 | ||||
UMB Financial Corp. | 52 | 3,726 | ||||
United Overseas Bank, Ltd. (Singapore) | 5,000 | 101,742 | ||||
Universal Insurance Holdings, Inc. | 254 | 4,308 | ||||
Unum Group | 991 | 42,613 | ||||
Urban Edge Properties(R) | 1,194 | 20,000 | ||||
Virtu Financial, Inc. Class A | 2,819 | 50,686 | ||||
Virtus Investment Partners, Inc. | 50 | 9,781 | ||||
Wells Fargo & Co. | 7,017 | 312,888 | ||||
WesBanco, Inc. | 184 | 4,898 | ||||
Westamerica Bancorp | 272 | 13,793 | ||||
Whitestone REIT(R) | 384 | 4,209 | ||||
Xenia Hotels & Resorts, Inc.(R) | 141 | 1,722 | ||||
9,228,257 | ||||||
Health care (3.2%) | ||||||
Abbott Laboratories | 2,788 | 290,761 | ||||
AbbVie, Inc. | 6,826 | 971,954 | ||||
ACADIA Pharmaceuticals, Inc.(NON) | 924 | 20,587 | ||||
Adaptive Biotechnologies Corp.(NON) | 1,903 | 8,335 | ||||
Addus HomeCare Corp.(NON) | 43 | 3,750 | ||||
Agenus, Inc. | 3,129 | 2,432 | ||||
Alkermes PLC(NON) | 760 | 18,346 | ||||
American Well Corp. Class A(NON) | 2,147 | 2,727 | ||||
Amgen, Inc. | 178 | 47,996 | ||||
AMN Healthcare Services, Inc.(NON) | 59 | 4,000 | ||||
Amneal Pharmaceuticals, Inc.(NON) | 1,639 | 7,064 | ||||
AngioDynamics, Inc.(NON) | 502 | 3,278 | ||||
Arcellx, Inc.(NON) | 396 | 20,802 | ||||
Arcturus Therapeutics Holdings, Inc.(NON) | 596 | 14,268 | ||||
Arvinas, Inc.(NON) | 728 | 15,994 | ||||
AstraZeneca PLC (United Kingdom) | 291 | 37,234 | ||||
AtriCure, Inc.(NON) | 344 | 12,205 | ||||
Avanos Medical, Inc.(NON) | 293 | 6,314 | ||||
Biohaven, Ltd.(NON) | 652 | 21,725 | ||||
Bristol-Myers Squibb Co. | 15,705 | 775,513 | ||||
Butterfly Network, Inc.(NON) | 3,039 | 2,894 | ||||
Cardinal Health, Inc. | 6,872 | 735,854 | ||||
Castle Biosciences, Inc.(NON) | 246 | 4,918 | ||||
Catalyst Pharmaceuticals, Inc.(NON) | 269 | 3,882 | ||||
Cigna Group (The) | 170 | 44,690 | ||||
Cogent Biosciences, Inc.(NON) | 504 | 3,866 | ||||
Corcept Therapeutics, Inc.(NON) | 238 | 6,062 | ||||
Cullinan Oncology, Inc.(NON) | 225 | 1,843 | ||||
CVS Health Corp. | 7,303 | 496,239 | ||||
Dyne Therapeutics, Inc.(NON) | 399 | 4,421 | ||||
Elevance Health, Inc. | 119 | 57,059 | ||||
Eli Lilly and Co. | 83 | 49,056 | ||||
Enanta Pharmaceuticals, Inc.(NON) | 400 | 3,736 | ||||
Fate Therapeutics, Inc.(NON) | 2,481 | 6,178 | ||||
Fulgent Genetics, Inc.(NON) | 250 | 6,895 | ||||
Genelux Corp.(NON) | 214 | 2,547 | ||||
Glaukos Corp.(NON) | 103 | 6,581 | ||||
GlaxoSmithKline PLC (United Kingdom) | 8,156 | 146,691 | ||||
Health Catalyst, Inc.(NON) | 728 | 5,227 | ||||
HealthEquity, Inc.(NON) | 62 | 4,155 | ||||
Humana, Inc. | 91 | 44,122 | ||||
Immunovant, Inc.(NON) | 50 | 1,957 | ||||
Inari Medical, Inc.(NON) | 65 | 3,880 | ||||
Ipsen SA (France) | 814 | 91,909 | ||||
Johnson & Johnson | 295 | 45,625 | ||||
Keros Therapeutics, Inc.(NON) | 108 | 3,277 | ||||
Kiniksa Pharmaceuticals, Ltd. Class A(NON) | 401 | 6,484 | ||||
Lantheus Holdings, Inc.(NON) | 290 | 20,770 | ||||
Ligand Pharmaceuticals, Inc.(NON) | 59 | 3,440 | ||||
LivaNova PLC (United Kingdom)(NON) | 322 | 14,442 | ||||
MacroGenics, Inc.(NON) | 702 | 5,763 | ||||
McKesson Corp. | 104 | 48,938 | ||||
Medtronic PLC | 598 | 47,403 | ||||
Merck & Co., Inc. | 9,424 | 965,772 | ||||
MiMedx Group, Inc.(NON) | 845 | 6,566 | ||||
Mural Oncology PLC (Ireland)(NON) | 76 | 274 | ||||
Nevro Corp.(NON) | 226 | 3,914 | ||||
Novartis AG (Switzerland) | 2,362 | 230,965 | ||||
Novavax, Inc.(NON) | 1,949 | 10,720 | ||||
Novo Nordisk A/S Class B (Denmark) | 2,935 | 298,755 | ||||
Nurix Therapeutics, Inc.(NON) | 625 | 3,888 | ||||
Nuvation Bio, Inc.(NON) | 1,543 | 1,913 | ||||
Ono Pharmaceutical Co., Ltd. (Japan) | 1,000 | 18,353 | ||||
Option Care Health, Inc.(NON) | 661 | 19,665 | ||||
OraSure Technologies, Inc.(NON) | 978 | 7,159 | ||||
Orthofix Medical, Inc. (Netherlands)(NON) | 329 | 3,635 | ||||
Pacific Biosciences of California, Inc.(NON) | 487 | 4,130 | ||||
PetIQ, Inc.(NON) | 471 | 8,205 | ||||
Pfizer, Inc. | 17,667 | 538,313 | ||||
PTC Therapeutics, Inc.(NON) | 453 | 10,428 | ||||
Quanterix Corp.(NON) | 321 | 7,694 | ||||
RadNet, Inc.(NON) | 245 | 8,141 | ||||
RAPT Therapeutics, Inc.(NON) | 276 | 4,008 | ||||
Roche Holding AG (Switzerland) | 824 | 222,363 | ||||
Sabra Health Care REIT, Inc.(R) | 965 | 14,089 | ||||
SANOFI SA (France) | 1,659 | 154,536 | ||||
Schrodinger, Inc.(NON) | 130 | 4,042 | ||||
Select Medical Holdings Corp. | 547 | 12,362 | ||||
Shionogi & Co., Ltd. (Japan) | 1,800 | 84,719 | ||||
SI-BONE, Inc.(NON) | 210 | 3,982 | ||||
Sonic Healthcare, Ltd. (Australia) | 1,545 | 29,778 | ||||
STAAR Surgical Co.(NON) | 247 | 7,746 | ||||
Surmodics, Inc.(NON) | 106 | 3,479 | ||||
Takeda Pharmaceutical Co., Ltd. (Japan) | 2,000 | 56,185 | ||||
TG Therapeutics, Inc.(NON) | 415 | 5,316 | ||||
UnitedHealth Group, Inc. | 96 | 53,085 | ||||
Veradigm, Inc.(NON) | 1,117 | 12,823 | ||||
Viatris, Inc. | 4,831 | 44,349 | ||||
Vir Biotechnology, Inc.(NON) | 358 | 3,397 | ||||
Voyager Therapeutics, Inc.(NON) | 581 | 4,218 | ||||
Zymeworks, Inc.(NON) | 704 | 6,244 | ||||
7,091,300 | ||||||
Technology (8.1%) | ||||||
8x8, Inc.(NON) | 1,143 | 3,532 | ||||
A10 Networks, Inc. | 1,006 | 12,565 | ||||
Adeia, Inc. | 969 | 8,905 | ||||
Adobe, Inc.(NON) | 80 | 48,881 | ||||
Agilysys, Inc.(NON) | 120 | 10,331 | ||||
Allied Motion Technologies, Inc. | 89 | 2,321 | ||||
Alphabet, Inc. Class A(NON) | 15,101 | 2,001,336 | ||||
Ambarella, Inc.(NON) | 66 | 3,875 | ||||
Amplitude, Inc. Class A(NON) | 360 | 3,834 | ||||
AppFolio, Inc. Class A(NON) | 21 | 3,974 | ||||
Apple, Inc. | 19,749 | 3,751,323 | ||||
Applied Materials, Inc. | 313 | 46,881 | ||||
ASML Holding NV (Netherlands) | 108 | 73,529 | ||||
Atlassian Corp. Class A(NON) | 272 | 51,938 | ||||
Autodesk, Inc.(NON) | 209 | 45,652 | ||||
Axcelis Technologies, Inc.(NON) | 145 | 18,021 | ||||
Bandwidth, Inc. Class A(NON) | 449 | 4,930 | ||||
Broadcom, Inc. | 1,120 | 1,036,818 | ||||
Cadence Design Systems, Inc.(NON) | 218 | 59,573 | ||||
Calix, Inc.(NON) | 441 | 17,018 | ||||
CEVA, Inc.(NON) | 174 | 3,786 | ||||
Cisco Systems, Inc. | 16,381 | 792,513 | ||||
CommVault Systems, Inc.(NON) | 301 | 22,148 | ||||
CSG Systems International, Inc. | 237 | 11,658 | ||||
DocuSign, Inc.(NON) | 1,094 | 47,151 | ||||
Domo, Inc. Class B(NON) | 880 | 8,351 | ||||
eBay, Inc. | 15,013 | 615,683 | ||||
EnerSys | 38 | 3,362 | ||||
Enfusion, Inc. Class A(NON) | 373 | 3,816 | ||||
ESCO Technologies, Inc. | 62 | 6,509 | ||||
Extreme Networks, Inc.(NON) | 872 | 14,074 | ||||
Fidelity National Information Services, Inc. | 861 | 50,489 | ||||
Fujitsu, Ltd. (Japan) | 900 | 128,207 | ||||
Garmin, Ltd. | 384 | 46,940 | ||||
HealthStream, Inc. | 170 | 4,250 | ||||
HubSpot, Inc.(NON) | 100 | 49,393 | ||||
Intapp, Inc.(NON) | 444 | 16,650 | ||||
Integral Ad Science Holding Corp.(NON) | 861 | 12,562 | ||||
Intuit, Inc. | 97 | 55,432 | ||||
KLA Corp. | 96 | 52,284 | ||||
Lam Research Corp. | 74 | 52,978 | ||||
Leidos Holdings, Inc. | 437 | 46,899 | ||||
MaxLinear, Inc. Class A(NON) | 549 | 10,283 | ||||
Meta Platforms, Inc. Class A(NON) | 4,452 | 1,456,472 | ||||
Microsoft Corp. | 7,365 | 2,790,672 | ||||
NEC Corp. (Japan) | 2,100 | 116,714 | ||||
NetApp, Inc. | 571 | 52,184 | ||||
NetScout Systems, Inc.(NON) | 172 | 3,454 | ||||
Nexon Co., Ltd. (Japan) | 1,500 | 32,355 | ||||
NVIDIA Corp. | 3,921 | 1,833,852 | ||||
Otsuka Corp. (Japan) | 2,600 | 105,834 | ||||
PDF Solutions, Inc.(NON) | 113 | 3,389 | ||||
Pegasystems, Inc. | 863 | 44,859 | ||||
Photronics, Inc.(NON) | 163 | 3,444 | ||||
Phreesia, Inc.(NON) | 521 | 8,029 | ||||
Pinterest, Inc. Class A(NON) | 3,309 | 112,738 | ||||
PlayAGS, Inc.(NON) | 464 | 3,550 | ||||
PROS Holdings, Inc.(NON) | 331 | 12,098 | ||||
Pure Storage, Inc. Class A(NON) | 1,205 | 40,139 | ||||
Q2 Holdings, Inc.(NON) | 120 | 4,262 | ||||
Qualcomm, Inc. | 6,551 | 845,407 | ||||
Qualys, Inc.(NON) | 152 | 28,096 | ||||
Rambus, Inc.(NON) | 401 | 27,136 | ||||
Rapid7, Inc.(NON) | 407 | 22,039 | ||||
Roku, Inc.(NON) | 256 | 26,675 | ||||
Salesforce, Inc.(NON) | 205 | 51,640 | ||||
Sapiens International Corp. NV (Israel) | 243 | 6,252 | ||||
SCSK Corp. (Japan) | 6,200 | 113,913 | ||||
ServiceNow, Inc.(NON) | 83 | 56,916 | ||||
Shimadzu Corp. (Japan) | 300 | 7,760 | ||||
Smartsheet, Inc. Class A(NON) | 1,048 | 44,414 | ||||
Snowflake, Inc. Class A(NON) | 276 | 51,800 | ||||
SolarWinds Corp.(NON) | 526 | 6,096 | ||||
Spotify Technology SA (Sweden)(NON) | 261 | 48,314 | ||||
Square Enix Holdings Co., Ltd. (Japan) | 1,100 | 38,076 | ||||
Squarespace, Inc. Class A(NON) | 627 | 17,575 | ||||
STMicroelectronics NV (France) | 1,321 | 62,883 | ||||
Super Micro Computer, Inc.(NON) | 120 | 32,816 | ||||
Synaptics, Inc.(NON) | 86 | 8,707 | ||||
TIS, Inc. (Japan) | 300 | 6,327 | ||||
TTM Technologies, Inc.(NON) | 680 | 10,207 | ||||
Unisys Corp.(NON) | 867 | 4,153 | ||||
Viavi Solutions, Inc.(NON) | 395 | 3,192 | ||||
Vimeo, Inc.(NON) | 1,689 | 5,945 | ||||
Vishay Intertechnology, Inc. | 195 | 4,335 | ||||
Weave Communications, Inc.(NON) | 664 | 6,268 | ||||
Western Union Co. (The) | 34,513 | 401,386 | ||||
Xerox Holdings Corp. | 248 | 3,470 | ||||
Yext, Inc.(NON) | 1,577 | 10,456 | ||||
17,836,954 | ||||||
Transportation (0.4%) | ||||||
A.P. Moeller-Maersck A/S Class B (Denmark) | 61 | 96,251 | ||||
ArcBest Corp. | 123 | 14,660 | ||||
Ardmore Shipping Corp. (Ireland) | 345 | 4,692 | ||||
Arlo Technologies, Inc.(NON) | 949 | 8,626 | ||||
CSX Corp. | 1,448 | 46,770 | ||||
Daseke, Inc.(NON) | 490 | 2,146 | ||||
Deutsche Post AG (Germany) | 1,649 | 77,232 | ||||
FedEx Corp. | 174 | 45,036 | ||||
Hub Group, Inc. Class A(NON) | 162 | 12,239 | ||||
International Seaways, Inc. | 68 | 3,104 | ||||
Kuehne + Nagel International AG (Switzerland) | 333 | 96,389 | ||||
Matson, Inc. | 238 | 22,793 | ||||
Nippon Yusen (Japan) | 3,800 | 101,856 | ||||
Norfolk Southern Corp. | 108 | 23,561 | ||||
Scorpio Tankers, Inc. | 355 | 19,486 | ||||
SITC International Holdings Co., Ltd. (Hong Kong) | 50,000 | 75,532 | ||||
SkyWest, Inc.(NON) | 328 | 15,508 | ||||
Teekay Corp. (Bermuda)(NON) | 841 | 5,803 | ||||
Teekay Tankers, Ltd. Class A (Canada) | 341 | 16,944 | ||||
Union Pacific Corp. | 211 | 47,532 | ||||
United Parcel Service, Inc. Class B | 312 | 47,302 | ||||
783,462 | ||||||
Utilities and power (0.8%) | ||||||
ALLETE, Inc. | 394 | 21,859 | ||||
American Electric Power Co., Inc. | 574 | 45,662 | ||||
Black Hills Corp. | 65 | 3,353 | ||||
Centrica PLC (United Kingdom) | 41,358 | 77,952 | ||||
Chesapeake Utilities Corp. | 38 | 3,633 | ||||
Dominion Energy, Inc. | 979 | 44,388 | ||||
Duke Energy Corp. | 523 | 48,262 | ||||
E.ON SE (Germany) | 9,675 | 125,672 | ||||
Edison International | 750 | 50,243 | ||||
Endesa SA (Spain) | 1,091 | 22,792 | ||||
Enel SpA (Italy) | 20,765 | 147,051 | ||||
ENGIE SA (France) | 2,818 | 48,854 | ||||
Glow Energy PCL (Thailand)(NON)(F) | 35,800 | 10 | ||||
Hawaiian Electric Industries, Inc. | 3,356 | 40,910 | ||||
Kinder Morgan, Inc. | 2,786 | 48,950 | ||||
National Fuel Gas co. | 834 | 42,359 | ||||
New Jersey Resources Corp. | 126 | 5,317 | ||||
Northwest Natural Holding Co. | 209 | 7,654 | ||||
Otter Tail Corp. | 46 | 3,510 | ||||
PNM Resources, Inc. | 437 | 18,166 | ||||
Portland General Electric Co. | 166 | 6,816 | ||||
SJW Group | 108 | 7,089 | ||||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 25,989 | 31,187 | ||||
Tokyo Gas Co., Ltd. (Japan) | 1,900 | 43,918 | ||||
UGI Corp. | 2,114 | 46,487 | ||||
Unitil Corp. | 77 | 3,733 | ||||
Vistra Corp. | 19,597 | 693,889 | ||||
1,639,716 | ||||||
Total common stocks (cost $55,141,031) | $59,608,579 |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (22.6%)(a) | ||||||
Principal amount | Value | |||||
U.S. Government Guaranteed Mortgage Obligations (2.8%) | ||||||
Government National Mortgage Association Pass-Through Certificates | ||||||
6.00%, 11/20/53 | $1,177,000 | $1,201,072 | ||||
5.50%, 5/20/49 | 15,993 | 16,090 | ||||
5.00%, 5/20/49 | 49,301 | 48,420 | ||||
4.00%, with due dates from 9/20/52 to 1/20/53 | 1,169,895 | 1,077,817 | ||||
3.50%, with due dates from 3/20/47 to 11/20/49 | 1,172,586 | 1,059,916 | ||||
2.50%, TBA, 12/1/53 | 1,000,000 | 835,602 | ||||
2.50%, with due dates from 2/20/52 to 3/20/52 | 1,217,119 | 1,010,196 | ||||
2.00%, TBA, 12/1/53 | 1,000,000 | 807,559 | ||||
6,056,672 | ||||||
U.S. Government Agency Mortgage Obligations (19.8%) | ||||||
Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||||||
5.50%, 12/1/52 | 332,382 | 330,516 | ||||
4.50%, 9/1/52 | 555,027 | 520,822 | ||||
4.00%, 9/1/49 | 1,096,465 | 1,017,321 | ||||
3.50%, 8/1/43 | 213,194 | 193,534 | ||||
3.00%, with due dates from 3/1/43 to 8/1/52 | 1,402,582 | 1,207,358 | ||||
2.50%, with due dates from 1/1/52 to 4/1/52 | 4,353,660 | 3,571,981 | ||||
2.50%, 10/1/36 | 1,136,775 | 1,024,438 | ||||
2.00%, 3/1/51 | 1,297,289 | 1,015,169 | ||||
Federal National Mortgage Association Pass-Through Certificates | ||||||
6.50%, 4/1/53 | 489,533 | 498,321 | ||||
5.50%, with due dates from 1/1/38 to 11/1/52 | 841,009 | 842,696 | ||||
5.00%, with due dates from 1/1/49 to 8/1/49 | 52,853 | 51,450 | ||||
4.50%, with due dates from 5/1/49 to 1/1/53 | 575,274 | 539,669 | ||||
3.50%, 6/1/56 | 1,256,005 | 1,101,016 | ||||
3.50%, with due dates from 6/1/42 to 6/1/52 | 2,761,240 | 2,440,793 | ||||
3.00%, with due dates from 2/1/43 to 3/1/52 | 2,870,065 | 2,460,177 | ||||
2.50%, with due dates from 11/1/51 to 3/1/52 | 1,871,917 | 1,531,487 | ||||
2.00%, with due dates from 10/1/50 to 3/1/52 | 6,515,082 | 5,115,350 | ||||
2.00%, 3/1/36 | 1,176,582 | 1,035,038 | ||||
1.50%, 1/1/51 | 1,417,457 | 1,054,773 | ||||
1.50%, 7/1/36 | 1,196,271 | 1,025,953 | ||||
Uniform Mortgage-Backed Securities | ||||||
6.50%, TBA, 1/1/54 | 1,000,000 | 1,015,820 | ||||
6.50%, TBA, 12/1/53 | 1,000,000 | 1,016,250 | ||||
6.00%, TBA, 1/1/54 | 5,000,000 | 5,016,209 | ||||
6.00%, TBA, 12/1/53 | 6,000,000 | 6,020,154 | ||||
5.00%, TBA, 1/1/54 | 2,000,000 | 1,927,420 | ||||
5.00%, TBA, 12/1/53 | 2,000,000 | 1,926,639 | ||||
43,500,354 | ||||||
Total U.S. government and agency mortgage obligations (cost $50,988,384) | $49,557,026 |
U.S. TREASURY OBLIGATIONS (7.7%)(a) | ||||||
Principal amount | Value | |||||
U.S. Treasury Bonds | ||||||
3.625%, 2/15/53 | $470,000 | $401,024 | ||||
3.00%, 2/15/49 | 5,000,000 | 3,766,211 | ||||
2.75%, 8/15/42(SEG) | 6,000,000 | 4,533,750 | ||||
U.S. Treasury Notes | ||||||
2.75%, 8/15/32 | 2,700,000 | 2,384,332 | ||||
2.75%, 2/15/28 | 1,000,000 | 938,203 | ||||
1.625%, 9/30/26 | 2,500,000 | 2,313,477 | ||||
1.625%, 2/15/26 | 1,000,000 | 937,484 | ||||
1.125%, 2/15/31 | 1,900,000 | 1,531,578 | ||||
Total U.S. treasury obligations (cost $17,652,034) | $16,806,059 |
MORTGAGE-BACKED SECURITIES (9.6%)(a) | ||||||
Principal amount | Value | |||||
Commercial mortgage-backed securities (5.1%) | ||||||
AREIT CRE Trust 144A FRB Ser. 22-CRE6, Class A, 6.575%, 1/20/37 (Cayman Islands) | $138,582 | $136,773 | ||||
Banc of America Commercial Mortgage Trust | ||||||
Ser. 15-UBS7, Class AS, 3.989%, 9/15/48(WAC) | 205,000 | 193,354 | ||||
FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49(WAC) | 85,526 | 212 | ||||
BANK FRB Ser. 20-BN26, Class XA, IO, 1.326%, 3/15/63(WAC) | 2,401,894 | 126,600 | ||||
Barclays Commercial Mortgage Trust Ser. 19-C5, Class C, 3.71%, 11/15/52 | 402,000 | 298,695 | ||||
Benchmark Mortgage Trust | ||||||
Ser. 19-B12, Class A5, 3.116%, 8/15/52 | 131,000 | 114,099 | ||||
FRB Ser. 20-B21, Class XA, IO, 1.559%, 12/17/53(WAC) | 5,678,162 | 391,560 | ||||
Citigroup Commercial Mortgage Trust | ||||||
FRB Ser. 15-P1, Class B, 4.461%, 9/15/48(WAC) | 475,000 | 437,906 | ||||
Ser. 14-GC21, Class B, 4.328%, 5/10/47(WAC) | 137,000 | 126,581 | ||||
FRB Ser. 16-P6, Class B, 4.299%, 12/10/49(WAC) | 368,000 | 327,396 | ||||
COMM Mortgage Trust | ||||||
FRB Ser. 17-COR2, Class C, 4.741%, 9/10/50(WAC) | 660,000 | 500,353 | ||||
FRB Ser. 15-CR26, Class B, 4.614%, 10/10/48(WAC) | 332,000 | 293,818 | ||||
Ser. 15-DC1, Class B, 4.035%, 2/10/48(WAC) | 352,000 | 301,474 | ||||
FRB Ser. 15-LC19, Class B, 3.829%, 2/10/48(WAC) | 152,000 | 133,679 | ||||
COMM Mortgage Trust 144A Ser. 13-CR6, Class B, 3.397%, 3/10/46 | 210,954 | 176,311 | ||||
CSAIL Commercial Mortgage Trust | ||||||
Ser. 17-CX10, Class A3, 3.398%, 11/15/50 | 126,012 | 118,842 | ||||
FRB Ser. 19-C15, Class XA, IO, 1.193%, 3/15/52(WAC) | 5,756,200 | 225,789 | ||||
CSMC Trust FRB Ser. 16-NXSR, Class AS, 4.049%, 12/15/49(WAC) | 176,000 | 154,674 | ||||
GS Mortgage Securities Trust | ||||||
FRB Ser. 16-GS2, Class C, 4.854%, 5/10/49(WAC) | 489,000 | 440,329 | ||||
Ser. 14-GC22, Class B, 4.391%, 6/10/47(WAC) | 239,000 | 186,790 | ||||
JPMDB Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.917%, 6/15/51(WAC) | 187,000 | 141,789 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||
Ser. 14-C20, Class B, 4.399%, 7/15/47(WAC) | 252,000 | 235,691 | ||||
FRB Ser. 13-C10, Class C, 4.25%, 12/15/47(WAC) | 114,253 | 102,051 | ||||
Ladder Capital Commercial Mortgage Trust 144A FRB Ser. 17-LC26, Class XA, IO, 1.683%, 7/12/50(WAC) | 3,101,030 | 122,349 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||
Ser. 14-C15, Class B, 4.565%, 4/15/47(WAC) | 304,000 | 298,333 | ||||
Ser. 14-C17, Class AS, 4.011%, 8/15/47 | 388,000 | 372,286 | ||||
Ser. 14-C19, Class B, 4.00%, 12/15/47(WAC) | 402,000 | 374,179 | ||||
Ser. 16-C32, Class AS, 3.994%, 12/15/49(WAC) | 410,000 | 368,904 | ||||
Ser. 15-C22, Class B, 3.883%, 4/15/48(WAC) | 138,000 | 123,385 | ||||
Ser. 13-C9, Class B, 3.708%, 5/15/46(WAC) | 134,736 | 109,285 | ||||
FRB Ser. 16-C32, Class XA, IO, 0.791%, 12/15/49(WAC) | 9,285,629 | 153,658 | ||||
Morgan Stanley Capital I Trust | ||||||
FRB Ser. 18-L1, Class C, 4.942%, 10/15/51(WAC) | 422,000 | 327,488 | ||||
Ser. 18-L1, Class AS, 4.637%, 10/15/51(WAC) | 310,000 | 280,652 | ||||
Ser. 18-L1, Class A4, 4.407%, 10/15/51(WAC) | 221,000 | 207,796 | ||||
PFP, Ltd. 144A | ||||||
FRB Ser. 21-7, Class B, 6.844%, 4/14/38 (Cayman Islands) | 646,968 | 628,309 | ||||
FRB Ser. 21-7, Class AS, 6.594%, 4/14/38 (Cayman Islands) | 413,709 | 409,082 | ||||
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL10, Class AS, 8.413%, 10/25/39 | 371,000 | 370,827 | ||||
UBS Commercial Mortgage Trust Ser. 17-C1, Class A4, 3.46%, 6/15/50 | 210,000 | 193,083 | ||||
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.451%, 11/15/48(WAC) | 24,133 | 366 | ||||
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.137%, 10/15/44(WAC) | 362,519 | 289,217 | ||||
Wells Fargo Commercial Mortgage Trust | ||||||
Ser. 18-C47, Class AS, 4.673%, 9/15/61(WAC) | 327,000 | 301,425 | ||||
Ser. 19-C49, Class B, 4.546%, 3/15/52 | 581,000 | 489,493 | ||||
Ser. 17-C39, Class B, 4.025%, 9/15/50 | 491,000 | 429,233 | ||||
WF-RBS Commercial Mortgage Trust Ser. 13-C11, Class B, 3.714%, 3/15/45(WAC) | 242,026 | 210,412 | ||||
11,224,528 | ||||||
Residential mortgage-backed securities (non-agency) (4.5%) | ||||||
A&D Mortgage Trust 144A Ser. 23-NQM5, Class A1, 7.049%, 11/25/68 | 579,000 | 580,616 | ||||
BRAVO Residential Funding Trust 144A FRB Ser. 21-HE2, Class A1, (US 30 Day Average SOFR + 0.75%), 6.078%, 11/25/69 | 455,765 | 442,092 | ||||
COLT Mortgage Loan Trust 144A Ser. 23-3, Class A1, 7.18%, 9/25/68 | 867,465 | 873,564 | ||||
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk FRN Ser. 15-HQA1, Class M3, (US 30 Day Average SOFR + 4.81%), 10.143%, 3/25/28 | 207,016 | 214,113 | ||||
Federal Home Loan Mortgage Corporation 144A | ||||||
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 8.278%, 6/25/42 | 412,594 | 422,582 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M1A, (US 30 Day Average SOFR + 2.30%), 7.628%, 8/25/42 | 442,736 | 448,960 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 7.528%, 5/25/42 | 533,161 | 542,824 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 7.478%, 9/25/42 | 158,834 | 160,374 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 7.328%, 4/25/42 | 309,018 | 312,273 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA5, Class M2, (US 30 Day Average SOFR + 1.65%), 6.978%, 1/25/34 | 29,376 | 29,440 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 6.328%, 1/25/42 | 60,181 | 59,869 | ||||
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 6.178%, 9/25/41 | 76,132 | 75,293 | ||||
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (US 30 Day Average SOFR + 4.90%), 10.343%, 11/25/24 | 2,964 | 3,080 | ||||
Federal National Mortgage Association 144A | ||||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.328%, 1/25/42 | 543,000 | 549,109 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 8.279%, 6/25/42 | 321,304 | 329,839 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R06, Class 1M1, (US 30 Day Average SOFR + 2.75%), 8.078%, 5/25/42 | 397,953 | 407,629 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R08, Class 1M1, (US 30 Day Average SOFR + 2.55%), 7.878%, 7/25/42 | 175,819 | 180,215 | ||||
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (US 30 Day Average SOFR + 2.26%), 7.593%, 11/25/39 | 97,563 | 98,308 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R03, Class 1M1, (US 30 Day Average SOFR + 2.10%), 7.428%, 3/25/42 | 646,179 | 653,650 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 7.328%, 3/25/42 | 364,494 | 367,221 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M1, (US 30 Day Average SOFR + 1.90%), 7.228%, 4/25/42 | 210,503 | 211,029 | ||||
Connecticut Avenue Securities Trust FRB Ser. 23-R06, Class 1M1, (US 30 Day Average SOFR + 1.70%), 7.028%, 7/25/43 | 61,206 | 61,388 | ||||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 6.528%, 1/25/42 | 77,761 | 77,628 | ||||
FirstKey Homes Trust 144A Ser. 20-SFR2, Class A, 1.266%, 10/19/37 | 1,039,858 | 951,282 | ||||
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 | 22,444 | 20,864 | ||||
Mill City Mortgage Loan Trust 144A Ser. 23-NQM1, Class A1, 6.05%, 10/25/67 | 308,439 | 305,595 | ||||
MortgageIT Trust FRB Ser. 04-1, Class M2, (CME Term SOFR 1 Month + 1.12%), 6.462%, 11/25/34 | 93,655 | 86,803 | ||||
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (CME Term SOFR 1 Month + 0.54%), 5.887%, 5/25/46 | 133,598 | 115,562 | ||||
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, (CME Term SOFR 1 Month + 0.29%), 5.637%, 1/25/37 | 514,364 | 428,741 | ||||
Tricon American Homes Trust 144A Ser. 18-SFR1, Class A, 3.53%, 5/17/37 | 840,218 | 810,557 | ||||
9,820,500 | ||||||
Total mortgage-backed securities (cost $21,195,111) | $21,045,028 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.0%)(a) | ||||||
Principal amount | Value | |||||
Angola (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.75%, 4/14/32 (Angola) | $200,000 | $166,750 | ||||
Argentine (Republic of) sr. unsec. unsub. bonds 3.625%, 7/9/35 (Argentina) | 200,000 | 64,528 | ||||
Argentine (Republic of) sr. unsec. unsub. notes 0.75%, 7/9/30 (Argentina) | 240,000 | 89,003 | ||||
Bahrain (Kingdom of) sr. unsec. notes Ser. REGS, 7.375%, 5/14/30 (Bahrain) | 200,000 | 204,750 | ||||
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.75%, 1/14/50 (Brazil) | 330,000 | 238,319 | ||||
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 340,000 | 286,940 | ||||
Colombia (Republic of) sr. unsec. unsub. bonds 8.00%, 4/20/33 (Colombia) | 250,000 | 259,679 | ||||
Colombia (Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia) | 200,000 | 206,530 | ||||
Cote d'lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d'lvoire) | 250,000 | 219,375 | ||||
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) | 150,000 | 129,375 | ||||
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 7.45%, 4/30/44 (Dominican Republic) | 100,000 | 99,013 | ||||
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 153,000 | 150,489 | ||||
Ecuador (Republic of) sr. unsec. unsub. bonds Ser. REGS, 3.50%, 7/31/35 (Ecuador) | 230,000 | 81,363 | ||||
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) | 400,000 | 243,500 | ||||
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 2/28/29 (El Salvador) | 90,000 | 76,500 | ||||
Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) | 200,000 | 156,250 | ||||
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) (In default)(NON) | 250,000 | 111,875 | ||||
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 2/11/27 (Ghana) (In default)(NON) | 200,000 | 87,250 | ||||
Guatemala (Republic of) sr. unsec. unsub. bonds Ser. REGS, 3.70%, 10/7/33 (Guatemala) | 240,000 | 186,600 | ||||
Hungary (Government of) sr. unsec. bonds Ser. REGS, 5.50%, 6/16/34 (Hungary) | 210,000 | 200,046 | ||||
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 390,000 | 374,519 | ||||
Indonesia (Republic of) sr. unsec. unsub. notes 4.55%, 1/11/28 (Indonesia) | 200,000 | 195,920 | ||||
Jamaica (Government of) sr. unsec. unsub. bonds 8.00%, 3/15/39 (Jamaica) | 100,000 | 121,003 | ||||
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) | 230,000 | 207,288 | ||||
Morocco (Kingdom of) sr. unsec. bonds Ser. REGS, 3.00%, 12/15/32 (Morocco) | 200,000 | 157,000 | ||||
Mozambique (Republic of) unsec. notes Ser. REGS, 9.00%, 9/15/31 (Mozambique) | 200,000 | 159,750 | ||||
Nigeria (Government of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 11/28/27 (Nigeria) | 200,000 | 176,750 | ||||
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 7.375%, 10/28/32 (Oman) | 300,000 | 330,750 | ||||
Panama (Republic of) sr. unsec. unsub. bonds 6.70%, 1/26/36 (Panama) | 275,000 | 261,938 | ||||
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) | 200,000 | 189,250 | ||||
People's Republic of China sr. unsec. notes Ser. REGS, 1.75%, 10/26/31 (China) | 350,000 | 290,274 | ||||
Philippines (Republic of) sr. unsec. unsub. notes 3.75%, 1/14/29 (Philippines) | 200,000 | 188,911 | ||||
Qatar (State of) sr. unsec. notes Ser. REGS, 3.75%, 4/16/30 (Qatar) | 300,000 | 284,232 | ||||
Qatar (State of) sr. unsec. unsub. bonds Ser. REGS, 6.40%, 1/20/40 (Qatar) | 170,000 | 186,187 | ||||
Romania (Government of) sr. unsec. unsub. notes 6.125%, 1/22/44 (Romania) | 100,000 | 92,000 | ||||
Romania (Government of) 144A sr. unsec. unsub. notes 6.625%, 2/17/28 (Romania) | 400,000 | 406,572 | ||||
Saudi Arabia (Kingdom of) sr. unsec. bonds Ser. REGS, 4.50%, 10/26/46 (Saudi Arabia) | 230,000 | 186,565 | ||||
Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) | 200,000 | 200,250 | ||||
Serbia (Republic of) 144A sr. unsec. notes 6.50%, 9/26/33 (Serbia) | 200,000 | 196,500 | ||||
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 4/20/32 (South Africa) | 280,000 | 250,938 | ||||
Turkey (Republic of) sr. unsec. unsub. notes 8.60%, 9/24/27 (Turkey) | 200,000 | 207,250 | ||||
Ukraine (Government of) sr. unsec. notes Ser. REGS, 7.375%, 9/25/34 (Ukraine) (In default)(NON) | 370,000 | 90,650 | ||||
United Arab Emirates sr. unsec. unsub. bonds Ser. REGS, 2.875%, 10/19/41 (United Arab Emirates) | 230,000 | 162,361 | ||||
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 380,000 | 296,760 | ||||
United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) | 200,000 | 192,039 | ||||
Uruguay (Oriental Republic of) sr. unsec. bonds 5.10%, 6/18/50 (Uruguay) | 160,000 | 150,852 | ||||
Total foreign government and agency bonds and notes (cost $9,104,851) | $8,814,644 |
COLLATERALIZED LOAN OBLIGATIONS (2.2%)(a) | ||||||
Principal amount | Value | |||||
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (CME Term SOFR 3 Month + 1.36%), 6.755%, 4/15/34 (Cayman Islands) | $250,000 | $248,273 | ||||
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (CME Term SOFR 3 Month + 1.43%), 6.825%, 10/15/34 (Cayman Islands) | 250,000 | 249,150 | ||||
CBAM CLO Management, Ltd. 144A FRB Ser. 21-2A, Class AR, (CME Term SOFR 3 Month + 1.45%), 6.854%, 7/17/34 (Cayman Islands) | 200,000 | 198,839 | ||||
Elevation CLO, Ltd. 144A FRB Ser. 21-13A, Class A1, (CME Term SOFR 3 Month + 1.45%), 6.845%, 7/15/34 (Cayman Islands) | 250,000 | 247,329 | ||||
Ellington CLO III, Ltd. 144A FRB Ser. 18-3A, Class A1, (CME Term SOFR 3 Month + 1.91%), 7.327%, 7/20/30 | 170,723 | 170,465 | ||||
Elmwood CLO 19, Ltd. 144A FRB Ser. 23-6A, Class AR, (CME Term SOFR 3 Month + 1.70%), 7.097%, 10/17/36 (Cayman Islands) | 250,000 | 250,152 | ||||
Golub Capital Partners CLO, Ltd. 144A FRB Ser. 23-70A, Class A, (CME Term SOFR 3 Month + 1.75%), 7.103%, 10/25/36 (Jersey) | 250,000 | 246,787 | ||||
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (CME Term SOFR 3 Month + 1.46%), 6.855%, 7/15/34 (Cayman Islands) | 300,000 | 299,679 | ||||
ICG US CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (CME Term SOFR 3 Month + 1.43%), 6.822%, 7/28/34 | 250,000 | 246,492 | ||||
Invesco CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (CME Term SOFR 3 Month + 1.38%), 6.775%, 7/15/34 (Cayman Islands) | 250,000 | 248,283 | ||||
Juniper Valley Park CLO, LLC 144A FRB Ser. 23-1A, Class A1, (CME Term SOFR 3 Month + 1.85%), 7.266%, 7/20/35 | 250,000 | 250,295 | ||||
Magnetite XXXVII, Ltd. 144A FRB Ser. 23-37A, Class A, (CME Term SOFR 3 Month + 1.65%), 7.076%, 10/20/36 (Cayman Islands) | 250,000 | 249,600 | ||||
Rad CLO 22, Ltd. 144A FRB Ser. 23-22A, Class A1, (CME Term SOFR 3 Month + 1.83%), 7.213%, 1/20/37 (Cayman Islands) | 250,000 | 249,785 | ||||
Sound Point CLO IX, Ltd. 144A FRB Ser. 21-2A, Class ARRR, (CME Term SOFR 3 Month + 1.47%), 6.887%, 7/20/32 (Cayman Islands) | 250,000 | 247,744 | ||||
TCW CLO, Ltd. 144A FRB Ser. 21-2A, Class AS, (CME Term SOFR 3 Month + 1.44%), 6.82%, 7/25/34 (Cayman Islands) | 200,000 | 199,150 | ||||
Texas Debt Capital CLO, Ltd. 144A FRB Ser. 23-1A, Class A, (CME Term SOFR 3 Month + 1.80%), 7.216%, 4/20/36 (Cayman Islands) | 250,000 | 250,380 | ||||
Trestles CLO V, Ltd. 144A FRB Ser. 21-5A, Class A1, (CME Term SOFR 3 Month + 1.43%), 6.847%, 10/20/34 (Cayman Islands) | 300,000 | 298,316 | ||||
Venture 37 CLO, Ltd. 144A FRB Ser. 21-37A, Class A1R, (CME Term SOFR 3 Month + 1.41%), 6.805%, 7/15/32 (Cayman Islands) | 200,000 | 197,195 | ||||
Venture CLO XV, Ltd. 144A FRB Ser. 21-15A, Class AR3, (CME Term SOFR 3 Month + 1.44%), 6.835%, 7/15/32 (Cayman Islands) | 300,000 | 297,286 | ||||
Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (CME Term SOFR 3 Month + 1.52%), 6.915%, 1/15/32 (Cayman Islands) | 250,000 | 247,972 | ||||
Total collateralized loan obligations (cost $4,885,112) | $4,893,172 |
ASSET-BACKED SECURITIES (0.6%)(a) | ||||||
Principal amount | Value | |||||
Foursight Capital Automobile Receivables Trust 144A Ser. 22-2, Class A2, 4.49%, 3/16/26 | $65,752 | $65,560 | ||||
Harley-Davidson Motorcycle Trust Ser. 22-A, Class A3, 3.06%, 2/15/27 | 139,496 | 136,955 | ||||
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.707%, 10/22/24 | 520,000 | 514,800 | ||||
Station Place Securitization Trust 144A FRB Ser. 23-2, Class A1, (CME Term SOFR 1 Month + 0.95%), 6.291%, 6/29/24 | 525,000 | 524,850 | ||||
Total asset-backed securities (cost $1,211,007) | $1,242,165 |
SENIOR LOANS (0.5%)(a)(c) | ||||||
Principal amount | Value | |||||
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 9.098%, 10/19/27 | $89,318 | $89,227 | ||||
Ascend Learning, LLC bank term loan FRN (CME Term SOFR 1 Month + 5.75%), 10.98%, 11/18/29 | 80,000 | 68,129 | ||||
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.81%, 8/21/26 | 129,328 | 126,742 | ||||
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 3.75%), 8.952%, 11/23/27 | 114,145 | 107,235 | ||||
CQP Holdco LP bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 9.048%, 5/27/28 | 104,201 | 104,370 | ||||
Crocs, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.54%, 2/19/29 | 28,571 | 28,632 | ||||
DIRECTV Financing, LLC bank term loan FRN (CME Term SOFR 3 Month + 5.00%), 10.645%, 7/22/27 | 21,108 | 20,741 | ||||
Genesys Cloud Services Holdings, LLC bank term loan FRN (CME Term SOFR 3 Month + 4.00%), 9.463%, 12/1/27 | 69,464 | 69,496 | ||||
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 8.448%, 12/15/27 | 99,495 | 99,294 | ||||
Klockner-Pentaplast of America, Inc. bank term loan FRN (CME Term SOFR 6 Month + 4.73%), 10.476%, 2/4/26 | 49,745 | 45,797 | ||||
LSF11 A5 HoldCo, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 9.698%, 10/15/28 | 14,963 | 14,791 | ||||
Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.334%, 6/15/28 | 24,720 | 24,346 | ||||
Mattress Firm, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.25%), 9.95%, 9/21/28 | 74,409 | 73,712 | ||||
Michaels Cos., Inc. (The) bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.902%, 4/15/28 | 19,898 | 15,098 | ||||
Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.467%, 4/3/28 | 34,913 | 34,618 | ||||
Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.423%, 4/3/28 | 34,913 | 34,636 | ||||
Polaris Newco, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.00%), 9.298%, 6/3/28 | 44,431 | 43,187 | ||||
United Airlines, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.207%, 4/21/28 | 71,086 | 71,005 | ||||
VM Consolidated, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.593%, 3/19/28 | 64,915 | 65,064 | ||||
Total senior loans (cost $1,128,593) | $1,136,120 |
PURCHASED OPTIONS OUTSTANDING (0.2%)(a) | ||||||
Counterparty | Expiration date/strike | Notional amount | Contract amount | Value | ||
Citibank, N.A. | ||||||
S&P 500 Index (Put) | Dec-24/4500.00 | $6,764,912 | $1,481 | $293,099 | ||
S&P 500 Index (Put) | Jun-24/4500.00 | 6,764,912 | 1,481 | 188,895 | ||
Total purchased options outstanding (cost $602,915) | $481,994 |
CONVERTIBLE BONDS AND NOTES (0.2%)(a) | ||||||
Principal amount | Value | |||||
Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel) | $65,000 | $56,836 | ||||
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 | 40,000 | 44,140 | ||||
Realogy Group, LLC/Realogy Co-Issuer Corp. company guaranty cv. sr. unsec. notes 0.25%, 6/15/26 | 68,000 | 49,388 | ||||
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 70,000 | 52,850 | ||||
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 65,000 | 56,752 | ||||
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 70,000 | 56,266 | ||||
Unity Software, Inc. cv. sr. unsec. notes zero %, 11/15/26 | 70,000 | 56,455 | ||||
Total convertible bonds and notes (cost $386,158) | $372,687 |
INVESTMENT COMPANIES (0.1%)(a) | ||||||
Shares | Value | |||||
SPDR S&P 500 ETF Trust | 340 | $155,176 | ||||
SPDR S&P MidCap 400 ETF Trust | 47 | 22,035 | ||||
Total investment companies (cost $163,078) | $177,211 |
CONVERTIBLE PREFERRED STOCKS (—%)(a) | ||||||
Shares | Value | |||||
Apollo Global Management, Inc. $3.38 cv. pfd. | 1,225 | $67,975 | ||||
Total convertible preferred stocks (cost $61,250) | $67,975 |
SHORT-TERM INVESTMENTS (3.9%)(a) | ||||||
Shares | Value | |||||
Putnam Short Term Investment Fund Class P 5.57%(AFF) | 8,164,845 | $8,164,845 | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.31%(P) | 450,000 | 450,000 | ||||
Total short-term investments (cost $8,614,845) | $8,614,845 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $234,681,237) | $236,411,484 |
FORWARD CURRENCY CONTRACTS at 11/30/23 (aggregate face value $650,744) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
Morgan Stanley & Co. International PLC | |||||||
Euro | Sell | 12/20/23 | $199,267 | $197,164 | $(2,103) | ||
State Street Bank and Trust Co. | |||||||
Euro | Sell | 12/20/23 | 205,272 | 202,894 | (2,378) | ||
UBS AG | |||||||
Euro | Sell | 12/20/23 | 254,188 | 250,686 | (3,502) | ||
Unrealized appreciation | — | ||||||
Unrealized (depreciation) | (7,983) | ||||||
Total | $(7,983) | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
FUTURES CONTRACTS OUTSTANDING at 11/30/23 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
S&P 500 Index E-Mini (Short) | 7 | $1,598,730 | $1,601,863 | Dec-23 | $(22,956) | |
U.S. Treasury Bond Ultra 30 yr (Long) | 19 | 2,337,000 | 2,337,000 | Mar-24 | 26,418 | |
U.S. Treasury Note 2 yr (Long) | 58 | 11,858,734 | 11,858,734 | Mar-24 | 38,940 | |
U.S. Treasury Note 5 yr (Long) | 8 | 854,813 | 854,813 | Mar-24 | 4,607 | |
U.S. Treasury Note 10 yr (Long) | 8 | 878,375 | 878,375 | Mar-24 | 4,920 | |
Unrealized appreciation | 74,885 | |||||
Unrealized (depreciation) | (22,956) | |||||
Total | $51,929 |
WRITTEN OPTIONS OUTSTANDING at 11/30/23 (premiums $108,484) (Unaudited) | ||||||
Counterparty | Expiration date/strike | Notional amount | Contract amount | Value | ||
Citibank, N.A. | ||||||
S&P 500 Index (Put) | Dec-24/3500.00 | $6,764,912 | $1,481 | $74,249 | ||
Total | $74,249 |
TBA SALE COMMITMENTS OUTSTANDING at 11/30/23 (proceeds receivable $8,902,891) (Unaudited) | |||||
Agency | Principal amount | Settlement date | Value | ||
Uniform Mortgage-Backed Securities, 6.50%, 12/1/53 | $1,000,000 | 12/13/23 | $1,016,250 | ||
Uniform Mortgage-Backed Securities, 6.00%, 12/1/53 | 6,000,000 | 12/13/23 | 6,020,154 | ||
Uniform Mortgage-Backed Securities, 5.00%, 12/1/53 | 2,000,000 | 12/13/23 | 1,926,639 | ||
Total | $8,963,043 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 11/30/23 (Unaudited) | |||||||||||
Notional amount | Value | Upfront premium received (paid) | Termi- nation date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |||||
$1,913,000 | $11,286 | (E) | $1,442 | 12/20/25 | US SOFR — Annually | 4.80% — Annually | $12,728 | ||||
1,142,000 | 21,024 | (E) | 4,429 | 12/20/28 | 4.40% — Annually | US SOFR — Annually | (16,595) | ||||
1,361,000 | 4,056 | (E) | (21,960) | 12/20/33 | 4.00% — Annually | US SOFR — Annually | (26,016) | ||||
741,000 | 28,090 | (E) | 44,668 | 12/20/53 | US SOFR — Annually | 3.60% — Annually | 16,578 | ||||
Total | $28,579 | $(13,305) | |||||||||
(E) | Extended effective date. |
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 11/30/23 (Unaudited) | |||||||||||
Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | ||||
CDX NA HY Series 41 Index | B+/P | $(18,608) | $7,920,000 | $308,880 | 12/20/28 | 500 bp — Quarterly | $353,813 | ||||
Total | $(18,608) | $353,813 | |||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||||
*** | Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at November 30, 2023. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications. |
Key to holding's currency abbreviations | ||||||
EUR | Euro | |||||
USD / $ | United States Dollar | |||||
Key to holding's abbreviations | ||||||
BKNT | Bank Note | |||||
bp | Basis Points | |||||
CME | Chicago Mercantile Exchange | |||||
DAC | Designated Activity Company | |||||
ETF | Exchange Traded Fund | |||||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
GMTN | Global Medium Term Notes | |||||
IO | Interest Only | |||||
JSC | Joint Stock Company | |||||
MTN | Medium Term Notes | |||||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
REMICs | Real Estate Mortgage Investment Conduits | |||||
SOFR | Secured Overnight Financing Rate | |||||
SPDR | S&P Depository Receipts | |||||
TBA | To Be Announced Commitments | |||||
Notes to the fund's portfolio | ||||||
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from September 1, 2023 through November 30, 2023 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Resources, Inc., references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
(a) | Percentages indicated are based on net assets of $219,103,850. | |||||
(NON) | This security is non-income-producing. | |||||
(PIK) | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | |||||
(AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
Name of affiliate | Fair value as of 8/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 11/30/23 | |
Short-term investments | ||||||
Putnam Short Term Investment Fund** | $6,128,842 | $17,939,219 | $15,903,216 | $84,380 | $8,164,845 | |
Putnam Government Money Market Fund*** | — | 1,923,747 | 1,923,747 | 474 | — | |
Total Short-term investments | $6,128,842 | $19,862,966 | $17,826,963 | $84,854 | $8,164,845 | |
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
*** Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund. There were no realized or unrealized gains or losses during the period. | ||||||
(SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $373,464. | |||||
(c) | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | |||||
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | ||||||
(F) | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio. | |||||
(P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | |||||
(R) | Real Estate Investment Trust. | |||||
(WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
Debt obligations are considered secured unless otherwise indicated. | ||||||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | ||||||
Options contracts: The fund used options contracts to hedge against changes in values of securities it owns, owned or expects to own. | ||||||
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | ||||||
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | ||||||
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | ||||||
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | ||||||
Futures contracts: The fund used futures contracts to manage exposure to market risk and to equitize cash. | ||||||
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | ||||||
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. | ||||||
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. | ||||||
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | ||||||
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | ||||||
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | ||||||
At the close of the reporting period, the fund has deposited cash valued at $36,216 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts. | ||||||
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities. | ||||||
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | ||||||
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | ||||||
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | ||||||
At the close of the reporting period, the fund has deposited cash valued at $685,257 in a segregated account to cover margin requirements on open centrally cleared credit default contracts. | ||||||
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | ||||||
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | ||||||
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | ||||||
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund had a net liability position of $7,983 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
Valuation inputs | ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Basic materials | $2,147,146 | $491,092 | $— | |
Capital goods | 1,641,122 | 214,319 | — | |
Communication services | 1,698,853 | 107,118 | — | |
Conglomerates | 1,198,999 | — | — | |
Consumer cyclicals | 6,588,871 | 1,180,522 | — | |
Consumer staples | 3,901,751 | 797,445 | — | |
Energy | 2,681,162 | 380,490 | — | |
Financials | 7,530,394 | 1,697,863 | — | |
Health care | 5,908,847 | 1,182,453 | — | |
Technology | 17,700,542 | 136,412 | — | |
Transportation | 513,590 | 269,872 | — | |
Utilities and power | 1,186,198 | 453,508 | 10 | |
Total common stocks | 52,697,475 | 6,911,094 | 10 | |
Asset-backed securities | — | 1,242,165 | — | |
Collateralized loan obligations | — | 4,893,172 | — | |
Convertible bonds and notes | — | 372,687 | — | |
Convertible preferred stocks | — | 67,975 | — | |
Corporate bonds and notes | — | 63,593,979 | — | |
Foreign government and agency bonds and notes | — | 8,814,644 | — | |
Investment companies | 177,211 | — | — | |
Mortgage-backed securities | — | 21,045,028 | — | |
Purchased options outstanding | — | 481,994 | — | |
Senior loans | — | 1,136,120 | — | |
U.S. government and agency mortgage obligations | — | 49,557,026 | — | |
U.S. treasury obligations | — | 16,806,059 | — | |
Short-term investments | 450,000 | 8,164,845 | — | |
Totals by level | $53,324,686 | $183,086,788 | $10 | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $(7,983) | $— | |
Futures contracts | 51,929 | — | — | |
Written options outstanding | — | (74,249) | — | |
TBA sale commitments | — | (8,963,043) | — | |
Interest rate swap contracts | — | (41,884) | — | |
Credit default contracts | — | 372,421 | — | |
Totals by level | $51,929 | $(8,714,738) | $— | |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | ||||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
Purchased equity option contracts (contract amount) | $3,000 | |||
Written equity option contracts (contract amount) | $1,000 | |||
Futures contracts (number of contracts) | 100 | |||
Forward currency contracts (contract amount) | $660,000 | |||
Centrally cleared interest rate swap contracts (notional) | $5,200,000 | |||
Centrally cleared credit default contracts (notional) | $7,900,000 | |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |