|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities
|
|||
|
Canada — 0.1%
|
|
||
|
Fairstone Financial Issuance Trust I, Series 2020-1A,
Class D, 6.87%, 10/20/39(a)
|
CAD
|
1,270
|
$ 912,255
|
|
Cayman Islands(a)(b) — 3.5%
|
|
||
|
AGL CLO Ltd.
|
|
|
|
|
Series 2020-3A, Class D, (3-mo. CME Term SOFR
+ 3.56%), 8.86%, 01/15/33
|
USD
|
550
|
551,657
|
|
Series 2020-7A, Class DR, (3-mo. CME Term
SOFR + 3.36%), 8.66%, 07/15/34
|
|
250
|
250,240
|
|
AIMCO CLO, Series 2017-AA, Class DR, (3-mo. CME
Term SOFR + 3.41%), 8.69%, 04/20/34
|
|
250
|
250,775
|
|
Apidos CLO XXII, Series 2015-22A, Class CR, (3-mo.
CME Term SOFR + 3.21%), 8.49%, 04/20/31
|
|
250
|
251,980
|
|
Apidos CLO XXXV, Series 2021-35A, Class E, (3-mo.
CME Term SOFR + 6.01%), 11.29%, 04/20/34
|
|
375
|
375,557
|
|
Apidos CLO XXXVII, Series 2021-37A, Class E, (3-
mo. CME Term SOFR + 6.56%), 11.84%, 10/22/34
|
|
250
|
250,410
|
|
ARES Loan Funding I Ltd.
|
|
|
|
|
Series 2021-ALFA, Class E, (3-mo. CME Term
SOFR + 6.96%), 12.26%, 10/15/34
|
|
1,250
|
1,250,257
|
|
Series 2021-ALFA, Class SUB, 0.00%, 10/15/34
|
|
2,150
|
1,414,915
|
|
Ares LV CLO Ltd., Series 2020-55A, Class DR, (3-
mo. CME Term SOFR + 3.41%), 8.71%, 07/15/34
|
|
1,500
|
1,501,900
|
|
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-
mo. CME Term SOFR + 6.76%), 12.05%,
10/25/34
|
|
625
|
625,130
|
|
Assurant CLO IV Ltd., Series 2019-4A, Class DR,
(3-mo. CME Term SOFR + 3.91%), 9.19%,
04/20/30
|
|
1,950
|
1,970,945
|
|
Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3-
mo. CME Term SOFR + 3.31%), 8.61%, 07/15/32
|
|
2,700
|
2,697,342
|
|
Bardot CLO Ltd., Series 2019-2A, Class DR, (3-mo.
CME Term SOFR + 3.26%), 8.54%, 10/22/32
|
|
250
|
255,625
|
|
Battalion CLO IX Ltd., Series 2015-9A, Class DR,
(3-mo. CME Term SOFR + 3.51%), 8.81%,
07/15/31
|
|
250
|
248,846
|
|
Benefit Street Partners CLO XX Ltd., Series 2020-
20A, Class ER, (3-mo. CME Term SOFR + 7.01%),
12.31%, 07/15/34
|
|
250
|
250,369
|
|
BlueMountain CLO Ltd., Series 2016-2A,
Class C1R2, (3-mo. CME Term SOFR + 3.36%),
8.49%, 08/20/32
|
|
1,000
|
999,114
|
|
Canyon CLO Ltd., Series 2020-3A, Class BR, (3-mo.
CME Term SOFR + 1.95%), 7.19%, 10/15/37
|
|
750
|
753,864
|
|
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3-mo.
CME Term SOFR + 3.46%), 8.74%, 04/20/32
|
|
1,425
|
1,426,684
|
|
CarVal CLO VC Ltd., Series 2021-2A, Class E, (3-mo.
CME Term SOFR + 7.01%), 12.31%, 10/15/34
|
|
500
|
498,988
|
|
CIFC Funding Ltd., Series 2019-3A, Class CR, (3-mo.
CME Term SOFR + 3.31%), 8.60%, 10/16/34
|
|
1,000
|
1,001,235
|
|
Crown City CLO III, Series 2021-1A, Class C, (3-mo.
CME Term SOFR + 3.56%), 8.84%, 07/20/34
|
|
1,250
|
1,237,899
|
|
Crown Point CLO Ltd., Series 2020-9A, Class DR,
(3-mo. CME Term SOFR + 4.01%), 9.31%,
07/14/34
|
|
500
|
503,540
|
|
Elmwood CLO II Ltd.
|
|
|
|
|
Series 2019-2A, Class ER, (3-mo. CME Term
SOFR + 7.06%), 12.34%, 04/20/34
|
|
3,000
|
3,003,465
|
|
Series 2019-2A, Class SUB, 0.00%, 04/20/34
|
|
1,000
|
727,200
|
|
Security
|
|
Par
(000)
|
Value
|
|
Cayman Islands (continued)
|
|
||
|
Elmwood CLO X Ltd., Series 2021-3A, Class ER,
(3-mo. CME Term SOFR + 5.85%), 11.13%,
04/20/34
|
USD
|
1,000
|
$ 999,569
|
|
Flatiron CLO Ltd., Series 2019-1A, Class DR, (3-mo.
CME Term SOFR + 3.26%), 8.36%, 11/16/34
|
|
700
|
703,746
|
|
Golub Capital Partners CLO Ltd.
|
|
|
|
|
Series 2021-53A, Class E, (3-mo. CME Term
SOFR + 6.96%), 12.24%, 07/20/34
|
|
250
|
250,808
|
|
Series 2021-55A, Class E, (3-mo. CME Term
SOFR + 6.82%), 12.10%, 07/20/34
|
|
1,000
|
1,002,845
|
|
Madison Park Funding XLIX Ltd., Series 2021-49A,
Class E, (3-mo. CME Term SOFR + 6.51%),
11.79%, 10/19/34
|
|
250
|
250,102
|
|
Madison Park Funding XXIX Ltd., Series 2018-29A,
Class E, (3-mo. CME Term SOFR + 5.96%),
11.24%, 10/18/30
|
|
500
|
501,419
|
|
Niagara Park CLO Ltd., Series 2019-1A, Class ER,
(3-mo. CME Term SOFR + 6.21%), 11.50%,
07/17/32
|
|
1,000
|
1,002,734
|
|
OCP CLO Ltd.
|
|
|
|
|
Series 2019-16A, Class ER, (3-mo. CME Term
SOFR + 6.61%), 11.92%, 04/10/33
|
|
400
|
399,152
|
|
Series 2020-18A, Class D1R2, (3-mo. CME Term
SOFR + 3.10%), 8.33%, 07/20/37
|
|
500
|
505,857
|
|
Series 2020-AR, Class D1R, (3-mo. CME Term
SOFR + 3.60%), 8.88%, 04/18/37
|
|
3,500
|
3,556,431
|
|
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo.
CME Term SOFR + 3.31%), 8.61%, 07/15/34
|
|
250
|
250,163
|
|
OSD CLO Ltd., Series 2021-23A, Class E, (3-mo.
CME Term SOFR + 6.26%), 11.55%, 04/17/31
|
|
250
|
250,019
|
|
Palmer Square CLO Ltd., Series 2021-2A, Class E,
(3-mo. CME Term SOFR + 6.61%), 11.91%,
07/15/34
|
|
250
|
250,109
|
|
Palmer Square Loan Funding Ltd.
|
|
|
|
|
Series 2021-1A, Class D, (3-mo. CME Term SOFR
+ 6.26%), 11.54%, 04/20/29
|
|
1,250
|
1,249,862
|
|
Series 2021-3A, Class C, (3-mo. CME Term SOFR
+ 2.76%), 8.04%, 07/20/29
|
|
250
|
250,489
|
|
Series 2021-3A, Class D, (3-mo. CME Term SOFR
+ 5.26%), 10.54%, 07/20/29
|
|
250
|
250,387
|
|
Series 2021-4A, Class D, (3-mo. CME Term SOFR
+ 5.26%), 10.56%, 10/15/29
|
|
750
|
749,473
|
|
Series 2021-4A, Class E, (3-mo. CME Term SOFR
+ 7.77%), 13.07%, 10/15/29
|
|
500
|
501,883
|
|
Park Avenue Institutional Advisers CLO Ltd.
|
|
|
|
|
Series 2021-1A, Class D, (3-mo. CME Term SOFR
+ 7.56%), 12.84%, 01/20/34
|
|
600
|
583,033
|
|
Series 2021-2A, Class D, (3-mo. CME Term SOFR
+ 3.66%), 8.96%, 07/15/34
|
|
1,000
|
1,002,724
|
|
Pikes Peak CLO
|
|
|
|
|
Series 2019-4A, Class DR, (3-mo. CME Term
SOFR + 3.51%), 8.81%, 07/15/34
|
|
1,000
|
1,001,698
|
|
Series 2020-6A, Class ER2, (3-mo. CME Term
SOFR + 6.69%), 11.79%, 05/18/34
|
|
500
|
500,040
|
|
Post CLO Ltd., Series 2021-1A, Class E, (3-mo. CME
Term SOFR + 6.71%), 12.01%, 10/15/34
|
|
750
|
750,854
|
|
Rad CLO Ltd., Series 2020-9A, Class E, (3-mo. CME
Term SOFR + 7.85%), 13.15%, 01/15/34
|
|
5,000
|
5,053,463
|
|
Regatta XVII Funding Ltd.
|
|
|
|
|
Series 2020-1A, Class D, (3-mo. CME Term SOFR
+ 4.41%), 9.71%, 10/15/33
|
|
750
|
760,198
|
|
Series 2020-1A, Class E, (3-mo. CME Term SOFR
+ 7.87%), 13.17%, 10/15/33
|
|
250
|
250,284
|
|
Security
|
|
Par
(000)
|
Value
|
|
Cayman Islands (continued)
|
|
||
|
Regatta XX Funding Ltd., Series 2021-2A, Class D,
(3-mo. CME Term SOFR + 3.36%), 8.66%,
10/15/34
|
USD
|
1,500
|
$ 1,502,105
|
|
Regatta XXIV Funding Ltd., Series 2021-5A, Class E,
(3-mo. CME Term SOFR + 7.06%), 12.34%,
01/20/35
|
|
500
|
500,956
|
|
RR Ltd., Series 2021-19A, Class D, (3-mo. CME Term
SOFR + 6.76%), 12.06%, 10/15/35
|
|
250
|
250,031
|
|
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME
Term SOFR + 6.85%), 12.15%, 07/15/35
|
|
750
|
752,568
|
|
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E,
(3-mo. CME Term SOFR + 6.16%), 11.44%,
07/20/34
|
|
3,750
|
3,734,164
|
|
Sound Point CLO XXVI Ltd., Series 2020-1A,
Class DR, (3-mo. CME Term SOFR + 3.61%),
8.89%, 07/20/34
|
|
250
|
247,653
|
|
Stratus CLO Ltd., Series 2021-1A, Class SUB,
0.00%, 12/29/29
|
|
1,000
|
2,130
|
|
Symphony CLO XXI Ltd., Series 2019-21A,
Class DR, (3-mo. CME Term SOFR + 3.56%),
8.86%, 07/15/32
|
|
500
|
503,649
|
|
Symphony CLO XXIII Ltd., Series 2020-23A,
Class ER, (3-mo. CME Term SOFR + 6.41%),
11.71%, 01/15/34
|
|
500
|
501,637
|
|
TICP CLO XV Ltd., Series 2020-15A, Class E, (3-mo.
CME Term SOFR + 6.41%), 11.69%, 04/20/33
|
|
500
|
501,312
|
|
Trestles CLO Ltd., Series 2017-1A, Class D1RR,
(3-mo. CME Term SOFR + 3.15%), 8.42%,
07/25/37
|
|
500
|
505,883
|
|
Trimaran CAVU Ltd., Series 2019-1A, Class D, (3-mo.
CME Term SOFR + 4.41%), 9.69%, 07/20/32
|
|
1,750
|
1,732,296
|
|
Whitebox CLO I Ltd.
|
|
|
|
|
Series 2019-1A, Class D1RR, (3-mo. CME Term
SOFR + 3.10%), 8.44%, 07/24/36
|
|
250
|
252,877
|
|
Series 2019-1A, Class ERR, (3-mo. CME Term
SOFR + 5.75%), 11.09%, 07/24/36
|
|
1,300
|
1,302,929
|
|
Series 2019-1A, Class SUB, 0.00%, 07/24/36
|
|
1,000
|
727,600
|
|
Whitebox CLO II Ltd., Series 2020-2A, Class DR,
(3-mo. CME Term SOFR + 3.61%), 8.89%,
10/24/34
|
|
2,750
|
2,716,484
|
|
Whitebox CLO III Ltd.
|
|
|
|
|
Series 2021-3A, Class D, (3-mo. CME Term SOFR
+ 3.61%), 8.91%, 10/15/34
|
|
500
|
493,865
|
|
Series 2021-3A, Class DR, 10/15/35(c)
|
|
500
|
500,000
|
|
Series 2021-3A, Class E, (3-mo. CME Term SOFR
+ 7.11%), 12.41%, 10/15/34
|
|
500
|
499,195
|
|
Series 2021-3A, Class ER, 10/15/35(c)
|
|
500
|
500,000
|
|
|
|
|
62,852,613
|
|
Ireland(b) — 0.7%
|
|
||
|
AB Carval Euro CLO II-C DAC, Series 2X, Class D,
(3-mo. EURIBOR + 3.75%), 7.28%, 02/15/37(d)
|
EUR
|
250
|
277,714
|
|
Anchorage Capital Europe CLO DAC, Series 4A,
Class D, (3-mo. EURIBOR + 3.20%), 6.89%,
04/25/34(a)
|
|
868
|
967,804
|
|
Arbour CLO VI DAC, Series 6X, Class DR,
11/15/37(c)(d)
|
|
300
|
332,275
|
|
Ares European CLO XII DAC, Series 12A, Class DR,
(3-mo. EURIBOR + 3.00%), 6.69%, 04/20/32(a)
|
|
875
|
973,056
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|
||
|
Capital Four CLO VIII DAC, Series 8X, Class D,
10/25/37(c)(d)
|
EUR
|
350
|
$ 389,602
|
|
CIFC European Funding CLO III DAC, Series 3A,
Class D, (3-mo. EURIBOR + 3.60%), 7.29%,
01/15/34(a)
|
|
700
|
781,176
|
|
CVC Cordatus Loan Fund XIX DAC, Series 19A,
Class D, (3-mo. EURIBOR + 3.80%), 7.26%,
12/23/33(a)
|
|
2,300
|
2,583,889
|
|
Harvest CLO XXXII DAC, Series 2032X, Class D,
(3-mo. EURIBOR + 3.60%), 7.30%, 07/25/37(d)
|
|
209
|
232,971
|
|
Henley CLO IV DAC, Series 4A, Class D, (3-mo.
EURIBOR + 3.00%), 6.69%, 04/25/34(a)
|
|
1,000
|
1,123,680
|
|
Invesco Euro CLO V DAC, Series 5A, Class 5A, (3-
mo. EURIBOR + 3.80%), 7.49%, 01/15/34(a)
|
|
3,150
|
3,499,691
|
|
Jubilee CLO, Series 2024-29X, Class D,
01/15/39(c)(d)
|
|
370
|
411,865
|
|
Palmer Square European Loan Funding DAC,
Series 2024-2X, Class D, (3-mo. EURIBOR +
3.15%), 3.46%, 05/15/34(d)
|
|
250
|
278,264
|
|
Penta CLO DAC, Series 2024-17X, Class D, (3-mo.
EURIBOR + 3.25%), 6.81%, 08/15/38(d)
|
|
232
|
258,713
|
|
Prodigy Finance DAC(a)
|
|
|
|
|
Series 2021-1A, Class C, (1-mo. Term SOFR +
3.86%), 8.72%, 07/25/51
|
USD
|
85
|
85,168
|
|
Series 2021-1A, Class D, (1-mo. Term SOFR +
6.01%), 10.87%, 07/25/51
|
|
84
|
85,730
|
|
Providus CLO II DAC, Series 2X, Class DRR,
10/15/38(c)(d)
|
EUR
|
238
|
264,930
|
|
Sona Fios CLO III DAC, Series 3X, Class D, (3-mo.
EURIBOR + 3.25%), 6.41%, 04/20/37(d)
|
|
470
|
521,566
|
|
Tikehau CLO XII DAC, Series 2012X, Class D, (3-mo.
EURIBOR + 3.25%), 6.62%, 10/20/38(d)
|
|
340
|
378,938
|
|
|
|
|
13,447,032
|
|
United Kingdom — 0.0%
|
|
||
|
Unique Pub Finance Co. PLC, Series 02, Class N,
6.46%, 03/30/32(d)
|
GBP
|
20
|
27,510
|
|
United States — 2.9%
|
|
||
|
510 Loan Acquisition Trust, Series 2020-1, Class A,
8.11%, 09/25/60(a)
|
USD
|
3,462
|
3,435,860
|
|
Ajax Mortgage Loan Trust(a)
|
|
|
|
|
Series 2021-G, Class A, 1.88%, 06/25/61(b)
|
|
3,856
|
3,746,585
|
|
Series 2021-G, Class B, 3.75%, 06/25/61(b)
|
|
706
|
752,602
|
|
Series 2021-G, Class C, 0.00%, 06/25/61
|
|
1,266
|
1,162,524
|
|
AMSR Trust, Series 2020-SFR5, Class G, 4.11%,
11/17/37(a)
|
|
2,899
|
2,842,806
|
|
Citigroup Mortgage Loan Trust(b)
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1-mo. Term SOFR
+ 0.31%), 5.17%, 05/25/37
|
|
4,079
|
2,717,928
|
|
Series 2007-AHL3, Class A3B, (1-mo. Term SOFR
+ 0.28%), 5.14%, 07/25/45
|
|
2,971
|
2,080,461
|
|
College Avenue Student Loans LLC, Series 2021-A,
Class D, 4.12%, 07/25/51(a)
|
|
170
|
154,966
|
|
Credit Suisse ABS Repackaging Trust,
Series 2013-A, Class R1, 0.00%, 04/25/43(a)(e)
|
|
5
|
2,466,880
|
|
Home Partners of America Trust, Series 2021-2,
Class F, 3.80%, 12/17/26(a)
|
|
2,402
|
2,247,952
|
|
Lending Funding Trust(a)
|
|
|
|
|
Series 2020-2A, Class C, 4.30%, 04/21/31
|
|
980
|
946,124
|
|
Series 2020-2A, Class D, 6.77%, 04/21/31
|
|
2,830
|
2,768,278
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|
||
|
Lendmark Funding Trust, Series 2021-1A, Class D,
5.05%, 11/20/31(a)
|
USD
|
2,320
|
$ 2,136,376
|
|
Litigation Fee Residual, Series 2020-1, Class A,
4.00%, 10/30/27(e)
|
|
375
|
375,336
|
|
Mariner Finance Issuance Trust(a)
|
|
|
|
|
Series 2021-AA, Class E, 5.40%, 03/20/36
|
|
1,420
|
1,327,986
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36
|
|
540
|
485,072
|
|
Navient Private Education Refi Loan Trust,
Series 2021-DA, Class D, 4.00%, 04/15/60(a)
|
|
1,340
|
1,229,305
|
|
Nelnet Student Loan Trust(a)
|
|
|
|
|
Series 2021-A, Class D, 4.93%, 04/20/62
|
|
1,670
|
1,459,582
|
|
Series 2021-BA, Class D, 4.75%, 04/20/62
|
|
340
|
290,204
|
|
Series 2021-CA, Class D, 4.44%, 04/20/62
|
|
110
|
92,756
|
|
Progress Residential(a)
|
|
|
|
|
Series 2021-SFR1, Class H, 5.00%, 04/17/38
|
|
750
|
717,781
|
|
Series 2021-SFR3, Class H, 4.75%, 05/17/26
|
|
1,140
|
1,084,442
|
|
Regional Management Issuance Trust(a)
|
|
|
|
|
Series 2020-1, Class D, 6.77%, 10/15/30
|
|
2,050
|
2,045,200
|
|
Series 2021-3, Class A, 3.88%, 10/17/33(e)
|
|
4,780
|
4,463,564
|
|
Republic Finance Issuance Trust(a)
|
|
|
|
|
Series 2020-A, Class D, 7.00%, 11/20/30
|
|
5,110
|
5,114,565
|
|
Series 2021-A, Class D, 5.23%, 12/22/31
|
|
800
|
769,897
|
|
Residential Mortgage Loan Trust, Series 2020-1,
Class B1, 3.95%, 01/26/60(a)(b)
|
|
400
|
381,374
|
|
SMB Private Education Loan Trust(a)
|
|
|
|
|
Series 2021-A, Class D1, 3.86%, 01/15/53
|
|
1,443
|
1,293,506
|
|
Series 2021-A, Class D2, 3.86%, 01/15/53
|
|
787
|
705,885
|
|
Series 2021-C, Class D, 3.93%, 01/15/53
|
|
335
|
305,477
|
|
Sofi Professional Loan Program LLC, Series 2018-A,
Class R1, 0.00%, 02/25/42(a)
|
|
115
|
1,320,667
|
|
Structured Asset Securities Corp. Mortgage Loan
Trust, Series 2005-WF2, Class M8, (1-mo. Term
SOFR + 1.91%), 6.77%, 05/25/35(b)
|
|
182
|
177,128
|
|
Tricon Residential Trust(a)
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38
|
|
1,375
|
1,296,190
|
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38
|
|
887
|
829,790
|
|
|
|
|
53,225,049
|
|
Total Asset-Backed Securities — 7.2%
(Cost: $139,286,678)
|
130,464,459
|
||
|
|
|
Shares
|
|
|
Common Stocks
|
|||
|
Australia — 0.4%
|
|
||
|
Glencore PLC
|
|
1,222,574
|
7,001,253
|
|
Canada — 1.6%
|
|
||
|
Algoma Steel Group, Inc.
|
|
178,901
|
1,830,157
|
|
Cameco Corp.
|
|
257,270
|
12,287,215
|
|
Enbridge, Inc.
|
|
228,354
|
9,276,327
|
|
Lionsgate Studios Corp.(f)
|
|
49,511
|
354,004
|
|
Suncor Energy, Inc.
|
|
149,145
|
5,505,060
|
|
|
|
|
29,252,763
|
|
China — 0.9%
|
|
||
|
BYD Co. Ltd., Class H
|
|
258,000
|
9,204,907
|
|
Security
|
|
Shares
|
Value
|
|
China (continued)
|
|
||
|
Contemporary Amperex Technology Co. Ltd.,
Class A
|
|
96,100
|
$ 3,381,846
|
|
Tencent Holdings Ltd.
|
|
83,088
|
4,620,095
|
|
|
|
|
17,206,848
|
|
Denmark — 0.2%
|
|
||
|
Novo Nordisk A/S, Class B
|
|
26,934
|
3,194,683
|
|
France — 1.8%
|
|
||
|
Accor SA
|
|
81,513
|
3,543,360
|
|
Cie de Saint-Gobain SA
|
|
104,803
|
9,558,290
|
|
EssilorLuxottica SA
|
|
8,146
|
1,929,984
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
|
18,170
|
13,934,127
|
|
TotalEnergies SE
|
|
43,776
|
2,842,607
|
|
|
|
|
31,808,368
|
|
Germany — 0.5%
|
|
||
|
adidas AG, Class N
|
|
25,206
|
6,679,248
|
|
Mercedes-Benz Group AG, Class N
|
|
41,287
|
2,675,362
|
|
Northern Data AG(f)
|
|
2,252
|
64,206
|
|
|
|
|
9,418,816
|
|
Hong Kong — 0.2%
|
|
||
|
AIA Group Ltd.
|
|
420,970
|
3,676,271
|
|
India — 0.0%
|
|
||
|
Think & Learn Private Ltd., Class J-B, (Acquired
12/11/20, Cost: $5,113,105)(e)(f)(g)
|
|
2,279
|
—
|
|
Italy — 1.2%
|
|
||
|
Ariston Holding NV
|
|
476,063
|
2,323,870
|
|
Intesa Sanpaolo SpA
|
|
2,795,954
|
11,968,623
|
|
UniCredit SpA
|
|
181,583
|
7,971,783
|
|
|
|
|
22,264,276
|
|
Japan — 2.0%
|
|
||
|
FANUC Corp.
|
|
15
|
441
|
|
Hoya Corp.
|
|
76,586
|
10,607,432
|
|
Keyence Corp.
|
|
19,800
|
9,489,387
|
|
Mitsubishi UFJ Financial Group, Inc.
|
|
781,900
|
8,029,012
|
|
Mitsui & Co. Ltd.
|
|
314,400
|
7,031,252
|
|
Toyota Motor Corp.
|
|
115,800
|
2,081,390
|
|
|
|
|
37,238,914
|
|
Macau — 0.0%
|
|
||
|
Wynn Macau Ltd.
|
|
628,846
|
540,851
|
|
Netherlands — 1.1%
|
|
||
|
ASML Holding NV
|
|
19,803
|
16,473,320
|
|
ING Groep NV
|
|
169,572
|
3,076,545
|
|
|
|
|
19,549,865
|
|
South Korea — 0.3%
|
|
||
|
SK Hynix, Inc.
|
|
37,300
|
4,992,111
|
|
Spain — 0.7%
|
|
||
|
Cellnex Telecom SA(a)
|
|
302,532
|
12,265,478
|
|
Sweden — 0.0%
|
|
||
|
Volta Trucks, Series C, (Acquired 02/22/22, Cost:
$322,253)(e)(f)(g)
|
|
2,732
|
—
|
|
Switzerland — 0.3%
|
|
||
|
On Holding AG, Class A(f)
|
|
104,674
|
5,249,401
|
|
Taiwan — 0.8%
|
|
||
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
|
82,746
|
14,370,498
|
|
Security
|
|
Shares
|
Value
|
|
United Kingdom — 2.0%
|
|
||
|
AstraZeneca PLC
|
|
6,923
|
$ 1,078,509
|
|
AstraZeneca PLC, ADR
|
|
21,731
|
1,693,062
|
|
BAE Systems PLC
|
|
836,225
|
13,883,066
|
|
Compass Group PLC
|
|
198,194
|
6,354,038
|
|
Genius Sports Ltd.(f)
|
|
186,939
|
1,465,602
|
|
National Grid PLC
|
|
322,775
|
4,461,718
|
|
RELX PLC
|
|
150,664
|
7,113,799
|
|
Teya Services Ltd., (Acquired 11/16/21, Cost:
$2,398,802)(e)(f)(g)
|
|
1,235
|
349,258
|
|
|
|
|
36,399,052
|
|
United States — 41.6%
|
|
||
|
ACV Auctions, Inc., Class A(f)
|
|
203,406
|
4,135,244
|
|
Adobe, Inc.(f)
|
|
23,294
|
12,061,167
|
|
AES Corp.
|
|
30,710
|
616,043
|
|
Albertsons Cos., Inc., Class A
|
|
26,126
|
482,808
|
|
Alphabet, Inc., Class C
|
|
151,172
|
25,274,447
|
|
Altice USA, Inc., Class A(f)
|
|
37,386
|
91,970
|
|
Amazon.com, Inc.(f)(h)
|
|
191,855
|
35,748,342
|
|
AMC Networks, Inc., Class A(f)
|
|
9,801
|
85,171
|
|
American Tower Corp.
|
|
37,682
|
8,763,326
|
|
Apple, Inc.
|
|
45,524
|
10,607,092
|
|
Applied Materials, Inc.
|
|
27,666
|
5,589,915
|
|
Astra Space, Inc., Class A(f)
|
|
13,702
|
6,851
|
|
Autodesk, Inc.(f)
|
|
22,990
|
6,333,285
|
|
Bank of America Corp.
|
|
292,867
|
11,620,963
|
|
Boston Scientific Corp.(f)(h)
|
|
141,900
|
11,891,220
|
|
Boyd Gaming Corp.
|
|
2,409
|
155,742
|
|
BP PLC
|
|
73,129
|
381,407
|
|
Broadcom, Inc.
|
|
56,685
|
9,778,163
|
|
Bunge Global SA
|
|
59,551
|
5,755,009
|
|
Caesars Entertainment, Inc.(f)
|
|
19,728
|
823,447
|
|
Capri Holdings Ltd.(f)
|
|
21,879
|
928,545
|
|
Centuri Holdings, Inc.(f)
|
|
44,646
|
721,033
|
|
CF Industries Holdings, Inc.
|
|
90,423
|
7,758,293
|
|
Charles Schwab Corp.
|
|
94,970
|
6,155,006
|
|
Cheniere Energy, Inc.
|
|
6,166
|
1,108,893
|
|
Chevron Corp.
|
|
48,922
|
7,204,743
|
|
Chipotle Mexican Grill, Inc.(f)
|
|
62,686
|
3,611,967
|
|
Citigroup, Inc.
|
|
6,914
|
432,816
|
|
Comerica, Inc.
|
|
1,300
|
77,883
|
|
Concentra Group Holdings Parent, Inc.(f)
|
|
40,444
|
904,328
|
|
Confluent, Inc., Class A(f)
|
|
311,702
|
6,352,487
|
|
ConocoPhillips
|
|
5,506
|
579,672
|
|
Constellium SE, Class A(f)
|
|
123,699
|
2,011,346
|
|
Costco Wholesale Corp.
|
|
14,193
|
12,582,378
|
|
CRH PLC
|
|
96,967
|
8,992,720
|
|
Crown PropTech Acquisitions(e)(f)
|
|
76,872
|
10,200
|
|
Crown PropTech Acquisitions, Class A(f)
|
|
29,568
|
317,560
|
|
D.R. Horton, Inc.
|
|
12,884
|
2,457,881
|
|
Danaher Corp.
|
|
38,265
|
10,638,435
|
|
Davidson Kempner Merchant Co-Investment Fund
LP, (Acquired 06/30/21, Cost: $0)(f)(g)(i)
|
|
—
(j)
|
3,730,083
|
|
Delta Air Lines, Inc.
|
|
125,008
|
6,349,156
|
|
Eaton Corp. PLC
|
|
9,113
|
3,020,413
|
|
Edwards Lifesciences Corp.(f)
|
|
46,131
|
3,044,185
|
|
Eli Lilly & Co.
|
|
11,659
|
10,329,174
|
|
Enterprise Products Partners LP
|
|
328,803
|
9,571,455
|
|
EOG Resources, Inc.
|
|
8,313
|
1,021,917
|
|
Epic Games, Inc., (Acquired 03/29/21, Cost:
$2,499,240)(e)(f)(g)
|
|
2,824
|
1,694,400
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost:
$8,566,971)(e)(f)(g)
|
|
126,282
|
$ 8,763,971
|
|
First Citizens BancShares, Inc., Class A
|
|
321
|
590,945
|
|
First Horizon Corp.
|
|
14,372
|
223,197
|
|
Flyr AS, Series D(e)(f)
|
|
421,209
|
3,003,220
|
|
Formentera Partners Fund II LP(e)(i)
|
|
—
(j)
|
3,542,103
|
|
Freeport-McMoRan, Inc.
|
|
214,494
|
10,707,540
|
|
Freewire Equity(e)(f)
|
|
45
|
—
|
|
GLOBALFOUNDRIES, Inc.(f)
|
|
73,546
|
2,960,227
|
|
Golden Entertainment, Inc.
|
|
2,119
|
67,363
|
|
Goldman Sachs Group, Inc.
|
|
22,121
|
10,952,328
|
|
Green Plains, Inc.(f)
|
|
46,023
|
623,151
|
|
Halliburton Co.
|
|
33,021
|
959,260
|
|
Hawkeye 360, Series D1(e)(f)
|
|
406,081
|
4,178,573
|
|
Hess Corp.
|
|
20,353
|
2,763,937
|
|
HNG Hospitality Offshore LP, (Acquired 02/16/24,
Cost: $2,660,000)(e)(f)(g)
|
|
2,660,000
|
2,660,000
|
|
Home Depot, Inc.
|
|
8,287
|
3,357,892
|
|
Ingersoll Rand, Inc.
|
|
56,390
|
5,535,242
|
|
Intuitive Surgical, Inc.(f)
|
|
15,163
|
7,449,127
|
|
Invesco S&P 500 Equal Weight ETF
|
|
14,726
|
2,638,310
|
|
JPMorgan Chase & Co.
|
|
70,551
|
14,876,384
|
|
Kinder Morgan, Inc.
|
|
25,892
|
571,954
|
|
Kroger Co.
|
|
10,360
|
593,628
|
|
Lam Research Corp.
|
|
859
|
701,013
|
|
Landbridge Co. LLC, Class A(f)
|
|
31,642
|
1,237,835
|
|
Landsea Homes Corp.(f)
|
|
42,391
|
523,529
|
|
Latch, Inc.(f)
|
|
142,273
|
71,137
|
|
Liberty Media Corp.-Liberty Live, Class C(f)
|
|
1,550
|
79,562
|
|
Lineage, Inc.
|
|
12,976
|
1,017,059
|
|
Lions Gate Entertainment Corp., Class A(f)
|
|
39,632
|
310,319
|
|
Lions Gate Entertainment Corp., Class B(f)
|
|
2,806
|
19,418
|
|
Live Nation Entertainment, Inc.(f)
|
|
28,188
|
3,086,304
|
|
LKQ Corp.
|
|
123,593
|
4,933,833
|
|
Lumen Technologies, Inc.(f)
|
|
74,738
|
530,640
|
|
Marsh & McLennan Cos., Inc.
|
|
80,449
|
17,947,367
|
|
Mastercard, Inc., Class A
|
|
48,783
|
24,089,045
|
|
Merck & Co., Inc.
|
|
127,199
|
14,444,718
|
|
Meta Platforms, Inc., Class A
|
|
18,543
|
10,614,755
|
|
Micron Technology, Inc.
|
|
86,770
|
8,998,917
|
|
Microsoft Corp.
|
|
136,459
|
58,718,308
|
|
Mirion Technologies, Inc., Class A(f)
|
|
398,818
|
4,427,226
|
|
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost:
$560,518)(e)(f)(g)
|
|
816
|
—
|
|
New York Community Bancorp, Inc.
|
|
314,900
|
3,536,327
|
|
NextEra Energy, Inc.(h)
|
|
158,814
|
13,424,547
|
|
Northrop Grumman Corp.
|
|
5,858
|
3,093,434
|
|
NRG Energy, Inc.
|
|
9,660
|
880,026
|
|
NVIDIA Corp.
|
|
208,977
|
25,378,167
|
|
Oracle Corp.
|
|
79,980
|
13,628,592
|
|
Palladyne AI Corp(f)
|
|
7,517
|
13,455
|
|
Paramount Global, Class B
|
|
9,555
|
101,474
|
|
Park Hotels & Resorts, Inc.
|
|
21,852
|
308,113
|
|
Playstudios, Inc., Class A(f)
|
|
226,924
|
342,655
|
|
Progressive Corp.
|
|
71,463
|
18,134,451
|
|
RXO, Inc.(f)
|
|
5,629
|
157,612
|
|
Sanofi SA
|
|
57,761
|
6,650,553
|
|
Sarcos Technology & Robotics Corp.(f)
|
|
164,721
|
294,851
|
|
Screaming Eagle Acquisition Crop., Pipe, (Acquired
05/14/24, Cost: $1,168,975)(f)(g)
|
|
115,000
|
822,250
|
|
Sempra
|
|
89,220
|
7,461,469
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
ServiceNow, Inc.(f)
|
|
7,006
|
$ 6,266,096
|
|
Shell PLC
|
|
503,606
|
16,636,305
|
|
Snorkel AI, Inc., (Acquired 06/30/21, Cost:
$189,563)(e)(f)(g)
|
|
12,621
|
81,153
|
|
Sonder Holdings, Inc., Class A(f)
|
|
11,166
|
52,257
|
|
Space Exploration Technologies Corp., (Acquired
08/21/23, Cost: $1,663,335), A shares(e)(f)(g)
|
|
20,535
|
2,299,920
|
|
Space Exploration Technologies Corp., (Acquired
08/21/23, Cost: $1,785,240), C shares(e)(f)(g)
|
|
22,040
|
2,468,480
|
|
SPDR S&P Homebuilders ETF
|
|
8,193
|
1,020,520
|
|
Stryker Corp.
|
|
25,417
|
9,182,145
|
|
Sun Country Airlines Holdings, Inc.(f)
|
|
175,935
|
1,972,231
|
|
Tesla, Inc.(f)
|
|
9,749
|
2,550,631
|
|
Texas Capital Bancshares, Inc.(f)
|
|
1,821
|
130,129
|
|
Thermo Fisher Scientific, Inc.
|
|
14,768
|
9,135,042
|
|
TJX Cos., Inc.
|
|
107,016
|
12,578,661
|
|
Toll Brothers, Inc.
|
|
21,165
|
3,269,781
|
|
Trane Technologies PLC
|
|
24,879
|
9,671,214
|
|
Transocean Ltd.(f)
|
|
255,487
|
1,085,820
|
|
U.S. Steel Corp.
|
|
133,880
|
4,729,980
|
|
Union Pacific Corp.
|
|
15,280
|
3,766,214
|
|
UnitedHealth Group, Inc.
|
|
37,559
|
21,959,996
|
|
Valero Energy Corp.
|
|
18,302
|
2,471,319
|
|
Visa, Inc., Class A
|
|
14,570
|
4,006,022
|
|
Vistra Corp.
|
|
53,596
|
6,353,270
|
|
Walmart, Inc.
|
|
225,870
|
18,239,002
|
|
Walt Disney Co.
|
|
65,979
|
6,346,520
|
|
Warner Bros Discovery, Inc., Class A(f)
|
|
49,416
|
407,682
|
|
Waystar Holding Corp.(f)
|
|
9,732
|
271,425
|
|
Wells Fargo & Co.
|
|
179,711
|
10,151,874
|
|
Wynn Resorts Ltd.
|
|
18,582
|
1,781,642
|
|
|
|
|
753,691,225
|
|
Zambia — 0.0%
|
|
||
|
First Quantum Minerals Ltd.
|
|
7,179
|
97,882
|
|
Total Common Stocks — 55.6%
(Cost: $791,069,600)
|
1,008,218,555
|
||
|
|
|
Par
(000)
|
|
|
Corporate Bonds
|
|||
|
Argentina — 0.0%
|
|||
|
YPF SA, 9.50%, 01/17/31(a)
|
USD
|
135
|
142,256
|
|
Australia — 0.4%
|
|||
|
Mineral Resources Ltd., 9.25%, 10/01/28(a)
|
|
255
|
271,521
|
|
Oceana Australian Fixed Income Trust, A Note
Upsize(e)
|
|
|
|
|
12.00%, 07/31/25
|
AUD
|
1,881
|
1,309,403
|
|
12.50%, 07/31/26
|
|
2,822
|
1,966,793
|
|
12.50%, 07/31/27
|
|
4,703
|
3,304,418
|
|
|
|
|
6,852,135
|
|
Austria — 0.0%
|
|||
|
LD Celulose International GmbH, 01/26/32(a)(c)
|
USD
|
200
|
204,800
|
|
Belgium — 0.0%
|
|||
|
Anheuser-Busch InBev SA/NV, 4.00%, 09/24/25(d)
|
GBP
|
100
|
132,675
|
|
Security
|
|
Par
(000)
|
Value
|
|
Belgium (continued)
|
|||
|
Azelis Finance NV, 4.75%, 09/25/29(d)
|
EUR
|
117
|
$ 132,459
|
|
KBC Group NV, (1-year UK Government Bond +
0.92%), 1.25%, 09/21/27(b)(d)
|
GBP
|
100
|
124,623
|
|
Telenet Finance Luxembourg Notes SARL, 5.50%,
03/01/28(a)
|
USD
|
200
|
195,500
|
|
|
|
|
585,257
|
|
Brazil — 0.1%
|
|||
|
Azul Secured Finance LLP, 11.93%, 08/28/28(a)
|
|
207
|
200,272
|
|
Cosan Luxembourg SA, 7.25%, 06/27/31(a)
|
|
235
|
245,687
|
|
MC Brazil Downstream Trading SARL, 7.25%,
06/30/31(d)
|
|
187
|
160,358
|
|
Samarco Mineracao SA, (9.00% PIK), 9.00%,
06/30/31(d)(k)
|
|
140
|
129,848
|
|
Vale Overseas Ltd., 6.40%, 06/28/54
|
|
116
|
121,823
|
|
|
|
|
857,988
|
|
Canada — 0.7%
|
|||
|
HR Ottawa LP, 11.00%, 03/31/31(a)
|
|
9,658
|
10,592,355
|
|
Rogers Communications, Inc., 3.80%, 03/15/32
|
|
2,675
|
2,481,930
|
|
Toronto-Dominion Bank, 2.88%, 04/05/27(d)
|
GBP
|
100
|
127,781
|
|
|
|
|
13,202,066
|
|
Chile — 0.1%
|
|||
|
AES Andes SA, (5-year CMT + 3.84%), 8.15%,
06/10/55(a)(b)
|
USD
|
285
|
294,530
|
|
Engie Energia Chile SA, 3.40%, 01/28/30(d)
|
|
395
|
362,289
|
|
Kenbourne Invest SA, 6.88%, 11/26/24(a)(f)(l)
|
|
300
|
180,000
|
|
|
|
|
836,819
|
|
China — 0.2%
|
|||
|
Fantasia Holdings Group Co. Ltd.(d)(f)(l)
|
|
|
|
|
6.95%, 12/17/21
|
|
320
|
4,800
|
|
11.75%, 04/17/22
|
|
520
|
7,800
|
|
9.25%, 07/28/23
|
|
1,200
|
18,000
|
|
Fortune Star BVI Ltd., 5.05%, 01/27/27(d)
|
|
200
|
184,500
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%,
05/01/30
|
|
3,260
|
3,077,098
|
|
|
|
|
3,292,198
|
|
Costa Rica — 0.0%
|
|||
|
Liberty Costa Rica Senior Secured Finance, 10.88%,
01/15/31(a)
|
|
211
|
231,572
|
|
Cyprus — 0.0%
|
|||
|
ASG Finance Designated Activity Co., 9.75%,
05/15/29(a)
|
|
216
|
216,000
|
|
France — 0.3%
|
|||
|
Afflelou SAS, 6.00%, 07/25/29(d)
|
EUR
|
292
|
334,092
|
|
Atos SE(d)(f)(l)
|
|
|
|
|
0.00%, 11/06/24
|
|
100
|
7,235
|
|
1.75%, 05/07/25
|
|
100
|
9,302
|
|
2.50%, 11/07/28
|
|
100
|
8,041
|
|
1.00%, 11/12/29
|
|
200
|
17,142
|
|
Bertrand Franchise Finance SAS, (3-mo. EURIBOR +
3.75%), 7.49%, 07/18/30(b)(d)
|
|
335
|
375,562
|
|
BNP Paribas SA(d)
|
|
|
|
|
3.38%, 01/23/26
|
GBP
|
100
|
131,079
|
|
1.88%, 12/14/27
|
|
100
|
121,904
|
|
Iliad Holding SASU, 6.88%, 04/15/31(d)
|
EUR
|
100
|
118,272
|
|
Lion/Polaris Lux 4 SA, (3-mo. EURIBOR + 3.63%),
6.95%, 07/01/29(b)(d)
|
|
165
|
184,588
|
|
Security
|
|
Par
(000)
|
Value
|
|
France (continued)
|
|||
|
Paprec Holding SA, 7.25%, 11/17/29(d)
|
EUR
|
464
|
$ 548,679
|
|
Picard Groupe SAS, 6.38%, 07/01/29(d)
|
|
175
|
200,538
|
|
RCI Banque SA, (5-year EURIBOR ICE Swap +
2.75%), 5.50%, 10/09/34(b)(d)
|
|
500
|
568,485
|
|
Sabena Technics Sas, (Acquired 10/28/22, Cost:
$2,051,409), 8.35%, 09/30/29(e)(g)
|
|
2,085
|
2,320,635
|
|
Societe Generale SA, 1.88%, 10/03/24(d)
|
GBP
|
100
|
133,682
|
|
TotalEnergies Capital International SA, 1.66%,
07/22/26(d)
|
|
100
|
127,425
|
|
Worldline SA/France, 0.00%, 07/30/26(d)(m)
|
EUR
|
120
|
121,525
|
|
|
|
|
5,328,186
|
|
Germany — 0.4%
|
|||
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(a)
|
|
826
|
869,167
|
|
ADLER Real Estate AG, 3.00%, 04/27/26(d)
|
|
200
|
212,001
|
|
APCOA Group GmbH, 04/15/31(b)(c)(d)
|
|
241
|
268,227
|
|
APCOA Holdings GmbH, (3-mo. EURIBOR + 5.00%),
8.69%, 01/15/27(a)(b)
|
|
852
|
950,300
|
|
Aroundtown Finance SARL, (5-year EURIBOR ICE
Swap + 4.51%), 7.13%(b)(n)
|
|
271
|
280,547
|
|
Dynamo Newco II GmbH, 6.25%, 10/15/31(d)
|
|
118
|
132,173
|
|
Lanxess AG, (12.66% PIK), 12.66%, 04/01/31(e)(k)
|
|
3,323
|
3,379,761
|
|
PCF GmbH(d)
|
|
|
|
|
4.75%, 04/15/29
|
|
104
|
99,676
|
|
(3-mo. EURIBOR + 4.75%), 8.44%, 04/15/29(b)
|
|
129
|
124,595
|
|
PrestigeBidCo GmbH, (3-mo. EURIBOR + 3.75%),
7.46%, 07/01/29(b)(d)
|
|
135
|
152,154
|
|
Tele Columbus AG, (10.00% PIK), 10.00%,
01/01/29(d)(k)
|
|
389
|
341,149
|
|
Volkswagen Financial Services NV, 1.88%,
12/03/24(d)
|
GBP
|
100
|
132,859
|
|
|
|
|
6,942,609
|
|
Ghana — 0.0%
|
|||
|
Kosmos Energy Ltd., 7.50%, 03/01/28(d)
|
USD
|
202
|
195,246
|
|
Greece — 0.0%
|
|||
|
National Bank of Greece SA, (5-year EURIBOR ICE
Swap + 3.15%), 5.88%, 06/28/35(b)(d)
|
EUR
|
243
|
281,702
|
|
Hong Kong(d) — 0.1%
|
|||
|
FWD Group Holdings Ltd., 8.40%, 04/05/29
|
USD
|
1,502
|
1,579,924
|
|
Melco Resorts Finance Ltd., 5.38%, 12/04/29
|
|
250
|
234,687
|
|
|
|
|
1,814,611
|
|
India — 0.1%
|
|||
|
CA Magnum Holdings, 5.38%, 10/31/26(d)
|
|
200
|
197,178
|
|
Continuum Energy Pte Ltd., 5.00%, 09/13/27(a)(e)
|
|
789
|
802,808
|
|
Muthoot Finance Ltd., 7.13%, 02/14/28(a)
|
|
234
|
240,435
|
|
Network i2i Ltd., (5-year CMT + 3.39%), 3.98%(b)(d)(n)
|
|
300
|
290,812
|
|
ReNew Pvt Ltd., 5.88%, 03/05/27(d)
|
|
200
|
196,260
|
|
Vedanta Resources Finance II PLC(d)
|
|
|
|
|
13.88%, 01/21/27
|
|
94
|
94,028
|
|
13.88%, 12/09/28
|
|
246
|
246,967
|
|
|
|
|
2,068,488
|
|
Indonesia(d) — 0.0%
|
|||
|
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26
|
|
300
|
304,219
|
|
Pertamina Persero PT, 3.65%, 07/30/29
|
|
354
|
340,503
|
|
|
|
|
644,722
|
|
Ireland — 0.0%
|
|||
|
Perrigo Finance Unlimited Co., 5.38%, 09/30/32
|
EUR
|
105
|
118,926
|
|
Security
|
|
Par
(000)
|
Value
|
|
Israel — 0.0%
|
|||
|
Teva Pharmaceutical Finance Netherlands II BV,
7.88%, 09/15/31
|
EUR
|
100
|
$ 131,769
|
|
Italy — 0.4%
|
|||
|
A2A SpA, (5-year EURIBOR ICE Swap + 2.26%),
5.00%(b)(d)(n)
|
|
200
|
227,071
|
|
Bubbles Bidco SpA(c)(d)
|
|
|
|
|
09/30/31
|
|
236
|
262,866
|
|
09/30/31(b)
|
|
231
|
256,495
|
|
Duomo Bidco SpA, (3-mo. EURIBOR + 4.13%),
7.80%, 07/15/31(b)(d)
|
|
301
|
338,241
|
|
Engineering - Ingegneria Informatica - SpA, 11.13%,
05/15/28(d)
|
|
448
|
506,171
|
|
Fiber Bidco SpA, 6.13%, 06/15/31(d)
|
|
219
|
242,561
|
|
Fiber Midco SpA, (10.00% PIK), 10.00%,
06/15/29(d)(k)
|
|
196
|
224,216
|
|
FIS Fabbrica Italiana Sintetici SpA, 5.63%,
08/01/27(d)
|
|
357
|
396,441
|
|
IMA Industria Macchine Automatiche SpA, (3-mo.
EURIBOR + 3.75%), 7.44%, 04/15/29(b)(d)
|
|
190
|
213,899
|
|
Intesa Sanpaolo SpA, 8.51%, 09/20/32(d)
|
GBP
|
200
|
298,913
|
|
Lottomatica SpA/Roma(d)
|
|
|
|
|
5.38%, 06/01/30
|
EUR
|
100
|
115,265
|
|
(3-mo. EURIBOR + 3.25%), 6.76%, 06/01/31(b)
|
|
142
|
159,261
|
|
Marcolin SpA, 6.13%, 11/15/26(a)
|
|
540
|
602,603
|
|
Nexi SpA, 0.00%, 02/24/28(d)(m)
|
|
200
|
193,694
|
|
Pachelbel Bidco SpA(d)
|
|
|
|
|
7.13%, 05/17/31
|
|
137
|
162,483
|
|
(3-mo. EURIBOR + 4.25%), 8.07%, 05/17/31(b)
|
|
126
|
141,169
|
|
Rossini SARL(d)
|
|
|
|
|
6.75%, 12/31/29
|
|
147
|
172,060
|
|
(3-mo. EURIBOR + 3.88%), 7.22%, 12/31/29(b)
|
|
209
|
234,632
|
|
Shiba Bidco SpA, 4.50%, 10/31/28(a)
|
|
1,882
|
2,024,609
|
|
TeamSystem SpA, (3-mo. EURIBOR + 3.50%),
7.13%, 07/31/31(b)(d)
|
|
218
|
243,719
|
|
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34(d)
|
|
200
|
227,247
|
|
|
|
|
7,243,616
|
|
Japan(d) — 0.1%
|
|||
|
SoftBank Group Corp.
|
|
|
|
|
5.38%, 01/08/29
|
|
531
|
601,426
|
|
3.38%, 07/06/29
|
|
100
|
104,347
|
|
5.75%, 07/08/32
|
|
529
|
597,742
|
|
|
|
|
1,303,515
|
|
Jersey — 0.1%
|
|||
|
Aston Martin Capital Holdings Ltd.
|
|
|
|
|
10.00%, 03/31/29(a)
|
USD
|
1,164
|
1,142,208
|
|
10.38%, 03/31/29(d)
|
GBP
|
385
|
512,384
|
|
|
|
|
1,654,592
|
|
Kuwait — 0.0%
|
|||
|
MEGlobal BV, 4.25%, 11/03/26(d)
|
USD
|
297
|
293,258
|
|
Luxembourg — 0.1%
|
|||
|
Cidron Aida Finco SARL, 6.25%, 04/01/28(d)
|
GBP
|
411
|
521,600
|
|
Herens Holdco SARL, 4.75%, 05/15/28(a)
|
USD
|
200
|
174,555
|
|
Herens Midco SARL, 5.25%, 05/15/29(a)
|
EUR
|
1,006
|
837,363
|
|
Kleopatra Finco SARL, 4.25%, 03/01/26(d)
|
|
205
|
214,036
|
|
Lune Holdings SARL, 5.63%, 11/15/28(d)
|
|
100
|
97,580
|
|
Opus-Chartered Issuances SA, 2.50%, 07/04/25(b)(e)
|
|
110
|
122,936
|
|
|
|
|
1,968,070
|
|
Security
|
|
Par
(000)
|
Value
|
|
Macau(d) — 0.0%
|
|||
|
MGM China Holdings Ltd., 5.88%, 05/15/26
|
USD
|
250
|
$ 249,453
|
|
Studio City Co. Ltd., 7.00%, 02/15/27
|
|
300
|
302,813
|
|
|
|
|
552,266
|
|
Mexico — 0.1%
|
|||
|
Braskem Idesa SAPI, 6.99%, 02/20/32(a)
|
|
200
|
157,500
|
|
FIEMEX Energia - Banco Actinver SA Institucion de
Banca Multiple, 7.25%, 01/31/41(a)
|
|
345
|
358,369
|
|
Petroleos Mexicanos
|
|
|
|
|
4.25%, 01/15/25
|
|
30
|
29,785
|
|
8.75%, 06/02/29
|
|
207
|
209,447
|
|
5.95%, 01/28/31
|
|
188
|
162,225
|
|
6.70%, 02/16/32
|
|
133
|
118,922
|
|
10.00%, 02/07/33
|
|
126
|
133,295
|
|
|
|
|
1,169,543
|
|
Morocco — 0.0%
|
|||
|
OCP SA, 7.50%, 05/02/54(a)
|
|
317
|
343,806
|
|
MultiNational — 0.0%
|
|||
|
Connect Finco SARL/Connect U.S. Finco LLC,
9.00%, 09/15/29(a)
|
|
650
|
629,028
|
|
Netherlands — 0.1%
|
|||
|
ING Groep NV, 3.00%, 02/18/26(d)
|
GBP
|
100
|
130,445
|
|
Nobian Finance BV, 3.63%, 07/15/26(d)
|
EUR
|
100
|
110,207
|
|
Q-Park Holding I BV, 5.13%, 02/15/30(d)
|
|
456
|
517,748
|
|
Sigma Holdco BV, 5.75%, 05/15/26(d)
|
|
218
|
240,311
|
|
Sunrise FinCo I BV, 4.88%, 07/15/31(a)
|
USD
|
380
|
359,549
|
|
Trivium Packaging Finance BV, 8.50%, 08/15/27(a)
|
|
267
|
267,645
|
|
|
|
|
1,625,905
|
|
Panama — 0.0%
|
|||
|
AES Panama Generation Holdings SRL, 4.38%,
05/31/30(d)
|
|
245
|
220,928
|
|
Peru(a) — 0.0%
|
|||
|
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA,
6.24%, 07/03/36
|
|
155
|
165,510
|
|
Volcan Cia Minera SAA, 8.75%, 01/24/30
|
|
69
|
59,503
|
|
|
|
|
225,013
|
|
Portugal — 0.0%
|
|||
|
EDP SA, (5-year EURIBOR ICE Swap + 2.40%),
4.63%, 09/16/54(b)(d)
|
EUR
|
200
|
223,190
|
|
Saudi Arabia(a) — 0.0%
|
|||
|
EIG Pearl Holdings SARL, 3.55%, 08/31/36
|
USD
|
317
|
281,493
|
|
Saudi Arabian Oil Co., 5.88%, 07/17/64
|
|
201
|
202,769
|
|
|
|
|
484,262
|
|
South Africa — 0.0%
|
|||
|
Sasol Financing USA LLC, 6.50%, 09/27/28
|
|
200
|
198,250
|
|
South Korea — 0.0%
|
|||
|
LG Electronics, Inc., 5.63%, 04/24/27(a)
|
|
200
|
205,080
|
|
Spain(d) — 0.1%
|
|||
|
Banco de Credito Social Cooperativo SA, (1-year
EURIBOR ICE Swap + 1.70%), 4.13%, 09/03/30(b)
|
EUR
|
100
|
112,772
|
|
Banco Santander SA, (1-year UK Government Bond
+ 1.80%), 3.13%, 10/06/26(b)
|
GBP
|
300
|
393,178
|
|
Kaixo Bondco Telecom SA, 5.13%, 09/30/29
|
EUR
|
187
|
207,899
|
|
Telefonica Emisiones SA, 5.38%, 02/02/26
|
GBP
|
133
|
178,788
|
|
|
|
|
892,637
|
|
Security
|
|
Par
(000)
|
Value
|
|
Sweden — 0.1%
|
|||
|
Intrum AB, 3.00%, 09/15/27(d)
|
EUR
|
367
|
$ 308,437
|
|
Verisure Holding AB
|
|
|
|
|
3.25%, 02/15/27(d)
|
|
751
|
820,259
|
|
7.13%, 02/01/28(a)
|
|
237
|
275,250
|
|
Verisure Midholding AB, 5.25%, 02/15/29(d)
|
|
553
|
610,955
|
|
|
|
|
2,014,901
|
|
Thailand(a) — 0.0%
|
|||
|
Bangkok Bank PCL/Hong Kong
|
|
|
|
|
5.30%, 09/21/28
|
USD
|
241
|
247,483
|
|
5.50%, 09/21/33
|
|
200
|
207,494
|
|
|
|
|
454,977
|
|
Turkey — 0.0%
|
|||
|
Sisecam U.K. PLC, 8.25%, 05/02/29(a)
|
|
376
|
387,882
|
|
Ukraine — 0.0%
|
|||
|
NAK Naftogaz Ukraine via Kondor Finance PLC
|
|
|
|
|
7.13%, 07/19/26(d)
|
EUR
|
252
|
210,707
|
|
7.63%, 11/08/28(a)
|
USD
|
231
|
188,265
|
|
|
|
|
398,972
|
|
United Arab Emirates — 0.2%
|
|||
|
Abu Dhabi Developmental Holding Co. PJSC,
10/02/54(a)(c)
|
|
200
|
197,500
|
|
Adnoc Murban Rsc Ltd., 5.13%, 09/11/54(a)
|
|
200
|
196,600
|
|
DP World Salaam, (5-year CMT + 5.75%),
6.00%(b)(d)(n)
|
|
352
|
351,472
|
|
Shelf Drilling Holdings Ltd., 9.63%, 04/15/29(a)
|
|
1,954
|
1,797,680
|
|
|
|
|
2,543,252
|
|
United Kingdom — 0.7%
|
|||
|
10X Future Technologies Service Ltd., (Acquired
12/19/23, Cost: $1,376,015), 06/19/26(c)(e)(g)(k)(o)
|
GBP
|
1,110
|
1,616,974
|
|
Amber Finco PLC, 6.63%, 07/15/29(d)
|
EUR
|
310
|
361,036
|
|
Barclays PLC(d)
|
|
|
|
|
3.00%, 05/08/26
|
GBP
|
100
|
129,827
|
|
3.25%, 02/12/27
|
|
100
|
128,666
|
|
BCP V Modular Services Finance II PLC, 6.13%,
11/30/28(a)
|
|
955
|
1,213,063
|
|
BCP V Modular Services Finance PLC, 6.75%,
11/30/29(a)
|
EUR
|
1,912
|
1,872,941
|
|
CPUK Finance Ltd., 7.88%, 08/28/29(d)
|
GBP
|
106
|
145,136
|
|
Deuce Finco PLC, 5.50%, 06/15/27(a)
|
|
345
|
452,657
|
|
Global Switch Finance BV, 1.38%, 10/07/30(d)
|
EUR
|
321
|
327,882
|
|
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%),
1.75%, 07/24/27(b)
|
GBP
|
100
|
126,368
|
|
Informa PLC, 3.13%, 07/05/26(d)
|
|
100
|
129,389
|
|
Kane Bidco Ltd., 6.50%, 02/15/27(a)
|
|
699
|
920,847
|
|
Lloyds Banking Group PLC, 2.25%, 10/16/24(d)
|
|
100
|
133,520
|
|
Mobico Group PLC, (5-year UK Government Bond +
4.14%), 4.25%(b)(d)(n)
|
|
162
|
196,638
|
|
Motion Finco SARL, 7.38%, 06/15/30(d)
|
EUR
|
201
|
226,394
|
|
NatWest Group PLC(b)(d)
|
|
|
|
|
(1-year GBP Swap + 1.49%), 2.88%, 09/19/26
|
GBP
|
100
|
130,777
|
|
(1-year GBP Swap + 2.01%), 3.13%, 03/28/27
|
|
100
|
130,076
|
|
Santander U.K. Group Holdings PLC, 3.63%,
01/14/26(d)
|
|
100
|
131,755
|
|
Stonegate Pub Co. Financing PLC(d)
|
|
|
|
|
10.75%, 07/31/29
|
|
169
|
233,570
|
|
(3-mo. EURIBOR + 6.63%), 10.17%, 07/31/29(b)
|
EUR
|
123
|
139,690
|
|
Thames Water Utilities Finance PLC, 4.00%,
06/19/25(d)
|
GBP
|
770
|
792,316
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom (continued)
|
|||
|
Vedanta Resources Finance II PLC, 10.88%,
09/17/29(a)
|
USD
|
389
|
$ 394,660
|
|
Vodafone Group PLC, (5-year CMT + 2.77%), 4.13%,
06/04/81(b)
|
|
59
|
53,482
|
|
Zegona Finance PLC
|
|
|
|
|
6.75%, 07/15/29(d)
|
EUR
|
322
|
374,116
|
|
8.63%, 07/15/29(a)
|
USD
|
1,479
|
1,578,833
|
|
|
|
|
11,940,613
|
|
United States — 9.0%
|
|||
|
AbbVie, Inc.
|
|
|
|
|
3.20%, 11/21/29
|
|
2,165
|
2,070,394
|
|
5.05%, 03/15/34
|
|
1,169
|
1,221,043
|
|
Affinity Interactive, 6.88%, 12/15/27(a)
|
|
1,000
|
859,695
|
|
Alexander Funding Trust II, 7.47%, 07/31/28(a)
|
|
130
|
140,460
|
|
Alexandria Real Estate Equities, Inc., 2.95%,
03/15/34
|
|
2,370
|
2,048,949
|
|
Allied Universal Holdco LLC/Allied Universal Finance
Corp., 9.75%, 07/15/27(a)
|
|
499
|
500,073
|
|
AMC Networks, Inc.
|
|
|
|
|
10.25%, 01/15/29(a)
|
|
856
|
879,668
|
|
4.25%, 02/15/29
|
|
1,272
|
919,961
|
|
4.25%, 02/15/29(a)(o)
|
|
655
|
602,600
|
|
Amgen, Inc.
|
|
|
|
|
5.50%, 12/07/26(d)
|
GBP
|
100
|
136,168
|
|
4.05%, 08/18/29
|
USD
|
3,355
|
3,331,444
|
|
Amkor Technology, Inc., 6.63%, 09/15/27(a)
|
|
400
|
402,785
|
|
Aon North America, Inc., 5.30%, 03/01/31
|
|
3,745
|
3,907,037
|
|
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32
|
|
3,000
|
2,685,100
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings
USA, Inc.(a)
|
|
|
|
|
4.13%, 08/15/26
|
|
4,805
|
4,331,443
|
|
5.25%, 08/15/27
|
|
202
|
150,570
|
|
AT&T, Inc.
|
|
|
|
|
2.90%, 12/04/26
|
GBP
|
100
|
128,890
|
|
5.50%, 03/15/27(d)
|
|
50
|
67,886
|
|
Bank of America Corp., (1-day SOFR + 1.53%),
1.90%, 07/23/31(b)
|
USD
|
3,340
|
2,897,795
|
|
Bausch & Lomb Corp., 8.38%, 10/01/28(a)
|
|
40
|
42,300
|
|
BG Energy Capital PLC, 5.13%, 12/01/25(d)
|
GBP
|
133
|
178,071
|
|
Big River Steel LLC/BRS Finance Corp., 6.63%,
01/31/29(a)
|
USD
|
827
|
837,840
|
|
Breeze Aviation Group, Inc., (20.00% PIK), 20.00%,
01/30/28(e)(g)(k)
|
|
2,058
|
2,171,079
|
|
Broadcom, Inc., 3.42%, 04/15/33(a)
|
|
2,615
|
2,375,995
|
|
Calumet Specialty Products Partners LP/Calumet
Finance Corp., 9.75%, 07/15/28(a)
|
|
743
|
730,261
|
|
Cinemark Holdings, Inc., 4.50%, 08/15/25(o)
|
|
4,035
|
7,989,300
|
|
Citigroup, Inc.
|
|
|
|
|
1.75%, 10/23/26
|
GBP
|
100
|
126,297
|
|
(1-day SOFR + 1.36%), 5.17%, 02/13/30(b)
|
USD
|
1,102
|
1,132,019
|
|
Citizens Bank NA/Providence RI, (1-day SOFR +
1.45%), 6.06%, 10/24/25(b)
|
|
250
|
249,995
|
|
Cloud Software Group, Inc.(a)
|
|
|
|
|
6.50%, 03/31/29
|
|
280
|
278,591
|
|
9.00%, 09/30/29
|
|
545
|
554,598
|
|
Clydesdale Acquisition Holdings, Inc., 8.75%,
04/15/30(a)
|
|
756
|
767,675
|
|
CommScope Technologies LLC, 6.00%, 06/15/25(a)
|
|
302
|
292,185
|
|
Constellium SE, 5.38%, 08/15/32(d)
|
EUR
|
237
|
271,467
|
|
CSC Holdings LLC(a)
|
|
|
|
|
5.50%, 04/15/27
|
USD
|
2,040
|
1,794,082
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
CSC Holdings LLC(a) (continued)
|
|
|
|
|
11.25%, 05/15/28
|
USD
|
448
|
$ 432,462
|
|
11.75%, 01/31/29
|
|
985
|
952,092
|
|
DISH DBS Corp., 5.88%, 11/15/24
|
|
866
|
860,986
|
|
DISH Network Corp.(o)
|
|
|
|
|
0.00%, 12/15/25(m)
|
|
1,357
|
1,173,888
|
|
3.38%, 08/15/26
|
|
174
|
139,610
|
|
EquipmentShare.com, Inc., 9.00%, 05/15/28(a)
|
|
1,576
|
1,645,774
|
|
EXO Imaging, Inc., (Acquired 08/14/24, Cost:
$71,814), 8.00%, 08/14/25(e)(g)
|
|
72
|
287,617
|
|
Flyr Secured Notes, (10.34% PIK), 10.34%,
05/10/27(e)(k)
|
|
1,156
|
1,115,460
|
|
Forestar Group, Inc., 5.00%, 03/01/28(a)
|
|
1,950
|
1,899,333
|
|
Freed Corp., 12.00%, 11/30/28(e)
|
|
9,488
|
9,642,729
|
|
FreeWire Technologies, Inc., (6.00% PIK), 6.00%,
02/20/28(e)(k)
|
|
2,754
|
—
|
|
Frontier Communications Holdings LLC(a)
|
|
|
|
|
6.75%, 05/01/29
|
|
670
|
674,723
|
|
8.75%, 05/15/30
|
|
1,250
|
1,332,080
|
|
8.63%, 03/15/31
|
|
700
|
754,663
|
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28
|
|
845
|
875,670
|
|
Full House Resorts, Inc., 8.25%, 02/15/28(a)
|
|
172
|
172,255
|
|
General Motors Co., 5.60%, 10/15/32
|
|
1,265
|
1,304,867
|
|
Goldman Sachs Group, Inc., 7.25%, 04/10/28
|
GBP
|
50
|
72,158
|
|
Goodyear Europe BV, 2.75%, 08/15/28(d)
|
EUR
|
160
|
161,191
|
|
GoTo Group, Inc., 5.50%, 05/01/28(a)
|
USD
|
1,628
|
872,343
|
|
HCA, Inc., 3.63%, 03/15/32
|
|
2,120
|
1,960,395
|
|
Howard Hughes Corp.(a)
|
|
|
|
|
4.13%, 02/01/29
|
|
1,002
|
934,522
|
|
4.38%, 02/01/31
|
|
1,102
|
1,010,140
|
|
JPMorgan Chase & Co.(b)
|
|
|
|
|
(1-day SOFR + 1.62%), 5.34%, 01/23/35
|
|
548
|
572,797
|
|
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(d)
|
GBP
|
100
|
130,502
|
|
Kraft Heinz Foods Co., 3.75%, 04/01/30
|
USD
|
3,150
|
3,072,920
|
|
Kronos International, Inc., 9.50%, 03/15/29(d)
|
EUR
|
100
|
121,053
|
|
Landsea Homes Corp., 11.00%, 07/17/28(e)
|
USD
|
9,310
|
10,171,175
|
|
Lessen, Inc., 13.09%, 01/05/28(a)(e)
|
|
2,050
|
1,914,819
|
|
Level 3 Financing, Inc.(a)
|
|
|
|
|
4.63%, 09/15/27
|
|
380
|
334,693
|
|
11.00%, 11/15/29
|
|
277
|
307,016
|
|
10.00%, 10/15/32
|
|
2,028
|
1,937,567
|
|
Lightning eMotors, Inc., 7.50%, 05/15/24(a)(f)(l)(o)
|
|
945
|
9,450
|
|
Lions Gate Capital Holdings 1, Inc., 5.50%,
04/15/29(a)
|
|
2,575
|
2,311,617
|
|
Lowe’s Cos., Inc., 2.63%, 04/01/31
|
|
2,960
|
2,660,038
|
|
MicroStrategy, Inc., 0.63%, 09/15/28(a)(o)
|
|
459
|
551,947
|
|
Morgan Stanley(b)
|
|
|
|
|
(1-day SOFR + 1.02%), 1.93%, 04/28/32
|
|
3,055
|
2,592,007
|
|
(1-day SOFR + 1.73%), 5.47%, 01/18/35
|
|
441
|
461,106
|
|
Nationstar Mortgage Holdings, Inc.(a)
|
|
|
|
|
6.00%, 01/15/27
|
|
181
|
181,021
|
|
5.50%, 08/15/28
|
|
846
|
837,479
|
|
5.75%, 11/15/31
|
|
366
|
358,523
|
|
NCR Atleos Corp., 9.50%, 04/01/29(a)
|
|
430
|
473,374
|
|
Paramount Global, 7.88%, 07/30/30
|
|
544
|
594,152
|
|
Pfizer Investment Enterprises Pte. Ltd., 4.75%,
05/19/33
|
|
1,867
|
1,903,029
|
|
Pioneer Midco Notes, (10.50% PIK), 10.50%,
11/18/30(a)(e)(k)
|
|
4,510
|
4,656,310
|
|
Pitney Bowes, Inc., 6.88%, 03/15/27(a)
|
|
2,195
|
2,181,619
|
|
Rand Parent LLC, 8.50%, 02/15/30(a)
|
|
452
|
460,969
|
|
Republic Services, Inc., 1.45%, 02/15/31
|
|
3,080
|
2,581,471
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
RingCentral, Inc., 8.50%, 08/15/30(a)
|
USD
|
1,430
|
$ 1,529,881
|
|
Sabre GLBL, Inc.(a)
|
|
|
|
|
8.63%, 06/01/27
|
|
1,007
|
990,509
|
|
11.25%, 12/15/27
|
|
1,463
|
1,518,090
|
|
Seagate HDD Cayman
|
|
|
|
|
8.25%, 12/15/29
|
|
609
|
661,104
|
|
8.50%, 07/15/31
|
|
326
|
355,761
|
|
9.63%, 12/01/32
|
|
550
|
638,627
|
|
Service Properties Trust
|
|
|
|
|
8.38%, 06/15/29
|
|
3,356
|
3,352,228
|
|
8.88%, 06/15/32
|
|
2,413
|
2,304,939
|
|
Sonder Bridge Notes, (14.36% PIK), 14.36%,
12/10/27(e)(k)
|
|
1,319
|
1,310,466
|
|
Sonder Secured Notes, (14.33% PIK), 14.33%,
12/10/26(b)(e)(k)
|
|
9,859
|
9,267,919
|
|
Spirit AeroSystems, Inc.(a)
|
|
|
|
|
9.38%, 11/30/29
|
|
772
|
837,506
|
|
9.75%, 11/15/30
|
|
1,326
|
1,478,490
|
|
Stem, Inc., 0.50%, 12/01/28(a)(o)
|
|
200
|
55,500
|
|
Talen Energy Supply LLC, 8.63%, 06/01/30(a)
|
|
180
|
196,168
|
|
Tenneco, Inc., 8.00%, 11/17/28(a)
|
|
1,648
|
1,529,227
|
|
Texas Capital Bancshares, Inc., (5-year CMT +
3.15%), 4.00%, 05/06/31(b)
|
|
400
|
379,774
|
|
T-Mobile U.S., Inc., 2.70%, 03/15/32
|
|
2,955
|
2,606,383
|
|
Transocean Titan Financing Ltd., 8.38%, 02/01/28(a)
|
|
424
|
436,725
|
|
Transocean, Inc., 8.25%, 05/15/29(a)
|
|
988
|
979,432
|
|
Truist Financial Corp., (1-day SOFR + 1.62%),
5.44%, 01/24/30(b)
|
|
451
|
466,812
|
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital
LLC, 10.50%, 02/15/28(a)
|
|
971
|
1,036,451
|
|
Univision Communications, Inc.(a)
|
|
|
|
|
8.00%, 08/15/28
|
|
140
|
143,145
|
|
07/31/31(c)
|
|
150
|
150,335
|
|
Vantage Drilling International Ltd., 9.50%, 02/15/28(a)
|
|
1,352
|
1,360,749
|
|
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%,
09/01/25(a)
|
|
380
|
356,493
|
|
Verizon Communications, Inc., 1.13%, 11/03/28
|
GBP
|
100
|
117,062
|
|
Vistra Operations Co. LLC, 7.75%, 10/15/31(a)
|
USD
|
405
|
436,022
|
|
Wayfair LLC, 10/31/29(a)(c)
|
|
257
|
263,286
|
|
Westbay, 11.00%, 02/06/30(e)
|
|
9,314
|
9,523,565
|
|
Wildfire Intermediate Holdings LLC, 7.50%,
10/15/29(a)
|
|
557
|
548,117
|
|
Zayo Group Holdings, Inc., 4.00%, 03/01/27(a)
|
|
1,045
|
934,693
|
|
|
|
|
162,490,787
|
|
Zambia — 0.0%
|
|||
|
First Quantum Minerals Ltd., 9.38%, 03/01/29(a)
|
|
200
|
212,000
|
|
Total Corporate Bonds — 13.4%
(Cost: $237,432,190)
|
243,623,693
|
||
|
Fixed Rate Loan Interests
|
|||
|
India — 0.1%
|
|||
|
Vedanta Hold Mauritius II Ltd., Delayed Draw Term
Loan, 18.00%, 04/17/26(e)
|
|
1,728
|
1,813,812
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States(e) — 0.6%
|
|||
|
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28
|
USD
|
2,975
|
$ 3,020,782
|
|
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27
|
|
6,480
|
6,559,917
|
|
OD Intermediate SUBI Holdco II LLC, Mezzanine
Term Loan, 10.00%, 04/01/26
|
|
1,332
|
1,305,999
|
|
|
|
|
10,886,698
|
|
Total Fixed Rate Loan Interests — 0.7%
(Cost: $12,444,634)
|
12,700,510
|
||
|
Floating Rate Loan Interests(b)
|
|||
|
Belgium — 0.0%
|
|||
|
Finco Utilitas BV, EUR Term Loan B, 09/26/30(p)
|
EUR
|
520
|
579,017
|
|
Canada — 0.0%
|
|||
|
CPPIB OVM Member US LLC, Term Loan B, (3-mo.
CME Term SOFR at 0.00% Floor + 3.25%), 7.85%,
08/20/31
|
USD
|
535
|
534,775
|
|
Colombia — 0.2%
|
|||
|
Ecopetrol SA, 2023 Term Loan, (6-mo. CME Term
SOFR at 0.00% Floor + 4.75%), 9.37%,
09/06/30(e)
|
|
3,600
|
3,703,320
|
|
Finland — 0.1%
|
|||
|
Mehilainen Yhtiot Oy
|
|
|
|
|
2024 EUR 1st Lien Term Loan B5A, (3-mo.
EURIBOR at 0.00% Floor + 4.00%), 7.35%,
08/05/31
|
EUR
|
561
|
625,420
|
|
2024 EUR New Money Term Loan B5B, (3-mo.
EURIBOR at 0.00% Floor + 4.00%), 7.35%,
08/05/31
|
|
1,072
|
1,192,076
|
|
|
|
|
1,817,496
|
|
France(p) — 0.3%
|
|||
|
Hestiafloor 2, 02/28/30
|
|
588
|
588,017
|
|
HomeVi SASU, 2024 EUR Term Loan B, 10/31/29
|
|
1,000
|
1,085,900
|
|
Obol France 3 SAS, 2024 EUR Term Loan B,
12/29/28
|
|
1,000
|
1,066,854
|
|
Parts Europe SA, EUR Term Loan B, 02/03/31
|
|
1,000
|
1,114,752
|
|
Ramsay Generale de Sante SA, 2024 EUR Term
Loan B4, 08/13/31
|
|
900
|
1,034,091
|
|
|
|
|
4,889,614
|
|
Germany — 0.4%
|
|||
|
Aenova Holding GmbH, 2024 EUR Term Loan B,
(6-mo. EURIBOR at 0.00% Floor + 3.75%), 7.14%,
08/22/31
|
|
1,132
|
1,262,640
|
|
Apleona Holding GmbH, 2024 EUR Term Loan B3,
(3-mo. EURIBOR at 0.00% Floor + 3.75%), 7.39%,
04/28/28
|
|
1,200
|
1,340,008
|
|
IFCO Management GmbH, 2024 EUR Term Loan B,
11/29/29(p)
|
|
1,000
|
1,114,775
|
|
Nidda Healthcare Holding GmbH, 2024 EUR Term
Loan B3, 02/21/30(p)
|
|
1,440
|
1,601,427
|
|
TK Elevator Midco GmbH, EUR Term Loan B,
04/30/30(p)
|
|
1,000
|
1,115,932
|
|
|
|
|
6,434,782
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland — 0.1%
|
|||
|
Promontoria Beech Designated Activity Co., 1st Lien
Term Loan, (1-mo. EURIBOR + 3.75%), 7.19%,
05/17/27(e)
|
EUR
|
2,324
|
$ 2,584,165
|
|
Jersey(e) — 0.5%
|
|||
|
Vita Global Finco Ltd.
|
|
|
|
|
1st Lien Term Loan B, (6-mo. EURIBOR at 0.00%
Floor + 7.00%), 10.74%, 07/06/27
|
|
4,654
|
4,882,919
|
|
GBP Incremental Term Loan, (3-mo. SONIA +
7.00%), 11.95%, 07/06/27
|
GBP
|
2,850
|
3,590,595
|
|
|
|
|
8,473,514
|
|
Luxembourg — 0.3%
|
|||
|
Euro Parfums Fze, Term Loan B, (3-mo. CME Term
SOFR at 0.00% Floor + 6.75%), 11.42%,
09/01/28(e)
|
USD
|
603
|
603,000
|
|
INEOS Finance PLC, 2024 EUR 1st Lien Term Loan
B, 06/23/31(p)
|
EUR
|
1,000
|
1,107,706
|
|
Speed Midco 3 SARL, 2024 EUR Term Loan B2,
(6-mo. EURIBOR at 0.00% Floor + 4.95%), 8.11%,
06/05/31(e)
|
|
2,566
|
2,842,014
|
|
|
|
|
4,552,720
|
|
Netherlands — 0.4%
|
|||
|
Cypher Bidco BV, 1st Lien Term Loan B, (6-mo.
EURIBOR + 4.50%), 8.34%, 12/30/28(e)
|
|
1,828
|
1,960,822
|
|
Flora Food Management BV, 2024 GBP Term Loan
B11, (1-day SONIA at 0.00% Floor + 5.79%),
10.95%, 01/03/28
|
GBP
|
1,388
|
1,845,536
|
|
Median BV, 2021 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 4.93%), 8.27%,
10/14/27
|
EUR
|
982
|
1,083,347
|
|
Peer Holding III BV, 2024 EUR Term Loan B6, (3-mo.
EURIBOR at 0.00% Floor + 3.25%), 6.60%,
07/01/31
|
|
1,400
|
1,558,550
|
|
Pegasus BidCo BV, 2024 EUR Term Loan B2, (3-mo.
EURIBOR at 0.00% Floor + 3.50%), 7.04%,
07/12/29
|
|
1,333
|
1,483,458
|
|
|
|
|
7,931,713
|
|
Norway — 0.0%
|
|||
|
Sector Alarm Holding AS, 2024 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 4.25%), 7.76%,
06/14/29
|
|
407
|
454,376
|
|
Spain — 0.2%
|
|||
|
Aernnova Aerospace SAU, 2024 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 4.00%), 7.71%,
02/27/30
|
|
1,303
|
1,449,731
|
|
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan
B, 06/13/31(p)
|
|
741
|
827,748
|
|
PAX Holdco Spain SL, 2024 EUR Term Loan B3,
12/31/29(p)
|
|
1,000
|
1,110,233
|
|
|
|
|
3,387,712
|
|
Sweden(p) — 0.1%
|
|||
|
Platea BC Bidco AB
|
|
|
|
|
EUR Delayed Draw Term Loan, 04/03/31
|
|
167
|
186,046
|
|
EUR Term Loan, 04/03/31
|
|
833
|
930,231
|
|
|
|
|
1,116,277
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom(p) — 0.2%
|
|||
|
CD&R Firefly Bidco PLC, 2024 GBP Term Loan B6,
06/21/28
|
GBP
|
1,000
|
$ 1,334,022
|
|
Froneri Lux FinCo SARL, 2024 EUR Term Loan,
09/17/31
|
EUR
|
1,000
|
1,112,103
|
|
Lorca Finco PLC, 2024 EUR Term Loan B3, 03/25/31
|
|
1,000
|
1,113,183
|
|
|
|
|
3,559,308
|
|
United States — 4.2%
|
|||
|
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term
SOFR at 1.00% Floor + 6.88%), 11.72%,
12/21/27(e)
|
USD
|
3,111
|
3,060,109
|
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (3-mo.
CME Term SOFR at 0.50% Floor + 5.60%),
10.40%, 02/01/30
|
|
2,548
|
2,455,864
|
|
Boxer Parent Co., Inc., 2024 EUR Term Loan B, (3-
mo. EURIBOR at 0.00% Floor + 4.00%), 7.66%,
07/30/31
|
EUR
|
1,496
|
1,661,858
|
|
ConnectWise LLC, 2021 Term Loan B, (3-mo. CME
Term SOFR at 0.50% Floor + 3.76%), 8.37%,
09/29/28
|
USD
|
1,212
|
1,208,855
|
|
Coreweave Compute Acquisition Co. II, LLC(e)
|
|
|
|
|
2024 Delayed Draw Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 6.00%), 11.05%,
05/16/29
|
|
97
|
95,892
|
|
Delayed Draw Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 9.62%), 14.65%,
07/30/28
|
|
7,059
|
7,050,979
|
|
CSC Holdings LLC, 2019 Term Loan B5, 04/15/27(p)
|
|
579
|
528,850
|
|
ECL Entertainment LLC, 2024 Term Loan B, (1-mo.
CME Term SOFR + 4.00%), 8.85%, 08/31/30
|
|
3,455
|
3,463,052
|
|
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at
0.75% Floor + 7.00%), 11.85%, 07/10/28(e)
|
|
373
|
367,769
|
|
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR
at 0.75% Floor + 7.00%), 11.85%, 07/08/28(e)
|
|
3,734
|
3,677,692
|
|
Emerald Electronics Manufacturing Services, Term
Loan, (1-mo. CME Term SOFR at 1.00% Floor +
6.35%), 11.20%, 12/29/27(e)
|
|
1,116
|
892,410
|
|
Galaxy Universal LLC, 1st Lien Term Loan, (6-mo.
CME Term SOFR at 1.00% Floor + 6.50%),
11.79%, 11/12/26(e)
|
|
12,958
|
12,828,586
|
|
GoTo Group, Inc.
|
|
|
|
|
2024 First Out Term Loan, (1-mo. CME Term
SOFR at 0.00% Floor + 4.85%), 9.97%,
04/28/28
|
|
1,124
|
922,118
|
|
2024 Second Out Term Loan, (1-mo. CME Term
SOFR + 4.85%), 9.97%, 04/28/28
|
|
875
|
294,101
|
|
Green Plains Operating Co. LLC, Term Loan, (3 mo.
CME Term SOFR at 0.00% Floor + 8.00%),
13.21%, 07/20/26(e)
|
|
6,376
|
6,463,776
|
|
Helios Service Partners LLC, 2023 Term Loan B,
(3-mo. CME Term SOFR at 1.00% Floor + 6.51%),
10.87%, 03/19/27(e)
|
|
614
|
613,562
|
|
HLP Hotels LLC, 1st Lien Term Loan, (1-mo. CME
Term SOFR at 1.00% Floor + 3.66%), 8.87%,
09/09/26(e)
|
|
5,000
|
5,000,000
|
|
HP LQ Investment LP, 1st Lien Term Loan, (1-mo.
CME Term SOFR + 3.31%), 8.21%, 12/09/26(e)
|
|
6,382
|
6,367,992
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo.
CME Term SOFR at 1.00% Floor + 5.61%),
10.46%, 10/25/28(e)
|
USD
|
1,853
|
$ 1,482,021
|
|
Indy U.S. Holdco LLC, 2024 EUR Term Loan B, (1-
mo. EURIBOR at 0.00% Floor + 4.75%), 8.13%,
03/06/28
|
EUR
|
1,000
|
1,111,157
|
|
Level 3 Financing Inc., 2024 Extended Term Loan B1,
(1-mo. CME Term SOFR at 2.00% Floor + 6.56%),
11.41%, 04/15/29
|
USD
|
426
|
434,858
|
|
Maverick Gaming LLC
|
|
|
|
|
2024 PIK Term Loan, (3-mo. CME Term SOFR at
1.00% Floor + 7.50%), 12.82%, 06/03/28
|
|
516
|
490,670
|
|
2024 Second Out Term Loan, (3-mo. CME Term
SOFR at 1.00% Floor + 7.50%), 12.82%,
06/03/28
|
|
852
|
596,341
|
|
Medical Solutions Holdings, Inc., 2021 2nd Lien Term
Loan, (3-mo. CME Term SOFR at 0.50% Floor +
7.10%), 12.35%, 11/01/29
|
|
1,052
|
683,800
|
|
Montage Hotels & Resorts LLC, Term Loan, (3-mo.
CME Term SOFR + 6.00%), 10.66%, 02/16/29(e)
|
|
1,208
|
1,207,830
|
|
NGP XI Midstream Holdings LLC, Term Loan B, (3-
mo. CME Term SOFR at 0.00% Floor + 4.00%),
8.60%, 07/25/31
|
|
803
|
801,996
|
|
Orion Group Holdco LLC(e)
|
|
|
|
|
2022 1st Amendment Term Loan, (3-mo. CME
Term SOFR at 1.00% Floor + 6.76%), 11.37%,
03/19/27
|
|
117
|
117,472
|
|
2022 First A&R Amendment Incremental DDTL,
(3-mo. CME Term SOFR at 1.00% Floor +
6.76%), 11.37%, 03/19/27
|
|
523
|
525,373
|
|
2023 Delayed Draw Term Loan, (3-mo. CME Term
SOFR at 1.00% Floor + 6.26%), 10.87%,
03/19/27
|
|
942
|
941,823
|
|
Delayed Draw Term Loan, (3-mo. CME Term
SOFR + 6.00%), 10.87%, 03/19/27
|
|
198
|
196,961
|
|
First Lien Delayed Draw Term Loan, (3-mo. CME
Term SOFR at 1.00% Floor + 6.26%), 10.87%,
03/19/27
|
|
1,168
|
1,174,253
|
|
First Lien Term Loan, (3-mo. CME Term SOFR at
1.00% Floor + 6.26%), 10.87%, 03/19/27
|
|
100
|
100,703
|
|
Term Loan, (3-mo. CME Term SOFR at 1.00%
Floor + 6.26%), 10.87%, 03/19/27
|
|
20
|
19,675
|
|
Project Montage, PIK Revolver, (Prime + 6.00%),
14.00%, 02/16/29(e)
|
|
68
|
68,064
|
|
Quartz Acquireco LLC, 2024 Term Loan B1, (3-mo.
CME Term SOFR at 0.00% Floor + 2.75%), 7.35%,
06/28/30
|
|
173
|
172,926
|
|
Redstone Holdco 2 LP
|
|
|
|
|
2021 2nd Lien Term Loan, (1-mo. CME Term
SOFR + 8.01%), 13.26%, 04/27/29
|
|
620
|
449,500
|
|
2021 Term Loan, (3-mo. CME Term SOFR at
0.75% Floor + 5.01%), 10.26%, 04/27/28
|
|
1,981
|
1,505,450
|
|
Solaris Energy Infrastructure LLC, Term Loan, (Prime
+ 5.00%), 11.10%, 09/11/29
|
|
6,203
|
6,078,940
|
|
Verifone Systems, Inc., 2018 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.00% Floor + 4.26%),
9.33%, 08/20/25
|
|
533
|
487,593
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo.
CME Term SOFR at 1.00% Floor + 5.11%), 9.96%,
09/01/25
|
USD
|
75
|
$ 70,100
|
|
Waystar Technologies, Inc., 2024 USD Term Loan B,
(1-mo. CME Term SOFR at 0.00% Floor + 2.75%),
7.60%, 10/22/29
|
|
16
|
16,304
|
|
Xerox Corp., 2023 Term Loan B, (3-mo. CME Term
SOFR + 4.00%), 8.71%, 11/17/29
|
|
88
|
87,289
|
|
|
|
|
75,774,564
|
|
Total Floating Rate Loan Interests — 7.0%
(Cost: $126,813,629)
|
125,793,353
|
||
|
Foreign Agency Obligations
|
|||
|
Bahrain — 0.0%
|
|
||
|
Bahrain Government International Bond, 5.45%,
09/16/32(d)
|
|
257
|
247,604
|
|
Brazil — 0.0%
|
|
||
|
Brazilian Government International Bond, 7.13%,
05/13/54
|
|
210
|
217,699
|
|
Chile — 0.0%
|
|
||
|
Chile Government International Bond, 4.34%,
03/07/42
|
|
278
|
253,397
|
|
Colombia — 0.0%
|
|
||
|
Colombia Government International Bond, 8.00%,
04/20/33
|
|
224
|
240,426
|
|
Costa Rica — 0.0%
|
|
||
|
Costa Rica Government International Bond, 7.30%,
11/13/54(a)
|
|
210
|
231,976
|
|
Dominican Republic — 0.1%
|
|
||
|
Dominican Republic International Bond
|
|
|
|
|
5.95%, 01/25/27(d)
|
|
278
|
281,736
|
|
4.50%, 01/30/30(a)
|
|
420
|
401,755
|
|
7.05%, 02/03/31(a)
|
|
272
|
293,091
|
|
|
|
|
976,582
|
|
Egypt — 0.0%
|
|
||
|
Egypt Government International Bond
|
|
|
|
|
5.63%, 04/16/30(d)
|
EUR
|
214
|
199,355
|
|
7.63%, 05/29/32(d)
|
USD
|
219
|
193,815
|
|
8.50%, 01/31/47(a)
|
|
200
|
161,438
|
|
|
|
|
554,608
|
|
Guatemala(a) — 0.1%
|
|
||
|
Guatemala Government Bond
|
|
|
|
|
7.05%, 10/04/32
|
|
210
|
226,800
|
|
6.60%, 06/13/36
|
|
230
|
240,695
|
|
4.65%, 10/07/41
|
|
351
|
289,904
|
|
|
|
|
757,399
|
|
Hungary — 0.1%
|
|
||
|
Hungary Government International Bond
|
|
|
|
|
5.50%, 03/26/36(a)
|
|
200
|
201,250
|
|
Series 10Y, 5.38%, 09/12/33(d)
|
EUR
|
194
|
232,153
|
|
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(d)
|
|
254
|
304,211
|
|
|
|
|
737,614
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ivory Coast(d) — 0.0%
|
|
||
|
Ivory Coast Government International Bond
|
|
|
|
|
6.38%, 03/03/28
|
USD
|
309
|
$ 309,000
|
|
5.88%, 10/17/31
|
EUR
|
251
|
264,732
|
|
|
|
|
573,732
|
|
Jordan — 0.0%
|
|
||
|
Jordan Government International Bond, 4.95%,
07/07/25(d)
|
USD
|
200
|
197,312
|
|
Kenya — 0.0%
|
|
||
|
Republic of Kenya Government International Bond,
9.75%, 02/16/31(a)
|
|
249
|
250,556
|
|
Mexico — 0.1%
|
|
||
|
Mexico Government International Bond
|
|
|
|
|
2.66%, 05/24/31
|
|
294
|
252,196
|
|
6.35%, 02/09/35
|
|
313
|
328,024
|
|
6.34%, 05/04/53
|
|
200
|
198,813
|
|
|
|
|
779,033
|
|
Montenegro — 0.0%
|
|
||
|
Montenegro Government International Bond, 2.88%,
12/16/27(d)
|
EUR
|
186
|
195,594
|
|
Morocco — 0.0%
|
|
||
|
Morocco Government International Bond, 5.95%,
03/08/28(a)
|
USD
|
200
|
206,626
|
|
Nigeria — 0.0%
|
|
||
|
Nigeria Government International Bond
|
|
|
|
|
8.38%, 03/24/29(a)
|
|
353
|
341,969
|
|
7.63%, 11/28/47(d)
|
|
244
|
186,736
|
|
|
|
|
528,705
|
|
Oman(d) — 0.0%
|
|
||
|
Oman Government International Bond
|
|
|
|
|
6.50%, 03/08/47
|
|
219
|
230,840
|
|
6.75%, 01/17/48
|
|
227
|
246,011
|
|
|
|
|
476,851
|
|
Panama — 0.1%
|
|
||
|
Panama Government International Bond
|
|
|
|
|
7.50%, 03/01/31
|
|
352
|
384,736
|
|
6.40%, 02/14/35
|
|
374
|
382,767
|
|
|
|
|
767,503
|
|
Paraguay — 0.0%
|
|
||
|
Paraguay Government International Bond, 2.74%,
01/29/33(d)
|
|
395
|
336,491
|
|
Peru — 0.0%
|
|
||
|
Corp. Financiera de Desarrollo SA, 4.75%,
07/15/25(d)
|
|
206
|
205,273
|
|
Peruvian Government International Bond
|
|
|
|
|
2.78%, 01/23/31
|
|
152
|
135,660
|
|
1.86%, 12/01/32
|
|
284
|
228,176
|
|
|
|
|
569,109
|
|
Poland — 0.0%
|
|
||
|
Republic of Poland Government International Bond
|
|
|
|
|
4.88%, 10/04/33
|
|
48
|
48,719
|
|
5.50%, 04/04/53
|
|
149
|
152,807
|
|
|
|
|
201,526
|
|
Security
|
|
Par
(000)
|
Value
|
|
Republic of North Macedonia — 0.0%
|
|
||
|
North Macedonia Government International Bond,
6.96%, 03/13/27(d)
|
EUR
|
187
|
$ 216,875
|
|
Romania — 0.0%
|
|
||
|
Romanian Government International Bond
|
|
|
|
|
5.25%, 11/25/27(a)
|
USD
|
46
|
46,332
|
|
2.50%, 02/08/30(d)
|
EUR
|
223
|
223,757
|
|
2.12%, 07/16/31(d)
|
|
224
|
209,296
|
|
|
|
|
479,385
|
|
Saudi Arabia — 0.1%
|
|
||
|
Saudi Government International Bond, 5.00%,
01/18/53(a)
|
USD
|
658
|
609,472
|
|
Senegal — 0.0%
|
|
||
|
Senegal Government International Bond, 6.25%,
05/23/33(d)
|
|
278
|
239,341
|
|
Serbia — 0.0%
|
|
||
|
Serbia International Bond
|
|
|
|
|
6.50%, 09/26/33(d)
|
|
200
|
213,656
|
|
6.00%, 06/12/34(a)
|
|
236
|
242,962
|
|
|
|
|
456,618
|
|
South Africa — 0.0%
|
|
||
|
Republic of South Africa Government International
Bond, 5.88%, 04/20/32
|
|
380
|
377,625
|
|
Spain(a)(d) — 0.3%
|
|
||
|
Spain Government Bond
|
|
|
|
|
2.90%, 10/31/46
|
EUR
|
2,252
|
2,275,231
|
|
3.45%, 07/30/66
|
|
2,440
|
2,561,213
|
|
|
|
|
4,836,444
|
|
Trinidad And Tobago — 0.0%
|
|
||
|
Trinidad & Tobago Government International Bond,
6.40%, 06/26/34(a)
|
USD
|
284
|
293,244
|
|
Ukraine(a)(q) — 0.0%
|
|
||
|
Ukraine Government International Bond
|
|
|
|
|
4.50%, 02/01/29
|
|
75
|
44,108
|
|
1.75%, 02/01/30
|
|
7
|
2,981
|
|
3.00%, 02/01/34
|
|
26
|
8,669
|
|
4.50%, 02/01/34
|
|
50
|
22,233
|
|
3.00%, 02/01/35
|
|
22
|
9,426
|
|
3.00%, 02/01/36
|
|
18
|
7,769
|
|
|
|
|
95,186
|
|
United Kingdom(d) — 0.4%
|
|
||
|
United Kingdom Gilt
|
|
|
|
|
3.75%, 10/22/53
|
GBP
|
1,911
|
2,215,552
|
|
0.50%, 10/22/61
|
|
10,627
|
4,336,364
|
|
|
|
|
6,551,916
|
|
Uruguay — 0.0%
|
|
||
|
Oriental Republic of Uruguay, 5.25%, 09/10/60
|
USD
|
216
|
216,000
|
|
Uruguay Government International Bond, 5.75%,
10/28/34
|
|
272
|
295,779
|
|
|
|
|
511,779
|
|
Security
|
|
Par
(000)
|
Value
|
|
Uzbekistan — 0.0%
|
|
||
|
Republic of Uzbekistan International Bond, 5.38%,
05/29/27(a)
|
EUR
|
221
|
$ 247,697
|
|
Total Foreign Agency Obligations — 1.3%
(Cost: $25,742,409)
|
24,215,925
|
||
|
|
|
Shares
|
|
|
Investment Companies
|
|||
|
United States — 1.4%
|
|
||
|
iShares Biotechnology ETF(r)
|
|
13,800
|
2,009,280
|
|
iShares JP Morgan USD Emerging Markets Bond
ETF(r)
|
|
71,155
|
6,658,685
|
|
iShares MSCI Brazil ETF(r)
|
|
13,963
|
411,769
|
|
iShares Russell 2000 ETF(r)
|
|
9,800
|
2,164,722
|
|
iShares Russell Mid-Cap Growth ETF(r)
|
|
1,993
|
233,759
|
|
SPDR Gold Shares, B Shares(f)
|
|
26,894
|
6,536,855
|
|
SPDR S&P Biotech ETF
|
|
45,000
|
4,446,000
|
|
VanEck J. P. Morgan EM Local Currency Bond ETF
|
|
87,582
|
2,224,583
|
|
VanEck Semiconductor ETF(f)
|
|
5,362
|
1,316,103
|
|
Total Investment Companies — 1.4%
(Cost: $23,598,035)
|
26,001,756
|
||
|
|
|
Par
(000)
|
|
|
Municipal Bonds
|
|||
|
Florida — 0.0%
|
|
||
|
Florida Development Finance Corp., Refunding RB,
AMT, 12.00%, 07/15/32(a)(b)
|
USD
|
255
|
271,047
|
|
Puerto Rico — 0.1%
|
|
||
|
Commonwealth of Puerto Rico, RB, 0.00%,
11/01/51(b)(f)(l)
|
|
4,808
|
2,626,184
|
|
Texas — 0.1%
|
|
||
|
Port of Beaumont Navigation District, Refunding ARB,
Series B, 10.00%, 07/01/26(a)
|
|
885
|
911,577
|
|
Total Municipal Bonds — 0.2%
(Cost: $3,365,633)
|
3,808,808
|
||
|
Non-Agency Mortgage-Backed Securities
|
|||
|
United States — 4.1%
|
|||
|
Ajax Mortgage Loan Trust(a)
|
|
|
|
|
Series 2020-C, Class C, 0.01%, 09/27/60
|
|
9
|
719
|
|
Series 2020-C, Class RW, 0.00%, 09/25/60(e)
|
|
13
|
13,121
|
|
Series 2020-D, Class RW, 0.00%, 06/25/60(e)
|
|
19
|
19,318
|
|
Series 2021-E, Class B3, 4.15%, 12/25/60(b)
|
|
120
|
42,332
|
|
Series 2021-E, Class SA, 0.00%, 12/25/60(b)
|
|
6
|
2,797
|
|
Series 2021-E, Class XS, 0.00%, 12/25/60(b)
|
|
12,580
|
469,560
|
|
BAMLL Commercial Mortgage Securities Trust,
Series 2017-SCH, Class AL, (1-mo. Term SOFR +
0.95%), 6.04%, 11/15/32(a)(b)
|
|
2,000
|
1,997,288
|
|
BFLD Trust, Series 2021-EYP, Class E, (1-mo. Term
SOFR + 3.81%), 8.91%, 10/15/35(a)(b)
|
|
790
|
41,639
|
|
BX Commercial Mortgage Trust(a)(b)
|
|
|
|
|
Series 2020-VIV3, Class B, 3.66%, 03/09/44
|
|
1,600
|
1,475,055
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
BX Commercial Mortgage Trust(a)(b) (continued)
|
|
|
|
|
Series 2020-VKNG, Class G, (1-mo. Term SOFR +
3.36%), 8.46%, 10/15/37
|
USD
|
1,610
|
$ 1,577,187
|
|
Series 2021-MFM1, Class G, (1-mo. Term SOFR +
4.01%), 9.11%, 01/15/34
|
|
1,246
|
1,214,996
|
|
BX Trust, Series 2021-VIEW, Class E, (1-mo. Term
SOFR + 3.71%), 8.81%, 06/15/36(a)(b)
|
|
614
|
583,166
|
|
Commercial Mortgage Trust(b)
|
|
|
|
|
Series 2015-CR25, Class C, 4.67%, 08/10/48
|
|
2,000
|
1,896,618
|
|
Series 2019-GC44, Class 180B, 3.51%,
08/15/57(a)
|
|
1,900
|
1,873,747
|
|
CSMC(a)(b)
|
|
|
|
|
Series 2020-FACT, Class E, (1-mo. Term SOFR +
5.23%), 10.32%, 10/15/37
|
|
730
|
669,790
|
|
Series 2020-FACT, Class F, (1-mo. Term SOFR +
6.52%), 11.62%, 10/15/37
|
|
1,700
|
1,521,096
|
|
Series 2020-NET, Class D, 3.83%, 08/15/37
|
|
1,275
|
1,220,135
|
|
Series 2021-BHAR, Class E, (1-mo. Term SOFR +
3.61%), 8.71%, 11/15/38
|
|
1,500
|
1,476,562
|
|
Series 2022-LION, Class A, (1-mo. Term SOFR +
3.44%), 8.54%, 02/15/25(e)
|
|
3,400
|
3,317,914
|
|
Deephaven Residential Mortgage Trust,
Series 2021-1, Class B2, 3.96%, 05/25/65(a)(b)
|
|
1,550
|
1,408,951
|
|
FREMF Trust, Series 2018-W5FX, Class CFX,
3.79%, 04/25/28(a)(b)
|
|
437
|
395,277
|
|
GS Mortgage Securities Corp. Trust, Series 2021-IP,
Class E, (1-mo. Term SOFR + 3.66%), 8.76%,
10/15/36(a)(b)
|
|
1,540
|
1,522,792
|
|
Imperial Fund Mortgage Trust, Series 2020-NQM1,
Class B1, 4.00%, 10/25/55(a)(b)
|
|
3,602
|
3,278,628
|
|
JP Morgan Mortgage Trust(a)(b)
|
|
|
|
|
Series 2021-1, Class A3X, 0.50%, 06/25/51
|
|
47,047
|
1,362,871
|
|
Series 2021-1, Class AX1, 0.12%, 06/25/51
|
|
190,917
|
1,268,684
|
|
Series 2021-1, Class AX4, 0.40%, 06/25/51
|
|
12,192
|
276,465
|
|
Series 2021-1, Class B4, 3.02%, 06/25/51
|
|
787
|
647,420
|
|
Series 2021-1, Class B5, 3.02%, 06/25/51
|
|
944
|
723,857
|
|
Series 2021-1, Class B6, 2.89%, 06/25/51
|
|
1,536
|
643,705
|
|
Series 2021-4, Class B4, 2.90%, 08/25/51
|
|
1,175
|
929,324
|
|
Series 2021-4, Class B5, 2.90%, 08/25/51
|
|
881
|
618,290
|
|
Series 2021-4, Class B6, 2.90%, 08/25/51
|
|
2,177
|
914,895
|
|
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2007-2A, Class M2, (1-mo.
Term SOFR + 0.71%), 5.57%, 06/25/37(a)(b)
|
|
2,735
|
2,288,259
|
|
MCM Trust(e)
|
|
|
|
|
2.50%, 09/25/31(a)
|
|
2,698
|
2,598,631
|
|
3.00%, 09/25/31
|
|
3,287
|
2,143,316
|
|
New Residential Mortgage Loan Trust(a)(b)
|
|
|
|
|
Series 2019-RPL2, Class B3, 4.01%, 02/25/59
|
|
9,329
|
7,264,737
|
|
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55
|
|
1,370
|
1,172,389
|
|
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55
|
|
1,022
|
883,921
|
|
Seasoned Credit Risk Transfer Trust, Series 2020-3,
Class BXS, 6.06%, 05/25/60(a)(b)
|
|
7,578
|
4,077,379
|
|
Seasoned Loans Structured Transaction Trust(a)(b)
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60
|
|
3,078
|
3,039,563
|
|
Series 2020-3, Class M1, 4.75%, 04/26/60
|
|
4,478
|
4,422,438
|
|
Starwood Mortgage Residential Trust, Series 2020-
INV, Class B2, 4.26%, 11/25/55(a)
|
|
1,225
|
1,010,077
|
|
TVC DSCR(e)
|
|
|
|
|
Series 21-1, 0.00%, 02/01/51
|
|
1,323
|
1,143,383
|
|
Series 21-1, Class A, 2.38%, 02/01/51(a)
|
|
3,289
|
3,018,234
|
|
Verus Securitization Trust(a)(b)
|
|
|
|
|
Series 2020-5, Class B1, 3.71%, 05/25/65
|
|
2,400
|
2,203,772
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Verus Securitization Trust(a)(b) (continued)
|
|
|
|
|
Series 2020-5, Class B2, 4.71%, 05/25/65
|
USD
|
1,400
|
$ 1,338,419
|
|
Series 2021-R2, Class B1, 3.25%, 02/25/64
|
|
2,735
|
2,143,732
|
|
WaMu Mortgage Pass-Through Certificates Trust,
Series 2007-OA6, Class 1A, (12-mo. MTA +
0.81%), 5.93%, 07/25/47(b)
|
|
1,044
|
857,759
|
|
Wells Fargo Commercial Mortgage Trust, Series 2019-
C50, Class XA, 1.57%, 05/15/52(b)
|
|
22,244
|
1,043,461
|
|
Total Non-Agency Mortgage-Backed Securities — 4.1%
(Cost: $78,389,078)
|
74,053,669
|
||
|
|
|
Benefical
Interest (000)
|
|
|
Other Interests
|
|||
|
Canada — 0.2%
|
|
||
|
Sprott Private Resource Streaming(e)(s)
|
USD
|
4,640
|
3,792,736
|
|
Total Other Interests — 0.2%
(Cost: $4,681,796)
|
3,792,736
|
||
|
|
|
Par
(000)
|
|
|
Preferred Securities
|
|||
|
Capital Trusts — 0.2%(b)
|
|||
|
France(d)(n) — 0.1%
|
|
||
|
Accor SA, 4.88%
|
EUR
|
100
|
112,551
|
|
Alstom SA, 5.87%
|
|
100
|
114,906
|
|
Electricite de France SA
|
|
|
|
|
3.38%
|
|
200
|
202,838
|
|
5.13%
|
|
200
|
223,642
|
|
5.63%
|
|
200
|
225,652
|
|
7.38%
|
GBP
|
100
|
136,571
|
|
|
|
|
1,016,160
|
|
Germany(d) — 0.0%
|
|
||
|
Bayer AG
|
|
|
|
|
5.38%, 03/25/82
|
EUR
|
100
|
110,354
|
|
Series NC5, 6.63%, 09/25/83
|
|
100
|
115,964
|
|
|
|
|
226,318
|
|
Italy — 0.0%
|
|
||
|
Snam SpA, 4.50%(d)(n)
|
|
100
|
112,484
|
|
United Kingdom — 0.0%
|
|
||
|
Centrica PLC, 6.50%, 05/21/55(d)
|
GBP
|
125
|
171,338
|
|
United States — 0.1%
|
|
||
|
Edison International, 7.88%, 06/15/54
|
USD
|
155
|
162,816
|
|
Paramount Global, 6.38%, 03/30/62
|
|
1,001
|
925,911
|
|
Venture Global LNG, Inc., 9.00%(a)(n)
|
|
1,429
|
1,448,476
|
|
|
|
|
2,537,203
|
|
|
|
|
4,063,503
|
|
Security
|
|
Shares
|
Value
|
|
Preferred Stocks — 3.9%(e)
|
|||
|
China — 0.4%
|
|
||
|
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost:
$4,390,747)(f)(g)
|
|
40,071
|
$ 6,813,673
|
|
Finland — 0.1%
|
|
||
|
Aiven, Series D(f)
|
|
37,890
|
2,085,466
|
|
Germany — 0.0%
|
|
||
|
Volocopter GmbH, Series D, (Acquired 03/03/21,
Cost: $4,145,649)(f)(g)
|
|
780
|
21,194
|
|
Israel(f)(g) — 0.2%
|
|
||
|
Deep Instinct Ltd.
|
|
|
|
|
Series D-2, (Acquired 03/19/21, Cost: $2,130,236)
|
|
350,490
|
1,566,690
|
|
Series D-4, (Acquired 09/20/22, Cost: $2,188,898)
|
|
310,467
|
1,595,800
|
|
|
|
|
3,162,490
|
|
United Kingdom — 0.1%
|
|
||
|
10X Future Technologies Service Ltd., Series D,
(Acquired 12/19/23, Cost: $3,926,032)(f)(g)
|
|
114,500
|
2,400,307
|
|
United States — 3.1%
|
|
||
|
Breeze Aviation Group, Inc., Series B, (Acquired
07/30/21, Cost: $1,800,187)(f)(g)
|
|
3,333
|
598,840
|
|
Bright Machines(f)
|
|
|
|
|
Series C
|
|
472,899
|
1,607,857
|
|
Series C-1
|
|
985,059
|
2,383,843
|
|
Cap Hill Brands(f)
|
|
1,185,824
|
249,023
|
|
Caresyntax, Inc.(f)
|
|
|
|
|
Series C-2
|
|
13,600
|
1,335,928
|
|
Series C3
|
|
1,759
|
146,964
|
|
Clarify Health(f)
|
|
345,315
|
2,023,546
|
|
Coreweave, Inc., 10.00%, 03/25/49(f)
|
|
1,579,000
|
1,942,170
|
|
Databricks, Inc., Series G, (Acquired 02/01/21, Cost:
$2,392,693)(f)(g)
|
|
40,470
|
3,290,616
|
|
Davidson Homes LLC, 12.00%, 04/01/49(f)
|
|
7,345
|
6,878,005
|
|
Dream Finders Homes, Inc., 9.00%, 12/31/49
|
|
10,172
|
9,993,990
|
|
Exo Imaging, Inc., Series C, (Acquired 06/24/21,
Cost: $1,482,935)(f)(g)
|
|
253,147
|
498,700
|
|
GM Cruise Holdings LLCClass G, (Acquired 03/25/21,
Cost: $1,886,159)(f)(g)
|
|
71,581
|
551,890
|
|
Insight M, Inc., Series D(f)
|
|
1,942,003
|
629,597
|
|
Jumpcloud, Inc.(f)(g)
|
|
|
|
|
Series E-1, (Acquired 10/30/20, Cost: $2,052,443)
|
|
1,125,428
|
2,273,365
|
|
Series F, (Acquired 09/03/21, Cost: $443,302)
|
|
74,023
|
149,526
|
|
Lessen Holdings, Inc.(f)
|
|
514,906
|
2,234,692
|
|
MNTN Digital, Inc., Series D, (Acquired 11/05/21,
Cost: $1,353,207)(f)(g)
|
|
58,924
|
869,718
|
|
Noodle Partners, Inc., Series C, (Acquired 08/26/21,
Cost: $1,751,669)(f)(g)
|
|
196,272
|
459,276
|
|
PsiQuantum Corp., Series D, (Acquired 05/21/21,
Cost: $945,402)(f)(g)
|
|
36,048
|
1,058,009
|
|
RapidSOS, Series C-1(f)
|
|
1,707,127
|
1,655,913
|
|
Relativity Space, Inc., Series E, (Acquired 05/27/21,
Cost: $814,688)(f)(g)
|
|
35,677
|
760,277
|
|
SambaNova Systems, Inc., Series D, (Acquired
04/09/21, Cost: $1,250,247)(f)(g)
|
|
13,158
|
686,058
|
|
SCI PH Parent, Inc., Series F, (Acquired 02/10/23,
Cost: $1,183,000), 12.50%, 12/31/79(f)(g)
|
|
1,183
|
1,187,271
|
|
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost:
$678,934)(f)(g)
|
|
45,203
|
290,655
|
|
Source Global PBC(f)(g)
|
|
|
|
|
Series D-2, (Acquired 05/16/24, Cost: $—)
|
|
4,710
|
31,557
|
|
Series D-3, (Acquired 05/15/24, Cost: $250,501)
|
|
6,880
|
106,365
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Ursa Major Technologies, Inc.(f)(g)
|
|
|
|
|
Series C, (Acquired 09/13/21, Cost: $1,732,297)
|
|
290,420
|
$ 877,068
|
|
Series D, (Acquired 10/14/22, Cost: $235,803)
|
|
35,579
|
111,718
|
|
Verge Genomics, Inc.(f)(g)
|
|
|
|
|
Series B, (Acquired 11/05/21, Cost: $1,626,608)
|
|
305,363
|
1,981,806
|
|
Series C PRVT, (Acquired 09/06/23, Cost:
$259,904)
|
|
36,142
|
261,307
|
|
Versa Networks, Inc., Series E CONV Preferred,
(Acquired 10/14/22, Cost: $4,906,958), 12.00%,
10/07/32(f)(g)
|
|
1,681,498
|
8,104,820
|
|
Zero Mass Water, Inc., Series D Preferred, (Acquired
07/05/22, Cost: $271,491)(f)(g)
|
|
6,628
|
115,261
|
|
|
|
|
55,345,631
|
|
|
|
|
69,828,761
|
|
Total Preferred Securities — 4.1%
(Cost: $90,675,724)
|
73,892,264
|
||
|
|
|
Par
(000)
|
|
|
U.S. Government Sponsored Agency Securities
|
|||
|
Commercial Mortgage-Backed Securities — 0.0%
|
|
||
|
Freddie Mac Multifamily Structured Pass Through
Certificates, Series KL06, Class XFX, 1.47%,
12/25/29(b)
|
USD
|
18,250
|
864,763
|
|
Mortgage-Backed Securities(t) — 10.6%
|
|
||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
3.00%, 10/15/54
|
|
9,557
|
8,576,394
|
|
3.50%, 10/15/54
|
|
74,731
|
69,587,086
|
|
4.50%, 10/15/54 - 11/14/54
|
|
103,326
|
101,580,640
|
|
5.50%, 10/15/54
|
|
11,500
|
11,633,164
|
|
|
|
|
191,377,284
|
|
Total U.S. Government Sponsored Agency Securities — 10.6%
(Cost: $193,408,073)
|
192,242,047
|
||
|
U.S. Treasury Obligations
|
|||
|
U.S. Treasury Inflation-Indexed Notes, 2.13%,
04/15/29(u)(v)
|
|
9,103
|
9,355,675
|
|
U.S. Treasury Notes, 4.63%, 09/30/28(u)
|
|
6,848
|
7,113,791
|
|
Total U.S. Treasury Obligations — 0.9%
(Cost: $15,965,308)
|
16,469,466
|
||
|
Security
|
|
Shares
|
Value
|
|
Warrants
|
|||
|
Brazil — 0.0%
|
|
||
|
Lavoro Ltd., (Issued 12/27/22, Exercisable 12/27/23,
1 Share for 1 Warrant, Expires 12/27/27, Strike
Price USD 11.50)(f)
|
|
25,681
|
$ 6,677
|
|
Israel(f) — 0.0%
|
|
||
|
Deep Instinct Ltd., Series C, (Acquired 09/20/22,
Cost: $0), (Exercisable 09/20/22, 1 Share for
1 Warrant, Expires 09/20/32, Strike Price USD
0.01)(e)(g)
|
|
21,889
|
2,408
|
|
Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share
for 1 Warrant, Expires 12/31/27, Strike Price USD
11.50)
|
|
8,959
|
360
|
|
|
|
|
2,768
|
|
United Kingdom — 0.0%
|
|
||
|
10X Future Technologies Service Ltd., (Acquired
12/19/23, Cost: $0), (Issued 12/19/23, Expires
11/17/30, Strike Price GBP 0.01)(e)(f)(g)
|
|
137,950
|
217,630
|
|
United States(f) — 0.3%
|
|
||
|
Crown PropTech Acquisitions, (Issued 02/05/21,
1 Share for 1 Warrant, Expires 02/01/26, Strike
Price USD 11.50)(e)
|
|
74,120
|
2,854
|
|
Crown PropTech Acquisitions, (Issued/Exercisable
01/25/21, 1 Share for 1 Warrant, Expires 12/31/27,
Strike Price USD 11.50)(e)
|
|
44,352
|
—
|
|
Davidson Homes LLC, (Issued 05/16/24, Expires
05/16/34, Strike Price USD 8.47)(e)
|
|
50,977
|
560,237
|
|
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for
1 Warrant, Expires 09/15/25, Strike Price USD
11.50)
|
|
40,220
|
12,967
|
|
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share
for 1 Warrant, Expires 05/10/32, Strike Price USD
3.95)(e)
|
|
5,990
|
29,351
|
|
Hawkeye 360, (Issued 07/07/23, 1 Share for
1 Warrant, Expires 07/07/33, Strike Price USD(e)
|
|
173,677
|
970,855
|
|
Hawkeye 360, (Issued 07/07/23, 1 Share for
1 Warrant, Expires 07/07/33, Strike Price USD
11.17)(e)
|
|
19,736
|
59,011
|
|
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21,
0.04 Shares for 1 Warrant, Expires 08/02/26, Strike
Price USD 287.50)
|
|
11,689
|
233
|
|
Insight M, Inc., (Issued 01/31/24, Strike Price USD
0.34)(e)
|
|
2,012,253
|
245,696
|
|
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for
1 Warrant, Expires 06/04/26, Strike Price USD
11.50)(e)
|
|
10,196
|
—
|
|
Lightning eMotors, Inc., (Issued/Exercisable 05/13/20,
1 Share for 1 Warrant, Expires 05/18/25, Strike
Price USD 11.50)
|
|
82,174
|
8
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
New York Community Bancorp, Inc. Series C, PIPE,
Pipe, (Acquired 03/07/24, Cost: $0),
(Issued/Exercisable 03/11/24, 1,000 Shares for
1 Warrant, Expires 03/11/31, Strike Price USD
2.50)(g)
|
|
550
|
$ 1,334,536
|
|
Offerpad Solutions, Inc., (Issued/Exercisable
10/13/20, 1 Share for 1 Warrant, Expires 09/01/26,
Strike Price USD 11.50)
|
|
60,706
|
182
|
|
Palladyne AI Corp., (Issued/Exercisable 12/21/20,
1 Share for 1 Warrant, Expires 09/24/26, Strike
Price USD 11.50)
|
|
68,671
|
2,060
|
|
RapidSOS, (Issued 12/13/23, Expires 12/13/33, Strike
Price USD 0.01)(e)
|
|
946,544
|
908,682
|
|
Sarcos Technology & Robotics Corp., (Issued
01/15/21, 1 Share for 1 Warrant, Expires 06/15/27,
Strike Price USD 69.00)
|
|
25,291
|
759
|
|
Sonder Holdings Inc., (Expires 12/31/49)(e)
|
|
26,332
|
123,497
|
|
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0),
(Exercisable 10/14/22, 1 Share for 1 Warrant,
Expires 10/07/32, Strike Price USD 0.01)(e)(g)
|
|
207,248
|
845,572
|
|
Volato Group, Inc., (Acquired 12/03/23, Cost:
$48,765), (Issued 12/04/23, Expires 12/03/28,
Strike Price USD 11.50)(g)
|
|
48,765
|
883
|
|
|
|
|
5,097,383
|
|
Total Warrants — 0.3%
(Cost: $614,236)
|
5,324,458
|
||
|
Total Long-Term Investments — 107.0%
(Cost: $1,743,487,023)
|
1,940,601,699
|
||
|
Short-Term Securities
|
|||
|
Money Market Funds — 1.5%
|
|
||
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares, 4.83%(r)(w)
|
|
27,868,752
|
27,868,752
|
|
Total Short-Term Securities — 1.5%
(Cost: $27,868,752)
|
27,868,752
|
||
|
Options Purchased — 0.5%
(Cost: $8,770,589)
|
8,785,472
|
||
|
Total Investments Before TBA Sale Commitments and
Options Written — 109.0%
(Cost: $1,780,126,364)
|
1,977,255,923
|
||
|
Investments Sold Short
|
|||
|
Investment Companies
|
|||
|
United States — (0.2)%
|
|
||
|
iShares iBoxx $ High Yield Corporate Bond ETF(r)
|
USD
|
(54,854
)
|
(4,298,745
)
|
|
Total Investments Sold Short — (0.2)%
(Proceeds: $(4,382,834))
|
(4,298,745
)
|
||
|
Security
|
|
Par
(000)
|
Value
|
|
TBA Sale Commitments
|
|||
|
United States — (0.9)%
|
|
||
|
Uniform Mortgage-Backed Securities, 4.50%,
10/15/54(t)
|
USD
|
(17,200
)
|
$ (16,908,065
)
|
|
Total TBA Sale Commitments — (0.9)%
(Proceeds: $(16,995,750))
|
(16,908,065
)
|
||
|
Options Written — (0.3)%
(Premiums Received: $(5,422,476))
|
(5,147,023
)
|
||
|
Total Investments, Net of TBA Sale Commitments and
Options Written — 107.6%
(Cost: $1,753,325,304)
|
1,950,902,090
|
||
|
Liabilities in Excess of Other Assets — (7.6)%
|
(137,205,110
)
|
||
|
Net Assets — 100.0%
|
$ 1,813,696,980
|
||
|
(a)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933,
as amended. These securities may be resold in transactions exempt from registration
to
qualified institutional investors.
|
|
(b)
|
Variable rate security. Interest rate resets periodically. The rate shown is the effective
interest rate as of period end. Security description also includes the reference rate
and
spread if published and available.
|
|
(c)
|
When-issued security.
|
|
(d)
|
This security may be resold to qualified foreign investors and foreign institutional
buyers
under Regulation S of the Securities Act of 1933.
|
|
(e)
|
Security is valued using significant unobservable inputs and is classified as Level
3 in the
fair value hierarchy.
|
|
(f)
|
Non-income producing security.
|
|
(g)
|
Restricted security as to resale, excluding 144A securities. The Trust held restricted
securities with a current value of $68,328,616, representing 3.8% of its net assets
as of
period end, and an original cost of $76,633,890.
|
|
(h)
|
All or a portion of the security has been pledged and/or segregated as collateral
in
connection with outstanding exchange-traded options written.
|
|
(i)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
(j)
|
Investment does not issue shares.
|
|
(k)
|
Payment-in-kind security which may pay interest/dividends in additional par/shares
and/or in cash. Rates shown are the current rate and possible payment rates.
|
|
(l)
|
Issuer filed for bankruptcy and/or is in default.
|
|
(m)
|
Zero-coupon bond.
|
|
(n)
|
Perpetual security with no stated maturity date.
|
|
(o)
|
Convertible security.
|
|
(p)
|
Represents an unsettled loan commitment at period end. Certain details associated
with
this purchase are not known prior to the settlement date, including coupon rate.
|
|
(q)
|
Step coupon security. Coupon rate will either increase (step-up bond) or decrease
(step-
down bond) at regular intervals until maturity. Interest rate shown reflects the rate
currently in effect.
|
|
(r)
|
Affiliate of the Trust.
|
|
(s)
|
Other interests represent beneficial interests in liquidation trusts and other reorganization
or private entities.
|
|
(t)
|
Represents or includes a TBA transaction.
|
|
(u)
|
All or a portion of the security has been pledged as collateral in connection with
outstanding OTC derivatives.
|
|
(v)
|
All or a portion of the security has been pledged as collateral in connection with
outstanding TBA commitments.
|
|
(w)
|
Annualized 7-day yield as of period end.
|
|
Affiliated Issuer
|
Value at
12/31/23
|
Purchases
at Cost
|
Proceeds
from Sales
|
Net
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value at
09/30/24
|
Shares
Held at
09/30/24
|
Income
|
Capital Gain
Distributions
from
Underlying
Funds
|
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares
|
$ 78,480,297
|
$ —
|
$ (50,611,545
)(a)
|
$ —
|
$ —
|
$ 27,868,752
|
27,868,752
|
$ 3,953,007
|
$ —
|
|
iShares Biotechnology ETF
|
—
|
1,974,565
|
—
|
—
|
34,715
|
2,009,280
|
13,800
|
2,767
|
—
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
—
|
6,317,737
|
(10,644,710
)
|
(55,861
)
|
84,089
|
(4,298,745
)
|
(54,854
)
|
40,669
|
—
|
|
iShares iBoxx $ Investment Grade Corporate Bond
ETF(b)
|
4,160,152
|
—
|
(4,241,237
)
|
148,378
|
(67,293
)
|
—
|
—
|
119,755
|
—
|
|
iShares JP Morgan USD Emerging Markets Bond
ETF
|
6,337,064
|
—
|
—
|
—
|
321,621
|
6,658,685
|
71,155
|
212,202
|
—
|
|
iShares MSCI Brazil ETF
|
813,554
|
—
|
(262,532
)
|
(118,250
)
|
(21,003
)
|
411,769
|
13,963
|
21,278
|
—
|
|
iShares Russell 2000 ETF
|
1,966,958
|
—
|
—
|
—
|
197,764
|
2,164,722
|
9,800
|
17,998
|
—
|
|
iShares Russell Mid-Cap Growth ETF
|
416,378
|
—
|
(210,992
)
|
20,956
|
7,417
|
233,759
|
1,993
|
1,219
|
—
|
|
|
|
|
|
$ (4,777
)
|
$ 557,310
|
$ 35,048,222
|
|
$ 4,368,895
|
$ —
|
|
(a)
|
Represents net amount purchased (sold).
|
|
(b)
|
As of period end, the entity is no longer held.
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount (000)
|
Value/
Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts
|
|
|
|
|
|
Euro BOBL
|
682
|
12/06/24
|
$ 91,138
|
$ 803,841
|
|
Euro Bund
|
413
|
12/06/24
|
62,027
|
526,413
|
|
Euro-Schatz
|
85
|
12/06/24
|
10,141
|
51,018
|
|
Nikkei 225 Index
|
90
|
12/12/24
|
23,972
|
1,426,800
|
|
10-Year Australian Treasury Bonds
|
135
|
12/16/24
|
10,864
|
(118,999
)
|
|
Carbon Emissions(a)
|
12
|
12/16/24
|
876
|
(43,419
)
|
|
U.S. Long Bond
|
210
|
12/19/24
|
26,112
|
(80,216
)
|
|
Euro Stoxx Banks Index
|
100
|
12/20/24
|
807
|
7,204
|
|
MSCI Emerging Markets Index
|
9
|
12/20/24
|
528
|
30,545
|
|
Long Gilt
|
39
|
12/27/24
|
5,132
|
(31,781
)
|
|
5-Year U.S. Treasury Note
|
4,162
|
12/31/24
|
457,625
|
12,457
|
|
|
|
|
|
2,583,863
|
|
Short Contracts
|
|
|
|
|
|
30-Year Euro Buxl Bond
|
20
|
12/06/24
|
3,034
|
(24,510
)
|
|
Euro BTP
|
250
|
12/06/24
|
33,804
|
(707,073
)
|
|
Euro OAT
|
16
|
12/06/24
|
2,259
|
(12,660
)
|
|
10-Year Japanese Government Treasury Bonds
|
38
|
12/13/24
|
38,245
|
(114,705
)
|
|
10-Year U.S. Treasury Note
|
91
|
12/19/24
|
10,408
|
33,973
|
|
10-Year U.S. Ultra Long Treasury Note
|
1,831
|
12/19/24
|
216,888
|
(415,012
)
|
|
Ultra U.S. Treasury Bond
|
152
|
12/19/24
|
20,259
|
79,469
|
|
E-mini Russell 2000 Index
|
10
|
12/20/24
|
1,125
|
(21,467
)
|
|
Euro Stoxx 50 Index
|
172
|
12/20/24
|
9,646
|
(296,115
)
|
|
NASDAQ 100 E-Mini Index
|
16
|
12/20/24
|
6,484
|
(134,458
)
|
|
S&P 500 E-Mini Index
|
625
|
12/20/24
|
181,695
|
(3,336,189
)
|
|
2-Year U.S. Treasury Note
|
3,362
|
12/31/24
|
700,215
|
(1,658,475
)
|
|
|
|
|
|
(6,607,222
)
|
|
|
|
|
|
$ (4,023,359
)
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
EUR
|
873,431
|
USD
|
964,443
|
Deutsche Bank AG
|
10/17/24
|
$ 8,411
|
|
EUR
|
138,668
|
USD
|
151,835
|
State Street Bank and Trust Co.
|
10/17/24
|
2,618
|
|
EUR
|
248,540
|
USD
|
272,140
|
State Street Bank and Trust Co.
|
10/17/24
|
4,692
|
|
CAD
|
1,454,314
|
USD
|
1,072,939
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
4,509
|
|
CHF
|
4,531,955
|
USD
|
5,395,000
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
5,337
|
|
EUR
|
354,495
|
USD
|
392,612
|
HSBC Bank PLC
|
12/18/24
|
3,226
|
|
EUR
|
543,522
|
USD
|
603,534
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
3,376
|
|
EUR
|
16,989,301
|
USD
|
18,808,816
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
161,861
|
|
EUR
|
368,054
|
USD
|
410,597
|
UBS AG
|
12/18/24
|
381
|
|
EUR
|
513,326
|
USD
|
572,892
|
UBS AG
|
12/18/24
|
301
|
|
EUR
|
530,124
|
USD
|
591,165
|
UBS AG
|
12/18/24
|
785
|
|
EUR
|
798,401
|
USD
|
885,314
|
UBS AG
|
12/18/24
|
6,200
|
|
EUR
|
1,476,121
|
USD
|
1,636,117
|
UBS AG
|
12/18/24
|
12,156
|
|
GBP
|
171,090
|
USD
|
223,072
|
HSBC Bank PLC
|
12/18/24
|
5,627
|
|
GBP
|
531,293
|
USD
|
709,360
|
HSBC Bank PLC
|
12/18/24
|
833
|
|
GBP
|
214,851
|
USD
|
283,218
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
3,978
|
|
GBP
|
336,955
|
USD
|
440,753
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
9,663
|
|
GBP
|
181,229
|
USD
|
237,108
|
UBS AG
|
12/18/24
|
5,145
|
|
INR
|
147,168,449
|
USD
|
1,745,677
|
Citibank N.A.
|
12/18/24
|
4,137
|
|
JPY
|
1,282,631,818
|
USD
|
9,006,000
|
Citibank N.A.
|
12/18/24
|
9,888
|
|
JPY
|
256,488,489
|
USD
|
1,798,344
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
4,567
|
|
MXN
|
25,043,804
|
USD
|
1,229,196
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
27,863
|
|
MXN
|
64,526,114
|
USD
|
3,167,145
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
71,705
|
|
USD
|
10,790,000
|
CAD
|
14,541,627
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
16,646
|
|
USD
|
2,032,295
|
CHF
|
1,701,456
|
UBS AG
|
12/18/24
|
4,818
|
|
USD
|
3,877,924
|
CHF
|
3,246,613
|
UBS AG
|
12/18/24
|
9,217
|
|
USD
|
425,320
|
EUR
|
380,481
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
465
|
|
USD
|
3,604,159
|
GBP
|
2,694,000
|
Citibank N.A.
|
12/18/24
|
3,022
|
|
USD
|
1,801,038
|
GBP
|
1,347,024
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
437
|
|
USD
|
225,086
|
JPY
|
31,527,031
|
Bank of America N.A.
|
12/18/24
|
3,476
|
|
USD
|
409,878
|
JPY
|
57,605,436
|
State Street Bank and Trust Co.
|
12/18/24
|
4,958
|
|
USD
|
3,453,242
|
JPY
|
485,037,213
|
UBS AG
|
12/18/24
|
43,814
|
|
USD
|
35,057,935
|
JPY
|
4,923,879,992
|
UBS AG
|
12/18/24
|
446,949
|
|
ZAR
|
33,715,234
|
USD
|
1,864,867
|
State Street Bank and Trust Co.
|
12/18/24
|
73,894
|
|
|
|
|
|
|
|
964,955
|
|
USD
|
159,455
|
EUR
|
145,515
|
Deutsche Bank AG
|
10/17/24
|
(2,624
)
|
|
USD
|
219,076
|
EUR
|
199,940
|
Deutsche Bank AG
|
10/17/24
|
(3,623
)
|
|
USD
|
242,167
|
EUR
|
221,000
|
Deutsche Bank AG
|
10/17/24
|
(3,989
)
|
|
USD
|
457,812
|
EUR
|
417,796
|
Deutsche Bank AG
|
10/17/24
|
(7,542
)
|
|
USD
|
542,126
|
EUR
|
494,718
|
Deutsche Bank AG
|
10/17/24
|
(8,905
)
|
|
USD
|
962,669
|
EUR
|
873,431
|
Deutsche Bank AG
|
10/17/24
|
(10,185
)
|
|
USD
|
187,727
|
EUR
|
171,331
|
UBS AG
|
10/17/24
|
(3,107
)
|
|
USD
|
190,324
|
EUR
|
173,701
|
UBS AG
|
10/17/24
|
(3,150
)
|
|
USD
|
369,952
|
EUR
|
337,641
|
UBS AG
|
10/17/24
|
(6,122
)
|
|
USD
|
419,162
|
EUR
|
382,556
|
UBS AG
|
10/17/24
|
(6,940
)
|
|
USD
|
1,941,649
|
EUR
|
1,772,099
|
UBS AG
|
10/17/24
|
(32,167
)
|
|
CAD
|
1,397,355
|
USD
|
1,038,716
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
(3,467
)
|
|
CAD
|
2,916,755
|
USD
|
2,171,482
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
(10,567
)
|
|
CAD
|
500,256
|
USD
|
371,048
|
State Street Bank and Trust Co.
|
12/18/24
|
(427
)
|
|
EUR
|
351,484
|
USD
|
393,739
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(1,263
)
|
|
EUR
|
599,662
|
USD
|
670,389
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(791
)
|
|
EUR
|
2,486,918
|
USD
|
2,778,244
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(1,289
)
|
|
EUR
|
3,231,000
|
USD
|
3,609,787
|
State Street Bank and Trust Co.
|
12/18/24
|
(1,972
)
|
|
EUR
|
232,364
|
USD
|
260,404
|
UBS AG
|
12/18/24
|
(940
)
|
|
GBP
|
679,752
|
USD
|
909,819
|
Citibank N.A.
|
12/18/24
|
(1,178
)
|
|
HKD
|
1,446,195
|
USD
|
186,327
|
State Street Bank and Trust Co.
|
12/18/24
|
(102
)
|
|
JPY
|
92,320,201
|
USD
|
653,555
|
HSBC Bank PLC
|
12/18/24
|
(4,617
)
|
|
JPY
|
149,681,304
|
USD
|
1,052,210
|
HSBC Bank PLC
|
12/18/24
|
(69
)
|
|
JPY
|
525,436,914
|
USD
|
3,730,451
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(37,044
)
|
|
JPY
|
68,915,621
|
USD
|
497,218
|
State Street Bank and Trust Co.
|
12/18/24
|
(12,795
)
|
|
JPY
|
82,307,953
|
USD
|
582,017
|
State Street Bank and Trust Co.
|
12/18/24
|
(3,458
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
JPY
|
97,267,434
|
USD
|
687,456
|
State Street Bank and Trust Co.
|
12/18/24
|
$ (3,743
)
|
|
JPY
|
323,398,164
|
USD
|
2,289,395
|
State Street Bank and Trust Co.
|
12/18/24
|
(16,161
)
|
|
JPY
|
1,268,811,677
|
USD
|
8,942,000
|
State Street Bank and Trust Co.
|
12/18/24
|
(23,256
)
|
|
MXN
|
35,762,768
|
USD
|
1,798,344
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(3,253
)
|
|
USD
|
5,236,401
|
AUD
|
7,852,173
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(196,492
)
|
|
USD
|
1,678,320
|
BRL
|
9,600,741
|
UBS AG
|
12/18/24
|
(68,257
)
|
|
USD
|
10,564,765
|
CAD
|
14,332,527
|
HSBC Bank PLC
|
12/18/24
|
(53,674
)
|
|
USD
|
11,323,217
|
CNH
|
80,002,465
|
UBS AG
|
12/18/24
|
(159,334
)
|
|
USD
|
4,138,766
|
DKK
|
27,863,299
|
Goldman Sachs International
|
12/18/24
|
(38,566
)
|
|
USD
|
338,545
|
EUR
|
303,197
|
Deutsche Bank AG
|
12/18/24
|
(12
)
|
|
USD
|
590,066
|
EUR
|
529,556
|
Deutsche Bank AG
|
12/18/24
|
(1,249
)
|
|
USD
|
791,314
|
EUR
|
709,102
|
Deutsche Bank AG
|
12/18/24
|
(487
)
|
|
USD
|
966,908
|
EUR
|
873,431
|
Deutsche Bank AG
|
12/18/24
|
(8,387
)
|
|
USD
|
175,258,832
|
EUR
|
158,322,690
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
(1,528,231
)
|
|
USD
|
1,809,762
|
EUR
|
1,631,785
|
Morgan Stanley & Co. International PLC
|
12/18/24
|
(12,330
)
|
|
USD
|
1,442,109
|
EUR
|
1,291,615
|
State Street Bank and Trust Co.
|
12/18/24
|
(141
)
|
|
USD
|
38,777,886
|
EUR
|
35,025,078
|
State Street Bank and Trust Co.
|
12/18/24
|
(331,990
)
|
|
USD
|
182,587
|
GBP
|
137,979
|
Barclays Bank PLC
|
12/18/24
|
(1,854
)
|
|
USD
|
2,230,893
|
GBP
|
1,704,703
|
Deutsche Bank AG
|
12/18/24
|
(47,826
)
|
|
USD
|
59,807,933
|
GBP
|
45,691,080
|
Deutsche Bank AG
|
12/18/24
|
(1,268,474
)
|
|
USD
|
279,328
|
GBP
|
211,698
|
State Street Bank and Trust Co.
|
12/18/24
|
(3,654
)
|
|
USD
|
781,789
|
GBP
|
589,970
|
State Street Bank and Trust Co.
|
12/18/24
|
(6,839
)
|
|
USD
|
20,833,977
|
HKD
|
161,908,428
|
BNP Paribas SA
|
12/18/24
|
(14,826
)
|
|
USD
|
1,934,872
|
IDR
|
30,029,205,185
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
(36,417
)
|
|
USD
|
7,193,000
|
JPY
|
1,023,629,859
|
JPMorgan Chase Bank N.A.
|
12/18/24
|
(2,309
)
|
|
USD
|
173,797
|
NOK
|
1,881,150
|
Barclays Bank PLC
|
12/18/24
|
(4,535
)
|
|
USD
|
404,904
|
SEK
|
4,178,345
|
HSBC Bank PLC
|
12/18/24
|
(8,081
)
|
|
USD
|
1,845,071
|
SEK
|
19,039,884
|
HSBC Bank PLC
|
12/18/24
|
(36,819
)
|
|
USD
|
987,637
|
ZAR
|
17,855,543
|
Deutsche Bank AG
|
12/18/24
|
(39,128
)
|
|
|
|
|
|
|
|
(4,084,658
)
|
|
|
$ (3,119,703
)
|
|||||
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
NVIDIA Corp.
|
427
|
10/11/24
|
USD
|
125.00
|
USD
|
5,185
|
$ 96,715
|
|
SPX Volatility Index
|
104
|
10/16/24
|
USD
|
25.00
|
USD
|
174
|
5,772
|
|
Alphabet, Inc., Class C
|
85
|
10/18/24
|
USD
|
170.00
|
USD
|
1,421
|
20,868
|
|
Amazon.com, Inc.
|
158
|
10/18/24
|
USD
|
185.00
|
USD
|
2,944
|
85,320
|
|
Amazon.com, Inc.
|
240
|
10/18/24
|
USD
|
180.00
|
USD
|
4,472
|
210,600
|
|
Apple, Inc.
|
189
|
10/18/24
|
USD
|
230.00
|
USD
|
4,404
|
121,905
|
|
Apple, Inc.
|
138
|
10/18/24
|
USD
|
225.00
|
USD
|
3,215
|
140,415
|
|
Apple, Inc.
|
473
|
10/18/24
|
USD
|
235.00
|
USD
|
11,021
|
170,280
|
|
Broadcom, Inc.
|
69
|
10/18/24
|
USD
|
180.00
|
USD
|
1,190
|
21,459
|
|
ConocoPhillips
|
297
|
10/18/24
|
USD
|
115.00
|
USD
|
3,127
|
6,089
|
|
JPMorgan Chase & Co.
|
211
|
10/18/24
|
USD
|
220.00
|
USD
|
4,449
|
30,068
|
|
JPMorgan Chase & Co.
|
106
|
10/18/24
|
USD
|
230.00
|
USD
|
2,235
|
2,544
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
44
|
10/18/24
|
EUR
|
690.00
|
EUR
|
3,029
|
54,856
|
|
Microsoft Corp.
|
79
|
10/18/24
|
USD
|
440.00
|
USD
|
3,399
|
30,020
|
|
NVIDIA Corp.
|
213
|
10/18/24
|
USD
|
115.00
|
USD
|
2,587
|
189,037
|
|
Shell PLC
|
177
|
10/18/24
|
EUR
|
32.00
|
EUR
|
523
|
5,320
|
|
SPDR S&P 500 ETF Trust
|
705
|
10/18/24
|
USD
|
575.00
|
USD
|
40,450
|
455,782
|
|
SPDR S&P Oil & Gas Exploration & Production ETF
|
83
|
10/18/24
|
USD
|
150.00
|
USD
|
1,092
|
1,079
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
80
|
10/18/24
|
USD
|
175.00
|
USD
|
1,389
|
56,400
|
|
Tesla, Inc.
|
211
|
10/18/24
|
USD
|
275.00
|
USD
|
5,520
|
262,167
|
|
Walmart, Inc.
|
298
|
10/18/24
|
USD
|
80.00
|
USD
|
2,406
|
56,322
|
|
Walt Disney Co.
|
220
|
10/18/24
|
USD
|
110.00
|
USD
|
2,116
|
1,650
|
|
Western Digital Corp.
|
53
|
10/18/24
|
USD
|
75.00
|
USD
|
362
|
1,961
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
472
|
10/25/24
|
USD
|
240.00
|
USD
|
10,998
|
$ 114,932
|
|
SPDR S&P 500 ETF Trust
|
1,063
|
10/25/24
|
USD
|
580.00
|
USD
|
60,991
|
540,535
|
|
SPDR S&P 500 ETF Trust
|
316
|
11/01/24
|
USD
|
580.00
|
USD
|
18,131
|
206,032
|
|
Apple, Inc.
|
447
|
11/15/24
|
USD
|
225.00
|
USD
|
10,415
|
632,505
|
|
Boston Scientific Corp.
|
146
|
11/15/24
|
USD
|
85.00
|
USD
|
1,223
|
38,690
|
|
D.R. Horton, Inc.
|
79
|
11/15/24
|
USD
|
200.00
|
USD
|
1,507
|
49,770
|
|
Edwards Lifesciences Corp.
|
220
|
11/15/24
|
USD
|
72.50
|
USD
|
1,452
|
37,950
|
|
Fifth Third Bancorp.
|
119
|
11/15/24
|
USD
|
43.00
|
USD
|
510
|
23,800
|
|
Freeport-McMoRan, Inc.
|
397
|
11/15/24
|
USD
|
55.00
|
USD
|
1,982
|
40,692
|
|
Hewlett Packard Enterprise Co.
|
95
|
11/15/24
|
USD
|
22.00
|
USD
|
194
|
4,988
|
|
Home Depot, Inc.
|
18
|
11/15/24
|
USD
|
390.00
|
USD
|
729
|
43,875
|
|
Humana, Inc.
|
47
|
11/15/24
|
USD
|
395.00
|
USD
|
1,489
|
18,330
|
|
JPMorgan Chase & Co.
|
71
|
11/15/24
|
USD
|
215.00
|
USD
|
1,497
|
41,890
|
|
Mastercard, Inc., Class A
|
40
|
11/15/24
|
USD
|
510.00
|
USD
|
1,975
|
36,200
|
|
Meta Platforms, Inc., Class A
|
132
|
11/15/24
|
USD
|
590.00
|
USD
|
7,556
|
357,060
|
|
Micron Technology, Inc.
|
526
|
11/15/24
|
USD
|
115.00
|
USD
|
5,455
|
147,017
|
|
Oracle Corp.
|
159
|
11/15/24
|
USD
|
180.00
|
USD
|
2,709
|
37,047
|
|
SPDR Gold Shares
|
262
|
11/15/24
|
USD
|
255.00
|
USD
|
6,368
|
61,046
|
|
Trane Technologies PLC
|
48
|
11/15/24
|
USD
|
400.00
|
USD
|
1,866
|
59,040
|
|
Unit Group, Inc.
|
84
|
11/15/24
|
USD
|
6.00
|
USD
|
47
|
3,780
|
|
Unit Group, Inc.
|
81
|
11/15/24
|
USD
|
7.00
|
USD
|
46
|
1,418
|
|
Walmart, Inc.
|
315
|
11/15/24
|
USD
|
80.00
|
USD
|
2,544
|
95,287
|
|
Western Digital Corp.
|
57
|
11/15/24
|
USD
|
82.50
|
USD
|
389
|
4,019
|
|
Bank of America Corp.
|
89
|
12/20/24
|
USD
|
41.00
|
USD
|
353
|
12,816
|
|
Capital One Financial Corp.
|
47
|
12/20/24
|
USD
|
155.00
|
USD
|
704
|
34,545
|
|
Carrier Global Corp.
|
334
|
12/20/24
|
USD
|
85.00
|
USD
|
2,688
|
93,520
|
|
Costco Wholesale Corp.
|
22
|
12/20/24
|
USD
|
940.00
|
USD
|
1,950
|
46,860
|
|
Home Depot, Inc.
|
31
|
12/20/24
|
USD
|
400.00
|
USD
|
1,256
|
66,650
|
|
iShares China Large-Cap ETF
|
1,082
|
12/20/24
|
USD
|
34.00
|
USD
|
3,439
|
139,037
|
|
Meta Platforms, Inc., Class A
|
147
|
12/20/24
|
USD
|
600.00
|
USD
|
8,415
|
435,120
|
|
NVIDIA Corp.
|
213
|
12/20/24
|
USD
|
120.00
|
USD
|
2,587
|
284,355
|
|
NVIDIA Corp.
|
59
|
12/20/24
|
USD
|
130.00
|
USD
|
716
|
53,100
|
|
Paramount Global, Class B
|
80
|
12/20/24
|
USD
|
15.00
|
USD
|
85
|
160
|
|
Fifth Third Bancorp.
|
158
|
01/17/25
|
USD
|
45.00
|
USD
|
677
|
28,835
|
|
Paramount Global, Class B
|
80
|
01/17/25
|
USD
|
15.00
|
USD
|
85
|
280
|
|
Sabre Corp.
|
140
|
01/17/25
|
USD
|
5.00
|
USD
|
51
|
2,520
|
|
Shell PLC, ADR
|
160
|
01/17/25
|
USD
|
67.50
|
USD
|
1,055
|
37,600
|
|
|
|
|
|
|
|
|
5,857,930
|
|
Put
|
|
|
|
|
|
|
|
|
Alphabet, Inc., Class C
|
261
|
10/18/24
|
USD
|
155.00
|
USD
|
4,364
|
13,442
|
|
Merck & Co., Inc.
|
329
|
10/18/24
|
USD
|
110.00
|
USD
|
3,736
|
22,043
|
|
SPDR S&P 500 ETF Trust
|
413
|
10/18/24
|
USD
|
550.00
|
USD
|
23,696
|
65,667
|
|
SPDR S&P 500 ETF Trust
|
81
|
10/18/24
|
USD
|
555.00
|
USD
|
4,647
|
16,767
|
|
SPDR S&P 500 ETF Trust
|
188
|
10/18/24
|
USD
|
545.00
|
USD
|
10,787
|
23,312
|
|
SPDR S&P 500 ETF Trust
|
418
|
11/15/24
|
USD
|
560.00
|
USD
|
23,983
|
300,333
|
|
|
|
|
|
|
|
|
441,564
|
|
|
|
|
|
|
|
|
$ 6,299,494
|
|
Description
|
Type of Option
|
Counterparty
|
|
Expiration
Date
|
Exercise Price
|
Barrier
Price/Range
|
Notional
Amount (000)
|
Value
|
|||
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR Currency
|
Down-and-out
|
Goldman Sachs International
|
|
10/07/24
|
USD
|
1.07
|
USD
|
1.01
|
EUR
|
4,119
|
$ 18
|
|
Description
|
Counterparty
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Put
|
|
|
|
|
|
|
|
|
|
S&P 500 Index
|
UBS AG
|
1,994
|
10/18/24
|
USD
|
5,400.00
|
USD
|
11,490
|
$ 16,765
|
|
S&P 500 Index
|
UBS AG
|
623
|
11/15/24
|
USD
|
5,450.00
|
USD
|
3,590
|
26,435
|
|
|
|
|
|
|
|
|
|
$ 43,200
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
|
|
Description
|
Rate/Reference
|
|
Rate/Reference
|
Frequency
|
Counterparty
|
Expiration
Date
|
Credit
Rating
|
Exercise
Price
|
Notional
Amount (000)(a)
|
Value
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
Bought Protection on 5-Year Credit
Default Swap, 06/20/29
|
5.00%
|
|
ITRAXX.XO.41.V1
|
Quarterly
|
Citibank N.A.
|
10/16/24
|
—
|
EUR 325.00
|
EUR
|
10,347
|
$ 9,309
|
|
Bought Protection on 5-Year Credit
Default Swap, 06/20/29
|
5.00%
|
|
CDX.NA.HY.42.V1
|
Quarterly
|
Bank of America
N.A.
|
10/16/24
|
—
|
USD 101.50
|
USD
|
2,270
|
596
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 9,905
|
|
(a)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap,
10/10/34
|
1-Day SOFR,
4.96%
|
Annual
|
3.66%
|
Annual
|
Nomura International,
Inc.
|
10/08/24
|
3.66
%
|
USD
|
8,496
|
$ 235,813
|
|
5-Year Interest Rate Swap, 10/10/29
|
1-Day SOFR,
4.96%
|
Annual
|
3.66%
|
Annual
|
Nomura International,
Inc.
|
10/08/24
|
3.66
|
USD
|
12,615
|
229,302
|
|
10-Year Interest Rate Swap,
10/25/34
|
1-Day SOFR,
4.96%
|
Annual
|
3.75%
|
Annual
|
Citibank N.A.
|
10/23/24
|
3.75
|
USD
|
19,535
|
706,640
|
|
2-Year Interest Rate Swap, 10/26/26
|
1-Day SOFR,
4.96%
|
Annual
|
4.00%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
10/24/24
|
4.00
|
USD
|
39,747
|
462,440
|
|
5-Year Interest Rate Swap, 12/19/29
|
6-mo.
EURIBOR,
3.11%
|
Semi-Annual
|
2.05%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
2.05
|
EUR
|
11,581
|
56,551
|
|
5-Year Interest Rate Swap, 12/19/29
|
1-Day SOFR,
4.96%
|
Annual
|
3.60%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
3.60
|
USD
|
12,469
|
259,824
|
|
5-Year Interest Rate Swap, 12/19/29
|
1-Day SOFR,
4.96%
|
Annual
|
3.60%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
3.60
|
USD
|
12,472
|
259,867
|
|
10-Year Interest Rate Swap,
01/25/35
|
1-Day SOFR,
4.96%
|
Annual
|
3.00%
|
Annual
|
Goldman Sachs
International
|
01/23/25
|
3.00
|
USD
|
25,257
|
222,418
|
|
|
|
|
|
|
|
|
|
|
|
$ 2,432,855
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
NVIDIA Corp.
|
427
|
10/11/24
|
USD
|
140.00
|
USD
|
5,185
|
$ (5,765
)
|
|
SPX Volatility Index
|
104
|
10/16/24
|
USD
|
40.00
|
USD
|
174
|
(2,600
)
|
|
Adobe, Inc.
|
20
|
10/18/24
|
USD
|
560.00
|
USD
|
1,036
|
(2,260
)
|
|
Alphabet, Inc., Class C
|
109
|
10/18/24
|
USD
|
175.00
|
USD
|
1,822
|
(10,900
)
|
|
Amazon.com, Inc.
|
92
|
10/18/24
|
USD
|
205.00
|
USD
|
1,714
|
(2,208
)
|
|
Amazon.com, Inc.
|
126
|
10/18/24
|
USD
|
200.00
|
USD
|
2,348
|
(7,434
)
|
|
Apple, Inc.
|
78
|
10/18/24
|
USD
|
240.00
|
USD
|
1,817
|
(13,455
)
|
|
Applied Materials, Inc.
|
49
|
10/18/24
|
USD
|
210.00
|
USD
|
990
|
(21,560
)
|
|
Autodesk, Inc.
|
34
|
10/18/24
|
USD
|
290.00
|
USD
|
937
|
(3,740
)
|
|
Autodesk, Inc.
|
22
|
10/18/24
|
USD
|
285.00
|
USD
|
606
|
(4,565
)
|
|
Bank of America Corp.
|
452
|
10/18/24
|
USD
|
42.00
|
USD
|
1,794
|
(12,430
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
Broadcom, Inc.
|
55
|
10/18/24
|
USD
|
190.00
|
USD
|
949
|
$ (5,335
)
|
|
Charles Schwab Corp.
|
144
|
10/18/24
|
USD
|
70.00
|
USD
|
933
|
(9,576
)
|
|
Charles Schwab Corp.
|
90
|
10/18/24
|
USD
|
72.50
|
USD
|
583
|
(2,790
)
|
|
Chevron Corp.
|
64
|
10/18/24
|
USD
|
150.00
|
USD
|
943
|
(11,200
)
|
|
ConocoPhillips
|
86
|
10/18/24
|
USD
|
110.00
|
USD
|
905
|
(7,482
)
|
|
Costco Wholesale Corp.
|
10
|
10/18/24
|
USD
|
990.00
|
USD
|
887
|
(525
)
|
|
Costco Wholesale Corp.
|
9
|
10/18/24
|
USD
|
1,000.00
|
USD
|
798
|
(432
)
|
|
Danaher Corp.
|
32
|
10/18/24
|
USD
|
290.00
|
USD
|
890
|
(4,240
)
|
|
Delta Air Lines, Inc.
|
198
|
10/18/24
|
USD
|
50.00
|
USD
|
1,006
|
(43,857
)
|
|
Eli Lilly & Co.
|
10
|
10/18/24
|
USD
|
1,000.00
|
USD
|
886
|
(830
)
|
|
Eli Lilly & Co.
|
7
|
10/18/24
|
USD
|
990.00
|
USD
|
620
|
(872
)
|
|
Freeport-McMoRan, Inc.
|
160
|
10/18/24
|
USD
|
50.00
|
USD
|
799
|
(22,960
)
|
|
Freeport-McMoRan, Inc.
|
210
|
10/18/24
|
USD
|
47.00
|
USD
|
1,048
|
(82,950
)
|
|
Goldman Sachs Group, Inc.
|
20
|
10/18/24
|
USD
|
525.00
|
USD
|
990
|
(5,960
)
|
|
Goldman Sachs Group, Inc.
|
20
|
10/18/24
|
USD
|
535.00
|
USD
|
990
|
(3,400
)
|
|
Intuitive Surgical, Inc.
|
19
|
10/18/24
|
USD
|
540.00
|
USD
|
933
|
(5,035
)
|
|
Intuitive Surgical, Inc.
|
11
|
10/18/24
|
USD
|
535.00
|
USD
|
540
|
(3,300
)
|
|
JPMorgan Chase & Co.
|
52
|
10/18/24
|
USD
|
225.00
|
USD
|
1,096
|
(3,250
)
|
|
Meta Platforms, Inc., Class A
|
16
|
10/18/24
|
USD
|
620.00
|
USD
|
916
|
(2,744
)
|
|
Microsoft Corp.
|
85
|
10/18/24
|
USD
|
460.00
|
USD
|
3,658
|
(4,208
)
|
|
Oracle Corp.
|
72
|
10/18/24
|
USD
|
175.00
|
USD
|
1,227
|
(10,224
)
|
|
ServiceNow, Inc.
|
10
|
10/18/24
|
USD
|
960.00
|
USD
|
894
|
(3,475
)
|
|
ServiceNow, Inc.
|
6
|
10/18/24
|
USD
|
1,000.00
|
USD
|
537
|
(435
)
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
80
|
10/18/24
|
USD
|
195.00
|
USD
|
1,389
|
(10,920
)
|
|
Tesla, Inc.
|
211
|
10/18/24
|
USD
|
305.00
|
USD
|
5,520
|
(104,445
)
|
|
Thermo Fisher Scientific, Inc.
|
15
|
10/18/24
|
USD
|
650.00
|
USD
|
928
|
(3,488
)
|
|
Trane Technologies PLC
|
24
|
10/18/24
|
USD
|
400.00
|
USD
|
933
|
(9,600
)
|
|
UnitedHealth Group, Inc.
|
27
|
10/18/24
|
USD
|
620.00
|
USD
|
1,579
|
(11,542
)
|
|
UnitedHealth Group, Inc.
|
28
|
10/18/24
|
USD
|
640.00
|
USD
|
1,637
|
(5,852
)
|
|
Valero Energy Corp.
|
67
|
10/18/24
|
USD
|
145.00
|
USD
|
905
|
(6,432
)
|
|
Vista Energy Corp.
|
106
|
10/18/24
|
USD
|
100.00
|
USD
|
1,257
|
(204,580
)
|
|
Walt Disney Co.
|
99
|
10/18/24
|
USD
|
100.00
|
USD
|
952
|
(7,128
)
|
|
Wells Fargo & Co.
|
170
|
10/18/24
|
USD
|
60.00
|
USD
|
960
|
(8,755
)
|
|
Apple, Inc.
|
472
|
10/25/24
|
USD
|
260.00
|
USD
|
10,998
|
(6,608
)
|
|
Adobe, Inc.
|
10
|
11/15/24
|
USD
|
570.00
|
USD
|
518
|
(4,200
)
|
|
Alphabet, Inc., Class C
|
54
|
11/15/24
|
USD
|
180.00
|
USD
|
903
|
(15,093
)
|
|
Amazon.com, Inc.
|
240
|
11/15/24
|
USD
|
205.00
|
USD
|
4,472
|
(73,200
)
|
|
Amazon.com, Inc.
|
62
|
11/15/24
|
USD
|
215.00
|
USD
|
1,155
|
(8,804
)
|
|
Apple, Inc.
|
447
|
11/15/24
|
USD
|
245.00
|
USD
|
10,415
|
(176,565
)
|
|
Apple, Inc.
|
40
|
11/15/24
|
USD
|
250.00
|
USD
|
932
|
(10,440
)
|
|
Autodesk, Inc.
|
11
|
11/15/24
|
USD
|
290.00
|
USD
|
303
|
(4,950
)
|
|
Bank of America Corp.
|
111
|
11/15/24
|
USD
|
44.00
|
USD
|
440
|
(3,552
)
|
|
Broadcom, Inc.
|
27
|
11/15/24
|
USD
|
210.00
|
USD
|
466
|
(3,132
)
|
|
Costco Wholesale Corp.
|
5
|
11/15/24
|
USD
|
1,000.00
|
USD
|
443
|
(1,260
)
|
|
Danaher Corp.
|
12
|
11/15/24
|
USD
|
290.00
|
USD
|
334
|
(7,320
)
|
|
Delta Air Lines, Inc.
|
45
|
11/15/24
|
USD
|
55.00
|
USD
|
229
|
(5,558
)
|
|
Edwards Lifesciences Corp.
|
220
|
11/15/24
|
USD
|
80.00
|
USD
|
1,452
|
(12,650
)
|
|
Eli Lilly & Co.
|
3
|
11/15/24
|
USD
|
1,060.00
|
USD
|
266
|
(1,620
)
|
|
Goldman Sachs Group, Inc.
|
10
|
11/15/24
|
USD
|
540.00
|
USD
|
495
|
(5,675
)
|
|
JPMorgan Chase & Co.
|
26
|
11/15/24
|
USD
|
230.00
|
USD
|
548
|
(4,225
)
|
|
Meta Platforms, Inc., Class A
|
132
|
11/15/24
|
USD
|
680.00
|
USD
|
7,556
|
(67,320
)
|
|
Meta Platforms, Inc., Class A
|
8
|
11/15/24
|
USD
|
650.00
|
USD
|
458
|
(7,460
)
|
|
Micron Technology, Inc.
|
526
|
11/15/24
|
USD
|
140.00
|
USD
|
5,455
|
(18,147
)
|
|
Microsoft Corp.
|
31
|
11/15/24
|
USD
|
475.00
|
USD
|
1,334
|
(9,145
)
|
|
NVIDIA Corp.
|
467
|
11/15/24
|
USD
|
155.00
|
USD
|
5,671
|
(36,893
)
|
|
NVIDIA Corp.
|
213
|
11/15/24
|
USD
|
135.00
|
USD
|
2,587
|
(77,745
)
|
|
NVIDIA Corp.
|
109
|
11/15/24
|
USD
|
150.00
|
USD
|
1,324
|
(12,698
)
|
|
NVIDIA Corp.
|
154
|
11/15/24
|
USD
|
145.00
|
USD
|
1,870
|
(27,104
)
|
|
Oracle Corp.
|
35
|
11/15/24
|
USD
|
185.00
|
USD
|
596
|
(4,655
)
|
|
ServiceNow, Inc.
|
3
|
11/15/24
|
USD
|
1,020.00
|
USD
|
268
|
(3,120
)
|
|
SPDR Gold Shares
|
262
|
11/15/24
|
USD
|
270.00
|
USD
|
6,368
|
(14,541
)
|
|
Thermo Fisher Scientific, Inc.
|
4
|
11/15/24
|
USD
|
660.00
|
USD
|
247
|
(3,080
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
Trane Technologies PLC
|
12
|
11/15/24
|
USD
|
440.00
|
USD
|
466
|
$ (2,190
)
|
|
UnitedHealth Group, Inc.
|
14
|
11/15/24
|
USD
|
640.00
|
USD
|
819
|
(10,185
)
|
|
Vista Energy Corp.
|
21
|
11/15/24
|
USD
|
150.00
|
USD
|
249
|
(3,990
)
|
|
Walmart, Inc.
|
315
|
11/15/24
|
USD
|
85.00
|
USD
|
2,544
|
(29,137
)
|
|
Walt Disney Co.
|
22
|
11/15/24
|
USD
|
105.00
|
USD
|
212
|
(3,652
)
|
|
Wells Fargo & Co.
|
86
|
11/15/24
|
USD
|
60.00
|
USD
|
486
|
(10,277
)
|
|
Adobe, Inc.
|
21
|
12/20/24
|
USD
|
605.00
|
USD
|
1,087
|
(12,547
)
|
|
Alphabet, Inc., Class C
|
108
|
12/20/24
|
USD
|
190.00
|
USD
|
1,806
|
(22,572
)
|
|
Amazon.com, Inc.
|
93
|
12/20/24
|
USD
|
220.00
|
USD
|
1,733
|
(17,809
)
|
|
Amazon.com, Inc.
|
76
|
12/20/24
|
USD
|
215.00
|
USD
|
1,416
|
(19,836
)
|
|
Apple, Inc.
|
79
|
12/20/24
|
USD
|
255.00
|
USD
|
1,841
|
(23,976
)
|
|
Autodesk, Inc.
|
22
|
12/20/24
|
USD
|
310.00
|
USD
|
606
|
(8,580
)
|
|
Bank of America Corp.
|
221
|
12/20/24
|
USD
|
45.00
|
USD
|
877
|
(7,956
)
|
|
Broadcom, Inc.
|
54
|
12/20/24
|
USD
|
210.00
|
USD
|
932
|
(17,280
)
|
|
Cameco Corp.
|
123
|
12/20/24
|
USD
|
60.00
|
USD
|
587
|
(10,578
)
|
|
Charles Schwab Corp.
|
91
|
12/20/24
|
USD
|
75.00
|
USD
|
590
|
(7,280
)
|
|
Chevron Corp.
|
56
|
12/20/24
|
USD
|
165.00
|
USD
|
825
|
(6,580
)
|
|
Costco Wholesale Corp.
|
9
|
12/20/24
|
USD
|
1,040.00
|
USD
|
798
|
(3,780
)
|
|
Danaher Corp.
|
23
|
12/20/24
|
USD
|
310.00
|
USD
|
639
|
(6,095
)
|
|
Delta Air Lines, Inc.
|
93
|
12/20/24
|
USD
|
55.00
|
USD
|
472
|
(18,042
)
|
|
Eli Lilly & Co.
|
6
|
12/20/24
|
USD
|
1,060.00
|
USD
|
532
|
(7,500
)
|
|
Freeport-McMoRan, Inc.
|
152
|
12/20/24
|
USD
|
60.00
|
USD
|
759
|
(11,552
)
|
|
Goldman Sachs Group, Inc.
|
21
|
12/20/24
|
USD
|
570.00
|
USD
|
1,040
|
(7,298
)
|
|
iShares China Large-Cap ETF
|
1,082
|
12/20/24
|
USD
|
38.00
|
USD
|
3,439
|
(52,477
)
|
|
JPMorgan Chase & Co.
|
52
|
12/20/24
|
USD
|
240.00
|
USD
|
1,096
|
(6,266
)
|
|
Mastercard, Inc., Class A
|
25
|
12/20/24
|
USD
|
540.00
|
USD
|
1,235
|
(10,250
)
|
|
Meta Platforms, Inc., Class A
|
16
|
12/20/24
|
USD
|
650.00
|
USD
|
916
|
(22,960
)
|
|
Meta Platforms, Inc., Class A
|
132
|
12/20/24
|
USD
|
700.00
|
USD
|
7,556
|
(84,480
)
|
|
Microsoft Corp.
|
42
|
12/20/24
|
USD
|
480.00
|
USD
|
1,807
|
(17,850
)
|
|
NextEra Energy, Inc.
|
109
|
12/20/24
|
USD
|
95.00
|
USD
|
921
|
(14,715
)
|
|
NVIDIA Corp.
|
148
|
12/20/24
|
USD
|
150.00
|
USD
|
1,797
|
(54,020
)
|
|
Oracle Corp.
|
71
|
12/20/24
|
USD
|
190.00
|
USD
|
1,210
|
(22,187
)
|
|
Progressive Corp.
|
59
|
12/20/24
|
USD
|
290.00
|
USD
|
1,497
|
(13,275
)
|
|
ServiceNow, Inc.
|
6
|
12/20/24
|
USD
|
1,060.00
|
USD
|
537
|
(7,380
)
|
|
Thermo Fisher Scientific, Inc.
|
8
|
12/20/24
|
USD
|
680.00
|
USD
|
495
|
(5,840
)
|
|
Trane Technologies PLC
|
24
|
12/20/24
|
USD
|
440.00
|
USD
|
933
|
(11,280
)
|
|
UnitedHealth Group, Inc.
|
27
|
12/20/24
|
USD
|
640.00
|
USD
|
1,579
|
(30,712
)
|
|
Valero Energy Corp.
|
33
|
12/20/24
|
USD
|
155.00
|
USD
|
446
|
(7,903
)
|
|
Vista Energy Corp.
|
43
|
12/20/24
|
USD
|
150.00
|
USD
|
510
|
(17,200
)
|
|
Walmart, Inc.
|
163
|
12/20/24
|
USD
|
90.00
|
USD
|
1,316
|
(13,366
)
|
|
Walt Disney Co.
|
44
|
12/20/24
|
USD
|
105.00
|
USD
|
423
|
(9,944
)
|
|
Wells Fargo & Co.
|
170
|
12/20/24
|
USD
|
62.50
|
USD
|
960
|
(17,935
)
|
|
|
|
|
|
|
|
|
(2,010,231
)
|
|
Put
|
|
|
|
|
|
|
|
|
ConocoPhillips
|
186
|
10/18/24
|
USD
|
100.00
|
USD
|
1,958
|
(12,648
)
|
|
JPMorgan Chase & Co.
|
263
|
10/18/24
|
USD
|
190.00
|
USD
|
5,546
|
(13,939
)
|
|
LVMH Moet Hennessy Louis Vuitton SE
|
20
|
10/18/24
|
EUR
|
590.00
|
EUR
|
1,377
|
(2,048
)
|
|
Shell PLC
|
177
|
10/18/24
|
EUR
|
30.00
|
EUR
|
523
|
(6,699
)
|
|
SPDR S&P 500 ETF Trust
|
81
|
10/18/24
|
USD
|
510.00
|
USD
|
4,647
|
(3,119
)
|
|
SPDR S&P 500 ETF Trust
|
188
|
10/18/24
|
USD
|
505.00
|
USD
|
10,787
|
(6,580
)
|
|
Walt Disney Co.
|
220
|
10/18/24
|
USD
|
90.00
|
USD
|
2,116
|
(6,710
)
|
|
Apple, Inc.
|
315
|
10/25/24
|
USD
|
195.00
|
USD
|
7,340
|
(7,403
)
|
|
Boston Scientific Corp.
|
146
|
11/15/24
|
USD
|
72.50
|
USD
|
1,223
|
(5,110
)
|
|
D.R. Horton, Inc.
|
79
|
11/15/24
|
USD
|
170.00
|
USD
|
1,507
|
(22,515
)
|
|
Edwards Lifesciences Corp.
|
220
|
11/15/24
|
USD
|
60.00
|
USD
|
1,452
|
(26,400
)
|
|
Fifth Third Bancorp.
|
119
|
11/15/24
|
USD
|
37.00
|
USD
|
510
|
(4,760
)
|
|
Home Depot, Inc.
|
18
|
11/15/24
|
USD
|
350.00
|
USD
|
729
|
(3,186
)
|
|
JPMorgan Chase & Co.
|
71
|
11/15/24
|
USD
|
185.00
|
USD
|
1,497
|
(9,301
)
|
|
Meta Platforms, Inc., Class A
|
132
|
11/15/24
|
USD
|
480.00
|
USD
|
7,556
|
(72,930
)
|
|
Micron Technology, Inc.
|
526
|
11/15/24
|
USD
|
95.00
|
USD
|
5,455
|
(145,702
)
|
|
SPDR S&P 500 ETF Trust
|
835
|
11/15/24
|
USD
|
480.00
|
USD
|
47,909
|
(78,490
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Put (continued)
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust
|
158
|
11/15/24
|
USD
|
500.00
|
USD
|
9,065
|
$ (22,120
)
|
|
Trane Technologies PLC
|
48
|
11/15/24
|
USD
|
350.00
|
USD
|
1,866
|
(20,160
)
|
|
Bank of America Corp.
|
89
|
12/20/24
|
USD
|
36.00
|
USD
|
353
|
(6,008
)
|
|
Capital One Financial Corp.
|
47
|
12/20/24
|
USD
|
130.00
|
USD
|
704
|
(12,690
)
|
|
Carrier Global Corp.
|
167
|
12/20/24
|
USD
|
67.50
|
USD
|
1,344
|
(11,690
)
|
|
Costco Wholesale Corp.
|
22
|
12/20/24
|
USD
|
820.00
|
USD
|
1,950
|
(30,360
)
|
|
Home Depot, Inc.
|
31
|
12/20/24
|
USD
|
345.00
|
USD
|
1,256
|
(6,650
)
|
|
iShares China Large-Cap ETF
|
1,082
|
12/20/24
|
USD
|
28.00
|
USD
|
3,439
|
(63,838
)
|
|
Meta Platforms, Inc., Class A
|
147
|
12/20/24
|
USD
|
470.00
|
USD
|
8,415
|
(102,165
)
|
|
NVIDIA Corp.
|
59
|
12/20/24
|
USD
|
100.00
|
USD
|
716
|
(20,207
)
|
|
Fifth Third Bancorp.
|
158
|
01/17/25
|
USD
|
37.00
|
USD
|
677
|
(11,850
)
|
|
Humana, Inc.
|
47
|
01/17/25
|
USD
|
310.00
|
USD
|
1,489
|
(113,740
)
|
|
Shell PLC, ADR
|
160
|
01/17/25
|
USD
|
57.50
|
USD
|
1,055
|
(11,200
)
|
|
|
|
|
|
|
|
|
(860,218
)
|
|
|
|
|
|
|
|
|
$ (2,870,449
)
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
|
|
Description
|
Rate/Reference
|
|
Rate/Reference
|
Frequency
|
Counterparty
|
Expiration
Date
|
Credit
Rating(a)
|
Exercise
Price
|
Notional
Amount (000)(b)
|
Value
|
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold Protection on 5-Year Credit
Default Swap, 06/20/29
|
1-Day SOFR
|
|
4.00%
|
Quarterly
|
Citibank N.A.
|
10/16/24
|
N/R
|
EUR 400.00
|
EUR
|
10,347
|
$ (3,765
)
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 10/10/34
|
3.16%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Nomura International,
Inc.
|
10/08/24
|
3.16
%
|
USD
|
8,496
|
$ (4,504
)
|
|
5-Year Interest Rate Swap, 10/10/29
|
3.16%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Nomura International,
Inc.
|
10/08/24
|
3.16
|
USD
|
12,615
|
(12,726
)
|
|
10-Year Interest Rate Swap, 10/25/34
|
3.15%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Citibank N.A.
|
10/23/24
|
3.15
|
USD
|
19,535
|
(47,949
)
|
|
2-Year Interest Rate Swap, 10/26/26
|
3.30%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
10/24/24
|
3.30
|
USD
|
39,747
|
(56,126
)
|
|
5-Year Interest Rate Swap, 10/27/29
|
3.30%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
10/25/24
|
3.30
|
USD
|
14,459
|
(89,286
)
|
|
2-Year Interest Rate Swap, 11/08/26
|
3.05%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Citibank N.A.
|
11/06/24
|
3.05
|
USD
|
22,880
|
(18,989
)
|
|
5-Year Interest Rate Swap, 11/08/29
|
2.80%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Citibank N.A.
|
11/06/24
|
2.80
|
USD
|
11,440
|
(9,540
)
|
|
5-Year Interest Rate Swap, 11/27/29
|
2.65%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
11/25/24
|
2.65
|
USD
|
21,572
|
(21,840
)
|
|
5-Year Interest Rate Swap, 12/05/29
|
2.90%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Nomura International,
Inc.
|
12/03/24
|
2.90
|
USD
|
11,642
|
(36,093
)
|
|
5-Year Interest Rate Swap, 12/06/29
|
2.90%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Deutsche Bank AG
|
12/04/24
|
2.90
|
USD
|
5,944
|
(18,815
)
|
|
2-Year Interest Rate Swap, 12/19/26
|
2.60%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
2.60
|
USD
|
23,162
|
(18,068
)
|
|
5-Year Interest Rate Swap, 12/19/29
|
3.20%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
3.20
|
USD
|
12,470
|
(112,017
)
|
|
5-Year Interest Rate Swap, 12/19/29
|
3.20%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/17/24
|
3.20
|
USD
|
12,472
|
(112,036
)
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call (continued)
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 01/18/27
|
3.20%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
01/16/25
|
3.20
%
|
USD
|
24,835
|
$ (114,616
)
|
|
2-Year Interest Rate Swap, 01/18/27
|
3.20%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
01/16/25
|
3.20
|
USD
|
11,605
|
(53,559
)
|
|
2-Year Interest Rate Swap, 01/18/27
|
3.20%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
01/16/25
|
3.20
|
USD
|
11,605
|
(53,559
)
|
|
5-Year Interest Rate Swap, 01/18/30
|
3.00%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
01/16/25
|
3.00
|
USD
|
12,417
|
(89,207
)
|
|
5-Year Interest Rate Swap, 01/18/30
|
3.00%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
01/16/25
|
3.00
|
USD
|
6,034
|
(43,350
)
|
|
5-Year Interest Rate Swap, 01/18/30
|
3.00%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
01/16/25
|
3.00
|
USD
|
6,034
|
(43,350
)
|
|
10-Year Interest Rate Swap, 01/25/35
|
2.25%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
01/23/25
|
2.25
|
USD
|
25,257
|
(23,475
)
|
|
5-Year Interest Rate Swap, 01/26/30
|
3.15%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
01/24/25
|
3.15
|
USD
|
14,779
|
(153,940
)
|
|
1-Year Interest Rate Swap, 02/12/26
|
3.15%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
02/10/25
|
3.15
|
USD
|
67,046
|
(131,617
)
|
|
5-Year Interest Rate Swap, 02/16/30
|
3.23%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Goldman Sachs
International
|
02/14/25
|
3.23
|
USD
|
14,200
|
(186,633
)
|
|
5-Year Interest Rate Swap, 02/22/30
|
2.70%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
Deutsche Bank AG
|
02/20/25
|
2.70
|
USD
|
48,233
|
(224,015
)
|
|
10-Year Interest Rate Swap, 03/27/35
|
2.75%
|
Annual
|
1-Day SOFR,
4.96%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
03/25/25
|
2.75
|
USD
|
10,876
|
(75,638
)
|
|
|
|
|
|
|
|
|
|
|
|
(1,750,948
)
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap, 11/09/29
|
1-Day SOFR,
4.96%
|
Annual
|
3.90%
|
Annual
|
Deutsche Bank AG
|
11/07/24
|
3.90
|
USD
|
16,779
|
(2,558
)
|
|
10-Year Interest Rate Swap, 12/25/34
|
1-Day SOFR,
4.96%
|
Annual
|
3.67%
|
Annual
|
Deutsche Bank AG
|
12/23/24
|
3.67
|
USD
|
11,326
|
(59,994
)
|
|
10-Year Interest Rate Swap, 12/25/34
|
1-Day SOFR,
4.96%
|
Annual
|
3.67%
|
Annual
|
Deutsche Bank AG
|
12/23/24
|
3.67
|
USD
|
5,468
|
(28,965
)
|
|
2-Year Interest Rate Swap, 01/19/27
|
1-Day SOFR,
4.96%
|
Annual
|
4.30%
|
Annual
|
Deutsche Bank AG
|
01/17/25
|
4.30
|
USD
|
24,765
|
(4,732
)
|
|
5-Year Interest Rate Swap, 01/19/30
|
1-Day SOFR,
4.96%
|
Annual
|
4.00%
|
Annual
|
Deutsche Bank AG
|
01/17/25
|
4.00
|
USD
|
10,878
|
(13,121
)
|
|
5-Year Interest Rate Swap, 02/16/30
|
1-Day SOFR,
4.96%
|
Annual
|
3.23%
|
Annual
|
Goldman Sachs
International
|
02/14/25
|
3.22
|
USD
|
14,200
|
(148,511
)
|
|
5-Year Interest Rate Swap, 02/22/30
|
1-Day SOFR,
4.96%
|
Annual
|
3.90%
|
Annual
|
Deutsche Bank AG
|
02/20/25
|
3.90
|
USD
|
24,116
|
(55,123
)
|
|
10-Year Interest Rate Swap, 03/26/35
|
1-Day SOFR,
4.96%
|
Annual
|
3.75%
|
Annual
|
Deutsche Bank AG
|
03/24/25
|
3.75
|
USD
|
5,468
|
(49,193
)
|
|
10-Year Interest Rate Swap, 03/27/35
|
1-Day SOFR,
4.96%
|
Annual
|
3.75%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
03/25/25
|
3.75
|
USD
|
10,876
|
(98,303
)
|
|
2-Year Interest Rate Swap, 06/15/27
|
1-Day SOFR,
4.96%
|
Annual
|
4.60%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
06/13/25
|
4.60
|
USD
|
24,568
|
(12,219
)
|
|
5-Year Interest Rate Swap, 06/22/30
|
1-Day SOFR,
4.96%
|
Annual
|
4.40%
|
Annual
|
Goldman Sachs
International
|
06/20/25
|
4.40
|
USD
|
12,716
|
(25,055
)
|
|
5-Year Interest Rate Swap, 06/29/30
|
1-Day SOFR,
4.96%
|
Annual
|
4.55%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
06/27/25
|
4.55
|
USD
|
15,030
|
(24,087
)
|
|
|
|
|
|
|
|
|
|
|
|
(521,861
)
|
|
|
|
|
|
|
|
|
|
|
|
$ (2,272,809
)
|
|
Reference Obligation/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
iTraxx.XO.38.V2
|
5.00
%
|
Quarterly
|
12/20/27
|
EUR
|
4,590
|
$ (467,465
)
|
$ 57,728
|
$ (525,193
)
|
|
iTraxx.EUR.40.V1
|
1.00
|
Quarterly
|
12/20/28
|
EUR
|
177
|
(4,067
)
|
(3,215
)
|
(852
)
|
|
iTraxx.XO.40.V1
|
5.00
|
Quarterly
|
12/20/28
|
EUR
|
4,844
|
(425,416
)
|
(340,556
)
|
(84,860
)
|
|
CDX.NA.HY.42.V1
|
5.00
|
Quarterly
|
06/20/29
|
USD
|
195
|
(15,436
)
|
(12,031
)
|
(3,405
)
|
|
|
|
|
|
|
|
$ (912,384
)
|
$ (298,074
)
|
$ (614,310
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
iTraxx.XO.34.V3
|
5.00
%
|
Quarterly
|
12/20/25
|
C
|
EUR
|
33,645
|
$ 1,621,939
|
$ 1,034,612
|
$ 587,327
|
|
iTraxx.XO.35.V2
|
5.00
|
Quarterly
|
06/20/26
|
CCC-
|
EUR
|
1,421
|
91,707
|
86,708
|
4,999
|
|
CDX.NA.HY.41.V2
|
5.00
|
Quarterly
|
12/20/28
|
B-
|
USD
|
3,367
|
265,006
|
87,983
|
177,023
|
|
iTraxx.XO.41.V1
|
5.00
|
Quarterly
|
06/20/29
|
B
|
EUR
|
2,626
|
273,341
|
175,809
|
97,532
|
|
|
|
|
|
|
|
|
$ 2,251,993
|
$ 1,385,112
|
$ 866,881
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
1-Day SOFR, 4.96%
|
At Termination
|
5.45%
|
At Termination
|
N/A
|
10/02/24
|
USD
|
174,570
|
$ (9,243
)
|
$ 20
|
$ (9,263
)
|
|
28-Day MXIBTIIE, 10.74%
|
Monthly
|
9.78%
|
Monthly
|
N/A
|
02/04/25
|
MXN
|
48,743
|
(7,489
)
|
(1
)
|
(7,488
)
|
|
28-Day MXIBTIIE, 10.74%
|
Monthly
|
9.79%
|
Monthly
|
N/A
|
02/04/25
|
MXN
|
24,371
|
(3,697
)
|
—
|
(3,697
)
|
|
28-Day MXIBTIIE, 10.74%
|
Monthly
|
9.80%
|
Monthly
|
N/A
|
02/04/25
|
MXN
|
24,371
|
(3,625
)
|
—
|
(3,625
)
|
|
28-Day MXIBTIIE, 10.74%
|
Monthly
|
9.95%
|
Monthly
|
N/A
|
02/07/25
|
MXN
|
550,963
|
(63,352
)
|
16
|
(63,368
)
|
|
1-Day SOFR, 4.96%
|
Annual
|
5.00%
|
Annual
|
N/A
|
10/02/25
|
USD
|
169,290
|
1,124,352
|
14,557
|
1,109,795
|
|
0.28%
|
Annual
|
Tokyo Overnight Average
Rate, 0.23%
|
Annual
|
N/A
|
03/09/26
|
JPY
|
2,893,937
|
19,147
|
67
|
19,080
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.40%
|
Annual
|
N/A
|
04/08/26
|
USD
|
43,825
|
306,367
|
150
|
306,217
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.45%
|
Annual
|
N/A
|
04/09/26
|
USD
|
16,044
|
128,901
|
55
|
128,846
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/18/26
|
USD
|
25,216
|
21,913
|
88
|
21,825
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.30%
|
Annual
|
N/A
|
04/24/26
|
USD
|
30,249
|
184,382
|
106
|
184,276
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.50%
|
Annual
|
N/A
|
05/08/26
|
USD
|
25,254
|
275,802
|
91
|
275,711
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.35%
|
Annual
|
N/A
|
07/22/26
|
USD
|
11,267
|
145,774
|
45
|
145,729
|
|
4.69%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
N/A
|
10/02/26
|
USD
|
115,533
|
(1,860,670
)
|
(16,805
)
|
(1,843,865
)
|
|
1-Day SOFR, 4.96%
|
At Termination
|
4.17%
|
At Termination
|
10/23/25
(a)
|
10/23/26
|
USD
|
19,696
|
215,512
|
36
|
215,476
|
|
1-Day SOFR, 4.96%
|
At Termination
|
4.21%
|
At Termination
|
10/27/25
(a)
|
10/27/26
|
USD
|
39,419
|
447,395
|
72
|
447,323
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.47%
|
Annual
|
03/10/25
(a)
|
03/10/27
|
USD
|
9,910
|
63,824
|
44
|
63,780
|
|
1-Day MIBOR, 6.76%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/27
|
INR
|
1,186,669
|
90,679
|
94
|
90,585
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.10%
|
Annual
|
05/30/25
(a)
|
05/30/27
|
USD
|
30,153
|
585,523
|
135
|
585,388
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.15%
|
Annual
|
05/30/25
(a)
|
05/30/27
|
USD
|
30,153
|
613,855
|
143
|
613,712
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.30%
|
Annual
|
10/23/25
(a)
|
10/23/27
|
USD
|
7,036
|
34,868
|
32
|
34,836
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.20%
|
Annual
|
10/23/25
(a)
|
10/23/27
|
USD
|
10,250
|
222,867
|
47
|
222,820
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.92%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
4,880
|
80,707
|
22
|
80,685
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.95%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
4,880
|
83,430
|
22
|
83,408
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.99%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
9,761
|
173,214
|
44
|
173,170
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.07%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
19,787
|
382,491
|
90
|
382,401
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.86%
|
Annual
|
11/10/25
(a)
|
11/10/27
|
USD
|
20,267
|
313,094
|
92
|
313,002
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.48%
|
Annual
|
01/23/26
(a)
|
01/23/28
|
USD
|
27,289
|
224,041
|
118
|
223,923
|
|
3.45%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
01/26/26
(a)
|
01/26/28
|
USD
|
24,493
|
(184,834
)
|
106
|
(184,940
)
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
01/26/26
(a)
|
01/26/28
|
USD
|
24,493
|
433,606
|
106
|
433,500
|
|
3.27%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
02/05/26
(a)
|
02/05/28
|
USD
|
24,747
|
(105,969
)
|
107
|
(106,076
)
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
1-Day SOFR, 4.96%
|
Annual
|
3.87%
|
Annual
|
02/05/26
(a)
|
02/05/28
|
USD
|
24,747
|
$ 380,658
|
$ 107
|
$ 380,551
|
|
1-Day SONIA, 4.95%
|
At Termination
|
3.18%
|
At Termination
|
02/10/27
(a)
|
02/10/28
|
GBP
|
85,657
|
(252,378
)
|
524
|
(252,902
)
|
|
1-Day SONIA, 4.95%
|
Annual
|
4.86%
|
Annual
|
N/A
|
06/20/28
|
GBP
|
6,480
|
337,967
|
(14
)
|
337,981
|
|
28-Day MXIBTIIE, 10.74%
|
Monthly
|
9.13%
|
Monthly
|
N/A
|
08/15/28
|
MXN
|
104,580
|
87,334
|
45
|
87,289
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.42%
|
Annual
|
N/A
|
10/02/28
|
USD
|
81,301
|
2,658,716
|
15,786
|
2,642,930
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.40%
|
Annual
|
N/A
|
10/31/28
|
USD
|
13,191
|
440,573
|
104
|
440,469
|
|
1-Day SONIA, 4.95%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/17/28
|
GBP
|
6,091
|
61,501
|
247
|
61,254
|
|
1-Day SONIA, 4.95%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/21/28
|
GBP
|
6,085
|
63,324
|
250
|
63,074
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.25%
|
Annual
|
12/15/26
(a)
|
12/15/28
|
USD
|
21,232
|
60,679
|
97
|
60,582
|
|
6-mo. EURIBOR, 3.11%
|
Semi-Annual
|
3.00%
|
Annual
|
N/A
|
03/05/29
|
EUR
|
15,660
|
815,664
|
149
|
815,515
|
|
1-Day MIBOR, 6.76%
|
Semi-Annual
|
6.26%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
339,246
|
37,011
|
46
|
36,965
|
|
1-Day MIBOR, 6.76%
|
Semi-Annual
|
6.30%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
414,634
|
52,513
|
56
|
52,457
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.79%
|
Annual
|
N/A
|
03/29/29
|
USD
|
35,313
|
487,430
|
289
|
487,141
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/08/29
|
USD
|
21,208
|
514,069
|
180
|
513,889
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/09/29
|
USD
|
16,044
|
427,021
|
136
|
426,885
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/18/29
|
USD
|
25,216
|
625,885
|
215
|
625,670
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/24/29
|
USD
|
12,604
|
317,344
|
108
|
317,236
|
|
6-mo. EURIBOR, 3.11%
|
Semi-Annual
|
2.90%
|
Annual
|
N/A
|
04/30/29
|
EUR
|
17,653
|
583,075
|
170
|
582,905
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
05/06/29
|
USD
|
25,231
|
653,812
|
217
|
653,595
|
|
6-mo. EURIBOR, 3.11%
|
Semi-Annual
|
2.87%
|
Annual
|
N/A
|
06/11/29
|
EUR
|
12,874
|
370,745
|
129
|
370,616
|
|
0.02%
|
Annual
|
6-mo. EURIBOR, 3.11%
|
Semi-Annual
|
N/A
|
08/26/31
|
EUR
|
9,317
|
1,520,612
|
140
|
1,520,472
|
|
1-Day ESTR, 1,503.48%
|
Annual
|
2.34%
|
Annual
|
01/19/28
(a)
|
01/19/33
|
EUR
|
7,414
|
37,160
|
104
|
37,056
|
|
1-Day SOFR, 4.96%
|
Annual
|
3.14%
|
Annual
|
05/12/28
(a)
|
05/12/33
|
USD
|
13,769
|
(88,465
)
|
127
|
(88,592
)
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.31%
|
Annual
|
N/A
|
09/29/33
|
USD
|
121,626
|
9,595,170
|
9,677
|
9,585,493
|
|
4.40%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
N/A
|
11/01/33
|
USD
|
11,317
|
(867,339
)
|
174
|
(867,513
)
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/12/34
|
USD
|
9,940
|
450,187
|
148
|
450,039
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/17/34
|
USD
|
2,863
|
130,384
|
43
|
130,341
|
|
1-Day MIBOR, 6.76%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
218,262
|
46,754
|
45
|
46,709
|
|
1-Day MIBOR, 6.76%
|
Semi-Annual
|
6.35%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
218,262
|
48,595
|
45
|
48,550
|
|
3.46%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
12/15/26
(a)
|
12/15/36
|
USD
|
4,853
|
(43,106
)
|
80
|
(43,186
)
|
|
4.25%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
N/A
|
09/29/43
|
USD
|
1,467
|
(169,270
)
|
970
|
(170,240
)
|
|
4.03%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
N/A
|
09/29/53
|
USD
|
30,617
|
(4,063,091
)
|
9,527
|
(4,072,618
)
|
|
3.65%
|
Annual
|
1-Day SOFR, 4.96%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
(247,921
)
|
166
|
(248,087
)
|
|
1-Day SOFR, 4.96%
|
Annual
|
4.00%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
605,021
|
166
|
604,855
|
|
|
|
|
$ 19,610,499
|
$ 39,952
|
$ 19,570,547
|
|||||
|
(a)
|
Forward Swap.
|
|
Paid by the Trust
|
Received by the Trust
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
|
|||||
|
Eurostat Eurozone HICP Ex
Tobacco Unrevised
|
At Termination
|
2.69%
|
At Termination
|
08/15/32
|
EUR
|
1,425
|
$ 57,615
|
$ 30
|
$ 57,585
|
|
Reference Obligations/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
American Airlines Group Inc.
|
5.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/24
|
USD
|
95
|
$ (956
)
|
$ (248
)
|
$ (708
)
|
|
UBS Group AG
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
3,700
|
(80,812
)
|
100,679
|
(181,491
)
|
|
UBS Group AG
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
2,160
|
(47,176
)
|
56,775
|
(103,951
)
|
|
Boeing, Co.
|
1.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
USD
|
800
|
7,308
|
(3,349
)
|
10,657
|
|
Xerox Corp.
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/28
|
USD
|
10
|
1,231
|
1,044
|
187
|
|
Xerox Corp.
|
1.00
|
Quarterly
|
Morgan Stanley & Co. International PLC
|
12/20/28
|
USD
|
30
|
3,695
|
3,130
|
565
|
|
Reference Obligations/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Boeing, Co.
|
1.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/29
|
USD
|
800
|
$ 11,679
|
$ 9,136
|
$ 2,543
|
|
Republic of Panama
|
1.00
|
Quarterly
|
Citibank N.A.
|
12/20/29
|
USD
|
300
|
8,409
|
9,758
|
(1,349
)
|
|
TIM S.p.A.
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/29
|
EUR
|
380
|
17,414
|
19,466
|
(2,052
)
|
|
|
|
|
|
|
|
|
$ (79,208
)
|
$ 196,391
|
$ (275,599
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Vistra Operations Company LLC
|
5.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/25
|
BB
|
USD
|
642
|
$ 35,210
|
$ 14,352
|
$ 20,858
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
12.81%
|
At Termination
|
Morgan Stanley & Co.
International PLC
|
N/A
|
01/02/25
|
BRL
|
143,165
|
$ 479,157
|
$ —
|
$ 479,157
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
13.18%
|
At Termination
|
JPMorgan Chase Bank N.A.
|
N/A
|
01/02/25
|
BRL
|
7,385
|
35,684
|
—
|
35,684
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
13.21%
|
At Termination
|
JPMorgan Chase Bank N.A.
|
N/A
|
01/02/25
|
BRL
|
7,381
|
36,510
|
—
|
36,510
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
13.25%
|
At Termination
|
Citibank N.A.
|
N/A
|
01/02/25
|
BRL
|
3,883
|
19,798
|
—
|
19,798
|
|
China Fixing Repo
Rates 7-Day,
2.40%
|
Quarterly
|
2.60%
|
Quarterly
|
Morgan Stanley & Co.
International PLC
|
N/A
|
09/15/26
|
CNY
|
157,107
|
426,182
|
—
|
426,182
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.06%
|
At Termination
|
JPMorgan Chase Bank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,158
|
(174,804
)
|
—
|
(174,804
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.03%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
12,635
|
(158,100
)
|
—
|
(158,100
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.14%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
13,441
|
(162,881
)
|
—
|
(162,881
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.12%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
96
|
(1,150
)
|
—
|
(1,150
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.16%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
17,910
|
(214,772
)
|
—
|
(214,772
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.12%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
17,183
|
(205,791
)
|
—
|
(205,791
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.35%
|
At Termination
|
Barclays Bank PLC
|
N/A
|
01/04/27
|
BRL
|
29,050
|
(302,814
)
|
—
|
(302,814
)
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
9.99%
|
At Termination
|
Citibank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,191
|
$ (181,740
)
|
$ —
|
$ (181,740
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.00%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
14,578
|
(181,847
)
|
—
|
(181,847
)
|
|
1-Day
BZDIOVER,
0.04%
|
At Termination
|
10.03%
|
At Termination
|
Morgan Stanley & Co.
International PLC
|
N/A
|
01/04/27
|
BRL
|
14,173
|
(178,038
)
|
—
|
(178,038
)
|
|
|
|
|
|
$ (764,606
)
|
$ —
|
$ (764,606
)
|
|||||
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate/Reference
|
Frequency
|
Rate/Reference
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
|
At Termination
|
1-Day SOFR minus
0.60%, 4.96%
|
At Termination
|
Goldman Sachs
International
|
N/A
|
12/20/24
|
USD
|
3,774
|
$ 19,187
|
$ —
|
$ 19,187
|
|
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
|
At Termination
|
1-Day SOFR minus
0.60%, 4.96%
|
At Termination
|
JPMorgan Chase
Bank N.A.
|
N/A
|
12/20/24
|
USD
|
10,076
|
51,229
|
—
|
51,229
|
|
1-Day SOFR plus
0.40%, 4.96%
|
At Termination
|
iShares Broad USD
High Yield
Corporate Bond
ETF
|
At Termination
|
BNP Paribas SA
|
N/A
|
12/20/24
|
USD
|
2,142
|
(3,993
)
|
—
|
(3,993
)
|
|
|
|
|
|
|
|
|
|
|
$ 66,423
|
$ —
|
$ 66,423
|
|
Reference Entity
|
Payment
Frequency
|
Counterparty(a)
|
Termination
Date
|
Net Notional
|
Accrued
Unrealized
Appreciation
(Depreciation)
|
Net Value of
Reference
Entity
|
Gross
Notional
Amount
Net Asset
Percentage
|
|
Equity Securities Long/Short
|
Monthly
|
Barclays Bank PLC(b)
|
07/28/25
|
$213,630
|
$21,877
(c)
|
$236,490
|
0.0
%
|
|
|
Monthly
|
Citibank N.A.(d)
|
10/25/24
|
10,745,615
|
(431,112
)(e)
|
10,381,757
|
0.6
|
|
|
Monthly
|
JPMorgan Chase Bank N.A.(f)
|
02/10/25
|
(3,806,160
)
|
(22,225
)(g)
|
(3,829,621
)
|
0.4
|
|
|
|
|
|
|
$(431,460
)
|
$6,788,626
|
|
|
(a)
|
The Trust receives the total return on a portfolio of long positions underlying the
total return swap. The Trust pays the total return on a portfolio of short positions
underlying the total return
swap. In addition, the Trust pays or receives a variable rate of interest, based on
a specified benchmark. The benchmark and spread are determined based upon the country
and/or
currency of the individual underlying positions.
|
|
(c)
|
Amount includes $(983) of net dividends and financing fees.
|
|
(e)
|
Amount includes $(67,254) of net dividends and financing fees.
|
|
(g)
|
Amount includes $1,236 of net dividends and financing fees.
|
|
The following are the specified benchmarks (plus or minus a range) used in determining
the variable rate of interest:
|
|||
|
|
(b)
|
(d)
|
(f)
|
|
Range:
Benchmarks:
|
20 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01)
|
26 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01)
|
15-1,096 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01)
|
|
Security
|
Shares
|
Value
|
% of
Basket
Value
|
|
Reference Entity — Long
|
|
|
|
|
Common Stocks
|
|
|
|
|
United States
|
|
|
|
|
AMC Networks Inc., Class A
|
27,214
|
$236,490
|
100.0
%
|
|
Net Value of Reference Entity — Barclays Bank PLC
|
$236,490
|
|
|
|
Security
|
Shares
|
Value
|
% of
Basket
Value
|
|
Reference Entity — Long
|
|
|
|
|
Common Stocks
|
|
|
|
|
Italy
|
|
|
|
|
Leonardo SpA
|
463,859
|
$10,381,757
|
100.0
%
|
|
Net Value of Reference Entity — Citibank N.A.
|
$10,381,757
|
|
|
|
Security
|
Shares
|
Value
|
% of
Basket
Value
|
|
Reference Entity — Long
|
|
|
|
|
Common Stocks
|
|
|
|
|
United States
|
|
|
|
|
AMC Networks Inc.
|
14,427
|
$125,371
|
(3.3
)%
|
|
Security
|
Shares
|
Value
|
% of
Basket
Value
|
|
United States (continued)
|
|
|
|
|
Banc of California, Inc.
|
1
|
$15
|
(0.0
)%
|
|
Eagle Bancorp Inc.
|
3,416
|
77,133
|
(2.0
)
|
|
New York Community Bancorp Inc.
|
115,911
|
1,301,680
|
(34.0
)
|
|
Total Reference Entity — Long
|
|
1,504,199
|
|
|
Reference Entity — Short
|
|
|
|
|
Common Stocks
|
|
|
|
|
United States
|
|
|
|
|
Air Transport Services Group, Inc.
|
(309
)
|
(5,003
)
|
0.1
|
|
Atlantic Union Bankshares Corp.
|
(1,550
)
|
(58,388
)
|
1.5
|
|
Community Bank System, Inc.
|
(1,416
)
|
(82,227
)
|
2.2
|
|
CVB Financial Corp.
|
(3,741
)
|
(66,665
)
|
1.7
|
|
Independent Bank Group, Inc.
|
(1,817
)
|
(104,768
)
|
2.7
|
|
Landbridge Co LLC
|
(19,823
)
|
(775,476
)
|
20.3
|
|
Provident Financial Services, Inc.
|
(5,230
)
|
(97,069
)
|
2.5
|
|
Servisfirst Bancshares Inc.
|
(1,270
)
|
(102,171
)
|
2.7
|
|
|
|
(1,291,767
)
|
|
|
Exchange Traded Funds
|
|
|
|
|
United States
|
|
|
|
|
iShares iBoxx $ Investment Grade Corporate Bond
ETF
|
(21,553
)
|
(2,435,058
)
|
63.6
|
|
Vanguard Intermediate-Term Corporate Bond ETF
|
(19,188
)
|
(1,606,995
)
|
42.0
|
|
|
|
(4,042,053
)
|
|
|
Total Reference Entity — Short
|
|
(5,333,820
)
|
|
|
Net Value of Reference Entity — JPMorgan Chase Bank
N.A.
|
$(3,829,621
)
|
|
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Long-Term Investments
|
|
|
|
|
|
Asset-Backed Securities
|
$ —
|
$ 123,158,679
|
$ 7,305,780
|
$ 130,464,459
|
|
Common Stocks
|
|
|
|
|
|
Australia
|
—
|
7,001,253
|
—
|
7,001,253
|
|
Canada
|
29,252,763
|
—
|
—
|
29,252,763
|
|
China
|
—
|
17,206,848
|
—
|
17,206,848
|
|
Denmark
|
—
|
3,194,683
|
—
|
3,194,683
|
|
France
|
—
|
31,808,368
|
—
|
31,808,368
|
|
Germany
|
—
|
9,418,816
|
—
|
9,418,816
|
|
Hong Kong
|
—
|
3,676,271
|
—
|
3,676,271
|
|
India
|
—
|
—
|
—
|
—
|
|
Italy
|
—
|
22,264,276
|
—
|
22,264,276
|
|
Japan
|
—
|
37,238,914
|
—
|
37,238,914
|
|
Macau
|
—
|
540,851
|
—
|
540,851
|
|
Netherlands
|
—
|
19,549,865
|
—
|
19,549,865
|
|
South Korea
|
—
|
4,992,111
|
—
|
4,992,111
|
|
Spain
|
—
|
12,265,478
|
—
|
12,265,478
|
|
Sweden
|
—
|
—
|
—
|
—
|
|
Switzerland
|
5,249,401
|
—
|
—
|
5,249,401
|
|
Taiwan
|
14,370,498
|
—
|
—
|
14,370,498
|
|
United Kingdom
|
3,158,664
|
32,891,130
|
349,258
|
36,399,052
|
|
United States
|
690,582,209
|
30,676,913
|
28,702,020
|
749,961,142
|
|
Zambia
|
97,882
|
—
|
—
|
97,882
|
|
Corporate Bonds
|
|
|
|
|
|
Argentina
|
—
|
142,256
|
—
|
142,256
|
|
Australia
|
—
|
271,521
|
6,580,614
|
6,852,135
|
|
Austria
|
—
|
204,800
|
—
|
204,800
|
|
Belgium
|
—
|
585,257
|
—
|
585,257
|
|
Brazil
|
—
|
857,988
|
—
|
857,988
|
|
Canada
|
—
|
13,202,066
|
—
|
13,202,066
|
|
Chile
|
—
|
836,819
|
—
|
836,819
|
|
China
|
—
|
3,292,198
|
—
|
3,292,198
|
|
Costa Rica
|
—
|
231,572
|
—
|
231,572
|
|
Cyprus
|
—
|
216,000
|
—
|
216,000
|
|
France
|
128,760
|
2,878,791
|
2,320,635
|
5,328,186
|
|
Germany
|
—
|
3,562,848
|
3,379,761
|
6,942,609
|
|
Ghana
|
—
|
195,246
|
—
|
195,246
|
|
Greece
|
—
|
281,702
|
—
|
281,702
|
|
Hong Kong
|
—
|
1,814,611
|
—
|
1,814,611
|
|
India
|
—
|
1,265,680
|
802,808
|
2,068,488
|
|
Indonesia
|
—
|
644,722
|
—
|
644,722
|
|
Ireland
|
—
|
118,926
|
—
|
118,926
|
|
Israel
|
—
|
131,769
|
—
|
131,769
|
|
Italy
|
193,694
|
7,049,922
|
—
|
7,243,616
|
|
Japan
|
—
|
1,303,515
|
—
|
1,303,515
|
|
Jersey
|
—
|
1,654,592
|
—
|
1,654,592
|
|
Kuwait
|
—
|
293,258
|
—
|
293,258
|
|
Luxembourg
|
—
|
1,845,134
|
122,936
|
1,968,070
|
|
Macau
|
—
|
552,266
|
—
|
552,266
|
|
Mexico
|
—
|
1,169,543
|
—
|
1,169,543
|
|
Morocco
|
—
|
343,806
|
—
|
343,806
|
|
MultiNational
|
—
|
629,028
|
—
|
629,028
|
|
Netherlands
|
—
|
1,625,905
|
—
|
1,625,905
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Corporate Bonds (continued)
|
|
|
|
|
|
Panama
|
$ —
|
$ 220,928
|
$ —
|
$ 220,928
|
|
Peru
|
—
|
225,013
|
—
|
225,013
|
|
Portugal
|
—
|
223,190
|
—
|
223,190
|
|
Saudi Arabia
|
—
|
484,262
|
—
|
484,262
|
|
South Africa
|
—
|
198,250
|
—
|
198,250
|
|
South Korea
|
—
|
205,080
|
—
|
205,080
|
|
Spain
|
—
|
892,637
|
—
|
892,637
|
|
Sweden
|
—
|
2,014,901
|
—
|
2,014,901
|
|
Thailand
|
—
|
454,977
|
—
|
454,977
|
|
Turkey
|
—
|
387,882
|
—
|
387,882
|
|
Ukraine
|
—
|
398,972
|
—
|
398,972
|
|
United Arab Emirates
|
—
|
2,543,252
|
—
|
2,543,252
|
|
United Kingdom
|
—
|
10,323,639
|
1,616,974
|
11,940,613
|
|
United States
|
—
|
112,429,648
|
50,061,139
|
162,490,787
|
|
Zambia
|
—
|
212,000
|
—
|
212,000
|
|
Fixed Rate Loan Interests
|
—
|
—
|
12,700,510
|
12,700,510
|
|
Floating Rate Loan Interests
|
—
|
53,373,576
|
72,419,777
|
125,793,353
|
|
Foreign Agency Obligations
|
—
|
24,215,925
|
—
|
24,215,925
|
|
Investment Companies
|
26,001,756
|
—
|
—
|
26,001,756
|
|
Municipal Bonds
|
—
|
3,808,808
|
—
|
3,808,808
|
|
Non-Agency Mortgage-Backed Securities
|
—
|
61,799,752
|
12,253,917
|
74,053,669
|
|
Other Interests
|
—
|
—
|
3,792,736
|
3,792,736
|
|
Preferred Securities
|
|
|
|
|
|
Capital Trusts
|
—
|
4,063,503
|
—
|
4,063,503
|
|
Preferred Stocks
|
—
|
—
|
69,828,761
|
69,828,761
|
|
U.S. Government Sponsored Agency Securities
|
—
|
192,242,047
|
—
|
192,242,047
|
|
U.S. Treasury Obligations
|
—
|
16,469,466
|
—
|
16,469,466
|
|
Warrants
|
|
|
|
|
|
Brazil
|
6,677
|
—
|
—
|
6,677
|
|
Israel
|
360
|
—
|
2,408
|
2,768
|
|
United Kingdom
|
—
|
—
|
217,630
|
217,630
|
|
United States
|
15,442
|
1,336,186
|
3,745,755
|
5,097,383
|
|
Short-Term Securities
|
|
|
|
|
|
Money Market Funds
|
27,868,752
|
—
|
—
|
27,868,752
|
|
Options Purchased
|
|
|
|
|
|
Credit Contracts
|
—
|
9,905
|
—
|
9,905
|
|
Equity Contracts
|
6,299,494
|
43,200
|
—
|
6,342,694
|
|
Foreign Currency Exchange Contracts
|
—
|
18
|
—
|
18
|
|
Interest Rate Contracts
|
—
|
2,432,855
|
—
|
2,432,855
|
|
Unfunded Floating Rate Loan Interests(a)
|
—
|
7,036
|
—
|
7,036
|
|
Liabilities
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Investments Sold Short
|
|
|
|
|
|
Investment Companies
|
(4,298,745
)
|
—
|
—
|
(4,298,745
)
|
|
TBA Sale Commitments
|
—
|
(16,908,065
)
|
—
|
(16,908,065
)
|
|
Unfunded Floating Rate Loan Interests(a)
|
—
|
—
|
(11,123
)
|
(11,123
)
|
|
|
$ 798,927,607
|
$ 877,195,040
|
$ 276,192,296
|
1,952,314,943
|
|
Investments Valued at NAV(b)
|
|
|
|
3,730,083
|
|
|
|
|
|
$ 1,956,045,026
|
|
Derivative Financial Instruments(c)
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Credit Contracts
|
$ —
|
$ 901,691
|
$ —
|
$ 901,691
|
|
Equity Contracts
|
30,545
|
1,526,297
|
—
|
1,556,842
|
|
Foreign Currency Exchange Contracts
|
—
|
964,955
|
—
|
964,955
|
|
Interest Rate Contracts
|
1,507,171
|
28,533,338
|
—
|
30,040,509
|
|
Other Contracts
|
—
|
57,585
|
—
|
57,585
|
|
Liabilities
|
|
|
|
|
|
Commodity Contracts
|
(43,419
)
|
—
|
—
|
(43,419
)
|
|
Credit Contracts
|
—
|
(907,626
)
|
—
|
(907,626
)
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Derivative Financial Instruments(c)
|
|
|
|
|
|
Equity Contracts
|
$ (6,362,563
)
|
$ (753,445
)
|
$ —
|
$ (7,116,008
)
|
|
Foreign Currency Exchange Contracts
|
—
|
(4,084,658
)
|
—
|
(4,084,658
)
|
|
Interest Rate Contracts
|
(3,163,431
)
|
(12,000,206
)
|
—
|
(15,163,637
)
|
|
|
$ (8,031,697
)
|
$ 14,237,931
|
$ —
|
$ 6,206,234
|
|
(a)
|
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation)
on the commitment.
|
|
(b)
|
Certain investments of the Trust were fair valued using NAV as a practical expedient
as no quoted market value is available and therefore have been excluded from the fair
value
hierarchy.
|
|
(c)
|
Derivative financial instruments are swaps, futures contracts, forward foreign currency
exchange contracts and options written. Swaps, futures contracts and forward foreign
currency
exchange contracts are valued at the unrealized appreciation (depreciation) on the
instrument and options written are shown at value.
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Fixed
Rate Loan
Interests
|
Floating
Rate Loan
Interests
|
Non-Agency
Mortgage-Backed
Securities
|
Other
Interests
|
|
Assets
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023
|
$ 8,947,923
|
$ 27,338,257
|
$ 56,881,661
|
$ 11,920,142
|
$ 65,568,658
|
$ 15,407,058
|
$ 4,065,568
|
|
Transfers into Level 3
|
—
|
—
|
—
|
—
|
4,582,720
|
—
|
—
|
|
Transfers out of Level 3
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
|
Other(a)
|
—
|
(5,271,859
)
|
—
|
(518,705
)
|
518,705
|
—
|
—
|
|
Accrued discounts/premiums
|
1,608
|
—
|
270,291
|
18,888
|
116,686
|
118,864
|
—
|
|
Net realized gain (loss)
|
23,808
|
11,316
|
(339,204
)
|
26,271
|
(61,824
)
|
—
|
—
|
|
Net change in unrealized appreciation (depreciation)(b)
|
(210,524
)
|
753,148
|
983,631
|
267,423
|
1,087,604
|
410,058
|
(272,832
)
|
|
Purchases
|
—
|
6,231,877
|
26,712,354
|
2,554,703
|
8,451,459
|
—
|
—
|
|
Sales
|
(1,457,035
)
|
(11,461
)
|
(19,623,866
)
|
(1,568,212
)
|
(7,844,231
)
|
(3,682,063
)
|
—
|
|
Closing balance, as of September 30, 2024
|
$ 7,305,780
|
$ 29,051,278
|
$ 64,884,867
|
$ 12,700,510
|
$ 72,419,777
|
$ 12,253,917
|
$ 3,792,736
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
September 30, 2024(b)
|
$ (210,524
)
|
$ 615,994
|
$ (629,869
)
|
$ 80,336
|
$ 380,893
|
$ 410,058
|
$ (272,832
)
|
|
|
Preferred
Stocks
|
Unfunded
Fixed Rate
Loan Interests
|
Unfunded
Floating Rate
Loan Interests
|
Warrants
|
Total
|
|
Assets
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023
|
$ 53,697,827
|
$ —
|
$ (49,378
)
|
$ 1,990,642
|
$ 245,768,358
|
|
Transfers into Level 3
|
2,487,113
|
—
|
—
|
—
|
7,069,833
|
|
Transfers out of Level 3
|
—
|
—
|
—
|
(6,587
)
|
(6,587
)
|
|
Other(a)
|
5,271,859
|
191
|
(191
)
|
—
|
—
|
|
Accrued discounts/premiums
|
—
|
—
|
—
|
—
|
526,337
|
|
Net realized gain (loss)
|
301
|
—
|
—
|
(11,446
)
|
(350,778
)
|
|
Net change in unrealized appreciation (depreciation)(b)
|
(4,064,271
)
|
(191
)
|
38,446
|
1,993,181
|
985,673
|
|
Purchases
|
13,680,646
|
—
|
—
|
3
|
57,631,042
|
|
Sales
|
(1,244,714
)
|
—
|
—
|
—
|
(35,431,582
)
|
|
Closing balance, as of September 30, 2024
|
$ 69,828,761
|
$ —
|
$ (11,123
)
|
$ 3,965,793
|
$ 276,192,296
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
September 30, 2024(b)
|
$ (4,260,650
)
|
$ 1,253,246
|
$ (2,633,347
)
|
$ —
|
$ (5,266,695
)
|
|
(a)
|
Certain Level 3 investments were re-classified between Common Stocks, Fixed Rate Loan
Interests, Floating Rate Loan Interests, Preferred Stocks, Unfunded Fixed Rate Loan
Interests and Unfunded Floating Rate Loan Interests.
|
|
(b)
|
Any difference between net change in unrealized appreciation (depreciation) and net
change in unrealized appreciation (depreciation) on investments still held at September
30, 2024 is
generally due to investments no longer held or categorized as Level 3 at period end.
|
|
|
Value
|
Valuation
Approach
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
Utilized(a)
|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value
|
|
Assets
|
|
|
|
|
|
|
Common Stocks
|
$29,051,278
|
Market
|
Revenue Multiple
|
3.63x - 16.50x
|
6.01x
|
|
|
|
|
Volatility
|
39% -80%
|
63%
|
|
|
|
|
Time to Exit
|
3.0 - 5.6 years
|
3.0 years
|
|
|
|
|
EBITDA Multiple
|
8.50x
|
—
|
|
|
|
|
Gross Profit Multiple
|
12.38x - 14.94x
|
14.02x
|
|
|
|
Income
|
Discount Rate
|
10% - 12%
|
10%
|
|
|
|
|
|
|
|
|
Asset Backed Securities
|
4,838,900
|
Income
|
Discount Rate
|
4% - 7%
|
7%
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities
|
3,317,914
|
Income
|
Discount Rate
|
10%
|
—
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
64,761,931
|
Income
|
Discount Rate
|
7% - 30%
|
12%
|
|
|
|
Market
|
Revenue Mulltiple
|
4.00x - 6.70x
|
4.41x
|
|
|
|
|
Volatility
|
50% - 95%
|
57%
|
|
|
|
|
Time to Exit
|
0.3 - 1.0 years
|
0.4 years
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interest
|
63,500,012
|
Income
|
Discount Rate
|
6% - 14%
|
10%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate Loan Interests
|
10,886,698
|
Income
|
Discount Rate
|
7% - 12%
|
8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests
|
3,792,736
|
Income
|
Discount Rate
|
9%
|
—
|
|
|
|
|
|
|
|
|
Preferred Stock(b)
|
69,828,761
|
Market
|
Revenue Multiple
|
0.26x - 20.00x
|
7.77x
|
|
|
|
|
Volatility
|
30% - 95%
|
67%
|
|
|
|
|
Time to Exit
|
0.3 - 5.0 years
|
2.4 years
|
|
|
|
|
EBIDTA Multiple
|
7.00x
|
—
|
|
|
|
|
EBIDTAR Multiple
|
11.50x
|
—
|
|
|
|
|
Market Adjustment Multiple
|
1.00x- 1.30x
|
1,24x
|
|
|
|
Income
|
Discount Rate
|
10% - 14%
|
12%
|
|
|
|
|
|
|
|
|
Warrants
|
3,965,793
|
Market
|
Revenue Multiple
|
3.25x - 10.25x
|
7.93x
|
|
|
|
|
Volatility
|
39% - 80%
|
67%
|
|
|
|
|
Time to Exit
|
0.3 - 9.3 years
|
3.2 years
|
|
|
|
Income
|
Discount Rate
|
12% - 16%
|
16%
|
|
|
|
|
|
|
|
|
|
$253,944,023
|
|
|
|
|
|
(a)
|
A significant change in unobservable input would have resulted in a correlated (inverse)
significant change to value.
|
|
(b)
|
The fund valued certain of its Level 3 Preferred Stocks and Warrants using recent
transactions as the best approximation of fair value. The value of Level 3 investments
obtained using
recent prior transaction prices, for which inputs are unobservable, is $2,065,667
as of September 30, 2024.
|
|
Currency Abbreviation
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CHF
|
Swiss Franc
|
|
CNH
|
Chinese Yuan
|
|
CNY
|
Chinese Yuan
|
|
DKK
|
Danish Krone
|
|
Currency Abbreviation (continued)
|
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
HKD
|
Hong Kong Dollar
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
MXN
|
Mexican Peso
|
|
Currency Abbreviation (continued)
|
|
|
NOK
|
Norwegian Krone
|
|
SEK
|
Swedish Krona
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
Portfolio Abbreviation
|
|
|
ABS
|
Asset-Backed Security
|
|
ADR
|
American Depositary Receipt
|
|
AMT
|
Alternative Minimum Tax
|
|
ARB
|
Airport Revenue Bonds
|
|
BZDIOVER
|
Overnight Brazil Interbank Deposit (CETIP)
|
|
CLO
|
Collateralized Loan Obligation
|
|
CMT
|
Constant Maturity Treasury
|
|
CR
|
Custodian Receipt
|
|
DAC
|
Designated Activity Company
|
|
ESTR
|
Euro Short Term Rate
|
|
ETF
|
Exchange-Traded Fund
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FREMF
|
Freddie Mac Multifamily Securities
|
|
LIBOR
|
London Interbank Offered Rate
|
|
MIBOR
|
Mumbai Interbank Offered Rate
|
|
MSCI
|
Morgan Stanley Capital International
|
|
MTA
|
Month Treasury Average
|
|
MXIBTIIE
|
Mexico Interbank TIIE 28-Day
|
|
PIK
|
Payment-in-Kind
|
|
PIPE
|
Private Investment in Public Equity
|
|
PJSC
|
Public Joint Stock Company
|
|
RB
|
Revenue Bond
|
|
S&P
|
Standard & Poor’s
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SONIA
|
Sterling Overnight Interbank Average Rate
|
|
SPDR
|
Standard & Poor’s Depository Receipt
|
|
TBA
|
To-Be-Announced
|
